ProShares Trust II (ZSL) risk factors, FY2025 10-K

Other

1. 01The graph above shows a scenario where the index, which exhibits day-to-day volatility, is down over the year, but the Ultra Fund (1.5x) is down less than one and one-half times the index
2. 02The graph above shows a scenario where the benchmark, which exhibits day-to-day volatility, is up over the year, but the Ultra Fund (2x) is up less than two times the benchmark and the UltraShort Fund (-2x) is down less than two times the inverse of the benchmark
3. 030.0 % 0.0 % -0.1 % -0.4 % -0.8 % -1.5 % -2.3 % -3.3 % -4.5 % -5.8 % -7.3 % -8.9 % -10.7 % -12.6 % -14.7 % -16.8 % -19.0 %
4. 040 % 0.0 % -0.7 % -3.0 % -6.5 % -11.3 % -17.1 % -23.7 % -30.8 % -38.1 % -45.5 % -52.8 % -59.6 % -66.0 % -71.8 % -77.0 %
5. 05Performance 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% 60% 65% 70% 75%
6. 06Performance 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% 55% 60% 65% 70%
7. 07120 % 156.0 % 155.4 % 153.5 % 150.3 % 146.0 % 140.5 % 134.0 % 126.5 % 118.1 % 109.1 % 99.4 % 89.2 % 78.6 % 67.8 % 56.8 %
8. 08Correlation and Performance Risks Specific to the Geared Funds
9. 09Intraday Price Performance Risk
10. 10The use of leveraged, inverse and/or inverse leveraged positions could result in the total loss of an investor’s investment
11. 11A number of factors may have a negative impact on the price of commodities, such as oil, gold, silver and natural gas, and the price of Financial Instruments based on such commodities
12. 12Political activity such as the adoption of changes to legislation, imposition of regulations or entry into trade treaties, as well as political disruptions caused by societal breakdown, insurrection, terrorism, pandemics, sabotage and/or war may greatly influence commodities prices
13. 13The recent proliferation of commodity-linked products and their unknown effect on the commodity markets
14. 14A number of factors may have a negative impact on the value of non-U.S. currencies and the value of Financial Instruments based on such currencies
15. 15Overall growth and performance of the economies of the relevant countries; and
16. 16The Natural Gas Funds are linked to an index comprised of natural gas futures contracts, and are not directly linked to the “spot” price of natural gas. Natural Gas futures contracts may perform very differently from the spot price of natural gas
17. 17The Oil Funds are linked to an index comprised of crude oil futures contracts, and are not directly linked to the “spot” price of crude oil. Oil futures contracts may perform very differently from the spot price of crude oil
18. 18Risks Specific to ProShares Ultra Euro and ProShares UltraShort Euro
19. 19The VIX Funds are benchmarked to a VIX Futures Index. They are not benchmarked to the VIX or actual realized volatility of the S&P 500
20. 20VIX futures contracts are not directly based on a tradable underlying asset
21. 21The level of the VIX has historically reverted to a long-term mean level and is subject to the risk associated with reversion to its mean. Accordingly, investors should not expect the VIX Funds to retain any appreciation in value over extended periods of time
22. 22The value of the Shares of a VIX Futures Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by that Fund. Fluctuations in the price of these Financial Instruments or assets could materially adversely affect an investment in such Fund’s Shares
23. 23Margin requirements for VIX futures contracts and position limits imposed by exchanges and/or FCMs may limit the VIX Futures Fund’s ability to achieve sufficient exposure and prevent the Fund from achieving its investment objective92% rewritten
24. 24which such contract is traded and is subject to change at any time during the term of the contract. Futures contracts are customarily bought and sold on margins that represent a percentage of the aggregate purchase or sales price of the contractNew

Risks Related to All Funds

1. 25Correlation Risks for all Funds
2. 26The assets that the Funds invest in can be highly volatile and the Funds may experience large losses when buying, selling or holding such instruments
3. 27Potential negative impact from rolling futures positions
4. 28Credit and liquidity risks associated with collateralized repurchase agreements
5. 29Possible illiquid markets may exacerbate losses
6. 30It may not be possible to gain exposure to the benchmarks using exchange-traded Financial Instruments in the future
7. 31Fees are charged regardless of a Fund’s returns and may result in depletion of assets
8. 32For the Funds linked to a benchmark, changes implemented by the benchmark provider that affect the composition and valuation of the benchmark could adversely affect the value of Fund Shares and an investment in a Fund Shares
9. 33The particular benchmark used by a Fund may underperform other asset classes and may underperform other indices or benchmarks based upon the same underlying Reference Asset
10. 34The Funds may be subject to counterparty risks
11. 35Financial markets, including the Financial Instruments used by a Fund, may be subject to unusual trading activity, volatility, and potential fraud and/or manipulation by third parties
12. 36Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund, subject to applicable law
13. 37Historical correlation trends between Fund benchmarks and other asset classes may not continue or may reverse, limiting or eliminating any potential diversification or other benefit from owning a Fund
14. 38Investors cannot be assured of the Sponsor’s continued services, the discontinuance of which may be detrimental to the Funds
15. 39The lack of active trading markets for any of the Shares of the Funds may result in losses on investors’ investments at the time of disposition of such Shares
16. 40A Fund may change its investment objective, benchmark and investment strategies, and/or may terminate, at any time without shareholder approval
17. 41Investors may be adversely affected by redemption or creation orders that are subject to postponement, suspension or rejection under certain circumstances
18. 42The NAV per Share may not correspond to the market price per Share
19. 43Investors who purchase Fund Shares in the secondary market and pay a premium purchase price over a Fund’s indicative optimized portfolio value (“IOPV”) could incur significant losses in the event such investor sells such Fund Shares at a time when such premium is no longer present in the marketplace
20. 44The number of underlying components included in a Fund’s benchmark may impact volatility, which could adversely affect an investment in the Shares
21. 45Trading on exchanges outside the United States is generally not subject to U.S. regulation and may result in different or diminished investor protections
22. 46Competing claims of intellectual property rights may affect the Funds and an investment in the shares
23. 47Investors may be adversely affected by an overstatement or understatement of a Fund’s NAV due to the valuation method employed or errors in the NAV calculation
24. 48Shareholders that are not Authorized Participants may only purchase or sell their Shares in secondary trading markets, and the conditions associated with trading in secondary markets may adversely affect investors’ investment in the Shares
25. 49The applicable Exchange may halt trading in the Shares of a Fund which would adversely impact investors’ ability to sell Shares
26. 50Shareholders do not have the protections associated with ownership of shares in an investment company registered under the 1940 Act
27. 51Shareholders do not have the rights enjoyed by investors in certain other vehicles and may be adversely affected by a lack of statutory rights and by limited voting and distribution rights
28. 52The value of the Shares will be adversely affected if the Funds are required to indemnify Wilmington Trust Company (the “Trustee”) and/or the Sponsor
29. 53Although the Shares of the Funds are limited liability investments, certain circumstances such as bankruptcy of a Fund will increase a shareholder’s liability
30. 54Failure of the FCMs to segregate assets may increase losses in the Funds
31. 55A court could potentially conclude that the assets and liabilities of one Fund are not segregated from those of another Fund and may thereby potentially expose assets in a Fund to the liabilities of another Fund
32. 56There may be circumstances that could prevent a Fund from being operated in a manner consistent with its investment objective and principal investment strategies
33. 57Due to the increased use of technologies, intentional and unintentional cyber-attacks pose operational and information security risks
34. 58Shareholders’ tax liability may exceed cash distributions on the Shares
35. 59The U.S. Internal Revenue Service (“IRS”) could adjust or reallocate items of income, gain, deduction, loss and credit with respect to the Shares if the IRS does not accept the assumptions or conventions utilized by the Fund
36. 60Shareholders will receive partner information tax returns on Schedule K-1, which could increase the complexity of tax returns
37. 61Shareholders of each Fund may recognize significant amounts of ordinary income and short-term capital gain
38. 62A Fund could be treated as a corporation for federal income tax purposes, which may substantially reduce the value of Shares
39. 63Changes in U.S. federal income tax law could affect an investment in the Shares
40. 64Regulatory changes or actions, including the implementation of new legislation, may alter the operations and profitability of the Funds89% rewritten
41. 65the cost of trading to increase for market participants, like the Funds, that must interact with those intermediaries to carry out their trading activities. These increased costs can detract from the Funds’ performanceNew
42. 66related to the purchase and sale of funds like the Geared Funds. Although it is impossible to predict the outcome of such review, its impact could be adverse to the effect on the Geared FundsNew
43. 67Regulatory bodies outside the U.S. have also passed or proposed, or may propose in the future, legislation similar to that proposed by Dodd-Frank or other legislation containing other restrictions that could adversely impact the liquidity of and increase costs of participating in the commodities markets
44. 68Regulatory and exchange accountability levels may restrict the creation of Creation Units and the operation of the Trust
45. 69Margin for Non-cleared Swap and Forward Transactions
46. 70Regulatory changes or actions may alter the operations and profitability of the Funds
47. 71A Fund’s performance could be adversely affected if the FCM reduces its internal risk limits for the Fund
48. 72The Funds and the Sponsor are subject to extensive legal and regulatory requirements
49. 73In addition, each of the Funds is subject to significant disclosure, internal control, governance, and financial reporting requirements because the Shares are publicly traded