Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21864
WisdomTree Trust
(Exact name of registrant as specified in charter)
245 Park Avenue, 35th Floor
New York, NY 10167
(Address of principal executive offices) (Zip code)
The Corporation Trust Company
1209 Orange Street
Wilmington, DE 19801
(Name and address of agent for service)
Registrant’s telephone number, including area code: (866) 909-9473
Date of fiscal year end: August 31
Date of reporting period: February 28, 2018
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Table of Contents
Item 1. | Reports to Stockholders. |
The Report to Shareholders is attached herewith.
Table of Contents
WisdomTree Trust
Currency Strategy, Fixed Income and Alternative Funds
Semi-Annual Report
February 28, 2018
Currency Strategy Funds:
WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)
WisdomTree Brazilian Real Strategy Fund (BZF)
WisdomTree Chinese Yuan Strategy Fund (CYB)
WisdomTree Emerging Currency Strategy Fund (CEW)
Fixed Income Funds:
WisdomTree Asia Local Debt Fund (ALD)
WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund (AGND)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
WisdomTree Bloomberg Floating Rate Treasury Fund (USFR)
WisdomTree Emerging Markets Corporate Bond Fund (EMCB)
WisdomTree Emerging Markets Local Debt Fund (ELD)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
WisdomTree Negative Duration High Yield Bond Fund (HYND)
Alternative Funds:
WisdomTree CBOE Russell 2000 PutWrite Strategy Fund (RPUT)
WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW)
WisdomTree Managed Futures Strategy Fund (WTMF)
Table of Contents
1 | ||||
18 | ||||
24 | ||||
Schedules of Investments (unaudited) | ||||
27 | ||||
31 | ||||
32 | ||||
33 | ||||
34 | ||||
WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund | 36 | |||
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund | 42 | |||
51 | ||||
WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund | 75 | |||
78 | ||||
79 | ||||
82 | ||||
85 | ||||
94 | ||||
101 | ||||
102 | ||||
103 | ||||
104 | ||||
108 | ||||
112 | ||||
118 | ||||
127 | ||||
Approval of Investment Advisory and Sub-Advisory Agreements (unaudited) | 145 | |||
149 |
“WisdomTree” is a registered mark of WisdomTree Investments, Inc. and is licensed for use by the WisdomTree Trust.
Table of Contents
Performance Summary (unaudited)
WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)
Investment Breakdown†
as of 2/28/18
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 96.7% | |||
Other Assets less Liabilities‡ | 3.3% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Holdings* as of 2/28/18
Description | % of Net Assets | |||
U.S. Treasury Bill, | 48.4% | |||
U.S. Treasury Bill, | 48.3% |
* | The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree Bloomberg U.S. Dollar Bullish Fund (the ‘‘Fund’’) seeks to provide total returns, before fees and expenses, that exceed the performance of the Bloomberg Dollar Total Return Index (the ‘‘Index’’).
The following performance table is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessments of the underlying value of the Fund’s portfolio securities.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore, index returns do not reflect deductions for fees or expenses and the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2018, the Fund’s annual expense ratio was 0.50%.
Performance as of 2/28/18
Average Annual Total Return | ||||||||||||||||
6-Month* | 1 Year | 3 Year | Since Inception1 | |||||||||||||
Fund NAV Returns | -1.01 | % | -7.64 | % | -1.10 | % | 2.13 | % | ||||||||
Fund Market Price Returns | -1.05 | % | -7.75 | % | -1.14 | % | 2.11 | % | ||||||||
Bloomberg Dollar Total Return Index | -0.96 | % | -7.58 | % | -0.86 | % | 2.56 | % | ||||||||
Bloomberg Dollar Spot Index | -1.51 | % | -8.38 | % | -1.06 | % | 2.57 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on December 18, 2013. |
Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. eastern time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 1 |
Table of Contents
Performance Summary (unaudited)
WisdomTree Brazilian Real Strategy Fund (BZF)
Investment Breakdown† as of 2/28/18
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 66.1% | |||
Repurchase Agreement | 31.9% | |||
Other Assets less Liabilities‡ | 2.0% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Holdings* as of 2/28/18
Description | % of Net Assets | |||
U.S. Treasury Bill, | 66.1% | |||
Citigroup, Inc., tri-party repurchase agreement, | 31.9% |
* | The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
†† | Fully collateralized by U.S. Government securities. |
The WisdomTree Brazilian Real Strategy Fund (the ‘‘Fund’’) seeks to achieve total returns reflective of both money market rates in Brazil available to foreign investors and changes in value of the Brazilian real relative to the U.S. dollar. The Brazilian real is a developing market currency, which can experience periods of significant volatility. Although the Fund invests in very short-term, investment grade instruments, the Fund is not a ‘‘money market’’ fund and it is not the objective of the Fund to maintain a constant share price.
The following performance table is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessments of the underlying value of the Fund’s portfolio securities.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore, index returns do not reflect deductions for fees or expenses and the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2018, the Fund’s annual expense ratio was 0.45%.
Performance as of 2/28/18
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | -0.63 | % | 2.51 | % | 5.50 | % | -0.97 | % | 1.36 | % | ||||||||||
Fund Market Price Returns | -0.85 | % | 2.40 | % | 5.18 | % | -1.01 | % | 1.21 | % | ||||||||||
JP Morgan Emerging Local Markets Index Plus (ELMI+) Brazil | -0.23 | % | 3.08 | % | 6.03 | % | -0.48 | % | 2.27 | % | ||||||||||
Brazilian real | -3.15 | % | -4.24 | % | -4.17 | % | -9.45 | % | -6.63 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on May 14, 2008. |
Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. eastern time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.
2 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Performance Summary (unaudited)
WisdomTree Chinese Yuan Strategy Fund (CYB)
Investment Breakdown† as of 2/28/18
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 61.7% | |||
Repurchase Agreement | 31.0% | |||
Other Assets less Liabilities‡ | 7.3% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Holdings* as of 2/28/18
Description | % of Net Assets | |||
U.S. Treasury Bill, | 39.9% | |||
Citigroup, Inc., tri-party repurchase agreement, | 31.0% | |||
U.S. Treasury Bill, | 21.8% |
* | The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
†† | Fully collateralized by U.S. Government and U.S. Government agency securities. |
The WisdomTree Chinese Yuan Strategy Fund (the ‘‘Fund”) seeks to achieve total returns reflective of both money market rates in China available to foreign investors and changes in value of the Chinese yuan relative to the U.S. dollar. The Chinese yuan is a developing market currency, which can experience periods of significant volatility. Although the Fund invests in very short-term, investment grade instruments, the Fund is not a “money market” fund and it is not the objective of the Fund to maintain a constant share price.
The following performance table is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessments of the underlying value of the Fund’s portfolio securities.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore, index returns do not reflect deductions for fees or expenses and the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2018, the Fund’s annual expense ratio was 0.45%.
Performance as of 2/28/18
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | 5.91 | % | 11.92 | % | 2.43 | % | 1.97 | % | 1.87 | % | ||||||||||
Fund Market Price Returns | 5.79 | % | 11.87 | % | 2.50 | % | 2.00 | % | 1.77 | % | ||||||||||
JP Morgan Emerging Local Markets Index Plus (ELMI+) China | 6.21 | % | 12.80 | % | 4.34 | % | 2.98 | % | 2.98 | % | ||||||||||
Chinese yuan | 4.30 | % | 8.51 | % | -0.99 | % | -0.35 | % | 1.02 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on May 14, 2008. |
Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. eastern time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 3 |
Table of Contents
Performance Summary (unaudited)
WisdomTree Emerging Currency Strategy Fund (CEW)
Investment Breakdown† as of 2/28/18
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 63.4% | |||
Repurchase Agreement | 32.0% | |||
Other Assets less Liabilities‡ | 4.6% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Holdings* as of 2/28/18
Description | % of Net Assets | |||
U.S. Treasury Bill, | 34.8% | |||
Citigroup, Inc., tri-party repurchase agreement, | 32.0% | |||
U.S. Treasury Bill, | 28.6% |
* | The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
†† | Fully collateralized by U.S. Government securities. |
The WisdomTree Emerging Currency Strategy Fund (the ‘‘Fund’’) seeks to achieve total returns reflective of both money market rates in selected emerging market countries available to foreign investors and changes to the value of these currencies relative to the U.S. dollar. Emerging market currencies can experience periods of significant volatility. Although the Fund invests in short-term, investment grade instruments, the Fund is not a ‘’money market’’ fund and it is not the objective of the Fund to maintain a constant share price.
The following performance table is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessments of the underlying value of the Fund’s portfolio securities.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore, index returns do not reflect deductions for fees or expenses and the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2018, the Fund’s annual expense ratio was 0.55%.
Performance as of 2/28/18
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | 3.55 | % | 9.20 | % | 2.49 | % | -1.29 | % | 1.02 | % | ||||||||||
Fund Market Price Returns | 3.34 | % | 9.46 | % | 2.53 | % | -1.27 | % | 0.90 | % | ||||||||||
JP Morgan Emerging Local Markets Index Plus (ELMI+) | 3.19 | % | 9.69 | % | 3.43 | % | -0.25 | % | 1.81 | % | ||||||||||
Equal-Weighted Emerging Currency Composite | 3.94 | % | 10.09 | % | 3.35 | % | -0.48 | % | 1.83 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on May 6, 2009. |
Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. eastern time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.
4 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Performance Summary (unaudited)
WisdomTree Asia Local Debt Fund (ALD)
Country Breakdown† as of 2/28/18
Country | % of Net Assets | |||
Thailand | 12.7% | |||
Australia | 12.4% | |||
India | 11.5% | |||
Indonesia | 10.1% | |||
New Zealand | 6.4% | |||
Malaysia | 6.4% | |||
Hong Kong | 6.1% | |||
South Korea | 4.9% | |||
Singapore | 4.8% | |||
Philippines | 4.7% | |||
China | 4.6% | |||
Supranational Bonds | 3.3% | |||
Other Assets less Liabilities‡ | 12.1% | |||
Total | 100.0% |
† | The Fund’s country breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Ten Holdings* as of 2/28/18
Description | % of Net Assets | |||
India Government Bond, | 5.0% | |||
India Government Bond, | 4.8% | |||
South Australian Government Financing Authority, | 3.6% | |||
Thailand Government Bond, | 2.9% | |||
Queensland Treasury Corp., | 2.9% | |||
China Government Bond, | 2.6% | |||
Hong Kong Government Bond Programme, | 2.6% | |||
Treasury Corp. of Victoria, | 2.5% | |||
Indonesia Treasury Bond, | 2.5% | |||
Indonesia Treasury Bond, | 2.4% |
* | The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree Asia Local Debt Fund (the ‘‘Fund’’) seeks a high level of total return consisting of both income and capital appreciation. The Fund attempts to achieve its objective through investments in fixed income instruments denominated in the currencies of a broad range of Asian countries.
The following performance table is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessments of the underlying value of the Fund’s portfolio securities.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore, index returns do not reflect deductions for fees or expenses and the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2018, the Fund’s annual expense ratio was 0.55%.
Performance as of 2/28/18
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | 1.39 | % | 5.53 | % | 1.27 | % | -0.72 | % | 0.75 | % | ||||||||||
Fund Market Price Returns | 1.36 | % | 5.51 | % | 1.42 | % | -0.72 | % | 0.74 | % | ||||||||||
Markit iBoxx Asian Local Bond Index | 2.36 | % | 7.06 | % | 2.61 | % | 1.31 | % | 2.87 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on March 17, 2011. |
Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. eastern time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 5 |
Table of Contents
Performance Summary (unaudited)
WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
Investment Breakdown†
as of 2/28/18
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 35.3% | |||
U.S. Government Agencies | 28.2% | |||
Corporate Bonds | 24.4% | |||
Commercial Mortgage-Backed Securities | 2.8% | |||
Foreign Corporate Bonds | 2.5% | |||
Foreign Government Obligations | 1.2% | |||
Municipal Bond | 0.6% | |||
Asset-Backed Securities | 0.5% | |||
Supranational Bond | 0.1% | |||
Other Assets less Liabilities‡ | 4.4% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Ten Holdings* as of 2/28/18
Description | % of Net Assets | |||
U.S. Treasury Note, | 6.5% | |||
U.S. Treasury Bond, | 2.9% | |||
U.S. Treasury Note, | 2.5% | |||
U.S. Treasury Note, | 2.3% | |||
U.S. Treasury Bond, | 1.8% | |||
U.S. Treasury Note, | 1.7% | |||
U.S. Treasury Note, | 1.7% | |||
U.S. Treasury Note, | 1.1% | |||
U.S. Treasury Note, | 1.0% | |||
U.S. Treasury Note, | 1.0% |
* | The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund (the ‘‘Fund’’) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Zero Duration (the ‘‘Index’’).
The following performance table is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessments of the underlying value of the Fund’s portfolio securities.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore, index returns do not reflect deductions for fees or expenses and the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2018, the Fund’s annual expense ratio was 0.23%.
Performance as of 2/28/18
Average Annual Total Return | ||||||||||||||||
6-Month* | 1 Year | 3 Year | Since Inception1 | |||||||||||||
Fund NAV Returns | 1.65 | % | 2.40 | % | 1.17 | % | 0.97 | % | ||||||||
Fund Market Price Returns | 1.73 | % | 2.53 | % | 1.27 | % | 1.04 | % | ||||||||
Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Zero Duration | 1.68 | % | 2.74 | % | 1.63 | % | 1.51 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NASDAQ on December 18, 2013. |
Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. eastern time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.
6 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Performance Summary (unaudited)
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund (AGND)
Investment Breakdown†
as of 2/28/18
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 34.2% | |||
U.S. Government Agencies | 27.8% | |||
Corporate Bonds | 24.6% | |||
Foreign Corporate Bonds | 5.0% | |||
Commercial Mortgage-Backed Securities | 1.8% | |||
Foreign Government Obligations | 0.8% | |||
Asset-Backed Securities | 0.7% | |||
Foreign Government Agencies | 0.6% | |||
Supranational Bonds | 0.6% | |||
Municipal Bonds | 0.2% | |||
U.S. Government Agencies Sold Short | -0.3% | |||
Other Assets less Liabilities‡ | 4.0% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Ten Holdings* as of 2/28/18
Description | % of Net Assets | |||
U.S. Treasury Note, | 1.6% | |||
Federal Home Loan Mortgage Corp., | 1.4% | |||
U.S. Treasury Note, | 1.4% | |||
U.S. Treasury Note, | 1.3% | |||
Federal National Mortgage Association, | 1.2% | |||
U.S. Treasury Bond, | 1.0% | |||
U.S. Treasury Note, | 1.0% | |||
U.S. Treasury Note, | 1.0% | |||
U.S. Treasury Note, | 1.0% | |||
U.S. Treasury Note, | 0.9% |
* | The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund (the ‘‘Fund’’) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Negative Five Duration (the ‘‘Index’’).
The following performance table is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessments of the underlying value of the Fund���s portfolio securities.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore, index returns do not reflect deductions for fees or expenses and the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2018, the Fund’s annual expense ratio was 0.28%.
Performance as of 2/28/18
Average Annual Total Return | ||||||||||||||||
6-Month* | 1 Year | 3 Year | Since Inception1 | |||||||||||||
Fund NAV Returns | 3.93 | % | 2.89 | % | 1.27 | % | -1.18 | % | ||||||||
Fund Market Price Returns | 4.07 | % | 2.96 | % | 1.38 | % | -1.04 | % | ||||||||
Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Negative Five Duration | 4.08 | % | 3.41 | % | 2.07 | % | -0.40 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NASDAQ on December 18, 2013. |
Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. eastern time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 7 |
Table of Contents
Performance Summary (unaudited)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
Investment Breakdown†
as of 2/28/18
Investment Type | % of Net Assets | |||
Corporate Bonds | 40.8% | |||
U.S. Government Agencies | 24.7% | |||
U.S. Government Obligations | 15.6% | |||
Foreign Corporate Bonds | 7.7% | |||
Commercial Mortgage-Backed Securities | 6.9% | |||
Foreign Government Obligations | 3.1% | |||
Municipal Bonds | 0.3% | |||
Foreign Government Agencies | 0.2% | |||
Other Assets less Liabilities‡ | 0.7% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Ten Holdings* as of 2/28/18
Description | % of Net Assets | |||
U.S. Treasury Note, | 1.0% | |||
U.S. Treasury Note, | 0.7% | |||
U.S. Treasury Note, | 0.5% | |||
Federal National Mortgage Association, | 0.5% | |||
U.S. Treasury Note, | 0.5% | |||
U.S. Treasury Note, | 0.4% | |||
U.S. Treasury Note, | 0.4% | |||
Federal National Mortgage Association, | 0.4% | |||
Federal National Mortgage Association, | 0.3% | |||
Federal National Mortgage Association, | 0.3% |
* | The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (the ‘‘Fund’’) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg Barclays U.S. Aggregate Enhanced Yield Index.
The following performance table is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessments of the underlying value of the Fund’s portfolio securities.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore, index returns do not reflect deductions for fees or expenses and the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2018, the Fund’s net and gross annual expense ratios were 0.12% and 0.20%, respectively. WisdomTree Asset Management, Inc. has contractually agreed to limit the management fee to 0.12% through December 31, 2018, unless earlier terminated by the Board of Trustees of the Trust for any reason at any time.
Performance as of 2/28/18
Average Annual Total Return | ||||||||||||
6-Month* | 1 Year | Since Inception1 | ||||||||||
Fund NAV Returns | -2.08 | % | 1.38 | % | 2.46 | % | ||||||
Fund Market Price Returns | -2.29 | % | 1.19 | % | 2.44 | % | ||||||
Bloomberg Barclays U.S. Aggregate Enhanced Yield Index | -1.93 | % | 1.69 | % | 2.68 | % | ||||||
Bloomberg Barclays U.S. Aggregate Index | -2.18 | % | 0.51 | % | 1.70 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on July 9, 2015. |
Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. eastern time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.
8 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Performance Summary (unaudited)
WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
Investment Breakdown†
as of 2/28/18
Investment Type | % of Net Assets | |||
Corporate Bonds | 51.1% | |||
U.S. Government Obligations | 27.3% | |||
Foreign Corporate Bonds | 9.3% | |||
Commercial Mortgage-Backed Securities | 9.2% | |||
U.S. Government Agencies | 3.8% | |||
Foreign Government Obligations | 2.1% | |||
Other Assets less Liabilities‡ | -2.8% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Ten Holdings* as of 2/28/18
Description | % of Net Assets | |||
U.S. Treasury Note, | 4.7% | |||
U.S. Treasury Bill, | 3.7% | |||
U.S. Treasury Note, | 3.3% | |||
Federal National Mortgage Association, | 3.2% | |||
COMM Mortgage Trust, | 2.3% | |||
U.S. Treasury Note, | 2.3% | |||
U.S. Treasury Note, | 2.3% | |||
JPMCC Commercial Mortgage Securities Trust, | 2.3% | |||
U.S. Treasury Note, | 2.3% | |||
U.S. Treasury Note, | 2.3% |
* | The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund (the ‘‘Fund’’) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg Barclays U.S. Short Aggregate Enhanced Yield Index.
The following performance table is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessments of the underlying value of the Fund’s portfolio securities.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore, index returns do not reflect deductions for fees or expenses and the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2018, the Fund’s net and gross annual expense ratios were 0.12% and 0.20%, respectively. WisdomTree Asset Management, Inc. has contractually agreed to limit the management fee to 0.12% through December 31, 2018, unless earlier terminated by the Board of Trustees of the Trust for any reason at any time.
Performance as of 2/28/18
Cumulative Total Return | ||||||||
6-Month | Since Inception1 | |||||||
Fund NAV Returns | -1.39 | % | -0.54 | % | ||||
Fund Market Price Returns | -1.25 | % | -0.32 | % | ||||
Bloomberg Barclays U.S. Short Aggregate Enhanced Yield Index | -1.26 | % | -0.32 | % |
1 | Total returns are calculated based on the commencement of Fund trading on the Cboe BZX Exchange, Inc. on May 18, 2017. |
Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. eastern time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 9 |
Table of Contents
Performance Summary (unaudited)
WisdomTree Bloomberg Floating Rate Treasury Fund (USFR)
Investment Breakdown†
as of 2/28/18
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 99.8% | |||
Other Assets less Liabilities‡ | 0.2% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Holdings* as of 2/28/18
Description | % of Net Assets | |||
U.S. Treasury Floating Rate Notes, | 26.8% | |||
U.S. Treasury Floating Rate Notes, | 26.8% | |||
U.S. Treasury Floating Rate Notes, | 26.7% | |||
U.S. Treasury Floating Rate Notes, | 19.5% |
* | The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree Bloomberg Floating Rate Treasury Fund (the ‘‘Fund’’) seeks to track the price and yield performance, before fees and expenses, of an index that measures the performance of the market for floating rate public obligations of the U.S. Treasury.
The following performance table is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessments of the underlying value of the Fund’s portfolio securities.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore, index returns do not reflect deductions for fees or expenses and the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2018, the Fund’s net and gross annual expense ratios were 0.15% and 0.20%, respectively. WisdomTree Asset Management, Inc. has contractually agreed to limit the management fee to 0.15% through December 31, 2018, unless earlier terminated by the Board of Trustees of the Trust for any reason at any time.
Performance as of 2/28/18
Average Annual Total Return | ||||||||||||||||
6-Month* | 1 Year | 3 Year | Since Inception1 | |||||||||||||
Fund NAV Returns | 0.65 | % | 1.18 | % | 0.61 | % | 0.43 | % | ||||||||
Fund Market Price Returns | 0.81 | % | 1.42 | % | 0.69 | % | 0.39 | % | ||||||||
Bloomberg U.S. Treasury Floating Rate Bond Index | 0.75 | % | 1.38 | % | 0.77 | % | 0.59 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on February 4, 2014. |
Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. eastern time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.
10 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Performance Summary (unaudited)
WisdomTree Emerging Markets Corporate Bond Fund (EMCB)
Country Breakdown† as of 2/28/18
Country | % of Net Assets | |||
Russia | 13.8% | |||
Brazil | 10.5% | |||
Mexico | 9.4% | |||
India | 6.9% | |||
Chile | 6.4% | |||
Turkey | 5.7% | |||
Peru | 5.0% | |||
China | 5.0% | |||
Argentina | 4.5% | |||
United Arab Emirates | 4.4% | |||
Israel | 3.2% | |||
Kazakhstan | 2.3% | |||
Colombia | 2.2% | |||
Singapore | 2.2% | |||
Morocco | 2.1% | |||
South Korea | 2.0% | |||
Jamaica | 2.0% | |||
Luxembourg | 1.6% | |||
Hong Kong | 1.4% | |||
Indonesia | 1.2% | |||
Thailand | 1.2% | |||
Panama | 1.0% | |||
Zambia | 0.8% | |||
Kuwait | 0.5% | |||
South Africa | 0.4% | |||
Nigeria | 0.4% | |||
Other Assets less Liabilities‡ | 3.9% | |||
Total | 100.0% |
† | The Fund’s country breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Ten Holdings* as of 2/28/18
Description | % of Net Assets | |||
Cemex S.A.B. de C.V., | 2.7% | |||
Gazprom Neft OAO Via GPN Capital S.A., | 2.4% | |||
KazMunayGas National Co. JSC, | 2.3% | |||
Oversea-Chinese Banking Corp., Ltd., | 2.2% | |||
OCP S.A., | 2.1% | |||
Woori Bank, | 2.0% | |||
Abu Dhabi National Energy Co. PJSC, | 2.0% | |||
Bharti Airtel Ltd., | 2.0% | |||
Petrobras Global Finance B.V., | 1.9% | |||
Reliance Industries Ltd., | 1.9% |
* | The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree Emerging Markets Corporate Bond Fund (the ‘‘Fund’’) seeks a high level of total return consisting of both income and capital appreciation. The Fund attempts to achieve its objective through investments in debt securities issued by corporate entities that are domiciled in, or economically tied to, emerging market countries.
The following performance table is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessments of the underlying value of the Fund’s portfolio securities.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore, index returns do not reflect deductions for fees or expenses and the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2018, the Fund’s annual expense ratio was 0.60%.
Performance as of 2/28/18
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | 0.44 | % | 4.68 | % | 4.18 | % | 2.60 | % | 3.86 | % | ||||||||||
Fund Market Price Returns | 0.90 | % | 4.52 | % | 4.45 | % | 2.52 | % | 3.87 | % | ||||||||||
JP Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad | 0.01 | % | 4.02 | % | 5.63 | % | 4.02 | % | 5.02 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NASDAQ on March 8, 2012. |
Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. eastern time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 11 |
Table of Contents
Performance Summary (unaudited)
WisdomTree Emerging Markets Local Debt Fund (ELD)
Country Breakdown† as of 2/28/18
Country | % of Net Assets | |||
Russia | 10.6% | |||
Brazil | 10.3% | |||
Indonesia | 8.5% | |||
Poland | 6.2% | |||
Colombia | 5.9% | |||
India | 5.6% | |||
Thailand | 4.9% | |||
Turkey | 4.8% | |||
South Africa | 4.8% | |||
Supranational Bonds | 4.3% | |||
Mexico | 3.2% | |||
China | 3.1% | |||
Malaysia | 3.1% | |||
Chile | 3.1% | |||
Peru | 3.0% | |||
Romania | 3.0% | |||
Hungary | 3.0% | |||
Philippines | 2.9% | |||
Argentina | 2.5% | |||
Other Assets less Liabilities‡ | 7.2% | |||
Total | 100.0% |
† | The Fund’s country breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Ten Holdings* as of 2/28/18
Description | % of Net Assets | |||
Brazil Letras do Tesouro Nacional, | 3.3% | |||
Brazil Notas do Tesouro Nacional, | 3.2% | |||
Russian Federal Bond - OFZ, | 1.9% | |||
Indonesia Treasury Bond, | 1.7% | |||
Indonesia Treasury Bond, | 1.6% | |||
Indonesia Treasury Bond, | 1.6% | |||
Colombian TES, | 1.5% | |||
Colombian TES, | 1.5% | |||
Indonesia Treasury Bond, | 1.5% | |||
RussianFederal Bond - OFZ, | 1.5% |
* | The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree Emerging Markets Local Debt Fund (the ‘‘Fund’’) seeks a high level of total return consisting of both income and capital appreciation. The Fund attempts to achieve its objective through investments in fixed income instruments denominated in the local currencies of emerging market countries.
The following performance table is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessments of the underlying value of the Fund’s portfolio securities.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore, index returns do not reflect deductions for fees or expenses and the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2018, the Fund’s annual expense ratio was 0.55%.
Performance as of 2/28/18
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | 3.19 | % | 10.86 | % | 3.39 | % | -1.56 | % | 1.10 | % | ||||||||||
Fund Market Price Returns | 2.99 | % | 10.83 | % | 3.25 | % | -1.61 | % | 0.99 | % | ||||||||||
JP Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified Index | 3.88 | % | 14.43 | % | 4.02 | % | -0.97 | % | 1.80 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on August 9, 2010. |
Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. eastern time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.
12 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Performance Summary (unaudited)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
Investment Breakdown†
as of 2/28/18
Investment Type | % of Net Assets | |||
Corporate Bonds | 83.1% | |||
Foreign Corporate Bonds | 12.7% | |||
Other Assets less Liabilities‡ | 4.2% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Ten Holdings* as of 2/28/18
Description | % of Net Assets | |||
Tenet Healthcare Corp., | 0.8% | |||
SFR Group S.A., | 0.8% | |||
Navient Corp., | 0.7% | |||
Valeant Pharmaceuticals International, Inc., | 0.7% | |||
Intelsat Jackson Holdings S.A., | 0.6% | |||
Sprint Corp., | 0.6% | |||
Navient Corp., | 0.6% | |||
iHeartCommunications, Inc., | 0.6% | |||
Bombardier, Inc., | 0.6% | |||
Freeport-McMoRan, Inc., | 0.6% |
* | The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree Interest Rate Hedged High Yield Bond Fund (the ‘‘Fund’’) seeks to track the price and yield performance, before fees and expenses, of the ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index (the ‘‘Index’’).
The following performance table is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessments of the underlying value of the Fund’s portfolio securities.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore, index returns do not reflect deductions for fees or expenses and the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2018, the Fund’s annual expense ratio was 0.43%.
Performance as of 2/28/18
Average Annual Total Return | ||||||||||||||||
6-Month* | 1 Year | 3 Year | Since Inception1 | |||||||||||||
Fund NAV Returns | 3.30 | % | 5.62 | % | 4.75 | % | 3.69 | % | ||||||||
Fund Market Price Returns | 3.29 | % | 5.33 | % | 4.90 | % | 3.66 | % | ||||||||
ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index | 3.34 | % | 5.76 | % | 5.30 | % | 4.25 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NASDAQ on December 18, 2013. |
Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. eastern time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 13 |
Table of Contents
Performance Summary (unaudited)
WisdomTree Negative Duration High Yield Bond Fund (HYND)
Investment Breakdown† as of 2/28/18
Investment Type | % of Net Assets | |||
Corporate Bonds | 87.3% | |||
Foreign Corporate Bonds | 8.1% | |||
Other Assets less Liabilities‡ | 4.6% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Ten Holdings* as of 2/28/18
Description | % of Net Assets | |||
Ally Financial, Inc., | 1.1% | |||
NXP B.V., | 1.1% | |||
Valeant Pharmaceuticals International, Inc., | 1.0% | |||
Navient Corp., | 0.8% | |||
CenturyLink, Inc., | 0.8% | |||
Lennar Corp., | 0.8% | |||
Dell, Inc., | 0.8% | |||
DISH DBS Corp., | 0.7% | |||
HCA Healthcare, Inc., | 0.7% | |||
Sprint Corp., | 0.6% |
* | The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree Negative Duration High Yield Bond Fund (the ‘‘Fund’’) seeks to track the price and yield performance, before fees and expenses, of the ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Negative Seven Duration Index (the ‘‘Index’’).
The following performance table is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessments of the underlying value of the Fund’s portfolio securities.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore, index returns do not reflect deductions for fees or expenses and the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2018, the Fund’s annual expense ratio was 0.48%.
Performance as of 2/28/18
Average Annual Total Return | ||||||||||||||||
6-Month* | 1 Year | 3 Year | Since Inception1 | |||||||||||||
Fund NAV Returns | 7.43 | % | 6.66 | % | 4.69 | % | 0.69 | % | ||||||||
Fund Market Price Returns | 8.11 | % | 7.28 | % | 5.11 | % | 0.99 | % | ||||||||
ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Negative Seven Duration Index | 7.62 | % | 7.56 | % | 6.01 | % | 2.07 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NASDAQ on December 18, 2013. |
Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. eastern time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.
14 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Performance Summary (unaudited)
WisdomTree CBOE Russell 2000 PutWrite Strategy Fund (RPUT)
Investment Breakdown† as of 2/28/18
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 62.0% | |||
Other Assets less Liabilities‡ | 38.0% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Holdings* as of 2/28/18
Description | % of Net Assets | |||
U.S. Treasury Bill, | 62.0% |
* | The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree CBOE Russell 2000 PutWrite Strategy Fund (the ‘‘Fund’’) seeks to track the price and yield performance, before fees and expenses, of the CBOE Russell 2000 PutWrite Index (the “Index”).
The Fund had less than six months of operating history at the end of the reporting period and therefore no comparative performance information is shown in this shareholder report. Comparative performance information for the most recent month-end is available at www.wisdomtree.com.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 15 |
Table of Contents
Performance Summary (unaudited)
WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW)
Investment Breakdown† as of 2/28/18
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 73.8% | |||
Other Assets less Liabilities‡ | 26.2% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Holdings* as of 2/28/18
Description | % of Net Assets | |||
U.S. Treasury Bill, | 73.8% |
* | The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree CBOE S&P 500 PutWrite Strategy Fund (the ‘‘Fund’’) seeks to track the price and yield performance, before fees and expenses, of the CBOE S&P 500 PutWrite Index (the “Index”).
The following performance table is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessments of the underlying value of the Fund’s portfolio securities.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore, index returns do not reflect deductions for fees or expenses and the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2018, the Fund’s net and gross annual expense ratios were 0.38% and 0.44%, respectively. WisdomTree Asset Management, Inc. has contractually agreed to limit the management fee to 0.38% through December 31, 2018, unless earlier terminated by the Board of Trustees of the Trust for any reason at any time.
Performance as of 2/28/18
Average Annual Total Return | ||||||||||||
6-Month* | 1 Year | Since Inception1 | ||||||||||
Fund NAV Returns | 1.52 | % | 5.56 | % | 9.89 | % | ||||||
Fund Market Price Returns | 1.44 | % | 5.51 | % | 9.89 | % | ||||||
CBOE S&P 500 PutWrite Index | 1.80 | % | 6.08 | % | 10.45 | % | ||||||
S&P 500® Index | 10.84 | % | 17.10 | % | 20.92 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on February 24, 2016. |
Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. eastern time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.
16 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Performance Summary (unaudited)
WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)
Investment Breakdown†
as of 2/28/18
Investment Type | % of Net Assets | |||
U.S. Government Obligations | 89.8% | |||
Other Assets less Liabilities‡ | 10.2% | |||
Total | 100.0% |
† | The Fund’s investment breakdown may change over time. It does not include derivatives (if any). |
‡ | Other assets includes investment of cash collateral for securities on loan (if any). |
Top Holdings* as of 2/28/18
Description | % of Net Assets | |||
U.S. Treasury Bill, | 76.4% | |||
U.S. Treasury Bill, | 10.8% | |||
U.S. Treasury Bill, | 2.6% |
* | The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any). |
The WisdomTree Managed Futures Strategy Fund (the ‘‘Fund’’) seeks to provide investors with positive total returns in rising or falling markets.
The following performance table is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessments of the underlying value of the Fund’s portfolio securities.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore, index returns do not reflect deductions for fees or expenses and the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2018, the Fund’s net and gross annual expense ratios were 0.65% and 0.75%, respectively. WisdomTree Asset Management, Inc. has contractually agreed to limit the management fee to 0.65% through December 31, 2018, unless earlier terminated by the Board of Trustees of the Trust for any reason at any time.
Performance as of 2/28/18
Average Annual Total Return | ||||||||||||||||||||
6-Month* | 1 Year | 3 Year | 5 Year | Since Inception1 | ||||||||||||||||
Fund NAV Returns | 1.88 | % | -2.30 | % | -3.01 | % | -0.65 | % | -3.04 | % | ||||||||||
Fund Market Price Returns | 1.96 | % | -2.32 | % | -3.09 | % | -0.69 | % | -3.08 | % | ||||||||||
Diversified Trends Indicator/WisdomTree Managed Futures Spliced Index2 | 2.44 | % | -1.24 | % | -2.03 | % | 0.41 | % | -1.97 | % | ||||||||||
S&P Diversified Trends Indicator Index | 2.30 | % | -0.18 | % | -0.97 | % | 1.32 | % | -1.41 | % |
* | Returns of less than one year are cumulative. |
1 | Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on January 5, 2011. |
2 | Diversified Trends Indicator Index through June 30, 2016; WisdomTree Managed Futures Index thereafter. |
Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. eastern time NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 17 |
Table of Contents
Description of Terms and Indexes (unaudited)
Below are descriptions of certain terms and of each index referenced in this report.
Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Negative Five Duration:
The Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Negative Five Duration combines long positions in the Bloomberg Barclays U.S. Aggregate Bond Index with short positions in U.S. Treasury Bonds to provide a duration exposure of -5 years. Market values of long and short positions are rebalanced at month-end.
Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Zero Duration:
The Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Zero Duration combines long positions in the Bloomberg Barclays U.S. Aggregate Bond Index with short positions in U.S. Treasury Bonds to provide a duration exposure of 0 years. Market values of long and short positions are rebalanced at month-end.
Bloomberg Barclays U.S. Aggregate Enhanced Yield Index:
The Bloomberg Barclays U.S. Aggregate Enhanced Yield Index uses a rules-based approach to reallocate across subcomponents in the Bloomberg Barclays U.S. Aggregate Bond Index seeking to enhance yield while maintaining a similar risk profile.
Bloomberg Barclays U.S. Short Aggregate Enhanced Yield Index:
The Bloomberg Barclays U.S. Short Aggregate Enhanced Yield Index uses a rules-based approach to reallocate across subcomponents in the Bloomberg Barclays U.S. Aggregate Bond Index that generally have effective maturities shorter than 5 years and seeks to enhance yield while maintaining a similar risk profile.
Bloomberg Barclays U.S. Aggregate Index:
The Bloomberg Barclays U.S. Aggregate Index represents the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, as well as mortgage- and asset-backed securities.
Bloomberg Dollar Spot Index:
The Bloomberg Dollar Spot Index tracks the performance of a basket of 10 leading global currencies versus the U.S. dollar. Each currency in the basket and its weight is determined annually based on its share of international trade and foreign exchange (FX) liquidity.
Bloomberg Dollar Total Return Index:
The Bloomberg Dollar Total Return Index is structured to potentially benefit as the U.S. dollar appreciates relative to a basket of global currencies. The index tracks a long position in the U.S. dollar measured against a basket of developed and emerging market currencies which (i) have the highest liquidity in the currency markets and (ii) represent countries that make the largest contribution to trade flows with the United States. The index also incorporates differences in money market rates between the U.S. and the countries (or regions) represented by the foreign currencies.
Bloomberg U.S. Treasury Floating Rate Bond Index:
The Bloomberg U.S. Treasury Floating Rate Bond Index is a rules-based, market-value weighted index engineered to measure the performance and characteristics of floating rate coupon U.S. Treasuries which have a maturity greater than 12 months.
18 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Description of Terms and Indexes (unaudited) (continued)
CBOE® Russell 2000 PutWrite Index:
The CBOE® Russell 2000 PutWrite Index tracks the value of a cash-secured (i.e. collateralized) put option sales strategy, which consists of selling (or “writing”) Russell 2000® Index put options and investing the sale proceeds in one-month Treasury bills.
CBOE® S&P 500 PutWrite Index:
The CBOE® S&P 500 PutWrite Index tracks the value of a cash-secured (i.e. collateralized) put option sales strategy, which consists of selling (or “writing”) S&P 500® Index put options and investing the sale proceeds in one- and three-month Treasury bills.
Diversified Trends Indicator Index:
The Diversified Trends Indicator (“DTI”) Index is a long/short rules-based index that consists of ten commodity sectors and eight financial sectors. Each month the DTI Index sector exposure is rebalanced back to the fixed weights, 50% physical commodities and 50% financials (when energy is long) and approximately 40% commodities and 60% financials (when energy is flat). Each sector (other than the energy sector) is positioned either long or short depending on the current market environment (the energy sector is positioned as either “long” or “flat” (i.e., no exposure)). The DTI Index individual market components, sectors and related weightings, as well as other aspects of the calculation of the DTI Index, are subject to change at any time.
Equal-Weighted Emerging Currency Composite:
A composite incorporating equal-weighted exposure to the currencies within the Emerging Currency Strategy Fund was constructed as an additional gauge of Emerging Currency Strategy Fund performance. The composite tracks the returns for the currencies using the total returns of the country subindices of the JP Morgan Emerging Local Markets Index Plus (ELMI+). Each subindex uses a weighted basket of one-month, two-month and three-month currency forwards (deliverable or nondeliverable) collateralized with U.S. money market rates to proxy the total returns of an investment in local-currency money market instruments. Currency exposures are rebalanced back to equal-weighting at the end of the month in which the Emerging Currency Strategy Fund intends to rebalance, and currency changes are reflected in the composite at the end of the month they are reflected in the Fund.
Forward Currency Contracts:
A forward currency contract is an agreement to buy or sell a specific currency at a future date at a price set at the time of the contract. A forward contract may either be deliverable or non-deliverable. A deliverable forward currency contract is an agreement by two parties to transact in currencies at a specific rate on a future date upon which each party delivers the promised currency. A non-deliverable forward (“NDF”) currency contract is an agreement by two parties to transact in currencies at a specific rate on a future date and then cash settle the agreement with a simple exchange of the market value difference between the current market rate and the initial agreed-upon rate.
ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Negative Seven Duration Index:
The ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Negative Seven Duration Index tracks the performance of the combination of a long position in short maturity U.S. high yield bonds and a short position in on-the-run U.S. Treasuries where the net interest rate exposure of the index is adjusted to a negative seven year duration. Market values of long and short positions are rebalanced at month-end.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 19 |
Table of Contents
Description of Terms and Indexes (unaudited) (continued)
ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index:
The ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index tracks the performance of the combination of a long position in short maturity U.S. high yield bonds and a short position in on-the-run U.S. Treasuries where the net interest rate exposure of the index is adjusted to a zero year duration. Market values of long and short positions are rebalanced at month-end.
JP Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad:
The JP Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad is a market capitalization-weighted index consisting of U.S. dollar-denominated emerging market corporate bonds. The index serves as a global corporate benchmark representing Asia, Latin America, Europe and Middle East/Africa. U.S. dollar-denominated corporate issues from index-eligible countries are narrowed further by only including issues with more than $300 million current face outstanding and at least five years to maturity (at the time of inclusion into the index).
JP Morgan Emerging Local Markets Index Plus (ELMI+):
The JP Morgan Emerging Local Markets Index Plus (ELMI+) and its underlying country and regional subindices track the total returns for local-currency denominated money market instruments in emerging market countries.
JP Morgan Emerging Local Markets Index Plus (ELMI+) Brazil:
The Brazil subindex uses a weighted basket of one-month, two-month and three-month currency forwards collateralized with U.S. money market rates to proxy the total returns of an investment in Brazilian real money market instruments. The returns are reported in U.S. dollar terms.
JP Morgan Emerging Local Markets Index Plus (ELMI+) China:
The China subindex uses a weighted basket of one-month, two-month and three-month currency forwards collateralized with U.S. money market rates to proxy the total returns of an investment in Chinese yuan money market instruments. The returns are reported in U.S. dollar terms.
JP Morgan Government Bond Index-Emerging Markets (GBI-EM)
Global Diversified Index:
The JP Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified Index tracks the performance of local currency debt issued by emerging market governments, whose debt is accessible by most of the international investor base. The index incorporates a constrained market capitalization methodology in which individual issuer exposures are capped at 10% (with the excess distributed to smaller issuers) for greater diversification among issuing governments. The returns are reported in U.S. dollar terms.
Markit iBoxx Asian Local Bond Index:
The Markit iBoxx Asian Local Bond Index (“ALBI”) tracks the total return performance of a bond portfolio which consists of local currency denominated, high quality and liquid bonds in Asia ex-Japan. The ALBI includes bonds from the following countries: South Korea, Hong Kong, India, Singapore, Taiwan, Malaysia, Thailand, the Philippines, Indonesia and China.
S&P 500® Index:
The S&P 500® Index is a capitalization-weighted index of 500 stocks selected by Standard & Poor’s Index Committee, designed to represent the performance of the leading industries in the United States economy.
20 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Description of Terms and Indexes (unaudited) (continued)
S&P Diversified Trends Indicator Index:
The S&P Diversified Trends Indicator Index is a diversified composite of global commodity and financial futures that are highly liquid.
Spot Rate and NDF Rate Returns:
A “spot” rate is the foreign exchange rate on foreign exchange contracts settled generally within two business days from the trade date. The NDF rate is the foreign exchange rate on non-deliverable forward currency contracts settled on a future date that is generally greater than two business days from the trade date. The Brazilian real spot return rate relative to the U.S. dollar calculated by WisdomTree is the rate of return percentage difference between the end of period spot and the beginning of period spot rate using WM/Reuters London closing rates. The Chinese yuan NDF return rate relative to the U.S. dollar calculated by WisdomTree is the rate of return percentage difference between the end of period NDF rate and the beginning of period NDF rate using WM/Reuters Singapore closing rates.
WisdomTree Managed Futures Index:
The WisdomTree Managed Futures Index is a long/short, rules-based index designed to provide exposure to a portfolio consisting of diversified futures contracts for commodities, currencies and interest rates. On a monthly basis, assets with lower realized volatility will be selected, and a determination to go long or short the futures contracts of the selected assets under a proprietary composite momentum framework will be made. The composite momentum framework incorporates multiple momentum signals to decide the direction and weight in the index.
* * * * * *
BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”) or Bloomberg licensors own all proprietary rights in the BLOOMBERG BARCLAYS INDICES. Neither Bloomberg nor Barclays Bank Plc or Barclays Capital Inc. or their affiliates (collectively “Barclays”) guarantee the timeliness, accuracy or completeness of any data or information relating to BLOOMBERG BARCLAYS INDICES or make any warranty, express or implied, as to the BLOOMBERG BARCLAYS INDICES or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto. It is not possible to invest directly in an index. Back-tested performance is not actual performance. Past performance is not an indication of future results. To the maximum extent allowed by law, Bloomberg and its licensors, and their respective employees, contractors, agents, suppliers and vendors shall have no liability or responsibility whatsoever for any injury or damages — whether direct, indirect, consequential, incidental, punitive or otherwise — arising in connection with BLOOMBERG BARCLAYS INDICES or any data or values relating thereto — whether arising from their negligence or otherwise. This document constitutes the provision of factual information, rather than financial product advice. Nothing in the BLOOMBERG BARCLAYS INDICES shall constitute or be construed as an offering of financial instruments or as investment advice or investment recommendations (i.e., recommendations as to whether or not to “buy,” “sell,” “hold” or enter into any other transaction involving a specific interest) by Bloomberg or its affiliates or licensors or a recommendation as to an investment or other strategy. Data and other information available via the BLOOMBERG BARCLAYS INDICES should not be considered as information sufficient upon which to base an investment decision. All information provided by the BLOOMBERG BARCLAYS INDICES is impersonal and not tailored to the needs of any specific person, entity or group of persons. Bloomberg and its affiliates express no opinion on the future or expected value of any security or other interest and do not explicitly or implicitly recommend or suggest an investment strategy of any kind. In addition, Barclays is not the issuer or producer of the BLOOMBERG BARCLAYS
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 21 |
Table of Contents
Description of Terms and Indexes (unaudited) (continued)
INDICES and has no responsibilities, obligations or duties to investors in these indices. While Bloomberg may for itself execute transactions with Barclays in or relating to the BLOOMBERG BARCLAYS INDICES, investors in the BLOOMBERG BARCLAYS INDICES do not enter into any relationship with Barclays and Barclays does not sponsor, endorse, sell or promote, and Barclays makes no representation regarding the advisability or use of, the BLOOMBERG BARCLAYS INDICES or any data included therein. Investors should consider obtaining independent advice before making any financial decisions.
Merrill Lynch, Pierce, Fenner & Smith Incorporated and its affiliates (“ICE BofA Merrill Lynch”) indices and related information, the name “ICE BofA Merrill Lynch”, and related trademarks, are intellectual property licensed from ICE BofA Merrill Lynch, and may not be copied, used, or distributed without ICE BofA Merrill Lynch’s prior written approval. The licensee’s products have not been passed on as to their legality or suitability, and are not regulated, issued, endorsed, sold, guaranteed, or promoted by ICE BofA Merrill Lynch. ICE Bofa MERRILL LYNCH MAKES NO WARRANTIES AND BEARS NO LIABILITY WITH RESPECT TO THE INDICES, ANY RELATED INFORMATION, ITS TRADEMARKS, OR THE PRODUCT(S) (INCLUDING WITHOUT LIMITATION, THEIR QUALITY, ACCURACY, SUITABILITY AND/OR COMPLETENESS).
The CBOE Russell 2000 PutWrite Index (“Index”) is a trademark of Frank Russell Company (“Russell”) and has been licensed for use by WisdomTree. The WisdomTree CBOE Russell 2000 PutWrite Strategy Fund (the “Fund”) is not in any way sponsored, endorsed, sold or promoted by Russell or the London Stock Exchange Group companies (“LSEG”) (together, the “Licensor Parties”) and none of the Licensor Parties make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to (i) the results to be obtained from the use of the Index (upon which the Fund is based), (ii) the figure at which the Index is said to stand at any particular time on any particular day or otherwise, or (iii) the suitability of the Index for the purpose to which it is being put in connection with the Fund. None of the Licensor Parties have provided or will provide any financial or investment advice or recommendation in relation to the Index to WisdomTree or its clients. The Index is calculated by Russell or its agent. None of the Licensor Parties shall be (a) liable (whether in negligence or otherwise) to any person for any error in the Index or (b) under any obligation to advise any person of any error therein.
The CBOE S&P 500 PutWrite Index is a product of S&P Dow Jones Indices LLC or its affiliates (“SPDJI”) and CBOE® and has been licensed for use by WisdomTree. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is registered trademark of Dow Jones Trademarks Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by WisdomTree. CBOE® is a trademark of the Chicago Board Options Exchange, Incorporated, and has been licensed for use by SPDJI and WisdomTree. The WisdomTree CBOE S&P 500 PutWrite Strategy Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates or the Chicago Board Options Exchange, Incorporated, and none of such parties make any representation regarding the advisability of investing in such product(s), nor do they have any liability for any errors, omissions or interruptions of the CBOE S&P 500 PutWrite Index.
WisdomTree Investments, Inc. and WisdomTree Asset Management, Inc. (together, “WisdomTree”) and the Funds make no representation or warranty, express or implied, to the owners of shares of the Funds or any member of the public regarding the advisability of investing in securities generally or in the Funds particularly or the ability of the underlying Indexes to track the performance of their underlying securities. WisdomTree Investments is the licensor of certain trademarks, service marks and trade names of the Funds. WisdomTree Investments has no obligation to take the needs of the Funds or the owners of shares of the Funds into consideration in determining, composing, or calculating the underlying WisdomTree Indexes of the applicable Funds.
22 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Description of Terms and Indexes (unaudited) (concluded)
WisdomTree Investments is not responsible for, and has not participated in, the determination of the timing of, prices of, or quantities of shares of the Funds to be issued or in the determination or calculation of the equation by which the shares of the Funds are redeemable. WisdomTree and the Funds do not guarantee the accuracy, completeness, or performance of the underlying Indexes or the data included therein and shall have no liability in connection with the underlying Indexes or their calculation.
Index returns do not reflect expenses paid by the Funds. Index returns assume reinvestment of distributions. It is not possible to invest directly in an index.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 23 |
Table of Contents
Shareholder Expense Examples (unaudited)
As a shareholder of a WisdomTree Fund, you incur two types of cost: (1) transaction costs, including brokerage commissions on purchases and sales of your Fund shares and (2) ongoing costs, including management fees and other Fund expenses. The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from September 1, 2017 to February 28, 2018.
Actual expenses
The first line under each Fund in the table on the next page provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During the Period 9/1/17 to 2/28/18” to estimate the expenses you paid on your account during the period.
Hypothetical example for comparison purposes
The second line under each Fund in the table on the next page provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line under each Fund in the table is useful in comparing ongoing Fund costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
24 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Shareholder Expense Examples (unaudited) (continued)
Beginning Account Value 9/1/17 | Ending Account Value 2/28/18 | Annualized Expense Ratio Based on the Period 9/1/17 to 2/28/18 | Expenses Paid During the Period† 9/1/17 to 2/28/18 | |||||||||||||
WisdomTree Bloomberg U.S. Dollar Bullish Fund | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 989.90 | 0.50 | % | $ | 2.47 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.32 | 0.50 | % | $ | 2.51 | ||||||||
WisdomTree Brazilian Real Strategy Fund | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 993.70 | 0.45 | % | $ | 2.22 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.56 | 0.45 | % | $ | 2.26 | ||||||||
WisdomTree Chinese Yuan Strategy Fund | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,059.10 | 0.45 | % | $ | 2.30 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.56 | 0.45 | % | $ | 2.26 | ||||||||
WisdomTree Emerging Currency Strategy Fund | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,035.50 | 0.55 | % | $ | 2.78 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.07 | 0.55 | % | $ | 2.76 | ||||||||
WisdomTree Asia Local Debt Fund | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,013.90 | 0.55 | % | $ | 2.75 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.07 | 0.55 | % | $ | 2.76 | ||||||||
WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,016.50 | 0.23 | % | $ | 1.15 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.65 | 0.23 | % | $ | 1.15 | ||||||||
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,039.30 | 0.28 | % | $ | 1.42 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.41 | 0.28 | % | $ | 1.40 | ||||||||
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 979.20 | 0.12 | %* | $ | 0.59 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,024.20 | 0.12 | %* | $ | 0.60 | ||||||||
WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 986.10 | 0.12 | %* | $ | 0.59 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,024.20 | 0.12 | %* | $ | 0.60 | ||||||||
WisdomTree Bloomberg Floating Rate Treasury Fund | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,006.50 | 0.15 | %* | $ | 0.75 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,024.05 | 0.15 | %* | $ | 0.75 | ||||||||
WisdomTree Emerging Markets Corporate Bond Fund | ||||||||||||||||
Actual | $ | 1,000.00 | �� | $ | 1,004.40 | 0.60 | % | $ | 2.98 | |||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,021.82 | 0.60 | % | $ | 3.01 | ||||||||
WisdomTree Emerging Markets Local Debt Fund | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,031.90 | 0.55 | % | $ | 2.77 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.07 | 0.55 | % | $ | 2.76 | ||||||||
WisdomTree Interest Rate Hedged High Yield Bond Fund | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,033.00 | 0.43 | % | $ | 2.17 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.66 | 0.43 | % | $ | 2.16 | ||||||||
WisdomTree Negative Duration High Yield Bond Fund | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,074.30 | 0.48 | % | $ | 2.47 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.41 | 0.48 | % | $ | 2.41 |
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 25 |
Table of Contents
Shareholder Expense Examples (unaudited) (concluded)
Beginning Account Value 9/1/17 | Ending Account Value 2/28/18 | Annualized Expense Ratio Based on the Period 9/1/17 to 2/28/18 | Expenses Paid During the Period† 9/1/17 to 2/28/18 | |||||||||||||
WisdomTree CBOE Russell 2000 PutWrite Strategy Fund | ||||||||||||||||
Actual1 | $ | 1,000.00 | $ | 970.70 | 0.43 | %* | $ | 0.331 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.66 | 0.43 | %* | $ | 2.161 | ||||||||
WisdomTree CBOE S&P 500 PutWrite Strategy Fund | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,015.20 | 0.38 | %* | $ | 1.90 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.91 | 0.38 | %* | $ | 1.91 | ||||||||
WisdomTree Managed Futures Strategy Fund (consolidated) | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,018.80 | 0.65 | %* | $ | 3.25 | ||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,021.57 | 0.65 | %* | $ | 3.26 |
† | Unless otherwise indicated in the footnotes below, expenses are calculated using each Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365 (to reflect the one-half year period). |
* | WisdomTree Asset Management, Inc. has contractually agreed to limit its management fee to 0.12%, 0.12%, 0.15%, 0.43%, 0.38%, and 0.65% for WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund, WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund, WisdomTree Bloomberg Floating Rate Treasury Fund, WisdomTree CBOE Russell 2000 PutWrite Strategy Fund, WisdomTree CBOE S&P 500 PutWrite Strategy Fund and WisdomTree Managed Futures Strategy Fund, respectively, through December 31, 2018, unless earlier terminated by the Board of Trustees of the WisdomTree Trust for any reason. |
1 | Fund commenced operations on February 1, 2018. Actual expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 28/365 (to reflect the period since commencement of operations). |
26 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)
February 28, 2018
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 96.7% | ||||||||
U.S. Treasury Bills – 96.7% | ||||||||
U.S. Treasury Bills | $ | 24,528,000 | $ | 24,522,396 | ||||
1.56%, 4/19/18* | 24,622,000 | 24,570,478 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 96.7% (Cost: $49,092,319) |
| 49,092,874 | ||||||
Other Assets less Liabilities – 3.3% |
| 1,663,111 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 50,755,985 |
* | Interest rate shown reflects the discount rate at time of purchase. |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||||||||||||||
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER) | ||||||||||||||||||||||||||||
Counterparty | Settlement Date | Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 792,000 | AUD | 619,432 | USD | $ | — | $ | (4,285 | ) | ||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 1,908,000 | AUD | 1,483,859 | USD | — | (1,915 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 237,000 | AUD | 185,672 | USD | — | (1,594 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 665,490 | AUD | 516,873 | USD | 13 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 1,779,000 | CAD | 1,416,026 | USD | — | (29,563 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 4,286,000 | CAD | 3,400,173 | USD | — | (59,881 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 533,000 | CAD | 421,009 | USD | — | (5,615 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 1,494,990 | CAD | 1,165,091 | USD | 29 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 512,000 | CHF | 543,368 | USD | — | (1,064 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 1,234,000 | CHF | 1,320,030 | USD | — | (12,993 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 154,000 | CHF | 164,472 | USD | — | (1,357 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 430,290 | CHF | 455,744 | USD | 14 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 2,381,000 | CNH | 376,381 | USD | — | (267 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 5,735,000 | CNH | 898,875 | USD | 7,052 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 714,000 | CNH | 112,845 | USD | — | (59 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 2,000,670 | CNH | 316,027 | USD | 8 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 3,175,000 | EUR | 3,899,357 | USD | — | (24,895 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 7,647,000 | EUR | 9,376,453 | USD | — | (44,796 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 952,000 | EUR | 1,170,985 | USD | — | (9,256 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 2,667,840 | EUR | 3,255,472 | USD | 101 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 937,000 | GBP | 1,301,781 | USD | — | (11,658 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 2,258,000 | GBP | 3,141,490 | USD | — | (32,529 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 281,000 | GBP | 392,556 | USD | — | (5,657 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 787,500 | GBP | 1,084,257 | USD | 24 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 16,713,000 | INR | 259,277 | USD | — | (2,855 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 40,261,000 | INR | 621,599 | USD | — | (3,888 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 5,011,000 | INR | 77,140 | USD | — | (258 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 14,045,850 | INR | 215,295 | USD | 206 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 243,755,000 | JPY | 2,227,171 | USD | 57,900 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 587,200,000 | JPY | 5,406,082 | USD | 98,600 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 73,078,000 | JPY | 683,995 | USD | 1,072 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 204,854,580 | JPY | 1,920,340 | USD | 61 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 511,608,000 | KRW | 470,942 | USD | 1,504 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 1,232,452,000 | KRW | 1,122,656 | USD | 15,456 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 153,380,000 | KRW | 142,480 | USD | — | (841 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 429,961,140 | KRW | 397,046 | USD | 3 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 23,391,000 | MXN | 1,242,398 | USD | — | (2,354 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 56,349,000 | MXN | 2,969,353 | USD | 17,916 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 7,013,000 | MXN | 377,285 | USD | — | (5,500 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 19,658,100 | MXN | 1,042,119 | USD | 30 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 1,046,478 | USD | 1,298,850 | AUD | 37,661 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 2,373,243 | USD | 2,917,950 | CAD | 99,140 | — |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 27 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)
February 28, 2018
Counterparty | Settlement Date | Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 904,658 | USD | 840,000 | CHF | $ | 14,940 | $ | — | |||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 618,865 | USD | 3,904,950 | CNH | 2,021 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 6,477,789 | USD | 5,206,950 | EUR | 123,733 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 2,185,181 | USD | 1,537,200 | GBP | 68,664 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 429,652 | USD | 27,413,400 | INR | 9,057 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 3,668,590 | USD | 399,816,900 | JPY | — | (79,477 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 786,098 | USD | 839,160,000 | KRW | 11,173 | — | |||||||||||||||||||||
Bank of America N.A. | 3/6/2018 | 2,050,578 | USD | 38,367,000 | MXN | 16,601 | — | |||||||||||||||||||||
Bank of America N.A. | 4/5/2018 | 542,319 | USD | 698,250 | AUD | — | (36 | ) | ||||||||||||||||||||
Bank of America N.A. | 4/5/2018 | 1,222,452 | USD | 1,567,650 | CAD | — | (69 | ) | ||||||||||||||||||||
Bank of America N.A. | 4/5/2018 | 465,042 | USD | 437,850 | CHF | — | (26 | ) | ||||||||||||||||||||
Bank of America N.A. | 4/5/2018 | 3,350,840 | USD | 2,739,450 | EUR | — | (131 | ) | ||||||||||||||||||||
Bank of America N.A. | 4/5/2018 | 1,119,164 | USD | 811,650 | GBP | — | (50 | ) | ||||||||||||||||||||
Bank of America N.A. | 4/5/2018 | 1,926,014 | USD | 204,993,600 | JPY | — | (76 | ) | ||||||||||||||||||||
Bank of America N.A. | 4/5/2018 | 401,354 | USD | 434,505,750 | KRW | — | (74 | ) | ||||||||||||||||||||
Bank of America N.A. | 4/5/2018 | 1,059,040 | USD | 20,076,000 | MXN | — | (89 | ) | ||||||||||||||||||||
Bank of America N.A. | 4/6/2018 | 222,493 | USD | 14,585,550 | INR | — | (499 | ) | ||||||||||||||||||||
Bank of America N.A. | 4/9/2018 | 319,435 | USD | 2,026,500 | CNH | — | (64 | ) | ||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 79,000 | AUD | 62,467 | USD | — | (1,107 | ) | ||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 665,490 | AUD | 516,874 | USD | 12 | — | |||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 178,000 | CAD | 141,818 | USD | — | (3,094 | ) | ||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 1,494,990 | CAD | 1,165,088 | USD | 31 | — | |||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 51,000 | CHF | 55,036 | USD | — | (1,018 | ) | ||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 430,290 | CHF | 455,742 | USD | 15 | — | |||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 238,000 | CNH | 37,768 | USD | — | (172 | ) | ||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 2,000,670 | CNH | 316,023 | USD | 12 | — | |||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 317,000 | EUR | 393,646 | USD | — | (6,810 | ) | ||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 2,667,840 | EUR | 3,255,464 | USD | 109 | — | |||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 94,000 | GBP | 131,820 | USD | — | (2,395 | ) | ||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 787,500 | GBP | 1,084,243 | USD | 38 | — | |||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 1,670,000 | INR | 26,020 | USD | — | (398 | ) | ||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 14,045,850 | INR | 215,572 | USD | — | (71 | ) | ||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 24,359,000 | JPY | 229,302 | USD | — | (950 | ) | ||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 204,854,580 | JPY | 1,920,338 | USD | 62 | — | |||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 51,126,000 | KRW | 47,484 | USD | — | (271 | ) | ||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 429,961,140 | KRW | 397,075 | USD | — | (26 | ) | ||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 2,337,000 | MXN | 126,011 | USD | — | (2,118 | ) | ||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 19,658,100 | MXN | 1,042,119 | USD | 30 | — | |||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 1,046,477 | USD | 1,298,850 | AUD | 37,660 | — | |||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 2,373,220 | USD | 2,917,950 | CAD | 99,117 | — | |||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 904,660 | USD | 840,000 | CHF | 14,942 | — | |||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 618,819 | USD | 3,904,950 | CNH | 1,974 | — | |||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 6,477,784 | USD | 5,206,950 | EUR | 123,728 | — | |||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 2,185,170 | USD | 1,537,200 | GBP | 68,653 | — | |||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 429,005 | USD | 27,413,400 | INR | 8,410 | — | |||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 3,668,587 | USD | 399,816,900 | JPY | — | (79,480 | ) | ||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 784,907 | USD | 839,160,000 | KRW | 9,982 | — | |||||||||||||||||||||
Citibank N.A. | 3/6/2018 | 2,050,602 | USD | 38,367,000 | MXN | 16,625 | — | |||||||||||||||||||||
Citibank N.A. | 4/5/2018 | 542,332 | USD | 698,250 | AUD | — | (23 | ) | ||||||||||||||||||||
Citibank N.A. | 4/5/2018 | 1,222,495 | USD | 1,567,650 | CAD | — | (26 | ) | ||||||||||||||||||||
Citibank N.A. | 4/5/2018 | 465,049 | USD | 437,850 | CHF | — | (19 | ) | ||||||||||||||||||||
Citibank N.A. | 4/5/2018 | 3,350,882 | USD | 2,739,450 | EUR | — | (90 | ) | ||||||||||||||||||||
Citibank N.A. | 4/5/2018 | 1,119,180 | USD | 811,650 | GBP | — | (34 | ) | ||||||||||||||||||||
Citibank N.A. | 4/5/2018 | 1,926,061 | USD | 204,993,600 | JPY | — | (29 | ) | ||||||||||||||||||||
Citibank N.A. | 4/5/2018 | 401,361 | USD | 434,505,750 | KRW | — | (67 | ) | ||||||||||||||||||||
Citibank N.A. | 4/5/2018 | 1,059,033 | USD | 20,076,000 | MXN | — | (95 | ) | ||||||||||||||||||||
Citibank N.A. | 4/6/2018 | 222,769 | USD | 14,585,550 | INR | — | (224 | ) | ||||||||||||||||||||
Citibank N.A. | 4/9/2018 | 319,450 | USD | 2,026,500 | CNH | — | (49 | ) |
See Notes to Financial Statements.
28 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)
February 28, 2018
Counterparty | Settlement Date | Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
HSBC Holdings PLC | 3/6/2018 | 665,490 | AUD | 516,889 | USD | $ | — | $ | (3 | ) | ||||||||||||||||||
HSBC Holdings PLC | 3/6/2018 | 1,494,990 | CAD | 1,165,121 | USD | — | (1 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 3/6/2018 | 430,290 | CHF | 455,758 | USD | — | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/6/2018 | 2,000,670 | CNH | 316,037 | USD | — | (1 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 3/6/2018 | 2,667,840 | EUR | 3,255,557 | USD | 16 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/6/2018 | 787,500 | GBP | 1,084,275 | USD | 6 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/6/2018 | 14,045,850 | INR | 215,288 | USD | 212 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/6/2018 | 204,854,580 | JPY | 1,920,398 | USD | 3 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/6/2018 | 429,961,140 | KRW | 396,764 | USD | 285 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/6/2018 | 19,658,100 | MXN | 1,042,160 | USD | — | (11 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 3/6/2018 | 1,046,457 | USD | 1,298,850 | AUD | 37,640 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/6/2018 | 2,373,166 | USD | 2,917,950 | CAD | 99,063 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/6/2018 | 904,636 | USD | 840,000 | CHF | 14,919 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/6/2018 | 619,499 | USD | 3,904,950 | CNH | 2,655 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/6/2018 | 6,477,602 | USD | 5,206,950 | EUR | 123,545 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/6/2018 | 2,185,130 | USD | 1,537,200 | GBP | 68,613 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/6/2018 | 429,450 | USD | 27,413,400 | INR | 8,855 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/6/2018 | 3,668,567 | USD | 399,816,900 | JPY | — | (79,500 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 3/6/2018 | 786,076 | USD | 839,160,000 | KRW | 11,151 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/6/2018 | 2,050,620 | USD | 38,367,000 | MXN | 16,644 | — | |||||||||||||||||||||
HSBC Holdings PLC | 4/5/2018 | 542,348 | USD | 698,250 | AUD | — | (7 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 4/5/2018 | 1,222,531 | USD | 1,567,650 | CAD | 10 | — | |||||||||||||||||||||
HSBC Holdings PLC | 4/5/2018 | 465,056 | USD | 437,850 | CHF | — | (12 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 4/5/2018 | 3,350,950 | USD | 2,739,450 | EUR | — | (21 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 4/5/2018 | 1,119,201 | USD | 811,650 | GBP | — | (13 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 4/5/2018 | 1,926,070 | USD | 204,993,600 | JPY | — | (20 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 4/5/2018 | 401,043 | USD | 434,505,750 | KRW | — | (385 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 4/5/2018 | 1,059,104 | USD | 20,076,000 | MXN | — | (25 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 4/6/2018 | 222,456 | USD | 14,585,550 | INR | — | (536 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 4/9/2018 | 319,501 | USD | 2,026,500 | CNH | 2 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/6/2018 | 507,040 | AUD | 393,809 | USD | 9 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/6/2018 | 1,139,040 | CAD | 887,688 | USD | 23 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/6/2018 | 327,840 | CHF | 347,233 | USD | 11 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/6/2018 | 1,524,320 | CNH | 240,782 | USD | 6 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/6/2018 | 2,032,640 | EUR | 2,480,368 | USD | 69 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/6/2018 | 600,000 | GBP | 826,092 | USD | 27 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/6/2018 | 10,701,600 | INR | 163,976 | USD | 215 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/6/2018 | 156,079,680 | JPY | 1,463,119 | USD | 44 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/6/2018 | 327,589,440 | KRW | 301,963 | USD | 550 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/6/2018 | 14,977,600 | MXN | 794,019 | USD | — | (1 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 3/6/2018 | 1,046,495 | USD | 1,298,850 | AUD | 37,678 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/6/2018 | 2,373,218 | USD | 2,917,950 | CAD | 99,115 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/6/2018 | 904,618 | USD | 840,000 | CHF | 14,900 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/6/2018 | 618,889 | USD | 3,904,950 | CNH | 2,045 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/6/2018 | 6,477,763 | USD | 5,206,950 | EUR | 123,707 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/6/2018 | 2,185,168 | USD | 1,537,200 | GBP | 68,651 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/6/2018 | 428,884 | USD | 27,413,400 | INR | 8,289 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/6/2018 | 3,668,610 | USD | 399,816,900 | JPY | — | (79,457 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 3/6/2018 | 784,686 | USD | 839,160,000 | KRW | 9,760 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/6/2018 | 2,050,709 | USD | 38,367,000 | MXN | 16,732 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 4/5/2018 | 413,204 | USD | 532,000 | AUD | — | (19 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 4/5/2018 | 931,415 | USD | 1,194,400 | CAD | — | (29 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 4/5/2018 | 354,318 | USD | 333,600 | CHF | — | (19 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 4/5/2018 | 2,553,044 | USD | 2,087,200 | EUR | — | (77 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 4/5/2018 | 852,707 | USD | 618,400 | GBP | — | (27 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 4/5/2018 | 1,467,449 | USD | 156,185,600 | JPY | — | (48 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 4/5/2018 | 305,121 | USD | 331,052,000 | KRW | — | (729 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 4/5/2018 | 806,904 | USD | 15,296,000 | MXN | — | (51 | ) |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 29 |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)
February 28, 2018
Counterparty | Settlement Date | Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Morgan Stanley & Co. International | 4/6/2018 | 169,433 | USD | 11,112,800 | INR | $ | — | $ | (465 | ) | ||||||||||||||||||
Morgan Stanley & Co. International | 4/9/2018 | 243,408 | USD | 1,544,000 | CNH | — | (20 | ) | ||||||||||||||||||||
UBS AG | 3/6/2018 | 665,490 | AUD | 516,881 | USD | 5 | — | |||||||||||||||||||||
UBS AG | 3/6/2018 | 1,494,990 | CAD | 1,165,097 | USD | 22 | — | |||||||||||||||||||||
UBS AG | 3/6/2018 | 430,290 | CHF | 455,747 | USD | 11 | — | |||||||||||||||||||||
UBS AG | 3/6/2018 | 2,000,670 | CNH | 316,023 | USD | 12 | — | |||||||||||||||||||||
UBS AG | 3/6/2018 | 2,667,840 | EUR | 3,255,498 | USD | 75 | — | |||||||||||||||||||||
UBS AG | 3/6/2018 | 787,500 | GBP | 1,084,254 | USD | 27 | — | |||||||||||||||||||||
UBS AG | 3/6/2018 | 14,045,850 | INR | 215,213 | USD | 288 | — | |||||||||||||||||||||
UBS AG | 3/6/2018 | 204,854,580 | JPY | 1,920,354 | USD | 46 | — | |||||||||||||||||||||
UBS AG | 3/6/2018 | 429,961,140 | KRW | 396,340 | USD | 709 | — | |||||||||||||||||||||
UBS AG | 3/6/2018 | 19,658,100 | MXN | 1,042,147 | USD | 2 | — | |||||||||||||||||||||
UBS AG | 3/6/2018 | 797,322 | USD | 989,600 | AUD | 28,699 | — | |||||||||||||||||||||
UBS AG | 3/6/2018 | 1,808,178 | USD | 2,223,200 | CAD | 75,528 | — | |||||||||||||||||||||
UBS AG | 3/6/2018 | 689,253 | USD | 640,000 | CHF | 11,373 | — | |||||||||||||||||||||
UBS AG | 3/6/2018 | 471,491 | USD | 2,975,200 | CNH | 1,515 | — | |||||||||||||||||||||
UBS AG | 3/6/2018 | 4,935,455 | USD | 3,967,200 | EUR | 94,269 | — | |||||||||||||||||||||
UBS AG | 3/6/2018 | 1,664,894 | USD | 1,171,200 | GBP | 52,309 | — | |||||||||||||||||||||
UBS AG | 3/6/2018 | 326,914 | USD | 20,886,400 | INR | 6,461 | — | |||||||||||||||||||||
UBS AG | 3/6/2018 | 2,795,134 | USD | 304,622,400 | JPY | — | (60,536 | ) | ||||||||||||||||||||
UBS AG | 3/6/2018 | 598,019 | USD | 639,360,000 | KRW | 7,599 | — | |||||||||||||||||||||
UBS AG | 3/6/2018 | 1,562,301 | USD | 29,232,000 | MXN | 12,604 | — | |||||||||||||||||||||
UBS AG | 4/5/2018 | 542,327 | USD | 698,250 | AUD | — | (28 | ) | ||||||||||||||||||||
UBS AG | 4/5/2018 | 1,222,482 | USD | 1,567,650 | CAD | — | (38 | ) | ||||||||||||||||||||
UBS AG | 4/5/2018 | 465,054 | USD | 437,850 | CHF | — | (14 | ) | ||||||||||||||||||||
UBS AG | 4/5/2018 | 3,350,893 | USD | 2,739,450 | EUR | — | (79 | ) | ||||||||||||||||||||
UBS AG | 4/5/2018 | 1,119,179 | USD | 811,650 | GBP | — | (34 | ) | ||||||||||||||||||||
UBS AG | 4/5/2018 | 1,926,079 | USD | 204,993,600 | JPY | — | (11 | ) | ||||||||||||||||||||
UBS AG | 4/5/2018 | 400,623 | USD | 434,505,750 | KRW | — | (805 | ) | ||||||||||||||||||||
UBS AG | 4/5/2018 | 1,059,006 | USD | 20,076,000 | MXN | — | (122 | ) | ||||||||||||||||||||
UBS AG | 4/6/2018 | 222,429 | USD | 14,585,550 | INR | — | (563 | ) | ||||||||||||||||||||
UBS AG | 4/9/2018 | 319,450 | USD | 2,026,500 | CNH | — | (50 | ) | ||||||||||||||||||||
$ | 2,021,383 | $ | (665,994 | ) |
CURRENCY LEGEND | ||
AUD | Australian dollar | |
CAD | Canadian dollar | |
CHF | Swiss franc | |
CNH | Offshore Chinese renminbi | |
EUR | Euro | |
GBP | British pound | |
INR | Indian rupee | |
JPY | Japanese yen | |
KRW | South Korean won | |
MXN | Mexican peso | |
USD | U.S. dollar |
See Notes to Financial Statements.
30 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Brazilian Real Strategy Fund (BZF)
February 28, 2018
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 66.1% | ||||||||
U.S. Treasury Bill – 66.1% | ||||||||
U.S. Treasury Bill (Cost: $9,947,560) | $ | 9,950,000 | $ | 9,947,727 | ||||
REPURCHASE AGREEMENT – 31.9% | ||||||||
United States – 31.9% | ||||||||
Citigroup, Inc., tri-party repurchase agreement dated 2/28/18 (tri-party custodian: The Bank of New York Mellon Corp.), 1.37% due 3/1/18; Proceeds at maturity – $4,800,183 (fully collateralized by U.S. Treasury Bond, 3.75% due 8/15/41 and U.S. Treasury Note, 1.88% due 2/28/22; Market value – $4,896,066) | ||||||||
(Cost: $4,800,000) | 4,800,000 | 4,800,000 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 98.0% (Cost: $14,747,560) |
| 14,747,727 | ||||||
Other Assets less Liabilities – 2.0% |
| 302,251 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 15,049,978 |
* | Interest rate shown reflects the discount rate at time of purchase. |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||||||||||||||
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER) | ||||||||||||||||||||||||||||
Counterparty | Settlement Date | Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Bank of America N.A. | 3/2/2018 | 5,799,994 | BRL | 1,786,317 | USD | $ | — | $ | (1,017 | ) | ||||||||||||||||||
Bank of America N.A. | 3/2/2018 | 629,479 | USD | 2,029,000 | BRL | 4,931 | — | |||||||||||||||||||||
Bank of America N.A. | 3/2/2018 | 1,051,469 | USD | 3,406,760 | BRL | 2,832 | — | |||||||||||||||||||||
Bank of America N.A. | 4/4/2018 | 632,767 | USD | 2,047,000 | BRL | 4,813 | — | |||||||||||||||||||||
Bank of America N.A. | 5/3/2018 | 5,313,560 | BRL | 1,662,124 | USD | — | (37,090 | ) | ||||||||||||||||||||
Bank of America N.A. | 6/4/2018 | 3,413,029 | BRL | 1,043,612 | USD | — | (3,023 | ) | ||||||||||||||||||||
Canadian Imperial Bank of Commerce | 3/2/2018 | 5,799,994 | BRL | 1,785,987 | USD | — | (687 | ) | ||||||||||||||||||||
Canadian Imperial Bank of Commerce | 3/2/2018 | 1,051,794 | USD | 3,406,760 | BRL | 3,157 | — | |||||||||||||||||||||
Canadian Imperial Bank of Commerce | 6/4/2018 | 3,413,029 | BRL | 1,043,931 | USD | — | (3,342 | ) | ||||||||||||||||||||
Citibank N.A. | 3/2/2018 | 5,799,994 | BRL | 1,786,317 | USD | — | (1,017 | ) | ||||||||||||||||||||
Citibank N.A. | 3/2/2018 | 607,640 | USD | 2,028,000 | BRL | — | (16,600 | ) | ||||||||||||||||||||
Citibank N.A. | 3/2/2018 | 627,533 | USD | 2,028,000 | BRL | 3,293 | — | |||||||||||||||||||||
Citibank N.A. | 3/2/2018 | 1,051,469 | USD | 3,406,760 | BRL | 2,832 | — | |||||||||||||||||||||
Citibank N.A. | 4/4/2018 | 3,806,826 | BRL | 1,135,857 | USD | 31,955 | — | |||||||||||||||||||||
Citibank N.A. | 4/4/2018 | 4,952,728 | BRL | 1,477,765 | USD | 41,573 | — | |||||||||||||||||||||
Citibank N.A. | 4/4/2018 | 631,108 | USD | 2,047,000 | BRL | 3,154 | — | |||||||||||||||||||||
Citibank N.A. | 5/3/2018 | 5,645,655 | BRL | 1,766,006 | USD | — | (39,408 | ) | ||||||||||||||||||||
Citibank N.A. | 6/4/2018 | 3,413,029 | BRL | 1,043,548 | USD | — | (2,959 | ) | ||||||||||||||||||||
Goldman Sachs | 3/2/2018 | 1,051,599 | USD | 3,406,760 | BRL | 2,962 | — | |||||||||||||||||||||
Goldman Sachs | 5/3/2018 | 5,645,655 | BRL | 1,765,233 | USD | — | (38,635 | ) | ||||||||||||||||||||
Goldman Sachs | 6/4/2018 | 3,413,029 | BRL | 1,043,676 | USD | — | (3,087 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/2/2018 | 4,907,688 | BRL | 1,512,156 | USD | — | (1,517 | ) | ||||||||||||||||||||
Morgan Stanley & Co. International | 4/4/2018 | 5,853,223 | BRL | 1,747,492 | USD | 48,089 | — | |||||||||||||||||||||
UBS AG | 3/2/2018 | 801,106 | USD | 2,595,630 | BRL | 2,143 | — | |||||||||||||||||||||
UBS AG | 4/4/2018 | 5,853,223 | BRL | 1,750,104 | USD | 45,477 | — | |||||||||||||||||||||
UBS AG | 6/4/2018 | 2,600,404 | BRL | 795,085 | USD | — | (2,254 | ) | ||||||||||||||||||||
$ | 197,211 | $ | (150,636 | ) |
CURRENCY LEGEND | ||
BRL | Brazilian real | |
USD | U.S. dollar |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 31 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Chinese Yuan Strategy Fund (CYB)
February 28, 2018
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 61.7% | ||||||||
U.S. Treasury Bills – 61.7% | ||||||||
U.S. Treasury Bills | ||||||||
1.32%, 3/8/18* | $ | 8,850,000 | $ | 8,847,978 | ||||
1.56%, 4/19/18* | 16,242,000 | 16,208,013 | ||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $25,055,817) | 25,055,991 | |||||||
REPURCHASE AGREEMENT – 31.0% | ||||||||
United States – 31.0% | ||||||||
Citigroup, Inc., tri-party repurchase agreement dated 2/28/18 (tri-party custodian: The Bank of New York Mellon Corp.), 1.37% due 3/1/18; Proceeds at maturity – $12,560,478 (fully collateralized by Fannie Mae Pool, 3.50% – 6.50% due | ||||||||
(Cost: $12,560,000) | 12,560,000 | 12,560,000 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 92.7% (Cost: $37,615,817) | 37,615,991 | |||||||
Other Assets less Liabilities – 7.3% |
| 2,964,875 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 40,580,866 |
* | Interest rate shown reflects the discount rate at time of purchase. |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||||||||||||||
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER) | ||||||||||||||||||||||||||||
Counterparty | Settlement Date | Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Citibank N.A. | 3/14/2018 | 5,097,576 | USD | 32,170,800 | CNH | $ | 15,895 | $ | — | |||||||||||||||||||
Citibank N.A. | 5/15/2018 | 33,664,550 | CNY | 5,276,989 | USD | 15,171 | — | |||||||||||||||||||||
Citibank N.A. | 6/13/2018 | 32,318,700 | CNH | 5,093,971 | USD | — | (15,514 | ) | ||||||||||||||||||||
Goldman Sachs | 5/15/2018 | 32,344,372 | CNY | 5,073,627 | USD | 10,997 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/14/2018 | 30,909,200 | CNH | 4,644,857 | USD | 237,542 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/14/2018 | 4,896,895 | USD | 30,909,200 | CNH | 14,496 | — | |||||||||||||||||||||
HSBC Holdings PLC | 6/13/2018 | 31,051,300 | CNH | 4,893,783 | USD | — | (14,482 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A.† | 4/17/2018 | 7,650,000 | CNH | 1,161,378 | USD | 44,588 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A.† | 4/17/2018 | 57,630,000 | CNY | 8,746,396 | USD | 330,982 | — | |||||||||||||||||||||
UBS AG | 3/14/2018 | 32,170,800 | CNH | 4,835,824 | USD | 245,857 | — | |||||||||||||||||||||
UBS AG | 4/17/2018 | 7,350,000 | CNH | 1,116,088 | USD | 42,586 | — | |||||||||||||||||||||
UBS AG | 4/17/2018 | 55,370,000 | CNY | 8,403,400 | USD | 318,002 | — | |||||||||||||||||||||
$ | 1,276,116 | $ | (29,996 | ) |
† | As of February 28, 2018, the Fund posted cash collateral of $1,490,000 with the counterparty, JP Morgan Chase Bank N.A., for foreign currency contracts. |
CURRENCY LEGEND | ||
CNH | Offshore Chinese renminbi | |
CNY | Chinese yuan | |
USD | U.S. dollar |
See Notes to Financial Statements.
32 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Emerging Currency Strategy Fund (CEW)
February 28, 2018
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 63.4% | ||||||||
U.S. Treasury Bills – 63.4% | ||||||||
U.S. Treasury Bills | ||||||||
1.32%, 3/8/18* | $ | 15,820,000 | $ | 15,816,386 | ||||
1.56%, 4/19/18* | 13,086,000 | 13,058,617 | ||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $28,874,647) | 28,875,003 | |||||||
REPURCHASE AGREEMENT – 32.0% | ||||||||
United States – 32.0% | ||||||||
Citigroup, Inc., tri-party repurchase agreement dated 2/28/18 (tri-party custodian: The Bank of New York Mellon Corp.), 1.37% due 3/1/18; Proceeds at maturity – $14,600,556 (fully collateralized by U.S. Treasury Note, 1.50% due 5/31/19 and U.S. Treasury Bond Coupon STRIPS, 0.00% due 2/15/29 – 8/15/32; Market value – $14,892,000) | ||||||||
(Cost: $14,600,000) | 14,600,000 | 14,600,000 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 95.4% (Cost: $43,474,647) | 43,475,003 | |||||||
Other Assets less Liabilities – 4.6% |
| 2,112,185 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 45,587,188 |
* | Interest rate shown reflects the discount rate at time of purchase. |
STRIPS – Separate Trading of Registered Interest and Principal of Securities.
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||||||||||||||
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER) | ||||||||||||||||||||||||||||
Counterparty | Settlement Date | Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Bank of America N.A. | 5/4/2018 | 1,750,320,000 | CLP | 2,882,727 | USD | $ | 57,822 | $ | — | |||||||||||||||||||
Bank of America N.A. | 5/4/2018 | 35,110,000 | ZAR | 2,898,994 | USD | 48,686 | — | |||||||||||||||||||||
Bank of Montreal | 5/4/2018 | 8,272,915,000 | COP | 2,889,586 | USD | — | (12,082 | ) | ||||||||||||||||||||
Citibank N.A. | 5/4/2018 | 9,245,000 | BRL | 2,875,673 | USD | — | (48,568 | ) | ||||||||||||||||||||
Citibank N.A. | 5/4/2018 | 3,073,745,000 | KRW | 2,869,441 | USD | — | (26,461 | ) | ||||||||||||||||||||
Citibank N.A. | 5/4/2018 | 9,690,000 | PLN | 2,894,162 | USD | — | (62,827 | ) | ||||||||||||||||||||
Goldman Sachs | 5/4/2018 | 11,260,000 | MYR | 2,884,221 | USD | — | (19,126 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 5/4/2018 | 18,450,000 | CNH | 2,892,439 | USD | 13,114 | — | |||||||||||||||||||||
HSBC Holdings PLC | 5/4/2018 | 54,765,000 | MXN | 2,887,345 | USD | — | (13,881 | ) | ||||||||||||||||||||
HSBC Holdings PLC | 5/4/2018 | 90,630,000 | THB | 2,888,145 | USD | 1,570 | — | |||||||||||||||||||||
HSBC Holdings PLC | 5/4/2018 | 83,820,000 | TWD | 2,885,370 | USD | — | (3,438 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A.† | 5/4/2018 | 148,535,000 | PHP | 2,869,133 | USD | — | (36,780 | ) | ||||||||||||||||||||
Societe Generale | 5/4/2018 | 11,255,000 | TRY | 2,901,297 | USD | 1,140 | — | |||||||||||||||||||||
State Street Bank and Trust | 5/4/2018 | 185,835,000 | INR | 2,884,159 | USD | — | (57,243 | ) | ||||||||||||||||||||
UBS AG | 5/4/2018 | 38,904,245,000 | IDR | 2,885,643 | USD | — | (62,224 | ) | ||||||||||||||||||||
UBS AG | 5/4/2018 | 164,830,000 | RUB | 2,894,878 | USD | 12,088 | — | |||||||||||||||||||||
$ | 134,420 | $ | (342,630 | ) |
† | As of February 28, 2018, the Fund posted cash collateral of $580,000 with the counterparty, JP Morgan Chase Bank N.A., for foreign currency contracts. |
CURRENCY LEGEND | ||||||||||
BRL | Brazilian real | KRW | South Korean won | THB | Thai baht | |||||
CLP | Chilean peso | MXN | Mexican peso | TRY | Turkish New lira | |||||
CNH | Offshore Chinese renminbi | MYR | Malaysian ringgit | TWD | New Taiwan dollar | |||||
COP | Colombian peso | PHP | Philippine peso | USD | U.S. dollar | |||||
IDR | Indonesian rupiah | PLN | Polish zloty | ZAR | South African rand | |||||
INR | Indian rupee | RUB | Russian ruble |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 33 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Asia Local Debt Fund (ALD)
February 28, 2018
Investments | Principal Amount† | Value | ||||||||||
FOREIGN GOVERNMENT AGENCIES – 15.8% | ||||||||||||
Australia – 12.4% | ||||||||||||
Queensland Treasury Corp. | 736,000 | AUD | $ | 656,668 | ||||||||
South Australian Government Financing Authority | 978,000 | AUD | 825,805 | |||||||||
Treasury Corp. of Victoria 5.50%, 12/17/24, Series 1224 | 630,000 | AUD | 573,864 | |||||||||
Western Australian Treasury Corp. | 327,000 | AUD | 275,012 | |||||||||
5.00%, 7/23/25, Series 25, Reg S | 580,000 | AUD | 511,402 | |||||||||
|
| |||||||||||
Total Australia | 2,842,751 | |||||||||||
New Zealand – 3.4% | ||||||||||||
New Zealand Local Government Funding Agency Bond | ||||||||||||
5.50%, 4/15/23 | 600,000 | NZD | 483,514 | |||||||||
4.50%, 4/15/27 | 390,000 | NZD | 296,968 | |||||||||
|
| |||||||||||
Total New Zealand | 780,482 | |||||||||||
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $3,747,157) |
| 3,623,233 | ||||||||||
FOREIGN GOVERNMENT OBLIGATIONS – 68.8% | ||||||||||||
China – 4.6% | ||||||||||||
China Government Bond | ||||||||||||
2.36%, 8/18/21, Reg S | 4,000,000 | CNY | 597,292 | |||||||||
3.10%, 6/29/22 | 2,000,000 | CNY | 302,576 | |||||||||
3.48%, 6/29/27, Reg S | 1,000,000 | CNY | 147,803 | |||||||||
|
| |||||||||||
Total China | 1,047,671 | |||||||||||
Hong Kong – 6.1% | ||||||||||||
Hong Kong Government Bond 1.51%, 2/24/27 | 650,000 | HKD | 80,293 | |||||||||
Hong Kong Government Bond Programme | ||||||||||||
1.06%, 2/5/20 | 3,450,000 | HKD | 439,632 | |||||||||
2.46%, 8/4/21 | 4,450,000 | HKD | 586,077 | |||||||||
1.10%, 1/17/23 | 2,300,000 | HKD | 284,862 | |||||||||
|
| |||||||||||
Total Hong Kong | 1,390,864 | |||||||||||
India – 11.5% | ||||||||||||
India Government Bond | ||||||||||||
8.27%, 6/9/20 | 26,000,000 | INR | 409,957 | |||||||||
7.80%, 4/11/21 | 70,000,000 | INR | 1,093,632 | |||||||||
7.72%, 5/25/25 | 74,000,000 | INR | 1,135,338 | |||||||||
|
| |||||||||||
Total India | 2,638,927 | |||||||||||
Indonesia – 10.1% | ||||||||||||
Indonesia Treasury Bond | ||||||||||||
7.88%, 4/15/19, Series FR69 | 3,810,000,000 | IDR | 286,127 | |||||||||
12.80%, 6/15/21, Series FR34 | 5,228,000,000 | IDR | 455,692 | |||||||||
7.00%, 5/15/22, Series FR61 | 6,034,000,000 | IDR | 452,051 | |||||||||
8.38%, 9/15/26, Series FR56 | 7,099,000,000 | IDR | 570,564 | |||||||||
9.00%, 3/15/29, Series FR71 | 6,600,000,000 | IDR | 551,273 | |||||||||
|
| |||||||||||
Total Indonesia | 2,315,707 | |||||||||||
Malaysia – 6.4% | ||||||||||||
Malaysia Government Bond | ||||||||||||
4.38%, 11/29/19, Series 0902 | 346,000 | MYR | 89,930 | |||||||||
4.16%, 7/15/21, Series 0111 | 850,000 | MYR | 221,532 | |||||||||
3.88%, 3/10/22, Series 0117 | 910,000 | MYR | 234,579 | |||||||||
3.48%, 3/15/23, Series 0313 | 782,000 | MYR | 196,997 | |||||||||
3.96%, 9/15/25, Series 0115 | 1,745,000 | MYR | 444,027 | |||||||||
Malaysia Government Investment Issue | 1,075,000 | MYR | 274,994 | |||||||||
|
| |||||||||||
Total Malaysia | 1,462,059 | |||||||||||
New Zealand – 3.0% | ||||||||||||
New Zealand Government Bond | ||||||||||||
5.00%, 3/15/19, Series 319, Reg S | 279,000 | NZD | 208,158 | |||||||||
6.00%, 5/15/21, Series 521, Reg S | 594,000 | NZD | 481,016 | |||||||||
|
| |||||||||||
Total New Zealand | 689,174 | |||||||||||
Philippines – 4.7% | ||||||||||||
Philippine Government Bond | ||||||||||||
3.50%, 3/20/21, Series 7-57 | 18,610,000 | PHP | 347,523 | |||||||||
4.63%, 12/4/22, Series R511 | 15,015,000 | PHP | 280,758 | |||||||||
3.63%, 9/9/25, Series 1060 | 16,166,000 | PHP | 270,500 | |||||||||
Philippine Government International Bond | 10,000,000 | PHP | 191,244 | |||||||||
|
| |||||||||||
Total Philippines | 1,090,025 | |||||||||||
Singapore – 4.8% | ||||||||||||
Singapore Government Bond | ||||||||||||
2.25%, 6/1/21 | 300,000 | SGD | 229,618 | |||||||||
2.75%, 7/1/23 | 455,000 | SGD | 355,476 | |||||||||
3.00%, 9/1/24 | 329,000 | SGD | 260,146 | |||||||||
2.88%, 7/1/29 | 323,000 | SGD | 252,838 | |||||||||
|
| |||||||||||
Total Singapore | 1,098,078 | |||||||||||
South Korea – 4.9% | ||||||||||||
Korea Treasury Bond | ||||||||||||
3.75%, 6/10/22, Series 2206 | 444,870,000 | KRW | 431,500 | |||||||||
3.50%, 3/10/24, Series 2403 | 437,090,000 | KRW | 423,123 | |||||||||
2.25%, 6/10/25, Series 2506 | 295,610,000 | KRW | 265,626 | |||||||||
|
| |||||||||||
Total South Korea | 1,120,249 | |||||||||||
Thailand – 12.7% | ||||||||||||
Thailand Government Bond | ||||||||||||
2.55%, 6/26/20 | 11,969,000 | THB | 391,146 | |||||||||
1.88%, 6/17/22 | 16,800,000 | THB | 537,640 | |||||||||
3.63%, 6/16/23 | 19,113,000 | THB | 662,601 | |||||||||
3.85%, 12/12/25 | 14,622,000 | THB | 518,599 | |||||||||
4.88%, 6/22/29 | 10,952,000 | THB | 424,686 | |||||||||
3.40%, 6/17/36 | 11,500,000 | THB | 382,830 | |||||||||
|
| |||||||||||
Total Thailand | 2,917,502 | |||||||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $16,127,807) |
| 15,770,256 |
See Notes to Financial Statements.
34 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Asia Local Debt Fund (ALD)
February 28, 2018
Investments | Principal Amount† | Value | ||||||||||
SUPRANATIONAL BONDS – 3.3% | ||||||||||||
Asian Development Bank | 2,500,000 | CNY | $ | 383,388 | ||||||||
European Investment Bank | 5,190,000,000 | �� | IDR | 384,966 | ||||||||
TOTAL SUPRANATIONAL BONDS (Cost: $827,013) | 768,354 | |||||||||||
TOTAL INVESTMENTS IN SECURITIES – 87.9% (Cost: $20,701,977) |
| 20,161,843 | ||||||||||
Other Assets less Liabilities – 12.1% |
| 2,769,152 | ||||||||||
|
| |||||||||||
NET ASSETS – 100.0% | $ | 22,930,995 |
† | Principal amount is reported in U.S. dollars unless otherwise noted. |
Reg S – Regulation S provides an exclusion from the registration requirements of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||||||||||||||
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER) | ||||||||||||||||||||||||||||
Counterparty | Settlement Date | Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Bank of America N.A. | 3/1/2018 | 46,186 | USD | 61,126 | SGD | $ | — | $ | (22 | ) | ||||||||||||||||||
Bank of America N.A. | 3/21/2018 | 8,000,000 | PHP | 158,072 | USD | — | (4,866 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/21/2018 | 70,000 | SGD | 52,902 | USD | — | (33 | ) | ||||||||||||||||||||
Citibank N.A. | 3/22/2018 | 87,890,000 | KRW | 80,841 | USD | 384 | — | |||||||||||||||||||||
Citibank N.A. | 3/22/2018 | 11,582,665 | TWD | 388,811 | USD | 7,615 | — | |||||||||||||||||||||
Citibank N.A. | 3/22/2018 | 173,552 | USD | 11,296,500 | INR | 676 | — | |||||||||||||||||||||
HSBC Holdings PLC | 3/21/2018 | 5,500,000 | PHP | 108,449 | USD | — | (3,121 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/22/2018 | 37,000,000 | INR | 578,450 | USD | — | (12,221 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/22/2018 | 8,000,000 | TWD | 271,435 | USD | 2,371 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/22/2018 | 87,890,000 | KRW | 80,740 | USD | 485 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/22/2018 | 11,582,665 | TWD | 389,066 | USD | 7,359 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/22/2018 | 173,549 | USD | 11,296,500 | INR | 674 | — | |||||||||||||||||||||
UBS AG | 3/21/2018 | 360,000 | SGD | 267,925 | USD | 3,971 | — | |||||||||||||||||||||
UBS AG | 3/22/2018 | 82,720,000 | KRW | 75,970 | USD | 478 | — | |||||||||||||||||||||
UBS AG | 3/22/2018 | 10,901,332 | TWD | 366,195 | USD | 6,912 | — | |||||||||||||||||||||
UBS AG | 3/22/2018 | 163,357 | USD | 10,632,000 | INR | 650 | — | |||||||||||||||||||||
$ | 31,575 | $ | (20,263 | ) |
CURRENCY LEGEND | ||||||||||||||||||||
AUD | Australian dollar | NZD | New Zealand dollar | |||||||||||||||||
CNY | Chinese yuan | PHP | Philippine peso | |||||||||||||||||
HKD | Hong Kong dollar | SGD | Singapore dollar | |||||||||||||||||
IDR | Indonesian rupiah | THB | Thai baht | |||||||||||||||||
INR | Indian rupee | TWD | New Taiwan dollar | |||||||||||||||||
KRW | South Korean won | USD | U.S. dollar | |||||||||||||||||
MYR | Malaysian ringgit |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 35 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2018
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT AGENCIES – 28.2% | ||||||||
Federal Home Loan Bank – 0.7% | ||||||||
Federal Home Loan Bank | $ | 150,000 | $ | 195,846 | ||||
Federal Home Loan Mortgage Corporation – 8.3% | ||||||||
2.38%, 1/13/22 | 197,000 | 195,408 | ||||||
3.00%, 8/1/29 | 53,920 | 53,773 | ||||||
2.50%, 12/1/31 | 81,348 | 79,380 | ||||||
2.50%, 11/1/32 | 48,114 | 46,950 | ||||||
3.00%, 1/1/33 | 49,339 | 49,173 | ||||||
2.00%, 3/1/33(a) | 25,000 | 23,769 | ||||||
2.50%, 3/1/33(a) | 50,000 | 48,727 | ||||||
3.00%, 3/1/33(a) | 25,000 | 24,885 | ||||||
3.50%, 3/1/33(a) | 50,000 | 50,859 | ||||||
4.00%, 5/1/34 | 77,564 | 80,399 | ||||||
3.00%, 5/1/37 | 46,853 | 46,249 | ||||||
3.00%, 8/1/43 | 147,835 | 144,344 | ||||||
4.00%, 12/1/43 | 38,079 | 39,213 | ||||||
3.50%, 1/1/45 | 69,831 | 69,932 | ||||||
3.50%, 8/1/45 | 120,274 | 120,414 | ||||||
4.00%, 8/1/45 | 71,367 | 73,444 | ||||||
3.50%, 9/1/45 | 48,658 | 48,715 | ||||||
4.00%, 11/1/45 | 79,074 | 81,378 | ||||||
3.00%, 4/1/46 | 24,938 | 24,209 | ||||||
3.50%, 5/1/46 | 39,650 | 39,697 | ||||||
3.00%, 9/1/46 | 55,732 | 54,104 | ||||||
3.00%, 10/1/46 | 135,991 | 131,998 | ||||||
3.00%, 11/1/46 | 115,124 | 111,726 | ||||||
4.00%, 11/1/46 | 41,192 | 42,393 | ||||||
3.50%, 12/1/46 | 175,984 | 176,190 | ||||||
3.00%, 2/1/47 | 23,453 | 22,756 | ||||||
4.00%, 2/1/47 | 42,562 | 43,794 | ||||||
4.50%, 4/1/47 | 49,728 | 52,122 | ||||||
3.50%, 5/1/47 | 45,882 | 45,936 | ||||||
4.50%, 5/1/47 | 84,356 | 88,417 | ||||||
3.50%, 8/1/47 | 23,970 | 23,998 | ||||||
4.00%, 8/1/47 | 72,044 | 74,151 | ||||||
4.50%, 9/1/47 | 45,635 | 47,834 | ||||||
3.50%, 10/1/47 | 49,148 | 49,205 | ||||||
2.50%, 3/1/48(a) | 25,000 | 23,366 | ||||||
3.50%, 3/1/48(a) | 25,000 | 24,970 | ||||||
4.50%, 3/1/48(a) | 25,000 | 26,181 | ||||||
5.00%, 3/1/48(a) | 25,000 | 26,725 | ||||||
|
| |||||||
Total Federal Home Loan Mortgage Corporation | 2,406,784 | |||||||
Federal National Mortgage Association – 11.5% | ||||||||
4.00%, 8/1/18 | 2,521 | 2,583 | ||||||
4.00%, 7/1/19 | 7,847 | 8,040 | ||||||
5.50%, 10/1/25 | 72,396 | 78,676 | ||||||
4.00%, 7/1/26 | 15,556 | 16,003 | ||||||
3.50%, 12/1/26 | 19,197 | 19,539 | ||||||
2.50%, 8/1/28 | 47,016 | 46,217 | ||||||
3.00%, 11/1/28 | 25,849 | 25,841 | ||||||
3.00%, 7/1/29 | 102,530 | 102,435 | ||||||
3.00%, 9/1/30 | 53,273 | 53,191 | ||||||
2.50%, 6/1/31 | 40,927 | 39,958 | ||||||
2.50%, 10/1/31 | 35,149 | 34,317 | ||||||
2.50%, 10/1/32 | 47,806 | 46,674 | ||||||
2.50%, 12/1/32 | 24,367 | 23,790 | ||||||
2.00%, 3/1/33(a) | 25,000 | 23,779 | ||||||
2.50%, 3/1/33(a) | 25,000 | 24,379 | ||||||
3.00%, 3/1/33(a) | 25,000 | 24,890 | ||||||
3.50%, 3/1/33(a) | 50,000 | 50,834 | ||||||
4.00%, 8/1/34 | 26,291 | 27,295 | ||||||
3.50%, 1/1/36 | 30,418 | 30,885 | ||||||
4.50%, 9/1/39 | 35,645 | 37,682 | ||||||
3.50%, 6/1/42 | 23,922 | 24,039 | ||||||
3.50%, 5/1/43 | 37,622 | 37,778 | ||||||
4.00%, 6/1/43 | 15,036 | 15,523 | ||||||
3.00%, 8/1/43 | 67,847 | 66,274 | ||||||
4.00%, 11/1/43 | 32,884 | 33,862 | ||||||
4.50%, 5/1/44 | 27,428 | 28,810 | ||||||
4.00%, 9/1/44 | 120,928 | 124,225 | ||||||
4.00%, 10/1/44 | 36,757 | 37,757 | ||||||
3.50%, 4/1/45 | 134,378 | 134,439 | ||||||
3.50%, 12/1/45 | 67,247 | 67,242 | ||||||
3.50%, 1/1/46 | 158,899 | 158,887 | ||||||
3.50%, 2/1/46 | 85,202 | 85,195 | ||||||
3.50%, 4/1/46 | 36,629 | 36,626 | ||||||
4.00%, 4/1/46 | 36,036 | 37,095 | ||||||
3.50%, 5/1/46 | 200,489 | 200,474 | ||||||
4.00%, 7/1/46 | 97,634 | 100,142 | ||||||
3.00%, 9/1/46 | 135,518 | 131,436 | ||||||
3.00%, 10/1/46 | 45,629 | 44,255 | ||||||
4.00%, 10/1/46 | 41,929 | 43,007 | ||||||
2.50%, 11/1/46 | 23,807 | 22,268 | ||||||
3.00%, 11/1/46 | 260,329 | 252,801 | ||||||
3.50%, 11/1/46 | 44,631 | 44,614 | ||||||
3.00%, 1/1/47 | 94,668 | 91,817 | ||||||
3.00%, 2/1/47 | 47,456 | 46,027 | ||||||
4.00%, 2/1/47 | 49,566 | 50,850 | ||||||
3.50%, 3/1/47 | 22,841 | 22,839 | ||||||
4.00%, 3/1/47 | 49,448 | 50,728 | ||||||
4.00%, 5/1/47 | 49,434 | 50,722 | ||||||
4.00%, 8/1/47 | 47,550 | 48,761 | ||||||
3.50%, 11/1/47 | 49,136 | 49,133 | ||||||
4.50%, 11/1/47 | 96,469 | 101,279 | ||||||
3.00%, 1/1/48 | 49,721 | 48,223 | ||||||
3.50%, 1/1/48 | 49,630 | 49,626 | ||||||
3.00%, 3/1/48(a) | 25,000 | 24,217 | ||||||
4.00%, 3/1/48(a) | 25,000 | 25,605 | ||||||
4.50%, 3/1/48(a) | 50,000 | 52,349 | ||||||
5.00%, 3/1/48(a) | 150,000 | 160,121 | ||||||
|
| |||||||
Total Federal National Mortgage Association | 3,316,054 | |||||||
Government National Mortgage Association – 7.7% | ||||||||
5.00%, 2/20/43 | 64,288 | 68,566 | ||||||
5.00%, 4/20/44 | 142,227 | 149,785 | ||||||
3.50%, 7/20/44 | 213,866 | 215,916 | ||||||
4.00%, 7/20/44 | 42,067 | 43,555 | ||||||
5.00%, 7/20/44 | 26,008 | 27,367 | ||||||
3.50%, 8/20/44 | 265,449 | 267,904 | ||||||
5.00%, 8/20/44 | 24,577 | 25,943 | ||||||
3.00%, 1/20/45 | 49,524 | 48,505 | ||||||
3.00%, 12/20/45 | 274,667 | 268,820 | ||||||
3.00%, 5/20/46 | 47,807 | 46,848 | ||||||
3.50%, 9/20/46 | 244,157 | 245,901 |
See Notes to Financial Statements.
36 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2018
Investments | Principal Amount | Value | ||||||
4.00%, 12/20/46 | $ | 79,057 | $ | 81,303 | ||||
4.00%, 1/20/47 | 75,393 | 77,460 | ||||||
3.50%, 2/20/47 | 96,898 | 97,587 | ||||||
4.00%, 8/20/47 | 95,499 | 98,144 | ||||||
4.50%, 10/20/47 | 53,832 | 56,093 | ||||||
3.00%, 12/20/47 | 124,392 | 121,738 | ||||||
4.00%, 1/20/48 | 51,926 | 53,429 | ||||||
2.50%, 3/1/48(a) | 25,000 | 23,647 | ||||||
3.00%, 3/1/48(a) | 100,000 | 97,733 | ||||||
3.50%, 3/1/48(a) | 25,000 | 25,140 | ||||||
4.00%, 3/1/48(a) | 25,000 | 25,650 | ||||||
4.50%, 3/1/48(a) | 50,000 | 51,984 | ||||||
|
| |||||||
Total Government National Mortgage Association | 2,219,018 | |||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost: $8,254,812) |
| 8,137,702 | ||||||
U.S. GOVERNMENT OBLIGATIONS – 35.3% | ||||||||
U.S. Treasury Bonds – 7.8% | ||||||||
U.S. Treasury Bond |
| |||||||
7.63%, 11/15/22 | 200,000 | 244,566 | ||||||
6.88%, 8/15/25 | 401,000 | 511,197 | ||||||
5.38%, 2/15/31 | 25,000 | 31,628 | ||||||
5.00%, 5/15/37 | 25,000 | 32,285 | ||||||
4.38%, 2/15/38 | 80,000 | 96,277 | ||||||
4.50%, 5/15/38 | 25,000 | 30,602 | ||||||
3.50%, 2/15/39 | 150,000 | 160,714 | ||||||
4.25%, 5/15/39 | 150,000 | 178,227 | ||||||
3.63%, 8/15/43 | 15,000 | 16,344 | ||||||
2.50%, 5/15/46 | 960,000 | 846,188 | ||||||
2.25%, 8/15/46 | 30,000 | 25,021 | ||||||
2.75%, 11/15/47 | 100,000 | 92,670 | ||||||
|
| |||||||
Total U.S. Treasury Bonds | 2,265,719 | |||||||
U.S. Treasury Notes – 27.5% | ||||||||
U.S. Treasury Note |
| |||||||
1.13%, 2/28/19 | 100,000 | 99,057 | ||||||
1.75%, 9/30/19 | 100,000 | 99,289 | ||||||
1.13%, 12/31/19 | 300,000 | 294,059 | ||||||
1.63%, 12/31/19 | 1,900,000 | 1,878,811 | ||||||
1.88%, 12/31/19 | 200,000 | 198,680 | ||||||
1.38%, 5/31/20 | 200,000 | 195,828 | ||||||
2.63%, 8/15/20 | 200,000 | 201,270 | ||||||
2.63%, 11/15/20 | 300,000 | 301,898 | ||||||
3.63%, 2/15/21 | 300,000 | 310,271 | ||||||
1.13%, 8/31/21 | 200,000 | 190,703 | ||||||
1.75%, 5/15/22 | 30,000 | 29,011 | ||||||
1.63%, 8/15/22 | 200,000 | 191,762 | ||||||
1.63%, 8/31/22 | 200,000 | 191,590 | ||||||
1.88%, 8/31/22 | 200,000 | 193,750 | ||||||
1.75%, 9/30/22 | 200,000 | 192,437 | ||||||
1.88%, 9/30/22 | 200,000 | 193,504 | ||||||
1.63%, 11/15/22 | 522,000 | 498,846 | ||||||
1.75%, 5/15/23 | 750,000 | 716,294 | ||||||
2.50%, 8/15/23 | 500,000 | 495,088 | ||||||
2.00%, 2/15/25 | 250,000 | 237,222 | ||||||
2.00%, 8/15/25 | 200,000 | 188,941 | ||||||
1.50%, 8/15/26 | 725,000 | 650,603 | ||||||
2.38%, 5/15/27 | 250,000 | 239,814 | ||||||
2.25%, 8/15/27 | 25,000 | 23,687 | ||||||
2.25%, 11/15/27 | 125,000 | 118,281 | ||||||
|
| |||||||
Total U.S. Treasury Notes | 7,930,696 | |||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $10,359,035) |
| 10,196,415 | ||||||
CORPORATE BONDS – 24.4% | ||||||||
United States – 24.4% | ||||||||
21st Century Fox America, Inc. | 22,000 | 28,659 | ||||||
3M Co. | 25,000 | 21,929 | ||||||
AbbVie, Inc. | 61,000 | 60,423 | ||||||
Air Lease Corp. | 25,000 | 23,924 | ||||||
Allergan Funding SCS | 25,000 | 24,967 | ||||||
Altria Group, Inc. | 75,000 | 73,774 | ||||||
Amazon.com, Inc. | 25,000 | 24,949 | ||||||
American Express Co. | 20,000 | 19,978 | ||||||
American Honda Finance Corp. | 25,000 | 24,539 | ||||||
American International Group, Inc. | 25,000 | 24,833 | ||||||
American Tower Corp. | 20,000 | 19,004 | ||||||
Amgen, Inc. | 88,000 | 89,172 | ||||||
Anadarko Petroleum Corp. | 25,000 | 27,297 | ||||||
Anthem, Inc. | 69,000 | 70,569 | ||||||
Apple, Inc. |
| |||||||
1.55%, 2/7/20 | 70,000 | 68,760 | ||||||
2.00%, 5/6/20 | 70,000 | 69,235 | ||||||
3.00%, 6/20/27 | 25,000 | 23,967 | ||||||
4.38%, 5/13/45 | 20,000 | 21,008 | ||||||
AT&T, Inc. |
| |||||||
5.80%, 2/15/19 | 25,000 | 25,732 | ||||||
2.30%, 3/11/19 | 50,000 | 49,917 | ||||||
2.80%, 2/17/21 | 25,000 | 24,804 | ||||||
4.45%, 5/15/21 | 25,000 | 25,938 | ||||||
3.00%, 2/15/22 | 25,000 | 24,723 | ||||||
4.30%, 2/15/30(b) | 54,000 | 52,806 | ||||||
4.35%, 6/15/45 | 52,000 | 46,739 | ||||||
Bank of America Corp. |
| |||||||
2.60%, 1/15/19, Series L | 28,000 | 28,013 | ||||||
3.00%, 12/20/23, (3.004% fixed rate until 12/20/22; 3-month U.S. dollar London Interbank Offered Rate + 0.790% thereafter)(b)(d) | 165,000 | 161,624 | ||||||
3.95%, 1/23/49, (3.946% fixed rate until 1/23/48; 3-month U.S. dollar London Interbank Offered Rate + 1.190% thereafter)(d) | 20,000 | 19,215 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 37 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2018
Investments | Principal Amount | Value | ||||||
BB&T Corp. |
| |||||||
5.25%, 11/1/19 | $ | 25,000 | $ | 25,977 | ||||
2.45%, 1/15/20 | 25,000 | 24,855 | ||||||
Becton Dickinson and Co. | 25,000 | 24,919 | ||||||
Boardwalk Pipelines L.P. | 20,000 | 19,595 | ||||||
Boeing Co. (The) | 10,000 | 12,709 | ||||||
Boston Scientific Corp. | 25,000 | 26,392 | ||||||
Broadcom Corp. | 25,000 | 24,015 | ||||||
Burlington Northern Santa Fe LLC |
| |||||||
4.70%, 10/1/19 | 51,500 | 53,214 | ||||||
6.15%, 5/1/37 | 10,000 | 12,723 | ||||||
Caterpillar Financial Services Corp. | 25,000 | 24,785 | ||||||
CBS Corp. | 5,000 | 4,689 | ||||||
Celgene Corp. | 30,000 | 28,583 | ||||||
Charter Communications Operating LLC | 25,000 | 29,318 | ||||||
Cintas Corp. No 2 | 25,000 | 25,036 | ||||||
Cisco Systems, Inc. | 15,000 | 19,558 | ||||||
Citigroup, Inc. |
| |||||||
2.70%, 3/30/21 | 100,000 | 98,863 | ||||||
5.50%, 9/13/25 | 80,000 | 87,637 | ||||||
4.45%, 9/29/27 | 25,000 | 25,543 | ||||||
3.52%, 10/27/28, (3.520% fixed rate until 10/27/27; 3-month U.S. dollar London Interbank Offered Rate + 1.151% thereafter)(d) | 25,000 | 24,197 | ||||||
Comcast Corp. | 29,000 | 37,196 | ||||||
Concho Resources, Inc. | 25,000 | 24,377 | ||||||
ConocoPhillips | 20,000 | 26,239 | ||||||
Consolidated Edison Co. of New York, Inc. | 20,000 | 19,511 | ||||||
CSX Corp. | 20,000 | 19,655 | ||||||
CVS Health Corp. | 50,000 | 52,089 | ||||||
Dell International LLC | 25,000 | 31,771 | ||||||
Dover Corp. | 25,000 | 24,438 | ||||||
Dow Chemical Co. (The) | 125,000 | 128,855 | ||||||
Duke Energy Corp. | 25,000 | 23,713 | ||||||
Duke Energy Florida LLC | 45,500 | 60,444 | ||||||
DXC Technology Co. | 10,000 | 10,371 | ||||||
Eli Lilly & Co. | 25,000 | 25,324 | ||||||
Energy Transfer Partners L.P. |
| |||||||
4.65%, 6/1/21 | 100,000 | 103,702 | ||||||
6.63%, 10/15/36 | 20,000 | 22,608 | ||||||
Enterprise Products Operating LLC |
| |||||||
3.35%, 3/15/23 | 87,000 | 86,906 | ||||||
6.88%, 3/1/33, Series D | 20,000 | 25,157 | ||||||
Exelon Corp. | 35,000 | 39,275 | ||||||
Exxon Mobil Corp. |
| |||||||
3.04%, 3/1/26 | 25,000 | 24,458 | ||||||
3.57%, 3/6/45 | 25,000 | 23,821 | ||||||
FedEx Corp. | 20,000 | 19,907 | ||||||
FirstEnergy Corp. | 20,000 | 19,823 | ||||||
Ford Motor Co. | 27,000 | 25,010 | ||||||
General Motors Financial Co., Inc. | 80,000 | 79,417 | ||||||
Gilead Sciences, Inc. | 100,000 | 99,919 | ||||||
Goldman Sachs Capital I | 20,000 | 24,099 | ||||||
Goldman Sachs Group, Inc. (The) |
| |||||||
7.50%, 2/15/19 | 133,000 | 138,905 | ||||||
6.00%, 6/15/20, Series D | 100,000 | 106,642 | ||||||
5.95%, 1/15/27 | 25,000 | 28,228 | ||||||
3.85%, 1/26/27 | 25,000 | 24,682 | ||||||
3.69%, 6/5/28, (3.691% fixed rate until 6/5/27; 3-month U.S. dollar London Interbank Offered Rate + 1.510% thereafter)(d) | 25,000 | 24,353 | ||||||
Home Depot, Inc. (The) |
| |||||||
2.80%, 9/14/27 | 25,000 | 23,611 | ||||||
5.88%, 12/16/36 | 15,000 | 19,120 | ||||||
Hubbell, Inc. | 25,000 | 23,847 | ||||||
Intel Corp. | 20,000 | 20,513 | ||||||
International Business Machines Corp. | 25,000 | 31,348 | ||||||
International Lease Finance Corp. | 80,000 | 87,445 | ||||||
International Paper Co. | 101,000 | 106,477 | ||||||
Jefferies Group LLC | 25,000 | 28,251 | ||||||
John Deere Capital Corp. |
| |||||||
1.95%, 6/22/20 | 14,000 | 13,773 | ||||||
2.80%, 3/6/23 | 25,000 | 24,561 |
See Notes to Financial Statements.
38 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2018
Investments | Principal Amount | Value | ||||||
JPMorgan Chase & Co. |
| |||||||
4.25%, 10/15/20 | $ | 100,000 | $ | 103,443 | ||||
3.20%, 1/25/23 | 150,000 | 149,293 | ||||||
5.50%, 10/15/40 | 37,000 | 44,245 | ||||||
5.63%, 8/16/43 | 20,000 | 23,299 | ||||||
Kinder Morgan Energy Partners L.P. | 99,000 | 102,517 | ||||||
Kraft Heinz Foods Co. |
| |||||||
5.38%, 2/10/20 | 50,000 | 52,213 | ||||||
3.50%, 6/6/22 | 100,000 | 100,183 | ||||||
3.00%, 6/1/26 | 25,000 | 22,996 | ||||||
Laboratory Corp. of America Holdings | 75,000 | 74,889 | ||||||
Lockheed Martin Corp. |
| |||||||
6.15%, 9/1/36, Series B | 25,000 | 31,479 | ||||||
4.09%, 9/15/52 | 25,000 | 24,425 | ||||||
LYB International Finance II B.V. | 25,000 | 24,380 | ||||||
McDonald’s Corp. | 25,000 | 24,765 | ||||||
MetLife, Inc. | 100,000 | 100,302 | ||||||
Microsoft Corp. |
| |||||||
3.50%, 11/15/42 | 25,000 | 23,888 | ||||||
4.25%, 2/6/47, Series 30Y | 20,000 | 21,389 | ||||||
MidAmerican Energy Co. | 15,000 | 17,021 | ||||||
Monsanto Co. |
| |||||||
2.75%, 7/15/21 | 100,000 | 98,776 | ||||||
4.70%, 7/15/64 | 25,000 | 24,969 | ||||||
Moody’s Corp. | 20,000 | 19,064 | ||||||
Morgan Stanley |
| |||||||
4.88%, 11/1/22 | 100,000 | 105,529 | ||||||
3.59%, 7/22/28, (3.591% fixed rate until 7/22/27; 3-month U.S. dollar London Interbank Offered Rate + 1.340% thereafter)(d) | 25,000 | 24,166 | ||||||
3.97%, 7/22/38, (3.971% fixed rate until 7/22/37; 3-month U.S. dollar London Interbank Offered Rate + 1.455% thereafter)(d) | 20,000 | 19,563 | ||||||
4.38%, 1/22/47 | 20,000 | 20,301 | ||||||
Mosaic Co. (The) | 10,000 | 9,524 | ||||||
NiSource, Inc. | 20,000 | 19,029 | ||||||
Norfolk Southern Corp. | 25,000 | 24,012 | ||||||
Northrop Grumman Corp. | 25,000 | 24,061 | ||||||
Omega Healthcare Investors, Inc. | 25,000 | 24,245 | ||||||
Oncor Electric Delivery Co. LLC | 115,000 | 132,895 | ||||||
Oracle Corp. |
| |||||||
5.00%, 7/8/19 | 70,000 | 72,295 | ||||||
4.50%, 7/8/44 | 25,000 | 26,930 | ||||||
Pacific Gas & Electric Co. |
| |||||||
4.25%, 5/15/21 | 150,000 | 155,314 | ||||||
2.95%, 3/1/26 | 20,000 | 18,649 | ||||||
PepsiCo, Inc. | 30,000 | 28,850 | ||||||
Pfizer, Inc. | 95,000 | 138,175 | ||||||
Philip Morris International, Inc. | 34,000 | 36,960 | ||||||
Plains All American Pipeline L.P. | 122,500 | 121,036 | ||||||
Prudential Financial, Inc. | 20,000 | 26,539 | ||||||
Public Service Electric & Gas Co. | 125,000 | 120,826 | ||||||
QUALCOMM, Inc. | 30,000 | 28,391 | ||||||
Reynolds American, Inc. | 25,000 | 33,051 | ||||||
Rockwell Collins, Inc. |
| |||||||
2.80%, 3/15/22 | 20,000 | 19,557 | ||||||
4.80%, 12/15/43 | 10,000 | 10,722 | ||||||
Royal Caribbean Cruises Ltd. | 10,000 | 12,470 | ||||||
Santander Holdings USA, Inc. | 25,000 | 25,027 | ||||||
Sempra Energy | 25,000 | 23,933 | ||||||
Simon Property Group L.P. | 100,000 | 103,865 | ||||||
Southern California Edison Co. | 79,000 | 86,892 | ||||||
Target Corp. | 25,000 | 25,039 | ||||||
Texas Instruments, Inc. | 30,000 | 28,668 | ||||||
Time Warner Cable LLC | 47,500 | 54,666 | ||||||
Time Warner, Inc. | 25,000 | 24,238 | ||||||
United Technologies Corp. | 25,000 | 24,068 | ||||||
UnitedHealth Group, Inc. |
| |||||||
3.10%, 3/15/26 | 100,000 | 96,789 | ||||||
3.75%, 10/15/47 | 15,000 | 14,163 | ||||||
Ventas Realty L.P. | 25,000 | 24,457 | ||||||
Verizon Communications, Inc. |
| |||||||
5.15%, 9/15/23 | 120,000 | 130,147 | ||||||
6.55%, 9/15/43 | 20,000 | 24,969 | ||||||
5.01%, 4/15/49 | 25,000 | 25,470 | ||||||
Visa, Inc. | 30,000 | 28,841 | ||||||
Walt Disney Co. (The) | 50,000 | 42,583 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 39 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Wells Fargo & Co. |
| |||||||
4.13%, 8/15/23 | $ | 100,000 | $ | 102,455 | ||||
3.58%, 5/22/28, (3.584% fixed rate until 5/22/27; 3-month U.S. dollar London Interbank Offered Rate + 1.310% thereafter)(d) | 25,000 | 24,450 | ||||||
Welltower, Inc. | 25,000 | 25,582 | ||||||
Wyndham Worldwide Corp. | 75,000 | 75,369 | ||||||
Xerox Corp. | 71,000 | 71,582 | ||||||
Xilinx, Inc. | 70,000 | 69,714 | ||||||
TOTAL CORPORATE BONDS (Cost: $7,158,961) | 7,038,540 | |||||||
FOREIGN CORPORATE BONDS – 2.5% | ||||||||
Australia – 0.1% | ||||||||
Westpac Banking Corp. | 25,000 | 24,303 | ||||||
Belgium – 0.1% | ||||||||
Anheuser-Busch InBev Worldwide, Inc. | 20,000 | 20,177 | ||||||
Brazil – 0.1% | ||||||||
Vale Overseas Ltd. | 25,000 | 28,255 | ||||||
Canada – 0.3% | ||||||||
Bank of Montreal | ||||||||
3.80%, 12/15/32, (3.803% fixed rate until 12/15/27; 5-year U.S. dollar Swap Rate + 1.432% thereafter)(d) | 25,000 | 23,878 | ||||||
Methanex Corp. | 25,000 | 24,964 | ||||||
Nexen Energy ULC | 27,000 | 33,514 | ||||||
|
| |||||||
Total Canada | 82,356 | |||||||
Colombia – 0.4% | ||||||||
Ecopetrol S.A. | 100,000 | 108,625 | ||||||
Japan – 0.1% | ||||||||
Mitsubishi UFJ Financial Group, Inc. | 20,000 | 19,784 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 25,000 | 24,020 | ||||||
|
| |||||||
Total Japan | 43,804 | |||||||
Mexico – 0.4% | ||||||||
Petroleos Mexicanos |
| |||||||
6.00%, 3/5/20 | 85,000 | 89,186 | ||||||
6.75%, 9/21/47 | 20,000 | 20,388 | ||||||
|
| |||||||
Total Mexico | 109,574 | |||||||
Netherlands – 0.2% | ||||||||
Cooperatieve Rabobank UA | 25,000 | 29,631 | ||||||
Shell International Finance B.V. | 29,000 | 34,951 | ||||||
|
| |||||||
Total Netherlands | 64,582 | |||||||
Norway – 0.2% | ||||||||
Statoil ASA | 60,000 | 58,177 | ||||||
Peru – 0.1% | ||||||||
Southern Copper Corp. | 25,000 | 26,756 | ||||||
Switzerland – 0.1% | ||||||||
Novartis Capital Corp. | 15,000 | 14,539 | ||||||
United Kingdom – 0.4% | ||||||||
BP Capital Markets PLC | 25,000 | 24,295 | ||||||
HSBC Holdings PLC | 101,000 | 106,544 | ||||||
|
| |||||||
Total United Kingdom | 130,839 | |||||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $720,596) | 711,987 | |||||||
FOREIGN GOVERNMENT OBLIGATIONS – 1.2% | ||||||||
Colombia – 0.4% | ||||||||
Colombia Government International Bond | 100,000 | 117,050 | ||||||
Italy – 0.3% | ||||||||
Republic of Italy Government International Bond | 86,000 | 98,798 | ||||||
Mexico – 0.5% | ||||||||
Mexico Government International Bond |
| |||||||
4.00%, 10/2/23 | 113,000 | 115,359 | ||||||
5.75%, 10/12/2110 | 20,000 | 20,300 | ||||||
|
| |||||||
Total Mexico | 135,659 | |||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $356,268) | 351,507 | |||||||
SUPRANATIONAL BOND – 0.1% | ||||||||
International Bank for Reconstruction & Development |
| |||||||
2.50%, 11/22/27, Series GDIF (Cost: $24,165) | 25,000 | 23,921 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 2.8% | ||||||||
United States – 2.8% | ||||||||
CFCRE Commercial Mortgage Trust | ||||||||
3.83%, 12/15/47, Series 2011-C2, | 95,175 | 96,812 | ||||||
COMM Mortgage Trust |
| |||||||
3.60%, 5/10/47, Series 2014-CR17, Class ASB | 55,000 | 55,976 | ||||||
2.87%, 2/10/48, Series 2015-DC1, Class A2 | 80,000 | 80,123 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
4.08%, 2/15/47, Series 2014-C18, | 50,000 | 52,189 |
See Notes to Financial Statements.
40 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | $ | 105,000 | $ | 104,620 | ||||
UBS Commercial Mortgage Trust | ||||||||
3.00%, 5/10/45, Series 2012-C1, | 203,545 | 204,632 | ||||||
WFRBS Commercial Mortgage Trust |
| |||||||
4.02%, 12/15/46, Series 2013-C17, Class A4 | 100,000 | 103,736 | ||||||
2.90%, 3/15/47, Series 2014-C19, Class A2 | 100,000 | 100,308 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost: $812,433) | 798,396 | |||||||
MUNICIPAL BOND – 0.6% | ||||||||
United States – 0.6% | ||||||||
State of California (Cost: $173,509) | 120,000 | 181,131 | ||||||
ASSET-BACKED SECURITIES – 0.5% | ||||||||
United States – 0.5% | ||||||||
Citibank Credit Card Issuance Trust | 100,000 | 98,458 | ||||||
GM Financial Automobile Leasing Trust | 45,000 | 44,752 | ||||||
TOTAL ASSET-BACKED SECURITIES (Cost: $143,809) | 143,210 | |||||||
Shares | ||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 0.5% | ||||||||
United States – 0.5% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.38%(e) (Cost: $130,218)(f) | 130,218 | 130,218 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 96.1% (Cost: $28,133,806) | 27,713,027 | |||||||
Other Assets less Liabilities – 3.9% | 1,138,116 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 28,851,143 |
(a) | To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing. |
(b) | This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers. |
(c) | Security, or portion thereof, was on loan at February 28, 2018 (See Note 2). |
(d) | Rate shown reflects the accrual rate as of February 28, 2018 on securities with variable or step rates. |
(e) | Rate shown represents annualized 7-day yield as of February 28, 2018. |
(f) | At February 28, 2018, the total market value of the Fund’s securities on loan was $126,821 and the total market value of the collateral held by the Fund was $130,218. |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||
FUTURES CONTRACTS† (EXCHANGE-TRADED) | ||||||||||||||
Short Exposure | Contracts | Expiration Date | Notional Amount1 | Unrealized Appreciation/ (Depreciation) | ||||||||||
2 Year U.S. Treasury Note | 31 | 6/29/18 | $ | (6,586,531 | ) | $ | 4,844 | |||||||
5 Year U.S. Treasury Note | 156 | 6/29/18 | (17,773,032 | ) | 35,301 | |||||||||
U.S. Treasury Ultra Long Term Bond | 15 | 6/20/18 | (2,338,125 | ) | 1,010 | |||||||||
Ultra 10 Year U.S. Treasury Note | 30 | 6/20/18 | (3,841,875 | ) | 7,964 | |||||||||
$ | (30,539,563 | ) | $ | 49,119 |
† | As of February 28, 2018, cash collateral posted by the Fund with the broker for futures contracts was $254,391. |
1 | “Notional Amount” represents the current notional value of the futures contract. |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 41 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund (AGND)
February 28, 2018
Investments in Long Securities | Principal Amount | Value | ||||||
U.S. GOVERNMENT AGENCIES – 27.8% | ||||||||
Federal Home Loan Bank – 0.2% | ||||||||
Federal Home Loan Bank | $ | 50,000 | $ | 65,282 | ||||
Federal Home Loan Mortgage Corporation – 8.7% | ||||||||
3.00%, 8/1/29 | 53,920 | 53,773 | ||||||
6.75%, 9/15/29, Series GDIF | 25,000 | 33,463 | ||||||
2.50%, 2/1/30 | 51,036 | 49,801 | ||||||
2.50%, 4/1/30 | 25,654 | 25,125 | ||||||
3.00%, 12/1/30 | 49,689 | 49,522 | ||||||
2.50%, 11/1/32 | 48,114 | 46,950 | ||||||
3.00%, 1/1/33 | 49,339 | 49,172 | ||||||
2.50%, 3/1/33(a) | 65,000 | 63,345 | ||||||
3.00%, 3/1/33(a) | 25,000 | 24,885 | ||||||
3.50%, 3/1/33(a) | 25,000 | 25,429 | ||||||
4.00%, 6/1/34 | 29,381 | 30,455 | ||||||
3.00%, 9/1/36 | 66,650 | 65,831 | ||||||
3.50%, 4/1/37 | 29,303 | 29,700 | ||||||
5.50%, 12/1/38 | 91,061 | 100,358 | ||||||
3.00%, 4/1/43 | 259,461 | 253,539 | ||||||
3.50%, 7/1/43 | 138,754 | 139,399 | ||||||
3.00%, 8/1/43 | 43,679 | 42,647 | ||||||
4.00%, 12/1/43 | 38,079 | 39,213 | ||||||
4.50%, 4/1/44 | 35,988 | 37,770 | ||||||
4.00%, 11/1/45 | 63,260 | 65,102 | ||||||
4.00%, 3/1/46 | 65,292 | 67,194 | ||||||
3.50%, 4/1/46 | 97,432 | 97,545 | ||||||
3.50%, 5/1/46 | 39,650 | 39,697 | ||||||
3.50%, 8/1/46 | 435,117 | 436,752 | ||||||
4.00%, 9/1/46 | 40,407 | 41,585 | ||||||
3.00%, 11/1/46 | 115,977 | 112,569 | ||||||
3.50%, 2/1/47 | 92,975 | 93,084 | ||||||
4.00%, 2/1/47 | 72,355 | 74,451 | ||||||
3.00%, 3/1/47 | 117,966 | 114,454 | ||||||
4.50%, 3/1/47 | 23,327 | 24,448 | ||||||
4.50%, 5/1/47 | 29,525 | 30,946 | ||||||
4.00%, 8/1/47 | 72,267 | 74,378 | ||||||
4.50%, 8/1/47 | 22,727 | 23,822 | ||||||
3.50%, 9/1/47 | 97,024 | 97,137 | ||||||
3.00%, 3/1/48(a) | 25,000 | 24,214 | ||||||
4.00%, 3/1/48(a) | 25,000 | 25,606 | ||||||
4.50%, 3/1/48(a) | 25,000 | 26,181 | ||||||
5.00%, 3/1/48(a) | 50,000 | 53,450 | ||||||
|
| |||||||
Total Federal Home Loan Mortgage Corporation | 2,682,992 | |||||||
Federal National Mortgage Association – 11.7% | ||||||||
2.13%, 4/24/26 | 100,000 | 93,843 | ||||||
4.00%, 7/1/26 | 15,556 | 16,003 | ||||||
3.50%, 12/1/26 | 19,197 | 19,539 | ||||||
3.00%, 11/1/28 | 25,849 | 25,841 | ||||||
2.50%, 4/1/30 | 33,775 | 33,074 | ||||||
3.00%, 9/1/30 | 157,329 | 157,086 | ||||||
2.50%, 5/1/31 | 53,908 | 52,631 | ||||||
2.50%, 6/1/31 | 40,927 | 39,958 | ||||||
2.50%, 12/1/32 | 48,734 | 47,580 | ||||||
2.00%, 3/1/33(a) | 25,000 | 23,779 | ||||||
2.50%, 3/1/33(a) | 55,000 | 53,634 | ||||||
3.00%, 3/1/33(a) | 75,000 | 74,669 | ||||||
3.50%, 3/1/33(a) | 50,000 | 50,834 | ||||||
4.00%, 8/1/34 | 13,264 | 13,770 | ||||||
3.50%, 2/1/35 | 19,707 | 20,009 | ||||||
3.50%, 1/1/36 | 31,125 | 31,603 | ||||||
3.00%, 12/1/36 | 92,659 | 91,529 | ||||||
4.50%, 11/1/39 | 105,705 | 111,914 | ||||||
4.50%, 2/1/41 | 41,428 | 43,770 | ||||||
5.50%, 12/1/41 | 118,759 | 130,104 | ||||||
3.50%, 6/1/42 | 74,484 | 74,847 | ||||||
3.00%, 4/1/43 | 168,775 | 164,936 | ||||||
3.50%, 5/1/43 | 37,622 | 37,778 | ||||||
4.00%, 6/1/43 | 15,036 | 15,523 | ||||||
3.50%, 7/1/43 | 365,270 | 367,062 | ||||||
4.00%, 11/1/43 | 32,884 | 33,862 | ||||||
4.50%, 5/1/44 | 27,428 | 28,810 | ||||||
4.00%, 9/1/44 | 31,999 | 32,868 | ||||||
4.00%, 10/1/44 | 36,757 | 37,757 | ||||||
3.50%, 4/1/46 | 36,629 | 36,626 | ||||||
4.00%, 4/1/46 | 36,036 | 37,095 | ||||||
3.50%, 5/1/46 | 40,098 | 40,095 | ||||||
4.00%, 7/1/46 | 97,173 | 99,668 | ||||||
3.00%, 9/1/46 | 135,518 | 131,437 | ||||||
3.00%, 10/1/46 | 161,829 | 157,051 | ||||||
4.00%, 10/1/46 | 41,929 | 43,007 | ||||||
2.50%, 11/1/46 | 23,807 | 22,268 | ||||||
3.00%, 11/1/46 | 136,022 | 132,066 | ||||||
3.50%, 11/1/46 | 89,262 | 89,227 | ||||||
3.00%, 2/1/47 | 99,052 | 96,070 | ||||||
4.00%, 3/1/47 | 184,216 | 188,988 | ||||||
4.00%, 4/1/47 | 73,197 | 75,100 | ||||||
3.50%, 5/1/47 | 91,933 | 91,926 | ||||||
4.00%, 6/1/47 | 46,680 | 47,897 | ||||||
3.50%, 7/1/47 | 95,418 | 95,410 | ||||||
3.50%, 9/1/47 | 24,274 | 24,272 | ||||||
3.50%, 10/1/47 | 39,997 | 39,994 | ||||||
4.50%, 11/1/47 | 24,117 | 25,320 | ||||||
3.00%, 3/1/48(a) | 50,000 | 48,433 | ||||||
4.00%, 3/1/48(a) | 50,000 | 51,210 | ||||||
4.50%, 3/1/48(a) | 25,000 | 26,174 | ||||||
5.00%, 3/1/48(a) | 75,000 | 80,060 | ||||||
|
| |||||||
Total Federal National Mortgage Association | 3,604,007 | |||||||
Government National Mortgage Association – 7.2% | ||||||||
3.50%, 6/20/42 | 108,299 | 109,689 | ||||||
3.00%, 12/20/42 | 96,095 | 94,437 | ||||||
3.50%, 3/20/43 | 75,168 | 75,928 | ||||||
3.50%, 4/20/43 | 267,272 | 270,458 | ||||||
5.00%, 8/20/44 | 51,913 | 54,799 | ||||||
4.50%, 12/20/44 | 72,182 | 75,917 | ||||||
3.50%, 7/20/45 | 46,410 | 46,777 | ||||||
3.50%, 9/20/45 | 42,409 | 42,745 | ||||||
3.00%, 12/20/45 | 151,888 | 148,655 | ||||||
4.00%, 12/20/45 | 34,587 | 35,809 | ||||||
4.00%, 4/20/46 | 52,823 | 54,620 | ||||||
3.00%, 5/20/46 | 23,903 | 23,424 | ||||||
4.00%, 8/20/46 | 22,482 | 23,176 | ||||||
3.00%, 12/15/46 | 174,399 | 171,027 | ||||||
4.00%, 12/20/46 | 24,953 | 25,662 | ||||||
3.00%, 1/20/47 | 91,641 | 89,688 |
See Notes to Financial Statements.
42 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund (AGND)
February 28, 2018
Investments in Long Securities | Principal Amount | Value | ||||||
4.00%, 1/20/47 | $ | 37,697 | $ | 38,730 | ||||
3.50%, 4/20/47 | 113,182 | 113,987 | ||||||
3.00%, 6/20/47 | 71,241 | 69,723 | ||||||
3.50%, 8/20/47 | 73,126 | 73,646 | ||||||
4.00%, 8/20/47 | 95,499 | 98,144 | ||||||
3.50%, 9/20/47 | 98,192 | 98,891 | ||||||
4.50%, 12/20/47 | 99,245 | 103,685 | ||||||
4.00%, 1/20/48 | 74,833 | 76,999 | ||||||
3.00%, 3/1/48(a) | 25,000 | 24,433 | ||||||
3.50%, 3/1/48(a) | 75,000 | 75,419 | ||||||
4.00%, 3/1/48(a) | 75,000 | 76,999 | ||||||
4.50%, 3/1/48(a) | 50,000 | 51,999 | ||||||
|
| |||||||
Total Government National Mortgage Association | 2,245,466 | |||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost: $8,706,847) |
| 8,597,747 | ||||||
U.S. GOVERNMENT OBLIGATIONS – 34.2% | ||||||||
U.S. Treasury Bonds – 7.1% | ||||||||
U.S. Treasury Bond |
| |||||||
6.88%, 8/15/25 | 245,000 | 312,327 | ||||||
5.25%, 11/15/28 | 100,000 | 121,672 | ||||||
4.38%, 2/15/38 | 110,000 | 132,380 | ||||||
4.50%, 5/15/38 | 100,000 | 122,406 | ||||||
3.50%, 2/15/39 | 25,000 | 26,786 | ||||||
3.75%, 8/15/41 | 75,000 | 83,303 | ||||||
3.00%, 5/15/42 | 80,000 | 78,686 | ||||||
3.13%, 2/15/43 | 175,000 | 175,431 | ||||||
2.88%, 5/15/43 | 30,000 | 28,741 | ||||||
3.75%, 11/15/43 | 100,000 | 111,180 | ||||||
3.63%, 2/15/44 | 70,000 | 76,295 | ||||||
3.13%, 8/15/44 | 75,000 | 75,047 | ||||||
3.00%, 5/15/45 | 70,000 | 68,398 | ||||||
2.88%, 8/15/45 | 200,000 | 190,695 | ||||||
2.50%, 5/15/46 | 315,000 | 277,655 | ||||||
2.25%, 8/15/46 | 40,000 | 33,361 | ||||||
2.75%, 8/15/47 | 75,000 | 69,489 | ||||||
2.75%, 11/15/47 | 215,000 | 199,240 | ||||||
|
| |||||||
Total U.S. Treasury Bonds | 2,183,092 | |||||||
U.S. Treasury Notes – 27.1% | ||||||||
U.S. Treasury Note |
| |||||||
1.38%, 9/30/18 | 72,000 | 71,771 | ||||||
1.50%, 12/31/18 | 200,000 | 199,086 | ||||||
1.38%, 9/30/19 | 300,000 | 296,133 | ||||||
1.75%, 9/30/19 | 300,000 | 297,867 | ||||||
1.50%, 10/31/19 | 250,000 | 247,080 | ||||||
1.63%, 12/31/19 | 250,000 | 247,212 | ||||||
3.63%, 2/15/20 | 250,000 | 256,440 | ||||||
1.38%, 2/29/20 | 130,000 | 127,728 | ||||||
1.13%, 3/31/20 | 500,000 | 488,144 | ||||||
1.50%, 4/15/20 | 100,000 | 98,344 | ||||||
1.13%, 4/30/20 | 300,000 | 292,500 | ||||||
1.38%, 5/31/20 | 200,000 | 195,828 | ||||||
1.50%, 5/31/20 | 100,000 | 98,189 | ||||||
1.50%, 6/15/20 | 200,000 | 196,320 | ||||||
1.63%, 6/30/20 | 250,000 | 245,957 | ||||||
1.50%, 7/15/20 | 250,000 | 245,190 | ||||||
1.63%, 7/31/20 | 300,000 | 294,932 | ||||||
1.50%, 8/15/20 | 150,000 | 146,988 | ||||||
1.38%, 1/31/21 | 140,000 | 135,874 | ||||||
1.38%, 4/30/21 | 300,000 | 290,098 | ||||||
2.13%, 8/15/21 | 125,000 | 123,416 | ||||||
2.00%, 11/15/21 | 50,000 | 49,070 | ||||||
1.75%, 11/30/21 | 150,000 | 145,770 | ||||||
2.00%, 12/31/21 | 400,000 | 391,852 | ||||||
1.88%, 2/28/22 | 100,000 | 97,348 | ||||||
1.88%, 3/31/22 | 150,000 | 145,890 | ||||||
1.88%, 10/31/22 | 450,000 | 435,129 | ||||||
2.00%, 10/31/22 | 110,000 | 106,923 | ||||||
1.63%, 11/15/22 | 5,000 | 4,778 | ||||||
2.00%, 11/30/22 | 200,000 | 194,324 | ||||||
2.13%, 12/31/22 | 200,000 | 195,281 | ||||||
2.38%, 1/31/23 | 175,000 | 172,792 | ||||||
1.50%, 2/28/23 | 200,000 | 189,187 | ||||||
1.50%, 3/31/23 | 150,000 | 141,744 | ||||||
1.25%, 7/31/23 | 200,000 | 185,477 | ||||||
2.50%, 8/15/23 | 200,000 | 198,035 | ||||||
2.75%, 11/15/23 | 225,000 | 225,444 | ||||||
2.38%, 8/15/24 | 125,000 | 122,039 | ||||||
2.25%, 11/15/25 | 265,000 | 254,250 | ||||||
1.50%, 8/15/26 | 100,000 | 89,738 | ||||||
2.00%, 11/15/26 | 110,000 | 102,592 | ||||||
2.25%, 2/15/27 | 100,000 | 95,016 | ||||||
2.25%, 11/15/27 | 250,000 | 236,562 | ||||||
|
| |||||||
Total U.S. Treasury Notes | 8,374,338 | |||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $10,726,027) |
| 10,557,430 | ||||||
CORPORATE BONDS – 24.6% | ||||||||
United States – 24.6% | ||||||||
21st Century Fox America, Inc. |
| |||||||
6.90%, 3/1/19 | 20,000 | 20,846 | ||||||
6.65%, 11/15/37 | 21,000 | 27,356 | ||||||
Abbott Laboratories |
| |||||||
2.90%, 11/30/21 | 35,000 | 34,721 | ||||||
3.40%, 11/30/23 | 20,000 | 19,949 | ||||||
4.75%, 11/30/36 | 25,000 | 26,817 | ||||||
AbbVie, Inc. | 20,000 | 19,811 | ||||||
Adobe Systems, Inc. | 25,000 | 25,989 | ||||||
AEP Texas, Inc. | 25,000 | 24,069 | ||||||
Air Lease Corp. | 20,000 | 19,140 | ||||||
Alexandria Real Estate Equities, Inc. | 20,000 | 19,938 | ||||||
Allergan Funding SCS |
| |||||||
3.80%, 3/15/25 | 30,000 | 29,647 | ||||||
4.85%, 6/15/44 | 10,000 | 10,107 | ||||||
Alphabet, Inc. | 10,000 | 10,204 | ||||||
Altria Group, Inc. |
| |||||||
4.75%, 5/5/21 | 24,000 | 25,274 | ||||||
2.85%, 8/9/22 | 10,000 | 9,837 | ||||||
4.00%, 1/31/24 | 10,000 | 10,296 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 43 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund (AGND)
February 28, 2018
Investments in Long Securities | Principal Amount | Value | ||||||
Amazon.com, Inc. |
| |||||||
2.50%, 11/29/22 | $ | 20,000 | $ | 19,549 | ||||
4.05%, 8/22/47(b) | 15,000 | 14,969 | ||||||
American Express Co. |
| |||||||
2.65%, 12/2/22 | 20,000 | 19,444 | ||||||
3.00%, 10/30/24 | 25,000 | 24,137 | ||||||
American Express Credit Corp. | 20,000 | 19,622 | ||||||
American Honda Finance Corp. | 10,000 | 9,947 | ||||||
American International Group, Inc. |
| |||||||
4.88%, 6/1/22 | 51,000 | 54,078 | ||||||
3.75%, 7/10/25 | 20,000 | 19,935 | ||||||
4.50%, 7/16/44 | 15,000 | 14,960 | ||||||
American Tower Corp. | 20,000 | 19,119 | ||||||
Ameriprise Financial, Inc. | 20,000 | 20,616 | ||||||
Amgen, Inc. | 44,000 | 44,586 | ||||||
Anadarko Petroleum Corp. |
| |||||||
5.55%, 3/15/26 | 20,000 | 21,837 | ||||||
6.45%, 9/15/36 | 25,000 | 29,866 | ||||||
Anthem, Inc. |
| |||||||
3.50%, 8/15/24 | 10,000 | 9,945 | ||||||
4.65%, 1/15/43 | 20,000 | 20,455 | ||||||
Apache Corp. | 10,000 | 9,236 | ||||||
Apple, Inc. |
| |||||||
1.90%, 2/7/20 | 25,000 | 24,716 | ||||||
4.50%, 2/23/36 | 50,000 | 54,603 | ||||||
AT&T, Inc. |
| |||||||
2.30%, 3/11/19 | 20,000 | 19,967 | ||||||
5.88%, 10/1/19 | 20,000 | 20,970 | ||||||
3.00%, 6/30/22 | 5,000 | 4,920 | ||||||
3.90%, 3/11/24 | 50,000 | 50,483 | ||||||
4.30%, 2/15/30(b) | 20,000 | 19,558 | ||||||
4.50%, 5/15/35 | 5,000 | 4,847 | ||||||
5.25%, 3/1/37 | 20,000 | 20,701 | ||||||
4.80%, 6/15/44 | 5,000 | 4,804 | ||||||
4.35%, 6/15/45 | 23,000 | 20,673 | ||||||
5.45%, 3/1/47 | 5,000 | 5,228 | ||||||
4.55%, 3/9/49 | 15,000 | 13,759 | ||||||
Bank of America Corp. |
| |||||||
2.60%, 1/15/19, Series L | 21,000 | 21,010 | ||||||
5.70%, 1/24/22 | 15,000 | 16,369 | ||||||
3.00%, 12/20/23, (3.004% fixed rate until 12/20/22; 3-month U.S. dollar London Interbank Offered Rate + 0.790% thereafter)(b)(c) | 62,000 | 60,732 | ||||||
3.88%, 8/1/25 | 10,000 | 10,145 | ||||||
3.09%, 10/1/25, (3.093% fixed rate until 10/1/24; 3-month U.S. dollar London Interbank Offered Rate + 1.090% thereafter)(c) | 20,000 | 19,437 | ||||||
4.45%, 3/3/26 | 50,000 | 51,207 | ||||||
3.71%, 4/24/28, (3.705% fixed rate until 4/24/27; 3-month U.S. dollar London Interbank Offered Rate + 1.512% thereafter)(c) | 20,000 | 19,712 | ||||||
4.88%, 4/1/44 | 15,000 | 16,527 | ||||||
BB&T Corp. |
| |||||||
2.05%, 5/10/21 | 60,000 | 58,297 | ||||||
2.85%, 10/26/24 | 20,000 | 19,354 | ||||||
Berkshire Hathaway Finance Corp. | 20,000 | 25,024 | ||||||
Berkshire Hathaway, Inc. |
| |||||||
2.75%, 3/15/23 | 15,000 | 14,731 | ||||||
3.13%, 3/15/26 | 35,000 | 34,097 | ||||||
Biogen, Inc. | 15,000 | 16,318 | ||||||
Boeing Co. (The) |
| |||||||
6.00%, 3/15/19 | 25,000 | 25,872 | ||||||
5.88%, 2/15/40 | 10,000 | 12,709 | ||||||
Broadcom Corp. |
| |||||||
3.00%, 1/15/22 | 40,000 | 39,126 | ||||||
3.63%, 1/15/24 | 30,000 | 29,278 | ||||||
Burlington Northern Santa Fe LLC |
| |||||||
4.70%, 10/1/19 | 32,500 | 33,582 | ||||||
4.55%, 9/1/44 | 30,000 | 32,212 | ||||||
Capital One Financial Corp. | 30,000 | 29,215 | ||||||
Cardinal Health, Inc. | 20,000 | 18,836 | ||||||
Caterpillar Financial Services Corp. | 10,000 | 9,593 | ||||||
Caterpillar, Inc. | 10,000 | 9,975 | ||||||
CBS Corp. | 20,000 | 26,264 | ||||||
Celgene Corp. | 30,000 | 29,961 | ||||||
Charter Communications Operating LLC |
| |||||||
4.46%, 7/23/22 | 20,000 | 20,482 | ||||||
6.48%, 10/23/45 | 20,000 | 22,606 | ||||||
Chevron Corp. |
| |||||||
3.19%, 6/24/23 | 20,000 | 20,039 | ||||||
2.90%, 3/3/24 | 30,000 | 29,403 | ||||||
Cigna Corp. | 25,000 | 24,082 | ||||||
Cisco Systems, Inc. |
| |||||||
4.95%, 2/15/19 | 25,000 | 25,586 | ||||||
4.45%, 1/15/20 | 25,000 | 25,885 | ||||||
3.63%, 3/4/24 | 10,000 | 10,253 | ||||||
Citigroup, Inc. |
| |||||||
2.65%, 10/26/20 | 30,000 | 29,704 | ||||||
4.45%, 9/29/27 | 30,000 | 30,651 | ||||||
4.75%, 5/18/46 | 26,000 | 26,701 | ||||||
CME Group, Inc. |
| |||||||
3.00%, 9/15/22 | 20,000 | 19,961 | ||||||
3.00%, 3/15/25 | 20,000 | 19,530 | ||||||
Comcast Corp. |
| |||||||
3.00%, 2/1/24 | 10,000 | 9,822 | ||||||
3.15%, 3/1/26 | 10,000 | 9,651 | ||||||
2.35%, 1/15/27 | 10,000 | 8,991 | ||||||
6.45%, 3/15/37 | 40,000 | 51,305 | ||||||
Commonwealth Edison Co. | 30,000 | 28,650 |
See Notes to Financial Statements.
44 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund (AGND)
February 28, 2018
Investments in Long Securities | Principal Amount | Value | ||||||
Concho Resources, Inc. | $ | 20,000 | $ | 19,502 | ||||
ConocoPhillips | 25,000 | 32,798 | ||||||
Costco Wholesale Corp. | 25,000 | 24,212 | ||||||
Crown Castle International Corp. | 20,000 | 21,032 | ||||||
CSX Corp. |
| |||||||
3.25%, 6/1/27 | 60,000 | 57,461 | ||||||
4.50%, 8/1/54 | 15,000 | 14,741 | ||||||
CVS Health Corp. | 32,000 | 31,176 | ||||||
Dell International LLC | 30,000 | 32,081 | ||||||
Digital Realty Trust L.P. | 20,000 | 20,995 | ||||||
Discovery Communications LLC | 30,000 | 28,853 | ||||||
Dominion Energy, Inc. | ||||||||
5.75%, 10/1/54, (5.750% fixed rate until 10/1/24; 3-month U.S. dollar London Interbank Offered Rate + 3.057% thereafter)(c) | 20,000 | 21,350 | ||||||
Dow Chemical Co. (The) |
| |||||||
4.25%, 11/15/20 | 25,000 | 25,771 | ||||||
3.00%, 11/15/22 | 25,000 | 24,650 | ||||||
4.38%, 11/15/42 | 15,000 | 15,115 | ||||||
Duke Energy Carolinas LLC | 40,000 | 47,999 | ||||||
Duke Energy Florida LLC | 33,500 | 44,502 | ||||||
DXC Technology Co. | 10,000 | 10,371 | ||||||
Eastman Chemical Co. | 20,000 | 20,791 | ||||||
Eaton Corp. | 40,000 | 39,186 | ||||||
eBay, Inc. |
| |||||||
3.80%, 3/9/22 | 20,000 | 20,390 | ||||||
2.75%, 1/30/23 | 20,000 | 19,374 | ||||||
EI du Pont de Nemours & Co. | 10,000 | 9,865 | ||||||
Eli Lilly & Co. | 10,000 | 9,742 | ||||||
Energy Transfer Partners L.P. |
| |||||||
4.50%, 11/1/23 | 32,000 | 32,574 | ||||||
6.13%, 12/15/45 | 20,000 | 21,408 | ||||||
Enterprise Products Operating LLC |
| |||||||
5.20%, 9/1/20 | 30,000 | 31,582 | ||||||
3.35%, 3/15/23 | 28,000 | 27,970 | ||||||
4.45%, 2/15/43 | 20,000 | 19,848 | ||||||
Exelon Corp. |
| |||||||
3.95%, 6/15/25 | 25,000 | 25,319 | ||||||
4.45%, 4/15/46 | 20,000 | 20,361 | ||||||
Exelon Generation Co. LLC | 10,000 | 11,244 | ||||||
Express Scripts Holding Co. | 30,000 | 30,087 | ||||||
Exxon Mobil Corp. | 30,000 | 28,850 | ||||||
FedEx Corp. |
| |||||||
4.10%, 4/15/43 | 25,000 | 23,854 | ||||||
4.55%, 4/1/46 | 15,000 | 15,330 | ||||||
Florida Power & Light Co. | 20,000 | 25,999 | ||||||
Ford Motor Co. | 16,000 | 14,821 | ||||||
General Electric Co. |
| |||||||
4.63%, 1/7/21 | 20,000 | 20,737 | ||||||
3.10%, 1/9/23 | 20,000 | 19,669 | ||||||
3.38%, 3/11/24 | 32,000 | 31,521 | ||||||
4.50%, 3/11/44 | 20,000 | 19,857 | ||||||
General Motors Financial Co., Inc. |
| |||||||
3.70%, 11/24/20 | 30,000 | 30,336 | ||||||
4.30%, 7/13/25 | 28,000 | 28,114 | ||||||
Gilead Sciences, Inc. |
| |||||||
4.50%, 4/1/21 | 50,000 | 52,334 | ||||||
3.65%, 3/1/26 | 20,000 | 19,984 | ||||||
5.65%, 12/1/41 | 15,000 | 17,792 | ||||||
Goldman Sachs Group, Inc. (The) |
| |||||||
7.50%, 2/15/19 | 12,000 | 12,533 | ||||||
6.00%, 6/15/20, Series D | 20,000 | 21,328 | ||||||
2.35%, 11/15/21 | 5,000 | 4,839 | ||||||
3.00%, 4/26/22 | 5,000 | 4,932 | ||||||
4.00%, 3/3/24 | 5,000 | 5,098 | ||||||
3.50%, 1/23/25 | 5,000 | 4,915 | ||||||
4.25%, 10/21/25 | 25,000 | 25,225 | ||||||
3.50%, 11/16/26 | 5,000 | 4,822 | ||||||
3.85%, 1/26/27 | 5,000 | 4,936 | ||||||
6.13%, 2/15/33 | 5,000 | 6,035 | ||||||
4.02%, 10/31/38, (4.017% fixed rate until 10/31/37; 3-month U.S. dollar London Interbank Offered Rate + 1.373% thereafter)(c) | 5,000 | 4,841 | ||||||
6.25%, 2/1/41 | 25,000 | 31,731 | ||||||
Halliburton Co. | 25,000 | 26,092 | ||||||
HCP, Inc. | 20,000 | 19,889 | ||||||
Home Depot, Inc. (The) |
| |||||||
2.00%, 6/15/19 | 10,000 | 9,951 | ||||||
5.88%, 12/16/36 | 10,000 | 12,747 | ||||||
3.90%, 6/15/47 | 10,000 | 9,876 | ||||||
Honeywell International, Inc. | 40,000 | 37,001 | ||||||
HP, Inc. | 20,000 | 20,938 | ||||||
Humana, Inc. | 20,000 | 21,257 | ||||||
Intel Corp. |
| |||||||
2.88%, 5/11/24 | 25,000 | 24,426 | ||||||
3.15%, 5/11/27 | 25,000 | 24,430 | ||||||
Intercontinental Exchange, Inc. | 70,000 | 69,705 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 45 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund (AGND)
February 28, 2018
Investments in Long Securities | Principal Amount | Value | ||||||
International Business Machines Corp. | $ | 25,000 | $ | 27,329 | ||||
International Lease Finance Corp. |
| |||||||
8.25%, 12/15/20 | 25,000 | 28,197 | ||||||
5.88%, 8/15/22 | 25,000 | 27,327 | ||||||
International Paper Co. |
| |||||||
3.80%, 1/15/26 | 45,000 | 45,326 | ||||||
3.00%, 2/15/27 | 20,000 | 18,711 | ||||||
Invesco Finance PLC | 10,000 | 11,634 | ||||||
John Deere Capital Corp. | 25,000 | 24,481 | ||||||
Johnson & Johnson | 20,000 | 19,940 | ||||||
Johnson Controls International PLC | 20,000 | 20,218 | ||||||
JPMorgan Chase & Co. |
| |||||||
4.95%, 3/25/20 | 25,000 | 26,053 | ||||||
4.25%, 10/15/20 | 35,000 | 36,205 | ||||||
2.30%, 8/15/21 | 30,000 | 29,231 | ||||||
4.50%, 1/24/22 | 35,000 | 36,616 | ||||||
3.25%, 9/23/22 | 15,000 | 15,013 | ||||||
3.88%, 9/10/24 | 20,000 | 20,130 | ||||||
3.30%, 4/1/26 | 15,000 | 14,562 | ||||||
4.25%, 10/1/27 | 30,000 | 30,676 | ||||||
3.96%, 11/15/48, (3.964% fixed rate until 11/15/47; 3-month U.S. dollar London Interbank Offered Rate + 1.380% thereafter)(c) | 25,000 | 23,934 | ||||||
Kellogg Co. | 60,000 | 61,612 | ||||||
KeyCorp | 50,000 | 52,992 | ||||||
Kinder Morgan Energy Partners L.P. | 22,000 | 22,782 | ||||||
Kraft Heinz Foods Co. | 32,000 | 32,059 | ||||||
Kroger Co. (The) | 25,000 | 22,639 | ||||||
Laboratory Corp. of America Holdings | 20,000 | 19,970 | ||||||
Lockheed Martin Corp. |
| |||||||
2.50%, 11/23/20 | 20,000 | 19,823 | ||||||
3.35%, 9/15/21 | 40,000 | 40,557 | ||||||
4.09%, 9/15/52 | 10,000 | 9,770 | ||||||
Lowe’s Cos., Inc. | 10,000 | 9,821 | ||||||
Macy’s Retail Holdings, Inc. | 5,000 | 4,679 | ||||||
Marathon Oil Corp. | 10,000 | 12,125 | ||||||
Marathon Petroleum Corp. | 10,000 | 9,812 | ||||||
Mastercard, Inc. |
| |||||||
2.00%, 4/1/19 | 10,000 | 9,956 | ||||||
3.38%, 4/1/24 | 10,000 | 10,035 | ||||||
McDonald’s Corp. |
| |||||||
2.63%, 1/15/22 | 20,000 | 19,691 | ||||||
4.70%, 12/9/35 | 20,000 | 21,527 | ||||||
Medtronic, Inc. | 50,000 | 53,020 | ||||||
Merck & Co., Inc. |
| |||||||
2.75%, 2/10/25 | 15,000 | 14,497 | ||||||
4.15%, 5/18/43 | 20,000 | 20,814 | ||||||
MetLife, Inc. | 34,000 | 33,815 | ||||||
Microsoft Corp. |
| |||||||
2.00%, 11/3/20 | 30,000 | 29,534 | ||||||
2.00%, 8/8/23 | 10,000 | 9,462 | ||||||
3.50%, 2/12/35 | 32,000 | 31,481 | ||||||
5.20%, 6/1/39 | 25,000 | 29,919 | ||||||
4.00%, 2/12/55 | 25,000 | 25,139 | ||||||
4.50%, 2/6/57 | 15,000 | 16,515 | ||||||
MidAmerican Energy Co. | 30,000 | 29,046 | ||||||
Molson Coors Brewing Co. | 50,000 | 48,208 | ||||||
Monsanto Co. | 50,000 | 49,388 | ||||||
Morgan Stanley |
| |||||||
2.80%, 6/16/20 | 25,000 | 24,935 | ||||||
5.50%, 7/28/21 | 20,000 | 21,466 | ||||||
7.25%, 4/1/32 | 25,000 | 33,190 | ||||||
4.38%, 1/22/47 | 20,000 | 20,301 | ||||||
Mosaic Co. (The) | 10,000 | 9,524 | ||||||
Mylan N.V. | 40,000 | 39,665 | ||||||
NextEra Energy Capital Holdings, Inc. | 40,000 | 39,201 | ||||||
NIKE, Inc. | 20,000 | 18,472 | ||||||
NiSource, Inc. | 25,000 | 26,935 | ||||||
Noble Energy, Inc. | 10,000 | 10,409 | ||||||
Norfolk Southern Corp. | 20,000 | 19,209 | ||||||
Northrop Grumman Corp. |
| |||||||
2.55%, 10/15/22 | 30,000 | 29,046 | ||||||
3.25%, 1/15/28 | 25,000 | 23,989 | ||||||
NVIDIA Corp. | 15,000 | 14,609 | ||||||
Occidental Petroleum Corp. | 15,000 | 15,827 | ||||||
Oncor Electric Delivery Co. LLC | 20,000 | 23,112 | ||||||
Oracle Corp. |
| |||||||
5.00%, 7/8/19 | 25,000 | 25,820 | ||||||
1.90%, 9/15/21 | 30,000 | 29,013 | ||||||
3.25%, 11/15/27 | 20,000 | 19,464 | ||||||
4.00%, 7/15/46 | 20,000 | 19,782 |
See Notes to Financial Statements.
46 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund (AGND)
February 28, 2018
Investments in Long Securities | Principal Amount | Value | ||||||
Pacific Gas & Electric Co. | $ | 50,000 | $ | 51,771 | ||||
PepsiCo, Inc. |
| |||||||
3.60%, 3/1/24 | 25,000 | 25,504 | ||||||
2.38%, 10/6/26 | 15,000 | 13,833 | ||||||
3.45%, 10/6/46 | 10,000 | 9,088 | ||||||
Pfizer, Inc. | 32,000 | 46,543 | ||||||
Philip Morris International, Inc. | �� | 28,000 | 30,438 | |||||
Phillips 66 | 10,000 | 10,563 | ||||||
Pitney Bowes, Inc. | 25,000 | 23,312 | ||||||
Plains All American Pipeline L.P. | 32,500 | 32,112 | ||||||
PNC Financial Services Group, Inc. (The) |
| |||||||
6.70%, 6/10/19 | 25,000 | 26,267 | ||||||
3.90%, 4/29/24 | 25,000 | 25,492 | ||||||
3.15%, 5/19/27 | 20,000 | 19,243 | ||||||
Procter & Gamble Co. (The) |
| |||||||
3.10%, 8/15/23 | 10,000 | 10,037 | ||||||
2.45%, 11/3/26 | 10,000 | 9,296 | ||||||
3.50%, 10/25/47 | 10,000 | 9,416 | ||||||
Prudential Financial, Inc. | 20,000 | 19,044 | ||||||
QUALCOMM, Inc. |
| |||||||
2.60%, 1/30/23 | 25,000 | 23,841 | ||||||
3.25%, 5/20/27 | 25,000 | 23,405 | ||||||
Rockwell Collins, Inc. |
| |||||||
3.20%, 3/15/24 | 20,000 | 19,592 | ||||||
3.50%, 3/15/27 | 20,000 | 19,495 | ||||||
4.80%, 12/15/43 | 10,000 | 10,722 | ||||||
Royal Caribbean Cruises Ltd. | 10,000 | 12,470 | ||||||
Sabine Pass Liquefaction LLC | 25,000 | 26,930 | ||||||
Santander Holdings USA, Inc. | 50,000 | 50,054 | ||||||
Schlumberger Investment S.A. | 15,000 | 15,311 | ||||||
Scripps Networks Interactive, Inc. | 20,000 | 19,923 | ||||||
Seagate HDD Cayman | 25,000 | 24,752 | ||||||
Select Income REIT | 20,000 | 20,106 | ||||||
Sherwin-Williams Co. (The) | 30,000 | 29,283 | ||||||
Shire Acquisitions Investments Ireland DAC | 30,000 | 28,990 | ||||||
Simon Property Group L.P. |
| |||||||
3.38%, 10/1/24 | 64,000 | 63,579 | ||||||
3.30%, 1/15/26 | 20,000 | 19,472 | ||||||
Southern California Edison Co. |
| |||||||
4.65%, 10/1/43 | 22,000 | 24,198 | ||||||
4.00%, 4/1/47 | 20,000 | 20,014 | ||||||
Southern Co. (The) |
| |||||||
2.35%, 7/1/21 | 40,000 | 38,915 | ||||||
2.95%, 7/1/23 | 40,000 | 38,908 | ||||||
3.25%, 7/1/26 | 30,000 | 28,612 | ||||||
Starbucks Corp. | 8,000 | 7,985 | ||||||
State Street Corp. | 40,000 | 37,341 | ||||||
SunTrust Banks, Inc. | 60,000 | 58,870 | ||||||
Synchrony Financial | 10,000 | 10,083 | ||||||
Target Corp. |
| |||||||
2.30%, 6/26/19 | 10,000 | 9,981 | ||||||
3.90%, 11/15/47 | 15,000 | 14,380 | ||||||
TD Ameritrade Holding Corp. | 20,000 | 19,533 | ||||||
Texas Instruments, Inc. | 25,000 | 25,019 | ||||||
Thermo Fisher Scientific, Inc. |
| |||||||
4.15%, 2/1/24 | 15,000 | 15,473 | ||||||
2.95%, 9/19/26 | 15,000 | 14,044 | ||||||
Time Warner Cable LLC |
| |||||||
4.00%, 9/1/21 | 10,000 | 10,102 | ||||||
7.30%, 7/1/38 | 15,000 | 18,039 | ||||||
6.75%, 6/15/39 | 4,500 | 5,179 | ||||||
4.50%, 9/15/42 | 15,000 | 13,598 | ||||||
Time Warner, Inc. | 35,000 | 41,446 | ||||||
TJX Cos., Inc. (The) | 15,000 | 13,569 | ||||||
Toyota Motor Credit Corp. |
| |||||||
2.60%, 1/11/22 | 40,000 | 39,440 | ||||||
3.20%, 1/11/27 | 20,000 | 19,719 | ||||||
Tyson Foods, Inc. | 25,000 | 25,446 | ||||||
U.S. Bancorp | 25,000 | 24,639 | ||||||
United Technologies Corp. |
| |||||||
3.10%, 6/1/22 | 25,000 | 24,900 | ||||||
2.80%, 5/4/24 | 15,000 | 14,380 | ||||||
4.50%, 6/1/42 | 25,000 | 25,812 | ||||||
UnitedHealth Group, Inc. |
| |||||||
2.75%, 2/15/23 | 32,000 | 31,384 | ||||||
3.10%, 3/15/26 | 20,000 | 19,358 | ||||||
4.25%, 3/15/43 | 10,000 | 10,338 | ||||||
US Bancorp | 50,000 | 45,553 | ||||||
Ventas Realty L.P. | 20,000 | 19,565 | ||||||
VEREIT Operating Partnership L.P. | 20,000 | 18,991 | ||||||
Verizon Communications, Inc. |
| |||||||
3.50%, 11/1/21 | 30,000 | 30,349 | ||||||
2.45%, 11/1/22 | 30,000 | 28,909 | ||||||
5.15%, 9/15/23 | 20,000 | 21,691 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 47 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund (AGND)
February 28, 2018
Investments in Long Securities | Principal Amount | Value | ||||||
4.52%, 9/15/48 | $ | 25,000 | $ | 23,721 | ||||
5.01%, 8/21/54 | 25,000 | 24,727 | ||||||
Viacom, Inc. | 10,000 | 9,000 | ||||||
Virginia Electric & Power Co. | 15,000 | 14,916 | ||||||
Visa, Inc. | 50,000 | 52,799 | ||||||
Walgreens Boots Alliance, Inc. | 50,000 | 49,737 | ||||||
Walmart, Inc. |
| |||||||
1.95%, 12/15/18 | 10,000 | 9,969 | ||||||
5.88%, 4/5/27 | 16,000 | 19,046 | ||||||
Walt Disney Co. (The) |
| |||||||
5.50%, 3/15/19(d) | 40,000 | 41,191 | ||||||
2.35%, 12/1/22 | 35,000 | 33,975 | ||||||
3.15%, 9/17/25 | 20,000 | 19,808 | ||||||
3.00%, 2/13/26 | 25,000 | 24,495 | ||||||
Waste Management, Inc. |
| |||||||
3.90%, 3/1/35 | 20,000 | 20,008 | ||||||
4.10%, 3/1/45 | 10,000 | 9,989 | ||||||
Wells Fargo & Co. |
| |||||||
2.55%, 12/7/20 | 20,000 | 19,763 | ||||||
3.00%, 1/22/21 | 10,000 | 9,989 | ||||||
3.50%, 3/8/22 | 10,000 | 10,075 | ||||||
4.13%, 8/15/23 | 76,000 | 77,866 | ||||||
3.00%, 2/19/25 | 5,000 | 4,801 | ||||||
4.30%, 7/22/27 | 5,000 | 5,076 | ||||||
4.90%, 11/17/45 | 20,000 | 21,170 | ||||||
Weyerhaeuser Co. | 20,000 | 26,374 | ||||||
Williams Partners L.P. | 15,000 | 15,117 | ||||||
Wyndham Worldwide Corp. | 20,000 | 20,099 | ||||||
Xerox Corp. | 43,000 | 43,352 | ||||||
Zoetis, Inc. | 15,000 | 14,101 | ||||||
TOTAL CORPORATE BONDS (Cost: $7,708,231) |
| 7,580,562 | ||||||
FOREIGN CORPORATE BONDS – 5.0% | ||||||||
Australia – 0.2% | ||||||||
Westpac Banking Corp. |
| |||||||
2.25%, 1/17/19 | 20,000 | 19,949 | ||||||
2.15%, 3/6/20 | 25,000 | 24,681 | ||||||
|
| |||||||
Total Australia | 44,630 | |||||||
Belgium – 0.4% | ||||||||
Anheuser-Busch InBev Finance, Inc. |
| |||||||
2.65%, 2/1/21 | 20,000 | 19,826 | ||||||
3.30%, 2/1/23 | 25,000 | 24,959 | ||||||
3.65%, 2/1/26 | 20,000 | 19,830 | ||||||
4.70%, 2/1/36 | 20,000 | 21,080 | ||||||
4.90%, 2/1/46 | 20,000 | 21,411 | ||||||
|
| |||||||
Total Belgium | 107,106 | |||||||
Brazil – 0.1% | ||||||||
Vale Overseas Ltd. | 20,000 | 21,414 | ||||||
Canada – 1.0% | ||||||||
Bank of Montreal | 30,000 | 28,854 | ||||||
Bank of Nova Scotia (The) | 30,000 | 29,043 | ||||||
Barrick Gold Corp. | 15,000 | 16,830 | ||||||
Cenovus Energy, Inc. | 30,000 | 29,370 | ||||||
Manulife Financial Corp. | 20,000 | 20,472 | ||||||
Nexen Energy ULC | 13,000 | 16,136 | ||||||
Royal Bank of Canada |
| |||||||
2.15%, 3/6/20 | 25,000 | 24,701 | ||||||
4.65%, 1/27/26 | 25,000 | 25,957 | ||||||
TELUS Corp. | 20,000 | 19,697 | ||||||
Thomson Reuters Corp. | 20,000 | 20,647 | ||||||
Toronto-Dominion Bank (The) | 40,000 | 38,496 | ||||||
TransCanada PipeLines Ltd. | 40,000 | 40,913 | ||||||
|
| |||||||
Total Canada | 311,116 | |||||||
France – 0.3% | ||||||||
BNP Paribas S.A. | 40,000 | 42,133 | ||||||
Orange S.A. | 45,000 | 44,162 | ||||||
Total Capital International S.A. | 15,000 | 15,341 | ||||||
|
| |||||||
Total France | 101,636 | |||||||
Germany – 0.3% | ||||||||
Daimler Finance North America LLC | 20,000 | 29,212 | ||||||
Deutsche Bank AG |
| |||||||
3.70%, 5/30/24 | 25,000 | 24,403 | ||||||
4.10%, 1/13/26 | 25,000 | 24,510 | ||||||
Landwirtschaftliche Rentenbank | 20,000 | 19,681 | ||||||
|
| |||||||
Total Germany | 97,806 | |||||||
Israel – 0.0% | ||||||||
Teva Pharmaceutical Finance Netherlands III B.V. | 10,000 | 8,183 | ||||||
Japan – 0.4% | ||||||||
Mitsubishi UFJ Financial Group, Inc. | 20,000 | 19,207 |
See Notes to Financial Statements.
48 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund (AGND)
February 28, 2018
Investments in Long Securities | Principal Amount | Value | ||||||
Sumitomo Mitsui Financial Group, Inc. |
| |||||||
2.93%, 3/9/21 | $ | 30,000 | $ | 29,876 | ||||
2.78%, 7/12/22 | 50,000 | 48,890 | ||||||
3.78%, 3/9/26 | 30,000 | 30,040 | ||||||
|
| |||||||
Total Japan | 128,013 | |||||||
Mexico – 0.4% | ||||||||
Petroleos Mexicanos |
| |||||||
6.00%, 3/5/20 | 40,000 | 41,970 | ||||||
6.50%, 3/13/27(b) | 50,000 | 53,506 | ||||||
6.75%, 9/21/47(b) | 25,000 | 25,484 | ||||||
|
| |||||||
Total Mexico | 120,960 | |||||||
Netherlands – 0.6% | ||||||||
Cooperatieve Rabobank UA |
| |||||||
4.50%, 1/11/21 | 20,000 | 20,806 | ||||||
3.88%, 2/8/22 | 45,000 | 46,020 | ||||||
5.25%, 5/24/41 | 20,000 | 23,705 | ||||||
Shell International Finance B.V. |
| |||||||
4.38%, 3/25/20 | 50,000 | 51,679 | ||||||
3.25%, 5/11/25 | 20,000 | 19,770 | ||||||
2.88%, 5/10/26 | 20,000 | 19,179 | ||||||
4.38%, 5/11/45 | 15,000 | 15,960 | ||||||
|
| |||||||
Total Netherlands | 197,119 | |||||||
Norway – 0.3% | ||||||||
Statoil ASA |
| |||||||
2.45%, 1/17/23 | 65,000 | 63,025 | ||||||
3.95%, 5/15/43 | 15,000 | 14,889 | ||||||
|
| |||||||
Total Norway | 77,914 | |||||||
Switzerland – 0.3% | ||||||||
Credit Suisse AG | 25,000 | 26,006 | ||||||
Novartis Capital Corp. |
| |||||||
3.00%, 11/20/25 | 30,000 | 29,368 | ||||||
3.10%, 5/17/27 | 25,000 | 24,479 | ||||||
Tyco Electronics Group S.A. | 25,000 | 24,979 | ||||||
|
| |||||||
Total Switzerland | 104,832 | |||||||
United Kingdom – 0.7% | ||||||||
AstraZeneca PLC |
| |||||||
3.38%, 11/16/25 | 30,000 | 29,568 | ||||||
4.38%, 11/16/45 | 15,000 | 15,216 | ||||||
BAT Capital Corp. |
| |||||||
3.56%, 8/15/27(b) | 15,000 | 14,328 | ||||||
4.39%, 8/15/37(b) | 15,000 | 14,817 | ||||||
BP Capital Markets PLC |
| |||||||
3.12%, 5/4/26 | 30,000 | 29,062 | ||||||
3.02%, 1/16/27 | 20,000 | 19,086 | ||||||
Diageo Capital PLC | 10,000 | 9,712 | ||||||
HSBC Holdings PLC | 32,000 | 33,757 | ||||||
Mead Johnson Nutrition Co. | 40,000 | 40,003 | ||||||
Vodafone Group PLC | 10,000 | 9,559 | ||||||
|
| |||||||
Total United Kingdom | 215,108 | |||||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $1,559,491) |
| 1,535,837 | ||||||
FOREIGN GOVERNMENT AGENCIES – 0.6% | ||||||||
Canada – 0.2% | ||||||||
Export Development Canada |
| |||||||
1.63%, 12/3/19 | 20,000 | 19,751 | ||||||
1.63%, 1/17/20 | 20,000 | 19,724 | ||||||
Province of Ontario Canada | 16,000 | 15,190 | ||||||
Province of Quebec Canada | 25,000 | 24,526 | ||||||
|
| |||||||
Total Canada | 79,191 | |||||||
Germany – 0.4% | ||||||||
Kreditanstalt fuer Wiederaufbau |
| |||||||
4.88%, 6/17/19 | 100,000 | 103,286 | ||||||
1.75%, 10/15/19 | 20,000 | 19,805 | ||||||
|
| |||||||
Total Germany | 123,091 | |||||||
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $205,020) |
| 202,282 | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – 0.8% | ||||||||
Colombia – 0.2% | ||||||||
Colombia Government International Bond |
| |||||||
11.75%, 2/25/20 | 25,000 | 29,262 | ||||||
8.13%, 5/21/24 | 25,000 | 30,844 | ||||||
|
| |||||||
Total Colombia | 60,106 | |||||||
Hungary – 0.2% | ||||||||
Hungary Government International Bond |
| |||||||
5.75%, 11/22/23 | 26,000 | 28,848 | ||||||
7.63%, 3/29/41 | 26,000 | 37,733 | ||||||
|
| |||||||
Total Hungary | 66,581 | |||||||
Italy – 0.1% | ||||||||
Republic of Italy Government International Bond | 18,000 | 20,679 | ||||||
Mexico – 0.2% | ||||||||
Mexico Government International Bond |
| |||||||
4.00%, 10/2/23 | 29,000 | 29,606 | ||||||
5.55%, 1/21/45 | 20,000 | 21,455 | ||||||
|
| |||||||
Total Mexico | 51,061 | |||||||
Philippines – 0.1% | ||||||||
Philippine Government International Bond | 26,000 | 39,207 | ||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $244,249) |
| 237,634 | ||||||
SUPRANATIONAL BONDS – 0.6% | ||||||||
Asian Development Bank |
| |||||||
1.75%, 3/21/19 | 10,000 | 9,946 | ||||||
1.88%, 4/12/19 | 10,000 | 9,959 | ||||||
1.75%, 1/10/20 | 20,000 | 19,771 | ||||||
Corporacion Andina de Fomento | 25,000 | 26,306 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 49 |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund (AGND)
February 28, 2018
Investments in Long Securities | Principal Amount | Value | ||||||
European Investment Bank |
| |||||||
1.88%, 3/15/19 | $ | 10,000 | $ | 9,965 | ||||
1.75%, 6/17/19 | 10,000 | 9,932 | ||||||
2.00%, 12/15/22 | 20,000 | 19,277 | ||||||
Inter-American Development Bank |
| |||||||
3.88%, 9/17/19 | 10,000 | 10,233 | ||||||
1.75%, 9/14/22 | 20,000 | 19,154 | ||||||
International Bank for Reconstruction & Development |
| |||||||
1.88%, 3/15/19, Series GDIF | 10,000 | 9,970 | ||||||
1.13%, 11/27/19, Series GDIF | 20,000 | 19,584 | ||||||
1.75%, 4/19/23 | 20,000 | 18,981 | ||||||
TOTAL SUPRANATIONAL BONDS (Cost: $185,568) |
| 183,078 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 1.8% | ||||||||
United States – 1.8% | ||||||||
COMM Mortgage Trust |
| |||||||
3.60%, 5/10/47, Series 2014-CR17, Class ASB | 35,000 | 35,621 | ||||||
3.08%, 2/10/48, Series 2015-DC1, Class A4 | 50,000 | 48,845 | ||||||
Commercial Mortgage Pass Through Certificates | 50,000 | 49,721 | ||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates | ||||||||
2.84%, 10/25/22, Series K029, Class A1 | 38,632 | 38,700 | ||||||
3.06%, 8/25/24, Series K728, Class A2^(c) | 100,000 | 100,054 | ||||||
Federal National Mortgage Association Alternative Credit Enhancement Securities | 72,000 | 71,058 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
3.53%, 12/15/47, Series 2014-C19, Class A4 | 25,000 | 25,228 | ||||||
3.07%, 2/15/48, Series 2015-C20, Class ASB | 40,000 | 39,842 | ||||||
Wells Fargo Commercial Mortgage Trust | 95,000 | 92,366 | ||||||
WFRBS Commercial Mortgage Trust | 45,000 | 46,681 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost: $559,090) |
| 548,116 | ||||||
MUNICIPAL BONDS – 0.2% | ||||||||
United States – 0.2% | ||||||||
New Jersey Turnpike Authority | 20,000 | 28,509 | ||||||
State of California | 20,000 | 30,188 | ||||||
TOTAL MUNICIPAL BONDS (Cost: $56,780) |
| 58,697 | ||||||
ASSET-BACKED SECURITIES – 0.7% | ||||||||
United States – 0.7% | ||||||||
Citibank Credit Card Issuance Trust | 100,000 | 98,458 | ||||||
Ford Credit Auto Owner Trust | 50,000 | 49,236 | ||||||
Honda Auto Receivables Owner Trust | 40,000 | 39,495 | ||||||
World Financial Network Credit Card Master Trust | 17,000 | 16,458 | ||||||
TOTAL ASSET-BACKED SECURITIES (Cost: $205,141) |
| 203,647 | ||||||
Shares | ||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 0.1% | ||||||||
United States – 0.1% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.38%(e) | ||||||||
(Cost: $44,500)(f) | 44,500 | 44,500 | ||||||
TOTAL INVESTMENTS IN LONG SECURITIES BEFORE SECURITIES SOLD SHORT – 96.4% (Cost: $30,200,944) |
| 29,749,530 | ||||||
Securities Sold Short | Principal Amount | |||||||
U.S. GOVERNMENT AGENCIES SOLD SHORT – (0.3)% | ||||||||
Federal Home Loan Mortgage Corporation – (0.3)% | ||||||||
3.50%, 3/1/48(a) (Proceeds: $100,480) | $ | (100,000 | ) | (99,882 | ) | |||
Other Assets less Liabilities – 3.9% |
| 1,211,236 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 30,860,884 |
^ | Variable coupon rate based on weighted average interest rate of underlying mortgage. |
(a) | To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing. |
(b) | This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers. |
(c) | Rate shown reflects the accrual rate as of February 28, 2018 on securities with variable or step rates. |
(d) | Security, or portion thereof, was on loan at February 28, 2018 (See Note 2). |
(e) | Rate shown represents annualized 7-day yield as of February 28, 2018. |
(f) | At February 28, 2018, the total market value of the Fund’s securities on loan was $42,795 and the total market value of the collateral held by the Fund was $44,500. |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||
FUTURES CONTRACTS† (EXCHANGE-TRADED) | ||||||||||||||||
Short Exposure | Contracts | Expiration Date | Notional Amount1 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
5 Year U.S. Treasury Note | 30 | 6/29/18 | $ | (3,417,891 | ) | $ | 7,518 | |||||||||
U.S. Treasury Ultra Long Term Bond | 40 | 6/20/18 | (6,235,000 | ) | 2,695 | |||||||||||
Ultra 10 Year U.S. Treasury Note | 191 | 6/20/18 | (24,459,937 | ) | 48,580 | |||||||||||
$ | (34,112,828 | ) | $ | 58,793 |
† | As of February 28, 2018, cash collateral posted by the Fund with the broker for futures contracts was $379,015. |
1 | “Notional Amount” represents the current notional value of the futures contract. |
See Notes to Financial Statements.
50 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT AGENCIES – 24.7% | ||||||||
Federal Home Loan Mortgage Corporation – 9.7% | ||||||||
5.00%, 6/1/37 | $ | 3,916 | $ | 4,232 | ||||
5.50%, 2/1/40 | 14,812 | 16,260 | ||||||
4.00%, 11/1/40 | 27,799 | 28,738 | ||||||
5.50%, 6/1/41 | 441,365 | 484,417 | ||||||
5.00%, 7/1/41 | 13,352 | 14,425 | ||||||
3.50%, 6/1/42 | 92,812 | 93,244 | ||||||
3.50%, 8/1/42 | 868,170 | 872,209 | ||||||
3.50%, 7/1/43 | 548,689 | 551,241 | ||||||
3.00%, 8/1/43 | 121,628 | 118,756 | ||||||
3.50%, 1/1/44 | 253,727 | 254,907 | ||||||
3.00%, 2/1/44 | 288,831 | 281,937 | ||||||
3.50%, 5/1/44 | 125,545 | 125,839 | ||||||
4.50%, 5/1/44 | 25,022 | 26,262 | ||||||
3.50%, 7/1/44 | 130,068 | 130,522 | ||||||
4.50%, 7/1/44 | 286,276 | 300,410 | ||||||
4.00%, 8/1/44 | 939,002 | 973,062 | ||||||
3.50%, 10/1/44 | 44,339 | 44,442 | ||||||
3.50%, 12/1/44 | 636,292 | 637,404 | ||||||
3.50%, 1/1/45 | 127,789 | 127,975 | ||||||
4.00%, 3/1/45 | 26,176 | 26,939 | ||||||
3.00%, 4/1/45 | 37,422 | 36,431 | ||||||
3.00%, 5/1/45 | 152,068 | 147,999 | ||||||
3.50%, 6/1/45 | 132,759 | 132,914 | ||||||
4.00%, 6/1/45 | 117,935 | 121,373 | ||||||
3.00%, 7/1/45 | 39,138 | 38,059 | ||||||
3.00%, 8/1/45 | 158,585 | 154,169 | ||||||
3.50%, 8/1/45 | 1,514,608 | 1,518,570 | ||||||
3.50%, 9/1/45 | 786,010 | 786,929 | ||||||
4.00%, 9/1/45 | 232,000 | 238,751 | ||||||
4.00%, 10/1/45 | 261,816 | 269,442 | ||||||
3.50%, 11/1/45 | 141,725 | 141,891 | ||||||
4.00%, 11/1/45 | 192,450 | 198,055 | ||||||
3.00%, 12/1/45 | 158,436 | 153,809 | ||||||
4.50%, 12/1/45 | 423,022 | 443,902 | ||||||
4.00%, 2/1/46 | 281,878 | 290,078 | ||||||
3.50%, 3/1/46 | 323,103 | 323,481 | ||||||
4.00%, 3/1/46 | 241,608 | 248,640 | ||||||
3.00%, 4/1/46 | 829,590 | 805,363 | ||||||
3.50%, 4/1/46 | 428,699 | 429,199 | ||||||
4.50%, 4/1/46 | 742,009 | 786,114 | ||||||
3.50%, 5/1/46 | 463,311 | 463,853 | ||||||
3.00%, 6/1/46 | 174,860 | 169,753 | ||||||
3.50%, 6/1/46 | 469,558 | 470,107 | ||||||
3.00%, 9/1/46 | 1,739,472 | 1,695,859 | ||||||
3.50%, 9/1/46 | 358,382 | 358,801 | ||||||
2.50%, 10/1/46 | 148,120 | 138,611 | ||||||
3.50%, 10/1/46 | 132,733 | 132,888 | ||||||
3.00%, 11/1/46 | 1,658,196 | 1,609,593 | ||||||
3.50%, 11/1/46 | 46,779 | 46,833 | ||||||
4.00%, 11/1/46 | 82,383 | 84,785 | ||||||
3.00%, 12/1/46 | 612,203 | 594,190 | ||||||
3.50%, 12/1/46 | 913,249 | 914,317 | ||||||
3.00%, 1/1/47 | 1,816,626 | 1,762,743 | ||||||
4.00%, 1/1/47 | 360,964 | 371,464 | ||||||
3.00%, 2/1/47 | 1,465,487 | 1,422,119 | ||||||
4.00%, 2/1/47 | 340,496 | 350,356 | ||||||
4.50%, 3/1/47 | 681,377 | 714,120 | ||||||
3.00%, 4/1/47 | 286,074 | 277,582 | ||||||
3.50%, 4/1/47 | 924,397 | 925,475 | ||||||
4.00%, 4/1/47 | 361,975 | 372,389 | ||||||
3.50%, 5/1/47 | 481,764 | 482,325 | ||||||
4.00%, 5/1/47 | 312,448 | 321,428 | ||||||
4.50%, 5/1/47 | 84,356 | 88,416 | ||||||
4.00%, 6/1/47 | 483,001 | 496,897 | ||||||
3.00%, 7/1/47 | 290,679 | 281,975 | ||||||
3.50%, 7/1/47 | 496,519 | 497,100 | ||||||
4.00%, 7/1/47 | 462,830 | 476,410 | ||||||
3.50%, 8/1/47 | 498,582 | 499,166 | ||||||
4.00%, 8/1/47 | 2,174,934 | 2,238,141 | ||||||
4.50%, 8/1/47 | 395,456 | 414,506 | ||||||
3.50%, 9/1/47 | 1,115,978 | 1,117,283 | ||||||
4.50%, 9/1/47 | 479,164 | 502,260 | ||||||
3.00%, 10/1/47 | 392,983 | 381,255 | ||||||
3.50%, 10/1/47 | 786,367 | 787,287 | ||||||
4.00%, 10/1/47 | 679,984 | 699,418 | ||||||
3.00%, 11/1/47 | 424,078 | 411,422 | ||||||
3.50%, 12/1/47 | 665,062 | 665,840 | ||||||
5.00%, 3/1/48(a) | 950,000 | 1,015,555 | ||||||
5.50%, 3/1/48(a) | 500,000 | 542,168 | ||||||
|
| |||||||
Total Federal Home Loan Mortgage Corporation | 37,173,080 | |||||||
Federal National Mortgage Association – 15.0% | ||||||||
4.00%, 1/1/42 | 316,575 | 327,099 | ||||||
3.50%, 8/1/45 | 547,125 | 551,570 | ||||||
5.50%, 3/1/48(a) | 1,150,000 | 1,249,322 | ||||||
5.00%, 5/1/38 | 23,043 | 24,701 | ||||||
5.50%, 6/1/38 | 182,440 | 200,384 | ||||||
5.50%, 11/1/38 | 4,606 | 5,051 | ||||||
5.50%, 10/1/39 | 195,026 | 213,650 | ||||||
4.50%, 11/1/39 | 198,197 | 209,838 | ||||||
5.50%, 4/1/40 | 25,195 | 27,703 | ||||||
4.00%, 10/1/40 | 296,632 | 306,235 | ||||||
4.50%, 2/1/41 | 138,667 | 146,505 | ||||||
5.50%, 9/1/41 | 99,482 | 109,090 | ||||||
4.00%, 11/1/41 | 166,879 | 172,306 | ||||||
3.50%, 6/1/42 | 757,530 | 761,227 | ||||||
4.00%, 12/1/42 | 219,207 | 226,305 | ||||||
2.50%, 3/1/43 | 31,811 | 29,885 | ||||||
3.00%, 5/1/43 | 304,296 | 297,375 | ||||||
3.50%, 5/1/43 | 75,243 | 75,555 | ||||||
4.00%, 6/1/43 | 210,498 | 217,317 | ||||||
3.00%, 7/1/43 | 39,023 | 38,115 | ||||||
3.00%, 8/1/43 | 399,837 | 390,641 | ||||||
4.00%, 8/1/43 | 113,792 | 117,141 | ||||||
4.00%, 9/1/43 | 294,142 | 303,192 | ||||||
4.50%, 9/1/43 | 50,648 | 53,488 | ||||||
3.50%, 10/1/43 | 439,892 | 441,537 | ||||||
4.00%, 5/1/44 | 24,370 | 25,055 | ||||||
4.50%, 5/1/44 | 290,711 | 305,419 | ||||||
3.50%, 6/1/44 | 371,856 | 373,670 | ||||||
4.00%, 7/1/44 | 28,268 | 29,042 | ||||||
4.00%, 8/1/44 | 140,349 | 144,177 | ||||||
4.00%, 10/1/44 | 447,801 | 459,964 | ||||||
4.00%, 11/1/44 | 22,173 | 22,773 | ||||||
4.00%, 12/1/44 | 148,610 | 152,607 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 51 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
3.00%, 1/1/45 | $ | 15,375 | $ | 14,972 | ||||
3.50%, 2/1/45 | 510,780 | 510,793 | ||||||
4.00%, 2/1/45 | 120,018 | 123,335 | ||||||
3.00%, 4/1/45 | 374,480 | 364,394 | ||||||
3.00%, 5/1/45 | 131,619 | 127,979 | ||||||
3.00%, 6/1/45 | 318,252 | 309,680 | ||||||
3.50%, 6/1/45 | 143,937 | 143,971 | ||||||
3.50%, 7/1/45 | 72,264 | 72,237 | ||||||
3.50%, 8/1/45 | 856,264 | 857,260 | ||||||
3.50%, 9/1/45 | 342,620 | 342,523 | ||||||
4.00%, 9/1/45 | 158,094 | 162,193 | ||||||
3.00%, 10/1/45 | 153,304 | 148,901 | ||||||
3.50%, 10/1/45 | 264,594 | 264,546 | ||||||
3.00%, 11/1/45 | 149,279 | 144,937 | ||||||
3.50%, 11/1/45 | 148,929 | 149,010 | ||||||
4.00%, 11/1/45 | 1,190,836 | 1,222,673 | ||||||
3.00%, 12/1/45 | 1,476,397 | 1,439,354 | ||||||
3.50%, 12/1/45 | 1,439,200 | 1,439,042 | ||||||
4.00%, 12/1/45 | 529,690 | 543,281 | ||||||
3.50%, 1/1/46 | 221,720 | 221,703 | ||||||
3.00%, 2/1/46 | 346,224 | 335,798 | ||||||
3.50%, 3/1/46 | 260,156 | 260,136 | ||||||
4.00%, 3/1/46 | 375,520 | 385,134 | ||||||
3.50%, 4/1/46 | 1,195,649 | 1,195,557 | ||||||
4.00%, 4/1/46 | 216,216 | 222,569 | ||||||
3.50%, 5/1/46 | 586,077 | 586,033 | ||||||
4.50%, 5/1/46 | 138,442 | 145,295 | ||||||
3.00%, 6/1/46 | 147,368 | 142,930 | ||||||
3.50%, 6/1/46 | 932,796 | 932,725 | ||||||
4.50%, 6/1/46 | 299,132 | 313,610 | ||||||
3.50%, 7/1/46 | 1,069,412 | 1,069,331 | ||||||
4.00%, 7/1/46 | 171,024 | 175,416 | ||||||
2.50%, 8/1/46 | 23,889 | 22,345 | ||||||
2.50%, 9/1/46 | 55,876 | 52,265 | ||||||
3.00%, 9/1/46 | 271,035 | 262,873 | ||||||
3.00%, 10/1/46 | 1,085,639 | 1,053,177 | ||||||
4.00%, 10/1/46 | 251,571 | 258,044 | ||||||
2.50%, 11/1/46 | 47,613 | 44,536 | ||||||
3.00%, 11/1/46 | 1,851,272 | 1,796,641 | ||||||
3.50%, 11/1/46 | 267,785 | 267,682 | ||||||
2.50%, 12/1/46 | 100,601 | 94,098 | ||||||
3.00%, 12/1/46 | 1,720,336 | 1,668,532 | ||||||
3.50%, 12/1/46 | 1,300,000 | 1,301,986 | ||||||
4.00%, 12/1/46 | 311,510 | 320,714 | ||||||
2.50%, 1/1/47 | 133,330 | 124,712 | ||||||
3.00%, 1/1/47 | 619,796 | 601,132 | ||||||
3.50%, 1/1/47 | 451,882 | 451,848 | ||||||
4.50%, 1/1/47 | 348,498 | 365,561 | ||||||
5.50%, 1/1/47 | 688,696 | 755,790 | ||||||
3.00%, 2/1/47 | 1,656,227 | 1,606,354 | ||||||
3.50%, 2/1/47 | 484,357 | 484,320 | ||||||
4.00%, 2/1/47 | 83,435 | 85,597 | ||||||
3.00%, 3/1/47 | 330,824 | 320,862 | ||||||
3.50%, 3/1/47 | 708,074 | 708,020 | ||||||
4.00%, 3/1/47 | 1,103,331 | 1,131,893 | ||||||
4.50%, 3/1/47 | 230,146 | 241,363 | ||||||
3.00%, 4/1/47 | 378,310 | 366,918 | ||||||
4.00%, 4/1/47 | 571,848 | 586,721 | ||||||
3.00%, 5/1/47 | 381,125 | 369,649 | ||||||
3.50%, 5/1/47 | 788,127 | 788,068 | ||||||
4.00%, 5/1/47 | 2,308,575 | 2,374,372 | ||||||
3.50%, 6/1/47 | 418,385 | 418,354 | ||||||
4.00%, 6/1/47 | 709,204 | 727,497 | ||||||
3.50%, 7/1/47 | 798,026 | 802,902 | ||||||
4.00%, 7/1/47 | 681,071 | 698,904 | ||||||
4.50%, 7/1/47 | 301,650 | 316,594 | ||||||
3.00%, 8/1/47 | 500,318 | 485,252 | ||||||
3.50%, 8/1/47 | 481,531 | 481,495 | ||||||
4.00%, 8/1/47 | 760,796 | 780,171 | ||||||
3.00%, 9/1/47 | 736,338 | 714,165 | ||||||
3.50%, 9/1/47 | 694,238 | 694,186 | ||||||
4.00%, 9/1/47 | 685,754 | 703,793 | ||||||
4.50%, 9/1/47 | 648,571 | 680,826 | ||||||
3.00%, 10/1/47 | 416,567 | 404,023 | ||||||
3.50%, 10/1/47 | 1,569,372 | 1,570,226 | ||||||
4.00%, 10/1/47 | 462,176 | 474,053 | ||||||
4.50%, 10/1/47 | 683,458 | 717,538 | ||||||
3.00%, 11/1/47 | 740,410 | 718,114 | ||||||
3.50%, 11/1/47 | 491,363 | 491,326 | ||||||
4.50%, 11/1/47 | 795,867 | 835,551 | ||||||
3.50%, 12/1/47 | 741,173 | 741,118 | ||||||
3.00%, 1/1/48 | 745,809 | 723,351 | ||||||
3.50%, 1/1/48 | 744,451 | 744,396 | ||||||
5.00%, 3/1/48(a) | 1,625,000 | 1,734,643 | ||||||
|
| |||||||
Total Federal National Mortgage Association | 57,539,808 | |||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost: $96,349,567) | 94,712,888 | |||||||
U.S. GOVERNMENT OBLIGATIONS – 15.6% | ||||||||
U.S. Treasury Bonds – 2.6% | ||||||||
U.S. Treasury Bond | 300,000 | 336,053 | ||||||
8.75%, 5/15/20 | 380,000 | 433,326 | ||||||
8.75%, 8/15/20 | 800,000 | 921,953 | ||||||
7.88%, 2/15/21 | 900,000 | 1,040,783 | ||||||
8.13%, 5/15/21 | 1,050,000 | 1,233,340 | ||||||
8.13%, 8/15/21 | 800,000 | 949,688 | ||||||
8.00%, 11/15/21 | 400,000 | 477,469 | ||||||
7.25%, 8/15/22 | 1,000,000 | 1,196,992 | ||||||
7.63%, 11/15/22 | 350,000 | 427,991 | ||||||
7.13%, 2/15/23 | 625,000 | 755,103 | ||||||
6.25%, 8/15/23 | 175,000 | 206,722 | ||||||
7.50%, 11/15/24 | 175,000 | 225,777 | ||||||
6.75%, 8/15/26 | 50,000 | 64,781 | ||||||
6.50%, 11/15/26 | 525,000 | 673,046 | ||||||
6.63%, 2/15/27 | 450,000 | 585,202 | ||||||
6.13%, 11/15/27 | 400,000 | 510,219 | ||||||
|
| |||||||
Total U.S. Treasury Bonds | 10,038,445 | |||||||
U.S. Treasury Notes – 13.0% | ||||||||
U.S. Treasury Note | 400,000 | 395,625 | ||||||
1.50%, 5/31/19 | 2,610,000 | 2,589,609 | ||||||
0.75%, 8/15/19 | 275,000 | 269,371 | ||||||
0.88%, 9/15/19 | 500,000 | 489,922 | ||||||
1.50%, 10/31/19 | 1,750,000 | 1,729,561 | ||||||
3.38%, 11/15/19 | 1,500,000 | 1,528,623 | ||||||
1.00%, 11/30/19 | 1,000,000 | 979,023 |
See Notes to Financial Statements.
52 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
1.38%, 12/15/19 | $ | 1,000,000 | $ | 985,000 | ||||
1.38%, 1/15/20 | 400,000 | 393,586 | ||||||
1.25%, 1/31/20 | 500,000 | 490,605 | ||||||
1.38%, 2/15/20 | 1,000,000 | 982,871 | ||||||
3.63%, 2/15/20 | 600,000 | 615,457 | ||||||
1.25%, 2/29/20 | 1,000,000 | 980,000 | ||||||
1.13%, 4/30/20 | 550,000 | 536,250 | ||||||
1.38%, 4/30/20 | 1,000,000 | 980,332 | ||||||
1.50%, 7/15/20 | 450,000 | 441,343 | ||||||
1.63%, 7/31/20 | 200,000 | 196,621 | ||||||
1.50%, 8/15/20 | 600,000 | 587,953 | ||||||
1.38%, 9/30/20 | 750,000 | 731,528 | ||||||
2.00%, 9/30/20 | 1,000,000 | 990,820 | ||||||
1.63%, 10/15/20 | 115,000 | 112,828 | ||||||
2.13%, 1/31/21 | 1,140,000 | 1,130,626 | ||||||
1.13%, 2/28/21 | 250,000 | 240,542 | ||||||
2.00%, 2/28/21 | 1,410,000 | 1,392,430 | ||||||
1.25%, 3/31/21 | 350,000 | 337,572 | ||||||
2.25%, 3/31/21 | 300,000 | 298,254 | ||||||
2.00%, 5/31/21 | 200,000 | 197,039 | ||||||
1.13%, 8/31/21 | 100,000 | 95,352 | ||||||
2.13%, 9/30/21 | 100,000 | 98,629 | ||||||
2.00%, 2/15/22 | 225,000 | 220,359 | ||||||
1.75%, 3/31/22 | 1,000,000 | 968,164 | ||||||
1.88%, 3/31/22 | 1,000,000 | 972,598 | ||||||
1.88%, 4/30/22 | 1,000,000 | 971,621 | ||||||
1.88%, 7/31/22 | 250,000 | 242,266 | ||||||
2.00%, 7/31/22 | 260,000 | 253,520 | ||||||
1.63%, 8/15/22 | 700,000 | 671,166 | ||||||
1.63%, 8/31/22 | 500,000 | 478,975 | ||||||
1.88%, 9/30/22 | 1,000,000 | 967,520 | ||||||
1.88%, 10/31/22 | 700,000 | 676,867 | ||||||
2.00%, 10/31/22 | 300,000 | 291,609 | ||||||
1.63%, 11/15/22 | 850,000 | 812,298 | ||||||
2.00%, 11/30/22 | 750,000 | 728,716 | ||||||
2.13%, 12/31/22 | 1,000,000 | 976,406 | ||||||
1.75%, 1/31/23 | 300,000 | 287,637 | ||||||
1.50%, 2/28/23 | 650,000 | 614,859 | ||||||
1.50%, 3/31/23 | 750,000 | 708,721 | ||||||
1.63%, 4/30/23 | 700,000 | 664,686 | ||||||
1.75%, 5/15/23 | 900,000 | 859,553 | ||||||
1.63%, 5/31/23 | 750,000 | 711,445 | ||||||
1.38%, 6/30/23 | 1,000,000 | 935,117 | ||||||
1.25%, 7/31/23 | 850,000 | 788,275 | ||||||
2.50%, 8/15/23 | 3,879,000 | 3,840,892 | ||||||
1.38%, 8/31/23 | 500,000 | 466,211 | ||||||
2.75%, 11/15/23 | 750,000 | 751,480 | ||||||
2.00%, 6/30/24 | 250,000 | 238,872 | ||||||
2.25%, 10/31/24 | 155,000 | 149,899 | ||||||
2.25%, 11/15/24 | 1,000,000 | 966,543 | ||||||
2.00%, 8/15/25 | 225,000 | 212,559 | ||||||
2.25%, 11/15/25 | 500,000 | 479,717 | ||||||
1.63%, 2/15/26 | 475,000 | 433,651 | ||||||
1.63%, 5/15/26 | 530,000 | 482,321 | ||||||
1.50%, 8/15/26 | 650,000 | 583,299 | ||||||
2.00%, 11/15/26 | 1,150,000 | 1,072,555 | ||||||
2.25%, 2/15/27 | 675,000 | 641,355 | ||||||
2.38%, 5/15/27 | 615,000 | 589,944 | ||||||
2.25%, 8/15/27 | 1,015,000 | 961,673 | ||||||
2.25%, 11/15/27 | 2,075,000 | 1,963,469 | ||||||
2.75%, 2/15/28 | 425,000 | 420,725 | ||||||
|
| |||||||
Total U.S. Treasury Notes | 49,854,915 | |||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $60,924,247) | 59,893,360 | |||||||
CORPORATE BONDS – 40.8% | ||||||||
United States – 40.8% | ||||||||
21st Century Fox America, Inc. | 50,000 | 50,345 | ||||||
6.55%, 3/15/33 | 20,000 | 25,712 | ||||||
6.20%, 12/15/34 | 100,000 | 124,229 | ||||||
6.15%, 2/15/41 | 1,000 | 1,265 | ||||||
4.75%, 9/15/44 | 120,000 | 128,717 | ||||||
4.95%, 10/15/45 | 450,000 | 503,768 | ||||||
3M Co. | 280,000 | 256,529 | ||||||
Abbott Laboratories | 15,000 | 14,778 | ||||||
4.13%, 5/27/20 | 35,000 | 35,965 | ||||||
3.40%, 11/30/23 | 241,000 | 240,390 | ||||||
3.75%, 11/30/26 | 70,000 | 69,438 | ||||||
4.75%, 11/30/36 | 350,000 | 375,432 | ||||||
6.15%, 11/30/37 | 150,000 | 182,436 | ||||||
5.30%, 5/27/40 | 250,000 | 283,346 | ||||||
4.90%, 11/30/46 | 100,000 | 107,961 | ||||||
AbbVie, Inc. | 45,000 | 44,621 | ||||||
2.90%, 11/6/22 | 35,000 | 34,257 | ||||||
3.20%, 11/6/22 | 15,000 | 14,899 | ||||||
2.85%, 5/14/23 | 285,000 | 276,635 | ||||||
3.60%, 5/14/25 | 65,000 | 64,385 | ||||||
4.50%, 5/14/35 | 275,000 | 284,124 | ||||||
4.70%, 5/14/45 | 205,000 | 212,334 | ||||||
4.45%, 5/14/46 | 200,000 | 200,385 | ||||||
Actavis, Inc. | 20,000 | 19,746 | ||||||
Adobe Systems, Inc. | 30,000 | 29,757 | ||||||
AEP Transmission Co. LLC | 75,000 | 75,392 | ||||||
3.75%, 12/1/47(b) | 50,000 | 48,223 | ||||||
Aetna, Inc. | 175,000 | 167,989 | ||||||
3.50%, 11/15/24 | 170,000 | 167,008 | ||||||
6.63%, 6/15/36 | 2,000 | 2,546 | ||||||
3.88%, 8/15/47 | 160,000 | 142,173 | ||||||
Aflac, Inc. | 25,000 | 25,280 | ||||||
4.00%, 10/15/46 | 50,000 | 48,380 | ||||||
Air Lease Corp. | 30,000 | 30,566 | ||||||
2.75%, 1/15/23 | 25,000 | 24,172 | ||||||
3.00%, 9/15/23 | 45,000 | 43,819 | ||||||
4.25%, 9/15/24 | 30,000 | 30,777 | ||||||
3.63%, 12/1/27 | 41,000 | 39,219 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 53 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Alabama Power Co. | $ | 257,000 | $ | 250,472 | ||||
4.30%, 1/2/46 | 15,000 | 15,859 | ||||||
Alexandria Real Estate Equities, Inc. | 2,000 | 2,091 | ||||||
Allergan Funding SCS | 35,000 | 34,954 | ||||||
3.80%, 3/15/25 | 500,000 | 494,110 | ||||||
4.55%, 3/15/35 | 265,000 | 265,199 | ||||||
4.85%, 6/15/44 | 25,000 | 25,267 | ||||||
4.75%, 3/15/45 | 100,000 | 99,565 | ||||||
Allergan, Inc. | 170,000 | 163,980 | ||||||
Allstate Corp. (The) | 8,000 | 7,842 | ||||||
Altria Group, Inc. | 150,000 | 154,442 | ||||||
2.63%, 9/16/26 | 220,000 | 203,384 | ||||||
5.38%, 1/31/44 | 92,000 | 105,623 | ||||||
Amazon.com, Inc. | 10,000 | 10,006 | ||||||
1.90%, 8/21/20(b) | 10,000 | 9,805 | ||||||
2.40%, 2/22/23(b) | 150,000 | 144,956 | ||||||
3.80%, 12/5/24 | 100,000 | 102,738 | ||||||
3.15%, 8/22/27(b) | 100,000 | 96,583 | ||||||
4.80%, 12/5/34 | 150,000 | 166,595 | ||||||
3.88%, 8/22/37(b) | 170,000 | 169,507 | ||||||
4.95%, 12/5/44 | 20,000 | 22,772 | ||||||
4.05%, 8/22/47(b) | 175,000 | 174,642 | ||||||
4.25%, 8/22/57(b) | 125,000 | 125,273 | ||||||
Ameren Corp. | 50,000 | 49,671 | ||||||
American Airlines Pass Through Trust | 64,142 | 63,154 | ||||||
American Campus Communities Operating Partnership L.P. | 15,000 | 14,440 | ||||||
American Electric Power Co., Inc. | 55,000 | 54,372 | ||||||
American Express Co. | 25,000 | 24,972 | ||||||
American Express Credit Corp. | 325,000 | 316,238 | ||||||
American Honda Finance Corp. | 150,000 | 147,428 | ||||||
American International Group, Inc. | 21,000 | 21,174 | ||||||
3.30%, 3/1/21 | 160,000 | 160,455 | ||||||
4.88%, 6/1/22 | 85,000 | 90,129 | ||||||
4.13%, 2/15/24 | 244,000 | 250,562 | ||||||
3.90%, 4/1/26 | 158,000 | 157,466 | ||||||
3.88%, 1/15/35 | 193,000 | 183,091 | ||||||
4.50%, 7/16/44 | 120,000 | 119,680 | ||||||
4.80%, 7/10/45 | 52,000 | 54,291 | ||||||
American Tower Corp. | 125,000 | 125,410 | ||||||
4.70%, 3/15/22 | 40,000 | 41,827 | ||||||
3.50%, 1/31/23 | 350,000 | 350,453 | ||||||
3.00%, 6/15/23 | 16,000 | 15,623 | ||||||
3.38%, 10/15/26 | 150,000 | 142,626 | ||||||
3.13%, 1/15/27 | 133,000 | 123,471 | ||||||
3.55%, 7/15/27 | 595,000 | 568,780 | ||||||
American Water Capital Corp. | 125,000 | 128,677 | ||||||
3.40%, 3/1/25 | 250,000 | 250,016 | ||||||
4.00%, 12/1/46 | 13,000 | 13,147 | ||||||
3.75%, 9/1/47 | 25,000 | 24,186 | ||||||
Ameriprise Financial, Inc. | 302,000 | 311,299 | ||||||
3.70%, 10/15/24 | 125,000 | 126,671 | ||||||
2.88%, 9/15/26 | 170,000 | 161,010 | ||||||
AmerisourceBergen Corp. | 75,000 | 71,488 | ||||||
4.30%, 12/15/47 | 25,000 | 23,533 | ||||||
Amgen, Inc. | 10,000 | 9,597 | ||||||
3.88%, 11/15/21 | 112,000 | 114,756 | ||||||
2.65%, 5/11/22 | 275,000 | 269,078 | ||||||
3.63%, 5/15/22 | 150,000 | 152,358 | ||||||
2.25%, 8/19/23 | 110,000 | 103,965 | ||||||
3.63%, 5/22/24 | 159,000 | 160,359 | ||||||
3.13%, 5/1/25 | 145,000 | 140,770 | ||||||
3.20%, 11/2/27 | 300,000 | 285,156 | ||||||
4.40%, 5/1/45 | 295,000 | 293,831 | ||||||
4.66%, 6/15/51 | 100,000 | 101,332 | ||||||
Anadarko Petroleum Corp. | 235,000 | 256,590 | ||||||
6.45%, 9/15/36 | 130,000 | 155,306 | ||||||
7.95%, 6/15/39 | 100,000 | 136,227 | ||||||
6.60%, 3/15/46 | 127,000 | 159,082 | ||||||
Analog Devices, Inc. | 28,000 | 27,250 | ||||||
3.50%, 12/5/26 | 215,000 | 210,329 | ||||||
Andeavor | 25,000 | 22,860 | ||||||
Andeavor Logistics L.P. | 305,000 | 313,403 | ||||||
5.20%, 12/1/47 | 25,000 | 24,309 | ||||||
Anthem, Inc. | 80,000 | 79,463 | ||||||
3.50%, 8/15/24 | 40,000 | 39,778 | ||||||
3.65%, 12/1/27 | 175,000 | 169,874 | ||||||
4.63%, 5/15/42 | 125,000 | 127,340 | ||||||
4.65%, 1/15/43 | 110,000 | 112,501 | ||||||
4.65%, 8/15/44 | 200,000 | 205,307 | ||||||
Aon PLC | 10,000 | 9,976 | ||||||
3.88%, 12/15/25 | 175,000 | 177,044 | ||||||
4.75%, 5/15/45 | 75,000 | 79,255 | ||||||
Apache Corp. | 100,000 | 95,778 | ||||||
5.10%, 9/1/40 | 100,000 | 102,889 | ||||||
4.75%, 4/15/43 | 75,000 | 74,373 |
See Notes to Financial Statements.
54 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Appalachian Power Co. | $ | 80,000 | $ | 109,758 | ||||
Applied Materials, Inc. | 100,000 | 98,021 | ||||||
4.35%, 4/1/47 | 35,000 | 36,605 | ||||||
Aptiv PLC | 20,000 | 19,489 | ||||||
Archer-Daniels-Midland Co. | 185,000 | 170,573 | ||||||
5.38%, 9/15/35 | 15,000 | 17,430 | ||||||
4.02%, 4/16/43 | 6,000 | 5,823 | ||||||
Ares Capital Corp. | 25,000 | 24,654 | ||||||
Arizona Public Service Co. | 115,000 | 123,647 | ||||||
AT&T, Inc. | 25,000 | 24,958 | ||||||
2.45%, 6/30/20 | 375,000 | 371,177 | ||||||
3.20%, 3/1/22 | 20,000 | 19,894 | ||||||
2.63%, 12/1/22 | 125,000 | 120,818 | ||||||
3.95%, 1/15/25 | 310,000 | 310,322 | ||||||
3.40%, 5/15/25 | 455,000 | 437,615 | ||||||
4.13%, 2/17/26 | 70,000 | 70,050 | ||||||
4.25%, 3/1/27 | 100,000 | 100,519 | ||||||
3.90%, 8/14/27 | 450,000 | 447,765 | ||||||
4.30%, 2/15/30(b) | 25,000 | 24,447 | ||||||
4.50%, 5/15/35 | 465,000 | 450,774 | ||||||
5.25%, 3/1/37 | 200,000 | 207,009 | ||||||
6.00%, 8/15/40 | 10,000 | 11,139 | ||||||
6.38%, 3/1/41 | 475,000 | 556,112 | ||||||
5.15%, 3/15/42 | 350,000 | 355,019 | ||||||
4.30%, 12/15/42 | 182,000 | 166,357 | ||||||
4.80%, 6/15/44 | 61,000 | 58,612 | ||||||
4.35%, 6/15/45 | 150,000 | 134,823 | ||||||
4.75%, 5/15/46 | 180,000 | 171,188 | ||||||
5.65%, 2/15/47 | 260,000 | 279,977 | ||||||
5.45%, 3/1/47 | 5,000 | 5,228 | ||||||
4.55%, 3/9/49 | 49,000 | 44,947 | ||||||
5.15%, 2/14/50 | 160,000 | 160,372 | ||||||
5.70%, 3/1/57 | 75,000 | 80,401 | ||||||
5.30%, 8/14/58 | 425,000 | 424,779 | ||||||
Atmos Energy Corp. | 200,000 | 204,358 | ||||||
Autodesk, Inc. | 25,000 | 25,626 | ||||||
AutoZone, Inc. | 50,000 | 49,224 | ||||||
3.25%, 4/15/25 | 50,000 | 48,536 | ||||||
AvalonBay Communities, Inc. | 50,000 | 47,298 | ||||||
3.35%, 5/15/27 | 8,000 | 7,832 | ||||||
3.20%, 1/15/28 | 25,000 | 24,030 | ||||||
Avangrid, Inc. | 50,000 | 48,641 | ||||||
Baltimore Gas & Electric Co. | 290,000 | 266,562 | ||||||
Bank of America Corp. | 409,000 | 419,868 | ||||||
4.20%, 8/26/24 | 250,000 | 255,166 | ||||||
3.95%, 4/21/25, Series L | 450,000 | 449,704 | ||||||
3.09%, 10/1/25, (3.093% fixed rate until 10/1/24; 3-month U.S. dollar London Interbank Offered Rate + 1.090% thereafter)(d) | 8,000 | 7,775 | ||||||
3.37%, 1/23/26, (3.366% fixed rate until 1/23/25; 3-month U.S. dollar London Interbank Offered Rate + 0.810% thereafter)(d) | 500,000 | 490,264 | ||||||
4.45%, 3/3/26 | 50,000 | 51,207 | ||||||
3.82%, 1/20/28, (3.824% fixed rate until 1/20/27; 3-month U.S. dollar London Interbank Offered Rate + 1.575% thereafter)(d) | 100,000 | 99,299 | ||||||
3.71%, 4/24/28, (3.705% fixed rate until 4/24/27; 3-month U.S. dollar London Interbank Offered Rate + 1.512% thereafter)(d) | 200,000 | 197,118 | ||||||
3.59%, 7/21/28, (3.593% fixed rate until 7/21/27; 3-month U.S. dollar London Interbank Offered Rate + 1.370% thereafter)(d) | 480,000 | 468,053 | ||||||
3.42%, 12/20/28, (3.419% fixed rate until 12/20/27; 3-month U.S. dollar London Interbank Offered Rate + 1.040% thereafter)(b)(d) | 500,000 | 479,529 | ||||||
6.11%, 1/29/37 | 467,000 | 563,582 | ||||||
4.24%, 4/24/38, (4.244% fixed rate until 4/24/37; 3-month U.S. dollar London Interbank Offered Rate + 1.814% thereafter)(d) | 125,000 | 127,419 | ||||||
5.88%, 2/7/42 | 200,000 | 250,366 | ||||||
4.44%, 1/20/48, (4.443% fixed rate until 1/20/47; 3-month U.S. dollar London Interbank Offered Rate + 1.99% thereafter)(d) | 25,000 | 26,024 | ||||||
3.95%, 1/23/49, (3.946% fixed rate until 1/23/48; 3-month U.S. dollar London Interbank Offered Rate + 1.190% thereafter)(d) | 40,000 | 38,430 | ||||||
Bank One Corp. | 17,000 | 21,201 | ||||||
8.00%, 4/29/27 | 1,000 | 1,288 | ||||||
Baxalta, Inc. | 100,000 | 99,469 | ||||||
4.00%, 6/23/25 | 335,000 | 333,990 | ||||||
Baxter International, Inc. | 240,000 | 219,975 | ||||||
3.50%, 8/15/46 | 12,000 | 10,408 | ||||||
Becton Dickinson and Co. | 3,000 | 3,002 | ||||||
3.36%, 6/6/24 | 90,000 | 86,854 | ||||||
3.73%, 12/15/24 | 70,000 | 69,038 | ||||||
3.70%, 6/6/27 | 200,000 | 191,761 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 55 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Bed Bath & Beyond, Inc. | $ | 100,000 | $ | 87,495 | ||||
5.17%, 8/1/44 | 75,000 | 63,359 | ||||||
Berkshire Hathaway Energy Co. | 125,000 | 128,102 | ||||||
3.25%, 4/15/28(b) | 20,000 | 19,387 | ||||||
4.50%, 2/1/45 | 100,000 | 106,116 | ||||||
3.80%, 7/15/48(b) | 100,000 | 95,547 | ||||||
Biogen, Inc. | 50,000 | 49,975 | ||||||
5.20%, 9/15/45 | 152,000 | 165,354 | ||||||
BlackRock, Inc. | 25,000 | 25,440 | ||||||
Block Financial LLC | 35,000 | 35,696 | ||||||
Boardwalk Pipelines L.P. | 100,000 | 97,975 | ||||||
Boeing Co. (The) | 35,000 | 34,241 | ||||||
2.25%, 6/15/26 | 50,000 | 46,183 | ||||||
6.88%, 3/15/39 | 50,000 | 71,478 | ||||||
5.88%, 2/15/40 | 202,000 | 256,719 | ||||||
BorgWarner, Inc. | 128,000 | 125,460 | ||||||
Boston Properties L.P. | 180,000 | 185,839 | ||||||
3.13%, 9/1/23 | 23,000 | 22,618 | ||||||
3.20%, 1/15/25 | 8,000 | 7,769 | ||||||
Boston Scientific Corp. | 300,000 | 301,569 | ||||||
7.38%, 1/15/40 | 2,000 | 2,664 | ||||||
Branch Banking & Trust Co. | 500,000 | 500,420 | ||||||
3.80%, 10/30/26 | 510,000 | 516,159 | ||||||
Brighthouse Financial, Inc. | 150,000 | 140,505 | ||||||
4.70%, 6/22/47(b) | 131,000 | 122,635 | ||||||
Brixmor Operating Partnership L.P. | 190,000 | 184,151 | ||||||
3.65%, 6/15/24 | 150,000 | 147,065 | ||||||
Broadcom Corp. | 40,000 | 39,126 | ||||||
3.63%, 1/15/24 | 125,000 | 121,990 | ||||||
3.50%, 1/15/28 | 260,000 | 240,522 | ||||||
Broadridge Financial Solutions, Inc. | 25,000 | 24,087 | ||||||
Brown & Brown, Inc. | 20,000 | 20,414 | ||||||
Brown-Forman Corp. | 28,000 | 29,498 | ||||||
Burlington Northern Santa Fe LLC | 293,000 | 292,256 | ||||||
3.75%, 4/1/24 | 75,000 | 77,043 | ||||||
3.00%, 4/1/25 | 71,000 | 69,465 | ||||||
3.65%, 9/1/25 | 120,000 | 121,918 | ||||||
3.25%, 6/15/27 | 40,000 | 39,522 | ||||||
6.15%, 5/1/37 | 73,000 | 92,874 | ||||||
5.75%, 5/1/40 | 125,000 | 153,909 | ||||||
5.40%, 6/1/41 | 15,000 | 17,738 | ||||||
4.40%, 3/15/42 | 10,000 | 10,469 | ||||||
4.90%, 4/1/44 | 160,000 | 180,246 | ||||||
4.55%, 9/1/44 | 150,000 | 161,061 | ||||||
4.15%, 4/1/45 | 73,000 | 73,983 | ||||||
4.70%, 9/1/45 | 20,000 | 21,899 | ||||||
3.90%, 8/1/46 | 25,000 | 24,676 | ||||||
4.13%, 6/15/47 | 130,000 | 132,852 | ||||||
CA, Inc. | 30,000 | 30,619 | ||||||
Capital One Financial Corp. | 40,000 | 41,948 | ||||||
3.05%, 3/9/22 | 25,000 | 24,614 | ||||||
3.20%, 1/30/23 | 780,000 | 765,961 | ||||||
3.50%, 6/15/23 | 25,000 | 24,924 | ||||||
3.75%, 4/24/24 | 100,000 | 100,408 | ||||||
3.30%, 10/30/24 | 100,000 | 97,192 | ||||||
3.20%, 2/5/25 | 170,000 | 163,226 | ||||||
4.20%, 10/29/25 | 25,000 | 24,830 | ||||||
3.75%, 3/9/27 | 410,000 | 399,268 | ||||||
Cardinal Health, Inc. | 184,000 | 173,292 | ||||||
4.50%, 11/15/44 | 75,000 | 72,268 | ||||||
4.37%, 6/15/47 | 155,000 | 145,717 | ||||||
Carlisle Cos., Inc. | 100,000 | 98,803 | ||||||
3.75%, 12/1/27 | 25,000 | 24,659 | ||||||
Caterpillar Financial Services Corp. | 190,000 | 175,947 | ||||||
Caterpillar, Inc. | 501,000 | 499,729 | ||||||
CBL & Associates L.P. | 6,000 | 5,107 | ||||||
CBOE Global Markets, Inc. | 55,000 | 54,452 | ||||||
CBRE Services, Inc. | 8,000 | 8,205 | ||||||
4.88%, 3/1/26 | 153,000 | 161,454 | ||||||
CBS Corp. | 30,000 | 28,623 | ||||||
3.50%, 1/15/25 | 350,000 | 343,832 | ||||||
4.00%, 1/15/26 | 50,000 | 49,956 | ||||||
2.90%, 1/15/27 | 92,000 | 84,135 | ||||||
3.38%, 2/15/28 | 125,000 | 117,216 | ||||||
7.88%, 7/30/30 | 197,000 | 258,703 | ||||||
4.90%, 8/15/44 | 275,000 | 276,809 | ||||||
CC Holdings GS V LLC | 620,000 | 625,313 | ||||||
Celgene Corp. | 10,000 | 9,949 | ||||||
3.88%, 8/15/25 | 340,000 | 339,560 | ||||||
5.00%, 8/15/45 | 100,000 | 104,605 | ||||||
4.55%, 2/20/48 | 210,000 | 204,799 | ||||||
CenterPoint Energy Houston Electric LLC | 290,000 | 267,121 | ||||||
4.50%, 4/1/44 | 4,000 | 4,381 |
See Notes to Financial Statements.
56 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Charter Communications Operating LLC | $ | 465,000 | $ | 476,212 | ||||
4.91%, 7/23/25 | 450,000 | 463,294 | ||||||
4.20%, 3/15/28 | 150,000 | 144,256 | ||||||
6.48%, 10/23/45 | 125,000 | 141,290 | ||||||
Chubb Corp. (The) | 76,000 | 95,790 | ||||||
Chubb INA Holdings, Inc. | 100,000 | 105,816 | ||||||
Church & Dwight Co., Inc. | 100,000 | 97,008 | ||||||
3.15%, 8/1/27 | 145,000 | 136,805 | ||||||
Cigna Corp. | 226,000 | 232,857 | ||||||
3.25%, 4/15/25 | 275,000 | 264,902 | ||||||
3.05%, 10/15/27 | 240,000 | 222,033 | ||||||
3.88%, 10/15/47 | 121,000 | 107,982 | ||||||
Cintas Corp. No 2 | 405,000 | 401,494 | ||||||
Cisco Systems, Inc. | 125,000 | 119,411 | ||||||
3.63%, 3/4/24 | 272,000 | 278,885 | ||||||
2.95%, 2/28/26 | 225,000 | 218,958 | ||||||
2.50%, 9/20/26 | 40,000 | 37,443 | ||||||
5.90%, 2/15/39 | 70,000 | 91,271 | ||||||
Citigroup, Inc. | 170,000 | 169,829 | ||||||
2.65%, 10/26/20 | 25,000 | 24,753 | ||||||
4.05%, 7/30/22 | 172,000 | 176,112 | ||||||
3.50%, 5/15/23 | 65,000 | 64,814 | ||||||
4.00%, 8/5/24 | 25,000 | 25,314 | ||||||
3.30%, 4/27/25 | 240,000 | 233,959 | ||||||
5.50%, 9/13/25 | 200,000 | 219,092 | ||||||
4.60%, 3/9/26 | 25,000 | 25,858 | ||||||
3.20%, 10/21/26 | 100,000 | 95,593 | ||||||
4.45%, 9/29/27 | 400,000 | 408,685 | ||||||
3.89%, 1/10/28, (3.887% fixed rate until 1/10/27; 3-month U.S. dollar London Interbank Offered Rate + 1.563% thereafter)(d) | 200,000 | 199,824 | ||||||
3.67%, 7/24/28, (3.668% fixed rate until 7/24/27; 3-month U.S. dollar London Interbank Offered Rate + 1.390% thereafter)(d) | 86,000 | 84,220 | ||||||
4.13%, 7/25/28 | 150,000 | 149,224 | ||||||
3.52%, 10/27/28, (3.520% fixed rate until 10/27/27; 3-month U.S. dollar London Interbank Offered Rate + 1.151% thereafter)(d) | 300,000 | 290,364 | ||||||
3.88%, 1/24/39, (3.878% fixed rate until 1/24/38; 3-month U.S. dollar London Interbank Offered Rate + 1.168% thereafter)(d) | 250,000 | 240,348 | ||||||
8.13%, 7/15/39 | 220,000 | 334,506 | ||||||
6.68%, 9/13/43 | 150,000 | 195,473 | ||||||
5.30%, 5/6/44 | 50,000 | 55,399 | ||||||
4.65%, 7/30/45 | 25,000 | 26,627 | ||||||
4.28%, 4/24/48, (4.281% fixed rate until 4/24/47; 3-month U.S. dollar London Interbank Offered Rate + 1.839% thereafter)(d) | 275,000 | 277,992 | ||||||
Citizens Bank NA | 500,000 | 490,401 | ||||||
Citrix Systems, Inc. | 25,000 | 24,865 | ||||||
Clorox Co. (The) | 240,000 | 230,848 | ||||||
CNA Financial Corp. | 2,000 | 2,168 | ||||||
CNH Industrial Capital LLC | 570,000 | 584,045 | ||||||
Columbia Property Trust Operating Partnership L.P. | 150,000 | 148,751 | ||||||
Comcast Corp. | 50,000 | 48,886 | ||||||
3.60%, 3/1/24 | 345,000 | 348,614 | ||||||
3.38%, 2/15/25 | 25,000 | 24,728 | ||||||
3.15%, 3/1/26 | 316,000 | 304,980 | ||||||
2.35%, 1/15/27 | 80,000 | 71,931 | ||||||
3.30%, 2/1/27 | 95,000 | 91,821 | ||||||
3.15%, 2/15/28 | 95,000 | 90,583 | ||||||
4.25%, 1/15/33 | 90,000 | 92,389 | ||||||
4.20%, 8/15/34 | 110,000 | 110,517 | ||||||
4.40%, 8/15/35 | 200,000 | 203,886 | ||||||
6.45%, 3/15/37 | 180,000 | 230,874 | ||||||
6.95%, 8/15/37 | 100,000 | 133,939 | ||||||
4.65%, 7/15/42 | 40,000 | 41,581 | ||||||
4.50%, 1/15/43 | 25,000 | 25,616 | ||||||
4.75%, 3/1/44 | 25,000 | 26,680 | ||||||
4.60%, 8/15/45 | 20,000 | 20,907 | ||||||
4.00%, 8/15/47 | 250,000 | 235,320 | ||||||
Commonwealth Edison Co. | 150,000 | 144,375 | ||||||
Concho Resources, Inc. | 8,000 | 8,239 | ||||||
3.75%, 10/1/27 | 60,000 | 58,506 | ||||||
4.88%, 10/1/47 | 40,000 | 41,468 | ||||||
ConocoPhillips | 230,000 | 301,745 | ||||||
ConocoPhillips Co. | 140,000 | 139,369 | ||||||
4.95%, 3/15/26 | 155,000 | 168,555 | ||||||
4.15%, 11/15/34 | 5,000 | 5,073 | ||||||
4.30%, 11/15/44 | 25,000 | 25,854 | ||||||
Consolidated Edison Co. of New York, Inc. | 25,000 | 34,355 | ||||||
3.88%, 6/15/47, Series 2017 | 100,000 | 98,130 | ||||||
Constellation Brands, Inc. | 235,000 | 233,300 | ||||||
Continental Airlines Pass Through Trust | 27,910 | 28,605 | ||||||
Corning, Inc. | 200,000 | 213,186 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 57 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Costco Wholesale Corp. | $ | 100,000 | $ | 97,332 | ||||
3.00%, 5/18/27 | 80,000 | 77,477 | ||||||
Crown Castle International Corp. | 83,000 | 87,285 | ||||||
5.25%, 1/15/23 | 20,000 | 21,455 | ||||||
3.20%, 9/1/24 | 20,000 | 19,282 | ||||||
CSX Corp. | 30,000 | 31,096 | ||||||
3.40%, 8/1/24 | 25,000 | 24,922 | ||||||
3.35%, 11/1/25 | 30,000 | 29,386 | ||||||
3.25%, 6/1/27 | 155,000 | 148,440 | ||||||
5.50%, 4/15/41 | 13,000 | 15,017 | ||||||
4.10%, 3/15/44 | 110,000 | 106,428 | ||||||
4.50%, 8/1/54 | 100,000 | 98,274 | ||||||
Cummins, Inc. | 20,000 | 20,684 | ||||||
CVS Health Corp. | 310,000 | 299,236 | ||||||
3.50%, 7/20/22 | 2,000 | 1,994 | ||||||
4.00%, 12/5/23 | 175,000 | 177,618 | ||||||
3.88%, 7/20/25 | 178,000 | 176,133 | ||||||
4.88%, 7/20/35 | 53,000 | 55,214 | ||||||
5.13%, 7/20/45 | 75,000 | 78,651 | ||||||
D.R. Horton, Inc. | 10,000 | 10,084 | ||||||
DDR Corp. | 100,000 | 96,706 | ||||||
Dell International LLC | 42,000 | 42,279 | ||||||
4.42%, 6/15/21(b) | 50,000 | 51,088 | ||||||
5.45%, 6/15/23(b) | 230,000 | 242,573 | ||||||
6.02%, 6/15/26(b) | 180,000 | 192,485 | ||||||
8.35%, 7/15/46(b) | 205,000 | 260,520 | ||||||
Delmarva Power & Light Co. | 60,000 | 61,992 | ||||||
Delphi Corp. | 25,000 | 25,626 | ||||||
Delta Air Lines, Inc. | 15,000 | 14,970 | ||||||
2.60%, 12/4/20 | 5,000 | 4,938 | ||||||
Devon Energy Corp. | 569,000 | 563,754 | ||||||
5.60%, 7/15/41 | 195,000 | 218,321 | ||||||
4.75%, 5/15/42 | 100,000 | 101,299 | ||||||
Discover Financial Services | 71,000 | 70,982 | ||||||
3.75%, 3/4/25 | 210,000 | 206,526 | ||||||
Discovery Communications LLC | 200,000 | 194,634 | ||||||
3.95%, 3/20/28 | 85,000 | 81,749 | ||||||
5.00%, 9/20/37 | 200,000 | 200,288 | ||||||
6.35%, 6/1/40 | 175,000 | 197,664 | ||||||
4.88%, 4/1/43 | 35,000 | 33,496 | ||||||
Dominion Energy, Inc. | 40,000 | 40,522 | ||||||
7.00%, 6/15/38 | 25,000 | 32,948 | ||||||
4.70%, 12/1/44 | 100,000 | 105,337 | ||||||
Dow Chemical Co. (The) | 226,000 | 232,969 | ||||||
3.00%, 11/15/22 | 15,000 | 14,790 | ||||||
3.50%, 10/1/24 | 385,000 | 383,506 | ||||||
7.38%, 11/1/29 | 135,000 | 174,293 | ||||||
5.25%, 11/15/41 | 30,000 | 32,957 | ||||||
4.38%, 11/15/42 | 75,000 | 75,574 | ||||||
4.63%, 10/1/44 | 80,000 | 82,517 | ||||||
Dr Pepper Snapple Group, Inc. | 140,000 | 133,116 | ||||||
DTE Electric Co. | 150,000 | 149,716 | ||||||
3.70%, 3/15/45 | 4,000 | 3,877 | ||||||
Duke Energy Carolinas LLC | 20,000 | 19,220 | ||||||
6.00%, 1/15/38 | 75,000 | 96,310 | ||||||
6.05%, 4/15/38 | 20,000 | 25,584 | ||||||
5.30%, 2/15/40 | 150,000 | 179,997 | ||||||
4.00%, 9/30/42 | 25,000 | 25,437 | ||||||
Duke Energy Corp. | 25,000 | 23,929 | ||||||
2.40%, 8/15/22 | 30,000 | 29,045 | ||||||
2.65%, 9/1/26 | 275,000 | 252,961 | ||||||
3.15%, 8/15/27 | 175,000 | 165,991 | ||||||
4.80%, 12/15/45 | 220,000 | 237,301 | ||||||
Duke Energy Florida LLC | 55,000 | 53,704 | ||||||
3.40%, 10/1/46 | 159,000 | 143,669 | ||||||
Duke Energy Indiana LLC | 10,000 | 12,666 | ||||||
Duke Energy Progress LLC | 40,000 | 39,620 | ||||||
6.30%, 4/1/38 | 25,000 | 32,856 | ||||||
4.10%, 3/15/43 | 25,000 | 25,468 | ||||||
4.15%, 12/1/44 | 25,000 | 25,659 | ||||||
4.20%, 8/15/45 | 25,000 | 25,765 | ||||||
DXC Technology Co. | 165,000 | 171,126 | ||||||
Eastman Chemical Co. | 38,000 | 38,631 | ||||||
4.65%, 10/15/44 | 100,000 | 103,954 | ||||||
Eaton Corp. | 200,000 | 190,472 | ||||||
Eaton Vance Corp. | 118,000 | 116,608 | ||||||
eBay, Inc. | 26,000 | 26,507 | ||||||
2.75%, 1/30/23 | 30,000 | 29,061 | ||||||
3.45%, 8/1/24 | 10,000 | 9,910 | ||||||
Ecolab, Inc. | 21,000 | 21,953 | ||||||
2.70%, 11/1/26 | 175,000 | 163,287 | ||||||
3.25%, 12/1/27(b) | 25,000 | 24,105 | ||||||
3.95%, 12/1/47(b) | 100,000 | 96,325 | ||||||
EI du Pont de Nemours & Co. | 13,000 | 15,131 | ||||||
4.15%, 2/15/43 | 25,000 | 24,662 |
See Notes to Financial Statements.
58 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Eli Lilly & Co. | $ | 170,000 | $ | 164,208 | ||||
5.55%, 3/15/37 | 112,000 | 137,581 | ||||||
3.70%, 3/1/45 | 125,000 | 120,980 | ||||||
Enable Midstream Partners L.P. | 184,000 | 182,344 | ||||||
3.90%, 5/15/24 | 15,000 | 14,801 | ||||||
4.40%, 3/15/27 | 25,000 | 24,654 | ||||||
Enbridge Energy Partners L.P. | 125,000 | 138,459 | ||||||
Energy Transfer Partners L.P. | 10,000 | 10,370 | ||||||
4.75%, 1/15/26 | 200,000 | 203,446 | ||||||
7.50%, 7/1/38 | 40,000 | 48,644 | ||||||
5.15%, 3/15/45 | 125,000 | 118,258 | ||||||
6.13%, 12/15/45 | 180,000 | 192,674 | ||||||
5.30%, 4/15/47 | 25,000 | 24,147 | ||||||
EnLink Midstream Partners L.P. | 75,000 | 75,792 | ||||||
Entergy Corp. | 193,000 | 181,899 | ||||||
Entergy Louisiana LLC | 175,000 | 182,749 | ||||||
4.95%, 1/15/45 | 72,000 | 73,245 | ||||||
Enterprise Products Operating LLC | 40,000 | 39,830 | ||||||
3.90%, 2/15/24 | 100,000 | 101,552 | ||||||
5.95%, 2/1/41 | 100,000 | 118,472 | ||||||
4.85%, 8/15/42 | 200,000 | 209,168 | ||||||
4.90%, 5/15/46 | 101,000 | 106,412 | ||||||
4.95%, 10/15/54 | 50,000 | 51,744 | ||||||
5.25%, 8/16/77, Series E (5.250% fixed rate until 8/16/27; 3-month U.S. dollar London Interbank Offered Rate + 3.033% thereafter)(d) | 433,000 | 418,927 | ||||||
EOG Resources, Inc. | 5,000 | 4,954 | ||||||
2.63%, 3/15/23 | 80,000 | 77,413 | ||||||
EQT Corp. | 101,000 | 96,593 | ||||||
EQT Midstream Partners L.P. | 200,000 | 195,599 | ||||||
ERP Operating L.P. | 308,000 | 298,342 | ||||||
4.50%, 7/1/44 | 100,000 | 105,000 | ||||||
Eversource Energy | 50,000 | 48,094 | ||||||
Exelon Corp. | 25,000 | 24,990 | ||||||
3.95%, 6/15/25 | 25,000 | 25,319 | ||||||
3.40%, 4/15/26 | 75,000 | 73,107 | ||||||
4.95%, 6/15/35 | 200,000 | 219,458 | ||||||
5.10%, 6/15/45 | 100,000 | 112,214 | ||||||
4.45%, 4/15/46 | 225,000 | 229,066 | ||||||
Exelon Generation Co. LLC | 265,000 | 273,882 | ||||||
6.25%, 10/1/39 | 145,000 | 163,043 | ||||||
5.60%, 6/15/42 | 77,000 | 81,363 | ||||||
Expedia, Inc. | 115,000 | 116,410 | ||||||
5.00%, 2/15/26 | 200,000 | 205,629 | ||||||
Express Scripts Holding Co. | 62,000 | 61,549 | ||||||
4.75%, 11/15/21 | 16,000 | 16,770 | ||||||
3.05%, 11/30/22 | 25,000 | 24,580 | ||||||
3.00%, 7/15/23 | 80,000 | 77,274 | ||||||
3.40%, 3/1/27 | 110,000 | 104,412 | ||||||
6.13%, 11/15/41 | 21,000 | 24,837 | ||||||
4.80%, 7/15/46 | 125,000 | 125,362 | ||||||
Federal Realty Investment Trust | 200,000 | 207,358 | ||||||
FedEx Corp. | 100,000 | 98,169 | ||||||
4.00%, 1/15/24 | 20,000 | 20,675 | ||||||
3.25%, 4/1/26 | 306,000 | 298,913 | ||||||
3.88%, 8/1/42 | 220,000 | 206,064 | ||||||
4.10%, 4/15/43 | 100,000 | 95,414 | ||||||
4.55%, 4/1/46 | 90,000 | 91,980 | ||||||
4.40%, 1/15/47 | 120,000 | 119,444 | ||||||
Fidelity National Information Services, Inc. | 341,000 | 366,089 | ||||||
3.00%, 8/15/26 | 70,000 | 65,644 | ||||||
4.50%, 8/15/46 | 25,000 | 24,660 | ||||||
Fifth Third Bancorp | 25,000 | 24,965 | ||||||
4.30%, 1/16/24 | 225,000 | 232,823 | ||||||
8.25%, 3/1/38 | 100,000 | 145,667 | ||||||
FirstEnergy Corp. | 280,000 | 272,412 | ||||||
3.90%, 7/15/27, Series B | 100,000 | 99,115 | ||||||
7.38%, 11/15/31, Series C | 100,000 | 132,147 | ||||||
4.85%, 7/15/47, Series C | 210,000 | 221,597 | ||||||
Flowers Foods, Inc. | 8,000 | 7,632 | ||||||
Ford Motor Co. | 135,000 | 133,257 | ||||||
7.45%, 7/16/31 | 150,000 | 183,049 | ||||||
4.75%, 1/15/43 | 175,000 | 162,100 | ||||||
5.29%, 12/8/46 | 250,000 | 246,798 | ||||||
Ford Motor Credit Co. LLC | 100,000 | 108,780 | ||||||
4.25%, 9/20/22 | 200,000 | 203,957 | ||||||
3.10%, 5/4/23 | 200,000 | 192,772 | ||||||
4.13%, 8/4/25 | 200,000 | 197,077 | ||||||
3.82%, 11/2/27 | 200,000 | 187,839 | ||||||
Fortive Corp. | 70,000 | 69,273 | ||||||
3.15%, 6/15/26 | 200,000 | 193,750 | ||||||
Franklin Resources, Inc. | 145,000 | 140,565 | ||||||
GATX Corp. | 45,000 | 43,391 | ||||||
3.85%, 3/30/27 | 5,000 | 4,927 | ||||||
GE Capital International Funding Co. Unlimited Co. | 800,000 | 785,015 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 59 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
General Dynamics Corp. | $ | 225,000 | $ | 202,826 | ||||
General Electric Co. | 215,000 | 267,654 | ||||||
5.88%, 1/14/38 | 50,000 | 58,647 | ||||||
4.13%, 10/9/42 | 25,000 | 23,415 | ||||||
4.50%, 3/11/44 | 225,000 | 223,393 | ||||||
General Mills, Inc. | 2,000 | 2,029 | ||||||
General Motors Co. | 85,000 | 84,078 | ||||||
4.20%, 10/1/27 | 100,000 | 98,603 | ||||||
5.15%, 4/1/38 | 250,000 | 247,656 | ||||||
5.20%, 4/1/45 | 75,000 | 74,247 | ||||||
6.75%, 4/1/46 | 275,000 | 325,915 | ||||||
General Motors Financial Co., Inc. | 30,000 | 29,793 | ||||||
4.38%, 9/25/21 | 20,000 | 20,594 | ||||||
3.45%, 1/14/22 | 20,000 | 19,914 | ||||||
3.45%, 4/10/22 | 84,000 | 83,528 | ||||||
3.15%, 6/30/22 | 20,000 | 19,555 | ||||||
4.00%, 1/15/25 | 288,000 | 285,902 | ||||||
4.30%, 7/13/25 | 401,000 | 402,630 | ||||||
4.00%, 10/6/26 | 100,000 | 97,967 | ||||||
Genpact Luxembourg Sarl | 130,000 | 127,447 | ||||||
Georgia Power Co. | 33,000 | 40,422 | ||||||
5.40%, 6/1/40 | 75,000 | 87,400 | ||||||
4.30%, 3/15/42 | 100,000 | 102,207 | ||||||
Georgia-Pacific LLC | 30,000 | 37,310 | ||||||
7.75%, 11/15/29 | 100,000 | 136,499 | ||||||
Gilead Sciences, Inc. | 260,000 | 259,789 | ||||||
2.95%, 3/1/27 | 300,000 | 282,707 | ||||||
4.60%, 9/1/35 | 100,000 | 105,991 | ||||||
5.65%, 12/1/41 | 100,000 | 118,612 | ||||||
4.75%, 3/1/46 | 75,000 | 78,710 | ||||||
4.15%, 3/1/47 | 135,000 | 129,782 | ||||||
Goldman Sachs Group, Inc. (The) | 50,000 | 50,976 | ||||||
3.50%, 1/23/25 | 555,000 | 545,556 | ||||||
4.25%, 10/21/25 | 232,000 | 234,084 | ||||||
3.50%, 11/16/26 | 500,000 | 482,174 | ||||||
5.95%, 1/15/27 | 250,000 | 282,284 | ||||||
3.85%, 1/26/27 | 175,000 | 172,771 | ||||||
3.69%, 6/5/28, (3.691% fixed rate until 6/5/27; 3-month U.S. dollar London Interbank Offered Rate + 1.510% thereafter)(d) | 500,000 | 487,065 | ||||||
3.81%, 4/23/29, (3.814% fixed rate until 4/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.158% thereafter)(d) | 250,000 | 244,394 | ||||||
6.13%, 2/15/33 | 40,000 | 48,279 | ||||||
6.75%, 10/1/37 | 275,000 | 348,093 | ||||||
4.02%, 10/31/38, (4.017% fixed rate until 10/31/37; 3-month U.S. dollar London Interbank Offered Rate + 1.373% thereafter)(d) | 75,000 | 72,620 | ||||||
6.25%, 2/1/41 | 125,000 | 158,654 | ||||||
4.80%, 7/8/44 | 25,000 | 26,832 | ||||||
5.15%, 5/22/45 | 100,000 | 108,117 | ||||||
Halliburton Co. | 100,000 | 100,222 | ||||||
4.85%, 11/15/35 | 200,000 | 214,836 | ||||||
7.45%, 9/15/39 | 150,000 | 206,328 | ||||||
4.50%, 11/15/41 | 2,000 | 2,038 | ||||||
5.00%, 11/15/45 | 105,000 | 113,949 | ||||||
Harris Corp. | 185,000 | 186,888 | ||||||
4.85%, 4/27/35 | 67,000 | 71,990 | ||||||
Hasbro, Inc. | 156,000 | 177,311 | ||||||
HCP, Inc. | 130,000 | 129,280 | ||||||
4.25%, 11/15/23 | 20,000 | 20,659 | ||||||
3.40%, 2/1/25 | 25,000 | 24,332 | ||||||
4.00%, 6/1/25 | 100,000 | 100,510 | ||||||
Healthcare Realty Trust, Inc. | 25,000 | 24,095 | ||||||
Hershey Co. (The) | 425,000 | 387,097 | ||||||
Hess Corp. | 60,000 | 58,842 | ||||||
6.00%, 1/15/40 | 100,000 | 106,106 | ||||||
5.80%, 4/1/47 | 200,000 | 212,274 | ||||||
Hewlett Packard Enterprise Co. | 380,000 | 394,506 | ||||||
6.35%, 10/15/45 | 160,000 | 169,505 | ||||||
Hexcel Corp. | 8,000 | 8,326 | ||||||
3.95%, 2/15/27 | 150,000 | 149,295 | ||||||
Home Depot, Inc. (The) | 105,000 | 104,554 | ||||||
3.00%, 4/1/26 | 80,000 | 77,673 | ||||||
2.80%, 9/14/27 | 175,000 | 165,274 | ||||||
5.88%, 12/16/36 | 150,000 | 191,204 | ||||||
4.20%, 4/1/43 | 25,000 | 25,660 | ||||||
4.40%, 3/15/45 | 35,000 | 36,818 | ||||||
4.25%, 4/1/46 | 55,000 | 57,085 | ||||||
3.90%, 6/15/47 | 155,000 | 153,081 | ||||||
3.50%, 9/15/56 | 25,000 | 22,135 | ||||||
Honeywell International, Inc. | 395,000 | 365,386 | ||||||
Hospitality Properties Trust | 110,000 | 111,658 | ||||||
3.95%, 1/15/28 | 15,000 | 14,144 | ||||||
4.38%, 2/15/30 | 180,000 | 173,540 | ||||||
Host Hotels & Resorts L.P. | 20,000 | 19,879 | ||||||
HP, Inc. | 2,000 | 2,094 |
See Notes to Financial Statements.
60 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
HSBC Bank USA NA | $ | 250,000 | $ | 304,184 | ||||
Hubbell, Inc. | 8,000 | 7,631 | ||||||
Hudson Pacific Properties L.P. | 175,000 | 167,708 | ||||||
Humana, Inc. | 15,000 | 14,884 | ||||||
4.95%, 10/1/44 | 225,000 | 239,141 | ||||||
Huntington Ingalls Industries, Inc. | 25,000 | 24,245 | ||||||
Illinois Tool Works, Inc. | 35,000 | 35,626 | ||||||
2.65%, 11/15/26 | 99,000 | 93,047 | ||||||
4.88%, 9/15/41 | 2,000 | 2,294 | ||||||
Ingersoll-Rand Global Holding Co., Ltd. | 132,000 | 137,671 | ||||||
Intel Corp. | 100,000 | 97,705 | ||||||
3.70%, 7/29/25 | 178,000 | 181,750 | ||||||
2.60%, 5/19/26 | 300,000 | 282,798 | ||||||
4.10%, 5/19/46 | 95,000 | 97,291 | ||||||
Intercontinental Exchange, Inc. | 25,000 | 25,859 | ||||||
3.75%, 12/1/25 | 345,000 | 349,473 | ||||||
3.10%, 9/15/27 | 25,000 | 24,025 | ||||||
International Business Machines Corp. | 115,000 | 115,923 | ||||||
7.00%, 10/30/25 | 230,000 | 285,536 | ||||||
3.45%, 2/19/26 | 100,000 | 100,337 | ||||||
3.30%, 1/27/27 | 150,000 | 147,907 | ||||||
4.00%, 6/20/42 | 110,000 | 110,880 | ||||||
4.70%, 2/19/46 | 170,000 | 191,459 | ||||||
International Flavors & Fragrances, Inc. | 60,000 | 59,880 | ||||||
International Lease Finance Corp. | 15,000 | 15,491 | ||||||
6.25%, 5/15/19 | 23,000 | 23,864 | ||||||
8.25%, 12/15/20 | 10,000 | 11,279 | ||||||
8.63%, 1/15/22 | 5,000 | 5,909 | ||||||
International Paper Co. | 355,000 | 357,570 | ||||||
3.00%, 2/15/27 | 161,000 | 150,620 | ||||||
7.30%, 11/15/39 | 100,000 | 134,739 | ||||||
6.00%, 11/15/41 | 75,000 | 89,825 | ||||||
4.80%, 6/15/44 | 50,000 | 52,220 | ||||||
Invesco Finance PLC | 537,000 | 554,016 | ||||||
Jefferies Group LLC | 115,000 | 123,360 | ||||||
6.88%, 4/15/21 | 70,000 | 77,079 | ||||||
4.85%, 1/15/27 | 153,000 | 158,092 | ||||||
4.15%, 1/23/30 | 60,000 | 57,078 | ||||||
6.25%, 1/15/36 | 86,000 | 94,443 | ||||||
JM Smucker Co. (The) | 75,000 | 75,848 | ||||||
John Deere Capital Corp. | 360,000 | 353,677 | �� | |||||
3.05%, 1/6/28 | 25,000 | 24,127 | ||||||
Johnson Controls International PLC | 25,000 | 25,361 | ||||||
5.13%, 9/14/45 | 117,000 | 132,197 | ||||||
JPMorgan Chase & Co. | 260,000 | 258,177 | ||||||
3.88%, 2/1/24 | 147,000 | 150,054 | ||||||
3.63%, 5/13/24 | 50,000 | 50,203 | ||||||
3.88%, 9/10/24 | 50,000 | 50,325 | ||||||
3.13%, 1/23/25 | 180,000 | 174,961 | ||||||
3.22%, 3/1/25, (3.220% fixed rate until 3/1/24; 3-month U.S. dollar London Interbank Offered Rate + 1.155% thereafter)(d) | 500,000 | 490,820 | ||||||
3.30%, 4/1/26 | 690,000 | 669,859 | ||||||
2.95%, 10/1/26 | 53,000 | 49,863 | ||||||
4.13%, 12/15/26 | 250,000 | 253,533 | ||||||
4.25%, 10/1/27 | 95,000 | 97,140 | ||||||
3.63%, 12/1/27 | 500,000 | 483,602 | ||||||
3.78%, 2/1/28, (3.782% fixed rate until 2/1/27; 3-month U.S. dollar London Interbank Offered Rate + 1.337% thereafter)(d) | 150,000 | 149,532 | ||||||
3.54%, 5/1/28, (3.540% fixed rate until 5/1/27; 3-month U.S. dollar London Interbank Offered Rate + 1.380% thereafter)(d) | 5,000 | 4,883 | ||||||
3.51%, 1/23/29, (3.509% fixed rate until 1/23/28; 3-month U.S. dollar London Interbank Offered Rate + 0.945% thereafter)(d) | 500,000 | 485,625 | ||||||
6.40%, 5/15/38 | 80,000 | 104,826 | ||||||
5.63%, 8/16/43 | 100,000 | 116,494 | ||||||
4.26%, 2/22/48, (4.260% fixed rate until 2/22/47; 3-month U.S. dollar London Interbank Offered Rate + 1.580% thereafter)(d) | 130,000 | 129,898 | ||||||
4.03%, 7/24/48, (4.032% fixed rate until 7/24/47; 3-month U.S. dollar London Interbank Offered Rate + 1.460% thereafter)(d) | 205,000 | 198,922 | ||||||
3.90%, 1/23/49, (3.897% fixed rate until 1/23/48; 3-month U.S. dollar London Interbank Offered Rate + 1.220% thereafter)(d) | 60,000 | 56,613 | ||||||
Juniper Networks, Inc. | 5,000 | 5,015 | ||||||
4.50%, 3/15/24 | 25,000 | 25,764 | ||||||
Kaiser Foundation Hospitals | 100,000 | 102,549 | ||||||
Kellogg Co. | 180,000 | 184,837 | ||||||
2.65%, 12/1/23 | 16,000 | 15,567 | ||||||
3.25%, 4/1/26 | 105,000 | 100,307 | ||||||
4.50%, 4/1/46 | 60,000 | 59,740 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 61 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Kemper Corp. | $ | 125,000 | $ | 124,754 | ||||
Kerr-McGee Corp. | 40,000 | 46,458 | ||||||
7.88%, 9/15/31 | 4,000 | 5,268 | ||||||
KeyCorp | 115,000 | 114,849 | ||||||
5.10%, 3/24/21 | 70,000 | 74,188 | ||||||
Kilroy Realty L.P. | 60,000 | 58,497 | ||||||
4.38%, 10/1/25 | 160,000 | 163,434 | ||||||
4.25%, 8/15/29 | 50,000 | 49,671 | ||||||
Kimberly-Clark Corp. | 15,000 | 13,166 | ||||||
Kimco Realty Corp. | 132,000 | 127,294 | ||||||
2.80%, 10/1/26 | 197,000 | 179,559 | ||||||
Kinder Morgan Energy Partners L.P. | 30,000 | 30,139 | ||||||
3.95%, 9/1/22 | 50,000 | 50,766 | ||||||
3.45%, 2/15/23 | 40,000 | 39,639 | ||||||
3.50%, 9/1/23 | 35,000 | 34,545 | ||||||
7.30%, 8/15/33 | 1,000 | 1,225 | ||||||
6.38%, 3/1/41 | 8,000 | 9,131 | ||||||
5.63%, 9/1/41 | 200,000 | 207,970 | ||||||
5.00%, 3/1/43 | 115,000 | 112,594 | ||||||
Kinder Morgan, Inc. | 5,000 | 5,383 | ||||||
4.30%, 6/1/25 | 630,000 | 636,684 | ||||||
7.75%, 1/15/32 | 150,000 | 191,403 | ||||||
5.55%, 6/1/45 | 175,000 | 184,908 | ||||||
Kohl’s Corp. | 35,000 | 35,613 | ||||||
Kraft Heinz Foods Co. | 132,000 | 131,312 | ||||||
3.50%, 6/6/22 | 341,000 | 341,626 | ||||||
3.50%, 7/15/22 | 15,000 | 15,042 | ||||||
3.95%, 7/15/25 | 65,000 | 64,367 | ||||||
3.00%, 6/1/26 | 186,000 | 171,087 | ||||||
5.20%, 7/15/45 | 350,000 | 357,820 | ||||||
Kroger Co. (The) | 365,000 | 344,774 | ||||||
4.65%, 1/15/48 | 125,000 | 121,159 | ||||||
L3 Technologies, Inc. | 10,000 | 10,441 | ||||||
Laboratory Corp. of America Holdings | 50,000 | 49,268 | ||||||
3.60%, 9/1/27 | 25,000 | 24,325 | ||||||
Lam Research Corp. | 88,000 | 89,429 | ||||||
Lazard Group LLC | 25,000 | 24,786 | ||||||
Leggett & Platt, Inc. | 25,000 | 24,133 | ||||||
Life Storage L.P. | 25,000 | 24,258 | ||||||
LifeStorage L.P. | 60,000 | 57,247 | ||||||
Lockheed Martin Corp. | 20,000 | 19,823 | ||||||
3.10%, 1/15/23 | 25,000 | 24,999 | ||||||
4.50%, 5/15/36 | 240,000 | 255,732 | ||||||
4.07%, 12/15/42 | 120,000 | 118,613 | ||||||
4.70%, 5/15/46 | 70,000 | 76,048 | ||||||
Loews Corp. | 5,000 | 5,029 | ||||||
Lowe’s Cos., Inc. | 260,000 | 256,075 | ||||||
2.50%, 4/15/26 | 25,000 | 23,091 | ||||||
3.10%, 5/3/27 | 125,000 | 119,742 | ||||||
4.05%, 5/3/47 | 190,000 | 186,606 | ||||||
LYB International Finance B.V. | 45,000 | 46,037 | ||||||
5.25%, 7/15/43 | 45,000 | 49,732 | ||||||
4.88%, 3/15/44 | 245,000 | 257,372 | ||||||
LYB International Finance II B.V. | 20,000 | 19,504 | ||||||
Macy’s Retail Holdings, Inc. | 30,000 | 28,076 | ||||||
4.38%, 9/1/23 | 100,000 | 99,900 | ||||||
3.63%, 6/1/24(c) | 87,000 | 83,234 | ||||||
Magellan Midstream Partners L.P. | 150,000 | 143,459 | ||||||
Marathon Oil Corp. | 130,000 | 125,688 | ||||||
3.85%, 6/1/25 | 130,000 | 129,030 | ||||||
6.60%, 10/1/37 | 175,000 | 212,180 | ||||||
Marathon Petroleum Corp. | 40,000 | 39,248 | ||||||
5.00%, 9/15/54 | 70,000 | 68,426 | ||||||
Markel Corp. | 100,000 | 96,306 | ||||||
4.30%, 11/1/47 | 50,000 | 48,304 | ||||||
Marriott International, Inc. | 10,000 | 10,027 | ||||||
2.30%, 1/15/22 | 10,000 | 9,665 | ||||||
3.13%, 6/15/26, Series R | 100,000 | 95,307 | ||||||
Marsh & McLennan Cos., Inc. | 80,000 | 79,675 | ||||||
3.75%, 3/14/26 | 47,000 | 47,368 | ||||||
Martin Marietta Materials, Inc. | 180,000 | 167,827 | ||||||
Mastercard, Inc. | 274,000 | 274,952 | ||||||
McCormick & Co., Inc. | 50,000 | 48,702 | ||||||
McDonald’s Corp. | 97,000 | 99,114 | ||||||
3.38%, 5/26/25 | 155,000 | 153,427 | ||||||
3.70%, 1/30/26 | 228,000 | 229,080 | ||||||
4.60%, 5/26/45 | 92,000 | 95,941 | ||||||
4.88%, 12/9/45 | 215,000 | 233,717 | ||||||
4.45%, 3/1/47 | 35,000 | 35,828 |
See Notes to Financial Statements.
62 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
McKesson Corp. | $ | 40,000 | $ | 40,513 | ||||
4.88%, 3/15/44 | 100,000 | 108,613 | ||||||
Medtronic Global Holdings SCA | 185,000 | 182,760 | ||||||
Medtronic, Inc. | 372,000 | 371,896 | ||||||
4.38%, 3/15/35 | 95,000 | 100,737 | ||||||
4.63%, 3/15/44 | 79,000 | 86,441 | ||||||
4.63%, 3/15/45 | 122,000 | 132,639 | ||||||
Merck & Co., Inc. | 345,000 | 333,427 | ||||||
3.70%, 2/10/45 | 25,000 | 24,328 | ||||||
Mercury General Corp. | 70,000 | 69,740 | ||||||
MetLife, Inc. | 71,000 | 74,666 | ||||||
3.60%, 4/10/24 | 220,000 | 220,819 | ||||||
6.50%, 12/15/32 | 20,000 | 25,350 | ||||||
6.38%, 6/15/34 | 30,000 | 38,103 | ||||||
5.70%, 6/15/35 | 48,000 | 57,528 | ||||||
4.13%, 8/13/42 | 100,000 | 99,399 | ||||||
4.88%, 11/13/43 | 35,000 | 38,185 | ||||||
6.40%, 12/15/66 | 100,000 | 113,000 | ||||||
Mid-America Apartments L.P. | 12,000 | 12,094 | ||||||
MidAmerican Energy Co. | 195,000 | 198,782 | ||||||
3.95%, 8/1/47 | 35,000 | 35,204 | ||||||
Molson Coors Brewing Co. | 157,000 | 146,661 | ||||||
5.00%, 5/1/42 | 100,000 | 106,768 | ||||||
4.20%, 7/15/46 | 110,000 | 103,529 | ||||||
Monsanto Co. | 100,000 | 99,228 | ||||||
4.40%, 7/15/44 | 20,000 | 19,836 | ||||||
3.95%, 4/15/45 | 12,000 | 11,282 | ||||||
4.70%, 7/15/64 | 25,000 | 24,969 | ||||||
Morgan Stanley | 210,000 | 221,612 | ||||||
3.88%, 4/29/24, Series F | 600,000 | 607,136 | ||||||
3.70%, 10/23/24 | 179,000 | 179,027 | ||||||
5.00%, 11/24/25 | 20,000 | 21,315 | ||||||
3.88%, 1/27/26 | 103,000 | 103,350 | ||||||
4.35%, 9/8/26 | 200,000 | 203,371 | ||||||
3.63%, 1/20/27 | 200,000 | 196,274 | ||||||
3.95%, 4/23/27 | 190,000 | 187,187 | ||||||
3.59%, 7/22/28, (3.591% fixed rate until 7/22/27; 3-month U.S. dollar London Interbank Offered Rate + 1.340% thereafter)(d) | 500,000 | 483,318 | ||||||
3.77%, 1/24/29, (3.772% fixed rate until 1/24/28; 3-month U.S. dollar London Interbank Offered Rate + 1.140% thereafter)(d) | 250,000 | 244,945 | ||||||
3.97%, 7/22/38, (3.971% fixed rate until 7/22/37; 3-month U.S. dollar London Interbank Offered Rate + 1.455% thereafter)(d) | 265,000 | 259,204 | ||||||
4.30%, 1/27/45 | 100,000 | 100,217 | ||||||
4.38%, 1/22/47 | 100,000 | 101,505 | ||||||
Mosaic Co. (The) | 25,000 | 24,548 | ||||||
4.25%, 11/15/23 | 100,000 | 102,920 | ||||||
4.88%, 11/15/41 | 62,000 | 59,050 | ||||||
5.63%, 11/15/43 | 38,000 | 39,929 | ||||||
Motorola Solutions, Inc. | 100,000 | 100,043 | ||||||
MPLX L.P. | 195,000 | 201,621 | ||||||
4.88%, 12/1/24 | 130,000 | 136,935 | ||||||
4.00%, 2/15/25 | 8,000 | 7,998 | ||||||
4.13%, 3/1/27 | 25,000 | 24,855 | ||||||
4.50%, 4/15/38 | 225,000 | 219,016 | ||||||
5.20%, 3/1/47 | 150,000 | 155,068 | ||||||
4.70%, 4/15/48 | 210,000 | 204,292 | ||||||
4.90%, 4/15/58 | 30,000 | 28,984 | ||||||
MUFG Americas Holdings Corp. | 21,000 | 20,354 | ||||||
Mylan N.V. | 92,000 | 91,229 | ||||||
3.95%, 6/15/26 | 100,000 | 96,886 | ||||||
5.25%, 6/15/46 | 150,000 | 152,041 | ||||||
Mylan, Inc. | 225,000 | 227,375 | ||||||
Nasdaq, Inc. | 50,000 | 52,305 | ||||||
National Retail Properties, Inc. | 8,000 | 8,144 | ||||||
National Rural Utilities Cooperative Finance Corp. | 155,000 | 149,800 | ||||||
NBCUniversal Media LLC | 33,000 | 39,949 | ||||||
4.45%, 1/15/43 | 25,000 | 25,199 | ||||||
Newell Brands, Inc. | 25,000 | 24,917 | ||||||
4.20%, 4/1/26 | 400,000 | 396,245 | ||||||
5.50%, 4/1/46 | 220,000 | 234,390 | ||||||
Newmont Mining Corp. | 170,000 | 207,753 | ||||||
NextEra Energy Capital Holdings, Inc. | 40,000 | 39,781 | ||||||
4.80%, 12/1/77, (4.800% fixed rate until 12/1/27; 3-month U.S. dollar London Interbank Offered Rate + 2.409% thereafter)(d) | 33,000 | 32,890 | ||||||
NIKE, Inc. | 25,000 | 24,189 | ||||||
2.38%, 11/1/26 | 160,000 | 147,774 | ||||||
3.63%, 5/1/43 | 190,000 | 182,642 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 63 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
NiSource, Inc. | $ | 200,000 | $ | 195,476 | ||||
5.95%, 6/15/41 | 2,000 | 2,441 | ||||||
5.65%, 2/1/45 | 219,000 | 261,235 | ||||||
3.95%, 3/30/48 | 75,000 | 71,359 | ||||||
Noble Energy, Inc. | 13,000 | 12,791 | ||||||
6.00%, 3/1/41 | 150,000 | 172,860 | ||||||
5.05%, 11/15/44 | 25,000 | 26,023 | ||||||
4.95%, 8/15/47 | 69,000 | 71,110 | ||||||
Nordstrom, Inc. | 20,000 | 19,566 | ||||||
Norfolk Southern Corp. | 210,000 | 211,728 | ||||||
2.90%, 6/15/26 | 8,000 | 7,579 | ||||||
3.15%, 6/1/27 | 100,000 | 96,046 | ||||||
4.05%, 8/15/52(b) | 132,000 | 127,283 | ||||||
Northern States Power Co. | 10,000 | 13,121 | ||||||
5.35%, 11/1/39 | 50,000 | 60,090 | ||||||
Northrop Grumman Corp. | 117,000 | 118,703 | ||||||
2.55%, 10/15/22 | 25,000 | 24,205 | ||||||
3.25%, 8/1/23 | 336,000 | 333,725 | ||||||
3.20%, 2/1/27 | 75,000 | 72,183 | ||||||
3.25%, 1/15/28 | 100,000 | 95,955 | ||||||
3.85%, 4/15/45 | 250,000 | 235,641 | ||||||
4.03%, 10/15/47 | 50,000 | 48,216 | ||||||
Northwell Healthcare, Inc. | 15,000 | 13,999 | ||||||
4.26%, 11/1/47 | 25,000 | 24,438 | ||||||
NSTAR Electric Co. | 50,000 | 48,669 | ||||||
Nucor Corp. | 27,000 | 34,668 | ||||||
Occidental Petroleum Corp. | 135,000 | 129,133 | ||||||
4.40%, 4/15/46 | 25,000 | 25,536 | ||||||
4.10%, 2/15/47 | 25,000 | 24,432 | ||||||
Oglethorpe Power Corp. | 15,000 | 16,841 | ||||||
Old Republic International Corp. | 110,000 | 107,927 | ||||||
Omega Healthcare Investors, Inc. | 225,000 | 215,382 | ||||||
Omnicom Group, Inc. | 80,000 | 80,973 | ||||||
Oncor Electric Delivery Co. LLC | 169,000 | 164,204 | ||||||
3.75%, 4/1/45 | 105,000 | 101,091 | ||||||
ONEOK Partners L.P. | 150,000 | 158,722 | ||||||
6.20%, 9/15/43 | 50,000 | 59,100 | ||||||
ONEOK, Inc. | 180,000 | 177,675 | ||||||
Oracle Corp. | 55,000 | 56,240 | ||||||
2.40%, 9/15/23 | 325,000 | 310,454 | ||||||
2.65%, 7/15/26 | 150,000 | 140,322 | ||||||
3.25%, 11/15/27 | 375,000 | 364,941 | ||||||
3.90%, 5/15/35 | 180,000 | 178,724 | ||||||
6.50%, 4/15/38 | 100,000 | 135,745 | ||||||
5.38%, 7/15/40 | 250,000 | 302,253 | ||||||
4.00%, 11/15/47 | 200,000 | 198,088 | ||||||
Owens Corning | 200,000 | 191,873 | ||||||
7.00%, 12/1/36 | 13,000 | 16,489 | ||||||
Pacific Gas & Electric Co. | 120,000 | 117,700 | ||||||
6.05%, 3/1/34 | 180,000 | 211,421 | ||||||
5.80%, 3/1/37 | 255,000 | 296,432 | ||||||
4.00%, 12/1/46 | 45,000 | 41,615 | ||||||
PacifiCorp | 165,000 | 212,486 | ||||||
Packaging Corp. of America | 25,000 | 25,190 | ||||||
Parker-Hannifin Corp. | 50,000 | 53,404 | ||||||
PECO Energy Co. | 4,000 | 4,158 | ||||||
PepsiCo, Inc. | 145,000 | 139,545 | ||||||
4.00%, 3/5/42 | 172,000 | 174,692 | ||||||
4.60%, 7/17/45 | 2,000 | 2,171 | ||||||
4.45%, 4/14/46 | 200,000 | 214,359 | ||||||
3.45%, 10/6/46 | 45,000 | 40,896 | ||||||
Perrigo Finance Unlimited Co. | 250,000 | 248,649 | ||||||
Pfizer, Inc. | 100,000 | 113,514 | ||||||
3.40%, 5/15/24 | 282,000 | 285,161 | ||||||
2.75%, 6/3/26 | 100,000 | 95,454 | ||||||
7.20%, 3/15/39 | 130,000 | 189,081 | ||||||
4.13%, 12/15/46 | 189,000 | 194,996 | ||||||
Philip Morris International, Inc. | 77,000 | 75,913 | ||||||
3.38%, 8/11/25 | 60,000 | 59,174 | ||||||
2.75%, 2/25/26 | 180,000 | 170,028 | ||||||
3.13%, 8/17/27 | 300,000 | 288,797 | ||||||
4.13%, 3/4/43 | 198,000 | 192,869 | ||||||
Phillips 66 | 210,000 | 221,819 | ||||||
Phillips 66 Partners L.P. | 95,000 | 92,494 | ||||||
Physicians Realty L.P. | 25,000 | 23,943 | ||||||
Pitney Bowes, Inc. | 20,000 | 18,650 | ||||||
Plains All American Pipeline L.P. | 10,000 | 9,881 | ||||||
4.65%, 10/15/25 | 240,000 | 242,352 | ||||||
4.50%, 12/15/26 | 255,000 | 254,505 | ||||||
4.70%, 6/15/44 | 17,000 | 15,501 | ||||||
4.90%, 2/15/45 | 105,000 | 97,772 |
See Notes to Financial Statements.
64 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
PNC Bank NA | $ | 375,000 | $ | 362,898 | ||||
PPL Capital Funding, Inc. | 25,000 | 27,530 | ||||||
PPL Electric Utilities Corp. | 100,000 | 101,264 | ||||||
Praxair, Inc. | 200,000 | 199,830 | ||||||
Progress Energy, Inc. | 25,000 | 25,835 | ||||||
3.15%, 4/1/22 | 185,000 | 184,791 | ||||||
Progressive Corp. (The) | 75,000 | 93,492 | ||||||
4.13%, 4/15/47 | 150,000 | 151,567 | ||||||
Prologis L.P. | 110,000 | 115,150 | ||||||
3.75%, 11/1/25 | 170,000 | 173,150 | ||||||
Prudential Financial, Inc. | 50,000 | 50,414 | ||||||
5.63%, 6/15/43, (5.625% fixed rate until 6/15/23; 3-month U.S. dollar London Interbank Offered Rate + 3.920% thereafter)(d) | 171,000 | 180,619 | ||||||
5.20%, 3/15/44, (5.200% fixed rate until 3/15/24; 3-month U.S. dollar London Interbank Offered Rate + 3.040% thereafter)(d) | 180,000 | 187,875 | ||||||
5.38%, 5/15/45, (5.375% fixed rate until 5/15/25; 3-month U.S. dollar London Interbank Offered Rate + 3.031% thereafter)(d) | 88,000 | 91,740 | ||||||
4.50%, 9/15/47, (4.500% fixed rate until 9/15/27; 3-month U.S. dollar London Interbank Offered Rate + 2.380% thereafter)(d) | 108,000 | 106,164 | ||||||
Public Service Electric & Gas Co. | 8,000 | 7,309 | ||||||
5.50%, 3/1/40 | 4,000 | 4,886 | ||||||
Public Service Enterprise Group, Inc. | 200,000 | 194,652 | ||||||
Puget Energy, Inc. | 65,000 | 64,744 | ||||||
Puget Sound Energy, Inc. | 15,000 | 15,901 | ||||||
QUALCOMM, Inc. | 115,000 | 108,833 | ||||||
3.45%, 5/20/25 | 635,000 | 615,828 | ||||||
3.25%, 5/20/27 | 155,000 | 145,108 | ||||||
4.65%, 5/20/35 | 60,000 | 61,352 | ||||||
4.80%, 5/20/45 | 25,000 | 25,038 | ||||||
4.30%, 5/20/47 | 50,000 | 46,785 | ||||||
QVC, Inc. | 364,000 | 377,144 | ||||||
4.38%, 3/15/23 | 136,000 | 135,826 | ||||||
4.85%, 4/1/24 | 25,000 | 25,355 | ||||||
4.45%, 2/15/25 | 38,000 | 37,331 | ||||||
Raymond James Financial, Inc. | 20,000 | 19,571 | ||||||
4.95%, 7/15/46 | 155,000 | 168,744 | ||||||
Raytheon Co. | 180,000 | 206,175 | ||||||
Realty Income Corp. | 100,000 | 99,442 | ||||||
4.13%, 10/15/26 | 95,000 | 96,676 | ||||||
3.65%, 1/15/28 | 25,000 | 24,423 | ||||||
4.65%, 3/15/47 | 175,000 | 182,361 | ||||||
Regency Centers L.P. | 135,000 | 130,064 | ||||||
4.40%, 2/1/47 | 13,000 | 12,756 | ||||||
Regions Financial Corp. | 45,000 | 45,176 | ||||||
Republic Services, Inc. | 125,000 | 122,211 | ||||||
Reynolds American, Inc. | 190,000 | 195,887 | ||||||
7.25%, 6/15/37 | 100,000 | 132,202 | ||||||
5.85%, 8/15/45 | 110,000 | 128,541 | ||||||
Rockwell Collins, Inc. | 8,000 | 8,093 | ||||||
3.20%, 3/15/24 | 305,000 | 298,771 | ||||||
3.50%, 3/15/27 | 280,000 | 272,926 | ||||||
4.35%, 4/15/47 | 225,000 | 225,477 | ||||||
Roper Technologies, Inc. | 100,000 | 100,241 | ||||||
3.80%, 12/15/26 | 90,000 | 90,120 | ||||||
Royal Caribbean Cruises Ltd. | 50,000 | 62,349 | ||||||
3.70%, 3/15/28 | 25,000 | 23,938 | ||||||
Ryder System, Inc. | 5,000 | 4,985 | ||||||
2.45%, 9/3/19 | 5,000 | 4,980 | ||||||
S&P Global, Inc. | 49,000 | 50,225 | ||||||
2.95%, 1/22/27 | 5,000 | 4,757 | ||||||
Sabine Pass Liquefaction LLC | 150,000 | 162,188 | ||||||
5.63%, 3/1/25 | 161,000 | 173,427 | ||||||
5.88%, 6/30/26 | 100,000 | 109,363 | ||||||
4.20%, 3/15/28 | 150,000 | 147,917 | ||||||
Santander Holdings USA, Inc. | 44,000 | 43,943 | ||||||
4.40%, 7/13/27(b) | 375,000 | 375,403 | ||||||
Schlumberger Investment S.A. | 450,000 | 459,333 | ||||||
Seagate HDD Cayman | 31,000 | 31,341 | ||||||
4.75%, 1/1/25 | 220,000 | 213,526 | ||||||
4.88%, 6/1/27 | 230,000 | 220,226 | ||||||
Sempra Energy | 235,000 | 235,356 | ||||||
6.00%, 10/15/39 | 227,000 | 280,773 | ||||||
Sherwin-Williams Co. (The) | 15,000 | 14,641 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 65 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
3.45%, 6/1/27 | $ | 232,000 | $ | 223,987 | ||||
4.55%, 8/1/45 | 12,000 | 12,174 | ||||||
4.50%, 6/1/47 | 126,000 | 126,182 | ||||||
Shire Acquisitions Investments Ireland DAC | 125,000 | 123,106 | ||||||
2.40%, 9/23/21 | 145,000 | 140,120 | ||||||
2.88%, 9/23/23 | 296,000 | 283,737 | ||||||
3.20%, 9/23/26 | 175,000 | 163,057 | ||||||
Simon Property Group L.P. | 145,000 | 144,194 | ||||||
3.30%, 1/15/26 | 315,000 | 306,678 | ||||||
3.38%, 6/15/27 | 175,000 | 170,091 | ||||||
6.75%, 2/1/40 | 25,000 | 33,434 | ||||||
4.25%, 10/1/44 | 2,000 | 1,998 | ||||||
Snap-on, Inc. | 140,000 | 136,966 | ||||||
Southern California Edison Co. | 10,000 | 12,334 | ||||||
5.35%, 7/15/35, Series 05-E | 10,000 | 11,737 | ||||||
5.63%, 2/1/36 | 200,000 | 240,053 | ||||||
3.90%, 3/15/43, Series 13-A | 15,000 | 14,847 | ||||||
3.60%, 2/1/45, Series C | 15,000 | 14,088 | ||||||
4.00%, 4/1/47 | 305,000 | 305,220 | ||||||
Southern Co. (The) | 50,000 | 48,635 | ||||||
3.25%, 7/1/26 | 410,000 | 391,025 | ||||||
4.25%, 7/1/36 | 185,000 | 187,299 | ||||||
4.40%, 7/1/46 | 100,000 | 100,764 | ||||||
Southern Co. Gas Capital Corp. | 25,000 | 23,797 | ||||||
Southern Natural Gas Co. LLC | 5,000 | 5,184 | ||||||
Southwest Airlines Co. | 170,000 | 170,058 | ||||||
2.65%, 11/5/20 | 77,000 | 76,505 | ||||||
2.75%, 11/16/22 | 129,000 | 126,993 | ||||||
3.45%, 11/16/27 | 500,000 | 487,769 | ||||||
Southwestern Electric Power Co. | 5,000 | 4,678 | ||||||
3.90%, 4/1/45, Series J | 100,000 | 96,327 | ||||||
Spectra Energy Partners L.P. | 40,000 | 38,161 | ||||||
5.95%, 9/25/43 | 130,000 | 151,931 | ||||||
4.50%, 3/15/45 | 161,000 | 157,622 | ||||||
Stanley Black & Decker, Inc. | 59,000 | 66,361 | ||||||
Starbucks Corp. | 50,000 | 46,610 | ||||||
3.75%, 12/1/47 | 15,000 | 14,256 | ||||||
State Street Corp. | 63,000 | 62,158 | ||||||
3.70%, 11/20/23 | 25,000 | 25,656 | ||||||
3.55%, 8/18/25 | 80,000 | 80,382 | ||||||
2.65%, 5/19/26 | 55,000 | 51,344 | ||||||
Stifel Financial Corp. | 25,000 | 25,175 | ||||||
Stryker Corp. | 40,000 | 39,995 | ||||||
4.10%, 4/1/43 | 2,000 | 1,958 | ||||||
Sunoco Logistics Partners Operations L.P. | 4,000 | 3,729 | ||||||
5.35%, 5/15/45 | 100,000 | 97,388 | ||||||
5.40%, 10/1/47 | 225,000 | 220,531 | ||||||
SunTrust Banks, Inc. | 110,000 | 109,823 | ||||||
2.70%, 1/27/22 | 418,000 | 410,128 | ||||||
SVB Financial Group | 20,000 | 19,551 | ||||||
Synchrony Financial | 25,000 | 25,332 | ||||||
4.25%, 8/15/24 | 11,000 | 11,092 | ||||||
4.50%, 7/23/25 | 25,000 | 25,440 | ||||||
3.70%, 8/4/26 | 70,000 | 66,945 | ||||||
3.95%, 12/1/27 | 128,000 | 123,255 | ||||||
Sysco Corp. | 100,000 | 97,328 | ||||||
Tampa Electric Co. | 25,000 | 24,948 | ||||||
Tanger Properties L.P. | 90,000 | 82,631 | ||||||
Target Corp. | 110,000 | 112,330 | ||||||
3.63%, 4/15/46 | 30,000 | 27,486 | ||||||
3.90%, 11/15/47 | 25,000 | 23,967 | ||||||
TD Ameritrade Holding Corp. | 140,000 | 136,733 | ||||||
Texas Instruments, Inc. | 65,000 | 62,115 | ||||||
Textron, Inc. | 8,000 | 8,082 | ||||||
Thermo Fisher Scientific, Inc. | 130,000 | 135,642 | ||||||
3.30%, 2/15/22 | 12,000 | 12,029 | ||||||
4.15%, 2/1/24 | 80,000 | 82,522 | ||||||
4.10%, 8/15/47 | 200,000 | 192,634 | ||||||
Time Warner Cable LLC | 20,000 | 21,117 | ||||||
5.00%, 2/1/20 | 80,000 | 82,799 | ||||||
6.55%, 5/1/37 | 350,000 | 399,212 | ||||||
7.30%, 7/1/38 | 200,000 | 240,520 | ||||||
6.75%, 6/15/39 | 300,000 | 345,260 | ||||||
4.50%, 9/15/42 | 75,000 | 67,992 | ||||||
Time Warner, Inc. | 15,000 | 15,576 | ||||||
4.70%, 1/15/21 | 7,000 | 7,310 | ||||||
3.55%, 6/1/24 | 350,000 | 347,129 | ||||||
3.60%, 7/15/25 | 210,000 | 204,400 | ||||||
3.88%, 1/15/26 | 100,000 | 98,668 | ||||||
3.80%, 2/15/27 | 67,000 | 64,957 | ||||||
5.35%, 12/15/43 | 103,000 | 110,048 | ||||||
4.85%, 7/15/45 | 150,000 | 151,933 | ||||||
TJX Cos., Inc. (The) | 80,000 | 72,366 |
See Notes to Financial Statements.
66 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Total System Services, Inc. | $ | 125,000 | $ | 131,319 | ||||
Transatlantic Holdings, Inc. | 8,000 | 11,004 | ||||||
Travelers Cos., Inc. (The) | 75,000 | 97,446 | ||||||
3.75%, 5/15/46 | 60,000 | 57,505 | ||||||
4.00%, 5/30/47 | 200,000 | 199,413 | ||||||
Tucson Electric Power Co. | 176,000 | 169,035 | ||||||
Tyson Foods, Inc. | 400,000 | 407,130 | ||||||
UDR, Inc. | 90,000 | 84,094 | ||||||
3.50%, 1/15/28 | 25,000 | 24,162 | ||||||
Union Electric Co. | 15,000 | 14,963 | ||||||
Union Pacific Corp. | 135,000 | 134,070 | ||||||
2.75%, 3/1/26 | 210,000 | 200,440 | ||||||
3.00%, 4/15/27 | 205,000 | 198,328 | ||||||
3.60%, 9/15/37 | 180,000 | 174,195 | ||||||
4.05%, 11/15/45 | 15,000 | 15,156 | ||||||
4.05%, 3/1/46 | 99,000 | 100,038 | ||||||
4.00%, 4/15/47 | 15,000 | 15,110 | ||||||
4.38%, 11/15/65 | 30,000 | 30,630 | ||||||
United Airlines Pass Through Trust | 14,625 | 14,934 | ||||||
3.75%, 3/3/28, Series A | 15,050 | 15,146 | ||||||
United Parcel Service, Inc. | 35,000 | 33,963 | ||||||
2.80%, 11/15/24 | 235,000 | 228,493 | ||||||
3.05%, 11/15/27 | 49,000 | 46,989 | ||||||
3.75%, 11/15/47 | 40,000 | 38,366 | ||||||
United Technologies Corp. | 147,000 | 140,927 | ||||||
3.13%, 5/4/27 | 75,000 | 71,386 | ||||||
4.50%, 6/1/42 | 150,000 | 154,870 | ||||||
4.15%, 5/15/45 | 50,000 | 48,889 | ||||||
3.75%, 11/1/46 | 50,000 | 46,081 | ||||||
4.05%, 5/4/47 | 60,000 | 57,854 | ||||||
UnitedHealth Group, Inc. | 300,000 | 304,354 | ||||||
3.10%, 3/15/26 | 450,000 | 435,552 | ||||||
3.45%, 1/15/27 | 100,000 | 99,729 | ||||||
3.38%, 4/15/27 | 45,000 | 44,381 | ||||||
2.95%, 10/15/27 | 100,000 | 94,962 | ||||||
6.63%, 11/15/37 | 13,000 | 17,495 | ||||||
6.88%, 2/15/38 | 300,000 | 414,295 | ||||||
4.63%, 11/15/41 | 20,000 | 21,723 | ||||||
4.25%, 3/15/43 | 6,000 | 6,203 | ||||||
4.75%, 7/15/45 | 100,000 | 110,684 | ||||||
Unum Group | 122,000 | 144,332 | ||||||
US Bancorp | 468,000 | 473,599 | ||||||
3.10%, 4/27/26 | 25,000 | 23,913 | ||||||
Valero Energy Corp. | 180,000 | 178,968 | ||||||
3.40%, 9/15/26 | 60,000 | 57,412 | ||||||
6.63%, 6/15/37 | 400,000 | 498,269 | ||||||
4.90%, 3/15/45 | 4,000 | 4,261 | ||||||
Ventas Realty L.P. | 105,000 | 109,699 | ||||||
3.50%, 2/1/25 | 20,000 | 19,641 | ||||||
3.25%, 10/15/26 | 80,000 | 75,775 | ||||||
4.38%, 2/1/45 | 112,000 | 109,566 | ||||||
VEREIT Operating Partnership L.P. | 195,000 | 185,164 | ||||||
Verisk Analytics, Inc. | 55,000 | 55,530 | ||||||
Verizon Communications, Inc. | 15,000 | 14,932 | ||||||
3.50%, 11/1/21 | 20,000 | 20,233 | ||||||
2.95%, 3/15/22 | 35,000 | 34,555 | ||||||
2.45%, 11/1/22 | 266,000 | 256,328 | ||||||
3.50%, 11/1/24 | 264,000 | 262,453 | ||||||
2.63%, 8/15/26 | 25,000 | 22,811 | ||||||
4.13%, 3/16/27 | 500,000 | 508,864 | ||||||
5.25%, 3/16/37 | 250,000 | 265,758 | ||||||
4.81%, 3/15/39 | 100,000 | 101,168 | ||||||
4.75%, 11/1/41 | 175,000 | 174,820 | ||||||
3.85%, 11/1/42 | 200,000 | 174,958 | ||||||
4.13%, 8/15/46 | 188,000 | 168,171 | ||||||
4.86%, 8/21/46 | 275,000 | 274,921 | ||||||
4.52%, 9/15/48 | 343,000 | 325,452 | ||||||
5.01%, 4/15/49 | 452,000 | 460,490 | ||||||
5.01%, 8/21/54 | 225,000 | 222,545 | ||||||
4.67%, 3/15/55 | 292,000 | 273,867 | ||||||
VF Corp. | 53,000 | 67,441 | ||||||
Viacom, Inc. | 100,000 | 102,697 | ||||||
3.88%, 4/1/24 | 101,000 | 100,978 | ||||||
6.88%, 4/30/36 | 235,000 | 280,702 | ||||||
4.38%, 3/15/43 | 180,000 | 161,993 | ||||||
5.85%, 9/1/43 | 150,000 | 164,379 | ||||||
5.25%, 4/1/44 | 30,000 | 30,608 | ||||||
Virginia Electric & Power Co. | 150,000 | 149,156 | ||||||
6.00%, 5/15/37, Series A | 400,000 | 501,730 | ||||||
6.35%, 11/30/37 | 50,000 | 65,773 | ||||||
Visa, Inc. | 415,000 | 406,491 | ||||||
4.15%, 12/14/35 | 50,000 | 52,799 | ||||||
3.65%, 9/15/47 | 80,000 | 76,909 | ||||||
Voya Financial, Inc. | 150,000 | 146,195 | ||||||
Wabtec Corp. | 70,000 | 66,750 | ||||||
Walgreen Co. | 42,000 | 41,317 | ||||||
Walgreens Boots Alliance, Inc. | 90,000 | 89,704 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 67 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
3.80%, 11/18/24 | $ | 100,000 | $ | 99,475 | ||||
3.45%, 6/1/26 | 175,000 | 165,979 | ||||||
4.80%, 11/18/44 | 175,000 | 175,560 | ||||||
Walt Disney Co. (The) | 100,000 | 97,980 | ||||||
1.85%, 7/30/26 | 346,000 | 308,322 | ||||||
2.95%, 6/15/27(c) | 145,000 | 139,933 | ||||||
4.13%, 12/1/41, Series E | 4,000 | 4,143 | ||||||
3.70%, 12/1/42 | 15,000 | 14,646 | ||||||
3.00%, 7/30/46 | 25,000 | 21,292 | ||||||
Waste Management, Inc. | 25,000 | 24,761 | ||||||
3.50%, 5/15/24 | 140,000 | 141,271 | ||||||
3.13%, 3/1/25 | 125,000 | 122,381 | ||||||
3.15%, 11/15/27 | 25,000 | 23,896 | ||||||
4.10%, 3/1/45 | 35,000 | 34,960 | ||||||
Wells Fargo & Co. | 87,000 | 89,136 | ||||||
3.55%, 9/29/25 | 68,000 | 67,441 | ||||||
4.10%, 6/3/26 | 195,000 | 195,499 | ||||||
4.30%, 7/22/27 | 250,000 | 253,805 | ||||||
3.58%, 5/22/28, (3.584% fixed rate until 5/22/27; 3-month U.S. dollar London Interbank Offered Rate + 1.310% thereafter)(d) | 250,000 | 244,499 | ||||||
5.61%, 1/15/44 | 220,000 | 254,112 | ||||||
4.65%, 11/4/44 | 140,000 | 142,865 | ||||||
3.90%, 5/1/45 | 50,000 | 48,196 | ||||||
4.75%, 12/7/46 | 200,000 | 207,376 | ||||||
Welltower, Inc. | 325,000 | 328,652 | ||||||
4.00%, 6/1/25 | 270,000 | 272,710 | ||||||
4.25%, 4/1/26 | 120,000 | 122,792 | ||||||
6.50%, 3/15/41 | 6,000 | 7,602 | ||||||
Western Gas Partners L.P. | 73,000 | 76,451 | ||||||
5.45%, 4/1/44 | 50,000 | 51,200 | ||||||
Westlake Chemical Corp. | 8,000 | 8,212 | ||||||
3.60%, 8/15/26 | 90,000 | 87,784 | ||||||
5.00%, 8/15/46 | 75,000 | 79,485 | ||||||
4.38%, 11/15/47 | 55,000 | 53,022 | ||||||
WestRock MWV LLC | 10,000 | 13,592 | ||||||
WestRock RKT Co. | 8,000 | 8,200 | ||||||
Weyerhaeuser Co. | 8,000 | 7,953 | ||||||
6.95%, 10/1/27 | 75,000 | 91,171 | ||||||
7.38%, 3/15/32 | 65,000 | 85,715 | ||||||
Williams Partners L.P. | 40,000 | 41,723 | ||||||
4.13%, 11/15/20 | 6,000 | 6,143 | ||||||
3.60%, 3/15/22 | 104,000 | 104,277 | ||||||
4.30%, 3/4/24 | 80,000 | 82,104 | ||||||
4.88%, 3/15/24 | 150,000 | 156,866 | ||||||
3.90%, 1/15/25 | 100,000 | 99,401 | ||||||
4.00%, 9/15/25 | 150,000 | 149,773 | ||||||
4.90%, 1/15/45 | 210,000 | 211,640 | ||||||
5.10%, 9/15/45 | 50,000 | 51,905 | ||||||
WR Berkley Corp. | 8,000 | 8,273 | ||||||
WW Grainger, Inc. | 150,000 | 151,856 | ||||||
Wyndham Worldwide Corp. | 350,000 | 348,364 | ||||||
Xerox Corp. | 2,000 | 1,976 | ||||||
6.75%, 12/15/39 | 113,000 | 121,700 | ||||||
Zimmer Biomet Holdings, Inc. | 6,000 | 5,982 | ||||||
3.55%, 4/1/25 | 229,000 | 222,428 | ||||||
Zoetis, Inc. | 45,000 | 42,303 | ||||||
4.70%, 2/1/43 | 25,000 | 26,646 | ||||||
3.95%, 9/12/47 | 25,000 | 23,789 | ||||||
TOTAL CORPORATE BONDS (Cost: $159,747,379) | 156,370,131 | |||||||
FOREIGN CORPORATE BONDS – 7.7% | ||||||||
Australia – 0.1% | ||||||||
BHP Billiton Finance USA Ltd. | 100,000 | 103,109 | ||||||
5.00%, 9/30/43 | 115,000 | 132,750 | ||||||
|
| |||||||
Total Australia | 235,859 | |||||||
Belgium – 0.5% | ||||||||
Anheuser-Busch InBev Finance, Inc. | 480,000 | 475,921 | ||||||
4.70%, 2/1/36 | 200,000 | 210,802 | ||||||
4.90%, 2/1/46 | 453,000 | 484,963 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | 150,000 | 225,858 | ||||||
4.44%, 10/6/48 | 36,000 | 36,320 | ||||||
Koninklijke Ahold Delhaize N.V. | 310,000 | 350,814 | ||||||
|
| |||||||
Total Belgium | 1,784,678 | |||||||
Brazil – 0.3% | ||||||||
Embraer Netherlands Finance B.V. | 20,000 | 20,840 | ||||||
5.40%, 2/1/27 | 100,000 | 106,125 | ||||||
Embraer S.A. | 80,000 | 84,160 | ||||||
Fibria Overseas Finance Ltd. | 200,000 | 209,500 | ||||||
Vale Overseas Ltd. | 90,000 | 101,718 | ||||||
6.88%, 11/21/36 | 200,000 | 241,500 | ||||||
6.88%, 11/10/39 | 105,000 | 127,838 | ||||||
Vale S.A. | 100,000 | 108,100 | ||||||
|
| |||||||
Total Brazil | 999,781 |
See Notes to Financial Statements.
68 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Canada – 1.4% | ||||||||
Bank of Nova Scotia (The) | ||||||||
4.65%, 10/12/22, (4.650% fixed rate until 10/12/22; 3-month U.S. dollar London Interbank Offered Rate + 2.648% | $ | 300,000 | $ | 291,187 | ||||
Barrick Gold Corp. | 56,000 | 62,831 | ||||||
Barrick North America Finance LLC | 100,000 | 116,734 | ||||||
5.75%, 5/1/43 | 70,000 | 83,601 | ||||||
Brookfield Asset Management, Inc. | 110,000 | 110,300 | ||||||
Brookfield Finance, Inc. | 55,000 | 53,512 | ||||||
Canadian National Railway Co. | 40,000 | 39,424 | ||||||
Canadian Natural Resources Ltd. | 15,000 | 15,150 | ||||||
2.95%, 1/15/23 | 25,000 | 24,458 | ||||||
3.90%, 2/1/25 | 60,000 | 59,771 | ||||||
3.85%, 6/1/27 | 325,000 | 320,140 | ||||||
6.50%, 2/15/37 | 4,000 | 4,904 | ||||||
6.25%, 3/15/38 | 177,000 | 213,995 | ||||||
4.95%, 6/1/47 | 35,000 | 36,445 | ||||||
Canadian Pacific Railway Co. | 75,000 | 84,164 | ||||||
Cenovus Energy, Inc. | 145,000 | 141,956 | ||||||
6.75%, 11/15/39 | 126,000 | 144,917 | ||||||
Enbridge, Inc. | 130,000 | 126,149 | ||||||
4.00%, 10/1/23 | 50,000 | 51,110 | ||||||
3.70%, 7/15/27 | 220,000 | 212,646 | ||||||
4.50%, 6/10/44 | 8,000 | 7,846 | ||||||
Encana Corp. | 30,000 | 30,550 | ||||||
6.50%, 8/15/34 | 120,000 | 142,918 | ||||||
Fortis, Inc. | 170,000 | 158,291 | ||||||
Goldcorp, Inc. | 128,000 | 128,975 | ||||||
5.45%, 6/9/44 | 25,000 | 28,439 | ||||||
Magna International, Inc. | 100,000 | 102,904 | ||||||
Manulife Financial Corp. | 340,000 | 348,014 | ||||||
Methanex Corp. | 6,000 | 5,991 | ||||||
Nexen Energy ULC | 75,000 | 93,094 | ||||||
Petro-Canada | 150,000 | 199,374 | ||||||
Potash Corp. of Saskatchewan, Inc. | 24,000 | 24,067 | ||||||
Rogers Communications, Inc. | 100,000 | 109,866 | ||||||
4.30%, 2/15/48 | 200,000 | 198,629 | ||||||
Royal Bank of Canada | 155,000 | 160,932 | ||||||
Suncor Energy, Inc. | 50,000 | 49,862 | ||||||
6.50%, 6/15/38 | 250,000 | 321,657 | ||||||
6.85%, 6/1/39 | 100,000 | 135,159 | ||||||
TELUS Corp. | 120,000 | 118,183 | ||||||
Thomson Reuters Corp. | 25,000 | 28,139 | ||||||
Toronto-Dominion Bank (The) | ||||||||
3.63%, 9/15/31, (3.625% fixed rate until 9/15/26; 5-year U.S. dollar Swap Rate + 2.205% thereafter)(d) | 80,000 | 76,982 | ||||||
TransAlta Corp. | 150,000 | 149,684 | ||||||
TransCanada PipeLines Ltd. | 170,000 | 174,171 | ||||||
5.85%, 3/15/36 | 125,000 | 149,719 | ||||||
Yamana Gold, Inc. | 25,000 | 24,557 | ||||||
|
| |||||||
Total Canada | 5,161,397 | |||||||
China – 0.2% | ||||||||
Alibaba Group Holding Ltd. | 200,000 | 199,785 | ||||||
3.40%, 12/6/27 | 200,000 | 191,081 | ||||||
CNOOC Nexen Finance 2014 ULC | 200,000 | 204,322 | ||||||
|
| |||||||
Total China | 595,188 | |||||||
Colombia – 0.2% | ||||||||
Ecopetrol S.A. | 125,000 | 135,781 | ||||||
4.13%, 1/16/25 | 150,000 | 147,150 | ||||||
5.38%, 6/26/26 | 100,000 | 105,850 | ||||||
7.38%, 9/18/43 | 100,000 | 119,345 | ||||||
5.88%, 5/28/45 | 100,000 | 100,675 | ||||||
|
| |||||||
Total Colombia | 608,801 | |||||||
France – 0.0% | ||||||||
BNP Paribas | 13,000 | 12,953 | ||||||
Orange S.A. | 100,000 | 147,816 | ||||||
|
| |||||||
Total France | 160,769 | |||||||
Germany – 0.2% | ||||||||
Daimler Finance North America LLC | 80,000 | 116,848 | ||||||
Deutsche Bank AG | 102,000 | 101,865 | ||||||
3.38%, 5/12/21 | 130,000 | 129,416 | ||||||
4.10%, 1/13/26 | 75,000 | 73,530 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 69 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Deutsche Telekom International Finance B.V. | $ | 211,000 | $ | 301,430 | ||||
|
| |||||||
Total Germany | 723,089 | |||||||
Ireland – 0.0% | ||||||||
XLIT Ltd. | 4,000 | 4,591 | ||||||
4.45%, 3/31/25 | 10,000 | 10,113 | ||||||
5.50%, 3/31/45 | 150,000 | 158,670 | ||||||
|
| |||||||
Total Ireland | 173,374 | |||||||
Japan – 0.5% | ||||||||
Beam Suntory, Inc. | 35,000 | 34,758 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 450,000 | 453,547 | ||||||
3.29%, 7/25/27 | 25,000 | 24,008 | ||||||
Nomura Holdings, Inc. | 8,000 | 8,003 | ||||||
6.70%, 3/4/20 | 80,000 | 85,801 | ||||||
ORIX Corp. | 330,000 | 320,946 | ||||||
3.70%, 7/18/27 | 80,000 | 78,116 | ||||||
Sumitomo Mitsui Banking Corp. | 500,000 | 513,789 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 180,000 | 165,309 | ||||||
3.45%, 1/11/27 | 80,000 | 77,894 | ||||||
3.36%, 7/12/27 | 8,000 | 7,719 | ||||||
3.54%, 1/17/28 | 300,000 | 293,163 | ||||||
|
| |||||||
Total Japan | 2,063,053 | |||||||
Mexico – 0.8% | ||||||||
America Movil S.A.B. de C.V. | 100,000 | 121,539 | ||||||
6.13%, 11/15/37 | 10,000 | 11,991 | ||||||
Grupo Televisa S.A.B. | 200,000 | 191,200 | ||||||
Petroleos Mexicanos | 235,000 | 248,653 | ||||||
3.50%, 7/23/20 | 200,000 | 200,680 | ||||||
5.50%, 1/21/21 | 200,000 | 209,550 | ||||||
6.38%, 2/4/21 | 40,000 | 42,840 | ||||||
4.50%, 1/23/26(c) | 300,000 | 291,000 | ||||||
6.88%, 8/4/26 | 175,000 | 192,483 | ||||||
6.50%, 3/13/27(b) | 405,000 | 433,399 | ||||||
6.63%, 6/15/35 | 335,000 | 347,730 | ||||||
6.50%, 6/2/41 | 250,000 | 250,562 | ||||||
5.50%, 6/27/44 | 275,000 | 247,090 | ||||||
6.38%, 1/23/45 | 60,000 | 58,350 | ||||||
5.63%, 1/23/46 | 275,000 | 246,922 | ||||||
6.75%, 9/21/47 | 100,000 | 101,937 | ||||||
|
| |||||||
Total Mexico | 3,195,926 | |||||||
Netherlands – 0.3% | ||||||||
AerCap Ireland Capital DAC | 150,000 | 153,236 | ||||||
4.63%, 10/30/20 | 150,000 | 155,064 | ||||||
5.00%, 10/1/21 | 150,000 | 157,289 | ||||||
3.95%, 2/1/22 | 150,000 | 151,618 | ||||||
3.65%, 7/21/27 | 150,000 | 141,410 | ||||||
Cooperatieve Rabobank UA | 250,000 | 261,271 | ||||||
ING Groep N.V. | 200,000 | 199,879 | ||||||
|
| |||||||
Total Netherlands | 1,219,767 | |||||||
Norway – 0.1% | ||||||||
Statoil ASA | 26,000 | 25,235 | ||||||
7.25%, 9/23/27 | 75,000 | 97,160 | ||||||
5.10%, 8/17/40 | 100,000 | 115,601 | ||||||
3.95%, 5/15/43 | 45,000 | 44,665 | ||||||
4.80%, 11/8/43 | 125,000 | 141,069 | ||||||
|
| |||||||
Total Norway | 423,730 | |||||||
Peru – 0.1% | ||||||||
Southern Copper Corp. | 165,000 | 165,928 | ||||||
5.25%, 11/8/42 | 149,000 | 159,463 | ||||||
5.88%, 4/23/45 | 145,000 | 167,421 | ||||||
|
| |||||||
Total Peru | 492,812 | |||||||
Spain – 0.4% | ||||||||
Banco Santander S.A. | 800,000 | 800,344 | ||||||
Telefonica Emisiones SAU | 51,000 | 53,095 | ||||||
5.46%, 2/16/21 | 10,000 | 10,655 | ||||||
4.57%, 4/27/23 | 470,000 | 497,897 | ||||||
7.05%, 6/20/36 | 100,000 | 127,331 | ||||||
Telefonica Europe B.V. | 125,000 | 171,297 | ||||||
|
| |||||||
Total Spain | 1,660,619 | |||||||
Switzerland – 0.2% | ||||||||
Credit Suisse AG | 100,000 | 104,023 | ||||||
3.63%, 9/9/24 | 250,000 | 249,485 | ||||||
Credit Suisse Group Funding Guernsey Ltd. | 300,000 | 296,593 | ||||||
4.88%, 5/15/45 | 250,000 | 265,355 | ||||||
Tyco Electronics Group S.A. | 20,000 | 19,388 | ||||||
|
| |||||||
Total Switzerland | 934,844 | |||||||
United Kingdom – 2.4% | ||||||||
AstraZeneca PLC | 380,000 | 374,528 | ||||||
6.45%, 9/15/37 | 50,000 | 64,103 | ||||||
4.38%, 11/16/45 | 170,000 | 172,445 | ||||||
Barclays PLC | 300,000 | 294,970 | ||||||
4.38%, 1/12/26 | 200,000 | 200,831 | ||||||
5.20%, 5/12/26 | 350,000 | 356,061 | ||||||
5.25%, 8/17/45 | 200,000 | 215,442 |
See Notes to Financial Statements.
70 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
BAT Capital Corp. | $ | 175,000 | $ | 167,157 | ||||
4.39%, 8/15/37(b) | 200,000 | 197,564 | ||||||
4.54%, 8/15/47(b) | 125,000 | 122,064 | ||||||
BP Capital Markets PLC | 193,000 | 192,068 | ||||||
3.22%, 4/14/24 | 25,000 | 24,818 | ||||||
3.54%, 11/4/24 | 160,000 | 160,928 | ||||||
3.51%, 3/17/25 | 275,000 | 274,872 | ||||||
3.12%, 5/4/26 | 125,000 | 121,093 | ||||||
3.02%, 1/16/27 | 300,000 | 286,296 | ||||||
3.59%, 4/14/27 | 135,000 | 134,513 | ||||||
3.72%, 11/28/28 | 210,000 | 211,269 | ||||||
British Telecommunications PLC | 100,000 | 145,901 | ||||||
CNH Industrial N.V. | 25,000 | 24,252 | ||||||
Diageo Capital PLC | 105,000 | 101,975 | ||||||
Diageo Investment Corp. | 200,000 | 207,163 | ||||||
GlaxoSmithKline Capital, Inc. | 25,000 | 29,322 | ||||||
6.38%, 5/15/38 | 125,000 | 166,205 | ||||||
4.20%, 3/18/43 | 11,000 | 11,478 | ||||||
HSBC Holdings PLC | 500,000 | 502,981 | ||||||
4.25%, 8/18/25 | 658,000 | 656,189 | ||||||
4.30%, 3/8/26 | 400,000 | 412,499 | ||||||
4.04%, 3/13/28, (4.041% fixed rate until 3/13/27; 3-month U.S. dollar London Interbank Offered Rate + 1.546% thereafter)(d) | 250,000 | 251,147 | ||||||
6.50%, 9/15/37 | 200,000 | 250,125 | ||||||
Lloyds Banking Group PLC | 200,000 | 203,719 | ||||||
3.57%, 11/7/28, (3.574% fixed rate until 11/7/27; 3-month U.S. dollar London Interbank Offered Rate + 1.205% thereafter)(d) | 300,000 | 285,838 | ||||||
5.30%, 12/1/45 | 200,000 | 219,659 | ||||||
Mead Johnson Nutrition Co. | 10,000 | 11,961 | ||||||
Reynolds American, Inc. | 200,000 | 242,455 | ||||||
Rio Tinto Finance USA Ltd. | 477,000 | 486,598 | ||||||
7.13%, 7/15/28 | 48,000 | 62,138 | ||||||
Rio Tinto Finance USA PLC | 12,000 | 12,317 | ||||||
Santander UK Group Holdings PLC | 55,000 | 54,775 | ||||||
Santander UK PLC | 3,000 | 3,062 | ||||||
Unilever Capital Corp. | 208,000 | 204,259 | ||||||
Vodafone Group PLC | 165,000 | 170,596 | ||||||
2.50%, 9/26/22 | 40,000 | 38,815 | ||||||
2.95%, 2/19/23 | 285,000 | 279,766 | ||||||
6.25%, 11/30/32 | 125,000 | 147,754 | ||||||
6.15%, 2/27/37 | 150,000 | 179,764 | ||||||
4.38%, 2/19/43 | 125,000 | 119,482 | ||||||
WPP Finance PLC | 6,000 | 6,061 | ||||||
3.75%, 9/19/24 | 125,000 | 125,197 | ||||||
5.63%, 11/15/43 | 12,000 | 13,362 | ||||||
|
| |||||||
Total United Kingdom | 9,197,837 | |||||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $29,923,636) | 29,631,524 | |||||||
FOREIGN GOVERNMENT AGENCIES – 0.2% | ||||||||
Canada – 0.0% | ||||||||
Province of Manitoba Canada | 25,000 | 24,867 | ||||||
Japan – 0.2% | ||||||||
Japan Bank for International Cooperation | 200,000 | 187,059 | ||||||
2.88%, 6/1/27 | 350,000 | 340,570 | ||||||
|
| |||||||
Total Japan | 527,629 | |||||||
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $573,193) | 552,496 | |||||||
FOREIGN GOVERNMENT OBLIGATIONS – 3.1% | ||||||||
Chile – 0.3% | ||||||||
Chile Government International Bond | 300,000 | 295,800 | ||||||
3.24%, 2/6/28 | 845,000 | 818,805 | ||||||
|
| |||||||
Total Chile | 1,114,605 | |||||||
Colombia – 0.5% | ||||||||
Colombia Government International Bond | 100,000 | 104,750 | ||||||
11.75%, 2/25/20 | 10,000 | 11,705 | ||||||
4.00%, 2/26/24 | 360,000 | 362,250 | ||||||
4.50%, 1/28/26 | 300,000 | 309,263 | ||||||
3.88%, 4/25/27 | 500,000 | 487,625 | ||||||
7.38%, 9/18/37 | 325,000 | 416,487 | ||||||
6.13%, 1/18/41 | 180,000 | 205,470 | ||||||
5.00%, 6/15/45 | 200,000 | 199,500 | ||||||
|
| |||||||
Total Colombia | 2,097,050 | |||||||
Hungary – 0.1% | ||||||||
Hungary Government International Bond | 36,000 | 38,992 | ||||||
5.38%, 3/25/24 | 200,000 | 218,872 | ||||||
|
| |||||||
Total Hungary | 257,864 | |||||||
Israel – 0.1% | ||||||||
Israel Government International Bond | 200,000 | 199,747 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 71 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Italy – 0.1% | ||||||||
Republic of Italy Government International Bond | $ | 260,000 | $ | 303,394 | ||||
5.38%, 6/15/33 | 150,000 | 172,323 | ||||||
|
| |||||||
Total Italy | 475,717 | |||||||
Mexico – 0.6% | ||||||||
Mexico Government International Bond | 210,000 | 213,465 | ||||||
4.00%, 10/2/23 | 182,000 | 185,799 | ||||||
3.60%, 1/30/25 | 425,000 | 416,925 | ||||||
4.15%, 3/28/27 | 200,000 | 199,950 | ||||||
7.50%, 4/8/33, Series MTNA | 200,000 | 265,750 | ||||||
6.75%, 9/27/34, Series MTNA | 40,000 | 50,020 | ||||||
6.05%, 1/11/40 | 308,000 | 347,655 | ||||||
4.75%, 3/8/44 | 272,000 | 262,480 | ||||||
5.55%, 1/21/45 | 185,000 | 198,459 | ||||||
5.75%, 10/12/2110 | 250,000 | 253,750 | ||||||
|
| |||||||
Total Mexico | 2,394,253 | |||||||
Panama – 0.2% | ||||||||
Panama Government International Bond | 185,000 | 259,925 | ||||||
4.50%, 5/15/47 | 300,000 | 306,150 | ||||||
4.30%, 4/29/53 | 200,000 | 197,700 | ||||||
|
| |||||||
Total Panama | 763,775 | |||||||
Peru – 0.3% | ||||||||
Peruvian Government International Bond | 455,000 | 477,977 | ||||||
7.35%, 7/21/25 | 110,000 | 137,390 | ||||||
4.13%, 8/25/27 | 75,000 | 77,888 | ||||||
8.75%, 11/21/33 | 135,000 | 204,187 | ||||||
6.55%, 3/14/37 | 60,000 | 77,730 | ||||||
5.63%, 11/18/50 | 290,000 | 347,275 | ||||||
|
| |||||||
Total Peru | 1,322,447 | |||||||
Philippines – 0.5% | ||||||||
Philippine Government International Bond | 200,000 | 208,912 | ||||||
10.63%, 3/16/25 | 127,000 | 182,984 | ||||||
3.00%, 2/1/28 | 400,000 | 375,971 | ||||||
9.50%, 2/2/30 | 157,000 | 236,752 | ||||||
6.38%, 1/15/32 | 100,000 | 124,219 | ||||||
3.95%, 1/20/40 | 200,000 | 195,847 | ||||||
3.70%, 3/1/41 | 500,000 | 471,422 | ||||||
|
| |||||||
Total Philippines | 1,796,107 | |||||||
Poland – 0.2% | ||||||||
Republic of Poland Government International Bond | 140,000 | 138,604 | ||||||
4.00%, 1/22/24 | 230,000 | 238,483 | ||||||
3.25%, 4/6/26 | 390,000 | 385,624 | ||||||
|
| |||||||
Total Poland | 762,711 | |||||||
Uruguay – 0.2% | ||||||||
Uruguay Government International Bond | 80,000 | 93,724 | ||||||
4.50%, 8/14/24 | 95,000 | 100,558 | ||||||
4.38%, 10/27/27 | 300,000 | 310,222 | ||||||
4.13%, 11/20/45 | 150,000 | 142,125 | ||||||
|
| |||||||
Total Uruguay | 646,629 | |||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $12,051,201) | 11,830,905 | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 6.9% | ||||||||
United States – 6.9% | ||||||||
Banc of America Commercial Mortgage Trust | ||||||||
3.12%, 2/15/50, Series 2017-BNK3, Class A2 | 200,000 | 200,094 | ||||||
3.37%, 2/15/50, Series 2017-BNK3, Class ASB | 500,000 | 500,355 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
2.94%, 4/10/48, Series 2015-GC29, Class A3 | 65,000 | 63,142 | ||||||
3.76%, 6/10/48, Series 2015-GC31, Class A4 | 340,116 | 347,847 | ||||||
3.62%, 2/10/49, Series 2016-GC36, Class A5 | 500,000 | 504,481 | ||||||
3.46%, 12/10/49, Series 2016-P6, Class A4 | 500,000 | 499,165 | ||||||
3.52%, 9/10/58, Series 2015-GC33, Class AAB | 300,000 | 303,922 | ||||||
Commercial Mortgage Pass Through Certificates | ||||||||
3.53%, 2/10/49, Series 2016-CR28, Class ASB | 400,000 | 404,629 | ||||||
3.02%, 6/15/60, Series 2017-BNK5, Class A3 | 500,000 | 489,805 | ||||||
3.39%, 6/15/60, Series 2017-BNK5, Class A5 | 190,000 | 188,354 | ||||||
Commercial Mortgage Trust | ||||||||
3.92%, 8/10/46, Series 2013-CR10, Class A3 | 100,000 | 103,233 | ||||||
4.05%, 10/10/46, Series 2013-CR12, Class A4 | 500,000 | 518,177 | ||||||
4.19%, 11/10/46, Series 2013-CR13, Class A4^(d) | 500,000 | 521,992 | ||||||
3.50%, 8/10/47, Series 2014-CR19, Class ASB | 300,000 | 304,171 | ||||||
2.80%, 11/10/47, Series 2014-CR20, Class A2 | 375,000 | 376,034 | ||||||
3.59%, 11/10/47, Series 2014-CR20, Class A4 | 500,000 | 505,263 | ||||||
3.50%, 5/10/48, Series 2015-CR23, Class A4 | 50,000 | 50,176 | ||||||
CSAIL Commercial Mortgage Trust | ||||||||
3.76%, 11/15/48, Series 2016-C5, Class A5 | 500,000 | 509,609 | ||||||
3.81%, 11/15/48, Series 2015-C4, Class A4 | 750,000 | 766,854 | ||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates | ||||||||
1.87%, 11/25/19, Series K712, Class A2 | 24,198 | 23,972 | ||||||
3.53%, 6/25/20, Series K008, Class A2 | 290,601 | 295,982 | ||||||
2.57%, 9/25/20, Series K504, Class A2^(d) | 550,000 | 549,592 |
See Notes to Financial Statements.
72 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
3.03%, 10/25/20, Series K714, Class A2^(d) | $ | 200,000 | $ | 201,322 | ||||
4.33%, 10/25/20, Series K010, Class A2^(d) | 150,000 | 155,530 | ||||||
4.18%, 12/25/20, Series K012, Class A2^(d) | 50,000 | 51,903 | ||||||
2.86%, 1/25/21, Series K715, Class A2 | 60,000 | 60,109 | ||||||
3.97%, 1/25/21, Series K013, Class A2^(d) | 200,000 | 206,563 | ||||||
2.87%, 12/25/21, Series K017, Class A2 | 50,000 | 50,080 | ||||||
2.51%, 11/25/22, Series K026, Class A2 | 250,000 | 245,580 | ||||||
2.62%, 3/25/23, Series K035, Class A1 | 160,699 | 160,142 | ||||||
3.30%, 4/25/23, Series K031, Class A2^(d) | 370,000 | 375,918 | ||||||
3.06%, 8/25/24, Series K728, Class A2^(d) | 500,000 | 500,271 | ||||||
2.67%, 12/25/24, Series K042, Class A2 | 160,000 | 156,147 | ||||||
3.06%, 12/25/24, Series K043, Class A2 | 199,000 | 199,588 | ||||||
3.02%, 1/25/25, Series K045, Class A2 | 55,000 | 54,821 | ||||||
3.16%, 5/25/25, Series KS03, Class A4^(d) | 50,000 | 49,625 | ||||||
3.33%, 5/25/25, Series K047, Class A2^(d) | 200,000 | 202,759 | ||||||
3.01%, 7/25/25, Series K049, Class A2 | 360,000 | 357,562 | ||||||
3.15%, 11/25/25, Series K052, Class A2 | 125,000 | 125,008 | ||||||
2.34%, 7/25/26, Series K058, Class A1 | 388,608 | 374,580 | ||||||
3.36%, 11/25/27, Series K071, Class AM^(d) | 200,000 | 200,222 | ||||||
Federal National Mortgage Association Alternative Credit Enhancement Securities | ||||||||
2.17%, 9/25/19, Series 2014-M10, Class ASQ2^(d) | 22,457 | 22,345 | ||||||
2.73%, 10/25/21, Series 2012-M1, Class A2 | 500,000 | 497,387 | ||||||
2.72%, 2/25/22, Series 2012-M2, Class A2 | 553,000 | 550,613 | ||||||
2.38%, 5/25/22, Series 2012-M13, Class A2 | 80,000 | 78,315 | ||||||
2.30%, 9/25/22, Series 2012-M14, Class A2^(d) | 50,000 | 48,730 | ||||||
2.52%, 4/25/23, Series 2013-M14, Class APT^(d) | 123,166 | 120,860 | ||||||
3.33%, 10/25/23, Series 2013-M14, Class A2^(d) | 100,000 | 101,015 | ||||||
3.47%, 1/25/24, Series 2014-M3, Class A2^(d) | 110,000 | 112,719 | ||||||
3.10%, 7/25/24, Series 2014-M9, Class A2^(d) | 596,000 | 597,991 | ||||||
2.30%, 10/25/24, Series 2015-M3, Class A1 | 354,555 | 348,752 | ||||||
2.72%, 10/25/24, Series 2015-M3, Class A2 | 250,000 | 244,821 | ||||||
2.14%, 5/25/26, Series 2016-M6, Class A1 | 188,948 | 182,298 | ||||||
2.00%, 6/25/26, Series 2016-M9, Class A1 | 469,627 | 452,555 | ||||||
2.50%, 9/25/26, Series 2016-M7, Class A2 | 190,000 | 179,535 | ||||||
2.42%, 10/25/26, Series 2017-M1, Class A2^(d) | 500,000 | 469,807 | ||||||
2.79%, 2/25/27, Series 2017-M2, Class A2^(d) | 1,000,000 | 966,077 | ||||||
3.14%, 11/25/27, Series 2017-M15, Class ATS2^(d) | 500,000 | 493,765 | ||||||
3.30%, 4/25/29, Series 2017-M5, Class A2 | 64,000 | 63,046 | ||||||
GS Mortgage Securities Trust | ||||||||
4.24%, 8/10/46, Series 2013-GC14, Class A5 | 85,000 | 89,140 | ||||||
3.68%, 4/10/47, Series 2014-GC20, Class A3 | 84,008 | 85,106 | ||||||
4.00%, 4/10/47, Series 2014-GC20, Class A5 | 250,000 | 258,847 | ||||||
3.86%, 6/10/47, Series 2014-GC22, Class A5 | 70,000 | 72,097 | ||||||
3.67%, 9/10/47, Series 2014-GC24, Class A4 | 300,000 | 305,824 | ||||||
2.85%, 10/10/49, Series 2016-GS3, Class A4 | 182,000 | 173,863 | ||||||
3.44%, 11/10/49, Series 2016-GS4, Class A4^(d) | 265,000 | 264,589 | ||||||
2.73%, 5/10/50, Series 2015-GC30, Class A2 | 100,000 | 99,465 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
3.41%, 1/15/46, Series 2013-C13, Class ASB | 171,685 | 173,933 | ||||||
2.61%, 12/15/47, Series 2012-LC9, Class A4 | 100,000 | 98,860 | ||||||
3.46%, 3/15/50, Series 2017-JP5, | 400,000 | 399,284 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
3.66%, 7/15/45, Series 2013-C12, Class A5 | 100,000 | 102,105 | ||||||
4.13%, 8/15/46, Series 2013-C14, Class A4^(d) | 95,000 | 99,107 | ||||||
3.93%, 1/15/47, Series 2013-C17, Class A3 | 250,000 | 257,916 | ||||||
4.00%, 4/15/47, Series 2014-C19, Class A4 | 200,000 | 207,937 | ||||||
3.29%, 1/15/48, Series 2014-C26, Class ASB | 150,000 | 151,080 | ||||||
3.60%, 11/15/48, Series 2015-C32, Class A5 | 1,000,000 | 1,009,929 | ||||||
JPMDB Commercial Mortgage Securities Trust | ||||||||
3.41%, 3/15/50, Series 2017-C5, | 550,000 | 547,948 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
3.48%, 11/15/45, Series 2012-C6, Class AS | 100,000 | 100,025 | ||||||
3.53%, 12/15/47, Series 2014-C19, Class A4 | 365,167 | 368,500 | ||||||
3.07%, 2/15/48, Series 2015-C20, Class ASB | 250,000 | 249,013 | ||||||
3.25%, 2/15/48, Series 2015-C20, Class A4 | 200,000 | 198,033 | ||||||
3.31%, 4/15/48, Series 2015-C22, Class A4 | 95,000 | 94,560 | ||||||
3.72%, 7/15/50, Series 2015-C23, Class A4 | 175,000 | 177,764 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 73 |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Morgan Stanley Capital I Trust | ||||||||
3.77%, 3/15/45, Series 2012-C4, Class AS | $ | 280,000 | $ | 282,329 | ||||
3.26%, 6/15/50, Series 2017-H1, Class A4 | 500,000 | 491,255 | ||||||
UBS Commercial Mortgage Trust | 250,000 | 251,910 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2.92%, 10/15/45, Series 2012-LC5, Class A3 | 199,847 | 197,813 | ||||||
3.64%, 6/15/48, Series 2015-C29, Class A4 | 250,000 | 253,259 | ||||||
3.70%, 11/15/48, Series 2015-C31, Class A4 | 100,000 | 101,633 | ||||||
2.92%, 11/15/49, Series 2016-NXS6, Class A4 | 265,000 | 254,039 | ||||||
3.82%, 8/15/50, Series 2014-LC16, Class A5 | 256,000 | 262,746 | ||||||
3.58%, 10/15/50, Series 2017-C40, Class A4 | 200,000 | 201,059 | ||||||
WFRBS Commercial Mortgage Trust | ||||||||
2.88%, 12/15/45, Series 2012-C10, Class A3 | 500,000 | 493,504 | ||||||
4.15%, 8/15/46, Series 2013-C15, Class A4^(d) | 200,000 | 208,989 | ||||||
4.42%, 9/15/46, Series 2013-C16, Class A5 | 100,000 | 105,696 | ||||||
3.03%, 12/15/46, Series 2013-C18, Class A2 | 24,804 | 24,873 | ||||||
4.02%, 12/15/46, Series 2013-C17, Class A4 | 60,000 | 62,242 | ||||||
4.10%, 3/15/47, Series 2014-C19, Class A5 | 25,000 | 26,053 | ||||||
3.41%, 8/15/47, Series 2014-C21, Class A4 | 225,000 | 226,204 | ||||||
3.43%, 11/15/47, Series 2014-C25, Class A3 | 40,000 | 40,458 | ||||||
3.63%, 11/15/47, Series 2014-C25, Class A5 | 100,000 | 101,481 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost: $27,126,475) | 26,455,678 | |||||||
MUNICIPAL BONDS – 0.3% | ||||||||
United States – 0.3% | ||||||||
Alameda Corridor Transportation Authority | 50,000 | 60,415 | ||||||
Chicago O’Hare International Airport | 35,000 | 46,541 | ||||||
Municipal Electric Authority of Georgia | 70,000 | 85,954 | ||||||
6.66%, 4/1/57 | 65,000 | 79,210 | ||||||
Nashville Health and Educational Facilities Board | 100,000 | 103,038 | ||||||
New Jersey Turnpike Authority | 100,000 | 147,089 | ||||||
7.10%, 1/1/41 | 15,000 | 21,381 | ||||||
North Texas Tollway Authority | 55,000 | 79,125 | ||||||
State of Illinois | 310,000 | 319,886 | ||||||
5.10%, 6/1/33 | 220,000 | 207,777 | ||||||
TOTAL MUNICIPAL BONDS (Cost: $1,190,129) | 1,150,416 | |||||||
Shares | ||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 0.2% | ||||||||
United States – 0.2% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.38%(f) | ||||||||
(Cost: $935,215)(g) | 935,215 | 935,215 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 99.5% (Cost: $388,821,042) | 381,532,613 | |||||||
Other Assets less Liabilities – 0.5% | 2,066,573 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 383,599,186 |
^ | Variable coupon rate based on weighted average interest rate of underlying mortgage. |
(a) | To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing. |
(b) | This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers. |
(c) | Security, or portion thereof, was on loan at February 28, 2018 (See Note 2). |
(d) | Rate shown reflects the accrual rate as of February 28, 2018 on securities with variable or step rates. |
(e) | The security has a perpetual maturity; the date displayed is the next call date. |
(f) | Rate shown represents annualized 7-day yield as of February 28, 2018. |
(g) | At February 28, 2018, the total market value of the Fund’s securities on loan was $907,003 and the total market value of the collateral held by the Fund was $935,215. |
See Notes to Financial Statements.
74 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
February 28, 2018
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT AGENCIES – 3.8% | ||||||||
Federal Home Loan Mortgage Corporation – 0.6% | ||||||||
Federal Home Loan Mortgage Corp. | $ | 164,000 | $ | 166,817 | ||||
Federal National Mortgage Association – 3.2% | ||||||||
Federal National Mortgage Association | 968,000 | 943,951 | ||||||
TOTAL U.S. GOVERNMENT AGENCIES (Cost: $1,122,913) |
| 1,110,768 | ||||||
U.S. GOVERNMENT OBLIGATIONS – 27.3% | ||||||||
U.S. Treasury Bills – 5.1% | ||||||||
U.S. Treasury Bills | 1,100,000 | 1,099,749 | ||||||
1.36%, 3/22/18* | 400,000 | 399,686 | ||||||
|
| |||||||
Total U.S. Treasury Bills | 1,499,435 | |||||||
U.S. Treasury Notes – 22.2% | ||||||||
U.S. Treasury Note | 1,000,300 | 979,825 | ||||||
2.25%, 2/29/20 | 204,000 | 203,960 | ||||||
1.50%, 6/15/20 | 559,000 | 548,715 | ||||||
1.50%, 7/15/20 | 699,200 | 685,749 | ||||||
2.25%, 2/15/21 | 1,390,000 | 1,383,457 | ||||||
2.00%, 2/28/21 | 692,500 | 683,871 | ||||||
1.13%, 8/31/21 | 718,500 | 685,101 | ||||||
1.50%, 1/31/22 | 392,700 | 377,123 | ||||||
1.88%, 7/31/22 | 691,100 | 669,719 | ||||||
2.63%, 2/28/23 | 303,000 | 302,651 | ||||||
|
| |||||||
Total U.S. Treasury Notes | 6,520,171 | |||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $8,064,810) |
| 8,019,606 | ||||||
CORPORATE BONDS – 51.1% | ||||||||
United States – 51.1% | ||||||||
AbbVie, Inc. | 148,000 | 146,754 | ||||||
Air Lease Corp. | 169,000 | 166,695 | ||||||
American Express Credit Corp. | 24,000 | 23,787 | ||||||
2.25%, 5/5/21 | 76,000 | 74,196 | ||||||
American International Group, Inc. | 160,000 | 169,655 | ||||||
Amgen, Inc. | 47,000 | 46,784 | ||||||
3.88%, 11/15/21 | 49,000 | 50,206 | ||||||
Anthem, Inc. | 206,000 | 204,543 | ||||||
Aon PLC | 364,000 | 360,815 | ||||||
AT&T, Inc. | 387,000 | 382,710 | ||||||
3.20%, 3/1/22 | 176,000 | 175,066 | ||||||
Bank of America Corp. | 90,000 | 95,504 | ||||||
3.00%, 12/20/23, (3.004% fixed rate until 12/20/22; 3-month U.S. dollar London Interbank Offered Rate + 0.790% thereafter)(b)(c) | 398,000 | 389,857 | ||||||
Bank of New York Mellon Corp. (The) | 101,000 | 98,084 | ||||||
BB&T Corp. | 41,000 | 39,836 | ||||||
Becton Dickinson and Co. | 395,000 | 393,715 | ||||||
2.89%, 6/6/22 | 284,000 | 276,945 | ||||||
Berkshire Hathaway Finance Corp. | 3,000 | 3,122 | ||||||
3.00%, 5/15/22 | 120,000 | 120,189 | ||||||
Capital One Financial Corp. | 114,000 | 119,551 | ||||||
Celgene Corp. | 93,000 | 92,814 | ||||||
3.25%, 8/15/22 | 209,000 | 208,148 | ||||||
Citigroup, Inc. | 389,000 | 387,669 | ||||||
2.65%, 10/26/20 | 145,000 | 143,570 | ||||||
Coca-Cola Co. (The) | 60,000 | 58,868 | ||||||
3.30%, 9/1/21 | 59,000 | 59,891 | ||||||
Comcast Corp. | 18,000 | 17,999 | ||||||
Delta Air Lines, Inc. | 397,000 | 392,098 | ||||||
Discovery Communications LLC | 164,000 | 171,024 | ||||||
Dow Chemical Co. (The) | 94,000 | 96,899 | ||||||
4.13%, 11/15/21 | 165,000 | 170,912 | ||||||
Ecolab, Inc. | 104,000 | 108,720 | ||||||
Enterprise Products Operating LLC | 98,000 | 97,583 | ||||||
Exelon Generation Co. LLC | 167,000 | 170,606 | ||||||
Express Scripts Holding Co. | 222,000 | 232,679 | ||||||
Exxon Mobil Corp. | 36,000 | 35,269 | ||||||
FedEx Corp. | 10,000 | 9,817 | ||||||
Fidelity National Information Services, Inc. | 51,000 | 51,761 | ||||||
General Mills, Inc. | 200,000 | 193,391 | ||||||
General Motors Financial Co., Inc. | 154,000 | 153,134 | ||||||
3.15%, 6/30/22 | 36,000 | 35,198 | ||||||
Goldman Sachs Group, Inc. (The) | 239,000 | 259,345 | ||||||
Hartford Financial Services Group, Inc. (The) | 57,000 | 60,944 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 75 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Hewlett Packard Enterprise Co. | $ | 213,000 | $ | 215,576 | ||||
HP, Inc. | 163,000 | 170,645 | ||||||
Huntington Bancshares, Inc. | 80,000 | 80,292 | ||||||
Ingredion, Inc. | 179,000 | 185,847 | ||||||
Intercontinental Exchange, Inc. | 44,000 | 43,815 | ||||||
JPMorgan Chase & Co. | 53,000 | 52,513 | ||||||
4.63%, 5/10/21 | 36,000 | 37,739 | ||||||
2.30%, 8/15/21 | 36,000 | 35,077 | ||||||
4.35%, 8/15/21 | 56,000 | 58,241 | ||||||
4.50%, 1/24/22 | 268,000 | 280,376 | ||||||
KeyCorp | 67,000 | 66,912 | ||||||
Kraft Heinz Foods Co. | 102,000 | 102,187 | ||||||
L3 Technologies, Inc. | 93,000 | 96,348 | ||||||
Marsh & McLennan Cos., Inc. | 200,000 | 196,886 | ||||||
McDonald’s Corp. | 600,000 | 599,541 | ||||||
Medtronic, Inc. | 79,000 | 79,153 | ||||||
Merck & Co., Inc. | 200,000 | 206,411 | ||||||
Microsoft Corp. | 60,000 | 60,711 | ||||||
2.00%, 11/3/20 | 60,000 | 59,067 | ||||||
2.38%, 2/12/22 | 250,000 | 245,141 | ||||||
Morgan Stanley | 80,000 | 85,863 | ||||||
4.88%, 11/1/22 | 258,000 | 272,266 | ||||||
Motorola Solutions, Inc. | 299,000 | 299,591 | ||||||
Mylan, Inc. | 70,000 | 69,782 | ||||||
Newell Brands, Inc. | 5,000 | 4,953 | ||||||
Oracle Corp. | 69,000 | 68,893 | ||||||
Packaging Corp. of America | 147,000 | 145,003 | ||||||
PepsiCo, Inc. | 51,000 | 50,285 | ||||||
Plains All American Pipeline L.P. | 224,000 | 221,779 | ||||||
Primerica, Inc. | 120,000 | 126,008 | ||||||
Progress Energy, Inc. | 367,000 | 383,448 | ||||||
Republic Services, Inc. | 74,000 | 77,191 | ||||||
Royal Caribbean Cruises Ltd. | 135,000 | 133,248 | ||||||
Ryder System, Inc. | 269,000 | 264,429 | ||||||
Sabine Pass Liquefaction LLC | 232,000 | 253,284 | ||||||
Sempra Energy | 173,000 | 171,318 | ||||||
Sherwin-Williams Co. (The) | 49,000 | 47,829 | ||||||
Southern California Edison Co. | 77,714 | 76,405 | ||||||
Southwest Airlines Co. | 11,000 | 10,829 | ||||||
State Street Corp. | 33,000 | 32,801 | ||||||
SunTrust Banks, Inc. | 188,000 | 187,241 | ||||||
Synchrony Financial | 85,000 | 85,073 | ||||||
Synovus Financial Corp. | 345,000 | 337,469 | ||||||
Sysco Corp. | 496,000 | 492,266 | ||||||
Target Corp. | 73,000 | 73,114 | ||||||
Time Warner Cable LLC | 176,000 | 177,802 | ||||||
Time Warner, Inc. | 93,000 | 96,571 | ||||||
Toyota Motor Credit Corp. | 92,000 | 89,407 | ||||||
U.S. Bancorp | 48,000 | 47,306 | ||||||
2.95%, 7/15/22 | 29,000 | 28,712 | ||||||
United Parcel Service, Inc. | 100,000 | 98,159 | ||||||
UnitedHealth Group, Inc. | 63,000 | 62,961 | ||||||
Verizon Communications, Inc. | 392,000 | 387,021 | ||||||
2.45%, 11/1/22 | 44,000 | 42,400 | ||||||
VMware, Inc. | 396,000 | 386,337 | ||||||
Walgreen Co. | 23,000 | 22,626 | ||||||
Wells Fargo & Co. | 84,000 | 82,561 | ||||||
Zimmer Biomet Holdings, Inc. | 113,000 | 112,156 | ||||||
TOTAL CORPORATE BONDS (Cost: $15,212,660) | 15,023,218 |
See Notes to Financial Statements.
76 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
February 28, 2018
Investments | Principal Amount | Value | ||||||
FOREIGN CORPORATE BONDS – 9.3% | ||||||||
Australia – 0.4% | ||||||||
BHP Billiton Finance USA Ltd. | $ | 106,000 | $ | 107,065 | ||||
Canada – 2.5% | ||||||||
Barrick North America Finance LLC | 272,000 | 283,952 | ||||||
Canadian Imperial Bank of Commerce | 102,000 | 99,389 | ||||||
Fortis, Inc. | 369,000 | 355,092 | ||||||
Royal Bank of Canada | 1,000 | 990 | ||||||
TransCanada PipeLines Ltd. | 1,000 | 973 | ||||||
|
| |||||||
Total Canada | 740,396 | |||||||
Chile – 0.3% | ||||||||
Celulosa Arauco y Constitucion S.A. | 86,000 | 90,914 | ||||||
Germany – 0.3% | ||||||||
Deutsche Bank AG | 92,000 | 91,635 | ||||||
Israel – 0.3% | ||||||||
Teva Pharmaceutical Finance Netherlands III B.V. | 100,000 | 99,758 | ||||||
Japan – 2.6% | ||||||||
Mitsubishi UFJ Financial Group, Inc. | 391,000 | 385,282 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 398,000 | 387,843 | ||||||
|
| |||||||
Total Japan | 773,125 | |||||||
Netherlands – 0.7% | ||||||||
Shell International Finance B.V. | 200,000 | 191,703 | ||||||
Peru – 0.7% | ||||||||
Southern Copper Corp. | 208,000 | 208,240 | ||||||
United Kingdom – 1.5% | ||||||||
BAT Capital Corp. | 392,000 | 381,163 | ||||||
WPP Finance PLC | 70,000 | 70,712 | ||||||
|
| |||||||
Total United Kingdom | 451,875 | |||||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $2,798,545) |
| 2,754,711 | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – 2.1% | ||||||||
Hungary – 0.8% | ||||||||
Hungary Government International Bond | 95,000 | 101,044 | ||||||
6.38%, 3/29/21 | 118,000 | 129,025 | ||||||
|
| |||||||
Total Hungary | 230,069 | |||||||
Mexico – 1.2% | ||||||||
Mexico Government International Bond | 62,000 | 68,975 | ||||||
3.63%, 3/15/22 | 284,000 | 288,686 | ||||||
|
| |||||||
Total Mexico | 357,661 | |||||||
Poland – 0.1% | ||||||||
Republic of Poland Government International Bond | 26,000 | 27,682 | ||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $622,794) |
| 615,412 | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES – 9.2% | ||||||||
United States – 9.2% | ||||||||
COMM Mortgage Trust | ||||||||
3.80%, 8/10/46, Series 2013-CR10, Class ASB | 80,000 | 81,778 | ||||||
2.93%, 2/10/47, Series 2014-CR15, Class A2 | 38,618 | 38,743 | ||||||
3.04%, 11/10/49, Series 2016-CD2, Class A2 | 686,000 | 686,450 | ||||||
CSAIL Commercial Mortgage Trust | 344,000 | 341,908 | ||||||
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates 4.18%, 12/25/20, Series K012, Class A2^(c) | 150,000 | 155,709 | ||||||
2.79%, 1/25/22, Series K718, Class A2 | 300,000 | 299,304 | ||||||
JPMCC Commercial Mortgage Securities Trust | 680,000 | 684,948 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
2.79%, 2/15/48, Series 2015-C20, Class A2 | 200,000 | 200,271 | ||||||
2.70%, 12/15/48, Series 2013-C8, Class ASB | 49,998 | 49,700 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
2.53%, 10/15/45, Series 2012-LC5, Class ASB | 46,155 | 45,890 | ||||||
2.63%, 5/15/48, Series 2015-NXS1, Class A2 | 69,000 | 68,923 | ||||||
WFRBS Commercial Mortgage Trust | ||||||||
2.45%, 12/15/45, Series 2012-C10, Class ASB | 48,567 | 48,138 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost: $2,738,250) |
| 2,701,762 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 102.8% (Cost: $30,559,972) |
| 30,225,477 | ||||||
Other Assets less Liabilities – (2.8)% |
| (826,626 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 29,398,851 |
* | Interest rate shown reflects the discount rate at time of purchase. |
^ | Variable coupon rate based on weighted average interest rate of underlying mortgage. |
(a) | To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing. |
(b) | This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers. |
(c) | Rate shown reflects the accrual rate as of February 28, 2018 on securities with variable or step rates. |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 77 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Bloomberg Floating Rate Treasury Fund (USFR)
February 28, 2018
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 99.8% | ||||||||
U.S. Treasury Notes – 99.8% | ||||||||
U.S. Treasury Floating Rate Notes | ||||||||
1.72%, 4/30/19, (3-month U.S. Treasury Bill Money Market Yield + 0.07%)* | $ | 1,004,000 | $ | 1,005,190 | ||||
1.71%, 7/31/19, (3-month U.S. Treasury Bill Money Market Yield + 0.06%)* | 1,007,000 | 1,008,350 | ||||||
1.70%, 10/31/19, (3-month U.S. Treasury Bill Money Market Yield + 0.048%)* | 1,001,000 | 1,001,878 | ||||||
1.65%, 1/31/20, (3-month U.S. Treasury Bill Money Market Yield)* | 733,000 | 732,875 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 99.8% (Cost: $3,747,956) |
| 3,748,293 | ||||||
Other Assets less Liabilities – 0.2% | 9,008 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 3,757,301 |
* | Floating rate note. Coupon shown is in effect at February 28, 2018. Date represents the ultimate maturity date. |
See Notes to Financial Statements.
78 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Emerging Markets Corporate Bond Fund (EMCB)
February 28, 2018
Investments | Principal Amount | Value | ||||||
FOREIGN CORPORATE BONDS – 91.0% | ||||||||
Argentina – 2.9% | ||||||||
Banco Macro S.A. | ||||||||
6.75%, 11/4/26, Reg S, (6.75% fixed rate until 11/4/21; 5-year U.S. dollar Swap Rate + 5.463% thereafter)(a) | $ | 750,000 | $ | 764,062 | ||||
YPF S.A. | 630,000 | 701,663 | ||||||
|
| |||||||
Total Argentina | 1,465,725 | |||||||
Brazil – 10.5% | ||||||||
Banco do Brasil S.A. | 750,000 | 735,937 | ||||||
Banco Safra S.A. | 450,000 | 445,725 | ||||||
Braskem Finance Ltd. | 300,000 | 330,000 | ||||||
Fibria Overseas Finance Ltd. | 500,000 | 492,663 | ||||||
Klabin Finance S.A. | 300,000 | 290,625 | ||||||
Marfrig Holdings Europe B.V. | 340,000 | 352,580 | ||||||
Minerva Luxembourg S.A. | 400,000 | 376,540 | ||||||
Petrobras Global Finance B.V. | 1,000,000 | 962,450 | ||||||
5.63%, 5/20/43 | 200,000 | 172,000 | ||||||
6.85%, 6/5/2115 | 160,000 | 151,920 | ||||||
Rede D’or Finance Sarl | 475,000 | 460,750 | ||||||
Rumo Luxembourg Sarl | 500,000 | 496,875 | ||||||
|
| |||||||
Total Brazil | 5,268,065 | |||||||
Chile – 6.4% | ||||||||
Celulosa Arauco y Constitucion S.A. | 325,000 | 313,625 | ||||||
5.50%, 11/2/47(c) | 325,000 | 331,094 | ||||||
Cencosud S.A. | 551,000 | 568,219 | ||||||
Colbun S.A. | 325,000 | 316,062 | ||||||
Empresa Nacional del Petroleo | 250,000 | 233,125 | ||||||
Inversiones CMPC S.A. | 500,000 | 516,875 | ||||||
SACI Falabella | 500,000 | 473,125 | ||||||
Telefonica Chile S.A. | 450,000 | 455,625 | ||||||
|
| |||||||
Total Chile | 3,207,750 | |||||||
China – 5.0% | ||||||||
Alibaba Group Holding Ltd. | 500,000 | 476,399 | ||||||
Bank of China Ltd. | 350,000 | 364,011 | ||||||
China Overseas Finance Cayman V Ltd. | 380,000 | 382,833 | ||||||
China Overseas Finance Cayman VI Ltd. | 350,000 | 354,594 | ||||||
CNOOC Finance 2013 Ltd. | 500,000 | 484,687 | ||||||
Tencent Holdings Ltd. | 450,000 | 435,621 | ||||||
|
| |||||||
Total China | 2,498,145 | |||||||
Colombia – 2.2% | ||||||||
Banco Bilbao Vizcaya Argentaria Colombia S.A. | 720,000 | 738,000 | ||||||
Ecopetrol S.A. | 390,000 | 392,145 | ||||||
|
| |||||||
Total Colombia | 1,130,145 | |||||||
Hong Kong – 1.4% | ||||||||
Melco Resorts Finance Ltd. | 700,000 | 685,530 | ||||||
India – 6.9% | ||||||||
Bharti Airtel Ltd. | 1,000,000 | 985,625 | ||||||
ICICI Bank Ltd. | 500,000 | 486,875 | ||||||
Reliance Industries Ltd. | 1,000,000 | 951,297 | ||||||
Vedanta Resources PLC | 500,000 | 515,625 | ||||||
7.13%, 5/31/23, Reg S | 500,000 | 531,761 | ||||||
|
| |||||||
Total India | 3,471,183 | |||||||
Indonesia – 0.7% | ||||||||
Perusahaan Listrik Negara PT | 380,000 | 368,668 | ||||||
Israel – 3.2% | ||||||||
Israel Electric Corp., Ltd. | 500,000 | 568,125 | ||||||
4.25%, 8/14/28, Series GMTN, Reg S(c) | 600,000 | 592,500 | ||||||
Teva Pharmaceutical Finance Netherlands III B.V. | 250,000 | 218,500 | ||||||
3.15%, 10/1/26(b) | 250,000 | 203,750 | ||||||
|
| |||||||
Total Israel | 1,582,875 | |||||||
Jamaica – 2.0% | ||||||||
Digicel Ltd. | 800,000 | 770,240 | ||||||
6.75%, 3/1/23, Reg S | 250,000 | 235,000 | ||||||
|
| |||||||
Total Jamaica | 1,005,240 | |||||||
Kazakhstan – 2.3% | ||||||||
KazMunayGas National Co. JSC | 1,067,000 | 1,147,025 | ||||||
Kuwait – 0.5% | ||||||||
Equate Petrochemical B.V. | 280,000 | 271,250 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 79 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Emerging Markets Corporate Bond Fund (EMCB)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Luxembourg – 1.6% | ||||||||
Millicom International Cellular S.A. | $ | 330,000 | $ | 348,150 | ||||
5.13%, 1/15/28(c) | 475,000 | 463,125 | ||||||
|
| |||||||
Total Luxembourg | 811,275 | |||||||
Mexico – 9.4% | ||||||||
Banco Mercantil del Norte S.A. | ||||||||
7.63%, 1/10/28, (7.625% fixed rate until 1/6/28; 10-year Constant Maturity Treasury Rate + 5.353% thereafter)(a)(c)(d) | 490,000 | 532,973 | ||||||
BBVA Bancomer S.A. | 550,000 | 605,687 | ||||||
Cemex S.A.B. de C.V. | 1,200,000 | 1,337,100 | ||||||
Grupo Bimbo S.A.B. de C.V. | 588,000 | 610,050 | ||||||
Mexichem S.A.B. de C.V. | 320,000 | 307,600 | ||||||
5.50%, 1/15/48(c) | 320,000 | 305,680 | ||||||
Petroleos Mexicanos | 500,000 | 534,225 | ||||||
6.50%, 6/2/41 | 500,000 | 499,875 | ||||||
|
| |||||||
Total Mexico | 4,733,190 | |||||||
Morocco – 2.1% | ||||||||
OCP S.A. | 1,000,000 | 1,053,750 | ||||||
Panama – 1.0% | ||||||||
Multibank, Inc. | 500,000 | 499,375 | ||||||
Peru – 3.8% | ||||||||
Banco de Credito del Peru | ||||||||
6.13%, 4/24/27, Reg S, (6.125% fixed rate until 4/24/22; 3-month U.S. dollar London Interbank Offered Rate + 7.043% thereafter)(a) | 600,000 | 643,350 | ||||||
Banco Internacional del Peru S.A.A. Interbank | ||||||||
6.63%, 3/19/29, Reg S, (6.625% fixed rate until 3/19/24; 3-month U.S. dollar London Interbank Offered Rate + 5.760% thereafter)(a) | 500,000 | 551,875 | ||||||
Cerro del Aguila S.A. | 250,000 | 241,250 | ||||||
Southern Copper Corp. | 460,000 | 489,325 | ||||||
|
| |||||||
Total Peru | 1,925,800 | |||||||
Russia – 13.8% | ||||||||
Credit Bank of Moscow Via CBOM Finance PLC | 750,000 | 749,062 | ||||||
Evraz Group S.A. | 500,000 | 553,750 | ||||||
Gazprom Neft OAO Via GPN Capital S.A. | 1,100,000 | 1,193,500 | ||||||
Gazprom OAO Via Gaz Capital S.A. | 570,000 | 602,062 | ||||||
6.51%, 3/7/22, Reg S | 450,000 | 489,375 | ||||||
Novolipetsk Steel via Steel Funding DAC | 250,000 | 247,813 | ||||||
4.00%, 9/21/24, Reg S | 250,000 | 274,831 | ||||||
Phosagro OAO via Phosagro Bond Funding DAC | 250,000 | 251,225 | ||||||
Rosneft Oil Co. Via Rosneft International Finance DAC | 500,000 | 499,688 | ||||||
Sberbank of Russia Via SB Capital S.A. | ||||||||
5.50%, 2/26/24, Reg S, (5.50% fixed rate | 500,000 | 508,125 | ||||||
VEON Holdings B.V. | 200,000 | 222,500 | ||||||
5.95%, 2/13/23, Reg S | 600,000 | 633,000 | ||||||
VTB Bank OJSC Via VTB Capital S.A. | 700,000 | 756,000 | ||||||
|
| |||||||
Total Russia | 6,953,913 | |||||||
Singapore – 2.2% | ||||||||
Oversea-Chinese Banking Corp., Ltd. | 1,080,000 | 1,092,774 | ||||||
South Africa – 0.4% | ||||||||
AngloGold Ashanti Holdings PLC | 200,000 | 210,750 | ||||||
South Korea – 2.0% | ||||||||
Woori Bank | 1,000,000 | 1,026,008 | ||||||
Thailand – 1.2% | ||||||||
PTTEP Treasury Center Co., Ltd. | ||||||||
4.60%, 7/17/22, Reg S, (4.60% fixed rate until 7/17/22; 5-year Constant Maturity Treasury Rate + 2.724% until 7/17/27; 6-month U.S. dollar London Interbank Offered Rate + 2.900% until 7/17/42; 6-month U.S. dollar London Interbank Offered Rate + 3.650% thereafter)(a)(d) | 600,000 | 598,010 | ||||||
|
|
|
|
| ||||
Turkey – 5.7% | ||||||||
TC Ziraat Bankasi A/S | 300,000 | 297,375 | ||||||
Tupras Turkiye Petrol Rafinerileri A/S | 500,000 | 484,375 | ||||||
Turkiye Garanti Bankasi A/S | 500,000 | 503,125 | ||||||
Turkiye Is Bankasi A/S | 250,000 | 250,000 | ||||||
5.50%, 4/21/22, Reg S | 300,000 | 298,688 | ||||||
Turkiye Vakiflar Bankasi TAO | 725,000 | 714,125 | ||||||
Yapi ve Kredi Bankasi A/S | 300,000 | 303,000 | ||||||
|
| |||||||
Total Turkey | 2,850,688 |
See Notes to Financial Statements.
80 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Emerging Markets Corporate Bond Fund (EMCB)
February 28, 2018
Investments | Principal Amount | Value | ||||||
United Arab Emirates – 3.0% | ||||||||
Abu Dhabi National Energy Co. PJSC | $ | 1,000,000 | $ | 1,000,625 | ||||
DP World Ltd. | 400,000 | 490,000 | ||||||
|
| |||||||
Total United Arab Emirates | 1,490,625 | |||||||
Zambia – 0.8% | ||||||||
First Quantum Minerals Ltd. | 400,000 | 399,500 | ||||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $45,796,208) |
| 45,747,259 | ||||||
FOREIGN GOVERNMENT AGENCIES – 3.9% | ||||||||
Argentina – 0.8% | ||||||||
Autonomous City of Buenos Aires Argentina | 350,000 | 370,125 | ||||||
Indonesia – 0.5% | ||||||||
Lembaga Pembiayaan Ekspor Indonesia | 250,000 | 248,750 | ||||||
Peru – 1.2% | ||||||||
Corp. Financiera de Desarrollo S.A. | 600,000 | 618,750 | ||||||
United Arab Emirates – 1.4% | ||||||||
MDC-GMTN B.V. | 666,000 | 711,371 | ||||||
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $1,981,844) |
| 1,948,996 | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – 1.2% | ||||||||
Argentina – 0.8% | ||||||||
Argentine Republic Government International Bond | 400,000 | 406,900 | ||||||
Nigeria – 0.4% | ||||||||
Nigeria Government International Bond | 200,000 | 203,000 | ||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $608,885) |
| 609,900 | ||||||
Shares | ||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 4.4% | ||||||||
United States – 4.4% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.38%(e) | ||||||||
(Cost: $2,220,845)(f) | 2,220,845 | 2,220,845 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 100.5% (Cost: $50,607,782) |
| 50,527,000 | ||||||
Other Assets less Liabilities – (0.5)% |
| (275,729 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 50,251,271 |
(a) | Rate shown reflects the accrual rate as of February 28, 2018 on securities with variable or step rates. |
(b) | Security, or portion thereof, was on loan at February 28, 2018 (See Note 2). |
(c) | This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers. |
(d) | The security has a perpetual maturity; the date displayed is the next call date. |
(e) | Rate shown represents annualized 7-day yield as of February 28, 2018. |
(f) | At February 28, 2018, the total market value of the Fund’s securities on loan was $1,979,785 and the total market value of the collateral held by the Fund was $2,220,845. Total securities on loan may not correspond with the amounts identified in the Schedule of Investments because pending sales of securities on loan may be in the process of recall from the borrower. |
Reg S – Regulation S provides an exclusion from the registration requirements of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||
FUTURES CONTRACTS† (EXCHANGE-TRADED) | ||||||||||||||||
Short Exposure | Contracts | Expiration Date | Notional Amount1 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
10 Year U.S. Treasury Note | 19 | 6/20/18 | $ | (2,280,891 | ) | $ | 4,016 | |||||||||
U.S. Treasury Long Bond | 2 | 6/20/18 | (286,875 | ) | (766 | ) | ||||||||||
Ultra 10 Year U.S. Treasury Note | 51 | 6/20/18 | (6,531,187 | ) | (3,187 | ) | ||||||||||
$ | (9,098,953 | ) | $ | 63 | ||||||||||||
Long Exposure | ||||||||||||||||
2 Year U.S. Treasury Note | 7 | 06/29/18 | $ | 1,487,281 | $ | (1,422 | ) | |||||||||
5 Year U.S. Treasury Note | 55 | 06/29/18 | 6,266,133 | (12,460 | ) | |||||||||||
U.S. Treasury Ultra Long Term Bond | 5 | 06/20/18 | 779,375 | 4,517 | ||||||||||||
$ | 8,532,789 | $ | (9,365 | ) | ||||||||||||
Total – Net |
| $ | (566,164 | ) | $ | (9,302 | ) |
† | As of February 28, 2018, cash collateral posted by the Fund with the broker for futures contracts was $85,782. |
1 | “Notional Amount” represents the current notional value of the futures contract. |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 81 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Emerging Markets Local Debt Fund (ELD)
February 28, 2018
Investments | Principal Amount† | Value | ||||||||||
FOREIGN GOVERNMENT AGENCIES – 1.0% | ||||||||||||
South Africa – 0.5% | ||||||||||||
Landwirtschaftliche Rentenbank | 12,250,000 | ZAR | $ | 1,059,704 | ||||||||
Turkey – 0.5% | ||||||||||||
Kreditanstalt fuer Wiederaufbau | 5,100,000 | TRY | 1,265,363 | |||||||||
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $2,681,919) | 2,325,067 | |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS – 87.5% | ||||||||||||
Argentina – 2.5% | ||||||||||||
Argentine Bonos del Tesoro | 32,000,000 | ARS | 1,606,860 | |||||||||
16.00%, 10/17/23 | 35,143,000 | ARS | 1,724,971 | |||||||||
15.50%, 10/17/26 | 49,555,000 | ARS | 2,459,129 | |||||||||
|
| |||||||||||
Total Argentina | 5,790,960 | |||||||||||
Brazil – 10.3% | ||||||||||||
Brazil Letras do Tesouro Nacional | 27,030,000 | BRL | 7,613,570 | |||||||||
Brazil Notas do Tesouro Nacional 10.00%, 1/1/21, Series F | 23,383,000 | BRL | 7,484,397 | |||||||||
10.00%, 1/1/23, Series F | 9,465,000 | BRL | 3,016,724 | |||||||||
10.00%, 1/1/25, Series F | 8,539,000 | BRL | 2,705,290 | |||||||||
10.00%, 1/1/27, Series F | 8,105,000 | BRL | 2,558,810 | |||||||||
Brazilian Government International Bond | 929,000 | BRL | 322,596 | |||||||||
|
| |||||||||||
Total Brazil | 23,701,387 | |||||||||||
Chile – 3.1% | ||||||||||||
Bonos de la Tesoreria de la Republica en pesos | 500,000,000 | CLP | 862,915 | |||||||||
4.50%, 3/1/21 | 785,000,000 | CLP | 1,354,249 | |||||||||
4.50%, 3/1/26 | 1,645,000,000 | CLP | 2,765,687 | |||||||||
5.00%, 3/1/35 | 1,295,000,000 | CLP | 2,165,266 | |||||||||
|
| |||||||||||
Total Chile | 7,148,117 | |||||||||||
China – 3.1% | ||||||||||||
China Government Bond | 1,000,000 | CNH | 156,976 | |||||||||
3.09%, 6/29/20, Reg S | 9,500,000 | CNY | 1,471,939 | |||||||||
2.48%, 12/1/20 | 9,000,000 | CNY | 1,363,157 | |||||||||
3.25%, 7/4/21 | 7,000,000 | CNH | 1,077,565 | |||||||||
2.36%, 8/18/21, Reg S | 6,000,000 | CNY | 895,938 | |||||||||
3.10%, 6/29/22 | 6,500,000 | CNY | 983,374 | |||||||||
3.16%, 6/27/23 | 8,500,000 | CNY | 1,276,599 | |||||||||
|
| |||||||||||
Total China | 7,225,548 | |||||||||||
Colombia – 5.9% | ||||||||||||
Colombia Government International Bond | 2,209,000,000 | COP | 820,873 | |||||||||
Colombian TES | 5,400,000,000 | COP | 2,127,460 | |||||||||
7.00%, 5/4/22, Series B | 6,661,700,000 | COP | 2,430,186 | |||||||||
10.00%, 7/24/24, Series B | 8,403,300,000 | COP | 3,504,319 | |||||||||
6.00%, 4/28/28, Series B | 10,755,400,000 | COP | 3,540,997 | |||||||||
7.75%, 9/18/30, Series B | 1,792,300,000 | COP | 670,528 | |||||||||
7.00%, 6/30/32, Series B | 1,626,500,000 | COP | 564,565 | |||||||||
|
| |||||||||||
Total Colombia | 13,658,928 | |||||||||||
Hungary – 3.0% | ||||||||||||
Hungary Government Bond | 197,000,000 | HUF | 829,878 | |||||||||
7.50%, 11/12/20, Series 20/A | 300,150,000 | HUF | 1,382,971 | |||||||||
7.00%, 6/24/22, Series 22/A | 226,560,000 | HUF | 1,090,001 | |||||||||
6.00%, 11/24/23, Series 23/A | 287,780,000 | HUF | 1,379,395 | |||||||||
5.50%, 6/24/25, Series 25/B | 444,240,000 | HUF | 2,120,387 | |||||||||
3.00%, 10/27/27, Series 27/A | 10,000,000 | HUF | 40,206 | |||||||||
|
| |||||||||||
Total Hungary | 6,842,838 | |||||||||||
India – 5.6% | ||||||||||||
India Government Bond | 103,000,000 | INR | 1,624,063 | |||||||||
7.80%, 4/11/21 | 100,000,000 | INR | 1,562,331 | |||||||||
7.68%, 12/15/23 | 200,000,000 | INR | 3,082,603 | |||||||||
8.40%, 7/28/24 | 134,000,000 | INR | 2,119,765 | |||||||||
7.59%, 3/20/29 | 100,000,000 | INR | 1,491,966 | |||||||||
7.88%, 3/19/30 | 100,000,000 | INR | 1,521,576 | |||||||||
9.20%, 9/30/30 | 90,920,000 | INR | 1,533,226 | |||||||||
|
| |||||||||||
Total India | 12,935,530 | |||||||||||
Indonesia – 8.5% | ||||||||||||
Indonesia Treasury Bond | 15,072,000,000 | IDR | 1,129,153 | |||||||||
8.38%, 3/15/24, Series FR70 | 45,000,000,000 | IDR | 3,600,393 | |||||||||
8.38%, 9/15/26, Series FR56 | 47,091,000,000 | IDR | 3,784,817 | |||||||||
9.00%, 3/15/29, Series FR71 | 25,957,000,000 | IDR | 2,168,092 | |||||||||
8.75%, 5/15/31, Series FR73 | 42,207,000,000 | IDR | 3,469,026 | |||||||||
8.25%, 6/15/32, Series FR58 | 49,064,000,000 | IDR | 3,875,233 | |||||||||
8.25%, 5/15/36, Series FR72 | 13,440,000,000 | IDR | 1,056,255 | |||||||||
8.75%, 2/15/44, Series FR67 | 7,069,000,000 | IDR | 582,083 | |||||||||
|
| |||||||||||
Total Indonesia | 19,665,052 | |||||||||||
Malaysia – 3.1% | ||||||||||||
Malaysia Government Bond | 4,862,000 | MYR | 1,263,703 | |||||||||
3.49%, 3/31/20, Series 0612 | 2,954,000 | MYR | 755,375 | |||||||||
4.16%, 7/15/21, Series 0111 | 2,088,000 | MYR | 544,187 | |||||||||
3.42%, 8/15/22, Series 0112 | 5,218,000 | MYR | 1,313,476 | |||||||||
4.18%, 7/15/24, Series 0114 | 5,325,000 | MYR | 1,378,600 | |||||||||
4.39%, 4/15/26, Series 0311 | 3,144,000 | MYR | 820,776 | |||||||||
3.90%, 11/16/27, Series 0417 | 1,000,000 | MYR | 252,418 | |||||||||
4.50%, 4/15/30, Series 0310 | 2,333,000 | MYR | 598,298 | |||||||||
4.25%, 5/31/35, Series 0415 | 1,100,000 | MYR | 270,246 | |||||||||
|
| |||||||||||
Total Malaysia | 7,197,079 | |||||||||||
Mexico – 3.2% | ||||||||||||
Mexican Bonos | 11,059,000 | MXN | 560,939 | |||||||||
8.00%, 6/11/20, Series M | 2,500,000 | MXN | 133,789 | |||||||||
6.50%, 6/10/21, Series M | 12,355,000 | MXN | 635,346 | |||||||||
6.50%, 6/9/22, Series M | 13,487,000 | MXN | 687,918 | |||||||||
10.00%, 12/5/24, Series M 20 | 37,448,000 | MXN | 2,240,906 | |||||||||
7.75%, 5/29/31, Series M | 10,133,000 | MXN | 537,634 | |||||||||
7.75%, 11/23/34, Series M | 5,719,000 | MXN | 301,752 |
See Notes to Financial Statements.
82 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Emerging Markets Local Debt Fund (ELD)
February 28, 2018
Investments | Principal Amount† | Value | ||||||||||
10.00%, 11/20/36, Series M 30 | 10,452,000 | MXN | $ | 671,411 | ||||||||
8.50%, 11/18/38, Series M 30 | 4,854,000 | MXN | 273,876 | |||||||||
7.75%, 11/13/42, Series M | 14,142,000 | MXN | 739,069 | |||||||||
8.00%, 11/7/47, Series M | 10,000,000 | MXN | 535,682 | |||||||||
|
| |||||||||||
Total Mexico | 7,318,322 | |||||||||||
Peru – 3.0% | ||||||||||||
Peru Government Bond | 1,000 | PEN | 337 | |||||||||
Peruvian Government International Bond | 1,361,000 | PEN | 465,769 | |||||||||
5.70%, 8/12/24, Reg S | 2,225,000 | PEN | 744,837 | |||||||||
8.20%, 8/12/26, Reg S | 5,418,000 | PEN | 2,073,706 | |||||||||
6.95%, 8/12/31, Reg S | 7,181,000 | PEN | 2,584,213 | |||||||||
6.90%, 8/12/37, Reg S | 3,165,000 | PEN | 1,123,935 | |||||||||
|
| |||||||||||
Total Peru | 6,992,797 | |||||||||||
Philippines – 2.9% | ||||||||||||
Philippine Government International Bond | 100,000,000 | PHP | 1,979,647 | |||||||||
3.90%, 11/26/22 | 98,000,000 | PHP | 1,874,194 | |||||||||
6.25%, 1/14/36 | 131,000,000 | PHP | 2,836,069 | |||||||||
|
| |||||||||||
Total Philippines | 6,689,910 | |||||||||||
Poland – 6.2% | ||||||||||||
Republic of Poland Government Bond | 1,500,000 | PLN | 448,361 | |||||||||
5.50%, 10/25/19, Series 1019 | 124,000 | PLN | 38,567 | |||||||||
1.50%, 4/25/20, Series 0420 | 5,000,000 | PLN | 1,456,920 | |||||||||
5.25%, 10/25/20, Series 1020 | 5,229,000 | PLN | 1,663,880 | |||||||||
1.75%, 7/25/21, Series 0721 | 2,355,000 | PLN | 680,368 | |||||||||
5.75%, 10/25/21, Series 1021 | 2,360,000 | PLN | 775,475 | |||||||||
2.25%, 4/25/22, Series 0422 | 1,609,000 | PLN | 467,804 | |||||||||
5.75%, 9/23/22, Series 0922 | 8,059,000 | PLN | 2,686,451 | |||||||||
4.00%, 10/25/23, Series 1023 | 5,046,000 | PLN | 1,570,824 | |||||||||
3.25%, 7/25/25, Series 0725 | 4,316,000 | PLN | 1,272,714 | |||||||||
2.50%, 7/25/26, Series 0726 | 6,306,000 | PLN | 1,751,621 | |||||||||
2.50%, 7/25/27, Series 0727 | 5,135,000 | PLN | 1,407,485 | |||||||||
|
| |||||||||||
Total Poland | 14,220,470 | |||||||||||
Romania – 3.0% | ||||||||||||
Romania Government Bond | 1,650,000 | RON | 432,769 | |||||||||
2.25%, 2/26/20, Series 4Y | 1,735,000 | RON | 450,158 | |||||||||
5.75%, 4/29/20, Series 7Y | 3,980,000 | RON | 1,103,812 | |||||||||
3.25%, 3/22/21, Series 5Y | 2,930,000 | RON | 761,548 | |||||||||
5.95%, 6/11/21, Series 10Y | 4,020,000 | RON | 1,129,018 | |||||||||
5.85%, 4/26/23, Series 10Y | 5,950,000 | RON | 1,676,480 | |||||||||
4.75%, 2/24/25, Series 10Y | 2,495,000 | RON | 669,778 | |||||||||
5.80%, 7/26/27, Series 15Y | 2,500,000 | RON | 717,813 | |||||||||
|
| |||||||||||
Total Romania | 6,941,376 | |||||||||||
Russia – 10.6% | ||||||||||||
Russian Federal Bond – OFZ | 41,220,000 | RUB | 735,606 | |||||||||
6.80%, 12/11/19, Series 6210 | 84,870,000 | RUB | 1,519,783 | |||||||||
7.60%, 4/14/21, Series 6205 | 187,964,000 | RUB | 3,447,703 | |||||||||
7.50%, 8/18/21, Series 6217 | 155,000,000 | RUB | 2,842,766 | |||||||||
7.00%, 1/25/23, Series 6211 | 105,054,000 | RUB | 1,908,494 | |||||||||
7.00%, 8/16/23, Series 6215 | 239,105,000 | RUB | 4,339,222 | |||||||||
7.75%, 9/16/26, Series 6219 | 100,000,000 | RUB | 1,881,984 | |||||||||
7.05%, 1/19/28, Series 6212 | 249,885,000 | RUB | 4,486,536 | |||||||||
8.50%, 9/17/31, Series 6218 | 69,595,000 | RUB | 1,386,436 | |||||||||
7.70%, 3/23/33, Series 6221 | 100,000,000 | RUB | 1,861,521 | |||||||||
|
| |||||||||||
Total Russia | 24,410,051 | |||||||||||
South Africa – 4.3% | ||||||||||||
Republic of South Africa Government Bond | ||||||||||||
10.50%, 12/21/26, Series R186 | 11,512,000 | ZAR | 1,119,040 | |||||||||
7.00%, 2/28/31, Series R213 | 6,092,000 | ZAR | 450,445 | |||||||||
6.25%, 3/31/36, Series R209 | 38,656,600 | ZAR | 2,499,931 | |||||||||
9.00%, 1/31/40, Series 2040 | 33,000,000 | ZAR | 2,782,671 | |||||||||
8.75%, 1/31/44, Series 2044 | 5,000,000 | ZAR | 409,716 | |||||||||
8.75%, 2/28/48, Series 2048 | 33,120,000 | ZAR | 2,715,538 | |||||||||
|
| |||||||||||
Total South Africa | 9,977,341 | |||||||||||
Thailand ��� 4.9% | ||||||||||||
Thailand Government Bond | 30,620,000 | THB | 1,046,827 | |||||||||
1.88%, 6/17/22 | 60,095,000 | THB | 1,923,182 | |||||||||
3.63%, 6/16/23 | 61,669,000 | THB | 2,137,912 | |||||||||
3.85%, 12/12/25 | 57,480,000 | THB | 2,038,647 | |||||||||
4.88%, 6/22/29 | 78,602,000 | THB | 3,047,950 | |||||||||
3.40%, 6/17/36 | 37,500,000 | THB | 1,248,360 | |||||||||
|
| |||||||||||
Total Thailand | 11,442,878 | |||||||||||
Turkey – 4.3% | ||||||||||||
Turkey Government Bond | 3,066,000 | TRY | 767,215 | |||||||||
10.50%, 1/15/20 | 1,456,000 | TRY | 370,460 | |||||||||
9.50%, 1/12/22 | 9,114,000 | TRY | 2,209,991 | |||||||||
8.50%, 9/14/22 | 8,439,000 | TRY | 1,958,743 | |||||||||
8.00%, 3/12/25 | 15,572,000 | TRY | 3,399,580 | |||||||||
11.00%, 2/24/27 | 5,000,000 | TRY | 1,272,839 | |||||||||
|
| |||||||||||
Total Turkey | 9,978,828 | |||||||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $221,171,077) | 202,137,412 | |||||||||||
SUPRANATIONAL BONDS – 4.3% | ||||||||||||
European Bank for Reconstruction & Development | 37,910,000,000 | IDR | 2,750,942 | |||||||||
European Investment Bank | 40,000,000 | MXN | 2,111,200 | |||||||||
8.38%, 7/29/22, Reg S | 12,620,000 | ZAR | 1,095,656 | |||||||||
8.13%, 12/21/26 | 24,740,000 | ZAR | 2,091,648 | |||||||||
International Finance Corp. | 37,000,000 | MXN | 1,877,553 | |||||||||
TOTAL SUPRANATIONAL BONDS (Cost: $9,789,777) |
| 9,926,999 | ||||||||||
TOTAL INVESTMENTS IN SECURITIES – 92.8% (Cost: $233,642,773) |
| 214,389,478 | ||||||||||
Other Assets less Liabilities – 7.2% | 16,647,306 | |||||||||||
|
| |||||||||||
NET ASSETS – 100.0% | $ | 231,036,784 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 83 |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Emerging Markets Local Debt Fund (ELD)
February 28, 2018
† | Principal amount is reported in U.S. dollars unless otherwise noted. |
(a) | Represents a zero coupon bond. Rate shown reflects the effective yield as of February 28, 2018. |
(b) | This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers. |
Reg S – Regulation S provides an exclusion from the registration requirements of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||||||||||||||
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER) | ||||||||||||||||||||||||||||
Counterparty | Settlement Date | Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Bank of America N.A. | 3/21/2018 | 4,500,000 | TRY | 1,095,958 | USD | $ | 79,293 | $ | — | |||||||||||||||||||
Bank of America N.A. | 3/22/2018 | 35,000,000 | INR | 541,293 | USD | — | (5,671 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/22/2018 | 502,892 | USD | 1,500,000,000 | COP | — | (19,772 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/22/2018 | 191,655 | USD | 3,700,000 | MXN | — | (3,811 | ) | ||||||||||||||||||||
Canadian Imperial Bank of Commerce | 3/22/2018 | 4,217,727,364 | COP | 1,385,360 | USD | 84,277 | — | |||||||||||||||||||||
Citibank N.A. | 3/22/2018 | 17,584,800 | MXN | 902,099 | USD | 26,882 | — | |||||||||||||||||||||
Citibank N.A. | 3/22/2018 | 380,362 | USD | 24,757,780 | INR | 1,482 | — | |||||||||||||||||||||
Goldman Sachs | 3/22/2018 | 797,930 | USD | 15,000,000 | MXN | 5,501 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/22/2018 | 35,000,000 | INR | 542,552 | USD | — | (6,930 | ) | ||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/22/2018 | 90,000,000 | THB | 2,831,970 | USD | 33,567 | — | |||||||||||||||||||||
JP Morgan Chase Bank N.A. | 3/22/2018 | 707,527 | USD | 45,714,000 | INR | 7,943 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/22/2018 | 17,584,800 | MXN | 902,041 | USD | 26,940 | — | |||||||||||||||||||||
Morgan Stanley & Co. International | 3/22/2018 | 380,356 | USD | 24,757,780 | INR | 1,476 | — | |||||||||||||||||||||
Royal Bank of Canada | 3/22/2018 | 42,360,000 | INR | 656,337 | USD | — | (8,082 | ) | ||||||||||||||||||||
State Street Bank and Trust | 3/1/2018 | 140,692 | USD | 1,662,220 | ZAR | — | (130 | ) | ||||||||||||||||||||
State Street Bank and Trust | 3/22/2018 | 4,052,326,291 | COP | 1,331,907 | USD | 80,097 | — | |||||||||||||||||||||
State Street Bank and Trust | 3/22/2018 | 2,364,671 | USD | 6,770,053,655 | COP | 5,696 | — | |||||||||||||||||||||
UBS AG | 3/21/2018 | 5,800,000 | TRY | 1,483,120 | USD | 31,648 | — | |||||||||||||||||||||
UBS AG | 3/22/2018 | 16,550,400 | MXN | 848,985 | USD | 25,349 | — | |||||||||||||||||||||
UBS AG | 3/22/2018 | 2,000,000 | MXN | 105,324 | USD | 333 | — | |||||||||||||||||||||
UBS AG | 3/22/2018 | 358,018 | USD | 23,301,440 | INR | 1,425 | — | |||||||||||||||||||||
$ | 411,909 | $ | (44,396 | ) |
CURRENCY LEGEND | ||||||||||||||||||||
ARS | Argentine Peso | MYR | Malaysian ringgit | |||||||||||||||||
BRL | Brazilian real | PEN | Peruvian Nuevo sol | |||||||||||||||||
CLP | Chilean peso | PHP | Philippine peso | |||||||||||||||||
CNH | Offshore Chinese renminbi | PLN | Polish zloty | |||||||||||||||||
CNY | Chinese yuan | RON | Romanian leu | |||||||||||||||||
COP | Colombian peso | RUB | Russian ruble | |||||||||||||||||
HUF | Hungary forint | THB | Thai baht | |||||||||||||||||
IDR | Indonesian rupiah | TRY | Turkish New lira | |||||||||||||||||
INR | Indian rupee | USD | U.S. dollar | |||||||||||||||||
MXN | Mexican peso | ZAR | South African rand |
See Notes to Financial Statements.
84 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 28, 2018
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – 83.1% | ||||||||
United States – 83.1% | ||||||||
24 Hour Fitness Worldwide, Inc. | $ | 100,000 | $ | 100,000 | ||||
99 Cents Only Stores LLC | 50,000 | 46,688 | ||||||
Acadia Healthcare Co., Inc. | 25,000 | 25,428 | ||||||
Acosta, Inc. | 256,000 | 184,320 | ||||||
Actuant Corp. | 290,000 | 295,437 | ||||||
ADT Corp. (The) | 793,000 | 846,032 | ||||||
Advanced Micro Devices, Inc. | 288,000 | 317,520 | ||||||
AECOM | 356,000 | 373,373 | ||||||
AES Corp. | 260,000 | 287,300 | ||||||
AGCO Corp. | 100,000 | 106,002 | ||||||
Aircastle Ltd. | 50,000 | 50,500 | ||||||
5.13%, 3/15/21 | 370,000 | 381,562 | ||||||
AK Steel Corp. | 25,000 | 25,938 | ||||||
Aleris International, Inc. | 290,000 | 288,718 | ||||||
9.50%, 4/1/21(a) | 125,000 | 131,719 | ||||||
Allegheny Technologies, Inc. | 350,000 | 358,312 | ||||||
Allegiant Travel Co. | 150,000 | 153,938 | ||||||
Alliance One International, Inc. | 150,000 | 156,375 | ||||||
9.88%, 7/15/21 | 199,000 | 192,781 | ||||||
Ally Financial, Inc. | 150,000 | 151,697 | ||||||
8.00%, 12/31/18 | 50,000 | 52,188 | ||||||
3.50%, 1/27/19 | 601,000 | 604,636 | ||||||
3.75%, 11/18/19 | 100,000 | 100,800 | ||||||
7.50%, 9/15/20 | 700,000 | 763,000 | ||||||
4.25%, 4/15/21 | 200,000 | 203,000 | ||||||
AMC Entertainment Holdings, Inc. | 25,000 | 25,313 | ||||||
American Airlines Group, Inc. | 291,000 | 298,275 | ||||||
4.63%, 3/1/20(a) | 350,000 | 354,812 | ||||||
American Axle & Manufacturing, Inc. | 25,000 | 25,425 | ||||||
6.63%, 10/15/22 | 200,000 | 207,000 | ||||||
American Midstream Partners L.P. | 173,000 | 176,460 | ||||||
American Tire Distributors, Inc. | 300,000 | 313,911 | ||||||
Amkor Technology, Inc. | 351,000 | 362,407 | ||||||
Amsted Industries, Inc. | 88,000 | 89,980 | ||||||
Andeavor Logistics L.P. | 203,000 | 209,608 | ||||||
Anixter, Inc. | 250,000 | 258,125 | ||||||
Antero Resources Corp. | 573,000 | 588,041 | ||||||
Apex Tool Group LLC | 72,000 | 73,400 | ||||||
APX Group, Inc. | 200,000 | 202,000 | ||||||
7.88%, 12/1/22 | 300,000 | 316,875 | ||||||
Archrock Partners L.P. | 125,000 | 125,938 | ||||||
6.00%, 10/1/22 | 25,000 | 25,188 | ||||||
Arconic, Inc. | 295,000 | 313,387 | ||||||
5.40%, 4/15/21 | 200,000 | 208,750 | ||||||
5.87%, 2/23/22 | 538,000 | 572,970 | ||||||
Artesyn Embedded Technologies, Inc. | 82,000 | 79,540 | ||||||
Ascent Resources Utica Holdings LLC | 534,000 | 571,380 | ||||||
Ashland LLC | 570,000 | 584,250 | ||||||
AV Homes, Inc. | 160,000 | 165,400 | ||||||
Avis Budget Car Rental LLC | 150,000 | 150,188 | ||||||
Avon Products, Inc. | 100,000 | 101,000 | ||||||
B&G Foods, Inc. | 214,000 | 215,338 | ||||||
Ball Corp. | 300,000 | 307,875 | ||||||
Beazer Homes USA, Inc. | 220,000 | 238,150 | ||||||
Berry Global, Inc. | 210,000 | 216,038 | ||||||
BI-LO LLC | 50,000 | 48,625 | ||||||
Bill Barrett Corp. | 150,000 | 150,750 | ||||||
Blackboard, Inc. | 100,000 | 91,000 | ||||||
Blue Racer Midstream LLC | 150,000 | 154,500 | ||||||
BMC Software Finance, Inc. | 765,000 | 771,694 | ||||||
Bon-Ton Department Stores, Inc. (The) | 50,000 | 9,250 | ||||||
Boxer Parent Co., Inc. | 12,000 | 12,030 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 85 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Bristow Group, Inc. | $ | 150,000 | $ | 129,000 | ||||
Buckeye Partners L.P. | ||||||||
6.38%, 1/22/78, (6.375% fixed rate until 1/22/23; 3-month U.S. dollar London Interbank Offered Rate + 4.020% thereafter)(d) | 25,000 | 25,050 | ||||||
CalAtlantic Group, Inc. | 250,000 | 285,937 | ||||||
California Resources Corp. | 400,000 | 318,500 | ||||||
Calpine Corp. | 265,000 | 273,612 | ||||||
Calumet Specialty Products Partners L.P. | 395,000 | 387,100 | ||||||
Cardtronics, Inc. | 25,000 | 24,438 | ||||||
Carpenter Technology Corp. | 250,000 | 257,342 | ||||||
Carrizo Oil & Gas, Inc. | 123,000 | 125,614 | ||||||
CCO Holdings LLC | 250,000 | 255,000 | ||||||
CEC Entertainment, Inc. | 220,000 | 214,500 | ||||||
Centene Corp. | 100,000 | 102,625 | ||||||
4.75%, 5/15/22 | 648,000 | 662,175 | ||||||
Century Aluminum Co. | 258,000 | 265,740 | ||||||
Century Communities, Inc. | 342,000 | 356,145 | ||||||
CenturyLink, Inc. | 25,000 | 25,938 | ||||||
5.63%, 4/1/20, Series V | 700,000 | 713,090 | ||||||
5.80%, 3/15/22, Series T | 250,000 | 247,812 | ||||||
Cenveo Corp. | 137,000 | 65,760 | ||||||
Cequel Communications Holdings I LLC | 155,000 | 157,131 | ||||||
5.13%, 12/15/21(a) | 503,000 | 503,520 | ||||||
Ceridian HCM Holding, Inc. | 150,000 | 155,187 | ||||||
CF Industries, Inc. | 421,000 | 449,944 | ||||||
Chesapeake Energy Corp. | 140,000 | 144,858 | ||||||
6.13%, 2/15/21(b) | 365,000 | 370,475 | ||||||
Choice Hotels International, Inc. | 350,000 | 375,812 | ||||||
CIT Group, Inc. | 699,000 | 704,242 | ||||||
5.00%, 8/15/22 | 200,000 | 206,750 | ||||||
Citgo Holding, Inc. | 350,000 | 377,125 | ||||||
CITGO Petroleum Corp. | 100,000 | 100,625 | ||||||
Claire’s Stores, Inc. | 308,000 | 210,980 | ||||||
Clean Harbors, Inc. | 320,000 | 322,800 | ||||||
Clear Channel International B.V. | 200,000 | 210,000 | ||||||
Clear Channel Worldwide Holdings, Inc. | 700,000 | 701,750 | ||||||
6.50%, 11/15/22, Series A | 753,000 | 775,966 | ||||||
Cloud Peak Energy Resources LLC | 150,000 | 159,750 | ||||||
CNO Financial Group, Inc. | 200,000 | 203,000 | ||||||
CNX Resources Corp. | 499,000 | 503,054 | ||||||
Cogent Communications Group, Inc. | 200,000 | 209,250 | ||||||
CommScope, Inc. | 365,000 | 371,387 | ||||||
Community Health Systems, Inc. | 400,000 | 376,954 | ||||||
5.13%, 8/1/21(b) | 498,000 | 461,895 | ||||||
6.88%, 2/1/22(b) | 1,167,000 | 767,302 | ||||||
Comstock Resources, Inc. | 208,000 | 216,320 | ||||||
Consolidated Communications, Inc. | 148,000 | 130,240 | ||||||
Continental Resources, Inc. | 790,000 | 803,825 | ||||||
Covanta Holding Corp. | 200,000 | 204,750 | ||||||
Credit Acceptance Corp. | 238,000 | 240,380 | ||||||
Crescent Communities LLC | 145,000 | 153,700 | ||||||
CSC Holdings LLC | 565,000 | 595,722 | ||||||
CSI Compressco L.P. | 100,000 | 97,750 | ||||||
CURO Financial Technologies Corp. | 151,000 | 167,233 | ||||||
CVR Refining LLC | 250,000 | 257,187 | ||||||
Darling Ingredients, Inc. | 200,000 | 205,500 | ||||||
DaVita, Inc. | 350,000 | 360,500 | ||||||
DCP Midstream Operating L.P. | 155,000 | 159,650 | ||||||
4.75%, 9/30/21(a) | 469,000 | 479,552 | ||||||
Dell, Inc. | 312,000 | 314,106 | ||||||
5.88%, 6/15/19(b) | 325,000 | 335,192 | ||||||
Denbury Resources, Inc. | 200,000 | 205,500 | ||||||
5.50%, 5/1/22 | 100,000 | 77,500 |
See Notes to Financial Statements.
86 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 28, 2018
Investments | Principal Amount | Value | ||||||
DISH DBS Corp. | $ | 797,000 | $ | 842,827 | ||||
5.13%, 5/1/20 | 300,000 | 300,750 | ||||||
6.75%, 6/1/21 | 800,000 | 824,000 | ||||||
DJO Finco, Inc. | 238,000 | 232,050 | ||||||
DriveTime Automotive Group, Inc. | 50,000 | 49,750 | ||||||
Dun & Bradstreet Corp. (The) | 40,000 | 40,617 | ||||||
DynCorp International, Inc. | 191,505 | 201,080 | ||||||
Dynegy, Inc. | 490,000 | 517,562 | ||||||
Eagle Holding Co. II LLC | 108,000 | 108,271 | ||||||
Edgewell Personal Care Co. | 50,000 | 50,500 | ||||||
EMC Corp. | 677,000 | 658,909 | ||||||
Endo Finance LLC | 420,000 | 345,450 | ||||||
7.25%, 1/15/22(a) | 155,000 | 130,200 | ||||||
Energen Corp. | 274,000 | 272,630 | ||||||
Energy Transfer Equity L.P. | 510,000 | 554,625 | ||||||
Enova International, Inc. | 135,000 | 142,931 | ||||||
EnPro Industries, Inc. | 285,000 | 296,842 | ||||||
Ensco PLC | 60,000 | 60,000 | ||||||
Envision Healthcare Corp. | 609,000 | 621,941 | ||||||
Enviva Partners L.P. | 100,000 | 105,500 | ||||||
EP Energy LLC | 279,000 | 207,158 | ||||||
Equinix, Inc. | 100,000 | 103,875 | ||||||
EV Energy Partners L.P. | 131,000 | 66,155 | ||||||
FBM Finance, Inc. | 50,000 | 53,000 | ||||||
Ferrellgas L.P. | 452,000 | 429,400 | ||||||
Ferroglobe PLC | 150,000 | 161,063 | ||||||
Fidelity & Guaranty Life Holdings, Inc. | 125,000 | 127,031 | ||||||
First Quality Finance Co., Inc. | 350,000 | 350,000 | ||||||
Fortress Transportation & Infrastructure Investors LLC | 256,000 | 264,640 | ||||||
Forum Energy Technologies, Inc. | 300,000 | 299,625 | ||||||
Freeport-McMoRan, Inc. | 435,000 | 432,281 | ||||||
4.00%, 11/14/21 | 873,000 | 873,000 | ||||||
6.75%, 2/1/22 | 100,000 | 103,375 | ||||||
Frontier Communications Corp. | 387,000 | 394,624 | ||||||
8.50%, 4/15/20(b) | 169,000 | 166,254 | ||||||
9.25%, 7/1/21(b) | 25,000 | 23,245 | ||||||
6.25%, 9/15/21 | 426,000 | 364,762 | ||||||
FTI Consulting, Inc. | 200,000 | 206,000 | ||||||
GameStop Corp. | 350,000 | 360,062 | ||||||
Gates Global LLC | 159,000 | 161,798 | ||||||
GCI, Inc. | 200,000 | 203,250 | ||||||
General Cable Corp. | 286,000 | 295,295 | ||||||
Genesis Energy L.P. | 200,000 | 206,500 | ||||||
GenOn Energy, Inc. | 110,000 | 94,325 | ||||||
Genworth Holdings, Inc. | 375,000 | 376,406 | ||||||
7.20%, 2/15/21 | 257,000 | 252,502 | ||||||
7.63%, 9/24/21(b) | 336,000 | 331,296 | ||||||
Global Partners L.P. | 125,000 | 125,938 | ||||||
GLP Capital L.P. | 290,000 | 297,250 | ||||||
Gogo Intermediate Holdings LLC | 100,000 | 112,011 | ||||||
Graphic Packaging International LLC | 150,000 | 153,375 | ||||||
Great Lakes Dredge & Dock Corp. | 210,000 | 218,925 | ||||||
Greif, Inc. | 170,000 | 179,350 | ||||||
Griffon Corp. | 413,000 | 415,581 | ||||||
Group 1 Automotive, Inc. | 441,000 | 452,025 | ||||||
Guitar Center, Inc. | 175,000 | 173,688 | ||||||
Harland Clarke Holdings Corp. | 75,000 | 76,313 | ||||||
9.25%, 3/1/21(a) | 235,000 | 243,812 | ||||||
8.38%, 8/15/22(a) | 250,000 | 259,375 | ||||||
HC2 Holdings, Inc. | 169,000 | 173,225 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 87 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 28, 2018
Investments | Principal Amount | Value | ||||||
HCA Healthcare, Inc. | $ | 750,000 | $ | 791,250 | ||||
HCA, Inc. | 484,000 | 488,250 | ||||||
6.50%, 2/15/20 | 737,000 | 779,377 | ||||||
7.50%, 2/15/22 | 159,000 | 176,291 | ||||||
5.88%, 3/15/22 | 526,000 | 558,875 | ||||||
Hearthside Group Holdings LLC | 50,000 | 50,625 | ||||||
Hecla Mining Co. | 352,000 | 359,480 | ||||||
Herc Rentals, Inc. | 378,000 | 406,350 | ||||||
Hertz Corp. (The) | 100,000 | 100,125 | ||||||
7.38%, 1/15/21(b) | 325,000 | 325,000 | ||||||
6.25%, 10/15/22(b) | 100,000 | 95,219 | ||||||
Hexion Nova Scotia Finance ULC | 175,000 | 141,313 | ||||||
Hexion, Inc. | 558,000 | 521,730 | ||||||
Hillman Group, Inc. (The) | 160,000 | 156,800 | ||||||
Hornbeck Offshore Services, Inc. | 165,000 | 114,675 | ||||||
5.00%, 3/1/21 | 238,000 | 141,610 | ||||||
HRG Group, Inc. | 270,000 | 281,981 | ||||||
Hub Holdings LLC | 117,000 | 117,293 | ||||||
HUB International Ltd. | 200,000 | 206,500 | ||||||
Hughes Satellite Systems Corp. | 450,000 | 486,000 | ||||||
Huntsman International LLC | 455,000 | 467,071 | ||||||
Icahn Enterprises L.P. | 600,000 | 612,075 | ||||||
5.88%, 2/1/22 | 200,000 | 200,750 | ||||||
6.25%, 2/1/22 | 100,000 | 101,750 | ||||||
iHeartCommunications, Inc. | 550,000 | 440,000 | ||||||
9.00%, 3/1/21(c) | 1,104,000 | 883,200 | ||||||
Immucor, Inc. | 180,000 | 187,650 | ||||||
Infor Software Parent LLC | 290,000 | 296,162 | ||||||
Infor U.S., Inc. | 100,000 | 102,125 | ||||||
6.50%, 5/15/22 | 216,000 | 221,940 | ||||||
Ingram Micro, Inc. | 25,000 | 25,094 | ||||||
International Game Technology PLC | 600,000 | 636,750 | ||||||
INVISTA Finance LLC | 285,000 | 287,850 | ||||||
Iron Mountain, Inc. | 100,000 | 101,400 | ||||||
iStar, Inc. | 295,000 | 295,922 | ||||||
6.50%, 7/1/21 | 151,000 | 153,643 | ||||||
6.00%, 4/1/22 | 200,000 | 201,500 | ||||||
5.25%, 9/15/22 | 145,000 | 142,825 | ||||||
Jack Ohio Finance LLC | 210,000 | 219,339 | ||||||
10.25%, 11/15/22(a) | 50,000 | 54,875 | ||||||
Jefferies Finance LLC | 200,000 | 203,402 | ||||||
7.50%, 4/15/21(a) | 256,000 | 264,320 | ||||||
Joseph T Ryerson & Son, Inc. | 157,000 | 175,188 | ||||||
Jurassic Holdings III, Inc. | 100,000 | 89,000 | ||||||
K Hovnanian Enterprises, Inc. | 182,000 | 199,518 | ||||||
KB Home | 191,000 | 194,343 | ||||||
8.00%, 3/15/20 | 207,000 | 224,854 | ||||||
7.00%, 12/15/21 | 354,000 | 385,860 | ||||||
Kindred Healthcare, Inc. | 286,000 | 307,092 | ||||||
6.38%, 4/15/22 | 50,000 | 50,875 | ||||||
Kinetic Concepts, Inc. | 180,000 | 186,525 | ||||||
12.50%, 11/1/21(a) | 160,000 | 181,200 | ||||||
KLX, Inc. | 545,000 | 563,394 | ||||||
L Brands, Inc. | 220,000 | 236,637 | ||||||
6.63%, 4/1/21 | 615,000 | 659,397 | ||||||
Ladder Capital Finance Holdings LLLP | 229,000 | 231,290 | ||||||
Laredo Petroleum, Inc. | 264,000 | 262,680 | ||||||
Legacy Reserves L.P. | 243,000 | 179,516 | ||||||
Leidos Holdings, Inc. | 240,000 | 246,638 | ||||||
Lennar Corp. | 89,000 | 90,113 | ||||||
4.13%, 12/1/18 | 50,000 | 50,325 | ||||||
4.50%, 6/15/19 | 805,000 | 816,069 | ||||||
4.75%, 4/1/21(b) | 210,000 | 215,250 | ||||||
6.25%, 12/15/21(a) | 244,000 | 261,641 | ||||||
Level 3 Financing, Inc. | 447,000 | 452,587 | ||||||
Level 3 Parent LLC | 183,000 | 185,288 | ||||||
Lexmark International, Inc. | 240,000 | 245,100 |
See Notes to Financial Statements.
88 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 28, 2018
Investments | Principal Amount | Value | ||||||
LifePoint Health, Inc. | $ | 250,000 | $ | 252,812 | ||||
LIN Television Corp. | 262,000 | 271,825 | ||||||
Live Nation Entertainment, Inc. | 135,000 | 139,556 | ||||||
LSB Industries, Inc. | 203,000 | 203,508 | ||||||
M/I Homes, Inc. | 324,000 | 335,340 | ||||||
Mallinckrodt International Finance S.A. | 300,000 | 291,750 | ||||||
Manitowoc Co., Inc. (The) | 225,000 | 254,812 | ||||||
Martin Midstream Partners L.P. | 140,000 | 140,700 | ||||||
Mattel, Inc. | 200,000 | 201,000 | ||||||
McClatchy Co. (The) | 125,000 | 130,938 | ||||||
McDermott International, Inc. | 305,000 | 313,769 | ||||||
MDC Holdings, Inc. | 186,000 | 193,440 | ||||||
Men’s Wearhouse, Inc. (The) | 179,000 | 179,000 | ||||||
Meritage Homes Corp. | 419,000 | 449,377 | ||||||
7.00%, 4/1/22 | 118,000 | 130,685 | ||||||
MGM Resorts International | 772,000 | 826,040 | ||||||
6.63%, 12/15/21 | 506,000 | 548,023 | ||||||
MHGE Parent LLC | 44,000 | 44,000 | ||||||
Midas Intermediate Holdco II LLC | 161,000 | 163,616 | ||||||
Midcontinent Express Pipeline LLC | 300,000 | 309,375 | ||||||
Molina Healthcare, Inc. | 536,000 | 536,000 | ||||||
Momentive Performance Materials, Inc. | 200,000 | 208,500 | ||||||
Monitronics International, Inc. | 200,000 | 175,000 | ||||||
Moog, Inc. | 175,000 | 180,688 | ||||||
Murphy Oil Corp. | 150,000 | 146,625 | ||||||
4.45%, 12/1/22 | 100,000 | 99,000 | ||||||
Murray Energy Corp. | 250,000 | 111,250 | ||||||
Nabors Industries, Inc. | 200,000 | 201,500 | ||||||
National CineMedia LLC | 186,000 | 188,558 | ||||||
Nationstar Mortgage LLC | 245,000 | 251,584 | ||||||
6.50%, 7/1/21 | 225,000 | 230,626 | ||||||
Natural Resource Partners L.P. | 150,000 | 159,000 | ||||||
Navient Corp. | 869,000 | 883,947 | ||||||
8.00%, 3/25/20 | 1,000,000 | 1,073,750 | ||||||
5.00%, 10/26/20 | 400,000 | 403,500 | ||||||
5.88%, 3/25/21 | 200,000 | 206,750 | ||||||
6.63%, 7/26/21 | 200,000 | 209,500 | ||||||
6.50%, 6/15/22 | 202,000 | 210,838 | ||||||
Navios Maritime Acquisition Corp. | 329,000 | 270,602 | ||||||
Navios Maritime Holdings, Inc. | 195,000 | 160,266 | ||||||
NCL Corp., Ltd. | 300,000 | 307,125 | ||||||
NCR Corp. | 185,000 | 184,075 | ||||||
5.00%, 7/15/22 | 136,000 | 137,020 | ||||||
Neiman Marcus Group Ltd. LLC | 280,000 | 170,800 | ||||||
8.75%, 10/15/21, Toggle PIK (8.75% Cash or 9.50% PIK)(a)(b) | 150,000 | 86,250 | ||||||
Neovia Logistics Services LLC | 90,000 | 71,550 | ||||||
Netflix, Inc. | 250,000 | 260,937 | ||||||
5.50%, 2/15/22 | 240,000 | 250,800 | ||||||
New Home Co., Inc. (The) | 162,000 | 168,885 | ||||||
Newfield Exploration Co. | 470,000 | 498,200 | ||||||
NGL Energy Partners L.P. | 184,000 | 184,920 | ||||||
6.88%, 10/15/21 | 350,000 | 354,375 | ||||||
Nielsen Co. Luxembourg SARL (The) | 365,000 | 374,125 | ||||||
Nielsen Finance LLC | 500,000 | 506,875 | ||||||
Nine West Holdings, Inc. | 98,000 | 6,370 | ||||||
Northern Oil and Gas, Inc. | 221,000 | 202,768 | ||||||
Northwest Acquisitions ULC | 50,000 | 51,745 | ||||||
NRG Energy, Inc. | 419,000 | 434,712 | ||||||
NuStar Logistics L.P. | 451,000 | 456,637 | ||||||
Oasis Petroleum, Inc. | 150,000 | 153,375 | ||||||
6.88%, 3/15/22 | 450,000 | 462,094 | ||||||
Och-Ziff Finance Co. LLC | 310,000 | 304,575 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 89 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Omnimax International, Inc. | $ | 134,000 | $ | 144,385 | ||||
OneMain Financial Holdings LLC | 150,000 | 155,925 | ||||||
Opal Acquisition, Inc. | 133,000 | 119,700 | ||||||
Orbital ATK, Inc. | 300,000 | 307,875 | ||||||
Ortho-Clinical Diagnostics, Inc. | 250,000 | 249,375 | ||||||
Oshkosh Corp. | 365,000 | 376,008 | ||||||
Outfront Media Capital LLC | 100,000 | 102,500 | ||||||
Owens-Brockway Glass Container, Inc. | 150,000 | 153,563 | ||||||
Pacific Drilling S.A. | 100,000 | 41,750 | ||||||
Park Aerospace Holdings Ltd. | 671,000 | 674,355 | ||||||
Parker Drilling Co. | 148,000 | 123,580 | ||||||
Peabody Energy Corp. | 200,000 | 205,750 | ||||||
Penske Automotive Group, Inc. | 370,000 | 380,406 | ||||||
PHI, Inc. | 100,000 | 98,625 | ||||||
Pinnacle Foods Finance LLC | 315,000 | 318,937 | ||||||
Pioneer Energy Services Corp. | 150,000 | 136,313 | ||||||
Platform Specialty Products Corp. | 400,000 | 411,500 | ||||||
Ply Gem Industries, Inc. | 100,000 | 104,158 | ||||||
Polaris Intermediate Corp. | 500,000 | 511,250 | ||||||
PQ Corp. | 50,000 | 52,938 | ||||||
Prestige Brands, Inc. | 100,000 | 100,500 | ||||||
PulteGroup, Inc. | 465,000 | 474,300 | ||||||
QEP Resources, Inc. | 467,000 | 476,340 | ||||||
Qwest Corp. | 340,000 | 363,933 | ||||||
Range Resources Corp. | 168,000 | 172,620 | ||||||
5.88%, 7/1/22 | 25,000 | 25,500 | ||||||
Regal Entertainment Group | 250,000 | 257,500 | ||||||
Rent-A-Center, Inc. | 230,000 | 212,750 | ||||||
Resolute Energy Corp. | 175,000 | 175,219 | ||||||
Revlon Consumer Products Corp. | 203,000 | 164,938 | ||||||
RHP Hotel Properties L.P. | 292,000 | 294,555 | ||||||
Rite Aid Corp. | 120,000 | 121,500 | ||||||
6.75%, 6/15/21 | 268,000 | 274,325 | ||||||
Rivers Pittsburgh Borrower LP | 50,000 | 47,500 | ||||||
Rockies Express Pipeline LLC | 221,000 | 224,315 | ||||||
Rowan Cos., Inc. | 160,000 | 151,200 | ||||||
RSP Permian, Inc. | 200,000 | 209,000 | ||||||
rue21, Inc. | 50,000 | 602 | ||||||
Sable International Finance Ltd. | 200,000 | 212,500 | ||||||
Sable Permian Resources Land LLC | 160,000 | 162,000 | ||||||
7.13%, 11/1/20(a) | 218,000 | 171,130 | ||||||
13.00%, 11/30/20(a) | 150,000 | 173,438 | ||||||
Sabra Health Care L.P. | 100,000 | 102,313 | ||||||
Safeway, Inc. | 320,000 | 321,251 | ||||||
Sanchez Energy Corp. | 245,000 | 235,200 | ||||||
SBA Communications Corp. | 650,000 | 640,250 | ||||||
Scientific Games International, Inc. | 560,000 | 580,944 | ||||||
7.00%, 1/1/22(a) | 133,000 | 139,983 | ||||||
10.00%, 12/1/22 | 150,000 | 163,313 | ||||||
Select Medical Corp. | 424,000 | 434,028 | ||||||
SemGroup Corp. | 235,000 | 233,825 | ||||||
SESI LLC | 246,000 | 251,227 | ||||||
Signode Industrial Group Lux S.A. | 120,000 | 124,650 | ||||||
Silgan Holdings, Inc. | 112,000 | 112,000 | ||||||
Sinclair Television Group, Inc. | 300,000 | 310,500 | ||||||
SM Energy Co. | 260,000 | 265,200 | ||||||
6.50%, 1/1/23 | 125,000 | 125,625 | ||||||
Sotero Health Topco, Inc. | 100,000 | 101,125 |
See Notes to Financial Statements.
90 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Southern Star Central Corp. | $ | 50,000 | $ | 51,250 | ||||
Southwestern Energy Co. | 100,000 | 94,250 | ||||||
Springleaf Finance Corp. | 351,000 | 358,020 | ||||||
8.25%, 12/15/20 | 300,000 | 327,750 | ||||||
7.75%, 10/1/21 | 250,000 | 273,437 | ||||||
6.13%, 5/15/22 | 288,000 | 296,640 | ||||||
Springs Industries, Inc. | 100,000 | 102,000 | ||||||
Sprint Capital Corp. | 280,000 | 290,595 | ||||||
Sprint Communications, Inc. | 531,000 | 551,576 | ||||||
7.00%, 3/1/20(a) | 350,000 | 370,562 | ||||||
7.00%, 8/15/20 | 460,000 | 482,425 | ||||||
Sprint Corp. | 880,000 | 921,800 | ||||||
Starwood Property Trust, Inc. | 266,000 | 272,650 | ||||||
Steel Dynamics, Inc. | 375,000 | 380,625 | ||||||
Sungard Availability Services Capital, Inc. | 150,000 | 94,125 | ||||||
SUPERVALU, Inc. | 305,000 | 302,712 | ||||||
Surgery Center Holdings, Inc. | 150,000 | 156,375 | ||||||
Symantec Corp. | 250,000 | 255,359 | ||||||
Syniverse Foreign Holdings Corp. | 100,000 | 101,680 | ||||||
Synovus Financial Corp. | ||||||||
5.75%, 12/15/25, (5.75% fixed rate until 12/15/20; 3-month U.S. dollar London Interbank Offered Rate + 4.182% thereafter)(d) | 250,000 | 264,375 | ||||||
Talen Energy Supply LLC | 244,000 | 245,220 | ||||||
6.50%, 9/15/24(a) | 250,000 | 193,125 | ||||||
Targa Resources Partners L.P. | 5,000 | 5,050 | ||||||
TEGNA, Inc. | 53,000 | 53,795 | ||||||
5.13%, 7/15/20 | 250,000 | 253,750 | ||||||
4.88%, 9/15/21(a) | 100,000 | 101,625 | ||||||
Tenet Healthcare Corp. | 100,000 | 104,000 | ||||||
6.00%, 10/1/20 | 1,167,000 | 1,218,045 | ||||||
4.38%, 10/1/21 | 350,000 | 350,000 | ||||||
8.13%, 4/1/22 | 500,000 | 529,375 | ||||||
TIBCO Software, Inc. | 100,000 | 109,206 | ||||||
TMX Finance LLC | 60,000 | 57,750 | ||||||
Toll Brothers Finance Corp. | 200,000 | 201,750 | ||||||
5.88%, 2/15/22 | 303,000 | 323,831 | ||||||
Tops Holding LLC | 50,000 | 26,500 | ||||||
TPC Group, Inc. | 281,000 | 283,810 | ||||||
TransDigm, Inc. | 388,000 | 391,880 | ||||||
6.00%, 7/15/22 | 260,000 | 266,825 | ||||||
Transocean, Inc. | 220,000 | 228,800 | ||||||
8.38%, 12/15/21 | 250,000 | 273,750 | ||||||
Transworld Systems, Inc. | 50,000 | 13,750 | ||||||
TRI Pointe Group, Inc. | 461,000 | 464,457 | ||||||
Tribune Media Co. | 422,000 | 432,550 | ||||||
Triumph Group, Inc. | 310,000 | 303,800 | ||||||
Tronox Finance LLC | 250,000 | 260,000 | ||||||
Ultra Resources, Inc. | 250,000 | 227,813 | ||||||
Unit Corp. | 400,000 | 399,000 | ||||||
United Continental Holdings, Inc. | 335,000 | 356,775 | ||||||
4.25%, 10/1/22 | 50,000 | 49,906 | ||||||
United States Steel Corp. | 250,000 | 268,550 | ||||||
8.38%, 7/1/21(a) | 299,000 | 320,677 | ||||||
Universal Hospital Services, Inc. | 135,000 | 137,025 | ||||||
Urban One, Inc. | 25,000 | 25,188 | ||||||
Valeant Pharmaceuticals International | 400,000 | 403,500 | ||||||
Valeant Pharmaceuticals International, Inc. | 973,000 | 974,216 | ||||||
5.63%, 12/1/21(a) | 500,000 | 474,375 | ||||||
6.50%, 3/15/22(a) | 400,000 | 417,500 | ||||||
Vertiv Intermediate Holding Corp. | 129,000 | 138,191 | ||||||
VFH Parent LLC | 240,000 | 252,144 | ||||||
Viacom, Inc. | ||||||||
5.88%, 2/28/57, (5.875% fixed rate until 2/28/22; 3-month U.S. dollar London Interbank Offered Rate + 3.895% thereafter)(d) | 360,000 | 363,559 | ||||||
Weatherford International Ltd. | 110,000 | 117,920 | ||||||
5.13%, 9/15/20 | 200,000 | 201,500 | ||||||
4.50%, 4/15/22(b) | 242,000 | 214,170 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 91 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 28, 2018
Investments | Principal Amount | Value | ||||||
WESCO Distribution, Inc. | $ | 328,000 | $ | 335,380 | ||||
Whiting Petroleum Corp. | 350,000 | 358,750 | ||||||
William Carter Co. (The) | 250,000 | 255,781 | ||||||
William Lyon Homes, Inc. | 300,000 | 308,250 | ||||||
Williams Scotsman International, Inc. | 25,000 | 26,250 | ||||||
Windstream Services LLC | 253,000 | 218,845 | ||||||
8.63%, 10/31/25(a)(b) | 75,000 | 70,500 | ||||||
WMG Acquisition Corp. | 100,000 | 104,000 | ||||||
WPX Energy, Inc. | 194,000 | 208,550 | ||||||
6.00%, 1/15/22 | 300,000 | 312,750 | ||||||
WR Grace & Co-Conn | 260,000 | 269,750 | ||||||
Xerium Technologies, Inc. | 150,000 | 151,500 | ||||||
XPO Logistics, Inc. | 520,000 | 542,100 | ||||||
York Risk Services Holding Corp. | 100,000 | 95,250 | ||||||
Yum! Brands, Inc. | 125,000 | 126,250 | ||||||
TOTAL CORPORATE BONDS (Cost: $120,926,273) |
| 120,162,891 | ||||||
FOREIGN CORPORATE BONDS – 12.7% | ||||||||
Argentina – 0.0% | ||||||||
Tecpetrol S.A. | 50,000 | 48,900 | ||||||
Australia – 0.5% | ||||||||
Barminco Finance Pty Ltd. | 25,000 | 24,750 | ||||||
BlueScope Steel Finance Ltd. | 125,000 | 130,000 | ||||||
FMG Resources August 2006 Pty Ltd. | 450,000 | 451,350 | ||||||
Virgin Australia Holdings Ltd. | 115,000 | 119,971 | ||||||
|
| |||||||
Total Australia | 726,071 | |||||||
Bermuda – 0.2% | ||||||||
Teekay Corp. | 293,000 | 306,185 | ||||||
Canada – 3.6% | ||||||||
1011778 BC ULC | 200,000 | 201,750 | ||||||
Air Canada | 367,000 | 406,911 | ||||||
Athabasca Oil Corp. | 150,000 | 150,750 | ||||||
Baffinland Iron Mines Corp. | 107,000 | 116,898 | ||||||
Baytex Energy Corp. | 150,000 | 141,750 | ||||||
Bombardier, Inc. | 302,000 | 323,517 | ||||||
8.75%, 12/1/21(a) | 794,000 | 874,392 | ||||||
5.75%, 3/15/22(a)(b) | 475,000 | 476,187 | ||||||
Brookfield Residential Properties, Inc. | 155,000 | 158,209 | ||||||
6.13%, 7/1/22(a) | 251,000 | 260,413 | ||||||
Calfrac Holdings L.P. | 294,000 | 293,353 | ||||||
Cascades, Inc. | 135,000 | 137,363 | ||||||
Cooke Omega Investments, Inc. | 25,000 | 25,375 | ||||||
Eldorado Gold Corp. | 100,000 | 97,500 | ||||||
GFL Environmental, Inc. | 228,000 | 233,700 | ||||||
goeasy Ltd. | 25,000 | 26,656 | ||||||
Imperial Metals Corp. | 100,000 | 94,500 | ||||||
Jupiter Resources, Inc. | 450,000 | 214,875 | ||||||
Kinross Gold Corp. | 211,000 | 218,913 | ||||||
Kissner Holdings L.P. | 75,000 | 76,500 | ||||||
Mountain Province Diamonds, Inc. | 25,000 | 25,195 | ||||||
Taseko Mines Ltd. | 150,000 | 157,125 | ||||||
Videotron Ltd. | 420,000 | 434,175 | ||||||
|
| |||||||
Total Canada | 5,146,007 | |||||||
Finland – 0.2% | ||||||||
Nokia Oyj | 255,000 | 261,768 | ||||||
France – 0.9% | ||||||||
Credit Agricole S.A. | ||||||||
8.38%, 10/13/19, (8.375% fixed rate until 10/13/19; 3-month U.S. dollar London Interbank Offered Rate + 6.982% thereafter)(a)(d)(e) | 200,000 | 216,250 | ||||||
SFR Group S.A. | 1,171,000 | 1,138,798 | ||||||
|
| |||||||
Total France | 1,355,048 | |||||||
Germany – 0.3% | ||||||||
Welltec A/S | 200,000 | 208,100 | ||||||
ZF North America Capital, Inc. | 191,000 | 196,491 | ||||||
|
| |||||||
Total Germany | 404,591 |
See Notes to Financial Statements.
92 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Ireland – 0.3% | ||||||||
Ardagh Packaging Finance PLC | $ | 200,000 | $ | 205,250 | ||||
4.25%, 9/15/22(a) | 258,000 | 257,678 | ||||||
|
| |||||||
Total Ireland | 462,928 | |||||||
Japan – 0.4% | ||||||||
SoftBank Group Corp. | 600,000 | 606,750 | ||||||
Liberia – 0.0% | ||||||||
Eletson Holdings, Inc. | 50,000 | 26,250 | ||||||
Luxembourg – 2.3% | ||||||||
Altice Luxembourg S.A. | 855,000 | 800,494 | ||||||
ArcelorMittal | 677,000 | 706,788 | ||||||
Coveris Holdings S.A. | 236,000 | 235,316 | ||||||
Intelsat Connect Finance S.A. | 150,000 | 121,313 | ||||||
Intelsat Jackson Holdings S.A. | 998,000 | 934,377 | ||||||
7.50%, 4/1/21 | 50,000 | 45,656 | ||||||
9.50%, 9/30/22(a)(b) | 228,000 | 262,200 | ||||||
Intelsat Luxembourg S.A. | 250,000 | 143,750 | ||||||
|
| |||||||
Total Luxembourg | 3,249,894 | |||||||
Netherlands – 1.1% | ||||||||
Fiat Chrysler Automobiles N.V. | 300,000 | 305,250 | ||||||
Lincoln Finance Ltd. | 200,000 | 208,750 | ||||||
NXP B.V. | 355,000 | 362,100 | ||||||
4.13%, 6/1/21(a) | 505,000 | 515,201 | ||||||
3.88%, 9/1/22(a) | 249,000 | 250,170 | ||||||
|
| |||||||
Total Netherlands | 1,641,471 | |||||||
New Zealand – 0.6% | ||||||||
Reynolds Group Issuer, Inc. | 581,465 | 590,913 | ||||||
Trilogy International Partners LLC | 220,000 | 226,050 | ||||||
|
| |||||||
Total New Zealand | 816,963 | |||||||
Norway – 0.1% | ||||||||
Aker BP ASA | 200,000 | 208,500 | ||||||
Sweden – 0.5% | ||||||||
Perstorp Holding AB | 200,000 | 220,000 | ||||||
Telefonaktiebolaget LM Ericsson | 485,000 | 480,881 | ||||||
|
| |||||||
Total Sweden | 700,881 | |||||||
United Kingdom – 1.7% | ||||||||
Avon International Operations, Inc. | 254,000 | 262,890 | ||||||
CEVA Group PLC | 150,000 | 149,993 | ||||||
7.00%, 3/1/21(a)(b) | 150,000 | 148,500 | ||||||
Inmarsat Finance PLC | 300,000 | 298,590 | ||||||
Jaguar Land Rover Automotive PLC | 350,000 | 353,062 | ||||||
KCA Deutag UK Finance PLC | 228,000 | 241,110 | ||||||
Petrofac Ltd. | 50,000 | 49,750 | ||||||
Royal Bank of Scotland Group PLC | 281,000 | 282,742 | ||||||
6.13%, 12/15/22 | 600,000 | 640,458 | ||||||
|
| |||||||
Total United Kingdom | 2,427,095 | |||||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $18,658,633) |
| 18,389,302 | ||||||
Shares | ||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 7.7% | ||||||||
United States – 7.7% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio, | ||||||||
(Cost: $11,130,435)(g) | 11,130,435 | 11,130,435 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 103.5% (Cost: $150,715,341) |
| 149,682,628 | ||||||
Other Assets less Liabilities – (3.5)% |
| (5,047,146 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 144,635,482 |
(a) | This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers. |
(b) | Security, or portion thereof, was on loan at February 28, 2018 (See Note 2). |
(c) | Security in default on interest payments. |
(d) | Rate shown reflects the accrual rate as of February 28, 2018 on securities with variable or step rates. |
(e) | The security has a perpetual maturity; the date displayed is the next call date. |
(f) | Rate shown represents annualized 7-day yield as of February 28, 2018. |
(g) | At February 28, 2018, the total market value of the Fund’s securities on loan was $10,915,536 and the total market value of the collateral held by the Fund was $11,309,973. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $179,538. |
(h) | Subsequent to February 28, 2018, the bond issuer filed for bankruptcy protection. |
PIK – Payment In Kind.
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||
FUTURES CONTRACTS† (EXCHANGE-TRADED) | ||||||||||||||||
Short Exposure | Contracts | Expiration Date | Notional Amount1 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
2 Year U.S. Treasury Note | 386 | 6/29/18 | $ | (82,012,938 | ) | $ | 58,594 | |||||||||
5 Year U.S. Treasury Note | 291 | 6/29/18 | (33,153,539 | ) | 65,339 | |||||||||||
$ | (115,166,477 | ) | $ | 123,933 |
† | As of February 28, 2018, cash collateral posted by the Fund with the broker for futures contracts was $305,399. |
1 | “Notional Amount” represents the current notional value of the futures contract. |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 93 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Negative Duration High Yield Bond Fund (HYND)
February 28, 2018
Investments | Principal Amount | Value | ||||||
CORPORATE BONDS – 87.3% | ||||||||
United States – 87.3% | ||||||||
24 Hour Fitness Worldwide, Inc. | $ | 35,000 | $ | 35,000 | ||||
Acadia Healthcare Co., Inc. | 50,000 | 50,855 | ||||||
ACI Worldwide, Inc. | 50,000 | 50,563 | ||||||
Actuant Corp. | 50,000 | 50,937 | ||||||
ADT Corp. (The) | 100,000 | 96,000 | ||||||
Advanced Micro Devices, Inc. | 40,000 | 44,100 | ||||||
AECOM | 50,000 | 52,440 | ||||||
AES Corp. | 50,000 | 55,250 | ||||||
Aircastle Ltd. | 100,000 | 103,125 | ||||||
Aleris International, Inc. | 50,000 | 49,779 | ||||||
9.50%, 4/1/21(a) | 50,000 | 52,687 | ||||||
Allegheny Technologies, Inc. | 50,000 | 51,187 | ||||||
Allegiant Travel Co. | 50,000 | 51,312 | ||||||
Alliance One International, Inc. | 25,000 | 26,063 | ||||||
9.88%, 7/15/21 | 50,000 | 48,438 | ||||||
Ally Financial, Inc. | 50,000 | 50,400 | ||||||
7.50%, 9/15/20 | 200,000 | 218,000 | ||||||
4.25%, 4/15/21 | 50,000 | 50,750 | ||||||
American Airlines Group, Inc. | 75,000 | 76,875 | ||||||
American Axle & Manufacturing, Inc. | 50,000 | 50,849 | ||||||
American Midstream Partners L.P. | 50,000 | 51,000 | ||||||
American Tire Distributors, Inc. | 50,000 | 52,318 | ||||||
Amkor Technology, Inc. | 25,000 | 25,250 | ||||||
Anixter, Inc. | 36,000 | 36,900 | ||||||
Antero Resources Corp. | 50,000 | 51,312 | ||||||
APX Group, Inc. | 6,000 | 6,098 | ||||||
8.75%, 12/1/20 | 50,000 | 50,500 | ||||||
7.88%, 12/1/22 | 40,000 | 42,250 | ||||||
Archrock Partners L.P. | 50,000 | 50,375 | ||||||
Arconic, Inc. | 100,000 | 106,233 | ||||||
Artesyn Embedded Technologies, Inc. | 50,000 | 48,500 | ||||||
Ascent Resources Utica Holdings LLC | 65,000 | 69,550 | ||||||
Ashland LLC | 75,000 | 76,875 | ||||||
AV Homes, Inc. | 50,000 | 51,687 | ||||||
Avis Budget Car Rental LLC | 50,000 | 50,063 | ||||||
Avon Products, Inc. | 50,000 | 50,500 | ||||||
B&G Foods, Inc. | 40,000 | 40,250 | ||||||
Beazer Homes USA, Inc. | 5,000 | 5,163 | ||||||
8.75%, 3/15/22 | 25,000 | 27,063 | ||||||
Bill Barrett Corp. | 25,000 | 25,125 | ||||||
Blackboard, Inc. | 25,000 | 22,750 | ||||||
Blue Racer Midstream LLC | 40,000 | 41,200 | ||||||
BMC Software Finance, Inc. | 75,000 | 75,656 | ||||||
Boxer Parent Co., Inc. | 13,000 | 13,033 | ||||||
Bristow Group, Inc. | 50,000 | 43,000 | ||||||
Cablevision Systems Corp. | 75,000 | 79,890 | ||||||
5.88%, 9/15/22 | 35,000 | 35,088 | ||||||
California Resources Corp. | 50,000 | 39,813 | ||||||
Calpine Corp. | 40,000 | 41,300 | ||||||
5.38%, 1/15/23(b) | 55,000 | 53,831 | ||||||
Calumet Specialty Products Partners L.P. | 70,000 | 68,600 | ||||||
CCO Holdings LLC | 60,000 | 61,200 | ||||||
CEC Entertainment, Inc. | 25,000 | 24,375 | ||||||
Centene Corp. | 50,000 | 51,312 | ||||||
4.75%, 5/15/22 | 30,000 | 30,656 | ||||||
Century Aluminum Co. | 50,000 | 51,500 | ||||||
CenturyLink, Inc. | 150,000 | 152,805 | ||||||
Cenveo Corp. | 25,000 | 12,000 | ||||||
Cequel Communications Holdings I LLC | 93,000 | 94,279 |
See Notes to Financial Statements.
94 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Negative Duration High Yield Bond Fund (HYND)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Ceridian HCM Holding, Inc. | $ | 50,000 | $ | 51,729 | ||||
CF Industries, Inc. | 50,000 | 53,437 | ||||||
Chesapeake Energy Corp. | 60,000 | 60,900 | ||||||
8.00%, 12/15/22(a) | 50,000 | 53,375 | ||||||
Choice Hotels International, Inc. | 50,000 | 53,687 | ||||||
Cinemark USA, Inc. | 19,000 | 19,380 | ||||||
CIT Group, Inc. | 30,000 | 31,088 | ||||||
5.00%, 8/15/22 | 100,000 | 103,375 | ||||||
Citgo Holding, Inc. | 50,000 | 53,875 | ||||||
Claire’s Stores, Inc. | 50,000 | 34,250 | ||||||
Clean Harbors, Inc. | 50,000 | 50,438 | ||||||
Clear Channel Worldwide Holdings, Inc. | 50,000 | 49,750 | ||||||
6.50%, 11/15/22, Series A | 38,000 | 39,159 | ||||||
6.50%, 11/15/22, Series B | 55,000 | 56,650 | ||||||
Cloud Peak Energy Resources LLC | 25,000 | 26,625 | ||||||
CNX Resources Corp. | 75,000 | 75,609 | ||||||
Community Health Systems, Inc. | 100,000 | 94,238 | ||||||
5.13%, 8/1/21(b) | 30,000 | 27,825 | ||||||
6.88%, 2/1/22(b) | 50,000 | 32,875 | ||||||
Comstock Resources, Inc. | 25,000 | 26,000 | ||||||
Continental Resources, Inc. | 100,000 | 101,750 | ||||||
CoreCivic, Inc. | 50,000 | 50,250 | ||||||
Credit Acceptance Corp. | 50,000 | 50,500 | ||||||
Crescent Communities LLC | 25,000 | 26,500 | ||||||
Crown Americas LLC | 45,000 | 45,563 | ||||||
CVR Refining LLC | 50,000 | 51,437 | ||||||
Darling Ingredients, Inc. | 50,000 | 51,375 | ||||||
DaVita, Inc. | 50,000 | 51,500 | ||||||
DCP Midstream Operating L.P. | 72,000 | 74,160 | ||||||
Dell International LLC | 45,000 | 46,125 | ||||||
Dell, Inc. | 150,000 | 151,012 | ||||||
5.88%, 6/15/19(b) | 50,000 | 51,568 | ||||||
DISH DBS Corp. | 140,000 | 140,525 | ||||||
5.13%, 5/1/20 | 50,000 | 50,125 | ||||||
6.75%, 6/1/21 | 80,000 | 82,400 | ||||||
5.88%, 7/15/22 | 50,000 | 48,938 | ||||||
DJO Finco, Inc. | 25,000 | 24,375 | ||||||
Dollar Tree, Inc. | 75,000 | 75,984 | ||||||
DPL, Inc. | 40,000 | 43,750 | ||||||
Dun & Bradstreet Corp. (The) | 10,000 | 10,154 | ||||||
DynCorp International, Inc. | 25,375 | 26,644 | ||||||
Dynegy, Inc. | 50,000 | 51,200 | ||||||
7.38%, 11/1/22 | 50,000 | 52,812 | ||||||
Eagle Holding Co. II LLC | 35,000 | 35,088 | ||||||
EMC Corp. | 50,000 | 48,664 | ||||||
Endo Finance LLC | 100,000 | 82,250 | ||||||
Energen Corp. | 25,000 | 24,875 | ||||||
Energy Transfer Equity L.P. | 59,000 | 64,162 | ||||||
Enova International, Inc. | 30,000 | 31,763 | ||||||
EnPro Industries, Inc. | 50,000 | 52,077 | ||||||
Envision Healthcare Corp. | 50,000 | 50,625 | ||||||
EP Energy LLC | 45,000 | 33,413 | ||||||
Equinix, Inc. | 50,000 | 51,937 | ||||||
EV Energy Partners L.P. | 25,000 | 12,625 | ||||||
FBM Finance, Inc. | 25,000 | 26,500 | ||||||
Ferrellgas L.P. | 50,000 | 47,500 | ||||||
First Quality Finance Co., Inc. | 35,000 | 35,000 | ||||||
Fortress Transportation & Infrastructure Investors LLC | 40,000 | 41,350 | ||||||
Forum Energy Technologies, Inc. | 50,000 | 49,938 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 95 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Negative Duration High Yield Bond Fund (HYND)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Freeport-McMoRan, Inc. | $ | 100,000 | $ | 99,375 | ||||
4.00%, 11/14/21 | 100,000 | 100,000 | ||||||
Frontier Communications Corp. | 50,000 | 50,985 | ||||||
8.50%, 4/15/20(b) | 50,000 | 49,188 | ||||||
6.25%, 9/15/21 | 50,000 | 42,813 | ||||||
FTI Consulting, Inc. | 50,000 | 51,500 | ||||||
GameStop Corp. | 50,000 | 51,437 | ||||||
Gates Global LLC | 3,000 | 3,053 | ||||||
GCI, Inc. | 30,000 | 30,488 | ||||||
General Cable Corp. | 35,000 | 36,138 | ||||||
Genesis Energy L.P. | 25,000 | 25,813 | ||||||
GenOn Energy, Inc. | 70,000 | 60,025 | ||||||
Genworth Holdings, Inc. | 75,000 | 73,950 | ||||||
GEO Group, Inc. (The) | 50,000 | 51,562 | ||||||
Global Partners L.P. | 50,000 | 50,375 | ||||||
GLP Capital L.P. | 80,000 | 82,000 | ||||||
Great Lakes Dredge & Dock Corp. | 25,000 | 26,063 | ||||||
Griffon Corp. | 60,000 | 60,375 | ||||||
Group 1 Automotive, Inc. | 50,000 | 51,250 | ||||||
Harland Clarke Holdings Corp. | 50,000 | 50,875 | ||||||
9.25%, 3/1/21(a) | 30,000 | 31,125 | ||||||
HC2 Holdings, Inc. | 50,000 | 51,250 | ||||||
HCA Healthcare, Inc. | 125,000 | 131,875 | ||||||
HCA, Inc. | 100,000 | 100,878 | ||||||
6.50%, 2/15/20 | 85,000 | 89,887 | ||||||
5.88%, 3/15/22 | 30,000 | 31,875 | ||||||
Hertz Corp. (The) | 75,000 | 75,000 | ||||||
Hexion, Inc. | 100,000 | 93,500 | ||||||
Hornbeck Offshore Services, Inc. | 25,000 | 17,375 | ||||||
5.00%, 3/1/21 | 25,000 | 14,875 | ||||||
HRG Group, Inc. | 20,000 | 20,888 | ||||||
Hub Holdings LLC | 50,000 | 50,125 | ||||||
Hughes Satellite Systems Corp. | 30,000 | 31,125 | ||||||
7.63%, 6/15/21 | 50,000 | 54,000 | ||||||
Huntsman International LLC | 75,000 | 76,990 | ||||||
Icahn Enterprises L.P. | 100,000 | 102,012 | ||||||
5.88%, 2/1/22 | 50,000 | 50,188 | ||||||
iHeartCommunications, Inc. | 81,000 | 64,800 | ||||||
9.00%, 3/1/21(c) | 50,000 | 40,000 | ||||||
Immucor, Inc. | 25,000 | 26,063 | ||||||
Infor Software Parent LLC | 25,000 | 25,531 | ||||||
Infor U.S., Inc. | 70,000 | 71,925 | ||||||
iStar, Inc. | 39,000 | 39,122 | ||||||
6.00%, 4/1/22 | 75,000 | 75,562 | ||||||
Jack Ohio Finance LLC | 35,000 | 36,556 | ||||||
10.25%, 11/15/22(a) | 25,000 | 27,438 | ||||||
Joseph T Ryerson & Son, Inc. | 35,000 | 39,055 | ||||||
Jurassic Holdings III, Inc. | 30,000 | 26,700 | ||||||
KB Home | 100,000 | 101,750 | ||||||
Kindred Healthcare, Inc. | 50,000 | 53,687 | ||||||
Kinetic Concepts, Inc. | 25,000 | 25,906 | ||||||
12.50%, 11/1/21(a) | 30,000 | 33,975 | ||||||
KLX, Inc. | 50,000 | 51,687 | ||||||
L Brands, Inc. | 75,000 | 80,672 | ||||||
Ladder Capital Finance Holdings LLLP | 50,000 | 50,500 | ||||||
Lamar Media Corp. | 50,000 | 51,170 | ||||||
Laredo Petroleum, Inc. | 50,000 | 49,750 | ||||||
Lee Enterprises, Inc. | 30,000 | 31,575 | ||||||
Legacy Reserves L.P. | 25,000 | 18,469 | ||||||
Lennar Corp. | 59,000 | 59,737 | ||||||
4.50%, 6/15/19 | 150,000 | 152,062 | ||||||
6.25%, 12/15/21(a) | 50,000 | 53,615 |
See Notes to Financial Statements.
96 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Negative Duration High Yield Bond Fund (HYND)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Level 3 Financing, Inc. | $ | 100,000 | $ | 101,250 | ||||
Level 3 Parent LLC | 35,000 | 35,438 | ||||||
Lexmark International, Inc. | 50,000 | 51,062 | ||||||
LifePoint Health, Inc. | 50,000 | 50,563 | ||||||
LIN Television Corp. | 25,000 | 25,938 | ||||||
M/I Homes, Inc. | 50,000 | 51,750 | ||||||
Mallinckrodt International Finance S.A. | 50,000 | 44,500 | ||||||
Manitowoc Co., Inc. (The) | 50,000 | 56,625 | ||||||
Martin Midstream Partners L.P. | 30,000 | 30,150 | �� | |||||
Mattel, Inc. | 30,000 | 30,150 | ||||||
McDermott International, Inc. | 50,000 | 51,437 | ||||||
Men’s Wearhouse, Inc. (The) | 35,000 | 35,000 | ||||||
Meritage Homes Corp. | 50,000 | 55,375 | ||||||
MGM Resorts International | 100,000 | 107,000 | ||||||
6.63%, 12/15/21 | 55,000 | 59,568 | ||||||
Midcontinent Express Pipeline LLC | 50,000 | 51,562 | ||||||
Molina Healthcare, Inc. | 25,000 | 25,000 | ||||||
Momentive Performance Materials, Inc. | 50,000 | 52,125 | ||||||
Monitronics International, Inc. | 25,000 | 21,875 | ||||||
Murphy Oil Corp. | 35,000 | 34,650 | ||||||
Nabors Industries, Inc. | 50,000 | 50,375 | ||||||
4.63%, 9/15/21 | 50,000 | 49,000 | ||||||
National CineMedia LLC | 30,000 | 30,413 | ||||||
Nationstar Mortgage LLC | 25,000 | 25,672 | ||||||
Natural Resource Partners L.P. | 30,000 | 31,800 | ||||||
Navient Corp. | 160,000 | 162,400 | ||||||
8.00%, 3/25/20 | 100,000 | 107,375 | ||||||
6.50%, 6/15/22 | 100,000 | 104,375 | ||||||
Navios Maritime Acquisition Corp. | 25,000 | 20,563 | ||||||
NCL Corp., Ltd. | 50,000 | 51,187 | ||||||
NCR Corp. | 50,000 | 49,750 | ||||||
Neiman Marcus Group Ltd. LLC | 50,000 | 30,500 | ||||||
Netflix, Inc. | 50,000 | 52,187 | ||||||
5.50%, 2/15/22 | 25,000 | 26,125 | ||||||
New Home Co., Inc. (The) | 50,000 | 52,125 | ||||||
Newfield Exploration Co. | 50,000 | 53,000 | ||||||
NGL Energy Partners L.P. | 40,000 | 40,500 | ||||||
Nielsen Co. Luxembourg SARL (The) | 100,000 | 102,500 | ||||||
Nielsen Finance LLC | 25,000 | 25,344 | ||||||
Nine West Holdings, Inc. | 25,000 | 1,625 | ||||||
Northern Oil and Gas, Inc. | 25,000 | 22,938 | ||||||
NRG Energy, Inc. | 50,000 | 51,875 | ||||||
Nuance Communications, Inc. | 20,000 | 20,225 | ||||||
NuStar Logistics L.P. | 75,000 | 75,937 | ||||||
Oasis Petroleum, Inc. | 50,000 | 51,125 | ||||||
6.88%, 3/15/22(b) | 50,000 | 51,344 | ||||||
Och-Ziff Finance Co. LLC | 50,000 | 49,125 | ||||||
OneMain Financial Holdings LLC | 40,000 | 41,580 | ||||||
Orbital ATK, Inc. | 50,000 | 51,312 | ||||||
Ortho-Clinical Diagnostics, Inc. | 75,000 | 74,812 | ||||||
Oshkosh Corp. | 40,000 | 41,206 | ||||||
Outfront Media Capital LLC | 30,000 | 30,750 | ||||||
Park Aerospace Holdings Ltd. | 60,000 | 60,300 | ||||||
PHI, Inc. | 25,000 | 24,656 | ||||||
Pinnacle Foods Finance LLC | 50,000 | 50,625 | ||||||
Platform Specialty Products Corp. | 55,000 | 56,581 | ||||||
Polaris Intermediate Corp. | 50,000 | 51,125 | ||||||
PulteGroup, Inc. | 75,000 | 76,500 | ||||||
QEP Resources, Inc. | 40,000 | 40,800 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 97 |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Negative Duration High Yield Bond Fund (HYND)
February 28, 2018
Investments | Principal Amount | Value | ||||||
Qwest Corp. | $ | 30,000 | $ | 32,112 | ||||
Radian Group, Inc. | 38,000 | 38,998 | ||||||
Realogy Group LLC | 30,000 | 30,413 | ||||||
Regal Entertainment Group | 25,000 | 25,750 | ||||||
Rent-A-Center, Inc. | 50,000 | 46,250 | ||||||
Resolute Energy Corp. | 25,000 | 25,031 | ||||||
Revlon Consumer Products Corp. | 50,000 | 40,625 | ||||||
RHP Hotel Properties L.P. | 50,000 | 50,438 | ||||||
Rite Aid Corp. | 75,000 | 76,770 | ||||||
Rockies Express Pipeline LLC | 28,000 | 29,225 | ||||||
Rowan Cos., Inc. | 50,000 | 47,250 | ||||||
RSP Permian, Inc. | 25,000 | 26,125 | ||||||
rue21, Inc. | 25,000 | 301 | ||||||
Sable Permian Resources Land LLC | 25,000 | 19,625 | ||||||
Safeway, Inc. | 50,000 | 50,196 | ||||||
SBA Communications Corp. | 25,000 | 25,375 | ||||||
4.00%, 10/1/22(a) | 50,000 | 49,250 | ||||||
Scientific Games International, Inc. | 50,000 | 51,870 | ||||||
7.00%, 1/1/22(a) | 33,000 | 34,733 | ||||||
Sealed Air Corp. | 30,000 | 31,013 | ||||||
Select Medical Corp. | 50,000 | 51,182 | ||||||
SemGroup Corp. | 25,000 | 24,875 | ||||||
SESI LLC | 25,000 | 25,531 | ||||||
Silgan Holdings, Inc. | 50,000 | 50,000 | ||||||
Sinclair Television Group, Inc. | 30,000 | 30,450 | ||||||
6.13%, 10/1/22 | 30,000 | 31,050 | ||||||
Sirius XM Radio, Inc. | 50,000 | 49,250 | ||||||
SM Energy Co. | 25,000 | 25,500 | ||||||
6.50%, 1/1/23 | 25,000 | 25,125 | ||||||
Southwestern Energy Co. | 50,000 | 47,125 | ||||||
Springleaf Finance Corp. | 75,000 | 76,500 | ||||||
8.25%, 12/15/20 | 25,000 | 27,313 | ||||||
6.13%, 5/15/22 | 75,000 | 77,250 | ||||||
Springs Industries, Inc. | 35,000 | 35,700 | ||||||
Sprint Capital Corp. | 50,000 | 51,892 | ||||||
Sprint Communications, Inc. | 43,000 | 44,666 | ||||||
7.00%, 3/1/20(a) | 50,000 | 52,937 | ||||||
7.00%, 8/15/20 | 100,000 | 104,875 | ||||||
Sprint Corp. | 115,000 | 120,462 | ||||||
Starwood Property Trust, Inc. | 50,000 | 51,250 | ||||||
Steel Dynamics, Inc. | 50,000 | 50,750 | ||||||
Sungard Availability Services Capital, Inc. | 25,000 | 15,688 | ||||||
Sunoco L.P. | 50,000 | 49,870 | ||||||
SUPERVALU, Inc. | 25,000 | 24,813 | ||||||
Surgery Center Holdings, Inc. | 30,000 | 31,275 | ||||||
Symantec Corp. | 50,000 | 51,072 | ||||||
Synovus Financial Corp. | ||||||||
5.75%, 12/15/25, (5.75% fixed rate until 12/15/20; 3-month U.S. dollar London Interbank Offered Rate + 4.182% thereafter)(d) | 25,000 | 26,438 | ||||||
Talen Energy Supply LLC | 50,000 | 50,250 | ||||||
6.50%, 9/15/24(a) | 50,000 | 38,625 | ||||||
Taylor Morrison Communities, Inc. | 50,000 | 50,563 | ||||||
TEGNA, Inc. | 50,000 | 50,812 | ||||||
Tenet Healthcare Corp. | 75,000 | 76,500 | ||||||
6.00%, 10/1/20 | 100,000 | 104,374 | ||||||
7.50%, 1/1/22(a) | 50,000 | 52,937 | ||||||
8.13%, 4/1/22 | 110,000 | 116,462 | ||||||
TIBCO Software, Inc. | 50,000 | 54,603 | ||||||
Toll Brothers Finance Corp. | 75,000 | 75,656 | ||||||
5.88%, 2/15/22 | 25,000 | 26,719 | ||||||
TPC Group, Inc. | 50,000 | 50,500 | ||||||
TransDigm, Inc. | 60,000 | 61,575 | ||||||
Transocean, Inc. | 60,000 | 65,700 |
See Notes to Financial Statements.
98 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited) (continued)
WisdomTree Negative Duration High Yield Bond Fund (HYND)
February 28, 2018
Investments | Principal Amount | Value | ||||||
TRI Pointe Group, Inc. | $ | 75,000 | $ | 75,562 | ||||
Tribune Media Co. | 50,000 | 51,250 | ||||||
Triumph Group, Inc. | 50,000 | 49,000 | ||||||
Tronox Finance LLC | 50,000 | 52,000 | ||||||
Ultra Resources, Inc. | 50,000 | 45,563 | ||||||
Unit Corp. | 50,000 | 49,875 | ||||||
United Continental Holdings, Inc. | 51,000 | 51,446 | ||||||
4.25%, 10/1/22 | 25,000 | 24,953 | ||||||
United States Steel Corp. | 30,000 | 32,226 | ||||||
8.38%, 7/1/21(a) | 56,000 | 60,060 | ||||||
Universal Hospital Services, Inc. | 25,000 | 25,375 | ||||||
Valeant Pharmaceuticals International, Inc. | 200,000 | 200,250 | ||||||
6.50%, 3/15/22(a) | 50,000 | 52,187 | ||||||
Weatherford International Ltd. | 75,000 | 75,562 | ||||||
WESCO Distribution, Inc. | 50,000 | 51,125 | ||||||
Whiting Petroleum Corp. | 45,000 | 46,125 | ||||||
William Carter Co. (The) | 50,000 | 51,156 | ||||||
Williams Cos., Inc. (The) | 45,000 | 43,931 | ||||||
Windstream Services LLC | 9,000 | 7,785 | ||||||
8.63%, 10/31/25(a)(b) | 18,000 | 16,920 | ||||||
WMG Acquisition Corp. | 35,000 | 36,400 | ||||||
WPX Energy, Inc. | 51,000 | 54,825 | ||||||
WR Grace & Co-Conn | 50,000 | 51,875 | ||||||
Xerium Technologies, Inc. | 25,000 | 25,250 | ||||||
XPO Logistics, Inc. | 100,000 | 104,250 | ||||||
Yum! Brands, Inc. | 50,000 | 50,500 | ||||||
TOTAL CORPORATE BONDS (Cost: $16,845,804) |
| 16,777,695 | ||||||
FOREIGN CORPORATE BONDS – 8.1% | ||||||||
Bermuda – 0.1% | ||||||||
Teekay Corp. | 25,000 | 26,125 | ||||||
Canada – 3.8% | ||||||||
1011778 BC ULC | 50,000 | 50,438 | ||||||
Air Canada | 50,000 | 55,437 | ||||||
Athabasca Oil Corp. | 50,000 | 50,250 | ||||||
Bombardier, Inc. | 100,000 | 107,125 | ||||||
8.75%, 12/1/21(a) | 60,000 | 66,075 | ||||||
6.00%, 10/15/22(a) | 50,000 | 50,125 | ||||||
Calfrac Holdings L.P. | 25,000 | 24,945 | ||||||
GFL Environmental, Inc. | 25,000 | 25,625 | ||||||
Hudbay Minerals, Inc. | 25,000 | 26,688 | ||||||
Imperial Metals Corp. | 25,000 | 23,625 | ||||||
Jupiter Resources, Inc. | 50,000 | 23,875 | ||||||
Open Text Corp. | 25,000 | 26,156 | ||||||
Precision Drilling Corp. | 34,000 | 34,765 | ||||||
Quebecor Media, Inc. | 40,000 | 41,700 | ||||||
Taseko Mines Ltd. | 50,000 | 52,375 | ||||||
Teck Resources Ltd. | 50,000 | 51,000 | ||||||
Videotron Ltd. | 25,000 | 25,844 | ||||||
|
| |||||||
Total Canada | 736,048 | |||||||
Finland – 0.2% | ||||||||
Nokia Oyj | 50,000 | 48,745 | ||||||
France – 0.4% | ||||||||
Credit Agricole S.A. | ||||||||
8.38%, 10/13/19, (8.375% fixed rate until 10/13/19; 3-month U.S. dollar London Interbank Offered Rate + 6.982% thereafter)(a)(d)(e) | 71,000 | 76,769 | ||||||
|
|
|
|
| ||||
Luxembourg – 1.3% | ||||||||
ArcelorMittal | 100,000 | 104,400 | ||||||
Intelsat Jackson Holdings S.A. | 125,000 | 117,031 | ||||||
Intelsat Luxembourg S.A. | 50,000 | 28,750 | ||||||
|
| |||||||
Total Luxembourg | 250,181 | |||||||
Netherlands – 1.1% | ||||||||
NXP B.V. | 200,000 | 204,040 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 99 |
Table of Contents
Schedule of Investments (unaudited) (concluded)
WisdomTree Negative Duration High Yield Bond Fund (HYND)
February 28, 2018
Investments | Principal Amount | Value | ||||||
New Zealand – 0.3% | ||||||||
Reynolds Group Issuer, Inc. | $ | 48,455 | $ | 49,243 | ||||
Sweden – 0.3% | ||||||||
Telefonaktiebolaget LM Ericsson | 50,000 | 49,575 | ||||||
United Kingdom – 0.6% | ||||||||
Royal Bank of Scotland Group PLC | 68,000 | 68,422 | ||||||
6.13%, 12/15/22 | 50,000 | 53,371 | ||||||
|
| |||||||
Total United Kingdom | 121,793 | |||||||
TOTAL FOREIGN CORPORATE BONDS (Cost: $1,566,691) |
| 1,562,519 | ||||||
Shares | ||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 7.2% | ||||||||
United States – 7.2% | ||||||||
State Street Navigator Securities Lending Government Money Market Portfolio, 1.38%(f) | ||||||||
(Cost: $1,376,358)(g) | 1,376,358 | 1,376,358 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 102.6% (Cost: $19,788,853) |
| 19,716,572 | ||||||
Other Assets less Liabilities – (2.6)% |
| (493,285 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 19,223,287 |
(a) | This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers. |
(b) | Security, or portion thereof, was on loan at February 28, 2018 (See Note 2). |
(c) | Security in default on interest payments. |
(d) | Rate shown reflects the accrual rate as of February 28, 2018 on securities with variable or step rates. |
(e) | The security has a perpetual maturity; the date displayed is the next call date. |
(f) | Rate shown represents annualized 7-day yield as of February 28, 2018. |
(g) | At February 28, 2018, the total market value of the Fund’s securities on loan was $1,327,842 and the total market value of the collateral held by the Fund was $1,376,358. |
(h) | Subsequent to February 28, 2018, the bond issuer filed for bankruptcy protection. |
PIK – Payment In Kind.
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||
FUTURES CONTRACTS† (EXCHANGE-TRADED) | ||||||||||||||||
Short Exposure | Contracts | Expiration Date | Notional Amount1 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
2 Year U.S. Treasury Note | 5 | 6/29/18 | $ | (1,062,344 | ) | $ | 781 | |||||||||
5 Year U.S. Treasury Note | 50 | 6/29/18 | (5,696,484 | ) | 12,410 | |||||||||||
U.S. Treasury Ultra Long Term Bond | 14 | 6/20/18 | (2,182,250 | ) | 152 | |||||||||||
Ultra 10 Year U.S. Treasury Note | 100 | 6/20/18 | (12,806,250 | ) | 23,185 | |||||||||||
$ | (21,747,328 | ) | $ | 36,528 |
† | As of February 28, 2018, cash collateral posted by the Fund with the broker for futures contracts was $288,006. |
1 | “Notional Amount” represents the current notional value of the futures contract. |
See Notes to Financial Statements.
100 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree CBOE Russell 2000 PutWrite Strategy Fund (RPUT)
February 28, 2018
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 62.0% | ||||||||
U.S. Treasury Bill – 62.0% | ||||||||
U.S. Treasury Bill | $ | 1,500,000 | $ | 1,499,245 | ||||
TOTAL INVESTMENTS IN SECURITIES – 62.0% (Cost: $1,499,252) |
| 1,499,245 | ||||||
Other Assets less Liabilities – 38.0% |
| 920,344 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 2,419,589 |
* | Interest rate shown reflects the discount rate at time of purchase. |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||||||||||
WRITTEN PUT OPTION CONTRACTS† (EXCHANGE-TRADED) | ||||||||||||||||||||||||
Description | Number of Contracts | Notional Amount1 | Strike Price | Expiration Date | Premiums Paid/ (Received) | Value | ||||||||||||||||||
Russell 2000 Index | (16 | ) | $ | (2,464,000 | ) | $ | 1,540 | 3/16/2018 | $ | (41,600 | ) | $ | (58,240 | ) |
† | As of February 28, 2018, the Fund posted cash collateral of $825,000 with the broker for written put option contracts. |
1 | Notional amount is derived by multiplying the number of contracts, the contract size (typically 100), and the contract strike price. |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 101 |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW)
February 28, 2018
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 73.8% | ||||||||
U.S. Treasury Bill – 73.8% | ||||||||
U.S. Treasury Bill | $ | 150,700,000 | $ | 150,195,150 | ||||
TOTAL INVESTMENTS IN SECURITIES – 73.8% (Cost: $150,201,677) |
| 150,195,150 | ||||||
Other Assets less Liabilities – 26.2% |
| 53,283,346 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 203,478,496 |
* | Interest rate shown reflects the discount rate at time of purchase. |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||||||||||
WRITTEN PUT OPTION CONTRACTS† (EXCHANGE-TRADED) | ||||||||||||||||||||||||
Description | Number of Contracts | Notional Amount1 | Strike Price | Expiration Date | Premiums Paid/ (Received) | Value | ||||||||||||||||||
S&P 500 Index | (757 | ) | $ | (207,039,500 | ) | $ | 2,735 | 3/16/2018 | $ | (2,818,625 | ) | $ | (3,243,745 | ) |
† | As of February 28, 2018, the Fund posted cash collateral of $35,450,000 with the broker for written put option contracts. |
1 | Notional amount is derived by multiplying the number of contracts, the contract size (typically 100), and the contract strike price. |
See Notes to Financial Statements.
102 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Schedule of Investments (unaudited)
WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)
February 28, 2018
Investments | Principal Amount | Value | ||||||
U.S. GOVERNMENT OBLIGATIONS – 89.8% | ||||||||
U.S. Treasury Bills – 89.8% | ||||||||
U.S. Treasury Bills | $ | 4,445,000 | $ | 4,443,985 | ||||
1.31%, 3/15/18* | 18,420,000 | 18,410,732 | ||||||
1.37%, 3/22/18* | 130,120,000 | 130,018,005 | ||||||
TOTAL INVESTMENTS IN SECURITIES – 89.8% (Cost: $152,872,383) |
| 152,872,722 | ||||||
Other Assets less Liabilities – 10.2% | 17,289,663 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 170,162,385 |
* | Interest rate shown reflects the discount rate 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 $4,443,985 as of February 28, 2018. |
FINANCIAL DERIVATIVE INSTRUMENTS | ||||||||||||||||||||||||||||
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER) | ||||||||||||||||||||||||||||
Counterparty | Settlement Date | Amount and Description of Currency to be Purchased | Amount and Description of Currency to be Sold | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Bank of America N.A. | 3/22/2018 | 304,433,000 | JPY | 2,712,784 | USD | $ | 144,260 | $ | — | |||||||||||||||||||
Bank of America N.A. | 3/22/2018 | 2,985,912 | USD | 333,899,040 | JPY | — | (147,665 | ) | ||||||||||||||||||||
Bank of America N.A. | 3/22/2018 | 211,827 | USD | 23,441,000 | JPY | — | (8,162 | ) | ||||||||||||||||||||
Canadian Imperial Bank of Commerce | 3/22/2018 | 21,512,000 | JPY | 192,194 | USD | 9,692 | — | |||||||||||||||||||||
Canadian Imperial Bank of Commerce | 3/22/2018 | 74,853 | USD | 8,379,000 | JPY | — | (3,782 | ) | ||||||||||||||||||||
Canadian Imperial Bank of Commerce | 3/22/2018 | 79,611 | USD | 8,651,000 | JPY | — | (1,577 | ) | ||||||||||||||||||||
Canadian Imperial Bank of Commerce | 3/22/2018 | 221,418 | USD | 24,025,000 | JPY | — | (4,052 | ) | ||||||||||||||||||||
Royal Bank of Canada | 3/22/2018 | 2,986,094 | USD | 333,899,040 | JPY | — | (147,483 | ) | ||||||||||||||||||||
State Street Bank and Trust | 3/22/2018 | 1,768,647,000 | JPY | 16,254,318 | USD | 344,088 | — | |||||||||||||||||||||
State Street Bank and Trust | 3/22/2018 | 2,810,383 | USD | 314,257,920 | JPY | — | (138,866 | ) | ||||||||||||||||||||
State Street Bank and Trust | 3/22/2018 | 343,608 | USD | 37,487,000 | JPY | — | (8,201 | ) | ||||||||||||||||||||
State Street Bank and Trust | 3/22/2018 | 9,086,116 | USD | 968,540,000 | JPY | — | (3,443 | ) | ||||||||||||||||||||
State Street Bank and Trust | 3/22/2018 | 394,134 | USD | 42,013,000 | JPY | — | (149 | ) | ||||||||||||||||||||
State Street Bank and Trust | 6/20/2018 | 968,540,000 | JPY | 9,144,330 | USD | 1,317 | — | |||||||||||||||||||||
$ | 499,357 | $ | (463,380 | ) |
CURRENCY LEGEND |
JPY Japanese yen
USD U.S. dollar
FUTURES CONTRACTS (EXCHANGE-TRADED)
Short Exposure | Contracts | Expiration Date | Notional Amount1 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
10 Year U.S. Treasury Note | 75 | 6/20/18 | $ | (9,003,516 | ) | $ | 75,179 | |||||||||
British Pound Currency | 103 | 6/18/18 | (8,904,994 | ) | 81 | |||||||||||
Coffee “C” | 195 | 7/19/18 | (9,074,812 | ) | 179,065 | |||||||||||
Silver | 109 | 7/27/18 | (8,991,955 | ) | (2,782 | ) | ||||||||||
U.S. Treasury Long Bond | 63 | 6/20/18 | (9,036,562 | ) | 139,576 | |||||||||||
$ | (45,011,839 | ) | $ | 391,119 | ||||||||||||
Long Exposure | Contracts | Expiration Date | Notional Amount1 | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Australian Dollar Currency | 77 | 06/18/18 | $ | 5,991,370 | $ | (70 | ) | |||||||||
Canadian Dollar Currency | 77 | 06/19/18 | 6,013,315 | (570 | ) | |||||||||||
Copper | 114 | 05/29/18 | 8,927,625 | (237,442 | ) | |||||||||||
Corn | 311 | 07/13/18 | 6,056,725 | (2,988 | ) | |||||||||||
Cotton No. 2 | 218 | 07/9/18 | 9,078,610 | 439,753 | ||||||||||||
Euro Currency | 59 | 06/18/18 | 9,072,725 | (237 | ) | |||||||||||
Gasoline RBOB | 108 | 05/31/18 | 8,784,417 | (549,674 | ) | |||||||||||
Gold 100 Ounce | 68 | 06/27/18 | 9,001,160 | (10 | ) | |||||||||||
Live Cattle | 129 | 06/29/18 | 5,964,960 | 93,770 | ||||||||||||
NY Harbor ULSD | 110 | 05/31/18 | 8,793,246 | (582,819 | ) | |||||||||||
Soybean | 114 | 07/13/18 | 6,066,225 | (1,401 | ) | |||||||||||
Swiss Franc Currency | 67 | 06/18/18 | 8,956,225 | 675 | ||||||||||||
WTI Crude Oil | 144 | 05/22/18 | 8,804,160 | (408,192 | ) | |||||||||||
$ | 101,510,763 | $ | (1,249,205 | ) | ||||||||||||
Total - Net |
| $ | 56,498,924 | $ | (858,086 | ) |
1 | “Notional Amount” represents the current notional value of the futures contract. |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 103 |
Table of Contents
Statements of Assets and Liabilities (unaudited)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
February 28, 2018
WisdomTree Bloomberg U.S. Dollar Bullish Fund | WisdomTree Brazilian Real Strategy Fund | WisdomTree Chinese Yuan Strategy Fund | WisdomTree Emerging Currency Strategy Fund | WisdomTree Asia Local Debt Fund | ||||||||||||||||
ASSETS: |
| |||||||||||||||||||
Investments, at cost | $ | 49,092,319 | $ | 9,947,560 | $ | 25,055,817 | $ | 28,874,647 | $ | 20,701,977 | ||||||||||
Repurchase agreements, at cost | — | 4,800,000 | 12,560,000 | 14,600,000 | — | |||||||||||||||
Foreign currency, at cost | — | — | 65 | — | 80,871 | |||||||||||||||
Investments in securities, at value (Note 2) | 49,092,874 | 9,947,727 | 25,055,991 | 28,875,003 | 20,161,843 | |||||||||||||||
Repurchase agreements, at value (Note 2) | — | 4,800,000 | 12,560,000 | 14,600,000 | — | |||||||||||||||
Cash | 334,024 | 260,732 | 242,370 | 1,759,281 | 2,379,772 | |||||||||||||||
Cash collateral posted for foreign currency contracts | — | — | 1,490,000 | 580,000 | — | |||||||||||||||
Foreign currency, at value | — | — | 66 | — | 80,056 | |||||||||||||||
Unrealized appreciation on foreign currency contracts | 2,021,383 | 197,211 | 1,276,116 | 134,420 | 31,575 | |||||||||||||||
Receivables: | ||||||||||||||||||||
Investment securities sold | — | — | — | — | 46,208 | |||||||||||||||
Interest | — | 183 | 479 | 556 | 267,570 | |||||||||||||||
Total Assets | 51,448,281 | 15,205,853 | 40,625,022 | 45,949,260 | 22,967,024 | |||||||||||||||
LIABILITIES: | ||||||||||||||||||||
Unrealized depreciation on foreign currency contracts | 665,994 | 150,636 | 29,996 | 342,630 | 20,263 | |||||||||||||||
Payables: |
| |||||||||||||||||||
Advisory fees (Note 3) | 26,073 | 5,188 | 14,023 | 19,287 | 9,755 | |||||||||||||||
Service fees (Note 2) | 229 | 51 | 137 | 155 | 78 | |||||||||||||||
Foreign capital gains tax | — | — | — | — | 5,933 | |||||||||||||||
Total Liabilities | 692,296 | 155,875 | 44,156 | 362,072 | 36,029 | |||||||||||||||
NET ASSETS | $ | 50,755,985 | $ | 15,049,978 | $ | 40,580,866 | $ | 45,587,188 | $ | 22,930,995 | ||||||||||
NET ASSETS: | ||||||||||||||||||||
Paid-in capital | $ | 63,634,010 | $ | 112,708,395 | $ | 39,245,458 | $ | 89,187,297 | $ | 33,498,293 | ||||||||||
Undistributed (Distributions in excess of) net investment income | 334,349 | 56,041 | 119,565 | 139,260 | (762,957 | ) | ||||||||||||||
Accumulated net realized loss on investments, payments by sub-advisor, foreign currency contracts and foreign currency related transactions | (14,568,318 | ) | (97,761,200 | ) | (30,452 | ) | (43,531,515 | ) | (9,267,392 | ) | ||||||||||
Net unrealized appreciation (depreciation) on investments, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies | 1,355,944 | 46,742 | 1,246,295 | (207,854 | ) | (536,949 | ) | |||||||||||||
NET ASSETS | $ | 50,755,985 | $ | 15,049,978 | $ | 40,580,866 | $ | 45,587,188 | $ | 22,930,995 | ||||||||||
Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized) | 2,000,000 | 800,000 | 1,500,000 | 2,300,000 | 500,000 | |||||||||||||||
Net asset value per share | $ | 25.38 | $ | 18.81 | $ | 27.05 | $ | 19.82 | $ | 45.86 |
See Notes to Financial Statements.
104 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Statements of Assets and Liabilities (unaudited) (continued)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
February 28, 2018
WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund | WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund | WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund | WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund | WisdomTree Bloomberg Floating Rate Treasury Fund | ||||||||||||||||
ASSETS: | ||||||||||||||||||||
Investments, at cost | $ | 28,133,806 | $ | 30,200,944 | $ | 388,821,042 | $ | 30,559,972 | $ | 3,747,956 | ||||||||||
Investments in securities, at value1,3 (Note 2) | 27,713,027 | 29,749,530 | 381,532,613 | 30,225,477 | 3,748,293 | |||||||||||||||
Cash | 1,888,296 | 1,801,121 | 4,842,817 | 118,516 | 4,077 | |||||||||||||||
Deposits at broker for futures contracts | 254,391 | 379,015 | — | — | — | |||||||||||||||
Receivables: | ||||||||||||||||||||
Investment securities sold | 1,231,677 | 1,361,413 | 18,749,578 | — | 325,795 | |||||||||||||||
Securities lending income | 187 | 127 | 823 | — | — | |||||||||||||||
Interest | 164,011 | 176,085 | 2,905,390 | 180,586 | 4,803 | |||||||||||||||
Total Assets | 31,251,589 | 33,467,291 | 408,031,221 | 30,524,579 | 4,082,968 | |||||||||||||||
LIABILITIES: |
| |||||||||||||||||||
Securities sold short, at value2 | — | 99,882 | — | — | — | |||||||||||||||
Payables: | ||||||||||||||||||||
Cash collateral received for securities loaned (Note 2) | 130,218 | 44,500 | 935,215 | — | — | |||||||||||||||
Investment securities purchased | 2,216,886 | 2,319,981 | 23,462,493 | 1,122,913 | 325,349 | |||||||||||||||
Advisory fees (Note 3) | 5,035 | 6,068 | 33,113 | 2,715 | 309 | |||||||||||||||
Service fees (Note 2) | 96 | 95 | 1,214 | 100 | 9 | |||||||||||||||
Net variation margin on futures contracts | 48,211 | 135,764 | — | — | — | |||||||||||||||
Interest on securities sold short | — | 117 | — | — | — | |||||||||||||||
Total Liabilities | 2,400,446 | 2,606,407 | 24,432,035 | 1,125,728 | 325,667 | |||||||||||||||
NET ASSETS | $ | 28,851,143 | $ | 30,860,884 | $ | 383,599,186 | $ | 29,398,851 | $ | 3,757,301 | ||||||||||
NET ASSETS: |
| |||||||||||||||||||
Paid-in capital | $ | 31,473,229 | $ | 33,387,187 | $ | 391,812,798 | $ | 29,789,236 | $ | 3,755,981 | ||||||||||
Undistributed (Distributions in excess of) net investment income | (14,232 | ) | (3,996 | ) | (57,468 | ) | (6,085 | ) | 231 | |||||||||||
Accumulated net realized gain (loss) on investments, futures contracts and securities sold short | (2,236,194 | ) | (2,130,284 | ) | (867,715 | ) | (49,805 | ) | 752 | |||||||||||
Net unrealized appreciation (depreciation) on investments, futures contracts and securities sold short | (371,660 | ) | (392,023 | ) | (7,288,429 | ) | (334,495 | ) | 337 | |||||||||||
NET ASSETS | $ | 28,851,143 | $ | 30,860,884 | $ | 383,599,186 | $ | 29,398,851 | $ | 3,757,301 | ||||||||||
Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized) | 600,000 | 700,000 | 7,800,000 | 600,000 | 150,000 | |||||||||||||||
Net asset value per share | $ | 48.09 | $ | 44.09 | $ | 49.18 | $ | 49.00 | $ | 25.05 | ||||||||||
1 Includes market value of securities out on loan of: | $ | 126,821 | $ | 42,795 | $ | 907,003 | — | — | ||||||||||||
2 Proceeds received on securities sold short were as follows: | — | $ | 100,480 | — | — | — | ||||||||||||||
3 Investments in securities include investment of cash collateral for securities loaned (see Schedule of Investments for additional information). |
|
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 105 |
Table of Contents
Statements of Assets and Liabilities (unaudited) (continued)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
February 28, 2018
WisdomTree Emerging Markets Corporate Bond Fund | WisdomTree Emerging Markets Local Debt Fund | WisdomTree Interest Rate Hedged High Yield Bond Fund | WisdomTree Negative Duration High Yield Bond Fund | WisdomTree CBOE Russell 2000 PutWrite Strategy Fund | ||||||||||||||||
ASSETS: |
| |||||||||||||||||||
Investments, at cost | $ | 50,607,782 | $ | 233,642,773 | $ | 150,715,341 | $ | 19,788,853 | $ | 1,499,252 | ||||||||||
Foreign currency, at cost | — | 2,037,066 | — | — | — | |||||||||||||||
Investments in securities, at value1,3 (Note 2) | 50,527,000 | 214,389,478 | 149,682,628 | 19,716,572 | 1,499,245 | |||||||||||||||
Cash | 1,229,601 | 7,469,660 | 1,119,287 | 597,773 | 154,448 | |||||||||||||||
Deposits at broker for futures contracts | 85,782 | — | 305,399 | 288,006 | — | |||||||||||||||
Foreign currency, at value | — | 1,965,545 | — | — | — | |||||||||||||||
Cash collateral segregated for written options | — | — | — | — | 825,000 | |||||||||||||||
Unrealized appreciation on foreign currency contracts | — | 411,909 | — | — | — | |||||||||||||||
Receivables: |
| |||||||||||||||||||
Investment securities sold | — | 2,740,397 | 226,920 | — | — | |||||||||||||||
Capital shares sold | — | — | 2,410,591 | — | — | |||||||||||||||
Securities lending income | 1,583 | — | 9,584 | 1,132 | — | |||||||||||||||
Interest | 669,518 | 4,300,879 | 2,559,261 | 334,239 | — | |||||||||||||||
Total Assets | 52,513,484 | 231,277,868 | 156,313,670 | 20,937,722 | 2,478,693 | |||||||||||||||
LIABILITIES: |
| |||||||||||||||||||
Unrealized depreciation on foreign currency contracts | — | 44,396 | — | — | — | |||||||||||||||
Written options, at value2 | — | — | — | — | 58,240 | |||||||||||||||
Payables: |
| |||||||||||||||||||
Cash collateral received for securities loaned (Note 2) | 2,220,845 | — | 11,130,435 | 1,376,358 | — | |||||||||||||||
Investment securities purchased | — | — | 476,253 | 269,725 | — | |||||||||||||||
Advisory fees (Note 3) | 23,241 | 96,851 | 46,263 | 5,864 | 855 | |||||||||||||||
Service fees (Note 2) | 170 | 775 | 473 | 54 | 9 | |||||||||||||||
Net variation margin on futures contracts | 17,957 | — | 24,764 | 62,434 | — | |||||||||||||||
Foreign capital gains tax | — | 99,062 | — | — | — | |||||||||||||||
Total Liabilities | 2,262,213 | 241,084 | 11,678,188 | 1,714,435 | 59,104 | |||||||||||||||
NET ASSETS | $ | 50,251,271 | $ | 231,036,784 | $ | 144,635,482 | $ | 19,223,287 | $ | 2,419,589 | ||||||||||
NET ASSETS: |
| |||||||||||||||||||
Paid-in capital | $ | 58,851,477 | $ | 272,043,114 | $ | 145,324,528 | $ | 20,624,851 | $ | 2,516,564 | ||||||||||
Undistributed (Distributions in excess of) net investment income | 8,020 | 452,894 | 99,153 | (1,661 | ) | 587 | ||||||||||||||
Accumulated net realized gain (loss) on investments, futures contracts, written options, foreign currency contracts and foreign currency related transactions | (8,518,142 | ) | (22,390,321 | ) | 120,581 | (1,364,150 | ) | (80,915 | ) | |||||||||||
Net unrealized depreciation on investments, futures contracts, written options, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies | (90,084 | ) | (19,068,903 | ) | (908,780 | ) | (35,753 | ) | (16,647 | ) | ||||||||||
NET ASSETS | $ | 50,251,271 | $ | 231,036,784 | $ | 144,635,482 | $ | 19,223,287 | $ | 2,419,589 | ||||||||||
Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized) | 700,000 | 5,900,000 | 6,000,000 | 900,000 | 100,004 | |||||||||||||||
Net asset value per share | $ | 71.79 | $ | 39.16 | $ | 24.11 | $ | 21.36 | $ | 24.19 | ||||||||||
1 Includes market value of securities out on loan of: | $ | 1,979,785 | — | $ | 10,915,536 | $ | 1,327,842 | — | ||||||||||||
2 Premiums received on written options were as follows: | — | — | — | — | $ | 41,600 | ||||||||||||||
3 Investments in securities include investment of cash collateral for securities loaned (see Schedule of Investments for additional information). |
|
See Notes to Financial Statements.
106 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Statements of Assets and Liabilities (unaudited) (concluded)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
February 28, 2018
WisdomTree CBOE S&P 500 PutWrite Strategy Fund | WisdomTree Managed Futures Strategy Fund (consolidated) | |||||||
ASSETS: | ||||||||
Investments, at cost | $ | 150,201,677 | $ | 152,872,383 | ||||
Investments in securities, at value | 150,195,150 | 152,872,722 | ||||||
Cash | 21,146,384 | 14,202,713 | ||||||
Cash collateral segregated for written options | 35,450,000 | — | ||||||
Unrealized appreciation on foreign currency contracts | — | 499,357 | ||||||
Receivables: | ||||||||
Investment securities sold | — | 8,493,406 | ||||||
Total Assets | 206,791,534 | 176,068,198 | ||||||
LIABILITIES: | ||||||||
Unrealized depreciation on foreign currency contracts | — | 463,380 | ||||||
Written options, at value1 | 3,243,745 | — | ||||||
Payables: | ||||||||
Capital shares redeemed | — | 3,957,316 | ||||||
Advisory fees (Note 3) | 68,500 | 88,008 | ||||||
Service fees (Note 2) | 793 | 597 | ||||||
Net variation margin on futures contracts | — | 1,396,512 | ||||||
Total Liabilities | 3,313,038 | 5,905,813 | ||||||
NET ASSETS | $ | 203,478,496 | $ | 170,162,385 | ||||
NET ASSETS: | ||||||||
Paid-in capital | $ | 205,179,175 | $ | 173,590,995 | ||||
Undistributed net investment income (Accumulated net investment loss) | 330,709 | (2,461,308 | ) | |||||
Accumulated net realized loss on investments, futures contracts, written options and foreign currency contracts | (1,599,741 | ) | (145,532 | ) | ||||
Net unrealized depreciation on investments, futures contracts, written options and foreign currency contracts | (431,647 | ) | (821,770 | ) | ||||
NET ASSETS | $ | 203,478,496 | $ | 170,162,385 | ||||
Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized) | 7,100,000 | 4,300,000 | ||||||
Net asset value per share | $ | 28.66 | $ | 39.57 | ||||
1 Premiums received on written options were as follows: | $ | 2,818,625 | — |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 107 |
Table of Contents
Statements of Operations (unaudited)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
For the Six Months Ended February 28, 2018
WisdomTree Bloomberg U.S. Dollar Bullish Fund | WisdomTree Brazilian Real Strategy Fund | WisdomTree Chinese Yuan Strategy Fund | WisdomTree Emerging Currency Strategy Fund | WisdomTree Asia Local Debt Fund | ||||||||||||||||
INVESTMENT INCOME: |
| |||||||||||||||||||
Interest1 | $ | 621,101 | $ | 99,708 | $ | 207,507 | $ | 279,475 | $ | 327,879 | ||||||||||
Total investment income | 621,101 | 99,708 | 207,507 | 279,475 | 327,879 | |||||||||||||||
EXPENSES: |
| |||||||||||||||||||
Advisory fees (Note 3) | 284,251 | 43,244 | 87,091 | 139,103 | 58,019 | |||||||||||||||
Service fees (Note 2) | 2,501 | 423 | 851 | 1,112 | 464 | |||||||||||||||
Total expenses | 286,752 | 43,667 | 87,942 | 140,215 | 58,483 | |||||||||||||||
Net investment income | 334,349 | 56,041 | 119,565 | 139,260 | 269,396 | |||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: |
| |||||||||||||||||||
Net realized gain (loss) from: |
| |||||||||||||||||||
Investment transactions | (493 | ) | (388 | ) | — | (441 | ) | (299,352 | ) | |||||||||||
Foreign currency contracts | (2,051,363 | ) | 653,284 | 2,101,120 | 2,501,622 | (21,311 | ) | |||||||||||||
Foreign currency related transactions | — | — | 2 | — | (11,076 | ) | ||||||||||||||
Payment by sub-advisor (Note 3) | 6,115 | — | — | — | — | |||||||||||||||
Net realized gain (loss) | (2,045,741 | ) | 652,896 | 2,101,122 | 2,501,181 | (331,739 | ) | |||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation: |
| |||||||||||||||||||
Investment transactions2 | (2,945 | ) | 2,688 | (309 | ) | (496 | ) | 216,512 | ||||||||||||
Foreign currency contracts | 1,277,698 | (874,604 | ) | 48,618 | (730,077 | ) | 12,692 | |||||||||||||
Translation of assets and liabilities denominated in foreign currencies | — | — | (1 | ) | — | (3,762 | ) | |||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation | 1,274,753 | (871,916 | ) | 48,308 | (730,573 | ) | 225,442 | |||||||||||||
Net realized and unrealized gain (loss) on investments | (770,988 | ) | (219,020 | ) | 2,149,430 | 1,770,608 | (106,297 | ) | ||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (436,639 | ) | $ | (162,979 | ) | $ | 2,268,995 | $ | 1,909,868 | $ | 163,099 | ||||||||
1 Net of foreign withholding tax of: | — | — | — | — | $ | 23,693 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
2 Includes net increase (decrease) in accrued foreign capital gain taxes of: | — | — | — | — | $ | (2,239 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
108 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Statements of Operations (unaudited) (continued)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
For the Six Months Ended February 28, 2018
WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund | WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund | WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund | WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund | WisdomTree Bloomberg Floating Rate Treasury Fund | ||||||||||||||||
INVESTMENT INCOME: |
| |||||||||||||||||||
Interest | $ | 298,797 | $ | 258,279 | $ | 3,681,688 | $ | 133,680 | $ | 10,912 | ||||||||||
Securities lending income (Note 2) | 400 | 547 | 3,675 | — | — | |||||||||||||||
Total investment income | 299,197 | 258,826 | 3,685,363 | 133,680 | 10,912 | |||||||||||||||
EXPENSES: |
| |||||||||||||||||||
Advisory fees (Note 3) | 27,597 | 29,361 | 244,362 | 11,712 | 1,572 | |||||||||||||||
Service fees (Note 2) | 527 | 461 | 5,376 | 258 | 34 | |||||||||||||||
Total expenses | 28,124 | 29,822 | 249,738 | 11,970 | 1,606 | |||||||||||||||
Expense waivers (Note 3) | — | — | (97,745 | ) | (4,685 | ) | (393 | ) | ||||||||||||
Net expenses | 28,124 | 29,822 | 151,993 | 7,285 | 1,213 | |||||||||||||||
Net investment income | 271,073 | 229,004 | 3,533,370 | 126,395 | 9,699 | |||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: |
| |||||||||||||||||||
Net realized gain (loss) from: |
| |||||||||||||||||||
Investment transactions | 40,229 | (1,948 | ) | (507,189 | ) | (49,805 | ) | 483 | ||||||||||||
In-kind redemptions | — | — | (44,994 | ) | — | 829 | ||||||||||||||
Futures contracts | 814,888 | 1,057,863 | — | — | — | |||||||||||||||
Securities sold short | 1,635 | — | 4,559 | — | — | |||||||||||||||
Net realized gain (loss) | 856,752 | 1,055,915 | (547,624 | ) | (49,805 | ) | 1,312 | |||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation: |
| |||||||||||||||||||
Investment transactions | (879,248 | ) | (714,834 | ) | (10,224,971 | ) | (350,612 | ) | (830 | ) | ||||||||||
Futures contracts | 103,042 | 134,157 | — | — | — | |||||||||||||||
Securities sold short | 752 | 598 | — | — | — | |||||||||||||||
Net decrease in unrealized appreciation/depreciation | (775,454 | ) | (580,079 | ) | (10,224,971 | ) | (350,612 | ) | (830 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 81,298 | 475,836 | (10,772,595 | ) | (400,417 | ) | 482 | |||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 352,371 | $ | 704,840 | $ | (7,239,225 | ) | $ | (274,022 | ) | $ | 10,181 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 109 |
Table of Contents
Statements of Operations (unaudited) (continued)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
For the Six Months or Period Ended February 28, 2018
WisdomTree Emerging Markets Corporate Bond Fund | WisdomTree Emerging Markets Local Debt Fund | WisdomTree Interest Rate Hedged High Yield Bond Fund | WisdomTree Negative Duration High Yield Bond Fund | WisdomTree CBOE Russell 2000 PutWrite Strategy Fund1 | ||||||||||||||||
INVESTMENT INCOME: | ||||||||||||||||||||
Interest2 | $ | 1,138,614 | $ | 6,935,853 | $ | 2,394,687 | $ | 430,142 | $ | 1,451 | ||||||||||
Payment-in-kind interest | — | — | 756 | 189 | — | |||||||||||||||
Securities lending income (Note 2) | 11,086 | — | 41,640 | 7,406 | — | |||||||||||||||
Total investment income | 1,149,700 | 6,935,853 | 2,437,083 | 437,737 | 1,451 | |||||||||||||||
EXPENSES: | ||||||||||||||||||||
Advisory fees (Note 3) | 151,938 | 624,209 | 186,118 | 37,737 | 974 | |||||||||||||||
Service fees (Note 2) | 1,114 | 4,994 | 1,903 | 346 | 9 | |||||||||||||||
Total expenses | 153,052 | 629,203 | 188,021 | 38,083 | 983 | |||||||||||||||
Expense waivers (Note 3) | — | — | — | — | (119 | ) | ||||||||||||||
Net expenses | 153,052 | 629,203 | 188,021 | 38,083 | 864 | |||||||||||||||
Net investment income | 996,648 | 6,306,650 | 2,249,062 | 399,654 | 587 | |||||||||||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: | ||||||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||||
Investment transactions3 | 1,355,808 | 287,479 | 184,469 | 87,168 | (235 | ) | ||||||||||||||
In-kind redemptions | — | (2,179,547 | ) | — | — | — | ||||||||||||||
Futures contracts | 272,807 | — | 1,240,295 | 733,659 | — | |||||||||||||||
Written options | — | — | — | — | (80,680 | ) | ||||||||||||||
Foreign currency contracts | — | (309,724 | ) | — | — | — | ||||||||||||||
Foreign currency related transactions | — | 63,398 | — | — | — | |||||||||||||||
Net realized gain (loss) | 1,628,615 | (2,138,394 | ) | 1,424,764 | 820,827 | (80,915 | ) | |||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation: | ||||||||||||||||||||
Investment transactions4 | (2,381,329 | ) | 2,123,844 | (1,354,672 | ) | (186,693 | ) | (7 | ) | |||||||||||
Futures contracts | (12,849 | ) | — | 162,958 | 97,375 | — | ||||||||||||||
Written options | — | — | — | — | (16,640 | ) | ||||||||||||||
Foreign currency contracts | — | 406,232 | — | — | — | |||||||||||||||
Translation of assets and liabilities denominated in foreign currencies | — | (116,650 | ) | — | — | — | ||||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation | (2,394,178 | ) | 2,413,426 | (1,191,714 | ) | (89,318 | ) | (16,647 | ) | |||||||||||
Net realized and unrealized gain (loss) on investments | (765,563 | ) | 275,032 | 233,050 | 731,509 | (97,562 | ) | |||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 231,085 | $ | 6,581,682 | $ | 2,482,112 | $ | 1,131,163 | $ | (96,975 | ) | |||||||||
1 For the period February 1, 2018 (commencement of operations) through February 28, 2018. |
| |||||||||||||||||||
2 Net of foreign withholding tax of: | — | $ | 211,082 | — | — | — | ||||||||||||||
3 Net of foreign capital gains tax withheld of: | — | $ | 62,984 | — | — | — | ||||||||||||||
4 Includes net increase (decrease) in accrued foreign capital gain taxes of: | — | $ | (117,193 | ) | — | — | — |
See Notes to Financial Statements.
110 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Statements of Operations (unaudited) (concluded)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
For the Six Months Ended February 28, 2018
WisdomTree CBOE S&P 500 PutWrite Strategy Fund | WisdomTree Managed Futures Strategy Fund (consolidated) | |||||||
INVESTMENT INCOME: |
| |||||||
Interest | $ | 1,229,025 | $ | 852,366 | ||||
Total investment income | 1,229,025 | 852,366 | ||||||
EXPENSES: |
| |||||||
Advisory fees (Note 3) | 560,385 | 625,689 | ||||||
Service fees (Note 2) | 5,604 | 3,669 | ||||||
Total expenses | 565,989 | 629,358 | ||||||
Expense waivers (Note 3) | (76,416 | ) | (83,425 | ) | ||||
Net expenses | 489,573 | 545,933 | ||||||
Net investment income | 739,452 | 306,433 | ||||||
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: |
| |||||||
Net realized gain (loss) from: |
| |||||||
Investment transactions | 165 | 125 | ||||||
Futures contracts | — | 4,289,760 | ||||||
Written options | 2,770,436 | — | ||||||
Foreign currency contracts | — | (405,634 | ) | |||||
Net realized gain | 2,770,601 | 3,884,251 | ||||||
Net increase (decrease) in unrealized appreciation/depreciation: |
| |||||||
Investment transactions | (24,792 | ) | (5,937 | ) | ||||
Futures contracts | — | (1,616,320 | ) | |||||
Written options | (2,291,104 | ) | — | |||||
Foreign currency contracts | — | 318,235 | ||||||
Net decrease in unrealized appreciation/depreciation | (2,315,896 | ) | (1,304,022 | ) | ||||
Net realized and unrealized gain on investments | 454,705 | 2,580,229 | ||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,194,157 | $ | 2,886,662 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 111 |
Table of Contents
Statements of Changes in Net Assets
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
WisdomTree Bloomberg U.S. Dollar Bullish Fund | WisdomTree Brazilian Real Strategy Fund | WisdomTree Chinese Yuan Strategy Fund | ||||||||||||||||||||||
For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | |||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||||||||||
Net investment income | $ | 334,349 | $ | 4,370 | $ | 56,041 | $ | 23,096 | $ | 119,565 | $ | 37,254 | ||||||||||||
Net realized gain (loss) on investments, payments by sub-advisor, foreign currency contracts and foreign currency related transactions | (2,045,741 | ) | (1,397,777 | ) | 652,896 | 2,154,437 | 2,101,122 | (251,278 | ) | |||||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies | 1,274,753 | (1,376,123 | ) | (871,916 | ) | 239,608 | 48,308 | 1,587,855 | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (436,639 | ) | (2,769,530 | ) | (162,979 | ) | 2,417,141 | 2,268,995 | 1,373,831 | |||||||||||||||
CAPITAL SHARE TRANSACTIONS: |
| |||||||||||||||||||||||
Net proceeds from sale of shares | 7,792,193 | 16,557,459 | — | 6,948,413 | — | — | ||||||||||||||||||
Cost of shares redeemed | (95,061,447 | ) | (112,385,250 | ) | (7,498,409 | ) | (10,102,207 | ) | — | (11,905,364 | ) | |||||||||||||
Net decrease in net assets resulting from capital share transactions | (87,269,254 | ) | (95,827,791 | ) | (7,498,409 | ) | (3,153,794 | ) | — | (11,905,364 | ) | |||||||||||||
Net Increase (Decrease) in Net Assets | (87,705,893 | ) | (98,597,321 | ) | (7,661,388 | ) | (736,653 | ) | 2,268,995 | (10,531,533 | ) | |||||||||||||
NET ASSETS: |
| |||||||||||||||||||||||
Beginning of period | $ | 138,461,878 | $ | 237,059,199 | $ | 22,711,366 | $ | 23,448,019 | $ | 38,311,871 | $ | 48,843,404 | ||||||||||||
End of period | $ | 50,755,985 | $ | 138,461,878 | $ | 15,049,978 | $ | 22,711,366 | $ | 40,580,866 | $ | 38,311,871 | ||||||||||||
Undistributed net investment income included in net assets at end of period | $ | 334,349 | $ | — | $ | 56,041 | $ | — | $ | 119,565 | $ | — | ||||||||||||
SHARES CREATED AND REDEEMED: |
| |||||||||||||||||||||||
Shares outstanding, beginning of period | 5,400,000 | 9,000,000 | 1,200,000 | 1,400,000 | 1,500,000 | 2,000,000 | ||||||||||||||||||
Shares created | 300,000 | 600,000 | — | 400,000 | — | — | ||||||||||||||||||
Shares redeemed | (3,700,000 | ) | (4,200,000 | ) | (400,000 | ) | (600,000 | ) | — | (500,000 | ) | |||||||||||||
Shares outstanding, end of period | 2,000,000 | 5,400,000 | 800,000 | 1,200,000 | 1,500,000 | 1,500,000 |
See Notes to Financial Statements.
112 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Statements of Changes in Net Assets (continued)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
WisdomTree Emerging Currency Strategy Fund | WisdomTree Asia Local Debt Fund | WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund | ||||||||||||||||||||||
For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | |||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||||||||||
Net investment income | $ | 139,260 | $ | 6,631 | $ | 269,396 | $ | 515,741 | $ | 271,073 | $ | 456,480 | ||||||||||||
Net realized gain (loss) on investments, futures contracts, securities sold short, foreign currency contracts and foreign currency related transactions | 2,501,181 | 2,812,111 | (331,739 | ) | (1,519,970 | ) | 856,752 | 329,914 | ||||||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts, securities sold short, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies | (730,573 | ) | 172,914 | 225,442 | 893,422 | (775,454 | ) | (361,235 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | 1,909,868 | 2,991,656 | 163,099 | (110,807 | ) | 352,371 | 425,159 | |||||||||||||||||
DIVIDENDS AND DISTRIBUTIONS: | ||||||||||||||||||||||||
Net investment income | — | — | (65,000 | ) | (181,500 | ) | (289,306 | ) | (500,608 | ) | ||||||||||||||
Return of capital | — | — | (117,000 | ) | (240,500 | ) | — | — | ||||||||||||||||
Total dividends and distributions | — | — | (182,000 | ) | (422,000 | ) | (289,306 | ) | (500,608 | ) | ||||||||||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||||||||||
Net proceeds from sale of shares | 5,698,047 | 10,807,537 | 4,652,849 | 8,985,602 | 9,655,573 | 4,815,282 | ||||||||||||||||||
Cost of shares redeemed | (11,775,708 | ) | (7,173,838 | ) | (4,513,654 | ) | (13,008,768 | ) | (4,812,054 | ) | (4,800,679 | ) | ||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (6,077,661 | ) | 3,633,699 | 139,195 | (4,023,166 | ) | 4,843,519 | 14,603 | ||||||||||||||||
Net Increase (Decrease) in Net Assets | (4,167,793 | ) | 6,625,355 | 120,294 | (4,555,973 | ) | 4,906,584 | (60,846 | ) | |||||||||||||||
NET ASSETS: | ||||||||||||||||||||||||
Beginning of period | $ | 49,754,981 | $ | 43,129,626 | $ | 22,810,701 | $ | 27,366,674 | $ | 23,944,559 | $ | 24,005,405 | ||||||||||||
End of period | $ | 45,587,188 | $ | 49,754,981 | $ | 22,930,995 | $ | 22,810,701 | $ | 28,851,143 | $ | 23,944,559 | ||||||||||||
Undistributed (Distributions in excess of) net investment income included in net assets at end of period | $ | 139,260 | $ | — | $ | (762,957 | ) | $ | (967,353 | ) | $ | (14,232 | ) | $ | 4,001 | |||||||||
SHARES CREATED AND REDEEMED: | ||||||||||||||||||||||||
Shares outstanding, beginning of period | 2,600,000 | 2,400,000 | 500,000 | 600,000 | 500,000 | 500,000 | ||||||||||||||||||
Shares created | 300,000 | 600,000 | 100,000 | 200,000 | 200,000 | 100,000 | ||||||||||||||||||
Shares redeemed | (600,000 | ) | (400,000 | ) | (100,000 | ) | (300,000 | ) | (100,000 | ) | (100,000 | ) | ||||||||||||
Shares outstanding, end of period | 2,300,000 | 2,600,000 | 500,000 | 500,000 | 600,000 | 500,000 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 113 |
Table of Contents
Statements of Changes in Net Assets (continued)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund | WisdomTree U.S. Aggregate Bond Fund | WisdomTree U.S. Short-Term | ||||||||||||||||||||||
For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Six Months Ended February 28, 2018 (unaudited) | For the Period May 18, 2017* through August 31, 2017 | |||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||||||||||
Net investment income | $ | 229,004 | $ | 300,950 | $ | 3,533,370 | $ | 3,412,018 | $ | 126,395 | $ | 25,587 | ||||||||||||
Net realized gain (loss) on investments, futures contracts and securities sold short | 1,055,915 | 374,183 | (547,624 | ) | (75,621 | ) | (49,805 | ) | 6,373 | |||||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts and securities sold short | (580,079 | ) | (311,671 | ) | (10,224,971 | ) | (877,238 | ) | (350,612 | ) | 16,117 | |||||||||||||
Net increase (decrease) in net assets resulting from operations | 704,840 | 363,462 | (7,239,225 | ) | 2,459,159 | (274,022 | ) | 48,077 | ||||||||||||||||
DIVIDENDS AND DISTRIBUTIONS: |
| |||||||||||||||||||||||
Net investment income | (233,000 | ) | (325,358 | ) | (3,647,500 | ) | (3,533,130 | ) | (134,067 | ) | (24,000 | ) | ||||||||||||
Capital gains | — | — | — | (502,964 | ) | (6,373 | ) | — | ||||||||||||||||
Return of capital | — | (222 | ) | — | — | — | — | |||||||||||||||||
Total dividends and distributions | (233,000 | ) | (325,580 | ) | (3,647,500 | ) | (4,036,094 | ) | (140,440 | ) | (24,000 | ) | ||||||||||||
CAPITAL SHARE TRANSACTIONS: |
| |||||||||||||||||||||||
Net proceeds from sale of shares | 21,896,476 | 8,742,477 | 231,326,769 | 60,397,433 | 24,788,225 | 5,001,011 | ||||||||||||||||||
Cost of shares redeemed | (8,659,383 | ) | (4,307,011 | ) | (4,946,280 | ) | — | (100 | ) | — | ||||||||||||||
Net increase in net assets resulting from capital share transactions | 13,237,093 | 4,435,466 | 226,380,489 | 60,397,433 | 24,788,125 | 5,001,011 | ||||||||||||||||||
Net Increase in Net Assets | 13,708,933 | 4,473,348 | 215,493,764 | 58,820,498 | 24,373,663 | 5,025,088 | ||||||||||||||||||
NET ASSETS: | ||||||||||||||||||||||||
Beginning of period | $ | 17,151,951 | $ | 12,678,603 | $ | 168,105,422 | $ | 109,284,924 | $ | 5,025,188 | $ | 100 | ||||||||||||
End of period | $ | 30,860,884 | $ | 17,151,951 | $ | 383,599,186 | $ | 168,105,422 | $ | 29,398,851 | $ | 5,025,188 | ||||||||||||
Undistributed (Distributions in excess of) net investment income included in net assets at end of period | $ | (3,996 | ) | $ | — | $ | (57,468 | ) | $ | 56,662 | $ | (6,085 | ) | $ | 1,587 | |||||||||
SHARES CREATED AND REDEEMED: | ||||||||||||||||||||||||
Shares outstanding, beginning of period | 400,000 | 300,000 | 3,300,000 | 2,100,000 | 100,002 | 2 | ||||||||||||||||||
Shares created | 500,000 | 200,000 | 4,600,000 | 1,200,000 | 500,000 | 100,000 | ||||||||||||||||||
Shares redeemed | (200,000 | ) | (100,000 | ) | (100,000 | ) | — | (2 | ) | — | ||||||||||||||
Shares outstanding, end of period | 700,000 | 400,000 | 7,800,000 | 3,300,000 | 600,000 | 100,002 |
* | Commencement of operations. |
See Notes to Financial Statements.
114 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Statements of Changes in Net Assets (continued)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
WisdomTree Bloomberg Floating Rate Treasury Fund | WisdomTree Emerging Markets Corporate Bond Fund | WisdomTree Emerging Markets Local Debt Fund | ||||||||||||||||||||||
For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | |||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||||||||||
Net investment income | $ | 9,699 | $ | 8,486 | $ | 996,648 | $ | 2,157,575 | $ | 6,306,650 | $ | 14,100,386 | ||||||||||||
Net realized gain (loss) on investments, futures contracts, foreign currency contracts and foreign currency related transactions | 1,312 | 2,761 | 1,628,615 | (1,008,873 | ) | (2,138,394 | ) | (15,446,174 | ) | |||||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies | (830 | ) | (396 | ) | (2,394,178 | ) | 1,614,874 | 2,413,426 | 19,920,921 | |||||||||||||||
Net increase in net assets resulting from operations | 10,181 | 10,851 | 231,085 | 2,763,576 | 6,581,682 | 18,575,133 | ||||||||||||||||||
DIVIDENDS AND DISTRIBUTIONS: |
| |||||||||||||||||||||||
Net investment income | (9,705 | ) | (8,594 | ) | (1,015,000 | ) | (2,141,000 | ) | (5,640,500 | ) | (5,743,121 | ) | ||||||||||||
Capital gains | (3,093 | ) | — | — | — | — | — | |||||||||||||||||
Return of capital | — | — | — | — | — | (6,030,879 | ) | |||||||||||||||||
Total dividends and distributions | (12,798 | ) | (8,594 | ) | (1,015,000 | ) | (2,141,000 | ) | (5,640,500 | ) | (11,774,000 | ) | ||||||||||||
CAPITAL SHARE TRANSACTIONS: |
| |||||||||||||||||||||||
Net proceeds from sale of shares | 3,759,647 | — | — | — | 34,858,683 | 40,579,290 | ||||||||||||||||||
Cost of shares redeemed | (1,253,318 | ) | — | — | (7,130,042 | ) | (61,613,653 | ) | (117,563,423 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 2,506,329 | — | — | (7,130,042 | ) | (26,754,970 | ) | (76,984,133 | ) | |||||||||||||||
Net Increase (Decrease) in Net Assets | 2,503,712 | 2,257 | (783,915 | ) | (6,507,466 | ) | (25,813,788 | ) | (70,183,000 | ) | ||||||||||||||
NET ASSETS: | ||||||||||||||||||||||||
Beginning of period | $ | 1,253,589 | $ | 1,251,332 | $ | 51,035,186 | $ | 57,542,652 | $ | 256,850,572 | $ | 327,033,572 | ||||||||||||
End of period | $ | 3,757,301 | $ | 1,253,589 | $ | 50,251,271 | $ | 51,035,186 | $ | 231,036,784 | $ | 256,850,572 | ||||||||||||
Undistributed (Distributions in excess of) net investment income included in net assets at end of period | $ | 231 | $ | 237 | $ | 8,020 | $ | 26,372 | $ | 452,894 | $ | (213,256 | ) | |||||||||||
SHARES CREATED AND REDEEMED: | ||||||||||||||||||||||||
Shares outstanding, beginning of period | 50,000 | 50,000 | 700,000 | 800,000 | 6,600,000 | 8,700,000 | ||||||||||||||||||
Shares created | 150,000 | — | — | — | 900,000 | 1,100,000 | ||||||||||||||||||
Shares redeemed | (50,000 | ) | — | — | (100,000 | ) | (1,600,000 | ) | (3,200,000 | ) | ||||||||||||||
Shares outstanding, end of period | 150,000 | 50,000 | 700,000 | 700,000 | 5,900,000 | 6,600,000 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 115 |
Table of Contents
Statements of Changes in Net Assets (continued)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
WisdomTree Interest Rate Hedged High Yield Bond Fund | WisdomTree Negative Duration High Yield Bond Fund | WisdomTree CBOE Russell 2000 PutWrite Strategy Fund | ||||||||||||||||||
For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Period February 1, 2018* through February 28, 2018 (unaudited) | ||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||||||
Net investment income | $ | 2,249,062 | $ | 1,929,817 | $ | 399,654 | $ | 640,038 | $ | 587 | ||||||||||
Net realized gain (loss) on investments, futures contracts and written options | 1,424,764 | 134,363 | 820,827 | 131,245 | (80,915 | ) | ||||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts and written options | (1,191,714 | ) | 103,767 | (89,318 | ) | (25,652 | ) | (16,647 | ) | |||||||||||
Net increase (decrease) in net assets resulting from operations | 2,482,112 | 2,167,947 | 1,131,163 | 745,631 | (96,975 | ) | ||||||||||||||
DIVIDENDS: | ||||||||||||||||||||
Net investment income | (2,186,072 | ) | (1,900,500 | ) | (411,556 | ) | (632,232 | ) | — | |||||||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||||||
Net proceeds from sale of shares | 91,724,706 | 52,602,758 | 6,344,515 | 8,452,788 | 3,692,376 | |||||||||||||||
Cost of shares redeemed | (2,382,733 | ) | (11,909,712 | ) | (4,159,997 | ) | (1,959,249 | ) | (1,175,912 | ) | ||||||||||
Net increase in net assets resulting from capital share transactions | 89,341,973 | 40,693,046 | 2,184,518 | 6,493,539 | 2,516,464 | |||||||||||||||
Net Increase in Net Assets | 89,638,013 | 40,960,493 | 2,904,125 | 6,606,938 | 2,419,489 | |||||||||||||||
NET ASSETS: | ||||||||||||||||||||
Beginning of period | $ | 54,997,469 | $ | 14,036,976 | $ | 16,319,162 | $ | 9,712,224 | $ | 100 | ||||||||||
End of period | $ | 144,635,482 | $ | 54,997,469 | $ | 19,223,287 | $ | 16,319,162 | $ | 2,419,589 | ||||||||||
Undistributed (Distributions in excess of) net investment income included in net assets at end of period | $ | 99,153 | $ | 36,163 | $ | (1,661 | ) | $ | 10,241 | $ | 587 | |||||||||
SHARES CREATED AND REDEEMED: | ||||||||||||||||||||
Shares outstanding, beginning of period | 2,300,000 | 600,000 | 800,000 | 500,000 | 4 | |||||||||||||||
Shares created | 3,800,000 | 2,200,000 | 300,000 | 400,000 | 150,000 | |||||||||||||||
Shares redeemed | (100,000 | ) | (500,000 | ) | (200,000 | ) | (100,000 | ) | (50,000 | ) | ||||||||||
Shares outstanding, end of period | 6,000,000 | 2,300,000 | 900,000 | 800,000 | 100,004 |
* | Commencement of operations. |
See Notes to Financial Statements.
116 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Statements of Changes in Net Assets (concluded)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
WisdomTree CBOE S&P 500 PutWrite | WisdomTree Managed Futures Strategy Fund | |||||||||||||||
For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | |||||||||||||
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 739,452 | $ | 168,332 | $ | 306,433 | $ | (324,616 | ) | |||||||
Net realized gain (loss) on investments, futures contracts, written options and foreign currency contracts | 2,770,601 | 5,172,367 | 3,884,251 | (11,765,588 | ) | |||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts, written options and foreign currency contracts | (2,315,896 | ) | 1,889,073 | (1,304,022 | ) | 1,329,156 | ||||||||||
Net increase (decrease) in net assets resulting from operations | 1,194,157 | 7,229,772 | 2,886,662 | (10,761,048 | ) | |||||||||||
DIVIDENDS AND DISTRIBUTIONS: | ||||||||||||||||
Net investment income | (577,075 | ) | — | — | — | |||||||||||
Capital gains | (9,339,270 | ) | (620,193 | ) | — | — | ||||||||||
Total dividends and distributions | (9,916,345 | ) | (620,193 | ) | — | — | ||||||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||
Net proceeds from sale of shares | 110,495,340 | 188,624,261 | 16,055,628 | 56,978,008 | ||||||||||||
Cost of shares redeemed | (102,929,342 | ) | (6,828,636 | ) | (19,659,016 | ) | (56,278,381 | ) | ||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 7,565,998 | 181,795,625 | (3,603,388 | ) | 699,627 | |||||||||||
Net Increase (Decrease) in Net Assets | (1,156,190 | ) | 188,405,204 | (716,726 | ) | (10,061,421 | ) | |||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period | $ | 204,634,686 | $ | 16,229,482 | $ | 170,879,111 | $ | 180,940,532 | ||||||||
End of period | $ | 203,478,496 | $ | 204,634,686 | $ | 170,162,385 | $ | 170,879,111 | ||||||||
Undistributed net investment income (Accumulated net investment loss) included in net assets at end of period | $ | 330,709 | $ | 168,332 | $ | (2,461,308 | ) | $ | (2,767,741 | ) | ||||||
SHARES CREATED AND REDEEMED: | ||||||||||||||||
Shares outstanding, beginning of period | 7,000,004 | 600,004 | 4,400,000 | 4,400,000 | ||||||||||||
Shares created | 3,750,000 | 6,650,000 | 400,000 | 1,400,000 | ||||||||||||
Shares redeemed | (3,650,004 | ) | (250,000 | ) | (500,000 | ) | (1,400,000 | ) | ||||||||
Shares outstanding, end of period | 7,100,000 | 7,000,004 | 4,300,000 | 4,400,000 |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 117 |
Table of Contents
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
Selected data for a share of beneficial interest outstanding throughout the period is presented below:
WisdomTree Bloomberg U.S. Dollar Bullish Fund | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | For the Period December 18, 2013* through August 31, 2014 | |||||||||||||||
Net asset value, beginning of period | $ | 25.64 | $ | 26.34 | $ | 28.63 | $ | 25.11 | $ | 25.12 | ||||||||||
Investment operations: |
| |||||||||||||||||||
Net investment income (loss)1 | 0.08 | 0.00 | 2 | (0.10 | ) | (0.13 | ) | (0.08 | ) | |||||||||||
Net realized and unrealized gain (loss) | (0.34 | ) | (0.70 | ) | (0.42 | )3 | 4.08 | 0.07 | ||||||||||||
Total from investment operations | (0.26 | ) | (0.70 | ) | (0.52 | ) | 3.95 | (0.01 | ) | |||||||||||
Distributions to shareholders: |
| |||||||||||||||||||
Capital gains | — | — | (1.77 | ) | (0.43 | ) | — | |||||||||||||
Net asset value, end of period | $ | 25.38 | $ | 25.64 | $ | 26.34 | $ | 28.63 | $ | 25.11 | ||||||||||
TOTAL RETURN4 | (1.01 | )%5 | (2.66 | )% | (2.05 | )%6 | 15.83 | % | (0.04 | )% | ||||||||||
RATIOS/SUPPLEMENTAL DATA: |
| |||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 50,756 | $ | 138,462 | $ | 237,059 | $ | 340,684 | $ | 55,245 | ||||||||||
Ratios to average net assets of: |
| |||||||||||||||||||
Expenses | 0.50 | %7 | 0.50 | % | 0.50 | % | 0.50 | % | 0.51 | %7,8 | ||||||||||
Net investment income (loss) | 0.59 | %7 | 0.00 | %9 | (0.35 | )% | (0.48 | )% | (0.48 | )%7 | ||||||||||
Portfolio turnover rate10 | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % |
WisdomTree Brazilian Real Strategy Fund | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | For the Year Ended August 31, 2014 | For the Year Ended August 31, 2013 | ||||||||||||||||||
Net asset value, beginning of period | $ | 18.93 | $ | 16.75 | $ | 13.33 | $ | 19.48 | $ | 16.83 | $ | 18.81 | ||||||||||||
Investment operations: |
| |||||||||||||||||||||||
Net investment income (loss)1 | 0.05 | 0.02 | (0.04 | ) | (0.07 | ) | (0.07 | ) | (0.07 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (0.17 | ) | 2.16 | 3.46 | (6.08 | ) | 2.72 | (1.91 | ) | |||||||||||||||
Total from investment operations | (0.12 | ) | 2.18 | 3.42 | (6.15 | ) | 2.65 | (1.98 | ) | |||||||||||||||
Net asset value, end of period | $ | 18.81 | $ | 18.93 | $ | 16.75 | $ | 13.33 | $ | 19.48 | $ | 16.83 | ||||||||||||
TOTAL RETURN4 | (0.63 | )% | 13.01 | % | 25.66 | % | (31.57 | )% | 15.75 | % | (10.53 | )% | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: |
| |||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 15,050 | $ | 22,711 | $ | 23,448 | $ | 15,995 | $ | 31,163 | $ | 40,397 | ||||||||||||
Ratios to average net assets of: |
| |||||||||||||||||||||||
Expenses | 0.45 | %7 | 0.45 | % | 0.45 | % | 0.45 | % | 0.46 | %11 | 0.45 | % | ||||||||||||
Net investment income (loss) | 0.58 | %7 | 0.10 | % | (0.26 | )% | (0.40 | )% | (0.40 | )% | (0.39 | )% | ||||||||||||
Portfolio turnover rate10 | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % |
* | Commencement of operations. |
1 | Based on average shares outstanding. |
2 | Amount represents less than $0.005. |
3 | Includes a voluntary reimbursement from the sub-advisor of $0.01 per share for investment losses on certain foreign exchange transactions during the period. |
4 | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. |
5 | Includes a voluntary reimbursement from the sub-advisor for investment losses on certain foreign exchange transactions during the period. Excluding this voluntary reimbursement, total return would have been unchanged. |
6 | Includes a voluntary reimbursement from the sub-advisor for investment losses on certain foreign exchange transactions during the period. Excluding this voluntary reimbursement, total return would have been 0.04% lower. |
7 | Annualized. |
8 | Included in the expense ratio are proxy expenses (which are not annualized). Without these proxy expenses, the annualized expense ratio would have been 0.50%. |
9 | Amount represents less than 0.005%. |
10 | Portfolio turnover rate is not annualized. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation. |
11 | Included in the expense ratio are proxy expenses. Without these proxy expenses, the expense ratio would have been 0.45%. |
See Notes to Financial Statements.
118 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Financial Highlights (continued)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
Selected data for a share of beneficial interest outstanding throughout the period is presented below:
WisdomTree Chinese Yuan Strategy Fund | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | For the Year Ended August 31, 2014 | For the Year Ended August 31, 2013 | ||||||||||||||||||
Net asset value, beginning of period | $ | 25.54 | $ | 24.42 | $ | 24.67 | $ | 25.35 | $ | 26.22 | $ | 25.22 | ||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | 0.08 | 0.02 | 0.06 | 0.06 | (0.03 | ) | 0.00 | 2 | ||||||||||||||||
Net realized and unrealized gain (loss) | 1.43 | 1.10 | (0.31 | ) | (0.64 | ) | 0.20 | 1.20 | ||||||||||||||||
Total from investment operations | 1.51 | 1.12 | (0.25 | ) | (0.58 | ) | 0.17 | 1.20 | ||||||||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | (0.21 | ) | — | |||||||||||||||||
Capital gains | — | — | — | (0.10 | ) | (0.83 | ) | (0.20 | ) | |||||||||||||||
Total dividends and distributions to shareholders | — | — | — | (0.10 | ) | (1.04 | ) | (0.20 | ) | |||||||||||||||
Net asset value, end of period | $ | 27.05 | $ | 25.54 | $ | 24.42 | $ | 24.67 | $ | 25.35 | $ | 26.22 | ||||||||||||
TOTAL RETURN3 | 5.91 | % | 4.59 | % | (1.01 | )% | (2.30 | )% | 0.63 | % | 4.78 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 40,581 | $ | 38,312 | $ | 48,843 | $ | 88,827 | $ | 152,119 | $ | 215,015 | ||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses | 0.45 | %4 | 0.45 | % | 0.45 | % | 0.45 | % | 0.46 | %5 | 0.45 | % | ||||||||||||
Net investment income (loss) | 0.62 | %4 | 0.09 | % | 0.26 | % | 0.24 | % | (0.11 | )% | 0.02 | % | ||||||||||||
Portfolio turnover rate6 | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % |
WisdomTree Emerging Currency Strategy Fund | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | For the Year Ended August 31, 2014 | For the Year Ended August 31, 2013 | ||||||||||||||||||
Net asset value, beginning of period | $ | 19.14 | $ | 17.97 | $ | 17.01 | $ | 20.43 | $ | 19.66 | $ | 20.33 | ||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | 0.05 | 0.00 | 2 | (0.07 | ) | (0.10 | ) | (0.11 | ) | (0.10 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 0.63 | 1.17 | 1.03 | (3.32 | ) | 0.88 | (0.57 | ) | ||||||||||||||||
Total from investment operations | 0.68 | 1.17 | 0.96 | (3.42 | ) | 0.77 | (0.67 | ) | ||||||||||||||||
Net asset value, end of period | $ | 19.82 | $ | 19.14 | $ | 17.97 | $ | 17.01 | $ | 20.43 | $ | 19.66 | ||||||||||||
TOTAL RETURN3 | 3.55 | % | 6.51 | % | 5.64 | % | (16.74 | )% | 3.92 | % | (3.30 | )% | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 45,587 | $ | 49,755 | $ | 43,130 | $ | 52,719 | $ | 102,148 | $ | 192,628 | ||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses | 0.55 | %4 | 0.55 | % | 0.55 | % | 0.55 | % | 0.56 | %5 | 0.55 | % | ||||||||||||
Net investment income (loss) | 0.55 | %4 | 0.01 | % | (0.41 | )% | (0.52 | )% | (0.53 | )% | (0.48 | )% | ||||||||||||
Portfolio turnover rate6 | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % |
1 | Based on average shares outstanding. |
2 | Amount represents less than $0.005. |
3 | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. |
4 | Annualized. |
5 | Included in the expense ratio are proxy expenses. Without these proxy expenses, the expense ratio would have been 0.45% for the WisdomTree Chinese Yuan Strategy Fund and 0.55% for the WisdomTree Emerging Currency Strategy Fund. |
6 | Portfolio turnover rate is not annualized. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation. |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 119 |
Table of Contents
Financial Highlights (continued)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
Selected data for a share of beneficial interest outstanding throughout the period is presented below:
WisdomTree Asia Local Debt Fund | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | For the Year Ended August 31, 2014 | For the Year Ended August 31, 2013 | ||||||||||||||||||
Net asset value, beginning of period | $ | 45.62 | $ | 45.61 | $ | 42.86 | $ | 49.93 | $ | 47.41 | $ | 51.57 | ||||||||||||
Investment operations: |
| |||||||||||||||||||||||
Net investment income1 | 0.58 | 0.96 | 0.99 | 1.29 | 1.15 | 1.20 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.05 | (0.16 | ) | 2.74 | (7.28 | ) | 2.00 | (3.74 | ) | |||||||||||||||
Total from investment operations | 0.63 | 0.80 | 3.73 | (5.99 | ) | 3.15 | (2.54 | ) | ||||||||||||||||
Dividends and distributions to shareholders: |
| |||||||||||||||||||||||
Net investment income | (0.13 | ) | (0.27 | ) | (0.36 | ) | (1.08 | ) | (0.47 | ) | (1.34 | ) | ||||||||||||
Capital gains | — | — | — | — | — | (0.28 | ) | |||||||||||||||||
Return of capital | (0.26 | ) | (0.52 | ) | (0.62 | ) | — | (0.16 | ) | — | ||||||||||||||
Total dividends and distributions to shareholders | (0.39 | ) | (0.79 | ) | (0.98 | ) | (1.08 | ) | (0.63 | ) | (1.62 | ) | ||||||||||||
Net asset value, end of period | $ | 45.86 | $ | 45.62 | $ | 45.61 | $ | 42.86 | $ | 49.93 | $ | 47.41 | ||||||||||||
TOTAL RETURN2 | 1.39 | % | 1.81 | % | 8.81 | % | (12.15 | )% | 6.69 | % | (5.14 | )% | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: |
| |||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 22,931 | $ | 22,811 | $ | 27,367 | $ | 38,574 | $ | 339,553 | $ | 493,089 | ||||||||||||
Ratios to average net assets of: |
| |||||||||||||||||||||||
Expenses | 0.55 | %3 | 0.55 | % | 0.55 | % | 0.55 | % | 0.56 | %4 | 0.55 | % | ||||||||||||
Net investment income | 2.55 | %3 | 2.15 | % | 2.24 | % | 2.68 | % | 2.36 | % | 2.34 | % | ||||||||||||
Portfolio turnover rate5 | 31 | % | 46 | % | 26 | % | 10 | % | 62 | % | 52 | % |
WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | For the Period December 18, 2013* through August 31, 2014 | |||||||||||||||
Net asset value, beginning of period | $ | 47.89 | $ | 48.01 | $ | 48.21 | $ | 49.78 | $ | 49.98 | ||||||||||
Investment operations: |
| |||||||||||||||||||
Net investment income1 | 0.54 | 0.95 | 0.77 | 0.68 | 0.54 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.25 | (0.03 | ) | (0.13 | ) | (1.50 | ) | (0.11 | ) | |||||||||||
Total from investment operations | 0.79 | 0.92 | 0.64 | (0.82 | ) | 0.43 | ||||||||||||||
Dividends and distributions to shareholders: |
| |||||||||||||||||||
Net investment income | (0.59 | ) | (1.04 | ) | (0.84 | ) | (0.75 | ) | (0.63 | ) | ||||||||||
Return of capital | — | — | — | (0.00 | )6 | — | ||||||||||||||
Total dividends and distributions to shareholders | (0.59 | ) | (1.04 | ) | (0.84 | ) | (0.75 | ) | (0.63 | ) | ||||||||||
Net asset value, end of period | $ | 48.09 | $ | 47.89 | $ | 48.01 | $ | 48.21 | $ | 49.78 | ||||||||||
TOTAL RETURN2 | 1.65 | % | 1.93 | % | 1.35 | % | (1.66 | )% | 0.85 | % | ||||||||||
RATIOS/SUPPLEMENTAL DATA: |
| |||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 28,851 | $ | 23,945 | $ | 24,005 | $ | 28,923 | $ | 4,978 | ||||||||||
Ratios to average net assets of: |
| |||||||||||||||||||
Expenses | 0.23 | %3 | 0.23 | % | 0.23 | % | 0.23 | % | 0.24 | %3,7 | ||||||||||
Net investment income | 2.26 | %3 | 1.99 | % | 1.60 | % | 1.39 | % | 1.52 | %3 | ||||||||||
Portfolio turnover rate5,8 | 68 | % | 187 | % | 226 | % | 359 | % | 243 | % |
* | Commencement of operations. |
1 | Based on average shares outstanding. |
2 | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. |
3 | Annualized. |
4 | Included in the expense ratio are proxy expenses. Without these proxy expenses, the expense ratio would have been 0.55%. |
5 | Portfolio turnover rate is not annualized and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation. |
6 | Amount represents less than $0.005. |
7 | Included in the expense ratio are proxy expenses (which are not annualized). Without these proxy expenses, the annualized expense ratio would have been 0.23%. |
8 | The portfolio turnover rates excluding TBA roll transactions for the periods ended February 28, 2018, August 31, 2017, August 31, 2016, August 31, 2015 and August 31, 2014 were 26%, 45%, 33%, 95% and 87%, respectively. |
See Notes to Financial Statements.
120 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Financial Highlights (continued)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
Selected data for a share of beneficial interest outstanding throughout the period is presented below:
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | For the Period December 18, 2013* through August 31, 2014 | |||||||||||||||
Net asset value, beginning of period | $ | 42.88 | $ | 42.26 | $ | 44.42 | $ | 46.65 | $ | 50.05 | ||||||||||
Investment operations: |
| |||||||||||||||||||
Net investment income1 | 0.47 | 0.83 | 0.70 | 0.62 | 0.51 | |||||||||||||||
Net realized and unrealized gain (loss) | 1.21 | 0.67 | (2.07 | ) | (2.18 | ) | (3.30 | ) | ||||||||||||
Total from investment operations | 1.68 | 1.50 | (1.37 | ) | (1.56 | ) | (2.79 | ) | ||||||||||||
Dividends and distributions to shareholders: |
| |||||||||||||||||||
Net investment income | (0.47 | ) | (0.88 | ) | (0.79 | ) | (0.67 | ) | (0.61 | ) | ||||||||||
Return of capital | — | (0.00 | )2 | — | — | — | ||||||||||||||
Total dividends and distributions to shareholders | (0.47 | ) | (0.88 | ) | (0.79 | ) | (0.67 | ) | (0.61 | ) | ||||||||||
Net asset value, end of period | $ | 44.09 | $ | 42.88 | $ | 42.26 | $ | 44.42 | $ | 46.65 | ||||||||||
TOTAL RETURN3 | 3.93 | % | 3.55 | % | (3.11 | )% | (3.36 | )% | (5.61 | )% | ||||||||||
RATIOS/SUPPLEMENTAL DATA: |
| |||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 30,861 | $ | 17,152 | $ | 12,679 | $ | 17,767 | $ | 4,665 | ||||||||||
Ratios to average net assets of: |
| |||||||||||||||||||
Expenses | 0.28 | %4 | 0.28 | % | 0.28 | % | 0.28 | % | 0.29 | %4,5 | ||||||||||
Net investment income | 2.18 | %4 | 1.91 | % | 1.61 | % | 1.38 | % | 1.48 | %4 | ||||||||||
Portfolio turnover rate6,7 | 101 | % | 209 | % | 226 | % | 424 | % | 257 | % |
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Period July 9, 2015* through August 31, 2015 | ||||||||||||
Net asset value, beginning of period | $ | 50.94 | $ | 52.04 | $ | 49.64 | $ | 49.78 | ||||||||
Investment operations: |
| |||||||||||||||
Net investment income1 | 0.72 | 1.35 | 1.31 | 0.16 | ||||||||||||
Net realized and unrealized gain (loss) | (1.77 | ) | (0.85 | ) | 2.50 | (0.18 | ) | |||||||||
Total from investment operations | (1.05 | ) | 0.50 | 3.81 | (0.02 | ) | ||||||||||
Dividends and distributions to shareholders: |
| |||||||||||||||
Net investment income | (0.71 | ) | (1.38 | ) | (1.41 | ) | (0.12 | ) | ||||||||
Capital gains | — | (0.22 | ) | — | — | |||||||||||
Total dividends and distributions to shareholders | (0.71 | ) | (1.60 | ) | (1.41 | ) | (0.12 | ) | ||||||||
Net asset value, end of period | $ | 49.18 | $ | 50.94 | $ | 52.04 | $ | 49.64 | ||||||||
TOTAL RETURN3 | (2.08 | )% | 1.05 | % | 7.81 | % | (0.04 | )% | ||||||||
RATIOS/SUPPLEMENTAL DATA: |
| |||||||||||||||
Net assets, end of period (000’s omitted) | $ | 383,599 | $ | 168,105 | $ | 109,285 | $ | 4,964 | ||||||||
Ratios to average net assets of: |
| |||||||||||||||
Expenses, net of expense waivers | 0.12 | %4 | 0.12 | % | 0.12 | % | 0.12 | %4 | ||||||||
Expenses, prior to expense waivers | 0.20 | %4 | 0.20 | % | 0.20 | % | 0.20 | %4 | ||||||||
Net investment income | 2.89 | %4 | 2.69 | % | 2.59 | % | 2.21 | %4 | ||||||||
Portfolio turnover rate6,8 | 68 | % | 134 | % | 141 | % | 51 | % |
* | Commencement of operations. |
1 | Based on average shares outstanding. |
2 | Amount represents less than $0.005. |
3 | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been waived by the investment advisor for WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (Notes 2 and 3). |
4 | Annualized. |
5 | Included in the expense ratio are proxy expenses (which are not annualized). Without these proxy expenses, the annualized expense ratio would have been 0.28%. |
6 | Portfolio turnover rate is not annualized and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation. |
7 | The portfolio turnover rates excluding TBA roll transactions for the periods ended February 28, 2018, August 31, 2017, August 31, 2016, August 31, 2015 and August 31, 2014 were 63%, 94%, 56%, 163% and 96%, respectively. |
8 | The portfolio turnover rates excluding TBA roll transactions for the periods ended February 28, 2018, August 31, 2017, August 31, 2016 and August 31, 2015 were 24%, 59%, 51% and 6%, respectively. |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 121 |
Table of Contents
Financial Highlights (continued)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
Selected data for a share of beneficial interest outstanding throughout the period is presented below:
WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund | For the Six Months Ended February 28, 2018 (unaudited) | For the Period May 18, 2017* through August 31, 2017 | ||||||
Net asset value, beginning of period | $ | 50.25 | $ | 50.06 | ||||
Investment operations: | ||||||||
Net investment income1 | 0.52 | 0.26 | ||||||
Net realized and unrealized gain (loss) | (1.22 | ) | 0.17 | |||||
Total from investment operations | (0.70 | ) | 0.43 | |||||
Dividends and distributions to shareholders: | ||||||||
Net investment income | (0.49 | ) | (0.24 | ) | ||||
Capital gains | (0.06 | ) | — | |||||
Total dividends and distributions to shareholders | (0.55 | ) | (0.24 | ) | ||||
Net asset value, end of period | $ | 49.00 | $ | 50.25 | ||||
TOTAL RETURN2 | (1.39 | )% | 0.86 | % | ||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||
Net assets, end of period (000’s omitted) | $ | 29,399 | $ | 5,025 | ||||
Ratios to average net assets of: | ||||||||
Expenses, net of expense waivers | 0.12 | %3 | 0.12 | %3 | ||||
Expenses, prior to expense waivers | 0.20 | %3 | 0.20 | %3 | ||||
Net investment income | 2.16 | %3 | 1.76 | %3 | ||||
Portfolio turnover rate4,5 | 106 | % | 44 | % |
WisdomTree Bloomberg Floating Rate Treasury Fund | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | For the Period February 4, 2014* through August 31, 2014 | |||||||||||||||
Net asset value, beginning of period | $ | 25.07 | $ | 25.03 | $ | 24.99 | $ | 24.99 | $ | 25.00 | ||||||||||
Investment operations: | ||||||||||||||||||||
Net investment income (loss)1 | 0.15 | 0.17 | 0.05 | (0.01 | ) | (0.01 | ) | |||||||||||||
Net realized and unrealized gain | 0.01 | 0.04 | 0.02 | 0.01 | 0.00 | 6 | ||||||||||||||
Total from investment operations | 0.16 | 0.21 | 0.07 | (0.00 | )6 | (0.01 | ) | |||||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||||||
Net investment income | (0.15 | ) | (0.17 | ) | (0.03 | ) | — | — | ||||||||||||
Capital gains | (0.03 | ) | — | — | — | — | ||||||||||||||
Total dividends and distributions to shareholders | (0.18 | ) | (0.17 | ) | (0.03 | ) | — | — | ||||||||||||
Net asset value, end of period | $ | 25.05 | $ | 25.07 | $ | 25.03 | $ | 24.99 | $ | 24.99 | ||||||||||
TOTAL RETURN2 | 0.65 | % | 0.85 | % | 0.28 | % | 0.00 | % | (0.04 | )% | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 3,757 | $ | 1,254 | $ | 1,251 | $ | 1,250 | $ | 2,499 | ||||||||||
Ratios to average net assets of: | ||||||||||||||||||||
Expenses, net of expense waivers | 0.15 | %3 | 0.15 | % | 0.15 | % | 0.15 | % | 0.15 | %3 | ||||||||||
Expenses, prior to expense waivers | 0.20 | %3 | 0.20 | % | 0.20 | % | 0.20 | % | 0.20 | %3 | ||||||||||
Net investment income (loss) | 1.23 | %3 | 0.68 | % | 0.20 | % | (0.06 | )% | (0.06 | )%3 | ||||||||||
Portfolio turnover rate4 | 80 | % | 160 | % | 157 | % | 118 | % | 65 | % |
* | Commencement of operations. |
1 | Based on average shares outstanding. |
2 | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3). |
3 | Annualized. |
4 | Portfolio turnover rate is not annualized and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation. |
5 | The portfolio turnover rates excluding TBA roll transactions for the periods ended February 28, 2018 and August 31, 2017 were 84% and 22%, respectively. |
6 | Amount represents less than $0.005. |
See Notes to Financial Statements.
122 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Financial Highlights (continued)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
Selected data for a share of beneficial interest outstanding throughout the period is presented below:
WisdomTree Emerging Markets Corporate Bond Fund | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | For the Year Ended August 31, 2014 | For the Year Ended August 31, 2013 | ||||||||||||||||||
Net asset value, beginning of period | $ | 72.91 | $ | 71.93 | $ | 69.13 | $ | 77.82 | $ | 72.97 | $ | 77.63 | ||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income1 | 1.42 | 2.87 | 2.97 | 3.51 | 3.47 | 3.29 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.09 | ) | 0.98 | 2.82 | (8.61 | ) | 5.56 | (4.69 | ) | |||||||||||||||
Total from investment operations | 0.33 | 3.85 | 5.79 | (5.10 | ) | 9.03 | (1.40 | ) | ||||||||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||||||||||
Net investment income | (1.45 | ) | (2.87 | ) | (2.99 | ) | (3.56 | ) | (3.45 | ) | (3.26 | ) | ||||||||||||
Capital gains | — | — | — | — | (0.73 | ) | — | |||||||||||||||||
Return of capital | — | — | — | (0.03 | ) | — | — | |||||||||||||||||
Total dividends and distributions to shareholders | (1.45 | ) | (2.87 | ) | (2.99 | ) | (3.59 | ) | (4.18 | ) | (3.26 | ) | ||||||||||||
Net asset value, end of period | $ | 71.79 | $ | 72.91 | $ | 71.93 | $ | 69.13 | $ | 77.82 | $ | 72.97 | ||||||||||||
TOTAL RETURN2 | 0.44 | % | 5.51 | % | 8.71 | % | (6.69 | )% | 12.71 | % | (2.00 | )% | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 50,251 | $ | 51,035 | $ | 57,543 | $ | 82,956 | $ | 116,737 | $ | 116,746 | ||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses | 0.60 | %3 | 0.60 | % | 0.60 | % | 0.60 | % | 0.61 | %4 | 0.60 | % | ||||||||||||
Net investment income | 3.94 | %3 | 4.03 | % | 4.35 | % | 4.79 | % | 4.59 | % | 4.22 | % | ||||||||||||
Portfolio turnover rate5 | 82 | % | 36 | % | 21 | % | 25 | % | 40 | % | 37 | % |
WisdomTree Emerging Markets Local Debt Fund | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | For the Year Ended August 31, 2014 | For the Year Ended August 31, 2013 | ||||||||||||||||||
Net asset value, beginning of period | $ | 38.92 | $ | 37.59 | $ | 35.77 | $ | 47.13 | $ | 45.93 | $ | 51.16 | ||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income1 | 1.07 | 2.07 | 2.00 | 2.17 | 2.26 | 2.22 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.15 | 1.00 | 1.57 | (11.46 | ) | 0.64 | (5.29 | ) | ||||||||||||||||
Total from investment operations | 1.22 | 3.07 | 3.57 | (9.29 | ) | 2.90 | (3.07 | ) | ||||||||||||||||
Dividends and distributions to shareholders: | ||||||||||||||||||||||||
Net investment income | (0.98 | ) | (0.82 | ) | (0.59 | ) | (1.95 | ) | (1.02 | ) | (2.01 | ) | ||||||||||||
Capital gains | — | — | — | — | (0.14 | ) | (0.15 | ) | ||||||||||||||||
Return of capital | — | (0.92 | ) | (1.16 | ) | (0.12 | ) | (0.54 | ) | — | ||||||||||||||
Total dividends and distributions to shareholders | (0.98 | ) | (1.74 | ) | (1.75 | ) | (2.07 | ) | (1.70 | ) | (2.16 | ) | ||||||||||||
Net asset value, end of period | $ | 39.16 | $ | 38.92 | $ | 37.59 | $ | 35.77 | $ | 47.13 | $ | 45.93 | ||||||||||||
TOTAL RETURN2 | 3.19 | % | 8.46 | % | 10.34 | % | (20.19 | )% | 6.43 | % | (6.41 | )% | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 231,037 | $ | 256,851 | $ | 327,034 | $ | 479,267 | $ | 838,859 | $ | 1,442,209 | ||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses | 0.55 | %3 | 0.55 | % | 0.55 | % | 0.55 | % | 0.56 | %4 | 0.55 | % | ||||||||||||
Net investment income | 5.56 | %3 | 5.51 | % | 5.59 | % | 5.22 | % | 4.84 | % | 4.31 | % | ||||||||||||
Portfolio turnover rate5 | 22 | % | 39 | % | 46 | % | 22 | % | 78 | % | 57 | % |
1 | Based on average shares outstanding. |
2 | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. |
3 | Annualized. |
4 | Included in the expense ratio are proxy expenses. Without these proxy expenses, the expense ratio would have been 0.60% for the WisdomTree Emerging Markets Corporate Bond Fund and 0.55% for the WisdomTree Emerging Markets Local Debt Fund. |
5 | Portfolio turnover rate is not annualized and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation. |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 123 |
Table of Contents
Financial Highlights (continued)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
Selected data for a share of beneficial interest outstanding throughout the period is presented below:
WisdomTree Interest Rate Hedged High Yield Bond Fund | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | For the Period December 18, 2013* through August 31, 2014 | |||||||||||||||
Net asset value, beginning of period | $ | 23.91 | $ | 23.39 | $ | 23.18 | $ | 24.86 | $ | 24.99 | ||||||||||
Investment operations: |
| |||||||||||||||||||
Net investment income1 | 0.62 | 1.24 | 1.10 | 0.90 | 0.58 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.16 | 0.53 | 0.20 | (1.67 | ) | (0.08 | ) | |||||||||||||
Total from investment operations | 0.78 | 1.77 | 1.30 | (0.77 | ) | 0.50 | ||||||||||||||
Dividends to shareholders: |
| |||||||||||||||||||
Net investment income | (0.58 | ) | (1.25 | ) | (1.09 | ) | (0.91 | ) | (0.63 | ) | ||||||||||
Net asset value, end of period | $ | 24.11 | $ | 23.91 | $ | 23.39 | $ | 23.18 | $ | 24.86 | ||||||||||
TOTAL RETURN2 | 3.30 | % | 7.73 | % | 5.92 | % | (3.15 | )% | 1.99 | % | ||||||||||
RATIOS/SUPPLEMENTAL DATA: |
| |||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 144,635 | $ | 54,997 | $ | 14,037 | $ | 20,859 | $ | 14,916 | ||||||||||
Ratios to average net assets of: |
| |||||||||||||||||||
Expenses | 0.43 | %3 | 0.43 | % | 0.43 | % | 0.43 | % | 0.44 | %3,4 | ||||||||||
Net investment income | 5.20 | %3 | 5.19 | % | 4.90 | % | 3.75 | % | 3.30 | %3 | ||||||||||
Portfolio turnover rate5 | 17 | % | 57 | % | 44 | % | 55 | % | 131 | % |
WisdomTree Negative Duration High Yield Bond Fund | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | For the Period December 18, 2013* through August 31, 2014 | |||||||||||||||
Net asset value, beginning of period | $ | 20.40 | $ | 19.42 | $ | 20.83 | $ | 22.99 | $ | 25.02 | ||||||||||
Investment operations: |
| |||||||||||||||||||
Net investment income1 | 0.52 | 1.04 | 0.93 | 0.83 | 0.56 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.98 | 0.97 | (1.41 | ) | (2.17 | ) | (1.96 | ) | ||||||||||||
Total from investment operations | 1.50 | 2.01 | (0.48 | ) | (1.34 | ) | (1.40 | ) | ||||||||||||
Dividends to shareholders: |
| |||||||||||||||||||
Net investment income | (0.54 | ) | (1.03 | ) | (0.93 | ) | (0.82 | ) | (0.63 | ) | ||||||||||
Net asset value, end of period | $ | 21.36 | $ | 20.40 | $ | 19.42 | $ | 20.83 | $ | 22.99 | ||||||||||
TOTAL RETURN2 | 7.43 | % | 10.44 | % | (2.22 | )% | (5.91 | )% | (5.69 | )% | ||||||||||
RATIOS/SUPPLEMENTAL DATA: |
| |||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 19,223 | $ | 16,319 | $ | 9,712 | $ | 12,499 | $ | 4,597 | ||||||||||
Ratios to average net assets of: |
| |||||||||||||||||||
Expenses | 0.48 | %3 | 0.48 | % | 0.48 | % | 0.48 | % | 0.49 | %3,4 | ||||||||||
Net investment income | 5.08 | %3 | 5.03 | % | 4.78 | % | 3.82 | % | 3.28 | %3 | ||||||||||
Portfolio turnover rate5 | 44 | % | 71 | % | 43 | % | 34 | % | 182 | % |
* | Commencement of operations. |
1 | Based on average shares outstanding. |
2 | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. |
3 | Annualized. |
4 | Included in the expense ratio are proxy expenses (which are not annualized). Without these proxy expenses, the annualized expense ratio would have been 0.43% for the WisdomTree Interest Rate Hedged High Yield Bond Fund and 0.48% for the WisdomTree Negative Duration High Yield Bond Fund. |
5 | Portfolio turnover rate is not annualized and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation. |
See Notes to Financial Statements.
124 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Financial Highlights (continued)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
Selected data for a share of beneficial interest outstanding throughout the period is presented below:
WisdomTree CBOE Russell 2000 PutWrite Strategy Fund | For the Period February 1, 2018* through February 28, 2018 (unaudited) | |||
Net asset value, beginning of period | $ | 24.92 | ||
Investment operations: |
| |||
Net investment income1 | 0.01 | |||
Net realized and unrealized loss | (0.74 | ) | ||
Total from investment operations | (0.73 | ) | ||
Net asset value, end of period | $ | 24.19 | ||
TOTAL RETURN2 | (2.93 | )% | ||
RATIOS/SUPPLEMENTAL DATA: |
| |||
Net assets, end of period (000’s omitted) | $ | 2,420 | ||
Ratios to average net assets of: |
| |||
Expenses, net of expense waivers | 0.43 | %3 | ||
Expenses, prior to expense waivers | 0.49 | %3 | ||
Net investment income | 0.30 | %3 | ||
Portfolio turnover rate4 | 0 | % |
WisdomTree CBOE S&P 500 PutWrite Strategy Fund | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Period February 24, 2016* through August 31, 2016 | |||||||||
Net asset value, beginning of period | $ | 29.23 | $ | 27.05 | $ | 25.10 | ||||||
Investment operations: |
| |||||||||||
Net investment income (loss)1 | 0.08 | 0.06 | (0.02 | ) | ||||||||
Net realized and unrealized gain | 0.38 | 2.74 | 1.97 | |||||||||
Total from investment operations | 0.46 | 2.80 | 1.95 | |||||||||
Dividends and distributions to shareholders: |
| |||||||||||
Net investment income | (0.06 | ) | — | — | ||||||||
Capital gains | (0.97 | ) | (0.62 | ) | — | |||||||
Total dividends and distributions to shareholders | (1.03 | ) | (0.62 | ) | — | |||||||
Net asset value, end of period | $ | 28.66 | $ | 29.23 | $ | 27.05 | ||||||
TOTAL RETURN2 | 1.52 | % | 10.52 | % | 7.77 | % | ||||||
RATIOS/SUPPLEMENTAL DATA: |
| |||||||||||
Net assets, end of period (000’s omitted) | $ | 203,478 | $ | 204,635 | $ | 16,229 | ||||||
Ratios to average net assets of: |
| |||||||||||
Expenses, net of expense waivers | 0.38 | %3 | 0.38 | % | 0.38 | %3 | ||||||
Expenses, prior to expense waivers | 0.44 | %3 | 0.44 | % | 0.44 | %3 | ||||||
Net investment income (loss) | 0.58 | %3 | 0.21 | % | (0.18 | )%3 | ||||||
Portfolio turnover rate4 | 0 | % | 0 | % | 0 | % |
* | Commencement of operations. |
1 | Based on average shares outstanding. |
2 | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3). |
3 | Annualized. |
4 | Portfolio turnover rate is not annualized and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation. |
See Notes to Financial Statements.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 125 |
Table of Contents
Financial Highlights (concluded)
WisdomTree Currency Strategy, Fixed Income and Alternative Funds
Selected data for a share of beneficial interest outstanding throughout the period is presented below:
WisdomTree Managed Futures Strategy Fund (consolidated) | For the Six Months Ended February 28, 2018 (unaudited) | For the Year Ended August 31, 2017 | For the Year Ended August 31, 2016 | For the Year Ended August 31, 2015 | For the Year Ended August 31, 2014 | For the Year Ended August 31, 2013 | ||||||||||||||||||
Net asset value, beginning of period | $ | 38.84 | $ | 41.12 | $ | 41.17 | $ | 42.15 | $ | 41.92 | $ | 41.47 | ||||||||||||
Investment operations: | ||||||||||||||||||||||||
Net investment income (loss)1 | 0.07 | (0.07 | ) | (0.33 | ) | (0.40 | ) | (0.39 | ) | (0.37 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 0.66 | (2.21 | ) | 0.28 | (0.58 | ) | 0.62 | 0.82 | ||||||||||||||||
Total from investment operations | 0.73 | (2.28 | ) | (0.05 | ) | (0.98 | ) | 0.23 | 0.45 | |||||||||||||||
Net asset value, end of period | $ | 39.57 | $ | 38.84 | $ | 41.12 | $ | 41.17 | $ | 42.15 | $ | 41.92 | ||||||||||||
TOTAL RETURN2 | 1.88 | % | (5.54 | )%3 | (0.12 | )% | (2.33 | )% | 0.55 | % | 1.09 | % | ||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
Net assets, end of period (000’s omitted) | $ | 170,162 | $ | 170,879 | $ | 180,941 | $ | 214,083 | $ | 177,043 | $ | 142,531 | ||||||||||||
Ratios to average net assets of: | ||||||||||||||||||||||||
Expenses, net of expense waivers | 0.65 | %4 | 0.65 | % | 0.91 | % | 0.95 | % | 0.96 | %5 | 0.95 | % | ||||||||||||
Expenses, prior to expense waivers | 0.75 | %4 | 0.75 | % | 0.92 | % | 0.95 | % | 0.96 | %5 | 0.95 | % | ||||||||||||
Net investment income (loss) | 0.37 | %4 | (0.18 | )% | (0.80 | )% | (0.93 | )% | (0.94 | )% | (0.90 | )% | ||||||||||||
Portfolio turnover rate6 | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % |
1 | Based on average shares outstanding. |
2 | Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3). |
3 | Includes a voluntary reimbursement from the sub-advisor for investment losses on certain futures contract transactions during the period. Excluding this voluntary reimbursement, total return would have been 0.08% lower. |
4 | Annualized. |
5 | Included in the expense ratio are proxy expenses. Without these proxy expenses, the expense ratio (net of expense waivers) would have been 0.95% and the expense ratio (prior to expense waivers) would have been 0.95%. |
6 | Portfolio turnover rate is not annualized and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation. |
See Notes to Financial Statements.
126 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Notes to Financial Statements (unaudited)
1. ORGANIZATION
WisdomTree Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Delaware statutory trust on December 15, 2005. As of February 28, 2018, the Trust consisted of 89 operational investment funds (each a “Fund”, collectively, the “Funds”). In accordance with Accounting Standards Update (“ASU”) 2013-08, Financial Services-Investment Companies, each Fund listed below qualifies as an investment company and is applying the accounting and reporting guidance for investment companies. These notes relate only to the Funds listed in the table below:
Fund | Commencement of Operations | |||
WisdomTree Bloomberg U.S. Dollar Bullish Fund (“U.S. Dollar Bullish Fund” and also referred to herein as “Currency Strategy Funds”) | December 18, 2013 | |||
WisdomTree Brazilian Real Strategy Fund (“Brazilian Real Strategy Fund” and also referred to herein as “Currency Strategy Funds”) | May 14, 2008 | |||
WisdomTree Chinese Yuan Strategy Fund (“Chinese Yuan Strategy Fund” and also referred to herein as “Currency Strategy Funds”) | �� | May 14, 2008 | ||
WisdomTree Emerging Currency Strategy Fund (“Emerging Currency Strategy Fund” and also referred to herein as “Currency Strategy Funds”) | May 6, 2009 | |||
WisdomTree Asia Local Debt Fund (“Asia Local Debt Fund”) | March 17, 2011 | |||
WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund (“Interest Rate Hedged U.S. Aggregate Bond Fund” and also referred to herein as “Duration Funds”) | December 18, 2013 | |||
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund (“Negative Duration U.S. Aggregate Bond Fund” and also referred to herein as “Duration Funds”) | December 18, 2013 | |||
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (“Yield Enhanced U.S. Aggregate Bond Fund”) | July 9, 2015 | |||
WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund (“Yield Enhanced U.S. Short-Term Aggregate Bond Fund”) | May 18, 2017 | |||
WisdomTree Bloomberg Floating Rate Treasury Fund (“Floating Rate Treasury Fund”) | February 4, 2014 | |||
WisdomTree Emerging Markets Corporate Bond Fund (“Emerging Markets Corporate Bond Fund”) | March 8, 2012 | |||
WisdomTree Emerging Markets Local Debt Fund (“Emerging Markets Local Debt Fund”) | August 9, 2010 | |||
WisdomTree Interest Rate Hedged High Yield Bond Fund (“Interest Rate Hedged High Yield Bond Fund” and also referred to herein as “Duration Funds”) | December 18, 2013 | |||
WisdomTree Negative Duration High Yield Bond Fund (“Negative Duration High Yield Bond Fund” and also referred to herein as “Duration Funds”) | December 18, 2013 | |||
WisdomTree CBOE Russell 2000 PutWrite Strategy Fund (“CBOE Russell 2000 PutWrite Strategy Fund”) | February 1, 2018 | |||
WisdomTree CBOE S&P 500 PutWrite Strategy Fund (“CBOE S&P 500 PutWrite Strategy Fund”) | February 24, 2016 | |||
WisdomTree Managed Futures Strategy Fund (“Managed Futures Strategy Fund”) (consolidated) | January 5, 2011 |
In the normal course of business, the Funds may enter into contracts that contain a variety of representations or that provide indemnification for certain liabilities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and believes such exposure to be remote.
2. SIGNIFICANT ACCOUNTING POLICIES
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (the “Codification”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants.
The following is a summary of significant accounting policies followed by the Funds:
Basis of Consolidation — The financial statements of the Managed Futures Strategy Fund (the “Parent Fund”), include the accounts of WisdomTree Managed Futures Portfolio I, a wholly-owned and controlled Cayman Islands subsidiary (the “Subsidiary”). For the Parent Fund, the accompanying financial statements reflect the financial position and results of operations on a consolidated basis with its Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation. The Parent Fund seeks to gain exposure to commodity markets, in whole or in part, through investments in its Subsidiary. The Parent Fund’s investment in its Subsidiary may not exceed 25% of the Parent Fund’s total assets at the end of each fiscal quarter in order to meet the requirements for qualification as a regulated investment company under the Internal Revenue Code of 1986, as amended.
Use of Estimates — The preparation of financial statements in conformity with GAAP, requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in the net assets from operations during the reporting period. Actual results could differ from those estimates.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 127 |
Table of Contents
Notes to Financial Statements (unaudited) (continued)
Investment Valuation — The net asset value (“NAV”) of each Fund’s shares is calculated each day a Fund is open for business as of the regularly scheduled close of regular trading on the New York Stock Exchange, normally 4:00 p.m. Eastern time (the “NAV Calculation Time”). NAV per share is calculated by dividing a Fund’s net assets by the number of Fund shares outstanding. Each Fund issues and redeems shares at NAV only in large blocks of shares known as creation units, which only certain institutions or large investors may purchase or redeem. Shares of each Fund are listed on a national securities exchange and trade at market prices. Most investors will buy and sell shares in the secondary market through brokers. Because Fund shares trade at market prices rather than NAV, shares may trade at a price greater than NAV or less than NAV. In calculating each Fund’s NAV, investments are valued under policies approved by the Board of Trustees of the Trust (the “Board of Trustees”). Fixed income securities (including short-term debt securities with remaining maturities of 60 days or less and to-be-announced (“TBA”) securities) generally are valued at current market quotations or mean prices obtained from broker-dealers or independent pricing service providers. Broker-dealers or independent pricing service providers, in determining the value of securities may consider such factors as recent transactions, indications from broker-dealers yields and quoted prices on similar securities, and market sentiment for the type of security. U.S. fixed income assets may be valued as of the announced closing time for such securities on any day that the Securities Industry and Financial Markets Association announces an early closing time. Repurchase agreements are valued at par which represents their fair value. Except for U.S. Dollar Bullish Fund, foreign currency contracts are valued daily using WM/Reuters closing spot and forward rates as of 4:00 p.m. London time. U.S. Dollar Bullish Fund uses WM/Reuters closing spot and forward rates as of 4:00 p.m. Eastern time to value foreign currency contracts. For the Chinese Yuan Strategy Fund, Emerging Currency Strategy Fund, Asia Local Debt Fund, Emerging Markets Corporate Bond Fund and the Emerging Markets Local Debt Fund, WM/Reuters closing spot and forward rates as of 2:00 p.m. Singapore time are used to value forward foreign currency contracts in the following Asian currencies: Chinese renminbi, Chinese yuan, Hong Kong dollar, Indian rupee, Indonesian rupiah, Malaysian ringgit, Philippine peso, Singapore dollar, South Korean won, Taiwan dollar, and the Thai baht. Futures contracts generally are valued at the settlement price, the price at which a futures contract settles once a given trading day has ended, on the primary exchange on which they trade. Option contracts generally are valued at the mean of the closing bid/ask price on which they trade. Equity securities (including preferred stock) traded on any recognized U.S. or non-U.S. exchange are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Unlisted equity securities (including preferred stock) are valued at the last quoted sale price or, if no sale price is available, at the mean between the highest bid and lowest ask price. Each Fund may invest in money market funds which are valued at their NAV per share and exchange-traded funds (“ETFs” or “ETF”) or exchange-traded notes (“ETNs” or “ETN”) which are valued at their last sale or official closing price on the exchange on which they are principally traded or at their NAV per share in instances where the ETF or ETN has not traded on its principal exchange.
In certain instances, such as when reliable market valuations are not readily available or are not deemed to reflect current market values, a Fund’s investments, which include derivatives, will be fair valued in accordance with the Fund’s pricing policy. The Board of Trustees has established a pricing committee (the “Pricing Committee”) which is comprised of senior representatives of WisdomTree Asset Management, Inc. (“WTAM”) and which reports to the Board of Trustees on a quarterly basis. In the event that a financial instrument cannot be valued based upon a price from a national securities exchange, independent pricing service provider or broker-dealer quotation, or such prices are deemed to not reflect current market value, the Pricing Committee may value the financial instrument in good faith under the policies and procedures approved by the Board of Trustees based on current facts and circumstances. Securities that may be valued using “fair value” pricing may include, but are not limited to, securities for which there are no current market quotations, securities whose issuer is in default or bankruptcy, securities subject to corporate actions (such as mergers or reorganizations), securities subject to non-U.S. investment limits or currency controls, and securities affected by “significant events.” An example of a significant event is an event occurring after the close of the market in which a security trades but before a Fund’s next NAV Calculation Time that may materially affect the value of a Fund’s investment (e.g., government action, natural disaster, or significant market fluctuation). When fair value pricing is employed, the prices of securities used by a Fund to calculate its NAV may differ from quoted or published prices for the same securities.
Fair Value Measurement — In accordance with Codification Topic 820 (“ASC 820”), Fair Value Measurements and Disclosures, fair value is defined as the price that each Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. ASC 820 established a three-tier hierarchy of inputs to be used when determining fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk — for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below:
Level 1 – quoted prices in active markets for identical securities
128 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Notes to Financial Statements (unaudited) (continued)
Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – significant unobservable inputs (including each Fund’s assumptions in determining the fair value of investments)
The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments.
Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation or market activity; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which a Fund’s NAV is computed and that may materially affect the value of the Fund’s investments).
The valuation techniques and significant inputs used in determining the fair market value measurements for Level 2 and Level 3 positions are as follows:
Financial instruments are generally valued by independent pricing service providers that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. Depending on the type of financial instrument, the independent pricing service providers’ internal pricing models may use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Financial instruments that use similar valuation techniques and observable inputs as described above and have an appropriate level of market activity are categorized as Level 2 of the fair value hierarchy, otherwise a Level 3 fair value classification is appropriate. Over-the-counter financial derivative instruments derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These instruments are normally valued on the basis of broker-dealer quotations or prices obtained from independent pricing service providers. Depending on the product and the terms of the transaction, the value of the financial derivative instruments can be estimated by an independent pricing service provider using a series of techniques including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, credit risks/spreads, interest rates, yield curves, default and exchange rates. Derivative contracts that use valuation techniques and observable inputs as described above and have an appropriate level of market activity are categorized as Level 2 of the fair value hierarchy, otherwise a Level 3 fair value classification is appropriate.
Determination of a fair value by the Pricing Committee may include significant unobservable inputs and therefore would be reflected as a Level 3 of the fair value hierarchy. The Pricing Committee may employ a market-based valuation approach which may use, among other potential considerations, related or comparable securities, recent transactions, market multiples, and other relevant information to determine fair value. The Pricing Committee may also use an income-based valuation approach in which anticipated future cash flows of the financial instrument are discounted to calculate fair value. The Pricing Committee meets at least on a monthly basis to review and discuss the appropriateness of such fair values using more current information such as, recent security news, recent market transactions, updated corporate action information and/or other macro or security specific events. Also, when observable inputs become available, the Pricing Committee conducts back testing of the methodologies used to value Level 3 financial instruments to substantiate the unobservable inputs used to value those investments. Such back testing includes comparing Level 3 investment values to observable inputs such as exchange-traded prices, transaction prices, and/or vendor prices.
The following is a summary of the fair valuations according to the inputs used as of February 28, 2018 in valuing each Fund’s assets:
U.S. Dollar Bullish Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Obligations | $ | — | $ | 49,092,874 | $ | — | ||||||
Total | $ | — | $ | 49,092,874 | $ | — | ||||||
Unrealized Appreciation on Foreign Currency Contracts | — | 2,021,383 | — | |||||||||
Unrealized Depreciation on Foreign Currency Contracts | — | (665,994 | ) | — | ||||||||
Total - Net | $ | — | $ | 50,448,263 | $ | — |
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 129 |
Table of Contents
Notes to Financial Statements (unaudited) (continued)
Brazilian Real Strategy Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Obligations | $ | — | $ | 9,947,727 | $ | — | ||||||
Repurchase Agreement | — | 4,800,000 | — | |||||||||
Total | $ | — | $ | 14,747,727 | $ | — | ||||||
Unrealized Appreciation on Foreign Currency Contracts | — | 197,211 | — | |||||||||
Unrealized Depreciation on Foreign Currency Contracts | — | (150,636 | ) | — | ||||||||
Total - Net | $ | — | $ | 14,794,302 | $ | — | ||||||
Chinese Yuan Strategy Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Obligations | $ | — | $ | 25,055,991 | $ | — | ||||||
Repurchase Agreement | — | 12,560,000 | — | |||||||||
Total | $ | — | $ | 37,615,991 | $ | — | ||||||
Unrealized Appreciation on Foreign Currency Contracts | — | 1,276,116 | — | |||||||||
Unrealized Depreciation on Foreign Currency Contracts | — | (29,996 | ) | — | ||||||||
Total - Net | $ | — | $ | 38,862,111 | $ | — | ||||||
Emerging Currency Strategy Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Obligations | $ | — | $ | 28,875,003 | $ | — | ||||||
Repurchase Agreement | — | 14,600,000 | — | |||||||||
Total | $ | — | $ | 43,475,003 | $ | — | ||||||
Unrealized Appreciation on Foreign Currency Contracts | — | 134,420 | — | |||||||||
Unrealized Depreciation on Foreign Currency Contracts | — | (342,630 | ) | — | ||||||||
Total - Net | $ | — | $ | 43,266,793 | $ | — | ||||||
Asia Local Debt Fund | Level 1 | Level 2 | Level 3 | |||||||||
Foreign Government Agencies | $ | — | $ | 3,623,233 | $ | — | ||||||
Foreign Government Obligations | — | 15,770,256 | — | |||||||||
Supranational Bonds | — | 768,354 | — | |||||||||
Total | $ | — | $ | 20,161,843 | $ | — | ||||||
Unrealized Appreciation on Foreign Currency Contracts | — | 31,575 | — | |||||||||
Unrealized Depreciation on Foreign Currency Contracts | — | (20,263 | ) | — | ||||||||
Total - Net | $ | — | $ | 20,173,155 | $ | — | ||||||
Interest Rate Hedged U.S. Aggregate Bond Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Agencies | $ | — | $ | 8,137,702 | $ | — | ||||||
U.S. Government Obligations | — | 10,196,415 | — | |||||||||
Corporate Bonds | — | 7,038,540 | — | |||||||||
Foreign Corporate Bonds | — | 711,987 | — | |||||||||
Foreign Government Obligations | — | 351,507 | — | |||||||||
Supranational Bond | — | 23,921 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 798,396 | — | |||||||||
Municipal Bond | — | 181,131 | — | |||||||||
Asset-Backed Securities | — | 143,210 | — | |||||||||
Investment of Cash Collateral for Securities Loaned | — | 130,218 | — | |||||||||
Total | $ | — | $ | 27,713,027 | $ | — | ||||||
Unrealized Appreciation on Futures Contracts | 49,119 | — | — | |||||||||
Total - Net | $ | 49,119 | $ | 27,713,027 | $ | — |
130 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Notes to Financial Statements (unaudited) (continued)
Negative Duration U.S. Aggregate Bond Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Agencies | $ | — | $ | 8,597,747 | $ | — | ||||||
U.S. Government Obligations | — | 10,557,430 | — | |||||||||
Corporate Bonds | — | 7,580,562 | — | |||||||||
Foreign Corporate Bonds | — | 1,535,837 | — | |||||||||
Foreign Government Agencies | — | 202,282 | — | |||||||||
Foreign Government Obligations | — | 237,634 | — | |||||||||
Supranational Bonds | — | 183,078 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 548,116 | — | |||||||||
Municipal Bonds | — | 58,697 | — | |||||||||
Asset-Backed Securities | — | 203,647 | — | |||||||||
Investment of Cash Collateral for Securities Loaned | — | 44,500 | — | |||||||||
Total | $ | — | $ | 29,749,530 | $ | — | ||||||
Unrealized Appreciation on Futures Contracts | 58,793 | — | — | |||||||||
U.S. Government Agencies Sold Short | — | (99,882 | ) | — | ||||||||
Total - Net | $ | 58,793 | $ | 29,649,648 | $ | — | ||||||
Yield Enhanced U.S. Aggregate Bond Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Agencies | $ | — | $ | 94,712,888 | $ | — | ||||||
U.S. Government Obligations | — | 59,893,360 | — | |||||||||
Corporate Bonds | — | 156,370,131 | — | |||||||||
Foreign Corporate Bonds | — | 29,631,524 | — | |||||||||
Foreign Government Agencies | — | 552,496 | — | |||||||||
Foreign Government Obligations | — | 11,830,905 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 26,455,678 | — | |||||||||
Municipal Bonds | — | 1,150,416 | — | |||||||||
Investment of Cash Collateral for Securities Loaned | — | 935,215 | — | |||||||||
Total | $ | — | $ | 381,532,613 | $ | — | ||||||
Yield Enhanced U.S. Short-Term Aggregate Bond Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Agencies | $ | — | $ | 1,110,768 | $ | — | ||||||
U.S. Government Obligations | — | 8,019,606 | — | |||||||||
Corporate Bonds | — | 15,023,218 | — | |||||||||
Foreign Corporate Bonds | — | 2,754,711 | — | |||||||||
Foreign Government Obligations | — | 615,412 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 2,701,762 | — | |||||||||
Total | $ | — | $ | 30,225,477 | $ | — | ||||||
Floating Rate Treasury Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Obligations | $ | — | $ | 3,748,293 | $ | — | ||||||
Total | $ | — | $ | 3,748,293 | $ | — |
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 131 |
Table of Contents
Notes to Financial Statements (unaudited) (continued)
Emerging Markets Corporate Bond Fund | Level 1 | Level 2 | Level 3 | |||||||||
Foreign Corporate Bonds | $ | — | $ | 45,747,259 | $ | — | ||||||
Foreign Government Agencies | — | 1,948,996 | — | |||||||||
Foreign Government Obligations | — | 609,900 | — | |||||||||
Investment of Cash Collateral for Securities Loaned | — | 2,220,845 | — | |||||||||
Total | $ | — | $ | 50,527,000 | $ | — | ||||||
Unrealized Appreciation on Futures Contracts | 8,533 | — | — | |||||||||
Unrealized Depreciation on Futures Contracts | (17,835 | ) | — | — | ||||||||
Total - Net | $ | (9,302 | ) | $ | 50,527,000 | $ | — | |||||
Emerging Markets Local Debt Fund | Level 1 | Level 2 | Level 3 | |||||||||
Foreign Government Agencies | $ | — | $ | 2,325,067 | $ | — | ||||||
Foreign Government Obligations | — | 202,137,412 | — | |||||||||
Supranational Bonds | — | 9,926,999 | — | |||||||||
Total | $ | — | $ | 214,389,478 | $ | — | ||||||
Unrealized Appreciation on Foreign Currency Contracts | — | 411,909 | — | |||||||||
Unrealized Depreciation on Foreign Currency Contracts | — | (44,396 | ) | — | ||||||||
Total - Net | $ | — | $ | 214,756,991 | $ | — | ||||||
Interest Rate Hedged High Yield Bond Fund | Level 1 | Level 2 | Level 3 | |||||||||
Corporate Bonds | $ | — | $ | 120,162,891 | $ | — | ||||||
Foreign Corporate Bonds | — | 18,389,302 | — | |||||||||
Investment of Cash Collateral for Securities Loaned | — | 11,130,435 | — | |||||||||
Total | $ | — | $ | 149,682,628 | $ | — | ||||||
Unrealized Appreciation on Futures Contracts | 123,933 | — | — | |||||||||
Total - Net | $ | 123,933 | $ | 149,682,628 | $ | — | ||||||
Negative Duration High Yield Bond Fund | Level 1 | Level 2 | Level 3 | |||||||||
Corporate Bonds | $ | — | $ | 16,777,695 | $ | — | ||||||
Foreign Corporate Bonds | — | 1,562,519 | — | |||||||||
Investment of Cash Collateral for Securities Loaned | — | 1,376,358 | — | |||||||||
Total | $ | — | $ | 19,716,572 | $ | — | ||||||
Unrealized Appreciation on Futures Contracts | 36,528 | — | — | |||||||||
Total - Net | $ | 36,528 | $ | 19,716,572 | $ | — | ||||||
CBOE Russell 2000 PutWrite Strategy Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Obligations | $ | — | $ | 1,499,245 | $ | — | ||||||
Total | $ | — | $ | 1,499,245 | $ | — | ||||||
Written Options | (58,240 | ) | — | — | ||||||||
Total - Net | $ | (58,240 | ) | $ | 1,499,245 | $ | — | |||||
CBOE S&P 500 PutWrite Strategy Fund | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Obligations | $ | — | $ | 150,195,150 | $ | — | ||||||
Total | $ | — | $ | 150,195,150 | $ | — | ||||||
Written Options | (3,243,745 | ) | — | — | ||||||||
Total - Net | $ | (3,243,745 | ) | $ | 150,195,150 | $ | — | |||||
132 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Notes to Financial Statements (unaudited) (continued)
Managed Futures Strategy Fund (consolidated) | Level 1 | Level 2 | Level 3 | |||||||||
U.S. Government Obligations | $ | — | $ | 152,872,722 | $ | — | ||||||
Total | $ | — | $ | 152,872,722 | $ | — | ||||||
Unrealized Appreciation on Foreign Currency Contracts | — | 499,357 | — | |||||||||
Unrealized Depreciation on Foreign Currency Contracts | — | (463,380 | ) | — | ||||||||
Unrealized Appreciation on Futures Contracts | 928,099 | — | — | |||||||||
Unrealized Depreciation on Futures Contracts | (1,786,185 | ) | — | — | ||||||||
Total - Net | $ | (858,086 | ) | $ | 152,908,699 | $ | — |
There were no Level 3 securities at or during the six months or period ended February 28, 2018.
The Funds have elected to use the beginning of period method for transfers between fair value measurement levels.
There were no transfers into or out of any fair value measurement levels during the six months or period ended February 28, 2018.
Derivatives and Hedging Disclosure — Codification Topic 815 (“ASC 815”), Derivatives and Hedging, requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. The Funds have invested in derivatives, specifically foreign currency contracts, futures contracts and options contracts during the period ended February 28, 2018 and open positions in such derivatives as of February 28, 2018 are detailed in each Fund’s Schedule of Investments. All of the derivative instruments disclosed and described herein are subject to credit risk. Credit risk is where the financial condition of an issuer of a security or instrument may cause it to default or become unable to pay interest or principal due on the security or where the counterparty to a derivative contract might default on its obligations. The Funds’ derivative agreements also contain credit-risk related contingent features which include, but are not limited to, a percentage decline in the Funds’ NAV over a specified time period. If an event occurred at February 28, 2018 that triggered a contingent feature, the counterparty to the agreement may require the Funds to post additional collateral or terminate the derivative positions and demand payment. Any collateral posted with respect to the derivative positions would be used to offset or reduce the payment. The maximum exposure to derivatives agreements with credit-risk related contingent features would be the total value of derivatives in net liability positions for each Fund, as disclosed on page 140. At February 28, 2018, no event occurred that triggered a credit-risk-related contingent feature. Information with respect to the amounts and types of collateral received and/or posted for derivative instruments as of February 28, 2018, if any, is reflected as a footnote below the respective derivatives tables on each Fund’s Schedule of Investments.
As of February 28, 2018, the effects of such derivative instruments on each Fund’s financial position as reflected in the Statements of Assets and Liabilities are presented in the summary below:
Fund | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Value | Balance Sheet Location | Value | |||||||||
U.S. Dollar Bullish Fund |
| |||||||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency contracts | $ | 2,021,383 | Unrealized depreciation on foreign currency contracts | $ | 665,994 | ||||||
Brazilian Real Strategy Fund | ||||||||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency contracts | 197,211 | Unrealized depreciation on foreign currency contracts | 150,636 | ||||||||
Chinese Yuan Strategy Fund | ||||||||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency contracts | 1,276,116 | Unrealized depreciation on foreign currency contracts | 29,996 | ||||||||
Emerging Currency Strategy Fund | ||||||||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency contracts | 134,420 | Unrealized depreciation on foreign currency contracts | 342,630 | ||||||||
Asia Local Debt Fund | ||||||||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency contracts | 31,575 | Unrealized depreciation on foreign currency contracts | 20,263 | ||||||||
Interest Rate Hedged U.S. Aggregate Bond Fund |
| |||||||||||
Interest rate contracts | Unrealized appreciation on futures contracts* | 49,119 | Unrealized depreciation on futures contracts* | — | ||||||||
Negative Duration U.S. Aggregate Bond Fund | ||||||||||||
Interest rate contracts | Unrealized appreciation on futures contracts* | 58,793 | Unrealized depreciation on futures contracts* | — |
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 133 |
Table of Contents
Notes to Financial Statements (unaudited) (continued)
Fund | Asset Derivatives | Liability Derivatives | ||||||||||
Balance Sheet Location | Value | Balance Sheet Location | Value | |||||||||
Emerging Markets Corporate Bond Fund | ||||||||||||
Interest rate contracts | Unrealized appreciation on futures contracts* | $ | 8,533 | Unrealized depreciation on futures contracts* | $ | 17,835 | ||||||
Emerging Markets Local Debt Fund | ||||||||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency contracts | 411,909 | Unrealized depreciation on foreign currency contracts | 44,396 | ||||||||
Interest Rate Hedged High Yield Bond Fund | ||||||||||||
Interest rate contracts | Unrealized appreciation on futures contracts* | 123,933 | Unrealized depreciation on futures contracts* | — | ||||||||
Negative Duration High Yield Bond Fund | ||||||||||||
Interest rate contracts | Unrealized appreciation on futures contracts* | 36,528 | Unrealized depreciation on futures contracts* | — | ||||||||
CBOE Russell 2000 PutWrite Strategy Fund | ||||||||||||
Equity contracts | Written options, at value | 58,240 | ||||||||||
CBOE S&P 500 PutWrite Strategy Fund | ||||||||||||
Equity contracts | Written options, at value | 3,243,745 | ||||||||||
Managed Futures Strategy Fund (consolidated) | ||||||||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency contracts | 499,357 | Unrealized depreciation on foreign currency contracts | 463,380 | ||||||||
Unrealized appreciation on futures contracts* | 756 | Unrealized depreciation on futures contracts* | 877 | |||||||||
Commodity contracts | Unrealized appreciation on futures contracts* | 712,588 | Unrealized depreciation on futures contracts* | 1,785,308 | ||||||||
Interest rate contracts | Unrealized appreciation on futures contracts* | 214,755 | Unrealized depreciation on futures contracts* | — |
* | Includes cumulative appreciation (depreciation) of futures contracts as reported in each Fund’s Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. Please see Note 2 (Futures Contracts) on pages 137 and 138 for additional information regarding balance sheet location of balances associated with futures contracts. |
For the six months or period ended February 28, 2018, the effects of derivative instruments on each Fund’s financial performance as reflected in the Statements of Operations are presented in the summary below:
Fund | Amount of Realized Gain or (Loss) on Derivatives Recognized1 | Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized2 | ||||||
U.S. Dollar Bullish Fund |
| |||||||
Foreign exchange contracts | $ | (2,051,363 | ) | $ | 1,277,698 | |||
Brazilian Real Strategy Fund | ||||||||
Foreign exchange contracts | 653,284 | (874,604 | ) | |||||
Chinese Yuan Strategy Fund | ||||||||
Foreign exchange contracts | 2,101,120 | 48,618 | ||||||
Emerging Currency Strategy Fund |
| |||||||
Foreign exchange contracts | 2,501,622 | (730,077 | ) | |||||
Asia Local Debt Fund | ||||||||
Foreign exchange contracts | (21,311 | ) | 12,692 | |||||
Interest Rate Hedged U.S. Aggregate Bond Fund | ||||||||
Interest rate contracts | 814,888 | 103,042 | ||||||
Negative Duration U.S. Aggregate Bond Fund | ||||||||
Interest rate contracts | 1,057,863 | 134,157 | ||||||
Emerging Markets Corporate Bond Fund | ||||||||
Interest rate contracts | 272,807 | (12,849 | ) | |||||
Emerging Markets Local Debt Fund | ||||||||
Foreign exchange contracts | (309,724 | ) | 406,232 | |||||
Interest Rate Hedged High Yield Bond Fund | ||||||||
Interest rate contracts | 1,240,295 | 162,958 | ||||||
Negative Duration High Yield Bond Fund | ||||||||
Interest rate contracts | 733,659 | 97,375 |
134 | WisdomTree Currency Strategy, Fixed Income and Alternative Funds |
Table of Contents
Notes to Financial Statements (unaudited) (continued)
Fund | Amount of Realized Gain or (Loss) on Derivatives Recognized1 | Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized2 | ||||||
CBOE Russell 2000 PutWrite Strategy Fund | ||||||||
Equity contracts | $ | (80,680 | ) | $ | (16,640 | ) | ||
CBOE S&P 500 PutWrite Strategy Fund | ||||||||
Equity contracts | 2,770,436 | (2,291,104 | ) | |||||
Managed Futures Strategy Fund (consolidated) | ||||||||
Foreign exchange contracts | (1,297,969 | ) | 318,219 | |||||
Commodity contracts | 5,222,231 | (1,586,741 | ) | |||||
Interest rate contracts | (40,136 | ) | (29,563 | ) |
1 | Realized gains (losses) on derivatives are located on the Statements of Operations as follows: |
Equity contracts | Net realized gain (loss) from written options | |
Foreign exchange contracts | Net realized gain (loss) from foreign currency contracts and futures contracts | |
Commodity contracts | Net realized gain (loss) from futures contracts | |
Interest rate contracts | Net realized gain (loss) from futures contracts |
2 | Change in unrealized appreciation (depreciation) is located on the Statements of Operations as follows: |
Equity contracts | Net increase (decrease) in unrealized appreciation/depreciation from written options | |
Foreign exchange contracts | Net increase (decrease) in unrealized appreciation/depreciation from futures contracts and foreign currency contracts | |
Commodity contracts | Net increase (decrease) in unrealized appreciation/depreciation from futures contracts | |
Interest rate contracts | Net increase (decrease) in unrealized appreciation/depreciation from futures contracts |
During the six months or period ended February 28, 2018, the volume of derivative activity (based on the average of month-end balances) for each Fund was as follows:
Fund | Average Notional | |||||||||||||||||||
Foreign currency contracts (to deliver) | Foreign currency contracts (to receive) | Futures contracts (long) | Futures contracts (short) | Written options | ||||||||||||||||
U.S. Dollar Bullish Fund |
| |||||||||||||||||||
Foreign exchange contracts | $ | 128,352,706 | $ | 242,094,763 | $ | — | $ | — | $ | — | ||||||||||
Brazilian Real Strategy Fund | ||||||||||||||||||||
Foreign exchange contracts | 32,476,887 | 13,574,657 | — | — | — | |||||||||||||||
Chinese Yuan Strategy Fund | ||||||||||||||||||||
Foreign exchange contracts | 50,469,727 | 12,432,829 | — | — | — | |||||||||||||||
Emerging Currency Strategy Fund | ||||||||||||||||||||
Foreign exchange contracts | 65,998,444 | 16,369,051 | — | — | — | |||||||||||||||
Asia Local Debt Fund | ||||||||||||||||||||
Foreign exchange contracts | 3,309,162 | 1,063,034 | — | — | — | |||||||||||||||
Interest Rate Hedged U.S. Aggregate Bond Fund | ||||||||||||||||||||
Interest rate contracts | — | — | — | 25,144,200 | — | |||||||||||||||
Negative Duration U.S. Aggregate Bond Fund | ||||||||||||||||||||
Interest rate contracts | — | — | — | 20,110,460 | — | |||||||||||||||
Emerging Markets Corporate Bond Fund | ||||||||||||||||||||
Interest rate contracts | — | — | 8,035,617 | 8,109,920 | — | |||||||||||||||
Emerging Markets Local Debt Fund | ||||||||||||||||||||
Foreign exchange contracts | 11,910,288 | 6,307,570 | — | — | — | |||||||||||||||
Interest Rate Hedged High Yield Bond Fund | ||||||||||||||||||||
Interest rate contracts | — | — | — | 70,156,295 | — | |||||||||||||||
Negative Duration High Yield Bond Fund | ||||||||||||||||||||
Interest rate contracts | — | — | — | 17,079,489 | — | |||||||||||||||
CBOE Russell 2000 PutWrite Strategy Fund | ||||||||||||||||||||
Equity contracts | — | — | — | — | 2,464,000 | |||||||||||||||
CBOE S&P 500 PutWrite Strategy Fund | ||||||||||||||||||||
Equity contracts | — | — | — | — | 255,004,429 |
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 135 |
Table of Contents
Notes to Financial Statements (unaudited) (continued)
Fund | Average Notional | |||||||||||||||||||
Foreign currency contracts (to deliver) | Foreign currency contracts (to receive) | Futures contracts (long) | Futures contracts (short) | Written options | ||||||||||||||||
Managed Futures Strategy Fund (consolidated) | ||||||||||||||||||||
Commodity contracts | $ | — | $ | — | $ | 56,004,424 | $ | 30,752,343 | $ | — | ||||||||||
Foreign exchange contracts | 14,183,630 | 15,082,324 | 33,183,052 | 4,997,451 | — | |||||||||||||||
Interest rate contracts | — | — | 3,912,625 | 10,249,473 | — |
Investment Transactions and Investment Income — Investment transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Interest income (including amortization of premiums and accretion of discounts), net of any foreign taxes withheld, is accrued daily. Generally, amortization of premiums and accretion of discounts are recognized daily using the interest method (also known as scientific amortization method). Payment-in-kind (“PIK”) interest income is accrued daily and the increase in a security’s principal amount related to such PIK interest income is recorded on the coupon payment date. Dividend income is recognized on the ex-dividend date.
Foreign Currency Translation — The accounting records of the Funds are maintained in U.S. dollars. Foreign currencies, as well as investment securities and other assets and liabilities denominated in foreign currencies, are translated into U.S. dollars using exchange rates prevailing on the respective dates of such transactions that are deemed appropriate by WTAM. Realized and unrealized foreign exchange gains and losses on investments are included as a component of net realized gain (loss) from investment transactions and net increase (decrease) in unrealized appreciation (depreciation) from investment transactions, respectively, on the Statements of Operations. Realized and unrealized foreign exchange gains or losses from foreign currency contracts are included in net realized gain (loss) from foreign currency contracts and net increase (decrease) in unrealized appreciation/depreciation from foreign currency contracts, respectively, on the Statements of Operations. Realized and unrealized foreign exchange gains or losses arising from sales of foreign currencies, currency gains or losses recognized between the trade and settlement dates on investment transactions, and the difference between the amounts of dividends/interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid are included in net realized gain (loss) from foreign currency related transactions and/or increase (decrease) in unrealized appreciation (depreciation) from translation of assets and liabilities denominated in foreign currencies in the Statements of Operations. Certain foreign exchange gains and losses included in realized and unrealized gains or losses are included in, or are a reduction of, ordinary income in accordance with U.S. Federal income tax regulations.
Expenses/Reimbursements — Under the investment advisory agreement for each Fund, except for Funds that commenced operations on or after March 26, 2013, WTAM has agreed to pay all expenses of the Trust, except for: (i) brokerage expenses and other expenses (such as stamp taxes) connected with the execution of portfolio transactions or in connection with creation and redemption transactions; (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) compensation and expenses of trustees who are not interested persons of the Funds (“Independent Trustees”); (iv) compensation and expenses of counsel to the Independent Trustees; (v) compensation and expenses of the Trust’s Chief Compliance Officer (“CCO”); (vi) extraordinary expenses; (vii) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; and (viii) the advisory fee payable to WTAM.
Under the investment advisory agreement for Funds that commenced operations on or after March 26, 2013, WTAM has agreed to pay all expenses of the Trust, except for: (i) brokerage expenses and other fees, charges, taxes, levies or expenses (such as stamp taxes) incurred in connection with the execution of portfolio transactions or in connection with creation and redemption transactions (including without limitation any fees, charges, taxes, levies or expenses related to the purchase or sale of an amount of any currency, or the partition or repatriation of any security or other asset, related to the execution of portfolio transactions or any creation or redemption transactions); (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) compensation and expenses of each Independent Trustee; (iv) compensation and expenses of counsel to the Independent Trustees; (v) compensation and expenses of the Trust’s CCO; (vi) extraordinary expenses (in each case as determined by a majority of the Independent Trustees); (vii) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; (viii) interest and taxes of any kind or nature (including, but not limited to, income, excise, transfer and withholding taxes); (ix) fees and expenses related to the provision of securities lending services; and (x) the advisory fee payable to WTAM.
Acquired fund fees and expenses (which are fees and expenses incurred indirectly by a Fund through its investments in certain underlying investment companies) are not operating expenses of the Funds and are not paid by WTAM.
Pursuant to a separate contractual arrangement, WTAM arranges for the provision of CCO services with respect to each Fund, and is liable and responsible for, and administers, payments to the CCO, the Independent Trustees and counsel to the Independent
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Trustees. WTAM receives a fee, as shown on the Statements of Operations under “Service fees”, of up to 0.0044% of each Fund’s average daily net assets for providing such services and paying such expenses. WTAM provides CCO services to the Trust.
Repurchase Agreements — Each Fund may enter into repurchase agreements with counterparties that are deemed to present acceptable credit risks. A repurchase agreement is a transaction in which a Fund acquires securities or other obligations as collateral from a commercial bank or securities broker-dealer and simultaneously commits to resell them to the counterparty at an agreed upon date or upon demand and at a price reflecting a market rate of interest unrelated to the coupon rate or maturity of the acquired obligations. This is designed to result in a fixed rate of return for the Fund insulated from market fluctuations during the holding period. Each Fund maintains custody of the acquired collateral prior to their repurchase, either through its regular custodian or through a special “tri-party” custodian or sub-custodian that maintains separate accounts for both the Fund and the counterparty. Because repurchase agreements are collateralized by securities, they are subject to market and credit risk on the acquired collateral in addition to counterparty credit risk. The acquired collateral is valued on a daily basis at fair value to ensure that the value, including accrued interest, is at least equal to the repurchase price. If the acquired collateral declines in value and becomes less than the repurchase price, plus any agreed-upon additional amount, the counterparty must provide additional collateral so that at all times the collateral value is at least equal to the repurchase price plus any agreed-upon additional amount. In the event of default of the obligation to repurchase, a Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligations. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.
Forward Foreign Currency Contracts — The Currency Strategy Funds, except the U.S. Dollar Bullish Fund, utilized forward foreign currency contracts (“Forward Contract”) to obtain net long exposure to foreign currencies consistent with each Currency Strategy Fund’s investment objective. The U.S. Dollar Bullish Fund utilized Forward Contracts to obtain net short exposure to foreign currencies consistent with its investment objective. The Asia Local Debt Fund and the Emerging Markets Local Debt Fund utilized Forward Contracts to obtain long and short exposures to foreign currencies consistent with each Fund’s investment objective. The Managed Futures Strategy Fund utilized Forward Contracts to obtain long and short exposures to the Japanese Yen consistent with its investment objective. A Forward Contract involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. These contracts are principally traded in the inter-bank market conducted directly between currency traders (usually large, commercial banks) and their customers. A Forward Contract generally does not require an initial margin deposit and no commissions are charged at any stage for trades. However, if a Fund is in an unrealized loss position on a Forward Contract, it may be required to pledge collateral (or additional collateral) to the counterparty. If a Fund is in an unrealized gain position on a Forward Contract, it may receive collateral from the counterparty.
Risks may arise upon entering into Forward Contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currencies relative to the U.S. dollar or each other.
Fluctuations in the value of open Forward Contracts are recorded for book purposes as unrealized gains or losses on Forward Contracts by the Funds and included in net increase (decrease) in unrealized appreciation (depreciation) from foreign currency contracts on the Statements of Operations. Realized gains and losses on Forward Contracts include net gains or losses recognized by the Funds on contracts which have settled are included in net realized gain (loss) from foreign currency contracts on the Statements of Operations.
Futures Contracts — The Duration Funds utilized futures contracts to obtain short exposure to U.S. Treasury bonds to hedge against a rise in interest rates. The Emerging Markets Corporate Bond Fund utilized futures contracts on U.S. Treasury bonds to manage interest rate risk. The Managed Futures Strategy Fund utilized futures contracts to obtain long and short exposures to currencies, commodities and interest rates consistent with its investment objective. When a Fund purchases a listed futures contract, it agrees to purchase a specified reference asset (e.g., commodity, currency or Treasury security) at a specified future date. When a Fund sells a listed futures contract, it agrees to sell a specified reference asset (e.g., commodity, currency or Treasury security) at a specified future date. The price at which the purchase and sale will take place is fixed when the Fund enters into the contract. The exchange clearing corporation is the ultimate counterparty for all exchange-listed contracts, so credit risk is limited to the creditworthiness of the exchange’s clearing corporation.
Upon entering into a futures contract, a Fund is required to deliver to a broker an amount of cash and/or government securities equal to a certain percentage of the contract amount. This amount is known as the “initial margin”. Subsequent payments, known as “variation margin”, generally are made or received by the Fund each day or at other agreed-upon time periods depending on the fluctuations in the value of the underlying futures contracts, except that in the case of certain futures contracts payments may be made or received at settlement. Such variation margin is recorded for financial statement purposes on a daily basis as an unrealized gain or loss on futures until the financial futures contract is closed, at which time the net gain or loss is reclassified to realized gain or loss on futures. The current one-day variation margin on open futures contracts is shown on the Statements of Assets and Liabilities as either a receivable or a payable for “Net variation margin on futures contracts”. The prior variation margins on both open and closed futures contracts are shown in the Statements of Assets and Liabilities, in whole or in part, as a component of, or an offset to,
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“Cash” and/or “Deposits at broker for futures contracts”. When a Fund purchases or sells a futures contract, the Fund is required to “cover” its position in order to limit the risk associated with the use of leverage and other related risks. To cover its position, a Fund will segregate assets consisting of, or take other measures with respect to, cash or liquid securities that, when added to any amounts deposited with a futures commission merchant as margin, will “cover” its position in a manner consistent with the 1940 Act or the rules and SEC interpretations thereunder. This will function as a practical limit on the amount of leverage which a Fund may undertake and on the potential increase in the speculative character of a Fund’s outstanding portfolio securities.
Options Contracts — The CBOE Russell 2000 PutWrite Strategy Fund and the CBOE S&P 500 PutWrite Strategy Fund (the “Funds”) utilized option contracts by writing put options on the Russell 2000 and S&P 500 Indexes, respectively, consistent with their investment objective. A put option gives the purchaser of the option the right to sell, and the writer of the option the obligation to buy, the underlying security or financial instrument. A call option gives the purchaser of the option the right to buy, and the writer of the option the obligation to sell, the underlying security or financial instrument. A premium is paid to the writer of an option as consideration for undertaking the obligation in the contract. The Funds may purchase and write options on an exchange or over the counter (“OTC”). OTC options differ from exchange-traded options in several respects. They are transacted directly with dealers and not with a clearing corporation, and therefore entail the risk of nonperformance by the dealer. OTC options are available for a greater variety of securities and for a wider range of expiration dates and exercise prices than are available for exchange-traded options. Because OTC options are not traded on an exchange, pricing is done normally by reference to information from a market maker.
When the Funds purchase an option, an amount equal to the premium paid by the Funds is recorded as an asset, the value of which is marked-to-market to reflect the current market value of the option purchased. If the purchased option expires, the Funds realize a loss equal to the amount of premium paid. When a security or financial instrument is purchased or sold through the exercise of an option, the related premium paid is added to the basis of the security or financial instrument acquired or deducted from the proceeds of the security or financial instrument sold.
When the Funds write an option, an amount equal to the premium received by the Funds is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the premium received is recorded as a realized gain. When a written call option is exercised, the difference between the premium received plus the option exercise price and the Funds’ basis in the underlying security (in the case of a covered written call option), or the cost to purchase the underlying security (in the case of an uncovered written call option), including brokerage commission, is recognized as a realized gain or loss. When a written put option is exercised, the amount of the premium received is subtracted from the cost of the security purchased by the Funds from the exercise of the written put option to form the Funds’ basis in the underlying security purchased.
The purchaser or writer of an option may close the position before the exercise of the option by entering into a closing transaction. In the case of a written option, the cost of a closing transaction is deducted from the original premium received resulting in a realized gain or loss to the Funds. With respect to a purchased option, the original premium paid is deducted from the proceeds received from a closing transaction resulting in a realized gain or loss to the Funds.
Written options may constitute a fair value guarantee on a financial asset under the provisions of FASB Codification Topic 460 —Guarantees. The Fund’s maximum payout for written put options is limited to the number of contracts written and the associated strike prices. At February 28, 2018, the CBOE Russell 2000 PutWrite Strategy Fund’s maximum payout for written put options was $2,464,000. At February 28, 2018, the CBOE S&P 500 PutWrite Strategy Fund’s maximum payout for written put options was $207,039,500. The maximum payout for written call options is potentially unlimited to the extent that the written call option is uncovered.
The Funds’ risk associated with purchasing put and call options is limited to the premiums paid. The risk in writing a covered call option is that the Funds may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. The risk in writing an uncovered call option is that the Funds are exposed to the risk of loss if the market price of the underlying security increases. The risk in writing a put option is that the Funds may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that the Funds may not be able to enter into a closing transaction because of an illiquid secondary market.
Other significant risks associated with the Funds’ use of options contracts may include the following: (1) the success of a strategy may depend on the Fund adviser’s ability to predict movements in the prices of individual commodities, currencies or securities, fluctuations in markets and movements in interest rates; (2) there may be an imperfect or no correlation between the changes in market value of the commodities, currencies or securities and the price of options; (3) although the Funds intend to enter into options contracts only if there is an active market for such contracts, there is no assurance that an active market will exist for the contracts at any particular time; (4) trading restrictions or limitations may be imposed by an exchange; and (5) government regulations may restrict trading in options contracts.
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Securities Lending — Each Fund may lend portfolio securities to certain creditworthy borrowers, including the Funds’ securities lending agent. It is the Funds’ policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral in the form of cash and/or high-grade debt obligations, equivalent to at least 100% of the market value of securities, is maintained at all times. The cash collateral can be invested in certain money market mutual funds which also have exposure to the fluctuations of the market. The values of the investments of cash collateral for securities on loan along with the obligations to return such collateral are included on the Statements of Assets and Liabilities. The total value of securities received as collateral for securities on loan is included in a footnote following each Schedule of Investments, but is not included within the Statements of Assets and Liabilities because the receiving Fund does not have the right to sell or repledge the securities received as collateral. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash or U.S. government securities held as collateral, net of fee rebates paid to the borrower plus reasonable administrative and custody fees, all of which are included in the securities lending income earned by the Funds and disclosed on the Statements of Operations. The dividend and interest income earned on the securities loaned is accounted for in the same manner as other dividend and interest income. The borrower pays to the Funds an amount equal to any dividends or interest received on loaned securities. Dividends received while a security is out on loan are not considered Qualified Dividend Income (“QDI”) under the specific criteria issued by the Internal Revenue Service and are subject to taxation at the shareholder’s ordinary income tax rate instead of the lower long-term capital gains tax rate. Lending portfolio securities could result in a loss or delay in recovering each Fund’s securities if the borrower defaults.
Master Netting Arrangements — ASU No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”) is generally intended to (i) help investors and other financial statement users to better assess the effect or potential effect of offsetting arrangements on a company’s financial position, (ii) improve transparency in the reporting of how companies mitigate credit risk, and (iii) facilitate comparisons between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of international financial reporting standards. ASU 2011-11 requires entities to disclose (i) gross and net information about both instruments and transactions eligible for offset in the financial statements, and (ii) instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2011-11 is limited in scope to the following financial instruments, to the extent they are offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement: (i) recognized derivative instruments accounted for under ASC 815 (Derivatives and Hedging); (ii) repurchase agreements and reverse repurchase agreements; and (iii) securities borrowing and securities lending transactions.
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs over-the-counter derivatives (“OTC”), including Forward Contracts, and typically contains, among other things, collateral posting terms, netting and rights of set-off provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and receivables to create a single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral requirements generally differ by type of derivative. Collateral terms are contract-specific for OTC derivatives (e.g. foreign exchange contracts, options and certain swaps). Generally, for transactions traded under an ISDA Master Agreement, the collateral requirements are calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its derivatives counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from a counterparty’s non-performance.
Repurchase agreements are subject to the terms and conditions of a Master Repurchase Agreement (“Master Repurchase Agreement”) between a Fund and a counterparty. In the event of a default or failure by a party to perform an obligation with respect to a repurchase transaction, the Master Repurchase Agreement gives the non-defaulting party the right to set-off claims and to apply property held by it in connection with a repurchase transaction against obligations owed to the non-defaulting party.
A Fund’s security lending activities are governed by a Securities Lending Authorization Agreement (“Lending Agreement”) between the Fund and the lending agent. The Lending Agreement authorizes the lending agent to lend qualifying U.S. and foreign securities held by a Fund to approved borrowers (each a “Borrower”). To mitigate borrower risk, a Fund typically receives from a Borrower, collateral in the form of U.S. dollar cash and/or securities issued or guaranteed by the U.S. government or its agencies in excess of the market value of the securities loaned. Under the provisions of the Lending Agreement, a Fund shall have, as to the collateral, all of the rights and remedies of a secured party under applicable law. A Fund is exposed to risk of loss if a Borrower defaults on its obligation to return borrowed securities and the value of the collateral a Fund received is insufficient to cover the market value of the
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securities loaned. Also, the lending agent is permitted to invest the cash collateral it receives from a Borrower into a money market fund which is subject to market fluctuation. Therefore, a Fund is exposed to risk of loss if the value of invested cash collateral is insufficient to satisfy the Fund’s obligation to return the full amount owed to such Borrower.
The Funds’ futures contracts and option contracts are all exchange traded and are not subject to master netting arrangements. Therefore, all futures contracts and option contracts are excluded from the master netting table below.
For financial reporting purposes, the Funds elect to not offset assets and liabilities subject to an ISDA Master Agreement, Master Repurchase Agreement or Lending Agreement, if any, in the Statements of Assets and Liabilities. Therefore, all qualifying transactions are presented on a gross basis in the Statements of Assets and Liabilities. As of February 28, 2018, the impact of netting of assets and liabilities and the offsetting of collateral pledged or received based on contractual netting/set-off provisions in the ISDA Master Agreement, Master Repurchase Agreement and the Lending Agreement are detailed in the following table:
Assets | Liabilities | |||||||||||||||||||||||||||||||
Gross Amounts Assets and | Gross Amounts Not Offset in the Statements of Assets and Liabilities | Net Amount | Gross Amounts Assets and | Gross Amounts Not Offset in the Statements of Assets and Liabilities | Net Amount | |||||||||||||||||||||||||||
Fund | Financial Instruments | Collateral Received | Financial Instruments | Collateral Posted | ||||||||||||||||||||||||||||
U.S. Dollar Bullish Fund | ||||||||||||||||||||||||||||||||
Foreign Currency Contracts | $ | 2,021,383 | $ | (665,994 | ) | $ | — | $ | 1,355,389 | $ | 665,994 | $ | (665,994 | ) | $ | — | $ | — | ||||||||||||||
Brazilian Real Strategy Fund | ||||||||||||||||||||||||||||||||
Repurchase Agreements | 4,800,000 | — | (4,800,000 | )1 | — | — | — | — | — | |||||||||||||||||||||||
Foreign Currency Contracts | 197,211 | (80,933 | ) | — | 116,278 | 150,636 | (80,933 | ) | — | 69,703 | ||||||||||||||||||||||
Chinese Yuan Strategy Fund | ||||||||||||||||||||||||||||||||
Repurchase Agreements | 12,560,000 | — | (12,560,000 | )1 | — | — | — | — | — | |||||||||||||||||||||||
Foreign Currency Contracts | 1,276,116 | (29,996 | ) | — | 1,246,120 | 29,996 | (29,996 | ) | — | — | ||||||||||||||||||||||
Emerging Currency Strategy Fund | ||||||||||||||||||||||||||||||||
Repurchase Agreements | 14,600,000 | — | (14,600,000 | )1 | — | — | — | — | — | |||||||||||||||||||||||
Foreign Currency Contracts | 134,420 | (26,772 | ) | — | 107,648 | 342,630 | (26,772 | ) | (36,780 | )1 | 279,078 | |||||||||||||||||||||
Asia Local Debt Fund | ||||||||||||||||||||||||||||||||
Foreign Currency Contracts | 31,575 | (2,371 | ) | — | 29,204 | 20,263 | (2,371 | ) | — | 17,892 | ||||||||||||||||||||||
Interest Rate Hedged U.S. Aggregate Bond Fund | ||||||||||||||||||||||||||||||||
Securities Lending | 126,821 | — | (126,821 | )1 | — | — | — | — | — | |||||||||||||||||||||||
Negative Duration U.S. Aggregate Bond Fund | ||||||||||||||||||||||||||||||||
Securities Lending | 42,795 | — | (42,795 | )1 | — | — | — | — | — | |||||||||||||||||||||||
Yield Enhanced U.S. Aggregate Bond Fund | ||||||||||||||||||||||||||||||||
Securities Lending | 907,003 | — | (907,003 | )1 | — | — | — | — | — | |||||||||||||||||||||||
Emerging Markets Corporate Bond Fund | ||||||||||||||||||||||||||||||||
Securities Lending | 1,979,785 | — | (1,979,785 | )1 | — | — | — | — | — | |||||||||||||||||||||||
Emerging Markets Local Debt Fund | ||||||||||||||||||||||||||||||||
Foreign Currency Contracts | 411,909 | (36,314 | ) | — | 375,595 | 44,396 | (36,314 | ) | — | 8,082 | ||||||||||||||||||||||
Interest Rate Hedged High Yield Bond Fund | ||||||||||||||||||||||||||||||||
Securities Lending | 10,915,536 | — | (10,915,536 | )1 | — | — | — | — | — | |||||||||||||||||||||||
Negative Duration High Yield Bond Fund | ||||||||||||||||||||||||||||||||
Securities Lending | 1,327,842 | — | (1,327,842 | )1 | — | — | — | — | — | |||||||||||||||||||||||
Managed Futures Strategy Fund (consolidated) | ||||||||||||||||||||||||||||||||
Foreign Currency Contracts | 499,357 | (304,330 | ) | — | 195,027 | 463,380 | (304,330 | ) | — | 159,050 |
1 | The amount of collateral presented has been limited such that the net amount by counterparty cannot be less than zero. |
Short-Term Investments — Each Fund may invest a portion of its assets in high-quality money market instruments on an ongoing basis to provide liquidity or for other reasons. The instruments include short-term obligations issued by the U.S. government, its agencies, non-U.S. government agencies, negotiable certificates of deposit (“CDs”), fixed time deposits and bankers’ acceptances of U.S. and foreign banks and similar institutions, commercial papers, repurchase agreements and money market funds. CDs are short-term negotiable obligations of commercial banks. Time deposits are non-negotiable deposits maintained in banking institutions for specified periods of time at stated interest rates. Banker’s acceptances are time drafts drawn on commercial banks by borrowers, usually in connection with international transactions.
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To-be-announced Transactions — Interest Rate Hedged U.S. Aggregate Bond Fund, Negative Duration U.S. Aggregate Bond Fund, Yield Enhanced U.S. Aggregate Bond Fund and the Yield Enhanced U.S. Short-Term Aggregate Bond Fund invest in U.S. agency mortgage-backed pass-through securities which are securities issued by entities such as Government National Mortgage Association and Federal National Mortgage Association that are backed by pools of mortgages. Most transactions in mortgage-backed pass-through securities occur for future delivery in which the exact mortgage pools to be delivered are not specified until a few days prior to settlement, referred to as a “to-be-announced transaction” or “TBA Transaction.” In a TBA Transaction, the buyer and seller agree upon general trade parameters such as agency, settlement date, par amount and price. The actual pools delivered generally are determined a few days prior to the settlement date; however, it is not anticipated that the Interest Rate Hedged U.S. Aggregate Bond Fund, Negative Duration U.S. Aggregate Bond Fund, Yield Enhanced U.S. Aggregate Bond Fund and the Yield Enhanced U.S. Short-Term Aggregate Bond Fund will take delivery of pools, but instead will participate in rolling TBA Transactions whereby instead of receiving pools on the purchase settlement date, the position is offset by a current sale of the TBA security with a simultaneous forward purchase of a substantially similar TBA security (i.e. same type, coupon, maturity) to settle on a specified future date.
Short Sale Transactions — Each Fund may enter into “short sale” transactions in which a Fund sells a security that it does not own in anticipation of a decline in the market price of that security. When a Fund enters into a short sale transaction, the Fund will borrow the security and deliver it to the counterparty to which the Fund sold the security short. An amount equal to the proceeds received by the Fund is reflected as an asset and an equivalent liability in the Statement of Assets and Liabilities. The amount of the liability is subsequently marked-to-market to reflect the current market value of the securities sold short. Any interest or dividends that accrue on the securities borrowed are shown as an interest expense or dividend expense in the Statement of Operations of the Fund. A realized gain, limited to the proceeds received at which the Fund sold the security short, or a realized loss, unlimited as to the dollar amount, will be recognized upon the termination of a short sale if the cost to close out the short sale transaction is either less than (in the case of a gain) or greater than (in the case of a loss) the proceeds received. The risk of loss on a short sale transaction is potentially unlimited unlike the risk of loss on a long position, which is limited to the amount paid for the investment plus transaction costs. Funds entering into short sale transactions are exposed to the risk that they may be unable to close out a short sale position at any particular time or at an acceptable price.
Tax Information and Dividends and Distributions to Shareholders — It is each Fund’s policy to comply with all requirements of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to qualify for and to elect treatment as a separate Regulated Investment Company (“RIC”) under Subchapter M of the Code. In order to qualify for the special tax treatment accorded RICs and their shareholders, each Fund must, among other things, distribute with respect to each taxable year an amount equal to or greater than the sum of 90% of its investment company taxable income and 90% of its net tax-exempt interest income. There can be no guarantee that a Fund will pay dividends. Taxable net realized gains from investment transactions, reduced by capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. The Funds may occasionally be required to make supplemental distributions at some other time during the year. The Trust reserves the right to declare special distributions if, in its reasonable discretion, such action is necessary or advisable to preserve the status of each Fund as a RIC or to avoid imposition of income or excise taxes on undistributed income. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with the requirements of the Code and the U.S. Treasury regulations. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their Federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions that exceed earnings and profit for tax purposes are reported for tax purposes as a return of capital.
3. ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES
WTAM has overall responsibility for the general management and administration of the Trust. WTAM provides an investment program for each Fund. WTAM has arranged for BNY Mellon Asset Management North America Corporation (“MCM”) to provide sub-advisory services to the Funds, except for Yield Enhanced U.S. Short-Term Aggregate Bond Fund and Emerging Markets Corporate Bond Fund which are sub-advised by Voya Investment Management Co., LLC (“Voya IM”). MCM and Voya IM are compensated by WTAM at no additional cost to the Funds. WTAM also arranges for transfer agency, custody, fund accounting, fund administration, securities lending and all other non-distribution related services necessary for the Funds to operate, which are generally under separate agreements entered into between the Trust on behalf of the Funds and the applicable service provider. Under the investment advisory agreement for each Fund, WTAM agrees to pay all expenses of the Funds, except for certain expenses described in Note 2.
Pursuant to a separate contractual arrangement, as also described in Note 2, WTAM arranges for the provision of CCO services with respect to each Fund, and is liable and responsible for, and administers, payments to the CCO, the Independent Trustees and counsel to the Independent Trustees in exchange for a fee, accrued daily and paid monthly in arrears, of up to 0.0044% per annum
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of each Fund’s average daily net assets. WTAM expects to receive advisory fees from each Fund, based on a percentage of the Fund’s average daily net assets, as shown in the following table:
Fund | Advisory Fee Rate (before fee waiver) | Advisory Fee Waiver1 | Advisory Fee Waiver Expiration Date | |||||||||
U.S. Dollar Bullish Fund | 0.50 | % | — | — | ||||||||
Brazilian Real Strategy Fund | 0.45 | % | — | — | ||||||||
Chinese Yuan Strategy Fund | 0.45 | % | — | — | ||||||||
Emerging Currency Strategy Fund | 0.55 | % | — | — | ||||||||
Asia Local Debt Fund | 0.55 | % | — | — | ||||||||
Interest Rate Hedged U.S. Aggregate Bond Fund | 0.23 | % | — | — | ||||||||
Negative Duration U.S. Aggregate Bond Fund | 0.28 | % | — | — | ||||||||
Yield Enhanced U.S. Aggregate Bond Fund | 0.20 | % | (0.08 | )% | December 31, 2018 | |||||||
Yield Enhanced U.S. Short-Term Aggregate Bond Fund | 0.20 | % | (0.08 | )% | December 31, 2018 | |||||||
Floating Rate Treasury Fund | 0.20 | % | (0.05 | )% | December 31, 2018 | |||||||
Emerging Markets Corporate Bond Fund | 0.60 | % | — | — | ||||||||
Emerging Markets Local Debt Fund | 0.55 | % | — | — | ||||||||
Interest Rate Hedged High Yield Bond Fund | 0.43 | % | — | — | ||||||||
Negative Duration High Yield Bond Fund | 0.48 | % | — | — | ||||||||
CBOE Russell 2000 PutWrite Strategy Fund | 0.49 | % | (0.06 | )% | December 31, 2018 | |||||||
CBOE S&P 500 PutWrite Strategy Fund | 0.44 | % | (0.06 | )% | December 31, 2018 | |||||||
Managed Futures Strategy Fund (consolidated) | 0.75 | % | (0.10 | )% | December 31, 2018 |
1 | WTAM has contractually agreed to waive a portion of its advisory fee by the waiver amount listed per annum based on the average daily net assets through the expiration date listed, unless earlier terminated by the Board of Trustees of the Trust for any reason. The dollar amount of contractual fee waivers are included in “Expense waivers” on the Statements of Operations. |
During the fiscal period ended February 28, 2018, the U.S. Dollar Bullish Fund received a voluntary reimbursement of $6,115 from MCM for investment losses on certain foreign exchange transactions.
Related Party Transactions — WTAM or its affiliates may from time to time own shares of a Fund. As of February 28, 2018, WTAM held shares of the following Funds which were purchased through an unaffiliated broker in ordinary brokerage transactions in the secondary market in which the Funds’ shares trade:
Fund | Fund Shares held by WTAM | Market Value of Fund Shares held by WTAM | Dividends paid to WTAM on Fund Shares held by WTAM | |||||||||
Yield Enhanced U.S. Aggregate Bond Fund | 1,523 | $ | 74,825 | $ | 986 | |||||||
Yield Enhanced U.S. Short-Term Aggregate Bond Fund | 22 | 1,080 | 4 | |||||||||
Floating Rate Treasury Fund | 163 | 4,085 | 28 | |||||||||
Emerging Markets Local Debt Fund | 152 | 5,931 | 113 | |||||||||
Interest Rate Hedged High Yield Bond Fund | 585 | 14,093 | 303 | |||||||||
CBOE S&P 500 PutWrite Strategy Fund | 343 | 9,841 | 335 |
4. CAPITAL SHARE TRANSACTIONS
As of February 28, 2018, there were an unlimited number of $0.001 par value shares of beneficial interest authorized by the Trust. Shares are issued and redeemed by each Fund only in creation units or multiples thereof. Except when aggregated in creation units, shares of each Fund are not redeemable. Transactions in shares for each Fund are disclosed in detail in the Statements of Changes in Net Assets. Generally, Funds issue and redeem shares on a cash basis, however, shares may also be issued or redeemed in kind. Investors purchasing and redeeming creation units may be charged a purchase transaction fee and a redemption transaction fee to offset transfer and other transaction costs associated with the issuance and redemption of creation units.
5. INVESTMENT PORTFOLIO TRANSACTIONS
Purchases and sales of investments (excluding purchases and sales resulting from in-kind capital share transactions and short-term investments) and the cost of purchases and the proceeds from sales resulting from in-kind capital share transactions (excluding short-term investments) for the six months or period ended February 28, 2018 are shown in the following table. Realized gains and
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losses on sales resulting from in-kind capital share redemptions, as shown on the Statements of Operations, are not recognized by the Funds for tax purposes.
Non-U.S. Government Securities | U.S. Government Securities | In-kind Capital Share Transactions | ||||||||||||||||||||||
Fund | Purchases | Sales | Purchases | Sales | Purchases | Sales | ||||||||||||||||||
U.S. Dollar Bullish Fund | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Brazilian Real Strategy Fund | — | — | — | — | — | — | ||||||||||||||||||
Chinese Yuan Strategy Fund | — | — | — | — | — | — | ||||||||||||||||||
Emerging Currency Strategy Fund | — | — | — | — | — | — | ||||||||||||||||||
Asia Local Debt Fund | 7,154,173 | 5,882,324 | — | — | — | — | ||||||||||||||||||
Interest Rate Hedged U.S. Aggregate Bond Fund | 3,161,357 | 2,236,426 | 17,420,986 | 13,453,018 | — | — | ||||||||||||||||||
Negative Duration U.S. Aggregate Bond Fund | 8,597,395 | 3,485,267 | 25,494,971 | 17,032,295 | — | — | ||||||||||||||||||
Yield Enhanced U.S. Aggregate Bond Fund | 37,470,202 | 28,289,216 | 230,796,860 | 143,411,043 | 131,711,841 | 3,282,142 | ||||||||||||||||||
Yield Enhanced U.S. Short-Term Aggregate Bond Fund | 3,718,592 | 3,139,172 | 12,258,318 | 10,773,894 | 22,290,495 | — | ||||||||||||||||||
Floating Rate Treasury Fund | — | — | 4,478,253 | 1,358,147 | 624,630 | 1,247,157 | ||||||||||||||||||
Emerging Markets Corporate Bond Fund | 40,474,188 | 39,438,283 | — | — | — | — | ||||||||||||||||||
Emerging Markets Local Debt Fund | 48,898,670 | 73,430,534 | — | — | 10,460,670 | 17,491,805 | ||||||||||||||||||
Interest Rate Hedged High Yield Bond Fund | 97,974,930 | 14,794,511 | — | — | 1,978,327 | — | ||||||||||||||||||
Negative Duration High Yield Bond Fund | 9,742,292 | 6,719,372 | — | — | — | — | ||||||||||||||||||
CBOE Russell 2000 PutWrite Strategy Fund1 | — | — | — | — | — | — | ||||||||||||||||||
CBOE S&P 500 PutWrite Strategy Fund | — | — | — | — | — | — | ||||||||||||||||||
Managed Futures Strategy Fund (consolidated) | — | — | — | — | — | — |
1 | For the period February 1, 2018 (commencement of operations) through February 28, 2018. |
6. FEDERAL INCOME TAXES
At February 28, 2018, the cost of investments (including securities on loan, derivatives and securities sold short) for Federal income tax purposes was as follows:
Fund | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||
U.S. Dollar Bullish Fund | $ | 50,447,708 | $ | 617 | $ | (62 | ) | $ | 555 | |||||||
Brazilian Real Strategy Fund | 14,794,135 | 167 | — | 167 | ||||||||||||
Chinese Yuan Strategy Fund | 38,861,937 | 215 | (41 | ) | 174 | |||||||||||
Emerging Currency Strategy Fund | 43,266,437 | 389 | (33 | ) | 356 | |||||||||||
Asia Local Debt Fund | 20,724,574 | 451,184 | (1,002,603 | ) | (551,419 | ) | ||||||||||
Interest Rate Hedged U.S. Aggregate Bond Fund | 28,184,093 | 35,253 | (457,200 | ) | (421,947 | ) | ||||||||||
Negative Duration U.S. Aggregate Bond Fund | 30,175,397 | 22,402 | (489,358 | ) | (466,956 | ) | ||||||||||
Yield Enhanced U.S. Aggregate Bond Fund | 388,824,150 | 1,084,538 | (8,376,075 | ) | (7,291,537 | ) | ||||||||||
Yield Enhanced U.S. Short-Term Aggregate Bond Fund | 30,559,972 | 220 | (334,715 | ) | (334,495 | ) | ||||||||||
Floating Rate Treasury Fund | 3,747,956 | 374 | (37 | ) | 337 | |||||||||||
Emerging Markets Corporate Bond Fund | 50,608,517 | 605,142 | (695,961 | ) | (90,819 | ) | ||||||||||
Emerging Markets Local Debt Fund | 234,393,643 | 6,496,835 | (26,133,487 | ) | (19,636,652 | ) | ||||||||||
Interest Rate Hedged High Yield Bond Fund | 150,840,163 | 631,471 | (1,665,073 | ) | (1,033,602 | ) | ||||||||||
Negative Duration High Yield Bond Fund | 19,830,148 | 142,484 | (219,532 | ) | (77,048 | ) | ||||||||||
CBOE Russell 2000 PutWrite Strategy Fund | 1,482,612 | — | (7 | ) | (7 | ) | ||||||||||
CBOE S&P 500 PutWrite Strategy Fund | 149,776,557 | — | (6,527 | ) | (6,527 | ) | ||||||||||
Managed Futures Strategy Fund (consolidated) | 217,808,752 | 366 | (65,758,505 | ) | (65,758,139 | ) |
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Notes to Financial Statements (unaudited) (concluded)
7. RECENT ACCOUNTING PRONOUNCEMENT
In March 2017, the FASB issued ASU 2017-08 Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in ASU 2017-08 shorten the amortization period for certain callable debt securities held at a premium. Specifically, the amendments require the premium to be amortized to the earliest call date. ASU 2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. WTAM is currently evaluating the impact that the adoption of this guidance will have on the Trust’s financial statements and related disclosures.
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Approval of Investment Advisory and Sub-Advisory Agreements (unaudited)
Consideration of the Renewal of Investment Advisory and Sub-Investment Advisory Agreements with respect to all Funds (except the WisdomTree CBOE Russell 2000 PutWrite Strategy Fund and the WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund)
At a meeting of the Board of Trustees (the “Board” or the “Trustees”) of the WisdomTree Trust (the “Trust”) held on September 26-27, 2017 (the “Meeting”), the Trustees, including those Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), considered the renewal of the Investment Advisory Agreements between WisdomTree Asset Management, Inc. (“WTAM”) and the Trust, on behalf of each series included in this report (except, the WisdomTree CBOE Russell 2000 PutWrite Strategy Fund and the WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund) (each, a “Fund,” and, collectively, the “Funds”), pursuant to which WTAM provides the Funds with investment advisory services (the “Advisory Agreements”), the Sub-Advisory Agreement (the “MCM Sub-Advisory Agreement”), pursuant to which BNY Mellon Asset Management North America Corporation (“MCM”) coordinates the investment and reinvestment of the assets of the Funds, except WisdomTree Emerging Markets Corporate Bond Fund, and the Investment Sub-Advisory Agreement (together with the MCM Sub-Advisory Agreement, the “Sub-Advisory Agreements,” and, collectively with the Advisory Agreements and the MCM Sub-Advisory Agreement, the “Agreements”), pursuant to which Voya Investment Management Co. LLC (“Voya,” and, together with MCM, the “Sub-Advisers”) coordinates the investment and reinvestment of the assets of the WisdomTree Emerging Markets Corporate Bond Fund.
The Independent Trustees requested, and WTAM provided, such information as the Independent Trustees, with advice from independent legal counsel, deemed reasonably necessary to evaluate the Agreements. At a meeting of a committee of Independent Trustees (the “Contracts Review Committee”) held on August 3, 2017, representatives from WTAM presented preliminary information to the Trustees relating to the continuance of the Agreements, and the Trustees, including the Independent Trustees, reviewed and discussed such information. Further information was presented at the Board’s request at the Meeting.
The Independent Trustees were assisted in their review by independent legal counsel and met with counsel in executive session separate from WTAM representatives and the Sub-Advisers. In considering the renewal of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Trustee may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services Provided to the Funds.
The Board considered information provided to them at the Meeting and in previous presentations throughout the year from WTAM representatives regarding the nature, extent, and quality of the services provided to the Funds, recognizing WTAM’s and the Sub-Advisers’ operational capabilities and resources. The Board also discussed the role of WisdomTree Investments, Inc. (“WTI”), the parent of WTAM, as index provider to certain Funds, which comprise the substantial majority of assets in the WisdomTree fund complex. The Board noted that the strategies represented by those Funds tracking affiliated WTI indexes are unique, based on WTI’s intellectual property and are only available for use by applicable Funds through WTAM. The Board noted WTAM’s belief that shareholders have invested in such Funds on the strength of WTI’s intellectual property and WTAM’s industry standing and reputation and with the expectation that WTAM will have a continuing role in providing advisory services to the Funds based on the WTI indexes. The Board also noted the extensive responsibilities that WTAM has as investment adviser to the Funds, including: the selection of, and supervisory responsibilities and activities over, the Sub-Advisers, including oversight of the Sub-Advisers’ adherence to each Fund’s investment strategy and restrictions, monitoring of the Sub-Advisers’ buying and selling of securities and derivatives transactions, review of Sub-Adviser performance, review of proxies voted by the Sub-Advisers and oversight of, and the provision of consultation to, the Sub-Advisers with respect to the creation of custom creation or redemption baskets for authorized participants; oversight of the daily valuation of the Funds’ portfolio holdings; oversight of general Fund compliance with federal and state laws; and implementation of Board directives as they relate to the Funds. The Board also considered research support available to, and management capabilities of, the Funds’ management personnel and that WTAM provides oversight of day-to-day Fund operations, including fund accounting, tax matters, administration and legal assistance in meeting disclosure and regulatory requirements. Based on management’s representations, the Board expected that there would be no reduction in the scope of services required by or provided by WTAM and the Sub-Advisers under the relevant Agreements. The Board noted that WTAM has continued to commit significant resources toward the fund complex and has made substantial investments to improve the services offered by WTAM, which benefit Fund shareholders.
Based on review of this information and the other factors considered at the Meeting, the Board concluded that the nature, extent and quality of services provided by WTAM and the Sub-Advisers under the Advisory Agreements and Sub-Advisory Agreements, respectively, are adequate and appropriate and supported the Board’s approval of the renewal of the Agreements.
Comparative Analysis of the Funds’ Performance and Management Fee and Expense Ratio.
The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, which included information (1) measuring each index Fund’s performance by how well it tracked the
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Approval of Investment Advisory and Sub-Advisory Agreements (unaudited) (continued)
relevant benchmark index (2) comparing, with respect to the actively-managed Funds, each Fund’s performance with the performance of a group of comparable funds (the “Performance Group”) for various periods ended May 31, 2017, and (3) comparing each Fund’s actual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and, with respect to total expenses, with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. The Contracts Review Committee and the Independent Trustees previously had reviewed and discussed the methodology Broadridge used to select the Performance Groups, Expense Groups and Expense Universes. The Board noted that the Performance Groups, Expense Groups and Expense Universes included only pure-index and index-based exchange traded funds (“ETFs”) as comparison funds, except that the Performance Groups, Expense Groups and Expense Universes for the actively-managed Funds included either only actively-managed ETFs or a mix of actively-managed and passively-managed ETFs as comparison funds. The Board also noted that due to the special characteristics of certain Funds, there are limitations in providing comparable funds in the Performance Groups, Expense Groups and Expense Universes, and the information in the Broadridge reports may or may not provide meaningful direct comparisons to the Funds. The Board also reviewed reports prepared by WTAM presenting performance data for Funds with ten years of performance history and for WisdomTree indexes with at least three years of performance history that are tracked by an index Fund.
The Board discussed the index Funds’ performance, noting that the substantial majority of index Funds seek to track their own WisdomTree benchmark index. During the prior year, the Board received periodic reports on the Funds’ performance in comparison to their relevant benchmark indexes. The Board also discussed the performance of the actively-managed Funds and noted that total return performance of the Funds was variously above and below the relevant Performance Group medians for the time periods measured. In response to questions from the Independent Trustees, WTAM representatives discussed the relative performance of the Funds and the factors affecting such performance. On that basis, the Board determined to monitor carefully in the coming year disparities in performance — both positive and negative — but did not believe that the disparities in the past reflected any characteristics requiring immediate action by WTAM or a Sub-Adviser.
The Board also reviewed the range of actual management fees and total expenses of the Expense Group funds and, with respect to total expenses, Expense Universe funds, as well as the advisory fees and total expenses of certain funds not included in the Broadridge reports that WTAM considers to be significant competitors of the Funds, and discussed the results of the comparisons. With respect to comparisons of actual management fees, the Board noted the Funds’ unitary fee structure and that the Expense Groups and Expense Universes generally included both ETFs with and without a unitary fee structure. The Board also noted that certain comparison funds in certain Expense Groups and Expense Universes benefited from waivers of all or a portion of their management fees and reimbursement of certain operating expenses. The Board noted that the total expenses of many of the Funds were within five basis points of the median or average total expenses of the funds in the Funds’ respective Expense Groups. In those specific instances where a Fund’s total expenses departed more significantly from comparative funds, the Independent Trustees sought explanations from WTAM, which generally attributed the disparities to the limitations within peer data (including actively-managed Funds with a peer group that included index-based funds) and/or the unique attributes of a Fund.
The Board considered the fees to the Sub-Advisers in relation to the fees paid to WTAM by the Funds and the respective services provided by the Sub-Advisers and WTAM. The Board also noted that the Sub-Advisers’ fees are paid by WTAM (out of its fee paid by the relevant Funds) and not the Funds. The Board considered the meaningful differences in the services that WTAM provides to the Funds as compared to the Sub-Advisers, including that the role of a Sub-Adviser in making investment recommendations with respect to a Fund tracking an index is a rules-based function, with oversight by WTAM in seeking to ensure compliance with such rules. The Board also considered the entrepreneurial and expense risk borne by WTAM that is associated with the Funds’ unitary fee structure, which frequently includes minimum fees (such as those to a Sub-Adviser), regardless of whether the asset size of a Fund has grown to a sufficient size.
Based on this review and the other factors considered at the Meeting, the Board concluded that, with respect to each Fund, the Fund’s performance, the fees paid to WTAM and the relevant Sub-Adviser and the Fund’s total expenses supported the Board’s approval of the renewal of the relevant Agreements.
Analysis of Profitability and Economies of Scale.
WTAM representatives reviewed the expenses allocated and profit received by WTAM and the resulting profitability percentage for managing each Fund and the aggregate profitability percentage to WTAM for managing the WisdomTree fund complex, and the method used to determine the expenses and profit.
The Board considered the profitability analysis (1) as part of its evaluation of whether the fees under the Agreements bear a reasonable relationship to the mix of services provided by WTAM and the Sub-Advisers, including the nature, extent and quality of such services, and (2) in light of the relevant circumstances for each Fund and the extent to which economies of scale would be realized if the Fund grows and whether fee levels reflect these economies of scale for the benefit of Fund shareholders. WTAM representatives noted that a discussion of economies of scale is predicated on a Fund having achieved a substantial size and that, if a
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Approval of Investment Advisory and Sub-Advisory Agreements (unaudited) (continued)
Fund’s assets had been decreasing, the possibility that WTAM may have realized any economies of scale would be less. WTAM representatives also noted that, as a result of shared and allocated costs among the WisdomTree funds, the extent of economies of scale could depend substantially on the level of assets in the fund complex as a whole. The Board noted that certain Funds had grown rapidly over a relatively short period of time after longer periods of slow or no growth, during which there were years of losses for WTAM in managing such Funds that had only recently turned profitable and years of substantial cumulative losses to WTAM in managing the fund complex as a whole. WTAM representatives stated that there has been significant volatility in the assets of individual Funds and in the fund complex as a whole over time (including volatility in profitability) and that it was not clear that current asset levels will be maintained. WTAM representatives noted that assets in certain Funds have diminished at times at a rapid rate (including during the last year) and could continue to do so. WTAM representatives also noted that economies of scale currently are shared with the Funds by way of the unitary fee structure of the Trust, as well as through additional investment in the WisdomTree business. The Board noted that the Contracts Review Committee had focused on the issue of economies of scale during its meetings. The Board also noted that it would continue to monitor the sharing of economies of scale, focusing in particular on Funds that have experienced significant asset growth, to determine the appropriateness of adding breakpoints in the future. The Board also considered potential benefits to WTAM and the Sub-Advisers from acting as investment adviser and sub-investment advisers, respectively, and noted that there were no soft dollar arrangements in effect for trading the Funds’ investments. Based on this review, the Board concluded that the profitability results were consistent with the services rendered and service levels provided by WTAM and the entrepreneurial risk WTAM has undertaken over time.
* * * * * *
At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreements. In evaluating the Agreements, the Board considered the conclusions and determinations discussed above and also relied on its previous knowledge, gained through meetings and other interactions with WTAM and the Sub-Advisers, of the Funds and the services provided to the Funds by WTAM and the Sub-Advisers. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the Funds and the investment advisory and other services provided under the Agreements. In light of the foregoing, the Board, including a majority of the Independent Trustees, determined to approve the renewal of the Agreements.
Consideration of the Approval of Investment Advisory and Sub-Advisory Agreements for the WisdomTree CBOE Russell 2000 PutWrite Strategy Fund (the “Fund”)
At a meeting of the Board of Trustees (the “Board”) of the WisdomTree Trust (the “Trust”) held on September 26-27, 2017, the Trustees (the “Trustees”), including those Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), considered the approval of the Investment Advisory Agreement (the “Advisory Agreement”), pursuant to which WisdomTree Asset Management, Inc. (“WTAM”) will provide the Fund with investment advisory services, and the Sub-Advisory Agreement (together with the Advisory Agreement, the “Agreements”), pursuant to which BNY Mellon Asset Management North America Corporation (the “Sub-Adviser”) will coordinate the investment and reinvestment of the assets of the Fund.
In considering whether to approve the Agreements, the Trustees considered and discussed information and analysis provided by WTAM and Broadridge Financial Solutions, Inc., an independent provider of investment company data. The Trustees noted that representatives from WTAM presented preliminary information to the Trustees regarding the Fund’s proposed investment objective, index methodology and principal investment strategies and risks at a meeting of the Fund’s Investment Committee, a committee of Independent Trustees, held on June 13, 2017. The Trustees were assisted in their review by counsel to the Trust and independent legal counsel, and met with counsel in executive session separate from WTAM representatives and the Sub-Adviser. In considering the approval of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Trustee may have attributed different weights to the factors considered.
Analysis of Nature, Extent, and Quality of Services to be Provided to the Fund.
The Board considered information provided to them at the meeting and in previous presentations throughout the year from WTAM representatives regarding the nature, extent, and quality of the services provided to the WisdomTree funds, recognizing WTAM’s and the Sub-Adviser’s operational capabilities and resources. The Board noted WTAM’s belief that shareholders will invest in the Fund on the strength of WTAM’s industry standing and reputation and with the expectation that WTAM will have a continuing role in providing advisory services to the Fund. The Board also noted the extensive responsibilities that WTAM will have as investment adviser to the Fund, including: the selection of, and supervisory responsibilities and activities over, the Sub-Adviser, including oversight of the Sub-Adviser’s adherence to the Fund’s investment strategy and restrictions, monitoring of the Sub-Adviser’s buying and selling of securities and derivatives transactions, review of Sub-Adviser performance, review of proxies voted by the Sub-Adviser and oversight of, and the provision of consultation to, the Sub-Adviser with respect to the creation of custom creation or redemption baskets for authorized participants; oversight of the daily valuation of the Fund’s portfolio holdings; oversight of general Fund
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Approval of Investment Advisory and Sub-Advisory Agreements (unaudited) (concluded)
compliance with federal and state laws; and implementation of Board directives as they relate to the Fund. The Board also considered research support available to, and management capabilities of, the Fund’s management personnel and that WTAM will provide oversight of day-to-day Fund operations, including fund accounting, tax matters, administration, compliance and legal assistance in meeting disclosure and regulatory requirements.
Based on review of this information and the other factors considered at the meeting, the Board concluded that the nature, extent and quality of services to be provided by WTAM and the Sub-Adviser under the Advisory Agreement and Sub-Advisory Agreement, respectively, are adequate and appropriate and supported the Board’s approval of the Agreements.
Comparative Analysis of the Fund’s Performance, Advisory Fees and Fund Expenses.
As the Fund had not yet commenced operations, the Board was not able to review the Fund’s performance. The Board discussed with WTAM representatives the portfolio management team and the investment strategies to be employed in the management of the Fund’s assets. The Board noted the reputation and experience of WTAM and the Sub-Adviser.
The Board considered the fees to be paid to WTAM by the Fund. The Board examined the fee to be paid by the Fund in light of fees paid to other investment advisers by comparable funds and the method of computing the Fund’s fee. The Board noted the proposed fee waiver arrangements. The Board also considered the fee to be paid to the Sub-Adviser in relation to the fee to be paid to WTAM by the Fund and the respective services to be provided by the Sub-Adviser and WTAM. The Board also noted the Sub-Adviser’s fee will be paid by WTAM (out of its fee paid by the Fund) and not the Fund. The Board considered the meaningful differences in the services that WTAM will provide to the Fund as compared to the Sub-Adviser, including that the role of the Sub-Adviser in making investment recommendations with respect to the Fund is a rules-based function, with oversight by WTAM in seeking to ensure compliance with such rules. The Board also considered the entrepreneurial and expense risk to be borne by WTAM that is associated with the Fund’s unitary fee structure, which includes minimum fees (such as those to the Sub-Adviser), regardless of whether the asset size of the Fund grows to a sufficient size. Based on this review, the Board concluded that the fees to be paid to WTAM and the Sub-Adviser supported the Board’s approval of the Agreements.
Analysis of Profitability and Economies of Scale.
As the Fund had not yet commenced operations, WTAM representatives were not able to review the dollar amount of expenses allocated and profit received by WTAM, or any economies of scale. The Board considered potential benefits to WTAM and the Sub-Adviser from acting as investment adviser and sub-adviser, respectively. The Board also considered the uncertainty of the estimated asset levels and the renewal requirements for advisory agreements and their ability to review the advisory fees annually after the initial term of the Agreements. The Board determined that because the Fund had not yet commenced operations, economies of scale were not a factor, but, to the extent in the future it were determined that material economies of scale had not been shared with the Fund, the Board would seek to have those economies of scale shared with the Fund in connection with future renewals.
* * * * * *
In evaluating the Agreements, the Board considered the conclusions and determinations discussed above and also relied on its knowledge, gained through meetings and other interactions with WTAM and the Sub-Adviser, of other funds advised by WTAM and the Sub-Adviser. In light of the foregoing, the Board, including a majority of the Independent Trustees, determined to approve the Agreements.
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General Information (unaudited)
Proxy Voting Policies, Procedures and Record
A complete copy of the Proxy Voting Policy may be obtained upon request, at no charge, by calling 1-866-909-WISE (9473) or writing to: WisdomTree Trust, c/o Foreside Fund Services, LLC, Three Canal Plaza Suite 100, Portland, ME, 04101.
The Trust is required to disclose annually the Funds’ complete proxy voting record on Form N-PX covering the most recent 12-month period ended June 30 and to file Form N-PX with the SEC no later than August 31 of each year. The current Form N-PX for the Funds is available at no charge upon request by calling 1-866-909-WISE (9473) or through the Trust’s website at www.wisdomtree.com. The Funds’ Form N-PX is also available on the SEC’s website at www.sec.gov.
Shareholder Reports and Quarterly Portfolio Disclosure
The Funds are required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-Q. Copies of the filings are available, without charge, on the SEC’s website at www.sec.gov and are also available by calling the Trust at 1-866-909-WISE (9473). You can also obtain copies of Form N-Q by (i) visiting the SEC’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330); (ii) sending your request and a duplicating fee to the SEC’s Public Reference Room, Washington, DC 20549-0102; or (iii) sending your request electronically to publicinfo@sec.gov.
Information about each Fund’s portfolio holdings is available daily, without charge, at www.wisdomtree.com.
The Statement of Additional Information (“SAI”) has additional information about the Funds’ Trustees and Officers and is available without charge upon request. Contact your financial representative for a free prospectus or SAI.
Frequency Distribution of Discounts & Premiums
Information about differences between the per share net asset value of each Fund and the market trading price of shares of each Fund are available, without charge, at www.wisdomtree.com.
WisdomTree Currency Strategy, Fixed Income and Alternative Funds | 149 |
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The WisdomTree Family of Funds
The following is a list of WisdomTree Funds being offered, along with their respective ticker symbols, as of February 28, 2018:
WisdomTree Domestic Equity Funds
WisdomTree U.S. Dividend ex-Financials Fund (DTN)
WisdomTree U.S. Earnings 500 Fund (EPS)
WisdomTree U.S. High Dividend Fund (DHS)
WisdomTree U.S. LargeCap Dividend Fund (DLN)
WisdomTree U.S. MidCap Dividend Fund (DON)
WisdomTree U.S. MidCap Earnings Fund (EZM)
WisdomTree U.S. Multifactor Fund (USMF)
WisdomTree U.S. Quality Dividend Growth Fund (DGRW)
WisdomTree U.S. Quality Shareholder Yield Fund (QSY)
WisdomTree U.S. SmallCap Dividend Fund (DES)
WisdomTree U.S. SmallCap Earnings Fund (EES)
WisdomTree U.S. SmallCap Quality Dividend Growth Fund (DGRS)
WisdomTree U.S. Total Dividend Fund (DTD) WisdomTree U.S. Total Earnings Fund (EXT)
WisdomTree Developed World ex-U.S. and Currency Hedged Equity Funds
WisdomTree Australia Dividend Fund (AUSE)
WisdomTree Dynamic Currency Hedged Europe Equity Fund (DDEZ) WisdomTree Dynamic Currency Hedged International Equity Fund (DDWM) |
WisdomTree China ex-State-Owned Enterprises Fund (CXSE)
WisdomTree Emerging Markets Consumer Growth Fund (EMCG)
WisdomTree Emerging Markets Dividend Fund (DVEM)
WisdomTree Emerging Markets ex-State-Owned Enterprises Fund (XSOE)
WisdomTree Emerging Markets High Dividend Fund (DEM)
WisdomTree Emerging Markets Quality Dividend Growth Fund (DGRE)
WisdomTree Emerging Markets SmallCap Dividend Fund (DGS)
WisdomTree Global ex-Mexico Equity Fund (XMX)
WisdomTree Global ex-U.S. Quality Dividend Growth Fund (DNL)
WisdomTree Global ex-U.S. Real Estate Fund (DRW)
WisdomTree Global High Dividend Fund (DEW)
WisdomTree Global SmallCap Dividend Fund (GSD)
WisdomTree India Earnings Fund (EPI)
WisdomTree ICBCCS S&P China 500 Fund (WCHN) WisdomTree Middle East Dividend Fund (GULF)
WisdomTree Dollar Sensitive Equity Funds
WisdomTree Strong Dollar Emerging Markets Equity Fund (EMSD)
WisdomTree U.S. Domestic Economy Fund (WUSA) WisdomTree U.S. Export and Multinational Fund (WEXP) |
WisdomTree Dynamic Currency Hedged International Quality Dividend Growth Fund (DHDG)
WisdomTree Dynamic Currency Hedged International SmallCap Equity Fund (DDLS)
WisdomTree Dynamic Currency Hedged Japan Equity Fund (DDJP)
WisdomTree Europe Hedged Equity Fund (HEDJ)
WisdomTree Europe Hedged SmallCap Equity Fund (EUSC)
WisdomTree Europe Domestic Economy Fund (EDOM)
WisdomTree Europe Quality Dividend Growth Fund (EUDG)
WisdomTree Europe SmallCap Dividend Fund (DFE)
WisdomTree Germany Hedged Equity Fund (DXGE)
WisdomTree Global ex-U.S. Hedged Dividend Fund (DXUS)
WisdomTree Global ex-U.S. Hedged Real Estate Fund (HDRW)
WisdomTree Global Hedged SmallCap Dividend Fund (HGSD)
WisdomTree International Dividend ex-Financials Fund (DOO)
WisdomTree International Equity Fund (DWM)
WisdomTree International Hedged Quality Dividend Growth Fund (IHDG)
WisdomTree International High Dividend Fund (DTH)
WisdomTree International LargeCap Dividend Fund (DOL)
WisdomTree International MidCap Dividend Fund (DIM)
WisdomTree International Quality Dividend Growth Fund (IQDG)
WisdomTree International SmallCap Dividend Fund (DLS)
WisdomTree Japan Hedged Capital Goods Fund (DXJC)
WisdomTree Japan Hedged Equity Fund (DXJ)
WisdomTree Japan Hedged Financials Fund (DXJF)
WisdomTree Japan Hedged Health Care Fund (DXJH)
WisdomTree Japan Hedged Quality Dividend Growth Fund (JHDG)
WisdomTree Japan Hedged Real Estate Fund (DXJR)
WisdomTree Japan Hedged SmallCap Equity Fund (DXJS)
WisdomTree Japan SmallCap Dividend Fund (DFJ) WisdomTree United Kingdom Hedged Equity Fund (DXPS)
WisdomTree Global/Global ex-U.S. and Emerging/Frontier Markets
WisdomTree Asia Pacific ex-Japan Fund (AXJL) |
WisdomTree Currency Strategy Funds
WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)
WisdomTree Brazilian Real Strategy Fund (BZF)
WisdomTree Chinese Yuan Strategy Fund (CYB) WisdomTree Emerging Currency Strategy Fund (CEW)
WisdomTree Fixed Income Funds
WisdomTree Asia Local Debt Fund (ALD)
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY) WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund (AGND)
WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)
WisdomTree Bloomberg Floating Rate Treasury Fund (USFR)
WisdomTree Negative Duration High Yield Bond Fund (HYND)
WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)
WisdomTree Emerging Markets Corporate Bond Fund (EMCB)
WisdomTree Emerging Markets Local Debt Fund (ELD)
WisdomTree Fundamental U.S. Corporate Bond Fund (WFIG)
WisdomTree Fundamental U.S. High Yield Corporate Bond Fund (WFHY)
WisdomTree Fundamental U.S. Short-Term Corporate Bond Fund (SFIG) WisdomTree Fundamental U.S. Short-Term High Yield Corporate Bond Fund (SFHY)
WisdomTree Alternative Funds
WisdomTree CBOE Russell 2000 PutWrite Strategy Fund (RPUT)
WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW)
WisdomTree Continuous Commodity Index Fund (GCC)
WisdomTree Dynamic Bearish U.S. Equity Fund (DYB)
WisdomTree Dynamic Long/Short U.S. Equity Fund (DYLS) WisdomTree Managed Futures Strategy Fund (WTMF)
WisdomTree Asset Allocation Funds WisdomTree Balanced Income Fund (WBAL) |
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The WisdomTree Funds are exchange traded funds (“ETFs”) registered with the United States Securities and Exchange Commission as separate series (“Funds”) of WisdomTree Trust (“Trust”). WisdomTree Asset Management, Inc., a wholly owned subsidiary of WisdomTree Investments, Inc., serves as the investment adviser to the Trust. None of the WisdomTree entities are affiliated with Foreside Fund Services, LLC, the Funds’ distributor. WisdomTree Investments, its affiliates and their independent providers are not liable for any informational errors, incompleteness, delays, or for any actions taken in reliance on information contained herein.
Investors should consider the investment objectives, risks, charges and expenses of the Funds carefully before investing. A prospectus, containing this and other information, is available at www.wisdomtree.com, or by calling 1-866-909-WISE (9473). Investors should read the prospectus carefully before investing. There are risks associated with investing, including possible loss of principal. Past performance does not guarantee future results. Indexes are unmanaged and you cannot invest directly in an index.
There are risks associated with investing including possible loss of principal. Foreign investing involves special risks, such as risk of loss from currency fluctuation or political or economic uncertainty. Investments in real estate involve additional special risks, such as credit risk, interest rate fluctuations and the effect of varied economic conditions. Funds that focus their investments in one country or region may be significantly impacted by events and developments associated with the region which can adversely affect performance. Funds focusing on a single sector and/or smaller companies generally experience greater price volatility. Investments in emerging, offshore or frontier markets are generally less liquid and less efficient than investments in developed markets and are subject to additional risks, such as risks of adverse governmental regulation and intervention or political developments. Investments in currency involve additional special risks, such as credit risk and interest rate fluctuations. Derivative investments can be volatile and these investments may be less liquid than other securities, and more sensitive to the effect of varied economic conditions. As these Funds can have a high concentration in some issuers the Funds can be adversely impacted by changes affecting such issuers.
Fixed income investments are subject to interest rate risk; their value will normally decline as interest rates rise. In addition, when interest rates fall, income may decline. Fixed income investments are also subject to credit risk, the risk that the issuer of a bond will fail to pay interest and principal in a timely manner, or that negative perceptions of the issuer’s ability to make such payments will cause the price of that bond to decline. High-yield or “junk” bonds have lower credit ratings and involve a greater risk to principal. One of the risks associated with the Managed Futures Strategy Fund (WTMF) is the complexity of the different factors which contribute to the Fund’s performance, as well as their correlation (or non-correlation) to other asset classes. These factors include use of long and short positions in commodity futures contracts, currency forward contracts, swaps and other derivatives. An investment in WTMF is speculative and involves a substantial degree of risk. WTMF should not be used as a proxy for taking long only (or short only) positions in commodities or currencies. In markets without sustained price trends or markets that quickly reverse or “whipsaw” WTMF may suffer significant losses. Unlike typical exchange-traded funds, there are no indexes that the actively managed Currency Strategy Funds, actively managed Fixed Income Funds or WTMF attempt to track or replicate. Thus, the ability of these Funds to achieve their objectives will depend on the effectiveness of the portfolio manager. Due to the investment strategy of certain Funds they may make higher capital gain distributions than other ETFs. Please read the Fund’s prospectus for specific details regarding the Fund’s risk profile.
Transactions in Fund shares will result in brokerage commissions and will generate tax consequences. Shares may be sold through brokerage accounts, but may be redeemed from the Funds only by Authorized Participants in large creation unit sizes of shares.
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WisdomTree Trust
245 Park Avenue, 35th Floor
New York, NY 10167
Currency Strategy Funds
WisdomTree Bloomberg U.S. Dollar Bullish Fund
WisdomTree Brazilian Real Strategy Fund
WisdomTree Chinese Yuan Strategy Fund
WisdomTree Emerging Currency Strategy Fund
Fixed Income Funds
WisdomTree Asia Local Debt Fund
WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund
WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund
WisdomTree Bloomberg Floating Rate Treasury Fund
WisdomTree Emerging Markets Corporate Bond Fund
WisdomTree Emerging Markets Local Debt Fund
WisdomTree Interest Rate Hedged High Yield Bond Fund
WisdomTree Negative Duration High Yield Bond Fund
Alternative Funds
WisdomTree CBOE Russell 2000 PutWrite Strategy Fund
WisdomTree CBOE S&P 500 PutWrite Strategy Fund
WisdomTree Managed Futures Strategy Fund
WisdomTree Fund shares are distributed by Foreside Fund Services, LLC, in the U.S. only.
WTGM-0707
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Item 2. | Code of Ethics. |
Not applicable.
Item 3. | Audit Committee Financial Expert. |
Not applicable.
Item 4. | Principal Accountant Fees and Services. |
Not applicable.
Item 5. | Audit Committee of Listed registrants. |
Not applicable.
Item 6. | Investments. |
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
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Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. | Controls and Procedures. |
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not applicable.
Item 13. | Exhibits. |
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(3) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | WisdomTree Trust | |||
By (Signature and Title) | /s/ Jonathan L. Steinberg | |||
Jonathan L. Steinberg, President | ||||
(principal executive officer) |
Date: May 4, 2018
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title) | /s/ Jonathan L. Steinberg | |||
Jonathan L. Steinberg, President | ||||
(principal executive officer) | ||||
Date: May 4, 2018 | ||||
By (Signature and Title) | /s/ David Castano | |||
David Castano, Treasurer | ||||
(principal financial officer) | ||||
Date: May 4, 2018 |