PROSHARES TRUST II Management's Discussion and Analysis of Financial Condition and Results of Operations. (form 10-K)

February 19, 2021 at 05:31 pm EST

This information should be read in conjunction with the financial statements and
notes to the financial statements included with this Annual Report on Form
10-K.
The discussion and analysis that follows may contain statements that relate to
future events or future performance. In some cases, such forward-looking
statements can be identified by terminology such as "will," "may," "should,"
"expect," "plan," "anticipate," "believe," "estimate," "predict," "potential,"
"intend," "project," "seek" or the negative of these terms or other comparable
terminology. None of the Trust, the Sponsor, the Trustee, or the Administrator
assumes responsibility for the accuracy or completeness of any forward-looking
statements. Except as expressly required by federal securities laws, none of the
Trust, the Sponsor, the Trustee, or the Administrator is under a duty to update
any of the forward-looking statements to conform such statements to actual
results or to a change in expectations or predictions.
Because forward-looking statements relate to the future, they are subject to
inherent uncertainties, risk and changes in circumstances that are difficult to
predict and many of which are outside of the Funds' control. The Funds'
forward-looking statements are not guarantees of future results and conditions
and important factors, risks and uncertainties in the markets for financial
instruments that the Funds trade, in the markets for related physical
commodities, in the legal and regulatory regimes applicable to the Sponsor, the
Funds, and the Funds' service providers, and in the broader economy may cause
the Funds' actual results to differ materially from those expressed in
forward-looking statements.
Introduction
Each of the Funds generally invests in Financial Instruments (i.e., instruments
whose value is derived from the value of an underlying asset, rate or index),
including futures contracts, swap agreements, forward contracts and other
instruments as a substitute for investing directly in commodities, currencies,
or spot volatility products in order to gain exposure to its applicable
underlying commodity futures index, commodity, currency exchange rate or equity
volatility index. Financial Instruments also are used to produce economically
"inverse," "inverse leveraged" or "leveraged" investment results for the Geared
Funds.
As further described in Item 1 in this Annual Report on Form
10-K,
each "Short" Fund seeks daily investment results, before fees and expenses, that
correspond to either
one-half
the inverse
(-0.5x)
or the inverse
(-1x)
of the daily performance of its corresponding benchmark. Each "UltraShort" Fund
seeks daily investment results, before fees and expenses, that correspond to two
times the inverse
(-2x)
of the daily performance of its corresponding benchmark. Each "Ultra" Fund seeks
daily investment results, before fees and expenses, that correspond to either
one and
one-half
times (1.5x) or two times (2x) the daily performance of its corresponding
benchmark. Each Matching VIX Fund seeks investment results, before fees and
expenses, both over a single day and over time, that match (1x) the performance
of its corresponding benchmark. Daily performance is measured from the
calculation of each Fund's net asset value ("NAV") to the Fund's next NAV
calculation.
Each Geared Fund seeks investment results for a single day only, not for any
other period. This is different from most exchange-traded funds and means that
the return of such Fund for a period longer than a single trading day will be
the result of each day's returns compounded over the period, which will very
likely differ from
-0.5x,
-1x,
-2x,
1.5x, or 2x of the return of the benchmark to which such Fund is benchmarked for
that period. In periods of higher market volatility, the volatility of the
benchmark may be at least as important to a Geared Fund's return for the period
as the return of the benchmark. Geared Funds, that use leverage, are riskier
than similarly benchmarked exchange-traded funds that do not use leverage.
Accordingly, these Funds may not be suitable for all investors and should be
used only by knowledgeable investors who understand the potential consequences
of seeking daily leveraged, inverse or inverse leveraged investment results.
Shareholders who invest in the Geared Funds should actively manage and monitor
their investments, as frequently as daily.
The Matching VIX Fund seeks results, before fees and expenses, that match the
performance of the S&P 500 VIX Short-Term Futures Index (the "Short-Term VIX
Index") or the S&P 500 VIX
Mid-Term
Futures Index (the
"Mid-Term
VIX Index") (each a "VIX Futures Index"). Each Geared VIX Fund seeks daily
investment results, before fees and expenses, that correspond to one-half the

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inverse, or the inverse multiple of the daily performance of the Short-Term VIX
Index. Each VIX Fund intends to obtain exposure to its benchmark by investing
primarily in futures contracts ("VIX futures contracts") based on the Chicago
Board Options Exchange ("Cboe") Volatility Index (the "VIX").
ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural
Gas, ProShares Ultra Bloomberg Crude Oil, and ProShares Ultra Bloomberg Natural
Gas are benchmarked to Indices designed to track the performance of commodity
futures contracts, as applicable. The daily performance of these Indexes and the
corresponding Funds will likely be very different from the daily performance of
the price of the related physical commodities.
Liquidity and Capital Resources
In order to collateralize derivatives positions in indices, commodities or
currencies, a portion of the NAV of each Fund is held in cash and/or U.S.
Treasury securities, agency securities, or other high credit quality short term
fixed-income or similar securities (such as shares of money market funds, bank
deposits, bank money market accounts, certain variable rate-demand notes and
repurchase agreements collateralized by government securities, whether
denominated in U.S. dollars or the applicable foreign currency with respect to a
Currency Fund). A portion of these investments may be posted as collateral in
connection with swap agreements, futures, and/or forward contracts. The
percentage that U.S. Treasury bills and other short-term fixed-income securities
bear to the shareholders' equity of each Fund varies from period to period as
the market values of the underlying swaps, futures contracts and forward
contracts change. During the years ended December 31, 2020 and 2019, each of the
Funds earned interest income as follows:

                                                    Interest Income              Interest Income

                                                      Year Ended                   Year Ended

Fund                                               December 31, 2020            December 31, 2019
ProShares Short Euro                              $             8,193          $           314,021
ProShares Short VIX Short-Term Futures ETF                    941,584                    5,618,666
ProShares Ultra Bloomberg Crude Oil                         1,930,769                    7,627,706
ProShares Ultra Bloomberg Natural Gas                         206,527                      589,183
ProShares Ultra Euro                                           16,819                      121,071
ProShares Ultra Gold                                          594,847                    1,798,692
ProShares Ultra Silver                                      1,134,396                    3,823,565
ProShares Ultra VIX Short-Term Futures ETF                  1,707,491                    7,903,309
ProShares Ultra Yen                                             9,427                       78,463
ProShares UltraPro 3x Crude Oil ETF
*                                                             346,326                    2,114,130
ProShares UltraPro 3x Short Crude Oil ETF
*                                                             166,789                      562,435
ProShares UltraShort Australian Dollar                         20,907                      159,039
ProShares UltraShort Bloomberg Crude Oil                      268,844                    1,570,676
ProShares UltraShort Bloomberg Natural Gas                     59,046                      167,939
ProShares UltraShort Euro                                     499,520                    2,822,207
ProShares UltraShort Gold                                      67,722                      380,158
ProShares UltraShort Silver                                    52,402                      279,294
ProShares UltraShort Yen                                      139,822                    1,007,112
ProShares VIX
Mid-Term
Futures ETF                                                   214,449                      903,643
ProShares VIX Short-Term Futures ETF                        1,152,242                    4,458,270

* The operations include the activity of ProShares UltraPro 3x Crude Oil ETF

through April 3, 2020, and ProShares UltraPro 3x Short Crude Oil ETF through

April 13, 2020, the date of liquidation, respectively.

Each Fund's underlying swaps, futures, options, forward contracts and foreign
currency forward contracts, as applicable, may be subject to periods of
illiquidity because of market conditions, regulatory considerations and other
reasons. For example, swaps and forward contracts are not traded on an exchange,
do not have uniform terms and conditions, and in general are not transferable
without the consent of the counterparty. In the case of futures contracts,
commodity exchanges may limit fluctuations in certain futures contract prices
during a single day by regulations referred to as "daily limits." During a
single day, no futures trades may be executed at prices beyond the daily limit.
Once the price of a futures contract has increased or decreased by an amount
equal to the daily limit, positions in such futures contracts can neither be
taken nor liquidated unless the traders are willing to effect trades at or
within the limit. Futures contract prices have occasionally moved to the daily
limit for several consecutive days with little or no trading. Such market
conditions could prevent a Fund from promptly liquidating its futures positions.
Entry into swap agreements or forward contracts may further impact liquidity
because these contractual agreements are executed
"off-exchange"
between private parties and, therefore, the time required to offset or "unwind"
these positions may be greater than that for exchange-traded instruments. This
potential delay could be exacerbated to the extent a counterparty is not a
United States person.

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The large size of the positions in which a Fund may acquire increases the risk
of illiquidity by both making their positions more difficult to liquidate and
increasing the losses incurred while trying to do so. Any type of disruption or
illiquidity will potentially be exacerbated due to the fact that the Funds will
typically invest in Financial Investments related to one benchmark, which in
many cases is highly concentrated.
Because each Fund may enter into swaps and may trade futures and forward
contracts, its capital is at risk due to changes in the value of these contracts
(market risk) or the inability of counterparties to perform under the terms of
the contracts (credit risk).
Market Risk
Trading in derivatives contracts involves each Fund entering into contractual
commitments to purchase or sell a commodity, currency or spot volatility product
underlying such Fund's benchmark at a specified date and price, should it hold
such derivative contract into the deliverable period. Should a Fund enter into a
contractual commitment to sell a physical commodity, currency or spot volatility
product, it would be required to make delivery of that commodity, currency or
spot volatility product at the contract price and then repurchase the contract
at prevailing market prices or settle in cash. Since the repurchase price to
which the value of a commodity, currency or spot volatility product can rise is
unlimited, entering into commitments to sell commodities, currencies or spot
volatility products would expose a Fund to theoretically unlimited risk.
For more information, see "Item 7A. Quantitative and Qualitative Disclosures
About Market Risk" in this Annual Report on
Form 10-K.
Credit Risk
When a Fund enters into swap agreements, futures contracts or forward contracts,
the Fund is exposed to credit risk that the counterparty to the contract will
not meet its obligations.
The counterparty for futures contracts traded on United States and most foreign
futures exchanges as well as certain swaps is the clearing house associated with
the particular exchange. In general, clearing houses are backed by their
corporate members who may be required to share in the financial burden resulting
from the nonperformance by one of their members and, as such, should
significantly reduce this credit risk. In cases where the clearing house is not
backed by the clearing members (i.e., some foreign exchanges, which may become
applicable in the future), it may be backed by a consortium of banks or other
financial institutions.
Certain swap and forward agreements are contracted for directly with
counterparties. There can be no assurance that any counterparty, clearing member
or clearing house will meet its obligations to a Fund.
Swap agreements do not generally involve the delivery of underlying assets
either at the outset of a transaction or upon settlement. Accordingly, if the
counterparty to an OTC swap agreement defaults, the Fund's risk of loss
typically consists of the net amount of payments that the Fund is contractually
entitled to receive, if any. Swap counterparty risk is generally limited to the
amount of any unrealized gains, although in the event of a counterparty
bankruptcy, there could be delays and costs associated with the recovery of
collateral posted in segregated
tri-party
accounts at the Fund's custodian bank.
Forward agreements do not involve the delivery of assets at the onset of a
transaction, but may be settled physically in the underlying asset if such
contracts are held to expiration, particularly in the case of currency forwards.
Thus, prior to settlement, if the counterparty to a forward contract defaults, a
Fund's risk of loss will generally consist of the net amount of payments that
the Fund is contractually entitled to receive, if any. However, if physically
settled forwards are held until expiration (presently, there is no plan to do
this), at the time of settlement, a Fund may be at risk for the full notional
value of the forward contracts depending on the type of settlement procedures
used.
The Sponsor attempts to minimize certain of these market and credit risks by
normally:

        •    executing and clearing trades with creditworthy counterparties, as
             determined by the Sponsor;



  •   limiting the outstanding amounts due from counterparties to the Funds;



  •   not posting margin directly with a counterparty;



        •    requiring that the counterparty posts collateral in amounts
             approximately equal to that owed to the Funds, as marked to market
             daily, subject to certain minimum thresholds;



  •   limiting the amount of margin or premium posted at a FCM; and



        •    ensuring that deliverable contracts are not held to such a date when
             delivery of the underlying asset could be called for.



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Off-Balance
Sheet Arrangements and Contractual Obligations
As of February 11, 2021, the Funds have not used, nor do they expect to use in
the future, special purpose entities to facilitate
off-balance
sheet financing arrangements and have no loan guarantee arrangements or
off-balance
sheet arrangements of any kind other than agreements entered into in the normal
course of business, which may include indemnification provisions related to
certain risks service providers undertake in performing services which are in
the best interests of the Funds. While each Fund's exposure under such
indemnification provisions cannot be estimated, these general business
indemnifications are not expected to have a material impact on a Fund's
financial position.
Management fee payments made to the Sponsor are calculated as a fixed percentage
of each Fund's NAV. As such, the Sponsor cannot anticipate the payment amounts
that will be required under these arrangements for future periods as NAVs are
not known until a future date. The agreement with the Sponsor may be terminated
by either party upon 30 days written notice to the other party.
Critical Accounting Policies
Preparation of the financial statements and related disclosures in compliance
with accounting principles generally accepted in the United States of America
requires the application of appropriate accounting rules and guidance, as well
as the use of estimates. The Trust's and the Funds' application of these
policies involves judgments and actual results may differ from the estimates
used.
Each Fund has significant exposure to Financial Instruments. The Funds hold a
significant portion of their assets in swaps, futures, forward contracts or
foreign currency forward contracts, all of which are recorded on a trade date
basis and at fair value in the financial statements, with changes in fair value
reported in the Statements of Operations.
The use of fair value to measure Financial Instruments, with related unrealized
gains or losses recognized in earnings in each period, is fundamental to the
Trust's and the Funds' financial statements. The fair value of a Financial
Instrument is the amount that would be received to sell an asset or paid to
transfer a liability in an orderly transaction between market participants at
the measurement date (the exit price).
For financial reporting purposes, the Funds value investments based upon the
closing price in their primary markets. Accordingly, the investment valuations
in these financial statements may differ from those used in the calculation of
certain Funds' final creation/redemption NAV for the period ended December 31,
2020.
Short-term investments are valued at amortized cost which approximates fair
value for daily NAV purposes. For financial reporting purposes, short-term
investments are valued at their market price using information provided by a
third-party pricing service or market quotations.
Derivatives (e.g., futures contracts, options, swap agreements, forward
agreements and foreign currency forward contracts) are generally valued using
independent sources and/or agreements with counterparties or other procedures as
determined by the Sponsor. Futures contracts, except for those entered into by
the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued
at the last settled price on the applicable exchange on which that future
trades. Futures contracts entered into by the Gold, Silver, Australian Dollar
and Short Euro Funds are valued at the last sales price prior to the time at
which the NAV per Share of a Fund is determined. For financial reporting
purposes, all futures contracts are valued at last settled price. Futures
contracts valuations are typically categorized as Level I in the fair value
hierarchy. Swap agreements, forward agreements and foreign currency forward
contracts valuations are typically categorized as Level II in the fair value
hierarchy. The Sponsor may in its sole discretion choose to determine a fair
value price as the basis for determining the market value of such position. Such
fair value prices would be generally determined based on available inputs about
the current value of the underlying financial instrument or commodity and would
be based on principles that the Sponsor deems fair and equitable so long as such
principles are consistent with normal industry standards. The Sponsor may fair
value an asset of a Fund pursuant to the policies the Sponsor has adopted, which
are consistent with normal industry standards. Depending on the source and
relevant significance of valuation inputs, these instruments may be classified
as Level II or Level III in the fair value hierarchy.
Fair value pricing may require subjective determinations about the value of an
investment. While each Fund's policy is intended to result in a calculation of
the Fund's NAV that fairly reflects investment values as of the time of pricing,
the Funds cannot ensure that fair values determined by the Sponsor or persons
acting at their direction would accurately reflect the price that the Fund could
obtain for an investment if it were to dispose of that investment as of the time
of pricing (for instance, in a forced or distressed sale).
The prices used by a Fund may differ from the value that would be realized if
the investments were sold and the differences could be material to the financial
statements.
The Funds disclose the fair value of their investments in a hierarchy that
prioritizes the inputs to valuation techniques used to measure fair value.

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Discounts on short-term securities purchased are amortized and reflected as
Interest Income in the Statements of Operations.
Realized gains (losses) and changes in unrealized gain (loss) on open
investments are determined on a specific identification basis and recognized in
the Statements of Operations in the period in which the contract is closed or
the changes occur, respectively.
Each Fund pays its respective brokerage commissions, including applicable
exchange fees, NFA fees, give up fees, pit brokerage fees and other transaction
related fees and expenses charged in connection with trading activities for each
Fund's investment in U.S. Commodity Futures Trading Commission regulated
investments. Brokerage commissions on futures contracts are recognized on a
half-turn basis. The Sponsor is currently paying brokerage commissions in VIX
futures contracts for the Matching VIX Funds that exceed variable create/redeem
fees collected by more than 0.02% of the Matching VIX Fund's average net assets
annually.
Results of Operations for the Year Ended December 31, 2020 Compared to the Year
Ended December 31, 2019
For discussion of 2019 results and comparison with 2018 results refer to
"Management's Discussion and Analysis of Financial Conditions and Results of
Operations" in our Annual Report on Form
10-K
for the fiscal year ended December 31, 2019.
ProShares Short Euro
Fund Performance
The following table provides summary performance information for the Fund for
the years ended December 31, 2020 and 2019:

                                                   Year Ended                     Year Ended
                                                December 31, 2020              December 31, 2019
NAV beginning of period                        $         2,282,195            $         8,619,686
NAV end of period                              $         4,191,955            $         2,282,195
Percentage change in NAV                                      83.7 %                        (73.5 )%
Shares outstanding beginning of period                      50,000                        200,000
Shares outstanding end of period                           100,000                         50,000
Percentage change in shares outstanding                      100.0 %                        (75.0 )%
Shares created                                              50,000                        300,000
Shares redeemed                                                 -                         450,000
Per share NAV beginning of period              $             45.64            $             43.10
Per share NAV end of period                    $             41.92            $             45.64
Percentage change in per share NAV                            (8.2 )%                         5.9 %
Percentage change in benchmark                                 8.9 %                         (2.1 )%
Benchmark annualized volatility                                7.5 %                          5.1 %


During the year ended December 31, 2020, the increase in the Fund's NAV resulted
primarily from an increase from 50,000 outstanding Shares at December 31, 2019
to 100,000 outstanding Shares at December 31, 2020. The increase in the Fund's
NAV was offset by the cumulative effect of the Fund seeking daily investment
results, before fees and expenses, that correspond to the inverse
(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar.
By comparison, during the year ended December 31, 2019, the decrease in the
Fund's NAV resulted primarily from a decrease from 200,000 outstanding Shares at
December 31, 2018 to 50,000 outstanding Shares at December 31, 2019. The
decrease in the Fund's NAV was offset by the cumulative effect of the Fund
seeking daily investment results, before fees and expenses, that correspond to
the inverse
(-1x)
of the daily performance of the spot price of the euro versus the U.S. dollar.
For the years ended December 31, 2020 and 2019, the Fund's daily performance had
a statistical correlation over 0.99 of the inverse of the daily performance of
its benchmark. The Fund's per Share NAV decrease of 8.2% for the
year ended December 31, 2020, as compared to the Fund's per Share NAV
increase of 5.9% for the year ended December 31, 2019, was primarily due to
depreciation in the value of the assets held by the Fund during the year ended
December 31, 2020.
The benchmark's rise of 8.9% for the year ended December 31, 2020, as compared
to the benchmark's decline of 2.1% for the year ended December 31, 2019, can be
attributed to an increase in the value of the euro versus the U.S. dollar during
the year ended December 31, 2020.

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Net Income/Loss
The following table provides summary income information for the Fund for the
years ended December 31, 2020 and 2019:

                                                  Year Ended                   Year Ended
                                               December 31, 2020            December 31, 2019
Net investment income (loss)                  $           (16,777 )        $           176,251
Management fee                                             24,443                      135,292
Brokerage commissions                                         448                        2,478
Non-recurring
fees and expenses                                              79                           -
Net realized gain (loss)                                 (200,965 )                    973,665
Change in net unrealized appreciation
(depreciation)                                            (30,656 )                     29,313
Net income (loss)                             $          (248,398 )        $         1,179,229


The Fund's net income decreased for the year ended December 31, 2020 as compared
to the year ended December 31, 2019, primarily due to an increase in the value
of the euro versus the U.S. dollar during the year ended December 31, 2020.
ProShares Short VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for
the years ended December 31, 2020 and 2019:

                                                  Year Ended                    Year Ended
                                               December 31, 2020             December 31, 2019
NAV beginning of period                       $       284,437,179           $       344,596,263
NAV end of period                             $       409,371,468           $       284,437,179
Percentage change in NAV                                     43.9 %                       (17.5 )%
Shares outstanding beginning of period                  4,334,307                     8,134,307
Shares outstanding end of period                        9,884,307                     4,334,307
Percentage change in shares outstanding                     128.0 %                       (46.7 )%
Shares created                                         27,050,000                     1,500,000
Shares redeemed                                        21,500,000                     5,300,000
Per share NAV beginning of period             $             65.62           $             42.36
Per share NAV end of period                   $             41.42           $             65.62
Percentage change in per share NAV                          (36.9 )%                       54.9 %
Percentage change in benchmark                               13.2 %                       (67.8 )%
Benchmark annualized volatility                             102.6 %                        60.4 %


On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the
Chicago Board Options Exchange) changed the settlement time for the VIX futures
contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m.
(Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices
revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Short VIX Short-Term
Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts
and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV
calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time).
Additional information about the calculation of NAV is included in the Fund's
Prospectus.
During the year ended December 31, 2020, the increase in the Fund's NAV resulted
primarily from an increase from 4,334,307 outstanding Shares at December 31,
2019 to 9,884,307 outstanding Shares at December 31, 2020. The increase in the
Fund's NAV was offset by the cumulative effect of the Fund seeking daily
investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index. By
comparison, during the year ended December 31, 2019, the decrease in the Fund's
NAV resulted primarily from a decrease from 8,134,307 outstanding Shares at
December 31, 2018 to 4,334,307 outstanding Shares at December 31, 2019. The
decrease in the Fund's NAV was offset by the cumulative effect of the Fund
seeking daily investment results, before fees and expenses, that correspond to
one-half
the inverse
(-0.5x)
of the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the years ended December 31, 2020 and 2019, the Fund's daily performance had
a statistical correlation over 0.99 to 0.5x of the inverse of the daily
performance of its benchmark. The Fund's per Share NAV decrease of 36.9% for the
year ended December 31, 2020, as compared to the Fund's per Share NAV
increase of 54.9% for the year ended December 31, 2019, was primarily due to
depreciation in the value of the assets held by the Fund during the year ended
December 31, 2020.

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The benchmark's rise of 13.2% for the year ended December 31, 2020, as compared
to the benchmark's decline of 67.8% for the year ended December 31, 2019, can be
attributed to an increase in the value of futures prices during the year ended
December 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the
years ended December 31, 2020 and 2019:

                                                   Year Ended                 Year Ended
                                                December 31, 2020          December 31, 2019
Net investment income (loss)                   $        (5,269,562 )      $         1,162,163
Management fee                                           4,469,701                  3,333,950
Brokerage commissions                                      712,651                    723,282
Non-recurring
fees and expenses                                           23,391                    398,550
Net realized gain (loss)                               (72,610,082 )              125,641,839
Change in net unrealized appreciation
(depreciation)                                          (1,907,863 )               24,733,759
Net income (loss)                              $       (79,787,507 )      $       151,537,761


The Fund's net income decreased for the year ended December 31, 2020 as compared
to the year ended December 31, 2019, primarily due to an increase in the value
of the futures prices during the year ended December 31, 2020.
ProShares Ultra Bloomberg Crude Oil
*
Fund Performance
The following table provides summary performance information for the Fund for
the years ended December 31, 2020 and 2019:

                                                  Year Ended                    Year Ended
                                               December 31, 2020             December 31, 2019
NAV beginning of period                       $       309,844,582           $       368,399,654
NAV end of period                             $       902,739,250           $       309,844,582
Percentage change in NAV                                    191.4 %                       (15.9 )%
Shares outstanding beginning of period                    608,453                     1,128,453
Shares outstanding end of period                       24,810,774                       608,453
Percentage change in shares outstanding                   3,977.7 %                       (46.1 )%
Shares created                                        120,812,000                     1,362,000
Shares redeemed                                        96,609,679                     1,882,000
Per share NAV beginning of period             $            509.23           $            326.46
Per share NAV end of period                   $             36.38           $            509.23
Percentage change in per share NAV                          (92.9 )%                       56.0 %
Percentage change in benchmark                              (24.1 )%                       34.4 %
Benchmark annualized volatility                              80.1 %                        33.7 %


On June 25, 2020, the Trust announced that the ProShares Ultra Bloomberg Crude
Oil would change its benchmark. The ProShares Ultra Bloomberg Crude Oil struck
its NAV using its new benchmark for the first time on September 17, 2020. The
new benchmark for the ProShares Ultra Bloomberg Crude Oil is the Bloomberg
Commodity Balanced WTI Crude Oil Index
SM
(the "New Benchmark", ticker: BCBCLI Index). Prior to September 17, 2020, the
benchmark for the ProShares Ultra Bloomberg Crude Oil was the Bloomberg WTI
Crude Oil Subindex
SM
. The investment objective of Fund is to seek daily investment results, before
fees and expenses, that correspond to two times (2x) of the daily performance of
the New Benchmark.
The New Benchmark aims to track the performance of three separate contract
schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are
equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in
March and September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month
this portion of the New Benchmark rolls from the current futures contract
(called "Lead" by Bloomberg, and which expires one month out) into the following
month's contract (called "Next" by Bloomberg and which expires two months out).
The second portion of the New Benchmark is always designated to be in a June
contract, and follows an annual roll schedule in March of each year in which the
June contract expiring in the current year is rolled into the June contract
expiring the following year. The remaining portion is always designated to be in
a December contract, and follows an annual roll schedule in September of each
year in which the December contract expiring in the current year is rolled into
the December contract expiring the following year. The weighting (i.e.,
percentage) of each of the three contract schedules included in the New
Benchmark fluctuates above or below one third between the semi-annual reset
dates due to changing futures prices and the impact of rolling the futures
positions. As a result, the weighting of each contract in the New Benchmark will
"drift" away from equal weighting. The New Benchmark reflects the cost of
rolling the futures contracts

                                       77

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  Table of Contents
included in the New Benchmark, without regard to income earned on cash
positions. The New Benchmark is not linked to the "spot" price of WTI crude oil.
During the year ended December 31, 2020, the increase in the Fund's NAV resulted
primarily from an increase from 608,453 outstanding Shares at December 31, 2019
to 24,810,774 outstanding Shares at December 31, 2020. The increase in the
Fund's NAV was offset by the cumulative effect of the Fund seeking daily
investment results, before fees and expenses, that correspond to two times (2x)
the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
through September 16, 2020 and the Bloomberg Commodity Balance WTI Crude Oil
Index
SM
from September 17, 2020 through December 31, 2020. By comparison, during the
year ended December 31, 2019, the decrease in the Fund's NAV resulted primarily
from a decrease from 1,128,453 outstanding Shares at December 31, 2018 to
608,453 outstanding Shares at December 31, 2019. The decrease in the Fund's NAV
was offset by the cumulative effect of the Fund seeking daily investment
results, before fees and expenses, that correspond to two times (2x) the daily
performance of the Bloomberg WTI Crude Oil Subindex
SM
.
For the year ended December 31, 2020, the Fund's Daily performance had a
statistical correlation over 0.92 to 2x of the daily performance of its
benchmark. For the year ended December 31, 2019, the Fund's daily performance
had a statistical correlation over 0.99 to 2x of the daily performance of its
benchmark. The Fund's per Share NAV decrease of 92.9% for the
year ended December 31, 2020, as compared to the Fund's per Share NAV
increase of 56.0% for the year ended December 31, 2019, was primarily due to
depreciation in the value of the assets held by the Fund during the year ended
December 31, 2020.
The new benchmark's decline of 24.1% for the year ended December 31, 2020, as
compared to the former Bloomberg WTI Crude Oil Subindex
SM
benchmark's rise of 34.4% for the year ended December 31, 2019, can be
attributed to a decrease in the value of WTI Crude Oil during the year ended
December 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the
years ended December 31, 2020 and 2019:

                                                   Year Ended                 Year Ended
                                                December 31, 2020          December 31, 2019
Net investment income (loss)                   $       (11,023,311 )      $         3,864,584
Management fee                                           9,256,478                  3,612,580
Brokerage commissions                                    2,144,028                    150,542
Non-recurring
fees and expenses                                           61,679                         -
Net realized gain (loss)                              (688,299,044 )              144,188,809
Change in net unrealized appreciation
(depreciation)                                         140,214,372                109,396,338
Net income (loss)                              $      (559,107,983 )      $       257,449,731

The Fund's net income decreased for the year ended December 31, 2020 as compared to the year ended December 31, 2019, primarily due to a decrease in the value of the WTI Crude Oil during the year ended December 31, 2020.

* See Note 1 of the Notes to Financial Statements in Item 15 of part IV in this

Annual Report on Form

10-K

regarding the reverse Share split for the ProShares Ultra Bloomberg Crude Oil.

--------------------------------------------------------------------------------


  Table of Contents
ProShares Ultra Bloomberg Natural Gas
*
Fund Performance
The following table provides summary performance information for the Fund for
the years ended December 31, 2020 and 2019:

                                                  Year Ended                    Year Ended
                                               December 31, 2020             December 31, 2019
NAV beginning of period                       $        45,160,205           $        14,617,440
NAV end of period                             $       169,800,371           $        45,160,205
Percentage change in NAV                                    276.0 %                       208.9 %
Shares outstanding beginning of period                    537,815                        57,815
Shares outstanding end of period                        8,087,527                       537,815
Percentage change in shares outstanding                   1,403.8 %                       830.2 %
Shares created                                         16,685,000                       825,000
Shares redeemed                                         9,135,288                       345,000
Per share NAV beginning of period             $             83.97           $            252.83
Per share NAV end of period                   $             21.00           $             83.97
Percentage change in per share NAV                          (75.0 )%                      (66.8 )%
Percentage change in benchmark                              (42.0 )%                      (37.2 )%
Benchmark annualized volatility                              52.7 %                        36.1 %


During the year ended December 31, 2020, the increase in the Fund's NAV resulted
primarily from an increase from 537,815 outstanding Shares at December 31, 2019
to 8,087,527 outstanding Shares at December 31, 2020. The increase in the Fund's
NAV was offset by the cumulative effect of the Fund seeking daily investment
results, before fees and expenses, that correspond to two times (2x) the daily
performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the year ended December 31, 2019, the increase in the
Fund's NAV resulted primarily from an increase from 57,815 outstanding Shares at
December 31, 2018 to 537,815 outstanding Shares at December 31, 2019. The
increase in the Fund's NAV was offset by the cumulative effect of the Fund
seeking daily investment results, before fees and expenses, that correspond to
two times (2x) the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the years ended December 31, 2020 and 2019, the Fund's daily performance had
a statistical correlation over 0.99 to 2x of the daily performance of its
benchmark. The Fund's per Share NAV decrease of 75.0% for the
year ended December 31, 2020, as compared to the Fund's per Share NAV
decrease of 66.8% for the year ended December 31, 2019, was primarily due to
greater depreciation in the value of the assets held by the Fund during the year
ended December 31, 2020.
The benchmark's decline of 42.0% for the year ended December 31, 2020, as
compared to the benchmark's decline of 37.2% for the year ended December 31,
2019, can be attributed to a greater decrease in the value of Henry Hub Natural
Gas during the year ended December 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the
years ended December 31, 2020 and 2019:

                                                  Year Ended                 Year Ended
                                               December 31, 2020          December 31, 2019
Net investment income (loss)                  $          (939,900 )      $           162,388
Management fee                                            674,810                    297,043
Brokerage commissions                                     377,630                    129,752
Non-recurring
fees and expenses                                           1,545                         -
Net realized gain (loss)                              (53,326,797 )              (32,380,218 )
Change in net unrealized appreciation
(depreciation)                                          9,151,863                  7,672,614
Net income (loss)                             $       (45,114,834 )      $       (24,545,216 )

The Fund's net income decreased for the year ended December 31, 2020 as compared to the year ended December 31, 2019, primarily due to a greater decrease in the value of the Henry Hub Natural Gas during the year ended December 31, 2020.

* See Note 1 of the Notes to Financial Statements in Item 15 of part IV in this

Annual Report on Form

10-K

regarding the reverse Share split for the ProShares Ultra Bloomberg Natural

--------------------------------------------------------------------------------


  Table of Contents
ProShares Ultra Euro
Fund Performance
The following table provides summary performance information for the Fund for
the years ended December 31, 2020 and 2019:

                                                   Year Ended                     Year Ended
                                                December 31, 2020              December 31, 2019
NAV beginning of period                        $         6,204,424            $         7,544,569
NAV end of period                              $         4,737,350            $         6,204,424
Percentage change in NAV                                     (23.6 )%                       (17.8 )%
Shares outstanding beginning of period                     450,000                        500,000
Shares outstanding end of period                           300,000                        450,000
Percentage change in shares outstanding                      (33.3 )%                       (10.0 )%
Shares created                                             250,000                        100,000
Shares redeemed                                            400,000                        150,000
Per share NAV beginning of period              $             13.79            $             15.09
Per share NAV end of period                    $             15.79            $             13.79
Percentage change in per share NAV                            14.5 %                         (8.6 )%
Percentage change in benchmark                                 8.9 %                         (2.1 )%
Benchmark annualized volatility                                7.5 %                          5.1 %


During the year ended December 31, 2020, the decrease in the Fund's NAV resulted
primarily from a decrease from 450,000 outstanding Shares at December 31, 2019
to 300,000 outstanding Shares at December 31, 2020. The decrease in the Fund's
NAV was offset by the cumulative effect of the Fund seeking daily investment
results, before fees and expenses, that correspond to two times (2x) the daily
performance of the spot price of the euro versus the U.S. dollar. By comparison,
during the year ended December 31, 2019, the decrease in the Fund's NAV resulted
primarily from a decrease from 500,000 outstanding Shares at December 31, 2018
to 450,000 outstanding Shares at December 31, 2019. The decrease in the Fund's
NAV also resulted in part from the cumulative effect of the Fund seeking daily
investment results, before fees and expenses, that correspond to two times (2x)
the daily performance of the spot price of the euro versus the U.S. dollar.
For the years ended December 31, 2020 and 2019, the Fund's daily performance had
a statistical correlation over 0.99 to 2x of the daily performance of its
benchmark. The Fund's per Share NAV increase of 14.5% for the
year ended December 31, 2020, as compared to the Fund's per Share NAV
decrease of 8.6% for the year ended December 31, 2019, was primarily due to an
appreciation in the value of the assets held by the Fund during the year ended
December 31, 2020.
The benchmark's rise of 8.9% for the year ended December 31, 2020, as compared
to the benchmark's decline of 2.1% for the year ended December 31, 2019, can be
attributed to an increase in the value of the euro versus the U.S. dollar during
the year ended December 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the
years ended December 31, 2020 and 2019:

                                                  Year Ended                   Year Ended
                                               December 31, 2020            December 31, 2019
Net investment income (loss)                  $           (27,606 )        $            58,528
Management fee                                             44,302                       62,543

Non-recurring


fees and expenses                                             123                           -
Net realized gain (loss)                                  504,035                     (722,691 )
Change in net unrealized appreciation
(depreciation)                                            (21,469 )                     52,274
Net income (loss)                             $           454,960          $          (611,889 )

The Fund's net income increased for the year ended December 31, 2020 as compared to the year ended December 31, 2019, primarily due to an increase in the value of the euro versus the U.S. dollar during the year ended December 31, 2020.

--------------------------------------------------------------------------------


  Table of Contents
ProShares Ultra Gold
Fund Performance
The following table provides summary performance information for the Fund for
the years ended December 31, 2020 and 2019:

                                                   Year Ended                  Year Ended
                                                December 31, 2020           December 31, 2019
NAV beginning of period                        $       110,726,032         $        83,523,294
NAV end of period                              $       263,540,473         $       110,726,032
Percentage change in NAV                                     138.0 %                      32.6 %
Shares outstanding beginning of period                   2,250,000                   2,250,000
Shares outstanding end of period                         3,900,000                   2,250,000
Percentage change in shares outstanding                       73.3 %                        -  %
Shares created                                           3,500,000                     900,000
Shares redeemed                                          1,850,000                     900,000
Per share NAV beginning of period              $             49.21         $             37.12
Per share NAV end of period                    $             67.57         $             49.21
Percentage change in per share NAV                            37.3 %                      32.6 %
Percentage change in benchmark                                20.9 %                      18.0 %
Benchmark annualized volatility                               21.5 %                      11.5 %


On December 20, 2018, the Trust announced that the ProShares Ultra Gold Fund
would change its benchmark to the Bloomberg Gold Subindex (ticker: BCOMGC). The
ProShares Ultra Gold Fund struck its NAV using its new benchmark for the first
time on January 7, 2019. Previously, the benchmark for the ProShares Ultra Gold
Fund was the LBMA Gold Price PM.
During the year ended December 31, 2020, the increase in the Fund's NAV resulted
primarily from an increase from 2,250,000 outstanding Shares at December 31,
2019 to 3,900,000 outstanding Shares at December 31, 2020. The increase in the
Fund's NAV also resulted in part from the cumulative effect of the Fund seeking
daily investment results, before fees and expenses, that correspond to two times
(2x) the daily performance of the Bloomberg Gold Subindex
SM
. By comparison, during the year ended December 31, 2019, the increase in the
Fund's NAV resulted primarily from the cumulative effect of the Fund seeking
daily investment results, before fees and expenses, that correspond to two times
(2x) the daily performance of the Bloomberg Gold Subindex
SM
. There was no net change in the Fund's outstanding Shares from December 31,
2018 to December 31, 2019.
For the years ended December 31, 2020 and 2019, the Fund's daily performance had
a statistical correlation over 0.99 to 2x of the daily performance of its
benchmark. The Fund's per Share NAV increase of 37.3% for the
year ended December 31, 2020, as compared to the Fund's per Share NAV
increase of 32.6% for the year ended December 31, 2019, was primarily due to
greater appreciation in the value of the assets held by the Fund during the year
ended December 31, 2020.
The benchmark's rise of 20.9% for the year ended December 31, 2020, as compared
to the benchmark's rise of 18.0% for the year ended December 31, 2019, can be
attributed to a greater increase in the value of futures prices during the year
ended December 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the
years ended December 31, 2020 and 2019:

                                                   Year Ended                  Year Ended
                                                December 31, 2020           December 31, 2019
Net investment income (loss)                   $        (1,424,530 )       $           902,937
Management fee                                           1,916,092                     884,410
Brokerage commissions                                       39,462                      11,345
Non-recurring
fees and expenses                                            4,754                          -
Net realized gain (loss)                                35,452,046                  19,588,339
Change in net unrealized appreciation
(depreciation)                                            (353,150 )                 3,815,690
Net income (loss)                              $        33,674,366         $        24,306,966

The Fund's net income increased for the year ended December 31, 2020 as compared to the year ended December 31, 2019, primarily due to a greater increase in the value of futures prices during the year ended December 31, 2020.

--------------------------------------------------------------------------------


  Table of Contents
ProShares Ultra Silver
Fund Performance
The following table provides summary performance information for the Fund for
the years ended December 31, 2020 and 2019:

                                                   Year Ended                  Year Ended
                                                December 31, 2020           December 31, 2019
NAV beginning of period                        $       239,254,842         $       201,824,376
NAV end of period                              $       745,304,028         $       239,254,842
Percentage change in NAV                                     211.5 %                      18.5 %
Shares outstanding beginning of period                   7,546,526                   7,646,526
Shares outstanding end of period                        14,696,526                   7,546,526
Percentage change in shares outstanding                       94.7 %                      (1.3 )%
Shares created                                          13,500,000                   2,300,000
Shares redeemed                                          6,350,000                   2,400,000
Per share NAV beginning of period              $             31.70         $             26.39
Per share NAV end of period                    $             50.71         $             31.70
Percentage change in per share NAV                            60.0 %                      20.1 %
Percentage change in benchmark                                42.5 %                      13.9 %
Benchmark annualized volatility                               46.1 %                      19.6 %


On December 20, 2018, the Trust announced that the ProShares Ultra Silver Fund
would change its benchmark to the Bloomberg Silver Subindex (ticker: BCOMSI).
The ProShares Ultra Silver Fund struck its NAV using its new benchmark for the
first time on January 7, 2019. Previously, the benchmark for the ProShares Ultra
Silver Fund was the London Silver Price.
During the year ended December 31, 2020, the increase in the Fund's NAV resulted
primarily from an increase from 7,546,526 outstanding Shares at December 31,
2019 to 14,696,526 outstanding Shares at December 31, 2020. The increase in the
Fund's NAV also resulted in part from the cumulative effect of the Fund seeking
daily investment results, before fees and expenses, that correspond to two times
(2x) the daily performance of the Bloomberg Silver Subindex
SM
. By comparison, during the year ended December 31, 2019, the increase in the
Fund's NAV resulted primarily from the cumulative effect of the Fund seeking
daily investment results, before fees and expenses, that correspond to two times
(2x) the daily performance of the Bloomberg Silver Subindex
SM
. The increase in the Fund's NAV was offset by a decrease from 7,646,526
outstanding Shares at December 31, 2018 to 7,546,526 outstanding Shares at
December 31, 2019.
For the years ended December 31, 2020 and 2019, the Fund's daily performance had
a statistical correlation over 0.99 to 2x of the daily performance of its
benchmark. The Fund's per Share NAV increase of 60.0% for the
year ended December 31, 2020, as compared to the Fund's per Share NAV
increase of 20.1% for the year ended December 31, 2019, was primarily due to
greater appreciation in the value of the assets held by the Fund during the year
ended December 31, 2020.
The benchmark's rise of 42.5% for the year ended December 31, 2020, as compared
to the benchmark's rise of 13.9% for the year ended December 31, 2019, can be
attributed to a greater increase in the value of futures prices during the year
ended December 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the
years ended December 31, 2020 and 2019:

                                                   Year Ended                 Year Ended
                                                December 31, 2020          December 31, 2019
Net investment income (loss)                   $        (3,174,045 )      $         1,856,270
Management fee                                           3,944,697                  1,928,478
Brokerage commissions                                      141,650                     38,814
Non-recurring
fees and expenses                                            6,303                         -
Net realized gain (loss)                               147,215,471                 34,374,143
Change in net unrealized appreciation
(depreciation)                                          63,082,149                  4,223,101
Net income (loss)                              $       207,123,575        $        40,453,514

--------------------------------------------------------------------------------


  Table of Contents
ProShares Ultra VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for
the years ended December 31, 2020 and 2019:

                                                  Year Ended                   Year Ended
                                               December 31, 2020            December 31, 2019
NAV beginning of period                       $       527,636,003          $       214,304,871
NAV end of period                             $     1,356,204,199          $       527,636,003
Percentage change in NAV                                    157.0 %                      146.2 %
Shares outstanding beginning of period                 41,630,912                    2,630,912
Shares outstanding end of period                      127,130,912                   41,630,912
Percentage change in shares outstanding                     205.4 %                    1,482.4 %
Shares created                                        154,050,000                   83,750,000
Shares redeemed                                        68,550,000                   44,750,000
Per share NAV beginning of period             $             12.67          $             81.46
Per share NAV end of period                   $             10.67          $             12.67
Percentage change in per share NAV                          (15.8 )%                     (84.4 )%
Percentage change in benchmark                               13.2 %                      (67.8 )%
Benchmark annualized volatility                             102.6 %                       60.4 %


On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the
Chicago Board Options Exchange) changed the settlement time for the VIX futures
contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m.
(Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices
revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares Ultra VIX Short-Term
Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts
and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV
calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time).
Additional information about the calculation of NAV is included in the Fund's
Prospectus.
During the year ended December 31, 2020, the increase in the Fund's NAV resulted
primarily from an increase from 41,630,912 outstanding Shares at December 31,
2019 to 127,130,912 outstanding Shares at December 31, 2020. The increase in the
Fund's NAV also resulted in part from the timing of shareholder activity, which
was offset by the cumulative effect of the Fund seeking daily investment
results, before fees and expenses, that correspond to one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.
By comparison, during the year ended December 31, 2019, the increase in the
Fund's NAV resulted primarily from an increase from 2,630,912 outstanding Shares
at December 31, 2018 to 41,630,912 outstanding Shares at December 31, 2019. The
increase in the Fund's NAV was offset by the cumulative effect of the Fund
seeking daily investment results, before fees and expenses, that correspond to
one and
one-half
times (1.5x) the daily performance of the S&P 500 VIX Short-Term Futures Index.
For the years ended December 31, 2020 and 2019, the Fund's daily performance had
a statistical correlation over 0.99 to 1.5x of the daily performance of its
benchmark. The Fund's per Share NAV decrease of 15.8% for the
year ended December 31, 2020, as compared to the Fund's per Share NAV
decrease of 84.4% for the year ended December 31, 2019, was primarily due to
lesser depreciation in the value of the assets held by the Fund during the year
ended December 31, 2020.
The benchmark's rise of 13.2% for the year ended December 31, 2020, as compared
to the benchmark's decline of 67.8% for the year ended December 31, 2019, can be
attributed to an increase in the value of futures prices during the year ended
December 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the
years ended December 31, 2020 and 2019:

                                                  Year Ended                 Year Ended
                                               December 31, 2020          December 31, 2019
Net investment income (loss)                  $       (13,623,881 )      $            95,052
Management fee                                          8,835,385                  4,819,171
Brokerage commissions                                   3,620,606                  2,936,813
Non-recurring
fees and expenses                                          15,297                     27,508
Net realized gain (loss)                             (632,242,038 )             (612,840,041 )
Change in net unrealized appreciation
(depreciation)                                         (1,950,460 )              (77,766,851 )
Net income (loss)                             $      (647,816,379 )      $      (690,511,840 )

--------------------------------------------------------------------------------


  Table of Contents
ProShares Ultra Yen
Fund Performance
The following table provides summary performance information for the Fund for
the years ended December 31, 2020 and 2019:

                                                   Year Ended                     Year Ended
                                                December 31, 2020              December 31, 2019
NAV beginning of period                        $         5,580,964            $         5,751,716
NAV end of period                              $         2,989,499            $         5,580,964
Percentage change in NAV                                     (46.4 )%                        (3.0 )%
Shares outstanding beginning of period                      99,970                         99,970
Shares outstanding end of period                            49,970                         99,970
Percentage change in shares outstanding                      (50.0 )%                          -  %
Shares created                                                  -                         200,000
Shares redeemed                                             50,000                        200,000
Per share NAV beginning of period              $             55.83            $             57.53
Per share NAV end of period                    $             59.83            $             55.83
Percentage change in per share NAV                             7.2 %                         (3.0 )%
Percentage change in benchmark                                 5.2 %                          0.9 %
Benchmark annualized volatility                                9.3 %                          5.7 %


During the year ended December 31, 2020, the decrease in the Fund's NAV resulted
primarily from a decrease from 99,970 outstanding Shares at December 31, 2019 to
49,970 outstanding Shares at December 31, 2020. The decrease in the Fund's NAV
was offset by the cumulative effect of the Fund seeking daily investment
results, before fees and expenses, that correspond to two times (2x) the daily
performance of the spot price of the Japanese yen versus the U.S. dollar. By
comparison, during the year ended December 31, 2019, the decrease in the Fund's
NAV resulted primarily from the cumulative effect of the Fund seeking daily
investment results, before fees and expenses, that correspond to two times (2x)
the daily performance of the spot price of the Japanese yen versus the U.S.
dollar. There was no net change in the Fund's outstanding Shares from
December 31, 2018 to December 31, 2019.
For the years ended December 31, 2020 and 2019, the Fund's daily performance had
a statistical correlation over 0.99 to 2x of the daily performance of its
benchmark. The Fund's per Share NAV increase of 7.2% for the year ended December
31, 2020, as compared to the Fund's per Share NAV decrease of 3.0% for the year
ended December 31, 2019, was primarily due to appreciation in the value of the
assets held by the Fund during the year ended December 31, 2020.
The benchmark's rise of 5.2% for the year ended December 31, 2020, as compared
to the benchmark's rise of 0.9% for the year ended December 31, 2019, can be
attributed to a greater increase in the value of the Japanese yen versus the
U.S. dollar during the year ended December 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the
years ended December 31, 2020 and 2019:

                                                  Year Ended                    Year Ended
                                               December 31, 2020             December 31, 2019
Net investment income (loss)                  $           (18,317 )         $            38,514
Management fee                                             27,655                        39,949

Non-recurring


fees and expenses                                              89                            -
Net realized gain (loss)                                   95,324                        57,990
Change in net unrealized appreciation
(depreciation)                                             77,542                      (187,566 )
Net income (loss)                             $           154,549           $           (91,062 )

The Fund's net income increased for the year ended December 31, 2020 as compared to the year ended December 31, 2019, primarily due to a greater increase in the value of the Japanese yen versus the U.S. dollar during the year ended December 31, 2020.

--------------------------------------------------------------------------------


  Table of Contents
ProShares UltraShort Australian Dollar
Fund Performance
The following table provides summary performance information for the Fund for
the years ended December 31, 2020 and 2019:

                                                   Year Ended                    Year Ended
                                                December 31, 2020             December 31, 2019
NAV beginning of period                        $         5,608,612           $        11,060,333
NAV end of period                              $         2,222,639           $         5,608,612
Percentage change in NAV                                     (60.4 )%                      (49.3 )%
Shares outstanding beginning of period                     100,000                       200,000
Shares outstanding end of period                            50,000                       100,000
Percentage change in shares outstanding                      (50.0 )%                      (50.0 )%
Shares created                                                  -                         50,000
Shares redeemed                                             50,000                       150,000
Per share NAV beginning of period              $             56.09           $             55.30
Per share NAV end of period                    $             44.45           $             56.09
Percentage change in per share NAV                           (20.8 )%                        1.4 %
Percentage change in benchmark                                 9.9 %                        (0.4 )%
Benchmark annualized volatility                               12.1 %                         6.9 %


During the year ended December 31, 2020, the decrease in the Fund's NAV resulted
primarily from a decrease from 100,000 outstanding Shares at December 31, 2019
to 50,000 outstanding Shares at December 31, 2020. The decrease in the Fund's
NAV also resulted in part from the cumulative effect of the Fund seeking daily
investment results, before fees and expenses, that correspond to two times the
inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the
U.S. dollar. By comparison, during the year ended December 31, 2019, the
decrease in the Fund's NAV resulted primarily from a decrease from 200,000
outstanding Shares at December 31, 2018 to 100,000 outstanding Shares at
December 31, 2019. The decrease in the Fund's NAV was partially offset by the
cumulative effect of the Fund seeking daily investment results, before fees and
expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Australian dollar versus the
U.S. dollar.
For the years ended December 31, 2020 and 2019, the Fund's daily performance had
a statistical correlation over 0.99 to 2x the inverse of the daily performance
of its benchmark. The Fund's per Share NAV decrease of 20.8% for the
year ended December 31, 2020, as compared to the Fund's per Share NAV
increase of 1.4% for the year ended December 31, 2019, was primarily due to
depreciation in the value of the assets held by the Fund during the year ended
December 31, 2020.
The benchmark's rise of 9.9% for the year ended December 31, 2020, as compared
to the benchmark's decline of 0.4% for the year ended December 31, 2019, can be
attributed to an increase in the value of the Australian dollar versus the U.S.
dollar during the year ended December 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the
years ended December 31, 2020 and 2019:

                                                  Year Ended                   Year Ended
                                               December 31, 2020            December 31, 2019
Net investment income (loss)                  $           (36,668 )        $            80,325
Management fee                                             52,950                       72,858
Brokerage commissions                                       4,429                        5,856
Non-recurring
fees and expenses                                             196                           -
Net realized gain (loss)                               (1,032,184 )                    833,199
Change in net unrealized appreciation
(depreciation)                                             84,844                     (735,608 )
Net income (loss)                             $          (984,008 )        $           177,916

The Fund's net income decreased for the year ended December 31, 2020 as compared to the year ended December 31, 2019, primarily due to an increase in the value of the Australian dollar versus the U.S. dollar during the year ended December 31, 2020.

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ProShares UltraShort Bloomberg Crude Oil
Fund Performance
The following table provides summary performance information for the Fund for
the years ended December 31, 2020 and 2019:

                                                  Year Ended                    Year Ended
                                               December 31, 2020             December 31, 2019
NAV beginning of period                       $       125,451,681           $       114,377,311
NAV end of period                             $        96,839,233           $       125,451,681
Percentage change in NAV                                    (22.8 )%                        9.7 %
Shares outstanding beginning of period                 10,289,884                     3,839,884
Shares outstanding end of period                        8,339,884                    10,289,884
Percentage change in shares outstanding                     (19.0 )%                      168.0 %
Shares created                                         37,500,000                    25,950,000
Shares redeemed                                        39,450,000                    19,500,000
Per share NAV beginning of period             $             12.19           $             29.79
Per share NAV end of period                   $             11.61           $             12.19
Percentage change in per share NAV                           (4.8 )%                      (59.1 )%
Percentage change in benchmark                              (24.1 )%                       34.4 %
Benchmark annualized volatility                              80.1 %                        33.7 %


On June 25, 2020, the Trust announced that the ProShares UltraShort Bloomberg
Crude Oil would change its benchmark. The ProShares UltraShort Bloomberg Crude
Oil struck its NAV using its new benchmark for the first time on September 17,
2020. The new benchmark for the ProShares UltraShort Bloomberg Crude Oil is the
Bloomberg Commodity Balanced WTI Crude Oil Index
SM
(ticker: BCBCLI Index). Prior to September 17, 2020, the benchmark for
the ProShares UltraShort Bloomberg Crude Oil was the Bloomberg WTI Crude Oil
Subindex
SM
. The investment objective of Fund is to seek daily investment results, before
fees and expenses, that correspond to two times (2x) of the inverse of the daily
performance of the New Benchmark.
The New Benchmark aims to track the performance of three separate contract
schedules for WTI Crude Oil futures traded on NYMEX. The contract schedules are
equally-weighted in the New Benchmark (1/3 each) at each semi-annual reset in
March and September. At each reset date,
one-third
of the New Benchmark is designated to follow a monthly roll schedule. Each month
this portion of the New Benchmark rolls from the current futures contract
(called "Lead" by Bloomberg, and which expires one month out) into the following
month's contract (called "Next" by Bloomberg and which expires two months out).
The second portion of the New Benchmark is always designated to be in a June
contract, and follows an annual roll schedule in March of each year in which the
June contract expiring in the current year is rolled into the June contract
expiring the following year. The remaining portion is always designated to be in
a December contract, and follows an annual roll schedule in September of each
year in which the December contract expiring in the current year is rolled into
the December contract expiring the following year. The weighting (i.e.,
percentage) of each of the three contract schedules included in the New
Benchmark fluctuates above or below one third between the semi-annual reset
dates due to changing futures prices and the impact of rolling the futures
positions. As a result, the weighting of each contract in the New Benchmark will
"drift" away from equal weighting. The New Benchmark reflects the cost of
rolling the futures contracts included in the New Benchmark, without regard to
income earned on cash positions. The New Benchmark is not linked to the "spot"
price of WTI crude oil.
During the year ended December 31, 2020, the decrease in the Fund's NAV resulted
primarily from a decrease from 10,289,884 outstanding Shares at December 31,
2019 to 8,339,884 outstanding Shares at December 31, 2020. The decrease in the
Fund's NAV was offset by the cumulative effect of the Fund seeking daily
investment results, before fees and expenses, that correspond to two times the
inverse
(-2x)
of the daily performance of the Bloomberg WTI Crude Oil Subindex
S
M
through September 16, 2020 and the Bloomberg Commodity Balance WTI Crude Oil
Index
S
M
from September 17, 2020 through December 31, 2020. By comparison, during the
year ended December 31, 2019, the increase in the Fund's NAV resulted primarily
from an increase from 3,839,884 outstanding Shares at December 31, 2018 to
10,289,884 outstanding Shares at December 31, 2019. The increase in the Fund's
NAV was offset by the cumulative effect of the Fund seeking daily investment
results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg WTI Crude Oil Subindex
SM
.
For the year ended December 31, 2020, the Fund's daily performance had a
statistical correlation over 0.92 to 2x of the inverse of the daily performance
of its benchmark. For the year ended December 31, 2019, the Fund's daily
performance had a statistical correlation over 0.99 to 2x of the inverse of the
daily performance of its benchmark. The Fund's per Share NAV decrease of 4.8%
for the year ended December 31, 2020, as compared to the Fund's per Share NAV
decrease of 59.1% for the year ended December 31, 2019, was primarily due to
lesser depreciation in the value of the assets held by the Fund during the year
ended December 31, 2020.

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The new benchmark's decline of 24.1% for the year ended December 31, 2020, as
compared to the former Bloomberg WTI Crude Oil Subindex
SM
benchmark's rise of 34.4% for the year ended December 31, 2019, can be
attributed to a decrease in the value of WTI Crude Oil during the year ended
December 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the
years ended December 31, 2020 and 2019:

                                                   Year Ended                  Year Ended
                                                December 31, 2020           December 31, 2019
Net investment income (loss)                   $        (1,468,178 )       $           709,799
Management fee                                           1,021,787                     769,401
Brokerage commissions                                      548,380                      91,476
Non-recurring
fees and expenses                                            5,243                          -
Net realized gain (loss)                                12,949,097                 (14,247,456 )
Change in net unrealized appreciation
(depreciation)                                          (7,487,355 )               (31,068,746 )
Net income (loss)                              $         3,993,564         $       (44,606,403 )


The Fund's net income increased for the year ended December 31, 2020 as compared
to the year ended December 31, 2019, primarily due to a decrease in the value of
the WTI Crude Oil during the year ended December 31, 2020.
ProShares UltraShort Bloomberg Natural Gas
Fund Performance
The following table provides summary performance information for the Fund for
the years ended December 31, 2020 and 2019:

                                                   Year Ended                    Year Ended
                                                December 31, 2020             December 31, 2019
NAV beginning of period                        $        12,515,603           $        17,825,441
NAV end of period                              $        24,977,745           $        12,515,603
Percentage change in NAV                                      99.6 %                       (29.8 )%
Shares outstanding beginning of period                     324,832                       824,832
Shares outstanding end of period                           524,832                       324,832
Percentage change in shares outstanding                       61.6 %                       (60.6 )%
Shares created                                           6,250,000                     1,200,000
Shares redeemed                                          6,050,000                     1,700,000
Per share NAV beginning of period              $             38.53           $             21.61
Per share NAV end of period                    $             47.59           $             38.53
Percentage change in per share NAV                            23.5 %                        78.3 %
Percentage change in benchmark                               (42.0 )%                      (37.2 )%
Benchmark annualized volatility                               52.7 %                        36.1 %


During the year ended December 31, 2020, the increase in the Fund's NAV resulted
primarily from an increase from 324,832 outstanding Shares at December 31, 2019
to 524,832 outstanding Shares at December 31, 2020. The increase in the Fund's
NAV also resulted in part from the cumulative effect of the Fund seeking daily
investment results, before fees and expenses, that correspond to two times the
inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
. By comparison, during the year ended December 31, 2019, the decrease in the
Fund's NAV resulted primarily from a decrease from 824,832 outstanding Shares at
December 31, 2018 to 324,832 outstanding Shares at December 31, 2019. The
decrease in the Fund's NAV was offset by the cumulative effect of the Fund
seeking daily investment results, before fees and expenses, that correspond to
two times the inverse
(-2x)
of the daily performance of the Bloomberg Natural Gas Subindex
SM
.
For the years ended December 31, 2020 and 2019, the Fund's daily performance had
a statistical correlation over 0.99 to 2x of the inverse of the daily
performance of its benchmark. The Fund's per Share NAV increase of 23.5% for the
year ended December 31, 2020, as compared to the Fund's per Share NAV
increase of 78.3% for the year ended December 31, 2019, was primarily due to
lesser appreciation in the value of the assets held by the Fund during the year
ended December 31, 2020.
The benchmark's decline of 42.0% for the year ended December 31, 2020, as
compared to the benchmark's decline of 37.2% for the year ended December 31,
2019, can be attributed to a greater decrease in the value of Henry Hub Natural
Gas during the year ended December 31, 2020.

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Net Income/Loss
The following table provides summary income information for the Fund for the
years ended December 31, 2020 and 2019:

                                                  Year Ended                   Year Ended
                                               December 31, 2020            December 31, 2019
Net investment income (loss)                  $          (549,591 )        $            29,417
Management fee                                            308,058                       83,978
Brokerage commissions                                     250,422                       54,544
Non-recurring
fees and expenses                                             485                           -
Net realized gain (loss)                                   20,854                   19,286,567
Change in net unrealized appreciation
(depreciation)                                           (293,043 )                (10,165,386 )
Net income (loss)                             $          (821,780 )        $         9,150,598


The Fund's net income decreased for the year ended December 31, 2020 as compared
to the year ended December 31, 2019, primarily due to a greater decrease in the
value of the Henry Hub Natural Gas, in conjunction with the timing of
shareholder activity, during the year ended December 31, 2020.
ProShares UltraShort Euro
Fund Performance
The following table provides summary performance information for the Fund for
the years ended December 31, 2020 and 2019:

                                                  Year Ended                    Year Ended
                                               December 31, 2020             December 31, 2019
NAV beginning of period                       $       120,581,173           $       154,120,159
NAV end of period                             $        52,953,339           $       120,581,173
Percentage change in NAV                                    (56.1 )%                      (21.8 )%
Shares outstanding beginning of period                  4,500,000                     6,350,000
Shares outstanding end of period                        2,350,000                     4,500,000
Percentage change in shares outstanding                     (47.8 )%                      (29.1 )%
Shares created                                          1,500,000                     1,050,000
Shares redeemed                                         3,650,000                     2,900,000
Per share NAV beginning of period             $             26.80           $             24.27
Per share NAV end of period                   $             22.53           $             26.80
Percentage change in per share NAV                          (15.9 )%                       10.4 %
Percentage change in benchmark                                8.9 %                        (2.1 )%
Benchmark annualized volatility                               7.5 %                         5.1 %


During the year ended December 31, 2020, the decrease in the Fund's NAV resulted
primarily from a decrease from 4,500,000 outstanding Shares at December 31, 2019
to 2,350,000 outstanding Shares at December 31, 2020. The decrease in the Fund's
NAV also resulted in part from the cumulative effect of the Fund seeking daily
investment results, before fees and expenses, that correspond to two times the
inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar.
By comparison, during the year ended December 31, 2019, the decrease in the
Fund's NAV resulted primarily from a decrease from 6,350,000 outstanding Shares
at December 31, 2018 to 4,500,000 outstanding Shares at December 31, 2019. The
decrease in the Fund's NAV was offset by the cumulative effect of the Fund
seeking daily investment results, before fees and expenses, that correspond to
two times the inverse
(-2x)
of the daily performance of the spot price of the euro versus the U.S. dollar.
For the years ended December 31, 2020 and 2019, the Fund's daily performance had
a statistical correlation over 0.99 to 2x of the inverse of the daily
performance of its benchmark. The Fund's per Share NAV decrease of 15.9% for the
year ended December 31, 2020, as compared to the Fund's per Share NAV
increase of 10.4% for the year ended December 31, 2019, was primarily due to
depreciation in the value of the assets held by the Fund during the year ended
December 31, 2020.
The benchmark's rise of 8.9% for the year ended December 31, 2020, as compared
to the benchmark's decline of 2.1% for the year ended December 31, 2019, can be
attributed to an increase in the value of the euro versus the U.S. dollar during
the year ended December 31, 2020.

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Net Income/Loss
The following table provides summary income information for the Fund for the
years ended December 31, 2020 and 2019:

                                                   Year Ended                 Year Ended
                                                December 31, 2020          December 31, 2019
Net investment income (loss)                   $          (287,014 )      $         1,528,830
Management fee                                             783,692                  1,293,377

Non-recurring


fees and expenses                                            2,842                         -
Net realized gain (loss)                               (10,979,339 )               13,747,208
Change in net unrealized appreciation
(depreciation)                                           1,109,938                   (753,437 )
Net income (loss)                              $       (10,156,415 )      $        14,522,601


The Fund's net income decreased for the year ended December 31, 2020 as compared
to the year ended December 31, 2019, primarily due to an increase in the value
of the euro versus the U.S. dollar during the year ended December 31, 2020.
ProShares UltraShort Gold
Fund Performance
The following table provides summary performance information for the Fund for
the years ended December 31, 2020 and 2019:

                                                   Year Ended                    Year Ended
                                                December 31, 2020             December 31, 2019
NAV beginning of period                        $        21,047,560           $        18,098,997
NAV end of period                              $        20,337,376           $        21,047,560
Percentage change in NAV                                      (3.4 )%                       16.3 %
Shares outstanding beginning of period                     396,977                       246,978
Shares outstanding end of period                           646,977                       396,977
Percentage change in shares outstanding                       63.0 %                        60.7 %
Shares created                                           1,650,000                       600,000
Shares redeemed                                          1,400,000                       450,001
Per share NAV beginning of period              $             53.02           $             73.28
Per share NAV end of period                    $             31.43           $             53.02
Percentage change in per share NAV                           (40.7 )%                      (27.6 )%
Percentage change in benchmark                                20.9 %                        18.0 %
Benchmark annualized volatility                               21.5 %                        11.5 %


On December 20, 2018, the Trust announced that the ProShares UltraShort Gold
Fund would change its benchmark to the Bloomberg Gold Subindex (ticker: BCOMGC).
The ProShares UltraShort Gold Fund struck its NAV using its new benchmark for
the first time on January 7, 2019. Previously, the benchmark for the ProShares
UltraShort Gold Fund was the LBMA Gold Price PM.
During the year ended December 31, 2020, the decrease in the Fund's NAV resulted
primarily from the cumulative effect of the Fund seeking daily investment
results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
. The decrease in the Fund's NAV was offset by an increase from 396,977
outstanding Shares at December 31, 2019 to 646,977 outstanding Shares at
December 31, 2020. By comparison, during the year ended December 31, 2019, the
increase in the Fund's NAV resulted primarily from an increase from 246,978
outstanding Shares at December 31, 2018 to 396,977 outstanding Shares at
December 31, 2019. The increase in the Fund's NAV was offset by the cumulative
effect of the Fund seeking daily investment results, before fees and expenses,
that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Gold Subindex
SM
.
For the years ended December 31, 2020 and 2019, the Fund's daily performance had
a statistical correlation over 0.99 to 2x of the inverse of the daily
performance of its benchmark. The Fund's per Share NAV decrease of 40.7% for the
year ended December 31, 2020, as compared to the Fund's per Share NAV
decrease of 27.6% for the year ended December 31, 2019, was primarily due to
greater depreciation in the value of the assets held by the Fund during the year
ended December 31, 2020.
The benchmark's rise of 20.9% for the year ended December 31, 2020, as compared
to the benchmark's rise of 18.0% for the year ended December 31, 2019, can be
attributed to a greater increase in the value of the futures prices during the
year ended December 31, 2020.

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Net Income/Loss
The following table provides summary income information for the Fund for the
years ended December 31, 2020 and 2019:

                                                   Year Ended                  Year Ended
                                                December 31, 2020           December 31, 2019
Net investment income (loss)                   $          (123,632 )       $           186,714
Management fee                                             177,762                     188,089
Brokerage commissions                                        7,882                       5,355
Non-recurring
fees and expenses                                              580                          -
Net realized gain (loss)                               (11,119,478 )                (5,192,568 )
Change in net unrealized appreciation
(depreciation)                                           1,098,111                    (540,991 )
Net income (loss)                              $       (10,144,999 )       $        (5,546,845 )


The Fund's net income decreased for the year ended December 31, 2020 as compared
to the year ended December 31, 2019, primarily due to a greater increase in the
value of futures prices during the year ended December 31, 2020.
ProShares UltraShort Silver
Fund Performance
The following table provides summary performance information for the Fund for
the years ended December 31, 2020 and 2019:

                                                   Year Ended                    Year Ended
                                                December 31, 2020             December 31, 2019
NAV beginning of period                        $        13,834,163           $        11,768,863
NAV end of period                              $        28,885,775           $        13,834,163
Percentage change in NAV                                     108.8 %                        17.5 %
Shares outstanding beginning of period                     516,976                       316,976
Shares outstanding end of period                         4,166,976                       516,976
Percentage change in shares outstanding                      706.0 %                        63.1 %
Shares created                                          13,700,000                     1,000,000
Shares redeemed                                         10,050,000                       800,000
Per share NAV beginning of period              $             26.76           $             37.13
Per share NAV end of period                    $              6.93           $             26.76
Percentage change in per share NAV                           (74.1 )%                      (27.9 )%
Percentage change in benchmark                                42.5 %                        13.9 %
Benchmark annualized volatility                               46.1 %                        19.6 %


On December 20, 2018, the Trust announced that the ProShares UltraShort Silver
Fund would change its benchmark to the Bloomberg Silver Subindex (ticker:
BCOMSI). The ProShares UltraShort Silver Fund struck its NAV using its new
benchmark for the first time on January 7, 2019. Previously, the benchmark for
the ProShares UltraShort Silver Fund was the London Silver Price.
During the year ended December 31, 2020, the increase in the Fund's NAV resulted
primarily from an increase from 516,976 outstanding Shares at December 31, 2019
to 4,166,976 outstanding Shares at December 31, 2020. The increase in the Fund's
NAV was offset by the cumulative effect of the Fund seeking daily investment
results, before fees and expenses, that correspond to two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
. By comparison, during the year ended December 31, 2019, the increase in the
Fund's NAV resulted primarily from an increase from 316,976 outstanding Shares
at December 31, 2018 to 516,976 outstanding Shares at December 31, 2019. The
increase in the Fund's NAV was offset by the cumulative effect of the Fund
seeking daily investment results, before fees and expenses, that correspond to
two times the inverse
(-2x)
of the daily performance of the Bloomberg Silver Subindex
SM
.
For the years ended December 31, 2020 and 2019, the Fund's daily performance had
a statistical correlation over 0.99 to 2x of the inverse of the daily
performance of its benchmark. The Fund's per Share NAV decrease of 74.1% for the
year ended December 31, 2020, as compared to the Fund's per Share NAV
decrease of 27.9% for the year ended December 31, 2019, was primarily due to
greater depreciation in the value of the assets held by the Fund during the year
ended December 31, 2020.
The benchmark's rise of 42.5% for the year ended December 31, 2020, as compared
to the benchmark's rise of 13.9% for the year ended December 31, 2019, can be
attributed to a greater increase in the value of futures prices during the year
ended December 31, 2020.

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Net Income/Loss
The following table provides summary income information for the Fund for the
years ended December 31, 2020 and 2019:

                                                   Year Ended                  Year Ended
                                                December 31, 2020           December 31, 2019
Net investment income (loss)                   $          (221,656 )       $           131,913
Management fee                                             237,140                     139,668
Brokerage commissions                                       22,323                       7,713
Non-recurring
fees and expenses                                              454                          -
Net realized gain (loss)                               (16,849,815 )                (4,544,543 )
Change in net unrealized appreciation
(depreciation)                                          (1,382,256 )                  (197,432 )
Net income (loss)                              $       (18,453,727 )       $        (4,610,062 )


The Fund's net income decreased for the year ended December 31, 2020 as compared
to the year ended December 31, 2019, primarily due to a greater increase in the
value of futures prices during the year ended December 31, 2020.
ProShares UltraShort Yen
Fund Performance
The following table provides summary performance information for the Fund for
the years ended December 31, 2020 and 2019:

                                                   Year Ended                    Year Ended
                                                December 31, 2020             December 31, 2019
NAV beginning of period                        $        38,132,320           $        55,363,675
NAV end of period                              $        23,691,070           $        38,132,320
Percentage change in NAV                                     (37.9 )%                      (31.1 )%
Shares outstanding beginning of period                     499,290                       749,290
Shares outstanding end of period                           349,290                       499,290
Percentage change in shares outstanding                      (30.0 )%                      (33.4 )%
Shares created                                             150,000                       450,000
Shares redeemed                                            300,000                       700,000
Per share NAV beginning of period              $             76.37           $             73.89
Per share NAV end of period                    $             67.83           $             76.37
Percentage change in per share NAV                           (11.2 )%                        3.4 %
Percentage change in benchmark                                 5.2 %                         0.9 %
Benchmark annualized volatility                                9.3 %                         5.7 %


During the year ended December 31, 2020, the decrease in the Fund's NAV resulted
primarily from a decrease from 499,290 outstanding Shares at December 31, 2019
to 349,290 outstanding Shares at December 31, 2020. The decrease in the Fund's
NAV also resulted in part from the cumulative effect of the Fund seeking daily
investment results, before fees and expenses, that correspond to two times the
inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S.
dollar. By comparison, during the year ended December 31, 2019, the decrease in
the Fund's NAV resulted primarily from a decrease from 749,290 outstanding
Shares at December 31, 2018 to 499,290 outstanding Shares at December 31, 2019.
The decrease in the Fund's NAV also resulted in part from the cumulative effect
of the Fund seeking daily investment results, before fees and expenses, that
correspond to two times the inverse
(-2x)
of the daily performance of the spot price of the Japanese yen versus the U.S.
dollar.
For the years ended December 31, 2020 and 2019, the Fund's daily performance had
a statistical correlation over 0.99 to 2x of the inverse of the daily
performance of its benchmark. The Fund's per Share NAV decrease of 11.2% for the
year ended December 31, 2020, as compared to the Fund's per Share NAV
increase of 3.4% for the year ended December 31, 2019, was primarily due to
depreciation in the value of the assets held by the Fund during the year ended
December 31, 2020.
The benchmark's rise of 5.2% for the year ended December 31, 2020, as compared
to the benchmark's rise of 0.9% for the year ended December 31, 2019, can be
attributed to a greater increase in the value of the Japanese yen versus the
U.S. dollar during the year ended December 31, 2020.

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Net Income/Loss
The following table provides summary income information for the Fund for the
years ended December 31, 2020 and 2019:

                                                  Year Ended                   Year Ended
                                               December 31, 2020            December 31, 2019
Net investment income (loss)                  $          (129,202 )        $           555,474
Management fee                                            268,213                      451,638

Non-recurring


fees and expenses                                             811                           -
Net realized gain (loss)                               (2,619,441 )                 (1,979,679 )
Change in net unrealized appreciation
(depreciation)                                           (662,165 )                  3,220,521
Net income (loss)                             $        (3,410,808 )        $         1,796,316


The Fund's net income decreased for the year ended December 31, 2020 as compared
to the year ended December 31, 2019, primarily due to a greater increase in the
value of the Japanese yen versus the U.S. dollar during the year ended
December 31, 2020.
ProShares VIX
Mid-Term
Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for
the years ended December 31, 2020 and 2019:

                                                   Year Ended                    Year Ended
                                                December 31, 2020             December 31, 2019
NAV beginning of period                        $        45,986,584           $        56,299,121
NAV end of period                              $        72,075,095           $        45,986,584
Percentage change in NAV                                      56.7 %                       (18.3 )%
Shares outstanding beginning of period                   2,162,403                     2,112,403
Shares outstanding end of period                         1,962,403                     2,162,403
Percentage change in shares outstanding                       (9.2 )%                        2.4 %
Shares created                                           2,375,000                     1,400,000
Shares redeemed                                          2,575,000                     1,350,000
Per share NAV beginning of period              $             21.27           $             26.65
Per share NAV end of period                    $             36.73           $             21.27
Percentage change in per share NAV                            72.7 %                       (20.2 )%
Percentage change in benchmark                                74.7 %                       (19.3 )%
Benchmark annualized volatility                               56.3 %                        25.3 %


On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the
Chicago Board Options Exchange) changed the settlement time for the VIX futures
contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m.
(Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices
revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX
Mid-Term
Futures ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts
and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV
calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time).
Additional information about the calculation of NAV is included in the Fund's
Prospectus.
During the year ended December 31, 2020, the increase in the Fund's NAV resulted
primarily from the cumulative effect of the Fund seeking daily investment
results, before fees and expenses, that correspond to the daily performance of
the S&P 500 VIX
Mid-Term
Futures Index. The increase in the Fund's NAV was offset by a decrease from
2,162,403 outstanding Shares at December 31, 2019 to 1,962,403 outstanding
Shares at December 31, 2020. By comparison, during the year ended December 31,
2019, the decrease in the Fund's NAV resulted primarily from the cumulative
effect of the Fund seeking daily investment results, before fees and expenses,
that correspond to the daily performance of the S&P 500 VIX
Mid-Term
Futures Index. The decrease in the Fund's NAV was offset by an increase from
2,112,403 outstanding Shares at December 31, 2018 to 2,162,403 outstanding
Shares at December 31, 2019.
For the years ended December 31, 2020 and 2019, the Fund's daily performance had
a statistical correlation over 0.99 to the daily performance of its benchmark.
The Fund's per Share NAV increase of 72.7% for the year ended December 31, 2020,
as compared to the Fund's per Share NAV decrease of 20.2% for the year ended
December 31, 2019, was primarily due to an appreciation in the value of the
assets held by the Fund during the year ended December 31, 2020.
The benchmark's rise of 74.7% for the year ended December 31, 2020, as compared
to the benchmark's decline of 19.3% for the year ended December 31, 2019, can be
attributed to an increase in the value of the futures prices during the year
ended December 31, 2020.

                                       92

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Net Income/Loss
The following table provides summary income information for the Fund for the
years ended December 31, 2020 and 2019:

                                                   Year Ended                 Year Ended
                                                December 31, 2020          December 31, 2019
Net investment income (loss)                   $          (506,172 )      $           493,213
Management fee                                             579,606                    380,474
Brokerage commissions                                       65,093                     29,956
Net realized gain (loss)                                15,454,616                 (6,228,644 )
Change in net unrealized appreciation
(depreciation)                                           1,146,818                 (6,037,881 )
Net income (loss)                              $        16,095,262        $       (11,773,312 )


The Fund's net income increased for the year ended December 31, 2020 as compared
to the year ended December 31, 2019, primarily due to an increase in the value
of the futures prices during the year ended December 31, 2020.
ProShares VIX Short-Term Futures ETF
Fund Performance
The following table provides summary performance information for the Fund for
the years ended December 31, 2020 and 2019:

                                                  Year Ended                    Year Ended
                                               December 31, 2020             December 31, 2019
NAV beginning of period                       $       279,792,503           $       149,547,115
NAV end of period                             $       293,390,549           $       279,792,503
Percentage change in NAV                                      4.9 %                        87.1 %
Shares outstanding beginning of period                 22,751,317                     3,876,317
Shares outstanding end of period                       21,326,317                    22,751,317
Percentage change in shares outstanding                      (6.3 )%                      486.9 %
Shares created                                         26,325,000                    30,800,000
Shares redeemed                                        27,750,000                    11,925,000
Per share NAV beginning of period             $             12.30           $             38.58
Per share NAV end of period                   $             13.76           $             12.30
Percentage change in per share NAV                           11.9 %                       (68.1 )%
Percentage change in benchmark                               13.2 %                       (67.8 )%
Benchmark annualized volatility                             102.6 %                        60.4 %


On Monday, October 26, 2020, the Chicago Futures Exchange (a subsidiary of the
Chicago Board Options Exchange) changed the settlement time for the VIX futures
contracts in which the Fund invests from 4:15 p.m. (Eastern Time) to 4:00 p.m.
(Eastern Time). As a result, on Monday, October 26, 2020, S&P Dow Jones Indices
revised the index methodology for the S&P 500
®
VIX Short-Term Futures Index, the benchmark for ProShares VIX Short-Term Futures
ETF, to reflect the new settlement time.
As a result of these changes to the settlement time for VIX futures contracts
and the Index methodology, on Monday, October 26, 2020 the Fund changed its NAV
calculation time from 4:15 p.m. (Eastern Time) to 4:00 p.m. (Eastern Time).
Additional information about the calculation of NAV is included in the Fund's
Prospectus.
During the year ended December 31, 2020, the increase in the Fund's NAV resulted
primarily from the cumulative effect of the Fund seeking daily investment
results, before fees and expenses, that correspond to the daily performance of
the S&P 500 VIX Short-Term Futures Index. The increase in the Fund's NAV was
offset by a decrease from 22,751,317 outstanding Shares at December 31, 2019 to
21,326,317 outstanding Shares at December 31, 2020. By comparison, during the
year ended December 31, 2019, the increase in the Fund's NAV resulted primarily
from an increase from 3,876,317 outstanding Shares at December 31, 2018 to
22,751,317 outstanding Shares at December 31, 2019. The increase in the Fund's
NAV was offset by the cumulative effect of the Fund seeking daily investment
results, before fees and expenses, that correspond to the daily performance of
the S&P 500 VIX Short-Term Futures Index.
For the years ended December 31, 2020 and 2019, the Fund's daily performance had
a statistical correlation over 0.99 to the daily performance of its benchmark.
The Fund's per Share NAV increase of 11.9% for the year ended December 31, 2020,
as compared to the Fund's per Share NAV decrease of 68.1% for the year ended
December 31, 2019, was primarily due to an appreciation in the value of the
assets held by the Fund during the year ended December 31, 2020.

                                       93

--------------------------------------------------------------------------------


  Table of Contents
The benchmark's rise of 13.2% for the year ended December 31, 2020, as compared
to the benchmark's decline of 67.8% for the year ended December 31, 2019, can be
attributed to an increase in the value of the futures prices during the year
ended December 31, 2020.
Net Income/Loss
The following table provides summary income information for the Fund for the
years ended December 31, 2020 and 2019:

                                                  Year Ended                 Year Ended
                                               December 31, 2020          December 31, 2019
Net investment income (loss)                  $        (1,892,962 )      $         2,153,399
Management fee                                          2,193,275                  2,038,850
Brokerage commissions                                     376,682                    253,057
Net realized gain (loss)                              156,087,060               (194,350,788 )
Change in net unrealized appreciation
(depreciation)                                          9,024,606                (32,770,663 )
Net income (loss)                             $       163,218,704        $      (224,968,052 )

The Fund's net income increased for the year ended December 31, 2020 as compared to the year ended December 31, 2019, primarily due to an increase in the value of the futures prices during the year ended December 31, 2020. ALL REFERENCES TO LBMA GOLD PRICE PM ARE USED WITH THE PERMISSION OF ICE BENCHMARK ADMINISTRATION LIMITED AND HAVE BEEN PROVIDED FOR INFORMATIONAL PURPOSES ONLY. ICE BENCHMARK ADMINISTRATION LIMITED ACCEPTS NO LIABILITY OR RESPONSIBILITY FOR THE ACCURACY OF THE PRICES OR THE UNDERLYING PRODUCT TO WHICH THE PRICES MAY BE.

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