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Name | Symbol | Market | Type |
---|---|---|---|
WisdomTree Continuous Commodity Index Fund | AMEX:GCC | AMEX | Exchange Traded Fund |
Price Change | % Change | Price | High Price | Low Price | Open Price | Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.19 | 0.98% | 19.60 | 19.63 | 19.46 | 19.46 | 89,957 | 21:15:00 |
☒ |
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
☐ |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
Delaware
|
26-0151234
26-0151301
|
|
(State or Other Jurisdiction of
Incorporation or Organization)
|
(IRS Employer
Identification No.)
|
|
c/o WisdomTree Commodity Services, LLC
245 Park Avenue
35th Floor
New York, NY
|
10167
|
|
(Address of Principal Executive Offices)
|
(Zip Code)
|
Title of each class
|
Trading Symbol(s)
|
Name of each exchange on which registered
|
||
Shares
|
GCC
|
NYSE Arca, Inc.
|
Large accelerated filer | ☐ | Accelerated filer | ☒ | |||
Non-accelerated
filer
|
☐ | Smaller reporting company | ☐ | |||
Emerging growth company | ☐ |
1 | ||||
1 | ||||
1 | ||||
1 | ||||
2 | ||||
4 | ||||
6 | ||||
7 | ||||
9 | ||||
10 | ||||
10 | ||||
11 | ||||
13 | ||||
15 | ||||
16 | ||||
18 | ||||
19 | ||||
28 | ||||
36 | ||||
38 | ||||
39 | ||||
39 | ||||
39 | ||||
39 | ||||
40 | ||||
40 | ||||
40 | ||||
41 | ||||
42 |
September 30, 2020
(unaudited) |
December 31,
2019 |
|||||||
Assets:
|
|
|||||||
Cash
|
$ | 5,583,344 | $ | 1,730,680 | ||||
Cash held by broker for futures contracts (Note 3)
|
6,320,923 | 4,191,497 | ||||||
Short-term investments (cost $71,993,449 and $115,820,868 as of September 30, 2020 and December 31, 2019, respectively)
|
71,993,216 | 115,831,172 | ||||||
Net unrealized appreciation on futures contracts
|
2,976,824 | 6,162,155 | ||||||
|
|
|
|
|||||
Total Assets
|
86,874,307 | 127,915,504 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity:
|
|
|||||||
Net management fee payable to related party (Note 8)
|
54,117 | 79,661 | ||||||
|
|
|
|
|||||
Total Liabilities
|
54,117 | 79,661 | ||||||
|
|
|
|
|||||
Shareholders’ equity:
|
|
|||||||
General Units:
|
|
|||||||
Paid in capital—50 units issued and outstanding (unlimited authorized)
|
1,500 | 1,500 | ||||||
Accumulated deficit
|
(632 | ) | (560 | ) | ||||
|
|
|
|
|||||
Total General Units
|
868 | 940 | ||||||
|
|
|
|
|||||
Limited Units:
|
|
|||||||
Paid in capital—5,000,000 and 6,800,000 redeemable shares issued and outstanding (unlimited authorized) as of September 30, 2020 and December 31, 2019, respectively
|
232,922,437 | 262,345,685 | ||||||
Accumulated deficit
|
(146,103,115 | ) | (134,510,782 | ) | ||||
|
|
|
|
|||||
Total Limited Units
|
86,819,322 | 127,834,903 | ||||||
|
|
|
|
|||||
Total shareholders’ equity
|
86,820,190 | 127,835,843 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 86,874,307 | $ | 127,915,504 | ||||
|
|
|
|
|||||
Net asset value per share
|
|
|||||||
General Units
|
$ | 17.36 | $ | 18.80 | ||||
|
|
|
|
|||||
Limited Units
|
$ | 17.36 | $ | 18.80 | ||||
|
|
|
|
Description
|
Percentage
of Net Assets |
Fair
Value |
Face
Amount |
|||||||||||||
U.S. Treasury Obligations
|
||||||||||||||||
U.S. Treasury Bills
|
||||||||||||||||
0.12
%,
10/8/20*
(a)
|
16.13 | % | $ | 13,999,854 | $ | 14,000,000 | ||||||||||
0.06%, 10/29/20*
|
20.73 | 17,998,845 | 18,000,000 | |||||||||||||
0.09%, 11/19/20*
|
23.03 | 19,997,822 | 20,000,000 | |||||||||||||
0.11%, 12/10/20*
|
23.03 | 19,996,695 | 20,000,000 | |||||||||||||
|
|
|
|
|
|
|||||||||||
Total U.S. Treasury Obligations (Cost: $71,993,449)
|
|
82.92
|
%
|
$
|
71,993,216
|
|
$
|
72,000,000
|
|
|||||||
|
|
|
|
|
|
|||||||||||
Description
|
Contracts
|
Unrealized
Appreciation/ (Depreciation) Percentage of Net Assets |
Unrealized
Appreciation/ (Depreciation) |
Notional
Value |
||||||||||||
Futures Contracts Long Exposure (Exchange-Traded)
|
||||||||||||||||
Cocoa
|
||||||||||||||||
expiration date 12/15/20
|
68 | 0.16 | % | $ | 141,930 | $ | 1,731,280 | |||||||||
expiration date 3/16/21
|
67 | 0.05 | 39,010 | 1,693,090 | ||||||||||||
expiration date 5/13/21
|
67 | 0.05 | 39,880 | 1,687,730 | ||||||||||||
Coffee “C”
|
||||||||||||||||
expiration date 12/18/20
|
40 | (0.01 | ) | (7,969 | ) | 1,664,250 | ||||||||||
expiration date 3/19/21
|
40 | (0.11 | ) | (96,431 | ) | 1,690,500 | ||||||||||
expiration date 5/18/21
|
41 | (0.11 | ) | (91,987 | ) | 1,754,288 | ||||||||||
Copper
|
||||||||||||||||
expiration date 12/29/20
|
23 | 0.16 | 141,338 | 1,743,688 | ||||||||||||
expiration date 3/29/21
|
22 | 0.08 | 68,800 | 1,671,450 | ||||||||||||
expiration date 5/26/21
|
22 | 0.08 | 67,763 | 1,673,375 | ||||||||||||
Corn
|
||||||||||||||||
expiration date 12/14/20
|
88 | 0.20 | 173,563 | 1,667,600 | ||||||||||||
expiration date 3/12/21
|
88 | 0.22 | 187,037 | 1,708,300 | ||||||||||||
expiration date 5/14/21
|
88 | 0.20 | 175,775 | 1,731,400 | ||||||||||||
Cotton No. 2
|
||||||||||||||||
expiration date 12/8/20
|
51 | 0.17 | 149,195 | 1,677,645 | ||||||||||||
expiration date 3/9/21
|
51 | 0.14 | 120,655 | 1,696,770 | ||||||||||||
expiration date 5/6/21
|
51 | 0.07 | 64,785 | 1,715,385 | ||||||||||||
Gold 100 Ounce
|
||||||||||||||||
expiration date 12/29/20
|
9 | 0.07 | 58,090 | 1,705,950 | ||||||||||||
expiration date 2/24/21
|
9 | 0.09 | 74,930 | 1,712,340 | ||||||||||||
expiration date 4/28/21
|
9 | (0.07 | ) | (57,790 | ) | 1,717,020 | ||||||||||
Lean Hogs
|
||||||||||||||||
expiration date 12/14/20
|
63 | 0.26 | 226,220 | 1,590,120 | ||||||||||||
expiration date 2/12/21
|
63 | 0.21 | 177,760 | 1,713,600 | ||||||||||||
expiration date 4/15/21
|
62 | 0.15 | 129,610 | 1,786,220 | ||||||||||||
Live Cattle
|
||||||||||||||||
expiration date 12/31/20
|
37 | 0.14 | 117,150 | 1,662,780 | ||||||||||||
expiration date 2/26/21
|
37 | 0.12 | 102,050 | 1,714,950 | ||||||||||||
expiration date 4/30/21
|
36 | 0.01 | 6,120 | 1,695,960 | ||||||||||||
Natural Gas
|
||||||||||||||||
expiration date 11/25/20
|
33 | 0.07 | 62,260 | 1,028,610 | ||||||||||||
expiration date 12/29/20
|
33 | 0.08 | 71,280 | 1,078,110 | ||||||||||||
expiration date 1/27/21
|
33 | 0.04 | 38,760 | 1,062,930 | ||||||||||||
expiration date 2/24/21
|
33 | 0.05 | 40,490 | 1,022,670 | ||||||||||||
expiration date 3/29/21
|
32 | 0.04 | 30,970 | 894,080 | ||||||||||||
NY Harbor ULSD
|
||||||||||||||||
expiration date 11/30/20
|
21 | (0.07 | ) | (57,658 | ) | 1,027,971 | ||||||||||
expiration date 12/31/20
|
21 | (0.06 | ) | (55,948 | ) | 1,041,554 | ||||||||||
expiration date 1/29/21
|
20 | (0.10 | ) | (86,453 | ) | 1,003,800 | ||||||||||
expiration date 2/26/21
|
20 | (0.10 | ) | (89,477 | ) | 1,013,040 | ||||||||||
expiration date 3/31/21
|
20 | (0.11 | ) | (99,128 | ) | 1,017,744 | ||||||||||
Platinum
|
||||||||||||||||
expiration date 1/27/21
|
56 | (0.08 | ) | (68,185 | ) | 2,545,760 | ||||||||||
expiration date 4/28/21
|
56 | (0.16 | ) | (135,015 | ) | 2,564,240 |
Description
|
Contracts
|
Unrealized
Appreciation/ (Depreciation) Percentage of Net Assets |
Unrealized
Appreciation/ (Depreciation) |
Notional
Value |
||||||||||||
Silver
|
||||||||||||||||
expiration date 12/29/20
|
15 | 0.13 | % | $ | 116,295 | $ | 1,762,050 | |||||||||
expiration date 3/29/21
|
14 | (0.28 | ) | (239,070 | ) | 1,653,890 | ||||||||||
expiration date 5/26/21
|
14 | (0.22 | ) | (189,705 | ) | 1,660,680 | ||||||||||
Soybean
|
||||||||||||||||
expiration date 1/14/21
|
34 | 0.26 | 224,962 | 1,746,325 | ||||||||||||
expiration date 3/12/21
|
33 | 0.22 | 191,075 | 1,684,650 | ||||||||||||
expiration date 5/14/21
|
33 | 0.21 | 184,575 | 1,680,525 | ||||||||||||
Soybean Oil
|
||||||||||||||||
expiration date 12/14/20
|
64 | 0.16 | 139,758 | 1,272,192 | ||||||||||||
expiration date 1/14/21
|
64 | 0.14 | 123,570 | 1,274,496 | ||||||||||||
expiration date 3/12/21
|
64 | 0.07 | 64,332 | 1,277,568 | ||||||||||||
expiration date 5/14/21
|
64 | 0.08 | 66,012 | 1,281,024 | ||||||||||||
Sugar No. 11
|
||||||||||||||||
expiration date 2/26/21
|
171 | 0.15 | 134,042 | 2,587,435 | ||||||||||||
expiration date 4/30/21
|
171 | 0.03 | 24,651 | 2,531,894 | ||||||||||||
Wheat
|
||||||||||||||||
expiration date 12/14/20
|
59 | 0.18 | 158,538 | 1,705,100 | ||||||||||||
expiration date 3/12/21
|
58 | 0.22 | 187,862 | 1,692,875 | ||||||||||||
expiration date 5/14/21
|
58 | 0.20 | 176,087 | 1,700,125 | ||||||||||||
WTI Crude Oil
|
||||||||||||||||
expiration date 11/20/20
|
25 | 0.04 | 35,360 | 1,011,750 | ||||||||||||
expiration date 12/21/20
|
25 | 0.03 | 28,950 | 1,019,750 | ||||||||||||
expiration date 1/20/21
|
25 | (0.04 | ) | (37,210 | ) | 1,028,250 | ||||||||||
expiration date 2/22/21
|
25 | (0.04 | ) | (39,050 | ) | 1,036,750 | ||||||||||
expiration date 3/22/21
|
25 | (0.04 | ) | (33,590 | ) | 1,044,500 | ||||||||||
|
|
|
|
|
|
|||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded)
|
|
|
3.43
|
%
|
$
|
2,976,824
|
|
$
|
86,758,029
|
|
||||||
|
|
|
|
|
|
* |
Interest rate shown reflects the yield to maturity at time of purchase.
|
(a)
|
All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $13,999,854 as of September 30, 2020.
|
Description
|
Percentage
of Net Assets |
Fair
Value |
Face
Amount |
|||||||||||||
U.S. Treasury Obligations
|
||||||||||||||||
U.S. Treasury Bills
|
||||||||||||||||
1.69%, 1/2/20*
|
22.68 | % | $ | 29,000,000 | $ | 29,000,000 | ||||||||||
1.65%, 1/23/20*
|
22.67 | 28,975,217 | 29,000,000 | |||||||||||||
1.55%,
2/20/20*
(a)
|
22.64 | 28,940,397 | 29,000,000 | |||||||||||||
1.57%, 3/12/20*
|
22.62 | 28,915,558 | 29,000,000 | |||||||||||||
|
|
|
|
|
|
|||||||||||
Total U.S. Treasury Obligations (Cost: $115,820,868)
|
|
90.61
|
%
|
$
|
115,831,172
|
|
$
|
116,000,000
|
|
|||||||
|
|
|
|
|
|
|||||||||||
Description
|
Contracts
|
Unrealized
Appreciation/ (Depreciation) Percentage of Net Assets |
Unrealized
Appreciation/ (Depreciation) |
Notional
Value |
||||||||||||
Futures Contracts Long Exposure (Exchange-Traded)
|
||||||||||||||||
Cocoa
|
||||||||||||||||
expiration date 3/16/20
|
98 | 0.12 | % | $ | 155,530 | $ | 2,489,200 | |||||||||
expiration date 5/13/20
|
99 | 0.12 | 159,550 | 2,515,590 | ||||||||||||
expiration date 7/16/20
|
99 | 0.04 | 45,850 | 2,510,640 | ||||||||||||
Coffee “C”
|
||||||||||||||||
expiration date 3/19/20
|
51 | 0.31 | 399,787 | 2,480,513 | ||||||||||||
expiration date 5/18/20
|
51 | 0.31 | 394,162 | 2,522,587 | ||||||||||||
expiration date 7/21/20
|
50 | 0.21 | 271,069 | 2,511,562 | ||||||||||||
Copper
|
||||||||||||||||
expiration date 3/27/20
|
36 | 0.12 | 153,663 | 2,517,300 | ||||||||||||
expiration date 5/27/20
|
36 | 0.13 | 164,163 | 2,526,750 | ||||||||||||
expiration date 7/29/20
|
35 | 0.07 | 85,050 | 2,462,688 | ||||||||||||
Corn
|
||||||||||||||||
expiration date 3/13/20
|
127 | (0.11 | ) | (143,788 | ) | 2,462,213 | ||||||||||
expiration date 5/14/20
|
127 | (0.11 | ) | (135,112 | ) | 2,506,662 | ||||||||||
expiration date 7/14/20
|
127 | 0.00 | 3,863 | 2,546,350 | ||||||||||||
Cotton No. 2
|
||||||||||||||||
expiration date 3/9/20
|
72 | 0.13 | 160,700 | 2,485,800 | ||||||||||||
expiration date 5/6/20
|
72 | 0.22 | 275,285 | 2,526,480 | ||||||||||||
expiration date 7/9/20
|
71 | 0.08 | 106,580 | 2,518,725 | ||||||||||||
Gold 100 Ounce
|
||||||||||||||||
expiration date 2/26/20
|
17 | 0.12 | 153,660 | 2,589,270 | ||||||||||||
expiration date 4/28/20
|
16 | 0.02 | 23,480 | 2,446,880 | ||||||||||||
expiration date 6/26/20
|
16 | 0.04 | 57,060 | 2,456,160 | ||||||||||||
Lean Hogs
|
||||||||||||||||
expiration date 2/14/20
|
57 | (0.00 | ) | (4,330 | ) | 1,628,490 | ||||||||||
expiration date 4/15/20
|
58 | (0.02 | ) | (23,410 | ) | 1,807,860 | ||||||||||
expiration date 6/12/20
|
57 | (0.03 | ) | (32,640 | ) | 2,038,890 | ||||||||||
expiration date 7/15/20
|
57 | (0.04 | ) | (46,170 | ) | 2,035,470 | ||||||||||
Live Cattle
|
||||||||||||||||
expiration date 2/28/20
|
51 | 0.17 | 214,010 | 2,568,870 | ||||||||||||
expiration date 4/30/20
|
50 | 0.15 | 187,730 | 2,543,500 | ||||||||||||
expiration date 6/30/20
|
50 | 0.02 | 21,140 | 2,378,000 | ||||||||||||
Natural Gas
|
||||||||||||||||
expiration date 1/29/20
|
69 | (0.17 | ) | (217,420 | ) | 1,510,410 | ||||||||||
expiration date 2/26/20
|
69 | (0.14 | ) | (181,710 | ) | 1,489,020 | ||||||||||
expiration date 3/27/20
|
69 | (0.06 | ) | (75,920 | ) | 1,482,810 | ||||||||||
expiration date 4/28/20
|
69 | (0.08 | ) | (99,440 | ) | 1,509,720 | ||||||||||
expiration date 5/27/20
|
69 | (0.07 | ) | (92,310 | ) | 1,549,740 | ||||||||||
NY Harbor ULSD
|
||||||||||||||||
expiration date 1/31/20
|
18 | 0.11 | 135,677 | 1,529,237 | ||||||||||||
expiration date 2/28/20
|
18 | 0.11 | 137,264 | 1,524,474 | ||||||||||||
expiration date 3/31/20
|
18 | 0.11 | 145,618 | 1,511,773 | ||||||||||||
expiration date 4/30/20
|
18 | 0.06 | 82,820 | 1,500,055 | ||||||||||||
expiration date 5/29/20
|
17 | 0.06 | 78,074 | 1,407,508 | ||||||||||||
Platinum
|
||||||||||||||||
expiration date 4/28/20
|
77 | 0.19 | 244,550 | 3,764,530 |
Description
|
Contracts
|
Unrealized
Appreciation/ (Depreciation) Percentage of Net Assets |
Unrealized
Appreciation/ (Depreciation) |
Notional
Value |
||||||||||||
expiration date 7/29/20
|
76 | 0.21 | % | $ | 270,210 | $ | 3,737,680 | |||||||||
Silver
|
||||||||||||||||
expiration date 3/27/20
|
28 | 0.06 | 78,295 | 2,508,940 | ||||||||||||
expiration date 5/27/20
|
28 | 0.06 | 74,040 | 2,521,260 | ||||||||||||
expiration date 7/29/20
|
27 | 0.06 | 75,760 | 2,442,015 | ||||||||||||
Soybean
|
||||||||||||||||
expiration date 3/13/20
|
52 | 0.09 | 118,475 | 2,484,300 | ||||||||||||
expiration date 5/14/20
|
52 | 0.10 | 127,738 | 2,518,750 | ||||||||||||
expiration date 7/14/20
|
51 | 0.03 | 34,225 | 2,498,363 | ||||||||||||
Soybean Oil
|
||||||||||||||||
expiration date 3/13/20
|
119 | 0.22 | 280,872 | 2,482,578 | ||||||||||||
expiration date 5/14/20
|
119 | 0.23 | 290,004 | 2,503,284 | ||||||||||||
expiration date 7/14/20
|
119 | 0.15 | 194,940 | 2,524,704 | ||||||||||||
Sugar No. 11
|
||||||||||||||||
expiration date 2/28/20
|
166 | 0.08 | 102,984 | 2,495,046 | ||||||||||||
expiration date 4/30/20
|
165 | 0.12 | 148,053 | 2,502,192 | ||||||||||||
expiration date 6/30/20
|
165 | 0.12 | 153,742 | 2,524,368 | ||||||||||||
Wheat
|
||||||||||||||||
expiration date 3/13/20
|
90 | 0.19 | 237,137 | 2,514,375 | ||||||||||||
expiration date 5/14/20
|
89 | 0.18 | 229,225 | 2,499,788 | ||||||||||||
expiration date 7/14/20
|
89 | 0.12 | 159,650 | 2,507,575 | ||||||||||||
WTI Crude Oil
|
||||||||||||||||
expiration date 1/21/20
|
25 | 0.13 | 164,900 | 1,526,500 | ||||||||||||
expiration date 2/20/20
|
25 | 0.16 | 209,410 | 1,519,250 | ||||||||||||
expiration date 3/20/20
|
25 | 0.16 | 208,020 | 1,510,250 | ||||||||||||
expiration date 4/21/20
|
25 | 0.08 | 99,900 | 1,499,250 | ||||||||||||
expiration date 5/19/20
|
24 | 0.08 | 100,490 | 1,426,560 | ||||||||||||
|
|
|
|
|
|
|||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded)
|
|
|
4.82
|
%
|
$
|
6,162,155
|
|
$
|
127,602,755
|
|
||||||
|
|
|
|
|
|
* |
Interest rate shown reflects the yield to maturity at time of purchase.
|
(a)
|
All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $9,979,447 as of December 31, 2019.
|
|
|
General Units
|
|
|
Limited Units
|
|
|
Total
|
|
|||||||||||||||||||||||||||
|
|
General
Units |
|
|
Accumulated
|
|
|
Total
General Shareholders’ |
|
|
Limited Units
|
|
|
Accumulated
|
|
|
Total
Limited Shareholders’ |
|
|
Total
Shareholders’ |
|
|||||||||||||||
|
|
Units
|
|
|
Amount
|
|
|
Deficit
|
|
|
Equity
|
|
|
Units
|
|
|
Amount
|
|
|
Deficit
|
|
|
Equity
|
|
|
Equity
|
|
|||||||||
Balance at June 30, 2020
|
|
|
50
|
|
|
$
|
1,500
|
|
|
$
|
(717
|
)
|
|
$
|
783
|
|
|
|
4,450,000
|
|
|
$
|
223,507,060
|
|
|
$
|
(153,858,424
|
)
|
|
$
|
69,648,636
|
|
|
$
|
69,649,419
|
|
Creation of Units
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
800,000
|
|
|
|
13,631,902
|
|
|
|
—
|
|
|
|
13,631,902
|
|
|
|
13,631,902
|
|
Redemption of Units
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(250,000
|
)
|
|
|
(4,216,525
|
)
|
|
|
—
|
|
|
|
(4,216,525
|
)
|
|
|
(4,216,525
|
)
|
Net Gain (Loss):
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Net Investment Loss
|
|
|
—
|
|
|
|
—
|
|
|
|
(1
|
)
|
|
|
(1
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(135,535
|
)
|
|
|
(135,535
|
)
|
|
|
(135,536
|
)
|
Net Realized Gain from Investments and Futures Contracts
|
|
|
—
|
|
|
|
—
|
|
|
|
59
|
|
|
|
59
|
|
|
|
—
|
|
|
|
—
|
|
|
|
5,568,039
|
|
|
|
5,568,039
|
|
|
|
5,568,098
|
|
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts
|
|
|
—
|
|
|
|
—
|
|
|
|
27
|
|
|
|
27
|
|
|
|
—
|
|
|
|
—
|
|
|
|
2,322,805
|
|
|
|
2,322,805
|
|
|
|
2,322,832
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Gain
|
|
|
—
|
|
|
|
—
|
|
|
|
85
|
|
|
|
85
|
|
|
|
—
|
|
|
|
—
|
|
|
|
7,755,309
|
|
|
|
7,755,309
|
|
|
|
7,755,394
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance at September 30, 2020
|
|
|
50
|
|
|
$
|
1,500
|
|
|
$
|
(632
|
)
|
|
$
|
868
|
|
|
|
5,000,000
|
|
|
$
|
232,922,437
|
|
|
$
|
(146,103,115
|
)
|
|
$
|
86,819,322
|
|
|
$
|
86,820,190
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
General Units
|
|
|
Limited Units
|
|
|
Total
|
|
|||||||||||||||||||||||||||
|
|
General
Units |
|
|
Accumulated
|
|
|
Total
General Shareholders’ |
|
|
Limited Units
|
|
|
Accumulated
|
|
|
Total
Limited Shareholders’ |
|
|
Total
Shareholders’ |
|
|||||||||||||||
|
|
Units
|
|
|
Amount
|
|
|
Deficit
|
|
|
Equity
|
|
|
Units
|
|
|
Amount
|
|
|
Deficit
|
|
|
Equity
|
|
|
Equity
|
|
|||||||||
Balance at December 31, 2019
|
|
|
50
|
|
|
$
|
1,500
|
|
|
$
|
(560
|
)
|
|
$
|
940
|
|
|
|
6,800,000
|
|
|
$
|
262,345,685
|
|
|
$
|
(134,510,782
|
)
|
|
$
|
127,834,903
|
|
|
$
|
127,835,843
|
|
Creation of Units
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
800,000
|
|
|
|
13,631,902
|
|
|
|
—
|
|
|
|
13,631,902
|
|
|
|
13,631,902
|
|
Redemption of Units
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(2,600,000
|
)
|
|
|
(43,055,150
|
)
|
|
|
—
|
|
|
|
(43,055,150
|
)
|
|
|
(43,055,150
|
)
|
Net Gain (Loss):
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Net Investment
Income (
Loss
)
|
|
|
—
|
|
|
|
—
|
|
|
|
2
|
|
|
|
2
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(12,458
|
)
|
|
|
(12,458
|
)
|
|
|
(12,456
|
)
|
Net Realized Loss from Investments and Futures Contracts
|
|
|
—
|
|
|
|
—
|
|
|
|
(84
|
)
|
|
|
(84
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(8,383,997
|
)
|
|
|
(8,383,997
|
)
|
|
|
(8,384,081
|
)
|
Net
Increase (
Decrease
)
in Unrealized Appreciation/Depreciation from Investments and Futures Contracts
|
|
|
—
|
|
|
|
—
|
|
|
|
10
|
|
|
|
10
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(3,195,878
|
)
|
|
|
(3,195,878
|
)
|
|
|
(3,195,868
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Loss
|
|
|
—
|
|
|
|
—
|
|
|
|
(72
|
)
|
|
|
(72
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(11,592,333
|
)
|
|
|
(11,592,333
|
)
|
|
|
(11,592,405
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance at September 30, 2020
|
|
|
50
|
|
|
$
|
1,500
|
|
|
$
|
(632
|
)
|
|
$
|
868
|
|
|
|
5,000,000
|
|
|
$
|
232,922,437
|
|
|
$
|
(146,103,115
|
)
|
|
$
|
86,819,322
|
|
|
$
|
86,820,190
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
General Units
|
Limited Units
|
Total
|
||||||||||||||||||||||||||||||||||
General Units
|
Accumulated
|
Total
General Shareholders’ |
Limited Units
|
Accumulated
|
Total
Limited Shareholders’ |
Total
Shareholders’ |
||||||||||||||||||||||||||||||
Units
|
Amount
|
Deficit
|
Equity
|
Units
|
Amount
|
Deficit
|
Equity
|
Equity
|
||||||||||||||||||||||||||||
Balance at June 30, 2019
|
50 | $ | 1,500 | $ | (608 | ) | $ | 892 | 7,250,000 | $ | 269,869,499 | $ | (140,475,208 | ) | $ | 129,394,291 | $ | 129,395,183 | ||||||||||||||||||
Creation of Units
|
— | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units
|
— | — | — | — | (750,000 | ) | (12,894,574 | ) | — | (12,894,574 | ) | (12,894,574 | ) | |||||||||||||||||||||||
Net Gain (Loss):
|
||||||||||||||||||||||||||||||||||||
Net Investment Income
|
— | — | 3 | 3 | — | — | 399,206 | 399,206 | 399,209 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts
|
— | — | (26 | ) | (26 | ) | — | — | (3,691,708 | ) | (3,691,708 | ) | (3,691,734 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts
|
— | — | 9 | 9 | — | — | 902,168 | 902,168 | 902,177 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Loss
|
— | — | (14 | ) | (14 | ) | — | — | (2,390,334 | ) | (2,390,334 | ) | (2,390,348 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Balance at September 30, 2019
|
50 | $ | 1,500 | $ | (622 | ) | $ | 878 | 6,500,000 | $ | 256,974,925 | $ | (142,865,542 | ) | $ | 114,109,383 | $ | 114,110,261 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
General Units
|
Limited Units
|
Total
|
||||||||||||||||||||||||||||||||||
General Units
|
Accumulated
|
Total
General Shareholders’ |
Limited Units
|
Accumulated
|
Total
Limited Shareholders’ |
Total
Shareholders’ |
||||||||||||||||||||||||||||||
Units
|
Amount
|
Deficit
|
Equity
|
Units
|
Amount
|
Deficit
|
Equity
|
Equity
|
||||||||||||||||||||||||||||
Balance at December 31, 2018
|
50 | $ | 1,500 | $ | (625 | ) | $ | 875 | 8,850,000 | $ | 298,946,484 | $ | (144,092,358 | ) | $ | 154,854,126 | $ | 154,855,001 | ||||||||||||||||||
Creation of Units
|
— | — | — | — | 600,000 | 10,509,822 | — | 10,509,822 | 10,509,822 | |||||||||||||||||||||||||||
Redemption of Units
|
— | — | — | — | (2,950,000 | ) | (52,481,381 | ) | — | (52,481,381 | ) | (52,481,381 | ) | |||||||||||||||||||||||
Net Gain (Loss):
|
||||||||||||||||||||||||||||||||||||
Net Investment Income
|
— | — | 9 | 9 | — | — | 1,472,191 | 1,472,191 | 1,472,200 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts
|
— | — | (57 | ) | (57 | ) | — | — | (8,310,880 | ) | (8,310,880 | ) | (8,310,937 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts
|
— | — | 51 | 51 | — | — | 8,065,505 | 8,065,505 | 8,065,556 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Gain
|
— | — | 3 | 3 | — | — | 1,226,816 | 1,226,816 | 1,226,819 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Balance at September 30, 2019
|
50 | $ | 1,500 | $ | (622 | ) | $ | 878 | 6,500,000 | $ | 256,974,925 | $ | (142,865,542 | ) | $ | 114,109,383 | $ | 114,110,261 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2020
|
2019
|
|||||||
Cash flows from operating activities
|
||||||||
Net Gain (Loss)
|
$ | (11,592,405 | ) | $ | 1,226,819 | |||
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities:
|
||||||||
Purchases of investment securities
|
(240,644,674 | ) | (410,423,066 | ) | ||||
Proceeds from sales/maturities of investment securities
|
284,953,521 | 446,912,018 | ||||||
Net accretion of discount
|
(466,988 | ) | (2,204,488 | ) | ||||
Net realized gain on investment securities
|
(14,440 | ) | (1,266 | ) | ||||
Net change in unrealized appreciation/depreciation from investments
|
10,537 | (13,262 | ) | |||||
Net change in unrealized appreciation/depreciation from futures contracts
|
3,185,331 | (8,052,294 | ) | |||||
Changes in assets and liabilities
|
||||||||
Decrease in liabilities:
|
||||||||
Net management fee payable to related party
|
(25,544 | ) | (24,483 | ) | ||||
|
|
|
|
|||||
Net cash provided by operating activities
|
35,405,338 | 27,419,978 | ||||||
|
|
|
|
|||||
Cash flows from financing activities
|
||||||||
Proceeds from creation of Limited Units
|
13,631,902 | 19,258,643 | ||||||
Redemption of Limited Units
|
(43,055,150 | ) | (52,481,381 | ) | ||||
|
|
|
|
|||||
Net cash used for financing activities
|
(29,423,248 | ) | (33,222,738 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
5,982,090 | (5,802,760 | ) | |||||
Cash* at beginning of period
|
5,922,177 | 10,193,423 | ||||||
|
|
|
|
|||||
Cash* at end of period
|
$ | 11,904,267 | $ | 4,390,663 | ||||
|
|
|
|
*
|
Includes cash held by the broker for futures contracts.
|
September 30, 2020
(unaudited) |
December 31,
2019 |
|||||||
Assets:
|
||||||||
Cash
|
$ | 5,583,344 | $ | 1,730,680 | ||||
Cash held by broker for futures contracts (Note 3)
|
6,320,923 | 4,191,497 | ||||||
Short-term investments (cost $71,993,449 and $115,820,868 as of September 30, 2020 and December 31, 2019, respectively)
|
71,993,216 | 115,831,172 | ||||||
Net unrealized appreciation on futures contracts
|
2,976,824 | 6,162,155 | ||||||
|
|
|
|
|||||
Total Assets
|
86,874,307 | 127,915,504 | ||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity:
|
||||||||
Net management fee payable to related party (Note 8)
|
54,117 | 79,661 | ||||||
|
|
|
|
|||||
Total Liabilities
|
54,117 | 79,661 | ||||||
|
|
|
|
|||||
Shareholders’ equity:
|
||||||||
General Units:
|
||||||||
Paid in capital - 50 units issued and outstanding (unlimited authorized)
|
1,500 | 1,500 | ||||||
Accumulated deficit
|
(632 | ) | (560 | ) | ||||
|
|
|
|
|||||
Total General Units
|
868 | 940 | ||||||
|
|
|
|
|||||
Limited Units:
|
||||||||
Paid in capital - 5,000,000 and 6,800,000 redeemable shares issued and outstanding (unlimited authorized) as of September 30, 2020 and December 31, 2019, respectively
|
232,922,437 | 262,345,685 | ||||||
Accumulated deficit
|
(146,103,115 | ) | (134,510,782 | ) | ||||
|
|
|
|
|||||
Total Limited Units
|
86,819,322 | 127,834,903 | ||||||
|
|
|
|
|||||
Total shareholders’ equity
|
86,820,190 | 127,835,843 | ||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity
|
$ | 86,874,307 | $ | 127,915,504 | ||||
|
|
|
|
|||||
Net asset value per share
|
||||||||
General Units
|
$ | 17.36 | $ | 18.80 | ||||
|
|
|
|
|||||
Limited Units
|
$ | 17.36 | $ | 18.80 | ||||
|
|
|
|
Description
|
Percentage
of Net
Assets
|
Fair
Value |
Face
Amount |
|||||||||||||
U.S. Treasury Obligations
|
||||||||||||||||
U.S. Treasury Bills
|
||||||||||||||||
0.12%,
10/8/20*(a)
|
16.13 | % | $ | 13,999,854 | $ | 14,000,000 | ||||||||||
0.06%, 10/29/20*
|
20.73 | 17,998,845 | 18,000,000 | |||||||||||||
0.09%, 11/19/20*
|
23.03 | 19,997,822 | 20,000,000 | |||||||||||||
0.11%, 12/10/20*
|
23.03 | 19,996,695 | 20,000,000 | |||||||||||||
|
|
|
|
|
|
|||||||||||
Total U.S. Treasury Obligations (Cost: $71,993,449)
|
|
82.92
|
%
|
$
|
71,993,216
|
|
$
|
72,000,000
|
|
|||||||
|
|
|
|
|
|
|||||||||||
Description
|
Contracts
|
Unrealized
Appreciation/ (Depreciation) Percentage of Net Assets |
Unrealized
Appreciation/ (Depreciation) |
Notional
Value |
||||||||||||
Futures Contracts Long Exposure (Exchange-Traded)
|
||||||||||||||||
Cocoa
|
||||||||||||||||
expiration date 12/15/20
|
68 | 0.16 | % | $ | 141,930 | $ | 1,731,280 | |||||||||
expiration date 3/16/21
|
67 | 0.05 | 39,010 | 1,693,090 | ||||||||||||
expiration date 5/13/21
|
67 | 0.05 | 39,880 | 1,687,730 | ||||||||||||
Coffee “C”
|
||||||||||||||||
expiration date 12/18/20
|
40 | (0.01 | ) | (7,969 | ) | 1,664,250 | ||||||||||
expiration date 3/19/21
|
40 | (0.11 | ) | (96,431 | ) | 1,690,500 | ||||||||||
expiration date 5/18/21
|
41 | (0.11 | ) | (91,987 | ) | 1,754,288 | ||||||||||
Copper
|
||||||||||||||||
expiration date 12/29/20
|
23 | 0.16 | 141,338 | 1,743,688 | ||||||||||||
expiration date 3/29/21
|
22 | 0.08 | 68,800 | 1,671,450 | ||||||||||||
expiration date 5/26/21
|
22 | 0.08 | 67,763 | 1,673,375 | ||||||||||||
Corn
|
||||||||||||||||
expiration date 12/14/20
|
88 | 0.20 | 173,563 | 1,667,600 | ||||||||||||
expiration date 3/12/21
|
88 | 0.22 | 187,037 | 1,708,300 | ||||||||||||
expiration date 5/14/21
|
88 | 0.20 | 175,775 | 1,731,400 | ||||||||||||
Cotton No. 2
|
||||||||||||||||
expiration date 12/8/20
|
51 | 0.17 | 149,195 | 1,677,645 | ||||||||||||
expiration date 3/9/21
|
51 | 0.14 | 120,655 | 1,696,770 | ||||||||||||
expiration date 5/6/21
|
51 | 0.07 | 64,785 | 1,715,385 | ||||||||||||
Gold 100 Ounce
|
||||||||||||||||
expiration date 12/29/20
|
9 | 0.07 | 58,090 | 1,705,950 | ||||||||||||
expiration date 2/24/21
|
9 | 0.09 | 74,930 | 1,712,340 | ||||||||||||
expiration date 4/28/21
|
9 | (0.07 | ) | (57,790 | ) | 1,717,020 | ||||||||||
Lean Hogs
|
||||||||||||||||
expiration date 12/14/20
|
63 | 0.26 | 226,220 | 1,590,120 | ||||||||||||
expiration date 2/12/21
|
63 | 0.21 | 177,760 | 1,713,600 | ||||||||||||
expiration date 4/15/21
|
62 | 0.15 | 129,610 | 1,786,220 | ||||||||||||
Live Cattle
|
||||||||||||||||
expiration date 12/31/20
|
37 | 0.14 | 117,150 | 1,662,780 | ||||||||||||
expiration date 2/26/21
|
37 | 0.12 | 102,050 | 1,714,950 | ||||||||||||
expiration date 4/30/21
|
36 | 0.01 | 6,120 | 1,695,960 | ||||||||||||
Natural Gas
|
||||||||||||||||
expiration date 11/25/20
|
33 | 0.07 | 62,260 | 1,028,610 | ||||||||||||
expiration date 12/29/20
|
33 | 0.08 | 71,280 | 1,078,110 | ||||||||||||
expiration date 1/27/21
|
33 | 0.04 | 38,760 | 1,062,930 | ||||||||||||
expiration date 2/24/21
|
33 | 0.05 | 40,490 | 1,022,670 | ||||||||||||
expiration date 3/29/21
|
32 | 0.04 | 30,970 | 894,080 | ||||||||||||
NY Harbor ULSD
|
||||||||||||||||
expiration date 11/30/20
|
21 | (0.07 | ) | (57,658 | ) | 1,027,971 | ||||||||||
expiration date 12/31/20
|
21 | (0.06 | ) | (55,948 | ) | 1,041,554 | ||||||||||
expiration date 1/29/21
|
20 | (0.10 | ) | (86,453 | ) | 1,003,800 | ||||||||||
expiration date 2/26/21
|
20 | (0.10 | ) | (89,477 | ) | 1,013,040 | ||||||||||
expiration date 3/31/21
|
20 | (0.11 | ) | (99,128 | ) | 1,017,744 | ||||||||||
Platinum
|
||||||||||||||||
expiration date 1/27/21
|
56 | (0.08 | ) | (68,185 | ) | 2,545,760 | ||||||||||
expiration date 4/28/21
|
56 | (0.16 | ) | (135,015 | ) | 2,564,240 |
Description
|
Contracts
|
Unrealized
Appreciation/ (Depreciation) Percentage of Net Assets |
Unrealized
Appreciation/ (Depreciation) |
Notional
Value |
||||||||||||
Silver
|
||||||||||||||||
expiration date 12/29/20
|
15 | 0.13 | % | $ | 116,295 | $ | 1,762,050 | |||||||||
expiration date 3/29/21
|
14 | (0.28 | ) | (239,070 | ) | 1,653,890 | ||||||||||
expiration date 5/26/21
|
14 | (0.22 | ) | (189,705 | ) | 1,660,680 | ||||||||||
Soybean
|
||||||||||||||||
expiration date 1/14/21
|
34 | 0.26 | 224,962 | 1,746,325 | ||||||||||||
expiration date 3/12/21
|
33 | 0.22 | 191,075 | 1,684,650 | ||||||||||||
expiration date 5/14/21
|
33 | 0.21 | 184,575 | 1,680,525 | ||||||||||||
Soybean Oil
|
||||||||||||||||
expiration date 12/14/20
|
64 | 0.16 | 139,758 | 1,272,192 | ||||||||||||
expiration date 1/14/21
|
64 | 0.14 | 123,570 | 1,274,496 | ||||||||||||
expiration date 3/12/21
|
64 | 0.07 | 64,332 | 1,277,568 | ||||||||||||
expiration date 5/14/21
|
64 | 0.08 | 66,012 | 1,281,024 | ||||||||||||
Sugar No. 11
|
||||||||||||||||
expiration date 2/26/21
|
171 | 0.15 | 134,042 | 2,587,435 | ||||||||||||
expiration date 4/30/21
|
171 | 0.03 | 24,651 | 2,531,894 | ||||||||||||
Wheat
|
||||||||||||||||
expiration date 12/14/20
|
59 | 0.18 | 158,538 | 1,705,100 | ||||||||||||
expiration date 3/12/21
|
58 | 0.22 | 187,862 | 1,692,875 | ||||||||||||
expiration date 5/14/21
|
58 | 0.20 | 176,087 | 1,700,125 | ||||||||||||
WTI Crude Oil
|
||||||||||||||||
expiration date 11/20/20
|
25 | 0.04 | 35,360 | 1,011,750 | ||||||||||||
expiration date 12/21/20
|
25 | 0.03 | 28,950 | 1,019,750 | ||||||||||||
expiration date 1/20/21
|
25 | (0.04 | ) | (37,210 | ) | 1,028,250 | ||||||||||
expiration date 2/22/21
|
25 | (0.04 | ) | (39,050 | ) | 1,036,750 | ||||||||||
expiration date 3/22/21
|
25 | (0.04 | ) | (33,590 | ) | 1,044,500 | ||||||||||
|
|
|
|
|
|
|||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded)
|
|
3.43
|
%
|
$
|
2,976,824
|
|
$
|
86,758,029
|
|
|||||||
|
|
|
|
|
|
* |
Interest rate shown reflects the yield to maturity at time of purchase.
|
(a)
|
All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $13,999,854 as of September 30, 2020.
|
Description
|
Percentage
of Net Assets |
Fair
Value |
Face
Amount |
|||||||||||||
U.S. Treasury Obligations
|
||||||||||||||||
U.S. Treasury Bills
|
||||||||||||||||
1.69%, 1/2/20*
|
22.68 | % | $ | 29,000,000 | $ | 29,000,000 | ||||||||||
1.65%, 1/23/20*
|
22.67 | 28,975,217 | 29,000,000 | |||||||||||||
1.55%,
2/20/20*(a)
|
22.64 | 28,940,397 | 29,000,000 | |||||||||||||
1.57%, 3/12/20*
|
22.62 | 28,915,558 | 29,000,000 | |||||||||||||
|
|
|
|
|
|
|||||||||||
Total U.S. Treasury Obligations (Cost: $115,820,868)
|
|
90.61
|
%
|
$
|
115,831,172
|
|
$
|
116,000,000
|
|
|||||||
|
|
|
|
|
|
|||||||||||
Description
|
Contracts
|
Unrealized
Appreciation/ (Depreciation) Percentage of Net Assets |
Unrealized
Appreciation/ (Depreciation) |
Notional
Value |
||||||||||||
Futures Contracts Long Exposure (Exchange-Traded)
|
||||||||||||||||
Cocoa
|
|
|||||||||||||||
expiration date 3/16/20
|
98 | 0.12 | % | $ | 155,530 | $ | 2,489,200 | |||||||||
expiration date 5/13/20
|
99 | 0.12 | 159,550 | 2,515,590 | ||||||||||||
expiration date 7/16/20
|
99 | 0.04 | 45,850 | 2,510,640 | ||||||||||||
Coffee “C”
|
||||||||||||||||
expiration date 3/19/20
|
51 | 0.31 | 399,787 | 2,480,513 | ||||||||||||
expiration date 5/18/20
|
51 | 0.31 | 394,162 | 2,522,587 | ||||||||||||
expiration date 7/21/20
|
50 | 0.21 | 271,069 | 2,511,562 | ||||||||||||
Copper
|
||||||||||||||||
expiration date 3/27/20
|
36 | 0.12 | 153,663 | 2,517,300 | ||||||||||||
expiration date 5/27/20
|
36 | 0.13 | 164,163 | 2,526,750 | ||||||||||||
expiration date 7/29/20
|
35 | 0.07 | 85,050 | 2,462,688 | ||||||||||||
Corn
|
||||||||||||||||
expiration date 3/13/20
|
127 | (0.11 | ) | (143,788 | ) | 2,462,213 | ||||||||||
expiration date 5/14/20
|
127 | (0.11 | ) | (135,112 | ) | 2,506,662 | ||||||||||
expiration date 7/14/20
|
127 | 0.00 | 3,863 | 2,546,350 | ||||||||||||
Cotton No. 2
|
||||||||||||||||
expiration date 3/9/20
|
72 | 0.13 | 160,700 | 2,485,800 | ||||||||||||
expiration date 5/6/20
|
72 | 0.22 | 275,285 | 2,526,480 | ||||||||||||
expiration date 7/9/20
|
71 | 0.08 | 106,580 | 2,518,725 | ||||||||||||
Gold 100 Ounce
|
||||||||||||||||
expiration date 2/26/20
|
17 | 0.12 | 153,660 | 2,589,270 | ||||||||||||
expiration date 4/28/20
|
16 | 0.02 | 23,480 | 2,446,880 | ||||||||||||
expiration date 6/26/20
|
16 | 0.04 | 57,060 | 2,456,160 | ||||||||||||
Lean Hogs
|
||||||||||||||||
expiration date 2/14/20
|
57 | (0.00 | ) | (4,330 | ) | 1,628,490 | ||||||||||
expiration date 4/15/20
|
58 | (0.02 | ) | (23,410 | ) | 1,807,860 | ||||||||||
expiration date 6/12/20
|
57 | (0.03 | ) | (32,640 | ) | 2,038,890 | ||||||||||
expiration date 7/15/20
|
57 | (0.04 | ) | (46,170 | ) | 2,035,470 | ||||||||||
Live Cattle
|
||||||||||||||||
expiration date 2/28/20
|
51 | 0.17 | 214,010 | 2,568,870 | ||||||||||||
expiration date 4/30/20
|
50 | 0.15 | 187,730 | 2,543,500 | ||||||||||||
expiration date 6/30/20
|
50 | 0.02 | 21,140 | 2,378,000 | ||||||||||||
Natural Gas
|
||||||||||||||||
expiration date 1/29/20
|
69 | (0.17 | ) | (217,420 | ) | 1,510,410 | ||||||||||
expiration date 2/26/20
|
69 | (0.14 | ) | (181,710 | ) | 1,489,020 | ||||||||||
expiration date 3/27/20
|
69 | (0.06 | ) | (75,920 | ) | 1,482,810 | ||||||||||
expiration date 4/28/20
|
69 | (0.08 | ) | (99,440 | ) | 1,509,720 | ||||||||||
expiration date 5/27/20
|
69 | (0.07 | ) | (92,310 | ) | 1,549,740 | ||||||||||
NY Harbor ULSD
|
||||||||||||||||
expiration date 1/31/20
|
18 | 0.11 | 135,677 | 1,529,237 | ||||||||||||
expiration date 2/28/20
|
18 | 0.11 | 137,264 | 1,524,474 | ||||||||||||
expiration date 3/31/20
|
18 | 0.11 | 145,618 | 1,511,773 | ||||||||||||
expiration date 4/30/20
|
18 | 0.06 | 82,820 | 1,500,055 | ||||||||||||
expiration date 5/29/20
|
17 | 0.06 | 78,074 | 1,407,508 | ||||||||||||
Platinum
|
||||||||||||||||
expiration date 4/28/20
|
77 | 0.19 | 244,550 | 3,764,530 |
Description
|
Contracts
|
Unrealized
Appreciation/ (Depreciation) Percentage of Net Assets |
Unrealized
Appreciation/ (Depreciation) |
Notional
Value |
||||||||||||
expiration date 7/29/20
|
76 | 0.21 | % | $ | 270,210 | $ | 3,737,680 | |||||||||
Silver
|
||||||||||||||||
expiration date 3/27/20
|
28 | 0.06 | 78,295 | 2,508,940 | ||||||||||||
expiration date 5/27/20
|
28 | 0.06 | 74,040 | 2,521,260 | ||||||||||||
expiration date 7/29/20
|
27 | 0.06 | 75,760 | 2,442,015 | ||||||||||||
Soybean
|
||||||||||||||||
expiration date 3/13/20
|
52 | 0.09 | 118,475 | 2,484,300 | ||||||||||||
expiration date 5/14/20
|
52 | 0.10 | 127,738 | 2,518,750 | ||||||||||||
expiration date 7/14/20
|
51 | 0.03 | 34,225 | 2,498,363 | ||||||||||||
Soybean Oil
|
||||||||||||||||
expiration date 3/13/20
|
119 | 0.22 | 280,872 | 2,482,578 | ||||||||||||
expiration date 5/14/20
|
119 | 0.23 | 290,004 | 2,503,284 | ||||||||||||
expiration date 7/14/20
|
119 | 0.15 | 194,940 | 2,524,704 | ||||||||||||
Sugar No. 11
|
||||||||||||||||
expiration date 2/28/20
|
166 | 0.08 | 102,984 | 2,495,046 | ||||||||||||
expiration date 4/30/20
|
165 | 0.12 | 148,053 | 2,502,192 | ||||||||||||
expiration date 6/30/20
|
165 | 0.12 | 153,742 | 2,524,368 | ||||||||||||
Wheat
|
||||||||||||||||
expiration date 3/13/20
|
90 | 0.19 | 237,137 | 2,514,375 | ||||||||||||
expiration date 5/14/20
|
89 | 0.18 | 229,225 | 2,499,788 | ||||||||||||
expiration date 7/14/20
|
89 | 0.12 | 159,650 | 2,507,575 | ||||||||||||
WTI Crude Oil
|
||||||||||||||||
expiration date 1/21/20
|
25 | 0.13 | 164,900 | 1,526,500 | ||||||||||||
expiration date 2/20/20
|
25 | 0.16 | 209,410 | 1,519,250 | ||||||||||||
expiration date 3/20/20
|
25 | 0.16 | 208,020 | 1,510,250 | ||||||||||||
expiration date 4/21/20
|
25 | 0.08 | 99,900 | 1,499,250 | ||||||||||||
expiration date 5/19/20
|
24 | 0.08 | 100,490 | 1,426,560 | ||||||||||||
|
|
|
|
|
|
|||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded)
|
|
|
4.82
|
%
|
$
|
6,162,155
|
|
$
|
127,602,755
|
|
||||||
|
|
|
|
|
|
* |
Interest rate shown reflects the yield to maturity at time of purchase.
|
(a)
|
All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $9,979,447 as of December 31, 2019.
|
|
|
General Units
|
|
|
Limited Units
|
|
|
Total
|
|
|||||||||||||||||||||||||||
|
|
General Units
|
|
|
Accumulated
|
|
|
Total
General Shareholders’ |
|
|
Limited Units
|
|
|
Accumulated
|
|
|
Total
Limited Shareholders’ |
|
|
Total
Shareholders’ |
|
|||||||||||||||
|
|
Units
|
|
|
Amount
|
|
|
Deficit
|
|
|
Equity
|
|
|
Units
|
|
|
Amount
|
|
|
Deficit
|
|
|
Equity
|
|
|
Equity
|
|
|||||||||
Balance at June 30, 2020
|
|
|
50
|
|
|
$
|
1,500
|
|
|
$
|
(717
|
)
|
|
$
|
783
|
|
|
|
4,450,000
|
|
|
$
|
223,507,060
|
|
|
$
|
(153,858,424
|
)
|
|
$
|
69,648,636
|
|
|
$
|
69,649,419
|
|
Creation of Units
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
800,000
|
|
|
|
13,631,902
|
|
|
|
—
|
|
|
|
13,631,902
|
|
|
|
13,631,902
|
|
Redemption of Units
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(250,000
|
)
|
|
|
(4,216,525
|
)
|
|
|
—
|
|
|
|
(4,216,525
|
)
|
|
|
(4,216,525
|
)
|
Net Gain (Loss):
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Net Investment Loss
|
|
|
—
|
|
|
|
—
|
|
|
|
(1
|
)
|
|
|
(1
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(135,535
|
)
|
|
|
(135,535
|
)
|
|
|
(135,536
|
)
|
Net Realized Gain from Investments and Futures Contracts
|
|
|
—
|
|
|
|
—
|
|
|
|
59
|
|
|
|
59
|
|
|
|
—
|
|
|
|
—
|
|
|
|
5,568,039
|
|
|
|
5,568,039
|
|
|
|
5,568,098
|
|
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts
|
|
|
—
|
|
|
|
—
|
|
|
|
27
|
|
|
|
27
|
|
|
|
—
|
|
|
|
—
|
|
|
|
2,322,805
|
|
|
|
2,322,805
|
|
|
|
2,322,832
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Gain
|
|
|
—
|
|
|
|
—
|
|
|
|
85
|
|
|
|
85
|
|
|
|
—
|
|
|
|
—
|
|
|
|
7,755,309
|
|
|
|
7,755,309
|
|
|
|
7,755,394
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance at September 30, 2020
|
|
|
50
|
|
|
$
|
1,500
|
|
|
$
|
(632
|
)
|
|
$
|
868
|
|
|
|
5,000,000
|
|
|
$
|
232,922,437
|
|
|
$
|
(146,103,115
|
)
|
|
$
|
86,819,322
|
|
|
$
|
86,820,190
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
General Units
|
|
|
Limited Units
|
|
|
Total
|
|
|||||||||||||||||||||||||||
|
|
General Units
|
|
|
Accumulated
|
|
|
Total
General Shareholders’ |
|
|
Limited Units
|
|
|
Accumulated
|
|
|
Total
Limited Shareholders’ |
|
|
Total
Shareholders’ |
|
|||||||||||||||
|
|
Units
|
|
|
Amount
|
|
|
Deficit
|
|
|
Equity
|
|
|
Units
|
|
|
Amount
|
|
|
Deficit
|
|
|
Equity
|
|
|
Equity
|
|
|||||||||
Balance at December 31, 2019
|
|
|
50
|
|
|
$
|
1,500
|
|
|
$
|
(560
|
)
|
|
$
|
940
|
|
|
|
6,800,000
|
|
|
$
|
262,345,685
|
|
|
$
|
(134,510,782
|
)
|
|
$
|
127,834,903
|
|
|
$
|
127,835,843
|
|
Creation of Units
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
800,000
|
|
|
|
13,631,902
|
|
|
|
—
|
|
|
|
13,631,902
|
|
|
|
13,631,902
|
|
Redemption of Units
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(2,600,000
|
)
|
|
|
(43,055,150
|
)
|
|
|
—
|
|
|
|
(43,055,150
|
)
|
|
|
(43,055,150
|
)
|
Net Gain (Loss):
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Net Investment
Income (Loss)
|
|
|
—
|
|
|
|
—
|
|
|
|
2
|
|
|
|
2
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(12,458
|
)
|
|
|
(12,458
|
)
|
|
|
(12,456
|
)
|
Net Realized Loss from Investments and Futures Contracts
|
|
|
—
|
|
|
|
—
|
|
|
|
(84
|
)
|
|
|
(84
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(8,383,997
|
)
|
|
|
(8,383,997
|
)
|
|
|
(8,384,081
|
)
|
Net
Increase (
Decrease
)
in Unrealized Appreciation/Depreciation from Investments and Futures Contracts
|
|
|
—
|
|
|
|
—
|
|
|
|
10
|
|
|
|
10
|
|
|
|
—
|
|
|
|
—
|
|
|
|
(3,195,878
|
)
|
|
|
(3,195,878
|
)
|
|
|
(3,195,868
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Loss
|
|
|
—
|
|
|
|
—
|
|
|
|
(72
|
)
|
|
|
(72
|
)
|
|
|
—
|
|
|
|
—
|
|
|
|
(11,592,333
|
)
|
|
|
(11,592,333
|
)
|
|
|
(11,592,405
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance at September 30, 2020
|
|
|
50
|
|
|
$
|
1,500
|
|
|
$
|
(632
|
)
|
|
$
|
868
|
|
|
|
5,000,000
|
|
|
$
|
232,922,437
|
|
|
$
|
(146,103,115
|
)
|
|
$
|
86,819,322
|
|
|
$
|
86,820,190
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
General Units
|
Limited Units
|
Total
|
||||||||||||||||||||||||||||||||||
General Units
|
Accumulated
|
Total
General Shareholders’ |
Limited Units
|
Accumulated
|
Total
Limited Shareholders’ |
Total
Shareholders’ |
||||||||||||||||||||||||||||||
Units
|
Amount
|
Deficit
|
Equity
|
Units
|
Amount
|
Deficit
|
Equity
|
Equity
|
||||||||||||||||||||||||||||
Balance at June 30, 2019
|
50 | $ | 1,500 | $ | (608 | ) | $ | 892 | 7,250,000 | $ | 269,869,499 | $ | (140,475,208 | ) | $ | 129,394,291 | $ | 129,395,183 | ||||||||||||||||||
Creation of Units
|
— | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units
|
— | — | — | — | (750,000 | ) | (12,894,574 | ) | — | (12,894,574 | ) | (12,894,574 | ) | |||||||||||||||||||||||
Net Gain (Loss):
|
||||||||||||||||||||||||||||||||||||
Net Investment Income
|
— | — | 3 | 3 | — | — | 399,206 | 399,206 | 399,209 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts
|
— | — | (26 | ) | (26 | ) | — | — | (3,691,708 | ) | (3,691,708 | ) | (3,691,734 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts
|
— | — | 9 | 9 | — | — | 902,168 | 902,168 | 902,177 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Loss
|
— | — | (14 | ) | (14 | ) | — | — | (2,390,334 | ) | (2,390,334 | ) | (2,390,348 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Balance at September 30, 2019
|
50 | $ | 1,500 | $ | (622 | ) | $ | 878 | 6,500,000 | $ | 256,974,925 | $ | (142,865,542 | ) | $ | 114,109,383 | $ | 114,110,261 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
General Units
|
Limited Units
|
Total
|
||||||||||||||||||||||||||||||||||
General Units
|
Accumulated
|
Total
General Shareholders’ |
Limited Units
|
Accumulated
|
Total
Limited Shareholders’ |
Total
Shareholders’ |
||||||||||||||||||||||||||||||
Units
|
Amount
|
Deficit
|
Equity
|
Units
|
Amount
|
Deficit
|
Equity
|
Equity
|
||||||||||||||||||||||||||||
Balance at December 31, 2018
|
50 | $ | 1,500 | $ | (625 | ) | $ | 875 | 8,850,000 | $ | 298,946,484 | $ | (144,092,358 | ) | $ | 154,854,126 | $ | 154,855,001 | ||||||||||||||||||
Creation of Units
|
— | — | — | — | 600,000 | 10,509,822 | — | 10,509,822 | 10,509,822 | |||||||||||||||||||||||||||
Redemption of Units
|
— | — | — | — | (2,950,000 | ) | (52,481,381 | ) | — | (52,481,381 | ) | (52,481,381 | ) | |||||||||||||||||||||||
Net Gain (Loss):
|
||||||||||||||||||||||||||||||||||||
Net Investment Income
|
— | — | 9 | 9 | — | — | 1,472,191 | 1,472,191 | 1,472,200 | |||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts
|
— | — | (57 | ) | (57 | ) | — | — | (8,310,880 | ) | (8,310,880 | ) | (8,310,937 | ) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts
|
— | — | 51 | 51 | — | — | 8,065,505 | 8,065,505 | 8,065,556 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Gain
|
— | — | 3 | 3 | — | — | 1,226,816 | 1,226,816 | 1,226,819 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Balance at September 30, 2019
|
50 | $ | 1,500 | $ | (622 | ) | $ | 878 | 6,500,000 | $ | 256,974,925 | $ | (142,865,542 | ) | $ | 114,109,383 | $ | 114,110,261 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2020
|
2019
|
|||||||
Cash flows from operating activities
|
|
|||||||
Net Gain (Loss)
|
$ | (11,592,405 | ) | $ | 1,226,819 | |||
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities:
|
|
|||||||
Purchases of investment securities
|
(240,644,674 | ) | (410,423,066 | ) | ||||
Proceeds from sales/maturities of investment securities
|
284,953,521 | 446,912,018 | ||||||
Net accretion of discount
|
(466,988 | ) | (2,204,488 | ) | ||||
Net realized gain on investment securities
|
(14,440 | ) | (1,266 | ) | ||||
Net change in unrealized appreciation/depreciation from investments
|
10,537 | (13,262 | ) | |||||
Net change in unrealized appreciation/depreciation from futures contracts
|
3,185,331 | (8,052,294 | ) | |||||
Changes in assets and liabilities
|
|
|||||||
Decrease in liabilities:
|
|
|||||||
Net management fee payable to related party
|
(25,544 | ) | (24,483 | ) | ||||
|
|
|
|
|||||
Net cash provided by operating activities
|
35,405,338 | 27,419,978 | ||||||
|
|
|
|
|||||
Cash flows from financing activities
|
|
|||||||
Proceeds from creation of Limited Units
|
13,631,902 | 19,258,643 | ||||||
Redemption of Limited Units
|
(43,055,150 | ) | (52,481,381 | ) | ||||
|
|
|
|
|||||
Net cash used for financing activities
|
(29,423,248 | ) | (33,222,738 | ) | ||||
|
|
|
|
|||||
Net increase (decrease) in cash
|
5,982,090 | (5,802,760 | ) | |||||
Cash* at beginning of period
|
5,922,177 | 10,193,423 | ||||||
|
|
|
|
|||||
Cash* at end of period
|
$ | 11,904,267 | $ | 4,390,663 | ||||
|
|
|
|
*
|
Includes cash held by the broker for futures contracts.
|
Level 1 | — | Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. | ||
Level 2 | — | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. | ||
Level 3 | — | Unobservable inputs for the asset or liability. |
Assets
|
Quoted
Prices in Active Market (Level 1) |
Other
Significant Observable Inputs (Level 2) |
Significant
Unobservable Inputs (Level 3) |
Totals
|
||||||||||||
U.S. Treasury Obligations
|
$ | — | $ | 71,993,216 | $ | — | $ | 71,993,216 | ||||||||
Unrealized appreciation on futures contracts
|
2,976,824 | — | — | 2,976,824 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total
|
$ | 2,976,824 | $ | 71,993,216 | $ | — | $ | 74,970,040 | ||||||||
|
|
|
|
|
|
|
|
Assets
|
Quoted
Prices in Active Market (Level 1) |
Other
Significant Observable Inputs (Level 2) |
Significant
Unobservable Inputs (Level 3) |
Totals
|
||||||||||||
U.S. Treasury Obligations
|
$ | — | $ | 115,831,172 | $ | — | $ | 115,831,172 | ||||||||
Unrealized appreciation on futures contracts
|
6,162,155 | — | — | 6,162,155 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total
|
$ | 6,162,155 | $ | 115,831,172 | $ | — | $ | 121,993,327 | ||||||||
|
|
|
|
|
|
|
|
As of:
|
Derivative
Instruments |
Asset
Derivatives (i) |
Liability
Derivatives (ii) |
|||||||||
September 30, 2020
|
Commodity Futures | $ | 2,976,824 | $ | — | |||||||
December 31, 2019
|
Commodity Futures | $ | 6,162,155 | $ | — |
(i) |
Values are disclosed on the Statements of Financial Condition under
Net unrealized appreciation on futures contracts.
|
(ii) |
Values are disclosed on the Statements of Financial Condition under
Net unrealized depreciation on futures contracts
|
Period
|
Derivative
Instruments |
Realized Gain (Loss)
on Derivative Instruments (i) |
Net Increase (Decrease) in
Unrealized Appreciation/Depreciation
on Derivative
Instruments (ii)
|
|||||||||
Three months ended September 30, 2020
|
Commodity Futures | $ | 5,568,098 | $ | 2,322,850 | |||||||
Three months ended September 30, 2019
|
Commodity Futures | (3,693,718 | ) | 901,844 | ||||||||
Nine months ended September 30, 2020
|
Commodity Futures | (8,398,521 | ) | (3,185,331 | ) | |||||||
Nine months ended September 30, 2019
|
Commodity Futures | (8,312,203 | ) | 8,052,294 |
(i) |
Values are disclosed on the Statements of Income and Expenses under
Net realized gain (loss) from futures contracts.
|
(ii) |
Values are disclosed on the Statements of Income and Expenses under
Net increase (decrease) in unrealized appreciation/depreciation from futures contracts.
|
Period
|
Management
Fee |
Voluntary
Fee Waiver |
Net Management
Fee |
|||||||||
Three months ended September 30, 2020
|
$ | 171,810 | $ | (20,213 | ) | $ | 151,597 | |||||
|
|
|
|
|
|
|||||||
Three months ended September 30, 2019
|
$ | 258,682 | $ | (30,433 | ) | $ | 228,249 | |||||
|
|
|
|
|
|
|||||||
Nine months ended September 30, 2020
|
$ | 549,307 | $ | (64,624 | ) | $ | 484,683 | |||||
|
|
|
|
|
|
|||||||
Nine months ended September 30, 2019
|
$ | 878,864 | $ | (103,396 | ) | $ | 775,468 | |||||
|
|
|
|
|
|
Three Months
Ended September 30, 2020 |
Three Months
Ended September 30, 2019 |
Nine Months
Ended September 30, 2020 |
Nine Months
Ended September 30, 2019 |
|||||||||||||
Net Asset Value
|
|
|||||||||||||||
Net asset value per Limited Share, beginning of period
|
$ | 15.65 | $ | 17.85 | $ | 18.80 | $ | 17.50 | ||||||||
Investment operations:
|
||||||||||||||||
Net realized and unrealized gain (loss)
(1)
|
1.74 | (0.35 | ) | (1.44 | ) | (0.13 | ) | |||||||||
Net investment income (loss)
(2)
|
(0.03 | ) | 0.06 | (0.00 |
)
*
|
0.19 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets from operations
|
1.71 | (0.29 | ) | (1.44 | ) | 0.06 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value per Limited Share, end of period
|
$ | 17.36 | $ | 17.56 | $ | 17.36 | $ | 17.56 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Return, at net asset value
(3)
|
10.93 | % | (1.62 | )% | (7.66 | )% | 0.34 | % | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Ratio/Supplemental Data:
|
||||||||||||||||
Net assets, end of period (000’s omitted)
|
$ | 86,820 | $ | 114,110 | $ |
86,820
|
$ |
114,110
|
||||||||
|
|
|
|
|
|
|
|
|||||||||
Ratios to average net assets of:
|
||||||||||||||||
Net investment income (loss)
(4)
|
(0.67 | )% | 1.31 | % | (0.02 | )% | 1.42 | % | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses, prior to expense waivers
(4)
|
0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Expenses, net of expense waivers
(4)
|
0.75 | % | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||
|
|
|
|
|
|
|
|
*
|
Amount represents less than $
(0.01
).
|
(1)
|
Includes brokerage commissions of $0.01 per share for the three months ended September 30, 2020
and
2019, respectively, and includes brokerage commissions of $0.02 per share for the nine months ended September 30, 2020 and 2019, respectively. See Note 8(b) on
page 25.
|
(2)
|
Based on average shares outstanding.
|
(3)
|
Total return calculated for a period of less than one year is not annualized. For the periods in which the Managing Owner waived a portion of its Management Fee, the total return would have been lower if such expenses had not been waived. See Note 8(a) on
page 25.
|
(4)
|
Annualized.
|
Date
|
Net Asset Value
Per Share |
Total Shares
|
Net Assets
|
1 Month
|
3 Months
|
Year to Date
|
Cumulative Return
Since Inception |
|||||||||||||||||||||
10/31/2015
|
$ | 19.80 | 12,450,050 | $ | 246,482,902 | 1.64 | % | -1.69 | % | -13.20 | % | -34.00 | % | |||||||||||||||
11/30/2015
|
$ | 18.65 | 12,600,050 | $ | 234,930,303 | -5.81 | % | -6.23 | % | -18.24 | % | -37.83 | % | |||||||||||||||
12/31/2015
|
$ | 18.56 | 12,100,050 | $ | 224,518,525 | -0.48 | % | -4.72 | % | -18.63 | % | -38.13 | % | |||||||||||||||
1/31/2016
|
$ | 18.08 | 11,800,050 | $ | 213,290,323 | -2.59 | % | -8.69 | % | -2.59 | % | -39.73 | % | |||||||||||||||
2/29/2016
|
$ | 17.95 | 11,500,050 | $ | 206,423,399 | -0.72 | % | -3.75 | % | -3.29 | % | -40.17 | % | |||||||||||||||
3/31/2016
|
$ | 18.73 | 11,350,050 | $ | 212,556,966 | 4.35 | % | 0.92 | % | 0.92 | % | -37.57 | % | |||||||||||||||
4/30/2016
|
$ | 19.83 | 11,400,050 | $ | 226,055,159 | 5.87 | % | 9.68 | % | 6.84 | % | -33.90 | % | |||||||||||||||
5/31/2016
|
$ | 19.61 | 11,450,050 | $ | 224,548,529 | -1.11 | % | 9.25 | % | 5.66 | % | -34.63 | % | |||||||||||||||
6/30/2016
|
$ | 20.42 | 11,100,050 | $ | 226,681,895 | 4.13 | % | 9.02 | % | 10.02 | % | -31.93 | % | |||||||||||||||
7/31/2016
|
$ | 19.83 | 11,350,050 | $ | 225,092,558 | -2.89 | % | 0.00 | % | 6.84 | % | -33.90 | % | |||||||||||||||
8/31/2016
|
$ | 19.33 | 11,450,050 | $ | 221,349,718 | -2.52 | % | -1.43 | % | 4.15 | % | -35.57 | % | |||||||||||||||
9/30/2016
|
$ | 19.51 | 10,950,050 | $ | 213,673,816 | 0.93 | % | -4.46 | % | 5.12 | % | -34.97 | % | |||||||||||||||
10/31/2016
|
$ | 19.62 | 10,950,050 | $ | 214,888,405 | 0.56 | % | -1.06 | % | 5.71 | % | -34.60 | % | |||||||||||||||
11/30/2016
|
$ | 19.39 | 11,300,050 | $ | 219,111,876 | -1.17 | % | 0.31 | % | 4.47 | % | -35.37 | % | |||||||||||||||
12/31/2016
|
$ | 19.35 | 11,350,050 | $ | 219,660,595 | -0.21 | % | -0.82 | % | 4.26 | % | -35.50 | % | |||||||||||||||
1/31/2017
|
$ | 19.82 | 11,350,050 | $ | 224,901,754 | 2.43 | % | 1.02 | % | 2.43 | % | -33.93 | % | |||||||||||||||
2/28/2017
|
$ | 19.70 | 10,750,050 | $ | 211,819,623 | -0.61 | % | 1.60 | % | 1.81 | % | -34.33 | % | |||||||||||||||
3/31/2017
|
$ | 19.25 | 10,150,050 | $ | 195,428,354 | -2.28 | % | -0.52 | % | -0.52 | % | -35.83 | % | |||||||||||||||
4/30/2017
|
$ | 18.93 | 9,450,050 | $ | 178,936,038 | -1.66 | % | -4.49 | % | -2.17 | % | -36.90 | % | |||||||||||||||
5/31/2017
|
$ | 18.85 | 8,900,050 | $ | 167,788,181 | -0.42 | % | -4.31 | % | -2.58 | % | -37.17 | % | |||||||||||||||
6/30/2017
|
$ | 18.68 | 8,850,050 | $ | 165,359,886 | -0.90 | % | -2.96 | % | -3.46 | % | -37.73 | % | |||||||||||||||
7/31/2017
|
$ | 19.15 | 8,750,050 | $ | 167,534,220 | 2.52 | % | 1.16 | % | -1.03 | % | -36.17 | % | |||||||||||||||
8/31/2017
|
$ | 18.84 | 8,750,050 | $ | 164,834,840 | -1.62 | % | -0.05 | % | -2.64 | % | -37.20 | % | |||||||||||||||
9/30/2017
|
$ | 18.76 | 8,550,050 | $ | 160,409,438 | -0.42 | % | 0.43 | % | -3.05 | % | -37.47 | % | |||||||||||||||
10/31/2017
|
$ | 19.08 | 8,400,050 | $ | 160,283,921 | 1.71 | % | -0.37 | % | -1.40 | % | -36.40 | % | |||||||||||||||
11/30/2017
|
$ | 19.11 | 8,200,050 | $ | 156,718,600 | 0.16 | % | 1.43 | % | -1.24 | % | -36.30 | % | |||||||||||||||
12/31/2017
|
$ | 19.25 | 8,050,050 | $ | 154,956,309 | 0.73 | % | 2.61 | % | -0.52 | % | -35.83 | % |
Date
|
Net Asset Value
Per Share |
Total Shares
|
Net Assets
|
1 Month
|
3 Months
|
Year to Date
|
Cumulative Return
Since Inception |
|||||||||||||||||||||
1/31/2018
|
$ | 19.50 | 8,800,050 | $ | 171,590,704 | 1.30 | % | 2.20 | % | 1.30 | % | -35.00 | % | |||||||||||||||
2/28/2018
|
$ | 19.45 | 9,150,050 | $ | 177,987,164 | -0.26 | % | 1.78 | % | 1.04 | % | -35.17 | % | |||||||||||||||
3/31/2018
|
$ | 19.25 | 9,400,050 | $ | 180,938,291 | -1.03 | % | 0.00 | % | 0.00 | % | -35.83 | % | |||||||||||||||
4/30/2018
|
$ | 19.48 | 9,300,050 | $ | 181,169,802 | 1.19 | % | -0.10 | % | 1.19 | % | -35.07 | % | |||||||||||||||
5/31/2018
|
$ | 19.73 | 9,400,050 | $ | 185,447,260 | 1.28 | % | 1.44 | % | 2.49 | % | -34.23 | % | |||||||||||||||
6/30/2018
|
$ | 18.86 | 9,150,050 | $ | 172,533,165 | -4.41 | % | -2.03 | % | -2.03 | % | -37.13 | % | |||||||||||||||
7/31/2018
|
$ | 18.36 | 9,400,050 | $ | 172,579,285 | -2.65 | % | -5.75 | % | -4.62 | % | -38.80 | % | |||||||||||||||
8/31/2018
|
$ | 18.02 | 9,000,050 | $ | 162,207,008 | -1.85 | % | -8.67 | % | -6.39 | % | -39.93 | % | |||||||||||||||
9/30/2018
|
$ | 18.08 | 8,800,050 | $ | 159,102,078 | 0.33 | % | -4.14 | % | -6.08 | % | -39.73 | % | |||||||||||||||
10/31/2018
|
$ | 18.28 | 8,650,050 | $ | 158,160,214 | 1.11 | % | -0.44 | % | -5.04 | % | -39.07 | % | |||||||||||||||
11/30/2018
|
$ | 17.96 | 8,350,050 | $ | 149,939,026 | -1.75 | % | -0.33 | % | -6.70 | % | -40.13 | % | |||||||||||||||
12/31/2018
|
$ | 17.50 | 8,850,050 | $ | 154,855,001 | -2.56 | % | -3.21 | % | -9.09 | % | -41.67 | % | |||||||||||||||
1/31/2019
|
$ | 18.09 | 9,000,050 | $ | 162,845,090 | 3.37 | % | -1.04 | % | 3.37 | % | -39.70 | % | |||||||||||||||
2/28/2019
|
$ | 18.07 | 8,700,050 | $ | 157,241,808 | -0.11 | % | 0.61 | % | 3.26 | % | -39.77 | % | |||||||||||||||
3/31/2019
|
$ | 18.04 | 7,950,050 | $ | 143,407,805 | -0.17 | % | 3.09 | % | 3.09 | % | -39.87 | % | |||||||||||||||
4/30/2019
|
$ | 17.90 | 7,700,050 | $ | 137,843,116 | -0.78 | % | -1.05 | % | 2.29 | % | -40.33 | % | |||||||||||||||
5/31/2019
|
$ | 17.53 | 7,450,050 | $ | 130,608,270 | -2.07 | % | -2.99 | % | 0.17 | % | -41.57 | % | |||||||||||||||
6/30/2019
|
$ | 17.85 | 7,250,050 | $ | 129,395,183 | 1.83 | % | -1.05 | % | 2.00 | % | -40.50 | % | |||||||||||||||
7/31/2019
|
$ | 17.62 | 7,250,050 | $ | 127,772,592 | -1.29 | % | -1.56 | % | 0.69 | % | -41.27 | % | |||||||||||||||
8/31/2019
|
$ | 17.10 | 6,700,050 | $ | 114,556,679 | -2.95 | % | -2.45 | % | -2.29 | % | -43.00 | % | |||||||||||||||
9/30/2019
|
$ | 17.56 | 6,500,050 | $ | 114,110,261 | 2.69 | % | -1.62 | % | 0.34 | % | -41.47 | % | |||||||||||||||
10/31/2019
|
$ | 17.95 | 6,850,050 | $ | 122,956,931 | 2.22 | % | 1.87 | % | 2.57 | % | -40.17 | % | |||||||||||||||
11/30/2019
|
$ | 17.86 | 6,850,050 | $ | 122,348,578 | -0.50 | % | 4.44 | % | 2.06 | % | -40.47 | % | |||||||||||||||
12/31/2019
|
$ | 18.80 | 6,800,050 | $ | 127,835,843 | 5.26 | % | 7.06 | % | 7.43 | % | -37.33 | % | |||||||||||||||
1/31/2020
|
$ | 17.61 | 6,400,050 | $ | 112,722,603 | -6.33 | % | -1.89 | % | -6.33 | % | -41.30 | % | |||||||||||||||
2/29/2020
|
$ | 16.76 | 6,000,050 | $ | 100,581,288 | -4.83 | % | -6.16 | % | -10.85 | % | -44.13 | % | |||||||||||||||
3/31/2020
|
$ | 14.83 | 5,050,050 | $ | 74,876,112 | -11.52 | % | -21.12 | % | -21.12 | % | -50.57 | % | |||||||||||||||
4/30/2020
|
$ | 14.85 | 4,950,050 | $ | 73,491,909 | 0.13 | % | -15.67 | % | -21.01 | % | -50.50 | % | |||||||||||||||
5/31/2020
|
$ | 15.45 | 4,850,050 | $ | 74,932,143 | 4.04 | % | -7.82 | % | -17.82 | % | -48.50 | % | |||||||||||||||
6/30/2020
|
$ | 15.65 | 4,450,050 | $ | 69,649,419 | 1.29 | % | 5.53 | % | -16.76 | % | -47.83 | % | |||||||||||||||
7/31/2020
|
$ | 16.69 | 4,550,050 | $ | 75,919,118 | 6.65 | % | 12.39 | % | -11.22 | % | -44.37 | % | |||||||||||||||
8/31/2020
|
$ | 17.66 | 4,850,050 | $ | 85,662,794 | 5.81 | % | 14.30 | % | -6.06 | % | -41.13 | % | |||||||||||||||
9/30/2020
|
$ | 17.36 | 5,000,050 | $ | 86,820,190 | -1.70 | % | 10.93 | % | -7.66 | % | -42.13 | % |
Sector
|
Sector Weight
|
Commodity
|
||||
Energy
|
17.67 | % | WTI Crude Oil, Natural Gas, NY Harbor ULSD | |||
Grains
|
23.54 | % | Corn, Soybean, Wheat, Soybean Oil | |||
Livestock
|
11.71 | % | Lean Hogs, Live Cattle | |||
Metals
|
23.53 | % | Gold 100 Ounce, Silver, Platinum, Copper | |||
Softs
|
23.55 | % | Coffee “C”, Cocoa, Sugar No. 11, Cotton No. 2 |
Description
|
Range of
Expiration Dates |
Number of
Contracts |
Weighted-
Average Price per Contract |
Contract
Multiplier |
Notional
Value |
Unrealized
Appreciation/ (Depreciation) |
||||||||||||||||
Energy
|
||||||||||||||||||||||
Natural Gas
|
November 2020—March 2021 | 164 | $ | 3.10 | 10,000 | $ | 5,086,400 | $ | 243,760 | |||||||||||||
NY Harbor ULSD
|
November 2020—March 2021 | 102 | 1.19 | 42,000 | 5,104,109 | (388,664 | ) | |||||||||||||||
WTI Crude Oil
|
November 2020—March 2021 | 125 | 41.13 | 1,000 | 5,141,000 | (45,540 | ) | |||||||||||||||
Grains
|
||||||||||||||||||||||
Corn
|
December 2020—May 2021 | 264 | 3.87 | 5,000 | 5,107,300 | 536,375 | ||||||||||||||||
Soybean
|
January 2021—May 2021 | 100 | 10.22 | 5,000 | 5,111,500 | 600,612 | ||||||||||||||||
Soybean Oil
|
December 2020—May 2021 | 256 | 0.33 | 60,000 | 5,105,280 | 393,672 | ||||||||||||||||
Wheat
|
December 2020—May 2021 | 175 | 5.83 | 5,000 | 5,098,100 | 522,487 | ||||||||||||||||
Livestock
|
||||||||||||||||||||||
Lean Hogs
|
December 2020—April 2021 | 188 | 0.68 | 40,000 | 5,089,940 | 533,590 | ||||||||||||||||
Live Cattle
|
December 2020—April 2021 | 110 | 1.15 | 40,000 | 5,073,690 | 225,320 | ||||||||||||||||
Metals
|
||||||||||||||||||||||
Copper
|
December 2020—May 2021 | 67 | 3.04 | 25,000 | 5,088,513 | 277,901 | ||||||||||||||||
Gold 100 Ounce
|
December 2020—April 2021 | 27 | 1,901.97 | 100 | 5,135,310 | 75,230 | ||||||||||||||||
Platinum
|
January 2021—April 2021 | 112 | 912.50 | 50 | 5,110,000 | (203,200 | ) | |||||||||||||||
Silver
|
December 2020—May 2021 | 43 | 23.61 | 5,000 | 5,076,620 | (312,480 | ) | |||||||||||||||
Softs
|
||||||||||||||||||||||
Cocoa
|
December 2020—May 2021 | 202 | 2,530.74 | 10 | 5,112,100 | 220,820 | ||||||||||||||||
Coffee “C”
|
December 2020—May 2021 | 121 | 1.13 | 37,500 | 5,109,038 | (196,387 | ) | |||||||||||||||
Cotton No. 2
|
December 2020—May 2021 | 153 | 0.67 | 50,000 | 5,089,800 | 334,635 | ||||||||||||||||
Sugar No. 11
|
February 2021—April 2021
|
342 | 0.13 | 112,000 | 5,119,329 | 158,693 | ||||||||||||||||
|
|
|
|
|||||||||||||||||||
$
|
86,758,029
|
|
$
|
2,976,824
|
|
|||||||||||||||||
|
|
|
|
Description
|
Range of Yields to Maturity
|
Range of
Maturity Dates |
Face Amount
|
Fair Value
|
Unrealized
Appreciation/ (Depreciation) |
|||||||||||||
U.S. Treasury Obligations
|
||||||||||||||||||
U.S. Treasury Bills
|
0.06% – 0.12% | October 2020 – December 2020 | $ | 72,000,000 | $ | 71,993,216 | $ | (233 | ) |
Issuer Purchases of Equity Securities
|
||||||||||||||||
Period
|
Total Number of
Shares Redeemed |
Average Price
Paid per Share |
Total Number of
Shares Purchased as Part of Publicly Announced Plans or Programs |
Maximum Number (or
Approximate Dollar Value) of Shares That May Yet Be Purchased Under the Plans or Programs |
||||||||||||
July 1, 2020 to July 31, 2020
|
100,000 | $ | 16.25 | N/A | N/A | |||||||||||
August 1, 2020 to August 31, 2020
|
— | $ | N/A | N/A | N/A | |||||||||||
September 1, 2020 to September 30, 2020
|
150,000 | $ | 17.28 | N/A | N/A | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total
|
250,000 | $ | 16.87 | N/A | N/A | |||||||||||
|
|
|
|
|
|
|
|
WisdomTree Commodity Services, LLC, | ||
Managing Owner of the WisdomTree Continuous Commodity Index Fund (registrant) | ||
By: |
/s/ Jeremy Schwartz
|
|
Jeremy Schwartz | ||
President and Chief Executive Officer | ||
(Principal Executive Officer) | ||
Date: November 6, 2020 | ||
By: |
/s/ David Castano
|
|
David Castano | ||
Chief Financial Officer and Treasurer | ||
(Principal Financial Officer) | ||
Date: November 6, 2020 | ||
WisdomTree Commodity Services, LLC, | ||
Managing Owner of the WisdomTree Continuous Commodity Index Master Fund
(co-registrant)
|
||
By: |
/s/ Jeremy Schwartz
|
|
Jeremy Schwartz | ||
President and Chief Executive Officer | ||
(Principal Executive Officer) | ||
Date: November 6, 2020 | ||
By: |
/s/ David Castano
|
|
David Castano | ||
Chief Financial Officer and Treasurer | ||
(Principal Financial Officer) | ||
Date: November 6, 2020 |
1 Year WisdomTree Continuous Co... Chart |
1 Month WisdomTree Continuous Co... Chart |
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