☒ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
2020
☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
001-33908,001-33909
Incorporation or Organization) NYNY
Large accelerated filer | ☐ | Accelerated filer | ☒ | |||
Non-accelerated filer | ☐ | Smaller reporting company | ☐ | |||
Emerging growth company | ☐ |
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June 30, 2019 (unaudited) | December 31, 2018 | |||||||
Assets: |
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Cash | $ | 778,036 | $ | 1,542,378 | ||||
Cash held by broker for futures contracts (Note 3) | 4,370,148 | 8,651,045 | ||||||
Short-term investments (cost $124,719,472 and $143,563,956 as of June 30, 2019 and December 31, 2018, respectively) | 124,737,197 | 143,568,752 | ||||||
Receivable for capital shares sold | — | 8,748,821 | ||||||
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Total Assets | 129,885,381 | 162,510,996 | ||||||
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Liabilities and shareholders’ equity: |
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Net unrealized depreciation on futures contracts | 410,382 | 7,560,832 | ||||||
Net management fee payable to related party (Note 8) | 79,816 | 95,163 | ||||||
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Total Liabilities | 490,198 | 7,655,995 | ||||||
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Shareholders’ equity: |
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General Units: |
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Paid in capital—50 units issued and outstanding (unlimited authorized) | 1,500 | 1,500 | ||||||
Accumulated deficit | (608 | ) | (625 | ) | ||||
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Total General Units | 892 | 875 | ||||||
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Limited Units: |
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Paid in capital—7,250,000 and 8,850,000 redeemable shares issued and outstanding (unlimited authorized) as of June 30, 2019 and December 31, 2018, respectively | 269,869,499 | 298,946,484 | ||||||
Accumulated deficit | (140,475,208 | ) | (144,092,358 | ) | ||||
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Total Limited Units | 129,394,291 | 154,854,126 | ||||||
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Total shareholders’ equity | 129,395,183 | 154,855,001 | ||||||
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Total liabilities and shareholders’ equity | $ | 129,885,381 | $ | 162,510,996 | ||||
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Net asset value per share |
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General Units | $ | 17.85 | $ | 17.50 | ||||
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Limited Units | $ | 17.85 | $ | 17.50 | ||||
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2019
June 30, 2020 (unaudited) | December 31, 2019 | |||||||
Assets: | ||||||||
Cash | $ | 298,439 | $ | 1,730,680 | ||||
Cash held by broker for futures contracts (Note 3) | 3,749,771 | 4,191,497 | ||||||
Short-term investments (cost $64,990,781 and $115,820,868 as of June 30, 2020 and December 31, 2019, respectively) | 64,990,566 | 115,831,172 | ||||||
Net unrealized appreciation on futures contracts | 653,974 | 6,162,155 | ||||||
Total Assets | 69,692,750 | 127,915,504 | ||||||
Liabilities and shareholders’ equity: | ||||||||
Net management fee payable to related party (Note 8) | 43,331 | 79,661 | ||||||
Total Liabilities | 43,331 | 79,661 | ||||||
Shareholders’ equity: | ||||||||
General Units: | ||||||||
Paid in capital—50 units issued and outstanding (unlimited authorized) | 1,500 | 1,500 | ||||||
Accumulated deficit | (717 | ) | (560 | ) | ||||
Total General Units | 783 | 940 | ||||||
Limited Units: | ||||||||
Paid in capital—4,450,000 and 6,800,000 redeemable shares issued and outstanding (unlimited authorized) as of June 30, 2020 and December 31, 2019, respectively | 223,507,060 | 262,345,685 | ||||||
Accumulated deficit | (153,858,424 | ) | (134,510,782 | ) | ||||
Total Limited Units | 69,648,636 | 127,834,903 | ||||||
Total shareholders’ equity | 69,649,419 | 127,835,843 | ||||||
Total liabilities and shareholders’ equity | $ | 69,692,750 | $ | 127,915,504 | ||||
Net asset value per share | ||||||||
General Units | $ | 15.65 | $ | 18.80 | ||||
Limited Units | $ | 15.65 | $ | 18.80 | ||||
Description | Percentage of Net Assets | Fair Value | Face Amount | |||||||||||||
U.S. Treasury Obligations | ||||||||||||||||
U.S. Treasury Bills | ||||||||||||||||
2.41%, 7/5/19* | 25.50 | % | $ | 32,992,867 | $ | 33,000,000 | ||||||||||
2.40%, 7/25/19* | 25.47 | 32,957,210 | 33,000,000 | |||||||||||||
2.21%, 8/22/19*(a) | 22.34 | 28,912,285 | 29,000,000 | |||||||||||||
2.19%, 9/12/19* | 23.09 | 29,874,835 | 30,000,000 | |||||||||||||
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Total U.S. Treasury Obligations (Cost: $124,719,472) |
| 96.40 | % | $ | 124,737,197 | $ | 125,000,000 | |||||||||
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Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Futures Contracts Long Exposure (Exchange-Traded) |
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Cocoa | ||||||||||||||||
expiration date 9/13/19 | 156 | 0.07 | % | $ | 87,740 | $ | 3,783,000 | |||||||||
expiration date 12/13/19 | 156 | 0.01 | 14,240 | 3,834,480 | ||||||||||||
Coffee “C” | ||||||||||||||||
expiration date 9/18/19 | 92 | 0.20 | 261,300 | 3,776,025 | ||||||||||||
expiration date 12/18/19 | 91 | 0.30 | 392,531 | 3,857,831 | ||||||||||||
Copper | ||||||||||||||||
expiration date 9/26/19 | 56 | (0.06 | ) | (80,800 | ) | 3,798,900 | ||||||||||
expiration date 12/27/19 | 56 | (0.12 | ) | (149,775 | ) | 3,808,700 | ||||||||||
Corn | ||||||||||||||||
expiration date 9/13/19 | 178 | 0.11 | 148,588 | 3,780,275 | ||||||||||||
expiration date 12/13/19 | 177 | 0.14 | 184,613 | 3,818,775 | ||||||||||||
Cotton No. 2 | ||||||||||||||||
expiration date 12/6/19 | 115 | (0.39 | ) | (501,245 | ) | 3,799,600 | ||||||||||
expiration date 3/9/20 | 114 | 0.01 | 10,395 | 3,801,330 | ||||||||||||
Gold 100 Ounce | ||||||||||||||||
expiration date 12/27/19 | 26 | 0.21 | 272,390 | 3,705,260 | ||||||||||||
expiration date 2/26/20 | 27 | 0.15 | 200,100 | 3,861,270 | ||||||||||||
Lean Hogs | ||||||||||||||||
expiration date 8/14/19 | 64 | (0.13 | ) | (167,570 | ) | 1,945,600 | ||||||||||
expiration date 10/14/19 | 65 | (0.07 | ) | (89,160 | ) | 1,842,100 | ||||||||||
expiration date 12/13/19 | 65 | (0.19 | ) | (247,490 | ) | 1,849,900 | ||||||||||
expiration date 2/14/20 | 65 | (0.05 | ) | (68,710 | ) | 1,982,500 | ||||||||||
Live Cattle | ||||||||||||||||
expiration date 10/31/19 | 58 | (0.15 | ) | (195,110 | ) | 2,445,860 | ||||||||||
expiration date 12/31/19 | 58 | (0.17 | ) | (220,710 | ) | 2,557,800 | ||||||||||
expiration date 2/28/20 | 57 | (0.02 | ) | (29,080 | ) | 2,602,050 | ||||||||||
Natural Gas | ||||||||||||||||
expiration date 8/28/19 | 62 | (0.18 | ) | (229,910 | ) | 1,414,840 | ||||||||||
expiration date 9/26/19 | 62 | (0.18 | ) | (234,210 | ) | 1,432,820 | ||||||||||
expiration date 10/29/19 | 62 | (0.18 | ) | (229,540 | ) | 1,487,380 | ||||||||||
expiration date 11/26/19 | 61 | (0.03 | ) | (38,090 | ) | 1,582,950 | ||||||||||
expiration date 12/27/19 | 61 | (0.03 | ) | (42,040 | ) | 1,651,270 | ||||||||||
NY Harbor ULSD | ||||||||||||||||
expiration date 8/30/19 | 18 | 0.01 | 11,861 | 1,472,083 | ||||||||||||
expiration date 9/30/19 | 18 | (0.05 | ) | (70,279 | ) | 1,476,997 | ||||||||||
expiration date 10/31/19 | 18 | (0.05 | ) | (62,110 | ) | 1,480,929 | ||||||||||
expiration date 11/29/19 | 19 | 0.07 | 86,927 | 1,565,277 | ||||||||||||
expiration date 12/31/19 | 19 | 0.07 | 90,573 | 1,566,394 | ||||||||||||
Platinum | ||||||||||||||||
expiration date 10/29/19 | 90 | 0.06 | 76,995 | 3,784,950 | ||||||||||||
expiration date 1/29/20 | 90 | 0.10 | 123,940 | 3,807,900 | ||||||||||||
Silver | ||||||||||||||||
expiration date 9/26/19 | 49 | (0.03 | ) | (35,175 | ) | 3,758,545 | ||||||||||
expiration date 12/27/19 | 50 | 0.05 | 62,460 | 3,861,750 | ||||||||||||
Soybean | ||||||||||||||||
expiration date 11/14/19 | 82 | 0.03 | 35,525 | 3,784,300 | ||||||||||||
expiration date 1/14/20 | 82 | 0.06 | 74,225 | 3,831,450 |
2020
Description | Percentage of Net Assets | Fair Value | Face Amount | |||||||||||||
U.S. Treasury Obligations | ||||||||||||||||
U.S. Treasury Bills | ||||||||||||||||
0.12%, 7/9/20*, (a) | 15.79 | % | $ | 10,999,743 | $ | 11,000,000 | ||||||||||
0.08%, 7/30/20* | 25.84 | 17,998,260 | 18,000,000 | |||||||||||||
0.11%, 8/20/20* | 25.84 | 17,997,000 | 18,000,000 | |||||||||||||
0.15%, 9/10/20* | 25.84 | 17,995,563 | 18,000,000 | |||||||||||||
Total U.S. Treasury Obligations (Cost: $64,990,781) | 93.31 | % | $ | 64,990,566 | $ | 65,000,000 | ||||||||||
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Futures Contracts Long Exposure (Exchange-Traded) | ||||||||||||||||
Cocoa | ||||||||||||||||
expiration date 9/15/20 | 94 | (0.40 | )% | $ | (275,420 | ) | $ | 2,054,840 | ||||||||
expiration date 12/15/20 | 94 | (0.16 | ) | (108,570 | ) | 2,053,900 | ||||||||||
Coffee “C” | ||||||||||||||||
expiration date 9/18/20 | 54 | (0.18 | ) | (125,288 | ) | 2,045,250 | ||||||||||
expiration date 12/18/20 | 53 | (0.21 | ) | (149,100 | ) | 2,056,069 | ||||||||||
Copper | ||||||||||||||||
expiration date 9/28/20 | 30 | 0.18 | 124,838 | 2,046,375 | ||||||||||||
expiration date 12/29/20 | 30 | 0.30 | 210,600 | 2,056,875 | ||||||||||||
Corn | ||||||||||||||||
expiration date 9/14/20 | 118 | (0.12 | ) | (86,650 | ) | 2,014,850 | ||||||||||
expiration date 12/14/20 | 118 | 0.04 | 29,388 | 2,067,950 | ||||||||||||
Cotton No. 2 | ||||||||||||||||
expiration date 12/8/20 | 67 | 0.22 | 156,010 | 2,039,480 | ||||||||||||
expiration date 3/9/21 | 66 | 0.05 | 36,435 | 2,030,820 | ||||||||||||
Gold 100 Ounce | ||||||||||||||||
expiration date 12/29/20 | 11 | 0.15 | 105,110 | 2,002,440 | ||||||||||||
expiration date 2/24/21 | 11 | 0.12 | 84,960 | 2,010,250 | ||||||||||||
Lean Hogs | ||||||||||||||||
expiration date 8/14/20 | 48 | (0.22 | ) | (155,140 | ) | 941,280 | ||||||||||
expiration date 10/14/20 | 49 | (0.07 | ) | (51,910 | ) | 967,260 | ||||||||||
expiration date 12/14/20 | 49 | (0.02 | ) | (13,330 | ) | 1,013,810 | ||||||||||
expiration date 2/12/21 | 49 | (0.02 | ) | (14,890 | ) | 1,174,040 | ||||||||||
Live Cattle | ||||||||||||||||
expiration date 10/30/20 | 33 | (0.08 | ) | (55,450 | ) | 1,316,370 | ||||||||||
expiration date 12/31/20 | 33 | 0.04 | 26,920 | 1,368,180 | ||||||||||||
expiration date 2/26/21 | 33 | 0.01 | 5,170 | 1,417,680 | ||||||||||||
Natural Gas | ||||||||||||||||
expiration date 8/27/20 | 35 | (0.12 | ) | (85,800 | ) | 626,150 | ||||||||||
expiration date 9/28/20 | 35 | (0.14 | ) | (100,950 | ) | 660,450 | ||||||||||
expiration date 10/28/20 | 35 | (0.08 | ) | (57,080 | ) | 798,700 | ||||||||||
expiration date 11/25/20 | 35 | (0.04 | ) | (28,810 | ) | 961,450 | ||||||||||
expiration date 12/29/20 | 36 | (0.05 | ) | (31,690 | ) | 1,037,880 | ||||||||||
NY Harbor ULSD | ||||||||||||||||
expiration date 8/31/20 | 16 | 0.05 | 37,750 | 808,819 | ||||||||||||
expiration date 9/30/20 | 16 | 0.11 | 76,142 | 821,251 | ||||||||||||
expiration date 10/30/20 | 16 | 0.11 | 75,113 | 832,742 | ||||||||||||
expiration date 11/30/20 | 16 | 0.02 | 16,535 | 841,747 | ||||||||||||
expiration date 12/31/20 | 15 | 0.02 | 15,981 | 797,580 | ||||||||||||
Platinum | ||||||||||||||||
expiration date 10/28/20 | 48 | 0.19 | 135,775 | 2,042,880 | ||||||||||||
expiration date 1/27/21 | 48 | 0.03 | 23,395 | 2,054,640 | ||||||||||||
Silver | ||||||||||||||||
expiration date 9/28/20 | 22 | 0.28 | 192,770 | 2,050,070 | ||||||||||||
expiration date 12/29/20 | 22 | 0.33 | 232,180 | 2,068,330 | ||||||||||||
Soybean | ||||||||||||||||
expiration date 11/13/20 | 46 | 0.03 | 23,850 | 2,029,175 |
2020
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Soybean Oil | ||||||||||||||||
expiration date 9/13/19 | 111 | (0.09 | )% | $ | (115,644 | ) | $ | 1,897,434 | ||||||||
expiration date 10/14/19 | 110 | (0.09 | ) | (121,098 | ) | 1,886,940 | ||||||||||
expiration date 12/13/19 | 110 | (0.03 | ) | (44,316 | ) | 1,902,780 | ||||||||||
expiration date 1/14/20 | 110 | 0.03 | 39,102 | 1,918,620 | ||||||||||||
Sugar No. 11 | ||||||||||||||||
expiration date 9/30/19 | 260 | (0.09 | ) | (114,262 | ) | 3,674,944 | ||||||||||
expiration date 2/28/20 | 260 | (0.02 | ) | (31,618 | ) | 3,945,760 | ||||||||||
Wheat | ||||||||||||||||
expiration date 9/13/19 | 143 | 0.10 | 135,588 | 3,769,838 | ||||||||||||
expiration date 12/13/19 | 143 | 0.18 | 234,737 | 3,850,275 | ||||||||||||
WTI Crude Oil | ||||||||||||||||
expiration date 8/20/19 | 26 | 0.05 | 71,180 | 1,521,520 | ||||||||||||
expiration date 9/20/19 | 26 | (0.07 | ) | (90,390 | ) | 1,518,400 | ||||||||||
expiration date 10/22/19 | 26 | (0.06 | ) | (70,670 | ) | 1,513,720 | ||||||||||
expiration date 11/20/19 | 26 | 0.10 | 128,400 | 1,507,480 | ||||||||||||
expiration date 12/19/19 | 26 | 0.10 | 125,210 | 1,500,460 | ||||||||||||
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Total Futures Contracts Long Exposure (Exchange-Traded) |
| (0.32 | )% | $ | (410,382 | ) | $ | 129,219,262 | ||||||||
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Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
expiration date 1/14/21 | 46 | 0.01 | % | $ | 8,700 | $ | 2,034,925 | |||||||||
Soybean Oil | ||||||||||||||||
expiration date 9/14/20 | 60 | (0.09 | ) | (64,914 | ) | 1,018,800 | ||||||||||
expiration date 10/14/20 | 60 | (0.09 | ) | (61,632 | ) | 1,024,920 | ||||||||||
expiration date 12/14/20 | 59 | 0.02 | 11,934 | 1,019,874 | ||||||||||||
expiration date 1/14/21 | 59 | (0.00 | ) | (696 | ) | 1,026,954 | ||||||||||
Sugar No. 11 | ||||||||||||||||
expiration date 9/30/20 | 150 | 0.21 | 144,581 | 2,009,280 | ||||||||||||
expiration date 2/26/21 | 149 | (0.04 | ) | (29,490 | ) | 2,096,013 | ||||||||||
Wheat | ||||||||||||||||
expiration date 9/14/20 | 82 | (0.21 | ) | (149,613 | ) | 2,016,175 | ||||||||||
expiration date 12/14/20 | 83 | (0.24 | ) | (170,600 | ) | 2,070,850 | ||||||||||
WTI Crude Oil | ||||||||||||||||
expiration date 8/20/20 | 21 | 0.35 | 246,030 | 826,140 | ||||||||||||
expiration date 9/22/20 | 21 | 0.30 | 207,320 | 829,080 | ||||||||||||
expiration date 10/20/20 | 21 | 0.30 | 205,720 | 831,180 | ||||||||||||
expiration date 11/20/20 | 20 | 0.03 | 22,070 | 793,600 | ||||||||||||
expiration date 12/21/20 | 20 | 0.02 | 15,720 | 795,600 | ||||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded) | 0.94 | % | $ | 653,974 | $ | 69,502,974 | ||||||||||
* | Interest rate shown reflects the yield to maturity at time of purchase. |
(a) | All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of |
Description | Percentage of Net Assets | Fair Value | Face Amount | |||||||||||||
U.S. Treasury Obligations | ||||||||||||||||
U.S. Treasury Bills | ||||||||||||||||
2.29%, 1/17/19* | 27.10 | % | $ | 41,960,100 | $ | 42,000,000 | ||||||||||
2.33%, 2/7/19* | 17.39 | 26,936,314 | 27,000,000 | |||||||||||||
2.38%, 2/28/19*(a) | 25.73 | 39,849,504 | 40,000,000 | |||||||||||||
2.39%, 3/21/19* | 22.49 | 34,822,834 | 35,000,000 | |||||||||||||
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Total U.S. Treasury Obligations (Cost: $143,563,956) | 92.71 | % | $ | 143,568,752 | $ | 144,000,000 | ||||||||||
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Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Futures Contracts Long Exposure (Exchange-Traded) |
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Cocoa |
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expiration date 3/14/19 | 125 | 0.19 | % | $ | 294,300 | $ | 3,020,000 | |||||||||
expiration date 5/15/19 | 124 | 0.21 | 319,790 | 3,036,760 | ||||||||||||
expiration date 7/16/19 | 124 | 0.10 | 155,170 | 3,050,400 | ||||||||||||
Coffee “C” | ||||||||||||||||
expiration date 3/19/19 | 77 | (0.13 | ) | (205,594 | ) | 2,940,919 | ||||||||||
expiration date 5/20/19 | 77 | (0.13 | ) | (195,150 | ) | 3,030,431 | ||||||||||
expiration date 7/19/19 | 78 | (0.22 | ) | (333,431 | ) | 3,153,150 | ||||||||||
Copper | ||||||||||||||||
expiration date 3/27/19 | 46 | (0.10 | ) | (148,663 | ) | 3,025,650 | ||||||||||
expiration date 5/29/19 | 46 | (0.10 | ) | (152,875 | ) | 3,032,550 | ||||||||||
expiration date 7/29/19 | 46 | (0.08 | ) | (126,363 | ) | 3,037,150 | ||||||||||
Corn | ||||||||||||||||
expiration date 3/14/19 | 159 | (0.04 | ) | (67,262 | ) | 2,981,250 | ||||||||||
expiration date 5/14/19 | 159 | (0.04 | ) | (55,612 | ) | 3,044,850 | ||||||||||
expiration date 7/12/19 | 158 | (0.03 | ) | (48,875 | ) | 3,086,925 | ||||||||||
Cotton No. 2 | ||||||||||||||||
expiration date 3/7/19 | 83 | (0.31 | ) | (479,230 | ) | 2,996,300 | ||||||||||
expiration date 5/8/19 | 83 | (0.27 | ) | (410,890 | ) | 3,050,250 | ||||||||||
expiration date 7/9/19 | 82 | (0.19 | ) | (293,870 | ) | 3,059,830 | ||||||||||
Gold 100 Ounce | ||||||||||||||||
expiration date 2/26/19 | 24 | (0.02 | ) | (33,380 | ) | 3,075,120 | ||||||||||
expiration date 4/26/19 | 24 | 0.08 | 123,000 | 3,090,480 | ||||||||||||
expiration date 6/26/19 | 23 | 0.07 | 111,220 | 2,976,660 | ||||||||||||
Lean Hogs | ||||||||||||||||
expiration date 2/14/19 | 78 | (0.01 | ) | (22,640 | ) | 1,902,420 | ||||||||||
expiration date 4/12/19 | 78 | (0.01 | ) | (23,290 | ) | 2,092,740 | ||||||||||
expiration date 6/14/19 | 78 | 0.00 | 2,400 | 2,541,240 | ||||||||||||
expiration date 7/15/19 | 78 | (0.00 | ) | (6,130 | ) | 2,573,220 | ||||||||||
Live Cattle | ||||||||||||||||
expiration date 2/28/19 | 62 | 0.10 | 158,940 | 3,072,100 | ||||||||||||
expiration date 4/30/19 | 62 | 0.11 | 173,850 | 3,131,000 | ||||||||||||
expiration date 6/28/19 | 62 | 0.05 | 76,750 | 2,903,460 | ||||||||||||
Natural Gas | ||||||||||||||||
expiration date 1/29/19 | 65 | (0.17 | ) | (258,970 | ) | 1,911,000 | ||||||||||
expiration date 2/26/19 | 65 | (0.16 | ) | (247,080 | ) | 1,853,150 | ||||||||||
expiration date 3/27/19 | 65 | (0.03 | ) | (41,290 | ) | 1,743,950 | ||||||||||
expiration date 4/26/19 | 66 | (0.02 | ) | (30,210 | ) | 1,763,520 | ||||||||||
expiration date 5/29/19 | 66 | (0.01 | ) | (17,480 | ) | 1,793,220 | ||||||||||
NY Harbor ULSD | ||||||||||||||||
expiration date 1/31/19 | 26 | (0.25 | ) | (388,950 | ) | 1,833,905 | ||||||||||
expiration date 2/28/19 | 26 | (0.26 | ) | (401,738 | ) | 1,823,531 | ||||||||||
expiration date 3/29/19 | 26 | (0.27 | ) | (416,829 | ) | 1,808,461 | ||||||||||
expiration date 4/30/19 | 26 | (0.27 | ) | (421,235 | ) | 1,807,151 | ||||||||||
expiration date 5/31/19 | 26 | (0.25 | ) | (394,498 | ) | 1,815,778 | ||||||||||
Platinum | ||||||||||||||||
expiration date 4/26/19 | 113 | (0.11 | ) | (169,965 | ) | 4,523,390 | ||||||||||
expiration date 7/29/19 | 113 | (0.22 | ) | (343,140 | ) | 4,551,640 |
2019
Description | Percentage of Net Assets | Fair Value | Face Amount | |||||||||||||
U.S. Treasury Obligations | ||||||||||||||||
U.S. Treasury Bills | ||||||||||||||||
1.69%, 1/2/20* | 22.68 | % | $ | 29,000,000 | $ | 29,000,000 | ||||||||||
1.65%, 1/23/20* | 22.67 | 28,975,217 | 29,000,000 | |||||||||||||
1.55%, 2/20/20*, (a) | 22.64 | 28,940,397 | 29,000,000 | |||||||||||||
1.57%, 3/12/20* | 22.62 | 28,915,558 | 29,000,000 | |||||||||||||
Total U.S. Treasury Obligations (Cost: $115,820,868) | 90.61 | % | $ | 115,831,172 | $ | 116,000,000 | ||||||||||
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Futures Contracts Long Exposure (Exchange-Traded) | ||||||||||||||||
Cocoa | ||||||||||||||||
expiration date 3/16/20 | 98 | 0.12 | % | $ | 155,530 | $ | 2,489,200 | |||||||||
expiration date 5/13/20 | 99 | 0.12 | 159,550 | 2,515,590 | ||||||||||||
expiration date 7/16/20 | 99 | 0.04 | 45,850 | 2,510,640 | ||||||||||||
Coffee “C” | ||||||||||||||||
expiration date 3/19/20 | 51 | 0.31 | 399,787 | 2,480,513 | ||||||||||||
expiration date 5/18/20 | 51 | 0.31 | 394,162 | 2,522,587 | ||||||||||||
expiration date 7/21/20 | 50 | 0.21 | 271,069 | 2,511,562 | ||||||||||||
Copper | ||||||||||||||||
expiration date 3/27/20 | 36 | 0.12 | 153,663 | 2,517,300 | ||||||||||||
expiration date 5/27/20 | 36 | 0.13 | 164,163 | 2,526,750 | ||||||||||||
expiration date 7/29/20 | 35 | 0.07 | 85,050 | 2,462,688 | ||||||||||||
Corn | ||||||||||||||||
expiration date 3/13/20 | 127 | (0.11 | ) | (143,788 | ) | 2,462,213 | ||||||||||
expiration date 5/14/20 | 127 | (0.11 | ) | (135,112 | ) | 2,506,662 | ||||||||||
expiration date 7/14/20 | 127 | 0.00 | 3,863 | 2,546,350 | ||||||||||||
Cotton No. 2 | ||||||||||||||||
expiration date 3/9/20 | 72 | 0.13 | 160,700 | 2,485,800 | ||||||||||||
expiration date 5/6/20 | 72 | 0.22 | 275,285 | 2,526,480 | ||||||||||||
expiration date 7/9/20 | 71 | 0.08 | 106,580 | 2,518,725 | ||||||||||||
Gold 100 Ounce | ||||||||||||||||
expiration date 2/26/20 | 17 | 0.12 | 153,660 | 2,589,270 | ||||||||||||
expiration date 4/28/20 | 16 | 0.02 | 23,480 | 2,446,880 | ||||||||||||
expiration date 6/26/20 | 16 | 0.04 | 57,060 | 2,456,160 | ||||||||||||
Lean Hogs | ||||||||||||||||
expiration date 2/14/20 | 57 | (0.00 | ) | (4,330 | ) | 1,628,490 | ||||||||||
expiration date 4/15/20 | 58 | (0.02 | ) | (23,410 | ) | 1,807,860 | ||||||||||
expiration date 6/12/20 | 57 | (0.03 | ) | (32,640 | ) | 2,038,890 | ||||||||||
expiration date 7/15/20 | 57 | (0.04 | ) | (46,170 | ) | 2,035,470 | ||||||||||
Live Cattle | ||||||||||||||||
expiration date 2/28/20 | 51 | 0.17 | 214,010 | 2,568,870 | ||||||||||||
expiration date 4/30/20 | 50 | 0.15 | 187,730 | 2,543,500 | ||||||||||||
expiration date 6/30/20 | 50 | 0.02 | 21,140 | 2,378,000 | ||||||||||||
Natural Gas | ||||||||||||||||
expiration date 1/29/20 | 69 | (0.17 | ) | (217,420 | ) | 1,510,410 | ||||||||||
expiration date 2/26/20 | 69 | (0.14 | ) | (181,710 | ) | 1,489,020 | ||||||||||
expiration date 3/27/20 | 69 | (0.06 | ) | (75,920 | ) | 1,482,810 | ||||||||||
expiration date 4/28/20 | 69 | (0.08 | ) | (99,440 | ) | 1,509,720 | ||||||||||
expiration date 5/27/20 | 69 | (0.07 | ) | (92,310 | ) | 1,549,740 | ||||||||||
NY Harbor ULSD | ||||||||||||||||
expiration date 1/31/20 | 18 | 0.11 | 135,677 | 1,529,237 | ||||||||||||
expiration date 2/28/20 | 18 | 0.11 | 137,264 | 1,524,474 | ||||||||||||
expiration date 3/31/20 | 18 | 0.11 | 145,618 | 1,511,773 | ||||||||||||
expiration date 4/30/20 | 18 | 0.06 | 82,820 | 1,500,055 | ||||||||||||
expiration date 5/29/20 | 17 | 0.06 | 78,074 | 1,407,508 | ||||||||||||
Platinum | ||||||||||||||||
expiration date 4/28/20 | 77 | 0.19 | 244,550 | 3,764,530 |
2019
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Silver | ||||||||||||||||
expiration date 3/27/19 | 39 | 0.04 | % | $ | 55,325 | $ | 3,030,300 | |||||||||
expiration date 5/29/19 | 39 | 0.03 | 40,710 | 3,047,070 | ||||||||||||
expiration date 7/29/19 | 38 | 0.12 | 184,335 | 2,985,090 | ||||||||||||
Soybean | ||||||||||||||||
expiration date 3/14/19 | 66 | (0.01 | ) | (12,886 | ) | 2,953,500 | ||||||||||
expiration date 5/14/19 | 67 | (0.01 | ) | (19,312 | ) | 3,040,962 | ||||||||||
expiration date 7/12/19 | 67 | | (0.00 | ) | (1,050 | ) | 3,082,837 | |||||||||
Soybean Oil | ||||||||||||||||
expiration date 3/14/19 | 180 | (0.07 | ) | (108,978 | ) | 3,007,800 | ||||||||||
expiration date 5/14/19 | 180 | (0.08 | ) | (116,226 | ) | 3,036,960 | ||||||||||
expiration date 7/12/19 | 180 | (0.04 | ) | (59,586 | ) | 3,065,040 | ||||||||||
Sugar No. 11 | ||||||||||||||||
expiration date 2/28/19 | 224 | (0.00 | ) | (7,101 | ) | 3,018,086 | ||||||||||
expiration date 4/30/19 | 223 | 0.01 | 19,432 | 3,022,096 | ||||||||||||
expiration date 6/28/19 | 223 | (0.13 | ) | (200,749 | ) | 3,057,062 | ||||||||||
Wheat | ||||||||||||||||
expiration date 3/14/19 | 119 | (0.20 | ) | (315,438 | ) | 2,994,338 | ||||||||||
expiration date 5/14/19 | 119 | (0.22 | ) | (342,700 | ) | 3,037,475 | ||||||||||
expiration date 7/12/19 | 118 | (0.07 | ) | (109,488 | ) | 3,059,150 | ||||||||||
WTI Crude Oil | ||||||||||||||||
expiration date 1/22/19 | 40 | (0.32 | ) | (488,260 | ) | 1,816,400 | ||||||||||
expiration date 2/20/19 | 40 | (0.33 | ) | (504,050 | ) | 1,828,800 | ||||||||||
expiration date 3/20/19 | 39 | (0.30 | ) | (471,160 | ) | 1,797,120 | ||||||||||
expiration date 4/22/19 | 39 | (0.25 | ) | (383,110 | ) | 1,813,890 | ||||||||||
expiration date 5/21/19 | 39 | (0.26 | ) | (401,320 | ) | 1,830,270 | ||||||||||
|
|
|
|
|
| |||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded) | (4.88 | )% | $ | (7,560,832 | ) | $ | 154,657,797 | |||||||||
|
|
|
|
|
|
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
expiration date 7/29/20 | 76 | 0.21 | % | $ | 270,210 | $ | 3,737,680 | |||||||||
Silver | ||||||||||||||||
expiration date 3/27/20 | 28 | 0.06 | 78,295 | 2,508,940 | ||||||||||||
expiration date 5/27/20 | 28 | 0.06 | 74,040 | 2,521,260 | ||||||||||||
expiration date 7/29/20 | 27 | 0.06 | 75,760 | 2,442,015 | ||||||||||||
Soybean | ||||||||||||||||
expiration date 3/13/20 | 52 | 0.09 | 118,475 | 2,484,300 | ||||||||||||
expiration date 5/14/20 | 52 | 0.10 | 127,738 | 2,518,750 | ||||||||||||
expiration date 7/14/20 | 51 | 0.03 | 34,225 | 2,498,363 | ||||||||||||
Soybean Oil | ||||||||||||||||
expiration date 3/13/20 | 119 | 0.22 | 280,872 | 2,482,578 | ||||||||||||
expiration date 5/14/20 | 119 | 0.23 | 290,004 | 2,503,284 | ||||||||||||
expiration date 7/14/20 | 119 | 0.15 | 194,940 | 2,524,704 | ||||||||||||
Sugar No. 11 | ||||||||||||||||
expiration date 2/28/20 | 166 | 0.08 | 102,984 | 2,495,046 | ||||||||||||
expiration date 4/30/20 | 165 | 0.12 | 148,053 | 2,502,192 | ||||||||||||
expiration date 6/30/20 | 165 | 0.12 | 153,742 | 2,524,368 | ||||||||||||
Wheat | ||||||||||||||||
expiration date 3/13/20 | 90 | 0.19 | 237,137 | 2,514,375 | ||||||||||||
expiration date 5/14/20 | 89 | 0.18 | 229,225 | 2,499,788 | ||||||||||||
expiration date 7/14/20 | 89 | 0.12 | 159,650 | 2,507,575 | ||||||||||||
WTI Crude Oil | ||||||||||||||||
expiration date 1/21/20 | 25 | 0.13 | 164,900 | 1,526,500 | ||||||||||||
expiration date 2/20/20 | 25 | 0.16 | 209,410 | 1,519,250 | ||||||||||||
expiration date 3/20/20 | 25 | 0.16 | 208,020 | 1,510,250 | ||||||||||||
expiration date 4/21/20 | 25 | 0.08 | 99,900 | 1,499,250 | ||||||||||||
expiration date 5/19/20 | 24 | 0.08 | 100,490 | 1,426,560 | ||||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded) | 4.82 | % | $ | 6,162,155 | $ | 127,602,755 | ||||||||||
* | Interest rate shown reflects the yield to maturity at |
(a) | All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2019 | 2018 | 2019 | 2018 | |||||||||||||
Income: |
| |||||||||||||||
Interest income | $ | 744,029 | $ | 713,571 | $ | 1,620,210 | $ | 1,251,497 | ||||||||
Expenses: |
| |||||||||||||||
Management fee to related party (Note 8) | 286,421 | 384,216 | 620,182 | 743,693 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 286,421 | 384,216 | 620,182 | 743,693 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expense waivers (Note 8) | (33,697 | ) | (45,201 | ) | (72,963 | ) | (87,493 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 252,724 | 339,015 | 547,219 | 656,200 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 491,305 | 374,556 | 1,072,991 | 595,297 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: |
| |||||||||||||||
Net Realized Gain (Loss) from: |
| |||||||||||||||
Investments | 44 | (18 | ) | (718 | ) | (18 | ) | |||||||||
Futures Contracts* | (2,029,620 | ) | 647,973 | (4,618,485 | ) | 2,409,544 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) | (2,029,576 | ) | 647,955 | (4,619,203 | ) | 2,409,526 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from: |
| |||||||||||||||
Investments | 14,270 | 15,733 | 12,929 | 9,494 | ||||||||||||
Futures Contracts | (41,919 | ) | (4,692,279 | ) | 7,150,450 | (6,880,222 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation | (27,649 | ) | (4,676,546 | ) | 7,163,379 | (6,870,728 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | (2,057,225 | ) | (4,028,591 | ) | 2,544,176 | (4,461,202 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Gain (Loss) | $ | (1,565,920 | ) | $ | (3,654,035 | ) | $ | 3,617,167 | $ | (3,865,905 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
* Includes brokerage commissions of: | $ | 43,311 | $ | 54,559 | $ | 82,255 | $ | 91,306 | ||||||||
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|
|
|
|
|
|
2019
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Income: | ||||||||||||||||
Interest income | $ | 71,845 | $ | 744,029 | $ | 456,166 | $ | 1,620,210 | ||||||||
Expenses: | ||||||||||||||||
Management fee to related party (Note 8) | 153,350 | 286,421 | 377,497 | 620,182 | ||||||||||||
Total expenses | 153,350 | 286,421 | 377,497 | 620,182 | ||||||||||||
Expense waivers (Note 8) | (18,041 | ) | (33,697 | ) | (44,411 | ) | (72,963 | ) | ||||||||
Net expenses | 135,309 | 252,724 | 333,086 | 547,219 | ||||||||||||
Net investment income (loss) | (63,464 | ) | 491,305 | 123,080 | 1,072,991 | |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | ||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||
Investments | — | 44 | 14,440 | (718 | ) | |||||||||||
Futures Contracts* | (10,173,582 | ) | (2,029,620 | ) | (13,966,619 | ) | (4,618,485 | ) | ||||||||
Net Realized Loss | (10,173,582 | ) | (2,029,576 | ) | (13,952,179 | ) | (4,619,203 | ) | ||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from: | ||||||||||||||||
Investments | (60,941 | ) | 14,270 | (10,519 | ) | 12,929 | ||||||||||
Futures Contracts | 14,237,053 | (41,919 | ) | (5,508,181 | ) | 7,150,450 | ||||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation | 14,176,112 | (27,649 | ) | (5,518,700 | ) | 7,163,379 | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | 4,002,530 | (2,057,225 | ) | (19,470,879 | ) | 2,544,176 | ||||||||||
Net Gain (Loss) | $ | 3,939,066 | $ | (1,565,920 | ) | $ | (19,347,799 | ) | $ | 3,617,167 | ||||||
* | $ | 30,743 | $ | 43,311 | $ | 61,030 | $ | 82,255 | ||||||||
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Total General Shareholders’ | Limited Units | Accumulated | Total Limited Shareholders’ | Total Shareholders’ | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at March 31, 2020 | 50 | $ | 1,500 | $ | (759 | ) | $ | 741 | 5,050,000 | $ | 232,672,819 | $ | (157,797,448 | ) | $ | 74,875,371 | $ | 74,876,112 | ||||||||||||||||||
Creation of Units | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (600,000 | ) | (9,165,759 | ) | — | (9,165,759 | ) | (9,165,759 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Loss | — | — | (0 | )* | (0 | )* | — | — | (63,464 | ) | (63,464 | ) | (63,464 | ) | ||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (103 | ) | (103 | ) | — | — | (10,173,479 | ) | (10,173,479 | ) | (10,173,582 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 145 | 145 | — | — | 14,175,967 | 14,175,967 | 14,176,112 | |||||||||||||||||||||||||||
Net Gain | — | — | 42 | 42 | — | — | 3,939,024 | 3,939,024 | 3,939,066 | |||||||||||||||||||||||||||
Balance at June 30, 2020 | 50 | $ | 1,500 | $ | (717 | ) | $ | 783 | 4,450,000 | $ | 223,507,060 | $ | (153,858,424 | ) | $ | 69,648,636 | $ | 69,649,419 | ||||||||||||||||||
* | Amount represents less than $1. |
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Total General Shareholders’ | Limited Units | Accumulated | Total Limited Shareholders’ | Total Shareholders’ | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at December 31, 2019 | 50 | $ | 1,500 | $ | (560 | ) | $ | 940 | 6,800,000 | $ | 262,345,685 | $ | (134,510,782 | ) | $ | 127,834,903 | $ | 127,835,843 | ||||||||||||||||||
Creation of Units | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (2,350,000 | ) | (38,838,625 | ) | — | (38,838,625 | ) | (38,838,625 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 3 | 3 | — | — | 123,077 | 123,077 | 123,080 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (143 | ) | (143 | ) | — | — | (13,952,036 | ) | (13,952,036 | ) | (13,952,179 | ) | ||||||||||||||||||||||
Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | (17 | ) | (17 | ) | — | — | (5,518,683 | ) | (5,518,683 | ) | (5,518,700 | ) | ||||||||||||||||||||||
Net Loss | — | — | (157 | ) | (157 | ) | — | — | (19,347,642 | ) | (19,347,642 | ) | (19,347,799 | ) | ||||||||||||||||||||||
Balance at June 30, 2020 | 50 | $ | 1,500 | $ | (717 | ) | $ | 783 | 4,450,000 | $ | 223,507,060 | $ | (153,858,424 | ) | $ | 69,648,636 | $ | 69,649,419 | ||||||||||||||||||
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Total General Shareholders’ | Limited Units | Accumulated | Total Limited Shareholders’ | Total Shareholders’ | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at March 31, 2019 | 50 | $ | 1,500 | $ | (598 | ) | $ | 902 | 7,950,000 | $ | 282,316,201 | $ | (138,909,298 | ) | $ | 143,406,903 | $ | 143,407,805 | ||||||||||||||||||
Creation of Units | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (700,000 | ) | (12,446,702 | ) | — | (12,446,702 | ) | (12,446,702 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 3 | 3 | — | — | 491,302 | 491,302 | 491,305 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (15 | ) | (15 | ) | — | — | (2,029,561 | ) | (2,029,561 | ) | (2,029,576 | ) | ||||||||||||||||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 2 | 2 | — | — | (27,651 | ) | (27,651 | ) | (27,649 | ) | ||||||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||
Net Loss | — | — | (10 | ) | (10 | ) | — | — | (1,565,910 | ) | (1,565,910 | ) | (1,565,920 | ) | ||||||||||||||||||||||
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| |||||||||||||||||||
Balance at June 30, 2019 | 50 | $ | 1,500 | $ | (608 | ) | $ | 892 | 7,250,000 | $ | 269,869,499 | $ | (140,475,208 | ) | $ | 129,394,291 | $ | 129,395,183 | ||||||||||||||||||
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| |||||||||||||||||||
For the Six Months Ended June 30, 2019 |
| |||||||||||||||||||||||||||||||||||
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Total General Shareholders’ | Limited Units | Accumulated | Total Limited Shareholders’ | Total Shareholders’ | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at December 31, 2018 | 50 | $ | 1,500 | $ | (625 | ) | $ | 875 | 8,850,000 | $ | 298,946,484 | $ | (144,092,358 | ) | $ | 154,854,126 | $ | 154,855,001 | ||||||||||||||||||
Creation of Units | — | — | — | — | 600,000 | 10,509,822 | — | 10,509,822 | 10,509,822 | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (2,200,000 | ) | (39,586,807 | ) | — | (39,586,807 | ) | (39,586,807 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 6 | 6 | — | — | 1,072,985 | 1,072,985 | 1,072,991 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (31 | ) | (31 | ) | — | — | (4,619,172 | ) | (4,619,172 | ) | (4,619,203 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 42 | 42 | — | — | 7,163,337 | 7,163,337 | 7,163,379 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Gain | — | — | 17 | 17 | — | — | 3,617,150 | 3,617,150 | 3,617,167 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Balance at June 30, 2019 | 50 | $ | 1,500 | $ | (608 | ) | $ | 892 | 7,250,000 | $ | 269,869,499 | $ | (140,475,208 | ) | $ | 129,394,291 | $ | 129,395,183 | ||||||||||||||||||
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|
|
Seeaccompanying notes to unaudited consolidated financialstatements
WisdomTree Continuous Commodity Index Fund
Unaudited Consolidated Statement of Changes in Shareholders’ Equity
For the Three Months Ended June 30, 2018
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Total General Shareholders’ | Limited Units | Accumulated | Total Limited Shareholders’ | Total Shareholders’ | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at March 31, 2018 | 50 | $ | 1,500 | $ | (537 | ) | $ | 963 | 9,400,000 | $ | 309,298,666 | $ | (128,361,338 | ) | $ | 180,937,328 | $ | 180,938,291 | ||||||||||||||||||
Creation of Units | — | — | — | — | 200,000 | 3,897,304 | — | 3,897,304 | 3,897,304 | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (450,000 | ) | (8,648,395 | ) | — | (8,648,395 | ) | (8,648,395 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 3 | 3 | — | — | 374,553 | 374,553 | 374,556 | |||||||||||||||||||||||||||
Net Realized Gain from Investments and Futures Contracts | — | — | 4 | 4 | — | — | 647,951 | 647,951 | 647,955 | |||||||||||||||||||||||||||
Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | (27 | ) | (27 | ) | — | — | (4,676,519 | ) | (4,676,519 | ) | (4,676,546 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Loss | — | — | (20 | ) | (20 | ) | — | — | (3,654,015 | ) | (3,654,015 | ) | (3,654,035 | ) | ||||||||||||||||||||||
|
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|
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|
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|
|
|
| |||||||||||||||||||
Balance at June 30, 2018 | 50 | $ | 1,500 | $ | (557 | ) | $ | 943 | 9,150,000 | $ | 304,547,575 | $ | (132,015,353 | ) | $ | 172,532,222 | $ | 172,533,165 | ||||||||||||||||||
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| |||||||||||||||||||
For the Six Months Ended June 30, 2018 |
| |||||||||||||||||||||||||||||||||||
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Total General Shareholders’ | Limited Units | Accumulated | Total Limited Shareholders’ | Total Shareholders’ | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at December 31, 2017 | 50 | $ | 1,500 | $ | (538 | ) | $ | 962 | 8,050,000 | $ | 283,104,814 | $ | (128,149,467 | ) | $ | 154,955,347 | $ | 154,956,309 | ||||||||||||||||||
Creation of Units | — | — | — | — | 1,650,000 | 32,029,138 | — | 32,029,138 | 32,029,138 | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (550,000 | ) | (10,586,377 | ) | — | (10,586,377 | ) | (10,586,377 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 3 | 3 | — | — | 595,294 | 595,294 | 595,297 | |||||||||||||||||||||||||||
Net Realized Gain from Investments and Futures Contracts | — | — | 14 | 14 | — | — | 2,409,512 | 2,409,512 | 2,409,526 | |||||||||||||||||||||||||||
Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | (36 | ) | (36 | ) | — | — | (6,870,692 | ) | (6,870,692 | ) | (6,870,728 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Loss | — | — | (19 | ) | (19 | ) | — | — | (3,865,886 | ) | (3,865,886 | ) | (3,865,905 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Balance at June 30, 2018 | 50 | $ | 1,500 | $ | (557 | ) | $ | 943 | 9,150,000 | $ | 304,547,575 | $ | (132,015,353 | ) | $ | 172,532,222 | $ | 172,533,165 | ||||||||||||||||||
|
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|
|
|
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|
|
Seeaccompanying notes to unaudited consolidated financialstatements
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated Deficit | Total General Shareholders' Equity | Limited Units | Accumulated Deficit | Total Limited Shareholders' Equity | Total Shareholders' Equity | ||||||||||||||||||||||||||||||
Units | Amount | Units | Amount | |||||||||||||||||||||||||||||||||
Balance at March 31, 2019 | 50 | $ | 1,500 | $ | (598 | ) | $ | 902 | 7,950,000 | $ | 282,316,201 | $ | (138,909,298 | ) | $ | 143,406,903 | $ | 143,407,805 | ||||||||||||||||||
Creation of Units | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (700,000 | ) | (12,446,702 | ) | — | (12,446,702 | ) | (12,446,702 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 3 | 3 | — | — | 491,302 | 491,302 | 491,305 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (15 | ) | (15 | ) | — | — | (2,029,561 | ) | (2,029,561 | ) | (2,029,576 | ) | ||||||||||||||||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 2 | 2 | — | — | (27,651 | ) | (27,651 | ) | (27,649 | ) | ||||||||||||||||||||||||
Net Loss | — | — | (10 | ) | (10 | ) | — | — | (1,565,910 | ) | (1,565,910 | ) | (1,565,920 | ) | ||||||||||||||||||||||
Balance at June 30, 2019 | 50 | $ | 1,500 | $ | (608 | ) | $ | 892 | 7,250,000 | $ | 269,869,499 | $ | (140,475,208 | ) | $ | 129,394,291 | $ | 129,395,183 | ||||||||||||||||||
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated Deficit | Total General Shareholders' Equity | Limited Units | Accumulated Deficit | Total Limited Shareholders' Equity | Total Shareholders' Equity | ||||||||||||||||||||||||||||||
Units | Amount | Units | Amount | |||||||||||||||||||||||||||||||||
Balance at December 31, 2018 | 50 | $ | 1,500 | $ | (625 | ) | $ | 875 | 8,850,000 | $ | 298,946,484 | $ | (144,092,358 | ) | $ | 154,854,126 | $ | 154,855,001 | ||||||||||||||||||
Creation of Units | — | — | — | — | 600,000 | 10,509,822 | — | 10,509,822 | 10,509,822 | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (2,200,000 | ) | (39,586,807 | ) | — | (39,586,807 | ) | (39,586,807 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 6 | 6 | — | — | 1,072,985 | 1,072,985 | 1,072,991 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (31 | ) | (31 | ) | — | — | (4,619,172 | ) | (4,619,172 | ) | (4,619,203 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 42 | 42 | — | — | 7,163,337 | 7,163,337 | 7,163,379 | |||||||||||||||||||||||||||
Net Gain | — | — | 17 | 17 | — | — | 3,617,150 | 3,617,150 | 3,617,167 | |||||||||||||||||||||||||||
Balance at June 30, 2019 | 50 | $ | 1,500 | $ | (608 | ) | $ | 892 | 7,250,000 | $ | 269,869,499 | $ | (140,475,208 | ) | $ | 129,394,291 | $ | 129,395,183 | ||||||||||||||||||
2019 | 2018 | |||||||
Cash flows from operating activities |
| |||||||
Net Gain (Loss) | $ | 3,617,167 | $ | (3,865,905 | ) | |||
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities: |
| |||||||
Purchases of investment securities | (291,508,240 | ) | (354,637,947 | ) | ||||
Proceeds from sales/maturities of investment securities | 311,942,737 | 333,999,796 | ||||||
Net accretion of discount | (1,590,731 | ) | (1,228,013 | ) | ||||
Net realized loss on investment securities | 718 | 18 | ||||||
Net change in unrealized appreciation/depreciation from investments | (12,929 | ) | (9,494 | ) | ||||
Net change in unrealized appreciation/depreciation from futures contracts | (7,150,450 | ) | 6,880,222 | |||||
Changes in assets and liabilities |
| |||||||
Increase/(Decrease) in liabilities: |
| |||||||
Net management fee payable to related party | (15,347 | ) | 13,185 | |||||
|
|
|
| |||||
Net cash provided by (used for) operating activities | 15,282,925 | (18,848,138 | ) | |||||
|
|
|
| |||||
Cash flows from financing activities |
| |||||||
Proceeds from creation of Limited Units | 19,258,643 | 32,029,138 | ||||||
Redemption of Limited Units | (39,586,807 | ) | (10,586,377 | ) | ||||
|
|
|
| |||||
Net cash provided by (used for) financing activities | (20,328,164 | ) | 21,442,761 | |||||
|
|
|
| |||||
Net increase (decrease) in cash | (5,045,239 | ) | 2,594,623 | |||||
Cash* at beginning of period | 10,193,423 | 11,232,992 | ||||||
|
|
|
| |||||
Cash* at end of period | $ | 5,148,184 | $ | 13,827,615 | ||||
|
|
|
|
2020 | 2019 | |||||||
Cash flows from operating activities | ||||||||
Net Gain (Loss) | $ | (19,347,799 | ) | $ | 3,617,167 | |||
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities: | ||||||||
Purchases of investment securities | (168,658,770 | ) | (291,508,240 | ) | ||||
Proceeds from sales/maturities of investment securities | 219,953,521 | 311,942,737 | ||||||
Net accretion of discount | (450,224 | ) | (1,590,731 | ) | ||||
Net realized gain (loss) on investment securities | (14,440 | ) | 718 | |||||
Net change in unrealized appreciation/depreciation from investments | 10,519 | (12,929 | ) | |||||
Net change in unrealized appreciation/depreciation from futures contracts | 5,508,181 | (7,150,450 | ) | |||||
Changes in assets and liabilities | ||||||||
Increase/(Decrease) in liabilities: | ||||||||
Net management fee payable to related party | (36,330 | ) | (15,347 | ) | ||||
Net cash provided by operating activities | 36,964,658 | 15,282,925 | ||||||
Cash flows from financing activities | ||||||||
Proceeds from creation of Limited Units | — | 19,258,643 | ||||||
Redemption of Limited Units | (38,838,625 | ) | (39,586,807 | ) | ||||
Net cash used for financing activities | (38,838,625 | ) | (20,328,164 | ) | ||||
Net decrease in cash | (1,873,967 | ) | (5,045,239 | ) | ||||
Cash* at beginning of period | 5,922,177 | 10,193,423 | ||||||
Cash* at end of period | $ | 4,048,210 | $ | 5,148,184 | ||||
* | Includes cash held by the broker for futures contracts. |
notesnotes to unaudited consolidated financialstatementsfinancial statements
June 30, 2019 (unaudited) | December 31, 2018 | |||||||
Assets: |
| |||||||
Cash | $ | 778,036 | $ | 1,542,378 | ||||
Cash held by broker for futures contracts (Note 3) | 4,370,148 | 8,651,045 | ||||||
Short-term investments (cost $124,719,472 and $143,563,956 as of June 30, 2019 and December 31, 2018, respectively) | 124,737,197 | 143,568,752 | ||||||
Receivable for capital shares sold | — | 8,748,821 | ||||||
|
|
|
| |||||
Total Assets | 129,885,381 | 162,510,996 | ||||||
|
|
|
| |||||
Liabilities and shareholders’ equity: |
| |||||||
Net unrealized depreciation on futures contracts | 410,382 | 7,560,832 | ||||||
Net management fee payable to related party (Note 8) | 79,816 | 95,163 | ||||||
|
|
|
| |||||
Total Liabilities | 490,198 | 7,655,995 | ||||||
|
|
|
| |||||
Shareholders’ equity: |
| |||||||
General Units: |
| |||||||
Paid in capital—50 units issued and outstanding (unlimited authorized) | 1,500 | 1,500 | ||||||
Accumulated deficit | (608 | ) | (625 | ) | ||||
|
|
|
| |||||
Total General Units | 892 | 875 | ||||||
|
|
|
| |||||
Limited Units: |
| |||||||
Paid in capital—7,250,000 and 8,850,000 redeemable shares issued and outstanding (unlimited authorized) as of June 30, 2019 and December 31, 2018, respectively | 269,869,499 | 298,946,484 | ||||||
Accumulated deficit | (140,475,208 | ) | (144,092,358 | ) | ||||
|
|
|
| |||||
Total Limited Units | 129,394,291 | 154,854,126 | ||||||
|
|
|
| |||||
Total shareholders’ equity | 129,395,183 | 154,855,001 | ||||||
|
|
|
| |||||
Total liabilities and shareholders’ equity | $ | 129,885,381 | $ | 162,510,996 | ||||
|
|
|
| |||||
Net asset value per share |
| |||||||
General Units | $ | 17.85 | $ | 17.50 | ||||
|
|
|
| |||||
Limited Units | $ | 17.85 | $ | 17.50 | ||||
|
|
|
|
2019
June 30, 2020 (unaudited) | December 31, 2019 | |||||||
Assets: | ||||||||
Cash | $ | 298,439 | $ | 1,730,680 | ||||
Cash held by broker for futures contracts (Note 3) | 3,749,771 | 4,191,497 | ||||||
Short-term investments (cost $64,990,781 and $115,820,868 as of June 30, 2020 and December 31, 2019, respectively) | 64,990,566 | 115,831,172 | ||||||
Net unrealized appreciation on futures contracts | 653,974 | 6,162,155 | ||||||
Total Assets | 69,692,750 | 127,915,504 | ||||||
Liabilities and shareholders’ equity: | ||||||||
Net management fee payable to related party (Note 8) | 43,331 | 79,661 | ||||||
Total Liabilities | 43,331 | 79,661 | ||||||
Shareholders’ equity: | ||||||||
General Units: | ||||||||
Paid in capital - 50 units issued and outstanding (unlimited authorized) | 1,500 | 1,500 | ||||||
Accumulated deficit | (717 | ) | (560 | ) | ||||
Total General Units | 783 | 940 | ||||||
Limited Units: | ||||||||
Paid in capital - 4,450,000 and 6,800,000 redeemable shares issued and outstanding (unlimited authorized) as of June 30, 2020 and December 31, 2019, respectively | 223,507,060 | 262,345,685 | ||||||
Accumulated deficit | (153,858,424 | ) | (134,510,782 | ) | ||||
Total Limited Units | 69,648,636 | 127,834,903 | ||||||
Total shareholders’ equity | 69,649,419 | 127,835,843 | ||||||
Total liabilities and shareholders’ equity | $ | 69,692,750 | $ | 127,915,504 | ||||
Net asset value per share | ||||||||
General Units | $ | 15.65 | $ | 18.80 | ||||
Limited Units | $ | 15.65 | $ | 18.80 | ||||
Description | Percentage of Net Assets | Fair Value | Face Amount | |||||||||||||
U.S. Treasury Obligations |
| |||||||||||||||
U.S. Treasury Bills |
| |||||||||||||||
2.41%, 7/5/19* |
| 25.50 | % | $ | 32,992,867 | $ | 33,000,000 | |||||||||
2.40%, 7/25/19* |
| 25.47 | 32,957,210 | 33,000,000 | ||||||||||||
2.21%, 8/22/19*(a) |
| 22.34 | 28,912,285 | 29,000,000 | ||||||||||||
2.19%, 9/12/19* |
| 23.09 | 29,874,835 | 30,000,000 | ||||||||||||
|
|
|
|
|
| |||||||||||
Total U.S. Treasury Obligations (Cost: $124,719,472) |
| 96.40 | % | $ | 124,737,197 | $ | 125,000,000 | |||||||||
|
|
|
|
|
| |||||||||||
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Futures Contracts Long Exposure (Exchange-Traded) |
| |||||||||||||||
Cocoa |
| |||||||||||||||
expiration date 9/13/19 | 156 | 0.07 | % | $ | 87,740 | $ | 3,783,000 | |||||||||
expiration date 12/13/19 | 156 | 0.01 | 14,240 | 3,834,480 | ||||||||||||
Coffee “C” |
| |||||||||||||||
expiration date 9/18/19 | 92 | 0.20 | 261,300 | 3,776,025 | ||||||||||||
expiration date 12/18/19 | 91 | 0.30 | 392,531 | 3,857,831 | ||||||||||||
Copper |
| |||||||||||||||
expiration date 9/26/19 | 56 | (0.06 | ) | (80,800 | ) | 3,798,900 | ||||||||||
expiration date 12/27/19 | 56 | (0.12 | ) | (149,775 | ) | 3,808,700 | ||||||||||
Corn | ||||||||||||||||
expiration date 9/13/19 | 178 | 0.11 | 148,588 | 3,780,275 | ||||||||||||
expiration date 12/13/19 | 177 | 0.14 | 184,613 | 3,818,775 | ||||||||||||
Cotton No. 2 |
| |||||||||||||||
expiration date 12/6/19 | 115 | (0.39 | ) | (501,245 | ) | 3,799,600 | ||||||||||
expiration date 3/9/20 | 114 | 0.01 | 10,395 | 3,801,330 | ||||||||||||
Gold 100 Ounce |
| |||||||||||||||
expiration date 12/27/19 | 26 | 0.21 | 272,390 | 3,705,260 | ||||||||||||
expiration date 2/26/20 | 27 | 0.15 | 200,100 | 3,861,270 | ||||||||||||
Lean Hogs |
| |||||||||||||||
expiration date 8/14/19 | 64 | (0.13 | ) | (167,570 | ) | 1,945,600 | ||||||||||
expiration date 10/14/19 | 65 | (0.07 | ) | (89,160 | ) | 1,842,100 | ||||||||||
expiration date 12/13/19 | 65 | (0.19 | ) | (247,490 | ) | 1,849,900 | ||||||||||
expiration date 2/14/20 | 65 | (0.05 | ) | (68,710 | ) | 1,982,500 | ||||||||||
Live Cattle |
| |||||||||||||||
expiration date 10/31/19 | 58 | (0.15 | ) | (195,110 | ) | 2,445,860 | ||||||||||
expiration date 12/31/19 | 58 | (0.17 | ) | (220,710 | ) | 2,557,800 | ||||||||||
expiration date 2/28/20 | 57 | (0.02 | ) | (29,080 | ) | 2,602,050 | ||||||||||
Natural Gas |
| |||||||||||||||
expiration date 8/28/19 | 62 | (0.18 | ) | (229,910 | ) | 1,414,840 | ||||||||||
expiration date 9/26/19 | 62 | (0.18 | ) | (234,210 | ) | 1,432,820 | ||||||||||
expiration date 10/29/19 | 62 | (0.18 | ) | (229,540 | ) | 1,487,380 | ||||||||||
expiration date 11/26/19 | 61 | (0.03 | ) | (38,090 | ) | 1,582,950 | ||||||||||
expiration date 12/27/19 | 61 | (0.03 | ) | (42,040 | ) | 1,651,270 | ||||||||||
NY Harbor ULSD |
| |||||||||||||||
expiration date 8/30/19 | 18 | 0.01 | 11,861 | 1,472,083 | ||||||||||||
expiration date 9/30/19 | 18 | (0.05 | ) | (70,279 | ) | 1,476,997 | ||||||||||
expiration date 10/31/19 | 18 | (0.05 | ) | (62,110 | ) | 1,480,929 | ||||||||||
expiration date 11/29/19 | 19 | 0.07 | 86,927 | 1,565,277 | ||||||||||||
expiration date 12/31/19 | 19 | 0.07 | 90,573 | 1,566,394 | ||||||||||||
Platinum |
| |||||||||||||||
expiration date 10/29/19 | 90 | 0.06 | 76,995 | 3,784,950 | ||||||||||||
expiration date 1/29/20 | 90 | 0.10 | 123,940 | 3,807,900 | ||||||||||||
Silver |
| |||||||||||||||
expiration date 9/26/19 | 49 | (0.03 | ) | (35,175 | ) | 3,758,545 | ||||||||||
expiration date 12/27/19 | 50 | 0.05 | 62,460 | 3,861,750 | ||||||||||||
Soybean |
| |||||||||||||||
expiration date 11/14/19 | 82 | 0.03 | 35,525 | 3,784,300 | ||||||||||||
expiration date 1/14/20 | 82 | 0.06 | 74,225 | 3,831,450 |
2020
Description | Percentage of Net Assets | Fair Value | Face Amount | |||||||||||||
U.S. Treasury Obligations | ||||||||||||||||
U.S. Treasury Bills | ||||||||||||||||
0.12%, 7/9/20 *,(a) | 15.79 | % | $ | 10,999,743 | $ | 11,000,000 | ||||||||||
0.08%, 7/30/20 * | 25.84 | 17,998,260 | 18,000,000 | |||||||||||||
0.11%, 8/20/20 * | 25.84 | 17,997,000 | 18,000,000 | |||||||||||||
0.15%, 9/10/20 * | 25.84 | 17,995,563 | 18,000,000 | |||||||||||||
Total U.S. Treasury Obligations (Cost: $64,990,781) | 93.31 | % | $ | 64,990,566 | $ | 65,000,000 | ||||||||||
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Futures Contracts Long Exposure (Exchange-Traded) | ||||||||||||||||
Cocoa | ||||||||||||||||
expiration date 9/15/20 | 94 | (0.40 | )% | $ | (275,420 | ) | $ | 2,054,840 | ||||||||
expiration date 12/15/20 | 94 | (0.16 | ) | (108,570 | ) | 2,053,900 | ||||||||||
Coffee “C” | ||||||||||||||||
expiration date 9/18/20 | 54 | (0.18 | ) | (125,288 | ) | 2,045,250 | ||||||||||
expiration date 12/18/20 | 53 | (0.21 | ) | (149,100 | ) | 2,056,069 | ||||||||||
Copper | ||||||||||||||||
expiration date 9/28/20 | 30 | 0.18 | 124,838 | 2,046,375 | ||||||||||||
expiration date 12/29/20 | 30 | 0.30 | 210,600 | 2,056,875 | ||||||||||||
Corn | ||||||||||||||||
expiration date 9/14/20 | 118 | (0.12 | ) | (86,650 | ) | 2,014,850 | ||||||||||
expiration date 12/14/20 | 118 | 0.04 | 29,388 | 2,067,950 | ||||||||||||
Cotton No. 2 | ||||||||||||||||
expiration date 12/8/20 | 67 | 0.22 | 156,010 | 2,039,480 | ||||||||||||
expiration date 3/9/21 | 66 | 0.05 | 36,435 | 2,030,820 | ||||||||||||
Gold 100 Ounce | ||||||||||||||||
expiration date 12/29/20 | 11 | 0.15 | 105,110 | 2,002,440 | ||||||||||||
expiration date 2/24/21 | 11 | 0.12 | 84,960 | 2,010,250 | ||||||||||||
Lean Hogs | ||||||||||||||||
expiration date 8/14/20 | 48 | (0.22 | ) | (155,140 | ) | 941,280 | ||||||||||
expiration date 10/14/20 | 49 | (0.07 | ) | (51,910 | ) | 967,260 | ||||||||||
expiration date 12/14/20 | 49 | (0.02 | ) | (13,330 | ) | 1,013,810 | ||||||||||
expiration date 2/12/21 | 49 | (0.02 | ) | (14,890 | ) | 1,174,040 | ||||||||||
Live Cattle | ||||||||||||||||
expiration date 10/30/20 | 33 | (0.08 | ) | (55,450 | ) | 1,316,370 | ||||||||||
expiration date 12/31/20 | 33 | 0.04 | 26,920 | 1,368,180 | ||||||||||||
expiration date 2/26/21 | 33 | 0.01 | 5,170 | 1,417,680 | ||||||||||||
Natural Gas | ||||||||||||||||
expiration date 8/27/20 | 35 | (0.12 | ) | (85,800 | ) | 626,150 | ||||||||||
expiration date 9/28/20 | 35 | (0.14 | ) | (100,950 | ) | 660,450 | ||||||||||
expiration date 10/28/20 | 35 | (0.08 | ) | (57,080 | ) | 798,700 | ||||||||||
expiration date 11/25/20 | 35 | (0.04 | ) | (28,810 | ) | 961,450 | ||||||||||
expiration date 12/29/20 | 36 | (0.05 | ) | (31,690 | ) | 1,037,880 | ||||||||||
NY Harbor ULSD | ||||||||||||||||
expiration date 8/31/20 | 16 | 0.05 | 37,750 | 808,819 | ||||||||||||
expiration date 9/30/20 | 16 | 0.11 | 76,142 | 821,251 | ||||||||||||
expiration date 10/30/20 | 16 | 0.11 | 75,113 | 832,742 | ||||||||||||
expiration date 11/30/20 | 16 | 0.02 | 16,535 | 841,747 | ||||||||||||
expiration date 12/31/20 | 15 | 0.02 | 15,981 | 797,580 | ||||||||||||
Platinum | ||||||||||||||||
expiration date 10/28/20 | 48 | 0.19 | 135,775 | 2,042,880 | ||||||||||||
expiration date 1/27/21 | 48 | 0.03 | 23,395 | 2,054,640 | ||||||||||||
Silver | ||||||||||||||||
expiration date 9/28/20 | 22 | 0.28 | 192,770 | 2,050,070 | ||||||||||||
expiration date 12/29/20 | 22 | 0.33 | 232,180 | 2,068,330 | ||||||||||||
Soybean | ||||||||||||||||
expiration date 11/13/20 | 46 | 0.03 | 23,850 | 2,029,175 |
2020
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Soybean Oil |
| |||||||||||||||
expiration date 9/13/19 | 111 | (0.09 | )% | $ | (115,644 | ) | $ | 1,897,434 | ||||||||
expiration date 10/14/19 | 110 | (0.09 | ) | (121,098 | ) | 1,886,940 | ||||||||||
expiration date 12/13/19 | 110 | (0.03 | ) | (44,316 | ) | 1,902,780 | ||||||||||
expiration date 1/14/20 | 110 | 0.03 | 39,102 | 1,918,620 | ||||||||||||
Sugar No. 11 |
| |||||||||||||||
expiration date 9/30/19 | 260 | (0.09 | ) | (114,262 | ) | 3,674,944 | ||||||||||
expiration date 2/28/20 | 260 | (0.02 | ) | (31,618 | ) | 3,945,760 | ||||||||||
Wheat |
| |||||||||||||||
expiration date 9/13/19 | 143 | 0.10 | 135,588 | 3,769,838 | ||||||||||||
expiration date 12/13/19 | 143 | 0.18 | 234,737 | 3,850,275 | ||||||||||||
WTI Crude Oil |
| |||||||||||||||
expiration date 8/20/19 | 26 | 0.05 | 71,180 | 1,521,520 | ||||||||||||
expiration date 9/20/19 | 26 | (0.07 | ) | (90,390 | ) | 1,518,400 | ||||||||||
expiration date 10/22/19 | 26 | (0.06 | ) | (70,670 | ) | 1,513,720 | ||||||||||
expiration date 11/20/19 | 26 | 0.10 | 128,400 | 1,507,480 | ||||||||||||
expiration date 12/19/19 | 26 | 0.10 | 125,210 | 1,500,460 | ||||||||||||
|
|
|
|
|
| |||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded) | (0.32 | )% | $ | (410,382 | ) | $ | 129,219,262 | |||||||||
|
|
|
|
|
|
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
expiration date 1/14/21 | 46 | 0.01 | % | $ | 8,700 | $ | 2,034,925 | |||||||||
Soybean Oil | ||||||||||||||||
expiration date 9/14/20 | 60 | (0.09 | ) | (64,914 | ) | 1,018,800 | ||||||||||
expiration date 10/14/20 | 60 | (0.09 | ) | (61,632 | ) | 1,024,920 | ||||||||||
expiration date 12/14/20 | 59 | 0.02 | 11,934 | 1,019,874 | ||||||||||||
expiration date 1/14/21 | 59 | (0.00 | ) | (696 | ) | 1,026,954 | ||||||||||
Sugar No. 11 | ||||||||||||||||
expiration date 9/30/20 | 150 | 0.21 | 144,581 | 2,009,280 | ||||||||||||
expiration date 2/26/21 | 149 | (0.04 | ) | (29,490 | ) | 2,096,013 | ||||||||||
Wheat | ||||||||||||||||
expiration date 9/14/20 | 82 | (0.21 | ) | (149,613 | ) | 2,016,175 | ||||||||||
expiration date 12/14/20 | 83 | (0.24 | ) | (170,600 | ) | 2,070,850 | ||||||||||
WTI Crude Oil | ||||||||||||||||
expiration date 8/20/20 | 21 | 0.35 | 246,030 | 826,140 | ||||||||||||
expiration date 9/22/20 | 21 | 0.30 | 207,320 | 829,080 | ||||||||||||
expiration date 10/20/20 | 21 | 0.30 | 205,720 | 831,180 | ||||||||||||
expiration date 11/20/20 | 20 | 0.03 | 22,070 | 793,600 | ||||||||||||
expiration date 12/21/20 | 20 | 0.02 | 15,720 | 795,600 | ||||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded) | 0.94 | % | $ | 653,974 | $ | 69,502,974 | ||||||||||
* | Interest rate shown reflects the yield to maturity at time of purchase. |
(a) | All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of |
notesnotes to unaudited consolidated financialstatementsfinancial statements
Description | Percentage of Net Assets | Fair Value | Face Amount | |||||||||||||
U.S. Treasury Obligations |
| |||||||||||||||
U.S. Treasury Bills |
| |||||||||||||||
2.29%, 1/17/19* |
| 27.10 | % | $ | 41,960,100 | $ | 42,000,000 | |||||||||
2.33%, 2/7/19* |
| 17.39 | 26,936,314 | 27,000,000 | ||||||||||||
2.38%, 2/28/19*(a) |
| 25.73 | 39,849,504 | 40,000,000 | ||||||||||||
2.39%, 3/21/19* |
| 22.49 | 34,822,834 | 35,000,000 | ||||||||||||
|
|
|
|
|
| |||||||||||
Total U.S. Treasury Obligations (Cost: $143,563,956) |
| 92.71 | % | $ | 143,568,752 | $ | 144,000,000 | |||||||||
|
|
|
|
|
| |||||||||||
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Futures Contracts Long Exposure (Exchange-Traded) |
| |||||||||||||||
Cocoa |
| |||||||||||||||
expiration date 3/14/19 | 125 | 0.19 | % | $ | 294,300 | $ | 3,020,000 | |||||||||
expiration date 5/15/19 | 124 | 0.21 | 319,790 | 3,036,760 | ||||||||||||
expiration date 7/16/19 | 124 | 0.10 | 155,170 | 3,050,400 | ||||||||||||
Coffee “C” | ||||||||||||||||
expiration date 3/19/19 | 77 | (0.13 | ) | (205,594 | ) | 2,940,919 | ||||||||||
expiration date 5/20/19 | 77 | (0.13 | ) | (195,150 | ) | 3,030,431 | ||||||||||
expiration date 7/19/19 | 78 | (0.22 | ) | (333,431 | ) | 3,153,150 | ||||||||||
Copper | ||||||||||||||||
expiration date 3/27/19 | 46 | (0.10 | ) | (148,663 | ) | 3,025,650 | ||||||||||
expiration date 5/29/19 | 46 | (0.10 | ) | (152,875 | ) | 3,032,550 | ||||||||||
expiration date 7/29/19 | 46 | (0.08 | ) | (126,363 | ) | 3,037,150 | ||||||||||
Corn | ||||||||||||||||
expiration date 3/14/19 | 159 | (0.04 | ) | (67,262 | ) | 2,981,250 | ||||||||||
expiration date 5/14/19 | 159 | (0.04 | ) | (55,612 | ) | 3,044,850 | ||||||||||
expiration date 7/12/19 | 158 | (0.03 | ) | (48,875 | ) | 3,086,925 | ||||||||||
Cotton No. 2 | ||||||||||||||||
expiration date 3/7/19 | 83 | (0.31 | ) | (479,230 | ) | 2,996,300 | ||||||||||
expiration date 5/8/19 | 83 | (0.27 | ) | (410,890 | ) | 3,050,250 | ||||||||||
expiration date 7/9/19 | 82 | (0.19 | ) | (293,870 | ) | 3,059,830 | ||||||||||
Gold 100 Ounce | ||||||||||||||||
expiration date 2/26/19 | 24 | (0.02 | ) | (33,380 | ) | 3,075,120 | ||||||||||
expiration date 4/26/19 | 24 | 0.08 | 123,000 | 3,090,480 | ||||||||||||
expiration date 6/26/19 | 23 | 0.07 | 111,220 | 2,976,660 | ||||||||||||
Lean Hogs | ||||||||||||||||
expiration date 2/14/19 | 78 | (0.01 | ) | (22,640 | ) | 1,902,420 | ||||||||||
expiration date 4/12/19 | 78 | (0.01 | ) | (23,290 | ) | 2,092,740 | ||||||||||
expiration date 6/14/19 | 78 | 0.00 | 2,400 | 2,541,240 | ||||||||||||
expiration date 7/15/19 | 78 | (0.00 | ) | (6,130 | ) | 2,573,220 | ||||||||||
Live Cattle | ||||||||||||||||
expiration date 2/28/19 | 62 | 0.10 | 158,940 | 3,072,100 | ||||||||||||
expiration date 4/30/19 | 62 | 0.11 | 173,850 | 3,131,000 | ||||||||||||
expiration date 6/28/19 | 62 | 0.05 | 76,750 | 2,903,460 | ||||||||||||
Natural Gas | ||||||||||||||||
expiration date 1/29/19 | 65 | (0.17 | ) | (258,970 | ) | 1,911,000 | ||||||||||
expiration date 2/26/19 | 65 | (0.16 | ) | (247,080 | ) | 1,853,150 | ||||||||||
expiration date 3/27/19 | 65 | (0.03 | ) | (41,290 | ) | 1,743,950 | ||||||||||
expiration date 4/26/19 | 66 | (0.02 | ) | (30,210 | ) | 1,763,520 | ||||||||||
expiration date 5/29/19 | 66 | (0.01 | ) | (17,480 | ) | 1,793,220 | ||||||||||
NY Harbor ULSD | ||||||||||||||||
expiration date 1/31/19 | 26 | (0.25 | ) | (388,950 | ) | 1,833,905 | ||||||||||
expiration date 2/28/19 | 26 | (0.26 | ) | (401,738 | ) | 1,823,531 | ||||||||||
expiration date 3/29/19 | 26 | (0.27 | ) | (416,829 | ) | 1,808,461 | ||||||||||
expiration date 4/30/19 | 26 | (0.27 | ) | (421,235 | ) | 1,807,151 | ||||||||||
expiration date 5/31/19 | 26 | (0.25 | ) | (394,498 | ) | 1,815,778 | ||||||||||
Platinum | ||||||||||||||||
expiration date 4/26/19 | 113 | (0.11 | ) | (169,965 | ) | 4,523,390 | ||||||||||
expiration date 7/29/19 | 113 | (0.22 | ) | (343,140 | ) | 4,551,640 |
2019
Description | Percentage of Net Assets | Fair Value | Face Amount | |||||||||||||
U.S. Treasury Obligations | ||||||||||||||||
U.S. Treasury Bills | ||||||||||||||||
1.69%, 1/2/20* | 22.68 | % | $ | 29,000,000 | $ | 29,000,000 | ||||||||||
1.65%, 1/23/20* | 22.67 | 28,975,217 | 29,000,000 | |||||||||||||
1.55%, 2/20/20*, (a) | 22.64 | 28,940,397 | 29,000,000 | |||||||||||||
1.57%, 3/12/20* | 22.62 | 28,915,558 | 29,000,000 | |||||||||||||
Total U.S. Treasury Obligations (Cost: $115,820,868) | 90.61 | % | $ | 115,831,172 | $ | 116,000,000 | ||||||||||
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Futures Contracts Long Exposure (Exchange-Traded) | ||||||||||||||||
Cocoa | ||||||||||||||||
expiration date 3/16/20 | 98 | 0.12 | % | $ | 155,530 | $ | 2,489,200 | |||||||||
expiration date 5/13/20 | 99 | 0.12 | 159,550 | 2,515,590 | ||||||||||||
expiration date 7/16/20 | 99 | 0.04 | 45,850 | 2,510,640 | ||||||||||||
Coffee “C” | ||||||||||||||||
expiration date 3/19/20 | 51 | 0.31 | 399,787 | 2,480,513 | ||||||||||||
expiration date 5/18/20 | 51 | 0.31 | 394,162 | 2,522,587 | ||||||||||||
expiration date 7/21/20 | 50 | 0.21 | 271,069 | 2,511,562 | ||||||||||||
Copper | ||||||||||||||||
expiration date 3/27/20 | 36 | 0.12 | 153,663 | 2,517,300 | ||||||||||||
expiration date 5/27/20 | 36 | 0.13 | 164,163 | 2,526,750 | ||||||||||||
expiration date 7/29/20 | 35 | 0.07 | 85,050 | 2,462,688 | ||||||||||||
Corn | ||||||||||||||||
expiration date 3/13/20 | 127 | (0.11 | ) | (143,788 | ) | 2,462,213 | ||||||||||
expiration date 5/14/20 | 127 | (0.11 | ) | (135,112 | ) | 2,506,662 | ||||||||||
expiration date 7/14/20 | 127 | 0.00 | 3,863 | 2,546,350 | ||||||||||||
Cotton No. 2 | ||||||||||||||||
expiration date 3/9/20 | 72 | 0.13 | 160,700 | 2,485,800 | ||||||||||||
expiration date 5/6/20 | 72 | 0.22 | 275,285 | 2,526,480 | ||||||||||||
expiration date 7/9/20 | 71 | 0.08 | 106,580 | 2,518,725 | ||||||||||||
Gold 100 Ounce | ||||||||||||||||
expiration date 2/26/20 | 17 | 0.12 | 153,660 | 2,589,270 | ||||||||||||
expiration date 4/28/20 | 16 | 0.02 | 23,480 | 2,446,880 | ||||||||||||
expiration date 6/26/20 | 16 | 0.04 | 57,060 | 2,456,160 | ||||||||||||
Lean Hogs | ||||||||||||||||
expiration date 2/14/20 | 57 | (0.00 | ) | (4,330 | ) | 1,628,490 | ||||||||||
expiration date 4/15/20 | 58 | (0.02 | ) | (23,410 | ) | 1,807,860 | ||||||||||
expiration date 6/12/20 | 57 | (0.03 | ) | (32,640 | ) | 2,038,890 | ||||||||||
expiration date 7/15/20 | 57 | (0.04 | ) | (46,170 | ) | 2,035,470 | ||||||||||
Live Cattle | ||||||||||||||||
expiration date 2/28/20 | 51 | 0.17 | 214,010 | 2,568,870 | ||||||||||||
expiration date 4/30/20 | 50 | 0.15 | 187,730 | 2,543,500 | ||||||||||||
expiration date 6/30/20 | 50 | 0.02 | 21,140 | 2,378,000 | ||||||||||||
Natural Gas | ||||||||||||||||
expiration date 1/29/20 | 69 | (0.17 | ) | (217,420 | ) | 1,510,410 | ||||||||||
expiration date 2/26/20 | 69 | (0.14 | ) | (181,710 | ) | 1,489,020 | ||||||||||
expiration date 3/27/20 | 69 | (0.06 | ) | (75,920 | ) | 1,482,810 | ||||||||||
expiration date 4/28/20 | 69 | (0.08 | ) | (99,440 | ) | 1,509,720 | ||||||||||
expiration date 5/27/20 | 69 | (0.07 | ) | (92,310 | ) | 1,549,740 | ||||||||||
NY Harbor ULSD | ||||||||||||||||
expiration date 1/31/20 | 18 | 0.11 | 135,677 | 1,529,237 | ||||||||||||
expiration date 2/28/20 | 18 | 0.11 | 137,264 | 1,524,474 | ||||||||||||
expiration date 3/31/20 | 18 | 0.11 | 145,618 | 1,511,773 | ||||||||||||
expiration date 4/30/20 | 18 | 0.06 | 82,820 | 1,500,055 | ||||||||||||
expiration date 5/29/20 | 17 | 0.06 | 78,074 | 1,407,508 | ||||||||||||
Platinum | ||||||||||||||||
expiration date 4/28/20 | 77 | 0.19 | 244,550 | 3,764,530 |
2019
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Silver | ||||||||||||||||
expiration date 3/27/19 | 39 | 0.04 | % | $ | 55,325 | $ | 3,030,300 | |||||||||
expiration date 5/29/19 | 39 | 0.03 | 40,710 | 3,047,070 | ||||||||||||
expiration date 7/29/19 | 38 | 0.12 | 184,335 | 2,985,090 | ||||||||||||
Soybean | ||||||||||||||||
expiration date 3/14/19 | 66 | (0.01 | ) | (12,886 | ) | 2,953,500 | ||||||||||
expiration date 5/14/19 | 67 | (0.01 | ) | (19,312 | ) | 3,040,962 | ||||||||||
expiration date 7/12/19 | 67 | | (0.00 | ) | (1,050 | ) | 3,082,837 | |||||||||
Soybean Oil | ||||||||||||||||
expiration date 3/14/19 | 180 | (0.07 | ) | (108,978 | ) | 3,007,800 | ||||||||||
expiration date 5/14/19 | 180 | (0.08 | ) | (116,226 | ) | 3,036,960 | ||||||||||
expiration date 7/12/19 | 180 | (0.04 | ) | (59,586 | ) | 3,065,040 | ||||||||||
Sugar No. 11 | ||||||||||||||||
expiration date 2/28/19 | 224 | (0.00 | ) | (7,101 | ) | 3,018,086 | ||||||||||
expiration date 4/30/19 | 223 | 0.01 | 19,432 | 3,022,096 | ||||||||||||
expiration date 6/28/19 | 223 | (0.13 | ) | (200,749 | ) | 3,057,062 | ||||||||||
Wheat | ||||||||||||||||
expiration date 3/14/19 | 119 | (0.20 | ) | (315,438 | ) | 2,994,338 | ||||||||||
expiration date 5/14/19 | 119 | (0.22 | ) | (342,700 | ) | 3,037,475 | ||||||||||
expiration date 7/12/19 | 118 | (0.07 | ) | (109,488 | ) | 3,059,150 | ||||||||||
WTI Crude Oil | ||||||||||||||||
expiration date 1/22/19 | 40 | (0.32 | ) | (488,260 | ) | 1,816,400 | ||||||||||
expiration date 2/20/19 | 40 | (0.33 | ) | (504,050 | ) | 1,828,800 | ||||||||||
expiration date 3/20/19 | 39 | (0.30 | ) | (471,160 | ) | 1,797,120 | ||||||||||
expiration date 4/22/19 | 39 | (0.25 | ) | (383,110 | ) | 1,813,890 | ||||||||||
expiration date 5/21/19 | 39 | (0.26 | ) | (401,320 | ) | 1,830,270 | ||||||||||
|
|
|
|
|
| |||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded) | (4.88 | )% | $ | (7,560,832 | ) | $ | 154,657,797 | |||||||||
|
|
|
|
|
|
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
expiration date 7/29/20 | 76 | 0.21 | % | $ | 270,210 | $ | 3,737,680 | |||||||||
Silver | ||||||||||||||||
expiration date 3/27/20 | 28 | 0.06 | 78,295 | 2,508,940 | ||||||||||||
expiration date 5/27/20 | 28 | 0.06 | 74,040 | 2,521,260 | ||||||||||||
expiration date 7/29/20 | 27 | 0.06 | 75,760 | 2,442,015 | ||||||||||||
Soybean | ||||||||||||||||
expiration date 3/13/20 | 52 | 0.09 | 118,475 | 2,484,300 | ||||||||||||
expiration date 5/14/20 | 52 | 0.10 | 127,738 | 2,518,750 | ||||||||||||
expiration date 7/14/20 | 51 | 0.03 | 34,225 | 2,498,363 | ||||||||||||
Soybean Oil | ||||||||||||||||
expiration date 3/13/20 | 119 | 0.22 | 280,872 | 2,482,578 | ||||||||||||
expiration date 5/14/20 | 119 | 0.23 | 290,004 | 2,503,284 | ||||||||||||
expiration date 7/14/20 | 119 | 0.15 | 194,940 | 2,524,704 | ||||||||||||
Sugar No. 11 | ||||||||||||||||
expiration date 2/28/20 | 166 | 0.08 | 102,984 | 2,495,046 | ||||||||||||
expiration date 4/30/20 | 165 | 0.12 | 148,053 | 2,502,192 | ||||||||||||
expiration date 6/30/20 | 165 | 0.12 | 153,742 | 2,524,368 | ||||||||||||
Wheat | ||||||||||||||||
expiration date 3/13/20 | 90 | 0.19 | 237,137 | 2,514,375 | ||||||||||||
expiration date 5/14/20 | 89 | 0.18 | 229,225 | 2,499,788 | ||||||||||||
expiration date 7/14/20 | 89 | 0.12 | 159,650 | 2,507,575 | ||||||||||||
WTI Crude Oil | ||||||||||||||||
expiration date 1/21/20 | 25 | 0.13 | 164,900 | 1,526,500 | ||||||||||||
expiration date 2/20/20 | 25 | 0.16 | 209,410 | 1,519,250 | ||||||||||||
expiration date 3/20/20 | 25 | 0.16 | 208,020 | 1,510,250 | ||||||||||||
expiration date 4/21/20 | 25 | 0.08 | 99,900 | 1,499,250 | ||||||||||||
expiration date 5/19/20 | 24 | 0.08 | 100,490 | 1,426,560 | ||||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded) | 4.82 | % | $ | 6,162,155 | $ | 127,602,755 | ||||||||||
* | Interest rate shown reflects the yield to maturity at |
(a) | All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2019 | 2018 | 2019 | 2018 | |||||||||||||
Income: |
| |||||||||||||||
Interest income | $ | 744,029 | $ | 713,571 | $ | 1,620,210 | $ | 1,251,497 | ||||||||
Expenses: |
| |||||||||||||||
Management fee to related party (Note 8) | 286,421 | 384,216 | 620,182 | 743,693 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 286,421 | 384,216 | 620,182 | 743,693 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expense waivers (Note 8) | (33,697 | ) | (45,201 | ) | (72,963 | ) | (87,493 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 252,724 | 339,015 | 547,219 | 656,200 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | 491,305 | 374,556 | 1,072,991 | 595,297 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: |
| |||||||||||||||
Net Realized Gain (Loss) from: |
| |||||||||||||||
Investments | 44 | (18 | ) | (718 | ) | (18 | ) | |||||||||
Futures Contracts* | (2,029,620 | ) | 647,973 | (4,618,485 | ) | 2,409,544 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized Gain (Loss) | (2,029,576 | ) | 647,955 | (4,619,203 | ) | 2,409,526 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from: |
| |||||||||||||||
Investments | 14,270 | 15,733 | 12,929 | 9,494 | ||||||||||||
Futures Contracts | (41,919 | ) | (4,692,279 | ) | 7,150,450 | (6,880,222 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation | (27,649 | ) | (4,676,546 | ) | 7,163,379 | (6,870,728 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | (2,057,225 | ) | (4,028,591 | ) | 2,544,176 | (4,461,202 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net Gain (Loss) | $ | (1,565,920 | ) | $ | (3,654,035 | ) | $ | 3,617,167 | $ | (3,865,905 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
* Includes brokerage commissions of: | $ | 43,311 | $ | 54,559 | $ | 82,255 | $ | 91,306 | ||||||||
|
|
|
|
|
|
|
|
2019
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Income: | ||||||||||||||||
Interest income | $ | 71,845 | $ | 744,029 | $ | 456,166 | $ | 1,620,210 | ||||||||
Expenses: | ||||||||||||||||
Management fee to related party (Note 8) | 153,350 | 286,421 | 377,497 | 620,182 | ||||||||||||
Total expenses | 153,350 | 286,421 | 377,497 | 620,182 | ||||||||||||
Expense waivers (Note 8) | (18,041 | ) | (33,697 | ) | (44,411 | ) | (72,963 | ) | ||||||||
Net expenses | 135,309 | 252,724 | 333,086 | 547,219 | ||||||||||||
Net investment income (loss) | (63,464 | ) | 491,305 | 123,080 | 1,072,991 | |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | ||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||
Investments | — | 44 | 14,440 | (718 | ) | |||||||||||
Futures Contracts* | (10,173,582 | ) | (2,029,620 | ) | (13,966,619 | ) | (4,618,485 | ) | ||||||||
Net Realized Loss | (10,173,582 | ) | (2,029,576 | ) | (13,952,179 | ) | (4,619,203 | ) | ||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from: | ||||||||||||||||
Investments | (60,941 | ) | 14,270 | (10,519 | ) | 12,929 | ||||||||||
Futures Contracts | 14,237,053 | (41,919 | ) | (5,508,181 | ) | 7,150,450 | ||||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation | 14,176,112 | (27,649 | ) | (5,518,700 | ) | 7,163,379 | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | 4,002,530 | (2,057,225 | ) | (19,470,879 | ) | 2,544,176 | ||||||||||
Net Gain (Loss) | $ | 3,939,066 | $ | (1,565,920 | ) | $ | (19,347,799 | ) | $ | 3,617,167 | ||||||
* | $ | 30,743 | $ | 43,311 | $ | 61,030 | $ | 82,255 | ||||||||
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Total General Shareholders’ | Limited Units | Accumulated | Total Limited Shareholders’ | Total Shareholders’ | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at March 31, 2020 | 50 | $ | 1,500 | $ | (759 | ) | $ | 741 | 5,050,000 | $ | 232,672,819 | $ | (157,797,448 | ) | $ | 74,875,371 | $ | 74,876,112 | ||||||||||||||||||
Creation of Units | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (600,000 | ) | (9,165,759 | ) | — | (9,165,759 | ) | (9,165,759 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Loss | — | — | (0 | )* | (0 | )* | — | — | (63,464 | ) | (63,464 | ) | (63,464 | ) | ||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (103 | ) | (103 | ) | — | — | (10,173,479 | ) | (10,173,479 | ) | (10,173,582 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 145 | 145 | — | — | 14,175,967 | 14,175,967 | 14,176,112 | |||||||||||||||||||||||||||
Net Gain | — | — | 42 | 42 | — | — | 3,939,024 | 3,939,024 | 3,939,066 | |||||||||||||||||||||||||||
Balance at June 30, 2020 | 50 | $ | 1,500 | $ | (717 | ) | $ | 783 | 4,450,000 | $ | 223,507,060 | $ | (153,858,424 | ) | $ | 69,648,636 | $ | 69,649,419 | ||||||||||||||||||
* | Amount represents less than $1. |
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Total General Shareholders’ | Limited Units | Accumulated | Total Limited Shareholders’ | Total Shareholders’ | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at December 31, 2019 | 50 | $ | 1,500 | $ | (560 | ) | $ | 940 | 6,800,000 | $ | 262,345,685 | $ | (134,510,782 | ) | $ | 127,834,903 | $ | 127,835,843 | ||||||||||||||||||
Creation of Units | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (2,350,000 | ) | (38,838,625 | ) | — | (38,838,625 | ) | (38,838,625 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 3 | 3 | — | — | 123,077 | 123,077 | 123,080 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (143 | ) | (143 | ) | — | — | (13,952,036 | ) | (13,952,036 | ) | (13,952,179 | ) | ||||||||||||||||||||||
Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | (17 | ) | (17 | ) | — | — | (5,518,683 | ) | (5,518,683 | ) | (5,518,700 | ) | ||||||||||||||||||||||
Net Loss | — | — | (157 | ) | (157 | ) | — | — | (19,347,642 | ) | (19,347,642 | ) | (19,347,799 | ) | ||||||||||||||||||||||
Balance at June 30, 2020 | 50 | $ | 1,500 | $ | (717 | ) | $ | 783 | 4,450,000 | $ | 223,507,060 | $ | (153,858,424 | ) | $ | 69,648,636 | $ | 69,649,419 | ||||||||||||||||||
�� |
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Total General Shareholders’ | Limited Units | Accumulated | Total Limited Shareholders’ | Total Shareholders’ | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at March 31, 2019 | 50 | $ | 1,500 | $ | (598 | ) | $ | 902 | 7,950,000 | $ | 282,316,201 | $ | (138,909,298 | ) | $ | 143,406,903 | $ | 143,407,805 | ||||||||||||||||||
Creation of Units | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (700,000 | ) | (12,446,702 | ) | — | (12,446,702 | ) | (12,446,702 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 3 | 3 | — | — | 491,302 | 491,302 | 491,305 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (15 | ) | (15 | ) | — | — | (2,029,561 | ) | (2,029,561 | ) | (2,029,576 | ) | ||||||||||||||||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 2 | 2 | — | — | (27,651 | ) | (27,651 | ) | (27,649 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Loss | — | — | (10 | ) | (10 | ) | — | — | (1,565,910 | ) | (1,565,910 | ) | (1,565,920 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Balance at June 30, 2019 | 50 | $ | 1,500 | $ | (608 | ) | $ | 892 | 7,250,000 | $ | 269,869,499 | $ | (140,475,208 | ) | $ | 129,394,291 | $ | 129,395,183 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
For the Six Months Ended June 30, 2019
| ||||||||||||||||||||||||||||||||||||
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Total General Shareholders’ | Limited Units | Accumulated | Total Limited Shareholders’ | Total Shareholders’ | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at December 31, 2018 | 50 | $ | 1,500 | $ | (625 | ) | $ | 875 | 8,850,000 | $ | 298,946,484 | $ | (144,092,358 | ) | $ | 154,854,126 | $ | 154,855,001 | ||||||||||||||||||
Creation of Units | — | — | — | — | 600,000 | 10,509,822 | — | 10,509,822 | 10,509,822 | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (2,200,000 | ) | (39,586,807 | ) | — | (39,586,807 | ) | (39,586,807 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 6 | 6 | — | — | 1,072,985 | 1,072,985 | 1,072,991 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (31 | ) | (31 | ) | — | — | (4,619,172 | ) | (4,619,172 | ) | (4,619,203 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 42 | 42 | — | — | 7,163,337 | 7,163,337 | 7,163,379 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Gain | — | — | 17 | 17 | — | — | 3,617,150 | 3,617,150 | 3,617,167 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Balance at June 30, 2019 | 50 | $ | 1,500 | $ | (608 | ) | $ | 892 | 7,250,000 | $ | 269,869,499 | $ | (140,475,208 | ) | $ | 129,394,291 | $ | 129,395,183 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Seeaccompanying notes to unaudited consolidated financialstatements
WisdomTree Continuous Commodity Index Master Fund
Unaudited Statement of Changes in Shareholders’ Equity
For the Three Months Ended June 30, 2018
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Total General Shareholders’ | Limited Units | Accumulated | Total Limited Shareholders’ | Total Shareholders’ | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at March 31, 2018 | 50 | $ | 1,500 | $ | (537 | ) | $ | 963 | 9,400,000 | $ | 309,298,666 | $ | (128,361,338 | ) | $ | 180,937,328 | $ | 180,938,291 | ||||||||||||||||||
Creation of Units | — | — | — | — | 200,000 | 3,897,304 | — | 3,897,304 | 3,897,304 | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (450,000 | ) | (8,648,395 | ) | — | (8,648,395 | ) | (8,648,395 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 3 | 3 | — | — | 374,553 | 374,553 | 374,556 | |||||||||||||||||||||||||||
Net Realized Gain from Investments and Futures Contracts | — | — | 4 | 4 | — | — | 647,951 | 647,951 | 647,955 | |||||||||||||||||||||||||||
Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | (27 | ) | (27 | ) | — | — | (4,676,519 | ) | (4,676,519 | ) | (4,676,546 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Loss | — | — | (20 | ) | (20 | ) | — | — | (3,654,015 | ) | (3,654,015 | ) | (3,654,035 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Balance at June 30, 2018 | 50 | $ | 1,500 | $ | (557 | ) | $ | 943 | 9,150,000 | $ | 304,547,575 | $ | (132,015,353 | ) | $ | 172,532,222 | $ | 172,533,165 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
For the Six Months Ended June 30, 2018
| ||||||||||||||||||||||||||||||||||||
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Total General Shareholders’ | Limited Units | Accumulated | Total Limited Shareholders’ | Total Shareholders’ | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at December 31, 2017 | 50 | $ | 1,500 | $ | (538 | ) | $ | 962 | 8,050,000 | $ | 283,104,814 | $ | (128,149,467 | ) | $ | 154,955,347 | $ | 154,956,309 | ||||||||||||||||||
Creation of Units | — | — | — | — | 1,650,000 | 32,029,138 | — | 32,029,138 | 32,029,138 | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (550,000 | ) | (10,586,377 | ) | — | (10,586,377 | ) | (10,586,377 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 3 | 3 | — | — | 595,294 | 595,294 | 595,297 | |||||||||||||||||||||||||||
Net Realized Gain from Investments and Futures Contracts | — | — | 14 | 14 | — | — | 2,409,512 | 2,409,512 | 2,409,526 | |||||||||||||||||||||||||||
Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | (36 | ) | (36 | ) | — | — | (6,870,692 | ) | (6,870,692 | ) | (6,870,728 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Loss | — | — | (19 | ) | (19 | ) | — | — | (3,865,886 | ) | (3,865,886 | ) | (3,865,905 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Balance at June 30, 2018 | 50 | $ | 1,500 | $ | (557 | ) | $ | 943 | 9,150,000 | $ | 304,547,575 | $ | (132,015,353 | ) | $ | 172,532,222 | $ | 172,533,165 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Seeaccompanying notes to unaudited consolidated financialstatements
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Total General Shareholders’ | Limited Units | Accumulated | Total Limited Shareholders’ | Total Shareholders’ | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at March 31, 2019 | 50 | $ | 1,500 | $ | (598 | ) | $ | 902 | 7,950,000 | $ | 282,316,201 | $ | (138,909,298 | ) | $ | 143,406,903 | $ | 143,407,805 | ||||||||||||||||||
Creation of Units | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (700,000 | ) | (12,446,702 | ) | — | (12,446,702 | ) | (12,446,702 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 3 | 3 | — | — | 491,302 | 491,302 | 491,305 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (15 | ) | (15 | ) | — | — | (2,029,561 | ) | (2,029,561 | ) | (2,029,576 | ) | ||||||||||||||||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 2 | 2 | — | — | (27,651 | ) | (27,651 | ) | (27,649 | ) | ||||||||||||||||||||||||
Net Loss | — | — | (10 | ) | (10 | ) | — | — | (1,565,910 | ) | (1,565,910 | ) | (1,565,920 | ) | ||||||||||||||||||||||
Balance at June 30, 2019 | 50 | $ | 1,500 | $ | (608 | ) | $ | 892 | 7,250,000 | $ | 269,869,499 | $ | (140,475,208 | ) | $ | 129,394,291 | $ | 129,395,183 | ||||||||||||||||||
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Total General Shareholders’ | Limited Units | Accumulated | Total Limited Shareholders’ | Total Shareholders’ | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at December 31, 2018 | 50 | $ | 1,500 | $ | (625 | ) | $ | 875 | 8,850,000 | $ | 298,946,484 | $ | (144,092,358 | ) | $ | 154,854,126 | $ | 154,855,001 | ||||||||||||||||||
Creation of Units | — | — | — | — | 600,000 | 10,509,822 | — | 10,509,822 | 10,509,822 | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (2,200,000 | ) | (39,586,807 | ) | — | (39,586,807 | ) | (39,586,807 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 6 | 6 | — | — | 1,072,985 | 1,072,985 | 1,072,991 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (31 | ) | (31 | ) | — | — | (4,619,172 | ) | (4,619,172 | ) | (4,619,203 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 42 | 42 | — | — | 7,163,337 | 7,163,337 | 7,163,379 | |||||||||||||||||||||||||||
Net Gain | — | — | 17 | 17 | — | — | 3,617,150 | 3,617,150 | 3,617,167 | |||||||||||||||||||||||||||
Balance at June 30, 2019 | 50 | $ | 1,500 | $ | (608 | ) | $ | 892 | 7,250,000 | $ | 269,869,499 | $ | (140,475,208 | ) | $ | 129,394,291 | $ | 129,395,183 | ||||||||||||||||||
2019 | 2018 | |||||||
Cash flows from operating activities |
| |||||||
Net Gain (Loss) | $ | 3,617,167 | $ | (3,865,905 | ) | |||
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities: |
| |||||||
Purchases of investment securities | (291,508,240 | ) | (354,637,947 | ) | ||||
Proceeds from sales/maturities of investment securities | 311,942,737 | 333,999,796 | ||||||
Net accretion of discount | (1,590,731 | ) | (1,228,013 | ) | ||||
Net realized loss on investment securities | 718 | 18 | ||||||
Net change in unrealized appreciation/depreciation from investments | (12,929 | ) | (9,494 | ) | ||||
Net change in unrealized appreciation/depreciation from futures contracts | (7,150,450 | ) | 6,880,222 | |||||
Changes in assets and liabilities | ||||||||
Increase/(Decrease) in liabilities: |
| |||||||
Net management fee payable to related party | (15,347 | ) | 13,185 | |||||
|
|
|
| |||||
Net cash provided by (used for) operating activities | 15,282,925 | (18,848,138 | ) | |||||
|
|
|
| |||||
Cash flows from financing activities |
| |||||||
Proceeds from creation of Limited Units | 19,258,643 | 32,029,138 | ||||||
Redemption of Limited Units | (39,586,807 | ) | (10,586,377 | ) | ||||
|
|
|
| |||||
Net cash provided by (used for) financing activities | (20,328,164 | ) | 21,442,761 | |||||
|
|
|
| |||||
Net increase (decrease) in cash | (5,045,239 | ) | 2,594,623 | |||||
Cash* at beginning of period | 10,193,423 | 11,232,992 | ||||||
|
|
|
| |||||
Cash* at end of period | $ | 5,148,184 | $ | 13,827,615 | ||||
|
|
|
|
2020 | 2019 | |||||||
Cash flows from operating activities | ||||||||
Net Gain (Loss) | $ | (19,347,799 | ) | $ | 3,617,167 | |||
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities: | ||||||||
(168,658,770 | ) | (291,508,240 | ) | |||||
219,953,521 | 311,942,737 | |||||||
(450,224 | ) | (1,590,731 | ) | |||||
(14,440 | ) | 718 | ||||||
10,519 | (12,929 | ) | ||||||
5,508,181 | (7,150,450 | ) | ||||||
(36,330 | ) | (15,347 | ) | |||||
Net cash provided by operating activities | 36,964,658 | 15,282,925 | ||||||
Cash flows from financing activities | ||||||||
Proceeds from creation of Limited Units | — | 19,258,643 | ||||||
Redemption of Limited Units | (38,838,625 | ) | (39,586,807 | ) | ||||
Net cash used for financing activities | (38,838,625 | ) | (20,328,164 | ) | ||||
Net decrease in cash | (1,873,967 | ) | (5,045,239 | ) | ||||
Cash* at beginning of period | 5,922,177 | 10,193,423 | ||||||
Cash* at end of period | $ | 4,048,210 | $ | 5,148,184 | ||||
* | Includes cash held by the broker for futures contracts. |
notesnotes to unaudited consolidated financialstatementsfinancial statements
2020
(b)
issued on August20192020 and June 30, 20182019 included herein are unaudited. In the opinion of the Managing Owner, the unaudited financial statements have been prepared on the same basis as the annual financial statements and include all adjustments, which are of the normal recurring nature, necessary for a fair statement of the Fund’s financial position, investments, results of operations and its cash flows. Interim results are not necessarily indicative of the results that will be achieved for the year or for any other interim period or for any future year. Past performance of the Fund is not necessarily indicative of future performance.exchanges.exchanges where they are principally traded. In the Schedules of Investments, Commodity Futures are presented at their published settlement prices on the last business day of the period, in accordance with the fair value accounting standard. Since these contracts are actively traded in markets that are directly observable and which provide readily available price quotes, their market value is deemed to be their fair value under the fair value accounting standard.However, when market closing prices are not available, theThe Managing Owner maywill do other procedures (consistent with GAAP) to value an asset of the Master Fund pursuant to such other principles as the Managing Owner deems fair and equitable.investment when a market quote is not available. Realized gains (losses) and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the Statements of Income and Expenses in the period in which the contract is closed or the changes occur, respectively.20192020 and when the financial statements were issued.
Level 1 | Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. |
Level 2 | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. |
Level 3 | Unobservable inputs for the asset or liability. |
Assets | Quoted Prices in Active Market (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Totals | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 124,737,197 | $ | — | $ | 124,737,197 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities |
| |||||||||||||||
Unrealized depreciation on futures contracts | (410,382 | ) | — | — | (410,382 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (410,382 | ) | $ | 124,737,197 | $ | — | $ | 124,326,815 | |||||||
|
|
|
|
|
|
|
|
Assets | Quoted Prices in Active Market (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Totals | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 64,990,566 | $ | — | $ | 64,990,566 | ||||||||
Unrealized appreciation on futures contracts | 653,974 | — | — | 653,974 | ||||||||||||
Total | $ | 653,974 | $ | 64,990,566 | $ | — | $ | 65,644,540 | ||||||||
2020.
Assets | Quoted Prices in Active Market (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Totals | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 143,568,752 | $ | — | $ | 143,568,752 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities |
| |||||||||||||||
Unrealized depreciation on futures contracts | (7,560,832 | ) | — | — | (7,560,832 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | (7,560,832 | ) | $ | 143,568,752 | $ | — | $ | 136,007,920 | |||||||
|
|
|
|
|
|
|
|
Assets | Quoted Prices in Active Market (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Totals | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 115,831,172 | $ | — | $ | 115,831,172 | ||||||||
Unrealized appreciation on futures contracts | 6,162,155 | — | — | 6,162,155 | ||||||||||||
Total | $ | 6,162,155 | $ | 115,831,172 | $ | — | $ | 121,993,327 | ||||||||
2019.
As of: | Derivative Instruments | Asset Derivatives (i) | Liability Derivatives (ii) | |||||||||
June 30, 2019 | Commodity Futures | $ | — | $ | 410,382 | |||||||
December 31, 2018 | Commodity Futures | $ | — | $ | 7,560,832 |
As of: | Derivative Instruments | Asset Derivatives (i) | Liability Derivatives (ii) | |||||||||
June 30, 2020 | Commodity Futures | $ | 653,974 | $ | — | |||||||
December 31, 2019 | Commodity Futures | $ | 6,162,155 | $ | — |
(i) | Values are disclosed on the Statements of Financial Condition under Net unrealized appreciation on futures contracts. |
(ii) | Values are disclosed on the Statements of Financial Condition under Net unrealized depreciation on futures |
Period | Derivative Instruments | Realized Gain (Loss) on Derivative Instruments (i) | Net Increase (Decrease) in Unrealized Appreciation/Depreciation on Derivative Instruments (ii) | |||||||||
Three months ended June 30, 2019 | Commodity Futures | $ | (2,029,620 | ) | $ | (41,919 | ) | |||||
Three months ended June 30, 2018 | Commodity Futures | 647,973 | (4,692,279 | ) | ||||||||
Six months ended June 30, 2019 | Commodity Futures | (4,618,485 | ) | 7,150,450 | ||||||||
Six months ended June 30, 2018 | Commodity Futures | 2,409,544 | (6,880,222 | ) |
Period | Derivative Instruments | Realized Gain (Loss) on Derivative Instruments (i) | Net Increase (Decrease) in Unrealized Appreciation/Depreciation on Derivative Instruments (ii) | |||||||||
Three months ended June 30, 2020 | Commodity Futures | $ | (10,173,582 | ) | $ | 14,237,053 | ||||||
Three months ended June 30, 2019 | Commodity Futures | (2,029,620 | ) | (41,919 | ) | |||||||
Six months ended June 30, 2020 | Commodity Futures | (13,966,619 | ) | (5,508,181 | ) | |||||||
Six months ended June 30, 2019 | Commodity Futures | (4,618,485 | ) | 7,150,450 |
(i) | Values are disclosed on the Statements of Income and Expenses under Net realized gain (loss) from futures contracts. |
(ii) | Values are disclosed on the Statements of Income and Expenses under Net increase (decrease) in unrealized appreciation/depreciation from futures contracts. |
The Fund and the Master Fund have not utilized, nor do they expect to utilize in the future, special purpose entities to facilitate
and Brokerage Commissions
Period | Management Fee | Voluntary Fee Waiver | Net Management Fee | |||||||||
Three months ended June 30, 2019 | $ | 286,421 | $ | (33,697 | ) | $ | 252,724 | |||||
|
|
|
|
|
| |||||||
Three months ended June 30, 2018 | $ | 384,216 | $ | (45,201 | ) | $ | 339,015 | |||||
|
|
|
|
|
| |||||||
Six months ended June 30, 2019 | $ | 620,182 | $ | (72,963 | ) | $ | 547,219 | |||||
|
|
|
|
|
| |||||||
Six months ended June 30, 2018 | $ | 743,693 | $ | (87,493 | ) | $ | 656,200 | |||||
|
|
|
|
|
|
Period | Management Fee | Voluntary Fee Waiver | Net Management Fee | |||||||||
Three months ended June 30, 2020 | $ | 153,350 | $ | (18,041 | ) | $ | 135,309 | |||||
Three months ended June 30, 2019 | $ | 286,421 | $ | (33,697 | ) | $ | 252,724 | |||||
Six months ended June 30, 2020 | $ | 377,497 | $ | (44,411 | ) | $ | 333,086 | |||||
Six months ended June 30, 2019 | $ | 620,182 | $ | (72,963 | ) | $ | 547,219 | |||||
Commission
$82,255.
Three Months Ended June 30, 2019 | Three Months Ended June 30, 2018 | Six Months Ended June 30, 2019 | Six Months Ended June 30, 2018 | |||||||||||||
Net Asset Value |
| |||||||||||||||
Net asset value per Limited Share, beginning of period | $ | 18.04 | $ | 19.25 | $ | 17.50 | $ | 19.25 | ||||||||
Investment operations: |
| |||||||||||||||
Net realized and unrealized gain (loss)(1) | (0.25 | ) | (0.43 | ) | 0.22 | (0.46 | ) | |||||||||
Net investment income(2) | 0.06 | 0.04 | 0.13 | 0.07 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (0.19 | ) | (0.39 | ) | 0.35 | (0.39 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value per Limited Share, end of period | $ | 17.85 | $ | 18.86 | $ | 17.85 | $ | 18.86 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return, at net asset value(3) | (1.05 | )% | (2.03 | )% | 2.00 | % | (2.03 | )% | ||||||||
|
|
|
|
|
|
|
| |||||||||
Ratio/Supplemental Data: |
| |||||||||||||||
Net assets, end of period (000’s omitted) | $ | 129,395 | $ | 172,533 | $ | 129,395 | $ | 172,533 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Ratios to average net assets of: |
| |||||||||||||||
Net investment income(4) | 1.46 | % | 0.83 | % | 1.47 | % | 0.68 | % | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses, prior to expense waivers(4) | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses, net of expense waivers(4) | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||
|
|
|
|
|
|
|
|
Three Months Ended June 30, 2020 | Three Months Ended June 30, 2019 | Six Months Ended June 30, 2020 | Six Months Ended June 30, 2019 | |||||||||||||
Net Asset Value | ||||||||||||||||
Net asset value per Limited Share, beginning of period | $ | 14.83 | $ | 18.04 | $ | 18.80 | $ | 17.50 | ||||||||
Investment operations: | ||||||||||||||||
Net realized and unrealized gain (loss) (1) | 0.83 | (0.25 | ) | (3.17 | ) | 0.22 | ||||||||||
Net investment income (loss) (2) | (0.01 | ) | 0.06 | 0.02 | 0.13 | |||||||||||
Net increase (decrease) in net assets from operations | 0.82 | (0.19 | ) | (3.15 | ) | 0.35 | ||||||||||
Net asset value per Limited Share, end of period | $ | 15.65 | $ | 17.85 | $ | 15.65 | $ | 17.85 | ||||||||
Total Return, at net asset value (3) | 5.53 | % | (1.05 | )% | (16.76 | )% | 2.00 | % | ||||||||
Ratio/Supplemental Data: | ||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 69,649 | $ | 129,395 | $ | 69,649 | $ | 129,395 | ||||||||
Ratios to average net assets of: | ||||||||||||||||
Net investment income (4) | (0.35 | )% | 1.46 | % | 0.28 | % | 1.47 | % | ||||||||
Expenses, prior to expense waivers (4) | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||
Expenses, net of expense waivers (4) | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||
(1) | Includes brokerage commissions of less than $0.01 per share for the three months ended June 30, 25 . |
(2) | Based on average shares outstanding. |
(3) | Total return calculated for a period of less than one year is not annualized. For the periods in which the Managing Owner waived a portion of its Management Fee, the total return would have been lower if such expenses had not been waived. See Note 8(a) on page 25 . |
(4) | Annualized. |
investment when a market quote is not available.
2020
Date | Net Asset Value Per Share | Total Shares | Net Assets | 1 Month | 3 Months | Year to Date | Cumulative Return Since Inception | |||||||||||||||||||||
7/31/2014 | $ | 26.62 | 13,150,050 | $ | 350,041,597 | -4.62 | % | -7.38 | % | 3.58 | % | -11.27 | % | |||||||||||||||
8/31/2014 | $ | 26.25 | 13,150,050 | $ | 345,220,665 | -1.39 | % | -5.51 | % | 2.14 | % | -12.50 | % | |||||||||||||||
9/30/2014 | $ | 24.79 | 12,950,050 | $ | 321,017,239 | -5.56 | % | -11.18 | % | -3.54 | % | -17.37 | % | |||||||||||||||
10/31/2014 | $ | 24.73 | 12,750,050 | $ | 315,332,090 | -0.24 | % | -7.10 | % | -3.77 | % | -17.57 | % | |||||||||||||||
11/30/2014 | $ | 23.97 | 12,250,050 | $ | 293,666,858 | -3.07 | % | -8.69 | % | -6.73 | % | -20.10 | % | |||||||||||||||
12/31/2014 | $ | 22.81 | 11,700,050 | $ | 266,898,134 | -4.84 | % | -7.99 | % | -11.25 | % | -23.97 | % | |||||||||||||||
1/31/2015 | $ | 21.83 | 11,600,050 | $ | 253,276,499 | -4.30 | % | -11.73 | % | -4.30 | % | -27.23 | % | |||||||||||||||
2/28/2015 | $ | 22.21 | 11,400,050 | $ | 253,156,514 | 1.74 | % | -7.34 | % | -2.63 | % | -25.97 | % | |||||||||||||||
3/31/2015 | $ | 21.20 | 11,500,050 | $ | 243,765,407 | -4.55 | % | -7.06 | % | -7.06 | % | -29.33 | % | |||||||||||||||
4/30/2015 | $ | 21.90 | 11,450,050 | $ | 250,728,635 | 3.30 | % | 0.32 | % | -3.99 | % | -27.00 | % | |||||||||||||||
5/31/2015 | $ | 21.51 | 11,550,050 | $ | 248,405,407 | -1.78 | % | -3.15 | % | -5.70 | % | -28.30 | % | |||||||||||||||
6/30/2015 | $ | 22.08 | 12,650,050 | $ | 279,283,550 | 2.65 | % | 4.15 | % | -3.20 | % | -26.40 | % | |||||||||||||||
7/31/2015 | $ | 20.14 | 12,350,050 | $ | 248,781,672 | -8.79 | % | -8.04 | % | -11.71 | % | -32.87 | % | |||||||||||||||
8/31/2015 | $ | 19.89 | 12,250,050 | $ | 243,701,247 | -1.24 | % | -7.53 | % | -12.80 | % | -33.70 | % | |||||||||||||||
9/30/2015 | $ | 19.48 | 12,350,050 | $ | 240,610,264 | -2.06 | % | -11.78 | % | -14.60 | % | -35.07 | % | |||||||||||||||
10/31/2015 | $ | 19.80 | 12,450,050 | $ | 246,482,902 | 1.64 | % | -1.69 | % | -13.20 | % | -34.00 | % | |||||||||||||||
11/30/2015 | $ | 18.65 | 12,600,050 | $ | 234,930,303 | -5.81 | % | -6.23 | % | -18.24 | % | -37.83 | % | |||||||||||||||
12/31/2015 | $ | 18.56 | 12,100,050 | $ | 224,518,525 | -0.48 | % | -4.72 | % | -18.63 | % | -38.13 | % | |||||||||||||||
1/31/2016 | $ | 18.08 | 11,800,050 | $ | 213,290,323 | -2.59 | % | -8.69 | % | -2.59 | % | -39.73 | % | |||||||||||||||
2/29/2016 | $ | 17.95 | 11,500,050 | $ | 206,423,399 | -0.72 | % | -3.75 | % | -3.29 | % | -40.17 | % | |||||||||||||||
3/31/2016 | $ | 18.73 | 11,350,050 | $ | 212,556,966 | 4.35 | % | 0.92 | % | 0.92 | % | -37.57 | % | |||||||||||||||
4/30/2016 | $ | 19.83 | 11,400,050 | $ | 226,055,159 | 5.87 | % | 9.68 | % | 6.84 | % | -33.90 | % | |||||||||||||||
5/31/2016 | $ | 19.61 | 11,450,050 | $ | 224,548,529 | -1.11 | % | 9.25 | % | 5.66 | % | -34.63 | % | |||||||||||||||
6/30/2016 | $ | 20.42 | 11,100,050 | $ | 226,681,895 | 4.13 | % | 9.02 | % | 10.02 | % | -31.93 | % | |||||||||||||||
7/31/2016 | $ | 19.83 | 11,350,050 | $ | 225,092,558 | -2.89 | % | 0.00 | % | 6.84 | % | -33.90 | % | |||||||||||||||
8/31/2016 | $ | 19.33 | 11,450,050 | $ | 221,349,718 | -2.52 | % | -1.43 | % | 4.15 | % | -35.57 | % | |||||||||||||||
9/30/2016 | $ | 19.51 | 10,950,050 | $ | 213,673,816 | 0.93 | % | -4.46 | % | 5.12 | % | -34.97 | % | |||||||||||||||
10/31/2016 | $ | 19.62 | 10,950,050 | $ | 214,888,405 | 0.56 | % | -1.06 | % | 5.71 | % | -34.60 | % | |||||||||||||||
11/30/2016 | $ | 19.39 | 11,300,050 | $ | 219,111,876 | -1.17 | % | 0.31 | % | 4.47 | % | -35.37 | % | |||||||||||||||
12/31/2016 | $ | 19.35 | 11,350,050 | $ | 219,660,595 | -0.21 | % | -0.82 | % | 4.26 | % | -35.50 | % | |||||||||||||||
1/31/2017 | $ | 19.82 | 11,350,050 | $ | 224,901,754 | 2.43 | % | 1.02 | % | 2.43 | % | -33.93 | % | |||||||||||||||
2/28/2017 | $ | 19.70 | 10,750,050 | $ | 211,819,623 | -0.61 | % | 1.60 | % | 1.81 | % | -34.33 | % | |||||||||||||||
3/31/2017 | $ | 19.25 | 10,150,050 | $ | 195,428,354 | -2.28 | % | -0.52 | % | -0.52 | % | -35.83 | % | |||||||||||||||
4/30/2017 | $ | 18.93 | 9,450,050 | $ | 178,936,038 | -1.66 | % | -4.49 | % | -2.17 | % | -36.90 | % | |||||||||||||||
5/31/2017 | $ | 18.85 | 8,900,050 | $ | 167,788,181 | -0.42 | % | -4.31 | % | -2.58 | % | -37.17 | % | |||||||||||||||
6/30/2017 | $ | 18.68 | 8,850,050 | $ | 165,359,886 | -0.90 | % | -2.96 | % | -3.46 | % | -37.73 | % | |||||||||||||||
7/31/2017 | $ | 19.15 | 8,750,050 | $ | 167,534,220 | 2.52 | % | 1.16 | % | -1.03 | % | -36.17 | % | |||||||||||||||
8/31/2017 | $ | 18.84 | 8,750,050 | $ | 164,834,840 | -1.62 | % | -0.05 | % | -2.64 | % | -37.20 | % | |||||||||||||||
9/30/2017 | $ | 18.76 | 8,550,050 | $ | 160,409,438 | -0.42 | % | 0.43 | % | -3.05 | % | -37.47 | % | |||||||||||||||
10/31/2017 | $ | 19.08 | 8,400,050 | $ | 160,283,921 | 1.71 | % | -0.37 | % | -1.40 | % | -36.40 | % | |||||||||||||||
11/30/2017 | $ | 19.11 | 8,200,050 | $ | 156,718,600 | 0.16 | % | 1.43 | % | -1.24 | % | -36.30 | % | |||||||||||||||
12/31/2017 | $ | 19.25 | 8,050,050 | $ | 154,956,309 | 0.73 | % | 2.61 | % | -0.52 | % | -35.83 | % |
Date | Net Asset Value Per Share | Total Shares | Net Assets | 1 Month | 3 Months | Year to Date | Cumulative Return Since Inception | |||||||||||||||||||||
7/31/2015 | $ | 20.14 | 12,350,050 | $ | 248,781,672 | -8.79 | % | -8.04 | % | -11.71 | % | -32.87 | % | |||||||||||||||
8/31/2015 | $ | 19.89 | 12,250,050 | $ | 243,701,247 | -1.24 | % | -7.53 | % | -12.80 | % | -33.70 | % | |||||||||||||||
9/30/2015 | $ | 19.48 | 12,350,050 | $ | 240,610,264 | -2.06 | % | -11.78 | % | -14.60 | % | -35.07 | % | |||||||||||||||
10/31/2015 | $ | 19.80 | 12,450,050 | $ | 246,482,902 | 1.64 | % | -1.69 | % | -13.20 | % | -34.00 | % | |||||||||||||||
11/30/2015 | $ | 18.65 | 12,600,050 | $ | 234,930,303 | -5.81 | % | -6.23 | % | -18.24 | % | -37.83 | % | |||||||||||||||
12/31/2015 | $ | 18.56 | 12,100,050 | $ | 224,518,525 | -0.48 | % | -4.72 | % | -18.63 | % | -38.13 | % | |||||||||||||||
1/31/2016 | $ | 18.08 | 11,800,050 | $ | 213,290,323 | -2.59 | % | -8.69 | % | -2.59 | % | -39.73 | % | |||||||||||||||
2/29/2016 | $ | 17.95 | 11,500,050 | $ | 206,423,399 | -0.72 | % | -3.75 | % | -3.29 | % | -40.17 | % | |||||||||||||||
3/31/2016 | $ | 18.73 | 11,350,050 | $ | 212,556,966 | 4.35 | % | 0.92 | % | 0.92 | % | -37.57 | % | |||||||||||||||
4/30/2016 | $ | 19.83 | 11,400,050 | $ | 226,055,159 | 5.87 | % | 9.68 | % | 6.84 | % | -33.90 | % | |||||||||||||||
5/31/2016 | $ | 19.61 | 11,450,050 | $ | 224,548,529 | -1.11 | % | 9.25 | % | 5.66 | % | -34.63 | % | |||||||||||||||
6/30/2016 | $ | 20.42 | 11,100,050 | $ | 226,681,895 | 4.13 | % | 9.02 | % | 10.02 | % | -31.93 | % | |||||||||||||||
7/31/2016 | $ | 19.83 | 11,350,050 | $ | 225,092,558 | -2.89 | % | 0.00 | % | 6.84 | % | -33.90 | % | |||||||||||||||
8/31/2016 | $ | 19.33 | 11,450,050 | $ | 221,349,718 | -2.52 | % | -1.43 | % | 4.15 | % | -35.57 | % | |||||||||||||||
9/30/2016 | $ | 19.51 | 10,950,050 | $ | 213,673,816 | 0.93 | % | -4.46 | % | 5.12 | % | -34.97 | % | |||||||||||||||
10/31/2016 | $ | 19.62 | 10,950,050 | $ | 214,888,405 | 0.56 | % | -1.06 | % | 5.71 | % | -34.60 | % | |||||||||||||||
11/30/2016 | $ | 19.39 | 11,300,050 | $ | 219,111,876 | -1.17 | % | 0.31 | % | 4.47 | % | -35.37 | % | |||||||||||||||
12/31/2016 | $ | 19.35 | 11,350,050 | $ | 219,660,595 | -0.21 | % | -0.82 | % | 4.26 | % | -35.50 | % | |||||||||||||||
1/31/2017 | $ | 19.82 | 11,350,050 | $ | 224,901,754 | 2.43 | % | 1.02 | % | 2.43 | % | -33.93 | % | |||||||||||||||
2/28/2017 | $ | 19.70 | 10,750,050 | $ | 211,819,623 | -0.61 | % | 1.60 | % | 1.81 | % | -34.33 | % | |||||||||||||||
3/31/2017 | $ | 19.25 | 10,150,050 | $ | 195,428,354 | -2.28 | % | -0.52 | % | -0.52 | % | -35.83 | % | |||||||||||||||
4/30/2017 | $ | 18.93 | 9,450,050 | $ | 178,936,038 | -1.66 | % | -4.49 | % | -2.17 | % | -36.90 | % | |||||||||||||||
5/31/2017 | $ | 18.85 | 8,900,050 | $ | 167,788,181 | -0.42 | % | -4.31 | % | -2.58 | % | -37.17 | % | |||||||||||||||
6/30/2017 | $ | 18.68 | 8,850,050 | $ | 165,359,886 | -0.90 | % | -2.96 | % | -3.46 | % | -37.73 | % | |||||||||||||||
7/31/2017 | $ | 19.15 | 8,750,050 | $ | 167,534,220 | 2.52 | % | 1.16 | % | -1.03 | % | -36.17 | % | |||||||||||||||
8/31/2017 | $ | 18.84 | 8,750,050 | $ | 164,834,840 | -1.62 | % | -0.05 | % | -2.64 | % | -37.20 | % | |||||||||||||||
9/30/2017 | $ | 18.76 | 8,550,050 | $ | 160,409,438 | -0.42 | % | 0.43 | % | -3.05 | % | -37.47 | % | |||||||||||||||
10/31/2017 | $ | 19.08 | 8,400,050 | $ | 160,283,921 | 1.71 | % | -0.37 | % | -1.40 | % | -36.40 | % | |||||||||||||||
11/30/2017 | $ | 19.11 | 8,200,050 | $ | 156,718,600 | 0.16 | % | 1.43 | % | -1.24 | % | -36.30 | % | |||||||||||||||
12/31/2017 | $ | 19.25 | 8,050,050 | $ | 154,956,309 | 0.73 | % | 2.61 | % | -0.52 | % | -35.83 | % |
Date | Net Asset Value Per Share | Total Shares | Net Assets | 1 Month | 3 Months | Year to Date | Cumulative Return Since Inception | |||||||||||||||||||||
1/31/2018 | $ | 19.50 | 8,800,050 | $ | 171,590,704 | 1.30 | % | 2.20 | % | 1.30 | % | -35.00 | % | |||||||||||||||
2/28/2018 | $ | 19.45 | 9,150,050 | $ | 177,987,164 | -0.26 | % | 1.78 | % | 1.04 | % | -35.17 | % | |||||||||||||||
3/31/2018 | $ | 19.25 | 9,400,050 | $ | 180,938,291 | -1.03 | % | 0.00 | % | 0.00 | % | -35.83 | % | |||||||||||||||
4/30/2018 | $ | 19.48 | 9,300,050 | $ | 181,169,802 | 1.19 | % | -0.10 | % | 1.19 | % | -35.07 | % | |||||||||||||||
5/31/2018 | $ | 19.73 | 9,400,050 | $ | 185,447,260 | 1.28 | % | 1.44 | % | 2.49 | % | -34.23 | % | |||||||||||||||
6/30/2018 | $ | 18.86 | 9,150,050 | $ | 172,533,165 | -4.41 | % | -2.03 | % | -2.03 | % | -37.13 | % | |||||||||||||||
7/31/2018 | $ | 18.36 | 9,400,050 | $ | 172,579,285 | -2.65 | % | -5.75 | % | -4.62 | % | -38.80 | % | |||||||||||||||
8/31/2018 | $ | 18.02 | 9,000,050 | $ | 162,207,008 | -1.85 | % | -8.67 | % | -6.39 | % | -39.93 | % | |||||||||||||||
9/30/2018 | $ | 18.08 | 8,800,050 | $ | 159,102,078 | 0.33 | % | -4.14 | % | -6.08 | % | -39.73 | % | |||||||||||||||
10/31/2018 | $ | 18.28 | 8,650,050 | $ | 158,160,214 | 1.11 | % | -0.44 | % | -5.04 | % | -39.07 | % | |||||||||||||||
11/30/2018 | $ | 17.96 | 8,350,050 | $ | 149,939,026 | -1.75 | % | -0.33 | % | -6.70 | % | -40.13 | % | |||||||||||||||
12/31/2018 | $ | 17.50 | 8,850,050 | $ | 154,855,001 | -2.56 | % | -3.21 | % | -9.09 | % | -41.67 | % | |||||||||||||||
1/31/2019 | $ | 18.09 | 9,000,050 | $ | 162,845,090 | 3.37 | % | -1.04 | % | 3.37 | % | -39.70 | % | |||||||||||||||
2/28/2019 | $ | 18.07 | 8,700,050 | $ | 157,241,808 | -0.11 | % | 0.61 | % | 3.26 | % | -39.77 | % | |||||||||||||||
3/31/2019 | $ | 18.04 | 7,950,050 | $ | 143,407,805 | -0.17 | % | 3.09 | % | 3.09 | % | -39.87 | % | |||||||||||||||
4/30/2019 | $ | 17.90 | 7,700,050 | $ | 137,843,116 | -0.78 | % | -1.05 | % | 2.29 | % | -40.33 | % | |||||||||||||||
5/31/2019 | $ | 17.53 | 7,450,050 | $ | 130,608,270 | -2.07 | % | -2.99 | % | 0.17 | % | -41.57 | % | |||||||||||||||
6/30/2019 | $ | 17.85 | 7,250,050 | $ | 129,395,183 | 1.83 | % | -1.05 | % | 2.00 | % | -40.50 | % |
Date | Net Asset Value Per Share | Total Shares | Net Assets | 1 Month | 3 Months | Year to Date | Cumulative Return Since Inception | |||||||||||||||||||||
1/31/2018 | $ | 19.50 | 8,800,050 | $ | 171,590,704 | 1.30 | % | 2.20 | % | 1.30 | % | -35.00 | % | |||||||||||||||
2/28/2018 | $ | 19.45 | 9,150,050 | $ | 177,987,164 | -0.26 | % | 1.78 | % | 1.04 | % | -35.17 | % | |||||||||||||||
3/31/2018 | $ | 19.25 | 9,400,050 | $ | 180,938,291 | -1.03 | % | 0.00 | % | 0.00 | % | -35.83 | % | |||||||||||||||
4/30/2018 | $ | 19.48 | 9,300,050 | $ | 181,169,802 | 1.19 | % | -0.10 | % | 1.19 | % | -35.07 | % | |||||||||||||||
5/31/2018 | $ | 19.73 | 9,400,050 | $ | 185,447,260 | 1.28 | % | 1.44 | % | 2.49 | % | -34.23 | % | |||||||||||||||
6/30/2018 | $ | 18.86 | 9,150,050 | $ | 172,533,165 | -4.41 | % | -2.03 | % | -2.03 | % | -37.13 | % | |||||||||||||||
7/31/2018 | $ | 18.36 | 9,400,050 | $ | 172,579,285 | -2.65 | % | -5.75 | % | -4.62 | % | -38.80 | % | |||||||||||||||
8/31/2018 | $ | 18.02 | 9,000,050 | $ | 162,207,008 | -1.85 | % | -8.67 | % | -6.39 | % | -39.93 | % | |||||||||||||||
9/30/2018 | $ | 18.08 | 8,800,050 | $ | 159,102,078 | 0.33 | % | -4.14 | % | -6.08 | % | -39.73 | % | |||||||||||||||
10/31/2018 | $ | 18.28 | 8,650,050 | $ | 158,160,214 | 1.11 | % | -0.44 | % | -5.04 | % | -39.07 | % | |||||||||||||||
11/30/2018 | $ | 17.96 | 8,350,050 | $ | 149,939,026 | -1.75 | % | -0.33 | % | -6.70 | % | -40.13 | % | |||||||||||||||
12/31/2018 | $ | 17.50 | 8,850,050 | $ | 154,855,001 | -2.56 | % | -3.21 | % | -9.09 | % | -41.67 | % | |||||||||||||||
1/31/2019 | $ | 18.09 | 9,000,050 | $ | 162,845,090 | 3.37 | % | -1.04 | % | 3.37 | % | -39.70 | % | |||||||||||||||
2/28/2019 | $ | 18.07 | 8,700,050 | $ | 157,241,808 | -0.11 | % | 0.61 | % | 3.26 | % | -39.77 | % | |||||||||||||||
3/31/2019 | $ | 18.04 | 7,950,050 | $ | 143,407,805 | -0.17 | % | 3.09 | % | 3.09 | % | -39.87 | % | |||||||||||||||
4/30/2019 | $ | 17.90 | 7,700,050 | $ | 137,843,116 | -0.78 | % | -1.05 | % | 2.29 | % | -40.33 | % | |||||||||||||||
5/31/2019 | $ | 17.53 | 7,450,050 | $ | 130,608,270 | -2.07 | % | -2.99 | % | 0.17 | % | -41.57 | % | |||||||||||||||
6/30/2019 | $ | 17.85 | 7,250,050 | $ | 129,395,183 | 1.83 | % | -1.05 | % | 2.00 | % | -40.50 | % | |||||||||||||||
7/31/2019 | $ | 17.62 | 7,250,050 | $ | 127,772,592 | -1.29 | % | -1.56 | % | 0.69 | % | -41.27 | % | |||||||||||||||
8/31/2019 | $ | 17.10 | 6,700,050 | $ | 114,556,679 | -2.95 | % | -2.45 | % | -2.29 | % | -43.00 | % | |||||||||||||||
9/30/2019 | $ | 17.56 | 6,500,050 | $ | 114,110,261 | 2.69 | % | -1.62 | % | 0.34 | % | -41.47 | % | |||||||||||||||
10/31/2019 | $ | 17.95 | 6,850,050 | $ | 122,956,931 | 2.22 | % | 1.87 | % | 2.57 | % | -40.17 | % | |||||||||||||||
11/30/2019 | $ | 17.86 | 6,850,050 | $ | 122,348,578 | -0.50 | % | 4.44 | % | 2.06 | % | -40.47 | % | |||||||||||||||
12/31/2019 | $ | 18.80 | 6,800,050 | $ | 127,835,843 | 5.26 | % | 7.06 | % | 7.43 | % | -37.33 | % | |||||||||||||||
1/31/2020 | $ | 17.61 | 6,400,050 | $ | 112,722,603 | -6.33 | % | -1.89 | % | -6.33 | % | -41.30 | % | |||||||||||||||
2/29/2020 | $ | 16.76 | 6,000,050 | $ | 100,581,288 | -4.83 | % | -6.16 | % | -10.85 | % | -44.13 | % | |||||||||||||||
3/31/2020 | $ | 14.83 | 5,050,050 | $ | 74,876,112 | -11.52 | % | -21.12 | % | -21.12 | % | -50.57 | % | |||||||||||||||
4/30/2020 | $ | 14.85 | 4,950,050 | $ | 73,491,909 | 0.13 | % | -15.67 | % | -21.01 | % | -50.50 | % | |||||||||||||||
5/31/2020 | $ | 15.45 | 4,850,050 | $ | 74,932,143 | 4.04 | % | -7.82 | % | -17.82 | % | -48.50 | % | |||||||||||||||
6/30/2020 | $ | 15.65 | 4,450,050 | $ | 69,649,419 | 1.29 | % | 5.53 | % | -16.76 | % | -47.83 | % |
Sector | Sector Weight | Commodity | ||||
Energy | ||||||
| ||||||
| ||||||
| % | WTI Crude Oil, Natural Gas, NY Harbor ULSD | ||||
Grains | % | |||||
Livestock | 11.80 | % | Live Hogs, Live Cattle | |||
Metals | 23.50 | % | Gold 100 Ounce, Silver, Platinum, Copper | |||
Softs | 23.57 | % | Coffee “C”, Cocoa, Sugar No. 11, Cotton No. 2 |
Description Range of Expiration Dates Energy Natural Gas NY Harbor ULSD WTI Crude Oil Grains Corn Soybean Soybean Oil Wheat Livestock Lean Hogs Live Cattle Metals Copper Gold 100 Ounce Platinum Silver Description Range of Expiration Dates Softs Cocoa Coffee “C” Cotton No. 2 Sugar No. 11 providesprovide information about the Master Fund’s investments, which were sensitive to both commodity price and interest rate risk.2019,2020, the Master Fund’s long exposure Commodity Futures subject to commodity price risk were as follows: Number of
Contracts Weighted-
Average
Price
per
Contract Contract
Multiplier Notional Value Unrealized
Appreciation/
(Depreciation) August 2019 - December 2019 308 $ 2.46 10,000 $ 7,569,260 $ (773,790 ) August 2019 - December 2019 92 1.96 42,000 7,561,680 56,972 August 2019 - December 2019 130 58.17 1,000 7,561,580 163,730 September 2019 - December 2019 355 4.28 5,000 7,599,050 333,201 November 2019 - January 2020 164 9.29 5,000 7,615,750 109,750 September 2019 - January 2020 441 0.29 60,000 7,605,774 (241,956 ) September 2019 - December 2019 286 5.33 5,000 7,620,113 370,325 August 2019 - February 2020 259 0.74 40,000 7,620,100 (572,930 ) October 2019 - February 2020 173 1.10 40,000 7,605,710 (444,900 ) September 2019 - December 2019 112 2.72 25,000 7,607,600 (230,575 ) December 2019 - February 2020 53 1,427.65 100 7,566,530 472,490 October 2019 - January 2020 180 843.65 50 7,592,850 200,935 September 2019 - December 2019 99 15.39 5,000 7,620,295 27,285 Number of
Contracts Weighted-
Average
Price
per
Contract Contract
Multiplier Notional Value Unrealized
Appreciation/
(Depreciation) September 2019 - December 2019 312 $ 2,441.50 10 $ 7,617,480 $ 101,980 September 2019 - December 2019 183 1.11 37,500 7,633,856 653,831 December 2019 - March 2020 229 0.66 50,000 7,600,930 (490,850 ) September 2019 - February 2020 520 0.13 112,000 7,620,704 (145,880 ) $ 129,219,262 $ (410,382 )
Description | Range of Expiration Dates | Number of Contracts | Weighted- Average Price per Contract | Contract Multiplier | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Energy | ||||||||||||||||||||||
Natural Gas | August 2020—December 2020 | 176 | $ | 2.32 | 10,000 | $ | 4,084,630 | $ | (304,330 | ) | ||||||||||||
NY Harbor ULSD | August 2020—December 2020 | 79 | 1.24 | 42,000 | 4,102,139 | 221,521 | ||||||||||||||||
WTI Crude Oil | August 2020—December 2020 | 103 | 39.57 | 1,000 | 4,075,600 | 696,860 | ||||||||||||||||
Grains | ||||||||||||||||||||||
Corn | September 2020—December 2020 | 236 | 3.46 | 5,000 | 4,082,800 | (57,262 | ) | |||||||||||||||
Soybean | November 2020—January 2021 | 92 | 8.84 | 5,000 | 4,064,100 | 32,550 | ||||||||||||||||
Soybean Oil | September 2020—January 2021 | 238 | 0.29 | 60,000 | 4,090,548 | (115,308 | ) | |||||||||||||||
Wheat | September 2020—December 2020 | 165 | 4.95 | 5,000 | 4,087,025 | (320,213 | ) | |||||||||||||||
Livestock | ||||||||||||||||||||||
Lean Hogs | August 2020—February 2021 | 195 | 0.53 | 40,000 | 4,096,390 | (235,270 | ) | |||||||||||||||
Live Cattle | October 2020—February 2021 | 99 | 1.04 | 40,000 | 4,102,230 | (23,360 | ) | |||||||||||||||
Metals | ||||||||||||||||||||||
Copper | September 2020—December 2020 | 60 | 2.74 | 25,000 | 4,103,250 | 335,438 | ||||||||||||||||
Gold 100 Ounce | December 2020—February 2021 | 22 | 1,823.95 | 100 | 4,012,690 | 190,070 | ||||||||||||||||
Platinum | October 2020—January 2021 | 96 | 853.65 | 50 | 4,097,520 | 159,170 | ||||||||||||||||
Silver | September 2020—December 2020 | 44 | 18.72 | 5,000 | 4,118,400 | 424,950 | ||||||||||||||||
Softs | ||||||||||||||||||||||
Cocoa | September 2020—December 2020 | 188 | 2,185.50 | 10 | 4,108,740 | (383,990 | ) | |||||||||||||||
Coffee “C” | September 2020—December 2020 | 107 | 1.02 | 37,500 | 4,101,319 | (274,388 | ) | |||||||||||||||
Cotton No. 2 | December 2020—March 2021 | 133 | 0.61 | 50,000 | 4,070,300 | 192,445 | ||||||||||||||||
Sugar No. 11 | September 2020—February 2021 | 299 | 0.12 | 112,000 | 4,105,293 | 115,091 | ||||||||||||||||
$ | 69,502,974 | $ | 653,974 | |||||||||||||||||||
Description | Range of Yields to Maturity | Range of Maturity Dates | Face Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||
U.S. Treasury Obligations | ||||||||||||||||||
U.S. Treasury Bills | 2.19% - 2.41% | July 2019 – September 2019 | $ | 125,000,000 | $ | 124,737,197 | $ | 17,725 |
Description | Range of Yields to Maturity | Range of Maturity Dates | Face Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||
U.S. Treasury Obligations | ||||||||||||||||||
U.S. Treasury Bills | 0.08% – 0.15% | July 2020 – September 2020 | $ | 65,000,000 | $ | 64,990,566 | $ | (215 | ) |
Issuer Purchases of Equity Securities | ||||||||||||||||
Period | Total Number of Shares Redeemed | Average Price Paid per Share | Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs | Maximum Number (or Approximate Dollar Value) of Shares That May Yet Be Purchased Under the Plans or Programs | ||||||||||||
April 1, 2019 to April 30, 2019 | 250,000 | $ | 18.16 | N/A | N/A | |||||||||||
May 1, 2019 to May 31, 2019 | 250,000 | $ | 17.54 | N/A | N/A | |||||||||||
June 1, 2019 to June 30, 2019 | 200,000 | $ | 17.61 | N/A | N/A | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | 700,000 | $ | 17.78 | N/A | N/A | |||||||||||
|
|
|
|
|
|
|
|
Issuer Purchases of Equity Securities | ||||||||||||||||
Period | Total Number of Shares Redeemed | Average Price Paid per Share | Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs | Maximum Number (or Approximate Dollar Value) of Shares That May Yet Be Purchased Under the Plans or Programs | ||||||||||||
April 1, 2020 to April 30, 2020 | 100,000 | $ | 14.39 | N/A | N/A | |||||||||||
May 1, 2020 to May 31, 2020 | 100,000 | $ | 14.90 | N/A | N/A | |||||||||||
June 1, 2020 to June 30, 2020 | 400,000 | $ | 15.59 | N/A | N/A | |||||||||||
Total | 600,000 | $ | 15.28 | N/A | N/A | |||||||||||
None.
(1) | Filed herewith. |
WisdomTree Commodity Services, LLC, | ||
Managing Owner of the WisdomTree Continuous Commodity Index Fund (registrant) | ||
By: | /s/ Jeremy Schwartz | |
Jeremy Schwartz | ||
President and Chief Executive Officer | ||
(Principal Executive Officer) | ||
Date: August | ||
By: | /s/ David Castano | |
David Castano | ||
Chief Financial Officer and Treasurer | ||
(Principal Financial Officer) | ||
Date: August | ||
WisdomTree Commodity Services, LLC, | ||
Managing Owner of the WisdomTree Continuous Commodity Index Master Fund (co-registrant) | ||
By: | /s/ Jeremy Schwartz | |
Jeremy Schwartz | ||
President and Chief Executive Officer | ||
(Principal Executive Officer) | ||
Date: August | ||
By: | /s/ David Castano | |
David Castano | ||
Chief Financial Officer and Treasurer | ||
(Principal Financial Officer) | ||
Date: August |
39