ProShares Trust II - Quarter Report: 2011 March (Form 10-Q)

Large accelerated filer

Accelerated filer

Non-accelerated filer

¨ (Do not check if a smaller reporting company)

Smaller reporting company

Form 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

x	Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

for the quarterly period ended March 31, 2011.

¨	Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

for the transition period from to .

Commission file number: 001-34200

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)

Delaware

87-6284802

(State or other jurisdiction of

incorporation or organization)

(I.R.S. Employer

Identification No.)

c/o ProShare Capital Management LLC

7501 Wisconsin Avenue, Suite 1000

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip code)

(240) 497-6400

(Registrant’s telephone number, including area code)

N/A

(Former name, former address and former fiscal year, if changed since last report)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. x Yes ¨ No

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). x Yes ¨ No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). ¨ Yes x No

PROSHARES TRUST II

Table of Contents


		Page
Part I. FINANCIAL INFORMATION
Item 1.	Condensed Financial Statements.		1

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations.		102

Item 3.	Quantitative and Qualitative Disclosures About Market Risk.		120

Item 4.	Controls and Procedures.		138

Part II. OTHER INFORMATION

Item 1.	Legal Proceedings.		139

Item 1A.	Risk Factors.		139

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds.		140

Item 3.	Defaults Upon Senior Securities.		142

Item 4.	Removed and Reserved.		142

Item 5.	Other Information.		142

Item 6.	Exhibits.		142

Part I. FINANCIAL INFORMATION

Item 1.

Condensed Financial Statements.

Index


	Page
Documents
Statements of Financial Condition, Schedules of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity and Statements of Cash Flows:
ProShares Ultra DJ-UBS Commodity		2
ProShares UltraShort DJ-UBS Commodity		7
ProShares Ultra DJ-UBS Crude Oil		12
ProShares UltraShort DJ-UBS Crude Oil		17
ProShares Short DJ-UBS Natural Gas		22
ProShares Ultra Gold		23
ProShares Short Gold		28
ProShares UltraShort Gold		29
ProShares Ultra Silver		34
ProShares UltraShort Silver		39
ProShares Ultra Euro		44
ProShares UltraShort Euro		49
ProShares Ultra Yen		54
ProShares UltraShort Yen		59
ProShares VIX Short-Term Futures ETF		64
ProShares VIX Mid-Term Futures ETF		69
ProShares Trust II		74
Notes to Financial Statements		78

-1-

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF FINANCIAL CONDITION

		"December 31, 2010 "		"December 31, 2010 "
	March 31, 2011 (unaudited)		December 31, 2010
Assets
Cash	$	2,586,792	$	17,743
Short-term U.S. government and agency obligations (Note 3) (cost $21,371,684 and $16,426,195, respectively)		21,372,400		16,426,651
Unrealized appreciation on swap agreements		324,096		1,755,750

Total assets		24,283,288		18,200,144

Liabilities and shareholders’ equity
Liabilities
Management fee payable		16,721		13,486
Payable for investments purchased		2,564,681		—

Total liabilities		2,581,402		13,486


Shareholders’ equity
Shareholders’ equity		21,701,886		18,186,658

Total liabilities and shareholders’ equity	$	24,283,288	$	18,200,144

Shares outstanding		550,014		500,014

Net asset value per share	$	39.46	$	36.37

Market value per share (Note 2)	$	39.67	$	36.27

See accompanying notes to financial statements.

-2-

PROSHARES ULTRA DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

MARCH 31, 2011

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (98% of shareholders’ equity)
U.S. Treasury Bills:
0.084% due 04/07/11	$	1,957,000	$	1,956,990
0.060% due 04/14/11		1,266,000		1,265,982
0.130% due 04/21/11†		2,441,000		2,440,939
0.122% due 04/28/11†		1,830,000		1,829,927
0.090% due 05/05/11		1,224,000		1,223,942
0.079% due 05/12/11†		2,009,000		2,008,897
0.108% due 05/19/11†		2,729,000		2,728,803
0.115% due 05/26/11†		1,351,000		1,350,888
0.090% due 06/02/11†		1,386,000		1,385,832
0.065% due 06/09/11		2,565,000		2,564,660
0.090% due 06/16/11†		1,266,000		1,265,802
0.073% due 06/23/11†		1,350,000		1,349,738

Total short-term U.S. government and agency obligations (cost $21,371,684)			$	21,372,400

Swap Agreements^


	Termination Date		Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Swap agreement with Goldman Sachs International based on Dow Jones-UBS Commodity Index		04/08/11	$	10,115,403	$	96,102
Swap agreement with UBS AG based on Dow Jones-UBS Commodity Index		04/08/11		33,092,599		227,994

					$	324,096

†	All or partial amount segregated as collateral for swap agreements.

^	The positions and counterparties herein are as of March 31, 2011. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

*	For swap agreements, a positive amount represents “long” exposure to the benchmark Index. A negative amount represents “short” exposure to the benchmark Index.

See accompanying notes to financial statements.

-3-

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010

Investment Income
Interest	$	5,859		$	4,769

Expenses
Management fee		46,113			32,051

Total expenses		46,113			32,051

Net investment income (loss)		(40,254	)		(27,282	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		3,204,121			(341,859	)
Short-term U.S. government and agency obligations		—			877

Net realized gain (loss)		3,204,121			(340,982	)

Change in net unrealized appreciation/depreciation on
Swap agreements		(1,431,654	)		(1,656,814	)
Short-term U.S. government and agency obligations		260			2,356

Change in net unrealized appreciation/depreciation		(1,431,394	)		(1,654,458	)

Net realized and unrealized gain (loss)		1,772,727			(1,995,440	)

Net income (loss)	$	1,732,473		$	(2,022,722	)

Net income (loss) per weighted-average share	$	3.23		$	(3.87	)

Weighted-average shares outstanding		536,681			522,792

See accompanying notes to financial statements.

-4-

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2011

(unaudited)


Shareholders’ equity, at December 31, 2010	$	18,186,658

Addition of 50,000 shares		1,782,755


Net investment income (loss)		(40,254	)
Net realized gain (loss)		3,204,121
Change in net unrealized appreciation/depreciation		(1,431,394	)

Net income (loss)		1,732,473


Shareholders’ equity, at March 31, 2011	$	21,701,886

See accompanying notes to financial statements.

-5-

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Cash flow from operating activities
Net income (loss)	$	1,732,473		$	(2,022,722	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net sale (purchase) of short-term U.S. government and agency obligations		(4,945,489	)		8,272,673
Change in unrealized appreciation/depreciation on investments		1,431,394			1,654,458
Increase (Decrease) in management fee payable		3,235			(5,163	)
Increase (Decrease) in payable for investments purchased		2,564,681			—

Net cash provided by (used in) operating activities		786,294			7,899,246

Cash flow from financing activities
Proceeds from addition of shares		1,782,755			2,604,725
Payment on shares redeemed		—			(7,810,276	)

Net cash provided by (used in) financing activities		1,782,755			(5,205,551	)

Net increase (decrease) in cash		2,569,049			2,693,695
Cash, beginning of period		17,743			78,112

Cash, end of period	$	2,586,792		$	2,771,807

See accompanying notes to financial statements.

-6-

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF FINANCIAL CONDITION

		"December 31, 2010 "		"December 31, 2010 "
	March 31, 2011 (unaudited)		December 31, 2010
Assets
Cash	$	565,112	$	10,654
Short-term U.S. government and agency obligations (Note 3) (cost $2,625,682 and $1,594,783, respectively)		2,625,699		1,594,842

Total assets		3,190,811		1,605,496

Liabilities and shareholders’ equity
Liabilities
Management fee payable		2,190		1,273
Unrealized depreciation on swap agreements		81,016		164,150
Payable for investments purchased		546,932		—

Total liabilities		630,138		165,423

Shareholders’ equity
Shareholders’ equity		2,560,673		1,440,073

Total liabilities and shareholders’ equity	$	3,190,811	$	1,605,496

Shares outstanding		59,997		30,003

Net asset value per share (Note 1)	$	42.68	$	48.00

Market value per share (Note 1) (Note 2)	$	42.99	$	48.30

See accompanying notes to financial statements.

-7-

PROSHARES ULTRASHORT DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

MARCH 31, 2011

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (103% of shareholders’ equity)
U.S. Treasury Bills:
0.104% due 04/07/11†	$	444,000	$	443,998
0.140% due 04/28/11†		310,000		309,988
0.076% due 05/12/11†		234,000		233,988
0.130% due 06/02/11†		130,000		129,984
0.065% due 06/09/11		547,000		546,928
0.073% due 06/23/11†		961,000		960,813

Total short-term U.S. government and agency obligations (cost $2,625,682)			$	2,625,699

Swap Agreements^


	Termination Date		Notional Amount at Value*			Unrealized Appreciation (Depreciation)
Swap agreement with Goldman Sachs International based on Dow Jones-UBS Commodity Index		04/08/11	$	(1,256,091	)	$	(12,342	)
Swap agreement with UBS AG based on Dow Jones-UBS Commodity Index		04/08/11		(3,945,426	)		(68,674	)

						$	(81,016	)

†	All or partial amount segregated as collateral for swap agreements.

^	The positions and counterparties herein are as of March 31, 2011. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

*	For swap agreements, a positive amount represents “long” exposure to the benchmark Index. A negative amount represents “short” exposure to the benchmark Index.

See accompanying notes to financial statements.

-8-

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Investment Income
Interest	$	740		$	880

Expenses
Management fee		5,477			8,757

Total expenses		5,477			8,757

Net investment income (loss)		(4,737	)		(7,877	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		(384,313	)		(137,264	)
Short-term U.S. government and agency obligations		(3	)		(82	)

Net realized gain (loss)		(384,316	)		(137,346	)

Change in net unrealized appreciation/depreciation on
Swap agreements		83,134			327,765
Short-term U.S. government and agency obligations		(42	)		377

Change in net unrealized appreciation/depreciation		83,092			328,142

Net realized and unrealized gain (loss)		(301,224	)		190,796

Net income (loss)	$	(305,961	)	$	182,919

Net income (loss) per weighted-average share (Note 1)	$	(6.11	)	$	3.81

Weighted-average shares outstanding (Note 1)		50,112			48,003

See accompanying notes to financial statements.

-9-

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED

MARCH 31, 2011

(unaudited)


Shareholders’ equity, at December 31, 2010	$	1,440,073

Addition of 30,000 shares (Note 1)		1,426,814
Redemption of 6 shares (Note 1)		(253	)

Net addition (redemption) of 29,994 shares (Note 1)		1,426,561


Net investment income (loss)		(4,737	)
Net realized gain (loss)		(384,316	)
Change in net unrealized appreciation/depreciation		83,092

Net income (loss)		(305,961	)


Shareholders’ equity, at March 31, 2011	$	2,560,673

See accompanying notes to financial statements.

-10-

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Cash flow from operating activities
Net income (loss)	$	(305,961	)	$	182,919
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances for swap agreements		—			270,000
Net sale (purchase) of short-term U.S. government and agency obligations		(1,030,899	)		(303,476	)
Change in unrealized appreciation/depreciation on investments		(83,092	)		(328,142	)
Increase (Decrease) in management fee payable		917			994
Increase (Decrease) in payable for investments purchased		546,932			—

Net cash provided by (used in) operating activities		(872,103	)		(177,705	)

Cash flow from financing activities
Proceeds from addition of shares		1,426,814			1,610,413
Payment on shares redeemed		(253	)		—

Net cash provided by (used in) financing activities		1,426,561			1,610,413

Net increase (decrease) in cash		554,458			1,432,708
Cash, beginning of period		10,654			90,383

Cash, end of period	$	565,112		$	1,523,091

See accompanying notes to financial statements.

-11-

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

		"December 31, 2010"		"December 31, 2010"
	March 31, 2011 (unaudited)		December 31, 2010
Assets
Cash	$	3,979,728	$	905,158
Segregated cash balances with brokers for futures contracts		14,073,750		10,631,250
Short-term U.S. government and agency obligations (Note 3) (cost $287,688,284 and $244,384,335, respectively)		287,703,048		244,394,920
Unrealized appreciation on swap agreements		—		5,649,644
Receivable on open futures contracts		4,726,919		3,035,150

Total assets		310,483,445		264,616,122

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		34,128,097		36,266,723
Management fee payable		273,006		216,322
Unrealized depreciation on swap agreements		3,784,476		—
Payable for investments purchased		1,072,866		—

Total liabilities		39,258,445		36,483,045

Shareholders’ equity
Shareholders’ equity		271,225,000		228,133,077

Total liabilities and shareholders’ equity	$	310,483,445	$	264,616,122

Shares outstanding		4,749,170		4,562,504

Net asset value per share (Note 1)	$	57.11	$	50.00

Market value per share (Note 1) (Note 2)	$	56.99	$	49.98

See accompanying notes to financial statements.

-12-

PROSHARES ULTRA DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2011

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (106% of shareholders’ equity)
U.S. Treasury Bills:
0.130% due 04/07/11†	$	10,161,000	$	10,160,949
0.060% due 04/14/11		5,414,000		5,413,921
0.128% due 04/15/11		4,626,000		4,625,942
0.133% due 04/21/11†		15,231,000		15,230,618
0.113% due 04/28/11†		31,909,000		31,907,724
0.105% due 05/05/11		20,480,000		20,479,031
0.110% due 05/12/11†		17,275,000		17,274,112
0.096% due 05/19/11†		34,397,000		34,394,523
0.112% due 05/26/11†		74,062,000		74,055,875
0.090% due 06/02/11†		49,607,000		49,601,002
0.065% due 06/09/11		1,073,000		1,072,858
0.090% due 06/16/11†		5,414,000		5,413,152
0.073% due 06/23/11†		12,872,000		12,869,502
0.080% due 06/30/11†		5,205,000		5,203,839

Total short-term U.S. government and agency obligations (cost $287,688,284)			$	287,703,048

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Crude Oil – NYMEX, expires May 2011		2,085	$	222,511,200	$	19,717,140

Swap Agreements^


	Termination Date		Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Swap agreement with Goldman Sachs International based on Dow Jones-UBS Crude Oil Sub-Index		04/08/11	$	142,520,893	$	(820,501	)
Swap agreement with UBS AG based on Dow Jones-UBS Crude Oil Sub-Index		04/08/11		177,392,224		(2,963,975	)

					$	(3,784,476	)

†	All or partial amount segregated as collateral for swap agreements.

^	The positions and counterparties herein are as of March 31, 2011. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

*	For swap agreements, a positive amount represents “long” exposure to the benchmark Index. A negative amount represents “short” exposure to the benchmark Index.

See accompanying notes to financial statements.

-13-

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Investment Income
Interest	$	98,318		$	41,256

Expenses
Management fee		799,043			603,925
Brokerage commissions		29,669			28,343

Total expenses		828,712			632,268

Net investment income (loss)		(730,394	)		(591,012	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		22,660,320			19,526,122
Swap agreements		59,524,107			33,495,515
Short-term U.S. government and agency obligations		4,929			42,692

Net realized gain (loss)		82,189,356			53,064,329

Change in net unrealized appreciation/depreciation on
Futures contracts		14,304,380			(6,320,380	)
Swap agreements		(9,434,120	)		(16,391,841	)
Short-term U.S. government and agency obligations		4,179			22,858

Change in net unrealized appreciation/depreciation		4,874,439			(22,689,363	)

Net realized and unrealized gain (loss)		87,063,795			30,374,966

Net income (loss)	$	86,333,401		$	29,783,954

Net income (loss) per weighted-average share (Note 1)	$	12.32		$	5.48

Weighted-average shares outstanding (Note 1)		7,008,365			5,438,893

See accompanying notes to financial statements.

-14-

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED

MARCH 31, 2011

(unaudited)


Shareholders’ equity, at December 31, 2010	$	228,133,077

Addition of 9,575,000 shares (Note 1)		437,312,733
Redemption of 9,388,334 shares (Note 1)		(480,554,211	)

Net addition (redemption) of 186,666 shares (Note 1)		(43,241,478	)


Net investment income (loss)		(730,394	)
Net realized gain (loss)		82,189,356
Change in net unrealized appreciation/depreciation		4,874,439

Net income (loss)		86,333,401


Shareholders’ equity, at March 31, 2011	$	271,225,000

See accompanying notes to financial statements.

-15-

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Cash flow from operating activities
Net income (loss)	$	86,333,401		$	29,783,954
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances for swap agreements		—			(141,143	)
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(3,442,500	)		2,753,325
Net sale (purchase) of short-term U.S. government and agency obligations		(43,303,949	)		153,952,345
Change in unrealized appreciation/depreciation on investments		9,429,941			16,368,983
Decrease (Increase) in receivable on futures contracts		(1,691,769	)		(1,732,931	)
Increase (Decrease) in management fee payable		56,684			(94,139	)
Increase (Decrease) in payable for investments purchased		1,072,866			—

Net cash provided by (used in) operating activities		48,454,674			200,890,394

Cash flow from financing activities
Proceeds from addition of shares		437,312,733			172,930,688
Payment on shares redeemed		(482,692,837	)		(347,239,056	)

Net cash provided by (used in) financing activities		(45,380,104	)		(174,308,368	)

Net increase (decrease) in cash		3,074,570			26,582,026
Cash, beginning of period		905,158			80,936

Cash, end of period	$	3,979,728		$	26,662,962

See accompanying notes to financial statements.

-16-

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2011 (unaudited)		December 31, 2010
Assets
Cash	$	3,895,830	$	4,007,347
Segregated cash balances with brokers for futures contracts		7,458,750		4,252,500
Short-term U.S. government and agency obligations (Note 3) (cost $131,663,004 and $135,631,915, respectively)		131,669,441		135,637,192

Total assets		143,024,021		143,897,039

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		6,313,753
Payable on open futures contracts		2,938,254		1,140,144
Management fee payable		115,398		117,277
Unrealized depreciation on swap agreements		592,590		4,111,608
Payable for investments purchased		2,564,680		—

Total liabilities		6,210,922		11,682,782

Shareholders’ equity
Shareholders’ equity		136,813,099		132,214,257

Total liabilities and shareholders’ equity	$	143,024,021	$	143,897,039

Shares outstanding		3,319,944		2,600,003

Net asset value per share (Note 1)	$	41.21	$	50.85

Market value per share (Note 1) (Note 2)	$	41.30	$	50.85

See accompanying notes to financial statements.

-17-

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2011

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (96% of shareholders’ equity)
U.S. Treasury Bills:
0.060% due 04/14/11	$	7,640,000	$	7,639,889
0.125% due 04/15/11†		14,590,000		14,589,816
0.141% due 04/21/11†		11,003,000		11,002,724
0.113% due 04/28/11†		8,552,000		8,551,658
0.090% due 05/05/11†		3,036,000		3,035,856
0.102% due 05/12/11†		8,309,000		8,308,573
0.110% due 05/19/11†		9,514,000		9,513,315
0.077% due 06/02/11		1,568,000		1,567,810
0.109% due 06/09/11†		44,034,000		44,028,166
0.088% due 06/16/11		12,990,000		12,987,964
0.080% due 06/30/11†		10,446,000		10,443,670

Total short-term U.S. government and agency obligations (cost $131,663,004)			$	131,669,441

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Crude Oil – NYMEX, expires May 2011		1,105	$	117,925,600	$	(3,121,980	)

Swap Agreements^


	Termination Date		Notional Amount at Value*			Unrealized Appreciation (Depreciation)
Swap agreement with Goldman Sachs International based on Dow Jones-UBS Crude Oil Sub-Index		04/08/11	$	(70,184,997	)	$	(935,662	)
Swap agreement with UBS AG based on Dow Jones-UBS Crude Oil Sub-Index		04/08/11		(85,507,876	)		343,072

						$	(592,590	)

†	All or partial amount segregated as collateral for swap agreements.

^	The positions and counterparties herein are as of March 31, 2011. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

*	For swap agreements, a positive amount represents “long” exposure to the benchmark Index. A negative amount represents “short” exposure to the benchmark Index.

See accompanying notes to financial statements.

-18-

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED

MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Investment Income
Interest	$	36,450		$	22,438

Expenses
Management fee		298,212			217,682
Brokerage commissions		15,649			12,179

Total expenses		313,861			229,861

Net investment income (loss)		(277,411	)		(207,423	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(4,611,590	)		(374,202	)
Swap agreements		(9,323,639	)		1,958,414
Short-term U.S. government and agency obligations		427			905

Net realized gain (loss)		(13,934,802	)		1,585,117

Change in net unrealized appreciation/depreciation on
Futures contracts		(737,560	)		617,120
Swap agreements		3,519,018			(1,793,934	)
Short-term U.S. government and agency obligations		1,160			6,495

Change in net unrealized appreciation/depreciation		2,782,618			(1,170,319	)

Net realized and unrealized gain (loss)		(11,152,184	)		414,798

Net income (loss)	$	(11,429,595	)	$	207,375

Net income (loss) per weighted-average share (Note 1)	$	(4.42	)	$	0.15

Weighted-average shares outstanding (Note 1)		2,583,207			1,364,892

See accompanying notes to financial statements.

-19-

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED

MARCH 31, 2011

(unaudited)


Shareholders’ equity, at December 31, 2010	$	132,214,257

Addition of 2,730,000 shares (Note 1)		122,260,245
Redemption of 2,010,059 shares (Note 1)		(106,231,808	)

Net addition (redemption) of 719,941 shares (Note 1)		16,028,437


Net investment income (loss)		(277,411	)
Net realized gain (loss)		(13,934,802	)
Change in net unrealized appreciation/depreciation		2,782,618

Net income (loss)		(11,429,595	)


Shareholders’ equity, at March 31, 2011	$	136,813,099

See accompanying notes to financial statements.

-20-

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Cash flow from operating activities
Net income (loss)	$	(11,429,595	)	$	207,375
Adjustments to reconcile net income (loss) to net cash provided by (used in)operating activities:
Decrease (Increase) in segregated cash balances for swap agreements		—			(100,500	)
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(3,206,250	)		(1,539,675	)
Net sale (purchase) of short-term U.S. government and agency obligations		3,968,911			(29,833,728	)
Change in unrealized appreciation/depreciation on investments		(3,520,178	)		1,787,439
Increase (Decrease) in management fee payable		(1,879	)		22,883
Increase (Decrease) in payable for investments purchased		2,564,680			—
Increase (Decrease) in payable on futures contracts		1,798,110			1,057,184

Net cash provided by (used in) operating activities		(9,826,201	)		(28,399,022	)

Cash flow from financing activities
Proceeds from addition of shares		122,260,245			154,951,532
Payment on shares redeemed		(112,545,561	)		(124,837,956	)

Net cash provided by (used in) financing activities		9,714,684			30,113,576

Net increase (decrease) in cash		(111,517	)		1,714,554
Cash, beginning of period		4,007,347			75,409

Cash, end of period	$	3,895,830		$	1,789,963

See accompanying notes to financial statements.

-21-

PROSHARES SHORT DJ-UBS NATURAL GAS*

STATEMENTS OF FINANCIAL CONDITION

		"Decembe		"Decembe
	March 31, 2011 (unaudited)		December 31, 2010
Assets
Cash	$	200	$	200
Offering costs (Note 5)		29,090		—

Total assets		29,290		200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		29,090		—

Total liabilities		29,090		—

Shareholders’ equity
Shareholders’ equity		200		200

Total liabilities and shareholders’ equity	$	29,290	$	200

*	See Note 1.

See accompanying notes to financial statements.

-22-

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

		"December 31, 2010 "		"December 31, 2010 "
	March 31, 2011 (unaudited)		December 31, 2010
Assets
Cash	$	29,060,852	$	1,262,424
Segregated cash balances with brokers for futures contracts		398,330		467,775
Short-term U.S. government and agency obligations (Note 3) (cost $242,096,894 and $249,242,580, respectively)		242,107,371		249,250,657
Unrealized appreciation on forward agreements		7,387,510		8,724,587
Receivable on open futures contracts		88,500		60,830

Total assets		279,042,563		259,766,273

Liabilities and shareholders’ equity
Liabilities
Management fee payable		195,662		204,198
Payable for investments purchased		28,084,501		—

Total liabilities		28,280,163		204,198

Shareholders’ equity
Shareholders’ equity		250,762,400		259,562,075

Total liabilities and shareholders’ equity	$	279,042,563	$	259,766,273

Shares outstanding		3,500,014		3,750,014

Net asset value per share	$	71.65	$	69.22

Market value per share (Note 2)	$	71.13	$	70.72

See accompanying notes to financial statements.

-23-

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2011

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (97% of shareholders’ equity)
U.S. Treasury Bills:
0.079% due 04/07/11	$	16,123,000	$	16,122,919
0.060% due 04/14/11		12,628,000		12,627,817
0.128% due 04/15/11		25,430,000		25,429,680
0.138% due 04/21/11†		20,231,000		20,230,492
0.115% due 04/28/11†		16,154,000		16,153,354
0.090% due 05/05/11		14,399,000		14,398,319
0.095% due 05/12/11†		15,669,000		15,668,195
0.109% due 05/19/11†		34,895,000		34,892,488
0.115% due 05/26/11†		9,854,000		9,853,185
0.140% due 06/02/11†		8,000,000		7,999,033
0.087% due 06/09/11†		42,914,000		42,908,314
0.089% due 06/16/11†		15,753,000		15,750,531
0.073% due 06/23/11†		10,075,000		10,073,044

Total short-term U.S. government and agency obligations (cost $242,096,894)			$	242,107,371

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures – COMEX, expires June 2011		59	$	8,495,410	$	169,980

Forward Agreements^


	Settlement Date		Commitment to (Deliver)/Receive		Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		04/13/11	$	87,720	$	126,241,361	$	1,856,067
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		04/13/11		254,800		366,692,872		5,531,443

							$	7,387,510

†	All or partial amount segregated as collateral for forward agreements.

^	The positions and counterparties herein are as of March 31, 2011. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

*	For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

See accompanying notes to financial statements.

-24-

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Investment Income
Interest	$	71,784		$	24,820

Expenses
Management fee		553,335			383,232
Brokerage commissions		905			1,004

Total expenses		554,240			384,236

Net investment income (loss)		(482,456	)		(359,416	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		178,030			(79,143	)
Forward agreements		7,843,381			(2,484,739	)
Short-term U.S. government and agency obligations		(152	)		5,759

Net realized gain (loss)		8,021,259			(2,558,123	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(136,000	)		256,380
Forward agreements		(1,337,077	)		7,492,523
Short-term U.S. government and agency obligations		2,400			1,301

Change in net unrealized appreciation/depreciation		(1,470,677	)		7,750,204

Net realized and unrealized gain (loss)		6,550,582			5,192,081

Net income (loss)	$	6,068,126		$	4,832,665

Net income (loss) per weighted-average share	$	1.72		$	1.33

Weighted-average shares outstanding		3,534,458			3,620,014

See accompanying notes to financial statements.

-25-

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2011

(unaudited)


Shareholders’ equity, at December 31, 2010	$	259,562,075

Addition of 50,000 shares		3,477,778
Redemption of 300,000 shares		(18,345,579	)

Net addition (redemption) of (250,000) shares		(14,867,801	)


Net investment income (loss)		(482,456	)
Net realized gain (loss)		8,021,259
Change in net unrealized appreciation/depreciation		(1,470,677	)

Net income (loss)		6,068,126


Shareholders’ equity, at March 31, 2011	$	250,762,400

See accompanying notes to financial statements.

-26-

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Cash flow from operating activities
Net income (loss)	$	6,068,126		$	4,832,665
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		69,445			15,273
Net sale (purchase) of short-term U.S. government and agency obligations		7,145,686			22,782,236
Change in unrealized appreciation/depreciation on investments		1,334,677			(7,493,824	)
Decrease (Increase) in receivable on futures contracts		(27,670	)		12,230
Increase (Decrease) in management fee payable		(8,536	)		(19,287	)
Increase (Decrease) in payable for investments purchased		28,084,501			—

Net cash provided by (used in) operating activities		42,666,229			20,129,293

Cash flow from financing activities
Proceeds from addition of shares		3,477,778			27,481,133
Payment on shares redeemed		(18,345,579	)		(31,524,080	)

Net cash provided by (used in) financing activities		(14,867,801	)		(4,042,947	)

Net increase (decrease) in cash		27,798,428			16,086,346
Cash, beginning of period		1,262,424			96,468

Cash, end of period	$	29,060,852		$	16,182,814

See accompanying notes to financial statements.

-27-

PROSHARES SHORT GOLD*

STATEMENTS OF FINANCIAL CONDITION

		"Decembe		"Decembe
	March 31, 2011 (unaudited)		December 31, 2010
Assets
Cash	$	200	$	200
Offering costs (Note 5)		12,424		—

Total assets		12,624		200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		12,424		—

Total liabilities		12,424		—

Shareholders’ equity
Shareholders’ equity		200		200

Total liabilities and shareholders’ equity	$	12,624	$	200

*	See Note 1.

See accompanying notes to financial statements.

-28-

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

		"December 31, 2010 "		"December 31, 2010 "
	March 31, 2011 (unaudited)		December 31, 2010
Assets
Cash	$	2,811,698	$	404,683
Segregated cash balances with brokers for futures contracts		378,076		364,500
Short-term U.S. government and agency obligations (Note 3) (cost $82,928,166 and $80,111,190, respectively)		82,930,951		80,114,447

Total assets		86,120,725		80,883,630

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		113,762		94,800
Management fee payable		74,723		64,932
Unrealized depreciation on forward agreements		2,452,028		2,991,391
Payable for investments purchased		2,393,702		—

Total liabilities		5,034,215		3,151,123

Shareholders’ equity
Shareholders’ equity		81,086,510		77,732,507

Total liabilities and shareholders’ equity	$	86,120,725	$	80,883,630

Shares outstanding		3,039,901		2,739,901

Net asset value per share	$	26.67	$	28.37

Market value per share (Note 2)	$	26.85	$	27.80

See accompanying notes to financial statements.

-29-

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2011

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (102% of shareholders’ equity)
U.S. Treasury Bills:
0.104% due 04/07/11	$	8,443,000	$	8,442,958
0.060% due 04/14/11		870,000		869,987
0.149% due 04/21/11†		12,638,000		12,637,683
0.140% due 04/28/11†		5,125,000		5,124,795
0.090% due 05/05/11†		16,944,000		16,943,198
0.050% due 05/12/11		1,772,000		1,771,909
0.101% due 05/19/11†		18,574,000		18,572,663
0.115% due 05/26/11†		1,641,000		1,640,864
0.065% due 06/09/11		2,394,000		2,393,683
0.090% due 06/16/11†		870,000		869,864
0.073% due 06/23/11†		13,666,000		13,663,347

Total short-term U.S. government and agency obligations (cost $82,928,166)			$	82,930,951

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures – COMEX, expires June 2011		56	$	8,063,440	$	(151,020	)

Forward Agreements^


	Settlement Date		Commitment to (Deliver)/Receive			Notional at Amount Value*			Unrealized Appreciation (Depreciation)
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		04/13/11	$	(28,198	)	$	(40,580,870	)	$	(659,075	)
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		04/13/11		(78,900	)		(113,548,146	)		(1,792,953	)

									$	(2,452,028	)

†	All or partial amount segregated as collateral for forward agreements.

^	The positions and counterparties herein are as of March 31, 2011. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

*	For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

See accompanying notes to financial statements.

-30-

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Investment Income
Interest	$	31,276		$	13,434

Expenses
Management fee		229,514			162,335
Brokerage commissions		1,092			1,050

Total expenses		230,606			163,385

Net investment income (loss)		(199,330	)		(149,951	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(218,760	)		108,407
Forward agreements		(7,734,627	)		(1,819,294	)
Short-term U.S. government and agency obligations		320			2,103

Net realized gain (loss)		(7,953,067	)		(1,708,784	)

Change in net unrealized appreciation/depreciation on
Futures contracts		141,730			(59,380	)
Forward agreements		539,363			(3,070,146	)
Short-term U.S. government and agency obligations		(472	)		3,982

Change in net unrealized appreciation/depreciation		680,621			(3,125,544	)

Net realized and unrealized gain (loss)		(7,272,446	)		(4,834,328	)

Net income (loss)	$	(7,471,776	)	$	(4,984,279	)

Net income (loss) per weighted-average share	$	(2.22	)	$	(3.58	)

Weighted-average shares outstanding		3,369,345			1,390,558

See accompanying notes to financial statements.

-31-

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2011

(unaudited)


Shareholders’ equity, at December 31, 2010	$	77,732,507

Addition of 1,050,000 shares		31,756,616
Redemption of 750,000 shares		(20,930,837	)

Net addition (redemption) of 300,000 shares		10,825,779


Net investment income (loss)		(199,330	)
Net realized gain (loss)		(7,953,067	)
Change in net unrealized appreciation/depreciation		680,621

Net income (loss)		(7,471,776	)


Shareholders’ equity, at March 31, 2011	$	81,086,510

See accompanying notes to financial statements.

-32-

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Cash flow from operating activities
Net income (loss)	$	(7,471,776	)	$	(4,984,279	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances for forward agreements		—			(100,500	)
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(13,576	)		(135,723	)
Net sale (purchase) of short-term U.S. government and agency obligations		(2,816,976	)		2,657,442
Change in unrealized appreciation/depreciation on investments		(538,891	)		3,066,164
Increase (Decrease) in management fee payable		9,791			3,395
Increase (Decrease) in payable for investments purchased		2,393,702			—
Increase (Decrease) in payable on futures contracts		18,962			108,161

Net cash provided by (used in) operating activities		(8,418,764	)		614,660

Cash flow from financing activities
Proceeds from addition of shares		31,756,616			14,766,261
Payment on shares redeemed		(20,930,837	)		(13,601,433	)

Net cash provided by (used in) financing activities		10,825,779			1,164,828

Net increase (decrease) in cash		2,407,015			1,779,488
Cash, beginning of period		404,683			75,790

Cash, end of period	$	2,811,698		$	1,855,278

See accompanying notes to financial statements.

-33-

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

		"December 31, 2010"		"December 31, 2010"
	March 31, 2011 (unaudited)		December 31, 2010
Assets
Cash	$	51,765,966	$	2,505,032
Segregated cash balances with brokers for futures contracts		4,744,980		2,395,913
Short-term U.S. government and agency obligations (Note 3) (cost $983,528,427 and $495,898,270, respectively)		983,570,638		495,915,529
Unrealized appreciation on forward agreements		65,351,418		46,191,568
Receivable on open futures contracts		180,690		391,421

Total assets		1,105,613,692		547,399,463

Liabilities and shareholders’ equity
Liabilities
Management fee payable		728,894		395,544
Payable for investments purchased		47,809,043		—

Total liabilities		48,537,937		395,544

Shareholders’ equity
Shareholders’ equity		1,057,075,755		547,003,919

Total liabilities and shareholders’ equity	$	1,105,613,692	$	547,399,463

Shares outstanding		4,650,014		3,500,014

Net asset value per share	$	227.33	$	156.29

Market value per share (Note 2)	$	225.09	$	158.59

See accompanying notes to financial statements.

-34-

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2011

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (93% of shareholders’ equity)
U.S. Treasury Bills:
0.035% due 04/07/11†	$	9,861,000	$	9,860,951
0.060% due 04/14/11		9,379,000		9,378,864
0.128% due 04/15/11		42,476,000		42,475,465
0.122% due 04/21/11†		49,571,000		49,569,756
0.118% due 04/28/11†		98,254,000		98,250,070
0.105% due 05/05/11		11,869,000		11,868,438
0.080% due 05/12/11†		46,321,000		46,318,619
0.110% due 05/19/11†		103,156,000		103,148,573
0.085% due 05/26/11		52,803,000		52,798,633
0.112% due 06/02/11†		88,808,000		88,797,263
0.110% due 06/09/11†		191,766,000		191,740,591
0.085% due 06/16/11†		123,486,000		123,466,650
0.077% due 06/23/11†		53,554,000		53,543,605
0.080% due 06/30/11†		102,376,000		102,353,160

Total short-term U.S. government and agency obligations (cost $983,528,427)			$	983,570,638

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures – COMEX, expires May 2011		404	$	76,533,760	$	8,851,915

Forward Agreements^


	Settlement Date		Commitment to (Deliver)/Receive		Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		04/13/11	$	12,250,800	$	463,997,825 $		14,894,073
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		04/13/11		41,544,000		1,573,474,846		50,457,345

							$	65,351,418

†	All or partial amount segregated as collateral for forward agreements.

^	The positions and counterparties herein are as of March 31, 2011. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

*	For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

See accompanying notes to financial statements.

-35-

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED

MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Investment Income
Interest	$	186,095		$	36,445

Expenses
Management fee		1,507,863			372,436
Brokerage commissions		1,938			1,775

Total expenses		1,509,801			374,211

Net investment income (loss)		(1,323,706	)		(337,766	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		3,968,311			(942,696	)
Forward agreements		269,376,150			(6,895,653	)
Short-term U.S. government and agency obligations		1,630			7,491

Net realized gain (loss)		273,346,091			(7,830,858	)

Change in net unrealized appreciation/depreciation on
Futures contracts		5,795,695			1,654,205
Forward agreements		19,159,850			13,777,444
Short-term U.S. government and agency obligations		24,952			13,397

Change in net unrealized appreciation/depreciation		24,980,497			15,445,046

Net realized and unrealized gain (loss)		298,326,588			7,614,188

Net income (loss)	$	297,002,882		$	7,276,422

Net income (loss) per weighted-average share	$	77.32		$	2.52

Weighted-average shares outstanding		3,841,125			2,892,792

See accompanying notes to financial statements.

-36-

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED

MARCH 31, 2011

(unaudited)


Shareholders’ equity, at December 31, 2010	$	547,003,919

Addition of 1,900,000 shares		331,502,696
Redemption of 750,000 shares		(118,433,742	)

Net addition (redemption) of 1,150,000 shares		213,068,954


Net investment income (loss)		(1,323,706	)
Net realized gain (loss)		273,346,091
Change in net unrealized appreciation/depreciation		24,980,497

Net income (loss)		297,002,882


Shareholders’ equity, at March 31, 2011	$	1,057,075,755

See accompanying notes to financial statements.

-37-

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Cash flow from operating activities
Net income (loss)	$	297,002,882		$	7,276,422
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances for forward agreements		—			(133,400	)
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(2,349,067	)		57,388
Net sale (purchase) of short-term U.S. government and agency obligations		(487,630,157	)		6,176,571
Change in unrealized appreciation/depreciation on investments		(19,184,802	)		(13,790,841	)
Decrease (Increase) in receivable on futures contracts		210,731			(89,655	)
Increase (Decrease) in management fee payable		333,350			12,040
Increase (Decrease) in payable for investments purchased		47,809,043			—

Net cash provided by (used in) operating activities		(163,808,020	)		(491,475	)

Cash flow from financing activities
Proceeds from addition of shares		331,502,696			34,990,226
Payment on shares redeemed		(118,433,742	)		(19,582,492	)

Net cash provided by (used in) financing activities		213,068,954			15,407,734

Net increase (decrease) in cash		49,260,934			14,916,259
Cash, beginning of period		2,505,032			75,670

Cash, end of period	$	51,765,966		$	14,991,929

See accompanying notes to financial statements.

-38-

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

		"December 31, 2010"		"December 31, 2010"
	March 31, 2011 (unaudited)		December 31, 2010
Assets
Cash	$	3,659,708	$	3,514,285
Segregated cash balances with brokers for futures contracts		262,224		512,663
Short-term U.S. government and agency obligations (Note 3) (cost $136,103,483 and $105,316,101, respectively)		136,108,642		105,319,504
Receivable from capital shares sold		2,308,226		—

Total assets		142,338,800		109,346,452

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		227,423
Management fee payable		109,330		75,903
Unrealized depreciation on forward agreements		8,996,101		10,010,345
Payable for investments purchased		2,974,629		—

Total liabilities		12,080,060		10,313,671

Shareholders’ equity
Shareholders’ equity		130,258,740		99,032,781

Total liabilities and shareholders’ equity	$	142,338,800	$	109,346,452

Shares outstanding		5,644,369		2,482,479

Net asset value per share (Note 1)	$	23.08	$	39.89

Market value per share (Note 1) (Note 2)	$	23.33	$	39.28

See accompanying notes to financial statements.

-39-

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2011

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (104% of shareholders’ equity)
U.S. Treasury Bills:
0.035% due 04/07/11†	$	8,253,000	$	8,252,959
0.060% due 04/14/11		16,367,000		16,366,763
0.128% due 04/15/11		6,260,000		6,259,921
0.150% due 04/21/11†		11,246,000		11,245,718
0.140% due 04/28/11†		8,689,000		8,688,652
0.098% due 05/05/11†		5,945,000		5,944,719
0.052% due 05/12/11†		9,816,000		9,815,495
0.104% due 05/19/11		5,443,000		5,442,608
0.115% due 05/26/11†		7,942,000		7,941,343
0.125% due 06/02/11†		21,435,000		21,432,409
0.065% due 06/09/11		2,975,000		2,974,606
0.090% due 06/16/11†		16,367,000		16,364,435
0.073% due 06/23/11†		15,382,000		15,379,014

Total short-term U.S. government and agency obligations (cost $136,103,483)			$	136,108,642

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures – COMEX, expires May 2011		23	$	4,357,120	$	(289,495	)

Forward Agreements^


	Settlement Date		Commitment to (Deliver)/Receive			Notional Amount at Value*			Unrealized Appreciation (Depreciation)
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		04/13/11	$	(1,707,500	)	$	(64,671,392	)	$	(2,140,997	)
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		04/13/11		(5,058,000	)		(191,571,244	)		(6,855,104	)

									$	(8,996,101	)

†	All or partial amount segregated as collateral for forward agreements.

^	The positions and counterparties herein are as of March 31, 2011. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

*	For forward agreements, a positive amount represents “long” exposure to the underlying commodity. A negative amount represents “short” exposure to the underlying commodity.

See accompanying notes to financial statements.

-40-

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Investment Income
Interest	$	46,897		$	14,912

Expenses
Management fee		340,262			167,390
Brokerage commissions		631			657

Total expenses		340,893			168,047

Net investment income (loss)		(293,996	)		(153,135	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(1,723,196	)		383,460
Forward agreements		(79,565,617	)		(3,109,645	)
Short-term U.S. government and agency obligations		1,268			3,087

Net realized gain (loss)		(81,287,545	)		(2,723,098	)

Change in net unrealized appreciation/depreciation on
Futures contracts		229,925			(366,870	)
Forward agreements		1,014,244			(5,724,513	)
Short-term U.S. government and agency obligations		1,756			5,090

Change in net unrealized appreciation/depreciation		1,245,925			(6,086,293	)

Net realized and unrealized gain (loss)		(80,041,620	)		(8,809,391	)

Net income (loss)	$	(80,335,616	)	$	(8,962,526	)

Net income (loss) per weighted-average share (Note 1)	$	(19.74	)	$	(23.10	)

Weighted-average shares outstanding (Note 1)		4,070,629			388,000

See accompanying notes to financial statements.

-41-

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED

MARCH 31, 2011

(unaudited)


Shareholders’ equity, at December 31, 2010	$	99,032,781

Addition of 4,587,500 shares (Note 1)		161,689,240
Redemption of 1,425,610 shares (Note 1)		(50,127,665	)

Net addition (redemption) of 3,161,890 shares (Note 1)		111,561,575


Net investment income (loss)		(293,996	)
Net realized gain (loss)		(81,287,545	)
Change in net unrealized appreciation/depreciation		1,245,925

Net income (loss)		(80,335,616	)


Shareholders’ equity, at March 31, 2011	$	130,258,740

See accompanying notes to financial statements.

-42-

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Cash flow from operating activities
Net income (loss)	$	(80,335,616	)	$	(8,962,526	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances for forward agreements		—			(60,300	)
Decrease (Increase) in segregated cash balances with brokers for futures contracts		250,439			312,653
Net sale (purchase) of short-term U.S. government and agency obligations		(30,787,382	)		1,793,173
Change in unrealized appreciation/depreciation on investments		(1,016,000	)		5,719,423
Decrease (Increase) in receivable on futures contracts		—			(83,560	)
Increase (Decrease) in management fee payable		33,427			3,065
Increase (Decrease) in payable for investments purchased		2,974,629			—
Increase (Decrease) in payable on futures contracts		(227,423	)		—

Net cash provided by (used in) operating activities		(109,107,926	)		(1,278,072	)

Cash flow from financing activities
Proceeds from addition of shares		159,381,014			27,705,812
Payment on shares redeemed		(50,127,665	)		(17,517,168	)

Net cash provided by (used in) financing activities		109,253,349			10,188,644

Net increase (decrease) in cash		145,423			8,910,572
Cash, beginning of period		3,514,285			78,312

Cash, end of period	$	3,659,708		$	8,988,884

See accompanying notes to financial statements.

-43-

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

		"December 31, 2010"		"December 31, 2010"
	March 31, 2011 (unaudited)		December 31, 2010
Assets
Cash	$	1,424,790	$	13,447
Short-term U.S. government and agency obligations (Note 3) (cost $8,276,979 and $7,373,910, respectively)		8,277,246		7,374,157
Unrealized appreciation on foreign currency forward contracts		381,952		348,179

Total assets		10,083,988		7,735,783

Liabilities and shareholders’ equity
Liabilities
Management fee payable		6,833		6,099
Payable for investments purchased		1,411,824		—

Total liabilities		1,418,657		6,099

Shareholders’ equity
Shareholders’ equity		8,665,331		7,729,684

Total liabilities and shareholders’ equity	$	10,083,988	$	7,735,783

Shares outstanding		300,014		300,014

Net asset value per share	$	28.88	$	25.76

Market value per share (Note 2)	$	28.90	$	25.86

See accompanying notes to financial statements.

-44-

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2011

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (96% of shareholders’ equity)
U.S. Treasury Bills:
0.130% due 04/07/11	$	120,000	$	119,999
0.060% due 04/14/11		680,000		679,990
0.155% due 04/21/11		575,000		574,986
0.112% due 04/28/11		588,000		587,976
0.090% due 05/05/11		839,000		838,960
0.113% due 05/12/11		468,000		467,976
0.100% due 05/19/11		839,000		838,940
0.115% due 05/26/11†		1,039,000		1,038,914
0.065% due 06/09/11		1,412,000		1,411,813
0.090% due 06/16/11		680,000		679,893
0.073% due 06/23/11		1,038,000		1,037,799

Total short-term U.S. government and agency obligations (cost $8,276,979)			$	8,277,246

Foreign Currency Forward Contracts^


	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International		04/08/11		6,494,625		$	9,204,492		$	205,005
Euro with UBS AG		04/08/11		6,162,000			8,733,080			186,540

									$	391,545

Contracts to Sell
Euro with Goldman Sachs International		04/08/11		(277,300	)	$	(393,003	)	$	(5,256	)
Euro with UBS AG		04/08/11		(151,300	)		(214,430	)		(4,337	)

									$	(9,593	)

†	All or partial amount segregated as collateral for foreign currency forward contracts.

^	The positions and counterparties herein are as of March 31, 2011. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

See accompanying notes to financial statements.

-45-

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Investment Income
Interest	$	2,411		$	1,480

Expenses
Management fee		18,926			19,300

Total expenses		18,926			19,300

Net investment income (loss)		(16,515	)		(17,820	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		918,369			(842,093	)
Short-term U.S. government and agency obligations		—			435

Net realized gain (loss)		918,369			(841,658	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		33,773			(41,128	)
Short-term U.S. government and agency obligations		20			349

Change in net unrealized appreciation/depreciation		33,793			(40,779	)

Net realized and unrealized gain (loss)		952,162			(882,437	)

Net income (loss)	$	935,647		$	(900,257	)

Net income (loss) per weighted-average share	$	3.12		$	(3.06	)

Weighted-average shares outstanding		300,014			294,458

See accompanying notes to financial statements.

-46-

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED

MARCH 31, 2011

(unaudited)


Shareholders’ equity, at December 31, 2010	$	7,729,684

Net investment income (loss)		(16,515	)
Net realized gain (loss)		918,369
Change in net unrealized appreciation/depreciation		33,793

Net income (loss)		935,647


Shareholders’ equity, at March 31, 2011	$	8,665,331

See accompanying notes to financial statements.

-47-

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Cash flow from operating activities
Net income (loss)	$	935,647		$	(900,257	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net sale (purchase) of short-term U.S. government and agency obligations		(903,069	)		(5,290	)
Change in unrealized appreciation/depreciation on investments		(33,793	)		40,779
Increase (Decrease) in management fee payable		734			1,313
Increase (Decrease) in payable for investments purchased		1,411,824			—

Net cash provided by (used in) operating activities		1,411,343			(863,455	)

Cash flow from financing activities
Proceeds from addition of shares		—			2,711,263

Net increase (decrease) in cash		1,411,343			1,847,808
Cash, beginning of period		13,447			79,160

Cash, end of period	$	1,424,790		$	1,926,968

See accompanying notes to financial statements.

-48-

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2011 (unaudited)		December 31, 2010
Assets
Cash	$	45,650,917	$	251,588
Short-term U.S. government and agency obligations (Note 3) (cost $394,685,734 and $471,813,434, respectively)		394,698,496		471,829,446
Receivable from capital shares sold		15,210,173		—

Total assets		455,559,586		472,081,034

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		4,109,402
Management fee payable		318,105		364,560
Unrealized depreciation on foreign currency forward contracts		19,020,367		23,194,077
Payable for investments purchased		45,447,337		—

Total liabilities		64,785,809		27,668,039

Shareholders’ equity
Shareholders’ equity		390,773,777		444,412,995

Total liabilities and shareholders’ equity	$	455,559,586	$	472,081,034

Shares outstanding		21,900,014		21,900,014

Net asset value per share	$	17.84	$	20.29

Market value per share (Note 2)	$	17.85	$	20.31

See accompanying notes to financial statements.

-49-

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2011

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (101% of shareholders’ equity)
U.S. Treasury Bills:
0.045% due 04/07/11	$	10,393,000	$	10,392,948
0.060% due 04/14/11		28,045,000		28,044,593
0.128% due 04/15/11		50,028,000		50,027,370
0.138% due 04/21/11†		66,706,000		66,704,326
0.129% due 04/28/11†		7,062,000		7,061,718
0.090% due 05/05/11		1,646,000		1,645,922
0.055% due 05/12/11		24,655,000		24,653,733
0.114% due 05/19/11		28,785,000		28,782,927
0.115% due 05/26/11†		17,479,000		17,477,554
0.140% due 06/02/11†		28,000,000		27,996,615
0.065% due 06/09/11		45,453,000		45,446,977
0.090% due 06/16/11		28,045,000		28,040,605
0.073% due 06/23/11		8,436,000		8,434,363
0.080% due 06/30/11		50,000,000		49,988,845

Total short-term U.S. government and agency obligations (cost $394,685,734)			$	394,698,496

Foreign Currency Forward Contracts^


	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International		04/08/11		59,682,500		$	84,584,881		$	1,135,941
Euro with UBS AG		04/08/11		65,255,600			92,483,344			705,144

									$	1,841,085

Contracts to Sell
Euro with Goldman Sachs International		04/08/11		(333,350,925	)	$	(472,440,805	)	$	(10,225,159	)
Euro with UBS AG		04/08/11		(343,025,700	)		(486,152,357	)		(10,636,293	)

									$	(20,861,452	)

†	All or partial amount segregated as collateral for foreign currency forward contracts.

^	The positions and counterparties herein are as of March 31, 2011. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

See accompanying notes to financial statements.

-50-

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Investment Income
Interest	$	144,361		$	38,955

Expenses
Management fee		1,033,909			481,122

Total expenses		1,033,909			481,122

Net investment income (loss)		(889,548	)		(442,167	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(62,149,035	)		13,941,207
Short-term U.S. government and agency obligations		1,407			11,153

Net realized gain (loss)		(62,147,628	)		13,952,360

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		4,173,710			5,704,694
Short-term U.S. government and agency obligations		(3,250	)		7,609

Change in net unrealized appreciation/depreciation		4,170,460			5,712,303

Net realized and unrealized gain (loss)		(57,977,168	)		19,664,663

Net income (loss)	$	(58,866,716	)	$	19,222,496

Net income (loss) per weighted-average share	$	(2.58	)	$	1.88

Weighted-average shares outstanding		22,835,014			10,208,903

See accompanying notes to financial statements.

-51-

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2011

(unaudited)


Shareholders’ equity, at December 31, 2010	$	444,412,995

Addition of 3,850,000 shares		78,443,079
Redemption of 3,850,000 shares		(73,215,581	)

Net addition (redemption) of 0 shares		5,227,498


Net investment income (loss)		(889,548	)
Net realized gain (loss)		(62,147,628	)
Change in net unrealized appreciation/depreciation		4,170,460

Net income (loss)		(58,866,716	)


Shareholders’ equity, at March 31, 2011	$	390,773,777

See accompanying notes to financial statements.

-52-

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Cash flow from operating activities
Net income (loss)	$	(58,866,716	)	$	19,222,496
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net sale (purchase) of short-term U.S. government and agency obligations		77,127,700			(180,182,385	)
Change in unrealized appreciation/depreciation on investments		(4,170,460	)		(5,712,303	)
Increase (Decrease) in management fee payable		(46,455	)		162,705
Increase (Decrease) in payable for investments purchased		45,447,337			—

Net cash provided by (used in) operating activities		59,491,406			(166,509,487	)

Cash flow from financing activities
Proceeds from addition of shares		63,232,906			175,158,072
Payment on shares redeemed		(77,324,983	)		—

Net cash provided by (used in) financing activities		(14,092,077	)		175,158,072

Net increase (decrease) in cash		45,399,329			8,648,585
Cash, beginning of period		251,588			76,035

Cash, end of period	$	45,650,917		$	8,724,620

See accompanying notes to financial statements.

-53-

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

		"December 31, 2010 "		"December 31, 2010 "
	March 31, 2011 (unaudited)		December 31, 2010
Assets
Cash	$	702,581	$	10,637
Short-term U.S. government and agency obligations (Note 3) (cost $3,284,661 and $4,733,572, respectively)		3,284,727		4,733,703
Unrealized appreciation on foreign currency forward contracts		—		283,503

Total assets		3,987,308		5,027,843

Liabilities and shareholders’ equity
Liabilities
Management fee payable		2,667		3,603
Unrealized depreciation on foreign currency forward contracts		118,906		—
Payable for investments purchased		688,914		—

Total liabilities		810,487		3,603

Shareholders’ equity
Shareholders’ equity		3,176,821		5,024,240

Total liabilities and shareholders’ equity	$	3,987,308	$	5,027,843

Shares outstanding		100,014		150,014

Net asset value per share	$	31.76	$	33.49

Market value per share (Note 2)	$	31.77	$	33.29

See accompanying notes to financial statements.

-54-

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2011

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (103% of shareholders’ equity)
U.S. Treasury Bills:
0.078% due 04/07/11	$	575,000	$	574,997
0.060% due 04/14/11		271,000		270,996
0.140% due 04/28/11		226,000		225,991
0.074% due 05/12/11†		576,000		575,970
0.115% due 05/26/11†		339,000		338,972
0.065% due 06/09/11		689,000		688,909
0.090% due 06/16/11		271,000		270,958
0.073% due 06/23/11		338,000		337,934

Total short-term U.S. government and agency obligations (cost $3,284,661)			$	3,284,727

Foreign Currency Forward Contracts^


	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International		04/08/11		356,950,000		$	4,291,341		$	(76,056	)
Yen with UBS AG		04/08/11		207,680,000			2,496,780			(50,740	)

									$	(126,796	)

Contracts to Sell
Yen with Goldman Sachs International		04/08/11		(19,190,000	)	$	(230,707	)	$	2,777
Yen with UBS AG		04/08/11		(16,980,000	)		(204,138	)		5,113

									$	7,890

†	All or partial amount segregated as collateral for foreign currency forward contracts.

^	The positions and counterparties herein are as of March 31, 2011. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

See accompanying notes to financial statements.

-55-

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Investment Income
Interest	$	1,025		$	913

Expenses
Management fee		8,104			9,651

Total expenses		8,104			9,651

Net investment income (loss)		(7,079	)		(8,738	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		155,729			(95,937	)
Short-term U.S. government and agency obligations		(6	)		(69	)

Net realized gain (loss)		155,723			(96,006	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(402,409	)		49,343
Short-term U.S. government and agency obligations		(65	)		377

Change in net unrealized appreciation/depreciation		(402,474	)		49,720

Net realized and unrealized gain (loss)		(246,751	)		(46,286	)

Net income (loss)	$	(253,830	)	$	(55,024	)

Net income (loss) per weighted-average share	$	(2.39	)	$	(0.37	)

Weighted-average shares outstanding		106,125			150,014

See accompanying notes to financial statements.

-56-

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED

MARCH 31, 2011

(unaudited)


Shareholders’ equity, at December 31, 2010	$	5,024,240

Redemption of 50,000 shares		(1,593,589	)


Net investment income (loss)		(7,079	)
Net realized gain (loss)		155,723
Change in net unrealized appreciation/depreciation		(402,474	)

Net income (loss)		(253,830	)


Shareholders’ equity, at March 31, 2011	$	3,176,821

See accompanying notes to financial statements.

-57-

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Cash flow from operating activities
Net income (loss)	$	(253,830	)	$	(55,024	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net sale (purchase) of short-term U.S. government and agency obligations		1,448,911			925,420
Change in unrealized appreciation/depreciation on investments		402,474			(49,720	)
Increase (Decrease) in management fee payable		(936	)		(71	)
Increase (Decrease) in payable for investments purchased		688,914			—

Net cash provided by (used in) operating activities		2,285,533			820,605

Cash flow from financing activities
Payment on shares redeemed		(1,593,589	)		—

Net increase (decrease) in cash		691,944			820,605
Cash, beginning of period		10,637			85,344

Cash, end of period	$	702,581		$	905,949

See accompanying notes to financial statements.

-58-

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

		"December 31, 2010 "		"December 31, 2010 "
	March 31, 2011 (unaudited)		December 31, 2010
Assets
Cash	$	2,535,516	$	120,494
Short-term U.S. government and agency obligations (Note 3) (cost $351,294,284 and $223,865,319, respectively)		351,310,813		223,873,131
Unrealized appreciation on foreign currency forward contracts		17,227,662		—

Total assets		371,073,991		223,993,625

Liabilities and shareholders’ equity
Liabilities
Management fee payable		283,970		170,158
Unrealized depreciation on foreign currency forward contracts		—		16,137,654
Payable for investments purchased		2,358,706		—

Total liabilities		2,642,676		16,307,812

Shareholders’ equity
Shareholders’ equity		368,431,315		207,685,813

Total liabilities and shareholders’ equity	$	371,073,991	$	223,993,625

Shares outstanding		22,650,014		13,250,014

Net asset value per share	$	16.27	$	15.67

Market value per share (Note 2)	$	16.27	$	15.67

See accompanying notes to financial statements.

-59-

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2011

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (95% of shareholders’ equity)
U.S. Treasury Bills:
0.087% due 04/07/11	$	40,489,000	$	40,488,797
0.060% due 04/14/11		17,217,000		17,216,750
0.128% due 04/15/11		21,180,000		21,179,733
0.131% due 04/21/11†		32,136,000		32,135,193
0.135% due 04/28/11		16,633,000		16,632,335
0.090% due 05/05/11		10,374,000		10,373,509
0.069% due 05/12/11		13,158,000		13,157,324
0.103% due 05/19/11		67,381,000		67,376,149
0.071% due 05/26/11†		29,084,000		29,081,595
0.136% due 06/02/11†		39,850,000		39,845,182
0.103% due 06/09/11		32,340,000		32,335,715
0.090% due 06/16/11		17,217,000		17,214,302
0.073% due 06/23/11		14,277,000		14,274,229

Total short-term U.S. government and agency obligations (cost $351,294,284)			$	351,310,813

Foreign Currency Forward Contracts^


	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International		04/08/11		3,791,430,000		$	45,581,512		$	(850,746	)
Yen with UBS AG		04/08/11		14,553,600,000			174,966,989			(5,654,811	)

									$	(6,505,557	)


Contracts to Sell
Yen with Goldman Sachs International		04/08/11		(30,342,530,000	)	$	(364,785,422	)	$	6,006,978
Yen with UBS AG		04/08/11		(49,300,010,000	)		(592,696,948	)		17,726,241

									$	23,733,219

†	All or partial amount segregated as collateral for foreign currency forward contracts.

^	The positions and counterparties herein are as of March 31, 2011. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

See accompanying notes to financial statements.

-60-

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Investment Income
Interest	$	88,611		$	16,534

Expenses
Management fee		675,053			234,331

Total expenses		675,053			234,331

Net investment income (loss)		(586,442	)		(217,797	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(17,658,241	)		731,343
Short-term U.S. government and agency obligations		14			3,594

Net realized gain (loss)		(17,658,227	)		734,937

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		33,365,316			3,222,010
Short-term U.S. government and agency obligations		8,717			3,904

Change in net unrealized appreciation/depreciation		33,374,033			3,225,914

Net realized and unrealized gain (loss)		15,715,806			3,960,851

Net income (loss)	$	15,129,364		$	3,743,054

Net income (loss) per weighted-average share	$	0.84		$	0.76

Weighted-average shares outstanding		18,060,570			4,954,458

See accompanying notes to financial statements.

-61-

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED

MARCH 31, 2011

(unaudited)


Shareholders’ equity, at December 31, 2010	$	207,685,813

Addition of 16,850,000 shares		260,369,046
Redemption of 7,450,000 shares		(114,752,908	)

Net addition (redemption) of 9,400,000 shares		145,616,138


Net investment income (loss)		(586,442	)
Net realized gain (loss)		(17,658,227	)
Change in net unrealized appreciation/depreciation		33,374,033

Net income (loss)		15,129,364


Shareholders’ equity, at March 31, 2011	$	368,431,315

See accompanying notes to financial statements.

-62-

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Cash flow from operating activities
Net income (loss)	$	15,129,364		$	3,743,054
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net sale (purchase) of short-term U.S. government and agency obligations		(127,428,965	)		(56,550,159	)
Change in unrealized appreciation/depreciation on investments		(33,374,033	)		(3,225,914	)
Increase (Decrease) in management fee payable		113,812			44,394
Increase (Decrease) in payable for investments purchased		2,358,706			—

Net cash provided by (used in) operating activities		(143,201,116	)		(55,988,625	)

Cash flow from financing activities
Proceeds from addition of shares		260,369,046			62,275,269
Payment on shares redeemed		(114,752,908	)		(5,085,220	)

Net cash provided by (used in) financing activities		145,616,138			57,190,049

Net increase (decrease) in cash		2,415,022			1,201,424
Cash, beginning of period		120,494			75,424

Cash, end of period	$	2,535,516		$	1,276,848

See accompanying notes to financial statements.

-63-

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

		"December 31, 2010 "		"December 31, 2010 "
	March 31, 2011 (unaudited)		December 31, 2010
Assets
Cash	$	1,603,052	$	400
Short-term U.S. government and agency obligations (Note 3) (cost $30,338,811 and $0, respectively)		30,339,698		—
Receivable on open futures contracts		119,411		—
Offering costs (Note 5)		150,756		198,998
Limitation by Sponsor		21,038		—

Total assets		32,233,955		199,398

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		198,998		198,998

Total liabilities		198,998		198,998

Shareholders’ equity
Shareholders’ equity		32,034,957		400

Total liabilities and shareholders’ equity	$	32,233,955	$	199,398

Shares outstanding		500,005		5

Net asset value per share	$	64.07	$	80.00

Market value per share (Note 2)	$	63.75	$	80.00

See accompanying notes to financial statements.

-64-

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2011

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (95% of shareholders’ equity)
U.S. Treasury Bills:
0.038% due 04/07/11	$	993,000	$	992,995
0.060% due 04/14/11		587,000		586,992
0.092% due 04/21/11†		5,201,000		5,200,869
0.133% due 04/28/11		1,880,000		1,879,925
0.090% due 05/05/11		758,000		757,964
0.094% due 05/12/11		985,000		984,949
0.100% due 05/19/11		87,000		86,994
0.120% due 05/26/11		3,613,000		3,612,701
0.060% due 06/02/11		3,698,000		3,697,553
0.106% due 06/09/11†		4,939,000		4,938,346
0.087% due 06/16/11†		1,589,000		1,588,751
0.080% due 06/30/11†		6,013,000		6,011,659

Total short-term U.S. government and agency obligations (cost $30,338,811)			$	30,339,698

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires April 2011		832	$	16,057,600	$	(1,692,320	)
VIX Futures - CBOE, expires May 2011		768		15,974,400		(789,890	)

					$	(2,482,210	)

†	All or partial amount segregated as collateral for futures contracts.

See accompanying notes to financial statements.

-65-

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2011

(unaudited)


	Three months ended March 31, 2011
Investment Income
Interest	$	3,020

Expenses
Offering costs		48,242
Limitation by Sponsor		(21,038	)

Total expenses		27,204

Net investment income (loss)		(24,184	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(351,490	)
Short-term U.S. government and agency obligations		4

Net realized gain (loss)		(351,486	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(2,482,210	)
Short-term U.S. government and agency obligations		887

Change in net unrealized appreciation/depreciation		(2,481,323	)

Net realized and unrealized gain (loss)		(2,832,809	)

Net income (loss)	$	(2,856,993	)

Net income (loss) per weighted-average share	$	(14.69	)

Weighted-average shares outstanding		194,545

See accompanying notes to financial statements.

-66-

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2011

(unaudited)


Shareholders’ equity, at December 31, 2010	$	400

Addition of 675,000 shares		47,000,781
Redemption of 175,000 shares		(12,109,231	)

Net addition (redemption) of 500,000 shares		34,891,550


Net investment income (loss)		(24,184	)
Net realized gain (loss)		(351,486	)
Change in net unrealized appreciation/depreciation		(2,481,323	)

Net income (loss)		(2,856,993	)


Shareholders’ equity, at March 31, 2011	$	32,034,957

See accompanying notes to financial statements.

-67-

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2011

(unaudited)


	Three months ended March 31, 2011
Cash flow from operating activities
Net income (loss)	$	(2,856,993	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net sale (purchase) of short-term U.S. government and agency obligations		(30,338,811	)
Change in unrealized appreciation/depreciation on investments		(887	)
Decrease (Increase) in receivable on futures contracts		(119,411	)
Amortization of offering cost		48,242
Decrease (Increase) in Limitation by Sponsor		(21,038	)

Net cash provided by (used in) operating activities		(33,288,898	)

Cash flow from financing activities
Proceeds from addition of shares		47,000,781
Payment on shares redeemed		(12,109,231	)

Net cash provided by (used in) financing activities		34,891,550

Net increase (decrease) in cash		1,602,652
Cash, beginning of period		400

Cash, end of period	$	1,603,052

See accompanying notes to financial statements.

-68-

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

		"December 31, 2010"		"December 31, 2010"
	March 31, 2011 (unaudited)		December 31, 2010
Assets
Cash	$	497,379	$	400
Short-term U.S. government and agency obligations (Note 3) (cost $6,392,338 and $0, respectively)		6,392,687		—
Receivable on open futures contracts		22,133		—
Offering costs (Note 5)		94,223		124,374
Limitation by Sponsor		17,565		—

Total assets		7,023,987		124,774

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		124,374		124,374
Payable for investments purchased		159,980		—

Total liabilities		284,354		124,374

Shareholders’ equity
Shareholders’ equity		6,739,633		400

Total liabilities and shareholders’ equity	$	7,023,987	$	124,774

Shares outstanding		100,005		5

Net asset value per share	$	67.39	$	80.00

Market value per share (Note 2)	$	67.38	$	80.00

See accompanying notes to financial statements.

-69-

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2011

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (95% of shareholders’ equity)
U.S. Treasury Bills:
0.035% due 04/07/11	$	171,000	$	170,999
0.060% due 04/14/11		177,000		176,998
0.145% due 04/21/11†		2,116,000		2,115,947
0.128% due 04/28/11		1,322,000		1,321,947
0.090% due 05/05/11		703,000		702,967
0.113% due 05/12/11		209,000		208,989
0.100% due 05/19/11		703,000		702,949
0.120% due 05/26/11		500,000		499,959
0.130% due 06/02/11		155,000		154,981
0.065% due 06/09/11		160,000		159,979
0.090% due 06/16/11		177,000		176,972

Total short-term U.S. government and agency obligations (cost $6,392,338)			$	6,392,687

Futures Contracts Purchased


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures – CBOE, expires July 2011		51	$	1,122,000	$	31,750
VIX Futures – CBOE, expires August 2011		98		2,195,200		900
VIX Futures – CBOE, expires September 2011		99		2,296,800		(85,380	)
VIX Futures – CBOE, expires October 2011		47		1,118,600		(30,400	)

					$	(83,130	)

†	All or partial amount segregated as collateral for futures contracts.

See accompanying notes to financial statements.

-70-

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2011

(unaudited)


	Three months ended March 31, 2011
Investment Income
Interest	$	1,277

Expenses
Offering costs		30,151
Limitation by Sponsor		(17,565	)

Total expenses		12,586

Net investment income (loss)		(11,309	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(688,250	)

Short-term U.S. government and agency obligations		59

Net realized gain (loss)		(688,191	)
Change in net unrealized appreciation/depreciation on
Futures contracts		(83,130	)
Short-term U.S. government and agency obligations		349

Change in net unrealized appreciation/depreciation		(82,781	)

Net realized and unrealized gain (loss)		(770,972	)

Net income (loss)	$	(782,281	)

Net income (loss) per weighted-average share	$	(8.98	)

Weighted-average shares outstanding		87,074

See accompanying notes to financial statements.

-71-

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED

MARCH 31, 2011

(unaudited)


Shareholders’ equity, at December 31, 2010	$	400

Addition of 150,000 shares		11,228,874
Redemption of 50,000 shares		(3,707,360	)

Net addition (redemption) of 100,000 shares		7,521,514


Net investment income (loss)		(11,309	)
Net realized gain (loss)		(688,191	)
Change in net unrealized appreciation/depreciation		(82,781	)

Net income (loss)		(782,281	)


Shareholders’ equity, at March 31, 2011	$	6,739,633

See accompanying notes to financial statements.

-72-

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2011

(unaudited)


	Three months ended March 31, 2011
Cash flow from operating activities
Net income (loss)	$	(782,281	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net sale (purchase) of short-term U.S. government and agency obligations		(6,392,338	)
Change in unrealized appreciation/depreciation on investments		(349	)
Decrease (Increase) in receivable on futures contracts		(22,133	)
Amortization of offering cost		30,151
Decrease (Increase) in Limitation by Sponsor		(17,565	)
Increase (Decrease) in payable for investments purchased		159,980

Net cash provided by (used in) operating activities		(7,024,535	)

Cash flow from financing activities
Proceeds from addition of shares		11,228,874
Payment on shares redeemed		(3,707,360	)

Net cash provided by (used in) financing activities		7,521,514

Net increase (decrease) in cash		496,979
Cash, beginning of period		400

Cash, end of period	$	497,379

See accompanying notes to financial statements.

-73-

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION


	March 31, 2011 (unaudited)		December 31, 2010
Assets
Cash	$	150,740,321	$	13,024,692
Segregated cash balances with brokers for futures contracts		27,316,110		18,624,601
Short-term U.S. government and agency obligations (Note 3)
(cost $2,682,278,431 and $2,036,391,604, respectively)		2,682,391,857		2,036,464,179
Unrealized appreciation on swap agreements		324,096		7,405,394
Unrealized appreciation on forward agreements		72,738,928		54,916,155
Unrealized appreciation on foreign currency forward contracts		17,609,614		631,682
Receivable for capital shares sold		17,518,399		—
Receivable on open futures contracts		5,137,653		3,487,401
Offering costs (Note 5)		286,493		323,372
Limitation by Sponsor		38,603		—

Total assets		2,974,102,074		2,134,877,476

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		34,128,097		46,689,878
Payable on open futures contracts		3,052,016		1,462,367
Management fee payable		2,127,499		1,633,355
Payable for offering costs		364,886		323,372
Unrealized depreciation on swap agreements		4,458,082		4,275,758
Unrealized depreciation on forward agreements		11,448,129		13,001,736
Unrealized depreciation on foreign currency forward contracts		19,139,273		39,331,731
Payable for investments purchased		138,077,795		—

Total liabilities		212,795,777		106,718,197

Shareholders’ equity
Shareholders’ equity		2,761,306,297		2,028,159,279

Total liabilities and shareholders’ equity	$	2,974,102,074	$	2,134,877,476

Shares outstanding		71,063,489		55,764,998

See accompanying notes to financial statements.

-74-

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED

MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Investment Income
Interest	$	718,124		$	216,836

Expenses
Management fee		5,515,811			2,692,212
Brokerage commissions		49,884			45,008
Offering costs		78,393			—
Limitation by Sponsor		(38,603	)		—

Total expenses		5,605,485			2,737,220

Net investment income (loss)		(4,887,361	)		(2,520,384	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		19,213,375			18,621,948
Swap agreements		53,020,276			34,974,806
Forward agreements		189,919,287			(14,309,331	)
Foreign currency forward contracts		(78,733,178	)		13,734,520
Short-term U.S. government and agency obligations		9,897			77,945

Net realized gain (loss)		183,429,657			53,099,888

Change in net unrealized appreciation/depreciation on
Futures contracts		17,032,830			(4,218,925	)
Swap agreements		(7,263,622	)		(19,514,824	)
Forward agreements		19,376,380			12,475,308
Foreign currency forward contracts		37,170,390			8,934,919
Short-term U.S. government and agency obligations		40,851			68,095

Change in net unrealized appreciation/depreciation		66,356,829			(2,255,427	)

Net realized and unrealized gain (loss)		249,786,486			50,844,461

Net income (loss)	$	244,899,125		$	48,324,077

See accompanying notes to financial statements.

-75-

PROSHARES TRUST II

COMBINED STATEMENTS OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED

MARCH 31, 2011

(unaudited)


Shareholders’ equity, at December 31, 2010	$	2,028,159,279

Addition of 41,497,500 shares		1,488,250,657
Redemption of 26,199,009 shares		(1,000,002,764	)

Net addition (redemption) of 15,298,491 shares		488,247,893


Net investment income (loss)		(4,887,361	)
Net realized gain (loss)		183,429,657
Change in net unrealized appreciation/depreciation		66,356,829

Net income (loss)		244,899,125


Shareholders’ equity, at March 31, 2011	$	2,761,306,297

See accompanying notes to financial statements.

-76-

PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED

MARCH 31, 2011 AND 2010

(unaudited)


	Three months ended March 31, 2011			Three months ended March 31, 2010
Cash flow from operating activities
Net income (loss)	$	244,899,125		$	48,324,077
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances for swap agreements		—			28,357
Decrease (Increase) in segregated cash balances for forward agreements		—			(294,200	)
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(8,691,509	)		1,463,241
Net sale (purchase) of short-term U.S. government and agency obligations		(645,886,827	)		(70,315,178	)
Change in unrealized appreciation/depreciation on investments		(49,323,999	)		(1,963,498	)
Decrease (Increase) in receivable on futures contracts		(1,650,252	)		(1,893,916	)
Decrease (Increase) in offering costs		(41,514	)		—
Amortization of offering cost		78,393			—
Decrease (Increase) in Limitation by Sponsor		(38,603	)		—
Increase (Decrease) in management fee payable		494,144			132,129
Increase (Decrease) in payable for investments purchased		138,077,795			—
Increase (Decrease) in payable on futures contracts		1,589,649			1,165,345
Increase (Decrease) in payable for offering costs		41,514			—

Net cash provided by (used in) operating activities		(320,452,084	)		(23,353,643	)

Cash flow from financing activities
Proceeds from addition of shares		1,470,732,258			677,185,394
Payment on shares redeemed		(1,012,564,545	)		(567,197,681	)

Net cash provided by (used in) financing activities		458,167,713			109,987,713

Net increase (decrease) in cash		137,715,629			86,634,070
Cash, beginning of period		13,024,692			967,043

Cash, end of period	$	150,740,321		$	87,601,113

See accompanying notes to financial statements.

-77-

PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

March 31, 2011

(unaudited)

NOTE 1 – ORGANIZATION

Introduction

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and currently organized into separate series (each, a “Fund” and collectively, the “Funds”). The following fourteen series of the Trust, ProShares Ultra DJ-UBS Commodity, ProShares UltraShort DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares Ultra Euro, ProShares UltraShort Euro, ProShares Ultra Yen and ProShares UltraShort Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”), ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “VIX Fund” and collectively, the “VIX Funds”) issue common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Leveraged or VIX Fund. The Shares of each Leveraged and VIX Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Trust has also registered shares for two additional series: ProShares Short DJ-UBS Natural Gas and ProShares Short Gold (each, a “Short Fund” and collectively, the “Short Funds”). As of March 31, 2011, each of the Short Funds had seed capital of $200, but neither of the Short Funds had commenced investment operations; therefore, these Financial Statements do not include Schedules of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity or Statements of Cash Flows for the Short Funds. The Short Funds, together with the Leveraged Funds are referred to as the “Geared Funds” in these Notes to Financial Statements. The Trust had no operations prior to November 24, 2008 other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares of each Leveraged Fund at an aggregate purchase price of $350 in each of the Leveraged Funds.

Eight of the Funds, ProShares Ultra DJ-UBS Commodity, ProShares UltraShort DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Crude Oil, ProShares Ultra Euro, ProShares UltraShort Euro, ProShares Ultra Yen and ProShares UltraShort Yen, commenced trading on the NYSE Arca on November 25, 2008. Four of the Funds, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver and ProShares UltraShort Silver, commenced trading on the NYSE Arca on December 3, 2008. The VIX Funds commenced trading on the NYSE Arca on January 3, 2011.

Groups of Funds are collectively referred to in several different ways. References to “Ultra Funds”, “Short Funds” or “UltraShort Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds”, “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

-78-

limited to futures contracts. Financial Instruments also are used to produce economically “leveraged” or “inverse” investment results for the Funds. Each “VIX” Fund seeks daily investment results (before fees and expenses) that match the performance of a benchmark. Each VIX Fund intends to obtain exposure to its benchmark by investing in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“CBOE”) Volatility Index (the “VIX”).

The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than one day because mathematical compounding prevents the Geared Funds from achieving such results. Accordingly, results over periods of time greater than one day should not be expected to be a simple multiple (e.g., +200 or -200%) of the period return of the corresponding benchmark and will likely differ significantly. The VIX Funds seek to achieve their stated investment objective both over a single day and over time.

ProShares Ultra DJ-UBS Commodity, ProShares UltraShort DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil and ProShares UltraShort DJ-UBS Crude Oil each have a benchmark that is an index designed to track the performance of commodity futures contracts, as applicable and as listed below. 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.

Renaming of Indexes and Funds

On May 6, 2009, UBS Securities LLC acquired the commodity business of AIG Financial Products Corp. Effective May 7, 2009, the Dow Jones-AIG Commodity Indexes were re-branded as the Dow Jones-UBS Commodity Indexes. The Dow Jones-UBS Commodity Indexes have an identical methodology to the Dow Jones-AIG Commodity Indexes and take the identical form and format of the Dow Jones-AIG Commodity Indexes. In connection therewith:

The following indexes were renamed:


Former Index Name		New Index Name
Dow Jones-AIG Commodity Index		Dow Jones-UBS Commodity Index
Dow Jones-AIG Crude Oil Sub-Index		Dow Jones-UBS Crude Oil Sub-Index

The following Funds were renamed:

Former Fund Name		New Fund Name
ProShares Ultra DJ-AIG Commodity		ProShares Ultra DJ-UBS Commodity
ProShares UltraShort DJ-AIG Commodity		ProShares UltraShort DJ-UBS Commodity
ProShares Ultra DJ-AIG Crude Oil		ProShares Ultra DJ-UBS Crude Oil
ProShares UltraShort DJ-AIG Crude Oil		ProShares UltraShort DJ-UBS Crude Oil

Reverse Splits

Prior to the opening of trading on the NYSE Arca on April 15, 2010, ProShares UltraShort Gold executed a 1-for-5 reverse split of shares, and ProShares UltraShort Silver executed a 1-for-10 reverse split of shares. The funds traded at their post-split prices on April 15, 2010. The ticker symbols for the funds did not change, and they continue to trade on the NYSE Arca.

-79-

Prior to the opening of trading on the NYSE Arca on February 25, 2011, ProShares UltraShort DJ-UBS Commodity and ProShares UltraShort DJ-UBS Crude Oil executed a 1-for-5 reverse split of shares and ProShares UltraShort Silver and ProShares Ultra DJ-UBS Crude Oil executed a 1-for-4 reverse split of shares. The funds traded at their post-split prices on February 25, 2011. The ticker symbols for the funds did not change, and they continue to trade on the NYSE Arca.

The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding for each of the ProShares UltraShort Gold Fund, ProShares UltraShort Silver Fund, ProShares UltraShort DJ-UBS Commodity Fund, ProShares Ultra DJ-UBS Crude Oil Fund and ProShares UltraShort DJ-UBS Crude Oil Fund, and resulted in a proportionate increase in the price per share and per share information of each of the ProShares UltraShort Gold Fund, ProShares UltraShort Silver Fund, ProShares UltraShort DJ-UBS Commodity Fund, ProShares Ultra DJ-UBS Crude Oil Fund and ProShares UltraShort DJ-UBS Crude Oil Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the split.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies followed by each Fund, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (the “SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the period ended December 31, 2010, as filed with the SEC on March 1, 2011.

Use of Estimates & Indemnifications

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in these financial statements. Actual results could differ from those estimates.

In the normal course of business, the Trust enters into contracts that contain a variety of representations which provide general indemnifications. The Trust’s maximum exposure under these arrangements cannot be known; however, the Trust expects any risk of loss to be remote.

Basis of Presentation

Pursuant to rules and regulations of the SEC, audited financial statements are presented for the Trust as a whole, as the SEC registrant, and for each Fund individually. The debts, liabilities, obligations and expenses incurred, contracted for or otherwise existing with respect to a particular Fund shall be enforceable only against the assets of such Fund and not against the assets of the Trust generally or any other Fund. Accordingly, the assets of one Fund of the Trust include only those funds and other assets that are paid to, held by or distributed to the Trust for the purchase of Units in that Fund.

Statement of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statement of Financial Condition dated March 31, 2011, and represents non-segregated cash with the custodian and does not include short-term investments.

-80-

Final Net Asset Value for Fiscal Period

The times of the calculation of the Leveraged Funds’ and the VIX Funds’ final net asset value for creation and redemption of fund shares for the period ended March 31, 2011 were as follows. All times are Eastern Time:


	NAV Calculation Time		NAV Calculation Date
Ultra Silver, UltraShort Silver		7:00 A.M.		March 31
Ultra Gold, UltraShort Gold		10:00 A.M.		March 31
Ultra DJ-UBS Commodity, UltraShort DJ-UBS Commodity		2:30 P.M.		March 31
Ultra DJ-UBS Crude Oil, UltraShort DJ-UBS Crude Oil		2:30 P.M.		March 31
Ultra Euro, UltraShort Euro		4:00 P.M.		March 31
Ultra Yen, UltraShort Yen		4:00 P.M.		March 31
VIX Short-Term Futures ETF, VIX Mid-Term Futures ETF		4:15 P.M.		March 31

Although the Leveraged Funds’ and VIX Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months ended March 31, 2011.

Market value per share is determined at the close of the NYSE Arca and may be later than when the Funds’ NAV per share is calculated.

For financial reporting purposes, the Leveraged Funds and VIX Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements differ from those used in the calculation of some Leveraged Funds’ and VIX Funds’ final creation/redemption NAV for the three months ended March 31, 2011.

Investment Valuation

Short-term investments are valued at market price. Treasury securities having a maturity of greater than sixty days are valued at market price.

Derivatives (e.g., futures, swaps and forward agreements) 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 and Silver 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 and Silver Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. If there was no sale on that day, and for non-exchange-traded derivatives, 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 for such day. 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. When market closing prices are not available, 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.

Fair value pricing may require subjective determinations about the value of an investment. While the Leveraged Funds’ and VIX Funds’ policy is intended to result in a calculation of a Leveraged Fund and VIX Fund’s NAV that fairly reflects investment values as of the time of pricing, the Leveraged Fund and VIX Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a 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 Leveraged Fund and VIX 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.

Fair Value of Financial Instruments

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that

-81-

distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:

Level I – Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity has the ability to access at the measurement date.

Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs).

Level III – Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available.

In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest input level that is significant to the fair value measurement in its entirety.

Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly.

The following table summarizes the valuation of investments at March 31, 2011 using the fair value hierarchy:


	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
	Short-Term U.S. Government and Agencies		Futures Contracts			Forward Agreements			Foreign Currency Forward Contracts			Swap Agreements			Total
Ultra DJ-UBS Commodity	$	21,372,400	$	—		$	—		$	—		$	324,096		$	21,696,496
UltraShort DJ-UBS Commodity		2,625,699		—			—			—			(81,016	)		2,544,683
Ultra DJ-UBS Crude Oil		287,703,048		19,717,140			—			—			(3,784,476	)		303,635,712
UltraShort DJ-UBS Crude Oil		131,669,441		(3,121,980	)		—			—			(592,590	)		127,954,871
Ultra Gold		242,107,371		169,980			7,387,510			—			—			249,664,861
UltraShort Gold		82,930,951		(151,020	)		(2,452,028	)		—			—			80,327,903
Ultra Silver		983,570,638		8,851,915			65,351,418			—			—			1,057,773,971
UltraShort Silver		136,108,642		(289,495	)		(8,996,101	)		—			—			126,823,046
Ultra Euro		8,277,246		—			—			381,952			—			8,659,198
UltraShort Euro		394,698,496		—			—			(19,020,367	)		—			375,678,129
Ultra Yen		3,284,727		—			—			(118,906	)		—			3,165,821
UltraShort Yen		351,310,813		—			—			17,227,662			—			368,538,475
VIX Short-Term Futures ETF		30,339,698		(2,482,210	)		—			—			—			27,857,488
VIX Mid-Term Futures ETF		6,392,687		(83,130	)		—			—			—			6,309,557

Total Trust	$	2,682,391,857	$	22,611,200		$	61,290,799		$	(1,529,659	)	$	(4,133,986	)	$	2,760,630,211

At March 31, 2011, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

At March 31, 2011, there were no significant transfers in or out of Level I and Level II fair value measurements.

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

The following table summarizes the valuation of investments at December 31, 2010 using the fair value hierarchy:


	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
	Short-Term U.S. Government and Agencies		Futures Contracts			Forward Agreements			Foreign Currency Forward Contracts			Swap Agreements			Total
Ultra DJ-UBS Commodity	$	16,426,651	$	—		$	—		$	—		$	1,755,750		$	18,182,401
UltraShort DJ-UBS Commodity		1,594,842		—			—			—			(164,150	)		1,430,692
Ultra DJ-UBS Crude Oil		244,394,920		5,412,760			—			—			5,649,644			255,457,324
UltraShort DJ-UBS Crude Oil		135,637,192		(2,384,420	)		—			—			(4,111,608	)		129,141,164
Ultra Gold		249,250,657		305,980			8,724,587			—			—			258,281,224
UltraShort Gold		80,114,447		(292,750	)		(2,991,391	)		—			—			76,830,306
Ultra Silver		495,915,529		3,056,220			46,191,568			—			—			545,163,317
UltraShort Silver		105,319,504		(519,420	)		(10,010,345	)		—			—			94,789,739
Ultra Euro		7,374,157		—			—			348,179			—			7,722,336
UltraShort Euro		471,829,446		—			—			(23,194,077	)		—			448,635,369
Ultra Yen		4,733,703		—			—			283,503			—			5,017,206
UltraShort Yen		223,873,131		—			—			(16,137,654	)		—			207,735,477

Total Trust	$	2,036,464,179	$	5,578,370		$	41,914,419		$	(38,700,049	)	$	3,129,636		$	2,048,386,555

At December 31, 2010, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

At December 31, 2010, there were no significant transfers in or out of Level I and Level II fair value measurements.

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

-82-

Investment Transactions and Related Income

Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation/depreciation on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation/depreciation between periods are reflected in the Statements of Operations. Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.

Brokerage Commissions and Fees

Each Geared Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“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. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income or similar securities would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis. For the period ended March 31, 2011, the Sponsor paid and is currently paying brokerage commissions on futures contracts for the VIX Funds by reimbursing the VIX Funds monthly for the brokerage commissions paid.

Federal Income Tax

Each Fund is registered as a series of a Delaware statutory trust and is or will be treated as a partnership for U.S. federal income tax purposes. Accordingly, no Fund expects to incur U.S. federal income tax liability; rather, each beneficial owner of a Fund’s Shares is or will be required to take into account its allocable share of its Fund’s income, gain, loss, deductions and other items for its Fund’s taxable year ending with or within the beneficial owner’s taxable year.

Management of the Funds has reviewed all open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management will monitor its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to, further implementation of guidance expected from the Financial Accounting Standards Board and on-going analysis of tax law, regulation, and interpretations thereof.

NOTE 3 – INVESTMENTS

Short-Term Investments

The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements and/or used as collateral for a Fund’s trading in futures and forward contracts.

Accounting for Derivative Instruments

In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions that the Sponsor believes in combination should produce returns consistent with a Fund’s objective.

All open derivative positions at period-end for each Fund are disclosed in the Schedule of Investments and the notional value of these open positions relative to the shareholders’ equity of each Fund is generally representative of the notional value of open positions to shareholders’ equity throughout the reporting period for each respective Fund. The volume associated with derivative positions varies on a daily basis as each Fund transacts derivative contracts in order to achieve the appropriate exposure, as expressed in notional value, in comparison to shareholders’ equity consistent with each Fund’s investment objective.

-83-

Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type.

Futures Contracts

The Funds enter into futures contracts to gain exposure to changes in the value of an underlying index or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of a commodity at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.

Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is effected. The initial margin is segregated as cash balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The VIX Funds maintain collateral at the broker in the form of U.S. Treasury securities. These securities are restricted as to their use and are denoted as such on the Schedules of Investments. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.

Futures contracts involve, to varying degrees, elements of market risk (specifically commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal counterparty risk to the Funds since futures contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default.

Swap Agreements

Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) commodities, or to create an economic hedge against a position. Swap agreements are two-party contracts entered into primarily with institutional investors for a specified period, ranging from a day to more than one year. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. In the case of futures contracts based indices, such as those used by the Commodity Index Funds, the reference interest rate is zero. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments.

Generally, swap agreements entered into by the Funds calculate and settle the obligations of the parties to the agreement on a “net basis” with a single payment. Consequently, each Fund’s current obligations (or rights) under a swap agreement will generally be equal only to the net amount to be paid or received under the agreement based on the relative values of such obligations (or rights) (the “net amount”). In a typical swap agreement entered into by an Ultra Fund, the Ultra Fund would be entitled to settlement payments in the event the benchmark increases and would be required to make payments to the swap counterparties in the event the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay. In a typical swap agreement entered into by an UltraShort Fund, the UltraShort Fund would be required to make payments to the swap counterparties in the event the benchmark increases and would be entitled to settlement payments in the event the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay.

The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate NAV at least equal to such accrued excess is maintained in a segregated account by the Funds’ Custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by

-84-

each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced Index.

The Trust, on behalf of a Fund, may enter into agreements with certain counterparties for derivative transactions. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques.

Swap agreements involve, to varying degrees, elements of market risk (commodity price risk) and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlation between movements in the notional amount and the price of the underlying reference index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will enter into swap agreements only with large, well-capitalized and well established financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty for amounts owed to the Funds. All of the outstanding swap agreements at March 31, 2011 contractually terminate within one month but may be terminated without penalty by either party daily. Upon termination, the Fund is entitled to pay or receive the “unrealized appreciation or depreciation” amount.

The Funds collateralize swap agreements with cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments and such collateral is held for the benefit of the counterparty in a segregated account at the Custodian to protect the counterparty against non-payment by the Funds. In the event of a default by the counterparty, the Funds will seek return of this collateral and may incur certain costs and time delays in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount equal to what the counterparty owes the Fund. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings.

Forward Contracts

Certain of the Funds enter into forward contracts for purposes of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of a commodity or currency at or before a specified date in the future at a specified price. Forward contracts are typically traded in the over-the-counter (“OTC”) markets and all details of the contract are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.

The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date.

-85-

Forward contracts are, in general, not cleared or guaranteed by a third party. The Funds may collateralize forward commodity contracts with cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments and such collateral is held for the benefit of the counterparty in a segregated account at the Custodian to protect the counterparty against non-payment by the Funds. In the event of a default by the counterparty, the Funds will seek return of this collateral and may incur certain costs exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties, as those amounts are not similarly collateralized by the counterparty. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount equal to what the counterparty owes the Fund. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings.

Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties.

A Fund will enter into forward contracts only with large, well-capitalized and well established financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor.

-86-

Fair Value of Derivative Instruments

as of March 31, 2011

Asset Derivatives

Liability Derivatives

Derivatives not
accounted for as hedging
instruments

Statements of
Financial
Condition
Location

Fund

Unrealized
Appreciation

Statements of
Financial
Condition
Location

Fund

Unrealized
Depreciation

Commodities Contracts

Receivables
on open
futures
contracts,
unrealized
appreciation
on swap
and/or
forward
agreements

ProShares Ultra DJ-
UBS Commodity

324,096

Payable on
open
futures
contracts,
unrealized
depreciation
on swap
and/or
forward
agreements

ProShares UltraShort
DJ-UBS Commodity

81,016

ProShares Ultra
DJ-UBS Crude Oil

19,717,140

ProShares Ultra
DJ-UBS Crude Oil

3,784,476

ProShares Ultra
Gold

7,557,490

ProShares UltraShort
DJ-UBS Crude Oil

3,714,570

ProShares Ultra
Silver

74,203,333

ProShares UltraShort
Gold

2,603,048

ProShares UltraShort
Silver

9,285,596

Foreign Exchange Contracts

Unrealized
appreciation
on foreign
currency
forward
contracts

ProShares Ultra
Euro

391,545

Unrealized
depreciation
on foreign
currency
forward
contracts

ProShares Ultra
Euro

9,593

ProShares
UltraShort Euro

1,841,085

ProShares UltraShort
Euro

20,861,452

ProShares Ultra
Yen

7,890

ProShares Ultra Yen

126,796

ProShares
UltraShort Yen

23,733,219

ProShares UltraShort
Yen

6,505,557

VIX Futures Contracts

Receivables
on open
futures
contracts

ProShares VIX
Mid-Term Futures
ETF

32,650

Payable on
open
futures
contracts

ProShares VIX
Short-Term Futures
ETF

2,482,210

ProShares VIX Mid-
Term Futures ETF

115,780

Total Trust

127,808,448

Total Trust

49,570,094

*	Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts.

-87-

Fair Value of Derivative Instruments

as of December 31, 2010

Asset Derivatives

Liability Derivatives

Derivatives not
accounted for as

hedging instruments

Statements of
Financial
Condition
Location

Fund

Unrealized
Appreciation

Statements of
Financial
Condition
Location

Fund

Unrealized
Depreciation

Commodities Contracts

Receivables on open futures contracts, unrealized appreciation on swap and/or forward agreements

ProShares Ultra DJ-UBS Commodity

1,755,750

Payable on open futures contracts, unrealized depreciation on swap and/or forward agreements

ProShares UltraShort DJ-UBS Commodity

164,150

ProShares Ultra DJ-UBS Crude Oil

11,062,404

ProShares UltraShort DJ-UBS Crude Oil

6,496,028

ProShares Ultra Gold

9,030,567

ProShares UltraShort Gold

3,284,141

ProShares Ultra Silver

49,247,788

ProShares UltraShort Silver

10,529,765

Foreign Exchange Contracts

Unrealized appreciation on foreign currency forward contracts

ProShares Ultra Euro

353,487

Unrealized depreciation on foreign currency forward contracts

ProShares Ultra Euro

5,308

ProShares UltraShort Euro

930,978

ProShares UltraShort Euro

24,125,055

ProShares Ultra Yen

292,768

ProShares Ultra Yen

9,265

ProShares UltraShort Yen

1,856,768

ProShares UltraShort Yen

17,994,422

Total Trust

74,530,510

Total Trust

62,608,134

*	Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts.

-88-

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended March 31, 2011


Derivatives not accounted for as hedging instruments	Location of Gain or (Loss) on Derivatives Recognized in Income	Fund	Realized Gain or (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation or Depreciation on Derivatives Recognized in Income
Commodity Contracts	Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements	ProShares Ultra DJ-UBS Commodity	$	3,204,121		$	(1,431,654	)
		ProShares UltraShort DJ-UBS Commodity		(384,313	)		83,134
		ProShares Ultra DJ-UBS Crude Oil		82,184,427			4,870,260
		ProShares UltraShort DJ-UBS Crude Oil		(13,935,229	)		2,781,458
		ProShares Ultra Gold		8,021,411			(1,473,077	)
		ProShares UltraShort Gold		(7,953,387	)		681,093
		ProShares Ultra Silver		273,344,461			24,955,545
		ProShares UltraShort Silver		(81,288,813	)		1,244,169

Foreign Exchange Contracts	Net realized gain (loss) on foreign currency forward contracts/changes in unrealized appreciation/ depreciation on foreign currency forward contracts	ProShares Ultra Euro		918,369			33,773
		ProShares UltraShort Euro		(62,149,035	)		4,173,710
		ProShares Ultra Yen		155,729			(402,409	)
		ProShares UltraShort Yen		(17,658,241	)		33,365,316

VIX Futures Contracts	Net realized gain (loss) on futures contracts/ changes in unrealized appreciation/ depreciation on futures contracts	ProShares VIX Short-Term Futures ETF		(351,490	)		(2,482,210	)
		ProShares VIX Mid-Term Futures ETF		(688,250	)		(83,130	)

		Total Trust	$	183,419,760		$	66,315,978

-89-

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended March 31, 2010


Derivatives not accounted for as hedging instruments	Location of Gain or (Loss) on Derivatives Recognized in Income	Fund	Realized Gain or (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation or Depreciation on Derivatives Recognized in Income
Commodity Contracts	Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements	ProShares Ultra DJ-UBS Commodity	$	(341,859	)	$	(1,656,814	)
		ProShares UltraShort DJ-UBS Commodity		(137,264	)		327,765
		ProShares Ultra DJ-UBS Crude Oil		53,021,637			(22,712,221	)
		ProShares UltraShort DJ-UBS Crude Oil		1,584,212			(1,176,814	)
		ProShares Ultra Gold		(2,563,882	)		7,748,903
		ProShares UltraShort Gold		(1,710,887	)		(3,129,526	)
		ProShares Ultra Silver		(7,838,349	)		15,431,649
		ProShares UltraShort Silver		(2,726,185	)		(6,091,383	)

Foreign Exchange Contracts	Net realized gain (loss) on foreign currency forward contracts/changes in unrealized appreciation/ depreciation on foreign currency forward contracts	ProShares Ultra Euro		(842,093	)		(41,128	)
		ProShares UltraShort Euro		13,941,207			5,704,694
		ProShares Ultra Yen		(95,937	)		49,343
		ProShares UltraShort Yen		731,343			3,222,010

		Total Trust	$	53,021,943		$	(2,323,522	)

-90-

NOTE 4 – AGREEMENTS

Management Fee

Each Geared Fund pays or will pay the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. In the first year of the Leveraged Funds’ operations, the Sponsor did not charge its fee in an amount equal to the organization and offering costs. The Sponsor reimbursed each Leveraged Fund, if applicable, to the extent that its offering costs exceeded 0.95% of its average daily NAV of each Fund for the first year of operations. Each VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV. The Sponsor will not charge its fee in the first year of operation of each New Fund (as defined below) in an amount equal to the offering costs. The Sponsor has agreed to reimburse each New Fund to the extent that its offering costs exceed the Management Fee for the first year of operations. The Management Fee is or will be paid in consideration of the Sponsor’s services as commodity pool operator and commodity trading advisor, and for managing the business and affairs of the Geared Funds and the VIX Funds. From the Management Fee, the Sponsor pays or will pay the fees and expenses of the Administrator, Custodian, Distributor, Transfer Agent and the licensors for the Commodity Index Funds (Dow Jones & Company, Inc. and UBS Securities LLC, together, “DJ-UBS”), the routine operational, administrative and other ordinary expenses of each Fund, and the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations, including, but not limited to, expenses such as ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees. For the period ended March 31, 2011, the Sponsor paid and is currently paying brokerage commissions on futures contracts for the VIX Funds. Each Leveraged Fund and VIX Fund incurs and pays, and each Short Fund will incur and pay, its non-recurring and unusual fees and expenses.

The Administrator

The Sponsor and the Trust, for itself and on behalf of each Fund, has appointed Brown Brothers Harriman & Co. (“BBH&Co.”) as the Administrator of the Funds, and the Sponsor, the Trust, on its own behalf and on behalf of each Fund, and BBH&Co. have entered into an Administrative Agency Agreement (the “Administration Agreement”) in connection therewith. Pursuant to the terms of the Administration Agreement and under the supervision and direction of the Sponsor and the Trust, BBH&Co. prepares and files certain regulatory filings on behalf of the Funds. BBH&Co. may also perform other services for the Funds pursuant to the Administration Agreement as mutually agreed upon by the Sponsor, the Trust and BBH&Co. from time to time. Pursuant to the terms of the Administration Agreement, BBH&Co. also serves as the Transfer Agent of the Funds. The Administrator’s fees are or will be paid on behalf of the Funds by the Sponsor.

The Custodian

BBH&Co. serves as Custodian of the Funds, and the Trust, on its own behalf and on behalf of each Fund, and BBH&Co. have entered into a Custodian Agreement in connection therewith. Pursuant to the terms of the Custodian Agreement, BBH&Co. is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BBH&Co. by the Funds. The Custodian’s fees are or will be paid on behalf of the Funds by the Sponsor.

The Distributor

SEI Investments Distribution Co. (“SEI”), serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI.

-91-

Routine Operational, Administrative and Other Ordinary Expenses

The Sponsor pays or will pay all of the routine operational, administrative and other ordinary expenses of each Fund generally, as determined by the Sponsor including, but not limited to, fees and expenses of the Administrator, Custodian, Distributor, Transfer Agent, DJ-UBS, accounting and auditing fees and expenses, tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund, FINRA filing fees, individual K-1 preparation and mailing fees not exceeding 0.10% per annum of the NAV of a Fund, and report preparation and mailing expenses.

Non-Recurring Fees and Expenses

Each Leveraged Fund and VIX Fund pays and each Short Fund will pay all non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring fees and expenses are fees and expenses such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds. Such fees and expenses are those that are non-recurring, unexpected or unusual in nature.

NOTE 5 – ORGANIZATION AND OFFERING COSTS

Organization costs are expensed as incurred and offering costs will be amortized by the Funds over a twelve month period on a straight-line basis. The Sponsor did not charge its fee in the first year of operation of each Leveraged Fund in an amount equal to the organization and offering fees. The Sponsor reimbursed each Leveraged Fund if its organization and offering costs exceeded 0.95% of its average daily NAV for the first year of operations.

Offering costs on the VIX and Short Funds will be amortized over a twelve month period on a straight-line basis. The Sponsor will not charge its fee in the first year of operation of each VIX and Short Fund in an amount equal to the offering fees. The Sponsor has agreed to reimburse each VIX and Short Fund to the extent that its offering costs exceed 0.85% and 0.95%, respectively, of its average daily NAV for the first year of operations. At March 31, 2011, amounts payable for offering costs are reflected in the Statement of Financial Condition for each VIX and Short Fund.

NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS

Each Leveraged Fund and VIX Fund issues and redeems Shares and each Short Fund will issue and redeem shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the reverse share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.

Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases and redemptions—is not relevant to retail investors.

Transaction Fees on Creation and Redemption Transactions

The manner by which Creation Units are purchased or redeemed is dictated by the terms of the Authorized Participant Agreement and Authorized Participant Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with BBH&Co., the custodian of the Funds (the “Custodian”); and (2) if permitted by the Sponsor in its sole discretion with respect to a VIX Fund, enter into or arrange for an exchange of futures contract for related position (“EFCRP”) or block trade with the VIX Fund whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded VIX futures contracts at or near the closing settlement price for such contracts on the purchase order date.

Authorized Participants, generally, pay a fixed transaction fee of $500 in connection with each order to create or redeem a Creation Unit in order to Compensate BBH&Co. for services in processing the creation and redemption of Creation Units. The fixed transaction fee for the VIX Funds is currently being paid for by the Sponsor. Authorized Participants may be required to pay a variable transaction fee of up to 0.10% of the value of the Creation Unit that is purchased or redeemed. The current variable transaction fee is 0.022% for the Commodity and Commodity Index Funds. There is currently no variable transaction fee for the Currency and VIX Funds. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market. Currently there are no additional fees being charged for related EFCRP or block trade transactions.

-92-

The transaction fees that are included in the Sale and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity were as follows:


Fund	Three Months Ended March 31, 2011
Ultra DJ-UBS Commodity	$	397
UltraShort DJ-UBS Commodity		320
Ultra DJ-UBS Crude Oil		198,253
UltraShort DJ-UBS Crude Oil		50,253
Ultra Gold		4,919
UltraShort Gold		11,478
Ultra Silver		98,905
UltraShort Silver		46,191
Ultra Euro		—
UltraShort Euro		—
Ultra Yen		—
UltraShort Yen		—
VIX Short-Term Futures ETF		—
VIX Mid-Term Futures ETF		—

Total Trust	$	410,716

-93-

NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended March 31, 2011:

Ultra ProShares

For the Three Months Ended March 31, 2011 (unaudited)


Per Share Operating Performance	Ultra DJ- UBS Commodity			Ultra DJ- UBS Crude Oil*			Ultra Gold			Ultra Silver			Ultra Euro			Ultra Yen
Net asset value, at December 31, 2010	$	36.3723		$	50.0017		$	69.2163		$	156.2862		$	25.7644		$	33.4918

Net investment income (loss)		(0 .0750	)		(0 .1042	)		(0 .1365	)		(0 .3446	)		(0 .0550	)		(0 .0667	)
Net realized and unrealized gain (loss)		3 .1597			7 .2125			2 .5663			71 .3858			3 .1737			(1 .6613	)
Change in net asset value from operations		3 .0847			7 .1083			2 .4298			71 .0412			3 .1187			(1 .7280	)
Net asset value, at March 31, 2011	$	39.4570		$	57.1100		$	71.6461		$	227.3274		$	28.8831		$	31.7638

Market value per share, at December 31, 2010†	$	36 .27		$	49 .98		$	70 .72		$	158 .59		$	25 .86		$	33 .29
Market value per share, at March 31, 2011†	$	39 .67		$	56 .99		$	71 .13		$	225 .09		$	28 .90		$	31 .77

Total Return, at net asset value^		8 .5	%		14 .2	%		3 .5	%		45 .5	%		12 .1	%		(5 .2	)%
Total Return, at market value^		9 .4	%		14 .0	%		0 .6	%		41 .9	%		11 .8	%		(4 .6	)%

Ratios to Average Net Assets**

Expense ratio		(0 .95	)%		(0 .99	)%		(0 .95	)%		(0 .95	)%		(0 .95	)%		(0 .95	)%
Expense ratio, excluding brokerage commissions		(0 .95	)%		(0 .95	)%		(0 .95	)%		(0 .95	)%		(0 .95	)%		(0 .95	)%
Net investment income (loss)		(0 .83	)%		(0 .87	)%		(0 .83	)%		(0 .83	)%		(0 .83	)%		(0 .83	)%

*	See Note 1 of these Notes to Financial Statements.

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended March 31, 2011.

**	Percentages are annualized.

-94-

UltraShort ProShares

For the Three Months Ended March 31, 2011 (unaudited)


Per Share Operating Performance	UltraShort DJ- UBS Commodity*			UltraShort DJ- UBS Crude Oil*			UltraShort Gold			UltraShort Silver*			UltraShort Euro			UltraShort Yen
Net asset value, at December 31, 2010	$	47.9976		$	50.8516		$	28.3706		$	39.8927		$	20.2928		$	15.6744

Net investment income (loss)		(0 .0945	)		(0 .1074	)		(0 .0592	)		(0 .0722	)		(0 .0390	)		(0 .0325	)
Net realized and unrealized gain (loss)		(5 .2231	)		(9 .5347	)		(1 .6373	)		(16.7429	)		(2 .4103	)		0 .6244
Change in net asset value from operations		(5 .3176	)		(9 .6421	)		(1 .6965	)		(16.8151	)		(2 .4493	)		0 .5919
Net asset value, at March 31, 2011	$	42.6800		$	41.2095		$	26.6741		$	23 .0776		$	17.8435		$	16.2663

Market value per share, at December 31, 2010†	$	48 .30		$	50 .85		$	27 .80		$	39 .28		$	20 .31		$	15 .67
Market value per share, at March 31, 2011†	$	42 .99		$	41 .30		$	26 .85		$	23 .33		$	17 .85		$	16 .27

Total Return, at net asset value^		(11 .1	)%		(19 .0	)%		(6 .0	)%		(42 .2	)%		(12 .1	)%		3 .8	%
Total Return, at market value^		(11 .0	)%		(18 .8	)%		(3 .4	)%		(40 .6	)%		(12 .1	)%		3 .8	%

Ratios to Average Net Assets**

Expense ratio		(0 .95	)%		(1 .00	)%		(0 .95	)%		(0 .95	)%		(0 .95	)%		(0 .95	)%
Expense ratio, excluding brokerage commissions		(0 .95	)%		(0 .95	)%		(0 .95	)%		(0 .95	)%		(0 .95	)%		(0 .95	)%
Net investment income (loss)		(0 .82	)%		(0 .88	)%		(0 .83	)%		(0 .82	)%		(0 .82	)%		(0 .83	)%

*	See Note 1 of these Notes to Financial Statements.

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended March 31, 2011.

**	Percentages are annualized.

-95-

VIX ProShares

For the Three Months Ended March 31, 2011 (unaudited)


Per Share Operating Performance	VIX Short- Term Futures ETF			VIX Mid- Term Futures ETF
Net asset value, at December 31, 2010	$	80.0000		$	80.0000

Net investment income (loss)		(0 .1243	)		(0 .1299	)
Net realized and unrealized gain (loss)		(15.8064	)		(12.4771	)
Change in net asset value from operations		(15.9307	)		(12.6070	)
Net asset value, at March 31, 2011	$	64 .0693		$	67 .3930

Market value per share, at December 31, 2010†	$	80 .00		$	80 .00
Market value per share, at March 31, 2011†	$	63 .75		$	67 .38

Total Return, at net asset value^		(19 .9	)%		(15 .8	)%
Total Return, at market value^		(20 .3	)%		(15 .8	)%

Ratios to Average Net Assets**

Expense ratio		(0 .85	)%		(0 .85	)%
Expense ratio, excluding brokerage commissions		(0 .85	)%		(0 .85	)%
Net investment income (loss)		(0 .76	)%		(0 .76	)%

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended March 31, 2011.

**	Percentages are annualized.

-96-

Selected data for a Share outstanding throughout the three months ended March 31, 2010:

Ultra ProShares

For the Three Month Period Ended March 31, 2010 (unaudited)


Per Share Operating Performance	Ultra DJ-UBS Commodity			Ultra DJ-UBS Crude Oil*			Ultra Gold			Ultra Silver			Ultra Euro			Ultra Yen
Net asset value, at December 31, 2009	$	28.2051		$	50.4982		$	44.0778		$	57.0257		$	30.1257		$	26.1393

Net investment income (loss)		(0.0522	)		(0.1087	)		(0.0993	)		(0.1168	)		(0.0605	)		(0.0582	)
Net realized and unrealized gain (loss)		(3.1223	)		2.5720			1.6051			1.1369			(3.3724	)		(0.3086	)
Change in net asset value from operations		(3.1745	)		2.4633			1.5058			1.0201			(3.4329	)		(0.3668	)
Net asset value, at March 31, 2010	$	25.0306		$	52.9615		$	45.5836		$	58.0458		$	26.6928		$	25.7725

Market value per share, at December 31, 2009†	$	28.43		$	50.72		$	44.68		$	56.15		$	30.17		$	26.58
Market value per share, at March 31, 2010†	$	25.04		$	52.24		$	45.38		$	57.77		$	26.74		$	25.81

Total Return, at net asset value^		(11.3	)%		4.9	%		3.4	%		1.8	%		(11.4	)%		(1.4	)%
Total Return, at market value^		(11.9	)%		3.0	%		1.6	%		2.9	%		(11.4	)%		(2.9	)%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.99	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.81	)%		(0.93	)%		(0.89	)%		(0.86	)%		(0.88	)%		(0.86	)%

*	See Note 1 of these Notes to Financial Statements.

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended March 31, 2010.

**	Percentages are annualized.

-97-

UltraShort ProShares

For the Three Month Period Ended March 31, 2010 (unaudited)


Per Share Operating Performance	UltraShort DJ- UBS Commodity*			UltraShort DJ- UBS Crude Oil*			UltraShort Gold*			UltraShort Silver*			UltraShort Euro			UltraShort Yen
Net asset value, at December 31, 2009	$	73.1052		$	68.4432		$	52.4052		$	188.3683		$	18.6755		$	21.4246

Net investment income (loss)		(0.1641	)		(0.1520	)		(0.1078	)		(0.3947	)		(0.0433	)		(0.0440	)
Net realized and unrealized gain (loss)#		5.6843			(7.7763	)		(3.9407	)		(25.3207	)		2.1585			0.0175
Change in net asset value from operations		5.5202			(7.9283	)		(4.0485	)		(25.7154	)		2.1152			(0.0265	)
Net asset value, at March 31, 2010	$	78.6254		$	60.5149		$	48.3567		$	162.6529		$	20.7907		$	21.3981

Market value per share, at December 31, 2009†	$	73.25		$	68.25		$	51.75		$	191.60		$	18.70		$	21.30
Market value per share, at March 31, 2010†	$	78.35		$	61.35		$	48.55		$	163.20		$	20.80		$	21.44

Total Return, at net asset value^		7.6	%		(11.6	)%		(7.7	)%		(13.7	)%		11.3	%		(0.1	)%
Total Return, at market value^		7.0	%		(10.1	)%		(6.2	)%		(14.8	)%		11.2	%		0.7	%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(1.00	)%		(0.96	)%		(0.95	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.85	)%		(0.91	)%		(0.88	)%		(0.87	)%		(0.87	)%		(0.88	)%

*	See Note 1 of these Notes to Financial Statements.

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended March 31, 2010.

**	Percentages are annualized.

-98-

NOTE 8 – RISK

Correlation and Compounding Risk

The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than one day because mathematical compounding prevents the Funds from achieving such results. Accordingly, results over periods of time greater than one day should not be expected to be a simple inverse correlation (-100%) or multiple (+200 or -200%) of the period return of the corresponding benchmark and will likely differ significantly. The VIX Funds seek to achieve their stated investment objective both over a single day and over time.

While the Funds expect to meet their investment objectives, several factors may affect their ability to do so. Among these factors are: (1) a Fund’s expenses, including fees, transaction costs and the cost of the investment techniques employed by that Fund (such as costs related to the purchase, sale and storage of the commodities or currencies and the cost of leverage, all of which may be embedded in financial instruments used by a Fund); (2) less than all of the commodities in the relevant benchmark index being held by a Commodity Index Fund or its weighting of investment exposure to such commodities being different from that of the relevant benchmark index; (3) an imperfect correlation between the performance of instruments held by a Fund, such as swaps, futures contracts and/or forward contracts, and the performance of the applicable underlying indices, commodities or currencies in the cash market; (4) bid-ask spreads; (5) holding instruments traded in a market that has become illiquid or disrupted; (6) a Fund’s share prices being rounded to the nearest cent; (7) changes to a benchmark index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions.

A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. A number of factors may adversely affect a Geared Fund’s correlation with its benchmark, including fees, expenses, transaction costs, costs and risks associated with the use of leveraged investment techniques, income items, accounting standards and disruptions or illiquidity in the markets for the commodities or Financial Instruments (i.e., commodity-based or currency-based instruments whose value is derived from the value of an underlying asset, rate or index) in which the Fund invests. A Geared Fund may not have investment exposure to all of the commodities or currencies in its underlying benchmark index, or its weighting of investment exposure to such commodities or currencies may be different from that of the index. In addition, a Geared Fund may invest in commodities or currencies or Financial Instruments not included in the index underlying its benchmark. A Geared Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its benchmark. Activities surrounding annual index reconstitutions and other index rebalancing or reconstitution events may hinder a Geared Fund’s ability to meet its daily investment objective on or around that day. Each Geared Fund seeks to rebalance its portfolio daily to keep leverage consistent with its daily investment objective.

Compounding affects all investments, but has a more significant impact on a Geared Fund. The Geared Funds are “geared” in the sense that they have investment objectives to match a multiple, the inverse or a multiple of the inverse of the performance of an index on a given day. These Funds are subject to all of the correlation risks described above. In addition, there is a special form of correlation risk that derives from such Funds’ having a single day investment objective in combination with the use of leverage, which is that for periods greater than one day, the effect of compounding may cause the performance of a Fund to be either greater than or less than the index performance (or the inverse of the index performance) times the stated multiple in the Fund objective, before accounting for fees and fund expenses. This effect can be even more significant in the case of the Leveraged Funds due to the use of leverage. The Geared Funds are designed to provide leveraged (e.g. 200%), inverse (e.g. -100%) or inverse leveraged (e.g. -200%) results on a daily basis (before fees and expenses). Investors should monitor their holdings consistent with their strategies, as frequently as daily.

-99-

Counterparty Risk

A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. The Funds structure the agreements such that either party can terminate the contract without penalty prior to the termination date. A Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties. A Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding and a Fund may obtain only limited recovery or may obtain no recovery in such circumstances. The Funds have sought to mitigate risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount equal to what the counterparty owes the Fund. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions with counterparties whose credit rating, at the time of the transaction, is investment grade, as determined by a nationally recognized statistical rating organization, or, if unrated, judged by the Sponsor to be of comparable quality.

Leverage Risk

The Funds use investment techniques that may be considered aggressive, including the use of futures contracts, swap agreements and forward agreements. The Funds’ investment in Financial Instruments may involve a small investment relative to the amount of investment exposure assumed and may result in losses exceeding the amounts invested. Such instruments, particularly when used to create leverage, may expose the Funds to potentially dramatic changes (losses or gains) in the value of the instruments.

Liquidity Risk

In certain circumstances, such as the disruption of the orderly markets for the commodities or Financial Instruments in which a Fund invests, a Fund might not be able to dispose of certain holdings quickly or at prices that represent true market value in the judgment of the Sponsor. Such a situation may prevent a Fund from limiting losses, realizing gains or achieving a high correlation or inverse correlation with its underlying index.

“Contango” and “Backwardation” Risk

In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in August 2010 may specify an October 2010 expiration. For an Ultra Fund and a VIX Fund, as that contract nears expiration, it may be replaced by selling the October 2010 contract and purchasing the contract expiring in December 2010. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the October 2010 contract would take place at a price that is higher than the price at which the December 2010 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a VIX Fund that invests in such futures and positively affect an UltraShort Fund or Short Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds and positively affect the Ultra Funds and existing VIX Funds.

Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the VIX Futures Index. Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process would adversely affect the value of each VIX Futures Index and the VIX Funds and, accordingly, decrease the return of the VIX Funds.

Gold and silver historically exhibit persistent “contango” markets rather than backwardation. Natural gas, like crude oil, moves in and out of backwardation and contango but historically has been in contango most commonly. It is generally believed this is because the market needs to build inventories for most of the year in order to have enough storage to make it through a normal winter. Periods of backwardation are typically thought to be caused by demand shocks or supply shortages such as an unusually cold winter or a hurricane.

-100-

NOTE 9 – LEGAL PROCEEDINGS

The Trust and certain officers are defendants (along with several other parties) in a consolidated class action styled In re ProShares Trust Securities Litigation, Civ. No. 09-cv-6935, filed in the United States District Court for the Southern District of New York. The complaint, as amended, alleges that the defendants violated Sections 11 and 15 of the Securities Act of 1933 by including untrue statements of material fact and omitting material facts in the Registration Statement for one or more ProShares ETFs, allegedly failing to adequately disclose the Funds’ investment objectives and risks. The six Funds of the Trust named in the complaint are ProShares Ultra Silver, ProShares UltraShort Gold, ProShares Ultra Gold, ProShares UltraShort DJ-UBS Crude Oil, ProShares Ultra DJ-UBS Crude Oil and ProShares UltraShort Silver. The Trust believes the complaint is without merit and that the anticipated outcome will not adversely impact the operation of the Trust or any of its Funds.

NOTE 10 – SUBSEQUENT EVENTS

Management has evaluated the subsequent events following the quarter ended March 31, 2011. The subsequent events were as follows:

On April 13, 2011, the Trust registered shares for eight additional series: ProShares Ultra DJ-UBS Natural Gas, ProShares UltraShort DJ-UBS Natural Gas, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF, ProShares UltraShort VIX Short-Term Futures ETF, ProShares Ultra VIX Mid-Term Futures ETF, ProShares Short VIX Mid-Term Futures ETF and ProShares UltraShort VIX Mid-Term Futures ETF (the “New Funds”). As of May 10, 2011, each of the New Funds had seed capital of $400 but had not commenced investment operations.

-101-

Item 2.

Management’s Discussion and Analysis of Financial Condition and Results of Operations.

This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q. 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” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor or the Trustee (as each term is defined below) 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 or the Trustee 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.

Introduction

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and currently organized into separate series (each, a “Fund” and collectively, the “Funds”). The following fourteen series of the Trust, ProShares Ultra DJ-UBS Commodity, ProShares UltraShort DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares Ultra Euro, ProShares UltraShort Euro, ProShares Ultra Yen and ProShares UltraShort Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”), ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a VIX Fund and collectively, the “VIX Funds”) issue common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Leveraged or VIX Fund. The Shares of each Leveraged and VIX Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Trust has also registered shares for two additional series: ProShares Short DJ-UBS Natural Gas and ProShares Short Gold (each, a “Short Fund” and collectively, the “Short Funds”). As of March 31, 2011, each of the Short Funds had seed capital of $200 but neither of the Short Funds had commenced investment operations; therefore, the Financial Statements in this Quarterly Report on Form 10-Q do not include Schedules of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity or Statements of Cash Flows for the Short Funds. The Short Funds, together with the Leveraged Funds, are referred to as the “Geared Funds” in this Quarterly Report on Form 10-Q. The Trust had no operations prior to November 24, 2008 other than matters relating to its organization, the registration of each series under the Securities Act of 1933, as amended, and the sale and issuance to ProShare Capital Management LLC (the “Sponsor”) of fourteen Shares of each Leveraged Fund at an aggregate purchase price of $350 in each of the Funds.

ProShare Capital Management LLC serves as the Trust’s Sponsor (the “Sponsor”), commodity pool operator and commodity trading advisor. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the Commodity Exchange Act and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended.

Groups of Funds are collectively referred to in this Quarterly Report on Form 10-Q in several different ways. References to “Ultra Funds,” “Short Funds” or “UltraShort Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

-102-

Each “Ultra” Fund seeks daily investment results (before fees and expenses) that correspond to twice (200%) the daily performance of its corresponding benchmark. Each “Short” Fund will seek daily investment results (before fees and expenses) that correspond to the inverse (-100%) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results (before fees and expenses) that correspond to twice the inverse (-200%) of the daily performance of its corresponding benchmark. Each of the Geared Funds generally invests or will invest in Financial Instruments (i.e., commodity-based or currency-based instruments whose value is derived from the value of an underlying asset, rate or index, including futures contracts and options on futures contracts, swap agreements, forward contracts and other commodity-based or currency-based options contracts) as a substitute for investing directly in a commodity or currency in order to gain exposure to the commodity index, commodity or currency. The Financial Instruments in which ProShares Short DJ-UBS Natural Gas will invest are limited to futures contracts. Financial Instruments also are used to produce economically “leveraged” or “inverse” investment results for the Funds. Each “VIX Fund” seeks daily investment results (before fees and expenses) that match the performance of a benchmark. Each VIX Fund obtains exposure to its benchmark by investing in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“CBOE”) Volatility Index (the “VIX”).

Each Geared Fund seeks investment results for a single day only, not for longer periods. 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 200%, -100% or -200% of the return of the index 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 are riskier than similarly benchmarked exchange-traded funds that are not geared. 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 inverse investment results. Shareholders should actively monitor their investments.

The VIX Funds seek to achieve their stated investment objective both over a single day and over time.

ProShares Ultra DJ-UBS Commodity, ProShares UltraShort DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil and ProShares UltraShort DJ-UBS Crude Oil each have a benchmark designed to track the performance of commodity futures contracts. 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.

Each Geared Fund continuously offers and redeems or will offer and redeem its Shares in blocks of 50,000 Shares and each VIX Fund continuously offers and redeems shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective net asset value per Share (“NAV”). Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on the NYSE Arca, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.

Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a significant 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).

-103-

A portion of these investments may be posted as collateral in connection with swap agreements and each Fund’s trading in futures and 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 three-month periods ended March 31, 2011 and March 31, 2010, each of the Leveraged and VIX Funds earned interest income as follows:


Fund	Interest Income Three Months Ended March 31, 2011		Interest Income Three Months Ended March 31, 2010
ProShares Ultra DJ-UBS Commodity	$	5,859	$	4,769
ProShares UltraShort DJ-UBS Commodity		740		880
ProShares Ultra DJ-UBS Crude Oil		98,318		41,256
ProShares UltraShort DJ-UBS Crude Oil		36,450		22,438
ProShares Ultra Gold		71,784		24,820
ProShares UltraShort Gold		31,276		13,434
ProShares Ultra Silver		186,095		36,445
ProShares UltraShort Silver		46,897		14,912
ProShares Ultra Euro		2,411		1,480
ProShares UltraShort Euro		144,361		38,955
ProShares Ultra Yen		1,025		913
ProShares UltraShort Yen		88,611		16,534
ProShares VIX Short-Term Futures ETF		3,020		—
ProShares VIX Mid-Term Futures ETF		1,277		—

Each Fund’s underlying swaps, futures and forward contracts, as the case may be, are 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 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.

The Trust is unaware of any other trends, demands, conditions or events that are reasonably likely to result in material changes to the Trust’s liquidity needs.

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).

-104-

Results of Operations for the Three-Month Period Ended March 31, 2011 Compared to the Three-Month Period Ended March 31, 2010

NAV of ProShares Ultra DJ-UBS Commodity

Fund Performance

During the three months ended March 31, 2011, the Fund’s NAV increased from $18,186,658 at December 31, 2010 to $21,701,886 at March 31, 2011. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 500,014 Shares at December 31, 2010 to 550,014 Shares at March 31, 2011 due to 50,000 Shares (1 Creation Unit) being created and no Shares being redeemed during the period. 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 200% of the daily performance of the Dow Jones-UBS Commodity Index. By comparison, during the three months ended March 31, 2010, the Fund’s NAV decreased from $19,743,932 at December 31, 2009 to $12,515,659 at March 31, 2010. The decrease in the Fund’s NAV resulted primarily from a decrease in outstanding Shares, which decreased from 700,014 Shares at December 31, 2009 to 500,014 Shares at March 31, 2010 due to 100,000 Shares (2 Creation Units) being created and 300,000 Shares (6 Creation Units) being redeemed during the period. 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 200% of the daily performance of the Dow Jones-UBS Commodity Index.

For the three months ended March 31, 2011 and March 31, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 8.5% and decreased by 11.3%, respectively. The increase of 8.5% for the period ended March 31, 2011 as compared to the decrease of 11.3% for the period ended March 31, 2010, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended March 31, 2011.

During the three months ended March 31, 2011, the Fund’s NAV reached its high for the period on March 31, 2011 at $39.46 per Share and reached its low for the period on March 15, 2011 at $33.84 per Share. By comparison, during the period ended March 31, 2010, the Fund’s NAV reached its high for the period on January 6, 2010 at $30.58 per Share and reached its low for the period on February 5, 2010 at $23.14 per Share.

During the three months ended March 31, 2011, the benchmark index rose by a cumulative 4.5% and had an annualized volatility of 15.9%. By comparison, during the three months ended March 31, 2010, the benchmark index declined by a cumulative 5.0% and had an annualized volatility of 17.7%. The benchmark’s rise of 4.5% for the three months ended March 31, 2011, as compared to the benchmark’s decline of 5.0% for the three months ended March 31, 2010, can be attributed to the general appreciation of the underlying components of the index, primarily Crude Oil, during the three months ended March 31, 2011.

Net Income/Loss

For the three months ended March 31, 2011, the Fund’s net income was $1,732,473, resulting from a net investment loss of $40,254, inclusive of management fees of $46,113 (.95% of the Fund’s average daily net assets of $19,685,567), a net realized gain of $3,204,121 and a change in net unrealized appreciation/depreciation of $(1,431,394). By comparison, for the three months ended March 31, 2010, the Fund’s net loss was $2,022,722, resulting from a net investment loss of $27,282, inclusive of management fees of $32,051 (.95% of the Fund’s average weighted assets of $13,682,454), a net realized loss of $340,982 and a change in net unrealized appreciation/depreciation of $(1,654,458). The Fund’s net income increased for the three months ended March 31, 2011, as compared to the three months ended March 31, 2010 primarily due to the relative performance of the Fund’s benchmark index.

-105-

NAV of ProShares UltraShort DJ-UBS Commodity*

Fund Performance

During the three months ended March 31, 2011, the Fund’s NAV increased from $1,440,073 at December 31, 2010 to $2,560,673 at March 31, 2011. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 30,003 Shares at December 31, 2010 to 59,997 Shares at March 31, 2011 due to 30,000 Shares (3 Creation Units) being created and 6 Shares (0 Creation Units) being redeemed during the period. 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 200% of the inverse of the daily performance of the Dow Jones-UBS Commodity Index. By comparison, during the three months ended March 31, 2010, the Fund’s NAV increased from $2,924,426 at December 31, 2009 to $4,717,758 at March 31, 2010. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 40,003 Shares at December 31, 2009 to 60,003 Shares at March 31, 2010 due to 20,000 Shares (2 Creation Units) being created and no Shares being redeemed during the period. 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 200% of the daily performance of the Dow Jones-UBS Commodity Index.

For the three months ended March 31, 2011 and March 31, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 11.1% and increased by 7.6%, respectively. The decrease of 11.1% for the three months ended March 31, 2011, as compared to the increase of 7.6% for the three months ended March 31, 2010, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2011.

During the three months ended March 31, 2011, the Fund’s NAV reached its high for the period on January 7, 2011 at $50.71 per Share and reached its low for the period on March 31, 2011 at $42.68 per Share. By comparison, during the three months ended March 31, 2010, the Fund’s NAV reached its high for the period on February 5, 2010 at $87.01 per Share and reached its low for the period on January 6, 2010 at $67.11 per Share.

Net Income/Loss

For the three months ended March 31, 2011, the Fund’s net loss was $305,961, resulting from a net investment loss of $4,737, inclusive of management fees of $5,477 (.95% of the Fund’s average daily net assets of $2,338,054), a net realized loss of $384,316 and a change in net unrealized appreciation/depreciation of $83,092. By comparison, for the three months ended March 31, 2010, the Fund’s net income was $182,919, resulting from a net investment loss of $7,877, inclusive of management fees of $8,757 (.95% of the Fund’s average weighted assets of $3,738,103), a net realized loss of $137,346 and a change in net unrealized appreciation/depreciation of $328,142. The Fund’s net income decreased for the three months ended March 31, 2011, as compared to the three months ended March 31, 2010 primarily due to the relative performance of the Fund’s benchmark index.

*	See Note 1 of the Notes to Financial Statements in Item 1 of Part I regarding the reverse share split for the ProShares UltraShort DJ-UBS Commodity Fund.

-106-

NAV of ProShares Ultra DJ-UBS Crude Oil*

Fund Performance

During the three months ended March 31, 2011, the Fund’s NAV increased from $228,133,077 at December 31, 2010 to $271,225,000 at March 31, 2011. The increase in the Fund’s NAV resulted in part from an increase in outstanding Shares, which increased from 4,562,504 Shares at December 31, 2010 to 4,749,170 Shares at March 31, 2011 due to 9,575,000 Shares (721 Creation Units) being created and 9,388,334 Shares (397 Creation Units) being redeemed during the period. 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 200% of the daily performance of the Dow Jones-UBS Crude Oil Sub-Index. By comparison, during the three months ended March 31, 2010, the Fund’s NAV decreased from $323,819,670 at December 31, 2009 to $199,930,040 at March 31, 2010. The decrease in the Fund’s NAV resulted primarily from a decrease in outstanding Shares, which decreased from 6,412,504 Shares at December 31, 2009 to 3,775,004 Shares at March 31, 2010 due to 3,987,500 Shares (319 Creation Units) being created and 6,625,000 Shares (530 Creation Units) being redeemed during the period. 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 200% of the daily performance of the Dow Jones-UBS Crude Oil Sub-Index.

For the three months ended March 31, 2011 and March 31, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 14.2% and 4.9%, respectively. The increase of 14.2% for the three months ended March 31, 2011, as compared to the increase of 4.9% for the three months ended March 31, 2010, was primarily due to a relatively higher appreciation in the value of the assets of the Fund during the three months ended March 31, 2011.

During the three months ended March 31, 2011, the Fund’s NAV reached its high for the period on March 7, 2011 at $57.44 per Share and reached its low for the period on February 15, 2011 at $41.87 per Share. By comparison, during the three months ended March 31, 2010, the Fund’s NAV reached its high for the period on January 6, 2010 at $55.27 per Share and reached its low for the period on February 5, 2010 at $39.57 per Share.

During the three months ended March 31, 2011, the benchmark index rose by a cumulative 8.0% and had an annualized volatility of 27.1%. By comparison, during the three months ended March 31, 2010, the benchmark index rose by a cumulative 3.4% and had an annualized volatility of 27.2%. The benchmark’s rise of 8.0% for the three months ended March 31, 2011, as compared to the benchmark’s rise of 3.4% for the three months ended March 31, 2010, can be attributed to a relatively higher increase in the price of WTI Crude Oil during the three months ended March 31, 2011.

Net Income/Loss

For the three months ended March 31, 2011, the Fund’s net income was $86,333,401, resulting from a net investment loss of $730,394, inclusive of management fees of $799,043 (.95% of the Fund’s average daily net assets of $341,111,831) and brokerage commissions of $29,669, a net realized gain of $82,189,356 and a change in net unrealized appreciation/depreciation of $4,874,439. By comparison, for the three months ended March 31, 2010, the Fund’s net income was $29,783,954, resulting from a net investment loss of $591,012, inclusive of management fees of $603,925 (.95% of the Fund’s average weighted assets of $257,816,082) and brokerage commissions of $28,343, a net realized gain of $53,064,329 and a change in net unrealized appreciation/depreciation of $(22,689,363). The Fund’s net income increased for the three months ended March 31, 2011, as compared to the three months ended March 31, 2010 primarily due to the relative performance of the Fund’s benchmark index.

*	See Note 1 of the Notes to Financial Statements in Item 1 of Part I regarding the reverse share split for the ProShares Ultra DJ-UBS Crude Oil Fund.

-107-

NAV of ProShares UltraShort DJ-UBS Crude Oil*

Fund Performance

During the three months ended March 31, 2011, the Fund’s NAV increased from $132,214,257 at December 31, 2010 to $136,813,099 at March 31, 2011. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 2,600,003 Shares at December 31, 2010 to 3,319,944 Shares at March 31, 2011 due to 2,730,000 Shares (101 Creation Units) being created and 2,010,059 Shares (145 Creation Units) being redeemed during the period. 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 200% of the inverse of the daily performance of the Dow Jones-UBS Crude Oil Sub-Index. By comparison, during the three months ended March 31, 2010, the Fund’s NAV increased from $76,656,626 at December 31, 2009 to $124,055,704 at March 31, 2010. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 1,120,003 Shares at December 31, 2009 to 2,050,003 Shares at March 31, 2010 due to 2,670,000 Shares (267 Creation Units) being created and 1,740,000 Shares (174 Creation Units) being redeemed during the period. 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 200% of the inverse of the daily performance of the Dow Jones-UBS Crude Oil Sub-Index.

For the three months ended March 31, 2011 and March 31, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 19.0% and 11.6%, respectively. The decrease of 19.0% for the three months ended March 31, 2011, as compared to the decrease of 11.6% for the three months ended March 31, 2010, was primarily due to a relatively higher depreciation in the value of the assets of the Fund during the three months ended March 31, 2011.

During the three months ended March 31, 2011, the Fund’s NAV reached its high for the period on February 15, 2011 at $58.77 per Share and reached its low for the period on March 31, 2011 at $41.21 per Share. By comparison, during the three months ended March 31, 2010, the Fund’s NAV reached its high for the period on February 5, 2010 at $84.13 per Share and reached its low for the period on March 31, 2010 at $60.51 per Share.

Net Income/Loss

For the three months ended March 31, 2011, the Fund’s net loss was $11,429,595, resulting from a net investment loss of $277,411, inclusive of management fees of $298,212 (.95% of the Fund’s average daily net assets of $127,306,713) and brokerage commissions of $15,649, a net realized loss of $13,934,802 and a change in net unrealized appreciation/depreciation of $2,782,618. By comparison, for the three months ended March 31, 2010, the Fund’s net income was $207,375, resulting from a net investment loss of $207,423, inclusive of management fees of $217,682 (.95% of the Fund’s average weighted assets of $92,928,385) and brokerage commissions of $12,179, a net realized gain of $1,585,117 and a change in net unrealized appreciation/depreciation of $(1,170,319). The Fund’s net income decreased for the three months ended March 31, 2011, as compared to the three months ended March 31, 2010 primarily due to the relative performance of the Fund’s benchmark index.

*	See Note 1 of the Notes to Financial Statements in Item 1 of Part I regarding the reverse share split for the ProShares UltraShort DJ-UBS Crude Oil Fund.

-108-

NAV of ProShares Ultra Gold

Fund Performance

During the three months ended March 31, 2011, the Fund’s NAV decreased from $259,562,075 at December 31, 2010 to $250,762,400 at March 31, 2011. The decrease in the Fund’s NAV resulted primarily from a decrease in outstanding Shares, which decreased from 3,750,014 Shares at December 31, 2010 to 3,500,014 Shares at March 31, 2011 due to 50,000 Shares (1 Creation Unit) being created and 300,000 Shares (6 Creation Units) being redeemed during the period. 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 200% of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London. By comparison, during the three months ended March 31, 2010, the Fund’s NAV increased from $156,476,709 at December 31, 2009 to $164,101,484 at March 31, 2010. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 3,550,014 Shares at December 31, 2009 to 3,600,014 Shares at March 31, 2010 due to 600,000 Shares (12 Creation Units) being created and 550,000 Shares (11 Creation Units) being redeemed during the period. 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 200% of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London.

For the three months ended March 31, 2011 and March 31, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 3.5% and 3.4%, respectively. The increase of 3.5% for the three months ended March 31, 2011, as compared to the increase of 3.4% for the three months ended March 31, 2010, was primarily due to a relatively higher appreciation in the value of the assets of the Fund during the three months ended March 31, 2011.

During the three months ended March 31, 2011, the Fund’s NAV reached its high for the period on March 24, 2011 at $72.52 per Share and reached its low for the period on January 28, 2011 at $60.68 per Share. By comparison, during the three months ended March 31, 2010, the Fund’s NAV reached its high for the period on January 11, 2010 at $49.40 per Share and reached its low for the period on February 5, 2010 at $41.35 per Share.

During the three months ended March 31, 2011, the benchmark index rose by a cumulative 2.4% and had an annualized volatility of 12.9%. By comparison, during the three months ended March 31, 2010, the benchmark index rose by a cumulative 2.6% and had an annualized volatility of 18.4%. The benchmark’s rise of 2.4% for the three months ended March 31, 2011, as compared to the benchmark’s rise of 2.6% for the three months ended March 31, 2010, can be attributed to a relatively lower increase in the price of spot gold in U.S. Dollar terms during the three months ended March 31, 2011.

Net Income/Loss

For the three months ended March 31, 2011, the Fund’s net income was $6,068,126, resulting from a net investment loss of $482,456, inclusive of management fees of $553,335 (.95% of the Fund’s average daily net assets of $236,218,999) and brokerage commissions of $905, a net realized gain of $8,021,259 and a change in net unrealized appreciation/depreciation of $(1,470,677). By comparison, for the three months ended March 31, 2010, the Fund’s net income was $4,832,665, resulting from a net investment loss of $359,416, inclusive of management fees of $383,232 (.95% of the Fund’s average weighted assets of $163,602,018) and brokerage commissions of $1,004, a net realized loss of $2,558,123 and a change in net unrealized appreciation/depreciation of $7,750,204. The Fund’s net income increased for the three months ended March 31, 2011, as compared to the three months ended March 31, 2010 primarily due to the relative performance of the Fund’s benchmark and the significant increase in net asset value.

NAV of ProShares UltraShort Gold*

Fund Performance

During the three months ended March 31, 2011, the Fund’s NAV increased from $77,732,507 at December 31, 2010 to $81,086,510 at March 31, 2011. The increase in the Fund’s NAV resulted primarily from an increase in

-109-

outstanding Shares, which increased from 2,739,901 Shares at December 31, 2010 to 3,039,901 Shares at March 31, 2011 due to 1,050,000 Shares (21 Creation Units) being created and 750,000 Shares (15 Creation Units) being redeemed during the period. 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 200% of the inverse of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London. By comparison, during the three months ended March 31, 2010, the Fund’s NAV decreased from $67,602,811 at December 31, 2009 to $64,798,115 at March 31, 2010. The decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the inverse of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London. The decrease in the Fund’s NAV was offset by an increase in outstanding Shares, which increased from 1,290,003 Shares at December 31, 2009 to 1,340,003 Shares at March 31, 2010 due to 300,000 Shares (30 Creation Units) being created and 250,000 Shares (25 Creation Units) being redeemed during the period.

For the three months ended March 31, 2011 and March 31, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 6.0% and 7.7%, respectively. The decrease of 6.0% for the three months ended March 31, 2011, as compared to the decrease of 7.7% for the three months ended March 31, 2010, was primarily due to a relatively lower depreciation in the value of the assets of the Fund during the three months ended March 31, 2011.

During the three months ended March 31, 2011, the Fund’s NAV reached its high for the period on January 28, 2011 at $32.10 per Share and reached its low for the period on March 24, 2011 at $26.42 per Share. By comparison, during the three months ended March 31, 2010, the Fund’s NAV reached its high for the period on February 5, 2010 at 54.47 per Share and reached its low for the period on January 11, 2010 at $46.40 per Share.

Net Income/Loss

For the three months ended March 31, 2011, the Fund’s net loss was $7,471,776, resulting from a net investment loss of $199,330, inclusive of management fees of $229,514 (.95% of the Fund’s average daily net assets of $97,979,699) and brokerage commissions of $1,092, a net realized loss of $7,953,067 and a change in net unrealized appreciation/depreciation of $680,621. By comparison, for the three months ended March 31, 2010, the Fund’s net loss was $4,984,279, resulting from a net investment loss of $149,951, inclusive of management fees of $162,335 (.95% of the Fund’s average weighted assets of $69,301,079) and brokerage commissions of $1,050, a net realized loss of $1,708,784 and a change in net unrealized appreciation/depreciation of $(3,125,544). The Fund’s net income decreased for the three months ended March 31, 2011, as compared to the three months ended March 31, 2010 primarily due to the relative performance of the Fund’s benchmark and the significant increase in net asset value.

*	See Note 1 of the Notes to Financial Statements in Item 1 of Part I regarding the reverse share split for the ProShares UltraShort Gold Fund.

NAV of ProShares Ultra Silver

Fund Performance

During the three months ended March 31, 2011, the Fund’s NAV increased from $547,003,919 at December 31, 2010 to $1,057,075,755 at March 31, 2011. The increase in the Fund’s NAV resulted in part from an increase in outstanding Shares, which increased from 3,500,014 at December 31, 2010 to 4,650,014 Shares at March 31, 2011 due to 1,900,000 Shares (38 Creation Units) being created and 750,000 Shares (15 Creation Units) being redeemed during the period. The increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund

-110-

seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. By comparison, during the three months ended March 31, 2010, the Fund’s NAV increased from $145,416,382 at December 31, 2009 to $171,235,987 at March 31, 2010. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 2,550,014 Shares at December 31, 2009 to 2,950,014 Shares at March 31, 2010 due to 700,000 Shares (14 Creation Units) being created and 300,000 Shares (6 Creation Units) being redeemed during the period. 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 200% of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London.

For the three months ended March 31, 2011 and March 31, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 45.5% and 1.8%, respectively. The increase of 45.5% for the three months ended March 31, 2011, as compared to the increase of 1.8% for the three months ended March 31, 2010, was primarily due to a relatively higher appreciation in the value of the assets of the Fund during the three months ended March 31, 2011.

During the three months ended March 31, 2011, the Fund’s NAV reached its high for the period on March 31, 2011 at $227.31 per Share and reached its low for the period on January 28, 2011 at $116.80 per Share. By comparison, during the three months ended March 31, 2010, the Fund’s NAV reached its high for the period on January 11, 2010 at $69.87 per Share and reached its low for the period on February 8, 2010 at $44.40 per Share.

During the three months ended March 31, 2011, the benchmark index rose by a cumulative 23.6% and had an annualized volatility of 39.6%. By comparison, during the three months ended March 31, 2010, the benchmark index rose by a cumulative 3.0% and had an annualized volatility of 32.5%. The benchmark’s rise of 23.6% for the three months ended March 31, 2011, as compared to the benchmark’s rise of 3.0% for the three months ended March 31, 2010, can be attributed to a relatively higher increase in the price of spot silver in U.S. Dollar terms during the three months ended March 31, 2011.

Net Income/Loss

For the three months ended March 31, 2011, the Fund’s net income was $297,002,882, resulting from a net investment loss of $1,323,706, inclusive of management fees of $1,507,863 (.95% of the Fund’s average daily net assets of $643,707,466) and brokerage commissions of $1,938, a net realized gain of $273,346,091 and a change in net unrealized appreciation/depreciation of $24,980,497. By comparison, for the three months ended March 31, 2010, the Fund’s net income was $7,276,422, resulting from a net investment loss of $337,766, inclusive of management fees of $372,436 (.95% of the Fund’s average weighted assets of $158,993,063) and brokerage commissions of $1,775, a net realized loss of $7,830,858 and a change in net unrealized appreciation/depreciation of $15,445,046. The Fund’s net income increased for the three months ended March 31, 2011, as compared to the three months ended March 31, 2010 primarily due to the relative performance of the Fund’s benchmark.

NAV of ProShares UltraShort Silver*

Fund Performance

During the three months ended March 31, 2011, the Fund’s NAV increased from $99,032,781 at December 31, 2010 to $130,258,740 at March 31, 2011. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 2,482,479 Shares at December 31, 2010 to 5,644,369 Shares at March 31, 2011 due to 4,587,500 Shares (235 Creation Units) being created and 1,425,610 Shares (63 Creation Units) being redeemed during the period. 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 200% of the inverse of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. By comparison, during the three months ended March 31, 2010, the Fund’s NAV increased from $64,516,145 at December 31, 2009 to $69,330,778 at March 31, 2010. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 342,500 Shares at December 31, 2009 to 426,250 Shares at March 31, 2010 due to 155,000 Shares (124 Creation Units) being created and 71,250 Shares (57 Creation Units) being redeemed during the period. 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 200% of the inverse of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London.

-111-

For the three months ended March 31, 2011 and March 31, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 42.2% and 13.7%, respectively. The decrease of 42.2% for the three months ended March 31, 2011, as compared to the decrease of 13.7% for the three months ended March 31, 2010 was primarily due to a relatively higher depreciation in the value of the assets of the Fund during the three months ended March 31, 2011.

During the three months ended March 31, 2011, the Fund’s NAV reached its high for the period on January 25, 2011 at $51.11 per Share and reached its low for the period on March 31, 2011 at $23.08 per Share. By comparison, during the three months ended March 31, 2010, the Fund’s NAV reached its high for the period on February 8, 2010 at $227.03 per Share and reached its low for the period on January 11, 2010 at $151.56 per Share.

Net Income/Loss

For the three months ended March 31, 2011, the Fund’s net loss was $80,335,616, resulting from a net investment loss of $293,996, inclusive of management fees of $340,262 (.95% of the Fund’s average daily net assets of $145,258,003) and brokerage commissions of $631, a net realized loss of $81,287,545 and a change in net unrealized appreciation/depreciation of $1,245,925. By comparison, for the three months ended March 31, 2010, the Fund’s net loss was $8,962,526, resulting from a net investment loss of $153,135, inclusive of management fees of $167,390 (.95% of the Fund’s average weighted assets of $71,458,971) and brokerage commissions of $657, a net realized loss of $2,723,098 and a change in net unrealized appreciation/depreciation of $(6,086,293). The Fund’s net income decreased for the three months ended March 31, 2011, as compared to the three months ended March 31, 2010 primarily due to the relative performance of the Fund’s benchmark.

*	See Note 1 of the Notes to Financial Statements in Item 1 of Part I regarding the reverse share splits for the ProShares UltraShort Silver Fund.

NAV of ProShares Ultra Euro

Fund Performance

During the three months ended March 31, 2011, the Fund’s NAV increased from $7,729,684 at December 31, 2010 to $8,665,331 at March 31, 2011. The Fund had no creation or redemption activity during the quarter. The increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of the spot price of the Euro versus the U.S. Dollar. By comparison, during the three months ended March 31, 2010, the Fund’s NAV increased from $7,531,857 at December 31, 2009 to $9,342,863 at March 31, 2010. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 250,014 Shares at December 31, 2009 to 350,014 Shares at March 31, 2010 due to 100,000 Shares (2 Creation Units) being created and no Shares being redeemed during the period. 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 200% of the daily performance of the spot price of the Euro versus the U.S. Dollar.

For the three months ended March 31, 2011 and March 31, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 12.1% and decreased by 11.4%, respectively. The increase of 12.1% for the three months ended March 31, 2011, as compared to the decrease of 11.4% for the three months ended March 31, 2010 was primarily due to an appreciation in the value of the assets of the Fund during the three months ended March 31, 2011.

-112-

During the three months ended March 31, 2011, the Fund’s NAV reached its high for the period on March 21, 2011 at $29.08 per Share and reached its low for the period on January 7, 2011 at $24.01 per Share. By comparison, during the three months ended March 31, 2010, the Fund’s NAV reached its high for the period on January 11, 2010 at $30.98 per Share and reached its low for the period on March 25, 2010 at $25.82 per Share.

During the three months ended March 31, 2011, the benchmark index rose by a cumulative 6.0% and had an annualized volatility of 9.9%. By comparison, during the three months ended March 31, 2010, the benchmark index declined by a cumulative 5.6% and had an annualized volatility of 9.3%. The benchmark’s rise of 6.0% for the three months ended March 31, 2011, as compared to the benchmark’s decline of 5.6% for the three months ended March 31, 2010, can be attributed to an increase in the value of the Euro versus the U.S. Dollar during the three months ended March 31, 2011.

Net Income/Loss

For the three months ended March 31, 2011, the Fund’s net income was $935,647, resulting from a net investment loss of $16,515, inclusive of management fees of $18,926 (.95% of the Fund’s average daily net assets of $8,079,489), a net realized gain of $918,369 and a change in net unrealized appreciation/depreciation of $33,793. By comparison, for the three months ended March 31, 2010, the Fund’s net loss was $900,257, resulting from a net investment loss of $17,820, inclusive of management fees of $19,300 (.95% of the Fund’s average weighted assets of $8,239,110), a net realized loss of $841,658 and a change in net unrealized appreciation/depreciation of $(40,779). The Fund’s net income increased for the three months ended March 31, 2011, as compared to the three months ended March 31, 2010 primarily due to the relative performance of the Fund’s benchmark.

NAV of ProShares UltraShort Euro

Fund Performance

During the three months ended March 31, 2011, the Fund’s NAV decreased from $444,412,995 at December 31, 2010 to $390,773,777 at March 31, 2011. The decrease in the Fund’s NAV resulted primarily from movement in the underlying index. Outstanding Shares were net unchanged for the period with an ending balance of 21,900,014 Shares on March 31, 2011 and activity of 3,850,000 Shares (77 Creation Units) being created and 3,850,000 Shares (77 Creation Units) being redeemed during the period. By comparison, during the three months ended March 31, 2010, the Fund’s NAV increased from $100,847,786 at December 31, 2009 to $295,228,354 at March 31, 2010. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 5,400,014 Shares at December 31, 2009 to 14,200,014 Shares at March 31, 2010 due to 8,800,000 Shares (176 Creation Units) being created and no Shares being redeemed during the period. 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 200% of the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar.

For the three months ended March 31, 2011 and March 31, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 12.1% and increased by 11.3%, respectively. The decrease of 12.1% for the three months ended March 31, 2011, as compared to the increase of 11.3% for the three months ended March 31, 2010 was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended March 31, 2011.

During the three months ended March 31, 2011, the Fund’s NAV reached its high for the period on January 7, 2011 at $21.74 per Share and reached its low for the period on March 21, 2011 at $17.74 per Share. By comparison, during the three months ended March 31, 2010, the Fund’s NAV reached its high for the period on March 25, 2010 at $21.52 per Share and reached its low for the period on January 11, 2010 at $18.14 per Share.

-113-

Net Income/Loss

For the three months ended March 31, 2011, the Fund’s net loss was $58,866,176, resulting from a net investment loss of $889,548, inclusive of management fees of $1,033,909 (.95% of the Fund’s average daily net assets of $441,376,499), a net realized loss of $62,147,628 and a change in net unrealized appreciation/depreciation of $4,170,460. By comparison, for the three months ended March 31, 2010, the Fund’s net income was $19,222,496, resulting from a net investment loss of $442,167, inclusive of management fees of $481,122 (.95% of the Fund’s average weighted assets of $205,391,294), a net realized gain of $13,952,360 and a change in net unrealized appreciation/depreciation of $5,712,303. The Fund’s net income decreased for the three months ended March 31, 2011, as compared to the three months ended March 31, 2010 primarily due to the relative performance of the Fund’s benchmark.

NAV of ProShares Ultra Yen

Fund Performance

During the three months ended March 31, 2011, the Fund’s NAV decreased from $5,024,240 at December 31, 2010 to $3,176,821 at March 31, 2011. The decrease in the Fund’s NAV resulted primarily from a decrease in outstanding Shares, which decreased from 150,014 Shares at December 31, 2010 to 100,014 Shares at March 31, 2011 due to no Shares being created and 50,000 Shares (1 Creation Unit) being redeemed during the period. 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 200% of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. By comparison, during the three months ended March 31, 2010, the Fund’s NAV decreased from $3,921,267 at December 31, 2009 to $3,866,243 at March 31, 2010. The Fund had no creation or redemption activity during the quarter. The decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 200% of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar.

For the three months ended March 31, 2011 and March 31, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 5.2% and 1.4%, respectively. The decrease of 5.2% for the three months ended March 31, 2011, as compared to the decrease of 1.4% for the three months ended March 31, 2010 was primarily due to a relatively higher depreciation in the value of the assets held by the Fund during the three months ended March 31, 2011.

During the three months ended March 31, 2011, the Fund’s NAV reached its high for the period on March 17, 2011 at $35.34 per Share and reached its low for the period on February 15, 2011 at $31.35 per Share. By comparison, during the three months ended March 31, 2010, the Fund’s NAV reached its high for the period on March 3, 2010 at $28.87 per Share and reached its low for the period on March 31, 2010 at $25.77 per Share.

During the three months ended March 31, 2011, the benchmark index declined by a cumulative 2.4% and had an annualized volatility of 10.1%. By comparison, during the three months ended March 31, 2010, the benchmark index declined by a cumulative 0.4% and had an annualized volatility of 10.7%. The benchmark’s decline of 2.4% for the three months ended March 31, 2011, as compared to the benchmark’s decline of 0.4% for the three months ended March 31, 2010, can be attributed to a relatively higher decrease in the value of Japanese Yen versus the U.S. Dollar during the three months ended March 31, 2011.

-114-

Net Income/Loss

For the three months ended March 31, 2011, the Fund’s net loss was $253,830, resulting from a net investment loss of $7,079, inclusive of management fees of $8,104 (.95% of the Fund’s average daily net assets of $3,459,694), a net realized gain of $155,723 and a change in net unrealized appreciation/depreciation of $(402,474). By comparison, for the three months ended March 31, 2010, the Fund’s net loss was $55,024, resulting from a net investment loss of $8,738, inclusive of management fees of $9,651 (.95% of the Fund’s average weighted assets of $4,120,250), a net realized loss of $96,006 and a change in net unrealized appreciation/depreciation of $49,720. The Fund’s net income decreased for the three months ended March 31, 2011, as compared to the three months ended March 31, 2010 primarily due to the relative performance of the Fund’s benchmark.

NAV of ProShares UltraShort Yen

Fund Performance

During the three months ended March 31, 2011, the Fund’s NAV increased from $207,685,813 at December 31, 2010 to $368,431,315 at March 31, 2011. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 13,250,014 Shares at December 31, 2010 to 22,650,014 Shares at March 31, 2011 due to 16,850,000 Shares (337 Creation Units) being created and 7,450,000 Shares (149 Creation Units) being redeemed during the period. 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 200% of the inverse of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. By comparison, during the three months ended March 31, 2010, the Fund’s NAV increased from $67,487,917 at December 31, 2009 to $130,528,652 at March 31, 2010. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 3,150,014 Shares at December 31, 2009 to 6,100,014 Shares at March 31, 2010 due to 3,200,000 Shares (64 Creation Units) being created and 250,000 Shares (5 Creation Units) being redeemed during the period. 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 200% of the inverse of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar.

For the three months ended March 31, 2011 and March 31, 2010, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV increased by 3.8% and decreased by 0.1%, respectively. The increase of 3.8% for the three months ended March 31, 2011, as compared to the decrease of 0.1% for the three months ended March 31, 2010 was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended March 31, 2011.

During the three months ended March 31, 2011, the Fund’s NAV reached its high for the period on February 15, 2011 at $16.64 per Share and reached its low for the period on March 17, 2011 at $14.69 per Share. By comparison, during the three months ended March 31, 2010, the Fund’s NAV reached its high for the period on January 7, 2010 at $21.47 per Share and reached its low for the period on March 3, 2010 at $19.19 per Share.

During the three months ended March 31, 2011, the benchmark index declined by a cumulative 2.4% and had an annualized volatility of 10.1%. By comparison, during the three months ended March 31, 2010, the benchmark index declined by a cumulative 0.4% and had an annualized volatility of 10.7%. The benchmark’s decline of 2.4% for the three months ended March 31, 2011, as compared to the benchmark’s decline of 0.4% for the three months ended March 31, 2010, can be attributed to a relatively higher decrease in the value of the Japanese Yen versus the U.S. Dollar during the three months ended March 31, 2011.

Net Income/Loss

For the three months ended March 31, 2011, the Fund’s net income was $15,129,364, resulting from a net investment loss of $586,442, inclusive of management fees of $675,053 (.95% of the Fund’s average daily net assets of $288,180,691), a net realized loss of $17,658,227 and a change in net unrealized appreciation/depreciation of $33,374,033. By comparison, for the three months ended March 31, 2010, the Fund’s net income was $3,743,054, resulting from a net investment loss of $217,797, inclusive of management fees of $234,331 (.95% of

-115-

the Fund’s average weighted assets of $100,036,008), a net realized gain of $734,937 and a change in net unrealized appreciation/depreciation of $3,225,914. The Fund’s net income increased for the three months ended March 31, 2011, as compared to the three months ended March 31, 2010 primarily due to the relative performance of the Fund’s benchmark.

NAV of ProShares VIX Short-Term Futures ETF

Since the Fund commenced investment operations on January 3, 2011, a comparison of the Fund’s results of operations for the three months ended March 31, 2010 has not been provided.

Fund Performance

During the three months ended March 31, 2011, the Fund’s NAV increased from $400 at December 31, 2010 to $32,034,957 at March 31, 2011. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 5 Shares at December 31, 2010 to 500,005 Shares at March 31, 2011 due to 675,000 Shares (27 Creation Units) being created and 175,000 Shares (7 Creation Units) being redeemed during the period. 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 three months ended March 31, 2011, over which the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 19.9%.

During the three months ended March 31, 2011, the Fund’s NAV reached its high for the period on March 16, 2011 at $81.40 per Share and reached its low for the period on February 14, 2011 at $60.34 per Share.

During the three months ended March 31, 2011, the benchmark index declined by a cumulative 21.2% and had an annualized volatility of 59.4%. The benchmark’s decline of 21.2% for the three months ended March 31, 2011 can be attributed to the cost of holding and rolling VIX short-term futures contracts over the period.

Net Income/Loss

For the three months ended March 31, 2011, the Fund’s net loss was $2,856,993, resulting from a net investment loss of $24,184, inclusive of offering costs of $48,242 offset by limitation by Sponsor of $21,038, a net realized loss of $351,486 and a change in net unrealized appreciation/depreciation of $(2,481,323).

NAV of ProShares VIX Mid-Term Futures ETF

Since the Fund commenced investment operations on January 3, 2011, a comparison of the Fund’s results of operations for the three months ended March 31, 2010 has not been provided.

Fund Performance

During the three months ended March 31, 2011, the Fund’s NAV increased from $400 at December 31, 2010 to $6,739,633 at March 31, 2011. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 5 Shares at December 31, 2010 to 100,005 Shares at March 31, 2011 due to 150,000 Shares (6 Creation Units) being created and 50,000 Shares (2 Creation Units) being redeemed during the period. 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 Mid-Term Futures Index.

During the three months ended March 31, 2011, the Fund’s NAV reached its high for the period on January 3, 2011 at $80.00 per Share and reached its low for the period on February 14, 2011 at $63.86 per Share.

-116-

During the three months ended March 31, 2011, the benchmark index declined by a cumulative 16.8% and had an annualized volatility of 30.5%. The benchmark’s decline of 16.8% for the three months ended March 31, 2011 can be attributed to the cost of holding and rolling VIX mid-term futures contracts over the period.

Net Income/Loss

For the three months ended March 31, 2011, the Fund’s net loss was $782,281, resulting from a net investment loss of $11,309, inclusive of offering costs of $30,151 offset by limitation by Sponsor of $17,565, a net realized loss of $688,191 and a change in net unrealized appreciation/depreciation of $(82,781).

Off-Balance Sheet Arrangements and Contractual Obligations

As of May 10, 2011, 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 amount of payments 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. One officer of the Trust also serves as an officer and owner of the Sponsor.

Market Risk

Trading in futures contracts involves each Fund entering into contractual commitments to purchase or sell a commodity underlying the Fund’s benchmark at a specified date and price, should it hold such futures contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it would be required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

Each Fund’s exposure to market risk is influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.

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 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.

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 a swap agreement defaults, the Fund’s risk of loss consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is

-117-

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 recovery 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 consists 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;

•

generally requiring that the counterparty posts collateral for amounts owed to the Funds, as marked to market;

•

limiting the amount of margin or premium posted at a futures commission merchant (“FCM”); and

•

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

The FCM for each Fund, in accepting orders for the purchase or sale of domestic futures contracts, is required by CFTC regulations to separately account for and segregate as belonging to the Fund, all assets of the Fund relating to domestic futures trading, and the FCM is not allowed to commingle such assets with other assets of the FCM. In addition, CFTC regulations also require the FCM to hold in a secure account assets of each Fund related to foreign futures trading.

The Funds could lose money if the issuer of a debt security is unable to meet its financial obligations or goes bankrupt. The Funds could also lose money if the issuer of a debt security in which it has a short position is upgraded or generally improves its standing. Changes in an issuer’s financial strength or in an issuer’s or debt security’s credit rating also may affect a security’s value and thus have an impact on a Fund’s performance. Credit risk usually applies to most debt securities, but generally is not a factor for U.S. government obligations.

Critical Accounting Policies

The Funds’ critical accounting policies are as follows:

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 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 or 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 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 Leveraged Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements differ from those used in the calculation of some Leveraged Funds’ final creation/redemption NAV for the three months ended March 31, 2011.

-118-

Short-term investments are valued at market price.

Derivatives (e.g., futures, swaps and forward agreements) 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 and Silver 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 and Silver Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. If there was no sale on that day, and for non-exchange-traded derivatives, 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 for such day. 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. When market closing prices are not available, the Sponsor may value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards.

Fair value pricing may require subjective determinations about the value of an investment. While each Leveraged and VIX Fund’s policy is intended to result in a calculation of the Leveraged or VIX Fund’s NAV that fairly reflects investment values as of the time of pricing, the Leveraged and VIX Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Leveraged or VIX 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 the Leveraged or VIX 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. See Note 2 in Item 1 of this Quarterly Report on Form 10-Q for further information.

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 positions 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 Geared 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.

-119-

Item 3.

Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

Commodity Price Sensitivity

Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which are sensitive to commodity price risk. As of March 31, 2011 and March 31, 2010, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares Ultra DJ-UBS Commodity:

As of March 31, 2011, the ProShares Ultra DJ-UBS Commodity Fund was exposed to commodity price risk through its holding of swap agreements linked to the Dow Jones-UBS Commodity Index. The following table provides information about the Fund’s swap positions as of March 31, 2011, which are sensitive to commodity price risk.

Swap Agreements

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

Dow Jones-UBS Commodity Index

Goldman Sachs International

Long

170.0975

10,115,403

Dow Jones-UBS Commodity Index

UBS AG

Long

170.0975

33,092,599

The March 31, 2011 swap notional amount is calculated by multiplying units times the closing level of the Index. The notional amount will increase (decrease) proportionally with increases (decreases) in the level of the Index. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or financing costs associated with the swaps. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2010, filed with the U.S. Securities and Exchange Commission on March 1, 2011 (the “Form 10-K”) for additional information regarding performance for periods longer than one day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

As of March 31, 2010, the ProShares Ultra DJ-UBS Commodity Fund was exposed to commodity price risk through its holding of swap agreements linked to the Dow Jones-UBS Commodity Index. The following table provides information about the Fund’s swap positions as of March 31, 2010, which are sensitive to commodity price risk.

Swap Agreements

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

Dow Jones-UBS Commodity Index

Goldman Sachs International

Long

132.1517

6,167,454

Dow Jones-UBS Commodity Index

UBS AG

Long

132.1517

18,876,326

-120-

The March 31, 2010 swap notional amount is calculated by multiplying units times the closing level of the Index. The notional amount will increase (decrease) proportionally with increases (decreases) in the level of the Index. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or financing costs associated with the swaps. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort DJ-UBS Commodity:

As of March 31 2011, the ProShares UltraShort DJ-UBS Commodity Fund was exposed to inverse commodity price risk through its holding of swap agreements linked to the Dow Jones-UBS Commodity Index. The following table provides information about the Fund’s short swap positions as of March 31, 2011, which are sensitive to commodity price risk.

Swap Agreements


Reference Index	Counterparty	Long or Short		Index Close		Notional Amount at Value
Dow Jones-UBS Commodity Index	Goldman Sachs International		Short	$	170.0975	$	(1,256,091	)
Dow Jones-UBS Commodity Index	UBS AG		Short		170.0975		(3,945,426	)

The March 31, 2011 short swap notional amount is calculated by multiplying units times the closing level of the Index. The short notional amount will increase (decrease) proportionally with increases (decreases) in the level of the Index. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in short notional amount, before accounting for any spreads or financing costs associated with the swaps. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

As of March 31, 2010, the ProShares UltraShort DJ-UBS Commodity Fund was exposed to inverse commodity price risk through its holding of swap agreements linked to the Dow Jones-UBS Commodity Index. The following table provides information about the Fund’s short swap positions as of March 31, 2010, which are sensitive to commodity price risk.

Swap Agreements


Reference Index	Counterparty	Long or Short		Index Close		Notional Amount at Value
Dow Jones-UBS Commodity Index	Goldman Sachs International		Short	$	132.1517	$	(2,342,111	)
Dow Jones-UBS Commodity Index	UBS AG		Short		132.1517		(7,086,944	)

-121-

The March 31, 2010 short swap notional amount is calculated by multiplying units times the closing level of the Index. The short notional amount will increase (decrease) proportionally with increases (decreases) in the level of the Index. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in short notional amount, before accounting for any spreads or financing costs associated with the swaps. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra DJ-UBS Crude Oil:

As of March 31, 2011, the ProShares Ultra DJ-UBS Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Dow Jones-UBS Crude Oil Sub-Index. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2011, which are sensitive to commodity price risk.

Futures Positions

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Crude Oil

(NYMEX)

Long

May 2011

2,085

106.72

1,000

222,511,200

Swap Agreements

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

Dow Jones-UBS Crude Oil Sub-Index

Goldman Sachs International

Long

291.0902

142,520,893

Dow Jones-UBS Crude Oil Sub-Index

UBS AG

Long

291.0902

177,392,224

The March 31, 2011 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2010 swap notional amount is calculated by multiplying the number of units times the closing level of the Index. These notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

As of March 31, 2010, the ProShares Ultra DJ-UBS Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Dow Jones-UBS Crude Oil Sub-Index. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2010, which are sensitive to commodity price risk.

-122-

Futures Positions

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Crude Oil (NYMEX)

Long

May 2010

2,004

83.76

1,000

167,855,040

Swap Agreements

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

Dow Jones-UBS Crude Oil Sub-Index

Goldman Sachs International

Long

269.0826

97,624,389

Dow Jones-UBS Crude Oil Sub-Index

UBS AG

Long

269.0826

134,402,141

The March 31, 2010 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2010 swap notional amount is calculated by multiplying the number of units times the closing level of the Index. These notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort DJ-UBS Crude Oil:

As of March 31, 2011, the ProShares UltraShort DJ-UBS Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Dow Jones-UBS Crude Oil Sub-Index. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2011, which are sensitive to commodity price risk.

Futures Positions


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Crude Oil (NYMEX)		Short		May 2011		1,105	$	106.72		1,000	$	(117,925,600	)

Swap Agreements


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Dow Jones-UBS Crude Oil Sub-Index	Goldman Sachs International	Short	$	291.0902	$	(70,184,997	)
Dow Jones-UBS Crude Oil Sub-Index	UBS AG	Short		291.0902		(85,507,876	)

-123-

The March 31, 2011 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2011 short swap notional amount is calculated by multiplying the number of units times the closing level of the Index. These short notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in short notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

As of March 31, 2010, the ProShares UltraShort DJ-UBS Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Dow Jones-UBS Crude Oil Sub-Index. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2010, which are sensitive to commodity price risk.

Futures Positions


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Crude Oil (NYMEX)		Short		May 2010		1,056	$	83.76		1,000	$	(88,450,560	)

Swap Agreements


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Dow Jones-UBS Crude Oil Sub-Index	Goldman Sachs International	Short	$	269.0826	$	(60,189,544	)
Dow Jones-UBS Crude Oil Sub-Index	UBS AG	Short		269.0826		(99,427,228	)

The March 31, 2010 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2010 short swap notional amount is calculated by multiplying the number of units times the closing level of the Index. These short notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in short notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

-124-

ProShares Ultra Gold:

As of March 31, 2011, the ProShares Ultra Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2011, which are sensitive to commodity price risk.

Futures Positions

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Long

June 2011

1,439.90

100

8,495,410

Forward Agreements

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.995 Fine Troy Ounce Gold

Goldman Sachs International

Long

1,439.14

126,241,361

0.995 Fine Troy Ounce Gold

UBS AG

Long

1,439.14

366,692,872

The March 31, 2011 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2011 forward notional amount equals units multiplied by the forward price. These notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

As of March 31, 2010, the ProShares Ultra Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2010, which are sensitive to commodity price risk.

Futures Positions

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Long

June 2010

1,114.50

100

7,690,050

Forward Agreements

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.995 Fine Troy Ounce Gold

Goldman Sachs International

Long

1,115.55

35,050,581

0.995 Fine Troy Ounce Gold

UBS AG

Long

1,115.55

285,469,245

-125-

The March 31, 2010 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2010 forward notional amount equals units multiplied by the forward price. These notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Gold:

As of March 31, 2011, the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31 2011, which are sensitive to commodity price risk.

Futures Positions


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Short	June 2011		56	$	1,439 .90		100	$	(8,063,440	)

Forward Agreements


Reference Index	Counterparty		Long or Short		Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold		Goldman Sachs International		Short	$	1,439 .14	$	(40,580,870	)
0.995 Fine Troy Ounce Gold		UBS AG		Short		1,439 .14		(113,548,146	)

The March 31, 2011 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2011 short forward notional amount equals units multiplied by the forward price. These short notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

As of March 31, 2010, the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2010, which are sensitive to commodity price risk.

-126-

Futures Positions


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Short	June 2010		41	$	1,114.50		100	$	(4,569,450	)

Forward Agreements


Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short	$	1,115.55	$	(13,272,814	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,115.55		(111,778,110	)

The March 31, 2010 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2010 short forward notional amount equals units multiplied by the forward price. These short notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Silver:

As of March 31, 2011, the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2011, which are sensitive to commodity price risk.

Futures Positions

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Long

May 2011

404

37 .888

5,000

76,533,760

Forward Agreements

Reference Index

Counterparty

Long or
Short

Valuation Price

Notional Amount
at Value

0.999 Fine Troy Ounce Silver

Goldman Sachs International

Long

37 .8749

463,997,825

0.999 Fine Troy Ounce Silver

UBS AG

Long

37 .8749

1,573,474,846

-127-

The March 31, 2011 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2011 forward notional amount equals units multiplied by the forward price. These notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

As of March 31, 2010, the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2010, which are sensitive to commodity price risk.

Futures Positions

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Long

May 2010

129

17.526

5,000

11,304,270

Forward Agreements

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.999 Fine Troy Ounce Silver

Goldman Sachs International

Long

17.5016

82,271,521

0.999 Fine Troy Ounce Silver

UBS AG

Long

17.5016

247,192,598

The March 31, 2010 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2010 forward notional amount equals units multiplied by the forward price. These notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is

-128-

generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Silver:

As of March 31, 2011, the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2011, which are sensitive to commodity price risk.

Futures Positions


Contract	Long or Short	Expiration	Contracts	Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Short	May 2011	23	$	37 .888		5,000	$	(4,357,120	)

Forward Agreements


Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short	$	37 .8749	$	(64,671,392	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		37 .8749		(191,571,244	)

The March 31 2011 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2011 short forward notional amount equals units multiplied by the forward price. These short notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

As of March 31, 2010, the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31 2010, which are sensitive to commodity price risk.

Futures Positions


Contract	Long or Short	Expiration	Contracts	Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Short	May 2010	20	$	17.526		5,000	$	(1,752,600	)

Forward Agreements


Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short	$	17.5016	$	(33,909,350	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		17.5016		(103,661,977	)

-129-

The March 31, 2010 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2010 short forward notional amount equals units multiplied by the forward price. These short notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Exchange Rate Sensitivity

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Funds’ Financial Instruments, which are sensitive to changes in exchange rates. As of March 31 2011, each of the Currency Funds’ positions were as follows:

ProShares Ultra Euro:

As of March 31, 2011, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2011, which are sensitive to exchange rate price risk.

Foreign Currency Forward Contracts


Reference Currency	Counterparty	Long or Short	Settlement Date		Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		04/08/11		6,494,625			1 .4172	$	9,204,492
Euro	UBS AG	Long		04/08/11		6,162,000			1 .4172		8,733,080
Euro	Goldman Sachs International	Short		04/08/11		(277,300	)		1 .4172		(393,003	)
Euro	UBS AG	Short		04/08/11		(151,300	)		1 .4172		(214,430	)

The March 31, 2011 USD market value equals the number of Euros multiplied by the forward rate. These notional amounts will increase (decrease) proportionally with increases (decreases) in the forward price. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Euro and multiplying by two. See

-130-

“Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

As of March 31, 2010, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2010, which are sensitive to exchange rate price risk.

Foreign Currency Forward Contracts


Reference Currency	Counterparty	Long or Short		Settlement Date		Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International		Long		04/09/10		8,133,525			1.3505	$	10,984,377
Euro	UBS AG		Long		04/09/10		6,300,300			1.3505		8,508,595
Euro	Goldman Sachs International		Short		04/09/10		(238,800	)		1.3505		(322,501	)
Euro	UBS AG		Short		04/09/10		(356,300	)		1.3505		(481,185	)

The March 31, 2010 USD market value equals the number of Euros multiplied by the forward rate. These notional amounts will increase (decrease) proportionally with increases (decreases) in the forward price. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Euro and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Euro:

As of March 31, 2011, the ProShares UltraShort Euro Fund was exposed to exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2011, which are sensitive to exchange rate price risk.

Foreign Currency Forward Contracts


Reference Currency	Counterparty	Long or Short		Settlement Date		Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International		Long		04/08/11		59,682,500			1.4172	$	84,584,881
Euro	UBS AG		Long		04/08/11		65,255,600			1.4172		92,483,344
Euro	Goldman Sachs International		Short		04/08/11		(333,350,925	)		1.4172		(472,440,805	)
Euro	UBS AG		Short		04/08/11		(343,025,700	)		1.4172		(486,152,357	)

The March 31, 2011 USD market value equals the number of Euros multiplied by the forward rate. These notional amounts will increase (decrease) proportionally with increases (decreases) in the forward price. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of short exposure to the Euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over

-131-

longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

As of March 31, 2010, the ProShares UltraShort Euro Fund was exposed to exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2010, which are sensitive to exchange rate price risk.

Foreign Currency Forward Contracts


Reference Currency	Counterparty		Long or Short		Settlement Date		Euro			Forward Rate		Market Value USD
Euro		UBS AG		Long		04/09/10		19,463,200			1.3505	$	26,285,176
Euro		Goldman Sachs International		Short		04/09/10		(226,729,525	)		1.3505		(306,199,668	)
Euro		UBS AG		Short		04/09/10		(231,621,500	)		1.3505		(312,806,312	)

The March 31, 2010 USD market value equals the number of Euros multiplied by the forward rate. These notional amounts will increase (decrease) proportionally with increases (decreases) in the forward price. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of short exposure to the Euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Yen:

As of March 31, 2011, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2011, which are sensitive to exchange rate price risk.

Foreign Currency Forward Contracts


Reference Currency	Counterparty	Long or Short		Settlement Date		Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International		Long		04/08/11		356,950,000			0.012022	$	4,291,341
Yen	UBS AG		Long		04/08/11		207,680,000			0.012022		2,496,780
Yen	Goldman Sachs International		Short		04/08/11		(19,190,000	)		0.012022		(230,707	)
Yen	UBS AG		Short		04/08/11		(16,980,000	)		0.012022		(204,138	)

-132-

and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Yen and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

As of March 31, 2010, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2010, which are sensitive to exchange rate price risk.

Foreign Currency Forward Contracts


Reference Currency	Counterparty	Long or Short		Settlement Date		Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International		Long		04/09/10		399,930,000			0.010692	$	4,276,092
Yen	UBS AG		Long		04/09/10		353,640,000			0.010692		3,781,154
Yen	Goldman Sachs International		Short		04/09/10		(7,200,000	)		0.010692		(76,983	)
Yen	UBS AG		Short		04/09/10		(20,600,000	)		0.010692		(220,257	)

The March 31, 2010 USD market value equals the number of Yen multiplied by the forward rate. These notional amounts will increase (decrease) proportionally with increases (decreases) in the forward price. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Yen and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Yen:

As of March 31, 2011, the ProShares UltraShort Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2011, which are sensitive to exchange rate price risk.

Foreign Currency Forward Contracts


Reference Currency	Counterparty	Long or Short		Settlement Date		Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International		Long		04/08/11		3,791,430,000			0.012022	$	45,581,512
Yen	UBS AG		Long		04/08/11		14,553,600,000			0.012022		174,966,989
Yen	Goldman Sachs International		Short		04/08/11		(30,342,530,000	)		0.012022		(364,785,422	)
Yen	UBS AG		Short		04/08/11		(49,300,010,000	)		0.012022		(592,696,948	)

-133-

The March 31, 2011 USD market value equals the number of Yen multiplied by the forward rate. These notional amounts will increase (decrease) proportionally with increases (decreases) in the forward price. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of short exposure to the Yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

As of March 31, 2010, the ProShares UltraShort Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2010, which are sensitive to exchange rate price risk.

Foreign Currency Forward Contracts


Reference Currency	Counterparty	Long or Short		Settlement Date		Yen			Forward Rate		Market Value USD
Yen	UBS AG		Long		04/09/10		141,320,000			0.010692	$	1,511,008
Yen	Goldman Sachs International		Short		04/09/10		(11,592,420,000	)		0.010692		(123,947,313	)
Yen	UBS AG		Short		04/09/10		(12,947,630,000	)		0.010692		(138,437,354	)

The March 31, 2010 USD market value equals the number of Yen multiplied by the forward rate. These notional amounts will increase (decrease) proportionally with increases (decreases) in the forward price. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $2.00 of short exposure to the Yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Equity Market Volatility Sensitivity

ProShares VIX Short-Term Futures ETF

As of March 31, 2011, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2011, which are sensitive to equity market volatility risk.

Futures Positions


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX (CBOE)		Long		April 2011		832	$	19.30		1,000	$	16,057,600
VIX (CBOE)		Long		May 2011		768		20.80		1,000		15,974,400

-134-

ProShares VIX Mid-Term Futures ETF

As of March 31, 2011, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2011, which are sensitive to equity market volatility risk.

Futures Positions


Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX (CBOE)		Long	July 2011		51	$	22.00		1,000	$	1,122,000
VIX (CBOE)		Long	August 2011		98		22.40		1,000		2,195,200
VIX (CBOE)		Long	September 2011		99		23.20		1,000		2,296,800
VIX (CBOE)		Long	October 2011		47		23.80		1,000		1,118,600

Qualitative Disclosure

As described above in Item 2 of this Quarterly Report on Form 10-Q, it is the investment objective of each Leveraged Fund to seek daily investment results, before fees and expenses, which match twice (200%) the daily performance, whether positive or negative, of its corresponding benchmark. Each Ultra Fund seeks daily investment results (before fees and expenses) that match twice (200%) the daily performance of its corresponding benchmark. Each Short Fund will seek daily investment results (before fees and expenses) that match the inverse (-100%) of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results (before fees and expenses) that match twice the inverse (-200%) of the daily performance of its corresponding benchmark. Each VIX Fund seeks investment results (before fees and expenses) that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than one day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by two or negative two. Investors should monitor their ProShares holdings consistent with their strategies, as frequently as daily. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day.

Primary Market Risk Exposure

Each Fund’s investment objective and corresponding benchmark defines the primary market risks that the Funds are exposed to. For example, the primary market risk that the ProShares Ultra DJ-UBS Crude Oil and the ProShares UltraShort DJ-UBS Crude Oil Funds are exposed to are direct and inverse exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Dow Jones-UBS Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.

As described above in Item 2 of this Quarterly Report on Form 10-Q, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

-135-

Commodity Price Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. Dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (100%, 200%, -100% or -200%), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described above in Item 2 of this Quarterly Report on Form 10-Q, these adjustments are done through the use of various Financial Instruments. No attempt is made to adjust market exposure in order to avoid changes to the benchmark that would cause the Funds to lose value. Factors common to all Funds that may require portfolio re-positioning are create/redeem activity and index rebalances.

-136-

For Geared Funds, the impact of the Index’s movements during the day also affects whether the Fund’s portfolio needs to be re-positioned. For example, if the Index for an Ultra Fund has risen on a given day, net assets of the Fund should rise, meaning that the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the Index has fallen on a given day, net assets of an Ultra Fund should fall, meaning the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds will generally decrease when the Index rises on a given day, meaning the Fund’s short exposure may need to be decreased. Conversely if the Index has fallen on a given day, a Short Fund’s assets should rise, meaning its short exposure may need to be increased.

The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties. Each Fund intends to enter into swap and forward agreements only with large, established and well capitalized financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.

Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in a non-interest bearing demand deposit account. The Funds also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).

-137-

Item 4.

Controls and Procedures.

Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Funds (as defined in Rule 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of March 31, 2011, to provide reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that it is accumulated and communicated to the duly authorized officers of the Trust as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control over Financial Reporting

There were no changes in the Funds’ internal control over financial reporting that occurred during the quarter ended March 31, 2011 that have materially affected, or are reasonably likely to materially affect, the Funds’ internal control over financial reporting.

-138-

Part II. OTHER INFORMATION

Item 1.

Legal Proceedings.

Item 1A.

Risk Factors.

Except as noted below, there has not been a material change to the Risk Factors previously disclosed in Part I, Item 1A in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2010.

The following risk factor should be added after the risk factor entitled “Investors could be adversely affected if the current treatment of long-term capital gains under current U.S. federal income tax law is changed or repealed in the future” on page 45 of the Trust’s Annual Report on Form 10-K:

Shareholders of each Fund may recognize significant amounts of ordinary income and short-term capital gain.

Due to the investment strategy of the Funds, the Funds may realize and pass-through to Shareholders significant amounts of ordinary income and short-term capital gains as opposed to long-term capital gains, which generally are taxed at a preferential rate.

-139-

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds.

(a)

None.

(b)

The Trust initially registered Shares on Form S-1 (No. 333-146801), which was declared effective on November 21, 2008, and registered additional Shares on its Registration Statement on Form S-1 (No. 333-156888), which was declared effective on February 13, 2009. The Trust terminated these two offerings before the sale of all Shares registered and re-allocated the remaining amount of the Shares registered among the Funds pursuant to its Registration Statement on Form S-3 (No. 333-163511), which was declared effective on December 4, 2009, as supplemented, and registered additional Shares and Funds pursuant to Post-Effective Amendment No. 1 to that Registration Statement, which was declared effective on May 28, 2010, as supplemented. Additional shares were registered pursuant to Prospectus Supplements No. 1 and No. 2, dated December 27, 2010 and March 18, 2011, respectively. Substantially all of the proceeds received by each Fund from the issuance and sale of Shares to Authorized Participants are used by each Fund to enter into Financial Instruments relating to that Fund’s benchmark in combination with cash or cash equivalents and/or U.S. Treasury 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. or the applicable foreign currency with respect to a Currency Fund) that may be used to collateralize swap agreements or forward contracts or deposited with FCMs as margin in connection with any futures transactions. Each Leveraged Fund continuously offers and redeems its Shares in blocks of 50,000 Shares. Each VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares. As of March 31, 2011, ProShares Short DJ-UBS Natural Gas and ProShares Short Gold Fund have not yet commenced investment operations.


Title of Securities Registered	Amount Registered		Shares Sold for the three months ended March 31, 2011			Sale Price of Shares Sold for the three months ended March 31, 2011
ProShares Ultra DJ-UBS Commodity Common Units of Beneficial Interest	$	300,000,000		50,000		$	1,782,755
ProShares UltraShort DJ-UBS Commodity Common Units of Beneficial Interest	$	300,000,000		30,000	*	$	1,426,814
ProShares Ultra DJ-UBS Crude Oil Common Units of Beneficial Interest	$	3,000,000,000		9,575,000	*	$	437,312,733
ProShares UltraShort DJ-UBS Crude Oil Common Units of Beneficial Interest	$	1,500,000,000		2,730,000	*	$	122,260,245
ProShares Short DJ-UBS Natural Gas Common Units of Beneficial Interest	$	1,000,000,000		—		$	—
ProShares Ultra Gold Common Units of Beneficial Interest	$	1,000,000,000		50,000		$	3,477,778
ProShares Short Gold Common Units of Beneficial Interest	$	500,000,000		—		$	—
ProShares UltraShort Gold Common Units of Beneficial Interest	$	1,000,000,000		1,050,000		$	31,756,616
ProShares Ultra Silver Common Units of Beneficial Interest	$	1,000,000,000		1,900,000		$	331,502,696
ProShares UltraShort Silver Common Units of Beneficial Interest	$	1,000,000,000		4,587,500	*	$	161,689,240
ProShares Ultra Euro Common Units of Beneficial Interest	$	500,000,000		—		$	—
ProShares UltraShort Euro Common Units of Beneficial Interest	$	1,403,506,872		3,850,000		$	78,443,079
ProShares Ultra Yen Common Units of Beneficial Interest	$	500,000,000		—		$	—
ProShares UltraShort Yen Common Units of Beneficial Interest	$	1,300,000,000		16,850,000		$	260,369,046
ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	800,000,000		675,000		$	47,000,781
ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest	$	500,000,000		150,000		$	11,228,874
Total:	$	15,603,506,872		41,497,500	*	$	1,488,250,657

*	See Note 1 of the Notes to Financial Statements in Item 1 of Part I regarding the reverse share splits for the Funds.

-140-

(c)	From January 1, 2011 through March 31, 2011, the number of Shares redeemed and average price per Share for each Fund were as follows:


Fund	Total Number of Shares Redeemed		Average Price Per Share
ProShares Ultra DJ-UBS Commodity
01/01/11 to 01/31/11		—	$	—
02/01/11 to 02/28/11		—		—
03/01/11 to 03/31/11		—		—
ProShares UltraShort DJ-UBS Commodity*
01/01/11 to 01/31/11		—		—
02/01/11 to 02/28/11		—		—
03/01/11 to 03/31/11		6		42.17
ProShares Ultra DJ-UBS Crude Oil*
01/01/11 to 01/31/11		1,087,500		49.80
02/01/11 to 02/28/11		5,100,000		49.18
03/01/11 to 03/31/11		3,200,834		54.86
ProShares UltraShort DJ-UBS Crude Oil*
01/01/11 to 01/31/11		350,000		53.79
02/01/11 to 02/28/11		960,000		56.67
03/01/11 to 03/31/11		700,059		47.14
ProShares Ultra Gold
01/01/11 to 01/31/11		300,000		61.15
02/01/11 to 02/28/11		—		—
03/01/11 to 03/31/11		—		—
ProShares UltraShort Gold
01/01/11 to 01/31/11		—		—
02/01/11 to 02/28/11		—		—
03/01/11 to 03/31/11		750,000		27.91
ProShares Ultra Silver
01/01/11 to 01/31/11		400,000		133.27
02/01/11 to 02/28/11		100,000		153.18
03/01/11 to 03/31/11		250,000		199.23
ProShares UltraShort Silver*
01/01/11 to 01/31/11		300,000		46.55
02/01/11 to 02/28/11		275,000		45.08
03/01/11 to 03/31/11		850,610		27.94
ProShares Ultra Euro
01/01/11 to 01/31/11		—		—
02/01/11 to 02/28/11		—		—
03/01/11 to 03/31/11		—		—
ProShares UltraShort Euro
01/01/11 to 01/31/11		550,000		19.89
02/01/11 to 02/28/11		1,750,000		19.27
03/01/11 to 03/31/11		1,550,000		18.43
ProShares Ultra Yen
01/01/11 to 01/31/11		50,000		31.87
02/01/11 to 02/28/11		—		—
03/01/11 to 03/31/11		—		—
ProShares UltraShort Yen
01/01/11 to 01/31/11		—		—
02/01/11 to 02/28/11		—		—
03/01/11 to 03/31/11		7,450,000		15.40
ProShares VIX Short-Term Futures ETF
01/01/11 to 01/31/11		50,000		69.15
02/01/11 to 02/28/11		50,000		73.48
03/01/11 to 03/31/11		75,000		66.37
ProShares VIX Mid-Term Futures ETF
01/01/11 to 01/31/11		50,000		74.15
02/01/11 to 02/28/11		—		—
03/01/11 to 03/31/11		—		—
Total:		26,199,009		38.17

*	See Note 1 of the Notes to Financial Statements in Item 1 of Part I regarding the reverse share splits for the Funds.

-141-

Item 3.

Defaults Upon Senior Securities.

None.

Item 4.

(Removed and Reserved).

Item 5.

Other Information.

None.

Item 6.

Exhibits.


Exhibit No.		Description of Document
31.1		Certification by Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1)
31.2		Certification by Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1)
32.1		Certification by Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(2)
32.2		Certification by Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(2)
101.INS		XBRL Instance Document(3)
101.SCH		XBRL Taxonomy Extension Schema(3)
101.CAL		XBRL Taxonomy Extension Calculation Linkbase(3)
101.DEF		XBRL Taxonomy Extension Definition Linkbase(3)
101.LAB		XBRL Taxonomy Extension Label Linkbase(3)
101.PRE		XBRL Taxonomy Extension Presentation Linkbase(3)

(1)	Filed herewith.

(2)	Furnished herewith.

(3)	In accordance with Rule 406T of Regulation S-T, the information in these exhibits is furnished and deemed

not filed or part of a registration statement or prospectus for purposes of Sections 11 and 12 of the Securities Act of 1933, is deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, and otherwise is not subject to liability under these sections.

-142-

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

PROSHARES TRUST II

/s/ Louis Mayberg

By: Louis Mayberg

Principal Executive Officer

Date: May 10, 2011

/s/ Edward Karpowicz

By: Edward Karpowicz

Principal Financial Officer

Date: May 10, 2011

-143-