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.

OR

¨ 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.

Large accelerated filer	x	Accelerated filer	¨
Non-accelerated filer	¨  (Do not check if a smaller reporting company)	Smaller reporting company	¨

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.

-6-

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.

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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