☒ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
001-33908, 001-33909001-33908,001-33909 NYNY
Large accelerated filer | ☐ | Accelerated filer | ☒ | |||
Non-accelerated filer | ☐ | Smaller reporting company | ☐ | |||
Emerging growth company | ☐ |
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March 31,
March 31, 2020 (unaudited) | December 31, 2019 | |||||||
Assets: |
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Cash | $ | 4,592,044 | $ | 1,730,680 | ||||
Cash held by broker for futures contracts (Note 3) | 18,923,056 | 4,191,497 | ||||||
Short-term investments (cost $64,937,477 and $115,820,868 as of March 31, 2020 and December 31, 2019, respectively) | 64,998,203 | 115,831,172 | ||||||
Net unrealized appreciation on futures contracts | — | 6,162,155 | ||||||
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Total Assets | 88,513,303 | 127,915,504 | ||||||
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Liabilities and shareholders’ equity: |
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Net unrealized depreciation on futures contracts | 13,583,079 | — | ||||||
Net management fee payable to related party (Note 8) | 54,112 | 79,661 | ||||||
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Total Liabilities | 13,637,191 | 79,661 | ||||||
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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 | (759 | ) | (560 | ) | ||||
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Total General Units | 741 | 940 | ||||||
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Limited Units: |
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Paid in capital—5,050,000 and 6,800,000 redeemable shares issued and outstanding (unlimited authorized) as of March 31, 2020 and December 31, 2019, respectively | 232,672,819 | 262,345,685 | ||||||
Accumulated deficit | (157,797,448 | ) | (134,510,782 | ) | ||||
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Total Limited Units | 74,875,371 | 127,834,903 | ||||||
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Total shareholders’ equity | 74,876,112 | 127,835,843 | ||||||
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Total liabilities and shareholders’ equity | $ | 88,513,303 | $ | 127,915,504 | ||||
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Net asset value per share |
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General Units | $ | 14.83 | $ | 18.80 | ||||
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Limited Units | $ | 14.83 | $ | 18.80 | ||||
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September 30, 2020 (unaudited) | December 31, 2019 | |||||||
Assets: | ||||||||
Cash | $ | 5,583,344 | $ | 1,730,680 | ||||
Cash held by broker for futures contracts (Note 3) | 6,320,923 | 4,191,497 | ||||||
Short-term investments (cost $71,993,449 and $115,820,868 as of September 30, 2020 and December 31, 2019, respectively) | 71,993,216 | 115,831,172 | ||||||
Net unrealized appreciation on futures contracts | 2,976,824 | 6,162,155 | ||||||
Total Assets | 86,874,307 | 127,915,504 | ||||||
Liabilities and shareholders’ equity: | ||||||||
Net management fee payable to related party (Note 8) | 54,117 | 79,661 | ||||||
Total Liabilities | 54,117 | 79,661 | ||||||
Shareholders’ equity: | ||||||||
General Units: | ||||||||
Paid in capital—50 units issued and outstanding (unlimited authorized) | 1,500 | 1,500 | ||||||
Accumulated deficit | (632 | ) | (560 | ) | ||||
Total General Units | 868 | 940 | ||||||
Limited Units: | ||||||||
Paid in capital—5,000,000 and 6,800,000 redeemable shares issued and outstanding (unlimited authorized) as of September 30, 2020 and December 31, 2019, respectively | 232,922,437 | 262,345,685 | ||||||
Accumulated deficit | (146,103,115 | ) | (134,510,782 | ) | ||||
Total Limited Units | 86,819,322 | 127,834,903 | ||||||
Total shareholders’ equity | 86,820,190 | 127,835,843 | ||||||
Total liabilities and shareholders’ equity | $ | 86,874,307 | $ | 127,915,504 | ||||
Net asset value per share | ||||||||
General Units | $ | 17.36 | $ | 18.80 | ||||
Limited Units | $ | 17.36 | $ | 18.80 | ||||
March 31,
Description | Percentage of Net Assets | Fair Value | Face Amount | |||||||||||||
U.S. Treasury Obligations | ||||||||||||||||
U.S. Treasury Bills | ||||||||||||||||
1.54%, 4/2/20* | 32.05 | % | $ | 24,000,007 | $ | 24,000,000 | ||||||||||
1.53%, 4/23/20* | 28.05 | 20,999,724 | 21,000,000 | |||||||||||||
1.56%, 5/21/20*(a) | 26.71 | 19,998,472 | 20,000,000 | |||||||||||||
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Total U.S. Treasury Obligations (Cost: $64,937,477) | 86.81 | % | $ | 64,998,203 | $ | 65,000,000 | ||||||||||
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Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Futures Contracts Long Exposure (Exchange-Traded) | ||||||||||||||||
Cocoa | ||||||||||||||||
expiration date 5/13/20 | 65 | (0.25 | )% | $ | (186,090 | ) | $ | 1,461,850 | ||||||||
expiration date 7/16/20 | 65 | (0.24 | ) | (179,290 | ) | 1,468,350 | ||||||||||
expiration date 9/15/20 | 64 | (0.46 | ) | (342,330 | ) | 1,450,880 | ||||||||||
Coffee “C” | ||||||||||||||||
expiration date 5/18/20 | 33 | 0.05 | 35,269 | 1,479,431 | ||||||||||||
expiration date 7/21/20 | 32 | 0.01 | 9,019 | 1,444,200 | ||||||||||||
expiration date 9/18/20 | 32 | 0.14 | 106,575 | 1,452,600 | ||||||||||||
Copper | ||||||||||||||||
expiration date 5/27/20 | 27 | (0.28 | ) | (208,912 | ) | 1,503,900 | ||||||||||
expiration date 7/29/20 | 26 | (0.38 | ) | (284,063 | ) | 1,451,775 | ||||||||||
expiration date 9/28/20 | 26 | (0.29 | ) | (213,838 | ) | 1,454,375 | ||||||||||
Corn | ||||||||||||||||
expiration date 5/14/20 | 85 | (0.32 | ) | (238,213 | ) | 1,448,188 | ||||||||||
expiration date 7/14/20 | 85 | (0.27 | ) | (200,750 | ) | 1,470,500 | ||||||||||
expiration date 9/14/20 | 85 | (0.20 | ) | (148,737 | ) | 1,486,437 | ||||||||||
Cotton No. 2 | ||||||||||||||||
expiration date 5/6/20 | 87 | (0.76 | ) | (569,530 | ) | 2,224,155 | ||||||||||
expiration date 7/9/20 | 86 | (0.91 | ) | (685,035 | ) | 2,188,700 | ||||||||||
Gold 100 Ounce | ||||||||||||||||
expiration date 6/26/20 | 14 | 0.10 | 78,100 | 2,235,240 | ||||||||||||
expiration date 8/27/20 | 13 | 0.03 | 20,860 | 2,075,580 | ||||||||||||
Lean Hogs | ||||||||||||||||
expiration date 4/15/20 | 37 | (0.44 | ) | (332,120 | ) | 772,560 | ||||||||||
expiration date 6/12/20 | 37 | (0.37 | ) | (279,450 | ) | 892,810 | ||||||||||
expiration date 7/15/20 | 37 | (0.39 | ) | (295,150 | ) | 957,930 | ||||||||||
expiration date 8/14/20 | 36 | (0.31 | ) | (233,600 | ) | 941,760 | ||||||||||
expiration date 10/14/20 | 37 | (0.22 | ) | (161,580 | ) | 842,120 | ||||||||||
Live Cattle | ||||||||||||||||
expiration date 6/30/20 | 39 | (0.48 | ) | (356,210 | ) | 1,436,370 | ||||||||||
expiration date 8/31/20 | 39 | (0.44 | ) | (329,120 | ) | 1,460,160 | ||||||||||
expiration date 10/30/20 | 39 | (0.27 | ) | (204,580 | ) | 1,512,420 | ||||||||||
Natural Gas | ||||||||||||||||
expiration date 4/28/20 | 47 | (0.31 | ) | (231,490 | ) | 770,800 | ||||||||||
expiration date 5/27/20 | 47 | (0.28 | ) | (211,950 | ) | 825,320 | ||||||||||
expiration date 6/26/20 | 47 | (0.21 | ) | (153,830 | ) | 898,640 | ||||||||||
expiration date 7/29/20 | 48 | (0.06 | ) | (46,070 | ) | 949,440 | ||||||||||
expiration date 8/27/20 | 48 | (0.05 | ) | (37,840 | ) | 962,880 | ||||||||||
NY Harbor ULSD | ||||||||||||||||
expiration date 4/30/20 | 20 | (0.71 | ) | (535,319 | ) | 841,260 | ||||||||||
expiration date 5/29/20 | 20 | (0.66 | ) | (491,564 | ) | 854,784 | ||||||||||
expiration date 6/30/20 | 20 | (0.71 | ) | (527,944 | ) | 874,860 | ||||||||||
expiration date 7/31/20 | 20 | (0.49 | ) | (365,589 | ) | 902,076 | ||||||||||
expiration date 8/31/20 | 20 | (0.52 | ) | (391,587 | ) | 930,804 | ||||||||||
Platinum | ||||||||||||||||
expiration date 7/29/20 | 61 | (0.42 | ) | (317,190 | ) | 2,226,195 | ||||||||||
expiration date 10/28/20 | 60 | (0.56 | ) | (419,250 | ) | 2,192,400 |
Description | Percentage of Net Assets | Fair Value | Face Amount | |||||||||||||
U.S. Treasury Obligations | ||||||||||||||||
U.S. Treasury Bills | ||||||||||||||||
0.12 %, 10/8/20* (a) | 16.13 | % | $ | 13,999,854 | $ | 14,000,000 | ||||||||||
0.06%, 10/29/20* | 20.73 | 17,998,845 | 18,000,000 | |||||||||||||
0.09%, 11/19/20* | 23.03 | 19,997,822 | 20,000,000 | |||||||||||||
0.11%, 12/10/20* | 23.03 | 19,996,695 | 20,000,000 | |||||||||||||
Total U.S. Treasury Obligations (Cost: $71,993,449) | 82.92 | % | $ | 71,993,216 | $ | 72,000,000 | ||||||||||
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Futures Contracts Long Exposure (Exchange-Traded) | ||||||||||||||||
Cocoa | ||||||||||||||||
expiration date 12/15/20 | 68 | 0.16 | % | $ | 141,930 | $ | 1,731,280 | |||||||||
expiration date 3/16/21 | 67 | 0.05 | 39,010 | 1,693,090 | ||||||||||||
expiration date 5/13/21 | 67 | 0.05 | 39,880 | 1,687,730 | ||||||||||||
Coffee “C” | ||||||||||||||||
expiration date 12/18/20 | 40 | (0.01 | ) | (7,969 | ) | 1,664,250 | ||||||||||
expiration date 3/19/21 | 40 | (0.11 | ) | (96,431 | ) | 1,690,500 | ||||||||||
expiration date 5/18/21 | 41 | (0.11 | ) | (91,987 | ) | 1,754,288 | ||||||||||
Copper | ||||||||||||||||
expiration date 12/29/20 | 23 | 0.16 | 141,338 | 1,743,688 | ||||||||||||
expiration date 3/29/21 | 22 | 0.08 | 68,800 | 1,671,450 | ||||||||||||
expiration date 5/26/21 | 22 | 0.08 | 67,763 | 1,673,375 | ||||||||||||
Corn | ||||||||||||||||
expiration date 12/14/20 | 88 | 0.20 | 173,563 | 1,667,600 | ||||||||||||
expiration date 3/12/21 | 88 | 0.22 | 187,037 | 1,708,300 | ||||||||||||
expiration date 5/14/21 | 88 | 0.20 | 175,775 | 1,731,400 | ||||||||||||
Cotton No. 2 | ||||||||||||||||
expiration date 12/8/20 | 51 | 0.17 | 149,195 | 1,677,645 | ||||||||||||
expiration date 3/9/21 | 51 | 0.14 | 120,655 | 1,696,770 | ||||||||||||
expiration date 5/6/21 | 51 | 0.07 | 64,785 | 1,715,385 | ||||||||||||
Gold 100 Ounce | ||||||||||||||||
expiration date 12/29/20 | 9 | 0.07 | 58,090 | 1,705,950 | ||||||||||||
expiration date 2/24/21 | 9 | 0.09 | 74,930 | 1,712,340 | ||||||||||||
expiration date 4/28/21 | 9 | (0.07 | ) | (57,790 | ) | 1,717,020 | ||||||||||
Lean Hogs | ||||||||||||||||
expiration date 12/14/20 | 63 | 0.26 | 226,220 | 1,590,120 | ||||||||||||
expiration date 2/12/21 | 63 | 0.21 | 177,760 | 1,713,600 | ||||||||||||
expiration date 4/15/21 | 62 | 0.15 | 129,610 | 1,786,220 | ||||||||||||
Live Cattle | ||||||||||||||||
expiration date 12/31/20 | 37 | 0.14 | 117,150 | 1,662,780 | ||||||||||||
expiration date 2/26/21 | 37 | 0.12 | 102,050 | 1,714,950 | ||||||||||||
expiration date 4/30/21 | 36 | 0.01 | 6,120 | 1,695,960 | ||||||||||||
Natural Gas | ||||||||||||||||
expiration date 11/25/20 | 33 | 0.07 | 62,260 | 1,028,610 | ||||||||||||
expiration date 12/29/20 | 33 | 0.08 | 71,280 | 1,078,110 | ||||||||||||
expiration date 1/27/21 | 33 | 0.04 | 38,760 | 1,062,930 | ||||||||||||
expiration date 2/24/21 | 33 | 0.05 | 40,490 | 1,022,670 | ||||||||||||
expiration date 3/29/21 | 32 | 0.04 | 30,970 | 894,080 | ||||||||||||
NY Harbor ULSD | ||||||||||||||||
expiration date 11/30/20 | 21 | (0.07 | ) | (57,658 | ) | 1,027,971 | ||||||||||
expiration date 12/31/20 | 21 | (0.06 | ) | (55,948 | ) | 1,041,554 | ||||||||||
expiration date 1/29/21 | 20 | (0.10 | ) | (86,453 | ) | 1,003,800 | ||||||||||
expiration date 2/26/21 | 20 | (0.10 | ) | (89,477 | ) | 1,013,040 | ||||||||||
expiration date 3/31/21 | 20 | (0.11 | ) | (99,128 | ) | 1,017,744 | ||||||||||
Platinum | ||||||||||||||||
expiration date 1/27/21 | 56 | (0.08 | ) | (68,185 | ) | 2,545,760 | ||||||||||
expiration date 4/28/21 | 56 | (0.16 | ) | (135,015 | ) | 2,564,240 |
March 31,
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Silver | ||||||||||||||||
expiration date 5/27/20 | 21 | (0.27 | )% | $ | (202,145 | ) | $ | 1,486,380 | ||||||||
expiration date 7/29/20 | 21 | (0.27 | ) | (205,295 | ) | 1,490,055 | ||||||||||
expiration date 9/28/20 | 20 | (0.37 | ) | (277,720 | ) | 1,423,200 | ||||||||||
Soybean | ||||||||||||||||
expiration date 5/14/20 | 33 | (0.06 | ) | (48,475 | ) | 1,461,900 | ||||||||||
expiration date 7/14/20 | 33 | (0.10 | ) | (75,700 | ) | 1,467,675 | ||||||||||
expiration date 8/14/20 | 33 | (0.13 | ) | (97,150 | ) | 1,466,437 | ||||||||||
Soybean Oil | ||||||||||||||||
expiration date 5/14/20 | 54 | (0.20 | ) | (149,976 | ) | 875,124 | ||||||||||
expiration date 7/14/20 | 54 | (0.20 | ) | (147,894 | ) | 886,464 | ||||||||||
expiration date 8/14/20 | 53 | (0.28 | ) | (208,452 | ) | 874,818 | ||||||||||
expiration date 9/14/20 | 53 | (0.16 | ) | (121,260 | ) | 879,588 | ||||||||||
expiration date 10/14/20 | 53 | (0.16 | ) | (120,762 | ) | 884,358 | ||||||||||
Sugar No. 11 | ||||||||||||||||
expiration date 4/30/20 | 124 | (0.41 | ) | (306,107 | ) | 1,447,130 | ||||||||||
expiration date 6/30/20 | 123 | (0.42 | ) | (312,133 | ) | 1,446,480 | ||||||||||
expiration date 9/30/20 | 123 | (0.64 | ) | (479,450 | ) | 1,482,298 | ||||||||||
Wheat | ||||||||||||||||
expiration date 5/14/20 | 52 | 0.16 | 121,800 | 1,478,750 | ||||||||||||
expiration date 7/14/20 | 52 | 0.11 | 81,388 | 1,462,500 | ||||||||||||
expiration date 9/14/20 | 52 | 0.06 | 42,300 | 1,469,650 | ||||||||||||
WTI Crude Oil | ||||||||||||||||
expiration date 4/21/20 | 33 | (0.83 | ) | (622,470 | ) | 675,840 | ||||||||||
expiration date 5/19/20 | 33 | (0.64 | ) | (477,790 | ) | 808,830 | ||||||||||
expiration date 6/22/20 | 33 | (0.53 | ) | (397,080 | ) | 913,770 | ||||||||||
expiration date 7/21/20 | 33 | (0.46 | ) | (344,500 | ) | 983,070 | ||||||||||
expiration date 8/20/20 | 33 | (0.41 | ) | (305,810 | ) | 1,026,960 | ||||||||||
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Total Futures Contracts Long Exposure (Exchange-Traded) |
| (18.14 | )% | $ | (13,583,079 | ) | $ | 74,733,027 | ||||||||
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Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Silver | ||||||||||||||||
expiration date 12/29/20 | 15 | 0.13 | % | $ | 116,295 | $ | 1,762,050 | |||||||||
expiration date 3/29/21 | 14 | (0.28 | ) | (239,070 | ) | 1,653,890 | ||||||||||
expiration date 5/26/21 | 14 | (0.22 | ) | (189,705 | ) | 1,660,680 | ||||||||||
Soybean | ||||||||||||||||
expiration date 1/14/21 | 34 | 0.26 | 224,962 | 1,746,325 | ||||||||||||
expiration date 3/12/21 | 33 | 0.22 | 191,075 | 1,684,650 | ||||||||||||
expiration date 5/14/21 | 33 | 0.21 | 184,575 | 1,680,525 | ||||||||||||
Soybean Oil | ||||||||||||||||
expiration date 12/14/20 | 64 | 0.16 | 139,758 | 1,272,192 | ||||||||||||
expiration date 1/14/21 | 64 | 0.14 | 123,570 | 1,274,496 | ||||||||||||
expiration date 3/12/21 | 64 | 0.07 | 64,332 | 1,277,568 | ||||||||||||
expiration date 5/14/21 | 64 | 0.08 | 66,012 | 1,281,024 | ||||||||||||
Sugar No. 11 | ||||||||||||||||
expiration date 2/26/21 | 171 | 0.15 | 134,042 | 2,587,435 | ||||||||||||
expiration date 4/30/21 | 171 | 0.03 | 24,651 | 2,531,894 | ||||||||||||
Wheat | ||||||||||||||||
expiration date 12/14/20 | 59 | 0.18 | 158,538 | 1,705,100 | ||||||||||||
expiration date 3/12/21 | 58 | 0.22 | 187,862 | 1,692,875 | ||||||||||||
expiration date 5/14/21 | 58 | 0.20 | 176,087 | 1,700,125 | ||||||||||||
WTI Crude Oil | ||||||||||||||||
expiration date 11/20/20 | 25 | 0.04 | 35,360 | 1,011,750 | ||||||||||||
expiration date 12/21/20 | 25 | 0.03 | 28,950 | 1,019,750 | ||||||||||||
expiration date 1/20/21 | 25 | (0.04 | ) | (37,210 | ) | 1,028,250 | ||||||||||
expiration date 2/22/21 | 25 | (0.04 | ) | (39,050 | ) | 1,036,750 | ||||||||||
expiration date 3/22/21 | 25 | (0.04 | ) | (33,590 | ) | 1,044,500 | ||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded) | 3.43 | % | $ | 2,976,824 | $ | 86,758,029 | ||||||||||
* | 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 |
notesnfinancial statementsf
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 | |||||||||||||
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Total U.S. Treasury Obligations (Cost: $115,820,868) |
| 90.61 | % | $ | 115,831,172 | $ | 116,000,000 | |||||||||
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Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Futures Contracts Long Exposure (Exchange-Traded) | ||||||||||||||||
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 |
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 |
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Platinum | ||||||||||||||||
expiration date 4/28/20 | 77 | 0.19 | % | $ | 244,550 | $ | 3,764,530 | |||||||||
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 | |||||||||
|
|
|
|
|
|
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 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 $9,979,447 as of December 31, 2019. |
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Income: | ||||||||||||||||
Interest income | $ | 16,061 | $ | 627,458 | $ | 472,227 | $ | 2,247,668 | ||||||||
Expenses: | ||||||||||||||||
Management fee to related party (Note 8) | 171,810 | 258,682 | 549,307 | 878,864 | ||||||||||||
Total expenses | 171,810 | 258,682 | 549,307 | 878,864 | ||||||||||||
Expense waivers (Note 8) | (20,213 | ) | (30,433 | ) | (64,624 | ) | (103,396 | ) | ||||||||
Net expenses | 151,597 | 228,249 | 484,683 | 775,468 | ||||||||||||
Net investment income (loss) | (135,536 | ) | 399,209 | (12,456 | ) | 1,472,200 | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | ||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||
Investments | 0 | 1,984 | 14,440 | 1,266 | ||||||||||||
Futures Contracts* | 5,568,098 | (3,693,718 | ) | (8,398,521 | ) | (8,312,203 | ) | |||||||||
Net Realized Gain (Loss) | 5,568,098 | (3,691,734 | ) | (8,384,081 | ) | (8,310,937 | ) | |||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from: | ||||||||||||||||
Investments | (18 | ) | 333 | (10,537 | ) | 13,262 | ||||||||||
Futures Contracts | 2,322,850 | 901,844 | (3,185,331 | ) | 8,052,294 | |||||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation | 2,322,832 | 902,177 | (3,195,868 | ) | 8,065,556 | |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | 7,890,930 | (2,789,557 | ) | (11,579,949 | ) | (245,381 | ) | |||||||||
Net Gain (Loss) | $ | 7,755,394 | $ | (2,390,348 | ) | $ | (11,592,405 | ) | $ | 1,226,819 | ||||||
* Includes brokerage commissions of: | $ | 24,585 | $ | 34,938 | $ | 85,615 | $ | 117,193 | ||||||||
Unaudited Consolidated Statements of Income and Expenses
For the Three Months Ended March 31, 2020 and 2019
2020 | 2019 | |||||||
Income: |
| |||||||
Interest income | $ | 384,321 | $ | 876,181 | ||||
Expenses: |
| |||||||
Management fee to related party (Note 8) | 224,147 | 333,761 | ||||||
|
|
|
| |||||
Total expenses | 224,147 | 333,761 | ||||||
|
|
|
| |||||
Expense waivers (Note 8) | (26,370 | ) | (39,266 | ) | ||||
|
|
|
| |||||
Net expenses | 197,777 | 294,495 | ||||||
|
|
|
| |||||
Net investment income | 186,544 | 581,686 | ||||||
|
|
|
| |||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: |
| |||||||
Net Realized Gain (Loss) from: |
| |||||||
Investments | 14,440 | (762 | ) | |||||
Futures Contracts* | (3,793,037 | ) | (2,588,865 | ) | ||||
|
|
|
| |||||
Net Realized Loss | (3,778,597 | ) | (2,589,627 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from: |
| |||||||
Investments | 50,422 | (1,341 | ) | |||||
Futures Contracts | (19,745,234 | ) | 7,192,369 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation | (19,694,812 | ) | 7,191,028 | |||||
|
|
|
| |||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | (23,473,409 | ) | 4,601,401 | |||||
|
|
|
| |||||
Net Gain (Loss) | $ | (23,286,865 | ) | $ | 5,183,087 | |||
|
|
|
| |||||
* Includes brokerage commissions of: | $ | 30,287 | $ | 38,944 | ||||
|
|
|
|
See accompanying notes to unaudited consolidated financial statements
WisdomTree Continuous Commodity Index Fund
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 | — | — | — | — | (1,750,000 | ) | (29,672,866 | ) | — | (29,672,866 | ) | (29,672,866 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 3 | 3 | — | — | 186,541 | 186,541 | 186,544 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (40 | ) | (40 | ) | — | — | (3,778,557 | ) | (3,778,557 | ) | (3,778,597 | ) | ||||||||||||||||||||||
Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | (162 | ) | (162 | ) | — | — | (19,694,650 | ) | (19,694,650 | ) | (19,694,812 | ) | ||||||||||||||||||||||
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|
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|
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|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Loss | — | — | (199 | ) | (199 | ) | — | — | (23,286,666 | ) | (23,286,666 | ) | (23,286,865 | ) | ||||||||||||||||||||||
|
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| |||||||||||||||||||
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 | ||||||||||||||||||
|
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|
|
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|
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|
|
|
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|
|
|
|
|
|
|
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 June 30, 2020 | 50 | $ | 1,500 | $ | (717 | ) | $ | 783 | 4,450,000 | $ | 223,507,060 | $ | (153,858,424 | ) | $ | 69,648,636 | $ | 69,649,419 | ||||||||||||||||||
Creation of Units | — | — | — | — | 800,000 | 13,631,902 | — | 13,631,902 | 13,631,902 | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (250,000 | ) | (4,216,525 | ) | — | (4,216,525 | ) | (4,216,525 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Loss | — | — | (1 | ) | (1 | ) | — | — | (135,535 | ) | (135,535 | ) | (135,536 | ) | ||||||||||||||||||||||
Net Realized Gain from Investments and Futures Contracts | — | — | 59 | 59 | — | — | 5,568,039 | 5,568,039 | 5,568,098 | |||||||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 27 | 27 | — | — | 2,322,805 | 2,322,805 | 2,322,832 | |||||||||||||||||||||||||||
Net Gain | — | — | 85 | 85 | — | — | 7,755,309 | 7,755,309 | 7,755,394 | |||||||||||||||||||||||||||
Balance at September 30, 2020 | 50 | $ | 1,500 | $ | (632 | ) | $ | 868 | 5,000,000 | $ | 232,922,437 | $ | (146,103,115 | ) | $ | 86,819,322 | $ | 86,820,190 | ||||||||||||||||||
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 | — | — | — | — | 800,000 | 13,631,902 | — | 13,631,902 | 13,631,902 | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (2,600,000 | ) | (43,055,150 | ) | — | (43,055,150 | ) | (43,055,150 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income ( Loss ) | — | — | 2 | 2 | — | — | (12,458 | ) | (12,458 | ) | (12,456 | ) | ||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (84 | ) | (84 | ) | — | — | (8,383,997 | ) | (8,383,997 | ) | (8,384,081 | ) | ||||||||||||||||||||||
Net Increase ( Decrease ) in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 10 | 10 | — | — | (3,195,878 | ) | (3,195,878 | ) | (3,195,868 | ) | ||||||||||||||||||||||||
Net Loss | — | — | (72 | ) | (72 | ) | — | — | (11,592,333 | ) | (11,592,333 | ) | (11,592,405 | ) | ||||||||||||||||||||||
Balance at September 30, 2020 | 50 | $ | 1,500 | $ | (632 | ) | $ | 868 | 5,000,000 | $ | 232,922,437 | $ | (146,103,115 | ) | $ | 86,819,322 | $ | 86,820,190 | ||||||||||||||||||
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 | — | — | — | — | (1,500,000 | ) | (27,140,105 | ) | — | (27,140,105 | ) | (27,140,105 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 3 | 3 | — | — | 581,683 | 581,683 | 581,686 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (16 | ) | (16 | ) | — | — | (2,589,611 | ) | (2,589,611 | ) | (2,589,627 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 40 | 40 | — | — | 7,190,988 | 7,190,988 | 7,191,028 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net Gain | — | — | 27 | 27 | — | — | 5,183,060 | 5,183,060 | 5,183,087 | |||||||||||||||||||||||||||
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| |||||||||||||||||||
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 | ||||||||||||||||||
|
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|
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|
|
|
|
|
|
|
|
|
|
|
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 June 30, 2019 | 50 | $ | 1,500 | $ | (608 | ) | $ | 892 | 7,250,000 | $ | 269,869,499 | $ | (140,475,208 | ) | $ | 129,394,291 | $ | 129,395,183 | ||||||||||||||||||
Creation of Units | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (750,000 | ) | (12,894,574 | ) | — | (12,894,574 | ) | (12,894,574 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 3 | 3 | — | — | 399,206 | 399,206 | 399,209 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (26 | ) | (26 | ) | — | — | (3,691,708 | ) | (3,691,708 | ) | (3,691,734 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 9 | 9 | — | — | 902,168 | 902,168 | 902,177 | |||||||||||||||||||||||||||
Net Loss | — | — | (14 | ) | (14 | ) | — | — | (2,390,334 | ) | (2,390,334 | ) | (2,390,348 | ) | ||||||||||||||||||||||
Balance at September 30, 2019 | 50 | $ | 1,500 | $ | (622 | ) | $ | 878 | 6,500,000 | $ | 256,974,925 | $ | (142,865,542 | ) | $ | 114,109,383 | $ | 114,110,261 | ||||||||||||||||||
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 | — | — | — | — | (2,950,000 | ) | (52,481,381 | ) | — | (52,481,381 | ) | (52,481,381 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 9 | 9 | — | — | 1,472,191 | 1,472,191 | 1,472,200 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (57 | ) | (57 | ) | — | — | (8,310,880 | ) | (8,310,880 | ) | (8,310,937 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 51 | 51 | — | — | 8,065,505 | 8,065,505 | 8,065,556 | |||||||||||||||||||||||||||
Net Gain | — | — | 3 | 3 | — | — | 1,226,816 | 1,226,816 | 1,226,819 | |||||||||||||||||||||||||||
Balance at September 30, 2019 | 50 | $ | 1,500 | $ | (622 | ) | $ | 878 | 6,500,000 | $ | 256,974,925 | $ | (142,865,542 | ) | $ | 114,109,383 | $ | 114,110,261 | ||||||||||||||||||
2020 | 2019 | |||||||
Cash flows from operating activities |
| |||||||
Net Gain (Loss) | $ | (23,286,865 | ) | $ | 5,183,087 | |||
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities: | ||||||||
Purchases of investment securities | (85,678,490 | ) | (167,148,710 | ) | ||||
Proceeds from sales/maturities of investment securities | 136,953,522 | 171,965,594 | ||||||
Net accretion of discount | (377,201 | ) | (859,883 | ) | ||||
Net realized gain (loss) on investment securities | (14,440 | ) | 762 | |||||
Net change in unrealized appreciation/depreciation from investments | (50,422 | ) | 1,341 | |||||
Net change in unrealized appreciation/depreciation from futures contracts | 19,745,234 | (7,192,369 | ) | |||||
Changes in assets and liabilities | ||||||||
Increase/(Decrease) in liabilities: | ||||||||
Net management fee payable to related party | (25,549 | ) | 1,666 | |||||
|
|
|
| |||||
Net cash provided by operating activities | 47,265,789 | 1,951,488 | ||||||
|
|
|
| |||||
Cash flows from financing activities |
| |||||||
Proceeds from creation of Limited Units | — | 19,258,643 | ||||||
Redemption of Limited Units | (29,672,866 | ) | (27,140,105 | ) | ||||
|
|
|
| |||||
Net cash used for financing activities | (29,672,866 | ) | (7,881,462 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in cash | 17,592,923 | (5,929,974 | ) | |||||
Cash* at beginning of period | 5,922,177 | 10,193,423 | ||||||
|
|
|
| |||||
Cash* at end of period | $ | 23,515,100 | $ | 4,263,449 | ||||
|
|
|
|
2020 | 2019 | |||||||
Cash flows from operating activities | ||||||||
Net Gain (Loss) | $ | (11,592,405 | ) | $ | 1,226,819 | |||
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities: | ||||||||
Purchases of investment securities | (240,644,674 | ) | (410,423,066 | ) | ||||
Proceeds from sales/maturities of investment securities | 284,953,521 | 446,912,018 | ||||||
Net accretion of discount | (466,988 | ) | (2,204,488 | ) | ||||
Net realized gain on investment securities | (14,440 | ) | (1,266 | ) | ||||
Net change in unrealized appreciation/depreciation from investments | 10,537 | (13,262 | ) | |||||
Net change in unrealized appreciation/depreciation from futures contracts | 3,185,331 | (8,052,294 | ) | |||||
Changes in assets and liabilities | ||||||||
Decrease in liabilities: | ||||||||
Net management fee payable to related party | (25,544 | ) | (24,483 | ) | ||||
Net cash provided by operating activities | 35,405,338 | 27,419,978 | ||||||
Cash flows from financing activities | ||||||||
Proceeds from creation of Limited Units | 13,631,902 | 19,258,643 | ||||||
Redemption of Limited Units | (43,055,150 | ) | (52,481,381 | ) | ||||
Net cash used for financing activities | (29,423,248 | ) | (33,222,738 | ) | ||||
Net increase (decrease) in cash | 5,982,090 | (5,802,760 | ) | |||||
Cash* at beginning of period | 5,922,177 | 10,193,423 | ||||||
Cash* at end of period | $ | 11,904,267 | $ | 4,390,663 | ||||
* | Includes cash held by the broker for futures contracts. |
March 31,
March 31, 2020 (unaudited) | December 31, 2019 | |||||||
Assets: |
| |||||||
Cash | $ | 4,592,044 | $ | 1,730,680 | ||||
Cash held by broker for futures contracts (Note 3) | 18,923,056 | 4,191,497 | ||||||
Short-term investments (cost $64,937,477 and $115,820,868 as of March 31, 2020 and December 31, 2019, respectively) | 64,998,203 | 115,831,172 | ||||||
Net unrealized appreciation on futures contracts | — | 6,162,155 | ||||||
|
|
|
| |||||
Total Assets | 88,513,303 | 127,915,504 | ||||||
|
|
|
| |||||
Liabilities and shareholders’ equity: |
| |||||||
Net unrealized depreciation on futures contracts | 13,583,079 | — | ||||||
Net management fee payable to related party (Note 8) | 54,112 | 79,661 | ||||||
|
|
|
| |||||
Total Liabilities | 13,637,191 | 79,661 | ||||||
|
|
|
| |||||
Shareholders’ equity: |
| |||||||
General Units: |
| |||||||
Paid in capital—50 units issued and outstanding (unlimited authorized) | 1,500 | 1,500 | ||||||
Accumulated deficit | (759 | ) | (560 | ) | ||||
|
|
|
| |||||
Total General Units | 741 | 940 | ||||||
|
|
|
| |||||
Limited Units: |
| |||||||
Paid in capital—5,050,000 and 6,800,000 redeemable shares issued and outstanding (unlimited authorized) as of March 31, 2020 and December 31, 2019, respectively | 232,672,819 | 262,345,685 | ||||||
Accumulated deficit | (157,797,448 | ) | (134,510,782 | ) | ||||
|
|
|
| |||||
Total Limited Units | 74,875,371 | 127,834,903 | ||||||
|
|
|
| |||||
Total shareholders’ equity | 74,876,112 | 127,835,843 | ||||||
|
|
|
| |||||
Total liabilities and shareholders’ equity | $ | 88,513,303 | $ | 127,915,504 | ||||
|
|
|
| |||||
Net asset value per share |
| |||||||
General Units | $ | 14.83 | $ | 18.80 | ||||
|
|
|
| |||||
Limited Units | $ | 14.83 | $ | 18.80 | ||||
|
|
|
|
September 30, 2020 (unaudited) | December 31, 2019 | |||||||
Assets: | ||||||||
Cash | $ | 5,583,344 | $ | 1,730,680 | ||||
Cash held by broker for futures contracts (Note 3) | 6,320,923 | 4,191,497 | ||||||
Short-term investments (cost $71,993,449 and $115,820,868 as of September 30, 2020 and December 31, 2019, respectively) | 71,993,216 | 115,831,172 | ||||||
Net unrealized appreciation on futures contracts | 2,976,824 | 6,162,155 | ||||||
Total Assets | 86,874,307 | 127,915,504 | ||||||
Liabilities and shareholders’ equity: | ||||||||
Net management fee payable to related party (Note 8) | 54,117 | 79,661 | ||||||
Total Liabilities | 54,117 | 79,661 | ||||||
Shareholders’ equity: | ||||||||
General Units: | ||||||||
Paid in capital - 50 units issued and outstanding (unlimited authorized) | 1,500 | 1,500 | ||||||
Accumulated deficit | (632 | ) | (560 | ) | ||||
Total General Units | 868 | 940 | ||||||
Limited Units: | ||||||||
Paid in capital - 5,000,000 and 6,800,000 redeemable shares issued and outstanding (unlimited authorized) as of September 30, 2020 and December 31, 2019, respectively | 232,922,437 | 262,345,685 | ||||||
Accumulated deficit | (146,103,115 | ) | (134,510,782 | ) | ||||
Total Limited Units | 86,819,322 | 127,834,903 | ||||||
Total shareholders’ equity | 86,820,190 | 127,835,843 | ||||||
Total liabilities and shareholders’ equity | $ | 86,874,307 | $ | 127,915,504 | ||||
Net asset value per share | ||||||||
General Units | $ | 17.36 | $ | 18.80 | ||||
Limited Units | $ | 17.36 | $ | 18.80 | ||||
March 31,
Description | Percentage of Net Assets | Fair Value | Face Amount | |||||||||||||
U.S. Treasury Obligations | ||||||||||||||||
U.S. Treasury Bills | ||||||||||||||||
1.54%, 4/2/20* | 32.05 | % | $ | 24,000,007 | $ | 24,000,000 | ||||||||||
1.53%, 4/23/20* | 28.05 | 20,999,724 | 21,000,000 | |||||||||||||
1.56%, 5/21/20*(a) | 26.71 | 19,998,472 | 20,000,000 | |||||||||||||
|
|
|
|
|
| |||||||||||
Total U.S. Treasury Obligations (Cost: $64,937,477) | 86.81 | % | $ | 64,998,203 | $ | 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 5/13/20 | 65 | (0.25 | )% | $ | (186,090 | ) | $ | 1,461,850 | ||||||||
expiration date 7/16/20 | 65 | (0.24 | ) | (179,290 | ) | 1,468,350 | ||||||||||
expiration date 9/15/20 | 64 | (0.46 | ) | (342,330 | ) | 1,450,880 | ||||||||||
Coffee “C” | ||||||||||||||||
expiration date 5/18/20 | 33 | 0.05 | 35,269 | 1,479,431 | ||||||||||||
expiration date 7/21/20 | 32 | 0.01 | 9,019 | 1,444,200 | ||||||||||||
expiration date 9/18/20 | 32 | 0.14 | 106,575 | 1,452,600 | ||||||||||||
Copper | ||||||||||||||||
expiration date 5/27/20 | 27 | (0.28 | ) | (208,912 | ) | 1,503,900 | ||||||||||
expiration date 7/29/20 | 26 | (0.38 | ) | (284,063 | ) | 1,451,775 | ||||||||||
expiration date 9/28/20 | 26 | (0.29 | ) | (213,838 | ) | 1,454,375 | ||||||||||
Corn | ||||||||||||||||
expiration date 5/14/20 | 85 | (0.32 | ) | (238,213 | ) | 1,448,188 | ||||||||||
expiration date 7/14/20 | 85 | (0.27 | ) | (200,750 | ) | 1,470,500 | ||||||||||
expiration date 9/14/20 | 85 | (0.20 | ) | (148,737 | ) | 1,486,437 | ||||||||||
Cotton No. 2 | ||||||||||||||||
expiration date 5/6/20 | 87 | (0.76 | ) | (569,530 | ) | 2,224,155 | ||||||||||
expiration date 7/9/20 | 86 | (0.91 | ) | (685,035 | ) | 2,188,700 | ||||||||||
Gold 100 Ounce | ||||||||||||||||
expiration date 6/26/20 | 14 | 0.10 | 78,100 | 2,235,240 | ||||||||||||
expiration date 8/27/20 | 13 | 0.03 | 20,860 | 2,075,580 | ||||||||||||
Lean Hogs | ||||||||||||||||
expiration date 4/15/20 | 37 | (0.44 | ) | (332,120 | ) | 772,560 | ||||||||||
expiration date 6/12/20 | 37 | (0.37 | ) | (279,450 | ) | 892,810 | ||||||||||
expiration date 7/15/20 | 37 | (0.39 | ) | (295,150 | ) | 957,930 | ||||||||||
expiration date 8/14/20 | 36 | (0.31 | ) | (233,600 | ) | 941,760 | ||||||||||
expiration date 10/14/20 | 37 | (0.22 | ) | (161,580 | ) | 842,120 | ||||||||||
Live Cattle | ||||||||||||||||
expiration date 6/30/20 | 39 | (0.48 | ) | (356,210 | ) | 1,436,370 | ||||||||||
expiration date 8/31/20 | 39 | (0.44 | ) | (329,120 | ) | 1,460,160 | ||||||||||
expiration date 10/30/20 | 39 | (0.27 | ) | (204,580 | ) | 1,512,420 | ||||||||||
Natural Gas | ||||||||||||||||
expiration date 4/28/20 | 47 | (0.31 | ) | (231,490 | ) | 770,800 | ||||||||||
expiration date 5/27/20 | 47 | (0.28 | ) | (211,950 | ) | 825,320 | ||||||||||
expiration date 6/26/20 | 47 | (0.21 | ) | (153,830 | ) | 898,640 | ||||||||||
expiration date 7/29/20 | 48 | (0.06 | ) | (46,070 | ) | 949,440 | ||||||||||
expiration date 8/27/20 | 48 | (0.05 | ) | (37,840 | ) | 962,880 | ||||||||||
NY Harbor ULSD | ||||||||||||||||
expiration date 4/30/20 | 20 | (0.71 | ) | (535,319 | ) | 841,260 | ||||||||||
expiration date 5/29/20 | 20 | (0.66 | ) | (491,564 | ) | 854,784 | ||||||||||
expiration date 6/30/20 | 20 | (0.71 | ) | (527,944 | ) | 874,860 | ||||||||||
expiration date 7/31/20 | 20 | (0.49 | ) | (365,589 | ) | 902,076 | ||||||||||
expiration date 8/31/20 | 20 | (0.52 | ) | (391,587 | ) | 930,804 | ||||||||||
Platinum | ||||||||||||||||
expiration date 7/29/20 | 61 | (0.42 | ) | (317,190 | ) | 2,226,195 | ||||||||||
expiration date 10/28/20 | 60 | (0.56 | ) | (419,250 | ) | 2,192,400 |
Description | Percentage of Net Assets | Fair Value | Face Amount | |||||||||||||
U.S. Treasury Obligations | ||||||||||||||||
U.S. Treasury Bills | ||||||||||||||||
0.12%, 10/8/20*(a) | 16.13 | % | $ | 13,999,854 | $ | 14,000,000 | ||||||||||
0.06%, 10/29/20* | 20.73 | 17,998,845 | 18,000,000 | |||||||||||||
0.09%, 11/19/20* | 23.03 | 19,997,822 | 20,000,000 | |||||||||||||
0.11%, 12/10/20* | 23.03 | 19,996,695 | 20,000,000 | |||||||||||||
Total U.S. Treasury Obligations (Cost: $71,993,449) | 82.92 | % | $ | 71,993,216 | $ | 72,000,000 | ||||||||||
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Futures Contracts Long Exposure (Exchange-Traded) | ||||||||||||||||
Cocoa | ||||||||||||||||
expiration date 12/15/20 | 68 | 0.16 | % | $ | 141,930 | $ | 1,731,280 | |||||||||
expiration date 3/16/21 | 67 | 0.05 | 39,010 | 1,693,090 | ||||||||||||
expiration date 5/13/21 | 67 | 0.05 | 39,880 | 1,687,730 | ||||||||||||
Coffee “C” | ||||||||||||||||
expiration date 12/18/20 | 40 | (0.01 | ) | (7,969 | ) | 1,664,250 | ||||||||||
expiration date 3/19/21 | 40 | (0.11 | ) | (96,431 | ) | 1,690,500 | ||||||||||
expiration date 5/18/21 | 41 | (0.11 | ) | (91,987 | ) | 1,754,288 | ||||||||||
Copper | ||||||||||||||||
expiration date 12/29/20 | 23 | 0.16 | 141,338 | 1,743,688 | ||||||||||||
expiration date 3/29/21 | 22 | 0.08 | 68,800 | 1,671,450 | ||||||||||||
expiration date 5/26/21 | 22 | 0.08 | 67,763 | 1,673,375 | ||||||||||||
Corn | ||||||||||||||||
expiration date 12/14/20 | 88 | 0.20 | 173,563 | 1,667,600 | ||||||||||||
expiration date 3/12/21 | 88 | 0.22 | 187,037 | 1,708,300 | ||||||||||||
expiration date 5/14/21 | 88 | 0.20 | 175,775 | 1,731,400 | ||||||||||||
Cotton No. 2 | ||||||||||||||||
expiration date 12/8/20 | 51 | 0.17 | 149,195 | 1,677,645 | ||||||||||||
expiration date 3/9/21 | 51 | 0.14 | 120,655 | 1,696,770 | ||||||||||||
expiration date 5/6/21 | 51 | 0.07 | 64,785 | 1,715,385 | ||||||||||||
Gold 100 Ounce | ||||||||||||||||
expiration date 12/29/20 | 9 | 0.07 | 58,090 | 1,705,950 | ||||||||||||
expiration date 2/24/21 | 9 | 0.09 | 74,930 | 1,712,340 | ||||||||||||
expiration date 4/28/21 | 9 | (0.07 | ) | (57,790 | ) | 1,717,020 | ||||||||||
Lean Hogs | ||||||||||||||||
expiration date 12/14/20 | 63 | 0.26 | 226,220 | 1,590,120 | ||||||||||||
expiration date 2/12/21 | 63 | 0.21 | 177,760 | 1,713,600 | ||||||||||||
expiration date 4/15/21 | 62 | 0.15 | 129,610 | 1,786,220 | ||||||||||||
Live Cattle | ||||||||||||||||
expiration date 12/31/20 | 37 | 0.14 | 117,150 | 1,662,780 | ||||||||||||
expiration date 2/26/21 | 37 | 0.12 | 102,050 | 1,714,950 | ||||||||||||
expiration date 4/30/21 | 36 | 0.01 | 6,120 | 1,695,960 | ||||||||||||
Natural Gas | ||||||||||||||||
expiration date 11/25/20 | 33 | 0.07 | 62,260 | 1,028,610 | ||||||||||||
expiration date 12/29/20 | 33 | 0.08 | 71,280 | 1,078,110 | ||||||||||||
expiration date 1/27/21 | 33 | 0.04 | 38,760 | 1,062,930 | ||||||||||||
expiration date 2/24/21 | 33 | 0.05 | 40,490 | 1,022,670 | ||||||||||||
expiration date 3/29/21 | 32 | 0.04 | 30,970 | 894,080 | ||||||||||||
NY Harbor ULSD | ||||||||||||||||
expiration date 11/30/20 | 21 | (0.07 | ) | (57,658 | ) | 1,027,971 | ||||||||||
expiration date 12/31/20 | 21 | (0.06 | ) | (55,948 | ) | 1,041,554 | ||||||||||
expiration date 1/29/21 | 20 | (0.10 | ) | (86,453 | ) | 1,003,800 | ||||||||||
expiration date 2/26/21 | 20 | (0.10 | ) | (89,477 | ) | 1,013,040 | ||||||||||
expiration date 3/31/21 | 20 | (0.11 | ) | (99,128 | ) | 1,017,744 | ||||||||||
Platinum | ||||||||||||||||
expiration date 1/27/21 | 56 | (0.08 | ) | (68,185 | ) | 2,545,760 | ||||||||||
expiration date 4/28/21 | 56 | (0.16 | ) | (135,015 | ) | 2,564,240 |
March 31,
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Silver | ||||||||||||||||
expiration date 5/27/20 | 21 | (0.27 | )% | $ | (202,145 | ) | $ | 1,486,380 | ||||||||
expiration date 7/29/20 | 21 | (0.27 | ) | (205,295 | ) | 1,490,055 | ||||||||||
expiration date 9/28/20 | 20 | (0.37 | ) | (277,720 | ) | 1,423,200 | ||||||||||
Soybean | ||||||||||||||||
expiration date 5/14/20 | 33 | (0.06 | ) | (48,475 | ) | 1,461,900 | ||||||||||
expiration date 7/14/20 | 33 | (0.10 | ) | (75,700 | ) | 1,467,675 | ||||||||||
expiration date 8/14/20 | 33 | (0.13 | ) | (97,150 | ) | 1,466,437 | ||||||||||
Soybean Oil | ||||||||||||||||
expiration date 5/14/20 | 54 | (0.20 | ) | (149,976 | ) | 875,124 | ||||||||||
expiration date 7/14/20 | 54 | (0.20 | ) | (147,894 | ) | 886,464 | ||||||||||
expiration date 8/14/20 | 53 | (0.28 | ) | (208,452 | ) | 874,818 | ||||||||||
expiration date 9/14/20 | 53 | (0.16 | ) | (121,260 | ) | 879,588 | ||||||||||
expiration date 10/14/20 | 53 | (0.16 | ) | (120,762 | ) | 884,358 | ||||||||||
Sugar No. 11 | ||||||||||||||||
expiration date 4/30/20 | 124 | (0.41 | ) | (306,107 | ) | 1,447,130 | ||||||||||
expiration date 6/30/20 | 123 | (0.42 | ) | (312,133 | ) | 1,446,480 | ||||||||||
expiration date 9/30/20 | 123 | (0.64 | ) | (479,450 | ) | 1,482,298 | ||||||||||
Wheat | ||||||||||||||||
expiration date 5/14/20 | 52 | 0.16 | 121,800 | 1,478,750 | ||||||||||||
expiration date 7/14/20 | 52 | 0.11 | 81,388 | 1,462,500 | ||||||||||||
expiration date 9/14/20 | 52 | 0.06 | 42,300 | 1,469,650 | ||||||||||||
WTI Crude Oil | ||||||||||||||||
expiration date 4/21/20 | 33 | (0.83 | ) | (622,470 | ) | 675,840 | ||||||||||
expiration date 5/19/20 | 33 | (0.64 | ) | (477,790 | ) | 808,830 | ||||||||||
expiration date 6/22/20 | 33 | (0.53 | ) | (397,080 | ) | 913,770 | ||||||||||
expiration date 7/21/20 | 33 | (0.46 | ) | (344,500 | ) | 983,070 | ||||||||||
expiration date 8/20/20 | 33 | (0.41 | ) | (305,810 | ) | 1,026,960 | ||||||||||
|
|
|
|
|
| |||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded) | (18.14 | )% | $ | (13,583,079 | ) | $ | 74,733,027 | |||||||||
|
|
|
|
|
|
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Silver | ||||||||||||||||
expiration date 12/29/20 | 15 | 0.13 | % | $ | 116,295 | $ | 1,762,050 | |||||||||
expiration date 3/29/21 | 14 | (0.28 | ) | (239,070 | ) | 1,653,890 | ||||||||||
expiration date 5/26/21 | 14 | (0.22 | ) | (189,705 | ) | 1,660,680 | ||||||||||
Soybean | ||||||||||||||||
expiration date 1/14/21 | 34 | 0.26 | 224,962 | 1,746,325 | ||||||||||||
expiration date 3/12/21 | 33 | 0.22 | 191,075 | 1,684,650 | ||||||||||||
expiration date 5/14/21 | 33 | 0.21 | 184,575 | 1,680,525 | ||||||||||||
Soybean Oil | ||||||||||||||||
expiration date 12/14/20 | 64 | 0.16 | 139,758 | 1,272,192 | ||||||||||||
expiration date 1/14/21 | 64 | 0.14 | 123,570 | 1,274,496 | ||||||||||||
expiration date 3/12/21 | 64 | 0.07 | 64,332 | 1,277,568 | ||||||||||||
expiration date 5/14/21 | 64 | 0.08 | 66,012 | 1,281,024 | ||||||||||||
Sugar No. 11 | ||||||||||||||||
expiration date 2/26/21 | 171 | 0.15 | 134,042 | 2,587,435 | ||||||||||||
expiration date 4/30/21 | 171 | 0.03 | 24,651 | 2,531,894 | ||||||||||||
Wheat | ||||||||||||||||
expiration date 12/14/20 | 59 | 0.18 | 158,538 | 1,705,100 | ||||||||||||
expiration date 3/12/21 | 58 | 0.22 | 187,862 | 1,692,875 | ||||||||||||
expiration date 5/14/21 | 58 | 0.20 | 176,087 | 1,700,125 | ||||||||||||
WTI Crude Oil | ||||||||||||||||
expiration date 11/20/20 | 25 | 0.04 | 35,360 | 1,011,750 | ||||||||||||
expiration date 12/21/20 | 25 | 0.03 | 28,950 | 1,019,750 | ||||||||||||
expiration date 1/20/21 | 25 | (0.04 | ) | (37,210 | ) | 1,028,250 | ||||||||||
expiration date 2/22/21 | 25 | (0.04 | ) | (39,050 | ) | 1,036,750 | ||||||||||
expiration date 3/22/21 | 25 | (0.04 | ) | (33,590 | ) | 1,044,500 | ||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded) | 3.43 | % | $ | 2,976,824 | $ | 86,758,029 | ||||||||||
* | 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 |
| |||||||||||||||
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 | ||||||||||||
expiration date 7/29/20 | 76 | 0.21 | 270,210 | 3,737,680 |
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 |
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
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 | |||||||||
|
|
|
|
|
|
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 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 $9,979,447 as of December 31, 2019. |
notesnfinancial statementsf
2020 | 2019 | |||||||
Income: |
| |||||||
Interest income | $ | 384,321 | $ | 876,181 | ||||
Expenses: |
| |||||||
Management fee to related party (Note 8) | 224,147 | 333,761 | ||||||
|
|
|
| |||||
Total expenses | 224,147 | 333,761 | ||||||
|
|
|
| |||||
Expense waivers (Note 8) | (26,370 | ) | (39,266 | ) | ||||
|
|
|
| |||||
Net expenses | 197,777 | 294,495 | ||||||
|
|
|
| |||||
Net investment income | 186,544 | 581,686 | ||||||
|
|
|
| |||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: |
| |||||||
Net Realized Gain (Loss) from: |
| |||||||
Investments | 14,440 | (762 | ) | |||||
Futures Contracts* | (3,793,037 | ) | (2,588,865 | ) | ||||
|
|
|
| |||||
Net Realized Loss | (3,778,597 | ) | (2,589,627 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from: |
| |||||||
Investments | 50,422 | (1,341 | ) | |||||
Futures Contracts | (19,745,234 | ) | 7,192,369 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation | (19,694,812 | ) | 7,191,028 | |||||
|
|
|
| |||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | (23,473,409 | ) | 4,601,401 | |||||
|
|
|
| |||||
Net Gain (Loss) | $ | (23,286,865 | ) | $ | 5,183,087 | |||
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|
| |||||
* Includes brokerage commissions of: | $ | 30,287 | $ | 38,944 | ||||
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|
|
|
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Income: | ||||||||||||||||
Interest income | $ | 16,061 | $ | 627,458 | $ | 472,227 | $ | 2,247,668 | ||||||||
Expenses: | ||||||||||||||||
Management fee to related party (Note 8) | 171,810 | 258,682 | 549,307 | 878,864 | ||||||||||||
Total expenses | 171,810 | 258,682 | 549,307 | 878,864 | ||||||||||||
Expense waivers (Note 8) | (20,213 | ) | (30,433 | ) | (64,624 | ) | (103,396 | ) | ||||||||
Net expenses | 151,597 | 228,249 | 484,683 | 775,468 | ||||||||||||
Net investment income (loss) | (135,536 | ) | 399,209 | (12,456 | ) | 1,472,200 | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | ||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||
Investments | — | 1,984 | 14,440 | 1,266 | ||||||||||||
Futures Contracts* | 5,568,098 | (3,693,718 | ) | (8,398,521 | ) | (8,312,203 | ) | |||||||||
Net Realized Gain (Loss) | 5,568,098 | (3,691,734 | ) | (8,384,081 | ) | (8,310,937 | ) | |||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from: | ||||||||||||||||
Investments | (18 | ) | 333 | (10,537 | ) | 13,262 | ||||||||||
Futures Contracts | 2,322,850 | 901,844 | (3,185,331 | ) | 8,052,294 | |||||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation | 2,322,832 | 902,177 | (3,195,868 | ) | 8,065,556 | |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | 7,890,930 | (2,789,557 | ) | (11,579,949 | ) | (245,381 | ) | |||||||||
Net Gain (Loss) | $ | 7,755,394 | $ | (2,390,348 | ) | $ | (11,592,405 | ) | $ | 1,226,819 | ||||||
* Includes brokerage commissions of: | $ | 24,585 | $ | 34,938 | $ | 85,615 | $ | 117,193 | ||||||||
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 | — | — | — | — | (1,750,000 | ) | (29,672,866 | ) | — | (29,672,866 | ) | (29,672,866 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 3 | 3 | — | — | 186,541 | 186,541 | 186,544 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (40 | ) | (40 | ) | — | — | (3,778,557 | ) | (3,778,557 | ) | (3,778,597 | ) | ||||||||||||||||||||||
Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | (162 | ) | (162 | ) | — | — | (19,694,650 | ) | (19,694,650 | ) | (19,694,812 | ) | ||||||||||||||||||||||
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|
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| |||||||||||||||||||
Net Loss | — | — | (199 | ) | (199 | ) | — | — | (23,286,666 | ) | (23,286,666 | ) | (23,286,865 | ) | ||||||||||||||||||||||
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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 | ||||||||||||||||||
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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 June 30, 2020 | 50 | $ | 1,500 | $ | (717 | ) | $ | 783 | 4,450,000 | $ | 223,507,060 | $ | (153,858,424 | ) | $ | 69,648,636 | $ | 69,649,419 | ||||||||||||||||||
Creation of Units | — | — | — | — | 800,000 | 13,631,902 | — | 13,631,902 | 13,631,902 | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (250,000 | ) | (4,216,525 | ) | — | (4,216,525 | ) | (4,216,525 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Loss | — | — | (1 | ) | (1 | ) | — | — | (135,535 | ) | (135,535 | ) | (135,536 | ) | ||||||||||||||||||||||
Net Realized Gain from Investments and Futures Contracts | — | — | 59 | 59 | — | — | 5,568,039 | 5,568,039 | 5,568,098 | |||||||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 27 | 27 | — | — | 2,322,805 | 2,322,805 | 2,322,832 | |||||||||||||||||||||||||||
Net Gain | — | — | 85 | 85 | — | — | 7,755,309 | 7,755,309 | 7,755,394 | |||||||||||||||||||||||||||
Balance at September 30, 2020 | 50 | $ | 1,500 | $ | (632 | ) | $ | 868 | 5,000,000 | $ | 232,922,437 | $ | (146,103,115 | ) | $ | 86,819,322 | $ | 86,820,190 | ||||||||||||||||||
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 | — | — | — | — | 800,000 | 13,631,902 | — | 13,631,902 | 13,631,902 | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (2,600,000 | ) | (43,055,150 | ) | — | (43,055,150 | ) | (43,055,150 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income (Loss) | — | — | 2 | 2 | — | — | (12,458 | ) | (12,458 | ) | (12,456 | ) | ||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (84 | ) | (84 | ) | — | — | (8,383,997 | ) | (8,383,997 | ) | (8,384,081 | ) | ||||||||||||||||||||||
Net Increase ( Decrease) in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 10 | 10 | — | — | (3,195,878 | ) | (3,195,878 | ) | (3,195,868 | ) | ||||||||||||||||||||||||
Net Loss | — | — | (72 | ) | (72 | ) | — | — | (11,592,333 | ) | (11,592,333 | ) | (11,592,405 | ) | ||||||||||||||||||||||
Balance at September 30, 2020 | 50 | $ | 1,500 | $ | (632 | ) | $ | 868 | 5,000,000 | $ | 232,922,437 | $ | (146,103,115 | ) | $ | 86,819,322 | $ | 86,820,190 | ||||||||||||||||||
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 | — | — | — | — | (1,500,000 | ) | (27,140,105 | ) | — | (27,140,105 | ) | (27,140,105 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 3 | 3 | — | — | 581,683 | 581,683 | 581,686 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (16 | ) | (16 | ) | — | — | (2,589,611 | ) | (2,589,611 | ) | (2,589,627 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 40 | 40 | — | — | 7,190,988 | 7,190,988 | 7,191,028 | |||||||||||||||||||||||||||
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| |||||||||||||||||||
Net Gain | — | — | 27 | 27 | — | — | 5,183,060 | 5,183,060 | 5,183,087 | |||||||||||||||||||||||||||
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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 | ||||||||||||||||||
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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 June 30, 2019 | 50 | $ | 1,500 | $ | (608 | ) | $ | 892 | 7,250,000 | $ | 269,869,499 | $ | (140,475,208 | ) | $ | 129,394,291 | $ | 129,395,183 | ||||||||||||||||||
Creation of Units | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (750,000 | ) | (12,894,574 | ) | — | (12,894,574 | ) | (12,894,574 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 3 | 3 | — | — | 399,206 | 399,206 | 399,209 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (26 | ) | (26 | ) | — | — | (3,691,708 | ) | (3,691,708 | ) | (3,691,734 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 9 | 9 | — | — | 902,168 | 902,168 | 902,177 | |||||||||||||||||||||||||||
Net Loss | — | — | (14 | ) | (14 | ) | — | — | (2,390,334 | ) | (2,390,334 | ) | (2,390,348 | ) | ||||||||||||||||||||||
Balance at September 30, 2019 | 50 | $ | 1,500 | $ | (622 | ) | $ | 878 | 6,500,000 | $ | 256,974,925 | $ | (142,865,542 | ) | $ | 114,109,383 | $ | 114,110,261 | ||||||||||||||||||
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 | — | — | — | — | (2,950,000 | ) | (52,481,381 | ) | — | (52,481,381 | ) | (52,481,381 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 9 | 9 | — | — | 1,472,191 | 1,472,191 | 1,472,200 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (57 | ) | (57 | ) | — | — | (8,310,880 | ) | (8,310,880 | ) | (8,310,937 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 51 | 51 | — | — | 8,065,505 | 8,065,505 | 8,065,556 | |||||||||||||||||||||||||||
Net Gain | — | — | 3 | 3 | — | — | 1,226,816 | 1,226,816 | 1,226,819 | |||||||||||||||||||||||||||
Balance at September 30, 2019 | 50 | $ | 1,500 | $ | (622 | ) | $ | 878 | 6,500,000 | $ | 256,974,925 | $ | (142,865,542 | ) | $ | 114,109,383 | $ | 114,110,261 | ||||||||||||||||||
2020 | 2019 | |||||||
Cash flows from operating activities |
| |||||||
Net Gain (Loss) | $ | (23,286,865 | ) | $ | 5,183,087 | |||
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities: |
| |||||||
Purchases of investment securities | (85,678,490 | ) | (167,148,710 | ) | ||||
Proceeds from sales/maturities of investment securities | 136,953,522 | 171,965,594 | ||||||
Net accretion of discount | (377,201 | ) | (859,883 | ) | ||||
Net realized gain (loss) on investment securities | (14,440 | ) | 762 | |||||
Net change in unrealized appreciation/depreciation from investments | (50,422 | ) | 1,341 | |||||
Net change in unrealized appreciation/depreciation from futures contracts | 19,745,234 | (7,192,369 | ) | |||||
Changes in assets and liabilities |
| |||||||
Increase/(Decrease) in liabilities: |
| |||||||
Net management fee payable to related party | (25,549 | ) | 1,666 | |||||
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|
|
| |||||
Net cash provided by operating activities | 47,265,789 | 1,951,488 | ||||||
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|
| |||||
Cash flows from financing activities |
| |||||||
Proceeds from creation of Limited Units | — | 19,258,643 | ||||||
Redemption of Limited Units | (29,672,866 | ) | (27,140,105 | ) | ||||
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| |||||
Net cash used for financing activities | (29,672,866 | ) | (7,881,462 | ) | ||||
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| |||||
Net increase (decrease) in cash | 17,592,923 | (5,929,974 | ) | |||||
Cash* at beginning of period | 5,922,177 | 10,193,423 | ||||||
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| |||||
Cash* at end of period | $ | 23,515,100 | $ | 4,263,449 | ||||
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|
2020 | 2019 | |||||||
Cash flows from operating activities | ||||||||
Net Gain (Loss) | $ | (11,592,405 | ) | $ | 1,226,819 | |||
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities: | ||||||||
Purchases of investment securities | (240,644,674 | ) | (410,423,066 | ) | ||||
Proceeds from sales/maturities of investment securities | 284,953,521 | 446,912,018 | ||||||
Net accretion of discount | (466,988 | ) | (2,204,488 | ) | ||||
Net realized gain on investment securities | (14,440 | ) | (1,266 | ) | ||||
Net change in unrealized appreciation/depreciation from investments | 10,537 | (13,262 | ) | |||||
Net change in unrealized appreciation/depreciation from futures contracts | 3,185,331 | (8,052,294 | ) | |||||
Changes in assets and liabilities | ||||||||
Decrease in liabilities: | ||||||||
Net management fee payable to related party | (25,544 | ) | (24,483 | ) | ||||
Net cash provided by operating activities | 35,405,338 | 27,419,978 | ||||||
Cash flows from financing activities | ||||||||
Proceeds from creation of Limited Units | 13,631,902 | 19,258,643 | ||||||
Redemption of Limited Units | (43,055,150 | ) | (52,481,381 | ) | ||||
Net cash used for financing activities | (29,423,248 | ) | (33,222,738 | ) | ||||
Net increase (decrease) in cash | 5,982,090 | (5,802,760 | ) | |||||
Cash* at beginning of period | 5,922,177 | 10,193,423 | ||||||
Cash* at end of period | $ | 11,904,267 | $ | 4,390,663 | ||||
* | Includes cash held by the broker for futures contracts. |
March 31,
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 | $ | — | $ | 71,993,216 | $ | — | $ | 71,993,216 | ||||||||
Unrealized appreciation on futures contracts | 2,976,824 | — | — | 2,976,824 | ||||||||||||
Total | $ | 2,976,824 | $ | 71,993,216 | $ | — | $ | 74,970,040 | ||||||||
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 | ||||||||
As of: | Derivative Instruments | Asset Derivatives (i) | Liability Derivatives (ii) | |||||||||
September 30, 2020 | Commodity Futures | $ | 2,976,824 | $ | — | |||||||
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 contracts |
Period | Derivative Instruments | Realized Gain (Loss) on Derivative Instruments (i) | Net Increase (Decrease) in Unrealized Appreciation/Depreciation on Derivative Instruments (ii) | |||||||||
Three months ended September 30, 2020 | Commodity Futures | $ | 5,568,098 | $ | 2,322,850 | |||||||
Three months ended September 30, 2019 | Commodity Futures | (3,693,718 | ) | 901,844 | ||||||||
Nine months ended September 30, 2020 | Commodity Futures | (8,398,521 | ) | (3,185,331 | ) | |||||||
Nine months ended September 30, 2019 | Commodity Futures | (8,312,203 | ) | 8,052,294 |
(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. |
Period | Management Fee | Voluntary Fee Waiver | Net Management Fee | |||||||||
Three months ended September 30, 2020 | $ | 171,810 | $ | (20,213 | ) | $ | 151,597 | |||||
Three months ended September 30, 2019 | $ | 258,682 | $ | (30,433 | ) | $ | 228,249 | |||||
Nine months ended September 30, 2020 | $ | 549,307 | $ | (64,624 | ) | $ | 484,683 | |||||
Nine months ended September 30, 2019 | $ | 878,864 | $ | (103,396 | ) | $ | 775,468 | |||||
Three Months Ended September 30, 2020 | Three Months Ended September 30, 2019 | Nine Months Ended September 30, 2020 | Nine Months Ended September 30, 2019 | |||||||||||||
Net Asset Value | ||||||||||||||||
Net asset value per Limited Share, beginning of period | $ | 15.65 | $ | 17.85 | $ | 18.80 | $ | 17.50 | ||||||||
Investment operations: | ||||||||||||||||
Net realized and unrealized gain (loss) (1) | 1.74 | (0.35 | ) | (1.44 | ) | (0.13 | ) | |||||||||
Net investment income (loss) (2) | (0.03 | ) | 0.06 | (0.00 | ) * | 0.19 | ||||||||||
Net increase (decrease) in net assets from operations | 1.71 | (0.29 | ) | (1.44 | ) | 0.06 | ||||||||||
Net asset value per Limited Share, end of period | $ | 17.36 | $ | 17.56 | $ | 17.36 | $ | 17.56 | ||||||||
Total Return, at net asset value (3) | 10.93 | % | (1.62 | )% | (7.66 | )% | 0.34 | % | ||||||||
Ratio/Supplemental Data: | ||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 86,820 | $ | 114,110 | $ | 86,820 | $ | 114,110 | ||||||||
Ratios to average net assets of: | ||||||||||||||||
Net investment income (loss) (4) | (0.67 | )% | 1.31 | % | (0.02 | )% | 1.42 | % | ||||||||
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 | % | ||||||||
* | Amount represents less than $ (0.01 ). |
(1) | Includes brokerage commissions of $0.01 per share for the three months ended September 30, 2020 and 2019, respectively, and includes brokerage commissions of $0.02 per share for the nine months ended September 30, 2020 and 2019, respectively. See Note 8(b) onpage 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. |
(b)Managing Owner.WisdomTree Commodity Services, LLC, a Delaware limited liability company, is the managing owner and commodity pool operator
Unaudited Interim Financial Information
The financial statements as of March 31, 2020 and 2019 and for the three-months ended March 31, 2020 and 2019 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.
(b) Use of Estimates
The preparation of the financial statements in conformity with GAAP requires the Managing Owner to make estimates and assumptions that affect the reported amounts of assets and liabilities, disclosure of contingent assets and liabilities at the date of the financial statements, and the amounts of reported income and expenses during the period. Actual results could differ from those estimates.
(c) Cash Held by Broker
A portion of the Master Fund’s cash is held by the Commodity Broker and is applied towards the daily variation margin movements on the Master Fund’s open Commodity Futures. The Commodity Broker allows the Master Fund to apply its U.S. Treasuries positions towards its initial margin requirement for the Master Fund’s futures positions, hence all cash held by broker is unrestricted cash. The cash and U.S. Treasuries positions are held in segregated accounts at the Commodity Broker and are not insured by the Federal Deposit Insurance Corporation.
(d) U. S. Treasury Obligations
The Master Fund records purchases and sales of U.S. Treasuries on a trade date basis. These holdings are marked to market based on quotations from broker-dealers or independent service providers. The Master Fund may hold U.S. Treasuries for deposit with the Commodity Broker as margin for trading and holding against initial margin of the open Commodity Futures. Interest income is recognized on an accrual basis when earned. Premiums and discounts are amortized or accreted over the life of the U.S. Treasuries.
(e) Futures Contracts
The Master Fund utilizes futures contracts to obtain long exposure to Commodity Futures consistent with its investment objective. These contracts are recorded on a trade date basis and open contracts are valued daily at settlement prices provided by the relevant 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.See Note 4 — Fair Value Measurements. The Managing Owner will do other procedures (consistent with GAAP) to value an 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.
(f) Income Taxes
The Fund and Master Fund are treated as partnerships for U.S. federal income tax purposes. Accordingly, the Fund and Master Fund are not subject to U.S. federal income tax and may not be subject to state or local income taxes. As a result, no provision for federal, state or local income taxes has been made in the accompanying consolidated financial statements, as investors are individually liable for income taxes, if any, on their allocable share of the Fund’s income, gain, loss, deductions and other items.
The Fund accounts for uncertainty in income taxes pursuant to the applicable accounting standard, which provides measurement, presentation and disclosure guidance related to uncertain tax positions. The guidance addresses how tax benefits claimed or expected to be claimed on a tax return should be recorded in the financial statements. Under this topic, the Fund may recognize the tax benefit from an uncertain tax position only if it is more likely than not that the tax position will be sustained on examination by the taxing authorities based on the technical merits of the position. The tax benefits recognized in the financial statements from such a position are measured based on the largest benefit that has a greater than fifty percent likelihood of being realized upon ultimate resolution.
(g) Subsequent Events
For purposes of disclosure in the consolidated financial statements, the Funds have evaluated events occurring between the period ended March 31, 2020 and when the financial statements were issued on May 8, 2020.
During that period, no Shares were created and 100,000 Shares were redeemed for $1,439,198, resulting in 4,950,050 Total Shares outstanding.
Other than these events, the evaluation did not result in any subsequent events that necessitated disclosures and/or adjustments.
(4) Fair Value Measurements
The existing guidance for fair value measurements establishes the authoritative definition for fair value, sets out a framework for measuring fair value and outlines the required disclosures regarding fair value measurements. Fair value is the price that would be received to sell an asset or paid to transfer a liability in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. The Master Fund uses a three-tier fair value hierarchy based upon observable and unobservable inputs as follows:
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The assets of the Master Fund are either exchange-traded futures contracts that are valued daily at settlement prices provided by the relevant exchanges where they are principally traded or U.S. government securities that are valued using dealer and broker quotations or other inputs that are observable or can be corroborated by observable market data. Assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. A summary of the Master Fund’s assets and liabilities at fair value as of March 31, 2020, classified according to the levels used to value them, is as follows:
Assets | Quoted Prices in Active Market (Level 1) | Other Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Totals | ||||||||||||
U.S. Treasury Obligations | $ | — | $ | 64,998,203 | $ | — | $ | 64,998,203 | ||||||||
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Liabilities |
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Unrealized depreciation on futures contracts | (13,583,079 | ) | — | — | (13,583,079 | ) | ||||||||||
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Total | $ | (13,583,079 | ) | $ | 64,998,203 | $ | — | $ | 51,415,124 | |||||||
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The Master Fund did not hold any Level 3 securities during the three months ended March 31, 2020.
A summary of the Master Fund’s assets and liabilities at fair value as of December 31, 2019, classified according to the levels used to value them, is as follows:
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 | ||||||||||||
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Total | $ | 6,162,155 | $ | 115,831,172 | $ | — | $ | 121,993,327 | ||||||||
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The Master Fund did not hold any Level 3 securities during the year ended December 31, 2019.
(5) Derivative Instruments and Hedging Activities
The Master Fund uses derivative instruments as part of its principal investment strategy to achieve its investment objective. As of March 31, 2020, the Master Fund was invested in Commodity Futures. For the three months ended March 31, 2020 and the year ended December 31, 2019, the volume of derivative activity (based on averagemonth-end notional amounts) were $103,811,769 and $134,094,833, respectively.
The fair value of derivative instruments at March 31, 2020 and December 31, 2019, were as follows:
As of: | Derivative Instruments | Asset Derivatives (i) | Liability Derivatives (ii) | |||||||||
March 31, 2020 | Commodity Futures | $ | — | $ | 13,583,079 | |||||||
December 31, 2019 | Commodity Futures | $ | 6,162,155 | $ | — |
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The following is a summary of the realized and unrealized gains and losses of the derivative instruments utilized by the Master Fund for the three months ended March 31, 2020 and 2019:
Period | Derivative Instruments | Realized Gain (Loss) on Derivative Instruments (i) | Net Increase (Decrease) in Unrealized Appreciation/Depreciation on Derivative Instruments (ii) | |||||||||
Three months ended March 31, 2020 | Commodity Futures | $ | (3,793,037 | ) | $ | (19,745,234 | ) | |||||
Three months ended March 31, 2019 | Commodity Futures | (2,588,865 | ) | 7,192,369 |
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(6) Financial Instrument Risk
In the normal course of its business, the Master Fund may be party to financial instruments withoff-balance sheet risk. The term“off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in a future obligation or loss. The financial instruments used by the Master Fund are Commodity Futures, whose values are based upon an underlying asset and generally represent future commitments which have a reasonable possibility to be settled in cash or through physical delivery. These instruments are traded on an exchange and are standardized contracts.
Market risk is the potential for changes in the value of the financial instruments traded by the Master Fund due to market changes, including fluctuations in commodity prices. In entering into these contracts, there exists a market risk that such contracts may be significantly influenced by conditions, resulting in such contracts being less valuable. If the markets should move against all of the futures interest positions at the same time, and the Managing Owner is unable to offset such positions, the Master Fund could experience substantial losses.
Credit risk is the possibility that a loss may occur due to the failure of an exchange clearinghouse to perform according to the terms of a contract. Credit risk with respect to exchange-traded instruments is reduced to the extent that an exchange or clearing organization acts as counterparty to the transactions. The Master Fund’s risk of loss in the event of counterparty default is typically limited to the amounts recognized in the Statement of Financial Condition and not represented by the contract or notional amounts of the instruments.
The Fund and the Master Fund have not utilized, nor do they expect to utilize in the future, special purpose entities to facilitateoff-balance sheet financing arrangements and have no loan guarantee arrangements oroff-balance sheet arrangements of any kind other than agreements entered into in the normal course of business.
(7) Share Creations and Redemptions
The Fund creates and redeems Shares from time to time, but only in one or more Baskets of 50,000 Shares. Authorized Participants are the only persons that may place orders to create and redeem Baskets. To compensate the Administrator for services in processing the creation and redemption of Baskets, an Authorized Participant is required to pay a transaction fee of $200 per order.
“Net Asset Value” means the total assets of the Master Fund including, but not limited to, all cash and cash equivalents or other debt securities, less total liabilities of the Master Fund, each determined on the basis of generally accepted accounting principles in the United States, consistently applied under the accrual method of accounting. In particular, Net Asset Value includes any unrealized profit or loss on open Commodity Futures, and any other credit or debit accruing to the Master Fund but unpaid or not received by the Master Fund.
(a) Creation of Shares
General. On any business day, an Authorized Participant may place an order with the Distributor (as facilitated by the Administrator) to create one or more Baskets. For purposes of processing both purchase and redemption orders, a “business day” means any day other than a day when banks in New York City are required or permitted to be closed. Purchase orders must be placed by 10:00 a.m. ET. The day on which a valid purchase order is received is the purchase order date. Purchase orders are irrevocable. By placing a purchase order, and prior to delivery of such Baskets, an Authorized Participant’s DTC account will be charged thenon-refundable transaction fee due for the purchase order.
Determination of Required Payment. The total payment required to create each Basket is the Net Asset Value of 50,000 Shares as of the closing time of the NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the purchase order date. Baskets will be issued as of 12:00 p.m. ET, on the business day immediately following the purchase order date at the Net Asset Value per Share as of the closing time of the NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the purchase order date during the continuous offering period, but only if the required payment has been timely received.
Because orders to create Baskets must be placed by 10:00 a.m. ET, but the total payment required to create a Basket during the continuous offering period will not be determined until 4:00 p.m. ET, on the date the purchase order is received, Authorized Participants will not know the total amount of the payment required to create a Basket at the time they submit an irrevocable purchase order for the Basket. The Fund’s Net Asset Value and the total amount of the payment required to create a Basket could rise or fall substantially between the time an irrevocable purchase order is submitted and the time the amount of the purchase price in respect thereof is determined.
Rejection of Purchase Orders. The Administrator may reject a creation order if:
(i) it determines that the creation order is not in proper form;
(ii) the Managing Owner believes that the purchase order would have adverse tax consequences to the Fund or its Shareholders; or
(iii) circumstances outside the control of the Managing Owner or the Distributor make it, for all practical purposes, not feasible to process creations of Baskets.
The Distributor and the Managing Owner will not be liable for the rejection of any purchase order.
(b) Redemption of Shares
General. The procedures by which an Authorized Participant can redeem one or more Baskets mirror the procedures for the creation of Baskets. On any business day, an Authorized Participant may place an order with the Distributor (as facilitated by the Administrator) to redeem one or more Baskets. Redemption orders must be placed by 10:00 a.m. ET. The day on which a valid redemption order is received in proper form is the redemption order date. Redemption orders are irrevocable. Shareholders may not redeem directly from the Fund. By placing a redemption order, an Authorized Participant agrees to deliver the Baskets to be redeemed through DTC’s book-entry system to the Fund not later than 12:00 p.m. ET, on the business day immediately following the redemption order date. By placing a redemption order, and prior to receipt of the redemption proceeds, an Authorized Participant’s DTC account will be charged thenon-refundable transaction fee due for the redemption order.
Determination of Required Payment. The redemption proceeds from the Fund consists of the cash redemption amount equal to the Net Asset Value of the number of Basket(s) requested in the Authorized Participant’s redemption order as of the closing time of the NYSE Arca or the last to close of the exchanges on which the Index Commodities are traded, whichever is later, on the redemption order date. The Managing Owner will distribute the cash redemption amount at 12:00 p.m. ET, on the business day immediately following the redemption order date through DTC to the account of the Authorized Participant as recorded on DTC’s book entry system.
Delivery of Redemption Proceeds. The redemption proceeds due from the Fund are delivered to the Authorized Participant at 12:00 p.m. ET, on the business day immediately following the redemption order date if, by such time, the Fund’s DTC account has been credited with the Baskets to be redeemed. If the Fund’s DTC account has not been credited with all of the Baskets to be redeemed by such time, the redemption distribution is delivered to the extent of whole Baskets received. Any remainder of the redemption distribution is delivered on the next business day to the extent of remaining whole Baskets received if the Distributor receives the fee applicable to the extension of the redemption distribution date which the Distributor may, fromtime-to-time, determine and the remaining Baskets to be redeemed are credited to the Fund’s DTC account by 12:00 p.m. ET, on such next business day. Any further outstanding amount of the redemption order shall be cancelled. The Distributor is also authorized to deliver the redemption distribution notwithstanding that the Baskets to be redeemed are not credited to the Fund’s DTC account by 12:00 p.m. ET, on the business day immediately following the redemption order date if the Authorized Participant has collateralized its obligation to deliver the Baskets through DTC’s book entry system on such terms as the Distributor and the Managing Owner may fromtime-to-time agree.
Suspension or Rejection of Redemption Orders. The Managing Owner may suspend the right of redemption, or postpone the redemption settlement date, (1) for any period during which an emergency exists as a result of which the redemption distribution is not reasonably practicable, or (2) for such other period as the Managing Owner determines to be necessary for the protection of the Shareholders. The Managing Owner will not be liable to any person or in any way for any loss or damages that may result from any such suspension or postponement.
A redemption order may be rejected if the order is not in proper form as described in the order form and/or Participant Agreement or if the fulfillment of the order, in the opinion of its counsel, might be unlawful.
(8) Operating Expenses
(a) Management Fee
The Master Fund pays the Managing Owner, monthly in arrears, a fee (the “Management Fee”) equal to 0.85% per annum based on the average daily Net Asset Value of the Master Fund. The Managing Owner voluntarily agreed to waive a portion of its Management Fee in the amount of 0.10% per annum reducing the Management Fee to 0.75% per annum based on the average daily Net Asset Value of the Master Fund. For the three months ended March 31, 2020 and 2019, the Management Fee paid by the Master Fund was as follows:
Period | Management Fee | Voluntary Fee Waiver | Net Management Fee | |||||||||
Three months ended March 31, 2020 | $ | 224,147 | $ | (26,370 | ) | $ | 197,777 | |||||
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Three months ended March 31, 2019 | $ | 333,761 | $ | (39,266 | ) | $ | 294,495 | |||||
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(b) Brokerage Commissions
Brokerage commissions are charged against the Fund’s assets on a per transaction basis. The brokerage commissions incurred for the three months ended March 31, 2020 and March 31, 2019 were $30,287 and $38,944, respectively
(9) Profit and Loss Allocations and Distributions
The Managing Owner and the Shareholders share in any profits and losses of the Fund attributable to the Fund in proportion to the percentage interest owned by each. Distributions may be made at the sole discretion of the Managing Owner on apro-rata basis in accordance with the respective capital balances of the Shareholders, but the Fund is under no obligation to make periodic distributions to Shareholders. The Fund has made no distributions to its Shareholders since the Fund commenced operations.
(10) Commitments and Contingencies
The Managing Owner, either in its own capacity or in its capacity as the Managing Owner and on behalf of the Funds, has entered into various service agreements that contain indemnification and exculpation provisions with respect to costs, expenses, damages, liabilities and/or claims that may be incurred by a service provider in connection with the provision of its services to the Funds. As of March 31, 2020, no party to any such service agreement has made a claim against the Funds, and it is therefore not possible to estimate the Funds’ potential future exposure under such indemnification and exculpation provisions.
(11) Net Asset Value and Financial Highlights
The Fund is presenting the following Net Asset Value and financial highlights related to investment performance and operations for a Share outstanding for the three months ended March 31, 2020 and 2019.
Three Months Ended March 31, 2020 | Three Months Ended March 31, 2019 | |||||||
Net Asset Value |
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Net asset value per Limited Share, beginning of period | $ | 18.80 | $ | 17.50 | ||||
Investment operations: |
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Net realized and unrealized gain (loss) (1) | (4.00 | ) | 0.47 | |||||
Net investment income(2) | 0.03 | 0.07 | ||||||
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Net increase (decrease) in net assets from operations | (3.97 | ) | 0.54 | |||||
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Net asset value per Limited Share, end of period | $ | 14.83 | $ | 18.04 | ||||
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Total Return, at net asset value(3) | (21.12 | )% | 3.09 | % | ||||
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Ratio/Supplemental Data: |
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Net assets, end of period (000’s omitted) | $ | 74,876 | $ | 143,408 | ||||
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Ratios to average net assets of: |
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Net investment income(4) | 0.71 | % | 1.48 | % | ||||
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Expenses, prior to expense waivers(4) | 0.85 | % | 0.85 | % | ||||
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Expenses, net of expense waivers(4) | 0.75 | % | 0.75 | % | ||||
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(12) Additional Information
A recent outbreak of a respiratory disease caused by a novel coronavirus (COVID-19) has spread globally in a short period of time. In an organized attempt to contain and mitigate the effects of the spread ofCOVID-19, governments and businesses world-wide have taken aggressive measures, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines of large populations.COVID-19 has resulted in the disruption of and delays in the delivery of healthcare services and processes, the cancellation of organized events and educational institutions, the disruption of production and supply chains, a decline in consumer demand for certain goods and services, and general concern and uncertainty, all of which have contributed to increased volatility in global markets. The effects ofCOVID-19 have affected and are likely to continue to affect certain sectors and industries more dramatically than others, and the effects borne by some will negatively affect the value of the issuers in those sectors and industries, which may adversely affect the value of the Fund’s investments in those sectors or industries.COVID-19, and other epidemics and pandemics that may arise in the future, could adversely affect the economies of many nations, the global economy, individual companies and capital markets in ways that cannot be foreseen at the present time. In addition, the impact of infectious diseases in developing or emerging market countries may be greater due to limited health care resources. Political, economic and social stresses caused byCOVID-19 also may exacerbate other pre-existing political, social and economic risks in certain countries. The duration ofCOVID-19 and its effects cannot be determined at this time, but the effects could be present for an extended period of time. It is impossible to predict the effects on the Fund of these or similar events and market conditions in the future. However, it is possible that these or similar events and market conditions could have a significant and adverse effect on the NAV and/or risk profile of the Fund.
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
The following discussion should be read in conjunction with the Funds’ Financial Statements and the related Notes to the Funds’ Financial Statements included elsewhere in this Quarterly Report.
This Quarterly Report, including this “Management’s Discussion and Analysis of Financial Condition and Results of Operations,” contains forward-looking statements regarding the plans and objectives of the Managing Owner for future operations. This information may involve known and unknown risks, uncertainties and other factors that may cause the Funds’ actual results, performance or achievements to be materially different from future results, performance or achievements expressed or implied by any forward-looking statements. Forward-looking statements, which involve assumptions and describe the Funds’ future plans, strategies and expectations, are generally identifiable by use of the words “may,” “will,” “should,” “expect,” “anticipate,” “estimate,” “believe,” “intend” or “project,” the negative of these words, other variations on these words or comparable terminology. These forward-looking statements are based on assumptions that may be incorrect, and the Funds cannot assure investors that these projections included in these forward-looking statements will come to pass. The Funds’ actual results could differ materially from those expressed or implied by the forward-looking statements as a result of various factors.
The Funds have based the forward-looking statements included in this Quarterly Report on information available to it as close to the filing date of this Quarterly Report as reasonably practicable, and the Funds assume no obligation to update any such forward-looking statements except as required by the federal securities laws. Investors are advised to review any additional disclosures that the Funds may make directly to them or through reports that the Funds file in the future with the SEC, including Annual Reports on Form10-K, Quarterly Reports on Form10-Q and Current Reports on Form8-K.
Introduction
WisdomTree Continuous Commodity Index Fund (the “Fund”) and WisdomTree Continuous Commodity Index Master Fund (the “Master Fund” and together with the Fund, the “Funds”) are commodity pools that were organized as Delaware statutory trusts on October 27, 2006. WisdomTree Commodity Services, LLC serves as the commodity pool operator and managing owner (the “Managing Owner”) of the Funds, and GreenHaven Advisors LLC serves as the commodity trading advisor (the“Sub-Adviser”).
The Fund continuously offers shares representing common units of fractional undivided beneficial interest in and ownership of the Fund (“Shares”).
The Fund invests substantially all of its assets in the Master Fund in a master-feeder structure. The Master Fund is wholly-owned by the Fund and the Managing Owner. The Master Fund and the Fund each follow the same investment objective. The Fund holds no investment assets other than the Master Fund’s common units of beneficial interest (“Master Fund Units”). Upon inception of the Master Fund, the Master Fund issued 50 of its general units to the Managing Owner in exchange for a capital contribution of $1,500. Each Share issued by the Fund correlates to a Master Fund Unit held by the Fund.
The Fund’s investment objective is to provide investors with exposure to the daily change in the price of a portfolio of commodities (the “Index Commodities”) comprising the Thomson Reuters Continuous Commodity Index, also known as the Continuous Commodity Total Return Index or Refinitiv Equal Weight Continuous Commodity Total Return Index (the “Index” and also as known as, the “CCI-TR Index”), before Fund expenses. The Index Commodities consist of corn, soybean, wheat, live cattle, lean hogs, gold, silver, copper, cocoa, coffee, sugar, cotton, soybean oil, platinum, crude oil, NY Harbor ULSD (formerly known as heating oil), and natural gas. The Index is composed of notional amounts of each of the Index Commodities. The notional amounts of each Index Commodity included in the Index are in equal weight proportion to the Index Commodities or 1/17 weighting per index commodity rebalanced daily. Thomson Reuters (Markets) LLC, formerly Thomson Reuters America LLC, is the owner, publisher and calculation agent of the Index (the “Index Sponsor”). The Index Sponsor is not an affiliate of the Funds or the Managing Owner.
The Fund pursues its investment objective by investing substantially all of its assets in the Master Fund. The Master Fund pursues its investment objective by investing in a portfolio of Commodity Futures on the Index Commodities (the “Portfolio”). The Portfolio also includes cash and U.S. Treasuries for deposit with the Master Fund’s Commodity Broker. The Commodity Broker currently applies part of the total value of the cash and/or U.S. Treasuries on deposit towards satisfying any margin requirements related to the Commodity Futures in the Master Fund’s futures account.
Delaware Trust Company, a Delaware corporation, is the sole trustee of each of the Funds (the “Trustee”). The Trustee is unaffiliated with the Managing Owner. Under the Fund’s Declaration of Trust and Trust Agreement, dated as of October 27, 2006 and as amended January 4, 2016 (as amended, the “Fund Trust Agreement”), and the Master Fund’s Declaration of Trust and Trust Agreement, dated as of October 27, 2006 and as amended July 29, 2007 and January 4, 2016 (as amended, the “Master Fund Trust Agreement” and collectively with the Fund Trust Agreement, the “Trust Agreements”), the Trustee has delegated to the Managing Owner the exclusive management and control of all aspects of the business of each of the Funds. The Trustee will accept service of legal process on the Funds in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. The Trustee does not owe any other duties to the Funds, the Managing Owner or the Shareholders. The Trustee’s principal offices are located in Wilmington, Delaware.
Under the Trust Agreements, Delaware Trust Company, the Trustee of the Funds, has delegated to the Managing Owner the exclusive management and control of all aspects of the business of the Funds. The Trustee has no duty or liability to supervise or monitor the performance of the Managing Owner, nor does the Trustee have any liability for the acts or omissions of the Managing Owner.
Treasuries using the straight-line method.
Date | Net Asset Value Per Share | Total Shares | Net Assets | 1 Month | 3 Months | Year to Date | Cumulative Return Since Inception | |||||||||||||||||||||
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 | |||||||||||||||||||||
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 | % | |||||||||||||||
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 | % |
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 | % | |||||||||||||||
7/31/2020 | $ | 16.69 | 4,550,050 | $ | 75,919,118 | 6.65 | % | 12.39 | % | -11.22 | % | -44.37 | % | |||||||||||||||
8/31/2020 | $ | 17.66 | 4,850,050 | $ | 85,662,794 | 5.81 | % | 14.30 | % | -6.06 | % | -41.13 | % | |||||||||||||||
9/30/2020 | $ | 17.36 | 5,000,050 | $ | 86,820,190 | -1.70 | % | 10.93 | % | -7.66 | % | -42.13 | % |
Sector | Sector Weight | Commodity | ||||
Energy | % | WTI Crude Oil, Natural Gas, NY Harbor ULSD | ||||
Grains | % | Corn, Soybean, Wheat, Soybean Oil | ||||
Livestock | % | Lean Hogs, Live Cattle | ||||
Metals | % | Gold 100 Ounce, Silver, Platinum, Copper | ||||
Softs | % | Coffee “C”, Cocoa, Sugar No. 11, Cotton No. 2 |
Description | Range of | Number of Contracts | Weighted- Average Price per Contract | Contract Multiplier | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Energy | ||||||||||||||||||||||
Natural Gas | April 2020—August 2020 | 237 | $ | 1.86 | 10,000 | $ | 4,407,080 | $ | (681,180 | ) | ||||||||||||
NY Harbor ULSD | April 2020—August 2020 | 100 | 1.05 | 42,000 | 4,403,784 | (2,312,003 | ) | |||||||||||||||
WTI Crude Oil | April 2020—August 2020 | 165 | 26.72 | 1,000 | 4,408,470 | (2,147,650 | ) | |||||||||||||||
Grains | ||||||||||||||||||||||
Corn | May 2020—September 2020 | 255 | 3.46 | 5,000 | 4,405,125 | (587,700 | ) | |||||||||||||||
Soybean | May 2020—August 2020 | 99 | 8.88 | 5,000 | 4,396,012 | (221,325 | ) | |||||||||||||||
Soybean Oil | May 2020—October 2020 | 267 | 0.27 | 60,000 | 4,400,352 | (748,344 | ) | |||||||||||||||
Wheat | May 2020—September 2020 | 156 | 5.66 | 5,000 | 4,410,900 | 245,488 | ||||||||||||||||
Livestock | ||||||||||||||||||||||
Lean Hogs | April 2020—October 2020 | 184 | 0.60 | 40,000 | 4,407,180 | (1,301,900 | ) | |||||||||||||||
Live Cattle | June 2020—October 2020 | 117 | 0.94 | 40,000 | 4,408,950 | (889,910 | ) | |||||||||||||||
Metals | ||||||||||||||||||||||
Copper | May 2020—September 2020 | 79 | 2.23 | 25,000 | 4,410,050 | (706,813 | ) | |||||||||||||||
Gold 100 Ounce | June 2020—August 2020 | 27 | 1,596.60 | 100 | 4,310,820 | 98,960 | ||||||||||||||||
Platinum | July 2020—October 2020 | 121 | 730.35 | 50 | 4,418,595 | (736,440 | ) | |||||||||||||||
Silver | May 2020—September 2020 | 62 | 14.19 | 5,000 | 4,399,635 | (685,160 | ) | |||||||||||||||
Softs | ||||||||||||||||||||||
Cocoa | May 2020—September 2020 | 194 | 2,258.29 | 10 | 4,381,080 | (707,710 | ) | |||||||||||||||
Coffee “C” | May 2020—September 2020 | 97 | 1.20 | 37,500 | 4,376,231 | 150,863 | ||||||||||||||||
Cotton No. 2 | May 2020—July 2020 | 173 | 0.51 | 50,000 | 4,412,855 | (1,254,565 | ) | |||||||||||||||
Sugar No. 11 | April 2020—September 2020 | 370 | 0.11 | 112,000 | 4,375,908 | (1,097,690 | ) | |||||||||||||||
|
|
|
| |||||||||||||||||||
$ | 74,733,027 | $ | (13,583,079 | ) | ||||||||||||||||||
|
|
|
|
Description | Range of Expiration Dates | Number of Contracts | Weighted- Average Price per Contract | Contract Multiplier | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Energy | ||||||||||||||||||||||
Natural Gas | November 2020—March 2021 | 164 | $ | 3.10 | 10,000 | $ | 5,086,400 | $ | 243,760 | |||||||||||||
NY Harbor ULSD | November 2020—March 2021 | 102 | 1.19 | 42,000 | 5,104,109 | (388,664 | ) | |||||||||||||||
WTI Crude Oil | November 2020—March 2021 | 125 | 41.13 | 1,000 | 5,141,000 | (45,540 | ) | |||||||||||||||
Grains | ||||||||||||||||||||||
Corn | December 2020—May 2021 | 264 | 3.87 | 5,000 | 5,107,300 | 536,375 | ||||||||||||||||
Soybean | January 2021—May 2021 | 100 | 10.22 | 5,000 | 5,111,500 | 600,612 | ||||||||||||||||
Soybean Oil | December 2020—May 2021 | 256 | 0.33 | 60,000 | 5,105,280 | 393,672 | ||||||||||||||||
Wheat | December 2020—May 2021 | 175 | 5.83 | 5,000 | 5,098,100 | 522,487 | ||||||||||||||||
Livestock | ||||||||||||||||||||||
Lean Hogs | December 2020—April 2021 | 188 | 0.68 | 40,000 | 5,089,940 | 533,590 | ||||||||||||||||
Live Cattle | December 2020—April 2021 | 110 | 1.15 | 40,000 | 5,073,690 | 225,320 | ||||||||||||||||
Metals | ||||||||||||||||||||||
Copper | December 2020—May 2021 | 67 | 3.04 | 25,000 | 5,088,513 | 277,901 | ||||||||||||||||
Gold 100 Ounce | December 2020—April 2021 | 27 | 1,901.97 | 100 | 5,135,310 | 75,230 | ||||||||||||||||
Platinum | January 2021—April 2021 | 112 | 912.50 | 50 | 5,110,000 | (203,200 | ) | |||||||||||||||
Silver | December 2020—May 2021 | 43 | 23.61 | 5,000 | 5,076,620 | (312,480 | ) | |||||||||||||||
Softs | ||||||||||||||||||||||
Cocoa | December 2020—May 2021 | 202 | 2,530.74 | 10 | 5,112,100 | 220,820 | ||||||||||||||||
Coffee “C” | December 2020—May 2021 | 121 | 1.13 | 37,500 | 5,109,038 | (196,387 | ) | |||||||||||||||
Cotton No. 2 | December 2020—May 2021 | 153 | 0.67 | 50,000 | 5,089,800 | 334,635 | ||||||||||||||||
Sugar No. 11 | February 2021—April 2021 | 342 | 0.13 | 112,000 | 5,119,329 | 158,693 | ||||||||||||||||
$ | 86,758,029 | $ | 2,976,824 | |||||||||||||||||||
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 | 1.53% – 1.56% | April 2020 – May 2020 | $ | 65,000,000 | $ | 64,998,203 | $ | 60,726 |
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 | 0.06% – 0.12% | October 2020 – December 2020 | $ | 72,000,000 | $ | 71,993,216 | $ | (233 | ) |
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 | ||||||||||||
January 1, 2020 to January 31, 2020 | 400,000 | $ | 18.71 | N/A | N/A | |||||||||||
February 1, 2020 to February 29, 2020 | 400,000 | $ | 17.48 | N/A | N/A | |||||||||||
March 1, 2020 to March 31, 2020 | 950,000 | $ | 16.00 | N/A | N/A | |||||||||||
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|
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Total | 1,750,000 | $ | 16.96 | N/A | N/A | |||||||||||
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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 | ||||||||||||
July 1, 2020 to July 31, 2020 | 100,000 | $ | 16.25 | N/A | N/A | |||||||||||
August 1, 2020 to August 31, 2020 | — | $ | N/A | N/A | N/A | |||||||||||
September 1, 2020 to September 30, 2020 | 150,000 | $ | 17.28 | N/A | N/A | |||||||||||
Total | 250,000 | $ | 16.87 | N/A | N/A | |||||||||||
None.
| ||
104 | Cover Page Interactive Data File – the cover page XBRL tags are embedded within the Inline XBRL document (included in Exhibit 101). |
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: | ||
By: | /s/ David Castano | |
David Castano | ||
Chief Financial Officer and Treasurer | ||
(Principal Financial Officer) | ||
Date: | ||
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: | ||
By: | /s/ David Castano | |
David Castano | ||
Chief Financial Officer and Treasurer | ||
(Principal Financial Officer) | ||
Date: |
40