10-Q

10-Q 1 d224897d10q.htm 10-Q 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form 10-Q

(Mark One)

x	QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended June 30, 2016

¨	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from to

Commission File Number 001-35710

Nuveen Long/Short Commodity Total Return Fund

(Exact name of registrant as specified in its charter)


Delaware		45-2470177
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification No.)

333 West Wacker Drive Chicago Illinois		60606
(Address of principal executive offices)		(Zip Code)

(877) 827-5920

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§229.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes x No ¨

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated file, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):


Large accelerated filer	¨		Accelerated filer	x

Non-accelerated filer	¨	(Do not check if smaller reporting company)	Smaller reporting company	¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ¨ No x

As of August 2, 2016, the registrant had 16,345,840 shares outstanding.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

TABLE OF CONTENTS


		Page No.
PART I. FINANCIAL INFORMATION

Item 1.	Financial Statements:		3

	Schedule of Investments at June 30, 2016 (Unaudited)		3

	Statements of Financial Condition at June 30, 2016 (Unaudited) and December 31, 2015		8

	Statements of Operations (Unaudited) for the three months ended June 30, 2016 and June 30, 2015 and the six months ended June 30, 2016 and June 30, 2015		9

	Statements of Changes in Shareholders’ Capital for the six months ended June 30, 2016 (Unaudited) and the year ended December 31, 2015		10

	Statements of Cash Flows (Unaudited) for the six months ended June 30, 2016 and June 30, 2015		11

	Notes to Financial Statements (Unaudited)		12

Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations		25

Item 3.	Quantitative and Qualitative Disclosures About Market Risk		41

Item 4.	Controls and Procedures		44

PART II. OTHER INFORMATION

Item 1.	Legal Proceedings		45

Item 1A.	Risk Factors		45

Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds		45

Item 3.	Defaults Upon Senior Securities		45

Item 4.	Mine Safety Disclosures		45

Item 5.	Other Information		45

Item 6.	Exhibits		46

Signatures			47

PART I. FINANCIAL INFORMATION

Item 1. Financial Statements

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Unaudited)

June 30, 2016

Investments


Principal Amount (000)	Description	Coupon/ Yield			Maturity		Ratings⁽¹⁾		Value
	Short-Term Investments
	U.S. Government and Agency Obligations
$ 31,000	U.S. Treasury Bills		0.000	%		7/21/16		Aaa	$	30,996,869
67,000	U.S. Treasury Bills		0.000	%		9/15/16		Aaa		66,969,381
14,000	U.S. Treasury Bills		0.000	%		9/22/16		Aaa		13,992,216
6,000	U.S. Treasury Bills		0.000	%		11/10/16		Aaa		5,994,390
12,000	U.S. Treasury Bills		0.000	%		12/08/16		Aaa		11,984,448
11,500	U.S. Treasury Bills		0.000	%		1/05/17		Aaa		11,479,323
16,000	U.S. Treasury Bills		0.000	%		2/02/17		Aaa		15,966,592
9,000	U.S. Treasury Bills		0.000	%		3/02/17		Aaa		8,976,195
26,500	U.S. Treasury Bills		0.000	%		3/30/17		Aaa		26,420,050
35,400	U.S. Treasury Bills		0.000	%		4/27/17		Aaa		35,281,056

$ 228,400	Total U.S. Government And Agency Obligations (cost $227,900,868)								$	228,060,520

	Repurchase Agreements
$ 17,373	Repurchase Agreement with State Street Bank, dated 6/30/16, repurchase price $17,373,270, collateralized by $16,725,000 U.S. Treasury Notes, 3.500%, due 2/15/18, value $17,721,810		0.030	%		7/01/16		N/A	$	17,373,256

	Total Repurchase Agreements (cost $17,373,256)								$	17,373,256

	Total Short-Term Investments (cost $245,274,124)								$	245,433,776

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

June 30, 2016

Investments in Derivatives

Futures Contracts outstanding:


Commodity Group	Contract	Contract Position		Contract Expiration		Number of Contracts⁽²⁾		Notional Amount at Value⁽³⁾			Unrealized Appreciation (Depreciation)⁽⁴⁾
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract		Long		September 2016		513	$	25,501,230		$	418,325
	NYMEX Crude Oil Futures Contract		Long		August 2016		311		15,030,630			(233,479	)

	Total Crude Oil											184,846

	Heating Oil
	ICE Low Sulphur Gasoil Futures Contract		Long		August 2016		380		16,957,500			(144,109	)
	NYMEX NY Harbor ULSD Futures Contract		Long		August 2016		277		17,319,536			(198,782	)

	Total Heating Oil											(342,891	)

	Total Energy											(158,045	)

Agriculture	Soybean
	CBOT Soybean Futures Contract		Long		November 2016		399		23,007,338			2,242,802

	Corn
	CBOT Corn Futures Contract		Short		September 2016		645		(11,787,375	)		812,402

	Wheat
	CBOT Wheat Futures Contract		Short		September 2016		285		(6,348,375	)		905,291

	Sugar
	ICE Sugar Futures Contract		Long		October 2016		297		6,762,571			795,934

	Coffee
	ICE Coffee C Futures Contract		Long		September 2016		96		5,243,400			141,226

	Soybean Meal
	CBOT Soybean Meal Futures Contract		Long		December 2016		130		5,213,000			499,750

	Soybean Oil
	CBOT Soybean Oil Futures Contract		Long		December 2016		171		3,290,382			(4,412	)

	Cocoa
	ICE Cocoa Futures Contract		Short		September 2016		111		(3,288,930	)		72,926

	Cotton
	ICE Cotton Futures Contract		Long		December 2016		106		3,401,010			(19,061	)

	Total Agriculture											5,446,858

Metals	Gold
	CEC Gold Futures Contract		Long		August 2016		167		22,054,020			1,552,580

	Silver
	CEC Silver Futures Contract		Long		September 2016		99		9,218,385			549,235

	Copper
	CEC Copper Futures Contract		Short		September 2016		131		(7,190,263	)		(278,312	)

	Total Metals											1,823,503

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

June 30, 2016

Investments in Derivatives (Continued)

Futures Contracts outstanding (Continued):


Commodity Group	Contract	Contract Position		Contract Expiration		Number of Contracts⁽²⁾		Notional Amount at Value⁽³⁾			Unrealized Appreciation (Depreciation)⁽⁴⁾
Livestock	Live Cattle
	CME Live Cattle Futures Contract		Short		August 2016		117	$	(5,373,810	)	$	20,712
	CME Live Cattle Futures Contract		Short		October 2016		105		(4,815,300	)		(166,849	)

	Total Live Cattle											(146,137	)

	Lean Hogs
	CME Lean Hogs Futures Contract		Long		August 2016		95		3,164,450			(68,390	)

	Total Livestock											(214,527	)

	Total Futures Contracts outstanding						4,435				$	6,897,789

Call Options Written outstanding:


Commodity Group	Contract	Contract Expiration		Number of Contracts		Strike Price		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		September 2016		(77)	$	48.50	$	(199,430)
	NYMEX Crude Oil Futures Options		July 2016		(78)		49.00		(88,140)

	Total Crude Oil								(287,570)

	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		July 2016		(98)		147.00		(252,311)

	Total Energy								(539,881)

Agriculture	Soybean
	CBOT Soybean Futures Options		October 2016		(61)		920.00		(720,562)

	Corn
	CBOT Corn Futures Options		August 2016		(97)		395.00		(38,194)

	Sugar
	ICE Sugar Futures Options		September 2016		(46)		14.25		(314,272)

	Coffee
	ICE Coffee C Futures Options		August 2016		(14)		130.00		(90,143)

	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2016		(19)		300.00		(193,705)

	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2016		(34)		32.00		(32,232)

	Cocoa
	ICE Cocoa Futures Options		August 2016		(17)		3,100.00		(4,760)

	Cotton
	ICE Cotton Futures Options		November 2016		(16)		62.00		(33,440)

	Total Agriculture								(1,427,308)

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

June 30, 2016

Investments in Derivatives (Continued)

Call Options Written outstanding (Continued):

Commodity Group

Contract

Contract
Expiration

Number
of
Contracts

Strike
Price

Value

Metals

Gold

CEC Gold Futures Options

July 2016

(25)

1,160.00

(401,750)

Silver

CEC Silver Futures Options

August 2016

(15)

15.50

(237,000)

Total Metals

(638,750)

Livestock

Lean Hogs

CME Lean Hogs Futures Options

August 2016

(14)

80.00

(23,940)

Total Livestock

(23,940)

Total Call Options Written outstanding (premiums received $2,221,766)

(611)

(2,629,879)

Put Options Written outstanding:

Commodity Group

Contract

Contract
Expiration

Number
of
Contracts

Strike
Price

Value

Agriculture

Corn

CBOT Corn Futures Options

August 2016

(97)

395.00

(181,269)

Wheat

CBOT Wheat Futures Options

August 2016

(43)

510.00

(147,812)

Soybean Oil

CBOT Soybean Oil Futures Options

November 2016

(34)

32.00

(30,804)

Cocoa

ICE Cocoa Futures Options

August 2016

(17)

3,100.00

(28,050)

Total Agriculture

(387,935)

Livestock

Live Cattle

CME Live Cattle Futures Options

August 2016

(33)

124.00

(127,050)

Total Livestock

(127,050)

Total Put Options Written outstanding

(premiums received $375,520)

(224)

(514,985)

Total Options Written outstanding

(premiums received $2,597,286)

(835)

(3,144,864)

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

SCHEDULE OF INVESTMENTS (Continued) (Unaudited)

June 30, 2016


⁽¹⁾		Ratings: Using the highest of Standard & Poor’s Group, Moody’s Investors Service, Inc. or Fitch, Inc. rating.
⁽²⁾		The aggregate number of long and short futures contracts outstanding is 3,041 and 1,394, respectively.
⁽³⁾		The aggregate notional amount at value for long and short futures contracts outstanding is $156,163,452 and $(38,804,053), respectively.
⁽⁴⁾		The gross unrealized appreciation (depreciation) on futures contracts outstanding is $8,011,183 and $(1,113,394), respectively.
N/A		Not applicable.
CBOT		Chicago Board of Trade
CEC		Commodities Exchange Center
CME		Chicago Mercantile Exchange
ICE		Intercontinental Exchange
NY Harbor ULSD		New York Harbor Ultra-Low Sulfur Diesel
NYMEX		New York Mercantile Exchange

See accompanying notes to financial statements.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF FINANCIAL CONDITION

At June 30, 2016 (Unaudited) and December 31, 2015


	June 30, 2016			December 31, 2015
ASSETS
Short-term investments, at value:
U.S. government and agency obligations (cost $227,900,868 and $228,672,757)	$	228,060,520		$	228,580,099
Repurchase agreements (cost approximates value)		17,373,256			1,293,949
Deposits with brokers		16,584,558			40,100,175
Unrealized appreciation on futures contracts		8,011,183			3,698,613

Total assets	$	270,029,517		$	273,672,836

LIABILITIES
Options written, at value (premiums received $2,597,286 and $2,323,340, respectively)	$	3,144,864		$	2,283,151
Unrealized depreciation on futures contracts		1,113,394			1,146,669
Payable for:
Distributions		1,471,126			—
Investments purchased		13,992,963			—
Accrued expenses:
Conversion		336,653			427,718
Management fees		260,185			286,701
Independent Committee fees		31,331			30,574
Professional fees		223,783			308,014
Other		222,664			229,342

Total liabilities		20,796,963			4,712,169

SHAREHOLDERS’ CAPITAL
Paid-in capital, unlimited number of shares authorized, 16,345,840 shares issued and outstanding at June 30, 2016 and December 31, 2015		409,376,279			409,376,279
Accumulated undistributed earnings (deficit)		(160,143,725	)		(140,415,612	)

Total shareholders’ capital (Net assets)		249,232,554			268,960,667

Total liabilities and shareholders’ capital	$	270,029,517		$	273,672,836

Net assets	$	249,232,554		$	268,960,667
Shares outstanding		16,345,840			16,345,840

Net asset value per share outstanding (net assets divided by shares outstanding)	$	15.25		$	16.45

Market value per share outstanding	$	14.84		$	15.54

See accompanying notes to financial statements.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF OPERATIONS (Unaudited)

For the Three Months Ended June 30, 2016 and June 30, 2015

and the Six Months Ended June 30, 2016 and June 30, 2015


	Three Months Ended June 30,						Six Months Ended June 30,
	2016			2015			2016			2015
Investment Income:
Interest	$	253,880		$	123,629		$	460,636		$	172,109

Total Investment Income		253,880			123,629			460,636			172,109

Expenses:
Management fees		798,582			891,935			1,619,417			1,788,601
Brokerage commissions		163,725			74,836			242,190			137,094
Conversion expenses		—			230,033			—			230,033
Custodian fees and expenses		25,501			33,367			47,419			58,156
Independent Committee fees and expenses		32,135			32,112			64,517			62,157
Professional fees		99,725			96,101			212,615			210,976
Shareholder reporting expenses		23,855			19,193			54,010			54,158
Licensing fees		64,458			76,953			130,552			148,757
Other expenses		(1,247	)		5,925			7,272			13,995

Total expenses		1,206,734			1,460,455			2,377,992			2,703,927

Net investment income (loss)		(952,854	)		(1,336,826	)		(1,917,356	)		(2,531,818	)

Net realized gain (loss) from:
Short-term investments		—			—			(5	)		177
Futures contracts		(13,436,179	)		(5,780,019	)		(19,301,155	)		(6,382,744	)
Options written		3,703,702			4,565,258			6,306,699			7,793,836
Change in net unrealized appreciation (depreciation) of:
Short-term investments		104,275			42,960			252,310			89,378
Futures contracts		5,635,762			(3,690,644	)		4,345,845			(1,824,761	)
Options written		(653,747	)		571,927			(587,767	)		(140,724	)

Net realized gain (loss) and change in net unrealized appreciation (depreciation)		(4,646,187	)		(4,290,518	)		(8,984,073	)		(464,838	)

Net income (loss)	$	(5,599,041	)	$	(5,627,344	)	$	(10,901,429	)	$	(2,996,656	)

Net income (loss) per weighted-average share	$	(0.34	)	$	(0.34	)	$	(0.67	)	$	(0.18	)
Weighted-average shares outstanding		16,345,840			16,345,840			16,345,840			16,345,840

See accompanying notes to financial statements.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF CHANGES IN SHAREHOLDERS’ CAPITAL

For the Six Months Ended June 30, 2016 (Unaudited) and the Year Ended December 31, 2015


	Six Months Ended June 30, 2016			Year Ended December 31, 2015
Shareholders’ capital-beginning of period	$	268,960,667		$	293,176,735
Repurchase of shares		—			—

Net increase (decrease) in shareholders’ capital resulting from operations:
Net investment income (loss)		(1,917,356	)		(5,167,444	)
Net realized gain (loss) from:
Short-term investments		(5	)		336
Futures contracts		(19,301,155	)		(9,480,921	)
Options written		6,306,699			12,277,005
Change in net unrealized appreciation (depreciation) of:
Short-term investments		252,310			(87,321	)
Futures contracts		4,345,845			(144,470	)
Options written		(587,767	)		(35,394	)

Net income (loss)		(10,901,429	)		(2,638,209	)

Distributions to shareholders		(8,826,684	)		(21,577,859	)

Shareholders’ capital—end of period	$	249,232,554		$	268,960,667

Shares—beginning of period		16,345,840			16,345,840
Repurchase of shares		—			—

Shares—end of period		16,345,840			16,345,840

See accompanying notes to financial statements.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

STATEMENTS OF CASH FLOWS (Unaudited)

For the Six Months Ended June 30, 2016 and June 30, 2015


	Six Months Ended June 30,
	2016			2015
Cash flows from operating activities:
Net income (loss)	$	(10,901,429	)	$	(2,996,656	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of U.S. government and agency obligations		(170,816,453	)		(151,654,915	)
Proceeds from sales and maturities of U.S. government and agency obligations		171,999,383			164,499,978
Proceeds from (Purchases of) repurchase agreements, net		(16,079,307	)		(6,293,727	)
Premiums received for options written		7,697,984			9,070,982
Cash paid for options written		(1,117,339	)		(1,486,398	)
Amortization (Accretion) of short-term investments		(411,046	)		(172,110	)
(Increase) Decrease in:
Deposits with brokers		23,515,617			5,044,904
Other assets		—			(7,564	)
Increase (Decrease) in:
Payable for investments purchased		13,992,963			—
Accrued conversion expenses		(91,065	)		—
Accrued management fees		(26,516	)		(20,539	)
Accrued Independent Committee fees		757			1,395
Accrued professional fees		(84,231	)		(106,843	)
Accrued other expenses		(6,678	)		28,054
Net realized (gain) loss from:
Short-term investments		5			(177	)
Options written		(6,306,699	)		(7,793,836	)
Change in net unrealized (appreciation) depreciation of:
Short-term investments		(252,310	)		(89,378	)
Futures contracts		(4,345,845	)		1,824,761
Options written		587,767			140,724

Net cash provided by (used in) operating activities		7,355,558			9,988,655

Cash flows from financing activities:
Cash distributions paid to shareholders		(7,355,558	)		(9,988,655	)

Net cash provided by (used in) financing activities		(7,355,558	)		(9,988,655	)

Net increase (decrease) in cash		—			—
Cash—beginning of period		—			—

Cash—end of period	$	—		$	—

See accompanying notes to financial statements.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Unaudited)

June 30, 2016

1. Organization

Fund Information

The Nuveen Long/Short Commodity Total Return Fund (the “Fund”) was organized as a Delaware statutory trust on May 25, 2011, to operate as a commodity pool. Nuveen Commodities Asset Management, LLC, the Fund’s manager (“NCAM” or the “Manager”), is a Delaware limited liability company registered as a commodity pool operator with the Commodity Futures Trading Commission (the “CFTC”) and is a member of the National Futures Association (the “NFA”). The Fund commenced operations on October 25, 2012, with its initial public offering of 18,800,000 shares. The Fund operates pursuant to an Amended and Restated Trust Agreement dated September 14, 2012 (the “Trust Agreement”). The Fund’s shares represent units of fractional undivided beneficial interest in, and ownership of, the Fund. The Fund’s shares trade on the NYSE MKT under the ticker symbol “CTF.” The Fund is not a mutual fund, a closed-end fund, or any other type of “investment company” within the meaning of the Investment Company Act of 1940, as amended, and is not subject to regulation thereunder.

Proposed Conversion to Exchange-Traded Fund (“ETF”) Structure

On December 19, 2014, the Fund issued a press release announcing that the Manager had approved a plan to convert the Fund (the “Conversion”) into an open-ended ETF. On May 15, 2015, shareholders of the Fund approved amendments to the Fund’s Declaration of Trust that are necessary to complete the Conversion. To facilitate the Conversion, on July 9, 2015, the Fund filed a registration statement with the Securities and Exchange Commission (the “SEC”) to register common shares that may be issued from time to time after the Conversion. The Conversion requires regulatory clearance, including SEC approval of a new exchange rule pursuant to which the Fund’s shares will trade following the Conversion. On June 8, 2016, the Fund announced that the SEC had issued notice of the proposed new exchange rule, which was subsequently published in the Federal Register on June 13, 2016, and subject to a 45-day SEC review period. On July 28, 2016, the Fund announced that the SEC had extended the review period for the rule through September 9, 2016. If the SEC approves the proposed rule at the conclusion of this review period, the Fund intends to complete the Conversion as soon as practicable thereafter. There can be no assurance that SEC approval will be obtained, or if obtained, that the Conversion will be completed in the anticipated time frame. As of June 30, 2016, the Conversion remains subject to the receipt of regulatory approvals.

The Fund is not currently, and after the Conversion will not be, a mutual fund or any other type of investment company within the meaning of the 1940 Act. Until the Conversion occurs, the Fund will continue to operate as currently structured.

Investment Adviser

The Manager has selected its affiliate, Gresham Investment Management LLC (“Gresham LLC”), acting through its Near Term Active division (in that capacity, “Gresham” or the “Commodity Sub-adviser”), to manage the Fund’s commodity investment strategy and its options strategy. Gresham LLC is a Delaware limited liability company, the successor to Gresham Investment Management, Inc., formed in July 1992. Gresham LLC is registered with the CFTC as a commodity trading adviser and commodity pool operator, is a member of the NFA and is registered with the SEC as an investment adviser.

The Manager has selected its affiliate, Nuveen Asset Management, LLC (“Nuveen Asset Management” or the “Collateral Sub-adviser”), to manage the Fund’s collateral invested in cash equivalents, U.S. government securities and other short-term, high grade debt securities. Nuveen Asset Management is a Delaware limited liability company and is registered with the SEC as an investment adviser.

NUVEEN LONG/SHORT COMMODITY TOTAL RETURN FUND

NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2016

1. Organization (Continued)

The Manager, the Commodity Sub-adviser and the Collateral Sub-adviser are subsidiaries of Nuveen Investments, Inc. (“Nuveen Investments”). Nuveen Investments is a subsidiary of TIAA Global Asset Management.

Investment Objectives and Principal Investment Strategies

The Fund’s investment objective is to generate attractive total returns. The Fund is actively managed and seeks to outperform its benchmark, the Morningstar^® Long/Short Commodity Index^SM (the “Index”). In pursuing its investment objective, the Fund will invest directly in a diverse portfolio of exchange-traded commodity futures contracts that represent the main commodity sectors and are among the most actively traded futures contracts in the global commodity markets. Generally, individual commodity futures positions may be either long, short, or flat, depending upon market conditions. The Fund’s Commodity Sub-adviser uses a rules-based approach to determine the commodity futures contracts in which the Fund will invest, their respective weightings, and whether the futures positions in each commodity are held long, short or flat. The Fund’s commodity investments will, at all times, be fully collateralized. The Fund is not leveraged, and the notional amount of its combined long, short and flat futures positions will not exceed 100% of the Fund’s net assets. The Fund will also employ a commodity option writing strategy that seeks to produce option premiums for the purpose of enhancing the Fund’s risk-adjusted total return over time. Fund assets that are not committed as margin to the Fund’s clearing broker will be invested by the Collateral Sub-adviser in cash equivalents, U.S. government securities and other short-term, high grade debt securities

2. Summary of Significant Accounting Policies

The Fund follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) Topic 946 “Financial Services-Investment Companies.” The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”).

The accompanying unaudited financial statements were prepared in accordance with U.S. GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the SEC. In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Fund’s financial statements included in the Fund’s Annual Report on Form 10-K for the year ended December 31, 2015.

Basis of Accounting

The accompanying financial statements have been prepared in conformity with U.S. GAAP. The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Futures Contracts

The Fund invests in commodity futures contracts. Upon execution of a futures contract, the Fund is obligated to deposit cash or eligible securities, also known as “initial margin,” into an account at its clearing broker. Generally investments in futures contracts also obligate the investor and the clearing broker to settle monies on a daily basis

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NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2016

2. Summary of Significant Accounting Policies (Continued)

representing changes in the prior day’s “mark-to-market” of the open contracts. If the Fund has unrealized appreciation, the clearing broker would credit the Fund’s account with an amount equal to appreciation and conversely, if the Fund has unrealized depreciation, the clearing broker would debit the Fund’s account with an amount equal to depreciation. These daily cash settlements are also known as “variation margin.” In lieu of posting variation margin daily, the Fund has deposited cash with the clearing broker, generally representing approximately twice the required initial margin to cover the initial margin and the daily changes in the market value of its futures investments. Cash held by the clearing broker to cover both margin requirements on open futures contracts is recognized as “Deposits with brokers” on the Statements of Financial Condition.

During the period the futures contract is open, changes in the value of the contract are recognized as an unrealized gain or loss by “marking-to-market” on a daily basis to reflect the changes in market value of the contract, which are recognized as a component of “Unrealized appreciation or depreciation on futures contracts” on the Statements of Financial Condition and “Change in net unrealized appreciation (depreciation) of futures contracts” on the Statements of Operations. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract on the closing date and the value of the contract when originally entered into, which is recognized as a component of “Net realized gain (loss) from futures contracts” on the Statements of Operations.

Risks of investments in commodity futures contracts include possible adverse movement in the price of the commodities underlying the contracts, the possibility that there may not be a liquid secondary market for the contracts and the possibility that a change in the value of the contract may not correlate with a change in the value of the underlying commodities.

The average number of long and short futures contracts outstanding during the six months ended June 30, 2016 and the year ended December 31, 2015 was as follows:


	Six Months Ended June 30, 2016		Year Ended December 31, 2015
Average number of long and short futures contracts outstanding*		3,974		3,782

*	The average number of contracts is calculated based on the absolute aggregate number of contracts outstanding at the beginning of the year and at the end of each quarter within the respective period.

Refer to Note 3—Derivative Instruments and Hedging Activities within these Notes to Financial Statements for further details on futures contracts activity.

Options Contracts

The Fund may write (sell) and purchase options on commodity futures contracts to enhance the Fund’s risk-adjusted total return. When the Fund writes an option, an amount equal to the premium received is recognized as a component of “Options written, at value” on the Statements of Financial Condition and is subsequently adjusted to reflect the current value of the written option until the option expires or the Fund enters into a closing purchase transaction. The changes in value of the options written during the reporting period are recognized as a component of “Change in net unrealized appreciation (depreciation) of options written” on the Statements of Operations. When an option is exercised or expires, or the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid at expiration or on executing a closing purchase transaction is recognized as a component of “Net realized gain (loss) from options written” on the

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NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2016

2. Summary of Significant Accounting Policies (Continued)

Statements of Operations. The Fund, as writer of an option, has no control over whether the underlying instrument may be sold (called) and as a result bears the risk of an unfavorable change in the market value of the instrument underlying the written option. There is also the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. During the six months ended June 30, 2016 and year ended December 31, 2015, the Fund wrote call and put options on futures contracts.

The Fund did not purchase options on futures contracts during the six months ended June 30, 2016 and the year ended December 31, 2015. The purchase of options involves the risk of loss of all or part of the cash paid for the options (the premium). The market risk associated with purchasing options is limited to the premium paid. The counterparty credit risk of purchasing options, however, needs to take into account the current value of the option, as performance is expected from the counterparty.

Transactions in both call and put options written during the six months ended June 30, 2016 and the year ended December 31, 2015, were as follows:


	Six Months Ended June 30, 2016						Year Ended December 31, 2015
	Number of Contracts			Premiums Received			Number of Contracts			Premiums Received
Outstanding, beginning of period		705		$	2,323,340			597		$	2,636,904
Options written		3,497			7,697,984			4,982			18,059,094
Options terminated in closing purchase transactions		(1,156	)		(2,248,377	)		(1,872	)		(7,032,710	)
Options expired		(732	)		(1,058,526	)		(701	)		(1,206,726	)
Options exercised		(1,479	)		(4,117,135	)		(2,301	)		(10,133,222	)

Outstanding, end of period		835		$	2,597,286			705		$	2,323,340

The average number of both call and put options written outstanding during the six months ended June 30, 2016 and the year ended December 31, 2015, was as follows:


	Six Months Ended June 30, 2016		Year Ended December 31, 2015
Average number of options written outstanding*		731		704

*	The average number of contracts is calculated based on the outstanding number of contracts at the beginning of the year and at the end of each quarter within the respective period.

Refer to Note 3—Derivative Instruments and Hedging Activities within these Notes to Financial Statements for further details on options activity.

Netting Agreements

In the ordinary course of business, the Fund has entered into transactions subject to enforceable master repurchase agreements or other similar arrangements (“netting agreements”). Generally, the right to offset in netting agreements allows the Fund to offset any exposure to a specific counterparty with any collateral received or delivered to that counterparty based on the terms of the agreements. The Fund manages its cash collateral and

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NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2016

2. Summary of Significant Accounting Policies (Continued)

securities collateral on a counterparty basis. As of June 30, 2016 and December 31, 2015, the Fund was not invested in any portfolio securities or derivatives, other than the repurchase agreements further described below, that are subject to netting agreements.

Repurchase Agreements

In connection with transactions in repurchase agreements, it is the Fund’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the counterparty defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.

The following tables present the repurchase agreements for the Fund, presented on the Statements of Financial Condition as of June 30, 2016 and December 31, 2015, and recognized as a component of “Short-term investments, at value,” that are subject to netting agreements as of the end of the reporting period, and the collateral delivered related to those repurchase agreements.


	June 30, 2016
	Counterparty		Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements		State Street Bank	$	17,373,256	$	(17,373,256	)	$	—

	December 31, 2015
	Counterparty		Short-Term Investments, at Value		Collateral Pledged (From) Counterparty*			Net Exposure
Repurchase Agreements		State Street Bank	$	1,293,949	$	(1,293,949	)	$	—

*	As of June 30, 2016 and December 31, 2015, the value of the collateral pledged from the counterparty exceeded the value of the repurchase agreements. The value of the collateral pledged from the counterparty as of June 30, 2016 and December 31, 2015 was $17,721,810 and $1,321,469, respectively.

Collateral Investments

Currently, approximately 15% of the Fund’s net assets are committed to secure the Fund’s futures contract positions. These assets are placed in a commodity futures account maintained by the Fund’s clearing broker, and are held in high-quality instruments permitted under CFTC regulations.

The Fund’s remaining assets are held in a separate collateral investment account managed by the Collateral Sub-adviser. The Fund’s assets held in the separate collateral account are invested in cash equivalents, U.S. government securities and other high-quality short-term debt securities with final terms not exceeding one year at the time of investment. The collateral portfolio’s debt securities (other than U.S. government securities) are rated at the highest applicable rating as determined by at least one nationally recognized statistical rating organization, or if unrated, judged by the Collateral Sub-adviser to be of comparable quality.

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NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2016

2. Summary of Significant Accounting Policies (Continued)

Investment Valuation

Commodity futures contracts and options on commodity futures contracts which are traded on an exchange are valued at the final settlement price or official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent pricing services. These investments are generally classified as Level 1 for fair value measurement purposes. Over-the-counter commodity futures contracts and options on commodity futures contracts which are not traded on an exchange are valued, in order of hierarchy, by independent pricing services, price quotations obtained from counterparty broker-dealers, or through fair valuation methodologies as determined by the Manager. These investments are generally classified as Level 2. Additionally, events may occur after the close of the market, but prior to the determination of the Fund’s net asset value, that may affect the values of the Fund’s investments. In such circumstances, the Manager determines a fair valuation for such investments that in its opinion is reflective of fair market value. These investments are generally classified as Level 2 or Level 3 depending on the observability of the significant inputs.

Prices of fixed-income securities, including, but not limited to, highly-rated agency discount notes and U.S. Treasury bills, are provided by a pricing service approved by the Fund’s Manager. These securities are generally classified as Level 2. The pricing service establishes a security’s fair value using methods that may include consideration of the following: yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. These securities are generally classified as Level 2 or Level 3 depending on the priority of the significant inputs.

Repurchase agreements are valued at contract amount plus accrued interest, which approximates market value. These securities are generally classified as Level 2.

Fair Value Measurements

Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tier hierarchy of valuation inputs.

Level 1—Inputs are unadjusted and prices are determined by quoted prices in active markets for identical securities.

Level 2—Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Prices are determined using significant unobservable inputs (including management’s assumptions in determining the fair value of investments).

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NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2016

2. Summary of Significant Accounting Policies (Continued)

The inputs or methodologies used for valuing securities are not an indication of the risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of June 30, 2016 and December 31, 2015:


	June 30, 2016
	Level 1			Level 2		Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	228,060,520	$	—	$	228,060,520
Repurchase Agreements		—			17,373,256		—		17,373,256
Investments in Derivatives:
Futures Contracts*		6,897,789			—		—		6,897,789
Options Written		(3,144,864	)		—		—		(3,144,864	)

Total	$	3,752,925		$	245,433,776	$	—	$	249,186,701


	December 31, 2015
	Level 1			Level 2		Level 3		Total
Short-Term Investments:
U.S. Government and Agency Obligations	$	—		$	228,580,099	$	—	$	228,580,099
Repurchase Agreements		—			1,293,949		—		1,293,949
Investments in Derivatives:
Futures Contracts*		2,551,944			—		—		2,551,944
Options Written		(2,283,151	)		—		—		(2,283,151	)

Total	$	268,793		$	229,874,048	$	—	$	230,142,841

*	Represents the net unrealized appreciation (depreciation) on futures contracts as reported on the Statements of Financial Condition.

The Manager is responsible for the Fund’s valuation process and has delegated daily oversight of the process to the Manager’s Valuation Committee. The Valuation Committee, pursuant to its valuation policies and procedures, is responsible for making fair value determinations, evaluating the effectiveness of the Fund’s pricing policies, and reporting to the Manager’s senior management. The Valuation Committee is aided in its efforts by the Manager’s Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team.

For each portfolio instrument that has been fair valued pursuant to the Valuation Committee’s policies, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Manager’s senior management.

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NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2016

2. Summary of Significant Accounting Policies (Continued)

Investment Transactions

Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions are determined on the specific identification method, which is the same for federal income tax purposes.

Investment Income

Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis.

Brokerage Commissions and Fees

The Fund pays brokerage commissions, including applicable clearing costs, exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction-related fees and expenses, incurred in connection with its commodity trading activities.

Income Taxes

No provision for federal, state, and local income taxes has been made in the accompanying financial statements because the Fund has elected to be classified as a partnership for U.S. federal income tax purposes. Each owner of the Fund’s shares will be required to take into account its allocable share of the Fund’s income, gains, losses, deductions and other items for the Fund’s taxable year.

For all open tax years and all major taxing jurisdictions, the Manager of the Fund has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, the Manager of 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.

Expense Recognition

All expenses of the Fund are recognized on an accrual basis. The Fund pays all costs and expenses of its operations, including brokerage expenses, custody fees, transfer agent expenses, professional fees, expenses of preparing, printing and distributing reports, notices, information statements, proxy statements, reports to governmental agencies, and taxes, if any. Occasionally, the Fund may receive a refund or reduction for certain expenses previously incurred. When such events occur, the Fund may suspend or reverse an expense accrual, which in turn may result in a credit balance to that expense account recognized on the Statements of Operations.

In connection with the Conversion described previously, the Fund has incurred certain costs and expenses. Such amounts are recognized as a component of “Accrued conversion expenses” on the Statements of Financial Condition and “Conversion expenses” on the Statements of Operations, when applicable.

Calculation of Net Asset Value

The net asset value per share of the Fund on any given day is computed by dividing the value of all assets of the Fund (including any accrued interest), less all liabilities (including accrued expenses and distributions declared but unpaid), by the total number of shares outstanding.

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NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2016

2. Summary of Significant Accounting Policies (Continued)

Distributions

The Fund intends to make regular monthly distributions to its shareholders stated in terms of a fixed cents per share distribution rate. Among other factors, the Manager seeks to establish a distribution rate that roughly corresponds to its projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. In the event that the amount of income earned or capital gains realized by the Fund is not sufficient to cover the Fund’s distributions, the Fund may be required to liquidate investments to fund distributions at times or on terms that are disadvantageous to the Fund and its shareholders. As market conditions and portfolio performance may change, the rate of distribution on the shares and the Fund’s distribution policy could change. The Manager reserves the right to change the Fund’s distribution policy and the basis for establishing the rate of the Fund’s monthly distributions, or may temporarily suspend or reduce distributions without a change in policy, at any time and may do so without prior notice to shareholders.

Distributions to shareholders are recorded on the ex-dividend date.

Commitments and Contingencies

Under the Fund’s organizational documents, the Manager, Wilmington Trust Company (the Fund’s Delaware trustee) and the Manager’s Independent Committee members are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts that provide general indemnifications to other parties. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts and believes the risk of loss to be remote.

Financial Instrument Risk

The Fund utilizes commodity futures and options, whose values are based upon an underlying asset and generally represent future commitments that have a reasonable possibility of being settled in cash or through physical delivery. As of June 30, 2016 and December 31, 2015, the financial instruments held by the Fund were traded on an exchange and are standardized contracts.

Market risk is the potential for changes in the value of the financial instruments traded by the Fund due to market changes, including fluctuations in commodity prices. Investing in commodity futures contracts involves the Fund entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The market risk associated with the Fund’s commitments to purchase commodities will be limited to the gross or face amount of the contracts held. The Fund’s exposure to market risk may be influenced by a number of factors, including changes in international balances of payments and trade, currency devaluations and revaluations, changes in interest and foreign currency exchange rates, price volatility of commodity futures contracts and market liquidity, weather, geopolitical events and other factors. These factors also affect the Fund’s investments in options on commodity futures contracts. The inherent uncertainty of the Fund’s investments as well as the development of drastic market occurrences could ultimately lead to a loss of all, or substantially all, of investors’ capital.

Credit risk is the possibility that a loss may occur due to failure of a counterparty performing according to the terms of the futures and option contracts. The Fund may be exposed to credit risk from its investments in

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NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2016

2. Summary of Significant Accounting Policies (Continued)

commodity futures contracts and options on commodity futures contracts resulting from the clearing house associated with a particular exchange failing to meet its obligations to the Fund. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance of one of their members, which should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., as in some foreign exchanges), it may be backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to the Fund.

The Fund is subject to short exposure when it sells short a futures contract or writes a put option. Short sales are transactions in which the Fund initiates a position by selling a futures contract short. A short futures position allows the short seller to profit from declines in the price of the underlying commodity to the extent such declines exceed the transaction costs. In a short sale transaction, the Fund must deliver the underlying commodity at the contract price to a buyer of the contract who stands for delivery under the rules of the exchange that lists the contract or must offset the contract by entering into an opposite and offsetting transaction in the market. Likewise, the writer of a call option is required to deliver the underlying futures contract at the strike price or offset the option by entering into an opposite and offsetting transaction in the market. The price at such time may be higher or lower than the price at which the futures contract was sold short or the strike price of the call option when the option was written. If the underlying price of the futures contract goes down between the time that the Fund sells the contract short and offsets the contract, the Fund will realize a gain on the transaction. If the price of the underlying futures contract drops below the strike price of the call option written, the option will expire worthless and the Fund also will realize a gain to the extent of the option premium received. Conversely, if the price of the underlying short futures contract goes up during the period, the Fund will realize a loss on the transaction. If the price of the underlying futures contract is higher than the strike price of a call option written, the option will become in-the-money and the Fund may realize a loss less any premium received for writing the option. A short sale creates the risk of an unlimited loss since the price of the underlying commodity in a futures contract or the underlying futures contract in a call option written could theoretically increase without limit, thus increasing the cost of covering the short positions. In circumstances where a market has reached its maximum price limits imposed by the exchange, the short seller may be unable to offset its short position until the next trading day, when prices could increase again in rapid trading.

The commodity markets have volatility risk. The commodity markets have experienced periods of extreme volatility. General market uncertainty and consequent repricing risk have led to market imbalances of sellers and buyers, which in turn have resulted in significant reductions in values of a variety of commodities. Similar future market conditions may result in rapid and substantial valuation increases or decreases in the Fund’s holdings. In addition, volatility in the commodity and securities markets may directly and adversely affect the setting of distribution rates on the Fund’s shares.

3. Derivative Instruments and Hedging Activities

The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statements of Operations.

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NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2016

3. Derivative Instruments and Hedging Activities (Continued)

The following tables present the fair value of all derivative instruments held by the Fund as of June 30, 2016 and December 31, 2015, the location of these instruments on the Statements of Financial Condition and the primary underlying risk exposure.

June 30, 2016

Location on the Statements of Financial Condition

Underlying

Risk Exposure

Derivative
Instrument

Asset Derivatives

Liability Derivatives

Location

Value

Location

Value

Commodity

Futures Contracts

Unrealized appreciation on futures contracts

8,011,183

Unrealized depreciation on futures contracts

1,113,394

Commodity

Call Options

—

Options written, at value

2,629,879

Commodity

Put Options

—

Options written, at value

514,985

Total

8,011,183

4,258,258

December 31, 2015

Location on the Statements of Financial Condition

Underlying

Risk Exposure

Derivative

Instrument

Asset Derivatives

Liability Derivatives

Location

Value

Location

Value

Commodity

Futures Contracts

Unrealized appreciation on futures contracts

3,698,613

Unrealized depreciation on futures contracts

1,146,669

Commodity

Call Options

—

Options written, at value

160,940

Commodity

Put Options

—

Options written, at value

2,122,211

Total

3,698,613

3,429,820

The following table presents the amount of net realized gain (loss) and change in net unrealized appreciation (depreciation) recognized on derivative instruments during the six months ended June 30, 2016 and June 30, 2015, the location of these instruments on the Statements of Operations and the primary underlying risk exposure.


Commodity Risk Exposure	Six Months Ended June 30, 2016			Six Months Ended June 30, 2015
Net realized gain (loss) from:
Futures contracts	$	(19,301,155	)	$	(6,382,744	)
Options written (call options)		2,258,596			872,590
Options written (put options)		4,048,103			6,921,246
Change in net unrealized appreciation (depreciation) of:
Futures contracts	$	4,345,845		$	(1,824,761	)
Options written (call options)		(476,141	)		(377,692	)
Options written (put options)		(111,626	)		236,968

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NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2016

4. Related Parties

The Manager, the Commodity Sub-adviser and the Collateral Sub-adviser are considered to be related parties to the Fund.

For the services and facilities provided by the Manager, the Fund pays the Manager an annual management fee, payable monthly, based on the Fund’s average daily net assets, according to the following schedule:


Average Daily Net Assets	Management Fee
For the first $500 million		1.250	%
For the next $500 million		1.225
For the next $500 million		1.200
For the next $500 million		1.175
For net assets over $2 billion		1.150

“Average daily net assets” represents the total assets of the Fund, minus the sum of its total liabilities.

The Manager and the Fund have entered into sub-advisory agreements with the Commodity Sub-adviser and the Collateral Sub-adviser. Both the Commodity Sub-adviser and the Collateral Sub-adviser are compensated for their services to the Fund from the management fees paid to the Manager, and the Fund does not reimburse the Manager for those fees.

5. Share Repurchase Program

On March 14, 2013, the Fund adopted an open-market share repurchase program, pursuant to which it was authorized to repurchase up to 10% of its outstanding common shares (approximately 1,800,000 shares) in open-market transactions at the Manager’s discretion.

On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 1,775,000 shares) in open-market transactions at the Manager’s discretion.

The Fund did not have any transactions in share repurchases during the six months ended June 30, 2016 and the year ended December 31, 2015.

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NOTES TO FINANCIAL STATEMENTS (Continued) (Unaudited)

June 30, 2016

6. Financial Highlights

The following financial highlights relate to investment performance and operations for a Fund share outstanding during the three and six months ended June 30, 2016 and the three and six months ended June 30, 2015. The Net Asset Value presentation is calculated using average daily shares outstanding. The Ratios to Average Net Assets are calculated using average daily net assets and have been annualized for periods less than a full year. The Total Returns at Net Asset Value and Market Value are based on the change in net asset value and market value, respectively, for a share during the period. An investor’s return and ratios will vary based on the timing of purchasing and selling Fund shares.


	Three Months Ended June 30,						Six Months Ended June 30,
	2016			2015			2016			2015
Net Asset Value:
Net asset value per share—beginning of period	$	15.86		$	17.72		$	16.45		$	17.94
Net investment income (loss)		(0.06	)		(0.08	)		(0.12	)		(0.15	)
Net realized and unrealized gain (loss)		(0.28	)		(0.26	)		(0.54	)		(0.04	)
Distributions		(0.27	)		(0.36	)		(0.54	)		(0.73	)

Net asset value per share—end of period	$	15.25		$	17.02		$	15.25		$	17.02

Market Value:
Market value per share—beginning of period	$	15.06		$	16.68		$	15.54		$	16.60

Market value per share—end of period	$	14.84		$	16.43		$	14.84		$	16.43

Ratios to Average Net Assets:^(a)
Net investment income (loss)		(1.49	)%		(1.87	)%		(1.48	)%		(1.77	)%

Expenses		1.89	%		2.05	%		1.84	%		1.89	%

Total Returns:^(b)
Based on Net Asset Value		(2.17	)%		(1.96	)%		(4.08	)%		(1.11	)%

Based on Market Value		0.34	%		0.67	%		(1.03	)%		3.43	%

(a)	Annualized.

(b)

Total Return Based on Net Asset Value is the combination of changes in net asset value per share and the assumed reinvestment of distributions, if any, at net asset value per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the net asset value per share at the end of the period. Total returns are not annualized.

Total Return Based on Market Value is the combination of changes in the market price per share and the assumed reinvestment of distributions, if any, at the ending market price per share on the distribution payment date. The last distribution declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price per share at the end of the period. Total returns are not annualized.

Item 2.

Management’s Discussion and Analysis of Financial Condition and Results of Operations

This information should be read in conjunction with the financial statements and notes to financial statements included in Item 1 of Part I of this Quarterly Report (the “Report”). The discussion and analysis includes forward-looking statements that generally relate to future events or future performance. In some cases, you can identify forward-looking statements by terminology such as “may,” “will,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential” or the negative of these terms or other comparable terminology. These forward-looking statements are based on information currently available to Nuveen Commodities Asset Management, LLC (“NCAM” or the “Manager”), Gresham Investment Management LLC and its Near Term Active division (such division referred to herein as “Gresham” or the “Commodity Sub-adviser”) and Nuveen Asset Management, LLC (“Nuveen Asset Management” or the “Collateral Sub-adviser”) and are subject to a number of risks, uncertainties and other factors, both known and unknown, that could cause the actual results, performance, prospects or opportunities of the Nuveen Long/Short Commodity Total Return Fund (the “Fund”) to differ materially from those expressed in, or implied by, these forward-looking statements.

You should not place undue reliance on any forward-looking statements. Except as expressly required by the federal securities laws or otherwise, the Fund and the Manager undertake no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Report, as a result of new information, future events or changed circumstances or for any other reason after the date of this Report.

Introduction

The Fund is a commodity pool which was organized as a Delaware statutory trust on May 25, 2011 and commenced operations on October 25, 2012, with its public offering. The Fund’s shares trade on the NYSE MKT under the ticker symbol “CTF”. The Fund’s investment objective is to generate attractive total returns. The Fund is actively managed and seeks to outperform its benchmark, the Morningstar^® Long/Short Commodity Index^SM (the “Index”). The Index tracks the historical total return performance of a diverse portfolio of commodity futures, which may be invested long, short or flat. The Index uses a momentum rule to determine if each commodity futures position is long, short or flat. In pursuing its investment objective, the Fund invests directly in a diverse portfolio of exchange-traded commodity futures contracts that represent the main commodity sectors and are among the most actively traded futures contracts in the global commodity markets, and also invests in commodity options contracts (the futures and options are sometimes referred to as the “commodity portfolio”). Individual commodity futures positions may be either long or short (or flat in the case of energy futures) depending upon market conditions. The Fund’s options strategy seeks to produce option premiums for the purpose of enhancing the Fund’s risk-adjusted total return over time. The Fund is unleveraged, and the Fund’s commodity contract positions are fully collateralized with cash equivalents, U.S. government securities and other short-term, high-grade debt securities.

Proposed Conversion to ETF Structure

In connection with the Conversion, the Manager intends to implement a number of additional changes to the Fund that the Manager believes will better align a number of the Fund’s features with its newly-adopted ETF structure, including a reduction of the management fee, and changes to the Fund’s investment strategy, name and distribution policy. None of these expected changes have been finalized, and they remain subject to further revision by the Manager. In addition, following the Conversion, the Manager will continue to have the ability, without shareholder approval, to make subsequent changes to the operation of the Fund.

Results of Operations

The Quarter Ended June 30, 2016 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $14.84 on the close of business on June 30, 2016. This represents a decrease of 1.46% in share price (not including an assumed reinvestment of distributions) from the $15.06 price at which the shares of the Fund traded on the close of business on March 31, 2016. The high and low intra-day share prices for the quarter were $15.37 (June 10, 2016) and $14.43 (June 1, 2016), respectively. During the quarter, the Fund declared distributions totaling $0.270 per share to shareholders, of which $0.090 was paid on July 1, 2016. The remainder was paid during the quarter. The Fund’s cumulative total return on market value for the quarter, which assumes reinvestment of such distributions, was 0.34%. At June 30, 2016, shares of the Fund traded at a 2.69% discount to the Fund’s net asset value of $15.25 per share.

The Quarter Ended June 30, 2015 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $16.43 on the close of business on June 30, 2015. This represents a decrease of 1.50% in share price (not including an assumed reinvestment of distributions) from the $16.68 price at which the shares of the Fund traded on the close of business on March 31, 2015. The high and low intra-day share prices for the quarter were $16.88 (June 16, 2015) and $16.18 (April 29, 2015), respectively. During the quarter, the Fund declared distributions totaling $0.357 per share to shareholders, of which $0.119 was paid on July 1, 2015. The remainder was paid during the quarter. The Fund’s cumulative total return on market value for the quarter, which assumes reinvestment of such distributions, was 0.67%. At June 30, 2015, shares of the Fund traded at a 3.47% discount to the Fund’s net asset value of $17.02 per share.

The Quarter Ended June 30, 2016 – Net Assets of the Fund

The Fund’s net assets decreased from $259.2 million at March 31, 2016, to $249.2 million at June 30, 2016, a decrease of $10.0 million. The decrease in the Fund’s net assets was due to $4.4 million of distributions to shareholders and a net loss of $5.6 million.

The Fund generated a net loss of $5.6 million for the quarter ended June 30, 2016, resulting from expenses of $1.2 million and net realized losses of approximately $9.8 million, offset by interest income of $0.3 million and an increase in net unrealized appreciation of $5.1 million.

During the quarter ended June 30, 2016, the Fund’s collateral investments generated interest income of $253,880, which represents 0.10% of average net assets for the quarter ended June 30, 2016.

The net asset value per share on June 30, 2016, was $15.25. This represents a decrease of 3.85% in net asset value (not including an assumed reinvestment of distributions) from the $15.86 net asset value as of March 31, 2016. During the quarter, the Fund declared distributions totaling $0.270 per share to shareholders, of which $0.090 was paid on July 1, 2016. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -2.17% for the quarter ended June 30, 2016.

The Quarter Ended June 30, 2015 – Net Assets of the Fund

The Fund’s net assets decreased from $289.7 million at March 31, 2015, to $278.2 million at June 30, 2015, a decrease of $11.5 million. The decrease in the Fund’s net assets was due to a net loss of $5.6 million, in addition to approximately $5.9 million of distributions to shareholders.

The Fund generated a net loss of $5.6 million for the quarter ended June 30, 2015, resulting from interest income of $0.1 million offset by net realized losses of $1.2 million, change in net unrealized depreciation of approximately $3.0 million and total expenses of $1.5 million.

During the quarter ended June 30, 2015, the Fund’s collateral investments generated interest income of $123,629, which represents 0.04% of average net assets for the quarter ended June 30, 2015.

The net asset value per share on June 30, 2015, was $17.02. This represents a decrease of 3.95% in net asset value (not including an assumed reinvestment of distributions) from the $17.72 net asset value as of March 31, 2015. During the quarter, the Fund declared distributions totaling $0.357 per share to shareholders, of which $0.119 was paid on July 1, 2015. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -1.96% for the quarter ended June 30, 2015.

The Quarter Ended June 30, 2016 – Overall Commodity Market Commentary

The broad commodity market performed strongly in the second quarter of 2016, as measured by the Bloomberg Commodity Index (“BCOM”), supported by a favorable macro backdrop, improving fundamentals and bullish weather events. Currency fluctuations were a distinct theme in the second quarter. For most of the quarter, the U.S. Federal Reserve (the “Fed”) was expected to raise its target interest rate in June, providing support to the U.S. dollar. However, a disappointing jobs report in May and unease about the British vote to leave the European Union (commonly referred to as Brexit) took the potential June increase off the table, and the dollar retreated. All of the commodities traded in the Fund and BCOM are denominated in U.S. dollars, but the dollar weakening especially helped precious metals commodities to rally. The most dramatic currency swing was the British pound, which fell to a 31-year low versus the U.S. dollar after the British public voted on June 23 to leave the European Union. The yen, euro, Chinese yuan and other emerging market currencies were also volatile over the quarter.

As expected, the Fed left its benchmark interest rate unchanged at its June meeting. Although the June jobs report (released after the close of the quarter) significantly exceeded expectations and alleviated concerns that May was the start of a deceleration trend, the Brexit vote introduced a host of economic and political uncertainties. Central bank assurances helped soothe global markets, with many assets recovering most, if not all, of their post-Brexit trading losses by the end of the quarter. Looking at longer-term rates, Treasury yields fell to new lows in the Brexit aftershock, as risk aversion sent investors rushing into safe-haven assets such as government bonds and precious metals. Furthermore, with Japan adopting negative interest rates in early 2016 and low to negative rates across Europe, commodities and other non-yielding assets have benefited from investors seeking preservation of value.

Although the El Niño weather pattern officially ended in May, several grain and soft commodities saw price increases during the quarter driven by expectations for smaller harvests due to lower rainfalls in Southeast Asia and India, dry weather in Brazil and flooding in Argentina. Commodity producers and investors also continued to monitor conditions for a potential La Niña phenomenon, which could begin in the coming months and potentially disrupt growing seasons and transport.

The energy and industrial metals complexes also saw tightening supply conditions. Evidence that production cuts have started to balance some of the more-oversupplied markets triggered rallies across crude oil, natural gas and zinc. The energy sector was further boosted by a number of supply disruptions around the world, including forest fires in Canada, pipeline attacks in Nigeria, and worker strikes in France and Kuwait. However, the supply tightening trend could slow if the recent price rally encourages producers to reintroduce capacity.

The long-only BCOM rose 12.8% in the second quarter, while the Fund’s benchmark index, the Morningstar^® Long/Short Commodity Index^SM (the “Index”), was down 0.5% for the quarter. Within the Index, the metals and livestock groups delivered gains, while the agriculture group declined modestly and the energy group was flat.

The Quarter Ended June 30, 2015 – Overall Commodity Market Commentary

The BCOM gained 4.7% for the quarter, while the Index fell 2.1%. Within the Index, the metals and livestock groups posted modest gains, while agriculture declined and energy was flat.

The largest group by weight, energy commodities represented 50.6% of the Index at the end of the quarter. In the broad market, all energy commodities had positive returns for the quarter. Unleaded gas delivered the strongest price performance in the group, rallying on refinery outages, seasonal demand for driving and news that the Environmental Protection Agency was proposing to ease ethanol blend regulations. Crude oil also performed well in the broad market, as both Brent and West Texas Intermediate (WTI) prices rallied off their March lows on declining U.S. rig counts and lower U.S. production estimates from the Energy Information Administration. The Index maintained flat positions across all energy commodities for the period.

Agricultural commodities made up 27.6% of the Index at the end of the quarter. In the broad market, the prices of all agriculture commodities except coffee appreciated during the quarter. Heavy rainfall across key growing regions in the U.S. propelled grain prices, as fields flooded resulting in potentially reduced plantings. Additionally, a June 30th U.S. Department of Agriculture (USDA) crop report revealed potentially tighter-than-expected supplies of corn and soybeans. Dry conditions across a number of wheat-exporting countries, including Canada, Russia, Ukraine, France and Australia, further supported price appreciation for wheat, as did Russia’s implementation of an export tax to stem high bread prices and inflation. Cocoa prices were buoyed by a number of supply-related concerns, including concerns that Ghana may not have enough crops to fulfill its 2014-2015 contracts and the potential for an El Niño weather pattern to disrupt cocoa crops in Ecuador, Indonesia and West Africa. Cotton prices rallied late in the quarter, as heavy rains delayed plantings in several U.S. states, including Texas, a top producer of high-quality fiber. The Index’s agriculture group declined 8.5% for the quarter.

The metals group, at 15.0% of the Index at the end of the quarter, includes gold, silver and copper. U.S. dollar movements, reduced demand, and anticipation of rising U.S. interest rates weighed on gold and silver prices in the broad market. Copper also suffered losses in the broad market as worries about China’s slowing economy continued to dampen prices. The group gained 2.1% in the Index for the quarter.

The livestock group, at 6.7% of the Index at the end of the quarter, is the smallest group. Both live cattle and lean hogs contracts declined in the broad market over the quarter. Cattle prices were choppy during the quarter amid cattle herd rebuilding after last year and rain and flooding across the U.S. Midwest creating logistical problems for cattle producers. Higher supply levels and a slowdown in export demand drove lean hogs prices slightly down for the quarter. Concerns about the avian flu epidemic also pressured cattle and lean hogs prices. U.S. poultry export restrictions enacted because of the avian flu led to an increase in domestic chicken and turkey supplies, creating price competition for beef and pork heading into the summer months, when demand is usually higher. The Index’s livestock group was up 1.8% for the quarter.

The Quarter Ended June 30, 2016 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio declined 2.0% for the quarter (before considering the expenses of the Fund or the performance of its collateral portfolio). The Fund underperformed both the BCOM, which rose 12.8%, and the Index, which fell 0.5%. The Fund’s total return on net asset value for the quarter, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes the reinvestment of the Fund’s distribution, was -2.17%.

commodity futures contract seeking to limit return volatility and to provide cash flow to support the Fund’s distributions. The Fund receives cash premiums in return for writing options. If the Fund holds a long position in a specific commodity, it will sell covered calls on those contracts; if a short position is held, it will sell covered puts on contracts in that commodity. Typically, the options sold are at or in the money, and the Fund receives cash for the related premiums. Though the majority of the Fund’s option positions expire in the money, which can limit the Fund’s full participation in gains related to that commodity position, they are an important tool for reducing the Fund’s return volatility. For the period, the Fund had higher volatility than the Index, as measured by standard deviation of NAV return. The volatility in the commodity markets, in particular for energy commodities, caused excess trading in the Fund and exposed it to whipsaw (as explained below). This resulted in higher volatility for the Fund’s commodity portfolio relative to the Index, which remained flat for most energy commodities during the period.

The Fund has the flexibility to sell both puts and calls on a single commodity, should such commodity “flip” positions (i.e., go from a long position to a short position) during the life of a particular option. In this case, the Fund can collect additional premiums. During the period, the Fund did so for soybeans, soybean meal, silver and lean hogs, which contributed positively to performance. It is important to remember that a key driver of the Index’s long (and short) positions is the upward (or downward) momentum in the prices of its constituents relative to the moving averages of commodity prices. The Fund’s commodity portfolio long and short/flat positions share the same drivers as the Index, but are established more actively and with greater frequency (intra-month versus the Index’s once per month methodology). This dependence on momentum puts the Index and the Fund’s commodity portfolio at risk to price patterns that seem to demonstrate upward momentum (causing a shift from short/flat to long) but then shift to an equally compelling semblance of downward momentum (causing a shift from long to short/flat). This phenomenon is customarily described as a “whipsaw,” and the Fund’s greater potential for trading activity exposes it to greater whipsaw risk than the more passive Index in certain periods.

On an absolute performance basis, the Fund outperformed the Index in the agriculture group but lagged in the energy, metals and livestock groups during the quarter.

The bulk of the Fund’s relative underperformance was in the energy group. The Fund entered the second quarter with flat positions across all energy commodities and began trading in the petroleum products intra-quarter (but maintained a flat position in natural gas for the entire quarter). In May, for the first time since the summer of 2014, the Fund traded Brent crude contracts. Although energy commodities rallied during the quarter, pricing was volatile as fundamental tailwinds clashed with macroeconomic headwinds. The volatility caused the Fund to experience losses on its energy positions. By contrast, the Index flipped from a flat to a long position in Brent crude in late June, significantly reducing its exposure to the crude market’s price volatility when compared to the Fund.

In the metals group, the Fund’s silver position was the main relative laggard. Silver prices rallied strongly during the quarter on expectations of decreasing mine output and increasing industrial and jewelry demand, as well as its appeal as a risk hedge and store of value. The Fund began the quarter with a short position, which was detrimental as prices rose, but flipped to long in April, whereas the Index held a long position for the entire quarter. However, the Fund sold additional call options on silver during the position change and collected extra premiums that were beneficial to overall performance and helped offset some of the underperformance against the Index.

The Fund’s livestock position trailed the Index’s position during the quarter. The Fund continued to hold a short position in live cattle, which gained as prices were pressured lower due to rising supply levels and sluggish demand. Conversely, lean hogs futures rallied on expectations for increased demand in China, but pricing was volatile intra-quarter. This choppy trading environment caused the Fund to suffer whipsaw effect in its lean hogs position, which dampened performance, whereas the Index experienced less-frequent position changes. The Fund sold additional options during the position flips and collected premiums which offset some of the underperformance against the Index.

The Fund strongly outperformed the Index in the agriculture group during the quarter. Soybean meal posted the most outsized relative gains as the Fund benefited from more favorable timing in its position flip to long, capturing more of the upside in soybean meal’s price rally. The Fund also collected additional premiums when it sold call options on soybean meal when it switched to a long position. Corn was another standout performer for the Fund relative to the Index. Although both the Fund and Index posted losses in corn for the quarter overall, the Fund’s more advantageous timing on two different intra-quarter trades helped the Fund lose less value. Corn prices rallied for most of the quarter as dry weather in Brazil weighed on crop yield expectations, and the Fund established a long position a month earlier than the Index. However, a bearish crop report in June signaling more abundant supplies than expected caused prices to tumble. The Fund exited the position, mitigating its downside exposure, while the Index remained long at quarter-end.

The Quarter Ended June 30, 2015 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio was down 1.5% for the three-month period, before considering the expenses of the Fund or the performance of the collateral portfolio. The Fund underperformed the BCOM, which rose 4.7%, but outperformed the Index, which declined 2.1%. The Fund’s total return on net asset value for the same period, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes the reinvestment of the Fund’s distribution, was -1.96%.

The Fund may write – that is, sell – put and call options on up to 25% of the value of each of the Fund’s commodity futures contracts. During the period, Gresham generally wrote options on approximately 15% of each commodity futures contract seeking to limit return volatility and to provide cash flow to support the Fund’s distributions. The Fund receives cash premiums in return for writing options. If the Fund holds a long position in a specific commodity, it will sell covered calls on those contracts; if a short position is held, it will sell covered puts on contracts in that commodity. Typically, the options sold are at or in the money, and the Fund receives cash for the related premiums. Though the majority of the Fund’s option positions expire in the money, which can limit the Fund’s full participation in gains related to that commodity position, they are an important tool for reducing the Fund’s return volatility. For the period, the Fund had lower volatility than the Index, as measured by standard deviation of NAV return.

It is important to remember that a key driver of the Index’s long (and short) positions is the upward (or downward) momentum in the prices of its constituents relative to the moving averages of commodity prices. The Fund’s commodity portfolio long and short/flat positions share the same drivers as the Index, but are established more actively and with greater frequency (intra-month versus the Index’s once per month methodology). This dependence on momentum puts the Index and the Fund’s commodity portfolio at risk to price patterns that seem to demonstrate upward momentum (causing a shift from short/flat to long) but then shift to an equally compelling semblance of downward momentum (causing a shift from long to short/flat). This phenomenon is customarily described as a “whipsaw,” and the Fund’s greater potential for trading activity exposes it to greater whipsaw risk than the more passive Index in certain periods.

The Fund’s agriculture position was the main driver of outperformance relative to the Index, the energy positions had a neutral impact, and the livestock and metals positions detracted from relative results for the quarter.

The Fund’s agriculture position fell 5.1% during the quarter, compared to an 8.5% drop for the Index. The Fund began the quarter with short positions in all grains, which was unfavorable in a rising price environment. However, an advantageous flip to long in corn, soybeans, wheat and soybean meal helped the Fund capture some of the price appreciation, reversing the earlier losses and contributing to relative outperformance for the quarter

overall. The Fund also benefited from more advantageous timing in flipping its cocoa position from short to long. During these position shifts in grains and cocoa, the Fund collected additional premiums from selling both puts and calls, which further boosted performance. Relative gains in the sector were slightly offset by underperformance in the Fund’s cotton position. A choppy price environment for cotton caused excess flipping activity for the Fund, resulting in the Fund experiencing a whipsaw effect. However, the Fund collected additional option premium by selling both puts and calls on cotton during these position changes, which helped offset some of the negative impact of the whipsaw effect.

The Fund had no trading activity in the energy group during the quarter. Both the Fund and the Index have maintained flat positions across all energy commodities since the third quarter of 2014.

In the metals group, the Fund rose 1.4% during the quarter versus the BCOM’s 2.1% gain in the group. The Fund generally maintained short positions across all metals commodities during the quarter, which added value during a period of falling prices. However, the Fund’s copper position experienced the whipsaw effect, resulting in excess flipping activity, which detracted from relative returns.

The Fund’s livestock position declined 4.2% during the quarter, compared to the Index’s 1.8% gain. The group was the largest detractor from relative performance, primarily due to the Fund’s live cattle position. A choppy price environment for live cattle triggered excess flipping activity, causing the Fund to experience underperformance due to the whipsaw effect. Helping to offset some of the losses was the additional option premiums collected when the Fund sold both puts and calls on live cattle during the position changes.

The Six Months Ended June 30, 2016 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $14.84 on the close of business on June 30, 2016, a decrease of 4.50% in share price (not including an assumed reinvestment of distributions) from the $15.54 price at which the shares of the Fund traded on the close of business on December 31, 2015. The high and low intra-day share prices for the six month period were $15.72 (January 12, 2016) and $14.43 (June 1, 2016), respectively. During the six month period, the Fund declared distributions totaling $0.540 per share to shareholders, of which $0.090 was paid on July 1, 2016. The remainder was paid during the period. The Fund’s cumulative total return on market value for the six month period, which assumes reinvestment of such distributions, was -1.03%. At June 30, 2016, shares of the Fund traded at a 2.69% discount to the Fund’s net asset value of $15.25 per share.

The Six Months Ended June 30, 2015 – Fund Share Price

The Fund’s shares traded on the NYSE MKT at a price of $16.43 on the close of business on June 30, 2015. This represents a decrease of 1.02% in share price (not including an assumed reinvestment of distributions) from the $16.60 price at which the shares of the Fund traded on the close of business on December 31, 2014. The high and low intra-day share prices for the six month period were $17.06 (January 26, 2015) and $16.18 (April 29, 2015), respectively. During the six month period, the Fund declared distributions totaling $0.730 per share to shareholders, of which $0.119 was paid on July 1, 2015. The remainder was paid during the period. The Fund’s cumulative total return on market value for the six month period, which assumes reinvestment of such distributions, was 3.43%. At June 30, 2015, shares of the Fund traded at a 3.47% discount to the Fund’s net asset value of $17.02.

The Six Months Ended June 30, 2016 – Net Assets of the Fund

The Fund’s net assets decreased from $269.0 million at December 31, 2015, to $249.2 million at June 30, 2016, a decrease of $19.8 million. The decrease in the Fund’s net assets was due to approximately $8.9 million of distributions to shareholders and a net loss of $10.9 million.

The Fund generated a net loss of $10.9 million for the six month period ended June 30, 2016, resulting from interest income of $0.5 million and an increase in net unrealized appreciation of $4.0 million, offset by expenses of $2.4 million and net realized losses of $13.0 million

During the six month period ended June 30, 2016, the Fund’s collateral investments generated interest income of $460,636, which represents 0.18% of average net assets for the six month period ended June 30, 2016.

The net asset value per share on June 30, 2016, was $15.25. This represents a decrease of 7.29% in net asset value (not including an assumed reinvestment of distributions) from the $16.45 net asset value as of December 31, 2015. During the six month period, the Fund declared distributions totaling $0.540 per share to shareholders, of which $0.090 was paid on July 1, 2016. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -4.08% for the six month period ended June 30, 2016.

The Six Months Ended June 30, 2015 – Net Assets of the Fund

The Fund’s net assets decreased from $293.2 million at December 31, 2014, to $278.2 million at June 30, 2015, a decrease of $15.0 million. The decrease in the Fund’s net assets was due to a net loss of $3.0 million, in addition to approximately $12.0 million of distributions to shareholders.

The Fund generated a net loss of $3.0 million for the six month period ended June 30, 2015, resulting from interest income of $0.2 million and net realized gains of $1.4 million offset by change in net unrealized depreciation of $1.9 million and expenses of $2.7 million.

During the six month period ended June 30, 2015, the Fund’s collateral investments generated interest income of $172,109, which represents 0.06% of average net assets for the six month period ended June 30, 2015.

The net asset value per share on June 30, 2015, was $17.02. This represents a decrease of 5.13% in net asset value (not including an assumed reinvestment of distributions) from the $17.94 net asset value as of December 31, 2014. During the six month period, the Fund declared distributions totaling $0.730 per share to shareholders, of which $0.119 was paid on July 1, 2015. When an assumed reinvestment of these distributions is taken into account, the cumulative total return for the Fund on net asset value was -1.11% for the six month period ended June 30, 2015.

The Six Months Ended June 30, 2016 – Overall Commodity Market Commentary

In the six-month period, the broad commodity market rallied, advancing 13.3% as measured by the BCOM. Nearly all of the gains for this period occurred in the second quarter of 2016, as the BCOM’s first-quarter performance was hampered by a weak global growth outlook and persistent oversupply situations for energy and industrial metals in particular. However, in the second quarter, sentiment improved. Oil and natural gas inventory gluts eased, inclement weather moderated harvest expectations for a number of grains and soft commodities, and precious metals continued to reassert their appeal as a risk hedge and store of value against a backdrop of Brexit-related uncertainties and low interest rates in the U.S. and around the world.

The precious metals group was the top-performing group in the BCOM for the six-month period. The foods and fibers group (as grouped by Gresham) was another strong performer in the six-month period, led by appreciation in sugar contracts. Sugar prices were buoyed by forecasts for a global production deficit caused by El Niño induced weather, a stronger Brazilian real and weaker U.S. dollar, Brazil’s increased sugarcane ethanol biofuel production and India’s announcement of a new duty on sugar exports. Strong performance in the agriculture group was driven by massive rallies in soybean and soybean meal prices. Harvests in South America were hampered by poor weather, while demand from China was projected to increase, sending prices higher. Prices in the energy and industrial metals groups also rose in the BCOM over the six month period due to evidence that production cuts were beginning to restore balance to some of these commodities. However, the livestock group declined over the period and was the only negative performing group in the BCOM. Although lean hogs prices rallied, live cattle prices continued to fall amid rising supply levels and slackening beef demand.

The Index (the Morningstar^® Long/Short Commodity Index^SM, which is the Fund’s benchmark) declined 4.1% for the six-month period. Within the Index, the livestock group posted a small gain, the energy group was flat, and the agriculture and metals groups lost value.

The Six Months Ended June 30, 2015 – Overall Commodity Market Commentary

The broad commodity market fell 1.6% for the six-month period, as measured by the BCOM, as gains in the second half of the period partially offset losses earlier on. The Index was up 0.6% for the same period.

The livestock group was the Index’s best performer, up 9.9% for the period, led by the lean hogs position. In the broad market, lean hogs prices dropped 24.5%, hampered by supply increases. Pork production increased as farms recovered from a fatal virus outbreak and falling grain prices decreased the cost of feed. At the same time, U.S. exports slowed and the avian flu epidemic had a smaller-than-expected impact on pork demand. The Index’s short position in lean hogs benefited during this period of falling prices.

The metals group eked out a small gain of 0.5% for the period. The Index’s short position in copper was advantageous as prices fell in the broad market on concerns about China’s weakening economy and evidence of rising stockpiles. However, these gains were somewhat offset by negative results in the Index’s silver position.

The Index’s agriculture group posted a return of 0.3% for the period. After struggling in the first quarter of 2015, grain prices rebounded in the second quarter. Given, the grain markets’ choppiness throughout the period, the Index was hampered by long-short position changes that were a drag on performance in its grain positions.

However, the Index’s sugar and coffee positions rose by double-digits. Global supply gluts weighed heavily on prices for these two commodities in the broad market, which was favorable to the Index’s short positions.

The Index maintained flat positions across the energy group for the six-month period. In the broad market, energy commodities rallied in the second quarter, offsetting losses from the first three months of the year.

The Six Months Ended June 30, 2016 – Fund Commodity Portfolio

The Fund’s commodity portfolio was down 3.6% for the six-month period (before considering the expenses of the Fund or the performance of its collateral portfolio). The Fund underperformed the BCOM, which rose 13.3%, but outpaced the Index, which declined 4.1%. The Fund’s total return on net asset value for the year, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes the reinvestment of the Fund’s distribution, was -4.08%.

The Fund may write – that is, sell – put and call options on up to 25% of the value of each of the Fund’s commodity futures contracts. During the period, Gresham generally wrote options on approximately 15% of each commodity futures contract seeking to limit return volatility and to provide cash flow to support the Fund’s distributions. The Fund receives cash premiums in return for writing options. If the Fund holds a long position in a specific commodity, it will sell covered calls on those contracts; if a short position is held, it will sell covered puts on contracts in that commodity. Typically, the options sold are at or in the money, and the Fund receives cash for the related premiums. Though the majority of the Fund’s option positions expire in the money, which can limit the Fund’s full participation in gains related to that commodity position, they are an important tool for reducing the Fund’s return volatility. For the period, the Fund had higher volatility than the Index, as measured by standard deviation of NAV return. The volatility in the commodity markets, in particular for energy commodities, caused excess trading in the Fund and exposed it to whipsaw (as explained below). This resulted in higher volatility for the Fund’s commodity portfolio relative to the Index, which remained flat for most energy commodities during the period.

Fund can collect additional premiums. During the period, the Fund did so for soybeans, soybean meal, soybean oil, gold, silver and lean hogs, which contributed positively to performance. It is important to remember that a key driver of the Index’s long (and short) positions is the upward (or downward) momentum in the prices of its constituents relative to the moving averages of commodity prices. The Fund’s commodity portfolio long and short/flat positions share the same drivers as the Index, but are established more actively and with greater frequency (intra-month versus the Index’s once per month methodology). This dependence on momentum puts the Index and the Fund’s commodity portfolio at risk to price patterns that seem to demonstrate upward momentum (causing a shift from short/flat to long) but then shift to an equally compelling semblance of downward momentum (causing a shift from long to short/flat). This phenomenon is customarily described as a “whipsaw,” and the Fund’s greater potential for trading activity exposes it to greater whipsaw risk than the more passive Index in certain periods.

On an absolute performance basis, the Fund bested the Index in the agriculture and metals groups but trailed in the energy and livestock groups in the six-month period.

In the agriculture group, the Fund delivered strong outperformance relative to the Index in soybean meal, sugar and corn, due to more advantageous timing in position changes. The Fund profited from a flip to a long position in sugar, during a price rally in the first quarter, and a flip to long in soybean meal, when prices advanced in the second quarter. Corn prices moved higher for most of the second quarter then fell in the last month of the quarter. The Fund switched to a long position and captured price appreciation, then switched to a short position when prices were falling, whereas the Index remained long.

The Fund’s metals position saw outperformance in gold that was partially offset by underperformance in silver. Although both the Fund and Index began the period with short positions in gold, which hurt performance as gold rallied, the Fund benefited from an earlier flip to a long position that captured more of the price rally in the period. The Fund’s silver position was hampered by a short position entering the second quarter, which was unfavorable during the price rally.

The Fund’s energy position lagged the Index’s group, largely due to the Fund’s initiation of trading activity in petroleum products during the second quarter. Although prices ended the period higher, price movements were volatile during the second quarter, which hurt the Fund’s performance. The Index, however, remained flat across the energy complex, except for a flip to a long position in Brent crude at the end of the period.

In the livestock group, the Fund underperformed the Index, mainly driven by relative weakness in its lean hogs position. Lean hogs futures experienced bouts of price turbulence during the six-month period that caused the Fund to suffer whipsaw effect, which detracted from performance. In contrast, the Index made fewer position changes in lean hogs throughout the period.

The Six Months Ended June 30, 2015 – Fund Commodity Portfolio Commentary

The Fund’s commodity portfolio declined 0.3% for the six-month period, before considering the expenses of the Fund or the performance of the collateral portfolio. The Fund outperformed the BCOM, which was down 1.6%, but underperformed the Index, which was up 0.6%. The Fund’s total return on net asset value for the same period, which includes the effect of the Fund’s expenses and the performance of the collateral portfolio and assumes the reinvestment of the Fund’s distribution, was -1.11%.

cash for the related premiums. Though the majority of the Fund’s option positions expire in the money, which can limit the Fund’s full participation in gains related to that commodity position, they are an important tool for reducing the Fund’s return volatility. For the period, the Fund had lower volatility than the Index, as measured by standard deviation of NAV return.

The Fund has the flexibility to sell both puts and calls on a single commodity, should such commodity “flip” positions (i.e., go from a long position to a short position) during the life of a particular option. In this case, the Fund can collect additional premiums. During the period, the Fund did so in agriculture commodities, gold, and live cattle, which contributed positively to performance. It is important to remember that a key driver of the Index’s long (and short) positions is the upward (or downward) momentum in the prices of its constituents relative to the moving averages of commodity prices. The Fund’s commodity portfolio long and short/flat positions share the same drivers as the Index, but are established more actively and with greater frequency (intra-month versus the Index’s once per month methodology). This dependence on momentum puts the Index and the Fund’s commodity portfolio at risk to price patterns that seem to demonstrate upward momentum (causing a shift from short/flat to long) but then shift to an equally compelling semblance of downward momentum (causing a shift from long to short/flat). This phenomenon is customarily described as a “whipsaw,” and the Fund’s greater potential for trading activity exposes it to greater whipsaw risk than the more passive Index in certain periods.

The Fund’s underperformance relative to the Index was driven mostly by the livestock position and, to a lesser extent, the metals positions. The agriculture group had a moderately positive effect on relative returns, while energy was neutral.

The Fund’s livestock position declined 1.7% for the six month period and lagged the Index’s 9.9% gain. The Fund’s live cattle position was the main detractor. Choppy prices throughout the six-month period caused the Fund to experience excess flipping activity due to the whipsaw effect in its live cattle position, whereas the Index experienced less frequent position changes. However, the Fund collected additional option premium by selling both puts and calls on live cattle during these position changes, which helped offset some of the negative impact of the whipsaw effect.

In the metals group the Fund’s position fell 1.6% for the six month period as it underperformed the Index’s 0.5% gain. Relative performance in the metals group was hampered by the Fund’s gold position. Price volatility in January led to unfavorable flipping activity in the Fund’s gold position, as the Fund experienced the whipsaw effect. However, the Fund remained short gold for the entire second quarter, which helped mitigate earlier losses, as did the additional premium the Fund collected from selling both puts and calls during the first quarter.

During the six month period the Fund’s agriculture positions gained 1.7% which outperformed the Index’s 0.3% gain. The Fund’s agriculture position contributed positively to relative performance, most notably in wheat. The Fund captured part of the rally in wheat prices when it flipped to long in late June. Corn, cocoa and soybeans also bolstered relative gains in the sector. However, the Fund’s outperformance was somewhat tempered by its cotton and coffee positions, which trailed the Index’s positions due to flipping activity throughout the period. These position shifts enabled the Fund to sell both puts and calls on cotton and coffee, and therefore collect additional premium that was beneficial to performance.

Fund Total Returns

The following table presents selected total returns for the Fund and Index as of June 30, 2016. Market value and net asset value total returns are based on the change in market value and net asset value, respectively, for a share during the period presented. The total returns presented assume the reinvestment of distributions at market value on the distribution payment date for returns based on market value, and at net asset value on the distribution payment date for returns based on net asset value. The last distribution declared in the period, which is typically

paid on the first business day of the following month, is assumed to be reinvested at the market price at the end of the period for total returns based on market value, and at the net asset value at the end of the period for total returns based on net asset value.


	Total Returns as of June 30, 2016
	Cumulative						Average Annual
	3 Months			Year to Date			1 Year			Since Inception
Market Value		0.34	%		-1.03	%		-2.87	%		-5.07	%
Net Asset Value		-2.17	%		-4.08	%		-3.96	%		-4.06	%
Index		-0.53	%		-4.10	%		-2.32	%		-0.93	%

“Since inception” returns present performance for the period since the Fund’s commencement of operations on October 25, 2012.

Returns represent past performance, which is no guarantee of future performance.

Distributions

The Fund makes regular monthly distributions to its shareholders stated in terms of a fixed cents per share distribution rate. The Manager seeks to establish a distribution rate that, among other factors, roughly corresponds to its projections of the total return that could reasonably be expected to be generated by the Fund over an extended period of time. The Fund’s projected or actual distribution rate is not a prediction of what the Fund’s actual total returns will be over any specific future period.

The Fund’s ability to make distributions will depend on a number of factors, including, most importantly, the long-term total returns generated by the Fund’s commodity investments and the gains generated through the Fund’s options strategy. The Fund’s actual financial performance will likely vary significantly from month-to-month and from year-to-year, and there may be periods, perhaps of extended durations of up to several years, when the distribution rate exceeds the Fund’s actual total returns. In the event that the amount of income earned or capital gains realized by the Fund is not sufficient to cover the Fund’s distributions, the Fund may be required to liquidate investments to fund distributions at times or on terms that could be disadvantageous to the Fund and its shareholders.

Because the Fund’s investment performance since its inception has not been sufficient to cover the distributions made, the Fund has effectively been drawing upon its assets to meet payments prescribed by its distribution policy. The Fund also has paid fees and expenses that have also been drawn from the Fund’s assets.

As market conditions and portfolio performance may change, the rate of distributions on the shares and the Fund’s distribution policy could change. The Manager reserves the right to change the Fund’s distribution policy and the basis for establishing the rate of its monthly distributions, or may temporarily suspend or reduce distributions without a change in policy, at any time and may do so without prior notice to shareholders. The reduction or elimination of the Fund’s distributions could have the effect of increasing the Manager’s management fees.

Commodity Portfolio Composition and Weightings

The table below presents the composition and weightings of the Fund’s commodity portfolio and the Index as of June 30, 2016. The table below serves as a guide to how the composition and weightings of the Fund’s commodity portfolio compared to that of the Index as of June 30, 2016.


		Fund				Index
Commodity Group	Commodity	Exposure⁽¹⁾	Composition			Exposure⁽¹⁾	Composition
Energy	Crude Oil-Brent	Long		10.42	%	Flat		10.43	%
	Crude Oil-WTI	Long		10.25	%	Long		10.20	%
	Heating Oil	Long		16.87	%	Flat		16.80	%
	Natural Gas	Flat		7.24	%	Flat		7.17	%
	Unleaded Gas	Flat		6.46	%	Flat		6.63	%

				51.24	%			51.23	%

Agriculture	Soybean	Long		9.09	%	Long		9.23	%
	Corn	Short		4.82	%	Long		4.72	%
	Wheat	Short		3.11	%	Short		3.10	%
	Sugar	Long		2.76	%	Long		2.72	%
	Coffee	Long		2.10	%	Long		2.10	%
	Soybean Meal	Long		2.07	%	Long		2.13	%
	Soybean Oil	Long		1.69	%	Long		1.69	%
	Cocoa	Short		1.43	%	Short		1.41	%
	Cotton	Long		1.39	%	Long		1.34	%

				28.46	%			28.44	%

Metals	Gold	Long		8.89	%	Long		8.86	%
	Silver	Long		3.68	%	Long		3.70	%
	Copper	Short		2.52	%	Short		2.51	%

				15.09	%			15.07	%

Livestock	Live Cattle	Short		3.94	%	Short		3.94	%
	Lean Hogs	Long		1.27	%	Long		1.32	%

				5.21	%			5.26	%

Total				100.00	%			100.00	%

(1)

The Fund and the Index may take long and short positions on commodity futures contracts. The Fund and the Index will not short energy futures contracts due to prices of energy futures contracts generally being more sensitive to geopolitical events than to economic factors. References to a flat position, if any, mean that instead of taking a futures contracts position (long or short) when market signals dictate, the Fund will not have a futures contract position for that commodity, and will instead hold cash. The Fund may also have flat positions in other commodity groups for short periods of time in the course of implementing its investment strategy.

Liquidity and Capital Resources

The Fund pursues its investment objective by taking long and/or short positions in commodity futures contracts with a portion of the Fund’s assets, writing put and call options pursuant to the long/short commodity investment program, and by investing the remaining assets of the Fund as collateral in cash equivalents, U.S. government securities and other short-term, high-grade debt securities. The Fund’s investment activity in futures contracts and writing commodity options does not require a significant outlay of capital. The Fund currently expects to post approximately 10% to 25% of its net assets in a margin account with the Fund’s clearing broker to cover its futures contracts; the remaining assets are held by the Fund in a separate collateral pool managed by the Collateral Sub-adviser. The Fund believes the higher allocation to initial margin will provide a significant buffer to accommodate variations in the required margin posting that may result from market volatility, potential gains and losses on the contracts, and changes in margin rules, and will minimize the frequency of cash transfers from the Fund’s other collateral pool to meet variation margin requirements. The Fund does not intend to utilize leverage and its commodity contract positions are fully collateralized. Ordinary expenses and distributions are met by cash on hand, although distributions may at times consist of return of capital and may require that the Fund liquidate investments. The Fund earns interest on its continuing investments in cash equivalents, U.S. government securities and other short-term, high-grade debt securities. The Fund also generates cash from the premiums it receives when writing options on the Fund’s futures contracts.

The Fund’s investments in commodity futures contracts and options on commodity futures contracts may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, commodity exchanges limit fluctuations in certain commodity futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract for a particular commodity has increased or decreased by an amount equal to the daily limit, positions in the futures contract can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Commodity futures prices have occasionally moved the daily limit for several consecutive days with little or no trading. Such market conditions could prevent the Fund from promptly liquidating its commodity futures positions.

The Fund’s shares trade on the NYSE MKT, and shares are not redeemed by the Fund in the normal course of business (although the Manager may decide to do so at its discretion), thereby alleviating the need for the Fund to have liquidity available for possible shareholder redemptions. On March 14, 2013, the Fund announced the adoption of an open-market share repurchase program pursuant to which it is authorized to repurchase an aggregate of up to 10% of its outstanding common shares as of the authorization date in open-market transactions. On March 6, 2014 the Fund reauthorized its share repurchase program, pursuant to which it may repurchase up to 10% of its outstanding common shares as of the reauthorization date (approximately 1,775,000 shares) in open-market transactions, at the Manager’s discretion. Refer to “Part II—Item 2. Unregistered Sales of Equity Securities and Use of Proceeds” in this Report for details of repurchase activity during the six months ended June 30, 2016.

The Fund is unaware of any other trends, demands, conditions or events, other than the proposed Conversion, that are reasonably likely to result in material changes to the Fund’s liquidity needs.

Because the Fund invests in commodity futures contracts, its capital is at risk from changes in the value of these contracts (market risk) or the potential inability of clearing brokers or counterparties to perform under the terms of the contracts (credit risk).

Market Risk

Investing in commodity futures contracts involves the Fund entering into contractual commitments to purchase or sell a particular commodity at a specified date and price. The market risk associated with the Fund’s commitments to purchase commodities will be limited to the gross or face amount of the contracts held.

The Fund’s exposure to market risk may be influenced by a number of factors, including changes in international balances of payments and trade, currency devaluations and revaluations, changes in interest and foreign currency exchange rates, price volatility of commodity futures contracts and market liquidity, weather, geopolitical events and other factors. These factors also affect the Fund’s investments in options on commodity futures contracts. The inherent uncertainty of the Fund’s investments as well as the development of drastic market occurrences could ultimately lead to a loss of all, or substantially all, of investors’ capital.

Credit Risk

The Fund may be exposed to credit risk from its investments in commodity futures contracts and options on commodity futures contracts resulting from the clearing house associated with a particular exchange failing to meet its obligations to the Fund. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance of one of their members, which should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., as in some foreign exchanges), it may be backed by a consortium of banks or other financial institutions. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to the Fund.

The Fund attempts to minimize market risks, and the Commodity Sub-adviser attempts to minimize credit risks, by abiding by various investment limitations and policies, which include limiting margin accounts, investing only in liquid markets and permitting the use of stop-loss orders. The Commodity Sub-adviser implements procedures which include, but are not limited to:

•

Employing the options strategy to limit directional risk (although there is no guarantee that the Fund’s options strategy will be successful);

•

Executing and clearing trades only with counterparties the Commodity Sub-adviser believes are creditworthy;

•

Limiting the amount of margin or premium required for any one commodity contract or all commodity contracts combined; and

•

Generally limiting transactions to contracts which are traded in sufficient volume to permit the efficient taking and liquidating of positions.

A commodity broker, when acting as the Fund’s futures commission merchant, is required by Commodity Futures Trading Commission (“CFTC”) regulations to separately account for and segregate all assets of the Fund relating to domestic futures investments. A commodity broker is not allowed to commingle such assets with other assets of the commodity broker. In addition, CFTC regulations also require a commodity broker, when acting as the Fund’s futures commission merchant, to hold in a “secured” account the assets of the Fund related to foreign commodity futures investments and not commingle such assets with assets of the commodity broker.

As it relates to the Fund’s assets held as collateral for its investments in commodity futures contracts, there is credit risk present in the securities used to invest the Fund’s cash. While these consist of cash equivalents, U.S. government securities and other short-term, high-grade debt securities, like any investment, these too would be affected by any credit difficulties that might be experienced by their issuers.

Off-Balance Sheet Arrangements

As of June 30, 2016, the Fund has not utilized, nor does it expect to utilize in the future, special purpose entities to facilitate off-balance sheet financing arrangements and has no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Fund. While the Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on the Fund’s financial position.

Contractual Obligations

The Fund’s contractual obligations are with the Manager, the Commodity Sub-adviser, the Collateral Sub-adviser, the custodian, the transfer agent and the commodity broker. Management fee payments made to the Manager are calculated as a percentage of the Fund’s net assets. The custodian fee is primarily based on the Fund’s assets and trading activity. The transfer agent fee is calculated based on the Fund’s total number of registered accounts. Commission payments to the commodity broker are on a contract-by-contract or round-turn basis. The Manager cannot anticipate the amount of payments that will be required under these arrangements for future periods, as these payments are based on figures which are not known until a future date. Additionally, these agreements may be terminated by either party for various reasons.

Critical Accounting Policies

The Fund’s critical accounting policies are as follows:

•

Preparation of the financial statements and related disclosures in conformity with accounting principles generally accepted in the United States requires the application of appropriate accounting rules and guidance, as well as the use of estimates and assumptions. The Fund’s application of these policies involves judgments and actual results may differ from the estimates used.

•

The Fund holds a significant portion of its assets in futures contracts, options contracts, and short-term, high-grade debt instruments, all of which are recorded on a trade date basis and recognized at fair value in the financial statements, with changes in fair value reported on the Statements of Operations as change in net unrealized appreciation (depreciation).

•

The use of fair value to measure financial instruments, with related unrealized appreciation (depreciation) recognized in earnings in each period, is fundamental to the Fund’s financial statements.

•

The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

•

Generally, commodity futures contracts and options on commodity futures contracts traded on an exchange will be valued at the final settlement price or official closing price as determined by the principal exchange on which the instruments are traded as supplied by independent pricing services. Over-the-counter (“OTC”) commodity futures contracts and options on commodity futures contracts not traded on an exchange will be valued, in order of hierarchy, by independent pricing services, price quotations obtained from counterparty broker-dealers, or through fair valuation methodologies as determined by the Manager.

•

Market quotations for exchange-traded commodity futures contracts and options on commodity futures contracts may not be readily available as a result of significant events, which can include, but are not limited to: trading halts or suspensions, market disruptions, or the absence of market makers willing to make a market in such instruments. In addition, events may occur after the close of the market, but prior to the determination of the Fund’s net asset value, which may affect the values of the Fund’s investments. In such circumstances, the Manager will determine a fair valuation for such investments that in its opinion is reflective of fair market value.

•

Realized gains (losses) on closed positions and changes in unrealized appreciation (depreciation) on open positions are determined on a specific identification basis and recognized in the Statements of Operations during the period in which the contract is closed or the changes occur, respectively.

•

Interest income, which reflects the amortization of premiums and includes accretion of discounts for financial reporting purposes, is recorded on an accrual basis.

Refer to note 2 of the Fund’s Notes to Financial Statements in “Part 1—Item 1. Financial Statements” of this Report for the summary of significant accounting policies of the Fund.

Item 3.

Quantitative and Qualitative Disclosures About Market Risk

Quantitative Disclosure

The Fund is exposed to commodity price risk through the futures contracts and the options on futures contracts that the Fund invests in as part of its investment strategy. These instruments have been entered into for trading purposes. The following table provides information about the Fund’s futures contracts and options on futures contracts, which are sensitive to changes in commodity prices, as of June 30, 2016.


Long Futures Contracts

Commodity Group	Contract	Contract Position		Contract Expiration		Number of Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Contract		Long		September 2016		513	$	49.7100		1,000	$	25,501,230
	NYMEX Crude Oil Futures Contract		Long		August 2016		311		48.3300		1,000		15,030,630
	Heating Oil
	ICE Low Sulphur Gasoil Futures Contract		Long		August 2016		380		446.2500		100		16,957,500
	NYMEX NY Harbor ULSD Futures Contract		Long		August 2016		277		1.4887		42,000		17,319,536
Agriculture	Soybean
	CBOT Soybean Futures Contract		Long		November 2016		399		11.5325		5,000		23,007,338
	Sugar
	ICE Sugar Futures Contract		Long		October 2016		297		0.2033		112,000		6,762,571
	Coffee
	ICE Coffee C Futures Contract		Long		September 2016		96		1.4565		37,500		5,243,400
	Soybean Meal
	CBOT Soybean Meal Futures Contract		Long		December 2016		130		401.0000		100		5,213,000
	Soybean Oil
	CBOT Soybean Oil Futures Contract		Long		December 2016		171		0.3207		60,000		3,290,382
	Cotton
	ICE Cotton Futures Contract		Long		December 2016		106		0.6417		50,000		3,401,010
Metals	Gold
	CEC Gold Futures Contract		Long		August 2016		167		1,320.6000		100		22,054,020
	Silver
	CEC Silver Futures Contract		Long		September 2016		99		18.6230		5,000		9,218,385
Livestock	Lean Hogs
	CME Lean Hogs Futures Contract		Long		August 2016		95		0.8328		40,000		3,164,450

Short Futures Contracts

Commodity Group	Contract	Contract Position		Contract Expiration		Number of Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Agriculture	Corn
	CBOT Corn Futures Contract		Short		September 2016		645	$	3.6550		5,000	$	(11,787,375	)
	Wheat
	CBOT Wheat Futures Contract		Short		September 2016		285		4.4550		5,000		(6,348,375	)
	Cocoa
	ICE Cocoa Futures Contract		Short		September 2016		111		2,963.0000		10		(3,288,930	)
Metals	Copper
	CEC Copper Futures Contract		Short		September 2016		131		2.1955		25,000		(7,190,263	)
Livestock	Live Cattle
	CME Live Cattle Futures Contract		Short		August 2016		117		1.1483		40,000		(5,373,810	)
	CME Live Cattle Futures Contract		Short		October 2016		105		1.1465		40,000		(4,815,300	)


Commodity Call Options Written

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Energy	Crude Oil
	ICE Brent Crude Oil Futures Options		September 2016		(77	)	$	48.50	$	(199,430	)
	NYMEX Crude Oil Futures Options		July 2016		(78	)		49.00		(88,140	)
	Heating Oil
	NYMEX NY Harbor ULSD Futures Options		July 2016		(98	)		147.00		(252,311	)
Agriculture	Soybean
	CBOT Soybean Futures Options		October 2016		(61	)		920.00		(720,562	)
	Corn
	CBOT Corn Futures Options		August 2016		(97	)		395.00		(38,194	)
	Sugar
	ICE Sugar Futures Options		September 2016		(46	)		14.25		(314,272	)
	Coffee
	ICE Coffee C Futures Options		August 2016		(14	)		130.00		(90,143	)
	Soybean Meal
	CBOT Soybean Meal Futures Options		November 2016		(19	)		300.00		(193,705	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2016		(34	)		32.00		(32,232	)
	Cocoa
	ICE Cocoa Futures Options		August 2016		(17	)		3,100.00		(4,760	)
	Cotton
	ICE Cotton Futures Options		November 2016		(16	)		62.00		(33,440	)
Metals	Gold
	CEC Gold Futures Options		July 2016		(25	)		1,160.00		(401,750	)
	Silver
	CEC Silver Futures Options		August 2016		(15	)		15.50		(237,000	)
Livestock	Lean Hogs
	CME Lean Hogs Futures Options		August 2016		(14	)		80.00		(23,940	)

Commodity Put Options Written

Commodity Group	Contract	Contract Expiration		Number of Contracts			Strike Price		Value
Agriculture	Corn
	CBOT Corn Futures Options		August 2016		(97	)	$	395.00	$	(181,269	)
	Wheat
	CBOT Wheat Futures Options		August 2016		(43	)		510.00		(147,812	)
	Soybean Oil
	CBOT Soybean Oil Futures Options		November 2016		(34	)		32.00		(30,804	)
	Cocoa
	ICE Cocoa Futures Options		August 2016		(17	)		3,100.00		(28,050	)
Livestock	Live Cattle
	CME Live Cattle Futures Options		August 2016		(33	)		124.00		(127,050	)


CBOT		Chicago Board of Trade
CEC		Commodities Exchange Center
CME		Chicago Mercantile Exchange
ICE		Intercontinental Exchange
NY Harbor ULSD		New York Harbor Ultra-Low Sulfur Diesel
NYMEX		New York Mercantile Exchange

The Fund also invests the assets held as collateral for its investments in commodity futures contracts in cash equivalents, U.S. government securities, and other short-term, high-grade debt securities, which exposes the Fund to interest rate risk. These instruments are deemed to be entered into for non-trading purposes, with an emphasis on current income, liquidity and preservation of capital. As of June 30, 2016, the Fund held U.S. Treasury bills worth $228,060,520 with a par value of $228,400,000, and a repurchase agreement worth $17,373,256.

Qualitative Disclosure

The Fund’s primary trading risk exposure is commodity price risk, which affects the futures contracts and options on futures contracts in which the Fund invests. There are numerous uncertainties, contingencies and risks associated with these investments (as discussed in Part I—Item 1A. Risk Factors in the Fund’s annual report on Form 10-K for the year ended December 31, 2015, and Part II—Item 1A. Risk Factors in the Fund’s subsequent quarterly reports on Form 10-Q, filed with the SEC) which include, but are not limited to, government interventions, defaults and expropriations, adverse weather conditions, commodity supply factors, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, and increased regulation. Investors may lose all or substantially all of their investment in the Fund.

The Fund invests in a diversified portfolio of commodity futures contracts to obtain broad exposure to all principal groups in the global commodity markets, thereby limiting its exposure to the commodity price risk of any one futures contract or any specific commodity group. To further help manage commodity price risk, the Fund uses its options strategy in an attempt to enhance the Fund’s risk-adjusted total returns. The impact of the options strategy on the Fund’s total returns in varying market environments is described below.

If the Commodity Sub-adviser determines the Fund should have long exposure to an individual commodity futures contract, it will invest long in the commodity futures contract and sell a call option on the same underlying commodity futures contract with the same strike price and expiration date. In up markets where commodity prices increase, the portion of the Fund on which call options have been sold will forego potential appreciation in the value of the underlying contracts to the extent the price of those contracts exceeds the exercise price of call options sold plus the premium collected by selling the options. In flat or sideways markets, the portion of the Fund on which call options have been sold will generate current gains from the call option premiums collected by selling the options. In down markets where commodity prices decrease, the call options sold by the Fund will expire worthless. Regardless of the price performance of the long commodity futures position, the Fund will retain the net call option premiums received by the Fund.

If the Commodity Sub-adviser determines the Fund should have short exposure to an individual commodity futures contract, it will short the commodity futures contract and sell a put option on the same underlying commodity futures contract with the same strike price and expiration date. In down markets where commodity prices decrease, the portion of the Fund on which put options have been sold will forego potential appreciation in the value of the underlying futures contracts to the extent that the price of those contracts exceeds the exercise price of put options sold plus the premium collected by selling the options. In flat or sideways markets, the portion of the Fund on which put options have been sold will generate current gains from the put option premiums collected by selling the options. In up markets where commodity prices increase, the put options sold by the Fund will expire worthless. Regardless of the price performance of the short commodity futures position, the Fund will retain the net put option premiums received by the Fund.

There can be no assurance that the Fund’s options strategy will be successful. The Fund’s risk-adjusted returns over any particular period may be positive or negative.

The Fund’s primary non-trading risk exposures are interest rate risk and credit risk related to the collateral portfolio. Interest rate risk is mitigated by the short-term nature of the collateral portfolio’s debt securities. Credit

risk is mitigated by the fact that the collateral portfolio’s debt securities (other than U.S. government securities) are rated at the highest applicable rating as determined by at least one nationally recognized statistical rating organization (“NRSRO”) or, if unrated, judged by the Collateral Sub-adviser to be of comparable quality.

Item 4.

Controls and Procedures

Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Manager of the Fund, the Manager has evaluated the effectiveness of the Fund’s disclosure controls and procedures pursuant to Rules 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934 (the “Exchange Act”). Based upon that evaluation, the principal executive officer and principal financial officer concluded that the Fund’s disclosure controls and procedures were effective as of the end of the period covered by this Report to provide reasonable assurance that information required to be disclosed in the reports that the Fund files or submits to the SEC under the Exchange Act is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that it is accumulated and communicated to the management of the Manager as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control Over Financial Reporting

There were no changes in the Fund’s internal control over financial reporting (as defined in Rules 13a-15(f) and 15d-15(f) of the Exchange Act) that occurred during the reporting period covered by this Report that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

PART II. OTHER INFORMATION

Item 1.

Legal Proceedings

None.

Item 1A.

Risk Factors

There have been no changes to the Risk Factors since last reported on Part I, Item 1A of the Fund’s annual report on Form 10-K dated December 31, 2015, filed with the SEC.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds

a) None.

b) The Fund did not issue new shares within the six month period ended on June 30, 2016.

c) On March 14, 2013, the Fund adopted an open-market share repurchase program, pursuant to which it was authorized to repurchase an aggregate of up to 10% of its outstanding common shares (approximately 1,800,000 shares) in open-market transactions at the Manager’s discretion. On March 6, 2014, the Fund reauthorized its share repurchase program, pursuant to which it may repurchase an aggregate of up to 10% of its outstanding common shares as of the reauthorization date (approximately 1,775,000 shares). During the six month period ended June 30, 2016, the Fund did not repurchase any shares. A cumulative total of 2,455,000 shares have been repurchased through the repurchase program described above. No shares have been repurchased outside of the program described.

Item 3.

Defaults Upon Senior Securities

None.

Item 4.

Mine Safety Disclosures

Not applicable.

Item 5.

Other Information

None.

Item 6.

Exhibits



4.1		Amended and Restated Trust Agreement of the Fund. (1)

31.1		Certification of Principal Executive Officer Pursuant to Rule 13a-14(a) or Rule 15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

31.2		Certification of Principal Financial Officer Pursuant to Rule 13a-14(a) or Rule 15d-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

32.1		Certification of Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

32.2		Certification of Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

101.INS		XBRL Instance Document.

101.SCH		XBRL Taxonomy Extension Schema Document.

101.CAL		XBRL Taxonomy Extension Calculation Linkbase Document.

101.LAB		XBRL Taxonomy Extension Label Linkbase Document.

101.PRE		XBRL Taxonomy Extension Presentation Linkbase Document.

101.DEF		XBRL Taxonomy Extension Definition Linkbase Document.

(1)	Filed on September 20, 2012 with Amendment No. 6 to Registrant’s Registration Statement on Form S-1 (File No. 333-174764) and incorporated by reference herein.

SIGNATURES

Pursuant to the requirements of Section 13 or 15(d) of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized, in the City of Chicago, State of Illinois, on August 4, 2016.


Nuveen Long/Short Commodity Total Return Fund

By:		Nuveen Commodities Asset Management, LLC, its Manager

By:		/s/ William Adams IV
		President (Principal Executive Officer)

Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

Nuveen Commodities Asset Management, LLC

Manager of Registrant

/s/ William Adams IV

President

(Principal Executive Officer)

August 4, 2016

/s/ Stephen D. Foy

Chief Financial Officer

(Principal Financial and Accounting Officer)

August 4, 2016