Significant Accounting Policies (Policies)

Use of Estimates & Indemnifications

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

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

Basis of Presentation

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

In June 2013, the FASB issued Accounting Standard Update No. 2013-08, “Financial Services – Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” (“ASU 2013-08”). ASU 2013-08 clarifies the characteristics of an investment company and provides comprehensive guidance for assessing whether an entity is an investment company and for the measurement of non-controlling ownership interests in other investment companies. The Trust and each Fund meet the requirements to be classified as an investment company and follows the accounting and reporting guidance in FASB Topic 946.

Statement of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statement of Financial Condition dated March 31, 2014, and represents non-segregated cash with the custodian and does not include short-term investments.

Final Net Asset Value for Fiscal Period

The times of the calculation of the Leveraged Funds’, the Short Euro Fund’s, the Geared VIX Funds’ and the Matching VIX Funds’ final net asset value for creation and redemption of fund Shares for the three months ended March 31, 2014 were as follows. All times are Eastern Standard Time:


	NAV Calculation Time	NAV Calculation Date
UltraShort Silver, Ultra Silver	7:00 A.M.	March 31
UltraShort Gold, Ultra Gold	10:00 A.M.	March 31
UltraShort DJ-UBS Crude Oil, Ultra DJ-UBS Crude Oil	2:30 P.M.	March 31
UltraShort DJ-UBS Natural Gas, Ultra DJ-UBS Natural Gas	2:30 P.M.	March 31
UltraShort DJ-UBS Commodity, Ultra DJ-UBS Commodity	3:00 P.M.	March 31
UltraShort Australian Dollar, Ultra Australian Dollar	4:00 P.M.	March 31
Short Euro, UltraShort Euro, Ultra Euro	4:00 P.M.	March 31
UltraShort Yen, Ultra Yen	4:00 P.M.	March 31
VIX Short-Term Futures ETF, Ultra VIX Short-Term Futures ETF, Short VIX Short-Term Futures ETF	4:15 P.M.	March 31
VIX Mid-Term Futures ETF	4:15 P.M.	March 31

Although the Leveraged Funds’, the Short Euro Fund’s, the Geared VIX Funds’ and the Matching VIX Funds’ Shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months ended March 31, 2014.

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

For financial reporting purposes, the Leveraged Funds, the Short Euro Fund, and the VIX Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Leveraged Funds’, the Short Euro Fund’s and VIX Funds’ final creation/redemption NAV for the three months ended March 31, 2014.

Investment Valuation

Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.

Derivatives (e.g., futures contracts, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. If there was no sale on that day, and for non-exchange-traded derivatives, the Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position for such day. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. When market closing prices are not available, the Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

Fair value pricing may require subjective determinations about the value of an investment. While the Leveraged Funds’, the Short Euro Fund’s and the VIX Funds’ policies are intended to result in a calculation of a Leveraged Fund’s, the Short Euro Fund’s or a VIX Fund’s NAV that fairly reflects investment values as of the time of pricing, a Leveraged Fund, the Short Euro Fund or a VIX Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that a Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Leveraged Fund, the Short Euro Fund or a VIX Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

Fair Value of Financial Instruments

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Funds (observable inputs); and (2) the Funds’ own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows:

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

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

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

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

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

The following table summarizes the valuation of investments at March 31, 2014 using the fair value hierarchy:


	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
	Short-Term U.S. Government and Agencies		Futures Contracts*			Forward Agreements			Foreign Currency Forward Contracts			Swap Agreements			Total
UltraShort DJ-UBS Commodity	$	2,486,733	$	—		$	—		$	—		$	102,269		$	2,589,002
UltraShort DJ-UBS Crude Oil		288,258,596		(6,264,314	)		—			—			(692,931	)		281,301,351
UltraShort DJ-UBS Natural Gas		56,753,250		4,479,320			—			—			—			61,232,570
UltraShort Gold		105,840,656		16,860			8,531,762			—			—			114,389,278
UltraShort Silver		67,188,850		5,330			7,742,580			—			—			74,936,760
Short Euro		6,227,257		47,900			—			—			—			6,275,157
UltraShort Australian Dollar		19,227,467		(1,221,879	)		—			—			—			18,005,588
UltraShort Euro		414,310,854		—			—			(3,724,310	)		—			410,586,544
UltraShort Yen		400,736,540		—			—			4,846,384			—			405,582,924
Ultra DJ-UBS Commodity		2,410,896		—			—			—			(114,128	)		2,296,768
Ultra DJ-UBS Crude Oil		112,053,990		2,109,314			—			—			959,951			115,123,255
Ultra DJ-UBS Natural Gas		18,277,978		(1,851,411	)		—			—			—			16,426,567
Ultra Gold		148,339,252		(16,860	)		(12,010,072	)		—			—			136,312,320
Ultra Silver		530,701,182		(5,330	)		(58,138,361	)		—			—			472,557,491
Ultra Australian Dollar		2,775,892		192,985			—			—			—			2,968,877
Ultra Euro		2,307,737		—			—			20,984			—			2,328,721
Ultra Yen		2,471,851		—			—			(41,229	)		—			2,430,622
VIX Short-Term Futures ETF		94,150,810		(5,026,965	)		—			—			—			89,123,845
VIX Mid-Term Futures ETF		48,695,771		(2,007,210	)		—			—			—			46,688,561
Ultra VIX Short-Term Futures ETF		173,853,508		(29,701,827	)		—			—			—			144,151,681
Short VIX Short-Term Futures ETF		169,490,113		8,083,199			—			—			—			177,573,312

Total Trust	$	2,666,559,183	$	(31,160,888	)	$	(53,874,091	)	$	1,101,829		$	255,161		$	2,582,881,194

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

At March 31, 2014, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

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

The following table summarizes the valuation of investments at December 31, 2013 using the fair value hierarchy:


	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
	Short-Term U.S. Government and Agencies		Futures Contracts*			Forward Agreements			Foreign Currency Forward Contracts			Swap Agreements			Total
UltraShort DJ-UBS Commodity	$	3,453,890	$	—		$	—		$	—		$	(27,665	)	$	3,426,225
UltraShort DJ-UBS Crude Oil		247,584,623		(1,232,773	)		—			—			(2,332,900	)		244,018,950
UltraShort DJ-UBS Natural Gas		18,274,713		1,042,300			—			—			—			19,317,013
UltraShort Gold		148,988,329		14,520			5,633,053			—			—			154,635,902
UltraShort Silver		114,826,066		14,200			(2,227,857	)		—			—			112,612,409
Short Euro		7,902,056		(33,231	)		—			—			—			7,868,825
UltraShort Australian Dollar		24,198,507		917,605			—			—			—			25,116,112
UltraShort Euro		437,847,159		—			—			(13,748,507	)		—			424,098,652
UltraShort Yen		558,597,264		—			—			29,386,684			—			587,983,948
Ultra DJ-UBS Commodity		2,816,688		—			—			—			15,078			2,831,766
Ultra DJ-UBS Crude Oil		137,435,610		626,661			—			—			1,957,893			140,020,164
Ultra DJ-UBS Natural Gas		58,921,011		(3,656,539	)		—			—			—			55,264,472
Ultra Gold		140,880,950		(14,560	)		(6,812,974	)		—			—			134,053,416
Ultra Silver		467,868,976		(14,200	)		(2,492,880	)		—			—			465,361,896
Ultra Australian Dollar		2,716,439		(118,220	)		—			—			—			2,598,219
Ultra Euro		2,455,863		—			—			100,962			—			2,556,825
Ultra Yen		2,928,556		—			—			(159,309	)		—			2,769,247
VIX Short-Term Futures ETF		207,636,383		(16,652,686	)		—			—			—			190,983,697
VIX Mid-Term Futures ETF		46,040,233		(4,896,689	)		—			—			—			41,143,544
Ultra VIX Short-Term Futures ETF		109,533,487		(24,009,911	)		—			—			—			85,523,576
Short VIX Short-Term Futures ETF		105,559,022		8,116,955			—			—			—			113,675,977

Total Trust	$	2,846,465,825	$	(39,896,568	)	$	(5,900,658	)	$	15,579,830		$	(387,594	)	$	2,815,860,835

Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments as presented in the Form 10-K for the year ended December 31, 2013. Only current day’s variation margin is reported within the Statements of Financial Condition as presented in the Form 10-K for the year ended December 31, 2013 in receivable/payable on open futures.

At December 31, 2013, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

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

Investment Transactions and Related Income

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

Brokerage Commissions and Fees

Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income or similar securities would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). For the three months ended March 31, 2014 and 2013, the Sponsor paid, and is currently paying, brokerage commissions on VIX futures contracts for the Matching VIX Funds.

Federal Income Tax

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

Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management will monitor its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof.