Document And Entity Information
Document And Entity Information - shares | 6 Months Ended | |
Dec. 31, 2015 | Feb. 01, 2016 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Dec. 31, 2015 | |
Document Fiscal Year Focus | 2,016 | |
Document Fiscal Period Focus | Q2 | |
Entity Registrant Name | ETF Managers Group Commodity Trust I | |
Entity Central Index Key | 1,610,940 | |
Current Fiscal Year End Date | --06-30 | |
Entity Filer Category | Smaller Reporting Company | |
Entity Common Stock, Shares Outstanding | 850,040 |
Statements of Financial Conditi
Statements of Financial Condition - USD ($) | Dec. 31, 2015 | Jun. 30, 2015 |
SIT RISING RATE ETF [Member] | ||
Assets | ||
Investment in short-term securities, at fair value (cost $16,439,686, $5,682,577, $16,439,686 and $5,682,577, respectively) | $ 16,426,398 | $ 5,678,452 |
Interest receivable | 41 | 0 |
Segregated cash held by broker | 472,675 | 411,045 |
Receivable for Fund shares sold | 1,213,505 | 0 |
Receivable on open futures contracts | 92,976 | 9,187 |
Total assets | 18,205,595 | 6,098,684 |
Liabilities and shareholders' capital | ||
Options written, at fair value (premiums received $66,352, $21,797, $66,352 and $21,797, respectively) | 26,954 | 27,070 |
Payable on open futures contracts | 0 | 2,579 |
Due to Sponsor | 19,137 | 7,533 |
Total liabilities | 46,091 | 37,182 |
Shareholders’ capital | ||
Paid in capital | 18,299,565 | 6,246,665 |
Accumulated earnings (deficit) | (140,061) | (185,163) |
Total shareholders' capital | 18,159,504 | 6,061,502 |
Total liabilities and shareholders' capital | $ 18,205,595 | $ 6,098,684 |
Shares outstanding (unlimited authorized) | 750,040 | 250,040 |
Net asset value per share | $ 24.21 | $ 24.24 |
Market value per share | $ 24.23 | $ 24.43 |
ETF MANAGERS GROUP COMMODITY TRUST I [Member] | ||
Assets | ||
Investment in short-term securities, at fair value (cost $16,439,686, $5,682,577, $16,439,686 and $5,682,577, respectively) | $ 16,426,398 | $ 5,678,452 |
Interest receivable | 41 | 0 |
Segregated cash held by broker | 472,675 | 411,045 |
Receivable for Fund shares sold | 1,213,505 | 0 |
Receivable on open futures contracts | 92,976 | 9,187 |
Total assets | 18,205,595 | 6,098,684 |
Liabilities and shareholders' capital | ||
Options written, at fair value (premiums received $66,352, $21,797, $66,352 and $21,797, respectively) | 26,954 | 27,070 |
Payable on open futures contracts | 0 | 2,579 |
Due to Sponsor | 19,137 | 7,533 |
Total liabilities | 46,091 | 37,182 |
Shareholders’ capital | ||
Paid in capital | 18,299,565 | 6,246,665 |
Accumulated earnings (deficit) | (140,061) | (185,163) |
Total shareholders' capital | 18,159,504 | 6,061,502 |
Total liabilities and shareholders' capital | $ 18,205,595 | $ 6,098,684 |
Statements of Financial Condit3
Statements of Financial Condition (Parenthetical) - USD ($) | Dec. 31, 2015 | Jun. 30, 2015 |
SIT RISING RATE ETF [Member] | ||
Investments | $ 16,439,686 | $ 5,682,577 |
Open Option Contracts Written, Premiums | 66,352 | 21,797 |
ETF MANAGERS GROUP COMMODITY TRUST I [Member] | ||
Investments | 16,439,686 | 5,682,577 |
Open Option Contracts Written, Premiums | $ 66,352 | $ 21,797 |
Schedule of Investments
Schedule of Investments - SIT RISING RATE ETF [Member] | 6 Months Ended | |||
Dec. 31, 2015USD ($)Contractsshares | Jun. 30, 2015USD ($)Contractsshares | |||
Investment Owned, at Fair Value | $ 18,159,504 | $ 6,061,502 | ||
US Treasury Securities [Member] | ||||
Investment Owned, at Fair Value | 15,499,566 | |||
First American US Treasury Money Market Fund [Member] | ||||
Investment Owned, at Fair Value | 888,441 | |||
Purchased Options [Member] | ||||
Investment Owned, at Fair Value | $ 38,391 | $ 16,500 | ||
Purchased Options [Member] | CBT U.S. Treasury 10 Year Note [Member] | ||||
Investment Owned, Balance, Contracts | Contracts | 63 | 22 | ||
Investment Owned, at Fair Value | $ 38,391 | $ 16,500 | ||
Short-term Investments [Member] | ||||
Investment Owned, at Fair Value | 16,388,007 | $ 5,661,952 | ||
Short-term Investments [Member] | US Treasury Securities [Member] | ||||
Investment Owned, at Fair Value | 15,499,566 | |||
Investment Owned, Balance, Principal Amount | $ 15,500,000 | |||
Short-term Investments [Member] | First American US Treasury Money Market Fund [Member] | ||||
Investment Owned, Balance, Shares | shares | 888,441 | [1] | 5,661,952 | [2] |
Investment Owned, at Fair Value | $ 888,441 | [1] | $ 5,661,952 | [2] |
Investments [Member] | ||||
Investment Owned, at Fair Value | 16,426,398 | 5,678,452 | ||
Assets in Excess of Other Liabilities [Member] | ||||
Investment Owned, at Fair Value | 1,733,106 | [3] | 383,050 | [4] |
Written Options Contracts [Member] | ||||
Investment Owned, at Fair Value | $ (26,954) | $ (27,070) | ||
Written Options Contracts [Member] | CBT U.S. Treasury 5 Year Note [Member] | ||||
Investment Owned, Balance, Contracts | Contracts | 150 | 45 | ||
Investment Owned, at Fair Value | $ (26,954) | $ (27,070) | ||
Short Futures Contracts [Member] | ||||
Investment Owned, Unrealized Gain/(Loss) | $ 92,976 | $ 6,608 | ||
Short Futures Contracts [Member] | CBT U.S. Treasury 5 Year Note [Member] | ||||
Investment Owned, Balance, Contracts | Contracts | 72 | 24 | ||
Investment Owned, Unrealized Gain/(Loss) | $ 21,586 | $ 9,187 | ||
Short Futures Contracts [Member] | CBT U.S. Treasury 2 Year Note [Member] | ||||
Investment Owned, Balance, Contracts | Contracts | 190 | 63 | ||
Investment Owned, Unrealized Gain/(Loss) | $ 71,390 | $ (2,579) | ||
[1] | Annualized seven-day yield as of December 31, 2015 | |||
[2] | Annualized seven-day yield as of June 30, 2015 | |||
[3] | $472,675 of cash is pledged as collateral for futures contracts and written options | |||
[4] | $411,045 of cash is pledged as collateral for futures contracts and written options |
Schedule of Investments (Parent
Schedule of Investments (Parenthetical) - SIT RISING RATE ETF [Member] | 6 Months Ended | |
Dec. 31, 2015USD ($)$ / Warrant | Jun. 30, 2015USD ($)$ / Warrant | |
Purchased Options [Member] | CBT U.S. Treasury 10 Year Note [Member] | ||
Investment Owned, Subject to Option, Price | $ / Warrant | 126 | 126 |
Investment Owned, Subject to Option, Exercise Dates | 1/22/2016 | 7/24/2015 |
Investment Owned, at Cost | $ 52,328 | $ 20,625 |
Investment Owned, Percent of Net Assets | 0.20% | 0.30% |
Short-term Investments [Member] | ||
Investment Owned, at Cost | $ 16,387,358 | $ 5,661,952 |
Investment Owned, Percent of Net Assets | 90.30% | 93.40% |
Short-term Investments [Member] | US Treasury Securities [Member] | ||
Investment Owned, Subject to Option, Exercise Dates | 1/14/2016 | |
Investment Owned, at Cost | $ 15,498,917 | |
Investment Owned, Percent of Net Assets | 85.40% | |
Short-term Investments [Member] | First American US Treasury Money Market Fund [Member] | ||
Investment Owned, Percent of Net Assets | 0.02% | 0.00% |
Assets in Excess of Other Liabilities [Member] | ||
Investment Owned, Percent of Net Assets | 100.00% | 100.00% |
Investment Owned Percent Of Other Liabilities | 9.50% | 6.30% |
Written Options Contracts [Member] | CBT U.S. Treasury 5 Year Note [Member] | ||
Investment Owned, Subject to Option, Price | $ / Warrant | 118.7 | 119 |
Investment Owned, Subject to Option, Exercise Dates | 1/22/2016 | 7/24/2015 |
Investment Owned Premiums Received | $ 66,352 | $ 21,797 |
Short Futures Contracts [Member] | CBT U.S. Treasury 5 Year Note [Member] | ||
Investment Owned, Subject to Option, Exercise Dates | March 2,016 | September 2,015 |
Investment Owned, Face Amount | $ 8,519,063 | $ 2,862,188 |
Short Futures Contracts [Member] | CBT U.S. Treasury 2 Year Note [Member] | ||
Investment Owned, Subject to Option, Exercise Dates | March 2,016 | September 2,015 |
Investment Owned, Face Amount | $ 41,274,531 | $ 13,793,063 |
Investments [Member] | ||
Investment Owned, at Cost | $ 16,439,686 | $ 5,682,577 |
Investment Owned, Percent of Net Assets | 90.50% | 93.70% |
Money Market Funds [Member] | ||
Investment Owned, at Cost | $ 888,441 | |
Investment Owned, Percent of Net Assets | 4.90% |
Statements of Operations
Statements of Operations - USD ($) | 3 Months Ended | 6 Months Ended |
Dec. 31, 2015 | Dec. 31, 2015 | |
SIT RISING RATE ETF [Member] | ||
Investment Income | ||
Interest | $ 1,276 | $ 1,276 |
Expenses | ||
CPO management fee | 14,139 | 28,278 |
Sub-advisory fee | 8,622 | 14,415 |
Audit fees | 20,055 | 40,111 |
Tax preparation fees | 18,852 | 37,704 |
Admin/accounting/custodian/transfer agent fees | 12,518 | 25,036 |
Legal fees | 7,514 | 15,028 |
Printing and postage expenses | 6,284 | 11,940 |
Chief Compliance Officer fees | 4,713 | 9,426 |
Principal Financial Officer fees | 4,713 | 9,426 |
Regulatory reporting fees | 4,713 | 9,426 |
Brokerage commissions | 6,295 | 9,923 |
Distribution fees | 3,770 | 7,540 |
Insurance expense | 3,770 | 7,540 |
Listing & calculation agent fees | 2,917 | 5,834 |
Other expenses | 3,142 | 7,599 |
Wholesale support fees | 2,464 | 4,119 |
Total Expenses | 124,481 | 243,345 |
Less: Waiver of sub-advisory fee | (8,622) | (14,415) |
Less: Expenses absorbed by Sponsor | (72,609) | (157,229) |
Net Expenses | 43,250 | 71,701 |
Net Investment Income (Loss) | (41,974) | (70,425) |
Net Realized Gain (Loss) | ||
Futures and options contracts | 71,624 | (7,215) |
Change in Unrealized Gain (Loss) | ||
Futures contracts and options | 234,953 | 122,742 |
Net realized and unrealized gain (loss) | 306,577 | 115,527 |
Net income (loss) | 264,603 | 45,102 |
ETF MANAGERS GROUP COMMODITY TRUST I [Member] | ||
Investment Income | ||
Interest | 1,276 | 1,276 |
Expenses | ||
CPO management fee | 14,139 | 28,278 |
Sub-advisory fee | 8,622 | 14,415 |
Audit fees | 20,055 | 40,111 |
Tax preparation fees | 18,852 | 37,704 |
Admin/accounting/custodian/transfer agent fees | 12,518 | 25,036 |
Legal fees | 7,514 | 15,028 |
Printing and postage expenses | 6,284 | 11,940 |
Chief Compliance Officer fees | 4,713 | 9,426 |
Principal Financial Officer fees | 4,713 | 9,426 |
Regulatory reporting fees | 4,713 | 9,426 |
Brokerage commissions | 6,295 | 9,923 |
Distribution fees | 3,770 | 7,540 |
Insurance expense | 3,770 | 7,540 |
Listing & calculation agent fees | 2,917 | 5,834 |
Other expenses | 3,142 | 7,599 |
Wholesale support fees | 2,464 | 4,119 |
Total Expenses | 124,481 | 243,345 |
Less: Waiver of sub-advisory fee | (8,622) | (14,415) |
Less: Expenses absorbed by Sponsor | (72,609) | (157,229) |
Net Expenses | 43,250 | 71,701 |
Net Investment Income (Loss) | (41,974) | (70,425) |
Net Realized Gain (Loss) | ||
Futures and options contracts | 71,624 | (7,215) |
Change in Unrealized Gain (Loss) | ||
Futures contracts and options | 234,953 | 122,742 |
Net realized and unrealized gain (loss) | 306,577 | 115,527 |
Net income (loss) | $ 264,603 | $ 45,102 |
Statements of Changes in Shareh
Statements of Changes in Shareholders' Capital - USD ($) | 3 Months Ended | 6 Months Ended |
Dec. 31, 2015 | Dec. 31, 2015 | |
SIT RISING RATE ETF [Member] | ||
Shareholders' Capital, Beginning balance | $ 7,046,101 | $ 6,061,502 |
Increase (decrease) in Shareholders' Capital from share transactions | ||
Addition of shares, respectively | 10,848,800 | 12,052,900 |
Net increase (decrease) in Shareholders’ Capital from share transactions | 10,848,800 | 12,052,900 |
Increase (decrease) in Shareholders' Capital from operations | ||
Net investment income (loss) | (41,974) | (70,425) |
Net realized gain (loss) | 71,624 | (7,215) |
Change in net unrealized gain (loss) | 234,953 | 122,742 |
Net increase (decrease) in Shareholders' Capital from operations | 264,603 | 45,102 |
Shareholders' Capital, Ending balance | 18,159,504 | 18,159,504 |
ETF MANAGERS GROUP COMMODITY TRUST I [Member] | ||
Shareholders' Capital, Beginning balance | 7,046,101 | 6,061,502 |
Increase (decrease) in Shareholders' Capital from share transactions | ||
Addition of shares, respectively | 10,848,800 | 12,052,900 |
Net increase (decrease) in Shareholders’ Capital from share transactions | 10,848,800 | 12,052,900 |
Increase (decrease) in Shareholders' Capital from operations | ||
Net investment income (loss) | (41,974) | (70,425) |
Net realized gain (loss) | 71,624 | (7,215) |
Change in net unrealized gain (loss) | 234,953 | 122,742 |
Net increase (decrease) in Shareholders' Capital from operations | 264,603 | 45,102 |
Shareholders' Capital, Ending balance | $ 18,159,504 | $ 18,159,504 |
Statements of Changes in Share8
Statements of Changes in Shareholders' Capital (Parenthetical) - shares | 3 Months Ended | 6 Months Ended |
Dec. 31, 2015 | Dec. 31, 2015 | |
SIT RISING RATE ETF [Member] | ||
Stock Issued During Period, Shares, New Issues | 450,000 | 500,000 |
ETF MANAGERS GROUP COMMODITY TRUST I [Member] | ||
Stock Issued During Period, Shares, New Issues | 450,000 | 500,000 |
Statements of Cash Flows
Statements of Cash Flows | 6 Months Ended |
Dec. 31, 2015USD ($) | |
SIT RISING RATE ETF [Member] | |
Cash flows provided by (used in) operating activities | |
Net income (loss) | $ 45,102 |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |
Purchase of investments | (10,747,946) |
Increase in interest receivable | (41) |
Increase in segregated cash held by broker | (61,630) |
Increase in receivable on open futures contracts | (83,789) |
Decrease in options written, at fair value | (116) |
Decrease in payable on open futures contracts | (2,579) |
Increase in due to Sponsor | 11,604 |
Net cash provided by (used in) operating activities | (10,839,395) |
Cash flows from financing activities | |
Proceeds from sale of shares | 10,839,395 |
Net cash provided by financing activities | 10,839,395 |
Net increase (decrease) in cash | 0 |
Cash, beginning of period | 0 |
Cash, end of period | 0 |
Supplemental disclosure of non-cash financing activity: | |
Receivable from creation of fund shares: | 1,213,505 |
ETF MANAGERS GROUP COMMODITY TRUST I [Member] | |
Cash flows provided by (used in) operating activities | |
Net income (loss) | 45,102 |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: | |
Purchase of investments | (10,747,946) |
Increase in interest receivable | (41) |
Increase in segregated cash held by broker | (61,630) |
Increase in receivable on open futures contracts | (83,789) |
Decrease in options written, at fair value | (116) |
Decrease in payable on open futures contracts | (2,579) |
Increase in due to Sponsor | 11,604 |
Net cash provided by (used in) operating activities | (10,839,395) |
Cash flows from financing activities | |
Proceeds from sale of shares | 10,839,395 |
Net cash provided by financing activities | 10,839,395 |
Net increase (decrease) in cash | 0 |
Cash, beginning of period | 0 |
Cash, end of period | 0 |
Supplemental disclosure of non-cash financing activity: | |
Receivable from creation of fund shares: | $ 1,213,505 |
Organization
Organization | 6 Months Ended |
Dec. 31, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization, Consolidation and Presentation of Financial Statements Disclosure [Text Block] | (1) Organization SIT RISING RATE ETF (the “Fund”), a series of the ETF Managers Group Commodity Trust I (a Delaware statutory trust formed on July 23, 2014), commenced investment operations on February 19, 2015. The Fund offers common units of beneficial interest (the “Shares”) only to certain eligible financial institutions (the “Authorized Participants”) in one or more blocks of 50,000 1,000 40 25.00 5,000,000 25.00 The Fund commenced investment operations on February 19, 2015. The Fund commenced trading on the NYSE Arca, Inc. (the “NYSE Arca”) on February 19, 2015 and trades under the symbol “RISE”. 0.35 0.50 The Fund’s investment objective is to profit from rising interest rates by tracking the performance of a portfolio (the “Benchmark Portfolio”) consisting of exchange traded futures contracts and options on futures on 2, 5 and 10 year U.S. Treasury securities (“Treasury Instruments”) weighted to achieve a targeted negative 10 year average effective portfolio duration (the “Benchmark Component Instruments”). The Fund seeks to achieve its investment objective by investing in the Benchmark Component Instruments currently constituting the Benchmark Portfolio. The Benchmark Portfolio is maintained by Sit and will be rebalanced, reconstituted, or both, monthly (typically on the 15 th th The weighting of the Treasury Instruments constituting the Benchmark Component Instruments will be based on each maturity’s duration contribution. The expected range for the duration weighted percentage of the 2 year and 5 year maturity Treasury Instruments will be from 30 70 5 25 The Sponsor anticipates that approximately 5 15 3 10 The Benchmark Portfolio will be invested in Benchmark Component Instruments and rebalanced, as noted above to maintain a negative average effective portfolio duration of approximately 10 years. Duration is a measure of estimated price sensitivity relative to changes in interest rates. Portfolios with longer durations are typically more sensitive to changes in interest rates. For example, if interest rates rise by 1%, the market value of a security with an effective duration of 5 years would decrease by 5%, with all other factors being constant, and likewise the market value of a security with an effective duration of negative 5 years would increase by 5%, with all other factors being constant. The correlation between duration and price sensitivity is greater for securities rated investment-grade than it is for securities rated below investment-grade. Duration estimates are based on assumptions by Sit and are subject to a number of limitations. Effective duration is calculated based on historical price changes of U.S. Treasuries and Treasury Instruments held by the Benchmark Portfolio, and therefore is a more accurate estimate of price sensitivity provided interest rates remain within their historical range. Investments in debt securities typically decrease in value when interest rates rise. The risk is usually greater for longer-term debt securities. The Fund will incur certain expenses in connection with its operations. The Fund will hold cash or cash equivalents such as U.S. Treasuries or other high credit quality, short-term fixed-income or similar securities for direct investment or as collateral for the Treasury Instruments and for other liquidity purposes and to meet redemptions that may be necessary on an ongoing basis. These expenses and income from the cash and cash equivalent holdings may cause imperfect correlation between changes in the Fund’s net asset value (“NAV”) and changes in the Benchmark Portfolio, because the Benchmark Portfolio does not reflect expenses or income. The Fund seeks to trade its positions prior to maturity; accordingly, natural market forces may cost the Fund while rebalancing. Each time the Fund seeks to reconstitute its positions, barring movement in the underlying securities, the futures and option prices may be higher or lower. Such differences in price, barring a movement in the price of the underlying security, will constitute “roll yield” and may inhibit the Fund’s ability to achieve its investment objective. Several factors determine the total return from investing in a futures contract position. One factor that impacts the total return that will result from investing in near month futures contracts and “rolling” those contracts forward each month is the price relationship between the current near month contract and the next month contract. When the Sponsor purchases an option that expires “out of the money,” the Fund will realize a loss. The Sponsor may not be able to invest the Fund’s assets in futures and options contracts having an aggregate notional amount exactly equal to that which is required to achieve a negative 10 year average effective duration. For example, as standardized contracts, U.S. Treasury futures contracts are denominated in specific dollar amounts, and the Fund’s NAV and the proceeds from the sale of a Creation Basket are unlikely to be an exact multiple of the amounts of those contracts. As a result, in such circumstances, the Fund may be better able to achieve the exact amount of exposure desired through the use of other investments. The Sponsor will close existing positions when it determines it would be appropriate to do so and reinvest the proceeds in other positions. Positions may also be closed out to meet orders for Redemption Baskets. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 6 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies [Text Block] | (2) Summary of Significant Accounting Policies The accompanying financial statements of the Fund have been prepared in conformity with U.S. generally accepted accounting principles. The accompanying financial statements are unaudited, but in the opinion of management, all adjustments (which include normal recurring adjustments) considered necessary to present fairly the financial statements have been made. The Fund’s Prospectus dated January 26, 2016 should be read in conjunction with these interim financial statements. Interim period results are not necessarily indicative of results for a full-year period. The preparation of the financial statements in conformity with U.S. generally accepted accounting principles requires management to make 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 accompanying notes. Actual results could differ from those estimates. There were no significant estimates used in the preparation of the financial statements. Cash, when shown in the Statements of Financial Condition, represents non-segregated cash with the custodian and does not include short-term investments. Sit is registered as a “commodity trading advisor” and acts as such for the Fund. Sit is a subsidiary of Sit Investment Associates, Inc. The Fund’s arrangement with SG Americas Securities, LLC, the Fund’s FCM, requires the Fund to meet its variation margin requirement related to the price movements, both positive and negative, on futures contracts held by the Fund by keeping cash on deposit with the Commodity Broker. These amounts are shown as Segre1gated cash held by broker in the Statements of Financial Condition. The Fund deposits cash and United States Treasury Obligations with the FCM subject to Commodity Futures Trading Commission (the “CFTC”) regulations and various exchange and broker requirements. The combination of the Fund’s deposits with its FCM of cash and United States Treasury Obligations and the unrealized gain or loss on open futures contracts (variation margin) represents the Fund’s overall equity in its brokerage trading account. The Fund uses its cash held by the FCM to satisfy variation margin requirements. The Fund earns interest on its cash deposited with the FCM and is recorded on the accrual basis. The calculation time of the Fund’s final net asset value for creation and redemption of Fund shares for the three months ended December 31, 2015 was at 4:00 p.m. Eastern Time. Although the Fund’s shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, the 4:00 p.m. Eastern Time represented the final opportunity to transact in creation or redemption baskets for the three months ended December 31, 2015. Fair value per share is determined at the close of the NYSE Arca. For financial reporting purposes, the Fund values its investment positions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements differ from those used in the calculation of the Fund’s final creation/redemption NAV at December 31, 2015. Short-term investments, excluding U.S. Treasury Bills, are carried at amortized cost, which approximates fair value. U.S. Treasury Bills are valued as determined by an independent pricing service based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. Futures contracts are valued at the last settled price on the applicable exchange on which that futures contract trades. The Fund discloses the fair value of its investments in accordance with the Financial Accounting Standards Board (FASB) fair value measurement and disclosure guidance which requires a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent to the Fund (observable inputs); and (2) the Fund’s own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows: Level I: Quoted prices (unadjusted) in active markets for identical assets and liabilities that the reporting entity has the ability to access at the measurement date. Level II: Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II inputs include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs). Level III: Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available. In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest input level that is significant to the fair value measurement in its entirety. Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly. December 31, 2015 (unaudited) Short-Term Written Future Total Level I Quoted Prices $ 16,426,398 a $ (26,954) b $ 92,976 c $ 16,492,420 a Included in Investments in short-term securities in the Statement of Financial Condition. b Included in Options Written, at fair value in the Statement of Financial Condition. c Included in Receivable on open futures contracts in the Statement of Financial Condition. June 30, 2015 (audited) Short-Term Written Future Total Level I Quoted Prices $ 5,678,452 a $ (27,070) b $ 6,608 c $ 5,657,990 a Included in Investments in short-term securities in the Statement of Financial Condition. b Included in Options Written, at fair value in the Statement of Financial Condition. c Included in Receivable and Payable on open futures contracts in the Statement of Financial Condition. There were no Level II or Level III type holdings at December 31, 2015 or June 30, 2015 and during the three and six months ended December 31, 2015, respectively. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities. Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis, and marked to market daily. Unrealized gain/loss on open futures contracts is reflected in Receivable/Payable on open futures contracts in the Statements of Financial Condition and the change in the unrealized gain/loss between periods is reflected in the Statements of Operations. Discounts on short-term securities purchased are accreted daily and reflected as Interest Income in the Statements of Operations. The Fund is registered as a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, the Fund does not expect to incur U.S. federal income tax liability; rather, each beneficial owner is required to take into account their allocable share of the Fund’s income, gain, loss, deductions and other items for the Fund’s taxable year ending with or within the beneficial owner’s taxable year. Management of the Fund has reviewed the open tax year and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management will monitor its tax positions taken to determine if adjustments to its conclusions are necessary based on factors including, but not limited to, further implementation of guidance expected from the Financial Accounting Standards Board and on-going analysis of tax law, regulation, and interpretations thereof. |
Investments
Investments | 6 Months Ended |
Dec. 31, 2015 | |
Investments [Abstract] | |
Investments in and Advances to Affiliates, Schedule of Investments [Text Block] | (3) Investments (a) Short-Term Investments The Fund may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be used as margin for the Fund’s trading in futures contracts. (b) Accounting for Derivative Instruments In seeking to achieve the Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions that the Sponsor believes in combination should produce returns consistent with the Fund’s objective. All open derivative positions at December 31, 2015 and June 30, 2015 for the Fund are disclosed in the Schedules of Investments and the notional value of these open positions relative to the shareholders’ capital of the Fund is generally representative of the notional value of open positions to shareholder’s capital throughout the reporting period for the Fund. The volume associated with derivative positions varies on a daily basis as the Fund transacts in derivative contracts in order to achieve the appropriate exposure, as expressed in notional value, in comparison to shareholders’ capital consistent with the Fund’s investment objective. Following is a description of the derivative instruments used by the Fund during the reporting period, including the primary underlying risk exposures. (c) Futures Contracts The Fund enters into futures contracts to gain exposure to changes in the value of the Benchmark Portfolio. A futures contract obligates the seller to deliver (and the purchaser to accept) the future cash settlement of a specified quantity and type of a treasury futures contract at a specified time and place. The contractual obligations of a buyer or seller of a treasury futures contract may generally be satisfied by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery. Upon entering into a futures contract, the Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is affected. The initial margin is segregated as Cash held by broker, as disclosed in the Statements of Financial Condition, and is restricted as to its use. Pursuant to the futures contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by the Fund as unrealized gains or losses. The Fund will realize a gain or loss upon closing a futures transaction. Futures contracts involve, to varying degrees, elements of market risk (specifically treasury price risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure the Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts include imperfect correlation between movements in the price of the futures contracts and the market value of the underlying securities and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal counterparty risk to the Fund since futures contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default. Assets Derivatives Liability Derivatives Derivatives Statements of Unrealized Statements of Unrealized Interest Rate Risk Receivable on open futures contracts $ 92,976 * Interest Rate Risk Written options, at fair value $ (26,954) ** * Represents cumulative appreciation of futures contracts as reported in the Statements of Financial Condition. ** Represents cumulative depreciation of options contracts as reported in the Statements of Financial Condition. Asset Derivatives Liability Derivatives Derivatives Statements of Unrealized Statements of Unrealized Interest Rate Risk Receivable on open futures contracts $ 9,187 * Payable on open futures contracts $ (2,579 )** Interest Rate Risk Written options, at fair value $ (27,070 )*** * Represents cumulative appreciation of futures contracts as reported in the Statements of Financial Condition. ** Represents cumulative depreciation of futures contracts as reported in the Statements of Financial Condition. *** Represents cumulative depreciation of options contracts as reported in the Statements of Financial Condition. The Effect of Derivative Instruments on the Statements of Operations For the Three Months Ended December 31, 2015 Derivatives Location of Gain(Loss) on Derivatives Realized Gain Change in Unrealized gain (loss) Interest Rate Risk Net realized gain (loss) on futures and options contracts $ 71,624 $ 234,953 The futures and options contracts open at December 31, 2015 are indicative of the activity for the three months ended December 31, 2015. The Effect of Derivative Instruments on the Statements of Operations For the Six Months Ended December 31, 2015 Derivatives Location of Gain(Loss) on Derivatives Realized Gain Change in Unrealized gain (loss) Interest Rate Risk Net realized gain (loss) on futures and options contracts $ (7,215) $ 122,742 The futures and options contracts open at December 31, 2015 are indicative of the activity for the six months ended December 31, 2015. |
Agreements
Agreements | 6 Months Ended |
Dec. 31, 2015 | |
Agreements [Abstract] | |
Agreements [Text Block] | (4) Agreements (a) Management Fee The Fund pays the Sponsor an annual management fee, monthly in arrears, in an amount calculated as the greater of 0.15 56,250 0.35 0.50 1.50 The waiver of the license and services fee, pursuant to the undertaking, amounted to $ 8,622 14,415 115,859 157,229 (b) The Administrator, Custodian, Fund Accountant and Transfer Agent The Fund has appointed U.S. Bank, a national banking association, with its principal office in Milwaukee, Wisconsin, as the custodian (the “Custodian”). Its affiliate, U.S. Bancorp Fund Services, is the Fund accountant (“the Fund accountant”) of the Fund, transfer agent (the “Transfer Agent”) for Fund shares and administrator for the Fund (the “Administrator”). It performs certain administrative and accounting services for the Fund and prepares certain SEC, NFA and CFTC reports on behalf of the Fund. (U.S. Bank and U.S. Bancorp Fund Services are referred to collectively hereinafter as “U.S. Bank”). For the first year of services, the Fund has agreed to pay U.S. Bank 0.05 45,000 0.01 4,800 0.05 50,000 4,800 (c) The Distributor Effective December 1, 2015, ALPS Distributors, Inc. (the “Distributor”) provides statutory and wholesaling distribution services to the Fund. The Fund pays an annual fee for such distribution services and related administrative services equal to 0.02 15,000 Esposito Securities LLC (“Esposito”) provided statutory and wholesaling distribution services to the Fund through November 30, 2015. The Fund paid Esposito an annual fee for such distribution services, equal to 0.02 15,000 The Fund incurred $ 3,770 7,540 (d) The Commodity Broker SG Americas Securities, LLC (the “Commodity Broker”), a Delaware limited liability company, serves as the Fund’s clearing broker. In its capacity as clearing broker, the Commodity Broker executes and clears the Fund’s futures transactions and performs certain administrative services for the Fund. The Fund pays respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, giveup fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities in CFTC regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor does not expect brokerage commissions and fees to exceed 0.118 6,295 9,923 (e) The Trustee Under the Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”), Wilmington Trust Company, the Trustee of the Fund (the “Trustee”) serves as the sole trustee of the Fund in the State of Delaware. The Trustee will accept service of legal process on the Fund in the State of Delaware and will make certain filings under the Delaware Statutory Trust Act. Under the Trust Agreement, the Sponsor has the exclusive management and control of all aspects of the business of the Fund. The Trustee does not owe any other duties to the Fund, the Sponsor or the Shareholders of the Fund. The Trustee has no duty or liability to supervise or monitor the performance of the Sponsor, nor does the Trustee have any liability for the acts or omissions of the Sponsor. For the three and six months ended December 31, 2015, the Fund incurred $ 1,256 2,512 (f) Routine Offering, Operational, Administrative and Other Ordinary Expenses The Sponsor, in accordance with the Fund’s Expense Cap limitation pays all of the routine offering, operational, administrative and other ordinary expenses of the Fund in excess of 1.50 124,481 243,345 The license and services fee waiver by Sit and the assumption of Fund expenses above the Expense Cap by the Sponsor, pursuant to the undertaking (as discussed in Note 4a), amounted to $ 8,622 72,609 14,415 157,229 (g) Organizational and Offering Costs Expenses incurred in connection with organizing the Fund and up to the offering of its Shares upon commencement of its investment operations on February 19, 2015, were paid by the Sponsor and Sit without reimbursement. Accordingly, all such expenses are not reflected in the Statements of Operations. The Fund will bear the costs of its continuous offering of Shares and ongoing offering expenses. Such ongoing offering costs will be included as a portion of the Routine Offering, Operational, Administrative and Other Ordinary Expenses. These costs will include registration fees for regulatory agencies and all legal, accounting, printing and other expenses associated therewith. These costs will be accounted for as a deferred charge and thereafter amortized to expense over twelve months on a straight-line basis or a shorter period if warranted. For the three and six months ended December 31, 2015, the Fund did not incur such expenses. (h) Extraordinary Fees and Expenses The Fund will pay all extraordinary fees and expenses, if any. Extraordinary fees and expenses are fees and expenses which are nonrecurring and unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other unanticipated expenses. Such extraordinary fees and expenses, by their nature, are unpredictable in terms of timing and amount. For the three and six months ended December 31, 2015, the Fund did not incur such expenses. |
Creations and Redemptions
Creations and Redemptions | 6 Months Ended |
Dec. 31, 2015 | |
Creations and Redemptions [Abstract] | |
Creations And Redemptions Disclosure [Text Block] | (5) Creations and Redemptions The Fund issues and redeems Shares from time to time, but only in one or more Creation Baskets. A Creation Basket is a block of 50,000 Except when aggregated in Creation Baskets, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with the Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements such as references to the Transaction Fee imposed on creations and redemptions is not relevant to retail investors. (a) Transaction Fees on Creation and Redemption Transactions In connection with orders to create and redeem one or more Creation Baskets, an Authorized Participant is required to pay a transaction fee, or AP Transaction Fee, of $ 500 (b) Share Transactions Summary of Share Transactions for the Three Months Ended December 31, 2015 Shares Paid in Capital Shares Sold 450,000 $ 10,848,800 Shares Redeemed - - Net Increase (Decrease) 450,000 $ 10,848,800 Summary of Share Transactions for the Six Months Ended December 31, 2015 Shares Paid in Capital Shares Sold 500,000 $ 12,052,900 Shares Redeemed - - Net Increase (Decrease) 500,000 $ 12,052,900 |
Risk
Risk | 6 Months Ended |
Dec. 31, 2015 | |
Risk Disclosure [Abstract] | |
Concentration Risk Disclosure [Text Block] | (6) Risk (a) Investment Related Risk The NAV of the Fund’s shares relates directly to the value of the U.S. treasuries, cash and cash equivalents held by the Fund and the portfolio’s negative effective duration established and maintained through the Fund’s investment in Treasury Instruments. Fluctuations in the prices of these assets could materially adversely affect the value and performance of an investment in the Fund’s shares. Past performance is not necessarily indicative of future results; all or substantially all of an investment in the Fund could be lost. Investments in debt securities typically decrease in value when interest rates rise, however, the Fund attempts to maintain a portfolio with a negative effective duration and therefore anticipates that an increase in interest rates may increase the Fund’s value, and a decrease in rates may lower the Fund’s value. The NAV of the Fund’s shares relates directly to the value of U.S. Treasuries and Treasury Instruments held by the Fund which are materially impacted by interest rate movements. The magnitude of the impact on value from a change in interest rates is often greater for longer-term fixed income than shorter-term securities. Interest rates have been near historic lows since the market events of 2008 and may remain low. Interest rate movements are heavily influenced by the action of the Board of Governors of the Federal Reserve System and other central banks. Their actions are based on judgments and policies which involve numerous political and economic factors which are unpredictable. Recent interest rate and monetary policies have been unprecedented and may continue to be so. The Fund attempts to track a portfolio benchmark. The performance of the Fund may not closely track the performance of the benchmark portfolio for a variety of reasons. For example, the Fund incurs operating expenses and portfolio transaction costs not incurred by the benchmark. The Fund is also required to manage cash flows and may experience operational inefficiencies the benchmark does not. In addition, the Fund may not be fully invested in the contents of its benchmark at all times or may hold securities not included in its benchmark. The Fund invests in Treasury Instruments and U.S. treasuries with exposure to different maturity dates. Generally, the Fund’s exposure to securities with maturities of 2 and 5 years will be greater than its exposure to securities with maturities of 10 years. (b) Liquidity Risk In certain circumstances, such as the disruption of the orderly markets for the futures contracts or Financial Instruments in which the Fund invests, the Fund might not be able to dispose of certain holdings quickly or at prices that represent what the market value may have been in an orderly market. Futures and option positions cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position. The large size of the positions that the Fund may acquire increases the risk of illiquidity both by making its positions more difficult to liquidate and by potentially increasing losses while trying to do so. Such a situation may prevent the Fund from limiting losses, realizing gains or achieving a high correlation with the Benchmark Portfolio. |
Profit and Loss Allocations and
Profit and Loss Allocations and Distributions | 6 Months Ended |
Dec. 31, 2015 | |
Profit and Loss Allocations and Distributions [Abstract] | |
Profit And Loss Allocations And Distributions Disclosure [Text Block] | (7) Profit and Loss Allocations and Distributions Pursuant to the Trust Agreement, income and expenses are allocated pro rata pro rata |
Indemnifications
Indemnifications | 6 Months Ended |
Dec. 31, 2015 | |
Indemnifications [Abstract] | |
Indemnifications Disclosure [Text Block] | (8) Indemnifications The Sponsor, either in its own capacity or in its capacity as the Sponsor and on behalf of the Fund, has entered into various service agreements that contain a variety of representations, or provide indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Fund. As of December 31, 2015, the Fund had not received any claims or incurred any losses pursuant to these agreements and expects the risk of such losses to be remote. |
Termination
Termination | 6 Months Ended |
Dec. 31, 2015 | |
Termination [Abstract] | |
Termination Disclosure [Text Block] | (9) Termination The term of the Fund is perpetual unless terminated earlier in certain circumstances as described in the Prospectus. |
Net Asset Value and Financial H
Net Asset Value and Financial Highlights | 6 Months Ended |
Dec. 31, 2015 | |
Net Asset Value And Financial Highlights [Abstract] | |
Net Asset Value And Financial Highlights Disclosure [Text Block] | (10) Net Asset Value and Financial Highlights The Fund is presenting the following net asset value and financial highlights related to investment performance for a Share outstanding throughout the Three Months Ended December 31, 2015. The net investment income and total expense ratios are calculated using average net assets. The net asset value presentation is calculated by dividing the Fund’s net assets by the average daily number of Shares outstanding. The net investment income (loss) and expense ratios have been annualized. The total return is based on the change in net asset value and market value of the Shares during the period. For the Three For the Six Months Ended Months Ended December 31, December 31, 2015 2015 Net Asset Value Net asset value per Share, beginning of period $ 23.48 $ 24.24 Net investment income (loss) (.10) (.21) Net realized and unrealized gain (loss) .83 .18 Net Income (Loss) .73 (.03) Net Asset Value per Share, end of period $ 24.21 $ 24.21 Market Value per Share, end of period $ 24.23 $ 24.23 Ratios to Average Net Assets* Expense Ratio*** 1.76 % 1.74 % Expense Ratio before Waiver / Assumption 5.05 % 5.91 % Net Investment Income (Loss) (1.70) % (1.71) % Total Return, at Net Asset Value** 3.11 % (0.12) % Total Return, at Market Value** 3.02 % (0.82) % * Percentages are annualized. ** Percentages are not annualized. *** As of February 19, 2015 Fund expenses have been capped at 1.50 |
New Accounting Pronouncements
New Accounting Pronouncements | 6 Months Ended |
Dec. 31, 2015 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
New Accounting Pronouncements and Changes in Accounting Principles [Text Block] | ( 11) New Accounting Pronouncements In May 2015, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2015-07 “Disclosure for Investments in Certain Entities that Calculate Net Asset Value per Share (or Its Equivalent)”. The amendments in ASU No. 2015-07 remove the requirement to categorize within the fair value hierarchy investments measured using the NAV practical expedient. The ASU also removes certain disclosure requirements for investments that qualify, but do not utilize, the NAV practical expedient. The amendments in the ASU are effective for fiscal years beginning after December 15, 2015, and interim periods within those fiscal years. Management is currently evaluating the impact these changes will have on the Funds’ financial statements and related disclosures. |
Summary of Significant Accoun21
Summary of Significant Accounting Policies (Policies) | 6 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Basis of Accounting, Policy [Policy Text Block] | (a) Basis of Accounting The accompanying financial statements of the Fund have been prepared in conformity with U.S. generally accepted accounting principles. The accompanying financial statements are unaudited, but in the opinion of management, all adjustments (which include normal recurring adjustments) considered necessary to present fairly the financial statements have been made. The Fund’s Prospectus dated January 26, 2016 should be read in conjunction with these interim financial statements. Interim period results are not necessarily indicative of results for a full-year period. |
Use of Estimates, Policy [Policy Text Block] | (b) Use of Estimates The preparation of the financial statements in conformity with U.S. generally accepted accounting principles requires management to make 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 accompanying notes. Actual results could differ from those estimates. There were no significant estimates used in the preparation of the financial statements. |
Cash and Cash Equivalents, Policy [Policy Text Block] | (c) Cash Cash, when shown in the Statements of Financial Condition, represents non-segregated cash with the custodian and does not include short-term investments. |
Cash Held by Broker [Policy Text Block] | (d) Cash Held by Broker Sit is registered as a “commodity trading advisor” and acts as such for the Fund. Sit is a subsidiary of Sit Investment Associates, Inc. The Fund’s arrangement with SG Americas Securities, LLC, the Fund’s FCM, requires the Fund to meet its variation margin requirement related to the price movements, both positive and negative, on futures contracts held by the Fund by keeping cash on deposit with the Commodity Broker. These amounts are shown as Segre1gated cash held by broker in the Statements of Financial Condition. The Fund deposits cash and United States Treasury Obligations with the FCM subject to Commodity Futures Trading Commission (the “CFTC”) regulations and various exchange and broker requirements. The combination of the Fund’s deposits with its FCM of cash and United States Treasury Obligations and the unrealized gain or loss on open futures contracts (variation margin) represents the Fund’s overall equity in its brokerage trading account. The Fund uses its cash held by the FCM to satisfy variation margin requirements. The Fund earns interest on its cash deposited with the FCM and is recorded on the accrual basis. |
Fiscal Period, Policy [Policy Text Block] | (e) Final Net Asset Value for Fiscal Period The calculation time of the Fund’s final net asset value for creation and redemption of Fund shares for the three months ended December 31, 2015 was at 4:00 p.m. Eastern Time. Although the Fund’s shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, the 4:00 p.m. Eastern Time represented the final opportunity to transact in creation or redemption baskets for the three months ended December 31, 2015. Fair value per share is determined at the close of the NYSE Arca. For financial reporting purposes, the Fund values its investment positions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements differ from those used in the calculation of the Fund’s final creation/redemption NAV at December 31, 2015. |
Investment, Policy [Policy Text Block] | (f) Investment Valuation Short-term investments, excluding U.S. Treasury Bills, are carried at amortized cost, which approximates fair value. U.S. Treasury Bills are valued as determined by an independent pricing service based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. Futures contracts are valued at the last settled price on the applicable exchange on which that futures contract trades. |
Fair Value of Financial Instruments, Policy [Policy Text Block] | (g) Financial Instruments and Fair Value The Fund discloses the fair value of its investments in accordance with the Financial Accounting Standards Board (FASB) fair value measurement and disclosure guidance which requires a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The disclosure requirements establish a fair value hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent to the Fund (observable inputs); and (2) the Fund’s own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the disclosure requirements hierarchy are as follows: Level I: Quoted prices (unadjusted) in active markets for identical assets and liabilities that the reporting entity has the ability to access at the measurement date. Level II: Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II inputs include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated inputs). Level III: Unobservable pricing input at the measurement date for the asset or liability. Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available. In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest input level that is significant to the fair value measurement in its entirety. Fair value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances indicate that a transaction is not orderly. December 31, 2015 (unaudited) Short-Term Written Future Total Level I Quoted Prices $ 16,426,398 a $ (26,954) b $ 92,976 c $ 16,492,420 a Included in Investments in short-term securities in the Statement of Financial Condition. b Included in Options Written, at fair value in the Statement of Financial Condition. c Included in Receivable on open futures contracts in the Statement of Financial Condition. June 30, 2015 (audited) Short-Term Written Future Total Level I Quoted Prices $ 5,678,452 a $ (27,070) b $ 6,608 c $ 5,657,990 a Included in Investments in short-term securities in the Statement of Financial Condition. b Included in Options Written, at fair value in the Statement of Financial Condition. c Included in Receivable and Payable on open futures contracts in the Statement of Financial Condition. There were no Level II or Level III type holdings at December 31, 2015 or June 30, 2015 and during the three and six months ended December 31, 2015, respectively. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities. |
Investment Transactions and Related Income [Policy Text Block] | (h) Investment Transactions and Related Income Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis, and marked to market daily. Unrealized gain/loss on open futures contracts is reflected in Receivable/Payable on open futures contracts in the Statements of Financial Condition and the change in the unrealized gain/loss between periods is reflected in the Statements of Operations. Discounts on short-term securities purchased are accreted daily and reflected as Interest Income in the Statements of Operations. |
Income Tax, Policy [Policy Text Block] | (i) Federal Income Taxes The Fund is registered as a Delaware statutory trust and is treated as a partnership for U.S. federal income tax purposes. Accordingly, the Fund does not expect to incur U.S. federal income tax liability; rather, each beneficial owner is required to take into account their allocable share of the Fund’s income, gain, loss, deductions and other items for the Fund’s taxable year ending with or within the beneficial owner’s taxable year. Management of the Fund has reviewed the open tax year and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management will monitor its tax positions taken to determine if adjustments to its conclusions are necessary based on factors including, but not limited to, further implementation of guidance expected from the Financial Accounting Standards Board and on-going analysis of tax law, regulation, and interpretations thereof. |
Summary of Significant Accoun22
Summary of Significant Accounting Policies (Tables) | 6 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Fair Value, by Balance Sheet Grouping [Table Text Block] | The following tables summarize the valuation of investments at December 31, 2015 and at June 30, 2015 using the fair value hierarchy: December 31, 2015 (unaudited) Short-Term Written Future Total Level I Quoted Prices $ 16,426,398 a $ (26,954) b $ 92,976 c $ 16,492,420 a Included in Investments in short-term securities in the Statement of Financial Condition. b Included in Options Written, at fair value in the Statement of Financial Condition. c Included in Receivable on open futures contracts in the Statement of Financial Condition. June 30, 2015 (audited) Short-Term Written Future Total Level I Quoted Prices $ 5,678,452 a $ (27,070) b $ 6,608 c $ 5,657,990 a Included in Investments in short-term securities in the Statement of Financial Condition. b Included in Options Written, at fair value in the Statement of Financial Condition. c Included in Receivable and Payable on open futures contracts in the Statement of Financial Condition. |
Investments (Tables)
Investments (Tables) | 6 Months Ended |
Dec. 31, 2015 | |
Investments [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | Assets Derivatives Liability Derivatives Derivatives Statements of Unrealized Statements of Unrealized Interest Rate Risk Receivable on open futures contracts $ 92,976 * Interest Rate Risk Written options, at fair value $ (26,954) ** * Represents cumulative appreciation of futures contracts as reported in the Statements of Financial Condition. ** Represents cumulative depreciation of options contracts as reported in the Statements of Financial Condition. Asset Derivatives Liability Derivatives Derivatives Statements of Unrealized Statements of Unrealized Interest Rate Risk Receivable on open futures contracts $ 9,187 * Payable on open futures contracts $ (2,579 )** Interest Rate Risk Written options, at fair value $ (27,070 )*** * Represents cumulative appreciation of futures contracts as reported in the Statements of Financial Condition. ** Represents cumulative depreciation of futures contracts as reported in the Statements of Financial Condition. *** Represents cumulative depreciation of options contracts as reported in the Statements of Financial Condition. |
Schedule of Derivative Instruments, Effect on Other Comprehensive Income (Loss) [Table Text Block] | The Effect of Derivative Instruments on the Statements of Operations For the Three Months Ended December 31, 2015 Derivatives Location of Gain(Loss) on Derivatives Realized Gain Change in Unrealized gain (loss) Interest Rate Risk Net realized gain (loss) on futures and options contracts $ 71,624 $ 234,953 The futures and options contracts open at December 31, 2015 are indicative of the activity for the three months ended December 31, 2015. The Effect of Derivative Instruments on the Statements of Operations For the Six Months Ended December 31, 2015 Derivatives Location of Gain(Loss) on Derivatives Realized Gain Change in Unrealized gain (loss) Interest Rate Risk Net realized gain (loss) on futures and options contracts $ (7,215) $ 122,742 The futures and options contracts open at December 31, 2015 are indicative of the activity for the six months ended December 31, 2015. |
Creations And Redemptions (Tabl
Creations And Redemptions (Tables) | 6 Months Ended |
Dec. 31, 2015 | |
Creations and Redemptions [Abstract] | |
Schedule Of Share Transactions [Table Text Block] | Summary of Share Transactions for the Three Months Ended December 31, 2015 Shares Paid in Capital Shares Sold 450,000 $ 10,848,800 Shares Redeemed - - Net Increase (Decrease) 450,000 $ 10,848,800 Summary of Share Transactions for the Six Months Ended December 31, 2015 Shares Paid in Capital Shares Sold 500,000 $ 12,052,900 Shares Redeemed - - Net Increase (Decrease) 500,000 $ 12,052,900 |
Net Asset Value and Financial25
Net Asset Value and Financial Highlights (Tables) | 6 Months Ended |
Dec. 31, 2015 | |
Net Asset Value And Financial Highlights [Abstract] | |
Schedule Of Net Asset Value And Ratios To Average Net Assets [Table Text Block] | An individual investor’s return and ratios may vary based on the timing of their transactions in Fund Shares. For the Three For the Six Months Ended Months Ended December 31, December 31, 2015 2015 Net Asset Value Net asset value per Share, beginning of period $ 23.48 $ 24.24 Net investment income (loss) (.10) (.21) Net realized and unrealized gain (loss) .83 .18 Net Income (Loss) .73 (.03) Net Asset Value per Share, end of period $ 24.21 $ 24.21 Market Value per Share, end of period $ 24.23 $ 24.23 Ratios to Average Net Assets* Expense Ratio*** 1.76 % 1.74 % Expense Ratio before Waiver / Assumption 5.05 % 5.91 % Net Investment Income (Loss) (1.70) % (1.71) % Total Return, at Net Asset Value** 3.11 % (0.12) % Total Return, at Market Value** 3.02 % (0.82) % * Percentages are annualized. ** Percentages are not annualized. *** As of February 19, 2015 Fund expenses have been capped at 1.50 |
Organization (Details Textual)
Organization (Details Textual) - USD ($) | Jan. 08, 2015 | Sep. 26, 2014 | Dec. 31, 2015 | Dec. 31, 2015 |
Common Unit, Issued | 50,000 | 50,000 | ||
Maximum [Member] | ||||
Percentage Of Funds Asset | 15.00% | |||
Percentage Of Treasury Instrument | 10.00% | |||
Minimum [Member] | ||||
Percentage Of Funds Asset | 5.00% | |||
Percentage Of Treasury Instrument | 3.00% | |||
Two Year Maturity Treasury Instruments [Member] | Minimum [Member] | ||||
Expected Range for duration weighted percentage | 30.00% | |||
Five Year Maturity Treasury Instruments [Member] | Maximum [Member] | ||||
Expected Range for duration weighted percentage | 70.00% | |||
Ten Year Maturity Treasury Instruments [Member] | Maximum [Member] | ||||
Expected Range for duration weighted percentage | 25.00% | |||
Ten Year Maturity Treasury Instruments [Member] | Minimum [Member] | ||||
Expected Range for duration weighted percentage | 5.00% | |||
ETF Managers Capital LLC [Member] | ||||
Proceeds from Contributed Capital | $ 1,000 | |||
Number Of shares Exchanged | 40 | |||
Share Price | $ 25 | |||
Sit Fixed Income Advisors II, LLC [Member] | ||||
Proceeds from Contributed Capital | $ 5,000,000 | |||
Share Price | $ 25 | |||
Sit Fixed Income Advisors II, LLC [Member] | Maximum [Member] | ||||
Percentage of fee paid | 0.50% | 0.50% | ||
Sit Fixed Income Advisors II, LLC [Member] | Minimum [Member] | ||||
Percentage of fee paid | 0.35% | 0.35% |
Summary of Significant Accoun27
Summary of Significant Accounting Policies (Details) - Fair Value, Inputs, Level 1 [Member] - USD ($) | Dec. 31, 2015 | Jun. 30, 2015 | |||
Short-Term Investments and Purchased Options | [1] | $ 16,426,398 | $ 5,678,452 | ||
Written Options Contracts | [2] | (26,954) | (27,070) | ||
Future Contracts | 92,976 | [3] | 6,608 | [4] | |
Total | $ 16,492,420 | $ 5,657,990 | |||
[1] | Included in Investments in short-term securities in the Statement of Financial Condition. | ||||
[2] | Included in Options Written, at fair value in the Statement of Financial Condition. | ||||
[3] | Included in Receivable on open futures contracts in the Statement of Financial Condition. | ||||
[4] | Included in Receivable and Payable on open futures contracts in the Statement of Financial Condition. |
Investments (Details)
Investments (Details) - Interest Rate Risk [Member] - USD ($) | Dec. 31, 2015 | Jun. 30, 2015 | |
Receivable on open futures contracts | [1] | $ 92,976 | $ 9,187 |
Payable on open futures contracts | [2] | (2,579) | |
Written options, at fair value | [3] | $ (26,954) | $ (27,070) |
[1] | Represents cumulative appreciation of futures contracts as reported in the Statements of Financial Condition. | ||
[2] | Represents cumulative depreciation of futures contracts as reported in the Statements of Financial Condition. | ||
[3] | Represents cumulative depreciation of options contracts as reported in the Statements of Financial Condition. |
Investments (Details 1)
Investments (Details 1) - Interest Rate Risk [Member] - USD ($) | 3 Months Ended | 6 Months Ended |
Dec. 31, 2015 | Dec. 31, 2015 | |
Location of Gain(Loss) on Derivatives | Net realized gain (loss) on futures and options contracts and/or Change in unrealized gain (loss) on futures and options contracts | Net realized gain (loss) on futures and options contracts and/or Change in unrealized gain (loss) on futures and options contracts |
Realized Gain (Loss) on Derivatives Recognized in Income | $ 71,624 | $ (7,215) |
Change in Unrealized gain (loss) on Derivatives Recognized in Income | $ 234,953 | $ 122,742 |
Agreements (Details Textual)
Agreements (Details Textual) - USD ($) | 1 Months Ended | 3 Months Ended | 6 Months Ended | ||
Feb. 19, 2016 | Jan. 27, 2016 | Nov. 30, 2015 | Dec. 31, 2015 | Dec. 31, 2015 | |
Advisory Services Management Fees Percentage | 0.15% | ||||
Fund Expenses Annual Rate Percentage | 1.50% | ||||
Assets Under Management Percentage | 0.05% | 0.05% | |||
Percentage of Brokerage Commissions and Fees | 0.118% | ||||
Trustee Fees | $ 1,256 | $ 2,512 | |||
Percentage of funds average daily net assets | 1.50% | ||||
ETF Managers Capital LLC [Member] | |||||
Fund Expenses Annual Rate Percentage | 0.50% | 0.35% | |||
Waiver Of Commodity Trading Advisor Fees | 8,622 | $ 14,415 | |||
Expenses Absorbed By Sponsor | 72,609 | ||||
SIT RISING RATE ETF [Member] | |||||
Waiver Of Commodity Trading Advisor Fees | 8,622 | 14,415 | |||
Expense Related to Distribution or Servicing and Underwriting Fees | 3,770 | 7,540 | |||
Noninterest Expense Commission Expense | 6,295 | 9,923 | |||
Costs and Expenses | 124,481 | 243,345 | |||
Expenses Absorbed By Sponsor | 72,609 | 157,229 | |||
Management Fee Expense | 4,713 | 9,426 | |||
Administrative And Other Expenses Absorbed By Sponsor | 115,859 | $ 157,229 | |||
Distributor [Member] | |||||
Assets Under Management Percentage | 0.02% | ||||
Payments for Fees | $ 15,000 | ||||
Esposito Securities LLC [Member] | |||||
Assets Under Management Percentage | 0.02% | ||||
Custody Services [Member] | |||||
Assets Under Management Percentage | 0.01% | ||||
Sponsors Advisory Services [Member] | |||||
Management Fee Expense | $ 56,250 | ||||
Minimum [Member] | |||||
Accrued Professional Fees, Current | $ 50,000 | $ 45,000 | 45,000 | ||
Custody Fees | $ 4,800 | $ 4,800 | |||
Minimum [Member] | Esposito Securities LLC [Member] | |||||
Payments for Fees | $ 15,000 |
Creations and Redemptions (Deta
Creations and Redemptions (Details) - SIT RISING RATE ETF [Member] - USD ($) | 3 Months Ended | 6 Months Ended |
Dec. 31, 2015 | Dec. 31, 2015 | |
Shares Sold, Shares | 450,000 | 500,000 |
Shares Redeemed, Shares | 0 | 0 |
Net Increase (Decrease), Shares | 450,000 | 500,000 |
Addition of shares, respectively | $ 10,848,800 | $ 12,052,900 |
Shares Redeemed, Paid in Capital | 0 | 0 |
Net Increase (Decrease), Paid in Capital | $ 10,848,800 | $ 12,052,900 |
Creations and Redemptions (De32
Creations and Redemptions (Details Textual) | Dec. 31, 2015USD ($)shares |
Number Of Shares In One Or More Baskets | shares | 50,000 |
Authorized Participant Transaction Fee Per Order | $ | $ 500 |
Risk (Details Textual)
Risk (Details Textual) | 6 Months Ended |
Dec. 31, 2015 | |
Credit Risk Exposure Maturity Description | Funds exposure to securities with maturities of 2 and 5 years will be greater than its exposure to securities with maturities of 10 years. |
Net Asset Value and Financial34
Net Asset Value and Financial Highlights (Details) - $ / shares | 3 Months Ended | 6 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2015 | |||
Net Asset Value | ||||
Net asset value per Share, beginning of period | $ 23.48 | $ 24.24 | ||
Net investment income (loss) | (0.10) | (0.21) | ||
Net realized and unrealized gain (loss) | 0.83 | 0.18 | ||
Net Income (Loss) | 0.73 | (0.03) | ||
Net Asset Value per Share, end of period | 24.21 | 24.21 | ||
Market Value per Share, end of period | $ 24.23 | $ 24.23 | ||
Ratios to Average Net Assets | ||||
Expense Ratio | [1],[2] | 1.76% | 1.74% | |
Expense Ratio before Waiver / Assumption | [2] | 5.05% | 5.91% | |
Net Investment Income (Loss) | [2] | (1.70%) | (1.71%) | |
Total Return, at Net Asset Value | [3] | 3.11% | (0.12%) | [2] |
Total Return, at Market Value | [3] | 3.02% | (0.82%) | [2] |
[1] | As of February 19, 2015 Fund expenses have been capped at 1.50% of average daily net assets, plus brokerage commissions, as disclosed in Note 4(a). | |||
[2] | Percentages are annualized. | |||
[3] | Percentages are not annualized. |
Net Asset Value and Financial35
Net Asset Value and Financial Highlights (Details Textual) | Feb. 19, 2015 |
Percentage Of Fund Expenses Capped | 1.50% |