SSO Ultra S&P500 SUMMARY PROSPECTUS OCTOBER 1, 2021 - ProShares ETFs
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SUMMARY PROSPECTUS
OCTOBER 1, 2021
SSO
Ultra S&P500®
As permitted by regulations adopted by the Securities and Exchange Commission, paper copies of a Fund’s annual and semiannual shareholder
reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on
the Trust’s website (www.proshares.com), and you will be notified by mail each time a report is posted and provided with a website link to
access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You
may elect to receive shareholder reports and other communications from the Fund electronically anytime by contacting your financial intermedi-
ary (such as your brokerage firm).
You may elect to receive all future reports in paper free of charge. Please contact your financial intermediary to request that you continue to
receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held in your account that you
invest in through your financial intermediary.
This Summary Prospectus is designed to provide investors with key fund information in a clear and concise format. Before you invest, you may
want to review the Fund’s Full Prospectus, which contains more information about the Fund and its risks. The Fund’s Full Prospectus, dated
October 1, 2021, and Statement of Additional Information, dated October 1, 2021, and as each hereafter may be supplemented, are incorpo-
rated by reference into this Summary Prospectus. All of this information may be obtained at no cost either: online at ProShares.com/resources/
prospectus_reports.html; by calling 866-PRO-5125 (866-776-5125); or by sending an email request to info@ProShares.com. The Securities
and Exchange Commission has not approved or disapproved these securities or passed upon the adequacy of this Summary Prospectus. Any
representation to the contrary is a criminal offense.
SSO LISTED ON NYSE ARCAReceive investor materials electronically: Shareholders may sign up for electronic delivery of investor materials. By doing so, you will receive the information faster and help us reduce the impact on the environment of providing these materials. To enroll in electronic delivery, 1. Go to www.icsdelivery.com 2. Select the first letter of your brokerage firm’s name. 3. From the list that follows, select your brokerage firm. If your brokerage firm is not listed, electronic delivery may not be available. Please contact your brokerage firm. 4. Complete the information requested, including the e-mail address where you would like to receive notifications for electronic documents. Your information will be kept confidential and will not be used for any purpose other than electronic delivery. If you change your mind, you can cancel electronic delivery at any time and revert to physical delivery of your materials. Just go to www.icsdelivery.com, perform the first three steps above, and follow the instructions for cancelling electronic delivery. If you have any questions, please contact your brokerage firm.
PROSHARES.COM SSO ULTRA S&P500® :: 3
Important Information About the Fund 1 ProShare Advisors LLC (“ProShare Advisors”) has contractually
agreed to waive Investment Advisory and Management Services
ProShares Ultra S&P500® (the “Fund”) seeks daily investment Fees and to reimburse Other Expenses to the extent Total Annual
results, before fees and expenses, that correspond to two Fund Operating Expenses Before Fee Waivers and Expense Reim-
times (2x) the return of the S&P 500® Index (the “Index”) for a bursements, as a percentage of average daily net assets, exceed
single day, not for any other period. A “single day” is mea- 0.95% through September 30, 2022. After such date, the expense
limitation may be terminated or revised by ProShare Advisors.
sured from the time the Fund calculates its net asset value Amounts waived or reimbursed in a particular contractual period may
(“NAV”) to the time of the Fund’s next NAV calculation. The be recouped by ProShare Advisors within five years of the end of that
return of the Fund for periods longer than a single day will contractual period, however, such recoupment will be limited to the
be the result of its return for each day compounded over the lesser of any expense limitation in place at the time of recoupment or
period. The Fund’s returns for periods longer than a single the expense limitation in place at the time of waiver or reimburse-
ment.
day will very likely differ in amount, and possibly even
direction, from the Fund’s stated multiple (2x) times the Example: This example is intended to help you compare the cost
return of the Index for the same period. For periods longer of investing in the Fund with the cost of investing in
than a single day, the Fund will lose money if the Index’s other funds.
performance is flat, and it is possible that the Fund will lose The example assumes that you invest $10,000 in the Fund for
money even if the level of the Index rises. Longer holding the time periods indicated and then redeem or hold all of your
periods, higher Index volatility, and greater leveraged expo- shares at the end of each period. The example also assumes
sure each exacerbate the impact of compounding on an inves- that your investment has a 5% return each year and that the
tor’s returns. During periods of higher Index volatility, the Fund’s operating expenses remain the same. Although your
volatility of the Index may affect the Fund’s return as much as actual costs may be higher or lower, based on these assump-
or more than the return of the Index. tions your approximate costs would be:
The Fund presents different risks than other types of funds. 1 Year 3 Years 5 Years 10 Years
The Fund uses leverage and is riskier than similarly
benchmarked funds that do not use leverage. The Fund may $91 $284 $493 $1,096
not be suitable for all investors and should be used only by The Fund pays transaction and financing costs associated
knowledgeable investors who understand the consequences with the purchase and sale of securities and derivatives.
of seeking daily leveraged (2x) investment results of the These costs are not reflected in the table or the
Index, including the impact of compounding on Fund per- example above.
formance. Investors in the Fund should actively manage and
monitor their investments, as frequently as daily. An inves- Portfolio Turnover
tor in the Fund could potentially lose the full value of their The Fund pays transaction costs, such as commissions, when
investment within a single day. it buys and sells securities (or “turns over” its portfolio). A
higher portfolio turnover rate may indicate higher transac-
Investment Objective tion costs and may result in higher taxes when the Fund’s
The Fund seeks daily investment results, before fees and shares are held in a taxable account. These costs, which are
expenses, that correspond to two times (2x) the daily perfor- not reflected in Annual Fund Operating Expenses or in the
mance of the Index. The Fund does not seek to achieve its example above, affect the Fund’s performance. During the
stated investment objective over a period of time greater most recent fiscal year, the Fund’s annual portfolio turnover
than a single day. rate was 3% of the average value of its entire portfolio. This
portfolio turnover rate is calculated without regard to cash
Fees and Expenses of the Fund instruments or derivatives transactions. If such transactions
The table below describes the fees and expenses that you may were included, the Fund’s portfolio turnover rate would be sig-
pay if you buy, hold, and sell shares of the Fund. You may pay nificantly higher.
other fees, such as brokerage commissions and other fees to
financial intermediaries, which are not reflected in the tables Principal Investment Strategies
and examples below. The Fund invests in financial instruments that ProShare Advi-
sors believes, in combination, should produce daily returns
Annual Fund Operating Expenses
(expenses that you pay each year as a percentage
consistent with the Fund’s investment objective. The Index is
of the value of your investment) constructed and maintained by S&P Dow Jones Indices LLC.
Management Fees 0.75% The Index is a measure of large-cap U.S. stock market perfor-
Other Expenses 0.14% mance. It is a float-adjusted, market capitalization-weighted
index of 500 U.S. operating companies and real estate invest-
Total Annual Fund Operating Expenses1 0.89%
ment trusts selected through a process that factors in criteria4 :: ULTRA S&P500® SSO PROSHARES.COM
such as liquidity, price, market capitalization, financial viabil- daily returns consistent with the Fund’s daily investment
ity and public float. The Index is published under the objective. The Fund may invest in or gain exposure to only a
Bloomberg ticker symbol “SPX.” representative sample of the securities in the Index or to secu-
rities not contained in the Index or in financial instruments,
The Fund will invest principally in the financial instruments
with the intent of obtaining exposure with aggregate charac-
set forth below. The Fund expects that its cash balances main-
teristics similar to those of a multiple of the single day
tained in connection with the use of financial instruments
returns of the Index. In managing the assets of the Fund,
will typically be held in money market instruments.
ProShare Advisors does not invest the assets of the Fund in
• Equity Securities — The Fund invests in common stock issued securities or financial instruments based on ProShare Advi-
by public companies. sors’ view of the investment merit of a particular security,
• Derivatives — The Fund invests in derivatives, which are instrument, or company, nor does it conduct conventional
financial instruments whose value is derived from the investment research or analysis or forecast market movement
value of an underlying asset or assets, such as stocks, or trends. The Fund seeks to remain fully invested at all times
bonds, funds (including exchange-traded funds (“ETFs”)), in securities and/or financial instruments that, in combina-
interest rates or indexes. The Fund invests in derivatives as tion, provide leveraged exposure to the single day returns of
a substitute for investing directly in securities in order to the Index, consistent with its investment objective, without
seek returns for a single day that are leveraged (2x) to the regard to market conditions, trends or direction. The Fund
returns of the Index for that day. These derivatives princi- seeks investment results for a single day only, measured as
pally include: the time the Fund calculates its NAV to the next time the Fund
calculates its NAV, and not for any other period.
䡩 Swap Agreements — Contracts entered into primarily with
major global financial institutions for a specified period The Fund seeks to engage in daily rebalancing to position its
ranging from a day to more than one year. In a standard portfolio so that its exposure to the Index is consistent with
“swap” transaction, two parties agree to exchange the the Fund’s daily investment objective. The time and manner in
return (or differentials in rates of return) earned or real- which the Fund rebalances its portfolio may vary from day to
ized on particular predetermined investments or instru- day at the discretion of ProShare Advisors, depending on mar-
ments. The gross return to be exchanged or “swapped” ket conditions and other circumstances. The Index’s move-
between the parties is calculated with respect to a ments during the day will affect whether the Fund’s portfolio
“notional amount,” e.g., the return on or change in value needs to be rebalanced. For example, if the Index has risen on
of a particular dollar amount invested in a “basket” of a given day, net assets of the Fund should rise (assuming
securities or an ETF representing a particular index. there were no Creation Unit redemptions). As a result, the
Fund’s exposure will need to be increased. Conversely, if the
䡩 Futures Contracts — Standardized contracts traded on, or Index has fallen on a given day, net assets of the Fund should
subject to the rules of, an exchange that call for the fall (assuming there were no Creation Units issued). As a
future delivery of a specified quantity and type of asset result, the Fund’s exposure will need to be decreased.
at a specified time and place or, alternatively, may call
Daily rebalancing and the compounding of each day’s return
for cash settlement.
over time means that the return of the Fund for a period lon-
• Money Market Instruments — The Fund invests in short-term ger than a single day will be the result of each day’s returns
cash instruments that have a remaining maturity of 397 compounded over the period, which will very likely differ in
days or less and exhibit high quality credit profiles, amount, and possibly even direction, from two times (2x)
for example: the return of the Index for the same period. The Fund will
䡩 U.S. Treasury Bills — U.S. government securities that have lose money if the Index’s performance is flat over time, and
initial maturities of one year or less, and are supported the Fund can lose money regardless of the performance of
by the full faith and credit of the U.S. government. the Index, as a result of daily rebalancing, the Index’s vola-
tility, compounding of each day’s return and other factors.
䡩 Repurchase Agreements — Contracts in which a seller of See “Principal Risks” below.
securities, usually U.S. government securities or other
money market instruments, agrees to buy the securities The Fund will concentrate (i.e., invest in securities that repre-
back at a specified time and price. Repurchase agree- sent 25 percent or more of the value of the Index) or focus (i.e.,
ments are primarily used by the Fund as a short-term invest in securities that represent a substantial portion of its
investment vehicle for cash positions. value, but less than 25 percent) its investments in a particular
industry or group of industries to approximately the same
ProShare Advisors uses a mathematical approach to invest- extent the Index is so concentrated or focused. As of May 31,
ing. Using this approach, ProShare Advisors determines the 2021, the Index was concentrated in the information technol-
type, quantity and mix of investment positions that it ogy industry group.
believes, in combination, the Fund should hold to producePROSHARES.COM SSO ULTRA S&P500® :: 5
Please see “Investment Objectives, Principal Investment ated with using derivatives will also have the effect of low-
Strategies and Related Risks” in the Fund’s Prospectus for ering the Fund’s return.
additional details. • Leverage Risk — The Fund obtains investment exposure in
Principal Risks excess of its assets in seeking to achieve its investment
objective — a form of leverage — and will lose more money
You may lose the full value of your investment within a
in market environments adverse to its daily objective than
single day.
a similar fund that does not employ such leverage. The use
The principal risks described below are intended to provide of such leverage increases the risk of a total loss of an
information about the factors likely to have a significant investor’s investment. For example, because the Fund
adverse impact on the Fund’s returns and consequently the includes a multiplier of two times (2x) the Index, a single
value of an investment in the Fund. The risks are presented in day movement in the Index approaching 50% at any point
an order intended to facilitate readability and their order does in the day could result in the total loss of an investor’s
not imply that the realization of one risk is more likely to investment if that movement is contrary to the investment
occur than another risk or likely to have a greater adverse objective of the Fund, even if the Index subsequently moves
impact than another risk. in an opposite direction, eliminating all or a portion of the
• Risks Associated with the Use of Derivatives — Investing in deriva- earlier movement. This would be the case with any such
tives may be considered aggressive and may expose the single day movements in the Index, even if the Index main-
Fund to greater risks and may result in larger losses or tains a level greater than zero at all times. In addition, the
smaller gains than investing directly in the reference use of leverage may increase the volatility of the Fund and
asset(s) underlying those derivatives. These risks include magnify any differences between the performance of the
counterparty risk, liquidity risk and increased correlation Fund and the Index.
risk. When the Fund uses derivatives, there may be imper- • Compounding Risk — The Fund has a single day investment
fect correlation between the value of the reference asset(s) objective, and the Fund’s performance for any other period
underlying the derivative (e.g., the Index) and the deriva- is the result of its return for each day compounded over the
tive, which may prevent the Fund from achieving its invest- period. The performance of the Fund for periods longer
ment objective. Because derivatives often require only a than a single day will very likely differ in amount, and pos-
limited initial investment, the use of derivatives also may sibly even direction, from two times (2x) the daily return of
expose the Fund to losses in excess of those amounts ini- the Index for the same period, before accounting for fees
tially invested. The Fund may use a combination of swaps and expenses. Compounding affects all investments, but
on the Index and swaps on an ETF that is designed to track has a more significant impact on a leveraged fund. This
the performance of the Index. The performance of an ETF effect becomes more pronounced as Index volatility and
may not track the performance of the Index due to embed- holding periods increase. Fund performance for a period
ded costs and other factors. Thus, to the extent the Fund longer than a single day can be estimated given any set of
invests in swaps that use an ETF as the reference asset, the assumptions for the following factors: (a) Index volatility;
Fund may be subject to greater correlation risk and may not (b) Index performance; (c) period of time; (d) financing
achieve as high a degree of correlation with the Index as it rates associated with leveraged exposure; (e) other Fund
would if the Fund only used swaps on the Index. Moreover, expenses; and (f) dividends or interest paid with respect to
with respect to the use of swap agreements, if the Index has securities in the Index. The chart below illustrates the
a dramatic intraday move that causes a material decline in impact of two principal factors — Index volatility and Index
the Fund’s net assets, the terms of a swap agreement performance — on Fund performance. The chart shows esti-
between the Fund and its counterparty may permit the mated Fund returns for a number of combinations of Index
counterparty to immediately close out the transaction with volatility and Index performance over a one-year period.
the Fund. In that event, the Fund may be unable to enter Actual volatility, Index and Fund performance may differ
into another swap agreement or invest in other derivatives significantly from the chart below. Performance shown in
to achieve the desired exposure consistent with the Fund’s the chart assumes: (a) no dividends paid with respect to
investment objective. This, in turn, may prevent the Fund securities included in the Index; (b) no Fund expenses; and
from achieving its investment objective, even if the Index (c) borrowing/lending rates (to obtain leveraged exposure)
reverses all or a portion of its intraday move by the end of of zero percent. If Fund expenses and/or actual borrowing/
the day. As a result, the value of an investment in the Fund lending rates were reflected, the Fund’s performance would
may change quickly and without warning. Any costs associ- be different than shown.6 :: ULTRA S&P500® SSO PROSHARES.COM
Areas shaded darker represent those scenarios where the • Correlation Risk — A number of factors may affect the Fund’s
Fund can be expected to return less than two times (2x) the ability to achieve a high degree of leveraged correlation
performance of the Index. with the Index, and there is no guarantee that the Fund will
achieve a high degree of leveraged correlation. Failure to
Estimated Fund Returns
achieve a high degree of leveraged correlation may prevent
Index Performance One Year Volatility Rate
the Fund from achieving its investment objective, and the
Two times percentage change of the Fund’s NAV each day may differ,
One (2x) the perhaps significantly in amount, and possibly even direc-
Year One Year
Index Index 10% 25% 50% 75% 100%
tion, from two times (2x) the percentage change of the
-60% -120% -84.2% -85.0% -87.5% -90.9% -94.1% Index on such day.
-50% -100% -75.2% -76.5% -80.5% -85.8% -90.8% In order to achieve a high degree of leveraged correlation
-40% -80% -64.4% -66.2% -72.0% -79.5% -86.8% with the Index, the Fund seeks to rebalance its portfolio
-30% -60% -51.5% -54.0% -61.8% -72.1% -82.0% daily to keep exposure consistent with its investment objec-
-20% -40% -36.6% -39.9% -50.2% -63.5% -76.5% tive. Being materially under- or overexposed to the Index
-10% -20% -19.8% -23.9% -36.9% -53.8% -70.2% may prevent the Fund from achieving a high degree of lev-
0% 0% -1.0% -6.1% -22.1% -43.0% -63.2% eraged correlation with the Index and may expose the Fund
10% 20% 19.8% 13.7% -5.8% -31.1% -55.5%
to greater leverage risk. Market disruptions or closure,
regulatory restrictions, market volatility, illiquidity in the
20% 40% 42.6% 35.3% 12.1% -18.0% -47.0%
markets for the financial instruments in which the Fund
30% 60% 67.3% 58.8% 31.6% -3.7% -37.8%
invests, and other factors will adversely affect the Fund’s
40% 80% 94.0% 84.1% 52.6% 11.7% -27.9%
ability to adjust exposure to requisite levels. The target
50% 100% 122.8% 111.4% 75.2% 28.2% -17.2% amount of portfolio exposure is impacted dynamically by
60% 120% 153.5% 140.5% 99.4% 45.9% -5.8% the Index’s movements, including intraday movements.
The foregoing table is intended to isolate the effect of Because of this, it is unlikely that the Fund will have per-
Index volatility and Index performance on the return of the fect leveraged (2x) exposure during the day or at the end of
Fund and is not a representation of actual returns. For each day and the likelihood of being materially under- or
example, the Fund may incorrectly be expected to achieve a overexposed is higher on days when the Index is volatile,
-40% return on a yearly basis if the Index return were -20%, particularly when the Index is volatile at or near the close
absent the effects of compounding. As the table shows, of the trading day.
with Index volatility of 50%, the Fund could be expected to A number of other factors may also adversely affect the
return -50.2% under such a scenario. The Fund’s actual Fund’s leveraged correlation with the Index, including fees,
returns may be significantly better or worse than the expenses, transaction costs, financing costs associated
returns shown above as a result of any of the factors dis- with the use of derivatives, income items, valuation meth-
cussed above or in “Principal Risks — Correlation Risk” odology, accounting standards and disruptions or illiquid-
below. ity in the markets for the securities or financial instru-
The Index’s annualized historical volatility rate for the five- ments in which the Fund invests. The Fund may not have
year period ended May 31, 2021 was 19.27%. The Index’s investment exposure to all of the securities in the Index, or
highest May to May volatility rate during the five-year its weighting of investment exposure to securities may be
period was 32.96% (May 29, 2020). The Index’s annualized different from that of the Index. In addition, the Fund may
total return performance for the five-year period ended invest in securities not included in the Index. The Fund
May 31, 2021 was 17.15%. Historical Index volatility and per- may take or refrain from taking positions in order to
formance are not indications of what the Index volatility improve tax efficiency, comply with regulatory restrictions,
and performance will be in the future. The volatility of U.S. or for other reasons, each of which may negatively affect
exchange-traded securities or instruments that reflect the the Fund’s correlation with the Index. The Fund may also be
value of the Index may differ from the volatility of subject to large movements of assets into and out of the
the Index. Fund, potentially resulting in the Fund being under- or
overexposed to the Index and may be impacted by Index
For additional graphs and charts demonstrating the reconstitutions and Index rebalancing events. Additionally,
effects of Index volatility and Index performance on the the Fund’s underlying investments and/or reference assets
long-term performance of the Fund, see “Understanding may trade on markets that may not be open on the same
the Risks and Long-Term Performance of Daily Objective day as the Fund, which may cause a difference between the
Funds — The Impact of Compounding” in the Fund’s Pro- changes in the daily performance of the Fund and changes
spectus and “Special Note Regarding the Correlation in the level of the Index. Any of these factors could decrease
Risks of Geared Funds” in the Fund’s Statement of Addi- correlation between the performance of the Fund and the
tional Information.PROSHARES.COM SSO ULTRA S&P500® :: 7
Index and may hinder the Fund’s ability to meet its daily opments affecting issuers in a particular industry or group
investment objective on or around that day. of industries will have a greater effect on the Fund, and if
securities of the particular industry or group of industries
• Rebalancing Risk — If for any reason the Fund is unable to
fall out of favor, the Fund could underperform, or its net
rebalance all or a portion of its portfolio, or if all or a por-
asset value may be more volatile than, funds that have
tion of the portfolio is rebalanced incorrectly, the Fund’s
greater industry diversification.
investment exposure may not be consistent with the Fund’s
investment objective. In these instances, the Fund may • Exposure to Large-Cap Company Investment Risk — Although
have investment exposure to the Index that is significantly returns on investments in large-cap companies are often
greater or less than its stated multiple. As a result, the Fund perceived as being less volatile than the returns of compa-
may be more exposed to leverage risk than if it had been nies with smaller market capitalizations, the return on
properly rebalanced and may not achieve its invest- large-cap securities could trail the returns on investments
ment objective. in smaller and mid-sized companies for a number of rea-
sons. For example, large-cap companies may be unable to
• Counterparty Risk — Investing in derivatives and repurchase
agreements involves entering into contracts with third par- respond quickly to new competitive challenges, such as
ties (i.e., counterparties). The use of derivatives and repur- changes in technology, and also may not be able to attain
chase agreements involves risks that are different from the high growth rate of successful smaller companies.
those associated with ordinary portfolio securities transac- • Non-Diversification Risk — The Fund is classified as “non-
tions. The Fund will be subject to credit risk (i.e., the risk diversified” under the Investment Company Act of 1940, as
that a counterparty is or is perceived to be unwilling or amended (“1940 Act”). This means it has the ability to
unable to make timely payments or otherwise meet its con- invest a relatively high percentage of its assets in the secu-
tractual obligations) with respect to the amount it expects rities of a small number of issuers or in financial instru-
to receive from counterparties to derivatives and repur- ments with a single counterparty or a few counterparties.
chase agreements entered into by the Fund. If a This may increase the Fund’s volatility and increase the
counterparty becomes bankrupt or fails to perform its obli- risk that the Fund’s performance will decline based on the
gations, or if any collateral posted by the counterparty for performance of a single issuer or the credit of a single
the benefit of the Fund is insufficient or there are delays in counterparty.
the Fund’s ability to access such collateral, the value of an • Index Performance Risk — The Index is maintained by a third
investment in the Fund may decline. party provider unaffiliated with the Fund or ProShare Advi-
The counterparty to a listed futures contract is the clearing sors. There can be no guarantee or assurance that the meth-
organization for the listed future, which is held through a odology used by the third party provider to create the Index
futures commission merchant (“FCM”) acting on behalf of will result in the Fund achieving positive returns. Further,
the Fund. Consequently, the counterparty risk on a listed there can be no guarantee that the methodology underlying
futures contract is the creditworthiness of the FCM and the the Index or the daily calculation of the Index will be free
exchange’s clearing corporation. from error. It is also possible that the value of the Index
may be subject to intentional manipulation by third-party
• Equity and Market Risk — Equity markets are volatile, and the
market participants. The Index used by the Fund may
value of securities, swaps, futures and other instruments
underperform other asset classes and may underperform
correlated with equity markets may fluctuate dramatically
other similar indices. Each of these factors could have a
from day to day. Equity markets are subject to corporate,
negative impact on the performance of the Fund.
political, regulatory, market and economic developments,
as well as developments that impact specific economic sec- • Intraday Price Performance Risk — The intraday performance of
tors, industries or segments of the market. Further, stocks shares of the Fund traded in the secondary market gener-
in the Index may underperform other equity investments. ally will be different from the performance of the Fund
Volatility in the markets and/or market developments may when measured from one NAV calculation-time to the next.
cause the value of an investment in the Fund to decrease When shares are bought intraday, the performance of the
over short or long periods of time. Fund’s shares relative to the Index until the Fund’s next
NAV calculation time will generally be greater than or less
• Concentration and Focused Investing — The Index may concen-
than the Fund’s stated multiple times the performance of
trate (i.e., composed of securities that represent 25 percent
the Index.
or more of the value of the Index) or focus (i.e., composed of
securities that represent a substantial portion of its value, • Market Price Variance Risk — Investors buy and sell Fund shares
but less than 25 percent) in an industry or group of indus- in the secondary market at market prices, which may be
tries. The Fund will allocate its investments to approxi- different from the NAV per share of the Fund (i.e., the sec-
mately the same extent as the Index. As a result, the Fund ondary market price may trade at a price greater than NAV
may be subject to greater market fluctuations than a fund (a premium) or less than NAV (a discount)). The market
that is more broadly invested across industries. Financial, price of the Fund’s shares will fluctuate in response to
economic, business, regulatory conditions, and other devel- changes in the value of the Fund’s holdings, supply and8 :: ULTRA S&P500® SSO PROSHARES.COM
demand for shares and other market factors. In addition, • Tax Risk — In order to qualify for the special tax treatment
the instruments held by the Fund may be traded in markets accorded a regulated investment company (“RIC”) and its
on days and at times when the Fund’s listing exchange is shareholders, the Fund must derive at least 90% of its
closed for trading. As a result, the value of the Fund’s hold- gross income for each taxable year from “qualifying
ings may vary, perhaps significantly, on days and at times income,” meet certain asset diversification tests at the end
when investors are unable to purchase or sell Fund shares. of each taxable quarter, and meet annual distribution
ProShare Advisors cannot predict whether shares will trade requirements. The Fund’s pursuit of its investment strate-
above, below or at a price equal to the value of the gies will potentially be limited by the Fund’s intention to
Fund’s holdings. qualify for such treatment and could adversely affect the
Fund’s ability to so qualify. The Fund can make certain
• Early Close/Late Close/Trading Halt Risk — An exchange or market
may close early, close late or issue trading halts on specific investments, the treatment of which for these purposes is
securities or financial instruments. As a result, the ability unclear. If, in any year, the Fund were to fail to qualify for
to trade certain securities or financial instruments may be the special tax treatment accorded a RIC and its sharehold-
restricted, which may disrupt the Fund’s creation and ers, and were ineligible to or were not to cure such failure,
redemption process, potentially affect the price at which the Fund would be taxed in the same manner as an ordinary
the Fund’s shares trade in the secondary market, and/or corporation subject to U.S. federal income tax on all its
result in the Fund being unable to trade certain securities income at the fund level. The resulting taxes could substan-
or financial instruments at all. In these circumstances, the tially reduce the Fund’s net assets and the amount of
Fund may be unable to rebalance its portfolio, may be income available for distribution. In addition, in order to
unable to accurately price its investments and/or may incur requalify for taxation as a RIC, the Fund could be required
substantial trading losses. If trading in the Fund’s shares to recognize unrealized gains, pay substantial taxes and
are halted, investors may be temporarily unable to trade interest, and make certain distributions. Please see the
shares of the Fund. Statement of Additional Information for more information.
• Liquidity Risk — In certain circumstances, such as the disrup- • Valuation Risk — In certain circumstances (e.g., if ProShare
Advisors believes market quotations do not accurately
tion of the orderly markets for the financial instruments in
reflect the fair value of an investment, or a trading halt
which the Fund invests, the Fund might not be able to
closes an exchange or market early), ProShare Advisors
acquire or dispose of certain holdings quickly or at prices
may, pursuant to procedures established by the Board of
that represent true market value in the judgment of
Trustees of the Fund, choose to determine a fair value price
ProShare Advisors. Markets for the financial instruments
as the basis for determining the market value of such
in which the Fund invests may be disrupted by a number of
investment for such day. The fair value of an investment
events, including but not limited to economic crises, politi-
determined by ProShare Advisors may be different from
cal crises, health crises, natural disasters, excessive volatil-
other value determinations of the same investment. Portfo-
ity, new legislation, or regulatory changes inside or outside
lio investments that are valued using techniques other
of the U.S. For example, regulation limiting the ability of
than market quotations, including “fair valued” invest-
certain financial institutions to invest in certain financial
ments, may be subject to greater fluctuation in their value
instruments would likely reduce the liquidity of those
from one day to the next than would be the case if market
instruments. These situations may prevent the Fund from
quotations were used. In addition, there is no assurance
limiting losses, realizing gains or achieving a high lever-
that the Fund could sell a portfolio investment for the value
aged correlation with the Index.
established for it at any time, and it is possible that the
• Portfolio Turnover Risk — The Fund may incur high portfolio Fund would incur a loss because a portfolio investment is
turnover to manage the Fund’s investment exposure. Addi- sold at a discount to its established value.
tionally, active market trading of the Fund’s shares may
cause more frequent creation or redemption activities that Please see “Investment Objectives, Principal Investment
could, in certain circumstances, increase the number of Strategies and Related Risks” in the Fund’s Prospectus for
portfolio transactions. High levels of portfolio transactions additional details.
increase brokerage and other transaction costs and may Investment Results
result in increased taxable capital gains. Each of these fac-
The bar chart below shows how the Fund’s investment results
tors could have a negative impact on the performance of
have varied from year to year, and the table shows how the
the Fund.PROSHARES.COM SSO ULTRA S&P500® :: 9
Fund’s average annual total returns for various periods com- and may differ from those shown. After-tax returns shown are
pare with a broad measure of market performance. This infor- not relevant to investors who hold shares through tax-
mation provides some indication of the risks of investing in deferred arrangements, such as a retirement account. After-
the Fund. In addition, the Fund’s performance information tax returns may exceed the return before taxes due to a tax
reflects applicable fee waivers and/or expense limitations, if benefit from realizing a capital loss on a sale of shares.
any, in effect during the periods presented. Absent such fee Annual returns are required to be shown and should not be
waivers/expense limitations, if any, performance would have interpreted as suggesting that the Fund should or should not
been lower. Past results (before and after taxes) are not pre- be held for longer periods of time.
dictive of future results. Updated information on the Fund’s
results can be obtained by visiting the Fund’s website Management
(www.proshares.com). The Fund is advised by ProShare Advisors. Michael Neches,
Annual Returns as of December 31 Senior Portfolio Manager, and Devin Sullivan, Portfolio Man-
ager, have jointly and primarily managed the Fund since Octo-
75%
ber 2013 and April 2018, respectively.
70.46%
60% 63.75%
Purchase and Sale of Fund Shares
45% The Fund will issue and redeem shares only to Authorized Par-
44.20%
30%
ticipants (typically broker-dealers) in exchange for the deposit
30.75% or delivery of a basket of assets (securities and/or cash) in
25.62%
15% 21.24% 21.60% large blocks, known as Creation Units. Shares of the Fund may
only be purchased and sold by retail investors in secondary
0%
-2.63% -1.08% market transactions through broker-dealers or other finan-
-14.44%
-15% cial intermediaries. Shares of the Fund are listed for trading
2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 on a national securities exchange and because shares trade at
market prices rather than NAV, shares of the Fund may trade
Best Quarter (ended 6/30/2020): 40.89% at a price greater than NAV (premium) or less than NAV (dis-
Worst Quarter (ended 3/31/2020): -40.92% count). In addition to brokerage commissions, investors incur
Year-to-Date (ended 6/30/2021): 30.61% the costs of the difference between the highest price a buyer is
willing to pay to purchase shares of the Funds (bid) and the
Average Annual Total Returns
lowest price a seller is willing to accept for shares of the Fund
As of December 31, 2020 (ask) when buying or selling shares in the secondary market
(the “bid-ask spread”). The bid-ask spread varies over time for
One Five Ten
Year Years Years
Fund shares based on trading volume and market liquidity.
Recent information, including information about a Fund’s
BeforeTax 21.60% 24.39% 23.16% NAV, market price, premiums and discounts, and bid-ask
AfterTaxes on Distributions 21.50% 24.24% 23.03% spreads, is included on the Fund’s website
AfterTaxes on Distributions and (www.proshares.com).
Sale of Shares 12.80% 20.12% 20.24%
Tax Information
S&P 500® Index1 18.40% 15.20% 13.87%
1 Reflects no deduction for fees, expenses or taxes. Adjusted to reflect
Income and capital gains distributions you receive from the
the reinvestment of dividends paid by issuers in the Index. Fund generally are subject to federal income taxes and may
also be subject to state and local taxes. The Fund intends to
Average annual total returns are shown on a before- and after- distribute income, if any, quarterly, and capital gains, if any,
tax basis for the Fund. After-tax returns are calculated using at least annually. Distributions for this Fund may be higher
the historical highest individual federal marginal income tax than those of most ETFs.
rates and do not reflect the impact of state and local taxes.
Actual after-tax returns depend on an investor’s tax situationThis page intentionally left blank.
This page intentionally left blank.
Investment Company Act file number 811-21114 ProShares Trust 7272 Wisconsin Avenue, 21st Floor, Bethesda, MD 20814 866.PRO.5125 866.776.5125 ProShares.com © 2021 ProShare Advisors LLC. All rights reserved. SSO--OCT21
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