Changes to the UVXY and SVXY Investment Objectives
What has changed?
The investment objectives of ProShares Ultra VIX Short-Term Futures ETF (NYSE Arca: UVXY) and ProShares Short VIX Short-Term Futures ETF (NYSE Arca: SVXY) have been changed to reduce their target exposure to the S&P 500 VIX Short-Term Futures Index.
What are the new investment objectives?
UVXY's new objective is to seek results (before fees and expenses) that correspond to one and one-half times (1.5x) the performance of the S&P 500 VIX Short-Term Futures Index for a single day. If the fund is successful in meeting its new objective, on a day the index rises 1%, the fund should rise approximately 1.5%, before fees and expenses. Similarly, on a day the index falls 1%, the fund should fall approximately 1.5%, before fees and expenses.
SVXY's new objective is to seek results (before fees and expenses) that correspond to one-half the inverse (-0.5x) of the S&P 500 VIX Short-Term Futures Index for a single day. If the fund is successful in meeting its new objective, on a day the index falls 1%, the fund should rise approximately 0.5%, before fees and expenses. Similarly, on a day the index rises 1%, the fund should fall approximately 0.5%, before fees and expenses.
When did the changes take effect?
Both funds' objectives changed effective as of the close of business on February 27, 2018.
Why weren't investors given more notice of the change?
ProShare Capital Management believed that it was in the best interests of the funds and their shareholders to promptly implement this change.
How do the changes affect the exchange options on these funds?
The Options Clearing Corporation issues and clears U.S.-listed options. Neither ProShare Capital Management nor the funds issue or sponsor options. The changes made to the funds' investment objectives considered the best interests of the funds and their shareholders.
Geared (leveraged or short) ProShares ETFs seek returns that are a multiple of (e.g., 1.5x or -0.5x) the return of a benchmark (target) for a single day, as measured from one NAV calculation to the next, before fees and expenses. Due to the compounding of daily returns, ProShares' returns over periods other than one day will likely differ in amount and possibly direction from the target return for the same period. These effects may be more pronounced in funds with larger or inverse multiples and in funds with volatile benchmarks. Investors should monitor their holdings as frequently as daily. For more on risks, please read the prospectus.
There is no guarantee any ProShares ETF will achieve its investment objective.
Investing involves risk, including the possible loss of principal. Volatility ProShares ETFs are non-diversified and each entails certain risks, including risks associated with the use of derivatives (swap agreements, futures contracts and similar instruments), imperfect benchmark correlation, leverage and market price variance, all of which can increase volatility and decrease performance. Short ProShares ETFs should lose money when their benchmarks or indexes rise. Please see their summary and full prospectuses for a more complete description of risks.
There are considerable risks related to investing in ETFs benchmarked to VIX futures indexes, and ProShares Volatility ETFs are not suitable for all investors. VIX futures indexes can be highly volatile, and ETFs benchmarked to them may experience large losses. Investors could potentially lose the full value of their investment over periods even as short as one day. Many factors may contribute to the volatility of VIX futures indexes, including, but not limited to: economic, political or regulatory events that affect the level of the S&P 500, the VIX, VIX futures contracts or other related financial instruments; interest rates; inflation rates or inflation expectations; certain activities within equity derivatives markets; and S&P 500 trading disruptions. ProShares Volatility ETFs are generally intended for short-term investment horizons, and investors holding shares over longer-term periods may be subject to increased risk of loss. The level of the VIX has tended to revert to a long-term average over time. As such, the potential upside of long or short exposure to VIX futures contracts may be constrained and subject to significant and unexpected reversals. VIX futures indexes have historically reflected significant costs associated with rolling VIX futures contracts on a daily basis, which can consistently reduce returns for ETFs benchmarked to the indexes.
These funds generate a K-1 tax form.
ProShares Trust II is a commodity pool as defined in the Commodity Exchange Act and the applicable regulations of the CFTC. ProShare Capital Management LLC is the Trust Sponsor and commodity pool operator (CPO). The Sponsor is registered as a CPO with the CFTC, and is a member of the NFA. Neither this ETF nor ProShares Trust II is an investment company regulated under the Investment Company Act of 1940 and neither is afforded its protections
"Standard & Poor's,®" "S&P,®" "S&P 500,®" "Standard & Poor's 500,®" "S&P 500® VIX® Short-Term Futures IndexTM" and "S&P 500® VIX® Mid-Term Futures IndexTM" are products of S&P Dow Jones Indices LLC and its affiliates and have been licensed for use by ProShares. "S&P®" is a registered trademark of Standard & Poor's Financial Services LLC ("S&P") and "Dow Jones®" is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones") and have been licensed for use by S&P Dow Jones Indices LLC and its affiliates. "VIX®" is a trademark of the Chicago Board Options Exchange, Incorporated ("Cboe") and has been licensed for use by S&P Dow Jones Indices LLC. ProShares have not been passed on by S&P Dow Jones Indices, Cboe or their respective affiliates as to their legality or suitability. ProShares are not sponsored, endorsed, sold or promoted by S&P Dow Jones Indices, Cboe or their respective affiliates, and they make no representation regarding the advisability of investing in ProShares. THESE ENTITIES AND THEIR AFFILIATES MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO PROSHARES.
This information must be accompanied or preceded by a current ProShares Trust II Prospectus