☒ | 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 |
Delaware | 26-0151234 26-0151301 | |
(State or Other Jurisdiction of Incorporation or Organization) | (IRS Employer Identification No.) | |
c/o WisdomTree Commodity Services, LLC 245 Park Avenue 35th Floor New York, NY | 10167 | |
(Address of Principal Executive Offices) | (Zip Code) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||
Shares | GCC | NYSE Arca, Inc. |
Large accelerated filer | ☐ | Accelerated filer | ☒ | |||
Non-accelerated filer | ☐ | Smaller reporting company | ☐ | |||
Emerging growth company | ☐ |
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June 30, 2020 (unaudited) | December 31, 2019 | |||||||
Assets: | ||||||||
Cash | $ | 298,439 | $ | 1,730,680 | ||||
Cash held by broker for futures contracts (Note 3) | 3,749,771 | 4,191,497 | ||||||
Short-term investments (cost $64,990,781 and $115,820,868 as of June 30, 2020 and December 31, 2019, respectively) | 64,990,566 | 115,831,172 | ||||||
Net unrealized appreciation on futures contracts | 653,974 | 6,162,155 | ||||||
Total Assets | 69,692,750 | 127,915,504 | ||||||
Liabilities and shareholders’ equity: | ||||||||
Net management fee payable to related party (Note 8) | 43,331 | 79,661 | ||||||
Total Liabilities | 43,331 | 79,661 | ||||||
Shareholders’ equity: | ||||||||
General Units: | ||||||||
Paid in capital—50 units issued and outstanding (unlimited authorized) | 1,500 | 1,500 | ||||||
Accumulated deficit | (717 | ) | (560 | ) | ||||
Total General Units | 783 | 940 | ||||||
Limited Units: | ||||||||
Paid in capital—4,450,000 and 6,800,000 redeemable shares issued and outstanding (unlimited authorized) as of June 30, 2020 and December 31, 2019, respectively | 223,507,060 | 262,345,685 | ||||||
Accumulated deficit | (153,858,424 | ) | (134,510,782 | ) | ||||
Total Limited Units | 69,648,636 | 127,834,903 | ||||||
Total shareholders’ equity | 69,649,419 | 127,835,843 | ||||||
Total liabilities and shareholders’ equity | $ | 69,692,750 | $ | 127,915,504 | ||||
Net asset value per share | ||||||||
General Units | $ | 15.65 | $ | 18.80 | ||||
Limited Units | $ | 15.65 | $ | 18.80 | ||||
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 | ||||
Description | Percentage of Net Assets | Fair Value | Face Amount | |||||||||||||
U.S. Treasury Obligations | ||||||||||||||||
U.S. Treasury Bills | ||||||||||||||||
0.12%, 7/9/20*, (a) | 15.79 | % | $ | 10,999,743 | $ | 11,000,000 | ||||||||||
0.08%, 7/30/20* | 25.84 | 17,998,260 | 18,000,000 | |||||||||||||
0.11%, 8/20/20* | 25.84 | 17,997,000 | 18,000,000 | |||||||||||||
0.15%, 9/10/20* | 25.84 | 17,995,563 | 18,000,000 | |||||||||||||
Total U.S. Treasury Obligations (Cost: $64,990,781) | 93.31 | % | $ | 64,990,566 | $ | 65,000,000 | ||||||||||
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Futures Contracts Long Exposure (Exchange-Traded) | ||||||||||||||||
Cocoa | ||||||||||||||||
expiration date 9/15/20 | 94 | (0.40 | )% | $ | (275,420 | ) | $ | 2,054,840 | ||||||||
expiration date 12/15/20 | 94 | (0.16 | ) | (108,570 | ) | 2,053,900 | ||||||||||
Coffee “C” | ||||||||||||||||
expiration date 9/18/20 | 54 | (0.18 | ) | (125,288 | ) | 2,045,250 | ||||||||||
expiration date 12/18/20 | 53 | (0.21 | ) | (149,100 | ) | 2,056,069 | ||||||||||
Copper | ||||||||||||||||
expiration date 9/28/20 | 30 | 0.18 | 124,838 | 2,046,375 | ||||||||||||
expiration date 12/29/20 | 30 | 0.30 | 210,600 | 2,056,875 | ||||||||||||
Corn | ||||||||||||||||
expiration date 9/14/20 | 118 | (0.12 | ) | (86,650 | ) | 2,014,850 | ||||||||||
expiration date 12/14/20 | 118 | 0.04 | 29,388 | 2,067,950 | ||||||||||||
Cotton No. 2 | ||||||||||||||||
expiration date 12/8/20 | 67 | 0.22 | 156,010 | 2,039,480 | ||||||||||||
expiration date 3/9/21 | 66 | 0.05 | 36,435 | 2,030,820 | ||||||||||||
Gold 100 Ounce | ||||||||||||||||
expiration date 12/29/20 | 11 | 0.15 | 105,110 | 2,002,440 | ||||||||||||
expiration date 2/24/21 | 11 | 0.12 | 84,960 | 2,010,250 | ||||||||||||
Lean Hogs | ||||||||||||||||
expiration date 8/14/20 | 48 | (0.22 | ) | (155,140 | ) | 941,280 | ||||||||||
expiration date 10/14/20 | 49 | (0.07 | ) | (51,910 | ) | 967,260 | ||||||||||
expiration date 12/14/20 | 49 | (0.02 | ) | (13,330 | ) | 1,013,810 | ||||||||||
expiration date 2/12/21 | 49 | (0.02 | ) | (14,890 | ) | 1,174,040 | ||||||||||
Live Cattle | ||||||||||||||||
expiration date 10/30/20 | 33 | (0.08 | ) | (55,450 | ) | 1,316,370 | ||||||||||
expiration date 12/31/20 | 33 | 0.04 | 26,920 | 1,368,180 | ||||||||||||
expiration date 2/26/21 | 33 | 0.01 | 5,170 | 1,417,680 | ||||||||||||
Natural Gas | ||||||||||||||||
expiration date 8/27/20 | 35 | (0.12 | ) | (85,800 | ) | 626,150 | ||||||||||
expiration date 9/28/20 | 35 | (0.14 | ) | (100,950 | ) | 660,450 | ||||||||||
expiration date 10/28/20 | 35 | (0.08 | ) | (57,080 | ) | 798,700 | ||||||||||
expiration date 11/25/20 | 35 | (0.04 | ) | (28,810 | ) | 961,450 | ||||||||||
expiration date 12/29/20 | 36 | (0.05 | ) | (31,690 | ) | 1,037,880 | ||||||||||
NY Harbor ULSD | ||||||||||||||||
expiration date 8/31/20 | 16 | 0.05 | 37,750 | 808,819 | ||||||||||||
expiration date 9/30/20 | 16 | 0.11 | 76,142 | 821,251 | ||||||||||||
expiration date 10/30/20 | 16 | 0.11 | 75,113 | 832,742 | ||||||||||||
expiration date 11/30/20 | 16 | 0.02 | 16,535 | 841,747 | ||||||||||||
expiration date 12/31/20 | 15 | 0.02 | 15,981 | 797,580 | ||||||||||||
Platinum | ||||||||||||||||
expiration date 10/28/20 | 48 | 0.19 | 135,775 | 2,042,880 | ||||||||||||
expiration date 1/27/21 | 48 | 0.03 | 23,395 | 2,054,640 | ||||||||||||
Silver | ||||||||||||||||
expiration date 9/28/20 | 22 | 0.28 | 192,770 | 2,050,070 | ||||||||||||
expiration date 12/29/20 | 22 | 0.33 | 232,180 | 2,068,330 | ||||||||||||
Soybean | ||||||||||||||||
expiration date 11/13/20 | 46 | 0.03 | 23,850 | 2,029,175 |
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 |
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
expiration date 1/14/21 | 46 | 0.01 | % | $ | 8,700 | $ | 2,034,925 | |||||||||
Soybean Oil | ||||||||||||||||
expiration date 9/14/20 | 60 | (0.09 | ) | (64,914 | ) | 1,018,800 | ||||||||||
expiration date 10/14/20 | 60 | (0.09 | ) | (61,632 | ) | 1,024,920 | ||||||||||
expiration date 12/14/20 | 59 | 0.02 | 11,934 | 1,019,874 | ||||||||||||
expiration date 1/14/21 | 59 | (0.00 | ) | (696 | ) | 1,026,954 | ||||||||||
Sugar No. 11 | ||||||||||||||||
expiration date 9/30/20 | 150 | 0.21 | 144,581 | 2,009,280 | ||||||||||||
expiration date 2/26/21 | 149 | (0.04 | ) | (29,490 | ) | 2,096,013 | ||||||||||
Wheat | ||||||||||||||||
expiration date 9/14/20 | 82 | (0.21 | ) | (149,613 | ) | 2,016,175 | ||||||||||
expiration date 12/14/20 | 83 | (0.24 | ) | (170,600 | ) | 2,070,850 | ||||||||||
WTI Crude Oil | ||||||||||||||||
expiration date 8/20/20 | 21 | 0.35 | 246,030 | 826,140 | ||||||||||||
expiration date 9/22/20 | 21 | 0.30 | 207,320 | 829,080 | ||||||||||||
expiration date 10/20/20 | 21 | 0.30 | 205,720 | 831,180 | ||||||||||||
expiration date 11/20/20 | 20 | 0.03 | 22,070 | 793,600 | ||||||||||||
expiration date 12/21/20 | 20 | 0.02 | 15,720 | 795,600 | ||||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded) | 0.94 | % | $ | 653,974 | $ | 69,502,974 | ||||||||||
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 |
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 | ||||||||||||
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 June 30, | Six Months Ended June 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Income: | ||||||||||||||||
Interest income | $ | 71,845 | $ | 744,029 | $ | 456,166 | $ | 1,620,210 | ||||||||
Expenses: | ||||||||||||||||
Management fee to related party (Note 8) | 153,350 | 286,421 | 377,497 | 620,182 | ||||||||||||
Total expenses | 153,350 | 286,421 | 377,497 | 620,182 | ||||||||||||
Expense waivers (Note 8) | (18,041 | ) | (33,697 | ) | (44,411 | ) | (72,963 | ) | ||||||||
Net expenses | 135,309 | 252,724 | 333,086 | 547,219 | ||||||||||||
Net investment income (loss) | (63,464 | ) | 491,305 | 123,080 | 1,072,991 | |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | ||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||
Investments | — | 44 | 14,440 | (718 | ) | |||||||||||
Futures Contracts* | (10,173,582 | ) | (2,029,620 | ) | (13,966,619 | ) | (4,618,485 | ) | ||||||||
Net Realized Loss | (10,173,582 | ) | (2,029,576 | ) | (13,952,179 | ) | (4,619,203 | ) | ||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from: | ||||||||||||||||
Investments | (60,941 | ) | 14,270 | (10,519 | ) | 12,929 | ||||||||||
Futures Contracts | 14,237,053 | (41,919 | ) | (5,508,181 | ) | 7,150,450 | ||||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation | 14,176,112 | (27,649 | ) | (5,518,700 | ) | 7,163,379 | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | 4,002,530 | (2,057,225 | ) | (19,470,879 | ) | 2,544,176 | ||||||||||
Net Gain (Loss) | $ | 3,939,066 | $ | (1,565,920 | ) | $ | (19,347,799 | ) | $ | 3,617,167 | ||||||
* | $ | 30,743 | $ | 43,311 | $ | 61,030 | $ | 82,255 | ||||||||
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 | ||||||||
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 March 31, 2020 | 50 | $ | 1,500 | $ | (759 | ) | $ | 741 | 5,050,000 | $ | 232,672,819 | $ | (157,797,448 | ) | $ | 74,875,371 | $ | 74,876,112 | ||||||||||||||||||
Creation of Units | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (600,000 | ) | (9,165,759 | ) | — | (9,165,759 | ) | (9,165,759 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Loss | — | — | (0 | )* | (0 | )* | — | — | (63,464 | ) | (63,464 | ) | (63,464 | ) | ||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (103 | ) | (103 | ) | — | — | (10,173,479 | ) | (10,173,479 | ) | (10,173,582 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 145 | 145 | — | — | 14,175,967 | 14,175,967 | 14,176,112 | |||||||||||||||||||||||||||
Net Gain | — | — | 42 | 42 | — | — | 3,939,024 | 3,939,024 | 3,939,066 | |||||||||||||||||||||||||||
Balance at June 30, 2020 | 50 | $ | 1,500 | $ | (717 | ) | $ | 783 | 4,450,000 | $ | 223,507,060 | $ | (153,858,424 | ) | $ | 69,648,636 | $ | 69,649,419 | ||||||||||||||||||
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, 2019 | 50 | $ | 1,500 | $ | (560 | ) | $ | 940 | 6,800,000 | $ | 262,345,685 | $ | (134,510,782 | ) | $ | 127,834,903 | $ | 127,835,843 | ||||||||||||||||||
Creation of Units | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (2,350,000 | ) | (38,838,625 | ) | — | (38,838,625 | ) | (38,838,625 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 3 | 3 | — | — | 123,077 | 123,077 | 123,080 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (143 | ) | (143 | ) | — | — | (13,952,036 | ) | (13,952,036 | ) | (13,952,179 | ) | ||||||||||||||||||||||
Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | (17 | ) | (17 | ) | — | — | (5,518,683 | ) | (5,518,683 | ) | (5,518,700 | ) | ||||||||||||||||||||||
Net Loss | — | — | (157 | ) | (157 | ) | — | — | (19,347,642 | ) | (19,347,642 | ) | (19,347,799 | ) | ||||||||||||||||||||||
Balance at June 30, 2020 | 50 | $ | 1,500 | $ | (717 | ) | $ | 783 | 4,450,000 | $ | 223,507,060 | $ | (153,858,424 | ) | $ | 69,648,636 | $ | 69,649,419 | ||||||||||||||||||
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Total General Shareholders’ | Limited Units | Accumulated | Total Limited Shareholders’ | Total Shareholders’ | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at 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 | ||||||||||||||||||
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated Deficit | Total General Shareholders' Equity | Limited Units | Accumulated Deficit | Total Limited Shareholders' Equity | Total Shareholders' Equity | ||||||||||||||||||||||||||||||
Units | Amount | Units | Amount | |||||||||||||||||||||||||||||||||
Balance at March 31, 2019 | 50 | $ | 1,500 | $ | (598 | ) | $ | 902 | 7,950,000 | $ | 282,316,201 | $ | (138,909,298 | ) | $ | 143,406,903 | $ | 143,407,805 | ||||||||||||||||||
Creation of Units | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (700,000 | ) | (12,446,702 | ) | — | (12,446,702 | ) | (12,446,702 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 3 | 3 | — | — | 491,302 | 491,302 | 491,305 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (15 | ) | (15 | ) | — | — | (2,029,561 | ) | (2,029,561 | ) | (2,029,576 | ) | ||||||||||||||||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 2 | 2 | — | — | (27,651 | ) | (27,651 | ) | (27,649 | ) | ||||||||||||||||||||||||
Net Loss | — | — | (10 | ) | (10 | ) | — | — | (1,565,910 | ) | (1,565,910 | ) | (1,565,920 | ) | ||||||||||||||||||||||
Balance at June 30, 2019 | 50 | $ | 1,500 | $ | (608 | ) | $ | 892 | 7,250,000 | $ | 269,869,499 | $ | (140,475,208 | ) | $ | 129,394,291 | $ | 129,395,183 | ||||||||||||||||||
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated Deficit | Total General Shareholders' Equity | Limited Units | Accumulated Deficit | Total Limited Shareholders' Equity | Total Shareholders' Equity | ||||||||||||||||||||||||||||||
Units | Amount | Units | Amount | |||||||||||||||||||||||||||||||||
Balance at December 31, 2018 | 50 | $ | 1,500 | $ | (625 | ) | $ | 875 | 8,850,000 | $ | 298,946,484 | $ | (144,092,358 | ) | $ | 154,854,126 | $ | 154,855,001 | ||||||||||||||||||
Creation of Units | — | — | — | — | 600,000 | 10,509,822 | — | 10,509,822 | 10,509,822 | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (2,200,000 | ) | (39,586,807 | ) | — | (39,586,807 | ) | (39,586,807 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 6 | 6 | — | — | 1,072,985 | 1,072,985 | 1,072,991 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (31 | ) | (31 | ) | — | — | (4,619,172 | ) | (4,619,172 | ) | (4,619,203 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 42 | 42 | — | — | 7,163,337 | 7,163,337 | 7,163,379 | |||||||||||||||||||||||||||
Net Gain | — | — | 17 | 17 | — | — | 3,617,150 | 3,617,150 | 3,617,167 | |||||||||||||||||||||||||||
Balance at June 30, 2019 | 50 | $ | 1,500 | $ | (608 | ) | $ | 892 | 7,250,000 | $ | 269,869,499 | $ | (140,475,208 | ) | $ | 129,394,291 | $ | 129,395,183 | ||||||||||||||||||
2020 | 2019 | |||||||
Cash flows from operating activities | ||||||||
Net Gain (Loss) | $ | (19,347,799 | ) | $ | 3,617,167 | |||
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities: | ||||||||
Purchases of investment securities | (168,658,770 | ) | (291,508,240 | ) | ||||
Proceeds from sales/maturities of investment securities | 219,953,521 | 311,942,737 | ||||||
Net accretion of discount | (450,224 | ) | (1,590,731 | ) | ||||
Net realized gain (loss) on investment securities | (14,440 | ) | 718 | |||||
Net change in unrealized appreciation/depreciation from investments | 10,519 | (12,929 | ) | |||||
Net change in unrealized appreciation/depreciation from futures contracts | 5,508,181 | (7,150,450 | ) | |||||
Changes in assets and liabilities | ||||||||
Increase/(Decrease) in liabilities: | ||||||||
Net management fee payable to related party | (36,330 | ) | (15,347 | ) | ||||
Net cash provided by operating activities | 36,964,658 | 15,282,925 | ||||||
Cash flows from financing activities | ||||||||
Proceeds from creation of Limited Units | — | 19,258,643 | ||||||
Redemption of Limited Units | (38,838,625 | ) | (39,586,807 | ) | ||||
Net cash used for financing activities | (38,838,625 | ) | (20,328,164 | ) | ||||
Net decrease in cash | (1,873,967 | ) | (5,045,239 | ) | ||||
Cash* at beginning of period | 5,922,177 | 10,193,423 | ||||||
Cash* at end of period | $ | 4,048,210 | $ | 5,148,184 | ||||
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. |
June 30, 2020 (unaudited) | December 31, 2019 | |||||||
Assets: | ||||||||
Cash | $ | 298,439 | $ | 1,730,680 | ||||
Cash held by broker for futures contracts (Note 3) | 3,749,771 | 4,191,497 | ||||||
Short-term investments (cost $64,990,781 and $115,820,868 as of June 30, 2020 and December 31, 2019, respectively) | 64,990,566 | 115,831,172 | ||||||
Net unrealized appreciation on futures contracts | 653,974 | 6,162,155 | ||||||
Total Assets | 69,692,750 | 127,915,504 | ||||||
Liabilities and shareholders’ equity: | ||||||||
Net management fee payable to related party (Note 8) | 43,331 | 79,661 | ||||||
Total Liabilities | 43,331 | 79,661 | ||||||
Shareholders’ equity: | ||||||||
General Units: | ||||||||
Paid in capital - 50 units issued and outstanding (unlimited authorized) | 1,500 | 1,500 | ||||||
Accumulated deficit | (717 | ) | (560 | ) | ||||
Total General Units | 783 | 940 | ||||||
Limited Units: | ||||||||
Paid in capital - 4,450,000 and 6,800,000 redeemable shares issued and outstanding (unlimited authorized) as of June 30, 2020 and December 31, 2019, respectively | 223,507,060 | 262,345,685 | ||||||
Accumulated deficit | (153,858,424 | ) | (134,510,782 | ) | ||||
Total Limited Units | 69,648,636 | 127,834,903 | ||||||
Total shareholders’ equity | 69,649,419 | 127,835,843 | ||||||
Total liabilities and shareholders’ equity | $ | 69,692,750 | $ | 127,915,504 | ||||
Net asset value per share | ||||||||
General Units | $ | 15.65 | $ | 18.80 | ||||
Limited Units | $ | 15.65 | $ | 18.80 | ||||
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 | ||||
Description | Percentage of Net Assets | Fair Value | Face Amount | |||||||||||||
U.S. Treasury Obligations | ||||||||||||||||
U.S. Treasury Bills | ||||||||||||||||
0.12%, 7/9/20 *,(a) | 15.79 | % | $ | 10,999,743 | $ | 11,000,000 | ||||||||||
0.08%, 7/30/20 * | 25.84 | 17,998,260 | 18,000,000 | |||||||||||||
0.11%, 8/20/20 * | 25.84 | 17,997,000 | 18,000,000 | |||||||||||||
0.15%, 9/10/20 * | 25.84 | 17,995,563 | 18,000,000 | |||||||||||||
Total U.S. Treasury Obligations (Cost: $64,990,781) | 93.31 | % | $ | 64,990,566 | $ | 65,000,000 | ||||||||||
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
Futures Contracts Long Exposure (Exchange-Traded) | ||||||||||||||||
Cocoa | ||||||||||||||||
expiration date 9/15/20 | 94 | (0.40 | )% | $ | (275,420 | ) | $ | 2,054,840 | ||||||||
expiration date 12/15/20 | 94 | (0.16 | ) | (108,570 | ) | 2,053,900 | ||||||||||
Coffee “C” | ||||||||||||||||
expiration date 9/18/20 | 54 | (0.18 | ) | (125,288 | ) | 2,045,250 | ||||||||||
expiration date 12/18/20 | 53 | (0.21 | ) | (149,100 | ) | 2,056,069 | ||||||||||
Copper | ||||||||||||||||
expiration date 9/28/20 | 30 | 0.18 | 124,838 | 2,046,375 | ||||||||||||
expiration date 12/29/20 | 30 | 0.30 | 210,600 | 2,056,875 | ||||||||||||
Corn | ||||||||||||||||
expiration date 9/14/20 | 118 | (0.12 | ) | (86,650 | ) | 2,014,850 | ||||||||||
expiration date 12/14/20 | 118 | 0.04 | 29,388 | 2,067,950 | ||||||||||||
Cotton No. 2 | ||||||||||||||||
expiration date 12/8/20 | 67 | 0.22 | 156,010 | 2,039,480 | ||||||||||||
expiration date 3/9/21 | 66 | 0.05 | 36,435 | 2,030,820 | ||||||||||||
Gold 100 Ounce | ||||||||||||||||
expiration date 12/29/20 | 11 | 0.15 | 105,110 | 2,002,440 | ||||||||||||
expiration date 2/24/21 | 11 | 0.12 | 84,960 | 2,010,250 | ||||||||||||
Lean Hogs | ||||||||||||||||
expiration date 8/14/20 | 48 | (0.22 | ) | (155,140 | ) | 941,280 | ||||||||||
expiration date 10/14/20 | 49 | (0.07 | ) | (51,910 | ) | 967,260 | ||||||||||
expiration date 12/14/20 | 49 | (0.02 | ) | (13,330 | ) | 1,013,810 | ||||||||||
expiration date 2/12/21 | 49 | (0.02 | ) | (14,890 | ) | 1,174,040 | ||||||||||
Live Cattle | ||||||||||||||||
expiration date 10/30/20 | 33 | (0.08 | ) | (55,450 | ) | 1,316,370 | ||||||||||
expiration date 12/31/20 | 33 | 0.04 | 26,920 | 1,368,180 | ||||||||||||
expiration date 2/26/21 | 33 | 0.01 | 5,170 | 1,417,680 | ||||||||||||
Natural Gas | ||||||||||||||||
expiration date 8/27/20 | 35 | (0.12 | ) | (85,800 | ) | 626,150 | ||||||||||
expiration date 9/28/20 | 35 | (0.14 | ) | (100,950 | ) | 660,450 | ||||||||||
expiration date 10/28/20 | 35 | (0.08 | ) | (57,080 | ) | 798,700 | ||||||||||
expiration date 11/25/20 | 35 | (0.04 | ) | (28,810 | ) | 961,450 | ||||||||||
expiration date 12/29/20 | 36 | (0.05 | ) | (31,690 | ) | 1,037,880 | ||||||||||
NY Harbor ULSD | ||||||||||||||||
expiration date 8/31/20 | 16 | 0.05 | 37,750 | 808,819 | ||||||||||||
expiration date 9/30/20 | 16 | 0.11 | 76,142 | 821,251 | ||||||||||||
expiration date 10/30/20 | 16 | 0.11 | 75,113 | 832,742 | ||||||||||||
expiration date 11/30/20 | 16 | 0.02 | 16,535 | 841,747 | ||||||||||||
expiration date 12/31/20 | 15 | 0.02 | 15,981 | 797,580 | ||||||||||||
Platinum | ||||||||||||||||
expiration date 10/28/20 | 48 | 0.19 | 135,775 | 2,042,880 | ||||||||||||
expiration date 1/27/21 | 48 | 0.03 | 23,395 | 2,054,640 | ||||||||||||
Silver | ||||||||||||||||
expiration date 9/28/20 | 22 | 0.28 | 192,770 | 2,050,070 | ||||||||||||
expiration date 12/29/20 | 22 | 0.33 | 232,180 | 2,068,330 | ||||||||||||
Soybean | ||||||||||||||||
expiration date 11/13/20 | 46 | 0.03 | 23,850 | 2,029,175 |
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 |
Description | Contracts | Unrealized Appreciation/ (Depreciation) Percentage of Net Assets | Unrealized Appreciation/ (Depreciation) | Notional Value | ||||||||||||
expiration date 1/14/21 | 46 | 0.01 | % | $ | 8,700 | $ | 2,034,925 | |||||||||
Soybean Oil | ||||||||||||||||
expiration date 9/14/20 | 60 | (0.09 | ) | (64,914 | ) | 1,018,800 | ||||||||||
expiration date 10/14/20 | 60 | (0.09 | ) | (61,632 | ) | 1,024,920 | ||||||||||
expiration date 12/14/20 | 59 | 0.02 | 11,934 | 1,019,874 | ||||||||||||
expiration date 1/14/21 | 59 | (0.00 | ) | (696 | ) | 1,026,954 | ||||||||||
Sugar No. 11 | ||||||||||||||||
expiration date 9/30/20 | 150 | 0.21 | 144,581 | 2,009,280 | ||||||||||||
expiration date 2/26/21 | 149 | (0.04 | ) | (29,490 | ) | 2,096,013 | ||||||||||
Wheat | ||||||||||||||||
expiration date 9/14/20 | 82 | (0.21 | ) | (149,613 | ) | 2,016,175 | ||||||||||
expiration date 12/14/20 | 83 | (0.24 | ) | (170,600 | ) | 2,070,850 | ||||||||||
WTI Crude Oil | ||||||||||||||||
expiration date 8/20/20 | 21 | 0.35 | 246,030 | 826,140 | ||||||||||||
expiration date 9/22/20 | 21 | 0.30 | 207,320 | 829,080 | ||||||||||||
expiration date 10/20/20 | 21 | 0.30 | 205,720 | 831,180 | ||||||||||||
expiration date 11/20/20 | 20 | 0.03 | 22,070 | 793,600 | ||||||||||||
expiration date 12/21/20 | 20 | 0.02 | 15,720 | 795,600 | ||||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded) | 0.94 | % | $ | 653,974 | $ | 69,502,974 | ||||||||||
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 |
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 | ||||||||||||
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 June 30, | Six Months Ended June 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Income: | ||||||||||||||||
Interest income | $ | 71,845 | $ | 744,029 | $ | 456,166 | $ | 1,620,210 | ||||||||
Expenses: | ||||||||||||||||
Management fee to related party (Note 8) | 153,350 | 286,421 | 377,497 | 620,182 | ||||||||||||
Total expenses | 153,350 | 286,421 | 377,497 | 620,182 | ||||||||||||
Expense waivers (Note 8) | (18,041 | ) | (33,697 | ) | (44,411 | ) | (72,963 | ) | ||||||||
Net expenses | 135,309 | 252,724 | 333,086 | 547,219 | ||||||||||||
Net investment income (loss) | (63,464 | ) | 491,305 | 123,080 | 1,072,991 | |||||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: | ||||||||||||||||
Net Realized Gain (Loss) from: | ||||||||||||||||
Investments | — | 44 | 14,440 | (718 | ) | |||||||||||
Futures Contracts* | (10,173,582 | ) | (2,029,620 | ) | (13,966,619 | ) | (4,618,485 | ) | ||||||||
Net Realized Loss | (10,173,582 | ) | (2,029,576 | ) | (13,952,179 | ) | (4,619,203 | ) | ||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from: | ||||||||||||||||
Investments | (60,941 | ) | 14,270 | (10,519 | ) | 12,929 | ||||||||||
Futures Contracts | 14,237,053 | (41,919 | ) | (5,508,181 | ) | 7,150,450 | ||||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation | 14,176,112 | (27,649 | ) | (5,518,700 | ) | 7,163,379 | ||||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts | 4,002,530 | (2,057,225 | ) | (19,470,879 | ) | 2,544,176 | ||||||||||
Net Gain (Loss) | $ | 3,939,066 | $ | (1,565,920 | ) | $ | (19,347,799 | ) | $ | 3,617,167 | ||||||
* | $ | 30,743 | $ | 43,311 | $ | 61,030 | $ | 82,255 | ||||||||
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 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 March 31, 2020 | 50 | $ | 1,500 | $ | (759 | ) | $ | 741 | 5,050,000 | $ | 232,672,819 | $ | (157,797,448 | ) | $ | 74,875,371 | $ | 74,876,112 | ||||||||||||||||||
Creation of Units | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (600,000 | ) | (9,165,759 | ) | — | (9,165,759 | ) | (9,165,759 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Loss | — | — | (0 | )* | (0 | )* | — | — | (63,464 | ) | (63,464 | ) | (63,464 | ) | ||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (103 | ) | (103 | ) | — | — | (10,173,479 | ) | (10,173,479 | ) | (10,173,582 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 145 | 145 | — | — | 14,175,967 | 14,175,967 | 14,176,112 | |||||||||||||||||||||||||||
Net Gain | — | — | 42 | 42 | — | — | 3,939,024 | 3,939,024 | 3,939,066 | |||||||||||||||||||||||||||
Balance at June 30, 2020 | 50 | $ | 1,500 | $ | (717 | ) | $ | 783 | 4,450,000 | $ | 223,507,060 | $ | (153,858,424 | ) | $ | 69,648,636 | $ | 69,649,419 | ||||||||||||||||||
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 | Limited Units | Total | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
General Units | Accumulated | Total General Shareholders’ | Limited Units | Accumulated | Total Limited Shareholders’ | Total Shareholders’ | General Units | Accumulated | Total General Shareholders’ | Limited Units | Accumulated | Total Limited Shareholders’ | Total Shareholders’ | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | — | — | — | — | (2,350,000 | ) | (38,838,625 | ) | — | (38,838,625 | ) | (38,838,625 | ) | — | — | — | — | (2,950,000 | ) | (52,481,381 | ) | — | (52,481,381 | ) | (52,481,381 | ) | ||||||||||||||||||||||||||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 3 | 3 | — | — | 123,077 | 123,077 | 123,080 | — | — | 9 | 9 | — | — | 1,472,191 | 1,472,191 | 1,472,200 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (143 | ) | (143 | ) | — | — | (13,952,036 | ) | (13,952,036 | ) | (13,952,179 | ) | — | — | (57 | ) | (57 | ) | — | — | (8,310,880 | ) | (8,310,880 | ) | (8,310,937 | ) | ||||||||||||||||||||||||||||||||||||||||||||
Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | (17 | ) | (17 | ) | — | — | (5,518,683 | ) | (5,518,683 | ) | (5,518,700 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 51 | 51 | — | — | 8,065,505 | 8,065,505 | 8,065,556 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Loss | — | — | (157 | ) | (157 | ) | — | — | (19,347,642 | ) | (19,347,642 | ) | (19,347,799 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Gain | — | — | 3 | 3 | — | — | 1,226,816 | 1,226,816 | 1,226,819 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 March 31, 2019 | 50 | $ | 1,500 | $ | (598 | ) | $ | 902 | 7,950,000 | $ | 282,316,201 | $ | (138,909,298 | ) | $ | 143,406,903 | $ | 143,407,805 | ||||||||||||||||||
Creation of Units | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (700,000 | ) | (12,446,702 | ) | — | (12,446,702 | ) | (12,446,702 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 3 | 3 | — | — | 491,302 | 491,302 | 491,305 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (15 | ) | (15 | ) | — | — | (2,029,561 | ) | (2,029,561 | ) | (2,029,576 | ) | ||||||||||||||||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 2 | 2 | — | — | (27,651 | ) | (27,651 | ) | (27,649 | ) | ||||||||||||||||||||||||
Net Loss | — | — | (10 | ) | (10 | ) | — | — | (1,565,910 | ) | (1,565,910 | ) | (1,565,920 | ) | ||||||||||||||||||||||
Balance at June 30, 2019 | 50 | $ | 1,500 | $ | (608 | ) | $ | 892 | 7,250,000 | $ | 269,869,499 | $ | (140,475,208 | ) | $ | 129,394,291 | $ | 129,395,183 | ||||||||||||||||||
General Units | Limited Units | Total | ||||||||||||||||||||||||||||||||||
General Units | Accumulated | Total General Shareholders’ | Limited Units | Accumulated | Total Limited Shareholders’ | Total Shareholders’ | ||||||||||||||||||||||||||||||
Units | Amount | Deficit | Equity | Units | Amount | Deficit | Equity | Equity | ||||||||||||||||||||||||||||
Balance at December 31, 2018 | 50 | $ | 1,500 | $ | (625 | ) | $ | 875 | 8,850,000 | $ | 298,946,484 | $ | (144,092,358 | ) | $ | 154,854,126 | $ | 154,855,001 | ||||||||||||||||||
Creation of Units | — | — | — | — | 600,000 | 10,509,822 | — | 10,509,822 | 10,509,822 | |||||||||||||||||||||||||||
Redemption of Units | — | — | — | — | (2,200,000 | ) | (39,586,807 | ) | — | (39,586,807 | ) | (39,586,807 | ) | |||||||||||||||||||||||
Net Gain (Loss): | ||||||||||||||||||||||||||||||||||||
Net Investment Income | — | — | 6 | 6 | — | — | 1,072,985 | 1,072,985 | 1,072,991 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts | — | — | (31 | ) | (31 | ) | — | — | (4,619,172 | ) | (4,619,172 | ) | (4,619,203 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts | — | — | 42 | 42 | — | — | 7,163,337 | 7,163,337 | 7,163,379 | |||||||||||||||||||||||||||
Net Gain | — | — | 17 | 17 | — | — | 3,617,150 | 3,617,150 | 3,617,167 | |||||||||||||||||||||||||||
Balance at June 30, 2019 | 50 | $ | 1,500 | $ | (608 | ) | $ | 892 | 7,250,000 | $ | 269,869,499 | $ | (140,475,208 | ) | $ | 129,394,291 | $ | 129,395,183 | ||||||||||||||||||
2020 | 2019 | |||||||
Cash flows from operating activities | ||||||||
Net Gain (Loss) | $ | (19,347,799 | ) | $ | 3,617,167 | |||
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities: | ||||||||
(168,658,770 | ) | (291,508,240 | ) | |||||
219,953,521 | 311,942,737 | |||||||
(450,224 | ) | (1,590,731 | ) | |||||
(14,440 | ) | 718 | ||||||
10,519 | (12,929 | ) | ||||||
5,508,181 | (7,150,450 | ) | ||||||
(36,330 | ) | (15,347 | ) | |||||
Net cash provided by operating activities | 36,964,658 | 15,282,925 | ||||||
Cash flows from financing activities | ||||||||
Proceeds from creation of Limited Units | — | 19,258,643 | ||||||
Redemption of Limited Units | (38,838,625 | ) | (39,586,807 | ) | ||||
Net cash used for financing activities | (38,838,625 | ) | (20,328,164 | ) | ||||
Net decrease in cash | (1,873,967 | ) | (5,045,239 | ) | ||||
Cash* at beginning of period | 5,922,177 | 10,193,423 | ||||||
Cash* at end of period | $ | 4,048,210 | $ | 5,148,184 | ||||
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. |
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 | $ | — | $ | 64,990,566 | $ | — | $ | 64,990,566 | ||||||||
Unrealized appreciation on futures contracts | 653,974 | — | — | 653,974 | ||||||||||||
Total | $ | 653,974 | $ | 64,990,566 | $ | — | $ | 65,644,540 | ||||||||
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) | |||||||||
June 30, 2020 | Commodity Futures | $ | 653,974 | $ | — | |||||||
December 31, 2019 | Commodity Futures | $ | 6,162,155 | $ | — |
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 June 30, 2020 | Commodity Futures | $ | (10,173,582 | ) | $ | 14,237,053 | ||||||
Three months ended June 30, 2019 | Commodity Futures | (2,029,620 | ) | (41,919 | ) | |||||||
Six months ended June 30, 2020 | Commodity Futures | (13,966,619 | ) | (5,508,181 | ) | |||||||
Six months ended June 30, 2019 | Commodity Futures | (4,618,485 | ) | 7,150,450 |
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 June 30, 2020 | $ | 153,350 | $ | (18,041 | ) | $ | 135,309 | |||||
Three months ended June 30, 2019 | $ | 286,421 | $ | (33,697 | ) | $ | 252,724 | |||||
Six months ended June 30, 2020 | $ | 377,497 | $ | (44,411 | ) | $ | 333,086 | |||||
Six months ended June 30, 2019 | $ | 620,182 | $ | (72,963 | ) | $ | 547,219 | |||||
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 June 30, 2020 | Three Months Ended June 30, 2019 | Six Months Ended June 30, 2020 | Six Months Ended June 30, 2019 | |||||||||||||
Net Asset Value | ||||||||||||||||
Net asset value per Limited Share, beginning of period | $ | 14.83 | $ | 18.04 | $ | 18.80 | $ | 17.50 | ||||||||
Investment operations: | ||||||||||||||||
Net realized and unrealized gain (loss) (1) | 0.83 | (0.25 | ) | (3.17 | ) | 0.22 | ||||||||||
Net investment income (loss) (2) | (0.01 | ) | 0.06 | 0.02 | 0.13 | |||||||||||
Net increase (decrease) in net assets from operations | 0.82 | (0.19 | ) | (3.15 | ) | 0.35 | ||||||||||
Net asset value per Limited Share, end of period | $ | 15.65 | $ | 17.85 | $ | 15.65 | $ | 17.85 | ||||||||
Total Return, at net asset value (3) | 5.53 | % | (1.05 | )% | (16.76 | )% | 2.00 | % | ||||||||
Ratio/Supplemental Data: | ||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 69,649 | $ | 129,395 | $ | 69,649 | $ | 129,395 | ||||||||
Ratios to average net assets of: | ||||||||||||||||
Net investment income (4) | (0.35 | )% | 1.46 | % | 0.28 | % | 1.47 | % | ||||||||
Expenses, prior to expense waivers (4) | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||
Expenses, net of expense waivers (4) | 0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||
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 and 2019, respectively, and includes brokerage commissions of page |
(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 |
(4) | Annualized. |
Date | Net Asset Value Per Share | Total Shares | Net Assets | 1 Month | 3 Months | Year to Date | Cumulative Return Since Inception | |||||||||||||||||||||
7/31/2015 | $ | 20.14 | 12,350,050 | $ | 248,781,672 | -8.79 | % | -8.04 | % | -11.71 | % | -32.87 | % | |||||||||||||||
8/31/2015 | $ | 19.89 | 12,250,050 | $ | 243,701,247 | -1.24 | % | -7.53 | % | -12.80 | % | -33.70 | % | |||||||||||||||
9/30/2015 | $ | 19.48 | 12,350,050 | $ | 240,610,264 | -2.06 | % | -11.78 | % | -14.60 | % | -35.07 | % | |||||||||||||||
10/31/2015 | $ | 19.80 | 12,450,050 | $ | 246,482,902 | 1.64 | % | -1.69 | % | -13.20 | % | -34.00 | % | |||||||||||||||
11/30/2015 | $ | 18.65 | 12,600,050 | $ | 234,930,303 | -5.81 | % | -6.23 | % | -18.24 | % | -37.83 | % | |||||||||||||||
12/31/2015 | $ | 18.56 | 12,100,050 | $ | 224,518,525 | -0.48 | % | -4.72 | % | -18.63 | % | -38.13 | % | |||||||||||||||
1/31/2016 | $ | 18.08 | 11,800,050 | $ | 213,290,323 | -2.59 | % | -8.69 | % | -2.59 | % | -39.73 | % | |||||||||||||||
2/29/2016 | $ | 17.95 | 11,500,050 | $ | 206,423,399 | -0.72 | % | -3.75 | % | -3.29 | % | -40.17 | % | |||||||||||||||
3/31/2016 | $ | 18.73 | 11,350,050 | $ | 212,556,966 | 4.35 | % | 0.92 | % | 0.92 | % | -37.57 | % | |||||||||||||||
4/30/2016 | $ | 19.83 | 11,400,050 | $ | 226,055,159 | 5.87 | % | 9.68 | % | 6.84 | % | -33.90 | % | |||||||||||||||
5/31/2016 | $ | 19.61 | 11,450,050 | $ | 224,548,529 | -1.11 | % | 9.25 | % | 5.66 | % | -34.63 | % | |||||||||||||||
6/30/2016 | $ | 20.42 | 11,100,050 | $ | 226,681,895 | 4.13 | % | 9.02 | % | 10.02 | % | -31.93 | % | |||||||||||||||
7/31/2016 | $ | 19.83 | 11,350,050 | $ | 225,092,558 | -2.89 | % | 0.00 | % | 6.84 | % | -33.90 | % | |||||||||||||||
8/31/2016 | $ | 19.33 | 11,450,050 | $ | 221,349,718 | -2.52 | % | -1.43 | % | 4.15 | % | -35.57 | % | |||||||||||||||
9/30/2016 | $ | 19.51 | 10,950,050 | $ | 213,673,816 | 0.93 | % | -4.46 | % | 5.12 | % | -34.97 | % | |||||||||||||||
10/31/2016 | $ | 19.62 | 10,950,050 | $ | 214,888,405 | 0.56 | % | -1.06 | % | 5.71 | % | -34.60 | % | |||||||||||||||
11/30/2016 | $ | 19.39 | 11,300,050 | $ | 219,111,876 | -1.17 | % | 0.31 | % | 4.47 | % | -35.37 | % | |||||||||||||||
12/31/2016 | $ | 19.35 | 11,350,050 | $ | 219,660,595 | -0.21 | % | -0.82 | % | 4.26 | % | -35.50 | % | |||||||||||||||
1/31/2017 | $ | 19.82 | 11,350,050 | $ | 224,901,754 | 2.43 | % | 1.02 | % | 2.43 | % | -33.93 | % | |||||||||||||||
2/28/2017 | $ | 19.70 | 10,750,050 | $ | 211,819,623 | -0.61 | % | 1.60 | % | 1.81 | % | -34.33 | % | |||||||||||||||
3/31/2017 | $ | 19.25 | 10,150,050 | $ | 195,428,354 | -2.28 | % | -0.52 | % | -0.52 | % | -35.83 | % | |||||||||||||||
4/30/2017 | $ | 18.93 | 9,450,050 | $ | 178,936,038 | -1.66 | % | -4.49 | % | -2.17 | % | -36.90 | % | |||||||||||||||
5/31/2017 | $ | 18.85 | 8,900,050 | $ | 167,788,181 | -0.42 | % | -4.31 | % | -2.58 | % | -37.17 | % | |||||||||||||||
6/30/2017 | $ | 18.68 | 8,850,050 | $ | 165,359,886 | -0.90 | % | -2.96 | % | -3.46 | % | -37.73 | % | |||||||||||||||
7/31/2017 | $ | 19.15 | 8,750,050 | $ | 167,534,220 | 2.52 | % | 1.16 | % | -1.03 | % | -36.17 | % | |||||||||||||||
8/31/2017 | $ | 18.84 | 8,750,050 | $ | 164,834,840 | -1.62 | % | -0.05 | % | -2.64 | % | -37.20 | % | |||||||||||||||
9/30/2017 | $ | 18.76 | 8,550,050 | $ | 160,409,438 | -0.42 | % | 0.43 | % | -3.05 | % | -37.47 | % | |||||||||||||||
10/31/2017 | $ | 19.08 | 8,400,050 | $ | 160,283,921 | 1.71 | % | -0.37 | % | -1.40 | % | -36.40 | % | |||||||||||||||
11/30/2017 | $ | 19.11 | 8,200,050 | $ | 156,718,600 | 0.16 | % | 1.43 | % | -1.24 | % | -36.30 | % | |||||||||||||||
12/31/2017 | $ | 19.25 | 8,050,050 | $ | 154,956,309 | 0.73 | % | 2.61 | % | -0.52 | % | -35.83 | % |
Date | Net Asset Value Per Share | Total Shares | Net Assets | 1 Month | 3 Months | Year to Date | Cumulative Return Since Inception | |||||||||||||||||||||
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 | % | |||||||||||||||
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 | % |
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 | % | |||||
Metals | % | Gold 100 Ounce, Silver, Platinum, Copper | ||||
Softs | % | Coffee “C”, Cocoa, Sugar No. 11, Cotton No. 2 |
Description | Range of Expiration Dates | Number of Contracts | Weighted- Average Price per Contract | Contract Multiplier | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Energy | ||||||||||||||||||||||
Natural Gas | August 2020—December 2020 | 176 | $ | 2.32 | 10,000 | $ | 4,084,630 | $ | (304,330 | ) | ||||||||||||
NY Harbor ULSD | August 2020—December 2020 | 79 | 1.24 | 42,000 | 4,102,139 | 221,521 | ||||||||||||||||
WTI Crude Oil | August 2020—December 2020 | 103 | 39.57 | 1,000 | 4,075,600 | 696,860 | ||||||||||||||||
Grains | ||||||||||||||||||||||
Corn | September 2020—December 2020 | 236 | 3.46 | 5,000 | 4,082,800 | (57,262 | ) | |||||||||||||||
Soybean | November 2020—January 2021 | 92 | 8.84 | 5,000 | 4,064,100 | 32,550 | ||||||||||||||||
Soybean Oil | September 2020—January 2021 | 238 | 0.29 | 60,000 | 4,090,548 | (115,308 | ) | |||||||||||||||
Wheat | September 2020—December 2020 | 165 | 4.95 | 5,000 | 4,087,025 | (320,213 | ) | |||||||||||||||
Livestock | ||||||||||||||||||||||
Lean Hogs | August 2020—February 2021 | 195 | 0.53 | 40,000 | 4,096,390 | (235,270 | ) | |||||||||||||||
Live Cattle | October 2020—February 2021 | 99 | 1.04 | 40,000 | 4,102,230 | (23,360 | ) | |||||||||||||||
Metals | ||||||||||||||||||||||
Copper | September 2020—December 2020 | 60 | 2.74 | 25,000 | 4,103,250 | 335,438 | ||||||||||||||||
Gold 100 Ounce | December 2020—February 2021 | 22 | 1,823.95 | 100 | 4,012,690 | 190,070 | ||||||||||||||||
Platinum | October 2020—January 2021 | 96 | 853.65 | 50 | 4,097,520 | 159,170 | ||||||||||||||||
Silver | September 2020—December 2020 | 44 | 18.72 | 5,000 | 4,118,400 | 424,950 | ||||||||||||||||
Softs | ||||||||||||||||||||||
Cocoa | September 2020—December 2020 | 188 | 2,185.50 | 10 | 4,108,740 | (383,990 | ) | |||||||||||||||
Coffee “C” | September 2020—December 2020 | 107 | 1.02 | 37,500 | 4,101,319 | (274,388 | ) | |||||||||||||||
Cotton No. 2 | December 2020—March 2021 | 133 | 0.61 | 50,000 | 4,070,300 | 192,445 | ||||||||||||||||
Sugar No. 11 | September 2020—February 2021 | 299 | 0.12 | 112,000 | 4,105,293 | 115,091 | ||||||||||||||||
$ | 69,502,974 | $ | 653,974 | |||||||||||||||||||
Description | Range of 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 | 0.08% – 0.15% | July 2020 – September 2020 | $ | 65,000,000 | $ | 64,990,566 | $ | (215 | ) |
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 | ||||||||||||
April 1, 2020 to April 30, 2020 | 100,000 | $ | 14.39 | N/A | N/A | |||||||||||
May 1, 2020 to May 31, 2020 | 100,000 | $ | 14.90 | N/A | N/A | |||||||||||
June 1, 2020 to June 30, 2020 | 400,000 | $ | 15.59 | N/A | N/A | |||||||||||
Total | 600,000 | $ | 15.28 | N/A | N/A | |||||||||||
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 | |||||||||||
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: |