1) Important Notice Regarding Change in Investment Policy
PROSHARES TRUST
ProShares 30 Year TIPS/TSY Spread
Supplement dated March 15, 2016
to the Fund’s Summary Prospectus, Statutory Prospectus and Statement of Additional Information dated
October 1, 2015, each as supplemented or amended
Effective on or about April 15, 2016, the Fund’s underlying index will change from the Credit Suisse 30-Year Inflation Breakeven
Index to the Citi 30-Year TIPS (Treasury Rate-Hedged) Index. At that time the Fund’s Principal Investment Strategy will be as
follows:
The Fund, under normal circumstances, seeks to remain fully exposed to the Citi 30-Year TIPS (Treasury Rate-Hedged) Index
(the “Index”) and will invest at least 80% of its total assets in securities of the Index. In addition, the Fund will invest in
derivatives and other fixed income securities that ProShare Advisors believes, in combination, should track the performance of
the Index. The Index tracks the performance of (i) long positions in the most recently issued 30-year Treasury InflationProtected Securities (“TIPS”) and (ii) duration-adjusted short positions in U.S. Treasury bonds of, in aggregate, approximate
equivalent duration to the TIPS. The Index seeks to achieve an overall effective duration of zero. The Index is not designed to
measure the realized rate of inflation, nor does it seek to replicate the returns of any index or measure of actual
consumer price levels.
The Fund’s name and investment policy will be changed to reflect the change in its underlying index. Specifically, effective as of the
start of trading on or about April 15, 2016, the following changes will take effect:
Current
Fund Name
Index Name
Investment
Policy
New
ProShares 30 Year TIPS/TSY Spread
Credit Suisse 30-Year Inflation Breakeven Index
The Fund seeks investment results, before fees and
expenses, that track the performance of the Credit Suisse
30-Year Inflation Breakeven Index
ProShares Inflation Expectations ETF
Citi 30-Year TIPS (Treasury Rate-Hedged) Index
The Fund seeks investment results, before fees and
expenses, that track the performance of the Citi
30-Year TIPS (Treasury Rate-Hedged) Index
Please retain this supplement for future reference.
2) Important Notice Regarding Change in Investment Policy
PROSHARES TRUST
ProShares Morningstar Alternatives Solution ETF
Supplement dated March 8, 2016
to the Fund’s Summary Prospectus, Statutory Prospectus and Statement of Additional Information
dated October 1, 2015, each as supplemented or amended
As of March 1, 2016, all references to the RAFI US Equity Long/Short Index are removed and replaced with references to the FTSE
RAFI US 1000 Long/Short Total Return Index.
As of March 8, 2016, all references to ProShares Managed Futures Strategy (FUTS) are removed from the Fund’s Summary
Prospectus and Statutory Prospectus because FUTS is being liquidated and closed and it is no longer part of the Fund’s underlying
Index. The sentence “In addition to ETFs that are investment companies registered under the Investment Company Act of 1940, as
amended (“1940 Act”), one of the Underlying ETFs currently included in the Index is an ETF that is not a mutual fund or any other
type of investment company as defined in the 1940 Act and is not subject to regulation thereunder.” in the Principal Investment
Strategies section is also removed.
The Underlying ETFs now include ProShares Managed Futures Strategy ETF. A brief description of ProShares Managed Futures
Strategy ETF follows.
ProShares Managed Futures Strategy ETF (FUT) is an actively managed exchange traded fund that seeks to achieve positive
returns that are not directly correlated to broad equity or fixed income markets. The Fund uses the S&P® Strategic Futures Index
as a performance benchmark. The S&P® Strategic Futures Index was developed by Standard & Poors and is a long/short rulesbased investable index that seeks to capture the economic benefit from trends (in either direction) in the commodity, foreign
currency and fixed income markets by taking long or short positions in related futures contracts based on the performance trends
of the individual components. The Fund is a separate investment vehicle from ProShares Managed Futures Strategy
(FUTS), a series of ProShares Trust II, which will be liquidated and closed on or about March 21, 2016.
The risk factor captioned “Risks Related to a Managed Futures Strategy” is removed and replaced with the following.
Risks Related to a Managed Futures Strategy — ProShares Managed Futures Strategy ETF is an actively managed ETF that
seeks to achieve positive returns that are not directly correlated to broad equity or fixed income markets. The Fund uses the
S&P® Strategic Futures Index as a performance benchmark (the “Benchmark”). The Benchmark seeks to capture the economic
benefit from trends (in either direction) in the commodity, foreign currency and fixed income markets by taking long or short
positions in related futures contracts and is based on a quantitative trading strategy.
The Underlying ETF takes long or short positions primarily based on the performance trends of the individual components.
There can be no assurance that such trends are an accurate indicator of future market movements. In markets without sustained
price trends, or markets with significant price movements that quickly reverse, the Underlying ETF may suffer significant
losses. The Underlying ETF’s Benchmark is based on futures prices, not spot prices. Futures can perform very differently from
spot prices. This Underlying ETF’s exposure to commodity or financial futures markets may subject it to greater volatility than
investments in traditional securities, which may adversely affect an investor’s investment in that Underlying ETF. Certain index
components of that Underlying ETF have experienced high volatility in the past.
Certain of these futures contracts are subject to risks related to rolling, which is the process in which an Underlying ETF closes
out and replaces futures contracts that near expiration with futures contracts with a later expiration. The prices at which the
Underlying ETF can replace expiring commodity futures contracts or financial futures contracts may be higher or lower in the
nearer months than in the more distant months.
3) The pattern of higher futures prices for longer expiration futures contracts is often referred to as “contango.” The pattern of
higher futures prices for shorter expiration futures contracts is referred to as “backwardation.” The presence of contango in
certain commodity futures contracts or financial futures contracts at the time of rolling would be expected to adversely affect
long positions held by the Underlying ETF and positively affect short positions held by the Underlying ETF. The presence of
backwardation would be expected to adversely affect short positions and positively affect long positions.
The Underlying ETF is not an index tracking ETF and will seek to enhance its performance by actively selecting investments
with varying maturities from the underlying components of the Benchmark. If such strategy fails to produce the intended results,
the Underlying ETF could underperform the Benchmark or other funds with a similar investment objective and/or strategies.
The Fund will not invest directly in Commodity Futures Contracts. The Fund expects to gain exposure to these investments by
investing a portion of its assets in a wholly-owned subsidiary of the Fund organized under the laws of the Cayman Islands (the
“Subsidiary). The Subsidiary is not an investment company registered under the Investment Company Act of 1940, as amended.
The sentences “One of the other exchange-traded funds is a publicly traded commodity pool that is sponsored by ProShare Capital
Management LLC, an affiliate of ProShare Advisors. The commodity pool is not a mutual fund or any other type of investment
company as defined in the 1940 Act, and is not subject to regulation thereunder.” is removed from the Fund’s Statement of Additional
Information.
Please retain this Supplement for future reference.
