Partnerships are "pass-through" entities. The income, expenses and capital gains of each Volatility, Commodity, Currency and Managed Futures ProShares ETF "flow through" to its shareholders. (This differs from mutual funds and most ETFs—registered under the Investment Company Act of 1940—which pass through taxable income and capital gains in the form of distributions reported on a Form 1099.) Each shareholder of a Volatility, Commodity, Currency or Managed Futures ProShares ETF is directly responsible for reporting their pro rata portion of income, gains, losses, deductions or other taxable events in the ETF for the calendar year.
While investors may incur trading profits or losses through buying and selling Volatility, Commodity, Currency or Managed Futures ProShares, they are also subject to tax on their portion of any income or gains passed through by the Trust. In addition to income and gains, Volatility, Commodity, Currency or Managed Futures ProShares can also pass through losses, which shareholders may use to reduce their personal taxes. The tax treatment of income, gains or losses depends on the fund’s underlying positions, for example:
Volatility, Commodity, Currency and Managed Futures ProShares will earn income from debt securities and overnight investments. An investor's pro rata portion of that income will be taxed at the investor’s ordinary income tax rate.
Volatility, Commodity, Currency and Managed Futures ProShares will invest in a range of derivative instruments, including futures and forward contracts. In general, open futures positions will be marked to market, with their capital gains and losses reportable on a Schedule K-1 as other income (loss) from section 1256 contracts. These generally result in 60% long-term and 40% short-term gains/losses on the investor’s tax return. The reporting of gains and losses may vary depending on the specifics of a contract.
Commodity, Currency and Managed Futures ProShares also enter into swap agreements and non-currency forwards that generally produce capital gains/losses that are likely short-term in character.
Monthly financial statements for each Volatility, Commodity, Currency and Managed Futures ProShares ETF will be posted on our website on each fund’s Overview page. Be sure to consult your financial advisor or a tax professional for advice as to your particular tax situation.
Unlike mutual funds and most ETFs, Volatility, Commodity, Currency and Managed Futures ProShares are not expected to make distributions with respect to capital gains or income. Volatility, Commodity, Currency and Managed Futures ProShares are treated as partnerships for tax purposes, so an investor’s allocated share of a fund’s income, gains, losses and deductions are reported on a Schedule K-1. Investors will not receive a Form 1099-DIV issued by most mutual funds and other ETFs which itemizes the taxable distributions received by the investor. They will, however, receive a Form 1099-B from their financial advisor.
From a tax perspective, any distributions from Volatility, Commodity, Currency or Managed Futures ProShares that might occur (e.g., liquidating distribution) will be characterized as nontaxable return of capital (lowering the investor’s cost basis). Additionally, each investor’s allotment of Volatility, Commodity, Currency or Managed Futures ProShares taxable income, as reported on the Schedule K-1, should increase or decrease the investor’s cost basis.
Monthly financial statements for each Volatility, Commodity, Currency and Managed Futures ProShares ETF are posted on our website on each fund’s Overview page.
Your pro rata portion is determined by the number of shares of the ETF you hold or have held and the duration for which you’ve held them. If you own shares in a Volatility, Commodity, Currency or Managed Futures ProShares ETF at the beginning of a month and sell them during the month, you will still be allocated a pro rata portion of income, gains, losses and deductions that were realized during the month in which you sold your shares.
Income, gains, losses and expenses are reported on the Schedule K-1 we send you and should be included on your tax return. How many shares you’ve held and the duration for which you’ve held them determines the portion of any income, gains or losses allocated to you through the K-1. You also will receive a Form 1099-B from your financial advisor when you sell your shares. Be sure to consult with a tax professional and/or your financial advisor.
Any gains or losses on your sales of shares should usually be reported on your tax return. In addition to any sales of shares reported on your Form 1099-B from your broker, the Sales Schedule portion of the Schedule K-1 we send you will reflect sales of your Volatility, Commodity, Currency or Managed Futures ProShares ETF investments. It will also reflect related adjustments to your tax basis. The Sales Schedule includes a worksheet to help you calculate your total gains or losses. Be sure to consult with a tax professional and/or your financial advisor.
Note: A fund's income, gains, losses and expenses are allocated to shareholders on a monthly basis. If you own shares in a Volatility, Commodity, Currency or Managed Futures ProShares ETF at the beginning of a month and sell them during the month, you will receive your share of income, expenses, and capital gains or losses for that month.
We generally expect to mail Schedules K-1 in mid-March. We have to gather information regarding ownership interests bought and sold during the year from your financial advisor and various reporting sources. Once received, the information must be reviewed for accuracy and processed, and only then can we print the Schedules K-1. We understand the impact any delays have on our investors who need to file their taxes, and we take many steps to facilitate prompt delivery of the Schedules K-1. Notice will be posted on our website at ProShares.com should there be any delay in our expected delivery.
As an investor in Volatility, Commodity, Currency or Managed Futures ProShares, each investor accounts for their pro rata portion of income or losses in the ETF on an annual basis—regardless of whether that income, gain or loss is distributed or not. How many shares you’ve held and the duration for which you’ve held them determines the portion of any income, gains or losses allocated to you through the K-1.
Shareholders with questions about their Schedule K-1 can visit the ProShares tax package support website where they can:
Sign up for an email alert to notify you when your tax package is available.
View your prior year tax schedules.
Print your tax package, including instructions.
Download a file of your Schedule K-1 information that can be imported into select tax software.
Request changes to incorrect information.
In addition, shareholders will find contact information for our tax package support team. Please note that our tax package support staff is not qualified to give tax advice or answer questions regarding your particular tax situation. Please refer these questions to your tax advisor.
You can sign up now to receive your future tax information up to one week faster and eliminate the need for mailing a paper K-1. Simply locate your investment(s) on www.taxpackagesupport.com/proshares, register your email address and choose the option to "Eliminate Paper K-1s."
By choosing to eliminate paper K-1s, investor tax information will bypass the U.S. Postal Service and be delivered securely through the website. You will even be notified via email the instant the K-1s are available. You will have the option of saving the electronic version of your tax information to your personal computer and/or printing a hard copy.
The tax calculations found within the tax package you received are based on purchase and sale information obtained from brokers and various reporting sources. If the information provided by these sources is incorrect, the information reported to you, as well as the information reported to the Internal Revenue Service, may also be incorrect. If your ownership records do not agree with the transactions reported on the ownership schedule contained in the tax package, please visit the ProShares tax package support website for information on how to obtain a corrected K-1.
The prospectus for Volatility, Commodity, Currency and Managed Futures ProShares (ProShares Trust II) may be obtained here by contacting us at 866-776-5125 or ProShares.com.
Click to see historical NAVs, NAV change (%, $), and shares outstanding.
SEC 30-Day Yield is a standard yield calculation developed by the Securities and Exchange Commission (SEC) that facilitates fairer comparisons of funds. The figure reflects dividends and interest earned by the securities held by the fund during the most recent 30-day period, net the fund's expenses.
Unsubsidized SEC 30-Day Yield shows what the SEC 30-Day Yield would have been without the contractual fee waiver.
Duration is a measurement of how long, in years, it takes for the price of a bond to be repaid by its internal cash flows. Modified duration accounts for changing interest rates. It measures the sensitivity of the value of a bond (or bond portfolio) to a change in interest rates. Higher duration means greater sensitivity.
The weighted average maturity (WAM) of a portfolio is the average time, in years, it takes for the bonds in a bond fund or portfolio to mature. WAM is calculated by weighting each bond's time to maturity by the size of the holding. Portfolios with longer WAMs are generally more sensitive to changes in interest rates.
Yield to maturity (YTM) is the annual rate of return paid on a bond if it is held until the maturity date. Weighted average yield to maturity represents an average of the YTM of each of the bonds held in a bond fund or portfolio, weighted by the relative size of each bond in the portfolio.
A coupon is the interest rate paid out on a bond on an annual basis. The weighted average coupon of a bond fund is arrived at by weighting the coupon of each bond by its relative size in the portfolio.
Weighted average price (WAP) is computed for most bond funds by weighting the price of each bond by its relative size in the portfolio. This statistic is expressed as a percentage of par (face) value. The price shown here is "clean," meaning it does not reflect accrued interest.
Monthly volatility refers to annualized standard deviation, a statistical measure that captures the variation of returns from their mean and that is often used to quantify the risk of a fund or index over a specific time period. The higher the volatility, the more the returns fluctuate over time.
Absolute return strategies seek to provide positive returns in a wide variety of market conditions. These strategies employ investment techniques that go beyond conventional long-only investing, including leverage, short selling, futures, options, etc.
Arbitrage refers to the simultaneous purchase and sale of an asset in order to profit from a difference in the price of identical or similar financial instruments, on different markets or in different forms. For example, convertible arbitrage looks for price differences among linked securities, like stocks and convertible bonds of the same company. Merger arbitrage involves investing in securities of companies that are the subject of some form of corporate transaction, including acquisition or merger proposals and leveraged buyouts.
Commodity refers to a basic good used in commerce that is interchangeable with other goods of the same type. Examples include oil, grain and livestock.
Correlation is a statistical measure of how two variables relate to each other. Two different investments with a correlation of 1.0 will move in exact lockstep, investments with a correlation of zero will not move at all in relation to each other, while investments with a correlation of -1.0 will move in opposite directions. The higher the correlation, the lower the diversifying effect.
Currency refers to a generally accepted medium of exchange, such as the dollar, the euro, the yen, the Swiss franc, etc.
Market neutral is a strategy that involves attempting to remove all directional market risk by being equally long and short.
Futures refers to a financial contract obligating the buyer to purchase an asset (or the seller to sell an asset), such as a physical commodity or a financial instrument, at a predetermined future date and price.
Global macro strategies aim to profit from changes in global economies that are typically brought about by shifts in government policy, which impact interest rates and in turn affect currency, bond and stock markets.
Hedge funds invest in a diverse range of markets and securities, using a wide variety of techniques and strategies, all intended to reduce risk while focusing on absolute rather than relative returns.
Leverage refers to using borrowed funds to make an investment. Investors use leverage when they believe the return of an investment will exceed the cost of borrowed funds. Leverage can increase the potential for higher returns, but can also increase the risk of loss.
Long/short strategies involve using a combination of long and short positions in securities with the objective of reducing market risk and enhancing return.
Managed futures involves taking long and short positions in futures and options in the global commodity, interest rate, equity, and currency markets.
Precious metals refer to gold, silver, platinum and palladium.
Private equity consists of equity securities in operating companies that are not publicly traded on a stock exchange.
Real estate refers to land plus anything permanently fixed to it, including buildings, sheds and other items attached to the structure.
Short selling or "shorting" involves selling an asset before it's bought. Typically, an investor borrows shares, immediately sells them, and later buys them back to return to the lender.
Volatility is the relative rate at which the price of a security (or benchmark) moves up and down. Volatility is also an asset class that can be traded in the futures markets. Tradable volatility is based on implied volatility, which is a measure of what the market expects the volatility of a security's price to be in the future.
Geared investing refers to leveraged or inverse investing.
• Leveraged investments provide magnified exposure to an asset or benchmark.
• Inverse investments provide inverse exposure to an asset or benchmark.
Duration to Worst (expressed in years) is the approximate amount by which a bond's price changes given a 1% change in its yield, calculated using the bond's nearest call date or maturity, whichever comes first.
SEC 30-Day Yield is a standard yield calculation developed by the Securities and Exchange Commission that allows investors to more fairly compare funds.
30-Day SEC Yield is designed to provide a standardized comparison of funds. The figure is calculated by dividing the net investment income (less expenses) by the current maximum offering price.
30-Day SEC Yield is calculated by dividing the net investment income (less expenses) by the current maximum offering price, and is designed to provide a standardized comparison of funds.
SEC 30-Day Yield (unsubsidized) is what the SEC 30-day yield would have been without the contractual fee waiver.
Current yield is equal to a bond's annual interest payment divided by its current market price. The current yield only refers to the yield of the bond at the current moment, not the total return over the life of the bond.
Dividend yield shows how much a company pays out in dividends each year relative to its share price. In the absence of any capital gains, the dividend yield is the return on investment for a stock.
Effective duration is a measure of a fund's sensitivity to interest rate changes, reflecting the likely change in bond prices given a small change in yields. Higher duration generally means greater sensitivity. Effective duration for this fund is calculated including both the long bond positions and the short Treasury futures positions.
Distribution Yield represents the annualized yield based on the last income distribution.
12-Month Yield represents the annualized yield based on the last twelve months of income distributions.
Trailing price to earnings ratio measures market value of a fund or index relative to the collective earnings of its component stocks for the most recent 12-month period.
Price to book ratio measures market value of a fund or index relative to the collective book values of its component stocks.
Weighted average market cap is the average market value of a fund or index, weighted for the market capitalization (price times shares outstanding) of each component. In such a weighting scheme, larger market cap companies carry greater weight than smaller market cap companies.
Sometimes distributions are re-characterized for tax purposes after they've been declared. Here, a previous dividend has been re-characterized as a Return of Capital ("ROC"). An ROC is a distribution to investors that returns some or all of their capital investment, thus reducing the value of their investment. In an efficient market, the investment's price will fall by an amount approximately equal to the ROC. In general, investors are not taxed on an ROC unless it begins to exceed their original investment value.
This is the dollar amount of your initial investment in the fund.
This is the percentage change in the index or benchmark since your initial investment. Enter a positive or negative number.
This is the dollar value that your account should be after you rebalance.
This is the dollar amount you have invested in your fund.
Credit default swap (CDS) spread reflects the annualized amount (espressed in basis points) that a CDS protection buyer will pay to a protection seller. Higher CDS spreads indicate that the CDS market views the entity as having a higher risk of loss. The weighted average CDS spread in a portfolio is the sum of CDS spreads of each contract in the portfolio multiplied by their relative weights.
Spread duration is a measure of a fund's approximate mark-to-market price sensitivity to small changes in CDS spreads. Higher spread duration reflects greater sensitivity.
Shareholder Supplemental Tax Information
The S&P 500 is a measure of large-cap U.S. stock market performance. It is a float-adjusted, market capitalization-weighted index of 500 U.S. operating companies and real estate investment trusts selected through a process that factors in criteria such as liquidity, price, market capitalization and financial viability.
Infrastructure refers to companies that actually own and operate the transportation, communications, energy and water assets that provide essential services to our society.