CSM
1. Summary
- CSM is an index ETF. It tracks the UBS 130/30 Index, a quantitative 130/30 book built from 500 large-cap U.S. stocks scored on 10 factors. ProShare Advisors runs it passively.
- It runs 130% long and 30% short, so 1.60x gross and 100% net. The index resets to 130/30 at each monthly rebalance and drifts in between.
- It holds common stocks and uses swap agreements to get its index exposure. No document says it sells stock short directly or names a prime broker or swap counterparty.
- Most relevant for us: CSM is a large ($510 million) 40 Act ETF that gets its short book through swaps, with swap collateral held at an independent bank custodian. Its swap financing cost does not appear in the 0.45% expense ratio. But at 1.60x gross and 100% net, it is no precedent for a 3.0x market neutral book.
2. Key facts
| Item | Detail | Source |
|---|---|---|
| Name and ticker | ProShares Large Cap Core Plus (CSM) | CSM-FS, page 1, header and "Trading Details"; CSM-PR, page 51, "Investment Objective" |
| Exchange | Cboe BZX | CSM-FS, page 1, "Trading Details"; CSM-PR, page 2, cover |
| CUSIP | 74347R248 | CSM-FS, page 1, "Trading Details" |
| Inception date | July 13, 2009 ("07/13/09") | CSM-FS, page 1, "Key Facts" |
| Trust | ProShares Trust, a Delaware statutory trust organized May 29, 2002, that "consists of multiple series". Every series in the prospectus and SAI is advised by ProShare Advisors. So it is the sponsor's own trust, not a multi-client series trust (my inference). | CSM-SAI, page 7, "General Information about the Trust"; CSM-PR, page 222, "Investment Advisor" |
| Fiscal year end | May 31 ("fiscal year ended May 31, 2026") | CSM-PR, page 230, "Financial Highlights"; CSM-SAI, page 3, cover |
| Net assets and NAV | $510.19 million on June 30, 2026 (fact sheet). $524,004 thousand and NAV $87.04 per share on May 31, 2026 (financial highlights). | CSM-FS, page 1, "Key Facts"; CSM-PR, page 234, "Financial Highlights" |
| Morningstar category and rating | Not stated | |
| Number of long and short positions | Index level only: 300 long and 149 short on June 30, 2026. The fund's own count is not stated. The index "may include fewer than 500 stocks." | CSM-FS, page 2, "Index Characteristics"; CSM-PR, page 208, "ProShares Large Cap Core Plus" |
| Distribution frequency | Quarterly. The prospectus says income "quarterly" and capital gains "at least annually." | CSM-FS, page 1, "Distribution Details"; CSM-PR, page 54, "Tax Information" |
| Creations and redemptions | In exchange for "a basket of assets (securities and/or cash)". The adviser may restrict creations to in-kind or to cash at its discretion. Creation Unit size 10,000 shares. Typical creation cut-off 3:30 p.m. Eastern. | CSM-PR, page 54, "Purchase and Sale of Fund Shares"; CSM-SAI, pages 131 and 132, "Cash Purchase Amount"; CSM-SAI, page 127; CSM-SAI, page 132, "Purchase and Redemption Cut-Off Times" |
Other details: listed options on CSM are available ("Options Available Yes"). Bloomberg tickers: index CS13030, long side CS130L, short side CS130S (CSM-FS, page 1, "Trading Details"). NAV is typically struck at 4:00 p.m. Eastern (CSM-SAI, page 140, "Determination of Net Asset Value").
3. Service providers
| Role | Firm | Source |
|---|---|---|
| Adviser | ProShare Advisors LLC | CSM-PR, page 53, "Management"; CSM-PR, page 253, back cover ("© 2026 ProShare Advisors LLC") |
| Sub-adviser | Not stated (none named) | |
| Portfolio managers | Michael Neches, Senior Portfolio Manager (since October 2013), and Tarak Davé, Portfolio Manager (since April 2018) | CSM-PR, pages 53 and 54, "Management"; CSM-PR, pages 222 and 223, "Portfolio Management" |
| Administrator | JPMorgan (One Beacon Street, Boston). Legal administration by Ultimus Fund Solutions, LLC since January 1, 2025 (Citi Fund Services Ohio before that). | CSM-SAI, page 102, "Administrator and Fund Accounting Agent" |
| Fund accountant | JPMorgan (same section heading as administrator) | CSM-SAI, page 102, "Administrator and Fund Accounting Agent" |
| Custodian | JPMorgan Chase Bank, N.A. | CSM-SAI, page 112, "Custodian, Transfer Agent, and Index Receipt Agent" |
| Transfer agent | JPMorgan Chase Bank, N.A. | CSM-SAI, page 112, same section |
| Distributor | SEI Investments Distribution Co. | CSM-SAI, page 115, "Distributor"; CSM-FS, page 3 |
| Auditor | PricewaterhouseCoopers LLP | CSM-SAI, page 112, "Independent Registered Public Accounting Firm"; CSM-PR, page 230 |
| Prime broker | Not stated | |
| Swap counterparties | Not named. The documents say only that the counterparty to an uncleared swap "will typically be a major global financial institution." | CSM-SAI, page 50, "Counterparty Credit Risk" |
| Securities lending agent | JPMorgan | CSM-SAI, page 112, "Securities Lending Agent" |
Index provider: UBS Securities LLC constructs and maintains the index and its long and short sub-indexes (CSM-PR, page 51, "Principal Investment Strategies").
4. Strategy
- Objective and benchmark. CSM "seeks investment results, before fees and expenses, that track the performance of the UBS 130/30 Index" (CSM-PR, page 51, "Investment Objective"). It is a "Matching Fund", and ProShare Advisors "follows a passive approach" designed to track the index (CSM-PR, page 185, "Principal Investment Strategies"). The prospectus compares returns with the S&P 500 (CSM-PR, page 53, "Average Annual Total Returns").
- Universe. "500 of the leading large-cap U.S. companies" (CSM-PR, page 51, "Principal Investment Strategies"). At least 80% of total assets go in index components "or in instruments with similar economic characteristics" (CSM-PR, page 51).
- How it picks stocks. Fully quantitative, at the index level. Each stock gets an expected alpha score (a forecast of risk-adjusted return) from 50 factors grouped into 10 equal-weighted composites: traditional value, relative value, historical growth, expected growth, profit trends, accelerating sales, earnings momentum, price momentum, price reversal and small size (CSM-PR, page 208, "ProShares Large Cap Core Plus"). An optimizer then sets weights. Its "primary goal" is to maximize estimated return "while maintaining risk characteristics similar to the Universe" (CSM-PR, page 208). The adviser does not pick stocks on merit (CSM-PR, page 185).
- Neutrality targets. None. The index "will generally rise and fall with the Universe" (CSM-PR, page 208). It is built to track the market, not to hedge it (my inference).
- Net exposure. About 100% by design: 130% long minus 30% short (my arithmetic), reset at each monthly reconstitution on the third Friday (CSM-PR, page 208).
- Limits on position size. Each stock may be "over- or underweighted by a maximum of 0.40%" against its float-adjusted market cap weight. A stock with a weight under 0.40% and a low score "may carry a negative weighting and be held as a short position" (CSM-PR, page 208). So every short is at most 0.40% of the index (my inference). On June 30, 2026 the largest index short was 0.40% (Smurfit Westrock and Henry Schein) and the largest long was NVIDIA at 7.25% (CSM-FS, page 2). The fund is non-diversified (CSM-PR, page 53, "Non-Diversification Risk").
5. Exposure and leverage
- Stated exposure. "130% long exposure and 30% short exposure" (CSM-FS, page 1, as of June 30, 2026). The index has these levels "at each monthly reconstitution date" (CSM-PR, page 208). Gross is 1.60x and net is 100% (my arithmetic).
- Measured exposure. The fund's own measured exposure is not stated. Index sector weights on June 30, 2026 sum to 130.07% long and 30.09% short (my arithmetic; CSM-FS, page 2, "Index Sector Weights"). The fact sheet notes sums "may not equal 130% for long sectors or 30% for short sectors due to rounding" (CSM-FS, page 2, footnote 3).
- Concentration at the index level. Top 10 longs total 34.42% and top 10 shorts total 3.72% (my arithmetic; CSM-FS, page 2). Average market cap: $206.31 billion long, $54.27 billion short. Short-side dividend yield 1.84% versus 1.41% long (CSM-FS, page 2, "Index Characteristics").
- How it gets exposure above 100%. Through derivatives. The fund "may gain enhanced long exposure to certain financial instruments (i.e., obtain investment exposure that exceeds the amount directly invested in those assets, a form of leverage)" (CSM-PR, page 52, "Long/Short Risk"). The principal derivatives are swap agreements (CSM-PR, page 51). The split between stocks and swaps is not stated. Reinvested short sale proceeds are not described.
- Borrowing limits. Each fund must keep "continuous asset coverage ... of 300% of all amounts borrowed", plus up to 5% of total assets for temporary needs (CSM-SAI, page 53, "Borrowing"). Fundamental policy: bank borrowing up to 33 1/3% of total assets (CSM-SAI, page 69, "Investment Restrictions"). Derivatives that comply with Rule 18f-4 are "not ... considered indebtedness" for asset coverage (CSM-SAI, page 53). No line of credit is named.
6. Shorting, financing and collateral
- How it shorts. Through swaps (my inference). The principal instruments are common stock and derivatives, mainly swap agreements (CSM-PR, page 51). The fund seeks long exposure to some instruments and "short exposure to certain other financial instruments" (CSM-PR, page 52, "Long/Short Risk"). No document says CSM sells stock short directly. Short sales are permitted for every fund in the SAI table (CSM-SAI, page 11).
- Swap mechanics. For long exposure, the fund pays the counterparty "an interest fee (based on the notional amount)" (CSM-SAI, page 48, "Swaps"). For short exposure, "the counterparty pays interest to each Fund on the notional amount" and dividends on the underlying "reduce the value of the swap" (CSM-SAI, page 49). These amounts "are often netted with any unrealized gain or loss to determine the value of the swap" (CSM-SAI, page 49). Most swaps settle on a net basis, accrued daily (CSM-SAI, page 50, "Mechanics of a Fund's Swaps").
- Who lends the stock and who holds collateral. No stock lender is named; under a swap the counterparty carries the short (my inference). Collateral the fund posts "will be posted to an independent bank custodian," and the counterparty generally can't touch it unless the fund defaults (CSM-SAI, page 51, "Regulatory Margin"). The bank is not named. Counterparties generally post collateral to the fund, "marked to market daily" (CSM-PR, page 189, "Counterparty Risk").
- What is posted. Not stated for CSM. Each fund may "pledge portfolio securities" for borrowings (CSM-SAI, page 53).
- Short sale proceeds used to buy longs. Not stated. In a direct short sale, "The net proceeds of the short sale will be retained by the broker, to the extent necessary to meet the margin requirements" (CSM-SAI, page 54, "Short Sales"). This is a general SAI description, not a stated CSM practice.
- Termination risk. Either party "can terminate the contract at any time, including intraday" (CSM-PR, page 189). Some swap agreements require the fund to keep a minimum level of net assets or limit NAV declines (CSM-SAI, page 51, "Termination and Default Risk"). "A Fund does not specifically limit its counterparty risk with respect to any single counterparty" (CSM-PR, page 189).
- Segregated or tri-party account. The independent bank custodian for swap collateral is the closest thing described (CSM-SAI, page 51). No tri-party agreement is named.
- Securities lending. CSM does lend. Fiscal year to May 31, 2026: gross income $184,208, agent's revenue split $26,041, rebates $10,651, net income $147,516 (CSM-SAI, page 113). Agent: JPMorgan (CSM-SAI, page 112). Loans are capped at one-third of total assets and collateralized at 102% or more (CSM-SAI, page 55, "Securities Lending"). Net lending income was about 0.03% of average net assets (my arithmetic, using average assets implied by the advisory fee; see section 8).
- Permitted only. The SAI table marks CSM for forwards, futures and related options, repurchase and reverse repurchase agreements, securities and index options, swaps, borrowing, short sales, securities lending and when-issued securities (CSM-SAI, page 11). Only stocks and swaps are named as principal (CSM-PR, page 51).
7. Derivatives and Rule 18f-4
- Derivatives used. Swap agreements, as principal investments (CSM-PR, page 51). Futures, options, forwards and reverse repos are permitted only (CSM-SAI, page 11).
- Limited derivatives user or full program. Not stated for CSM. The SAI says a fund's derivatives are subject to VaR limits and a derivatives risk management program "unless the Fund satisfies a 'limited derivatives users' exception" (CSM-SAI, page 53, "Borrowing"). If all 30% of short and 30% of extra long exposure is in swaps, derivatives exposure is about 60% of net assets (my arithmetic). That makes the limited-user exception unlikely (my inference). No derivatives risk manager is named.
- VaR test and reference portfolio. Not stated. The rule "limits derivatives exposure through one of two value-at-risk tests" (CSM-PR, page 229; CSM-SAI, page 52). VaR (value at risk) estimates the most a fund could lose over a set period at a set confidence level.
- Commodity pool status (CFTC Rule 4.5). The adviser is a registered commodity pool operator for some funds. It filed a Rule 4.5 exclusion "with respect to each Fund that is not a Commodity Pool" (CSM-SAI, page 56, "Registration as a Commodity Pool Operator"). CSM's row has no mark in the "Commodity Pools" column (CSM-SAI, page 11). So CSM relies on the exclusion (my inference).
8. Costs
| Item | Amount | Source |
|---|---|---|
| Management fee | 0.45%. Unitary: CSM is listed under "ProShare Advisors Fees for Unitary Funds", and the adviser pays "substantially all expenses" except listed items. | CSM-PR, page 51, "Fees and Expenses of the Fund"; CSM-SAI, pages 96 and 97 |
| Other expenses | "-0.00%" as printed | CSM-PR, page 51 |
| Dividend and interest expense on short sales | No line in the fee table. "Interest and taxes of any kind" are excluded from the unitary fee, so the fund bears them. | CSM-PR, page 51; CSM-SAI, page 97 |
| Borrowing costs | Not stated | |
| Acquired fund fees | No line in the fee table | CSM-PR, page 51 |
| Gross and net expense ratio | 0.45% and 0.45% (fee table and fact sheet). Fiscal 2022 to 2026: 0.45% before and after waivers each year. | CSM-PR, page 51; CSM-FS, page 1; CSM-PR, page 234, "Financial Highlights" |
| Fee waivers or caps | None. Advisory fees waived: $0 in fiscal 2024, 2025 and 2026. | CSM-SAI, page 99, "Advisory Fees" |
| Stated financing spreads or rates | Not stated | |
| Where financing costs are reported | Inside swap returns. "The Fund pays transaction and financing costs associated with the purchase and sale of securities and derivatives. These costs are not reflected in the table or the example above." | CSM-PR, page 51; CSM-SAI, page 49 |
- Who pays what. The fund pays the 0.45% fee. The adviser pays the rest except: brokerage and transaction costs; litigation; independent trustee and counsel costs; the chief compliance officer's costs; extraordinary expenses; 12b-1 fees; interest and taxes; securities lending fees; and acquired fund fees (CSM-SAI, page 97). The administrator's fees for CSM were $0 in fiscal 2024 to 2026 (CSM-SAI, page 102), which fits the adviser paying them (my inference).
- Advisory fees earned. $1,822,947 (fiscal 2024), $2,056,235 (fiscal 2025), $2,141,802 (fiscal 2026) (CSM-SAI, page 99). At 0.45%, fiscal 2026 average net assets were about $476 million (my arithmetic).
- Expense example. $46, $144, $252 and $567 per $10,000 over 1, 3, 5 and 10 years (CSM-PR, page 51).
- Brokerage commissions. $54,924.34 (fiscal 2024), $70,120.55 (fiscal 2025), $77,752.00 (fiscal 2026) (CSM-SAI, page 121). Fiscal 2026 commissions were about 0.02% of average net assets (my arithmetic).
- Portfolio turnover. 69% (2026), 66% (2025), 57% (2024), 54% (2023), 53% (2022), fiscal years to May 31 (CSM-PR, page 234). These exclude derivatives; with them, turnover "would be significantly higher" (CSM-PR, page 51). Index average monthly turnover was 14.30% (CSM-FS, page 2).
- Gap between expense ratio and management fee. 0.45% minus 0.45% is 0.00% (my arithmetic). The fee is unitary, and swap financing and short dividends sit inside swap values rather than in expenses. So 0.45% understates the full cost of the short and leveraged exposure (my inference).
9. Performance and risk
Returns to June 30, 2026, periods over one year annualized (CSM-FS, page 1, "Performance (%)"):
| Period | NAV | Market price | Index (CS13030T) |
|---|---|---|---|
| Q2 2026 (3 months) | 13.79% | 14.21% | 13.98% |
| Year to date | 7.66% | 7.54% | 8.00% |
| 1 year | 22.31% | 22.31% | 23.10% |
| 3 years | 20.04% | 20.02% | 20.86% |
| 5 years | 12.72% | 12.72% | 13.51% |
| 10 years | 14.24% | 14.25% | 15.00% |
| Since inception | 14.84% | 14.84% | 15.68% |
Average annual returns to December 31, 2025, before tax (CSM-PR, page 53, "Average Annual Total Returns"):
| Period | CSM | UBS 130/30 Index | S&P 500 |
|---|---|---|---|
| 1 year | 21.65% | 22.48% | 17.88% |
| 5 years | 14.81% | 15.62% | 14.42% |
| 10 years | 13.90% | 14.64% | 14.81% |
- Calendar-year returns (CSM-PR, page 53, "Annual Returns as of December 31"): 2016 13.77%; 2017 22.50%; 2018 -7.83%; 2019 29.23%; 2020 11.01%; 2021 32.74%; 2022 -17.85%; 2023 23.14%; 2024 22.13%; 2025 21.65%. Best quarter 19.98% (to June 30, 2020); worst quarter -22.73% (to March 31, 2020).
- Fiscal-year NAV returns (years to May 31): 30.71% (2026), 13.80% (2025), 26.99% (2024), -3.02% (2023), 3.79% (2022) (CSM-PR, page 234).
- Risk statistics. Index level only, as of June 30, 2026: tracking error to the S&P 500 2.64%; volatility 13.33% for the index versus 13.66% for the S&P 500 (CSM-FS, page 2, "Index Characteristics"). No beta, correlation, Sharpe ratio, drawdown or capture figures.
- Note. The fund lagged its index by about 0.8 points a year over 5 and 10 years to June 30, 2026 (my arithmetic). That is more than the 0.45% fee, which fits unreported swap and trading costs (my inference).
- Conflict within the fact sheet. Page 1 says the index "has consistently beaten the S&P 500 on a trailing basis since its inception in 2008" (CSM-FS, page 1, "Why CSM?"). Its footnote gives since-inception performance of 13.33% for the index and 13.66% for the S&P 500, which would show the index behind (CSM-FS, page 2, footnote). Those two figures are the same as the volatility figures on page 2, so the footnote may have the wrong numbers (my inference).
10. History and structural changes
- Predecessor funds. None stated.
- Reorganizations and 351 conversions. None stated. "351" appears in the SAI only in tax sections (CSM-SAI, pages 85 and 123).
- Index provider. UBS licenses the index and its trademarks (CSM-PR, page 247, "UBS"). The Bloomberg tickers start with "CS" (CSM-FS, page 1). No document describes a past index provider, name or ticker change.
- Trust and adviser changes. None stated. Legal administration moved from Citi to Ultimus on January 1, 2025 (CSM-SAI, page 102).
- Supplement. The supplement dated September 28, 2026 bound in front of both documents covers the liquidation of 10 other ProShares funds. It does not cover CSM (CSM-PR, page 1; CSM-SAI, page 1).
- Document dates. The fact sheet is as of June 30, 2026. The prospectus and SAI are dated September 28, 2026, and the latest audited figures are for the year ended May 31, 2026. So the fact sheet is about three months older than the prospectus and SAI. No change between them affects CSM's strategy. The prospectus year-to-date return to June 30, 2026 (7.66%) matches the fact sheet (CSM-PR, page 53; CSM-FS, page 1).
- Net assets. $524.0 million on May 31, 2026 (CSM-PR, page 234) versus $510.19 million on June 30, 2026 (CSM-FS, page 1). These are different dates, not a conflict.
11. Principal risks
From CSM's summary, "Principal Risks" (CSM-PR, pages 52 and 53):
- Large-Cap Company Investment Risk (page 52).
- Derivatives Risk (page 52), including Swaps Risk. Flag: counterparties and leverage. A counterparty may "immediately close out the transaction with the Fund, including intraday."
- Counterparty Risk (page 52). Flag: counterparties. Losses from a default "may be significant."
- Long/Short Risk (page 52). Flag: shorting and leverage. Dividends on short positions "will negatively impact the Fund." Enhanced long exposure is "a form of leverage", and "The cost of obtaining this leverage will lower your returns."
- Equity and Market Risk (page 52).
- Correlation Risk (page 52).
- Industry Concentration Risk (pages 52 and 53), with Financials and Information Technology sub-risks. As of May 31, 2026 the index was heavy in both.
- Non-Diversification Risk (page 53). Flag: counterparties. It names exposure to "a single counterparty or a few counterparties."
- Index Performance Risk (page 53).
- Market Price Variance Risk (page 53).
- Early Close/Late Close/Trading Halt Risk (page 53).
Longer descriptions of shared risks are in CSM-PR, pages 188 to 205 (for example "Counterparty Risk" on page 189 and "Short Sale Exposure Risk" on page 202). No principal risk names a prime broker or borrow recall, which fits a fund that shorts through swaps (my inference).
12. Relevance to our fund
- How close is its structure and leverage? Not close (my inference). CSM is a long-biased index fund at 1.60x gross and 100% net. We plan 3.0x gross and about 0% net. It is on its sponsor's own trust, not Tidal's. What carries over is the plumbing: a physical long book plus swaps for the short and extra long exposure, at about $510 million in size.
- What does it show about 3.0x gross in a 40 Act ETF? (my inference)
- Little directly. CSM stays well under 2.0x, so it doesn't test the Reg T ceiling in
fund_context.mdor the Tidal view that "100-100 is the best you can do" (fund_context.md). - It does show that a swap-based short book avoids the broker margin question entirely. No prime broker, Reg T or portfolio margin appears in its documents. That supports the swap route Tidal raised (a swap on a custom index).
- CSM's index has published long and short sub-indexes (CS130L and CS130S). A swap on a custom long/short index is the kind of structure Tidal mentioned. The documents don't say what CSM's swaps reference.
- Little directly. CSM stays well under 2.0x, so it doesn't test the Reg T ceiling in
- What does it show about financing, collateral, custody and costs? (my inference)
- Custody: stocks and cash sit with JPMorgan Chase Bank as custodian. Swap collateral goes to "an independent bank custodian" (CSM-SAI, page 51), so the counterparty can't take it unless the fund defaults. This avoids holding fund assets at a broker under Rule 17f-1.
- Costs: the 0.45% unitary fee shows nothing of the swap financing. CSM's 0.8-point yearly lag to its index over 5 and 10 years hints at the all-in cost. Our fund's swap costs would also be invisible in the expense ratio. This is the "hidden swap costs" trap in
fund_context.md. - Leverage cost: CSM's structure is physical longs plus swaps for both the extra long and the short. For our 150/150 on $100, that would be about $50 × L + $150 × S above the base rate, with borrow fees built into S. That is different from the "stocks plus swap overlay" formula in
fund_context.md, which assumes a physical 100/100 book with direct shorts. - Counterparty concentration: the fund "does not specifically limit its counterparty risk with respect to any single counterparty" (CSM-PR, page 189), and swaps can be terminated intraday. At 150% short through swaps, that termination risk would be much larger than at CSM's 30%.
13. Gaps and open questions
What the documents don't answer, for a 150/150 fund:
- The names of CSM's swap counterparties and how many there are.
- What the swaps reference: the full index, the long and short sub-indexes, or single-stock baskets.
- How much of the 130% long is physical stock and how much is swaps.
- The financing spread on long swaps, the rate paid to the fund on short swaps, and any borrow fee inside the swaps.
- What collateral CSM posts, which bank holds it, and whether it is a tri-party arrangement.
- Which Rule 18f-4 VaR test CSM uses, and its reference portfolio.
- Fund-level measured long, short, gross and net exposure, and a fund beta.
- The annual report (Form N-CSR for the year ended May 31, 2026) should show the swap positions, counterparties and realized swap costs. It wasn't attached.
Questions to ask:
- To ProShares: Which banks are CSM's swap counterparties, and what spreads does CSM pay on long swaps and receive on short swaps?
- To ProShares: Do CSM's swaps reference the CS130L and CS130S sub-indexes or custom baskets? How often are they reset?
- To ProShares: Which bank is the independent custodian for swap collateral? Is it a tri-party control agreement with JPMorgan?
- To ProShares: Does CSM use the relative or absolute VaR test, and against which reference index?
- To Tidal: Would Tidal run a swap-based short book like CSM's at 150% short, given its concerns that a single swap hides holdings and that an index costs money?
- To Tidal: Which swap counterparties and collateral custodians does Tidal already have agreements with?
Search terms tried for fields left "Not stated":
- Prime broker and swap counterparty: prime broker, counterparty, borrow, margin, Regulation T, Reg T, portfolio margin.
- Leverage cost and short dividends: short sale, sold short, interest expense, financing, swap, box spread, reverse repurchase, line of credit, credit facility.
- VaR test: 18f-4, value at risk, VaR, derivatives risk manager, limited derivatives user.
- Borrowing: borrowing, asset coverage, line of credit.
- Beta and risk data: beta, Morningstar, Sharpe, drawdown (fact sheet read in full).
- Predecessor and history: predecessor, reorganiz, 351, Credit Suisse.
- Fund details: CUSIP (found only on the fact sheet), fiscal year, portfolio turnover, brokerage commissions.
14. Documents used
| Code | Document | Date | Pages | Pages read | File name |
|---|---|---|---|---|---|
| CSM-FS | Fact sheet | As of June 30, 2026 | 3 | 1 to 3 (all, text and page images) | 02c9be0d-CSM_fact_sheet.pdf |
| CSM-PR | Prospectus of ProShares Trust (55 funds), with a supplement dated September 28, 2026 bound in front | Prospectus and supplement September 28, 2026; financial data to May 31, 2026 | 253 | In full: 1 to 5, 51 to 54, 185, 186. Keyword passages only: 188 to 190, 196, 202, 205, 208, 209, 213, 216, 221 to 223, 227, 229, 230, 234, 243, 244, 247, 249, 250, 253. | 8723c4e4-CSM_prospectus.pdf |
| CSM-SAI | Statement of Additional Information of ProShares Trust (all series), with the same supplement bound in front | SAI and supplement September 28, 2026 | 210 | In full: 1 to 7, 11 (page image), 44, 52 to 55, 69, 96, 97, 102, 112, 115. Keyword passages only: 3, 25, 48 to 51, 56 to 58, 70, 78, 85, 92, 98, 99, 101, 103 to 111, 113, 114, 119 to 127, 131, 132, 139, 140, 171, 172, 182. | d8138532-CSM_SAI.pdf |
Page numbering.
- CSM-FS: no printed page numbers. PDF pages 1 to 3.
- CSM-PR: PDF page 1 is the supplement (unnumbered). PDF pages 2 to 4 are the cover and contents. From PDF page 5 on, PDF page = printed page + 1. CSM's summary is PDF pages 51 to 54 (printed 50 to 53). The prospectus covers many funds; only CSM's summary and shared sections were used.
- CSM-SAI: PDF page 1 is the supplement. PDF page 2 is the cover. From PDF page 3 on, PDF page = printed page + 1 (for example, PDF page 112 is printed page 111). The SAI covers all ProShares Trust series; only shared passages and rows for "Large Cap Core Plus" were used.
15. Snapshot sources
- Ticker: CSM-FS, page 1, "Trading Details" ("Fund Ticker CSM").
- Fund name: CSM-FS, page 1, header. The prospectus uses "ProShares Large Cap Core Plus" (CSM-PR, page 51, "Investment Objective").
- As of date: "As of 6/30/2026" (CSM-FS, page 1, header).
- Adviser: "The Fund is advised by ProShare Advisors" (CSM-PR, page 53, "Management"). Full name from CSM-PR, page 253, back cover.
- Platform: ProShares Trust, whose series are all advised by ProShare Advisors (CSM-SAI, page 7, "General Information about the Trust"; CSM-PR, page 222) (my inference).
- Exchange: CSM-FS, page 1, "Trading Details" ("Exchange Cboe BZX"); CSM-PR, page 2, cover.
- Inception: CSM-FS, page 1, "Key Facts" ("Inception Date 07/13/09").
- Net assets: CSM-FS, page 1, "Key Facts" ("Net Assets $510.19 million"), as of June 30, 2026.
- Strategy type: (my inference) from "A 130/30 investment strategy seeks to provide total long exposure of 130% ... and total short 30% exposure" (CSM-PR, page 51, "Principal Investment Strategies"). Net long of about 100% rules out equity market neutral.
- Long %: "offering 130% long exposure and 30% short exposure" (CSM-FS, page 1). A stated structure, not a measured fund figure.
- Short %: same source as Long %.
- Gross: 130% plus 30% is 1.60x (my arithmetic). The index has these levels "at each monthly reconstitution date" (CSM-PR, page 208).
- Above 2.0x: based on 1.60x gross (my arithmetic).
- Net: 130% minus 30% is 100% (my arithmetic).
- Short method: "The Fund invests in derivatives (e.g. swap agreements) in order to gain exposure to the Index" (CSM-PR, page 51). No direct short sales are described as principal (my inference).
- Prime broker or counterparty: none named. The SAI says only that a counterparty "will typically be a major global financial institution" (CSM-SAI, page 50).
- Custodian: CSM-SAI, page 112, "Custodian, Transfer Agent, and Index Receipt Agent."
- Management fee: CSM-PR, page 51, "Fees and Expenses of the Fund"; unitary per CSM-SAI, pages 96 and 97.
- Total expense ratio: CSM-PR, page 51 ("Total Annual Fund Operating Expenses 0.45%"); CSM-FS, page 1 ("Expense Ratio 0.45%"); CSM-PR, page 234 (0.45% net of waivers, fiscal 2026).
- Short costs in expense ratio: "The Fund pays transaction and financing costs associated with the purchase and sale of securities and derivatives. These costs are not reflected in the table or the example above" (CSM-PR, page 51).
- 3-month return: 13.79% at NAV, 3 months to June 30, 2026 (CSM-FS, page 1, "Performance (%)", column "Q2 26").
- 1-year return: 22.31% at NAV, 1 year to June 30, 2026 (CSM-FS, page 1, "Performance (%)", column "1 YR").
- Beta: not given in any of the three documents.
- Beta benchmark: not stated, because no beta is given.
- Beta period: not stated, because no beta is given.
- Leverage Method: (my inference) from the principal instrument "Equity Securities", described as "Common stock issued by public companies", and "The Fund invests in derivatives (e.g. swap agreements) in order to gain exposure to the Index" (CSM-PR, page 51). Physical holdings are supported by securities lending income of $184,208 (CSM-SAI, page 113) and 69% turnover measured "without regard to ... derivatives" (CSM-PR, page 51). Unlike the key's description, CSM's physical book is long only; the short side is in swaps.
- Leverage cost: the fund uses swaps, and swap interest and fees "are often netted with any unrealized gain or loss to determine the value of the swap" (CSM-SAI, page 49). No financing cost is reported in the fee table or financial highlights (CSM-PR, pages 51 and 234).
- Short dividend expense: not reported. On short swaps, dividends on the underlying "reduce the value of the swap" (CSM-SAI, page 49), so they sit inside swap values (my inference).
- Ranking properties (Rank to Score): from the ranking of the 27 LS peers prepared November 11, 2026, using only the project's fund profiles. Each of the seven criteria scores Yes = 1, Partly = 0.5, No or Not stated = 0. Funds sort first by Portfolio margin (YES, LIKELY, POSSIBLE, UNLIKELY, NO), then by Score, then Tidal funds first, then higher gross exposure (my inference).
- Rank: 18 of 27, as of November 11, 2026.
- Long/short: Partly. 130% long and 30% short, about 100% net (CSM-FS, page 1).
- Portfolio margin: UNLIKELY. The fund gets its index exposure through swap agreements (CSM-PR, page 51), and no document says it sells stock short directly (my inference). No holdings report was attached to confirm this.
- Cross-collateral: Not stated. Swap collateral goes to "an independent bank custodian" (CSM-SAI, page 51).
- Outside Reg T: No. Short exposure comes through swaps, not a margin account (my inference).
- Short costs (includes dividends): Not stated. Financing costs "are not reflected in the table" (CSM-PR, page 51).
- Over 2.0x: No. 1.60x stated (CSM-FS, page 1; my arithmetic).
- Tidal: No. The fund is a series of ProShares Trust (CSM-SAI, page 7).
- Score: 0.5 (my arithmetic).