ProShares Trust II - Quarter Report: 2012 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, 2012.

¨	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.		159

Item 3. Quantitative and Qualitative Disclosures About Market Risk.		188

Item 4. Controls and Procedures.		204

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.		205

Item 1A. Risk Factors.		205

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.		205

Item 3. Defaults Upon Senior Securities.		210

Item 4. Mine Safety Disclosures.		210

Item 5. Other Information.		210

Item 6. Exhibits.		210

Part I. FINANCIAL INFORMATION

Item 1. Condensed Financial Statements.

Index


Documents	Page
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		3
ProShares UltraShort DJ-UBS Commodity		8
ProShares Ultra DJ-UBS Crude Oil		13
ProShares UltraShort DJ-UBS Crude Oil		18
ProShares Ultra DJ-UBS Natural Gas		23
ProShares Short DJ-UBS Natural Gas		28
ProShares UltraShort DJ-UBS Natural Gas		29
ProShares Ultra Gold		34
ProShares Short Gold		39
ProShares UltraShort Gold		40
ProShares Ultra Silver		45
ProShares UltraShort Silver		50
ProShares UltraPro Australian Dollar		55
ProShares Ultra Australian Dollar		56
ProShares Short Australian Dollar		57
ProShares UltraShort Australian Dollar		58
ProShares UltraPro Short Australian Dollar		59
ProShares UltraPro Canadian Dollar		60
ProShares Ultra Canadian Dollar		61
ProShares Short Canadian Dollar		62
ProShares UltraShort Canadian Dollar		63
ProShares UltraPro Short Canadian Dollar		64
ProShares UltraPro Euro		65
ProShares Ultra Euro		66
ProShares Short Euro		71
ProShares UltraShort Euro		72
ProShares UltraPro Short Euro		77
ProShares UltraPro Swiss Franc		78
ProShares Ultra Swiss Franc		79
ProShares Short Swiss Franc		80
ProShares UltraShort Swiss Franc		81
ProShares UltraPro Short Swiss Franc		82
ProShares UltraPro U.S. Dollar		83
ProShares Ultra U.S. Dollar		84
ProShares Short U.S. Dollar		85
ProShares UltraShort U.S. Dollar		86
ProShares UltraPro Short U.S. Dollar		87
ProShares UltraPro Yen		88
ProShares Ultra Yen		89
ProShares Short Yen		94
ProShares UltraShort Yen		95
ProShares UltraPro Short Yen		100
ProShares Ultra VIX Short-Term Futures ETF		101
ProShares VIX Short-Term Futures ETF		106

-1-


ProShares Short VIX Short-Term Futures ETF			111
ProShares UltraShort VIX Short-Term Futures ETF			116
ProShares Ultra VIX Mid-Term Futures ETF			117
ProShares VIX Mid-Term Futures ETF			118
ProShares Short VIX Mid-Term Futures ETF			123
ProShares UltraShort VIX Mid-Term Futures ETF			124
ProShares Managed Futures Strategy			125
ProShares Commodity Managed Futures Strategy			126
ProShares Financial Managed Futures Strategy			127
ProShares Trust II			128
Notes to Financial Statements			132

-2-

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	87,639	$	59,453
Short-term U.S. government and agency obligations (Note 3) (cost $9,341,574 and $9,713,956, respectively)		9,341,730		9,713,685

Total assets		9,429,369		9,773,138

Liabilities and shareholders’ equity
Liabilities
Management fee payable		7,697		7,432
Unrealized depreciation on swap agreements		285,852		707,177

Total liabilities		293,549		714,609

Shareholders’ equity
Shareholders’ equity		9,135,820		9,058,529

Total liabilities and shareholders’ equity	$	9,429,369	$	9,773,138

Shares outstanding		350,014		350,014

Net asset value per share	$	26.10	$	25.88

Market value per share (Note 2)	$	25.90	$	25.64

See accompanying notes to financial statements.

-3-

PROSHARES ULTRA DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

MARCH 31, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (102% of shareholders’ equity)
U.S. Treasury Bills:
0.018% due 04/05/12†	$	5,008,000	$	5,007,994
0.073% due 05/03/12†		2,353,000		2,352,935
0.011% due 05/10/12†		130,000		129,995
0.076% due 06/07/12		1,851,000		1,850,806

Total short-term U.S. government and agency obligations (cost $9,341,574)			$	9,341,730

Swap Agreements^


	Termination Date		Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Swap agreement with Goldman Sachs International based on Dow Jones-UBS Commodity Index		04/09/12	$	4,458,414	$	(78,418	)
Swap agreement with UBS AG based on Dow Jones-UBS Commodity Index		04/09/12		13,814,430		(207,434	)

					$	(285,852	)

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

^	The positions and counterparties herein are as of March 31, 2012. 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.

-4-

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(UNAUDITED)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Investment Income
Interest	$	525		$	5,859

Expenses
Management fee		22,538			46,113

Total expenses		22,538			46,113

Net investment income (loss)		(22,013	)		(40,254	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		(322,448	)		3,204,121

Net realized gain (loss)		(322,448	)		3,204,121

Change in net unrealized appreciation/depreciation on
Swap agreements		421,325			(1,431,654	)
Short-term U.S. government and agency obligations		427			260

Change in net unrealized appreciation/depreciation		421,752			(1,431,394	)

Net realized and unrealized gain (loss)		99,304			1,772,727

Net income (loss)	$	77,291		$	1,732,473

Net income (loss) per weighted-average share	$	0.22		$	3.23

Weighted-average shares outstanding		350,014			536,681

See accompanying notes to financial statements.

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PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	9,058,529

Net investment income (loss)		(22,013	)
Net realized gain (loss)		(322,448	)
Change in net unrealized appreciation/depreciation		421,752

Net income (loss)		77,291

Shareholders’ equity, at March 31, 2012	$	9,135,820

See accompanying notes to financial statements.

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PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Cash flow from operating activities
Net income (loss)	$	77,291		$	1,732,473
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		372,382			(4,945,489	)
Change in unrealized appreciation/depreciation on investments		(421,752	)		1,431,394
Increase (Decrease) in management fee payable		265			3,235
Increase (Decrease) in payable for investments purchased		—			2,564,681

Net cash provided by (used in) operating activities		28,186			786,294

Cash flow from financing activities
Proceeds from addition of shares		—			1,782,755
Net increase (decrease) in cash		28,186			2,569,049
Cash, beginning of period		59,453			17,743

Cash, end of period	$	87,639		$	2,586,792

See accompanying notes to financial statements.

-7-

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	88,574	$	9,060
Short-term U.S. government and agency obligations (Note 3) (cost $8,509,649 and $8,534,904, respectively)		8,509,788		8,534,690
Unrealized appreciation on swap agreements		209,663		570,751

Total assets		8,808,025		9,114,501

Liabilities and shareholders’ equity
Liabilities
Management fee payable		6,807		7,355

Total liabilities		6,807		7,355

Shareholders’ equity
Shareholders’ equity		8,801,218		9,107,146

Total liabilities and shareholders’ equity	$	8,808,025	$	9,114,501

Shares outstanding		159,997		159,997

Net asset value per share (Note 1)	$	55.01	$	56.92

Market value per share (Note 1) (Note 2)	$	54.71	$	56.19

See accompanying notes to financial statements.

-8-

PROSHARES ULTRASHORT DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

MARCH 31, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (97% of shareholders’ equity)
U.S. Treasury Bills:
0.032% due 04/05/12†	$	2,165,000	$	2,164,997
0.076% due 05/03/12		4,375,000		4,374,880
0.011% due 05/10/12†		1,776,000		1,775,931
0.080% due 06/07/12†		194,000		193,980

Total short-term U.S. government and agency obligations (cost $8,509,649)			$	8,509,788

Swap Agreements^


	Termination Date		Notional Amount at Value*			Unrealized Appreciation (Depreciation)
Swap agreement with Goldman Sachs International based on Dow Jones-UBS Commodity Index		04/09/12	$	(6,398,794	)	$	55,708
Swap agreement with UBS AG based on Dow Jones-UBS Commodity Index		04/09/12		(11,213,743	)		153,955

						$	209,663

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

^	The positions and counterparties herein are as of March 31, 2012. 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.

-9-

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Investment Income
Interest	$	681		$	740

Expenses
Management fee		20,184			5,477

Total expenses		20,184			5,477

Net investment income (loss)		(19,503	)		(4,737	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		74,310			(384,313	)
Short-term U.S. government and agency obligations		—			(3	)

Net realized gain (loss)		74,310			(384,316	)

Change in net unrealized appreciation/depreciation on
Swap agreements		(361,088	)		83,134
Short-term U.S. government and agency obligations		353			(42	)

Change in net unrealized appreciation/depreciation		(360,735	)		83,092

Net realized and unrealized gain (loss)		(286,425	)		(301,224	)

Net income (loss)	$	(305,928	)	$	(305,961	)

Net income (loss) per weighted-average share (Note 1)	$	(1.91	)	$	(6.11	)

Weighted-average shares outstanding (Note 1)		159,997			50,112

See accompanying notes to financial statements.

-10-

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	9,107,146

Net investment income (loss)		(19,503	)
Net realized gain (loss)		74,310
Change in net unrealized appreciation/depreciation		(360,735	)

Net income (loss)		(305,928	)

Shareholders’ equity, at March 31, 2012	$	8,801,218

See accompanying notes to financial statements.

-11-

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited


	Three months ended March 31, 2012			Three months ended March 31, 2011
Cash flow from operating activities
Net income (loss)	$	(305,928	)	$	(305,961	)
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		25,255			(1,030,899	)
Change in unrealized appreciation/depreciation on investments		360,735			(83,092	)
Increase (Decrease) in management fee payable		(548	)		917
Increase (Decrease) in payable for investments purchased		—			546,932

Net cash provided by (used in) operating activities		79,514			(872,103	)

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

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

Net increase (decrease) in cash		79,514			554,458
Cash, beginning of period		9,060			10,654

Cash, end of period	$	88,574		$	565,112

See accompanying notes to financial statements.

-12-

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	506,940	$	495,671
Segregated cash balances with brokers for futures contracts		14,492,925		14,202,793
Short-term U.S. government and agency obligations (Note 3) (cost $252,969,239 and $246,926,093, respectively)		252,974,215		246,919,569
Receivable from capital shares sold		10,705,399		—
Receivable on open futures contracts		505,200		—

Total assets		279,184,679		261,618,033

Liabilities and shareholders’ equity
Liabilities
Management fee payable		226,744		215,315
Unrealized depreciation on swap agreements		7,135,228		10,007,396

Total liabilities		7,361,972		10,222,711

Shareholders’ equity
Shareholders’ equity		271,822,707		251,395,322

Total liabilities and shareholders’ equity	$	279,184,679	$	261,618,033

Shares outstanding		6,349,170		6,149,170

Net asset value per share (Note 1)	$	42.81	$	40.88

Market value per share (Note 1) (Note 2)	$	42.91	$	40.94

See accompanying notes to financial statements.

-13-

PROSHARES ULTRA DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (93% of shareholders’ equity)
U.S. Treasury Bills:
0.007% due 04/05/12†	$	32,814,000	$	32,813,961
0.013% due 04/12/12†		30,491,000		30,491,000
0.076% due 05/03/12		8,605,000		8,604,764
0.011% due 05/10/12†		2,601,000		2,600,899
0.090% due 05/17/12†		16,513,000		16,512,133
0.064% due 05/24/12†		36,832,000		36,829,495
0.066% due 05/31/12		3,928,000		3,927,664
0.077% due 06/07/12		68,400,000		68,392,825
0.074% due 06/21/12		3,401,000		3,400,528
0.065% due 06/28/12†		49,409,000		49,400,946

Total short-term U.S. government and agency obligations (cost $252,969,239)			$	252,974,215

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Crude Oil—NYMEX, expires May 2012		2,105	$	216,857,100	$	4,852,130

Swap Agreements^


	Termination Date		Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Swap agreement with Goldman Sachs International based on Dow Jones-UBS WTI Crude Oil Sub-Index		04/09/12	$	105,834,877	$	(2,405,176	)
Swap agreement with Societe Generale S.A. based on Dow Jones- UBS WTI Crude Oil Sub-Index		04/09/12		95,096,315		(1,553,313	)
Swap agreement with UBS AG based on Dow Jones-UBS WTI Crude Oil Sub-Index		04/09/12		125,826,238		(3,176,739	)

					$	(7,135,228	)

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

††	Cash collateral in the amount of $14,492,925 was pledged to cover margin requirements for open futures contracts as of March 31, 2012.

^	The positions and counterparties herein are as of March 31, 2012. 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.

-14-

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Investment Income
Interest	$	13,088		$	98,318

Expenses
Management fee		647,729			799,043
Brokerage commissions		9,677			29,669

Total expenses		657,406			828,712

Net investment income (loss)		(644,318	)		(730,394	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		41,437			22,660,320
Swap agreements		15,502,698			59,524,107
Short-term U.S. government and agency obligations		(142	)		4,929

Net realized gain (loss)		15,543,993			82,189,356

Change in net unrealized appreciation/depreciation on
Futures contracts		6,217,460			14,304,380
Swap agreements		2,872,168			(9,434,120	)
Short-term U.S. government and agency obligations		11,500			4,179

Change in net unrealized appreciation/depreciation		9,101,128			4,874,439

Net realized and unrealized gain (loss)		24,645,121			87,063,795

Net income (loss)	$	24,000,803		$	86,333,401

Net income (loss) per weighted-average share (Note 1)	$	3.81		$	12.32

Weighted-average shares outstanding (Note 1)		6,298,071			7,008,365

See accompanying notes to financial statements.

-15-

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	251,395,322

Addition of 3,200,000 shares		129,360,697
Redemption of 3,000,000 shares		(132,934,115	)

Net addition (redemption) of 200,000 shares		(3,573,418	)


Net investment income (loss)		(644,318	)
Net realized gain (loss)		15,543,993
Change in net unrealized appreciation/depreciation		9,101,128

Net income (loss)		24,000,803

Shareholders’ equity, at March 31, 2012	$	271,822,707

See accompanying notes to financial statements.

-16-

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Cash flow from operating activities
Net income (loss)	$	24,000,803		$	86,333,401
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		(290,132	)		(3,442,500	)
Net sale (purchase) of short-term U.S. government and agency obligations		(6,043,146	)		(43,303,949	)
Change in unrealized appreciation/depreciation on investments		(2,883,668	)		9,429,941
Decrease (Increase) in receivable on futures contracts		(505,200	)		(1,691,769	)
Increase (Decrease) in management fee payable		11,429			56,684
Increase (Decrease) in payable for investments purchased		—			1,072,866

Net cash provided by (used in) operating activities		14,290,086			48,454,674

Cash flow from financing activities
Proceeds from addition of shares		118,655,298			437,312,733
Payment on shares redeemed		(132,934,115	)		(482,692,837	)

Net cash provided by (used in) financing activities		(14,278,817	)		(45,380,104	)

Net increase (decrease) in cash		11,269			3,074,570
Cash, beginning of period		495,671			905,158

Cash, end of period	$	506,940		$	3,979,728

See accompanying notes to financial statements.

-17-

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	319,594	$	265,258
Segregated cash balances with brokers for futures contracts		8,033,801		9,078,683
Short-term U.S. government and agency obligations (Note 3) (cost $158,851,866 and $131,936,844, respectively)		158,856,244		131,934,193
Unrealized appreciation on swap agreements		2,791,720		2,645,240
Receivable on open futures contracts		—		576,597

Total assets		170,001,359		144,499,971

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		15,856,205		—
Management fee payable		127,545		110,078

Total liabilities		15,983,750		110,078

Shareholders’ equity
Shareholders’ equity		154,017,609		144,389,893

Total liabilities and shareholders’ equity	$	170,001,359	$	144,499,971

Shares outstanding		4,369,944		3,719,944

Net asset value per share (Note 1)	$	35.24	$	38.82

Market value per share (Note 1) (Note 2)	$	35.16	$	38.69

See accompanying notes to financial statements.

-18-

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (103% of shareholders’ equity)
U.S. Treasury Bills:
0.025% due 04/05/12	$	27,595,000	$	27,594,967
0.101% due 04/19/12		1,370,000		1,369,978
0.059% due 05/03/12		8,207,000		8,206,775
0.011% due 05/10/12		8,710,000		8,709,660
0.089% due 05/17/12†		6,401,000		6,400,664
0.081% due 05/24/12†		51,112,000		51,108,525
0.080% due 06/07/12		17,643,000		17,641,149
0.071% due 06/21/12†		28,485,000		28,481,049
0.066% due 06/28/12†		9,345,000		9,343,477

Total short-term U.S. government and agency obligations (cost $158,851,866)			$	158,856,244

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Crude Oil—NYMEX, expires May 2012		1,211	$	124,757,220	$	(801,130	)

Swap Agreements^


	Termination Date		Notional Amount at Value*			Unrealized Appreciation (Depreciation)
Swap agreement with Goldman Sachs International based on Dow Jones-UBS WTI Crude Oil Sub-Index		04/09/12	$	(58,063,468	)	$	766,808
Swap agreement with Societe Generale S.A. based on Dow Jones- UBS WTI Crude Oil Sub-Index		04/09/12		(69,771,793	)		1,682,250
Swap agreement with UBS AG based on Dow Jones-UBS WTI Crude Oil Sub-Index		04/09/12		(55,399,216	)		342,662

						$	2,791,720

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

††	Cash collateral in the amount of $8,033,801 was pledged to cover margin requirements for open futures contracts as of March 31, 2012.

^	The positions and counterparties herein are as of March 31, 2012. 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.

-19-

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Investment Income
Interest	$	10,125		$	36,450

Expenses
Management fee		340,146			298,212
Brokerage commissions		5,904			15,649

Total expenses		346,050			313,861

Net investment income (loss)		(335,925	)		(277,411	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(130,237	)		(4,611,590	)
Swap agreements		(3,701,374	)		(9,323,639	)
Short-term U.S. government and agency obligations		(791	)		427

Net realized gain (loss)		(3,832,402	)		(13,934,802	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(1,048,170	)		(737,560	)
Swap agreements		146,480			3,519,018
Short-term U.S. government and agency obligations		7,029			1,160

Change in net unrealized appreciation/depreciation		(894,661	)		2,782,618

Net realized and unrealized gain (loss)		(4,727,063	)		(11,152,184	)

Net income (loss)	$	(5,062,988	)	$	(11,429,595	)

Net income (loss) per weighted-average share (Note 1)	$	(1.24	)	$	(4.42	)

Weighted-average shares outstanding (Note 1)		4,082,032			2,583,207

See accompanying notes to financial statements.

-20-

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	144,389,893

Addition of 2,300,000 shares		77,519,159
Redemption of 1,650,000 shares		(62,828,455	)

Net addition (redemption) of 650,000 shares		14,690,704


Net investment income (loss)		(335,925	)
Net realized gain (loss)		(3,832,402	)
Change in net unrealized appreciation/depreciation		(894,661	)

Net income (loss)		(5,062,988	)

Shareholders’ equity, at March 31, 2012	$	154,017,609

See accompanying notes to financial statements.

-21-

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Cash flow from operating activities
Net income (loss)	$	(5,062,988	)	$	(11,429,595	)
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		1,044,882			(3,206,250	)
Net sale (purchase) of short-term U.S. government and agency obligations		(26,915,022	)		3,968,911
Change in unrealized appreciation/depreciation on investments		(153,509	)		(3,520,178	)
Decrease (Increase) in receivable on futures contracts		576,597			—
Increase (Decrease) in management fee payable		17,467			(1,879	)
Increase (Decrease) in payable for investments purchased		—			2,564,680
Increase (Decrease) in payable on futures contracts		—			1,798,110

Net cash provided by (used in) operating activities		(30,492,573	)		(9,826,201	)

Cash flow from financing activities
Proceeds from addition of shares		77,519,159			122,260,245
Payment on shares redeemed		(46,972,250	)		(112,545,561	)

Net cash provided by (used in) financing activities		30,546,909			9,714,684

Net increase (decrease) in cash		54,336			(111,517	)
Cash, beginning of period		265,258			4,007,347

Cash, end of period	$	319,594		$	3,895,830

See accompanying notes to financial statements.

-22-

PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	1,363,262	$	3,361,868
Segregated cash balances with brokers for futures contracts		8,964,062		725,409
Short-term U.S. government and agency obligations (Note 3) (cost $25,916,211 and $0, respectively)		25,917,041		—
Offering costs (Note 5)		13,531		20,150

Total assets		36,257,896		4,107,427

Liabilities and shareholders’ equity
Liabilities
Management fee payable		45,467		1,454
Payable for offering costs		26,624		26,624

Total liabilities		72,091		28,078

Shareholders’ equity
Shareholders’ equity		36,185,805		4,079,349

Total liabilities and shareholders’ equity	$	36,257,896	$	4,107,427

Shares outstanding		960,002		40,002

Net asset value per share (Note 10)	$	37.69	$	101.98

Market value per share (Note 2) (Note 10)	$	37.40	$	101.35

See accompanying notes to financial statements.

-23-

PROSHARES ULTRA DJ-UBS NATURAL GAS

SCHEDULE OF INVESTMENTS

MARCH 31, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (72% of shareholders’ equity)
U.S. Treasury Bills:
0.048% due 04/12/12	$	702,000	$	702,000
0.100% due 04/19/12		2,984,000		2,983,953
0.056% due 05/03/12		2,068,000		2,067,943
0.075% due 05/24/12		13,197,000		13,196,103
0.078% due 06/07/12		3,074,000		3,073,677
0.065% due 06/28/12		3,894,000		3,893,365

Total short-term U.S. government and agency obligations (cost $25,916,211)			$	25,917,041

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas—NYMEX, expires May 2012		3,404	$	72,369,040	$	(16,368,820	)

††	Cash collateral in the amount of $8,964,062 was pledged to cover margin requirements for open futures contracts as of March 31, 2012.

See accompanying notes to financial statements.

-24-

PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENT OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


	Three months ended March 31, 2012
Investment Income
Interest	$	2,119

Expenses
Management fee		47,372
Brokerage commissions		16,074
Offering costs		6,619

Total expenses		70,065

Net investment income (loss)		(67,946	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(5,158,571	)
Short-term U.S. government and agency obligations		119

Net realized gain (loss)		(5,158,452	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(15,543,310	)
Short-term U.S. government and agency obligations		830

Change in net unrealized appreciation/depreciation		(15,542,480	)

Net realized and unrealized gain (loss)		(20,700,932	)

Net income (loss)	$	(20,768,878	)

Net income (loss) per weighted-average share (Note 10)	$	(50.64	)

Weighted-average shares outstanding (Note 10)		410,112

See accompanying notes to financial statements.

-25-

PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	4,079,349

Addition of 920,000 shares (Note 10)		52,875,334


Net investment income (loss)		(67,946	)
Net realized gain (loss)		(5,158,452	)
Change in net unrealized appreciation/depreciation		(15,542,480	)

Net income (loss)		(20,768,878	)

Shareholders’ equity, at March 31, 2012	$	36,185,805

See accompanying notes to financial statements.

-26-

PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENT OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


	Three months ended March 31, 2012
Cash flow from operating activities
Net income (loss)	$	(20,768,878	)
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		(8,238,653	)
Net sale (purchase) of short-term U.S. government and agency obligations		(25,916,211	)
Change in unrealized appreciation/depreciation on investments		(830	)
Change in offering cost		6,619
Increase (Decrease) in management fee payable		44,013

Net cash provided by (used in) operating activities		(54,873,940	)

Cash flow from financing activities
Proceeds from addition of shares		52,875,334

Net cash provided by (used in) financing activities		52,875,334

Net increase (decrease) in cash		(1,998,606	)
Cash, beginning of period		3,361,868

Cash, end of period	$	1,363,262

See accompanying notes to financial statements.

-27-

PROSHARES SHORT DJ-UBS NATURAL GAS*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		29,090		29,090

Total assets		29,290		29,290

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

Total liabilities		29,090		29,090

Shareholders’ equity
Shareholders’ equity		200		200

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

*	See Note 1.

See accompanying notes to financial statements.

-28-

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	796,287	$	2,969,266
Segregated cash balances with brokers for futures contracts		5,874,120		1,439,775
Short-term U.S. government and agency obligations (Note 3) (cost $15,117,581 and $2,621,895, respectively)		15,117,758		2,621,684
Receivable on open futures contracts		277,787		123,128
Offering costs (Note 5)		13,531		20,150

Total assets		22,079,483		7,174,003

Liabilities and shareholders’ equity
Liabilities
Management fee payable		27,555		5,069
Payable for offering costs		26,624		26,624

Total liabilities		54,179		31,693

Shareholders’ equity
Shareholders’ equity		22,025,304		7,142,310

Total liabilities and shareholders’ equity	$	22,079,483	$	7,174,003

Shares outstanding		450,030		300,030

Net asset value per share (Note 10)	$	48.94	$	23.81

Market value per share (Note 2) (Note 10)	$	49.35	$	23.96

See accompanying notes to financial statements.

-29-

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

SCHEDULE OF INVESTMENTS

MARCH 31, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(69% of shareholders’ equity)
U.S. Treasury Bills:
0.046% due 04/05/12	$	1,616,000	$	1,615,998
0.048% due 04/12/12		519,000		519,000
0.101% due 04/19/12		291,000		290,995
0.076% due 05/03/12		806,000		805,978
0.011% due 05/10/12		2,622,000		2,621,898
0.067% due 05/17/12		506,000		505,974
0.080% due 05/24/12		2,205,000		2,204,850
0.066% due 05/31/12		500,000		499,957
0.078% due 06/07/12		1,626,000		1,625,830
0.066% due 06/28/12		4,428,000		4,427,278

Total short-term U.S. government and agency obligations (cost $15,117,581)			$	15,117,758

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas—NYMEX, expires May 2012		2,072	$	44,050,720	$	7,311,970

††	Cash collateral in the amount of $5,874,120 was pledged to cover margin requirements for open futures contracts as of March 31, 2012.

See accompanying notes to financial statements.

-30-

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENT OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


	Three months ended March 31, 2012
Investment Income
Interest	$	863

Expenses
Management fee		25,021
Brokerage commissions		13,766
Offering costs		6,619

Total expenses		45,406

Net investment income (loss)		(44,543	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		4,437,111
Short-term U.S. government and agency obligations		(167	)

Net realized gain (loss)		4,436,944

Change in net unrealized appreciation/depreciation on
Futures contracts		5,930,960
Short-term U.S. government and agency obligations		388

Change in net unrealized appreciation/depreciation		5,931,348

Net realized and unrealized gain (loss)		10,368,292

Net income (loss)	$	10,323,749

Net income (loss) per weighted-average share (Note 10)	$	25.05

Weighted-average shares outstanding (Note 10)		412,118

See accompanying notes to financial statements.

-31-

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	7,142,310

Addition of 450,000 shares (Note 10)		13,524,375
Redemption of 300,000 shares (Note 10)		(8,965,130	)

Net addition (redemption) of 150,000 shares (Note 10)		4,559,245


Net investment income (loss)		(44,543	)
Net realized gain (loss)		4,436,944
Change in net unrealized appreciation/depreciation		5,931,348

Net income (loss)		10,323,749

Shareholders’ equity, at March 31, 2012	$	22,025,304

See accompanying notes to financial statements.

-32-

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENT OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


	Three months ended March 31, 2012
Cash flow from operating activities
Net income (loss)	$	10,323,749
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		(4,434,345	)
Net sale (purchase) of short-term U.S. government and agency obligations		(12,495,686	)
Change in unrealized appreciation/depreciation on investments		(388	)
Decrease (Increase) in receivable on futures contracts		(154,659	)
Change in offering cost		6,619
Increase (Decrease) in management fee payable		22,486

Net cash provided by (used in) operating activities		(6,732,224	)

Cash flow from financing activities
Proceeds from addition of shares		13,524,375
Payment on shares redeemed		(8,965,130	)

Net cash provided by (used in) financing activities		4,559,245

Net increase (decrease) in cash		(2,172,979	)
Cash, beginning of period		2,969,266

Cash, end of period	$	796,287

See accompanying notes to financial statements.

-33-

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	394,462	$	400,533
Segregated cash balances with brokers for futures contracts		20,250		22,950
Short-term U.S. government and agency obligations (Note 3) (cost $390,580,338 and $399,322,327, respectively)		390,588,955		399,317,740
Receivable from capital shares sold		—		7,796,997
Receivable on open futures contracts		2,280		540

Total assets		391,005,947		407,538,760

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		4,388,518		—
Management fee payable		317,565		303,120
Unrealized depreciation on forward agreements		4,411,946		80,836,280

Total liabilities		9,118,029		81,139,400

Shareholders’ equity
Shareholders’ equity		381,887,918		326,399,360

Total liabilities and shareholders’ equity	$	391,005,947	$	407,538,760

Shares outstanding		4,350,014		4,300,014

Net asset value per share	$	87.79	$	75.91

Market value per share (Note 2)	$	88.40	$	79.01

See accompanying notes to financial statements.

-34-

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(102% of shareholders’ equity)
U.S. Treasury Bills:
0.042% due 04/05/12†	$	25,024,000	$	25,023,970
0.010% due 04/12/12†		30,671,000		30,671,000
0.068% due 05/03/12		88,931,000		88,928,563
0.011% due 05/10/12†		14,271,000		14,270,443
0.090% due 05/17/12†		50,000,000		49,997,375
0.071% due 05/24/12†		63,913,000		63,908,654
0.080% due 06/07/12		19,831,000		19,828,920
0.065% due 06/28/12†		97,976,000		97,960,030

Total short-term U.S. government and agency obligations (cost $390,580,338)			$	390,588,955

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures—COMEX, expires June 2012		2	$	334,380	$	(4,100	)

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		04/10/12	$	106,820	$	177,608,546	$	(896,352	)
Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold		04/10/12		110,900		184,392,321		(1,111,987	)
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		04/10/12		241,400		401,373,366		(2,403,607	)

							$	(4,411,946	)

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

††	Cash collateral in the amount of $20,250 was pledged to cover margin requirements for open futures contracts as of March 31, 2012.

^	The positions and counterparties herein are as of March 31, 2012. 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 GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Investment Income
Interest	$	27,391		$	71,784

Expenses
Management fee		905,724			553,335
Brokerage commissions		16			905

Total expenses		905,740			554,240

Net investment income (loss)		(878,349	)		(482,456	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(17,640	)		178,030
Forward agreements		(29,841,156	)		7,843,381
Short-term U.S. government and agency obligations		113			(152	)

Net realized gain (loss)		(29,858,683	)		8,021,259

Change in net unrealized appreciation/depreciation on
Futures contracts		37,560			(136,000	)
Forward agreements		76,424,334			(1,337,077	)
Short-term U.S. government and agency obligations		13,204			2,400

Change in net unrealized appreciation/depreciation		76,475,098			(1,470,677	)

Net realized and unrealized gain (loss)		46,616,415			6,550,582

Net income (loss)	$	45,738,066		$	6,068,126

Net income (loss) per weighted-average share	$	10.86		$	1.72

Weighted-average shares outstanding		4,213,201			3,534,458

See accompanying notes to financial statements.

-36-

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	326,399,360

Addition of 400,000 shares		40,147,611
Redemption of 350,000 shares		(30,397,119	)

Net addition (redemption) of 50,000 shares		9,750,492


Net investment income (loss)		(878,349	)
Net realized gain (loss)		(29,858,683	)
Change in net unrealized appreciation/depreciation		76,475,098

Net income (loss)		45,738,066

Shareholders’ equity, at March 31, 2012	$	381,887,918

See accompanying notes to financial statements.

-37-

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Cash flow from operating activities
Net income (loss)	$	45,738,066		$	6,068,126
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		2,700			69,445
Net sale (purchase) of short-term U.S. government and agency obligations		8,741,989			7,145,686
Change in unrealized appreciation/depreciation on investments		(76,437,538	)		1,334,677
Decrease (Increase) in receivable on futures contracts		(1,740	)		(27,670	)
Increase (Decrease) in management fee payable		14,445			(8,536	)
Increase (Decrease) in payable for investments purchased		—			28,084,501

Net cash provided by (used in) operating activities		(21,942,078	)		42,666,229

Cash flow from financing activities
Proceeds from addition of shares		47,944,608			3,477,778
Payment on shares redeemed		(26,008,601	)		(18,345,579	)

Net cash provided by (used in) financing activities		21,936,007			(14,867,801	)

Net increase (decrease) in cash		(6,071	)		27,798,428
Cash, beginning of period		400,533			1,262,424

Cash, end of period	$	394,462		$	29,060,852

See accompanying notes to financial statements.

-38-

PROSHARES SHORT GOLD*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		12,424		12,424

Total assets		12,624		12,624

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

Total liabilities		12,424		12,424

Shareholders’ equity
Shareholders’ equity		200		200

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

*	See Note 1.

See accompanying notes to financial statements.

-39-

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	294,668	$	330,841
Segregated cash balances with brokers for futures contracts		16,850		17,770
Short-term U.S. government and agency obligations (Note 3) (cost $146,596,392 and $164,677,030, respectively)		146,599,245		164,673,175
Unrealized appreciation on forward agreements		370,985		33,401,358

Total assets		147,281,748		198,423,144

Liabilities and shareholders’ equity
Liabilities
Management fee payable		116,745		124,573

Total liabilities		116,745		124,573

Shareholders’ equity
Shareholders’ equity		147,165,003		198,298,571

Total liabilities and shareholders’ equity	$	147,281,748	$	198,423,144

Shares outstanding		8,689,901		9,589,901

Net asset value per share	$	16.94	$	20.68

Market value per share (Note 2)	$	16.81	$	19.81

See accompanying notes to financial statements.

-40-

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(100% of shareholders’ equity)
U.S. Treasury Bills:
0.027% due 04/05/12†	$	22,948,000	$	22,947,973
0.076% due 05/03/12†		5,838,000		5,837,840
0.011% due 05/10/12†		4,510,000		4,509,824
0.068% due 05/24/12†		18,997,000		18,995,708
0.078% due 06/07/12		56,359,000		56,353,088
0.065% due 06/28/12†		37,961,000		37,954,812

Total short-term U.S. government and agency obligations (cost $146,596,392)			$	146,599,245

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures—COMEX, expires June 2012		2	$	334,380	$	4,100

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		04/10/12	$	(48,198	)	$	(80,138,333	)	$	280,357
Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold		04/10/12		(63,300	)		(105,248,277	)		(187,863	)
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		04/10/12		(65,350	)		(108,656,792	)		278,491

									$	370,985

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

††	Cash collateral in the amount of $16,850 was pledged to cover margin requirements for open futures contracts as of March 31, 2012.

^	The positions and counterparties herein are as of March 31, 2012. 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.

-41-

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Investment Income
Interest	$	6,919		$	31,276

Expenses
Management fee		349,769			229,514
Brokerage commissions		17			1,092

Total expenses		349,786			230,606

Net investment income (loss)		(342,867	)		(199,330	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		17,840			(218,760	)
Forward agreements		(1,563,825	)		(7,734,627	)
Short-term U.S. government and agency obligations		24			320

Net realized gain (loss)		(1,545,961	)		(7,953,067	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(37,700	)		141,730
Forward agreements		(33,030,373	)		539,363
Short-term U.S. government and agency obligations		6,708			(472	)

Change in net unrealized appreciation/depreciation		(33,061,365	)		680,621

Net realized and unrealized gain (loss)		(34,607,326	)		(7,272,446	)

Net income (loss)	$	(34,950,193	)	$	(7,471,776	)

Net income (loss) per weighted-average share	$	(3.97	)	$	(2.22	)

Weighted-average shares outstanding		8,812,428			3,369,345

See accompanying notes to financial statements.

-42-

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	198,298,571

Redemption of 900,000 shares		(16,183,375	)


Net investment income (loss)		(342,867	)
Net realized gain (loss)		(1,545,961	)
Change in net unrealized appreciation/depreciation		(33,061,365	)

Net income (loss)		(34,950,193	)

Shareholders’ equity, at March 31, 2012	$	147,165,003

See accompanying notes to financial statements.

-43-

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Cash flow from operating activities
Net income (loss)	$	(34,950,193	)	$	(7,471,776	)
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		920			(13,576	)
Net sale (purchase) of short-term U.S. government and agency obligations		18,080,638			(2,816,976	)
Change in unrealized appreciation/depreciation on investments		33,023,665			(538,891	)
Increase (Decrease) in management fee payable		(7,828	)		9,791
Increase (Decrease) in payable for investments purchased		—			2,393,702
Increase (Decrease) in payable on futures contracts		—			18,962

Net cash provided by (used in) operating activities		16,147,202			(8,418,764	)

Cash flow from financing activities
Proceeds from addition of shares		—			31,756,616
Payment on shares redeemed		(16,183,375	)		(20,930,837	)

Net cash provided by (used in) financing activities		(16,183,375	)		10,825,779

Net increase (decrease) in cash		(36,173	)		2,407,015
Cash, beginning of period		330,841			404,683

Cash, end of period	$	294,668		$	2,811,698

See accompanying notes to financial statements.

-44-

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	891,418	$	772,442
Segregated cash balances with brokers for futures contracts		40,540		49,950
Short-term U.S. government and agency obligations (Note 3) (cost $883,345,172 and $771,936,564, respectively)		883,365,264		771,925,669
Receivable from capital shares sold		8,235,921		13,966,567
Receivable on open futures contracts		—		6,000

Total assets		892,533,143		786,720,628

Liabilities and shareholders’ equity
Liabilities
Management fee payable		700,820		569,435
Unrealized depreciation on forward agreements		46,465,030		179,326,773

Total liabilities		47,165,850		179,896,208

Shareholders’ equity
Shareholders’ equity		845,367,293		606,824,420

Total liabilities and shareholders’ equity	$	892,533,143	$	786,720,628

Shares outstanding		15,400,028		14,050,028

Net asset value per share (Note 1)	$	54.89	$	43.19

Market value per share (Note 1) (Note 2)	$	54.46	$	41.65

See accompanying notes to financial statements.

-45-

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(104% of shareholders’ equity)
U.S. Treasury Bills:
0.038% due 04/05/12	$	38,984,000	$	38,983,953
0.015% due 04/12/12†		73,137,000		73,137,000
0.081% due 04/19/12		6,006,000		6,005,905
0.061% due 05/03/12†		194,492,000		194,486,671
0.011% due 05/10/12†		18,106,000		18,105,294
0.090% due 05/17/12†		30,393,000		30,391,404
0.069% due 05/24/12†		182,579,000		182,566,585
0.060% due 05/31/12		220,739,000		220,720,127
0.080% due 06/07/12†		81,237,000		81,228,478
0.065% due 06/28/12†		37,746,000		37,739,847

Total short-term U.S. government and agency obligations (cost $883,345,172)			$	883,365,264

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures—COMEX, expires May 2012		2	$	324,840	$	(13,810	)

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		04/10/12	$	13,824,800	$	448,403,241	$	(13,208,785	)
Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver		04/10/12		15,445,000		500,953,942		(11,896,880	)
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		04/10/12		22,848,000		741,068,026		(21,359,365	)

							$	(46,465,030	)

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

††	Cash collateral in the amount of $40,540 was pledged to cover margin requirements for open futures contracts as of March 31, 2012.

^	The positions and counterparties herein are as of March 31, 2012. 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.

-46-

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Investment Income
Interest	$	51,735		$	186,095

Expenses
Management fee		1,885,054			1,507,863
Brokerage commissions		8			1,938

Total expenses		1,885,062			1,509,801

Net investment income (loss)		(1,833,327	)		(1,323,706	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(1,900	)		3,968,311
Forward agreements		8,108,350			269,376,150
Short-term U.S. government and agency obligations		691			1,630

Net realized gain (loss)		8,107,141			273,346,091

Change in net unrealized appreciation/depreciation on
Futures contracts		47,040			5,795,695
Forward agreements		132,861,743			19,159,850
Short-term U.S. government and agency obligations		30,987			24,952

Change in net unrealized appreciation/depreciation		132,939,770			24,980,497

Net realized and unrealized gain (loss)		141,046,911			298,326,588

Net income (loss)	$	139,213,584		$	297,002,882

Net income (loss) per weighted-average share (Note 1)	$	9.85		$	38.66

Weighted-average shares outstanding (Note 1)		14,130,248			7,682,250

See accompanying notes to financial statements.

-47-

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	606,824,420

Addition of 2,550,000 shares		160,714,564
Redemption of 1,200,000 shares		(61,385,275	)

Net addition (redemption) of 1,350,000 shares		99,329,289


Net investment income (loss)		(1,833,327	)
Net realized gain (loss)		8,107,141
Change in net unrealized appreciation/depreciation		132,939,770

Net income (loss)		139,213,584

Shareholders’ equity, at March 31, 2012	$	845,367,293

See accompanying notes to financial statements.

-48-

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Cash flow from operating activities
Net income (loss)	$	139,213,584		$	297,002,882
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		9,410			(2,349,067	)
Net sale (purchase) of short-term U.S. government and agency obligations		(111,408,608	)		(487,630,157	)
Change in unrealized appreciation/depreciation on investments		(132,892,730	)		(19,184,802	)
Decrease (Increase) in receivable on futures contracts		6,000			210,731
Increase (Decrease) in management fee payable		131,385			333,350
Increase (Decrease) in payable for investments purchased		—			47,809,043

Net cash provided by (used in) operating activities		(104,940,959	)		(163,808,020	)

Cash flow from financing activities
Proceeds from addition of shares		166,445,210			331,502,696
Payment on shares redeemed		(61,385,275	)		(118,433,742	)

Net cash provided by (used in) financing activities		105,059,935			213,068,954

Net increase (decrease) in cash		118,976			49,260,934
Cash, beginning of period		772,442			2,505,032

Cash, end of period	$	891,418		$	51,765,966

See accompanying notes to financial statements.

-49-

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	730,471	$	648,166
Segregated cash balances with brokers for futures contracts		36,670		43,140
Short-term U.S. government and agency obligations (Note 3) (cost $182,015,314 and $215,358,257, respectively)		182,020,783		215,352,919
Unrealized appreciation on forward agreements		8,720,011		43,015,723
Receivable from capital shares sold		7,867,157		8,437,981

Total assets		199,375,092		267,497,929

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		20,503,124
Management fee payable		178,931		180,884

Total liabilities		178,931		20,684,008

Shareholders’ equity
Shareholders’ equity		199,196,161		246,813,921

Total liabilities and shareholders’ equity	$	199,375,092	$	267,497,929

Shares outstanding		3,798,874		3,218,874

Net asset value per share (Note 1) (Note 10)	$	52.44	$	76.68

Market value per share (Note 1) (Note 2) (Note 10)	$	52.75	$	79.35

See accompanying notes to financial statements.

-50-

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(91% of shareholders’ equity)
U.S. Treasury Bills:
0.046% due 04/05/12	$	1,763,000	$	1,762,998
0.048% due 04/12/12		3,758,000		3,758,000
0.106% due 04/19/12†		7,468,000		7,467,881
0.090% due 05/17/12†		5,194,000		5,193,727
0.071% due 05/24/12†		81,478,000		81,472,460
0.066% due 05/31/12		12,772,000		12,770,908
0.079% due 06/07/12		26,609,000		26,606,209
0.071% due 06/21/12		25,041,000		25,037,527
0.065% due 06/28/12†		17,954,000		17,951,073

Total short-term U.S. government and agency obligations (cost $182,015,314)			$	182,020,783

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures—COMEX, expires May 2012		2	$	324,840	$	13,810

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		04/10/12	$	(4,747,500	)	$	(153,983,738	)	$	1,779,194
Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver		04/10/12		(4,055,000	)		(131,522,709	)		4,253,325
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		04/10/12		(3,470,000	)		(112,548,409	)		2,687,492

									$	8,720,011

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

††	Cash collateral in the amount of $36,670 was pledged to cover margin requirements for open futures contracts as of March 31, 2012.

^	The positions and counterparties herein are as of March 31, 2012. 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.

-51-

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Investment Income
Interest	$	15,324		$	46,897

Expenses
Management fee		503,147			340,262
Brokerage commissions		8			631

Total expenses		503,155			340,893

Net investment income (loss)		(487,831	)		(293,996	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		1,900			(1,723,196	)
Forward agreements		(35,686,314	)		(79,565,617	)
Short-term U.S. government and agency obligations		(1,674	)		1,268

Net realized gain (loss)		(35,686,088	)		(81,287,545	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(47,040	)		229,925
Forward agreements		(34,295,712	)		1,014,244
Short-term U.S. government and agency obligations		10,807			1,756

Change in net unrealized appreciation/depreciation		(34,331,945	)		1,245,925

Net realized and unrealized gain (loss)		(70,018,033	)		(80,041,620	)

Net income (loss)	$	(70,505,864	)	$	(80,335,616	)

Net income (loss) per weighted-average share (Note 1) (Note 10)	$	(17.99	)	$	(98.68	)

Weighted-average shares outstanding (Note 1) (Note 10)		3,919,203			814,126

See accompanying notes to financial statements.

-52-

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	246,813,921

Addition of 3,190,000 shares (Note 10)		163,910,389
Redemption of 2,610,000 shares (Note 10)		(141,022,285	)

Net addition (redemption) of 580,000 shares (Note 10)		22,888,104


Net investment income (loss)		(487,831	)
Net realized gain (loss)		(35,686,088	)
Change in net unrealized appreciation/depreciation		(34,331,945	)

Net income (loss)		(70,505,864	)

Shareholders’ equity, at March 31, 2012	$	199,196,161

See accompanying notes to financial statements.

-53-

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Cash flow from operating activities
Net income (loss)	$	(70,505,864	)	$	(80,335,616	)
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		6,470			250,439
Net sale (purchase) of short-term U.S. government and agency obligations		33,342,943			(30,787,382	)
Change in unrealized appreciation/depreciation on investments		34,284,905			(1,016,000	)
Increase (Decrease) in management fee payable		(1,953	)		33,427
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		(2,873,499	)		(109,107,926	)

Cash flow from financing activities
Proceeds from addition of shares		164,481,213			159,381,014
Payment on shares redeemed		(161,525,409	)		(50,127,665	)

Net cash provided by (used in) financing activities		2,955,804			109,253,349

Net increase (decrease) in cash		82,305			145,423
Cash, beginning of period		648,166			3,514,285

Cash, end of period	$	730,471		$	3,659,708

See accompanying notes to financial statements.

-54-

PROSHARES ULTRAPRO AUSTRALIAN DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-55-

PROSHARES ULTRA AUSTRALIAN DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-56-

PROSHARES SHORT AUSTRALIAN DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-57-

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-58-

PROSHARES ULTRAPRO SHORT AUSTRALIAN DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-59-

PROSHARES ULTRAPRO CANADIAN DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-60-

PROSHARES ULTRA CANADIAN DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-61-

PROSHARES SHORT CANADIAN DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-62-

PROSHARES ULTRASHORT CANADIAN DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-63-

PROSHARES ULTRAPRO SHORT CANADIAN DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-64-

PROSHARES ULTRAPRO EURO*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-65-

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	133,290	$	10,469
Short-term U.S. government and agency obligations (Note 3) (cost $7,154,357 and $10,068,969, respectively)		7,154,497		10,068,707
Unrealized appreciation on foreign currency forward contracts		293,570		—

Total assets		7,581,357		10,079,176

Liabilities and shareholders’ equity
Liabilities
Management fee payable		7,261		6,216
Unrealized depreciation on foreign currency forward contracts		—		518,212

Total liabilities		7,261		524,428

Shareholders’ equity
Shareholders’ equity		7,574,096		9,554,748

Total liabilities and shareholders’ equity	$	7,581,357	$	10,079,176

Shares outstanding		300,014		400,014

Net asset value per share	$	25.25	$	23.89

Market value per share (Note 2)	$	25.21	$	23.87

See accompanying notes to financial statements.

-66-

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (94% of shareholders’ equity)
U.S. Treasury Bills:
0.029% due 04/05/12†	$	1,518,000	$	1,517,998
0.046% due 04/12/12†		405,000		405,000
0.060% due 05/24/12†		2,418,000		2,417,836
0.076% due 06/07/12		1,598,000		1,597,832
0.071% due 06/21/12		1,216,000		1,215,831

Total short-term U.S. government and agency obligations (cost $7,154,357)			$	7,154,497

Foreign Currency Forward Contracts^


	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International		04/13/12		7,341,825		$	9,792,168		$	161,463
Euro with UBS AG		04/13/12		8,017,800			10,693,751			180,610

									$	342,073

Contracts to Sell
Euro with Goldman Sachs International		04/13/12		(3,925,900	)	$	(5,236,174	)	$	(46,715	)
Euro with UBS AG		04/13/12		(87,400	)		(116,569	)		(1,788	)

									$	(48,503	)

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

^	The positions and counterparties herein are as of March 31, 2012. 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.

-67-

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Investment Income
Interest	$	488		$	2,411

Expenses
Management fee		23,317			18,926

Total expenses		23,317			18,926

Net investment income (loss)		(22,829	)		(16,515	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(249,576	)		918,369
Short-term U.S. government and agency obligations		1			—

Net realized gain (loss)		(249,575	)		918,369

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		811,782			33,773
Short-term U.S. government and agency obligations		402			20

Change in net unrealized appreciation/depreciation		812,184			33,793

Net realized and unrealized gain (loss)		562,609			952,162

Net income (loss)	$	539,780		$	935,647

Net income (loss) per weighted-average share	$	1.34		$	3.12

Weighted-average shares outstanding		403,860			300,014

See accompanying notes to financial statements.

-68-

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	9,554,748

Addition of 50,000 shares		1,209,580
Redemption of 150,000 shares		(3,730,012	)

Net addition (redemption) of (100,000) shares		(2,520,432	)


Net investment income (loss)		(22,829	)
Net realized gain (loss)		(249,575	)
Change in net unrealized appreciation/depreciation		812,184

Net income (loss)		539,780

Shareholders’ equity, at March 31, 2012	$	7,574,096

See accompanying notes to financial statements.

-69-

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Cash flow from operating activities
Net income (loss)	$	539,780		$	935,647
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		2,914,612			(903,069	)
Change in unrealized appreciation/depreciation on investments		(812,184	)		(33,793	)
Increase (Decrease) in management fee payable		1,045			734
Increase (Decrease) in payable for investments purchased		—			1,411,824

Net cash provided by (used in) operating activities		2,643,253			1,411,343

Cash flow from financing activities
Proceeds from addition of shares		1,209,580			—
Payment on shares redeemed		(3,730,012	)		—

Net cash provided by (used in) financing activities		(2,520,432	)		—

Net increase (decrease) in cash		122,821			1,411,343
Cash, beginning of period		10,469			13,447

Cash, end of period	$	133,290		$	1,424,790

See accompanying notes to financial statements.

-70-

PROSHARES SHORT EURO*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-71-

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	444,413	$	102,088
Short-term U.S. government and agency obligations (Note 3) (cost $850,861,763 and $1,012,198,282, respectively)		850,875,204		1,012,174,281
Unrealized appreciation on foreign currency forward contracts		—		67,430,954
Receivable from capital shares sold		—		21,299,733

Total assets		851,319,617		1,101,007,056

Liabilities and shareholders’ equity
Liabilities
Management fee payable		701,579		847,510
Unrealized depreciation on foreign currency forward contracts		31,057,598		—

Total liabilities		31,759,177		847,510

Shareholders’ equity
Shareholders’ equity		819,560,440		1,100,159,546

Total liabilities and shareholders’ equity	$	851,319,617	$	1,101,007,056

Shares outstanding		43,200,014		54,100,014

Net asset value per share	$	18.97	$	20.34

Market value per share (Note 2)	$	18.97	$	20.35

See accompanying notes to financial statements.

-72-

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (104% of shareholders’ equity)
U.S. Treasury Bills:
0.011% due 04/05/12	$	126,267,000	$	126,266,849
0.067% due 05/03/12		35,253,000		35,252,034
0.010% due 05/10/12†		105,171,000		105,166,898
0.090% due 05/17/12†		20,315,000		20,313,933
0.070% due 05/24/12†		200,647,000		200,633,356
0.077% due 06/07/12		124,176,000		124,162,974
0.071% due 06/21/12†		129,034,000		129,016,103
0.065% due 06/28/12		110,081,000		110,063,057

Total short-term U.S. government and agency obligations (cost $850,861,763)			$	850,875,204

Foreign Currency Forward Contracts^



	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International		04/13/12		167,089,600		$	222,855,962 $			1,278,559
Euro with UBS AG		04/13/12		87,767,200			117,059,612			1,078,290

									$	2,356,849

Contracts to Sell
Euro with Goldman Sachs International		04/13/12		(681,701,025	)	$	(909,219,589	)	$	(15,363,663	)
Euro with UBS AG		04/13/12		(801,759,700	)		(1,069,347,996	)		(18,050,784	)

									$	(33,414,447	)

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

^	The positions and counterparties herein are as of March 31, 2012. 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.

-73-

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Investment Income
Interest	$	47,729		$	144,361

Expenses
Management fee		2,200,267			1,033,909

Total expenses		2,200,267			1,033,909

Net investment income (loss)		(2,152,538	)		(889,548	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		38,812,588			(62,149,035	)
Short-term U.S. government and agency obligations		(1,736	)		1,407

Net realized gain (loss)		38,810,852			(62,147,628	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(98,488,552	)		4,173,710
Short-term U.S. government and agency obligations		37,442			(3,250	)

Change in net unrealized appreciation/depreciation		(98,451,110	)		4,170,460

Net realized and unrealized gain (loss)		(59,640,258	)		(57,977,168	)

Net income (loss)	$	(61,792,796	)	$	(58,866,716	)

Net income (loss) per weighted-average share	$	(1.31	)	$	(2.58	)

Weighted-average shares outstanding		47,119,245			22,835,014

See accompanying notes to financial statements.

-74-

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	1,100,159,546

Addition of 2,150,000 shares		41,253,887
Redemption of 13,050,000 shares		(260,060,197	)

Net addition (redemption) of (10,900,000) shares		(218,806,310	)


Net investment income (loss)		(2,152,538	)
Net realized gain (loss)		38,810,852
Change in net unrealized appreciation/depreciation		(98,451,110	)

Net income (loss)		(61,792,796	)

Shareholders’ equity, at March 31, 2012	$	819,560,440

See accompanying notes to financial statements.

-75-

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Cash flow from operating activities
Net income (loss)	$	(61,792,796	)	$	(58,866,716	)
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		161,336,519			77,127,700
Change in unrealized appreciation/depreciation on investments		98,451,110			(4,170,460	)
Increase (Decrease) in management fee payable		(145,931	)		(46,455	)
Increase (Decrease) in payable for investments purchased		—			45,447,337

Net cash provided by (used in) operating activities		197,848,902			59,491,406

Cash flow from financing activities
Proceeds from addition of shares		62,553,620			63,232,906
Payment on shares redeemed		(260,060,197	)		(77,324,983	)

Net cash provided by (used in) financing activities		(197,506,577	)		(14,092,077	)

Net increase (decrease) in cash		342,325			45,399,329
Cash, beginning of period		102,088			251,588

Cash, end of period	$	444,413		$	45,650,917

See accompanying notes to financial statements.

-76-

PROSHARES ULTRAPRO SHORT EURO*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-77-

PROSHARES ULTRAPRO SWISS FRANC*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-78-

PROSHARES ULTRA SWISS FRANC*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-79-

PROSHARES SHORT SWISS FRANC*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-80-

PROSHARES ULTRASHORT SWISS FRANC*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-81-

PROSHARES ULTRAPRO SHORT SWISS FRANC*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-82-

PROSHARES ULTRAPRO U.S. DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-83-

PROSHARES ULTRA U.S. DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-84-

PROSHARES SHORT U.S. DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-85-

PROSHARES ULTRASHORT U.S. DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-86-

PROSHARES ULTRAPRO SHORT U.S. DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-87-

PROSHARES ULTRAPRO YEN*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-88-

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	97,727	$	5,798
Short-term U.S. government and agency obligations (Note 3) (cost $4,837,511 and $5,366,951, respectively)		4,837,637		5,366,875
Unrealized appreciation on foreign currency forward contracts		—		102,727

Total assets		4,935,364		5,475,400

Liabilities and shareholders’ equity
Liabilities
Management fee payable		3,819		4,325
Unrealized depreciation on foreign currency forward contracts		225,965		—

Total liabilities		229,784		4,325

Shareholders’ equity
Shareholders’ equity		4,705,580		5,471,075

Total liabilities and shareholders’ equity	$	4,935,364	$	5,475,400

Shares outstanding		150,014		150,014

Net asset value per share	$	31.37	$	36.47

Market value per share (Note 2)	$	31.36	$	36.50

See accompanying notes to financial statements.

-89-

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(103% of shareholders’ equity)
U.S. Treasury Bills:
0.034% due 04/05/12†	$	1,004,000	$	1,003,999
0.060% due 05/03/12		128,000		127,996
0.011% due 05/10/12†		463,000		462,982
0.078% due 06/07/12		3,243,000		3,242,660

Total short-term U.S. government and agency obligations (cost $4,837,511)			$	4,837,637

Foreign Currency Forward Contracts^


	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International		04/13/12		348,140,000		$	4,205,479		$	(97,521	)
Yen with UBS AG		04/13/12		471,250,000			5,692,630			(128,750	)

									$	(226,271	)

Contracts to Sell
Yen with Goldman Sachs International		04/13/12		(20,140,000	)	$	(243,288	)	$	1,161
Yen with UBS AG		04/13/12		(20,320,000	)		(245,463	)		(855	)

									$	306

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

^	The positions and counterparties herein are as of March 31, 2012. 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.

-90-

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended			Three months ended
	March 31, 2012			March 31, 2011
Investment Income
Interest	$	372		$	1,025

Expenses
Management fee		12,183			8,104

Total expenses		12,183			8,104

Net investment income (loss)		(11,811	)		(7,079	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(425,209	)		155,729
Short-term U.S. government and agency obligations		15			(6	)

Net realized gain (loss)		(425,194	)		155,723

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(328,692	)		(402,409	)
Short-term U.S. government and agency obligations		202			(65	)

Change in net unrealized appreciation/depreciation		(328,490	)		(402,474	)

Net realized and unrealized gain (loss)		(753,684	)		(246,751	)

Net income (loss)	$	(765,495	)	$	(253,830	)

Net income (loss) per weighted-average share	$	(5.10	)	$	(2.39	)

Weighted-average shares outstanding		150,014			106,125

See accompanying notes to financial statements.

-91-

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	5,471,075

Net investment income (loss)		(11,811	)
Net realized gain (loss)		(425,194	)
Change in net unrealized appreciation/depreciation		(328,490	)

Net income (loss)		(765,495	)

Shareholders’ equity, at March 31, 2012	$	4,705,580

See accompanying notes to financial statements.

-92-

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Cash flow from operating activities
Net income (loss)	$	(765,495	)	$	(253,830	)
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		529,440			1,448,911
Change in unrealized appreciation/depreciation on investments		328,490			402,474
Increase (Decrease) in management fee payable		(506	)		(936	)
Increase (Decrease) in payable for investments purchased		—			688,914

Net cash provided by (used in) operating activities		91,929			2,285,533

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

Net cash provided by (used in) financing activities		—			(1,593,589	)

Net increase (decrease) in cash		91,929			691,944
Cash, beginning of period		5,798			10,637

Cash, end of period	$	97,727		$	702,581

See accompanying notes to financial statements.

-93-

PROSHARES SHORT YEN*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-94-

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	269,808	$	22,338
Short-term U.S. government and agency obligations (Note 3) (cost $266,759,558 and $219,407,765, respectively)		266,766,071		219,404,292
Unrealized appreciation on foreign currency forward contracts		13,069,493		—
Receivable from capital shares sold		—		6,249,734

Total assets		280,105,372		225,676,364

Liabilities and shareholders’ equity
Liabilities
Management fee payable		220,570		180,224
Unrealized depreciation on foreign currency forward contracts		—		4,364,146

Total liabilities		220,570		4,544,370

Shareholders’ equity
Shareholders’ equity		279,884,802		221,131,994

Total liabilities and shareholders’ equity	$	280,105,372	$	225,676,364

Shares outstanding		5,949,294		5,399,294

Net asset value per share (Note 1)	$	47.05	$	40.96

Market value per share (Note 1) (Note 2)	$	47.05	$	40.95

See accompanying notes to financial statements.

-95-

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(95% of shareholders’ equity)
U.S. Treasury Bills:
0.003% due 04/05/12	$	9,218,000	$	9,217,989
0.041% due 04/12/12		18,086,000		18,086,000
0.069% due 05/03/12		59,313,000		59,311,375
0.011% due 05/10/12†		24,913,000		24,912,028
0.090% due 05/17/12†		50,000,000		49,997,375
0.060% due 05/24/12†		6,999,000		6,998,524
0.077% due 06/07/12		48,107,000		48,101,954
0.066% due 06/28/12†		50,149,000		50,140,826

Total short-term U.S. government and agency obligations (cost $266,759,558)			$	266,766,071

Foreign Currency Forward Contracts^


	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International		04/13/12		761,210,000		$	9,195,303		$	(29,521	)
Yen with UBS AG		04/13/12		7,528,300,000			90,940,742			109,464

									$	79,943

Contracts to Sell
Yen with Goldman Sachs International		04/13/12		(22,118,920,000	)	$	(267,193,258	)	$	4,961,037
Yen with UBS AG		04/13/12		(32,537,250,000	)		(393,045,132	)		8,028,513

									$	12,989,550

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

^	The positions and counterparties herein are as of March 31, 2012. 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.

-96-

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended			Three months ended
	March 31, 2012			March 31, 2011
Investment Income
Interest	$	20,571		$	88,611

Expenses
Management fee		589,796			675,053

Total expenses		589,796			675,053

Net investment income (loss)		(569,225	)		(586,442	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		20,853,004			(17,658,241	)
Short-term U.S. government and agency obligations		(305	)		14

Net realized gain (loss)		20,852,699			(17,658,227	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		17,433,639			33,365,316
Short-term U.S. government and agency obligations		9,986			8,717

Change in net unrealized appreciation/depreciation		17,443,625			33,374,033

Net realized and unrealized gain (loss)		38,296,324			15,715,806

Net income (loss)	$	37,727,099		$	15,129,364

Net income (loss) per weighted-average share	$	6.56		$	2.51

Weighted-average shares outstanding		5,748,195			6,020,190

See accompanying notes to financial statements.

-97-

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	221,131,994

Addition of 1,850,000 shares		81,089,987
Redemption of 1,300,000 shares		(60,064,278	)

Net addition (redemption) of 550,000 shares		21,025,709


Net investment income (loss)		(569,225	)
Net realized gain (loss)		20,852,699
Change in net unrealized appreciation/depreciation		17,443,625

Net income (loss)		37,727,099

Shareholders’ equity, at March 31, 2012	$	279,884,802

See accompanying notes to financial statements.

-98-

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Cash flow from operating activities
Net income (loss)	$	37,727,099		$	15,129,364
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		(47,351,793	)		(127,428,965	)
Change in unrealized appreciation/depreciation on investments		(17,443,625	)		(33,374,033	)
Increase (Decrease) in management fee payable		40,346			113,812
Increase (Decrease) in payable for investments purchased		—			2,358,706

Net cash provided by (used in) operating activities		(27,027,973	)		(143,201,116	)

Cash flow from financing activities
Proceeds from addition of shares		87,339,721			260,369,046
Payment on shares redeemed		(60,064,278	)		(114,752,908	)

Net cash provided by (used in) financing activities		27,275,443			145,616,138

Net increase (decrease) in cash		247,470			2,415,022
Cash, beginning of period		22,338			120,494

Cash, end of period	$	269,808		$	2,535,516

See accompanying notes to financial statements.

-99-

PROSHARES ULTRAPRO SHORT YEN*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-100-

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	4,945,105	$	2,972,032
Segregated cash balances with brokers for futures contracts		79,979,184		6,303,800
Short-term U.S. government and agency obligations (Note 3) (cost $40,191,164 and $0, respectively)		40,192,216		—
Receivable from capital shares sold		—		2,469,584
Offering costs (Note 5)		14,539		21,691

Total assets		125,131,044		11,767,107

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		1,852,966
Management fee payable		139,989		4,264
Payable for offering costs		28,764		28,764
Unrealized depreciation on swap agreements		4,983,410		—

Total liabilities		5,152,163		1,885,994

Shareholders’ equity
Shareholders’ equity		119,978,881		9,881,113

Total liabilities and shareholders’ equity	$	125,131,044	$	11,767,107

Shares outstanding		8,391,512		133,335

Net asset value per share (Note 1)	$	14.30	$	74.11

Market value per share (Note 1) (Note 2)	$	14.56	$	72.96

See accompanying notes to financial statements.

-101-

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (33% of shareholders’ equity)
U.S. Treasury Bills:
0.101% due 04/19/12	$	6,512,000	$	6,511,896
0.056% due 05/03/12		690,000		689,981
0.080% due 05/24/12		374,000		373,975
0.078% due 06/07/12†		4,938,000		4,937,482
0.071% due 06/21/12†		16,224,000		16,221,750
0.077% due 06/28/12†		11,459,000		11,457,132

Total short-term U.S. government and agency obligations (cost $40,191,164)			$	40,192,216

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures—CBOE, expires April 2012		6,911	$	116,104,800	$	(23,944,000	)
VIX Futures—CBOE, expires May 2012		5,028		95,532,000		(5,446,813	)

					$	(29,390,813	)

Swap Agreements^


	Termination Date		Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Swap agreement with Societe Generale S.A. based on S&P 500 VIX Short-Term Futures Index		04/09/12	$	28,698,435	$	(4,983,410	)

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

††	Cash collateral in the amount of $79,979,184 was pledged to cover margin requirements for open futures contracts as of March 31, 2012.

^	The positions and counterparties herein are as of March 31, 2012. 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.

-102-

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


	Three months ended March 31, 2012
Investment Income
Interest	$	2,915

Expenses
Management fee		154,701
Brokerage commissions		182,674
Offering costs		7,152

Total expenses		344,527

Net investment income (loss)		(341,612	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(119,246,992	)
Short-term U.S. government and agency obligations		1,284

Net realized gain (loss)		(119,245,708	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(28,628,023	)
Swap agreements		(4,983,410	)
Short-term U.S. government and agency obligations		1,052

Change in net unrealized appreciation/depreciation		(33,610,381	)

Net realized and unrealized gain (loss)		(152,856,089	)

Net income (loss)	$	(153,197,701	)

Net income (loss) per weighted-average share (Note 1)	$	(54.02	)

Weighted-average shares outstanding (Note 1)		2,835,973

See accompanying notes to financial statements.

-103-

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	9,881,113

Addition of 12,525,000 shares		341,264,628
Redemption of 4,266,823 shares		(77,969,159	)

Net addition (redemption) of 8,258,177 shares		263,295,469


Net investment income (loss)		(341,612	)
Net realized gain (loss)		(119,245,708	)
Change in net unrealized appreciation/depreciation		(33,610,381	)

Net income (loss)		(153,197,701	)

Shareholders’ equity, at March 31, 2012	$	119,978,881

See accompanying notes to financial statements.

-104-

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


	Three months ended March 31, 2012
Cash flow from operating activities
Net income (loss)	$	(153,197,701	)
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		(73,675,384	)
Net sale (purchase) of short-term U.S. government and agency obligations		(40,191,164	)
Change in unrealized appreciation/depreciation on investments		4,982,358
Change in offering cost		7,152
Increase (Decrease) in management fee payable		135,725
Increase (Decrease) in payable on futures contracts		(1,852,966	)

Net cash provided by (used in) operating activities		(263,791,980	)

Cash flow from financing activities
Proceeds from addition of shares		343,734,212
Payment on shares redeemed		(77,969,159	)

Net cash provided by (used in) financing activities		265,765,053

Net increase (decrease) in cash		1,973,073
Cash, beginning of period		2,972,032

Cash, end of period	$	4,945,105

See accompanying notes to financial statements.

-105-

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	1,484,451	$	563,350
Segregated cash balances with brokers for futures contracts		46,182,127		—
Short-term U.S. government and agency obligations (Note 3) (cost $71,190,433 and $27,358,785, respectively)		71,192,075		27,357,824
Receivable from capital shares sold		8,124,350		1,909,463
Receivable on open futures contracts		—		742,451
Offering costs (Note 5)		—		1,090

Total assets		126,983,003		30,574,178

Liabilities and shareholders’ equity
Liabilities
Management fee payable		83,420		24,275

Total liabilities		83,420		24,275

Shareholders’ equity
Shareholders’ equity		126,899,583		30,549,903

Total liabilities and shareholders’ equity	$	126,983,003	$	30,574,178

Shares outstanding		3,575,005		400,005

Net asset value per share	$	35.50	$	76.37

Market value per share (Note 2)	$	35.77	$	75.74

See accompanying notes to financial statements.

-106-

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (56% of shareholders’ equity)
U.S. Treasury Bills:
0.018% due 04/05/12	$	5,125,000	$	5,124,994
0.060% due 04/12/12		8,244,000		8,244,000
0.097% due 04/19/12		8,961,000		8,960,857
0.011% due 05/10/12		2,133,000		2,132,917
0.079% due 05/24/12		20,256,000		20,254,623
0.071% due 06/28/12		26,479,000		26,474,684

Total short-term U.S. government and agency obligations (cost $71,190,433)			$	71,192,075

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures—CBOE, expires April 2012		4,156	$	69,820,800	$	(16,390,669	)
VIX Futures—CBOE, expires May 2012		3,021		57,399,000		(2,531,248	)

					$	(18,921,917	)

††	Cash collateral in the amount of $46,182,127 was pledged to cover margin requirements for open futures contracts as of March 31, 2012.

See accompanying notes to financial statements.

-107-

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Investment Income
Interest	$	6,804		$	3,020

Expenses
Management fee		147,269			—
Offering costs		1,090			48,242
Limitation by Sponsor		—			(21,038	)

Total expenses		148,359			27,204

Net investment income (loss)		(141,555	)		(24,184	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(42,732,137	)		(351,490	)
Short-term U.S. government and agency obligations		(146	)		4

Net realized gain (loss)		(42,732,283	)		(351,486	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(17,345,947	)		(2,482,210	)
Short-term U.S. government and agency obligations		2,603			887

Change in net unrealized appreciation/depreciation		(17,343,344	)		(2,481,323	)

Net realized and unrealized gain (loss)		(60,075,627	)		(2,832,809	)

Net income (loss)	$	(60,217,182	)	$	(2,856,993	)

Net income (loss) per weighted-average share	$	(41.66	)	$	(14.69	)

Weighted-average shares outstanding		1,445,609			194,545

See accompanying notes to financial statements.

-108-

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	30,549,903
Addition of 3,950,000 shares		197,072,717
Redemption of 775,000 shares		(40,505,855	)

Net addition (redemption) of 3,175,000 shares		156,566,862


Net investment income (loss)		(141,555	)
Net realized gain (loss)		(42,732,283	)
Change in net unrealized appreciation/depreciation		(17,343,344	)

Net income (loss)		(60,217,182	)

Shareholders’ equity, at March 31, 2012	$	126,899,583

See accompanying notes to financial statements.

-109-

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Cash flow from operating activities
Net income (loss)	$	(60,217,182	)	$	(2,856,993	)
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		(46,182,127	)		—
Net sale (purchase) of short-term U.S. government and agency obligations		(43,831,648	)		(30,338,811	)
Change in unrealized appreciation/depreciation on investments		(2,603	)		(887	)
Decrease (Increase) in receivable on futures contracts		742,451			(119,411	)
Decrease (Increase) in Limitation by Sponsor		—			(21,038	)
Change in offering cost		1,090			48,242
Increase (Decrease) in management fee payable		59,145			—

Net cash provided by (used in) operating activities		(149,430,874	)		(33,288,898	)

Cash flow from financing activities
Proceeds from addition of shares		190,857,830			47,000,781
Payment on shares redeemed		(40,505,855	)		(12,109,231	)

Net cash provided by (used in) financing activities		150,351,975			34,891,550

Net increase (decrease) in cash		921,101			1,602,652
Cash, beginning of period		563,350			400

Cash, end of period	$	1,484,451		$	1,603,052

See accompanying notes to financial statements.

-110-

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	3,685,629	$	5,521,055
Segregated cash balances with brokers for futures contracts		11,846,301		2,252,358
Short-term U.S. government and agency obligations (Note 3) (cost $33,582,854 and $0, respectively)		33,583,105		—
Offering costs (Note 5)		14,539		21,691

Total assets		49,129,574		7,795,104

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		19,383,472		—
Management fee payable		24,860		5,916
Payable for offering costs		28,764		28,764

Total liabilities		19,437,096		34,680

Shareholders’ equity
Shareholders’ equity		29,692,478		7,760,424

Total liabilities and shareholders’ equity	$	49,129,574	$	7,795,104

Shares outstanding		300,010		150,010

Net asset value per share	$	98.97	$	51.73

Market value per share (Note 2)	$	98.13	$	52.28

See accompanying notes to financial statements.

-111-

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(113% of shareholders’ equity)
U.S. Treasury Bills:
0.046% due 04/05/12	$	173,000	$	173,000
0.101% due 04/19/12		476,000		475,992
0.056% due 05/03/12		451,000		450,988
0.067% due 05/17/12		1,218,000		1,217,936
0.090% due 05/24/12		1,959,000		1,958,867
0.078% due 06/07/12		831,000		830,913
0.074% due 06/21/12		2,138,000		2,137,703
0.066% due 06/28/12		26,342,000		26,337,706

Total short-term U.S. government and agency obligations (cost $33,582,854)			$	33,583,105

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures—CBOE, expires April 2012		964	$	16,195,200	$	557,651
VIX Futures—CBOE, expires May 2012		701		13,319,000		348,079

					$	905,730

††	Cash collateral in the amount of $11,846,301 was pledged to cover margin requirements for open futures contracts as of March 31, 2012.

See accompanying notes to financial statements.

-112-

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


	Three months ended March 31, 2012
Investment Income
Interest	$	894

Expenses
Management fee		18,944
Brokerage commissions		28,829
Offering costs		7,152

Total expenses		54,925

Net investment income (loss)		(54,031	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		6,857,840
Short-term U.S. government and agency obligations		(147	)

Net realized gain (loss)		6,857,693

Change in net unrealized appreciation/depreciation on
Futures contracts		815,550
Short-term U.S. government and agency obligations		251

Change in net unrealized appreciation/depreciation		815,801

Net realized and unrealized gain (loss)		7,673,494

Net income (loss)	$	7,619,463

Net income (loss) per weighted-average share	$	50.42

Weighted-average shares outstanding		151,109

See accompanying notes to financial statements.

-113-

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	7,760,424

Addition of 1,250,000 shares		101,916,545
Redemption of 1,100,000 shares		(87,603,954	)

Net addition (redemption) of 150,000 shares		14,312,591


Net investment income (loss)		(54,031	)
Net realized gain (loss)		6,857,693
Change in net unrealized appreciation/depreciation		815,801

Net income (loss)		7,619,463

Shareholders’ equity, at March 31, 2012	$	29,692,478

See accompanying notes to financial statements.

-114-

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


	Three months ended March 31, 2012
Cash flow from operating activities
Net income (loss)	$	7,619,463
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		(9,593,943	)
Net sale (purchase) of short-term U.S. government and agency obligations		(33,582,854	)
Change in unrealized appreciation/depreciation on investments		(251	)
Change in offering cost		7,152
Increase (Decrease) in management fee payable		18,944

Net cash provided by (used in) operating activities		(35,531,489	)

Cash flow from financing activities
Proceeds from addition of shares		101,916,545
Payment on shares redeemed		(68,220,482	)

Net cash provided by (used in) financing activities		33,696,063

Net increase (decrease) in cash		(1,835,426	)
Cash, beginning of period		5,521,055

Cash, end of period	$	3,685,629

See accompanying notes to financial statements.

-115-

PROSHARES ULTRASHORT VIX SHORT-TERM FUTURES ETF*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	400	$	400
Offering costs (Note 5)		18,478		18,478

Total assets		18,878		18,878

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		18,478		18,478

Total liabilities		18,478		18,478

Shareholders’ equity
Shareholders’ equity	$	400	$	400

Total liabilities and shareholders’ equity	$	18,878	$	18,878

*	See Note 1.

See accompanying notes to financial statements.

-116-

PROSHARES ULTRA VIX MID-TERM FUTURES ETF*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	400	$	400
Offering costs (Note 5)		18,478		18,478

Total assets		18,878		18,878

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		18,478		18,478

Total liabilities		18,478		18,478

Shareholders’ equity
Shareholders’ equity	$	400	$	400

Total liabilities and shareholders’ equity	$	18,878	$	18,878

*	See Note 1.

See accompanying notes to financial statements.

-117-

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	1,137,175	$	627,557
Segregated cash balances with brokers for futures contracts		26,948,953		—
Short-term U.S. government and agency obligations (Note 3) (cost $74,104,612 and $89,398,343, respectively)		74,104,759		89,392,389
Receivable on open futures contracts		—		798,319
Offering costs (Note 5)		—		682
Limitation by Sponsor		—		2,481

Total assets		102,190,887		90,821,428

Liabilities and shareholders’ equity
Liabilities
Management fee payable		81,412		—

Total liabilities		81,412		—

Shareholders’ equity
Shareholders’ equity		102,109,475		90,821,428

Total liabilities and shareholders’ equity	$	102,190,887	$	90,821,428

Shares outstanding		1,825,005		1,225,005

Net asset value per share	$	55.95	$	74.14

Market value per share (Note 2)	$	56.74	$	74.13

See accompanying notes to financial statements.

-118-

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(73% of shareholders’ equity)
U.S. Treasury Bills:
0.047% due 04/05/12	$	3,635,000	$	3,634,996
0.106% due 04/19/12		11,169,000		11,168,822
0.056% due 05/03/12		383,000		382,990
0.011% due 05/10/12		36,731,000		36,729,568
0.090% due 05/24/12		1,471,000		1,470,900
0.076% due 06/07/12		14,819,000		14,817,445
0.072% due 06/28/12		5,901,000		5,900,038

Total short-term U.S. government and agency obligations (cost $74,104,612)			$	74,104,759


Futures Contracts Purchased††
	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures—CBOE, expires July 2012		825	$	18,191,250	$	(2,924,950	)
VIX Futures—CBOE, expires August 2012		1,424		33,321,600		(4,330,050	)
VIX Futures—CBOE, expires September 2012		1,424		35,172,800		(3,556,800	)
VIX Futures—CBOE, expires October 2012		600		15,450,000		(342,550	)

					$	(11,154,350	)

††	Cash collateral in the amount of $26,948,953 was pledged to cover margin requirements for open futures contracts as of March 31, 2012.

See accompanying notes to financial statements.

-119-

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Investment Income
Interest	$	6,086		$	1,277

Expenses
Management fee		210,264			—
Offering costs		682			30,151
Limitation by Sponsor		—			(17,565	)

Total expenses		210,946			12,586

Net investment income (loss)		(204,860	)		(11,309	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(22,417,600	)		(688,250	)
Short-term U.S. government and agency obligations		(2,490	)		59

Net realized gain (loss)		(22,420,090	)		(688,191	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(5,041,600	)		(83,130	)
Short-term U.S. government and agency obligations		6,101			349

Change in net unrealized appreciation/depreciation		(5,035,499	)		(82,781	)

Net realized and unrealized gain (loss)		(27,455,589	)		(770,972	)

Net income (loss)	$	(27,660,449	)	$	(782,281	)

Net income (loss) per weighted-average share	$	(18.31	)	$	(8.98	)

Weighted-average shares outstanding		1,510,994			87,074

See accompanying notes to financial statements.

-120-

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	90,821,428

Addition of 800,000 shares		52,467,040
Redemption of 200,000 shares		(13,518,544	)

Net addition (redemption) of 600,000 shares		38,948,496


Net investment income (loss)		(204,860	)
Net realized gain (loss)		(22,420,090	)
Change in net unrealized appreciation/depreciation		(5,035,499	)

Net income (loss)		(27,660,449	)

Shareholders’ equity, at March 31, 2012	$	102,109,475

See accompanying notes to financial statements.

-121-

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Cash flow from operating activities
Net income (loss)	$	(27,660,449	)	$	(782,281	)
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		(26,948,953	)		—
Net sale (purchase) of short-term U.S. government and agency obligations		15,293,731			(6,392,338	)
Change in unrealized appreciation/depreciation on investments		(6,101	)		(349	)
Decrease (Increase) in receivable on futures contracts		798,319			(22,133	)
Decrease (Increase) in Limitation by Sponsor		2,481			(17,565	)
Change in offering cost		682			30,151
Increase (Decrease) in management fee payable		81,412			—
Increase (Decrease) in payable for investments purchased		—			159,980

Net cash provided by (used in) operating activities		(38,438,878	)		(7,024,535	)

Cash flow from financing activities
Proceeds from addition of shares		52,467,040			11,228,874
Payment on shares redeemed		(13,518,544	)		(3,707,360	)

Net cash provided by (used in) financing activities		38,948,496			7,521,514

Net increase (decrease) in cash		509,618			496,979
Cash, beginning of period		627,557			400

Cash, end of period	$	1,137,175		$	497,379

See accompanying notes to financial statements.

-122-

PROSHARES SHORT VIX MID-TERM FUTURES ETF*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	400	$	400
Offering costs (Note 5)		18,478		18,478

Total assets		18,878		18,878

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		18,478		18,478

Total liabilities		18,478		18,478

Shareholders’ equity
Shareholders’ equity	$	400	$	400

Total liabilities and shareholders’ equity	$	18,878	$	18,878

*	See Note 1.

See accompanying notes to financial statements.

-123-

PROSHARES ULTRASHORT VIX MID-TERM FUTURES ETF*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	400	$	400
Offering costs (Note 5)		18,478		18,478

Total assets		18,878		18,878

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		18,478		18,478

Total liabilities		18,478		18,478

Shareholders’ equity
Shareholders’ equity	$	400	$	400

Total liabilities and shareholders’ equity	$	18,878	$	18,878

*	See Note 1.

See accompanying notes to financial statements.

-124-

PROSHARES MANAGED FUTURES STRATEGY*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		90,800		90,800

Total assets		91,000		91,000

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		90,800		90,800

Total liabilities		90,800		90,800

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	91,000	$	91,000

*	See Note 1.

See accompanying notes to financial statements.

-125-

PROSHARES COMMODITY MANAGED FUTURES STRATEGY*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		62,100		62,100

Total assets		62,300		62,300

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		62,100		62,100

Total liabilities		62,100		62,100

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	62,300	$	62,300

*	See Note 1.

See accompanying notes to financial statements.

-126-

PROSHARES FINANCIAL MANAGED FUTURES STRATEGY*

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		62,100		62,100

Total assets		62,300		62,300

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		62,100		62,100

Total liabilities		62,100		62,100

Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	62,300	$	62,300

*	See Note 1.

See accompanying notes to financial statements.

-127-

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION


	March 31, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	17,678,713	$	19,145,045
Segregated cash balances with brokers for futures contracts		202,435,783		34,136,628
Short-term U.S. government and agency obligations (Note 3) (cost $3,421,925,588 and $3,314,826,965, respectively)		3,421,996,587		3,314,757,692
Unrealized appreciation on swap agreements		3,001,383		3,215,991
Unrealized appreciation on forward agreements		9,090,996		76,417,081
Unrealized appreciation on foreign currency forward contracts		13,363,063		67,533,681
Receivable from capital shares sold		34,932,827		62,130,059
Receivable on open futures contracts		785,267		2,247,035
Limitation by Sponsor		—		2,481
Offering costs (Note 5)		1,452,566		1,481,880

Total assets		3,704,737,185		3,581,067,573

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		39,628,195		20,503,124
Payable on open futures contracts		—		1,852,966
Management fee payable		3,018,786		2,597,445
Payable for offering costs		1,507,202		1,507,202
Unrealized depreciation on swap agreements		12,404,490		10,714,573
Unrealized depreciation on forward agreements		50,876,976		260,163,053
Unrealized depreciation on foreign currency forward contracts		31,283,563		4,882,358

Total liabilities		138,719,212		302,220,721

Shareholders’ equity
Shareholders’ equity		3,566,017,973		3,278,846,852

Total liabilities and shareholders’ equity	$	3,704,737,185	$	3,581,067,573

Shares outstanding		108,568,842		103,835,665

See accompanying notes to financial statements.

-128-

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Investment Income
Interest	$	214,629		$	718,124

Expenses
Management fee		8,103,425			5,515,811
Brokerage commissions		256,973			49,884
Offering costs		29,314			78,393
Limitation by Sponsor		—			(38,603	)

Total expenses		8,389,712			5,605,485

Net investment income (loss)		(8,175,083	)		(4,887,361	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(178,348,949	)		19,213,375
Swap agreements		11,553,186			53,020,276
Forward agreements		(58,982,945	)		189,919,287
Foreign currency forward contracts		58,990,807			(78,733,178	)
Short-term U.S. government and agency obligations		(5,351	)		9,897

Net realized gain (loss)		(166,793,252	)		183,429,657

Change in net unrealized appreciation/depreciation on
Futures contracts		(54,643,220	)		17,032,830
Swap agreements		(1,904,525	)		(7,263,622	)
Forward agreements		141,959,992			19,376,380
Foreign currency forward contracts		(80,571,823	)		37,170,390
Short-term U.S. government and agency obligations		140,272			40,851

Change in net unrealized appreciation/depreciation		4,980,696			66,356,829

Net realized and unrealized gain (loss)		(161,812,556	)		249,786,486

Net income (loss)	$	(169,987,639	)	$	244,899,125

See accompanying notes to financial statements.

-129-

PROSHARES TRUST II

COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	3,278,846,852

Addition of 35,585,000 shares		1,454,326,513
Redemption of 30,851,823 shares		(997,167,753	)

Net addition (redemption) of 4,733,177 shares		457,158,760


Net investment income (loss)		(8,175,083	)
Net realized gain (loss)		(166,793,252	)
Change in net unrealized appreciation/depreciation		4,980,696

Net income (loss)		(169,987,639	)

Shareholders’ equity, at March 31, 2012	$	3,566,017,973

See accompanying notes to financial statements.

-130-

PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2012 AND 2011

(unaudited)


	Three months ended March 31, 2012			Three months ended March 31, 2011
Cash flow from operating activities
Net income (loss)	$	(169,987,639	)	$	244,899,125
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		(168,299,155	)		(8,691,509	)
Net sale (purchase) of short-term U.S. government and agency obligations		(107,098,623	)		(645,886,827	)
Change in unrealized appreciation/depreciation on investments		(59,623,916	)		(49,323,999	)
Decrease (Increase) in receivable on futures contracts		1,461,768			(1,650,252	)
Decrease (Increase) in offering cost		—			(41,514	)
Change in offering cost		29,314			78,393
Decrease (Increase) in Limitation by Sponsor		2,481			(38,603	)
Increase (Decrease) in management fee payable		421,341			494,144
Increase (Decrease) in payable for investments purchased		–			138,077,795
Increase (Decrease) in payable on futures contracts		(1,852,966	)		1,589,649
Increase (Decrease) in payable for offering costs		—			41,514

Net cash provided by (used in) operating activities		(504,947,395	)		(320,452,084	)

Cash flow from financing activities
Proceeds from addition of shares		1,481,523,745			1,470,732,258
Payment on shares redeemed		(978,042,682	)		(1,012,564,545	)

Net cash provided by (used in) financing activities		503,481,063			458,167,713

Net increase (decrease) in cash		(1,466,332	)		137,715,629
Cash, beginning of period		19,145,045			13,024,692

Cash, end of period	$	17,678,713		$	150,740,321

See accompanying notes to financial statements.

-131-

PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

March 31, 2012

(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 eighteen series of the Trust: (i) ProShares Ultra DJ-UBS Commodity, ProShares UltraShort DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Crude Oil, ProShares Ultra DJ-UBS Natural Gas, ProShares UltraShort DJ-UBS Natural Gas, 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”); (ii) ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iii) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”), issue common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Leveraged Fund, Geared VIX Fund or Matching VIX Fund. The Shares of each Leveraged Fund, Geared VIX Fund and Matching VIX Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”).

The Trust has also registered shares for thirty-five additional series: (i) ProShares Short DJ-UBS Natural Gas and ProShares Short Gold (each, a “Short Fund” and collectively, the “Short Funds”); (ii) 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 (each, a “New Geared VIX Fund” and collectively, the “New Geared VIX Funds”); (iii) ProShares Managed Futures Strategy, ProShares Commodity Managed Futures Strategy and ProShares Financial Managed Futures Strategy (each, a “Managed Futures Fund” and collectively, the “Managed Futures Funds”); (iv) ProShares UltraPro Australian Dollar, ProShares Ultra Australian Dollar, ProShares Short Australian Dollar, ProShares UltraShort Australian Dollar, ProShares UltraPro Short Australian Dollar, ProShares UltraPro Canadian Dollar, ProShares Ultra Canadian Dollar, ProShares Short Canadian Dollar, ProShares UltraShort Canadian Dollar, ProShares UltraPro Short Canadian Dollar, ProShares UltraPro Euro, ProShares Short Euro, ProShares UltraPro Short Euro, ProShares UltraPro Swiss Franc, ProShares Ultra Swiss Franc, ProShares Short Swiss Franc, ProShares UltraShort Swiss Franc, ProShares UltraPro Short Swiss Franc, ProShares UltraPro Yen, ProShares Short Yen and ProShares UltraPro Short Yen (each, a “New Currency Fund” and collectively, the “New Currency Funds”); and (v) ProShares UltraPro U.S. Dollar, ProShares Ultra U.S. Dollar, ProShares Short U.S. Dollar, ProShares UltraShort U.S. Dollar and ProShares UltraPro Short U.S. Dollar (each, a “Currency Index Fund” and collectively, the “Currency Index Funds”). The Short Funds, the New Geared VIX Funds, the Managed Futures Funds, the New Currency Funds and the Currency Index Funds are collectively referred to as the “New Funds” in these Notes to Financial Statements. The Geared VIX Funds, the New Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements. The Leveraged Funds, the Geared VIX Funds, the Short Funds, the New Geared VIX Funds, the New Currency Funds and the Currency Index Funds are collectively referred to as the “Geared Funds” in these Notes to Financial Statements.

As of March 31, 2012, each of the New Funds had seed capital, but none of the New 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 New Funds.

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 at an aggregate purchase price of $350 in each of the following 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 Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares Ultra Euro, ProShares UltraShort Euro, ProShares Ultra Yen and ProShares UltraShort Yen.

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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. Two of the Funds, ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF, commenced trading on the NYSE Arca on January 3, 2011. Two of the Funds, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF, commenced trading on the NYSE Arca on October 3, 2011. Two of the Funds, ProShares Ultra DJ-UBS Natural Gas and ProShares UltraShort DJ-UBS Natural Gas, commenced trading on the NYSE Arca on October 4, 2011. As of March 31, 2012, the New Funds had not yet commenced trading.

Groups of Funds are collectively referred to in several different ways. References to “UltraPro Funds,” “Ultra Funds,” “Short Funds,” “UltraShort Funds” or “UltraPro Short 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,” “Currency Index 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. References to “Managed Futures Funds” refer to the different Funds according to which index the Fund intends to gain exposure.

Each “UltraPro” Fund will seek daily investment results (before fees and expenses) that correspond to three times (3x) the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks or will seek daily investment results (before fees and expenses) that correspond to twice (2x) the daily performance of its corresponding benchmark. Each “Short” Fund seeks or will seek daily investment results (before fees and expenses) that correspond to the inverse (-1x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks or will seek daily investment results (before fees and expenses) that correspond to twice the inverse (-2x) of the daily performance of its corresponding benchmark. Each “UltraPro Short” Fund will seek daily investment results (before fees and expenses) that correspond to three times the inverse (-3x) of the daily performance of its corresponding benchmark. Daily performance is measured from the calculation of one NAV to the next. Each of the Geared Funds generally invests or will invest in Financial Instruments (i.e., commodity-based, currency-based or equity market volatility-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 commodities, currencies, or equity market volatility products in order to gain exposure to the commodity index, currency benchmark, commodity, currency or to an equity market volatility index. 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 Matching VIX Fund seeks daily investment results (before fees and expenses) that match the performance of a benchmark. Each Geared VIX Fund and each New Geared VIX Fund seeks or will seek daily investment results (before fees and expenses) that correspond to a multiple or the inverse of the daily performance of a benchmark. Each VIX Fund intends to obtain exposure to its benchmark by investing primarily in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“CBOE”) Volatility Index (the “VIX”). The Managed Futures Funds will seek to provide investment results (before fees and expenses) that correspond to the performance of the S&P Dynamic Futures Index (the “DFI” or the “Index”), the S&P Dynamic Commodities Futures Index (the “DCFI”) or the S&P Dynamic Financial Futures Index (the “DFFI”) (each a “Sub-Index” and collectively, the “Sub-Indexes”). Each Managed Futures Fund intends to obtain exposure to the Index or to a Sub-Index, as applicable, by primarily investing in unleveraged positions in U.S. exchange-traded futures contracts on sixteen different tangible commodities (the “Commodities Futures Contracts”) or futures contracts on eight different financials, such as major currencies and U.S. Treasury securities (the “Financials Futures Contracts” and together with the Commodities Futures Contracts, the “Index Components”).

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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., 3x, 2x, -1, -2x or -3x) of the period return of the corresponding benchmark and will likely differ significantly. The Matching VIX Funds seek to achieve their stated investment objective both over a single day and over time. The Managed Futures Funds seek to achieve their stated investment objective over time.

ProShares Ultra DJ-UBS Commodity, ProShares UltraShort DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Crude Oil, ProShares Ultra DJ-UBS Natural Gas and ProShares UltraShort DJ-UBS Natural Gas 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

Effective Monday, January 2, 2012, the official name for the Dow Jones-UBS Crude Oil Sub-Index^SM (Ticker: DJUBSCL) changed to the Dow Jones-UBS WTI Crude Oil Sub-Index^SM. The ticker did not change as a result of the name change.

Share Splits and Reverse Share Splits

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.

Prior to the opening of trading on the NYSE Arca on October 13, 2011, ProShares Ultra Silver executed a 2-for-1 split of shares and ProShares UltraShort Yen executed a 1-for-3 reverse split of shares. The funds traded at their post-split prices on October 13, 2011. The ticker symbols for the funds did not change, and they continue to trade on the NYSE Arca.

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Prior to the opening of trading on the NYSE Arca on March 8, 2012, ProShares Ultra VIX Short-Term Futures ETF executed a 1-for-6 reverse split of shares. The fund traded at its post-split price on March 8, 2012. The ticker symbol for the fund did not change, and it continues 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 ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Crude Oil, ProShares UltraShort Yen and ProShares Ultra VIX Short-Term Futures ETF, and resulted in a proportionate increase in the price per share and per share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the split.

The split was applied retroactively for all periods presented, increasing the number of shares outstanding for ProShares Ultra Silver, and resulted in a proportionate decrease in the price per share and per share information of ProShares Ultra Silver Fund. Therefore, the split 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, as applicable, 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 Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2011, as filed with the SEC on February 29, 2012.

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, 2012, and represents non-segregated cash with the custodian and does not include short-term investments.

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Final Net Asset Value for Fiscal Period

The times of the calculation of the Leveraged Funds’, the Geared VIX Funds’ and the Matching VIX Funds’ final net asset value for creation and redemption of fund shares for the three months ended March 31, 2012 were as follows. All times are Eastern Standard 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’, the Geared VIX Funds’ and the Matching 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, 2012.

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, the Geared VIX Funds and the Matching 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’, Geared VIX Funds’ and Matching VIX Funds’ final creation/redemption NAV for the three months ended March 31, 2012.

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. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.

Derivatives (futures contracts, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold 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. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. 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. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

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Fair value pricing may require subjective determinations about the value of an investment. While the Leveraged Funds’, the Geared VIX Funds’ and the Matching VIX Funds’ policies are intended to result in a calculation of a Leveraged Funds’, a Geared VIX Funds’ or a Matching VIX Funds’ NAV that fairly reflects investment values as of the time of pricing, a Leveraged Fund, a Geared VIX Fund or a Matching 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, a Geared VIX Fund or a Matching 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 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.

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The following table summarizes the valuation of investments at March 31, 2012 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	$	9,341,730	$	—		$	—		$	—		$	(285,852	)	$	9,055,878
UltraShort DJ-UBS Commodity		8,509,788		—			—			—			209,663			8,719,451
Ultra DJ-UBS Crude Oil		252,974,215		4,852,130			—			—			(7,135,228	)		250,691,117
UltraShort DJ-UBS Crude Oil		158,856,244		(801,130	)		—			—			2,791,720			160,846,834
Ultra DJ-UBS Natural Gas		25,917,041		(16,368,820	)		—			—			—			9,548,221
UltraShort DJ-UBS Natural Gas		15,117,758		7,311,970			—			—			—			22,429,728
Ultra Gold		390,588,955		(4,100	)		(4,411,946	)		—			—			386,172,909
UltraShort Gold		146,599,245		4,100			370,985			—			—			146,974,330
Ultra Silver		883,365,264		(13,810	)		(46,465,030	)		—			—			836,886,424
UltraShort Silver		182,020,783		13,810			8,720,011			—			—			190,754,604
Ultra Euro		7,154,497		—			—			293,570			—			7,448,067
UltraShort Euro		850,875,204		—			—			(31,057,598	)		—			819,817,606
Ultra Yen		4,837,637		—			—			(225,965	)		—			4,611,672
UltraShort Yen		266,766,071		—			—			13,069,493			—			279,835,564
Ultra VIX Short-Term Futures ETF		40,192,216		(29,390,813	)		—			—			(4,983,410	)		5,817,993
VIX Short-Term Futures ETF		71,192,075		(18,921,917	)		—			—			—			52,270,158
Short VIX Short-Term Futures ETF		33,583,105		905,730			—			—			—			34,488,835
VIX Mid-Term Futures ETF		74,104,759		(11,154,350	)		—			—			—			62,950,409

Total Trust	$	3,421,996,587	$	(63,567,200	)	$	(41,785,980	)	$	(17,920,500	)	$	(9,403,107	)	$	3,289,319,800

At March 31, 2012, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

At March 31, 2012, there were no 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, 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	$	9,713,685	$	—		$	—		$	—		$	(707,177	)	$	9,006,508
UltraShort DJ-UBS Commodity		8,534,690		—			—			—			570,751			9,105,441
Ultra DJ-UBS Crude Oil		246,919,569		(1,365,330	)		—			—			(10,007,396	)		235,546,843
UltraShort DJ-UBS Crude Oil		131,934,193		247,040			—			—			2,645,240			134,826,473
Ultra DJ-UBS Natural Gas		—		(825,510	)		—			—			—			(825,510	)
UltraShort DJ-UBS Natural Gas		2,621,684		1,381,010			—			—			—			4,002,694
Ultra Gold		399,317,740		(41,660	)		(80,836,280	)		—			—			318,439,800
UltraShort Gold		164,673,175		41,800			33,401,358			—			—			198,116,333
Ultra Silver		771,925,669		(60,850	)		(179,326,773	)		—			—			592,538,046
UltraShort Silver		215,352,919		60,850			43,015,723			—			—			258,429,492
Ultra Euro		10,068,707		—			—			(518,212	)		—			9,550,495
UltraShort Euro		1,012,174,281		—			—			67,430,954			—			1,079,605,235
Ultra Yen		5,366,875		—			—			102,727			—			5,469,602
UltraShort Yen		219,404,292		—			—			(4,364,146	)		—			215,040,146
Ultra VIX Short-Term Futures ETF		—		(762,790	)		—			—			—			(762,790	)
VIX Short-Term Futures ETF		27,357,824		(1,575,970	)		—			—			—			25,781,854
Short VIX Short-Term Futures ETF		—		90,180			—			—			—			90,180
VIX Mid-Term Futures ETF		89,392,389		(6,112,750	)		—			—			—			83,279,639

Total Trust	$	3,314,757,692	$	(8,923,980	)	$	(183,745,972	)	$	62,651,323		$	(7,498,582	)	$	3,177,240,481

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

At December 31, 2011, there were no 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.

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 Fund pays or will pay 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 three months ended March 31, 2012, the Sponsor paid and is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds.

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, 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.

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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.

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 Funds that enter into futures contracts maintain collateral at the broker in the form of U.S. Treasury securities and cash. These U.S. Treasury 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.

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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 UltraPro Fund or an Ultra Fund, the UltraPro Fund or 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 or an UltraPro Short Fund, the UltraShort Fund or the UltraPro Short 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 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 in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at March 31, 2012 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, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated tri-party 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 withdrawal of this collateral from the segregated account and may incur certain costs 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 reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

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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 approximately 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 the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, 2012, the collateral posted by counterparties consisted of cash.

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.

Forward contracts are, in general, not cleared or guaranteed by a third party. The Funds may collateralize forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated tri-party 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 withdrawal of this collateral from the segregated account and may incur certain costs 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 reorganizational 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 approximately 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 the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, 2012, the collateral posted by counterparties consisted of cash.

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.

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Fair Value of Derivative Instruments

as of March 31, 2012

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 UltraShort DJ-UBS Commodity

ProShares Ultra DJ-UBS Crude Oil

ProShares UltraShort DJ-UBS Crude Oil

ProShares UltraShort DJ-UBS Natural Gas

ProShares UltraShort Gold

ProShares UltraShort Silver

209,663

4,852,130

2,791,720

7,311,970

562,948

8,733,821

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

ProShares Ultra DJ-UBS Commodity

ProShares Ultra DJ-UBS Crude Oil

ProShares UltraShort DJ-UBS Crude Oil

ProShares Ultra DJ-UBS Natural Gas

ProShares Ultra Gold

ProShares UltraShort Gold

ProShares Ultra Silver

285,852

7,135,228

801,130

16,368,820

4,416,046

187,863

46,478,840

Foreign Exchange Contracts

Unrealized
appreciation
on foreign
currency
forward
contracts

ProShares Ultra Euro

ProShares UltraShort Euro

ProShares Ultra Yen

ProShares UltraShort Yen

342,073

2,356,849

1,161

13,099,014

Unrealized
depreciation
on foreign
currency
forward
contracts

ProShares Ultra Euro

ProShares UltraShort Euro

ProShares Ultra Yen

ProShares UltraShort Yen

48,503

33,414,447

227,126

29,521

VIX Futures Contracts

Receivables
on open
futures
contracts

ProShares Short VIX Short-Term Futures ETF

905,730

Payable on
open
futures
contracts
and swap
agreements

ProShares Ultra VIX Short-Term Futures ETF

ProShares VIX Short-Term Futures ETF

ProShares Short VIX Mid-Term Futures ETF

34,374,223

18,921,917

11,154,350

Total Trust

41,167,079

Total Trust

173,843,866

*	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.

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Fair Value of Derivative Instruments

as of December 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 UltraShort DJ-UBS Commodity

ProShares UltraShort DJ-UBS Crude Oil

ProShares UltraShort DJ-UBS Natural Gas

ProShares UltraShort Gold

ProShares UltraShort Silver

570,751

3,145,557

1,381,010

33,443,158

45,078,871

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

ProShares Ultra DJ-UBS Commodity

ProShares Ultra DJ-UBS Crude Oil

ProShares UltraShort DJ-UBS Crude Oil

ProShares Ultra DJ-UBS Natural Gas

ProShares Ultra Gold

ProShares Ultra Silver

ProShares UltraShort Silver

707,177

11,372,726

253,277

825,510

80,877,940

179,387,623

2,002,298

Foreign Exchange Contracts

Unrealized
appreciation
on foreign
currency
forward
contracts

ProShares Ultra Euro

ProShares UltraShort Euro

ProShares Ultra Yen

ProShares UltraShort Yen

6,850

69,475,850

103,610

234,106

Unrealized
depreciation
on foreign
currency
forward
contracts

ProShares Ultra Euro

ProShares UltraShort Euro

ProShares Ultra Yen

ProShares UltraShort Yen

525,062

2,044,896

883

4,598,252

VIX Futures Contracts

Receivables
on open
futures
contracts

ProShares Ultra VIX Short-Term Futures ETF

ProShares VIX Short-Term Futures ETF

ProShares Short VIX Short-Term Futures ETF

ProShares VIX Mid-Term Futures ETF

141,600

295,500

181,280

93,000

Payable on
open
futures
contracts

ProShares Ultra VIX Short-Term Futures ETF

ProShares VIX Short-Term Futures ETF

ProShares Short VIX Short-Term Futures ETF

ProShares VIX Mid-Term Futures ETF

904,390

1,871,470

91,100

6,205,750

Total Trust

154,151,143

Total Trust

291,668,354

*	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.

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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended March 31, 2012


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 ProShares UltraShort DJ-UBS Commodity ProShares Ultra DJ-UBS Crude Oil ProShares UltraShort DJ-UBS Crude Oil ProShares Ultra DJ-UBS Natural Gas ProShares UltraShort DJ-UBS Natural Gas ProShares Ultra Gold ProShares UltraShort Gold ProShares Ultra Silver ProShares UltraShort Silver	$	(322,448 74,310 15,544,135 (3,831,611 (5,158,571 4,437,111 (29,858,796 (1,545,985 8,106,450 (35,684,414	) ) ) ) ) )	$	421,325 (361,088 9,089,628 (901,690 (15,543,310 5,930,960 76,461,894 (33,068,073 132,908,783 (34,342,752	) ) ) ) )








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 ProShares UltraShort Euro ProShares Ultra Yen ProShares UltraShort Yen		(249,576 38,812,588 (425,209 20,853,004	) )		811,782 (98,488,552 (328,692 17,433,639	) )




VIX Futures Contracts	Net realized gain (loss) on futures contracts/changes in unrealized appreciation/depreciation on futures contracts and swap agreements	ProShares Ultra VIX Short-Term Futures ETF ProShares VIX Short-Term Futures ETF ProShares Short VIX Short-Term Futures ETF ProShares VIX Mid-Term Futures ETF		(119,246,992 (42,732,137 6,857,840 (22,417,600	) ) )		(33,611,433 (17,345,947 815,550 (5,041,600	) ) )



		Total Trust	$	(166,787,901	)	$	4,840,424

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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 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	$	3,204,121 (384,313 82,184,427 (13,935,229 8,021,411 (7,953,387 273,344,461 (81,288,813	) ) ) )	$	(1,431,654 83,134 4,870,260 2,781,458 (1,473,077 681,093 24,955,545 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 ProShares UltraShort Euro ProShares Ultra Yen ProShares UltraShort Yen		918,369 (62,149,035 155,729 (17,658,241	) )		33,773 4,173,710 (402,409 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 ProShares VIX Mid-Term Futures ETF		(351,490 (688,250	) )		(2,482,210 (83,130	) )


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

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NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged Fund, Geared VIX Fund and Managed Futures 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’ and VIX Funds’ operations, the Sponsor did not charge its fee in an amount equal to the organization and offering costs. The Sponsor reimbursed or will reimburse each Leveraged Fund, Geared VIX Fund and Managed Futures Fund, if applicable, to the extent that its offering costs exceeded or exceed 0.95% of its average daily NAV of each Fund for the first year of operations. Each Matching 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 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 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 three months ended March 31, 2012, the Sponsor paid and is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds. Each Fund incurs and pays, and each New 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 the 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.

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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 Fund pays or 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 Management Fee in the first year of operations of each Leveraged Fund, Geared VIX Fund or Matching VIX Fund in an amount equal to the organization and offering costs. The Sponsor reimbursed or will reimburse each Fund to the extent that its organization and offering costs exceeded 0.95% of each Leveraged Fund’s, Geared VIX Fund’s or Managed Futures Fund’s and 0.85% of each Matching VIX Fund’s average daily NAV for the first year of operations.

Offering costs on the New Funds will be amortized over a twelve month period on a straight-line basis. The Sponsor will not charge its Management Fee in the first year of operations of each New Fund 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 0.95%, of its average daily NAV for the first year of operations. At March 31, 2012, amounts payable for offering costs are reflected in the Statement of Financial Condition for each New Fund.

NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS

Each Fund issues and redeems or will issue and redeem shares from time to time, but only in one or more Creation Units. A Creation Unit is or will be a block of 50,000 Shares of a Geared Fund or a Managed Futures Fund and 25,000 Shares of a Matching 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 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 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.

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Authorized Participants may pay a fixed transaction fee of up to $500 in connection with each order to create or redeem a Creation Unit in order to compensate BBH&Co., as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.

Transaction fees for the three months ended March 31, 2012, which 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, 2012
Ultra DJ-UBS Commodity	$	—
UltraShort DJ-UBS Commodity		—
Ultra DJ-UBS Crude Oil		51,652
UltraShort DJ-UBS Crude Oil		30,994
Ultra DJ-UBS Natural Gas		5,540
UltraShort DJ-UBS Natural Gas		2,364
Ultra Gold		15,413
UltraShort Gold		3,584
Ultra Silver		48,324
UltraShort Silver		67,654
Ultra Euro		—
UltraShort Euro		—
Ultra Yen		—
UltraShort Yen		—
Ultra VIX Short-Term Futures		97,822
VIX Short-Term Futures		—
Short VIX Short-Term Futures		22,326
VIX Mid-Term Futures		—

Total Trust	$	345,673

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NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended March 31, 2012:

Ultra ProShares

For the Three Months Ended March 31, 2012 (unaudited)


Per Share Operating Performance	Ultra DJ- UBS Commodity			Ultra DJ- UBS Crude Oil			Ultra DJ- UBS Natural Gas^^			Ultra Gold			Ultra Silver			Ultra Euro			Ultra Yen
Net asset value, at December 31, 2011	$	25.8805		$	40.8828		$	101.9786		$	75.9066		$	43.1903		$	23.8860		$	36.4704

Net investment income (loss)		(0.0629	)		(0.1023	)		(0.1657	)		(0.2085	)		(0.1297	)		(0.0565	)		(0.0787	)
Net realized and unrealized gain (loss)		0.2837			2.0318			(64.1194	)		12.0919			11.8333			1.4163			(5.0241	)
Change in net asset value from operations		0.2208			1.9295			(64.2851	)		11.8834			11.7036			1.3598			(5.1028	)
Net asset value, at March 31, 2012	$	26.1013		$	42.8123		$	37.6935		$	87.7900		$	54.8939		$	25.2458		$	31.3676

Market value per share, at December 31, 2011†	$	25.64		$	40.94		$	101.35		$	79.01		$	41.65		$	23.87		$	36.50
Market value per share, at March 31, 2012†	$	25.90		$	42.91		$	37.40		$	88.40		$	54.46		$	25.21		$	31.36

Total Return, at net asset value^		0.9	%		4.7	%		(63.0	)%		15.7	%		27.1	%		5.7	%		(14.0	)%
Total Return, at market value^		1.0	%		4.8	%		(63.1	)%		11.9	%		30.8	%		5.6	%		(14.1	)%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.96	)%		(1.23	)%		(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	)%		(0.95	)%
Net investment income (loss)		(0.93	)%		(0.94	)%		(1.20	)%		(0.92	)%		(0.92	)%		(0.93	)%		(0.92	)%

^^	See Note 10 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, 2012.

**	Percentages are annualized.

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UltraShort ProShares

For the Three Months Ended March 31, 2012 (unaudited)


Per Share Operating Performance	UltraShort DJ-UBS Commodity			UltraShort DJ-UBS Crude Oil			UltraShort DJ-UBS Natural Gas^^			UltraShort Gold			UltraShort Silver^^			UltraShort Euro			UltraShort Yen
Net asset value, at December 31, 2011	$	56.9207		$	38.8151		$	23.8053		$	20.6779		$	76.6771		$	20.3357		$	40.9557

Net investment income (loss)		(0.1219	)		(0.0823	)		(0.1081	)		(0.0389	)		(0.1245	)		(0.0457	)		(0.0990	)
Net realized and unrealized gain (loss)		(1.7902	)		(3.4880	)		25.2447			(3.7038	)		(24.1170	)		(1.3187	)		6.1883
Change in net asset value from operations		(1.9121	)		(3.5703	)		25.1366			(3.7427	)		(24.2415	)		(1.3644	)		6.0893
Net asset value, at March 31, 2012	$	55.0086		$	35.2448		$	48.9419		$	16.9352		$	52.4356		$	18.9713		$	47.0450

Market value per share, at December 31, 2011†	$	56.19		$	38.69		$	23.96		$	19.81		$	79.35		$	20.35		$	40.95
Market value per share, at March 31, 2012†	$	54.71		$	35.16		$	49.35		$	16.81		$	52.75		$	18.97		$	47.05

Total Return, at net asset value^		(3.4	)%		(9.2	)%		105.6	%		(18.1	)%		(31.6	)%		(6.7	)%		14.9	%
Total Return, at market value^		(2.6	)%		(9.1	)%		106.0	%		(15.1	)%		(33.5	)%		(6.8	)%		14.9	%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.97	)%		(1.36	)%		(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	)%		(0.95	)%
Net investment income (loss)		(0.92	)%		(0.94	)%		(1.34	)%		(0.93	)%		(0.92	)%		(0.93	)%		(0.92	)%

^^	See Note 10 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, 2012.

**	Percentages are annualized.

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VIX ProShares

For the Three Months Ended March 31, 2012 (unaudited)


Per Share Operating Performance	Ultra VIX Short-Term Futures ETF*			VIX Short- Term Futures ETF			Short VIX Short- Term Futures ETF			VIX Mid- Term Futures ETF
Net asset value, at December 31, 2011	$	74.1074		$	76.3738		$	51.7327		$	74.1396

Net investment income (loss)		(0.1205	)		(0.0979	)		(0.3576	)		(0.1356	)
Net realized and unrealized gain (loss)		(59.6893	)		(40.7796	)		47.5965			(18.0538	)
Change in net asset value from operations		(59.8098	)		(40.8775	)		47.2389			(18.1894	)
Net asset value, at March 31, 2012	$	14.2976		$	35.4963		$	98.9716		$	55.9502

Market value per share, at December 31, 2011†	$	72.96		$	75.74		$	52.28		$	74.13
Market value per share, at March 31, 2012†	$	14.56		$	35.77		$	98.13		$	56.74

Total Return, at net asset value^		(80.7	)%		(53.5	)%		91.3	%		(24.5	)%
Total Return, at market value^		(80.0	)%		(52.8	)%		87.7	%		(23.5	)%

Ratios to Average Net Assets**

Expense ratio		(2.02	)%		(0.85	)%		(2.00	)%		(0.85	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.85	)%		(0.95	)%		(0.85	)%
Net investment income (loss)		(2.01	)%		(0.81	)%		(1.97	)%		(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, 2012.

**	Percentages are annualized.

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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		$	78.1431		$	25.7644		$	33.4918

Net investment income (loss)		(0.0750	)		(0.1042	)		(0.1365	)		(0.1723	)		(0.0550	)		(0.0667	)
Net realized and unrealized gain (loss)		3.1597			7.2125			2.5663			35.6929			3.1737			(1.6613	)
Change in net asset value from operations		3.0847			7.1083			2.4298			35.5206			3.1187			(1.7280	)
Net asset value, at March 31, 2011	$	39.4570		$	57.1100		$	71.6461		$	113.6637		$	28.8831		$	31.7638

Market value per share, at December 31, 2010†	$	36.27		$	49.98		$	70.72		$	79.30		$	25.86		$	33.29
Market value per share, at March 31, 2011†	$	39.67		$	56.99		$	71.13		$	112.55		$	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.

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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		$	199.4634		$	20.2928		$	47.0232

Net investment income (loss)		(0.0945	)		(0.1074	)		(0.0592	)		(0.3611	)		(0.0390	)		(0.0974	)
Net realized and unrealized gain (loss)		(5.2231	)		(9.5347	)		(1.6373	)		(83.7141	)		(2.4103	)		1.8730
Change in net asset value from operations		(5.3176	)		(9.6421	)		(1.6965	)		(84.0752	)		(2.4493	)		1.7756
Net asset value, at March 31, 2011	$	42.6800		$	41.2095		$	26.6741		$	115.3882		$	17.8435		$	48.7988

Market value per share, at December 31, 2010†	$	48.30		$	50.85		$	27.80		$	196.40		$	20.31		$	47.01
Market value per share, at March 31, 2011†	$	42.99		$	41.30		$	26.85		$	116.65		$	17.85		$	48.81

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.

^^	See Note 10 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.

-154-

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.

-155-

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 (-1x) or multiple (3x or 2x) or inverse multiple (-3x or -2x) of the period return of the corresponding benchmark and will likely differ significantly. Geared Funds seek daily results as measured from the calculation of one NAV to the next. The Matching VIX Funds seek to achieve their stated investment objective both over a single day and over time. The Managed Futures Funds seek to achieve their stated investment objectives 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. 2x or 3x), inverse (e.g. -1x) or inverse leveraged (e.g. -3x or -2x) results on a daily basis (before fees and expenses). Investors should monitor their holdings consistent with their strategies, as frequently as daily.

-156-

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 approximately 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 the 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 2011 may specify an October 2011 expiration. For an Ultra Fund and a Matching VIX Fund, as that contract nears expiration, it may be replaced by selling the October 2011 contract and purchasing the contract expiring in December 2011. 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 2011 contract would take place at a price that is higher than the price at which the December 2011 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 UltraPro Fund, an Ultra Fund or a Matching VIX Fund that invests in such futures and positively affect a Short Fund, an UltraShort Fund or an UltraPro 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, UltraShort Funds and UltraPro Short Funds and positively affect the UltraPro Funds, Ultra Funds and existing Matching VIX Funds.

-157-

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, accordingly, decrease the return of the Ultra VIX Short-Term Futures ETF and the Matching 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.

NOTE 9 – LEGAL PROCEEDINGS

The Trust and certain principals of the Sponsor are defendants (along with several other parties) in a consolidated class action lawsuit 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 and 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. Accordingly, no loss contingency has been recorded in the balance sheet and the amount of loss, if any, cannot be reasonably estimated at this time.

NOTE 10 – SUBSEQUENT EVENTS

Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. The subsequent events were as follows:

On April 25, 2012, the Trust announced a 3-for-1 split of the shares of beneficial interest of ProShares UltraShort DJ-UBS Natural Gas (NYSE Arca symbol “KOLD”). It is anticipated that the split will be effective prior to the opening of trading on NYSE Arca on May 11, 2012.

The split was effective for shareholders of record after the close of the markets on May 8, 2012, and anticipated to be payable after the close of the markets on May 10, 2012. It is anticipated that the Fund will trade at its post-split price on May 11, 2012. The ticker symbol for the Fund will not change, and it will continue to trade on NYSE Arca.

The split was applied retroactively for all periods presented, increasing the number of shares outstanding for ProShares UltraShort DJ-UBS Natural Gas, and resulted in a proportionate decrease in the price per share and per share information of ProShares UltraShort DJ-UBS Natural Gas. Therefore, the split will not change the aggregate net asset value of a shareholder’s investment at the time of the split.

On April 25, 2012, the Trust announced a 1-for-5 reverse split of the shares of beneficial interest of ProShares Ultra DJ-UBS Natural Gas (NYSE Arca symbol “BOIL”) and ProShares UltraShort Silver (NYSE Arca symbol “ZSL”). It is anticipated that the reverse splits will be effective prior to the opening of trading on NYSE Arca on May 11, 2012.

It is anticipated that the reverse splits will be effective for shareholders of record after the close of the markets on May 10, 2012. It is further anticipated that the Funds will trade at their post-split prices on May 11, 2012. The ticker symbols for the Funds will not change, and they will continue to trade on NYSE Arca.

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

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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

The Trust has also registered shares for thirty-five additional series: (i) ProShares Short DJ-UBS Natural Gas and ProShares Short Gold (each, a “Short Fund” and collectively, the “Short Funds”); (ii) 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 (each, a “New Geared VIX Fund” and collectively, the “New Geared VIX Funds”); (iii) ProShares Managed Futures Strategy, ProShares Commodity Managed Futures Strategy and ProShares Financial Managed Futures Strategy (each, a “Managed Futures Fund” and collectively, the “Managed Futures Funds”); (iv) ProShares UltraPro Australian Dollar, ProShares Ultra Australian Dollar, ProShares Short Australian Dollar, ProShares UltraShort Australian Dollar, ProShares UltraPro Short Australian Dollar, ProShares UltraPro Canadian Dollar, ProShares Ultra Canadian Dollar, ProShares Short Canadian Dollar, ProShares UltraShort Canadian Dollar, ProShares UltraPro Short Canadian Dollar, ProShares UltraPro Euro, ProShares Short Euro, ProShares UltraPro Short Euro, ProShares UltraPro Swiss Franc, ProShares Ultra Swiss Franc, ProShares Short Swiss Franc, ProShares UltraShort Swiss Franc, ProShares UltraPro Short Swiss Franc, ProShares UltraPro Yen, ProShares Short Yen and ProShares UltraPro Short Yen (each, a “New Currency Fund” and collectively, the “New Currency Funds”); and (v) ProShares UltraPro U.S. Dollar, ProShares Ultra U.S. Dollar, ProShares Short U.S. Dollar, ProShares UltraShort U.S. Dollar and ProShares UltraPro Short U.S. Dollar (each, a “Currency Index Fund” and collectively, the “Currency Index Funds”). The Short Funds, the New Geared VIX Funds, the Managed Futures Funds and the New Currency Funds are collectively referred to as the “New Funds” in this Quarterly Report on Form 10-Q. The Geared VIX Funds, the New Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in this Quarterly Report on Form 10-Q. The Leveraged Funds, the Short Funds, the Geared VIX Funds, the New Geared VIX Funds and the New Currency Funds, are collectively referred to as the “Geared Funds” in this Quarterly Report on Form 10-Q.

As of March 31, 2012, each of the New Funds had seed capital, but none of the New Funds had commenced investment operations; therefore, this Quarterly Report on Form 10-Q does not include Schedules of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, Statements of Cash Flows, results of operations or any other financial information for the New Funds.

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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 following 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 Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares Ultra Euro, ProShares UltraShort Euro, ProShares Ultra Yen and ProShares UltraShort Yen.

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. ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF commenced trading on the NYSE Arca on January 3, 2011. Two of the Funds, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF, commenced trading on the NYSE Arca on October 3, 2011. Two of the Funds, ProShares Ultra DJ-UBS Natural Gas and ProShares UltraShort DJ-UBS Natural Gas, commenced trading on the NYSE Arca on October 4, 2011.

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 “UltraPro Funds” “Ultra Funds,” “Short Funds”, “UltraShort Funds” and “UltraPro Short 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,” “Currency Index 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. References to “Managed Futures Funds” refer to the different Funds according to which index the Fund intends to gain exposure.

Each of the Geared Funds generally invests or will invest in Financial Instruments (i.e., commodity-based, currency-based or equity market volatility-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 commodities, currencies or equity market volatility products in order to gain exposure to the commodity index, currency benchmark, commodity, currency or to an equity market volatility index. 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 “Matching VIX Fund” seeks daily investment results (before fees and expenses) that match the performance of a benchmark. Each “Geared VIX Fund” and each “New Geared VIX Fund” seeks or will seek daily investment results (before fees and expenses)

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that correspond to a multiple, the inverse of inverse multiple of the daily 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 Managed Futures Funds will seek to provide investment results (before fees and expenses) that correspond to the performance of the S&P Dynamic Futures Index (“DFI”), the S&P Dynamic Commodities Futures Index (“DCFI”) or the S&P Dynamic Financial Futures Index (“DFFI”). Each Managed Futures Fund intends to obtain exposure to the DFI, DCFI or the DFFI, as applicable, by primarily investing in unleveraged positions in Commodities Futures Contracts or Financials Futures Contracts.

Each Geared Fund seeks investment results for a single day only, not for longer periods. A “single day” is measured from the time a Fund calculates its respective net asset value per Share (“NAV”) to the time of the Fund’s next NAV calculation. 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 3x, 2x, -1x, -2x or -3x 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 Geared VIX Funds do not seek to achieve their stated objective over a period greater than one day. The Matching VIX Funds seek to achieve their stated investment objective both over a single day and over time. The Managed Futures Funds seek to achieve their stated investment objective 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 and Managed Futures Fund continuously offers and redeems or will offer and redeem its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its 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 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). 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 months ended March 31, 2012 and 2011, each of the Funds earned interest income as follows:

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Fund	Interest Income Three Months Ended March 31, 2012		Interest Income Three Months Ended March 31, 2011
ProShares Ultra DJ-UBS Commodity	$	525	$	5,859
ProShares UltraShort DJ-UBS Commodity		681		740
ProShares Ultra DJ-UBS Crude Oil		13,088		98,318
ProShares UltraShort DJ-UBS Crude Oil		10,125		36,450
ProShares Ultra DJ-UBS Natural Gas		2,119		—
ProShares UltraShort DJ-UBS Natural Gas		863		—
ProShares Ultra Gold		27,391		71,784
ProShares UltraShort Gold		6,919		31,276
ProShares Ultra Silver		51,735		186,095
ProShares UltraShort Silver		15,324		46,897
ProShares Ultra Euro		488		2,411
ProShares UltraShort Euro		47,729		144,361
ProShares Ultra Yen		372		1,025
ProShares UltraShort Yen		20,571		88,611
ProShares Ultra VIX Short-Term Futures ETF		2,915		—
ProShares VIX Short-Term Futures ETF		6,804		3,020
ProShares Short VIX Short-Term Futures ETF		894		—
ProShares VIX Mid-Term Futures ETF		6,086		1,277

Each Fund’s underlying swaps, futures and forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved 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 large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.

Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).

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Results of Operations for the Three Months Ended March 31, 2012 Compared to the Three Months Ended March 31, 2011

ProShares Ultra DJ-UBS Commodity

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
NAV beginning of period	$	9,058,529		$	18,186,658
NAV end of period	$	9,135,820		$	21,701,886
Percentage change in NAV		0.9	%		19.3	%
Shares outstanding beginning of period		350,014			500,014
Shares outstanding end of period		350,014			550,014
Percentage change in shares outstanding		0.0	%		10.0	%
Shares created		—			50,000
Shares redeemed		—			—
Per share NAV beginning of period	$	25.88		$	36.37
Per share NAV end of period	$	26.10		$	39.46
Percentage change in per share NAV		0.9	%		8.5	%
Percentage change in benchmark		0.9	%		4.5	%
Benchmark annualized volatility		12.9	%		15.9	%

During the three months ended March 31, 2012, there was no net change in the Fund’s outstanding Shares. 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 2x of the daily performance of the Dow Jones-UBS Commodity Index. By comparison, during the three months ended March 31, 2011, the increase in the Fund’s NAV resulted from an increase from 500,014 outstanding Shares at December 31, 2010 to 550,014 outstanding Shares at March 31, 2011. 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 2x of the daily performance of the Dow Jones-UBS Commodity Index.

For the three months ended March 31, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per share NAV increase of 0.9% for the period ended March 31, 2012, as compared to the increase of 8.5% for the period ended March 31, 2011, was primarily due to a relatively lower appreciation in the value of the assets of the Fund during the three months ended March 31, 2012.

During the three months ended March 31, 2012, the Fund’s per share NAV reached its high for the period on February 24, 2012 at $29.02 per Share and reached its low for the period on March 29, 2012 at $25.39 per Share. By comparison, during the three months ended March 31, 2011, the Fund’s per share 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.

The benchmark’s rise of 0.9% for the three months ended March 31, 2012, as compared to the benchmark’s rise of 4.5% for the three months ended March 31, 2011, can be attributed to a relatively lower appreciation of the underlying components of the index during the three months ended March 31, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
Net investment income (loss)	$	(22,013	)	$	(40,254	)
Management fee		22,538			46,113
Net realized gain (loss)		(322,448	)		3,204,121
Change in net unrealized appreciation/depreciation		421,752			(1,431,394	)
Net income (loss)	$	77,291		$	1,732,473

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The Fund’s net income decreased for the three months ended March 31, 2012, as compared to the three months ended March 31, 2011, primarily due to a lesser increase in the Fund’s benchmark index and a decrease in shares outstanding from the three months ended March 31, 2011 to the three months ended March 31, 2012.

ProShares UltraShort DJ-UBS Commodity*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
NAV beginning of period	$	9,107,146		$	1,440,073
NAV end of period	$	8,801,218		$	2,560,673
Percentage change in NAV		(3.4	)%		77.8	%
Shares outstanding beginning of period		159,997			30,003
Shares outstanding end of period		159,997			59,997
Percentage change in shares outstanding		0.0	%		100.0	%
Shares created		—			30,000
Shares redeemed		—			6
Per share NAV beginning of period	$	56.92		$	48.00
Per share NAV end of period	$	55.01		$	42.68
Percentage change in per share NAV		(3.4	)%		(11.1	)%
Percentage change in benchmark		0.9	%		4.5	%
Benchmark annualized volatility		12.9	%		15.9	%

During the three months ended March 31, 2012, there was no net change in the Fund’s outstanding Shares. 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 2x of the inverse of the daily performance of the Dow Jones-UBS Commodity Index. By comparison, during the three months ended March 31, 2011, the increase in the Fund’s NAV resulted primarily from an increase from 30,003 outstanding Shares at December 31, 2010 to 59,997 outstanding Shares at March 31, 2011. 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 2x of the inverse of the daily performance of the Dow Jones-UBS Commodity Index.

For the three months ended March 31, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per share NAV decrease of 3.4% for the period ended March 31, 2012, as compared to the decrease of 11.1% for the three months ended March 31, 2011, was primarily due to a relatively lower depreciation in the value of the assets of the Fund during the three months ended March 31, 2012.

During the three months ended March 31, 2012, the Fund’s per share NAV reached its high for the period on January 13, 2012 at $56.82 per Share and reached its low for the period on February 24, 2012 at $50.01 per Share. By comparison, during the three months ended March 31, 2011, the Fund’s per share 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.

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
Net investment income (loss)	$	(19,503	)	$	(4,737	)
Management fee		20,184			5,477
Net realized gain (loss)		74,310			(384,316	)
Change in net unrealized appreciation/depreciation		(360,735	)		83,092
Net income (loss)	$	(305,928	)	$	(305,961	)

The Fund’s net income remained relatively flat for the three months ended March 31, 2012, as compared to the three months ended March 31, 2011, primarily due to a lesser increase in the Fund’s benchmark index in conjunction with a significant increase in shares outstanding from the three months ended March 31, 2011 to the three months ended March 31, 2012.

*	See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse share split for the ProShares UltraShort DJ-UBS Commodity Fund.

ProShares Ultra DJ-UBS Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
NAV beginning of period	$	251,395,322		$	228,133,077
NAV end of period	$	271,822,707		$	271,225,000
Percentage change in NAV		8.1	%		18.9	%
Shares outstanding beginning of period		6,149,170			4,562,504
Shares outstanding end of period		6,349,170			4,749,170
Percentage change in shares outstanding		3.3	%		4.1	%
Shares created		3,200,000			9,575,000
Shares redeemed		3,000,000			9,388,334
Per share NAV beginning of period	$	40.88		$	50.00
Per share NAV end of period	$	42.81		$	57.11
Percentage change in per share NAV		4.7	%		14.2	%
Percentage change in benchmark		3.1	%		8.0	%
Benchmark annualized volatility		21.5	%		27.1	%

During the three months ended March 31, 2012, the increase in the Fund’s NAV resulted primarily from an increase from 6,149,170 outstanding Shares at December 31, 2011 to 6,349,170 outstanding Shares at March 31, 2012. 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 2x of the daily performance of the Dow Jones-UBS WTI Crude Oil Sub-Index. By comparison, during the three months ended March 31, 2011, 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 2x of the daily performance of the Dow Jones-UBS WTI Crude Oil Sub-Index. The increase in the Fund’s NAV also resulted in part from an increase from 4,562,504 outstanding Shares at December 31, 2010 to 4,749,170 outstanding Shares at March 31, 2011.

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For the three months ended March 31, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per share NAV increase of 4.7% for the three months ended March 31, 2012, as compared to the increase of 14.2% for the three months ended March 31, 2011, was primarily due to a relatively lower appreciation in the value of the assets of the Fund during the three months ended March 31, 2012.

During the three months ended March 31, 2012, the Fund’s per share NAV reached its high for the period on February 24, 2012 at $49.25 per Share and reached its low for the period on February 2, 2012 at $38.54 per Share. By comparison, during the three months ended March 31, 2011, the Fund’s per share 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.

The benchmark’s rise of 3.1% for the three months ended March 31, 2012, as compared to the benchmark’s rise of 8.0% for the three months ended March 31, 2011, can be attributed to a lower increase in the price of WTI Crude Oil during the three months ended March 31, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
Net investment income (loss)	$	(644,318	)	$	(730,394	)
Management fee		647,729			799,043
Brokerage commission		9,677			29,669
Net realized gain (loss)		15,543,993			82,189,356
Change in net unrealized appreciation/depreciation		9,101,128			4,874,439
Net income (loss)	$	24,000,803		$	86,333,401

The Fund’s net income decreased for the three months ended March 31, 2012, as compared to the three months ended March 31, 2011, primarily due to a lesser increase in the price of WTI Crude Oil during the three months ended March 31, 2012.

*	See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse share split for the ProShares Ultra DJ-UBS Crude Oil Fund.

ProShares UltraShort DJ-UBS Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
NAV beginning of period	$	144,389,893		$	132,214,257
NAV end of period	$	154,017,609		$	136,813,099
Percentage change in NAV		6.7	%		3.5	%
Shares outstanding beginning of period		3,719,944			2,600,003
Shares outstanding end of period		4,369,944			3,319,944
Percentage change in shares outstanding		17.5	%		27.7	%
Shares created		2,300,000			2,730,000

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	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
Shares redeemed		1,650,000			2,010,059
Per share NAV beginning of period	$	38.82		$	50.85
Per share NAV end of period	$	35.24		$	41.21
Percentage change in per share NAV		(9.2	)%		(19.0	)%
Percentage change in benchmark		3.1	%		8.0	%
Benchmark annualized volatility		21.5	%		27.1	%

During the three months ended March 31, 2012, the increase in the Fund’s NAV resulted from an increase from 3,719,944 outstanding Shares at December 31, 2011 to 4,369,944 outstanding Shares at March 31, 2012. 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 2x of the inverse of the daily performance of the Dow Jones-UBS WTI Crude Oil Sub-Index. By comparison, during the three months ended March 31, 2011, the increase in the Fund’s NAV resulted primarily from an increase from 2,600,003 outstanding Shares at December 31, 2010 to 3,319,944 outstanding Shares at March 31, 2011. 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 2x of the inverse of the daily performance of the Dow Jones-UBS WTI Crude Oil Sub-Index.

For the three months ended March 31, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per share NAV decrease of 9.2% for the three months ended March 31, 2012, as compared to the decrease of 19.0% for the three months ended March 31, 2011, was primarily due to a relatively lower depreciation in the value of the assets of the Fund during the three months ended March 31, 2012.

During the three months ended March 31, 2012, the Fund’s per share NAV reached its high for the period on February 2, 2012 at $40.44 per Share and reached its low for the period on February 24, 2012 at $31.27 per Share. By comparison, during the three months ended March 31, 2011, the Fund’s per share 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.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
Net investment income (loss)	$	(335,925	)	$	(277,411	)
Management fee		340,146			298,212
Brokerage commission		5,904			15,649
Net realized gain (loss)		(3,832,402	)		(13,934,802	)
Change in net unrealized appreciation/depreciation		(894,661	)		2,782,618
Net income (loss)	$	(5,062,988	)	$	(11,429,595	)

The Fund’s net income increased for the three months ended March 31, 2012, as compared to the three months ended March 31, 2011, primarily due to a lesser increase in the price of WTI Crude Oil during the three months ended March 31, 2012.

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*	See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse share split for the ProShares UltraShort DJ-UBS Crude Oil Fund.

ProShares Ultra DJ-UBS Natural Gas^

Since the Fund commenced investment operations on October 4, 2011, a comparison of the Fund’s results of operations for the three months ended March 31, 2011 has not been provided.

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2012:


	Three Months
	Ended March 31,
	2012

NAV beginning of period	$	4,079,349
NAV end of period	$	36,185,805
Percentage change in NAV		787.0	%
Shares outstanding beginning of period		40,002
Shares outstanding end of period		960,002
Percentage change in shares outstanding		2,299.9	%
Shares created		920,000
Shares redeemed		—
Per share NAV beginning of period	$	101.98
Per share NAV end of period	$	37.69
Percentage change in per share NAV		(63.0	)%
Percentage change in benchmark		(37.0	)%
Benchmark annualized volatility		51.3	%

During the three months ended March 31, 2012, the increase in the Fund’s NAV resulted primarily from an increase from 40,002 outstanding Shares at December 31, 2011 to 960,002 outstanding Shares at March 31, 2012. 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 2x of the daily performance of the Dow Jones-UBS Natural Gas Sub-index^SM.

For the three months ended March 31, 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark.

During the three months ended March 31, 2012, the Fund’s per share NAV reached its high for the period on January 4, 2012 at $109.49 per Share and reached its low for the period on March 30, 2012 at $37.69 per Share.

The benchmark’s decline of 37.0% for the three months ended March 31, 2012, can be attributed to a decrease in the price of Henry Hub Natural Gas during the three months ended March 31, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2012:


	Three Months Ended March 31, 2012
Net investment income (loss)	$	(67,946	)
Management fee		47,372
Brokerage commission		16,074
Offering costs		6,619
Net realized gain (loss)		(5,158,452	)
Change in net unrealized appreciation/depreciation		(15,542,480	)
Net income (loss)	$	(20,768,878	)

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^	See Note 10 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse share split for the ProShares Ultra DJ-UBS Natural Gas Fund.

ProShares UltraShort DJ-UBS Natural Gas^

Since the Fund commenced investment operations on October 4, 2011, a comparison of the Fund’s results of operations for the three months ended March 31, 2011 has not been provided.

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2012:


	Three Months Ended March 31, 2012
NAV beginning of period	$	7,142,310
NAV end of period	$	22,025,304
Percentage change in NAV		208.4	%
Shares outstanding beginning of period		300,030
Shares outstanding end of period		450,030
Percentage change in shares outstanding		50.0	%
Shares created		450,000
Shares redeemed		300,000
Per share NAV beginning of period	$	23.81
Per share NAV end of period	$	48.94
Percentage change in per share NAV		105.6	%
Percentage change in benchmark		(37.0)	%
Benchmark annualized volatility		51.3	%

During the three months ended March 31, 2012, 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 2x of the inverse of the daily performance of the Dow Jones-UBS Natural Gas Sub-index^SM. The increase in the Fund’s NAV also resulted in part from an increase from 300,030 outstanding Shares at December 31, 2011 to 450,030 outstanding Shares at March 31, 2012.

For the three months ended March 31, 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark.

During the three months ended March 31, 2012, the Fund’s per share NAV reached its high for the period on March 30, 2012 at $48.94 per Share and reached its low for the period on January 4, 2012 at $22.06 per Share.

The benchmark’s decline of 37.0% for the three months ended March 31, 2012, can be attributed to a decrease in the price of Henry Hub Natural Gas during the three months ended March 31, 2012.

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2012:


	Three Months Ended March 31, 2012
Net investment income (loss)	$	(44,543	)
Management fee		25,021
Brokerage commission		13,766
Offering costs		6,619
Net realized gain (loss)		4,436,944
Change in net unrealized appreciation/depreciation		5,931,348
Net income (loss)	$	10,323,749

^	See Note 10 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the share split for the ProShares UltraShort DJ-UBS Natural Gas Fund.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
NAV beginning of period	$	326,399,360		$	259,562,075
NAV end of period	$	381,887,918		$	250,762,400
Percentage change in NAV		17.0	%		(3.4	)%
Shares outstanding beginning of period		4,300,014			3,750,014
Shares outstanding end of period		4,350,014			3,500,014
Percentage change in shares outstanding		1.2	%		(6.7	)%
Shares created		400,000			50,000
Shares redeemed		350,000			300,000
Per share NAV beginning of period	$	75.91		$	69.22
Per share NAV end of period	$	87.79		$	71.65
Percentage change in per share NAV		15.7	%		3.5	%
Percentage change in benchmark		8.6	%		2.4	%
Benchmark annualized volatility		20.5	%		12.9	%

During the three months ended March 31, 2012, 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 2x of the daily performance of gold bullion as measured by the U.S. Dollar P.M. fixing price for delivery in London. The increase in the Fund’s NAV also resulted in part from an increase from 4,300,014 outstanding Shares at December 31, 2011 to 4,350,014 outstanding Shares at March 31, 2012. By comparison, during the three months ended March 31, 2011, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,750,014 outstanding Shares at December 31, 2010 to 3,500,014 outstanding Shares at March 31, 2011. 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 2x 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, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per share NAV increase of 15.7% for the three months ended March 31, 2012, as compared to the increase of 3.5% for the three months ended March 31, 2011, was primarily due to a relatively higher appreciation in the value of the assets of the Fund during the three months ended March 31, 2012.

During the three months ended March 31, 2012, the Fund’s per share NAV reached its high for the period on February 28, 2012 at $101.40 per Share and reached its low for the period on January 3, 2012 at $82.51 per Share. By comparison, during the three months ended March 31, 2011, the Fund’s per share 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.

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The benchmark’s rise of 8.6% for the three months ended March 31, 2012, as compared to the benchmark’s rise of 2.4% for the three months ended March 31, 2011, can be attributed to a relatively higher increase in the price of spot gold in U.S. Dollar terms during the three months ended March 31, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
Net investment income (loss)	$	(878,349	)	$	(482,456	)
Management fee		905,724			553,335
Brokerage commission		16			905
Net realized gain (loss)		(29,858,683	)		8,021,259
Change in net unrealized appreciation/depreciation		76,475,098			(1,470,677	)
Net income (loss)	$	45,738,066		$	6,068,126

The Fund’s net income increased for the three months ended March 31, 2012, as compared to the three months ended March 31, 2011, primarily due to a greater increase in the price of spot gold in U.S. Dollar terms during the three months ended March 31, 2012.

ProShares UltraShort Gold*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
NAV beginning of period	$	198,298,571		$	77,732,507
NAV end of period	$	147,165,003		$	81,086,510
Percentage change in NAV		(25.8	)%		4.3	%
Shares outstanding beginning of period		9,589,901			2,739,901
Shares outstanding end of period		8,689,901			3,039,901
Percentage change in shares outstanding		(9.4	)%		10.9	%
Shares created		—			1,050,000
Shares redeemed		900,000			750,000
Per share NAV beginning of period	$	20.68		$	28.37
Per share NAV end of period	$	16.94		$	26.67
Percentage change in per share NAV		(18.1	)%		(6.0	)%
Percentage change in benchmark		8.6	%		2.4	%
Benchmark annualized volatility		20.5	%		12.9	%

During the three months ended March 31, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,589,901 outstanding Shares at December 31, 2011 to 8,689,901 outstanding Shares at March 31, 2012. 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 2x 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

-171-

ended March 31, 2011, the increase in the Fund’s NAV resulted from an increase from 2,739,901 outstanding Shares at December 31, 2010 to 3,039,901 outstanding Shares at March 31, 2011. 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 2x 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.

For the three months ended March 31, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per share NAV decrease of 18.1% for the three months ended March 31, 2012, as compared to the decrease of 6.0% for the three months ended March 31, 2011, was primarily due to a relatively higher depreciation in the value of the assets of the Fund during the three months ended March 31, 2012.

During the three months ended March 31, 2012, the Fund’s per share NAV reached its high for the period on January 3, 2012 at $18.87 per Share and reached its low for the period on February 28, 2012 at $14.91 per Share. By comparison, during the three months ended March 31, 2011, the Fund’s per share 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.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
Net investment income (loss)	$	(342,867	)	$	(199,330	)
Management fee		349,769			229,514
Brokerage commission		17			1,092
Net realized gain (loss)		(1,545,961	)		(7,953,067	)
Change in net unrealized appreciation/depreciation		(33,061,365	)		680,621
Net income (loss)	$	(34,950,193	)	$	(7,471,776	)

The Fund’s net income decreased for the three months ended March 31, 2012, as compared to the three months ended March 31, 2011, primarily due to a greater increase in the price of spot gold in U.S. Dollar terms during the three months ended March 31, 2012.

*	See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse share split for the ProShares UltraShort Gold Fund.

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ProShares Ultra Silver*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
NAV beginning of period	$	606,824,420		$	547,003,919
NAV end of period	$	845,367,293		$	1,057,075,755
Percentage change in NAV		39.3	%		93.2	%
Shares outstanding beginning of period		14,050,028			7,000,028
Shares outstanding end of period		15,400,028			9,300,028
Percentage change in shares outstanding		9.6	%		32.9	%
Shares created		2,550,000			3,800,000
Shares redeemed		1,200,000			1,500,000
Per share NAV beginning of period	$	43.19		$	78.14
Per share NAV end of period	$	54.89		$	113.66
Percentage change in per share NAV		27.1	%		45.5	%
Percentage change in benchmark		15.1	%		23.6	%
Benchmark annualized volatility		35.1	%		39.6	%

During the three months ended March 31, 2012, 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 2x of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. The increase in the Fund’s NAV also resulted in part from an increase from 14,050,028 outstanding Shares at December 31, 2011 to 15,400,028 outstanding Shares at March 31, 2012. By comparison, during the three months ended March 31, 2011, 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 2x of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. The increase in the Fund’s NAV also resulted in part from an increase from 7,000,028 outstanding Shares at December 31, 2010 to 9,300,028 outstanding Shares at March 31, 2011.

For the three months ended March 31, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per share NAV increase of 27.1% for the three months ended March 31, 2012, as compared to the increase of 45.5% for the three months ended March 31, 2011, was primarily due to a relatively lower 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, 2012, the Fund’s per share NAV reached its high for the period on February 29, 2012 at $73.52 per Share and reached its low for the period on January 3, 2012 at $45.01 per Share. By comparison, during the three months ended March 31, 2011, the Fund’s per share NAV reached its high for the period on March 31, 2011 at $113.65 per Share and reached its low for the period on January 28, 2011 at $58.40 per Share.

The benchmark’s rise of 15.1% for the three months ended March 31, 2012, as compared to the benchmark’s rise of 23.6% for the three months ended March 31, 2011, can be attributed to a relatively lower increase in the price of spot silver in U.S. Dollar terms during the three months ended March 31, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
Net investment income (loss)	$	(1,833,327	)	$	(1,323,706	)
Management fee		1,885,054			1,507,863
Brokerage commission		8			1,938
Net realized gain (loss)		8,107,141			273,346,091
Change in net unrealized appreciation/depreciation		132,939,770			24,980,497
Net income (loss)	$	139,213,584		$	297,002,882

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The Fund’s net income decreased for the three months ended March 31, 2012, as compared to the three months ended March 31, 2011, primarily due to a lesser increase in the price of spot silver in U.S. Dollar terms during the three months ended March 31, 2012.

*	See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the share split for the ProShares Ultra Silver Fund.

ProShares UltraShort Silver*^

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
NAV beginning of period	$	246,813,921		$	99,032,781
NAV end of period	$	199,196,161		$	130,258,740
Percentage change in NAV		(19.3	)%		31.5	%
Shares outstanding beginning of period		3,218,874			496,496
Shares outstanding end of period		3,798,874			1,128,874
Percentage change in shares outstanding		18.0	%		127.4	%
Shares created		3,190,000			917,500
Shares redeemed		2,610,000			285,122
Per share NAV beginning of period	$	76.68		$	199.46
Per share NAV end of period	$	52.44		$	115.39
Percentage change in per share NAV		(31.6	)%		(42.1	)%
Percentage change in benchmark		15.1	%		23.6	%
Benchmark annualized volatility		35.1	%		39.6	%

During the three months ended March 31, 2012, 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 2x of the inverse of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. The decrease in the Fund’s NAV was offset by an increase from 3,218,874 outstanding Shares at December 31, 2011 to 3,798,874 outstanding Shares at March 31, 2012. By comparison, during the three months ended March 31, 2011, the increase in the Fund’s NAV resulted primarily from an increase from 496,496 outstanding Shares at December 31, 2010 to 1,128,874 outstanding Shares at March 31, 2011. 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 2x of the inverse 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, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per share NAV decrease of 31.6% for the three months ended March 31, 2012, as compared to the decrease of 42.1% for the three months ended March 31, 2011 was primarily due to a relatively lower depreciation in the value of the assets of the Fund during the three months ended March 31, 2012.

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During the three months ended March 31, 2012, the Fund’s per share NAV reached its high for the period on January 3, 2012 at $73.38 per Share and reached its low for the period on February 29, 2012 at $41.17 per Share. By comparison, during the three months ended March 31, 2011, the Fund’s per share NAV reached its high for the period on January 25, 2011 at $255.54 per Share and reached its low for the period on March 31, 2011 at $115.39 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
Net investment income (loss)	$	(487,831	)	$	(293,996	)
Management fee		503,147			340,262
Brokerage commission		8			631
Net realized gain (loss)		(35,686,088	)		(81,287,545	)
Change in net unrealized appreciation/depreciation		(34,331,945	)		1,245,925
Net income (loss)	$	(70,505,864	)	$	(80,335,616	)

The Fund’s net income increased for the three months ended March 31, 2012, as compared to the three months ended March 31, 2011, primarily due to lesser increase in the price of spot silver in U.S. Dollar terms in conjunction with significant fluctuations in outstanding shares during the three months ended March 31, 2012.

*	See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse share split for the ProShares UltraShort Silver Fund.

^	See Note 10 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse share split for the ProShares UltraShort Silver Fund.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
NAV beginning of period	$	9,554,748		$	7,729,684
NAV end of period	$	7,574,096		$	8,665,331
Percentage change in NAV		(20.7	)%		12.1	%
Shares outstanding beginning of period		400,014			300,014
Shares outstanding end of period		300,014			300,014
Percentage change in shares outstanding		(25.0	)%		0.0	%
Shares created		50,000			—
Shares redeemed		150,000			—
Per share NAV beginning of period	$	23.89		$	25.76
Per share NAV end of period	$	25.25		$	28.88
Percentage change in per share NAV		5.7	%		12.1	%
Percentage change in benchmark		3.1	%		6.0	%
Benchmark annualized volatility		9.5	%		9.9	%

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During the three months ended March 31, 2012, the decrease in the Fund’s NAV resulted from a decrease from 400,014 outstanding Shares at December 31, 2011 to 300,014 outstanding Shares at March 31, 2012. 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 2x 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, 2011, 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 2x of the daily performance of the spot price of the Euro versus the U.S. Dollar. The Fund had no creation or redemption activity during the three months ended March 31, 2011.

For the three months ended March 31, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per share NAV increase of 5.7% for the three months ended March 31, 2012, as compared to the increase of 12.1% for the three months ended March 31, 2011 was primarily due to a relatively lower appreciation in the value of the assets held by the Fund during the three months ended March 31, 2012.

During the three months ended March 31, 2012, the Fund’s per share NAV reached its high for the period on February 24, 2012 at $25.78 per Share and reached its low for the period on January 13, 2012 at $22.92 per Share. By comparison, during the three months ended March 31, 2011, the Fund’s per share 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.

The benchmark’s rise of 3.1% for the three months ended March 31, 2012, as compared to the benchmark’s rise of 6.0% for the three months ended March 31, 2011, can be attributed to a lower increase in the value of the Euro versus the U.S. Dollar during the three months ended March 31, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
Net investment income (loss)	$	(22,829	)	$	(16,515	)
Management fee		23,317			18,926
Net realized gain (loss)		(249,575	)		918,369
Change in net unrealized appreciation/depreciation		812,184			33,793
Net income (loss)	$	539,780		$	935,647

The Fund’s net income decreased for the three months ended March 31, 2012, as compared to the three months ended March 31, 2011, primarily due to a lesser increase in the value of the Euro versus the U.S. Dollar during the three months ended March 31, 2012.

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ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
NAV beginning of period	$	1,100,159,546		$	444,412,995
NAV end of period	$	819,560,440		$	390,773,777
Percentage change in NAV		(25.5	)%		(12.1	)%
Shares outstanding beginning of period		54,100,014			21,900,014
Shares outstanding end of period		43,200,014			21,900,014
Percentage change in shares outstanding		(20.1	)%		0.0	%
Shares created		2,150,000			3,850,000
Shares redeemed		13,050,000			3,850,000
Per share NAV beginning of period	$	20.34		$	20.29
Per share NAV end of period	$	18.97		$	17.84
Percentage change in per share NAV		(6.7	)%		(12.1	)%
Percentage change in benchmark		3.1	%		6.0	%
Benchmark annualized volatility		9.5	%		9.9	%

During the three months ended March 31, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease from 54,100,014 outstanding Shares at December 31, 2011 to 43,200,014 outstanding Shares at March 31, 2012. 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 2x of the inverse 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, 2011, the decrease in the Fund’s NAV resulted primarily from movement in the underlying index. Outstanding Shares were net unchanged for the three months ended March 31, 2011 with an ending balance of 21,900,014 outstanding Shares at December 31, 2010 and March 31, 2011.

For the three months ended March 31, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per share NAV decrease of 6.7% for the three months ended March 31, 2012, as compared to the decrease of 12.1% for the three months ended March 31, 2011 was primarily due to a relatively lower depreciation in the value of the assets held by the Fund during the three months ended March 31, 2012.

During the three months ended March 31, 2012, the Fund’s per share NAV reached its high for the period on January 13, 2012 at $21.13 per Share and reached its low for the period on February 24, 2012 at $18.67 per Share. By comparison, during the three months ended March 31, 2011, the Fund’s per share 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.

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
Net investment income (loss)	$	(2,152,538	)	$	(889,548	)
Management fee		2,200,267			1,033,909
Net realized gain (loss)		38,810,852			(62,147,628	)
Change in net unrealized appreciation/depreciation		(98,451,110	)		4,170,460
Net income (loss)	$	(61,792,796	)	$	(58,866,716	)

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
NAV beginning of period	$	5,471,075		$	5,024,240
NAV end of period	$	4,705,580		$	3,176,821
Percentage change in NAV		(14.0	)%		(36.8	)%
Shares outstanding beginning of period		150,014			150,014
Shares outstanding end of period		150,014			100,014
Percentage change in shares outstanding		0.0	%		(33.3	)%
Shares created		—			—
Shares redeemed		—			50,000
Per share NAV beginning of period	$	36.47		$	33.49
Per share NAV end of period	$	31.37		$	31.76
Percentage change in per share NAV		(14.0	)%		(5.2	)%
Percentage change in benchmark		(7.0	)%		(2.4	)%
Benchmark annualized volatility		8.4	%		10.1	%

During the three months ended March 31, 2012, there was no net change in the Fund’s outstanding Shares. 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 2x 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, 2011, the decrease in the Fund’s NAV resulted primarily from a decrease from 150,014 outstanding Shares at December 31, 2010 to 100,014 outstanding Shares at March 31, 2011. 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 2x of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar.

For the three months ended March 31, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per share NAV decrease of 14.0% for the three months ended March 31, 2012, as compared to the decrease of 5.2% for the three months ended March 31, 2011, 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, 2012.

During the three months ended March 31, 2012, the Fund’s per share NAV reached its high for the period on February 2, 2012 at $37.15 per Share and reached its low for the period on March 14, 2012 at $30.68 per Share. By comparison, during the three months ended March 31, 2011, the Fund’s per share 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.

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The benchmark’s decline of 7.0% for the three months ended March 31, 2012, as compared to the benchmark’s decline of 2.4% for the three months ended March 31, 2011, 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, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
Net investment income (loss)	$	(11,811	)	$	(7,079	)
Management fee		12,183			8,104
Net realized gain (loss)		(425,194	)		155,723
Change in net unrealized appreciation/depreciation		(328,490	)		(402,474	)
Net income (loss)	$	(765,495	)	$	(253,830	)

The Fund’s net income decreased for the three months ended March 31, 2012, as compared to the three months ended March 31, 2011, primarily due to a greater decrease in the value of the Japanese Yen versus the U.S. Dollar during the three months ended March 31, 2012.

ProShares UltraShort Yen*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months Ended March 31, 2012			Three Months Ended March 31, 2011
NAV beginning of period	$	221,131,994		$	207,685,813
NAV end of period	$	279,884,802		$	368,431,315
Percentage change in NAV		26.6	%		77.4	%
Shares outstanding beginning of period		5,399,294			4,416,671
Shares outstanding end of period		5,949,294			7,550,005
Percentage change in shares outstanding		10.2	%		70.9	%
Shares created		1,850,000			5,616,667
Shares redeemed		1,300,000			2,483,333
Per share NAV beginning of period	$	40.96		$	47.02
Per share NAV end of period	$	47.05		$	48.80
Percentage change in per share NAV		14.9	%		3.8	%
Percentage change in benchmark		(7.0	)%		(2.4	)%
Benchmark annualized volatility		8.4	%		10.1	%

During the three months ended March 31, 2012, the increase in the Fund’s NAV resulted primarily from an increase from 5,399,294 outstanding Shares at December 31, 2011 to 5,949,294 outstanding Shares at March 31, 2012. 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 2x 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, 2011, the increase in the Fund’s NAV resulted primarily from an increase from 4,416,671 outstanding Shares at December 31,

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2010 to 7,550,005 outstanding Shares at March 31, 2011. 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 2x 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, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per share NAV increase of 14.9% for the three months ended March 31, 2012, as compared to the increase of 3.8% for the three months ended March 31, 2011 was primarily due to a relatively higher appreciation in the value of the assets held by the Fund during the three months ended March 31, 2012.

During the three months ended March 31, 2012, the Fund’s per share NAV reached its high for the period on March 14, 2012 at $48.20 per Share and reached its low for the period on February 2, 2012 at $40.08 per Share. By comparison, during the three months ended March 31, 2011, the Fund’s per share NAV reached its high for the period on February 15, 2011 at $49.91 per Share and reached its low for the period on March 17, 2011 at $44.06 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months			Three Months
	Ended March 31,			Ended March 31,
	2012			2011
Net investment income (loss)	$	(569,225	)	$	(586,442	)
Management fee		589,796			675,053
Net realized gain (loss)		20,852,699			(17,658,227	)
Change in net unrealized appreciation/depreciation		17,443,625			33,374,033
Net income (loss)	$	37,727,099		$	15,129,364

The Fund’s net income increased for the three months ended March 31, 2012, as compared to the three months ended March 31, 2011, primarily due to a greater decrease in the value of the Japanese Yen versus the U.S. Dollar during the three months ended March 31, 2012.

*	See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse share split for the ProShares UltraShort Yen Fund.

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ProShares Ultra VIX Short-Term Futures ETF

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

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2012:


	Three Months
	Ended March 31,
	2012
NAV beginning of period	$	9,881,113
NAV end of period	$	119,978,881
Percentage change in NAV		1,114.2	%
Shares outstanding beginning of period		133,335
Shares outstanding end of period		8,391,512
Percentage change in shares outstanding		6,193.6	%
Shares created		12,525,000
Shares redeemed		4,266,823
Per share NAV beginning of period	$	74.11
Per share NAV end of period	$	14.30
Percentage change in per share NAV		(80.7	)%
Percentage change in benchmark		(53.4	)%
Benchmark annualized volatility		64.5	%

During the three months ended March 31, 2012, the increase in the Fund’s NAV resulted from an increase from 133,335 outstanding Shares at December 31, 2011 to 8,391,512 outstanding Shares at March 31, 2012. 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 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended March 31, 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark.

During the three months ended March 31, 2012, the Fund’s per share NAV reached its high for the period on January 3, 2012 at $64.90 per Share and reached its low for the period on March 26, 2012 at $12.66 per Share.

The benchmark’s decline of 53.4% for the three months ended March 31, 2012, can be attributed to decreasing prices of the near-term futures contracts on the VIX futures curve.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2012:


	Three Months
	Ended March 31,
	2012
Net investment income (loss)	$	(341,612	)
Management fee		154,701
Brokerage commission		182,674
Offering costs		7,152
Net realized gain (loss)		(119,245,708	)
Change in net unrealized appreciation/depreciation		(33,610,381	)
Net income (loss)	$	(153,197,701	)

*	See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse share split for the ProShares Ultra VIX Short-Term Futures ETF.

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ProShares VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months			Three Months
	Ended March 31,			Ended March 31,
	2012			2011
NAV beginning of period	$	30,549,903		$	400
NAV end of period	$	126,899,583		$	32,034,957
Percentage change in NAV		315.4	%		8,008,639.3	%
Shares outstanding beginning of period		400,005			5
Shares outstanding end of period		3,575,005			500,005
Percentage change in shares outstanding		793.7	%		10,000,000.0	%
Shares created		3,950,000			675,000
Shares redeemed		775,000			175,000
Per share NAV beginning of period	$	76.37		$	80.00
Per share NAV end of period	$	35.50		$	64.07
Percentage change in per share NAV		(53.5	)%		(19.9	)%
Percentage change in benchmark		(53.4	)%		(21.2	)%
Benchmark annualized volatility		64.5	%		59.4	%

During the three months ended March 31, 2012, the increase in the Fund’s NAV resulted primarily from an increase from 400,005 outstanding Shares at December 31, 2011 to 3,575,005 outstanding Shares at March 31, 2012. 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. By comparison, during the three months ended March 31, 2011, the increase in the Fund’s NAV resulted primarily from an increase from 5 outstanding Shares at December 31, 2010 to 500,005 outstanding Shares at March 31, 2011. 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, 2012 and 2011, 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 decrease of 53.5% for the three months ended March 31, 2012, as compared to the decrease of 19.9% for the three months ended March 31, 2011, was primarily due to a relatively higher depreciation in the value of the assets of the Fund during the three months ended March 31, 2012.

During the three months ended March 31, 2012, the Fund’s per share NAV reached its high for the period on January 3, 2012 at $71.63 per Share and reached its low for the period on March 26, 2012 at $33.20 per Share. By comparison, during the three months ended March 31, 2011, the Fund’s per share 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.

The benchmark’s decline of 53.4% for the three months ended March 31, 2012, as compared to the benchmark’s decline of 21.2% for the three months ended March 31, 2011, can be attributed to declining prices of the near-term futures contracts on the VIX futures curve during the three months ended March 31, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months			Three Months
	Ended March 31,			Ended March 31,
	2012			2011
Net investment income (loss)	$	(141,555	)	$	(24,184	)
Management fee		147,269			—
Offering costs		1,090			48,242
Limitation by Sponsor		—			(21,038	)
Net realized gain (loss)		(42,732,283	)		(351,486	)
Change in net unrealized appreciation/depreciation		(17,343,344	)		(2,481,323	)
Net income (loss)	$	(60,217,182	)	$	(2,856,993	)

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The Fund’s net income decreased for the three months ended March 31, 2012, as compared to the three months ended March 31, 2011, primarily due to the greater decrease in the Fund’s benchmark during the three months ended March 31, 2012.

ProShares Short VIX Short-Term Futures ETF

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

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2012:


	Three Months
	Ended March 31,
	2012
NAV beginning of period	$	7,760,424
NAV end of period	$	29,692,478
Percentage change in NAV		282.6	%
Shares outstanding beginning of period		150,010
Shares outstanding end of period		300,010
Percentage change in shares outstanding		100.0	%
Shares created		1,250,000
Shares redeemed		1,100,000
Per share NAV beginning of period	$	51.73
Per share NAV end of period	$	98.97
Percentage change in per share NAV		91.3	%
Percentage change in benchmark		(53.4	)%
Benchmark annualized volatility		64.5	%

During the three months ended March 31, 2012, the increase in the Fund’s NAV resulted primarily from an increase from 150,010 outstanding Shares at December 31, 2011 to 300,010 outstanding Shares at March 31, 2012. 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 the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended March 31, 2012, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark.

During the three months ended March 31, 2012, the Fund’s per share NAV reached its high for the period on March 26, 2012 at $107.36 per Share and reached its low for the period on January 3, 2012 at $54.97 per Share.

The benchmark’s decline of 53.4% for the three months ended March 31, 2012, can be attributed to declining prices of the near-term futures contracts on the VIX Futures curve.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2012:


	Three Months
	Ended March 31,
	2012
Net investment income (loss)	$	(54,031	)
Management fee		18,944
Brokerage commission		28,829
Offering costs		7,152
Net realized gain (loss)		6,857,693
Change in net unrealized appreciation/depreciation		815,801
Net income (loss)	$	7,619,463

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ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months			Three Months
	Ended March 31,			Ended March 31,
	2012			2011
NAV beginning of period	$	90,821,428		$	400
NAV end of period	$	102,109,475		$	6,739,633
Percentage change in NAV		12.4	%		1,684,808.3	%
Shares outstanding beginning of period		1,225,005			5
Shares outstanding end of period		1,825,005			100,005
Percentage change in shares outstanding		49.0	%		2,000,000.0	%
Shares created		800,000			150,000
Shares redeemed		200,000			50,000
Per share NAV beginning of period	$	74.14		$	80.00
Per share NAV end of period	$	55.95		$	67.39
Percentage change in per share NAV		(24.5	)%		(15.8	)%
Percentage change in benchmark		(24.5	)%		(16.8	)%
Benchmark annualized volatility		28.1	%		30.5	%

During the three months ended March 31, 2012, the increase in the Fund’s NAV resulted from an increase from 1,225,005 outstanding Shares at December 31, 2011 to 1,825,005 outstanding Shares at March 31, 2012. 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. By comparison, during the three months ended March 31, 2011, the increase in the Fund’s NAV resulted from an increase from 5 outstanding Shares at December 31, 2010 to 100,005 outstanding Shares at March 31, 2011. 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.

For the three months ended March 31, 2012 and 2011, 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 decrease of 24.5% for the three months ended March 31, 2012, as compared to the decrease of 15.8% for the three months ended March 31, 2011, was primarily due to a relatively higher depreciation in the value of the assets of the Fund during the three Months ended March 31, 2012.

During the three months ended March 31, 2012, the Fund’s per share NAV reached its high for the period on January 3, 2012 at $71.93 per Share and reached its low for the period on March 30, 2012 at $55.95 per Share. By comparison, during the three months ended March 31, 2011, the Fund’s per share 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.

The benchmark’s decline of 24.5% for the three months ended March 31, 2012, as compared to the benchmark’s decline of 16.8% for the three months ended March 31, 2011, can be attributed to declining prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended March 31, 2012.

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2012 and 2011:


	Three Months			Three Months
	Ended March 31,			Ended March 31,
	2012			2011
Net investment income (loss)	$	(204,860	)	$	(11,309	)
Management fee		210,264			—
Offering costs		682			30,151
Limitation by Sponsor		—			(17,565	)
Net realized gain (loss)		(22,420,090	)		(688,191	)
Change in net unrealized appreciation/depreciation		(5,035,499	)		(82,781	)
Net income (loss)	$	(27,660,449	)	$	(782,281	)

The Fund’s net income decreased for the three months ended March 31, 2012, as compared to the three months ended March 31, 2011, primarily due to a greater decline in the Fund’s benchmark during the three months ended March 31, 2012.

Off-Balance Sheet Arrangements and Contractual Obligations

As of May 10, 2012, 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.

For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q.

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.

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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 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 in amounts approximately equal to that 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 Trust’s and 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 Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used.

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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 Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).

For financial reporting purposes, the Leveraged Funds and the VIX Funds value or will 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, 2012.

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 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 the VIX Fund’s NAV that fairly reflects investment values as of the time of pricing, the Leveraged and the 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 the 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 the 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 Fund pays or will pay its respective brokerage commissions, including applicable exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying the brokerage commissions on the VIX futures contracts for the Matching VIX Funds.

-187-

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Since the ProShares Ultra DJ-UBS Natural Gas Fund, ProShares UltraShort DJ-UBS Natural Gas Fund, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF were conducting operations for only a portion of the year ended December 31, 2011, comparisons of positions in certain Financial Instruments held by each of ProShares Ultra DJ-UBS Natural Gas Fund, ProShares UltraShort DJ-UBS Natural Gas Fund, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF for the three months ended March 31, 2012 to the three months ended March 31, 2011, have not been provided. As of March 31, 2012, each of the New Funds had not commenced investment operations; therefore, these quantitative and qualitative disclosures about market risk do not include comparisons of positions in certain Financial Instruments for the New Funds.

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 were sensitive to commodity price risk. As of March 31, 2012 and 2011, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares Ultra DJ-UBS Commodity:

As of March 31, 2012 and 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 tables provide information about the Fund’s swap positions as of March 31, 2012 and 2011, which were sensitive to commodity price risk.

Swap Agreements as of March 31, 2012

Reference Index

Counterparty

Long or
Short

Index Close

Notional
Amount at
Value

Goldman Sachs

Dow Jones-UBS Commodity Index

International

Long

141.9021

4,458,414

Dow Jones-UBS Commodity Index

UBS AG

Long

141.9021

13,814,430

Swap Agreements as of March 31, 2011

Reference Index

Counterparty

Long or
Short

Index Close

Notional
Amount at
Value

Goldman Sachs

Dow Jones-UBS Commodity Index

International

Long

170.0975

10,115,403

Dow Jones-UBS Commodity Index

UBS AG

Long

170.0975

33,092,599

The March 31, 2012 and 2011 swap notional amounts are calculated by multiplying units times the closing level of the Index. These notional amounts 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.

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See “Item 1A. Risk Factors” in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2011 filed with the U.S. Securities and Exchange Commission (“SEC”) on February 29, 2012 (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, 2012 and 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 tables provide information about the Fund’s short swap positions as of March 31, 2012 and 2011, which were sensitive to commodity price risk.

Swap Agreements as of March 31, 2012

Reference Index

Counterparty

Long or
Short

Index Close

Notional
Amount at
Value

Goldman Sachs

Dow Jones-UBS Commodity Index

International

Short

141.9021

(6,398,794

)

Dow Jones-UBS Commodity Index

UBS AG

Short

141.9021

(11,213,743

)

Swap Agreements as of March 31, 2011

Reference Index

Counterparty

Long or
Short

Index Close

Notional
Amount at
Value

Goldman Sachs

Dow Jones-UBS Commodity Index

International

Short

170.0975

(1,256,091

)

Dow Jones-UBS Commodity Index

UBS AG

Short

170 .0975

(3,945,426

)

The March 31, 2012 and 2011 short swap notional amounts are calculated by multiplying units times the closing level of the Index. These short notional amounts 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 amounts, 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, 2012 and 2011, 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 WTI Crude Oil Sub-Index. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2012 and 2011, which were sensitive to commodity price risk.

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Futures Positions as of March 31, 2012

Long or

Valuation

Contract

Notional Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

Crude Oil (NYMEX)

Long

May 2012

2,105

103.02

1,000

216,857,100

Swap Agreements as of March 31, 2012

Reference Index

Counterparty

Long or
Short

Index Close

Notional
Amount at
Value

Goldman Sachs

Dow Jones-UBS WTI Crude Oil Sub-Index

International

Long

267.5859

105,834,877

Dow Jones-UBS WTI Crude Oil Sub-Index

Societe Generale S.A

Long

267.5859

95,096,315

Dow Jones-UBS WTI Crude Oil Sub-Index

UBS AG

Long

267.5859

125,826,238

Futures Positions as of March 31, 2011

Long or

Valuation

Contract

Notional Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

Crude Oil (NYMEX)

Long

May 2011

2,085

106.72

1,000

222,511,200

Swap Agreements as of March 31, 2011

Reference Index

Counterparty

Long or
Short

Index Close

Notional
Amount at
Value

Goldman Sachs

Dow Jones-UBS WTI Crude Oil Sub-Index

International

Long

291.0902

142,520,893

Dow Jones-UBS WTI Crude Oil Sub-Index

UBS AG

Long

291.0902

177,392,224

The March 31, 2012 and 2011 futures notional amounts are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2012 and 2011 swap notional amounts are 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, 2012 and 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 WTI Crude Oil Sub-Index. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2012 and 2011, which were sensitive to commodity price risk.

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Futures Positions as of March 31, 2012

Long or

Valuation

Contract

Notional Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

Crude Oil (NYMEX)

Short

May 2012

1,211

103.02

1,000

(124,757,220

)


Swap Agreements as of March 31, 2012
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
	Goldman Sachs
Dow Jones-UBS WTI Crude Oil Sub-Index	International	Short	$	267.5859	$	(58,063,468	)
Dow Jones-UBS WTI Crude Oil Sub-Index	Societe Generale S.A.	Short		267.5859		(69,771,793	)
Dow Jones-UBS WTI Crude Oil Sub-Index	UBS AG	Short		267.5859		(55,399,216	)

Futures Positions as of March 31, 2011

Long or

Valuation

Contract

Notional
Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

Crude Oil (NYMEX)

Short

May 2011

1,105

106.72

1,000

(117,925,600

)

Swap Agreements as of March 31, 2011

Reference Index

Counterparty

Long or
Short

Index Close

Notional
Amount at
Value

Goldman Sachs

Dow Jones-UBS WTI Crude Oil Sub-Index

International

Short

291.0902

(70,184,997

)

Dow Jones-UBS WTI Crude Oil Sub-Index

UBS AG

Short

291.0902

(85,507,876

)

The March 31, 2012 and 2011 short futures notional amounts are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2012 and 2011 short swap notional amounts are 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.

ProShares Ultra DJ-UBS Natural Gas:

As of March 31, 2012, the ProShares DJ-UBS Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2012, which were sensitive to commodity price risk.

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Futures Positions as of March 31, 2012

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Long

May 2012

3,404

2.126

10,000

72,369,040

The March 31, 2012 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional amount will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, 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 $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.

ProShares UltraShort DJ-UBS Natural Gas:

As of March 31, 2012, the ProShares UltraShort DJ-UBS Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2012, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2012

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Short

May 2012

2,072

2.126

10,000

(44,050,720

)

The March 31, 2012 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional amount will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. 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.

ProShares Ultra Gold:

As of March 31, 2012 and 2011, the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2012 and 2011, which were sensitive to commodity price risk.

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Futures Positions as of March 31, 2012

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Long

June 2012

1,671.90

100

334,380

Forward Agreements as of March 31, 2012

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

Goldman Sachs

0.995 Fine Troy Ounce Gold

International

Long

1,662.69

177,608,546

0.995 Fine Troy Ounce Gold

Societe Generale S.A.

Long

1,662.69

184,392,321

0.995 Fine Troy Ounce Gold

UBS AG

Long

1,662.69

401,373,366

Futures Positions as of March 31, 2011

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 as of March 31, 2011

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

Goldman Sachs

0.995 Fine Troy Ounce Gold

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, 2012 and 2011 futures notional amounts are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2012 and 2011 forward notional amounts equal 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, 2012 and 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 tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2012 and 2011, which were sensitive to commodity price risk.

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Futures Positions as of March 31, 2012

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Short

June 2012

1,671.90

100

(334,380

)


Forward Agreements as of March 31, 2012

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
	Goldman Sachs
0.995 Fine Troy Ounce Gold	International	Short	$	1,662.69	$	(80,138,333	)
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Short		1,662.69		(105,248,277	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,662.69		(108,656,792	)

Futures Positions as of March 31, 2011

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Short

June 2011

1,439.90

100

(8,063,440

)

Forward Agreements as of March 31, 2011

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

Goldman Sachs

0.995 Fine Troy Ounce Gold

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, 2012 and 2011 short futures notional amounts are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2012 and 2011 short forward notional amounts equal 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 amounts, 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, 2012 and 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 tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2012 and 2011, which were sensitive to commodity price risk.

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Futures Positions as of March 31, 2012

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Long

May 2012

32.484

5,000

324,840

Forward Agreements as of March 31, 2012

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

Goldman Sachs

0.999 Fine Troy Ounce Silver

International

Long

32.4347

448,403,241

0.999 Fine Troy Ounce Silver

Societe Generale S.A.

Long

32.4347

500,953,942

0.999 Fine Troy Ounce Silver

UBS AG

Long

32.4347

741,068,026

Futures Positions as of March 31, 2011

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 as of March 31, 2011

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

Goldman Sachs

0.999 Fine Troy Ounce Silver

International

Long

37.8749

463,997,825

0.999 Fine Troy Ounce Silver

UBS AG

Long

37.8749

1,573,474,846

The March 31, 2012 and 2011 futures notional amounts are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2012 and 2011 forward notional amounts equal 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 amounts, 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 Silver:

As of March 31, 2012 and 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 tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2012 and 2011, which were sensitive to commodity price risk.

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Futures Positions as of March 31, 2012


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)		Short		May 2012		2	$	32.484		5,000	$	(324,840	)



Forward Agreements as of March 31, 2012

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
	Goldman Sachs
0.999 Fine Troy Ounce Silver	International	Short	$	32.4347	$	(153,983,738	)
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Short		32.4347		(131,522,709	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		32.4347		(112,548,409	)

Futures Positions as of March 31, 2011

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Short

May 2011

37 .888

5,000

(4,357,120

)

Forward Agreements as of March 31, 2011

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

Goldman Sachs

0.999 Fine Troy Ounce Silver

International

Short

37 .8749

(64,671,392

)

0.999 Fine Troy Ounce Silver

UBS AG

Short

37 .8749

(191,571,244

)

The March 31, 2012 and 2011 short futures notional amounts are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2012 and 2011 short forward notional amounts equal 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 short notional amounts, 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 Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of March 31, 2012 and 2011, each of the Currency Fund’s positions were as follows:

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ProShares Ultra Euro:

As of March 31, 2012 and 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 tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2012 and 2011, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2012

Reference

Currency

Counterparty

Long
or
Short

Settlement
Date

Euro

Forward
Rate

Market Value
USD

Goldman Sachs

Euro

International

Long

04/13/12

7,341,825

1.3338

9,792,168

Euro

UBS AG

Long

04/13/12

8,017,800

1.3338

10,693,751

Goldman Sachs

Euro

International

Short

04/13/12

(3,925,900

)

1.3338

(5,236,174

)

Euro

UBS AG

Short

04/13/12

(87,400

)

1.3338

(116,569

)

Foreign Currency Forward Contracts as of March 31, 2011

Reference

Currency

Counterparty

Long
or
Short

Settlement
Date

Euro

Forward
Rate

Market Value
USD

Goldman Sachs

Euro

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

Goldman Sachs

Euro

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, 2012 and 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 “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, 2012 and 2011, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2012 and 2011, which were sensitive to exchange rate price risk.

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Foreign Currency Forward Contracts as of March 31, 2012

Reference

Currency

Counterparty

Long
or
Short

Settlement
Date

Euro

Forward
Rate

Market Value
USD

Goldman Sachs

Euro

International

Long

04/13/12

167,089,600

1.3338

222,855,962

Euro

UBS AG

Long

04/13/12

87,767,200

1.3338

117,059,612

Goldman Sachs

Euro

International

Short

04/13/12

(681,701,025

)

1.3338

(909,219,589

)

Euro

UBS AG

Short

04/13/12

(801,759,700

)

1.3338

(1,069,347,996

)

Foreign Currency Forward Contracts as of March 31, 2011

Reference Currency

Counterparty

Long
or
Short

Settlement
Date

Euro

Forward
Rate

Market Value
USD

Goldman Sachs

Euro

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

Goldman Sachs

Euro

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, 2012 and 2011 USD market values equal the number of Euros multiplied by the forward rate. These short 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, 2012 and 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, 2012 and 2011, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2012

Reference

Currency

Counterparty

Long
or
Short

Settlement
Date

Yen

Forward
Rate

Market Value
USD

Goldman Sachs

Yen

International

Long

04/13/12

348,140,000

0.012080

4,205,479

Yen

UBS AG

Long

04/13/12

471,250,000

0.012080

5,692,630

Goldman Sachs

Yen

International

Short

04/13/12

(20,140,000

)

0.012080

(243,288

)

Yen

UBS AG

Short

04/13/12

(20,320,000

)

0.012080

(245,463

)

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Foreign Currency Forward Contracts as of March 31, 2011

Reference

Currency

Counterparty

Long
or
Short

Settlement
Date

Yen

Forward
Rate

Market Value
USD

Goldman Sachs

Yen

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

Goldman Sachs

Yen

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

)

The March 31, 2012 and 2011 USD market values equal 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, 2012 and 2011, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2012 and 2011, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2012

Reference

Currency

Counterparty

Long
or
Short

Settlement
Date

Yen

Forward
Rate

Market Value
USD

Goldman Sachs

Yen

International

Long

04/13/12

761,210,000

0.012080

9,195,303

Yen

UBS AG

Long

04/13/12

7,528,300,000

0.012080

90,940,742

Goldman Sachs

Yen

International

Short

04/13/12

(22,118,920,000

)

0.012080

(267,193,258

)

Yen

UBS AG

Short

04/13/12

(32,537,250,000

)

0.012080

(393,045,132

)

Foreign Currency Forward Contracts as of March 31, 2011

Reference

Currency

Counterparty

Long
or
Short

Settlement
Date

Yen

Forward
Rate

Market Value
USD

Goldman Sachs

Yen

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

Goldman Sachs

Yen

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

)

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The March 31, 2012 and 2011 USD market values equal the number of Yen multiplied by the forward rate. These short 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

Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. The following tables provide information about each of the VIX Funds’ Financial Instruments, which are sensitive to changes in equity market volatility indexes. As of March 31, 2012, each of the VIX Funds’ positions were as follows:

ProShares Ultra VIX Short-Term Futures ETF

As of March 31, 2012, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts and its holding of swap agreements linked to the S&P 500 VIX Short-Term Futures Index. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2012, which were sensitive to equity market volatility risk.


Futures Positions as of March 31, 2012

Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)		Long		April 2012		6,911	$	16.80		1,000	$	116,104,800
VIX Futures (CBOE)		Long		May 2012		5,028		19.00		1,000		95,532,000

Swap Agreements as of March 31, 2012

Reference Index

Counterparty

Long or
Short

Index Close

Notional
Amount at Value

S&P 500 VIX Short-Term Futures Index

Societe Generale S.A.

Long

6,106.05

28,698,435

ProShares VIX Short-Term Futures ETF

As of March 31, 2012 and 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, 2012 and 2011, which were sensitive to equity market volatility risk.


Futures Positions as of March 31, 2012

Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)		Long		April 2012		4,156	$	16.80		1,000	$	69,820,800
VIX Futures (CBOE)		Long		May 2012		3,021		19.00		1,000		57,399,000

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Futures Positions as of March 31, 2011

Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)		Long		April 2011		832	$	19.30		1,000	$	16,057,600
VIX Futures (CBOE)		Long		May 2011		768		20.80		1,000		15,974,400

ProShares Short VIX Short-Term Futures ETF

As of March 31, 2012, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse 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, 2012, which were sensitive to equity market volatility risk.


Futures Positions as of March 31, 2012

Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)		Short		April 2012		964	$	16.80		1,000	$	(16,195,200	)
VIX Futures (CBOE)		Short		May 2012		701	$	19.00		1,000	$	(13,319,000	)

ProShares VIX Mid-Term Futures ETF

As of March 31, 2012 and 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, 2012 and 2011, which were sensitive to equity market volatility risk.


Futures Positions as of March 31, 2012

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	July 2012		825	$	22.05		1,000	$	18,191,250
VIX Futures (CBOE)	Long	August 2012		1,424		23.40		1,000		33,321,600
VIX Futures (CBOE)	Long	September 2012		1,424		24.70		1,000		35,172,800
VIX Futures (CBOE)	Long	October 2012		600		25.75		1,000		15,450,000

Futures Positions as of March 31, 2011

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	July 2011		51	$	22.00		1,000	$	1,122,000
VIX Futures (CBOE)	Long	August 2011		98		22.40		1,000		2,195,200
VIX Futures (CBOE)	Long	September 2011		99		23.20		1,000		2,296,800
VIX Futures (CBOE)	Long	October 2011		47		23.80		1,000		1,118,600

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Qualitative Disclosure

As described above in Item 2 of this Quarterly Report on Form 10-Q, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, whether positive or negative, of its corresponding benchmark. Each UltraPro Fund will seek daily investment results (before fees and expenses) that correspond to three times (3x) the daily performance of its corresponding benchmark. Each Ultra Fund seeks or will seek daily investment results (before fees and expenses) that correspond to twice (2x) the daily performance of its corresponding benchmark. Each Short Fund will seek daily investment results (before fees and expenses) that correspond to the inverse (-1x) of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks or will seek daily investment results (before fees and expenses) that correspond to twice the inverse (-2x) of the daily performance of its corresponding benchmark. Each UltraPro Fund will seek daily investment results (before fees and expenses) that correspond to three times the inverse (-3x) of the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks daily 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. The Matching VIX Funds seek to achieve their stated investment objective both over a single day and over time. The Managed Futures Funds will seek to achieve their stated investment objective over time.

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.

Commodity Price Sensitivity

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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 a Short Fund, an UltraShort Fund or an UltraPro Short Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraPro Fund or 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 or the Currency Index 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 a Short Fund, an UltraShort Fund or an UltraPro Short Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an UltraPro Fund or 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 (1x, 2x, 3x, -1x, -2x or -3x), 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.

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 UltraPro Fund or 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 UltraPro Fund or an Ultra Fund should fall, meaning the Fund’s long exposure will generally need to be

-203-

decreased. Net assets for Short Funds, UltraShort Funds or UltraPro 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, an UltraShort Fund’s or an UltraPro 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).

Item 4. Controls and Procedures.

Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in 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, 2012, including providing 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 Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information 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 Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended March 31, 2012, that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.

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Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

Item 1A. Risk Factors.

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, 2011, filed on February 29, 2012.

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 became effective on December 4, 2009 and registered additional Shares and/or added Funds pursuant to Post-Effective Amendments to that Registration Statement, which became effective on May 28, 2010, November 5, 2010, December 23, 2010 and April 13, 2011. Additional amounts were registered pursuant to Prospectus Supplements, which aggregate total amounts are reflected in the “Amount Registered” column below. 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 Geared Fund continuously offers and redeems or will continuously offer and redeem and each Managed Futures Fund will continuously offer and redeem its Shares in blocks of 50,000 Shares, and each Matching VIX Fund continuously offers and redeems shares in blocks of 25,000 Shares. The New Funds have not yet commenced investment operations.

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Title of Securities Registered	Amount Registered As of March 31, 2012			Shares Sold For the Three Months Ended March 31, 2012		Sale Price of Shares Sold For the Three Months Ended March 31, 2012
ProShares Ultra DJ-UBS Commodity Common Units of Beneficial Interest	$	300,000,000			—	$	—
ProShares UltraShort DJ-UBS Commodity Common Units of Beneficial Interest	$	500,000,000			—	$	—
ProShares Ultra DJ-UBS Crude Oil Common Units of Beneficial Interest	$	3,000,000,000			3,200,000	$	129,360,697
ProShares UltraShort DJ-UBS Crude Oil Common Units of Beneficial Interest	$	1,500,000,000			2,300,000	$	77,519,159
ProShares Ultra DJ-UBS Natural Gas Common Units of Beneficial Interest	$	500,000,000			920,000	$	52,875,334
ProShares Short DJ-UBS Natural Gas Common Units of Beneficial Interest	$	500,000,000			—	$	—
ProShares UltraShort DJ-UBS Natural Gas Common Units of Beneficial Interest	$	500,000,000			450,000	$	13,524,375
ProShares Ultra Gold Common Units of Beneficial Interest	$	1,000,000,000			400,000	$	40,147,611
ProShares Short Gold Common Units of Beneficial Interest	$	500,000,000			—	$	—
ProShares UltraShort Gold Common Units of Beneficial Interest	$	1,000,000,000			—	$	—
ProShares Ultra Silver Common Units of Beneficial Interest	$	2,000,000,000			2,550,000	$	160,714,564
ProShares UltraShort Silver Common Units of Beneficial Interest	$	2,100,000,000			3,190,000	$	163,910,389
ProShares UltraPro Australian Dollar Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares Ultra Australian Dollar Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares Short Australian Dollar Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares UltraShort Australian Dollar Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares UltraPro Short Australian Dollar Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares UltraPro Canadian Dollar Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares Ultra Canadian Dollar Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares Short Canadian Dollar Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares UltraShort Canadian Dollar Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares UltraPro Short Canadian Dollar Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares UltraPro Euro Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares Ultra Euro Common Units of Beneficial Interest	$	500,000,000			50,000	$	1,209,580
ProShares Short Euro Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares UltraShort Euro Common Units of Beneficial Interest	$	2,103,506,872			2,150,000	$	41,253,887
ProShares UltraPro Short Euro Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares UltraPro Swiss Franc Dollar Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares Ultra Swiss Franc Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares Short Swiss Franc Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares UltraShort Swiss Franc Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares UltraPro Short Swiss Franc Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares UltraPro U.S. Dollar Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares Ultra U.S. Dollar Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares Short U.S. Dollar Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—
ProShares UltraShort U.S. Dollar Common Units of Beneficial Interest	$	1,000,000	¹		—	$	—

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ProShares UltraPro Short U.S. Dollar Common Units of Beneficial Interest	$	1,000,000	¹	—	$	—
ProShares UltraPro Yen Common Units of Beneficial Interest	$	1,000,000	¹	—	$	—
ProShares Ultra Yen Common Units of Beneficial Interest	$	500,000,000		—	$	—
ProShares Short Yen Common Units of Beneficial Interest	$	1,000,000	¹	—	$	—
ProShares UltraShort Yen Common Units of Beneficial Interest	$	1,300,000,000		1,850,000	$	81,089,987
ProShares UltraPro Short Yen Common Units of Beneficial Interest	$	1,000,000	¹	—	$	—
ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	1,700,000,000		12,525,000	$	341,264,628
ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	1,200,000,000		3,950,000	$	197,072,717
ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	500,000,000		1,250,000	$	101,916,545
ProShares UltraShort VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	—		—	$	—
ProShares Ultra VIX Mid-Term Futures ETF Common Units of Beneficial Interest	$	—		—	$	—
ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest	$	700,000,000		800,000	$	52,467,040
ProShares Short VIX Mid-Term Futures ETF Common Units of Beneficial Interest	$	—		—	$	—
ProShares UltraShort VIX Mid-Term Futures ETF Common Units of Beneficial Interest	$	—		—	$	—
ProShares Managed Futures Strategy Common Units of Beneficial Interest	$	1,000,000	²	—	$	—
ProShares Commodity Managed Futures Strategy Common Units of Beneficial Interest	$	1,000,000	²	—	$	—
ProShares Financial Managed Futures Strategy Common Units of Beneficial Interest	$	1,000,000	²	—	$	—
Total:	$	21,932,506,872		35,585,000	$	1,454,326,513

¹	A registration statement on Form S-1 was filed with the SEC on December 22, 2011 and February 22, 2012, registering this amount. However, the registration statements had not yet been declared effective as of March 31, 2012.

²	A registration statement on Form S-1 was filed with the SEC on November 29, 2011 and February 14, 2012, registering this amount. However, the registration statements had not yet been declared effective as of March 31, 2012.

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(c)	From January 1, 2012 through March 31, 2012, 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
01/01/12 to 01/31/12		—	$	—
02/01/12 to 02/29/12		—		—
03/01/12 to 03/31/12		—		—
ProShares UltraShort DJ-UBS Commodity
01/01/12 to 01/31/12		—		—
02/01/12 to 02/29/12		—		—
03/01/12 to 03/31/12		—		—
ProShares Ultra DJ-UBS Crude Oil
01/01/12 to 01/31/12		750,000		44.01
02/01/12 to 02/29/12		2,200,000		44.36
03/01/12 to 03/31/12		50,000		46.52
ProShares UltraShort DJ-UBS Crude Oil
01/01/12 to 01/31/12		700,000		38.55
02/01/12 to 02/29/12		500,000		39.98
03/01/12 to 03/31/12		450,000		35.24
ProShares Ultra DJ-UBS Natural Gas
01/01/12 to 01/31/12		—		—
02/01/12 to 02/29/12		—		—
03/01/12 to 03/31/12		—		—
ProShares UltraShort DJ-UBS Natural Gas
01/01/12 to 01/31/12		300,000		29.88
02/01/12 to 02/29/12		—		—
03/01/12 to 03/31/12		—		—
ProShares Ultra Gold
01/01/12 to 01/31/12		300,000		86.70
02/01/12 to 02/29/12		—		—
03/01/12 to 03/31/12		50,000		87.77
ProShares UltraShort Gold
01/01/12 to 01/31/12		900,000		17.98
02/01/12 to 02/29/12		—		—
03/01/12 to 03/31/12		—		—
ProShares Ultra Silver
01/01/12 to 01/31/12		950,000		48.03
02/01/12 to 02/29/12		—		—
03/01/12 to 03/31/12		250,000		63.04
ProShares UltraShort Silver
01/01/12 to 01/31/12		400,000		71.80
02/01/12 to 02/29/12		140,000		51.53
03/01/12 to 03/31/12		2,070,000		50.77
ProShares Ultra Euro
01/01/12 to 01/31/12		—		—
02/01/12 to 02/29/12		50,000		24.94
03/01/12 to 03/31/12		100,000		24.83
ProShares UltraShort Euro
01/01/12 to 01/31/12		7,450,000		20.37
02/01/12 to 02/29/12		2,300,000		19.33
03/01/12 to 03/31/12		3,300,000		19.34
ProShares Ultra Yen
01/01/12 to 01/31/12		—		—
02/01/12 to 02/29/12		—		—
03/01/12 to 03/31/12		—		—
ProShares UltraShort Yen
01/01/12 to 01/31/12		—		—
02/01/12 to 02/29/12		300,000		42.42
03/01/12 to 03/31/12		1,000,000		47.34

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ProShares Ultra VIX Short-Term Futures ETF
01/01/12 to 01/31/12	—	—
02/01/12 to 02/29/12	—	—
03/01/12 to 03/31/12	4,266,823	18.27
ProShares VIX Short-Term Futures ETF
01/01/12 to 01/31/12	275,000	57.28
02/01/12 to 02/29/12	425,000	51.79
03/01/12 to 03/31/12	75,000	36.57
ProShares Short VIX Short-Term Futures ETF
01/01/12 to 01/31/12	50,000	68.84
02/01/12 to 02/29/12	500,000	71.81
03/01/12 to 03/31/12	550,000	87.74
ProShares VIX Mid-Term Futures ETF
01/01/12 to 01/31/12	—	—
02/01/12 to 02/29/12	—	—
03/01/12 to 03/31/12	200,000	67.59
Total:	30,851,823	32.32

-209-

Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

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.

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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, 2012

/s/ Edward Karpowicz

By: Edward Karpowicz

Principal Financial Officer

Date: May 10, 2012