N-CSR 1 d205987dncsr.htm WISDOMTREE TRUST ANNUAL REPORT DTD 8.31.21 WisdomTree Trust Annual Report dtd 8.31.21
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-21864

 

 

WisdomTree Trust

(Exact name of registrant as specified in charter)

 

 

230 Park Avenue

New York, NY 10169

(Address of principal executive offices) (Zip code)

 

 

The Corporation Trust Company

1209 Orange Street

Wilmington, DE 19801

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: (866) 909-9473

Date of fiscal year end: August 31

Date of reporting period: August 31, 2021

 

 

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

 


Table of Contents

Item 1. Reports to Stockholders.

 

  (a)

The Reports to Shareholders are attached hereto.

 

  (b)

Not Applicable.


Table of Contents

LOGO

 

LOGO

 

WisdomTree Trust

Annual Report

August 31, 2021

 

Currency Strategy Funds:

WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)

WisdomTree Chinese Yuan Strategy Fund (CYB)

WisdomTree Emerging Currency Strategy Fund (CEW)

Fixed Income Funds:

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

WisdomTree Emerging Markets Local Debt Fund (ELD)

WisdomTree Floating Rate Treasury Fund (USFR)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

WisdomTree Mortgage Plus Bond Fund (MTGP)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)

Alternative Funds:

WisdomTree Alternative Income Fund (HYIN)

WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW)

WisdomTree Enhanced Commodity Strategy Fund (GCC)

WisdomTree Managed Futures Strategy Fund (WTMF)


Table of Contents

Table of Contents

 

Market Environment Overview (unaudited)

       1  

Information about Performance and Shareholder Expense Examples (unaudited)

       4  

Management’s Discussion of Funds’ Performance (unaudited)

       5  

Description of Terms and Indexes (unaudited)

       20  
Schedules of Investments

 

WisdomTree Bloomberg U.S. Dollar Bullish Fund

       26  

WisdomTree Chinese Yuan Strategy Fund

       28  

WisdomTree Emerging Currency Strategy Fund

       30  

WisdomTree Emerging Markets Corporate Bond Fund

       32  

WisdomTree Emerging Markets Local Debt Fund

       37  

WisdomTree Floating Rate Treasury Fund

       41  

WisdomTree Interest Rate Hedged High Yield Bond Fund

       42  

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund

       49  

WisdomTree Mortgage Plus Bond Fund

       76  

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund

       79  

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund

       111  

WisdomTree Alternative Income Fund

       120  

WisdomTree CBOE S&P 500 PutWrite Strategy Fund

       121  

WisdomTree Enhanced Commodity Strategy Fund (consolidated)

       122  

WisdomTree Managed Futures Strategy Fund (consolidated)

       125  

Statements of Assets and Liabilities

       127  

Statements of Operations

       130  

Statements of Changes in Net Assets

       134  

Financial Highlights

       140  

Notes to Financial Statements

       149  

Report of Independent Registered Public Accounting Firm

       168  

Approval of Investment Advisory and Sub-Advisory Agreements (unaudited)

       170  

Liquidity Risk Management Program (unaudited)

       173  

Trustees and Officers Information (unaudited)

       174  

Supplemental Information (unaudited)

       176  

General Information (unaudited)

       177  

 

“WisdomTree” is a registered mark of WisdomTree Investments, Inc. and is licensed for use by the WisdomTree Trust.


Table of Contents

Market Environment Overview

(unaudited)

 

Global equity markets, as measured by the MSCI ACWI Index, returned 28.64% in U.S. dollar terms for the 12-month period ending August 31, 2021. Over the same period, U.S. equities, measured by the S&P 500 Index, returned 31.17%. Internationally, the MSCI EAFE Index, which represents equity markets in the developed world outside the U.S. and Canada, returned 26.65% in U.S. dollar terms. Within emerging markets, the MSCI Emerging Markets Index returned 21.12% in U.S. dollar terms over the same period.

Equity performance was mixed over the 12-month period. Markets were optimistic from the beginning of the fiscal year through the end of 2020 as global economies continued their recovery from the novel coronavirus (“COVID-19”) pandemic. Early in 2021, investors became more discerning as a number of headline risks related to COVID-19 infections, geopolitics, and central bank policy materialized in the various regions. These sentiments had material impacts for the fixed income, commodity, currency, and options markets.

The Bloomberg U.S. Aggregate Bond Index, a measurement of broad U.S. fixed income, returned 0.15% over the fiscal year, while the Bloomberg Commodity Index, representing global commodity activity, returned 31.00%. Foreign exchange performance over the 12-month period was also mixed, with the U.S. dollar strengthening and weakening against several developed and emerging market currencies. Fluctuations in currency markets were often directly tied to local monetary policy activity as well as each country’s trajectory of economic recovery. The CBOE® Volatility Index (VIX®), which measures options market positioning as a proxy for volatility, steadily declined over the fiscal year but exhibited brief spikes coinciding with major headline risks.

The remaining four months of 2020 exhibited much of the same economic recovery that began to materialize in the late-spring months, after the onset of the COVID-19 pandemic. With monetary policy around the world remaining firmly accommodative, investors continued their return to equity investing, sending global markets higher. Despite intermittent bouts of volatility, markets were generally calm as economic data improved but not such to suggest the threat of an imminent slowdown.

Late in the year, markets were also catalyzed by the results of the U.S. presidential election and the initial announcement of a vaccine to counteract COVID-19. The former event was a tailwind for U.S. markets, as the Biden administration’s plans for new infrastructure policy was additive for the cyclical economy. For investors, it also marked the perceived return to diplomatic relationships and coordinated global cooperation with the rest of the world. Unlike his predecessor, President Biden and his administration were keen on reestablishing diplomatic ties and rebuilding relationships that had deteriorated under the previous administration.

The vaccine announcement was bigger news, however, as it seemed to finally be the world’s ticket out of the pandemic. Investors piled more money into equities, sending global markets higher, in an effort to participate in the economic reopening.

The beginning of 2021 continued with much of the same optimism that concluded 2020. As equity markets continued higher on the back of vaccine approval and distributions, fixed income markets continued to suffer at the expense of the equity rally. The 10-year U.S. Treasury yield, which had already risen about 25 basis points off its lows at the start of the fiscal year, continued to rise to roughly 1.7% by the end of the first quarter of 2021. The U.S. dollar also strengthened against a basket of international currencies on the back of the rosier economic growth outlook and improved yields in fixed income. Commodity markets surged higher from the start of the calendar year, as the prospect of a global economic reopening supported prices that had been suppressed for much of 2020 after nearly a year of economic inactivity and diminished production.

Meanwhile, global economic data continued to improve and markets began to digest the possibility that more contractionary monetary and fiscal policies may be needed to quell overheating economies and rising inflation sooner than expected. Global equities continued to move higher, but investors became more discerning as they assessed the specific risks to each region.

 

WisdomTree Trust      1  


Table of Contents

Market Environment Overview

(unaudited) (continued)

 

In the U.S., inflationary pressures were top of mind but combatted with the fear that the improved economic outlook was too good to be true and would surely slow after the initial economic reopening. Because of this, investors’ eyes were focused on the U.S. Federal Reserve (“Fed”), looking to interpret any action (or inaction) as a sign of either continued accommodative monetary policy, or a hawkish pivot. More people continued to get vaccinated, which was additive for the cyclical economy that had been beaten down last year, but the U.S. continued to grapple with intermittent increases in COVID-19 infections, largely in areas of the country where vaccination rates were lowest. U.S. politics also presented challenges as well, as it became clear that U.S. Congress was bitterly divided and would face a number of hurdles in an effort to pass President Biden’s ambitious economic agenda.

In the developed international region, markets performed inline with the COVID-19 landscape. Those countries that were able to approve, secure and distribute vaccines most efficiently marched further toward a complete economic reopening. Those that lagged in the vaccination effort seemed to stagnate. In the late-spring and early-summer months of 2021, vaccination rates began to quickly improve in Europe and Japan, which provided a much-needed tailwind for both regions. Economic data continued to improve, though investors were confident the recovery still had a long way to go and therefore did not have much concern about restrictive fiscal and monetary policy pivots in the near-term.

Emerging markets were less fortunate. Certain areas grappled with rising COVID-19 infections, most notably India, Brazil and southeast Asia, while the region as a whole struggled to acquire and distribute vaccines like its developed market peers. Despite this, the Indian market continued to perform well amid the impact of COVID-19 and political tensions throughout the nation. Emerging markets continued higher on the back of accommodative global monetary policy, particularly within the U.S., and investors’ renewed risk appetite.

However, the outlook for emerging markets shifted in the summer months of 2021 with issues centering on China. Investors began to digest the reality that the U.S. political system under President Biden would be neither more friendly nor as constructive with China as they had hoped. Antipathy was common in U.S. Congress and across political parties. Relations between the U.S. and the largest emerging market economy continued to be marked by tension, stagnation, and remained on less favorable terms.

Meanwhile, Chinese markets had issues of their own through the end of the fiscal period. The biggest headwind was a shift in economic attitude from the Chinese Communist Party, led by President Xi Jinping. While China had historically been a market-friendly economy, despite being nominally communist, Chinese President Jinping and his underlings in government began to express distaste for the excessive wealth and influence that many of the nation’s most successful businesses and entrepreneurs began to accumulate. In a dramatic shift, government officials began to mandate several new policies that threatened the growth potential and profitability of many of China’s biggest companies, a sentiment which weighed heavily on emerging markets and erased much of 2021’s gains. These included limitations on profit-seeking, public listing of equity, and monopolization.

Concluding the 12-month fiscal period, global financial markets were generally stable, but many of the outsized gains witnessed across asset classes were in the rearview mirror. Global equities continued to oscillate with idiosyncratic risks related to geopolitics, monetary policy, and economic disruptions in connection with COVID-19 infections. The U.S. and China have embodied these issues significantly. The latter is now seeing signs of an economic slowdown despite remaining unscathed since the start of the pandemic. After the rapid, global economic improvement earlier this year, fixed income yields were rangebound with the 10-year U.S. Treasury yield remaining between roughly 1.20%-1.50%. Spreads remained at historically tight levels in corporate credit. Neither indicator may move very much until decisive actions are taken by the Fed. Currency performance was mixed, but the U.S. dollar continued to strengthen against international currencies

 

2   WisdomTree Trust


Table of Contents

Market Environment Overview

(unaudited) (concluded)

 

during the summer of 2021 after weakening briefly in the spring of 2021. Commodities stagnated late during the fiscal period and remain tied to the overall economic growth outlook. Volatility implied by the VIX® remained low despite intermittent spikes.

Each WisdomTree Fund’s performance as set forth in “Management’s Discussion of Funds’ Performance” in the pages that follow should also be viewed in light of the foregoing market environment.

 

WisdomTree Trust      3  


Table of Contents

Information about Performance and Shareholder Expense Examples (unaudited)

Performance

The performance tables on the following pages are provided for comparative purposes and represent the period noted. Each Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the midpoint of the bid and ask price for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other exchange traded funds (“ETFs”), NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessments of the underlying value of a Fund’s portfolio securities.

Fund shares are bought and sold at market price (not NAV) and are not individually redeemed from a Fund. Fund NAV returns are calculated using a Fund’s daily 4:00 p.m. eastern time NAV. Market price returns reflect the midpoint of the bid and ask price as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.

Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore, index returns do not reflect deductions for fees or expenses and an index is not available for direct investment. In comparison, the Funds’ performance is negatively impacted by these deductions. Fund returns do not reflect brokerage commissions or taxes on transactions in Fund shares or taxes that a shareholder would pay on Fund distributions. Past performance is no guarantee of future results. For the most recent month-end performance information visit www.wisdomtree.com.

Shareholder Expense Examples

Each Fund’s performance table is accompanied by a shareholder expense example. As a shareholder of a WisdomTree Fund, you incur two types of cost: (1) transaction costs, including brokerage commissions on purchases and sales of your Fund shares and (2) ongoing costs, including management fees and other Fund expenses. The examples are intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.

The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from March 1, 2021 to August 31, 2021. Except where noted, expenses are calculated using each Fund’s annualized expense ratio (after the effect of contractual or voluntary fee waivers, if any), multiplied by the average account value for the period, multiplied by 184/365 (to reflect the one-half year period). The annualized expense ratio does not include acquired fund fees and expenses (“AFFEs”), which are fees and expenses incurred indirectly by a Fund through its investments in certain underlying investment companies.

Actual expenses

The first line in the shareholder expense example table shown on the following pages provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during the period.

Hypothetical example for comparison purposes

The second line in the shareholder expense example table shown on the following pages provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line in the table is useful in comparing ongoing Fund costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

4   WisdomTree Trust


Table of Contents

Management’s Discussion of Funds’ Performance

as of August 31, 2021 (unaudited)

WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    94.9%  

Exchange-Traded Funds

    4.1%  

Other Assets less Liabilities‡

    1.0%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.04%, 9/9/21

    24.5%  

U.S. Treasury Bill,
0.04%, 9/16/21

    24.0%  

U.S. Treasury Bill,
0.04%, 10/7/21

    24.0%  

U.S. Treasury Bill,
0.04%, 10/14/21

    22.4%  

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.1%  
*

The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

^

For a full list of holdings information for the underlying WisdomTree fund, please see page 41 of this report.

The WisdomTree Bloomberg U.S. Dollar Bullish Fund (the “Fund”) seeks to provide total returns, before fees and expenses, that exceed the performance of the Bloomberg Dollar Total Return Index (the “Index”). The Fund seeks to achieve its investment objective by investing in short-term securities and instruments designed to potentially benefit as the U.S. dollar appreciates in value relative to a basket of global currencies. Although the Fund invests in short-term, investment grade instruments, the Fund is not a “money market” fund and it is not the objective of the Fund to maintain a constant share price.

The Fund returned -1.85% at net asset value (“NAV”) for the fiscal year ended August 31, 2021 (for more complete performance information please see the table below). Currency market performance was mixed during the fiscal year, with the U.S. dollar exhibiting periods of outperformance and underperformance versus a basket of global currencies. Overall, the Fund’s use of derivatives to gain long exposure to the U.S. dollar measured against a basket of global currencies detracted from performance during the fiscal year as the U.S. dollar weakened relative to the Fund’s exposures to global currencies. Likewise, interest rates in the U.S. Treasury market began to increase after a prolonged period of low rates during 2020. This was partly due to upgraded expectations for economic growth as the outlook for the COVID-19 pandemic improved. Investors migrated out of the U.S. Treasury and fixed income markets, causing rates to rise, as they moved back into equity markets to participate in the growth potential associated with the economic recovery. As the growth outlook also improved in developed and emerging markets, investors increased their equity exposures overseas, which helped support global currencies while intermittently weighing on the U.S. dollar. It finished the fiscal year at roughly the same level but had slightly negative performance due to its U.S. Treasury positioning.

Shareholder Expense Example (for the six-month period ended August 31, 2021)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized Net
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 1,006.30        0.50 %1    $ 2.53  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.68        0.50 %1    $ 2.55  
1 

WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs.

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       -1.85      0.03      0.31      1.85

Fund Market Price Returns

       -2.07      0.03      0.31      1.86

Bloomberg Dollar Total Return Index

       -1.40      -0.06      0.22      2.00

Bloomberg Dollar Spot Index

       -1.24      -1.02      -0.70      1.52
1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on December 18, 2013.

 

LOGO

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      5  


Table of Contents

Management’s Discussion of Funds’ Performance

as of August 31, 2021 (unaudited)

WisdomTree Chinese Yuan Strategy Fund (CYB)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    65.4%  

Repurchase Agreement

    30.0%  

Exchange-Traded Funds

    4.2%  

Other Assets less Liabilities‡

    0.4%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description    % of Net Assets  

U.S. Treasury Bill,
0.04%, 9/9/21

     33.8

U.S. Treasury Bill,
0.04%, 10/14/21

     31.6

Citigroup, Inc., tri-party repurchase agreement,
0.06%, 9/1/21††

     30.0

WisdomTree Floating Rate Treasury Fund (USFR)^

     4.2
*

The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

††

Fully collateralized by U.S. Government agency securities.

 

^

For a full list of holdings information for the underlying WisdomTree fund, please see page 41 of this report.

The WisdomTree Chinese Yuan Strategy Fund (the “Fund”) seeks to achieve total returns reflective of both money market rates in China available to foreign investors and changes in value of the Chinese yuan relative to the U.S. dollar. The Fund seeks to achieve its investment objective by investing in short-term securities and instruments designed to provide exposure to Chinese currency and money market rates. The Chinese yuan is a developing market currency, which can experience periods of significant volatility. Although the Fund invests in short-term, investment grade instruments, the Fund is not a “money market” fund and it is not the objective of the Fund to maintain a constant share price.

The Fund returned 8.39% at net asset value (“NAV”) for the fiscal year ended August 31, 2021 (for more complete performance information please see the table below). Global currency market performance was mixed during the fiscal year, but the Chinese yuan steadily appreciated against the U.S. dollar. As a result, the Fund’s use of derivatives to gain exposure to the Chinese yuan contributed positively to Fund performance during the fiscal year as the U.S. dollar weakened overall relative to the Fund’s exposure to the Chinese yuan. Dating back to last year, the Chinese economy was least impacted by the COVID-19 pandemic compared to the rest of the world and even managed to grow despite the global slowdown that defined 2020. That made investors increasingly bullish on China and the Chinese yuan, especially as the economic forecast for the U.S. economy was in doubt until this spring. The U.S. dollar rallied against the Chinese yuan during that brief period, but the Chinese yuan then resurged to continue its outperformance against the U.S. dollar to close the fiscal year. The outperformance of the Chinese yuan and underperformance of the U.S. dollar was also driven by changing investor attitudes impacting the U.S. Treasury market, where rates rose as investors sold their bond positions in order to participate in the economy recovery via the stock market as the economic outlook improved.

Shareholder Expense Example (for the six-month period ended August 31, 2021)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized Net
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 1,012.40        0.45 %1    $ 2.28  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.94        0.45 %1    $ 2.29  
1 

WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs.

Performance

 

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      10 Year  

Fund NAV Returns

       8.39      4.23      3.40      1.87

Fund Market Price Returns

       8.01      4.35      3.43      1.86

JP Morgan Emerging Local Markets Index Plus (ELMI+) China

       9.27      5.26      4.43      2.87

Chinese yuan

       6.20      1.88      0.67      -0.13

 

LOGO

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

6   WisdomTree Trust


Table of Contents

Management’s Discussion of Funds’ Performance

as of August 31, 2021 (unaudited)

WisdomTree Emerging Currency Strategy Fund (CEW)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    62.6%  

Repurchase Agreement

    31.4%  

Exchange-Traded Funds

    4.5%  

Other Assets less Liabilities‡

    1.5%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.04%, 10/14/21

    31.9%  

Citigroup, Inc., tri-party repurchase agreement,
0.06%, 9/1/21††

    31.4%  

U.S. Treasury Bill,
0.04%, 9/9/21

    30.7%  

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.5%  
*

The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

††

Fully collateralized by U.S. Government agency securities.

 

^

For a full list of holdings information for the underlying WisdomTree fund, please see page 41 of this report.

The WisdomTree Emerging Currency Strategy Fund (the “Fund”) seeks to achieve total returns reflective of both money market rates in selected emerging market countries available to foreign investors and changes to the value of these currencies relative to the U.S. dollar. The Fund seeks to achieve its investment objective by investing in short-term securities and instruments designed to provide exposure to the currencies and money market rates of selected emerging market countries. Emerging market currencies can experience periods of significant volatility. Although the Fund invests in short-term, investment grade instruments, the Fund is not a “money market” fund and it is not the objective of the Fund to maintain a constant share price.

The Fund returned 4.31% at net asset value (“NAV”) for the fiscal year ended August 31, 2021 (for more complete performance information please see the table below). Global currency market performance was mixed during the fiscal year, but emerging market currencies generally appreciated against the U.S. dollar (“USD”). As a result, the Fund’s use of derivatives to gain long exposure to a basket of emerging market currencies measured against the USD contributed positively to Fund performance during the fiscal year as the USD weakened overall relative to the Fund’s exposures to emerging market currencies. One strong outperformer was the Chinese yuan. Dating back to last year, the Chinese economy was least impacted by the COVID-19 pandemic compared to the rest of the world and even managed to grow despite the global slowdown that defined 2020. That made investors increasingly bullish on China and the Chinese yuan, and helped it edge higher versus the USD. Other outperformers included the South Korean won and Turkish lira. The underperformance of the USD was also driven by changing investor attitudes impacting the U.S. Treasury market, where rates rose as investors sold their bond positions in order to participate in the economy recovery via the stock market as the economic outlook improved.

Shareholder Expense Example (for the six-month period ended August 31, 2021)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized Net
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 1,001.10        0.55 %1    $ 2.77  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.43        0.55 %1    $ 2.80  
1 

WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs.

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      10 Year  

Fund NAV Returns

       4.31      1.89      1.13      -1.32

Fund Market Price Returns

       4.49      1.94      1.11      -1.33

JP Morgan Emerging Local Markets Index Plus (ELMI+)

       4.50      2.93      2.26      -0.16

Equal-Weighted Emerging Currency Composite

       5.23      2.86      2.04      -0.47

 

LOGO

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      7  


Table of Contents

Management’s Discussion of Funds’ Performance

as of August 31, 2021 (unaudited)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

 

Country Breakdown

 

Country   % of Net Assets  

Brazil

    9.0%  

Colombia

    6.8%  

Peru

    5.8%  

Russia

    5.8%  

India

    5.7%  

Mexico

    5.6%  

Chile

    5.5%  

Turkey

    4.5%  

Israel

    3.5%  

China

    3.5%  

South Korea

    3.3%  

United Arab Emirates

    3.1%  

Saudi Arabia

    3.0%  

Thailand

    2.7%  

Indonesia

    2.5%  

Kuwait

    2.4%  

Panama

    2.3%  

Kazakhstan

    2.3%  

Argentina

    2.1%  

Luxembourg

    1.9%  

South Africa

    1.7%  

Hong Kong

    1.7%  

Oman

    1.6%  

Netherlands

    1.5%  

Qatar

    1.4%  

Singapore

    1.3%  

Ireland

    1.2%  

Others

    5.7% ^ 

Other Assets less Liabilities‡

    2.6%  

Total

    100.0%  

 

The Fund’s country breakdown may change over time. It does not include derivatives (if any).

 

^

Includes countries that represent less than 1% of net assets.

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Tengizchevroil Finance Co. International Ltd.,
3.25%, 8/15/30

    1.5%  

NBK Tier 1 Financing 2 Ltd.,
4.50%, 8/27/25

    1.4%  

Bank of China Ltd.,
5.00%, 11/13/24

    1.4%  

Reliance Industries Ltd.,
3.67%, 11/30/27

    1.3%  

Saudi Arabian Oil Co.,
2.25%, 11/24/30

    1.3%  

Lukoil Securities B.V.,
3.88%, 5/6/30

    1.3%  

AES Panama Generation Holdings SRL,
4.38%, 5/31/30

    1.2%  

Bancolombia S.A.,
4.63%, 12/18/29

    1.2%  

PTTEP Treasury Center Co., Ltd.,
3.90%, 12/6/59

    1.2%  

Cia de Minas Buenaventura S.A.A.,
5.50%, 7/23/26

    1.2%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any).

The WisdomTree Emerging Markets Corporate Bond Fund (the “Fund”) seeks a high level of total return consisting of both income and capital appreciation. The Fund attempts to achieve its objective through investments in U.S. dollar denominated debt securities issued by corporate entities that are domiciled in, or economically tied to, emerging market countries.

The Fund returned 6.26% at net asset value (“NAV”) for the fiscal year ended August 31, 2021. The largest contributors to the Fund’s performance were its overweight positions in Brazil, Mexico, and Turkey. The largest detractors to the Fund’s performance were its positions in China. The Fund’s performance was driven largely by the rate movement across the emerging markets region. Post COVID-19 economic rebound and higher interest rates led emerging markets rates to increase, which caused the performance to lag. During the fiscal year, the Fund utilized derivatives to manage interest rate risk. The Fund’s use of derivatives to shorten the portfolio’s duration contributed positively to Fund performance as the spread between long- and short-term interest rates widened during the fiscal year.

Shareholder Expense Example (for the six-month period ended August 31, 2021)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 1,017.80        0.60   $ 3.05  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.18        0.60   $ 3.06  

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       6.26      7.75      5.27      4.58

Fund Market Price Returns

       5.26      7.71      5.38      4.55

JP Morgan CEMBI Diversified Index

       5.72      7.81      5.47      5.44
1 

Total returns are calculated based on the commencement of Fund trading on the NASDAQ on March 8, 2012.

 

LOGO

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

8   WisdomTree Trust


Table of Contents

Management’s Discussion of Funds’ Performance

as of August 31, 2021 (unaudited)

WisdomTree Emerging Markets Local Debt Fund (ELD)

 

Country Breakdown

 

Country   % of Net Assets  

Indonesia

    11.2%  

Russia

    11.2%  

Supranational Bonds

    8.8%  

Brazil

    8.3%  

Malaysia

    6.3%  

South Africa

    6.2%  

Mexico

    6.0%  

United States

    5.1%  

Poland

    4.8%  

China

    4.8%  

India

    4.4%  

Colombia

    3.2%  

Chile

    3.1%  

Peru

    2.9%  

Turkey

    2.8%  

Thailand

    2.3%  

Hungary

    2.0%  

Romania

    1.9%  

Philippines

    1.8%  

Other Assets less Liabilities‡

    2.9%  

Total

    100.0%  

 

The Fund’s country breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Citigroup, Inc., tri-party repurchase agreement,
0.06%, 9/1/21††

    5.1%  

Republic of Poland Government Bond,
2.50%, 7/25/27, Series 0727

    1.8%  

Republic of Poland Government Bond,
2.50%, 7/25/26, Series 0726

    1.7%  

Brazil Letras do Tesouro Nacional,
6.09%, 1/1/24, Series LTN

    1.6%  

European Investment Bank,
7.50%, 7/30/23

    1.5%  

Brazil Notas do Tesouro Nacional,
10.00%, 1/1/23, Series F

    1.4%  

International Finance Corp.,
7.00%, 7/20/27

    1.3%  

Brazil Letras do Tesouro Nacional,
6.88%, 7/1/23, Series LTN

    1.3%  

Philippine Government International Bond,
6.25%, 1/14/36

    1.2%  

International Finance Corp.,
7.50%, 1/18/28

    1.2%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

††

Fully collateralized by U.S. Government agency securities.

The WisdomTree Emerging Markets Local Debt Fund (the “Fund”) seeks a high level of total return consisting of both income and capital appreciation. The Fund attempts to achieve its objective through investments in fixed income instruments denominated in the local currencies of emerging market countries.

The Fund returned 4.06% at net asset value (“NAV”) for the fiscal year ended August 31, 2021. The largest contributor to the Fund’s performance was its overweight positions in Russia, as well as positions in South Africa and Brazil. The largest detractor to the Fund’s performance was its positions in Colombia, Peru, and Thailand. The Fund’s performance was driven largely by the movement in bond prices as a function of creditworthiness across the emerging markets (“EM”) region. For the first half of the fiscal year, there was continued economic recovery around the world and de-escalating concerns over COVID-19 amongst the world’s largest economies, leading to a continued upward trend in risk-on assets around the world, including EM sovereign debt. However, EM assets during the second half of the fiscal year have faced increased volatility, particularly as China has begun heavier regulations on privatized businesses and there have been some prominent defaults in the Chinese high yield market. In aggregate, the global recovery has added to positive performance along with a prolonged weaker U.S. dollar during the fiscal year.

Shareholder Expense Example (for the six-month period ended August 31, 2021)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 1,004.70        0.55   $ 2.78  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.43        0.55   $ 2.80  

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      10 Year  

Fund NAV Returns

       4.06      5.16      2.18      -0.37

Fund Market Price Returns

       4.10      5.06      2.17      -0.41

JP Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified Index

       4.14      5.78      3.18      0.36

 

LOGO

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      9  


Table of Contents

Management’s Discussion of Funds’ Performance

as of August 31, 2021 (unaudited)

WisdomTree Floating Rate Treasury Fund (USFR)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    100.0%  

Other Assets less Liabilities‡

    0.0% ^ 

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

 

^

Represents less than 0.05%.

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Floating Rate Note,
0.09%, 1/31/23

    27.8%  

U.S. Treasury Floating Rate Note,
0.08%, 4/30/23

    27.8%  

U.S. Treasury Floating Rate Note,
0.10%, 10/31/22

    25.7%  

U.S. Treasury Floating Rate Note,
0.07%, 7/31/23

    18.7%  
*

The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

The WisdomTree Floating Rate Treasury Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg U.S. Treasury Floating Rate Bond Index (the “Index”). In seeking to track the Index, the Fund invests in floating rate public obligations of the U.S. Treasury. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

The Fund returned 0.00% at net asset value (“NAV”) for the fiscal year ended August 31, 2021 (for more complete performance information please see the table below). As a result of the low short-term interest rate environment, there was no meaningful increase or decrease in the Fund’s overall performance during the fiscal year. The fiscal year began toward summer’s end 2020, when short-term rates in the U.S. Treasury market were virtually at 0% after the U.S. Federal Reserve (the “Fed”) stepped in earlier in the year to ease monetary conditions after the economic disruptions caused by the COVID-19 pandemic. Due to the severe economic impact, the Fed maintained that it would not raise short-term interest rates until the U.S. economy was steadily recovering from the pandemic. Since the short-dated yields of the U.S. Treasury market tend to mimic Fed activity, their rates remained close to 0% for the duration of the fiscal year. It is unlikely that they will change significantly until the Fed intervenes to raise interest rates once they have determined that the U.S. economy is once again growing at a sufficient pace and economic activity returns to pre-pandemic levels.

Shareholder Expense Example (for the six-month period ended August 31, 2021)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 1,000.00        0.15   $ 0.76  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.45        0.15   $ 0.77  

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       0.00 %2       1.10      1.14      0.78

Fund Market Price Returns

       0.00 %2       1.08      1.19      0.77

Bloomberg U.S. Treasury Floating Rate Bond Index

       0.17      1.27      1.32      0.95
1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on February 4, 2014.

 

2 

Represents less than 0.005%.

 

LOGO

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

10   WisdomTree Trust


Table of Contents

Management’s Discussion of Funds’ Performance

as of August 31, 2021 (unaudited)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Corporate Bonds

    96.0%  

Foreign Corporate Bonds

    0.7%  

Other Assets less Liabilities‡

    3.3%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Organon & Co.,
5.13%, 4/30/31

    0.9%  

Community Health Systems, Inc.,
4.75%, 2/15/31

    0.8%  

DaVita, Inc.,
3.75%, 2/15/31

    0.8%  

MGM Resorts International,
7.75%, 3/15/22

    0.8%  

Iron Mountain, Inc.,
4.50%, 2/15/31

    0.8%  

TransDigm, Inc.,
4.88%, 5/1/29

    0.7%  

DISH DBS Corp.,
5.88%, 11/15/24

    0.7%  

Diamond Sports Group LLC,
5.38%, 8/15/26

    0.7%  

Scientific Games International, Inc.,
8.25%, 3/15/26

    0.7%  

CSC Holdings LLC,
5.75%, 1/15/30

    0.6%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any).

The WisdomTree Interest Rate Hedged High Yield Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the WisdomTree U.S. High Yield Corporate Bond, Zero Duration Index (the “Index”). In seeking to track the Index, the Fund invests mainly in U.S. non-investment-grade corporate fixed income securities that are deemed to have favorable fundamental and income characteristics and obtains short exposure to U.S. Treasuries such that the Fund’s total portfolio duration approximates zero years. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

The Fund returned 8.33% at net asset value (“NAV”) for the fiscal year ended August 31, 2021 (for more complete performance information please see the table below). Prior to the fiscal year, interest rates fell dramatically as COVID-19 concerns forced the U.S. Federal Reserve (the “Fed”) to cut the Fed funds rate to 0%, resulting in declines across the entire U.S. Treasury yield curve. During the fiscal year, however, interest rates steadily climbed from their historic lows from the beginning of the fiscal year to recent highs during the spring of 2021, where the U.S. 10-year Treasury yield peaked at 1.74% (after starting the year at 0.72%). The U.S. 10-year Treasury yield subsequentially closed out the fiscal year at 1.30%. The Fund in aggregate benefited from its zero-duration hedge as opposed to longer duration counterparts. As a result, the Fund’s use of short futures contracts on U.S. Treasuries contributed positively to Fund performance during the fiscal year. High yield spreads consistently compressed during the fiscal year, causing high yield corporates to outperform. Historic amounts of fiscal and monetary stimulus, which have helped the markets and economy recover, have been enacted in the U.S. and are continuing to make their way through the economy, with talks of more spending stimulus potentially coming soon. This has benefited lower quality, high yield corporate issuers as they are able to recover now more quickly. The Fund had fully recovered all of its former pandemic-induced lows during February of 2021 and has continually reached new highs through the remainder of the fiscal year. The Fund’s underperformance relative to its Index was primarily attributable to representative sampling of the Index, amplified by the Fund’s tilt toward higher quality selections within the high yield spectrum (i.e., underweight CCC-rated and lower bonds). Over the fiscal year, many of the lowest quality names in the Index rallied to higher relative performance when compared to the Fund’s higher quality high yield securities coming off of their pandemic-selloff lows.

Shareholder Expense Example (for the six-month period ended August 31, 2021)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 1,029.80        0.43   $ 2.20  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,023.04        0.43   $ 2.19  

Performance

 

   
      Average Annual Total Return  
      1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

     8.33      2.49      4.16      3.28

Fund Market Price Returns

     9.41      2.54      4.20      3.30

ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index/WisdomTree U.S. High Yield Corporate Bond, Zero Duration Spliced Index2

     10.55      3.41      5.19      4.05
1 

Total returns are calculated based on the commencement of Fund trading on the NASDAQ on December 18, 2013.

 

2 

ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index through May 31, 2020; WisdomTree U.S. High Yield Corporate Bond, Zero Duration Index thereafter.

 

LOGO

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      11  


Table of Contents

Management’s Discussion of Funds’ Performance

as of August 31, 2021 (unaudited)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    37.7%  

U.S. Government Agencies

    28.2%  

U.S. Corporate Bonds

    23.0%  

Repurchase Agreement

    7.2%  

Foreign Corporate Bonds

    3.4%  

Commercial Mortgage-Backed Securities

    2.0%  

Supranational Bonds

    1.5%  

Foreign Government Obligations

    1.0%  

Foreign Government Agencies

    0.7%  

Municipal Bonds

    0.6%  

Asset-Backed Securities

    0.4%  

Other Assets less Liabilities‡

    -5.7%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description    % of Net Assets  

Citigroup, Inc., tri-party repurchase agreement,
0.06%, 9/1/21††

     7.2

Uniform Mortgage-Backed Security,
2.00%, 9/1/51

     2.5

Uniform Mortgage-Backed Security,
2.50%, 9/1/51

     1.3

Government National Mortgage Association,
2.50%, 9/1/51

     0.9

Government National Mortgage Association,
2.00%, 9/1/51

     0.7

Uniform Mortgage-Backed Security,
2.00%, 9/1/36

     0.7

U.S. Treasury Note,
0.88%, 11/15/30

     0.5

Federal National Mortgage Association,
1.88%, 9/24/26

     0.4

U.S. Treasury Note,
0.88%, 6/30/26

     0.4

U.S. Treasury Note,
1.63%, 5/15/31

     0.4
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

††

Fully collateralized by U.S. Government agency securities.

The WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg Rate Hedged U.S. Aggregate Bond Index, Zero Duration (the “Index”). In seeking to track the Index, the Fund invests mainly in U.S. investment grade fixed income securities and obtains short exposure to U.S. Treasuries such that the Fund’s total portfolio duration approximates zero years. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

The Fund returned 1.34% at net asset value (“NAV”) for the fiscal year ended August 31, 2021 (for more complete performance information please see the table below). Prior to the fiscal year, interest rates fell dramatically as COVID-19 concerns forced the U.S. Federal Reserve (the “Fed”) to cut the Fed funds rate to 0%, resulting in declines across the entire U.S. Treasury yield curve. During the fiscal year, however, interest rates steadily climbed from their historic lows from the beginning of the fiscal year to recent highs during the spring of 2021, where the U.S. 10-year Treasury yield topped out at 1.74% (after starting the year at 0.72%). From the beginning of the fiscal year to when the U.S. 10-year Treasury yield peaked at 1.74%, the Fund outperformed the broad U.S. bond market by 378 basis points. The U.S. 10-year Treasury yield subsequentially closed out the fiscal year at 1.30%. The Fund’s use of short futures contracts on U.S. Treasuries to hedge interest rate risk detracted from Fund performance during the fiscal year due to interest rate volatility and the timing of Fund flows. The U.S. Aggregate bond universe experienced modest positive performance over the fiscal year, primarily driven by corporate bonds recovering from their pandemic lows and spreads tightened, somewhat offset by the losses in longer duration U.S. Treasury bonds. Historic amounts of fiscal and monetary stimulus, which have helped the markets and economy recover, have been enacted in the U.S. and are continuing to make their way through the economy, with talks of more spending stimulus potentially coming soon.

Shareholder Expense Example (for the six-month period ended August 31, 2021)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 997.40        0.23   $ 1.16  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.05        0.23   $ 1.17  

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       1.34      1.70      1.88      1.28

Fund Market Price Returns

       1.45      1.59      1.91      1.30

Bloomberg Rate Hedged U.S. Aggregate Bond Index, Zero Duration

       1.67      1.69      1.92      1.58
1 

Total returns are calculated based on the commencement of Fund trading on the NASDAQ on December 18, 2013.

 

LOGO

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

12   WisdomTree Trust


Table of Contents

Management’s Discussion of Funds’ Performance

as of August 31, 2021 (unaudited)

WisdomTree Mortgage Plus Bond Fund (MTGP)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Agencies

    44.4%  

Collateralized Mortgage Obligations

    43.3%  

Collateralized Loan Obligations

    5.3%  

Commercial Mortgage-Backed Securities

    4.9%  

Asset-Backed Securities

    1.5%  

Other Assets less Liabilities‡

    0.6%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Uniform Mortgage-Backed Security,
2.50%, 10/14/51

    8.6%  

Uniform Mortgage-Backed Security,
2.00%, 10/14/51

    8.2%  

Government National Mortgage Association,
3.00%, 10/21/51

    6.3%  

Government National Mortgage Association,
2.50%, 9/21/51

    5.1%  

Government National Mortgage Association,
2.50%, 10/21/51

    4.3%  

Federal National Mortgage Association,
4.00%, 10/1/48

    3.0%  

Federal Home Loan Mortgage Corp. REMIC,
5.00%, 11/15/32, Series 2519, Class NU

    2.5%  

Government National Mortgage Association,
4.00%, 3/20/44, Series 2014-43, Class Z

    1.8%  

Federal Home Loan Mortgage Corp. REMIC,
4.00%, 1/15/41, Series 4179, Class AZ

    1.6%  

Government National Mortgage Association,
3.50%, 7/20/47

    1.6%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any).

The WisdomTree Mortgage Plus Bond Fund (the “Fund”) seeks income and capital appreciation. The Fund attempts to achieve its objective through investments in mortgage-related debt and other securitized debt.

The Fund returned 0.99% at net asset value (“NAV”) for the fiscal year ended August 31, 2021 (for more complete performance information please see the table below). Security selection within agency mortgages continued to be the main source of outperformance for the Fund. In addition, low rates, robust home sales, and limited inventory all contributed to a strong housing market. Solid growth expectations as the world re-opens, combined with strong earnings and consumer re-engagement, helped the securitized credit sectors’ returns. During the fiscal year, the Fund utilized derivatives to manage interest rate risk. The Fund’s use of derivatives to shorten the portfolio’s duration contributed positively to Fund performance as the spread between long- and short-term interest rates widened during the fiscal year.

Shareholder Expense Example (for the six-month period ended August 31, 2021)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 1,007.40        0.45   $ 2.28  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.94        0.45   $ 2.29  

Performance

 

   
        Average Annual Total Return  
        1 Year      Since Inception1  

Fund NAV Returns

       0.99      3.01

Fund Market Price Returns

       1.05      3.07

Bloomberg U.S. Securitized Mortgage Backed Securities/Asset Backed Securities/Commercial Mortgage Backed Securities (MBS/ABS/CMBS) Index

       -0.03      2.36
1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on November 14, 2019.

 

LOGO

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      13  


Table of Contents

Management’s Discussion of Funds’ Performance

as of August 31, 2021 (unaudited)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Agencies

    45.3%  

U.S. Corporate Bonds

    27.7%  

U.S. Government Obligations

    17.9%  

Repurchase Agreement

    13.5%  

Foreign Corporate Bonds

    5.1%  

Commercial Mortgage-Backed Securities

    1.9%  

Foreign Government Obligations

    1.8%  

Municipal Bonds

    0.6%  

Foreign Government Agencies

    0.2%  

Asset-Backed Securities

    0.1%  

Supranational Bonds

    0.1%  

U.S. Government Agencies Sold Short

    -1.4%  

Other Assets less Liabilities‡

    -12.8%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Citigroup, Inc., tri-party repurchase agreement,
0.06%, 9/1/21††

    13.5%  

Uniform Mortgage-Backed Security,
2.00%, 9/1/51

    5.9%  

Uniform Mortgage-Backed Security,
2.50%, 9/1/51

    3.4%  

Federal Home Loan Mortgage Corp.,
6.25%, 7/15/32

    1.8%  

Government National Mortgage Association,
2.50%, 9/1/51

    1.1%  

Tennessee Valley Authority,
5.25%, 9/15/39

    1.1%  

Government National Mortgage Association,
2.00%, 9/1/51

    1.0%  

Government National Mortgage Association,
3.00%, 9/1/51

    0.9%  

Federal Home Loan Bank,
5.50%, 7/15/36

    0.8%  

Uniform Mortgage-Backed Security,
1.50%, 9/1/51

    0.8%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

††

Fully collateralized by U.S. Government agency securities.

The WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg U.S. Aggregate Enhanced Yield Index (the “Index”). In seeking to track the Index, the Fund invests mainly in U.S. investment grade fixed income securities. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

The Fund returned 0.18% at net asset value (“NAV”) for the fiscal year ended August 31, 2021 (for more complete performance information please see the table below). Rising rates over the fiscal year negatively affected performance due to the Fund’s longer duration relative to the Index. However, investment grade spreads consistently tightened from the beginning to the end of the fiscal year, benefiting the non-U.S. Treasury exposure within the Fund. The Fund benefited from a significant underweight to longer-term U.S. Treasuries and an overweight to corporates, securitized debt, and agency debt as yields rose and spreads tightened. From a sector perspective, the Fund’s overweight position to Energy sector corporate bonds contributed positively to performance as commodity prices rose over the fiscal year. Historic amounts of fiscal and monetary stimulus, which have helped the markets and economy recover, have been enacted in the U.S. and are continuing to make their way through the economy, with talks of more spending stimulus potentially coming soon. The Fund benefited from owning a diversified basket of assets, however, due to its 100% investment grade mandate, the Fund lagged high-yield/junk-status bond issuers who had larger recoveries during the fiscal year.

Shareholder Expense Example (for the six-month period ended August 31, 2021)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 1,018.70        0.12   $ 0.61  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.60        0.12   $ 0.61  

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       0.18      5.64      3.26      3.90

Fund Market Price Returns

       0.20      5.62      3.22      3.90

Bloomberg U.S. Aggregate Enhanced Yield Index

       0.47      5.79      3.50      4.09

Bloomberg U.S. Aggregate Bond Index

       -0.08      5.43      3.11      3.55
1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on July 9, 2015.

 

LOGO

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

14   WisdomTree Trust


Table of Contents

Management’s Discussion of Funds’ Performance

as of August 31, 2021 (unaudited)

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    72.5%  

U.S. Corporate Bonds

    26.5%  

U.S. Government Agencies

    22.4%  

Commercial Mortgage-Backed Securities

    8.0%  

Foreign Corporate Bonds

    5.8%  

Asset-Backed Securities

    1.7%  

Supranational Bonds

    0.5%  

Foreign Government Obligations

    0.5%  

Foreign Government Agencies

    0.4%  

Other Assets less Liabilities‡

    -38.3%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.02%, 9/2/21

    19.5%  

U.S. Treasury Bill,
0.04%, 12/2/21

    18.5%  

Uniform Mortgage-Backed Security,
2.00%, 9/16/36

    15.9%  

U.S. Treasury Note,
0.50%, 3/31/25

    11.0%  

U.S. Treasury Bill,
0.05%, 3/3/22

    4.9%  

Uniform Mortgage-Backed Security,
2.50%, 9/16/36

    3.4%  

U.S. Treasury Note,
0.75%, 5/31/26

    3.0%  

U.S. Treasury Note,
0.13%, 8/31/23

    3.0%  

Federal Home Loan Mortgage Corp.,
0.38%, 4/20/23

    1.8%  

U.S. Treasury Note,
0.75%, 4/30/26

    1.5%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any).

The WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg U.S. Short Aggregate Enhanced Yield Index (the “Index”). In seeking to track the Index, the Fund invests mainly in short-term U.S. investment-grade fixed income securities having effective maturities generally shorter than five years. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

The Fund returned 0.69% at net asset value (“NAV”) for the fiscal year ended August 31, 2021 (for more complete performance information please see the table below). Rising rates over the fiscal year negatively affected performance due to the Fund’s longer duration exposure relative to the Index. However, because the Fund is investing in a shorter-term maturing universe of bonds, it had positive relative performance when compared to longer-duration strategies. Investment grade spreads consistently tightened from the beginning to the end of the fiscal year, benefiting the non-U.S. Treasury exposure within the Fund. The Fund benefited from a significant underweight position to U.S. Treasuries and an overweight allocation to corporates, securitized debt, and agency debt as yields rose and spreads tightened. From a sector perspective, the Fund’s overweight to Energy sector corporate bonds contributed positively to performance as commodity prices rose over the fiscal year. Historic amounts of fiscal and monetary stimulus, which have helped the markets and economy recover, have been enacted in the U.S. and are continuing to make their way through the economy, with talks of more spending stimulus potentially coming soon. The Fund benefited from owning a diversified basket of assets, however, due to its 100% investment grade mandate, the Fund lagged high-yield/junk-status bond issuers who had larger recoveries during the fiscal year.

Shareholder Expense Example (for the six-month period ended August 31, 2021)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 1,005.70        0.12   $ 0.61  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.60        0.12   $ 0.61  

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      Since Inception1  

Fund NAV Returns

       0.69      3.85      2.77

Fund Market Price Returns

       0.65      3.79      2.76

Bloomberg U.S. Short Aggregate Enhanced Yield Index

       0.76      3.74      2.77

Bloomberg U.S. Short Aggregate Composite Index

       0.40      3.67      2.61
1 

Total returns are calculated based on the commencement of Fund trading on the Cboe BZX Exchange, Inc. on May 18, 2017.

 

LOGO

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      15  


Table of Contents

Management’s Discussion of Funds’ Performance

as of August 31, 2021 (unaudited)

WisdomTree Alternative Income Fund (HYIN)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

Common Stocks

    70.8%  

Closed-End Mutual Funds

    29.1%  

Other Assets less Liabilities‡

    0.1%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Great Ajax Corp.

    3.2%  

FS KKR Capital Corp.

    3.1%  

PIMCO Corporate & Income Opportunity Fund

    3.0%  

Ares Capital Corp.

    3.0%  

BlackRock Corporate High Yield Fund, Inc.

    3.0%  

New Residential Investment Corp.

    3.0%  

Arbor Realty Trust, Inc.

    2.9%  

Eaton Vance Limited Duration Income Fund

    2.9%  

Highland Income Fund

    2.9%  

Blackstone Mortgage Trust, Inc., Class A

    2.9%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any).

The WisdomTree Alternative Income Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Gapstow Liquid Alternative Credit Index (the “Index”), which is designed to provide diversified exposure to alternative credit sectors. Alternative credit is an asset class that includes debt and debt-based investments that have a higher expected risk, return, and yield than traditional investment grade fixed income instruments. In seeking to track the Index, the Fund invests mainly in registered closed-end investment companies (“CEFs”), including CEFs that have elected to be regulated as “business development companies” under the Investment Company Act of 1940, as amended, and real estate investment trusts that are listed and publicly traded on a major U.S. stock exchange. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

The Fund had less than six months of operating history at the end of the reporting period and therefore no discussion of Fund performance or comparative performance information is shown in this shareholder report. Comparative performance information for the most recent month-end is available at www.wisdomtree.com.

Shareholder Expense Example (for the period1 ended August 31, 2021)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual1

   $ 1,000.00      $ 1,033.30        0.50   $ 1.64  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.68        0.50   $ 2.55  
1 

Fund commenced operations on May 6, 2021. Actual expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 118/365 (to reflect the period since commencement of operations).

 

16   WisdomTree Trust


Table of Contents

Management’s Discussion of Funds’ Performance

as of August 31, 2021 (unaudited)

WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    91.3%  

Exchange-Traded Funds

    4.5%  

Other Assets less Liabilities‡

    4.2%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description      % of Net Assets  

U.S. Treasury Bill,
0.04%, 11/18/21

       67.2

U.S. Treasury Bill,
0.05%, 11/26/21

       24.1

WisdomTree Floating Rate Treasury Fund (USFR)^

       4.5
*

The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

^

For a full list of holdings information for the underlying WisdomTree fund, please see page 41 of this report.

The WisdomTree CBOE S&P 500 PutWrite Strategy Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the CBOE S&P 500 PutWrite Index (the “Index”), utilizing a strategy of writing put options on the S&P 500 Index. The strategy is designed to receive a premium from the option buyer by selling (i.e., writing) a sequence of one-month, at-the-money, S&P 500 Index put options. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

The Fund returned 24.87% at net asset value (“NAV”) for the fiscal year ended August 31, 2021 (for more complete performance information please see the table below). During the fiscal year, the S&P 500 Index, the level of which the Fund writes monthly at-the-money options for, surged higher with minimal volatility to abate it. This was extremely positive for the Fund and helped its total return. Only three months of the fiscal year saw the S&P 500 exhibit a decline, all of which were slight. This weighed negatively on performance for the Fund but its impact was modest. The fiscal year saw slight, intermittent bouts of volatility in financial markets but nothing so prolonged that it became a severe headwind for the performance of the Fund. The Fund was able to write at-the-money options and collect the premium income from buyers, and the options regularly finished out-of-the-money, which meant that returns were not hampered by paying distributions to option buyers.

Shareholder Expense Example (for the six-month period ended August 31, 2021)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized Net
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 1,131.10        0.44 %1    $ 2.36  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.99        0.44 %1    $ 2.24  
1 

WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs.

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       24.87      5.42      6.99      7.76

Fund Market Price Returns

       24.71      5.44      6.98      7.75

CBOE S&P 500® PutWrite Index

       25.86      5.92      7.57      8.34

S&P 500® Index

       31.17      18.07      18.02      18.94
1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on February 24, 2016.

 

LOGO

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      17  


Table of Contents

Management’s Discussion of Funds’ Performance

as of August 31, 2021 (unaudited)

WisdomTree Enhanced Commodity Strategy Fund (GCC) (consolidated)

(predecessor, WisdomTree Continuous Commodity Index Fund)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    80.4%  

Exchange-Traded Funds

    4.2%  

Other Assets less Liabilities‡

    15.4%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.03%, 9/16/21

    74.9%  

U.S. Treasury Bill,
0.06%, 5/19/22

    4.8%  

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.2%  

U.S. Treasury Bill,
0.02%, 4/21/22

    0.6%  

U.S. Treasury Bill,
0.01%, 12/2/21

    0.1%  
*

The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

^

For a full list of holdings information for the underlying WisdomTree fund, please see page 41 of this report.

The WisdomTree Enhanced Commodity Strategy Fund (the “Successor Fund” and also herein, the “Fund”) seeks to achieve positive total returns in rising and falling markets that are not directly correlated to broad market equity or fixed income returns. The Successor Fund is actively managed and intends to provide broad-based exposure to the following four commodity sectors: Energy, Agriculture, Industrial Metals, and Precious Metals primarily through investments in futures contracts. The Successor Fund acquired all of the assets and all of the stated liabilities of the WisdomTree Continuous Commodity Index Fund (the “Predecessor Fund”) after the close of business on December 18, 2020 (the “Reorganization”). The Predecessor Fund was not registered as an investment company under the Investment Company Act of 1940, as amended, and was not required to register under the Act. Prior to the Reorganization, the Predecessor Fund’s investment objective sought to provide investors with exposure to the daily change in the price of a portfolio of commodities (the “Index Commodities”) comprising the Thomson Reuters Continuous Commodity Index, also known as the Continuous Commodity Total Return Index or Refinitiv Equal Weight Continuous Commodity Total Return Index (the “Index”), before expenses. The Index Commodities consisted of corn, soybeans, wheat, live cattle, lean hogs, gold, silver, copper, cocoa, coffee, sugar, cotton, soybean oil, platinum, crude oil, NY Harbor ULSD (formerly known as heating oil), and natural gas.

Prior to December 19, 2020, the ticker symbol GCC was used for the Predecessor Fund.

The Fund returned 18.04% at net asset value (“NAV”) for the fiscal period from December 19, 2020 through August 31, 2021. The largest contributors to the Fund’s performance were its exposures to the Energy sector. The largest detractors to the Fund’s performance were its exposures to Precious Metals. Due to post COVID-19 economic recovery and a high demand for fuel, the Energy sector has rallied for more than 30%. Precious Metals however, underperformed due to higher interest rates and economic optimism. In general, the Fund’s use of derivatives to obtain commodities exposure saw a rally during the fiscal period due to inflation fear and the increasing price for raw materials.

Shareholder Expense Example (for the six-month period ended August 31, 2021)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized Net
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 1,084.30        0.55 %1    $ 2.89  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.43        0.55 %1    $ 2.80  
1 

WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs.

Performance

 

   
        Cumulative Total Return1  

Fund NAV Returns

       18.04

Fund Market Price Returns

       18.04

S&P GSCI Index

       30.86

Bloomberg Commodity Index Total Return

       24.18
1 

For the period December 19, 2020 (post-reorganization) through August 31, 2021.

 

LOGO

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

18   WisdomTree Trust


Table of Contents

Management’s Discussion of Funds’ Performance

as of August 31, 2021 (unaudited)

WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    72.9%  

Exchange-Traded Funds

    4.1%  

Other Assets less Liabilities‡

    23.0%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time. It does not include derivatives (if any).

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.02%, 9/16/21

    68.7%  

U.S. Treasury Bill,
0.05%, 5/19/22

    4.2%  

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.1%  
*

The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

^

For a full list of holdings information for the underlying WisdomTree fund, please see page 41 of this report.

The WisdomTree Managed Futures Strategy Fund (the “Fund”) seeks to provide investors with positive total returns in rising or falling markets that are not directly correlated to broad market equity or fixed income returns. The Fund is managed using a quantitative, rules-based strategy and invests in a combination of diversified futures contracts for commodities, equities, currencies and interest rates.

The Fund returned 17.83% at net asset value (“NAV”) for the fiscal year ended August 31, 2021. The largest contributor to the Fund’s performance was its exposure to commodities, specifically its long exposures to agriculture and energy commodities. The largest detractors to the Fund’s performance were its exposures to gold and cocoa commodities. The Fund was restructured on June 7, 2021, with the new model benefiting from long exposures to equities as well as the U.S. dollar. The Fund has also benefited from a long commodity exposure to natural gas added in early August 2021. Due to post COVID-19 economic recovery, increasing demand for raw materials, and inflation fear, there was a strong rally in commodities. As a result, the Fund’s use of derivatives to obtain commodities exposure benefited Fund performance overall during the fiscal year. The Fund’s use of interest rate derivatives detracted from Fund performance due to the overall increase in interest rates on long-term U.S. Treasuries during the fiscal year.

Shareholder Expense Example (for the six-month period ended August 31, 2021)

 

         
      Beginning
Account Value
     Ending
Account Value
     Annualized Net
Expense Ratio
    Expenses Paid
During the
Period
 

Actual

   $ 1,000.00      $ 1,049.90        0.65 %1    $ 3.36  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,021.93        0.65 %1    $ 3.31  
1 

WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs.

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      10 Year  

Fund NAV Returns

       17.83      2.59      1.27      -1.13

Fund Market Price Returns

       18.31      2.67      1.37      -1.08

S&P Diversified Trends Indicator Index

       11.33      2.78      2.57      -0.03

S&P GSCI Index

       43.86      -2.15      3.27      -6.60

 

LOGO

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

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Table of Contents

Description of Terms and Indexes (unaudited)

Below are descriptions of certain terms and of each index referenced in this report.

Basis point:

A basis point is one hundredth of one percent, used mostly in expressing differences in interest rates.

Bloomberg Rate Hedged U.S. Aggregate Bond Index, Zero Duration:

The Bloomberg Rate Hedged U.S. Aggregate Bond Index, Zero Duration combines long positions in the Bloomberg U.S. Aggregate Bond Index with short positions in U.S. Treasury Bonds to provide a duration exposure of 0 years. Market values of long and short positions are rebalanced at month-end.

Bloomberg U.S. Aggregate Enhanced Yield Index:

The Bloomberg U.S. Aggregate Enhanced Yield Index uses a rules-based approach to reallocate across subcomponents in the Bloomberg U.S. Aggregate Bond Index seeking to enhance yield while maintaining a similar risk profile.

Bloomberg U.S. Securitized MBS/ABS/CMBS Index:

The Bloomberg U.S. Securitized MBS/ABS/CMBS Index is a market capitalization index that is designed to measure the performance of residential mortgage-backed securities issued by Government Sponsored Enterprises, commercial mortgage-backed securities, and asset backed securities.

Bloomberg U.S. Short Aggregate Composite Index:

The Bloomberg U.S. Short Aggregate Composite Index measures the performance of the short-term U.S. investment-grade bond market.

Bloomberg U.S. Short Aggregate Enhanced Yield Index:

The Bloomberg U.S. Short Aggregate Enhanced Yield Index uses a rules-based approach to reallocate across subcomponents in the Bloomberg U.S. Aggregate Bond Index that generally have effective maturities shorter than 5 years and seeks to enhance yield while maintaining a similar risk profile.

Bloomberg U.S. Aggregate Index:

The Bloomberg U.S. Aggregate Index represents the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, as well as mortgage and asset-backed securities.

Bloomberg Commodity Index Total Return:

Bloomberg Commodity Index Total Return is composed of futures contracts and reflects the returns on a fully collateralized investment in the Bloomberg Commodity Index (“BCOM”). This combines the returns of the BCOM with the returns on cash collateral invested in 13-week U.S. Treasury Bills.

Bloomberg Dollar Spot Index:

The Bloomberg Dollar Spot Index tracks the performance of a basket of 10 leading global currencies versus the U.S. dollar. Each currency in the basket and its weight is determined annually based on its share of international trade and foreign exchange (FX) liquidity.

 

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Table of Contents

Description of Terms and Indexes (unaudited) (continued)

 

Bloomberg Dollar Total Return Index:

The Bloomberg Dollar Total Return Index is total return version of the Bloomberg Dollar Spot Index (BBDXY). It is generated by adding the daily forward implied yield of each currency, and U.S. funding rate, to BBDXY returns.

Bloomberg U.S. Treasury Floating Rate Bond Index:

The Bloomberg U.S. Treasury Floating Rate Bond Index is a rules-based, market-value weighted index engineered to measure the performance and characteristics of floating rate coupon U.S. Treasuries which have a maturity greater than 12 months.

Bond Spread:

A bond spread is the difference between the yields of two bonds with differing credit ratings. Most often, a corporate bond with a certain amount of risk is compared to a standard risk-free Treasury Bond. The bond spread will show the additional yield that could be earned from a bond which has a higher risk. Generally, bond spreads are often a good barometer of economic health — widening (bad) and narrowing (good).

CBOE® S&P 500 PutWrite Index:

The CBOE® S&P 500 PutWrite Index tracks the value of a cash-secured (i.e., collateralized) put option sales strategy, which consists of selling (or “writing”) S&P 500® Index put options and investing the sale proceeds in one- and three-month Treasury bills.

Collateralized loan obligation (CLO):

A collateralized loan obligation is a form of securitization where payments from multiple middle sized and large business loans are pooled together and passed on to different classes of owners.

Commercial mortgage-backed securities (CMBS):

A type of mortgage-backed security that is backed by commercial and multifamily mortgages rather than residential real estate.

Consumer Price Index:

The Consumer Price Index (CPI) is a measure of the average change over time in the prices paid by urban consumers for a market basket of consumer goods and services.

Duration:

Duration is a measure of a bond’s sensitivity to changes in interest rates. The weighted average accounts for the various durations of the bonds purchased as well as the proportion of the total government bond portfolio that they make up.

Equal-Weighted Emerging Currency Composite:

A composite incorporating equal-weighted exposure to the currencies within the Emerging Currency Strategy Fund was constructed as an additional gauge of Emerging Currency Strategy Fund performance. The composite tracks the returns for the currencies using the total returns of the country subindices of the JP Morgan Emerging Local Markets Index Plus (ELMI+). Each subindex uses a weighted basket of one-month, two-month and three-month currency forwards (deliverable or nondeliverable) collateralized with U.S. money market rates to proxy the total returns of an investment in local-currency money market instruments. Currency exposures are rebalanced back to equal-weighting at the end of the month in which the Emerging Currency Strategy Fund intends to rebalance, and currency changes are reflected in the composite at the end of the month they are reflected in the Fund.

 

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Table of Contents

Description of Terms and Indexes (unaudited) (continued)

 

Gapstow Liquid Alternative Credit Index:

The Gapstow Liquid Alternative Credit Index (GLACI) is an equal-weighted index that tracks the performance of 35 Publicly Traded Alternative Credit Vehicles (“PACs”) using an objective, rules-based methodology. PACs are a subset of business development companies, real estate investment trusts, and closed-end funds, and selected because of their exposure to a range of U.S. alternative credit sectors (tradeable high yield, structured, and private credit) and borrower segments (households, corporations, and commercial real estate sponsors). GLACI is the first index constructed to provide diversified exposure to these alternative credit sectors and segments.

Gross Domestic Product:

Gross Domestic Product (GDP) is the total monetary or market value of all the finished goods and services produced within a country’s borders in a specific time period. As a broad measure of overall domestic production, it functions as a comprehensive scorecard of a country’s economic health.

ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index:

The ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index tracks the performance of the combination of a long position in short maturity U.S. high yield bonds and a short position in on-the-run U.S. Treasuries where the net interest rate exposure of the index is adjusted to a zero year duration. Market values of long and short positions are rebalanced at month-end.

ICE BofA Merrill Lynch U.S. Corporate Master Option-Adjusted Spread and the ICE BofA Merrill Lynch U.S. High Yield Option-Adjusted Spread:

The ICE BofA Merrill Lynch Option-Adjusted Spreads (“OAS”) are the calculated spreads between a computed OAS index of all bonds in a given rating category and a spot Treasury curve. An OAS index is constructed using each constituent bond weighted by market capitalization. The ICE BofA Merrill Lynch U.S. Corporate Master OAS uses an index of bonds that are considered investment grade (those rated BBB or better) and the ICE BofA Merrill Lynch U.S. High Yield Master OAS uses an index of bonds that are below investment grade (those rated BB or below).

ISM Manufacturing Index:

The ISM manufacturing index, also known as the purchasing managers’ index (PMI) is a monthly indicator of U.S. economic activity based on a survey of purchasing managers at more than 300 manufacturing firms. It is considered to be a key indicator of the state of the U.S. economy.

JP Morgan CEMBI Diversified Index:

The JP Morgan CEMBI Diversified Index is an alternatively weighted version of the JP Morgan CEMBI Index (a comprehensive U.S. dollar-denominated emerging market corporate bond index) which limits the weights of those index countries with larger corporate debt stocks by only including a specified portion of these countries’ eligible current face amounts of debt outstanding.

JP Morgan Emerging Local Markets Index Plus (ELMI+):

The JP Morgan Emerging Local Markets Index Plus (ELMI+) and its underlying country and regional subindices track the total returns for local-currency denominated money market instruments in emerging market countries.

 

22   WisdomTree Trust


Table of Contents

Description of Terms and Indexes (unaudited) (continued)

 

JP Morgan Emerging Local Markets Index Plus (ELMI+) China:

The China subindex uses a weighted basket of one-month, two-month and three-month currency forwards collateralized with U.S. money market rates to proxy the total returns of an investment in Chinese yuan money market instruments. The returns are reported in U.S. dollar terms.

JP Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified Index:

The JP Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified Index tracks the performance of local currency debt issued by emerging market governments, whose debt is accessible by most of the international investor base. The index incorporates a constrained market capitalization methodology in which individual issuer exposures are capped at 10% (with the excess distributed to smaller issuers) for greater diversification among issuing governments. The returns are reported in U.S. dollar terms.

Mortgage-backed security (MBS):

A mortgage-backed security is a type of asset-backed security which is secured by a mortgage or collection of mortgages.

Purchasing Managers’ Index:

The Purchasing Managers’ Index (PMI) is an index of the prevailing direction of economic trends in the manufacturing and service sectors. It consists of a diffusion index that summarizes whether market conditions, as viewed by purchasing managers, are expanding, staying the same, or contracting.

Risk-on and Risk-off:

Investors’ appetites for risk rise and fall over time. During periods when risk is perceived as low, the risk-on risk-off theory states that investors tend to engage in higher-risk investments (i.e., “Risk-on”). When risk is perceived to be high, investors have the tendency to gravitate toward lower-risk investments (i.e., “Risk-off”).

S&P 500® Index:

The S&P 500® Index is a capitalization-weighted index of 500 stocks selected by Standard & Poor’s Index Committee designed to represent the performance of the leading industries in the United States economy.

S&P Diversified Trends Indicator Index:

The S&P Diversified Trends Indicator Index is a diversified composite of global commodity and financial futures that are highly liquid.

S&P GSCI Index:

The S&P GSCI Index comprises the principal physical commodities that are the subject to active, liquid futures markets.

Spot Rate and NDF Rate Returns:

A “spot” rate is the foreign exchange rate on foreign currency contracts settled generally within two business days from the trade date. The NDF rate is the foreign exchange rate on non-deliverable forward currency contracts settled on a future date that is generally greater than two business days from the trade date. The Chinese yuan NDF return rate relative to the U.S. dollar calculated by WisdomTree is the rate of return percentage difference between the end of period NDF rate and the beginning of period NDF rate using WM/Reuters Singapore closing rates.

 

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Table of Contents

Description of Terms and Indexes (unaudited) (continued)

 

Thomson Reuters Continuous Commodity Index:

The Thomson Reuters Continuous Commodity Index, also known as the Continuous Commodity Total Return Index or Refinitiv Equal Weight Continuous Commodity Total Return Index (the “Index”), is composed of notional amounts of each of the following commodities (“Index Commodities”): corn, soybean, wheat, live cattle, lean hogs, gold, silver, copper, cocoa, coffee, sugar, cotton, soybean oil, platinum, crude oil, NY Harbor ULSD (formerly known as heating oil), and natural gas. The notional amounts of each Index Commodity included in the Index are in equal weight proportion to the Index Commodities or 1/17 weighting per index commodity rebalanced daily.

Tranches:

Are pieces of a pooled collection of securities, usually debt instruments, that are split up by risk or other characteristics in order to be marketable to different investors.

WisdomTree U.S. High Yield Corporate Bond, Zero Duration Index:

The WisdomTree U.S. High Yield Corporate Bond, Zero Duration Index is a rules-based alternatively weighted index that is designed to provide exposure to U.S. high yield corporate bonds with a short position in U.S. Treasuries where the net interest rate exposure of the index is adjusted to a zero year duration.

Yield Curve:

Graphical Depiction of interest rates on government bonds, with the current yield on the vertical axis and the years to maturity on the horizontal axis.

* * * * * *

Bloomberg® and the Bloomberg Indices are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”) and have been licensed for use for certain purposes by WisdomTree. Bloomberg is not affiliated with WisdomTree, and Bloomberg does not approve, endorse, review, or recommend each of AGGY, SHAG, or AGZD. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to each of AGGY, SHAG, or AGZD.

Merrill Lynch, Pierce, Fenner & Smith Incorporated and its affiliates (“ICE BofA Merrill Lynch”) indices and related information, the name “ICE BofA Merrill Lynch”, and related trademarks, are intellectual property licensed from ICE BofA Merrill Lynch, and may not be copied, used, or distributed without ICE BofA Merrill Lynch’s prior written approval. The licensee’s products have not been passed on as to their legality or suitability, and are not regulated, issued, endorsed, sold, guaranteed, or promoted by ICE BofA Merrill Lynch. ICE BofA MERRILL LYNCH MAKES NO WARRANTIES AND BEARS NO LIABILITY WITH RESPECT TO THE INDICES, ANY RELATED INFORMATION, ITS TRADEMARKS, OR THE PRODUCT(S) (INCLUDING WITHOUT LIMITATION, THEIR QUALITY, ACCURACY, SUITABILITY AND/OR COMPLETENESS).

The CBOE S&P 500 PutWrite Index is a product of S&P Dow Jones Indices LLC or its affiliates (“SPDJI”) and CBOE® and has been licensed for use by WisdomTree. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is registered trademark of Dow Jones Trademarks Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by WisdomTree. CBOE® is a trademark of the Chicago Board Options Exchange, Incorporated, and has been licensed for use by SPDJI and WisdomTree. The WisdomTree CBOE S&P 500 PutWrite Strategy Fund is not

 

24   WisdomTree Trust


Table of Contents

Description of Terms and Indexes (unaudited) (concluded)

 

sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates or the Chicago Board Options Exchange, Incorporated, and none of such parties make any representation regarding the advisability of investing in such product(s), nor do they have any liability for any errors, omissions or interruptions of the CBOE S&P 500 PutWrite Index.

The Gapstow Liquid Alternative Credit Index is a registered service mark of Gapstow Capital Partners L.P. and has been licensed for use by WisdomTree Asset Management and WisdomTree Trust as the issuer of the WisdomTree Alternative Income Fund. The WisdomTree Alternative Income Fund is not sponsored, endorsed, sold, or promoted by Gapstow Capital Partners L.P., and it makes no representation regarding the advisability of investing in the Fund. GAPSTOW CAPITAL PARTNERS L.P. AND ITS AFFILIATES MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE WISDOMTREE ALTERNATIVE INCOME FUND. Gapstow Capital Partners L.P. contracts with a calculation agent to independently calculate and publish the Gapstow Liquid Alternative Credit Index, and Gapstow Capital Partners L.P. cannot assure its accuracy. The publication of the Gapstow Liquid Alternative Credit Index does not constitute a recommendation by Gapstow Capital Partners L.P. to invest in the WisdomTree Alternative Income Fund. Gapstow Capital Partners L.P. offers no guarantee or assurance with regard to the results of using the Gapstow Liquid Alternative Credit Index.

WisdomTree Investments, Inc. and WisdomTree Asset Management, Inc. (together, “WisdomTree”) and the Funds make no representation or warranty, express or implied, to the owners of shares of the Funds or any member of the public regarding the advisability of investing in securities generally or in the Funds particularly or the ability of the underlying Indexes to track the performance of their underlying securities. WisdomTree Investments is the licensor of certain trademarks, service marks and trade names of the Funds. WisdomTree Investments has no obligation to take the needs of the Funds or the owners of shares of the Funds into consideration in determining, composing, or calculating the underlying WisdomTree Indexes of the applicable Funds. WisdomTree Investments is not responsible for, and has not participated in, the determination of the timing of, prices of, or quantities of shares of the Funds to be issued or in the determination or calculation of the equation by which the shares of the Funds are redeemable. WisdomTree and the Funds do not guarantee the accuracy, completeness, or performance of the underlying Indexes or the data included therein and shall have no liability in connection with the underlying Indexes or their calculation.

Index returns do not reflect expenses paid by the Funds. Index returns assume reinvestment of distributions. It is not possible to invest directly in an index.

* * * * * *

Abbreviations used in the schedules of investments and related tables included in this report are as follows:

 

CURRENCY ABBREVIATIONS:                    
AUD   Australian dollar   GBP   British pound   PHP   Philippine peso
BRL   Brazilian real   HUF   Hungary forint   PLN   Polish zloty
CAD   Canadian dollar   IDR   Indonesian rupiah   RON   Romanian leu
CHF   Swiss franc   INR   Indian rupee   RUB   Russian ruble
CLP   Chilean peso   JPY   Japanese yen   THB   Thai baht
CNH   Offshore Chinese renminbi   KRW   South Korean won   TRY   Turkish new lira
CNY   Chinese yuan   MXN   Mexican peso   USD   U.S. dollar
COP   Colombian peso   MYR   Malaysian ringgit   ZAR   South African rand
EUR   Euro   PEN   Peruvian nuevo sol    

 

OTHER ABBREVIATIONS:
HRW   Hard Red Winter
RBOB   Reformulated Blendstock for Oxygenate Blending
REMIC   Real Estate Mortgage Investment Conduit
STRIPS   Separate Trading of Registered Interest and Principal of Securities
ULSD   Ultra-Low-Sulfur Diesel
WTI   West Texas Intermediate

 

WisdomTree Trust      25  


Table of Contents

Schedule of Investments

WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)

August 31, 2021

 

 

 

Investments    Principal
Amount
    Value  
U.S. GOVERNMENT OBLIGATIONS – 94.9%

 

U.S. Treasury Bills – 94.9%

 

0.04%, 9/9/21*

   $ 35,025,000     $ 35,024,752  

0.04%, 9/16/21*

     34,406,000       34,405,642  

0.04%, 10/7/21*

     34,361,000       34,359,711  

0.04%, 10/14/21*

     32,011,000       32,009,662  
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost: $135,799,184)

 

    135,799,767  
Investments    Shares     Value  
EXCHANGE-TRADED FUND – 4.1%

 

United States – 4.1%

 

WisdomTree Floating Rate Treasury Fund(a)

    
(Cost: $5,901,568)      235,000     $ 5,898,500  

TOTAL INVESTMENTS IN SECURITIES – 99.0%

(Cost: $141,700,752)

 

 

    141,698,267  

Other Assets less Liabilities – 1.0%

 

    1,469,812  
 

 

 

 
NET ASSETS – 100.0%

 

  $ 143,168,079  
* 

Interest rate shown reflects the yield to maturity at the time of purchase.

 

(a) 

Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information.

 

INVESTMENT IN AFFILIATES

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the fiscal year ended August 31, 2021 were as follows:

 

                 
Affiliate   Value at
8/31/2020
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
8/31/2021
    Dividend
Income
    Capital Gain
Distributions
 

WisdomTree Floating Rate Treasury Fund

  $ 3,465,180     $ 4,697,240     $ 2,258,599     $ (3,198   $ (2,123   $ 5,898,500     $ 866     $ 822  

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)  
Counterparty   Settlement
Date
    Amount and
Description of
Currency to
be Purchased
    Amount and
Description of
Currency to
be Sold
    Unrealized
Appreciation
    Unrealized
Depreciation
 

Bank of America N.A.

    9/3/2021       7,262,277       USD       9,895,000       AUD     $ 23,550     $  

Barclays Bank PLC

    9/3/2021       27,645,000       CNH       4,282,707       USD       347        

Barclays Bank PLC

    9/3/2021       2,329,895,000       JPY       21,179,208       USD             (1,081

Barclays Bank PLC

    9/3/2021       5,612,960,000       KRW       4,842,516       USD             (1,539

Barclays Bank PLC

    9/3/2021       4,266,075       USD       27,645,000       CNH             (16,978

Barclays Bank PLC

    10/6/2021       20,960,142       USD       2,305,165,000       JPY       864        

Barclays Bank PLC

    10/6/2021       4,948,174       USD       5,737,655,000       KRW       1,596        

Barclays Bank PLC

    10/13/2021       4,305,101       USD       27,885,000       CNH             (353

Canadian Imperial Bank of Commerce

    9/3/2021       378,468       USD       525,000       AUD             (5,598

Canadian Imperial Bank of Commerce

    9/3/2021       686,768       USD       870,000       CAD             (2,802

Canadian Imperial Bank of Commerce

    9/3/2021       4,867,882       USD       5,612,960,000       KRW       26,906        

Citibank N.A.

    9/3/2021       46,320,882       USD       39,040,000       EUR       223,547        

Citibank N.A.

    9/3/2021       4,211,006       USD       314,120,000       INR             (91,208

Citibank N.A.

    9/3/2021       568,360       USD       11,585,000       MXN             (8,390

Goldman Sachs

    9/3/2021       22,005,000       CAD       17,441,556       USD             (190

Goldman Sachs

    9/3/2021       293,715,000       MXN       14,622,653       USD             (302

Goldman Sachs

    9/3/2021       14,114,933       USD       282,130,000       MXN       69,331        

Goldman Sachs

    10/6/2021       17,072,042       USD       21,540,000       CAD       104        

Goldman Sachs

    10/6/2021       14,283,165       USD       288,160,000       MXN             (59

HSBC Holdings PLC

    9/3/2021       1,144,180       USD       975,000       EUR             (7,072

JP Morgan Chase Bank N.A.

    9/3/2021       603,496       USD       440,000       GBP             (1,439

JP Morgan Chase Bank N.A.

    9/3/2021       20,825,720       USD       2,284,165,000       JPY       63,267        

Morgan Stanley & Co. International

    9/3/2021       10,420,000       AUD       7,622,897       USD             (104

Morgan Stanley & Co. International

    9/3/2021       12,130,000       GBP       16,677,210       USD             (243

Morgan Stanley & Co. International

    9/3/2021       16,939,725       USD       21,135,000       CAD       187,928        

Morgan Stanley & Co. International

    10/6/2021       7,397,396       USD       10,110,000       AUD             (24

Morgan Stanley & Co. International

    10/6/2021       16,451,600       USD       11,965,000       GBP       41        

Standard Chartered Bank

    9/3/2021       314,120,000       INR       4,302,424       USD             (210

Standard Chartered Bank

    10/6/2021       4,255,649       USD       311,705,000       INR              

 

See Notes to Financial Statements.

 

26   WisdomTree Trust


Table of Contents

Schedule of Investments (concluded)

WisdomTree Bloomberg U.S. Dollar Bullish Fund (USDU)

August 31, 2021

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)  
Counterparty   Settlement
Date
    Amount and
Description of
Currency to
be Purchased
    Amount and
Description of
Currency to
be Sold
    Unrealized
Appreciation
    Unrealized
Depreciation
 

UBS AG

    9/3/2021       6,155,000       CHF       6,721,369       USD     $ 65     $  

UBS AG

    9/3/2021       40,015,000       EUR       47,249,192       USD             (605

UBS AG

    9/3/2021       6,799,933       USD       6,155,000       CHF       78,498        

UBS AG

    9/3/2021       16,250,257       USD       11,690,000       GBP       178,226        

UBS AG

    9/3/2021       416,557       USD       45,730,000       JPY       883        

UBS AG

    10/6/2021       6,852,467       USD       6,270,000       CHF             (248

UBS AG

    10/6/2021       46,824,708       USD       39,630,000       EUR       69        
                                            $ 855,222     $ (138,445

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of August 31, 2021 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

     

Quoted

Prices in

Active

Markets
(Level 1)

    

Other

Significant
Observable

Inputs
(Level 2)

     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

  

U.S. Government Obligations

   $      $ 135,799,767      $      $ 135,799,767  

Exchange-Traded Fund

     5,898,500                      5,898,500  

Total Investments in Securities

   $ 5,898,500      $ 135,799,767      $      $ 141,698,267  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ 855,222      $      $ 855,222  

Liabilities:

  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ (138,445    $      $ (138,445

Total – Net

   $ 5,898,500      $ 136,516,544      $      $ 142,415,044  
1 

Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

 

See Notes to Financial Statements.

 

WisdomTree Trust      27  


Table of Contents

Schedule of Investments

WisdomTree Chinese Yuan Strategy Fund (CYB)

August 31, 2021

 

 

 

Investments    Principal
Amount
    Value  
U.S. GOVERNMENT OBLIGATIONS – 65.4%

 

U.S. Treasury Bills – 65.4%

 

0.04%, 9/9/21*

   $ 14,579,000     $ 14,578,897  

0.04%, 10/14/21*

     13,638,000       13,637,430  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $28,216,200)

 

 

    28,216,327  
      Shares         
EXCHANGE-TRADED FUND – 4.2%

 

United States – 4.2%

 

WisdomTree Floating Rate Treasury Fund(a)

    
(Cost: $1,822,572)      72,600       1,822,260  
Investments    Principal
Amount
    Value  
REPURCHASE AGREEMENT – 30.0%

 

United States – 30.0%

 

Citigroup, Inc., tri-party repurchase agreement dated 8/31/21 (tri-party custodian: The Bank of New York Mellon Corp.), 0.06% due 9/1/21; Proceeds at maturity – $12,960,022 (fully collateralized by Fannie Mae Pool, 2.50% due 8/1/51, Freddie Mac Pool, 2.00% – 3.50% due 8/1/51; Market value including accrued interest – $13,608,053)

    
(Cost: $12,960,000)    $ 12,960,000     $ 12,960,000  

TOTAL INVESTMENTS IN SECURITIES – 99.6%

(Cost: $42,998,772)

 

 

    42,998,587  

Other Assets less Liabilities – 0.4%

 

    167,111  
 

 

 

 
NET ASSETS – 100.0%

 

  $ 43,165,698  
* 

Interest rate shown reflects the yield to maturity at the time of purchase.

 

(a) 

Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information.

 

INVESTMENT IN AFFILIATES

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the fiscal year ended August 31, 2021 were as follows:

 

                 
Affiliate   Value at
8/31/2020
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
8/31/2021
    Dividend
Income
    Capital Gain
Distributions
 

WisdomTree Floating Rate Treasury Fund

  $ 1,119,906     $ 1,130,013     $ 426,613     $ (400   $ (646   $ 1,822,260     $ 302     $ 282  

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)  
Counterparty   Settlement
Date
    Amount and
Description of
Currency to
be Purchased
    Amount and
Description of
Currency to
be Sold
    Unrealized
Appreciation
    Unrealized
Depreciation
 

Bank of Montreal

    10/21/2021       993,838       USD       6,500,000       CNY     $     $ (7,363

Barclays Bank PLC

    10/21/2021       53,500,000       CNH       8,217,316       USD       31,891        

Canadian Imperial Bank of Commerce

    9/13/2021       203,763       USD       1,322,000       CNH             (717

Canadian Imperial Bank of Commerce

    10/21/2021       211,275       USD       1,375,000       CNH             (738

Citibank N.A.

    9/13/2021       42,360,000       CNH       6,586,602       USD             (34,563

Citibank N.A.

    10/21/2021       57,750,000       CNY       8,880,517       USD       14,773        

Citibank N.A.

    10/21/2021       451,103       USD       2,938,000       CNY             (1,440

Citibank N.A.

    10/21/2021       2,261,150       USD       14,728,000       CNY             (7,419

Citibank N.A.

    11/12/2021       60,500,000       CNY       9,281,134       USD       22,455        

Citibank N.A.

    11/12/2021       2,575,098       USD       16,802,000       CNY             (8,685

Goldman Sachs

    9/13/2021       5,405,000       CNH       841,576       USD             (5,556

Goldman Sachs

    10/21/2021       382,720       USD       2,500,000       CNH             (2,757

Goldman Sachs

    10/21/2021       1,058,702       USD       6,891,000       CNH             (3,827

HSBC Holdings PLC

    9/13/2021       1,291,000       CNH       198,067       USD       1,618        

HSBC Holdings PLC

    9/13/2021       6,359,158       USD       41,106,000       CNH       1,082        

HSBC Holdings PLC

    10/21/2021       57,750,000       CNY       8,865,520       USD       29,769        

HSBC Holdings PLC

    12/13/2021       41,550,000       CNH       6,382,870       USD       5,835        

Standard Chartered Bank

    9/13/2021       1,021,443       USD       6,628,000       CNH             (3,744

UBS AG

    11/12/2021       60,500,000       CNY       9,266,492       USD       37,097        
                                            $ 144,520     $ (76,809

 

See Notes to Financial Statements.

 

28   WisdomTree Trust


Table of Contents

Schedule of Investments (concluded)

WisdomTree Chinese Yuan Strategy Fund (CYB)

August 31, 2021

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of August 31, 2021 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

     

Quoted

Prices in
Active

Markets

(Level 1)

    

Other

Significant

Observable

Inputs

(Level 2)

    

Significant

Unobservable

Inputs

(Level 3)

     Total  

Assets:

 

     

Investments in Securities

  

U.S. Government Obligations

   $      $ 28,216,327      $      $ 28,216,327  

Exchange-Traded Fund

     1,822,260                      1,822,260  

Repurchase Agreement

            12,960,000               12,960,000  

Total Investments in Securities

   $ 1,822,260      $ 41,176,327      $      $ 42,998,587  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ 144,520      $      $ 144,520  

Liabilities:

  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ (76,809    $      $ (76,809

Total – Net

   $ 1,822,260      $ 41,244,038      $      $ 43,066,298  
1 

Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

 

See Notes to Financial Statements.

 

WisdomTree Trust      29  


Table of Contents

Schedule of Investments

WisdomTree Emerging Currency Strategy Fund (CEW)

August 31, 2021

 

 

 

Investments    Principal
Amount
    Value  
U.S. GOVERNMENT OBLIGATIONS – 62.6%

 

U.S. Treasury Bills – 62.6%

 

0.04%, 9/9/21*

   $ 3,913,000     $ 3,912,972  

0.04%, 10/14/21*

     4,063,000       4,062,830  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $7,975,766)

 

 

    7,975,802  
      Shares         
EXCHANGE-TRADED FUND – 4.5%

 

United States – 4.5%

 

WisdomTree Floating Rate Treasury Fund(a)

    
(Cost: $567,356)      22,600       567,260  
Investments    Principal
Amount
    Value  
REPURCHASE AGREEMENT – 31.4%

 

United States – 31.4%

 

Citigroup, Inc., tri-party repurchase agreement dated 8/31/21 (tri-party custodian: The Bank of New York Mellon Corp.), 0.06% due 9/1/21; Proceeds at maturity – $4,000,007 (fully collateralized by U.S. Treasury Bond, 3.75% due 11/15/43; Market value including accrued interest – $4,080,116)

    
(Cost: $4,000,000)    $ 4,000,000     $ 4,000,000  

TOTAL INVESTMENTS IN SECURITIES – 98.5%

(Cost: $12,543,122)

 

 

    12,543,062  

Other Assets less Liabilities – 1.5%

 

    188,970  
 

 

 

 
NET ASSETS – 100.0%

 

  $ 12,732,032  
* 

Interest rate shown reflects the yield to maturity at the time of purchase.

 

(a) 

Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information.

 

INVESTMENT IN AFFILIATES

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the fiscal year ended August 31, 2021 were as follows:

 

                 
Affiliate   Value at
8/31/2020
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
8/31/2021
    Dividend
Income
    Capital Gain
Distributions
 

WisdomTree Floating Rate Treasury Fund

  $ 467,046     $ 251,125     $ 150,584     $ (91   $ (236   $ 567,260     $ 126     $ 148  

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)  
Counterparty   Settlement
Date
    Amount and
Description of
Currency to
be Purchased
    Amount and
Description of
Currency to
be Sold
    Unrealized
Appreciation
    Unrealized
Depreciation
 

Bank of America N.A.

    11/4/2021       6,220,000       CNH       954,749       USD     $ 3,383     $  

Citibank N.A.

    11/4/2021       727,255,000       CLP       955,243       USD             (19,349

Citibank N.A.

    11/4/2021       31,435,000       THB       954,149       USD       18,533        

Goldman Sachs

    11/3/2021       118,412       USD       8,885,625       RUB             (1,599

Goldman Sachs

    11/4/2021       3,682,565,000       COP       948,687       USD       26,706        

Goldman Sachs

    11/4/2021       115,960       USD       612,500       BRL             (2,592

Goldman Sachs

    11/4/2021       116,006       USD       90,906,875       CLP             (981

Goldman Sachs

    11/4/2021       114,794       USD       460,320,625       COP             (7,130

Goldman Sachs

    11/4/2021       117,977       USD       2,403,125       MXN             (937

Goldman Sachs

    11/4/2021       117,806       USD       460,000       PLN             (2,346

Goldman Sachs

    11/4/2021       117,758       USD       1,060,625       TRY             (5,748

Goldman Sachs

    11/4/2021       117,549       USD       1,761,875       ZAR             (3,254

HSBC Holdings PLC

    11/4/2021       117,139       USD       3,929,375       THB             (4,446

JP Morgan Chase Bank N.A.

    11/3/2021       71,085,000       RUB       956,742       USD       3,346        

Morgan Stanley & Co. International

    11/3/2021       71,710,000       INR       954,606       USD       19,102        

Morgan Stanley & Co. International

    11/3/2021       4,065,000       MYR       957,259       USD       19,048        

Morgan Stanley & Co. International

    11/3/2021       119,437       USD       8,963,750       INR             (2,276

Morgan Stanley & Co. International

    11/3/2021       118,971       USD       508,125       MYR             (3,067

Morgan Stanley & Co. International

    11/4/2021       4,900,000       BRL       939,777       USD       8,639        

Morgan Stanley & Co. International

    11/4/2021       13,941,950,000       IDR       953,622       USD       16,505        

Morgan Stanley & Co. International

    11/4/2021       1,097,205,000       KRW       953,014       USD             (7,169

Morgan Stanley & Co. International

    11/4/2021       48,240,000       PHP       954,869       USD       10,850        

Morgan Stanley & Co. International

    11/4/2021       119,192       USD       777,500       CNH             (574

 

See Notes to Financial Statements.

 

30   WisdomTree Trust


Table of Contents

Schedule of Investments (concluded)

WisdomTree Emerging Currency Strategy Fund (CEW)

August 31, 2021

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)  
Counterparty   Settlement
Date
    Amount and
Description of
Currency to
be Purchased
    Amount and
Description of
Currency to
be Sold
    Unrealized
Appreciation
    Unrealized
Depreciation
 

Morgan Stanley & Co. International

    11/4/2021       119,776       USD       1,742,743,750       IDR     $     $ (1,490

Morgan Stanley & Co. International

    11/4/2021       119,220       USD       137,150,625       KRW       989        

Morgan Stanley & Co. International

    11/4/2021       118,631       USD       6,030,000       PHP             (2,084

UBS AG

    11/4/2021       19,225,000       MXN       955,788       USD             (4,479

UBS AG

    11/4/2021       3,680,000       PLN       956,164       USD       5,046        

UBS AG

    11/4/2021       8,485,000       TRY       961,700       USD       26,346        

UBS AG

    11/4/2021       14,095,000       ZAR       952,371       USD       14,054        
                                            $ 172,547     $ (69,521

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of August 31, 2021 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

     

Quoted

Prices in

Active

Markets

(Level 1)

    

Other

Significant
Observable
Inputs

(Level 2)

    

Significant
Unobservable
Inputs

(Level 3)

     Total  

Assets:

 

     

Investments in Securities

  

U.S. Government Obligations

   $      $ 7,975,802      $      $ 7,975,802  

Exchange-Traded Fund

     567,260                      567,260  

Repurchase Agreement

            4,000,000               4,000,000  

Total Investments in Securities

   $ 567,260      $ 11,975,802      $      $ 12,543,062  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ 172,547      $      $ 172,547  

Liabilities:

  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ (69,521    $      $ (69,521

Total – Net

   $ 567,260      $ 12,078,828      $      $ 12,646,088  
1 

Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

 

See Notes to Financial Statements.

 

WisdomTree Trust      31  


Table of Contents

Schedule of Investments

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  
FOREIGN CORPORATE BONDS – 96.2%

 

Argentina – 2.1%

 

Arcor SAIC
6.00%, 7/6/23

   $ 500,000      $ 500,818  

MercadoLibre, Inc.
2.38%, 1/14/26

     200,000        200,875  

3.13%, 1/14/31(a)

     200,000        197,500  

YPF S.A.
8.50%, 6/27/29(b)

     263,000        203,675  
     

 

 

 
Total Argentina

 

     1,102,868  
Austria – 0.6%

 

Suzano Austria GmbH
7.00%, 3/16/47(b)

     226,000        305,654  
Brazil – 9.0%

 

Arcos Dorados Holdings, Inc.
5.88%, 4/4/27(b)

     200,000        211,020  

Braskem Finance Ltd.
6.45%, 2/3/24

     300,000        335,341  

Braskem Netherlands Finance B.V.
4.50%, 1/31/30(b)

     400,000        429,040  

Centrais Eletricas Brasileiras S.A.
4.63%, 2/4/30(b)

     200,000        204,125  

CSN Resources S.A.
4.63%, 6/10/31(b)

     325,000        337,187  

Fibria Overseas Finance Ltd.
5.50%, 1/17/27

     306,000        354,440  

Hidrovias International Finance Sarl
4.95%, 2/8/31(b)

     325,000        327,031  

Itau Unibanco Holding S.A.

     

4.63%, 2/27/25, (4.625% fixed rate until 2/27/25; 5-year Constant Maturity Treasury Rate + 3.222% thereafter)(b)(c)(d)

     300,000        291,789  

3.88%, 4/15/31, (3.875% fixed rate until 1/15/26; 5-year Constant Maturity Treasury Rate + 3.446% thereafter)(b)(c)

     275,000        273,982  

Klabin Finance S.A.
4.88%, 9/19/27(b)

     300,000        334,312  

Minerva Luxembourg S.A.
5.88%, 1/19/28(a)(b)

     200,000        211,950  

4.38%, 3/18/31(b)

     275,000        270,188  

Natura Cosmeticos S.A.
4.13%, 5/3/28(b)

     400,000        412,600  

Petrobras Global Finance B.V.
5.60%, 1/3/31

     200,000        224,530  

St Marys Cement, Inc.
5.75%, 1/28/27(b)

     200,000        233,420  

5.75%, 1/28/27(e)

     300,000        350,130  
     

 

 

 
Total Brazil

 

     4,801,085  
Chile – 5.5%

 

ATP Tower Holdings LLC
4.05%, 4/27/26(a)(b)

     300,000        305,779  

Celulosa Arauco y Constitucion S.A.
3.88%, 11/2/27

     330,000        357,553  

5.50%, 11/2/47

     325,000        392,548  

Colbun S.A.
3.95%, 10/11/27(e)

   250,000      274,809  

3.95%, 10/11/27(b)

     200,000        219,847  

Inversiones CMPC S.A.
3.85%, 1/13/30(e)

     250,000        270,003  

3.00%, 4/6/31(b)

     325,000        330,281  

VTR Comunicaciones SpA
5.13%, 1/15/28(b)

     461,000        482,749  

4.38%, 4/15/29(b)

     275,000        277,558  
     

 

 

 
Total Chile

 

     2,911,127  
China – 3.5%

 

Alibaba Group Holding Ltd.
3.40%, 12/6/27

     500,000        544,250  

Baidu, Inc.
3.08%, 4/7/25(a)

     200,000        211,617  

Bank of China Ltd.
5.00%, 11/13/24(a)(e)

     650,000        724,315  

China Evergrande Group
8.75%, 6/28/25(e)

     200,000        70,750  

ENN Clean Energy International Investment Ltd.
3.38%, 5/12/26(b)

     300,000        305,349  
     

 

 

 
Total China

 

     1,856,281  
Colombia – 6.8%

 

Banco Bilbao Vizcaya Argentaria Colombia S.A.
4.88%, 4/21/25(e)

     200,000        209,375  

Bancolombia S.A.

     

4.63%, 12/18/29, (4.625% fixed rate until 12/18/24; 5-year Constant Maturity Treasury Rate + 2.944% thereafter)(c)

     635,000        645,957  

Ecopetrol S.A.
6.88%, 4/29/30

     500,000        603,260  

5.88%, 5/28/45

     70,000        75,152  

Geopark Ltd.
5.50%, 1/17/27(b)

     375,000        375,517  

Millicom International Cellular S.A.
4.50%, 4/27/31(a)(b)

     500,000        524,269  

Oleoducto Central S.A.
4.00%, 7/14/27(b)

     250,000        259,296  

Promigas S.A. ESP
3.75%, 10/16/29(b)

     200,000        201,078  

SierraCol Energy Andina LLC
6.00%, 6/15/28(b)

     300,000        299,863  

Transportadora de Gas Internacional S.A. ESP
5.55%, 11/1/28(b)

     400,000        456,538  
     

 

 

 
Total Colombia

 

     3,650,305  
Ghana – 0.5%

 

Tullow Oil PLC
10.25%, 5/15/26(b)

     265,000        275,434  
Hong Kong – 1.7%

 

Melco Resorts Finance Ltd.
5.75%, 7/21/28(b)

     275,000        287,253  

5.75%, 7/21/28(e)

     325,000        339,480  

5.38%, 12/4/29(e)

     250,000        259,829  
     

 

 

 
Total Hong Kong

 

     886,562  

 

See Notes to Financial Statements.

 

32   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  
India – 5.7%

 

Adani Ports & Special Economic Zone Ltd.
4.38%, 7/3/29(b)

   $ 200,000      $ 212,737  

Bharti Airtel International Netherlands B.V.
5.35%, 5/20/24(b)

     323,000        354,576  

Bharti Airtel Ltd.
4.38%, 6/10/25(e)

     200,000        217,512  

Network i2i Ltd.

     

3.98%, 3/3/26, (3.975% fixed rate until 3/3/26; 5-year Constant Maturity Treasury Rate + 3.39% thereafter)(b)(c)(d)

     300,000        302,917  

Reliance Industries Ltd.
3.67%, 11/30/27(b)

     650,000        717,264  

Summit Digitel Infrastructure Pvt Ltd.
2.88%, 8/12/31(b)

     350,000        341,553  

Vedanta Resources Finance II PLC
13.88%, 1/21/24(b)

     275,000        303,267  

8.95%, 3/11/25(b)

     450,000        457,594  

Vedanta Resources Ltd.
7.13%, 5/31/23(e)

     150,000        148,091  
     

 

 

 
Total India

 

     3,055,511  
Indonesia – 2.5%

 

Medco Bell Pte Ltd.
6.38%, 1/30/27(a)(b)

     478,000        487,806  

Pertamina Persero PT
3.10%, 1/21/30(b)

     250,000        261,351  

Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
4.13%, 5/15/27(e)

     541,000        594,997  
     

 

 

 
Total Indonesia

 

     1,344,154  
Ireland – 1.2%

 

C&W Senior Financing DAC
6.88%, 9/15/27(e)

     600,000        638,250  
Israel – 3.5%

 

Bank Leumi Le-Israel BM

     

3.28%, 1/29/31, (3.275% fixed rate until 1/29/26; 5-year Constant Maturity Treasury Rate + 1.631% thereafter)(b)(c)(e)

     500,000        511,016  

Israel Electric Corp., Ltd.
4.25%, 8/14/28, Series GMTN(b)(e)

     200,000        224,463  

Mizrahi Tefahot Bank Ltd.

     

3.08%, 4/7/31, (3.077% fixed rate until 4/7/26; 5-year Constant Maturity Treasury Rate + 2.25% thereafter)(b)(c)(e)

     350,000        354,462  

Teva Pharmaceutical Finance Netherlands III B.V. 2.80%, 7/21/23

     170,000        168,840  

3.15%, 10/1/26

     650,000        626,208  
     

 

 

 
Total Israel

 

     1,884,989  
Jamaica – 0.2%

 

Digicel International Finance Ltd.
8.75%, 5/25/24(b)

     81,000        84,265  
Kazakhstan – 2.3%

 

KazMunayGas National Co. JSC
3.50%, 4/14/33(a)(b)

     380,000        399,380  

Tengizchevroil Finance Co. International Ltd.
3.25%, 8/15/30(b)

   798,000      821,142  
     

 

 

 
Total Kazakhstan

 

     1,220,522  
Kuwait – 2.4%

 

Equate Petrochemical B.V.
4.25%, 11/3/26(e)

     200,000        222,486  

2.63%, 4/28/28(b)

     350,000        356,125  

NBK Tier 1 Financing 2 Ltd.

     

4.50%, 8/27/25, (4.50% fixed rate until 8/27/25; 6-year U.S. dollar Swap Rate + 2.832% thereafter)(b)(c)(d)

     700,000        727,396  
     

 

 

 
Total Kuwait

 

     1,306,007  
Luxembourg – 1.9%

 

Altice Financing S.A.
5.75%, 8/15/29(b)

     500,000        513,525  

JBS Finance Luxembourg SARL
3.63%, 1/15/32(b)

     475,000        492,722  
     

 

 

 
Total Luxembourg

 

     1,006,247  
Malaysia – 0.7%

 

Genm Capital Labuan Ltd.
3.88%, 4/19/31(b)

     375,000        380,038  
Mexico – 5.6%

 

Alpek S.A.B. de C.V.
4.25%, 9/18/29(b)

     400,000        441,400  

Banco Mercantil del Norte S.A.

     

7.50%, 6/27/29, (7.50% fixed rate until 6/27/29; 10-year Constant Maturity Treasury Rate + 5.47% thereafter)(b)(c)(d)

     200,000        227,632  

Cemex S.A.B. de C.V.

     

5.13%, 6/8/26, (5.125% fixed rate until 6/8/26; 5-year Constant Maturity Treasury Rate + 4.534% thereafter)(b)(c)(d)

     200,000        209,550  

7.38%, 6/5/27(b)

     200,000        225,988  

5.20%, 9/17/30(b)

     200,000        219,500  

Credito Real S.A.B. de C.V. SOFOM ER
8.00%, 1/21/28(a)(b)

     500,000        451,800  

Grupo Bimbo S.A.B. de C.V.

     

5.95%, 4/17/23, (5.95% fixed rate until 4/17/23; 5-year Constant Maturity Treasury Rate + 3.28% thereafter)(b)(c)(d)

     400,000        423,600  

Industrias Penoles S.A.B. de C.V.
4.75%, 8/6/50(b)

     335,000        385,070  

Orbia Advance Corp. S.A.B. de C.V.
2.88%, 5/11/31(b)

     400,000        407,500  
     

 

 

 
Total Mexico

 

     2,992,040  
Morocco – 0.5%

 

OCP S.A.
6.88%, 4/25/44(e)

     200,000        244,647  
Netherlands – 1.5%

 

Sigma Finance Netherlands B.V.
4.88%, 3/27/28(b)

     200,000        230,223  

VEON Holdings B.V.
4.00%, 4/9/25(b)

     550,000        580,690  
     

 

 

 
Total Netherlands

 

     810,913  

 

See Notes to Financial Statements.

 

WisdomTree Trust      33  


Table of Contents

Schedule of Investments (continued)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  
Oman – 1.6%

 

OQ SAOC
5.13%, 5/6/28(b)

   $ 300,000      $ 305,250  

Oryx Funding Ltd.
5.80%, 2/3/31(b)

     250,000        265,625  

Oztel Holdings SPC Ltd.
5.63%, 10/24/23(e)

     250,000        265,021  
     

 

 

 
Total Oman

 

     835,896  
Panama – 2.3%

 

Aeropuerto Internacional de Tocumen S.A.
4.00%, 8/11/41(a)(b)

     325,000        334,291  

AES Panama Generation Holdings SRL
4.38%, 5/31/30(b)

     625,000        650,159  

Banco Nacional de Panama
2.50%, 8/11/30(b)

     250,000        242,813  
     

 

 

 
Total Panama

 

     1,227,263  
Peru – 5.8%

 

Banco de Credito del Peru

     

3.13%, 7/1/30, (3.125% fixed rate until 7/1/25; 5-year Constant Maturity Treasury Rate + 3.00% thereafter)(b)(c)

     300,000        300,000  

3.13%, 7/1/30, (3.125% fixed rate until 7/1/25; 5-year Constant Maturity Treasury Rate + 3.00% thereafter)(c)(e)

     250,000        250,000  

Cia de Minas Buenaventura S.A.A.
5.50%, 7/23/26(b)

     650,000        643,175  

Credicorp Ltd.
2.75%, 6/17/25(a)(b)

     225,000        229,652  

Inkia Energy Ltd.
5.88%, 11/9/27(e)

     200,000        205,487  

InRetail Consumer
3.25%, 3/22/28(b)

     375,000        373,500  

Kallpa Generacion S.A.
4.13%, 8/16/27(e)

     250,000        258,827  

Southern Copper Corp.
5.25%, 11/8/42

     200,000        256,435  

5.88%, 4/23/45(a)

     200,000        278,975  

Volcan Cia Minera S.A.A.
4.38%, 2/11/26(b)

     325,000        316,907  
     

 

 

 
Total Peru

 

     3,112,958  
Poland – 0.9%

 

Canpack S.A.
3.13%, 11/1/25(b)

     465,000        475,869  
Qatar – 1.4%

 

Ooredoo International Finance Ltd.
2.63%, 4/8/31(b)

     375,000        388,125  

Qatar Petroleum
3.30%, 7/12/51(b)

     325,000        335,563  
     

 

 

 
Total Qatar

 

     723,688  
Russia – 5.8%

 

Alfa Bank AO via Alfa Bond Issuance PLC

     

5.95%, 4/15/30, (5.95% fixed rate until 4/15/25; 5-year Constant Maturity Treasury Rate + 4.546% thereafter)(b)(c)

     350,000        367,724  

Evraz PLC
5.25%, 4/2/24(e)

   500,000      538,296  

Gazprom PJSC via Gaz Capital S.A.
4.95%, 3/23/27(e)

     335,000        373,985  

Gazprom PJSC via Gaz Finance PLC

     

4.60%, 10/26/25, (4.599% fixed rate until 10/26/25; 5-year Constant Maturity Treasury Rate + 4.264% thereafter)(b)(c)(d)

     225,000        234,706  

Lukoil Securities B.V.
3.88%, 5/6/30(b)

     633,000        673,354  

Severstal OAO Via Steel Capital S.A.
3.15%, 9/16/24(b)

     200,000        209,085  

Sovcombank Via SovCom Capital DAC

     

7.75%, 5/6/25, (7.75% fixed rate until 5/6/25; 5-year Constant Maturity Treasury Rate + 6.38% thereafter)(b)(c)(d)

     300,000        309,692  

VTB Bank OJSC via VTB Capital S.A.
6.95%, 10/17/22(e)

     353,000        370,771  
     

 

 

 
Total Russia

 

     3,077,613  
Saudi Arabia – 3.0%

 

Arabian Centres Sukuk II Ltd.
5.63%, 10/7/26(b)

     450,000        469,687  

S.A. Global Sukuk Ltd.
2.69%, 6/17/31(b)

     200,000        205,219  

Saudi Arabian Oil Co.
2.25%, 11/24/30(b)

     700,000        699,786  

Saudi Electricity Global Sukuk Co. 2
5.06%, 4/8/43(e)

     200,000        244,424  
     

 

 

 
Total Saudi Arabia

 

     1,619,116  
Singapore – 1.3%

 

Oversea-Chinese Banking Corp., Ltd.
4.25%, 6/19/24(e)

     250,000        271,461  

1.83%, 9/10/30, (1.832% fixed rate until 9/10/25; 5-year Constant Maturity Treasury Rate + 1.58% thereafter)(b)(c)

     425,000        427,269  
     

 

 

 
Total Singapore

 

     698,730  
South Africa – 1.7%

 

AngloGold Ashanti Holdings PLC
5.13%, 8/1/22

     200,000        207,300  

6.50%, 4/15/40(a)

     256,000        320,306  

Sasol Financing USA LLC
4.38%, 9/18/26

     375,000        389,062  
     

 

 

 
Total South Africa

 

     916,668  
South Korea – 3.3%

 

Kookmin Bank
2.50%, 11/4/30(b)

     475,000        479,940  

Shinhan Financial Group Co., Ltd.

     

2.88%, 5/12/26, (2.875% fixed rate until 5/12/26; 5-year Constant Maturity Treasury Rate + 2.064% thereafter)(b)(c)(d)

     525,000        521,719  

SK Hynix, Inc.
2.38%, 1/19/31(b)

     300,000        297,015  

Woori Bank
4.75%, 4/30/24(e)

     400,000        437,467  
     

 

 

 
Total South Korea

 

     1,736,141  

 

See Notes to Financial Statements.

 

34   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  
Thailand – 2.7%

 

Bangkok Bank PCL

     

5.00%, 9/23/25, (5.00% fixed rate until 9/23/25; 5-year Constant Maturity Treasury Rate + 4.729% thereafter)(b)(c)(d)

   $ 450,000      $ 472,861  

4.45%, 9/19/28(b)

     300,000        348,722  

PTTEP Treasury Center Co., Ltd.
3.90%, 12/6/59(b)

     600,000        645,126  
     

 

 

 
Total Thailand

 

     1,466,709  
Turkey – 4.5%

 

Akbank T.A.S.
6.80%, 2/6/26(e)

     600,000        639,300  

Turk Telekomunikasyon AS
6.88%, 2/28/25(b)

     200,000        220,413  

Turkiye Is Bankasi AS
6.13%, 4/25/24(e)

     200,000        209,480  

Turkiye Sise ve Cam Fabrikalari AS
6.95%, 3/14/26(b)

     500,000        558,900  

Turkiye Vakiflar Bankasi TAO
6.50%, 1/8/26(b)

     450,000        466,313  

Yapi ve Kredi Bankasi AS

     

7.88%, 1/22/31, (7.875% fixed rate until 1/22/26; 5-year Constant Maturity Treasury Rate + 7.415% thereafter)(b)(c)

     300,000        318,000  
     

 

 

 
Total Turkey

 

     2,412,406  
United Arab Emirates – 3.1%

 

Abu Dhabi National Energy Co. PJSC
2.00%, 4/29/28(b)

     475,000        481,531  

DP World Ltd.
6.85%, 7/2/37(e)

     100,000        135,702  

Galaxy Pipeline Assets Bidco Ltd.
2.16%, 3/31/34(b)

     300,000        298,875  

2.94%, 9/30/40(b)

     225,000        229,219  

MAF Global Securities Ltd.
4.75%, 5/7/24(e)

     200,000        217,250  

MHP Lux S.A.
6.25%, 9/19/29(b)

     275,000        278,202  
     

 

 

 
Total United Arab Emirates

 

     1,640,779  
United Kingdom – 0.7%

 

CK Hutchison International 21 Ltd.
2.50%, 4/15/31(b)

     350,000        361,428  
Zambia – 0.4%

 

First Quantum Minerals Ltd.
6.88%, 3/1/26(b)

     200,000        208,305  

TOTAL FOREIGN CORPORATE BONDS

(Cost: $50,149,956)

 

 

     51,270,468  
FOREIGN GOVERNMENT OBLIGATIONS – 1.2%

 

Egypt – 0.4%

 

Egypt Government International Bond
7.60%, 3/1/29(b)

     200,000        219,495  
Ghana – 0.4%

 

Ghana Government International Bond
6.38%, 2/11/27(b)

     200,000        196,155  
Nigeria – 0.4%

 

Nigeria Government International Bond
6.50%, 11/28/27(e)

   200,000      211,574  

TOTAL FOREIGN GOVERNMENT OBLIGATIONS

(Cost: $600,000)

 

 

     627,224  
      Shares          
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 4.4%

 

United States – 4.4%

 

State Street Navigator Securities Lending Government Money Market Portfolio, 0.03%(f)

     
(Cost: $2,348,675)      2,348,675      $ 2,348,675  

TOTAL INVESTMENTS IN SECURITIES – 101.8%

(Cost: $53,098,631)

 

 

     54,246,367  

Other Assets less Liabilities – (1.8)%

 

     (967,440
     

 

 

 
NET ASSETS – 100.0%

 

   $ 53,278,927  
(a) 

Security, or portion thereof, was on loan at August 31, 2021 (See Note 2). At August 31, 2021, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $3,565,545 and the total market value of the collateral held by the Fund was $3,663,915. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $1,315,240.

 

(b) 

This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers.

 

(c)

Rate shown reflects the accrual rate as of August 31, 2021 on securities with variable or step rates.

 

(d) 

The security has a perpetual maturity; the date displayed is the next call date.

 

(e) 

This security is exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. This security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

 

(f)

Rate shown represents annualized 7-day yield as of August 31, 2021.

 

See Notes to Financial Statements.

 

WisdomTree Trust      35  


Table of Contents

Schedule of Investments (concluded)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

August 31, 2021

 

FINANCIAL DERIVATIVE INSTRUMENTS
FUTURES CONTRACTS (EXCHANGE-TRADED)
Short Exposure   Contracts     Expiration
Date
    Notional
Value
    Unrealized
Appreciation/
(Depreciation)
 

10 Year U.S. Treasury Note

    39       12/21/21     $ (5,204,672   $ (16,200

Ultra 10 Year U.S. Treasury Note

    26       12/21/21       (3,848,406     (14,828
      $ (9,053,078   $ (31,028
Long Exposure  

2 Year U.S. Treasury Note

    32       12/31/21     $ 7,050,500     $ 4,648  

5 Year U.S. Treasury Note

    12       12/31/21       1,484,625       3,792  

U.S. Treasury Long Bond

    3       12/21/21       488,906       1,735  
      $ 9,024,031     $ 10,175  

Total – Net

 

  $ (29,047   $ (20,853

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of August 31, 2021 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

  

Foreign Corporate Bonds

   $      $ 51,270,468      $      $ 51,270,468  

Foreign Government Obligations

            627,224               627,224  

Investment of Cash Collateral for Securities Loaned

            2,348,675               2,348,675  

Total Investments in Securities

   $      $ 54,246,367      $      $ 54,246,367  

Financial Derivative Instruments

  

Futures Contracts1

   $ 10,175      $      $      $ 10,175  

Liabilities:

        

Financial Derivative Instruments

  

Futures Contracts1

   $ (31,028    $      $      $ (31,028

Total – Net

   $ (20,853    $ 54,246,367      $      $ 54,225,514  
1 

Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

 

See Notes to Financial Statements.

 

36   WisdomTree Trust


Table of Contents

Schedule of Investments

WisdomTree Emerging Markets Local Debt Fund (ELD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  
FOREIGN GOVERNMENT OBLIGATIONS – 83.2%

 

Brazil – 8.3%

 

Brazil Letras do Tesouro Nacional

 

6.26%, 7/1/22, Series LTN(a)

     5,130,000       BRL      $ 940,583  

6.88%, 7/1/23, Series LTN(a)

     10,130,000       BRL        1,690,968  

6.09%, 1/1/24, Series LTN(a)

     13,990,000       BRL        2,223,039  

8.25%, 7/1/24, Series LTN(a)

     4,905,000       BRL        742,459  

Brazil Notas do Tesouro Nacional

 

10.00%, 1/1/23, Series F

     9,835,000       BRL        1,954,272  

10.00%, 1/1/25, Series F

     6,249,000       BRL        1,237,136  

10.00%, 1/1/27, Series F

     5,480,000       BRL        1,071,012  

10.00%, 1/1/29, Series F

     6,160,000       BRL        1,193,759  

10.00%, 1/1/31, Series F

     500,000       BRL        95,126  
       

 

 

 
Total Brazil

 

             11,148,354  
Chile – 3.1%

 

Bonos de la Tesoreria de la
Republica en pesos

 

4.00%, 3/1/23(b)(c)

     200,000,000       CLP        261,914  

2.50%, 3/1/25

     800,000,000       CLP        991,548  

4.50%, 3/1/26

     680,000,000       CLP        897,219  

2.30%, 10/1/28(b)(c)

     105,000,000       CLP        117,481  

4.70%, 9/1/30(b)(c)

     175,000,000       CLP        225,866  

5.00%, 3/1/35

     940,000,000       CLP        1,206,189  

6.00%, 1/1/43, Series 30YR

     380,000,000       CLP        536,787  
       

 

 

 
Total Chile

 

             4,237,004  
China – 4.8%

 

China Government Bond

 

3.02%, 10/22/25, Series INBK

     800,000       CNY        125,467  

3.22%, 12/6/25, Series 1828

     1,800,000       CNY        284,454  

3.25%, 6/6/26, Series 1907

     5,800,000       CNY        920,811  

3.12%, 12/5/26, Series 1916

     8,000,000       CNY        1,260,107  

2.85%, 6/4/27, Series INBK

     1,700,000       CNY        263,270  

3.25%, 11/22/28, Series 1827

     8,000,000       CNY        1,267,797  

3.29%, 5/23/29, Series 1906

     8,000,000       CNY        1,273,111  

3.13%, 11/21/29, Series 1915

     4,000,000       CNY        626,276  

2.68%, 5/21/30, Series INBK

     2,970,000       CNY        449,801  
       

 

 

 
Total China

 

             6,471,094  
Colombia – 3.2%

 

Colombian TES

 

7.00%, 5/4/22, Series B

     1,341,700,000       COP        367,952  

10.00%, 7/24/24, Series B

     1,608,700,000       COP        485,821  

6.25%, 11/26/25, Series B

     1,502,400,000       COP        408,300  

7.50%, 8/26/26, Series B

     1,604,300,000       COP        453,126  

5.75%, 11/3/27, Series B

     1,579,700,000       COP        406,308  

6.00%, 4/28/28, Series B

     1,845,600,000       COP        474,903  

7.75%, 9/18/30, Series B

     1,762,200,000       COP        493,698  

7.00%, 6/30/32, Series B

     1,537,500,000       COP        400,240  

7.25%, 10/18/34, Series B

     2,210,400,000       COP        578,377  

7.25%, 10/26/50, Series B

     850,000,000       COP        207,051  
       

 

 

 
Total Colombia

 

             4,275,776  
Hungary – 2.0%

 

Hungary Government Bond

 

1.75%, 10/26/22, Series 22/B

     66,770,000       HUF        228,294  

6.00%, 11/24/23, Series 23/A

     17,600,000       HUF        65,590  

3.00%, 6/26/24, Series 24/B

     213,440,000       HUF        742,819  

1.00%, 11/26/25, Series 25/C

     30,000,000       HUF      96,364  

3.00%, 10/27/27, Series 27/A

     266,740,000       HUF        931,367  

3.00%, 8/21/30, Series 30/A

     55,660,000       HUF        193,726  

3.25%, 10/22/31, Series 31/A

     72,870,000       HUF        257,013  

2.25%, 4/20/33, Series 33/A

     20,610,000       HUF        64,804  

3.00%, 10/27/38, Series 38/A

     27,000,000       HUF        87,330  
       

 

 

 
Total Hungary

 

             2,667,307  
India – 4.4%

 

India Government Bond

 

7.68%, 12/15/23

     30,000,000       INR        439,460  

8.40%, 7/28/24

     73,000,000       INR        1,095,887  

7.59%, 3/20/29

     100,000,000       INR        1,477,109  

7.88%, 3/19/30

     100,000,000       INR        1,506,010  

9.20%, 9/30/30

     90,920,000       INR        1,467,522  
       

 

 

 
Total India

 

             5,985,988  
Indonesia – 11.2%

 

Indonesia Treasury Bond

 

8.38%, 3/15/24, Series FR70

     8,465,000,000       IDR        651,200  

8.13%, 5/15/24, Series FR77

     8,178,000,000       IDR        628,724  

6.50%, 6/15/25, Series FR81

     18,200,000,000       IDR        1,350,086  

5.50%, 4/15/26, Series FR86

     2,000,000,000       IDR        142,955  

8.38%, 9/15/26, Series FR56

     16,931,000,000       IDR        1,355,668  

6.13%, 5/15/28, Series FR64

     18,000,000,000       IDR        1,293,603  

9.00%, 3/15/29, Series FR71

     14,875,000,000       IDR        1,232,240  

8.25%, 5/15/29, Series FR78

     3,520,000,000       IDR        281,415  

7.00%, 9/15/30, Series FR82

     17,000,000,000       IDR        1,263,454  

8.75%, 5/15/31, Series FR73

     13,601,000,000       IDR        1,129,086  

8.25%, 6/15/32, Series FR58

     11,549,000,000       IDR        916,471  

8.38%, 3/15/34, Series FR68

     16,000,000,000       IDR        1,286,170  

7.50%, 6/15/35, Series FR80

     11,063,000,000       IDR        835,397  

8.25%, 5/15/36, Series FR72

     11,563,000,000       IDR        911,663  

7.50%, 5/15/38, Series FR75

     3,300,000,000       IDR        244,680  

8.38%, 4/15/39, Series FR79

     10,000,000,000       IDR        807,713  

7.50%, 4/15/40, Series FR83

     4,000,000,000       IDR        298,769  

8.75%, 2/15/44, Series FR67

     1,390,000,000       IDR        115,045  

Perusahaan Penerbit SBSN Indonesia
6.63%, 10/15/24, Series PBS

     5,000,000,000       IDR        372,260  
       

 

 

 
Total Indonesia

 

             15,116,599  
Malaysia – 6.3%

 

Malaysia Government Bond

 

3.48%, 6/14/24, Series 0319

     2,000,000       MYR        495,580  

4.18%, 7/15/24, Series 0114

     1,560,000       MYR        394,400  

3.96%, 9/15/25, Series 0115

     2,890,000       MYR        731,346  

3.91%, 7/15/26, Series 0119

     465,000       MYR        118,176  

3.90%, 11/16/27, Series 0417

     4,410,000       MYR        1,118,113  

3.89%, 8/15/29, Series 0219

     3,190,000       MYR        805,115  

2.63%, 4/15/31, Series 0220

     2,000,000       MYR        458,248  

3.83%, 7/5/34, Series 0419

     1,485,000       MYR        358,585  

4.76%, 4/7/37, Series 0317

     1,832,000       MYR        483,645  

3.76%, 5/22/40, Series 0519

     1,500,000       MYR        348,647  

4.07%, 6/15/50, Series 0120

     1,315,000       MYR        309,741  

Malaysia Government Investment Issue

 

4.13%, 8/15/25, Series 0118

     4,000,000       MYR        1,019,318  

3.73%, 3/31/26, Series 0319

     4,000,000       MYR        1,006,963  

3.42%, 9/30/27, Series 0120

     500,000       MYR        122,876  

3.47%, 10/15/30, Series 0220

     1,980,000       MYR        482,437  

3.45%, 7/15/36, Series 0121

     1,125,000       MYR        257,475  
       

 

 

 
Total Malaysia

 

             8,510,665  

 

See Notes to Financial Statements.

 

WisdomTree Trust      37  


Table of Contents

Schedule of Investments (continued)

WisdomTree Emerging Markets Local Debt Fund (ELD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  
Mexico – 6.0%

 

Mexican Bonos

 

8.00%, 9/5/24, Series M

     18,075,000       MXN      $ 948,673  

10.00%, 12/5/24, Series M 20

     18,410,000       MXN        1,022,562  

5.75%, 3/5/26, Series M

     3,700,000       MXN        179,262  

8.50%, 5/31/29, Series M 20

     21,945,000       MXN        1,199,665  

7.75%, 5/29/31, Series M

     20,133,000       MXN        1,059,641  

7.75%, 11/23/34, Series M

     9,319,000       MXN        487,576  

10.00%, 11/20/36, Series M 30

     4,237,000       MXN        263,400  

8.50%, 11/18/38, Series M 30

     19,854,000       MXN        1,085,434  

7.75%, 11/13/42, Series M

     15,142,000       MXN        770,946  

8.00%, 11/7/47, Series M

     20,000,000       MXN        1,041,014  
       

 

 

 
Total Mexico

 

             8,058,173  
Peru – 2.9%

 

Peru Government Bond

 

5.70%, 8/12/24

     1,000,000       PEN        259,684  

8.20%, 8/12/26

     125,000       PEN        35,521  

6.35%, 8/12/28

     3,250,000       PEN        830,019  

5.94%, 2/12/29

     3,800,000       PEN        944,191  

6.15%, 8/12/32

     3,451,000       PEN        834,804  

5.40%, 8/12/34

     2,830,000       PEN        617,194  

5.35%, 8/12/40

     2,000,000       PEN        407,221  
       

 

 

 
Total Peru

 

             3,928,634  
Philippines – 1.8%

 

Philippine Government International Bond

 

3.90%, 11/26/22

     39,000,000       PHP        792,701  

6.25%, 1/14/36

     70,000,000       PHP        1,682,795  
       

 

 

 
Total Philippines

 

             2,475,496  
Poland – 4.8%

 

Republic of Poland Government Bond

 

2.50%, 4/25/24, Series 0424

     1,200,000       PLN        329,267  

2.50%, 7/25/26, Series 0726

     8,095,000       PLN        2,250,396  

2.50%, 7/25/27, Series 0727

     8,505,000       PLN        2,367,263  

2.75%, 10/25/29, Series 1029

     3,585,000       PLN        1,021,156  

1.25%, 10/25/30, Series 1030

     2,215,000       PLN        557,742  
       

 

 

 
Total Poland

 

             6,525,824  
Romania – 1.9%

 

Romania Government Bond

 

3.50%, 12/19/22, Series 7Y

     1,735,000       RON        419,801  

5.85%, 4/26/23, Series 10Y

     1,470,000       RON        369,480  

4.00%, 10/25/23, Series 3Y

     565,000       RON        138,696  

3.25%, 4/29/24, Series 7Y

     950,000       RON        228,771  

4.75%, 2/24/25, Series 10Y

     1,410,000       RON        355,207  

4.15%, 1/26/28, Series 8Y

     940,000       RON        233,419  

5.00%, 2/12/29, Series 10Y

     500,000       RON        129,864  

4.85%, 4/22/26, Series 7Y

     1,000,000       RON        254,974  

5.80%, 7/26/27, Series 15Y

     1,080,000       RON        291,666  

3.65%, 9/24/31, Series 15Y

     500,000       RON        117,931  
       

 

 

 
Total Romania

 

             2,539,809  
Russia – 11.2%

 

Russian Federal Bond – OFZ

 

7.00%, 1/25/23, Series 6211

     18,349,000       RUB        251,668  

7.00%, 8/16/23, Series 6215

     49,505,000       RUB        680,191  

6.50%, 2/28/24, Series 6223

     103,910,000       RUB        1,411,939  

7.40%, 7/17/24, Series 6227

     90,000,000       RUB        1,250,606  

7.10%, 10/16/24, Series 6222

     67,486,000       RUB        930,827  

4.50%, 7/16/25, Series 6234

     62,046,000       RUB        783,556  

7.15%, 11/12/25, Series 6229

     58,668,000       RUB      812,081  

7.75%, 9/16/26, Series 6219

     58,000,000       RUB        828,431  

7.95%, 10/7/26, Series 6226

     49,063,000       RUB        705,000  

8.15%, 2/3/27, Series 6207

     43,606,000       RUB        633,194  

7.05%, 1/19/28, Series 6212

     104,885,000       RUB        1,455,316  

5.70%, 5/17/28, Series 6236

     25,000,000       RUB        322,206  

6.90%, 5/23/29, Series 6224

     55,000,000       RUB        754,006  

7.65%, 4/10/30, Series 6228

     24,000,000       RUB        344,873  

8.50%, 9/17/31, Series 6218

     52,440,000       RUB        800,436  

7.70%, 3/23/33, Series 6221

     71,865,000       RUB        1,035,712  

7.25%, 5/10/34, Series 6225

     65,860,000       RUB        913,111  

6.10%, 7/18/35, Series 6233

     45,500,000       RUB        567,335  

7.70%, 3/16/39, Series 6230

     38,765,000       RUB        559,731  
       

 

 

 
Total Russia

 

             15,040,219  
South Africa – 6.2%

 

Republic of South Africa Government Bond

 

8.00%, 1/31/30, Series 2030

     16,655,000       ZAR        1,100,623  

7.00%, 2/28/31, Series R213

     16,267,000       ZAR        976,020  

8.25%, 3/31/32, Series 2032

     13,000,000       ZAR        830,230  

8.88%, 2/28/35, Series 2035

     11,810,000       ZAR        751,215  

6.25%, 3/31/36, Series R209

     12,301,600       ZAR        611,241  

8.50%, 1/31/37, Series 2037

     11,000,000       ZAR        660,570  

9.00%, 1/31/40, Series 2040

     14,300,000       ZAR        881,479  

6.50%, 2/28/41, Series R214

     4,005,000       ZAR        188,607  

8.75%, 1/31/44, Series 2044

     16,665,000       ZAR        990,526  

8.75%, 2/28/48, Series 2048

     23,120,000       ZAR        1,372,416  
       

 

 

 
Total South Africa

 

             8,362,927  
Thailand – 2.3%

 

Thailand Government Bond

 

2.00%, 12/17/22

     6,000,000       THB        189,865  

0.75%, 6/17/24

     3,025,000       THB        94,524  

1.45%, 12/17/24

     9,565,000       THB        305,887  

0.95%, 6/17/25

     7,000,000       THB        220,464  

3.85%, 12/12/25

     5,480,000       THB        193,041  

2.13%, 12/17/26

     10,000,000       THB        332,028  

2.88%, 12/17/28

     3,615,000       THB        125,361  

4.88%, 6/22/29

     9,167,000       THB        359,798  

3.65%, 6/20/31

     9,000,000       THB        331,628  

1.60%, 6/17/35

     6,130,000       THB        183,000  

3.40%, 6/17/36

     14,285,000       THB        519,866  

2.88%, 6/17/46

     5,985,000       THB        203,959  
       

 

 

 
Total Thailand

 

             3,059,421  
Turkey – 2.8%

 

Turkey Government Bond

 

11.00%, 3/2/22

     5,620,000       TRY        655,481  

12.20%, 1/18/23

     8,000,000       TRY        902,520  

16.20%, 6/14/23

     2,030,000       TRY        239,269  

9.00%, 7/24/24

     733,000       TRY        72,158  

8.00%, 3/12/25

     4,657,000       TRY        428,761  

12.60%, 10/1/25

     815,000       TRY        85,867  

10.60%, 2/11/26

     2,290,000       TRY        223,092  

11.00%, 2/24/27

     6,586,000       TRY        629,331  

10.50%, 8/11/27

     3,410,000       TRY        316,622  

11.70%, 11/13/30

     1,905,000       TRY        178,254  
       

 

 

 
Total Turkey

 

             3,731,355  

TOTAL FOREIGN GOVERNMENT OBLIGATIONS

(Cost: $122,628,476)

 

 

     112,134,645  

 

See Notes to Financial Statements.

 

38   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Emerging Markets Local Debt Fund (ELD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  
SUPRANATIONAL BONDS – 8.8%

 

European Bank for Reconstruction & Development
6.45%, 12/13/22

     7,910,000,000       IDR      $ 570,102  

European Investment Bank

 

7.63%, 1/12/22

     18,000,000       MXN        907,747  

7.50%, 7/30/23

     38,000,000       MXN        1,959,780  

8.13%, 12/21/26

     9,740,000       ZAR        717,824  

8.00%, 5/5/27(b)

     18,500,000       ZAR        1,357,669  

International Bank for Reconstruction & Development
8.25%, 12/21/26

     12,675,000       ZAR        936,938  

International Finance Corp.

 

5.75%, 3/2/23

     32,000,000       MXN        1,597,817  

7.00%, 7/20/27

     35,000,000       MXN        1,769,430  

7.50%, 1/18/28

     31,000,000       MXN        1,600,469  

5.50%, 2/28/28

     34,850,000       RUB        471,649  

TOTAL SUPRANATIONAL BONDS

(Cost: $11,495,928)

 

 

     11,889,425  
REPURCHASE AGREEMENT – 5.1%

 

United States – 5.1%

 

Citigroup, Inc., tri-party repurchase agreement dated 8/31/21 (tri-party custodian: The Bank of New York Mellon Corp.), 0.06% due 9/1/21; Proceeds at maturity – $6,860,011 (fully collateralized by Freddie Mac Pool, 1.50% – 4.00% due 8/1/51; Market value including accrued interest – $7,204,041)

       
(Cost: $6,860,000)      6,860,000              6,860,000  

TOTAL INVESTMENTS IN SECURITIES – 97.1%

(Cost: $140,984,404)

 

 

       130,884,070  

Other Assets less Liabilities – 2.9%

 

       3,899,469  
    

 

 

 
NET ASSETS – 100.0%

 

           $ 134,783,539  

 

 

Principal amount is reported in U.S. dollars unless otherwise noted.

 

(a) 

Represents a zero coupon bond. Rate shown reflects the effective yield as of August 31, 2021.

 

(b) 

This security is exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. This security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933.

 

(c) 

This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers.

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)  
Counterparty   Settlement
Date
   

Amount and

Description of
Currency to
be Purchased

    Amount and
Description of
Currency to
be Sold
    Unrealized
Appreciation
    Unrealized
Depreciation
 

Bank of Montreal

    9/15/2021       2,000,000       CNY       309,167       USD     $ 56     $  

Barclays Bank PLC

    9/15/2021       7,600,000       MYR       1,839,748       USD             (11,718

Barclays Bank PLC

    9/15/2021       606,995       USD       44,778,000       INR             (4,367

Citibank N.A.

    9/1/2021       262,960       USD       1,700,000       CNY             (67

Citibank N.A.

    9/15/2021       20,609,000       CNY       3,201,746       USD             (15,357

Citibank N.A.

    9/15/2021       335,865       USD       1,300,000       PLN             (3,675

Goldman Sachs

    9/15/2021       14,040,000       PLN       3,830,528       USD             (163,492

Goldman Sachs

    9/15/2021       2,000,000       TRY       221,053       USD       17,797        

JPMorgan Chase & Co.

    9/1/2021       631,479       USD       9,077,512,000       IDR             (4,981

JPMorgan Chase & Co.

    9/1/2021       223,482       USD       3,212,556,000       IDR             (1,763

Morgan Stanley & Co. International

    9/15/2021       445,229       USD       2,900,000       CNY             (3,144

Morgan Stanley & Co. International

    9/15/2021       356,715       USD       26,800,000       INR             (9,190

Morgan Stanley & Co. International

    9/15/2021       473,261       USD       2,000,000       MYR             (7,800

State Street Bank and Trust

    9/1/2021       48,059       USD       699,508       ZAR             (299
                                            $ 17,853     $ (225,853

 

See Notes to Financial Statements.

 

WisdomTree Trust      39  


Table of Contents

Schedule of Investments (concluded)

WisdomTree Emerging Markets Local Debt Fund (ELD)

August 31, 2021

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of August 31, 2021 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

        

Investments in Securities

  

Foreign Government Obligations

   $      $ 112,134,645      $      $ 112,134,645  

Supranational Bonds

            11,889,425               11,889,425  

Repurchase Agreement

            6,860,000               6,860,000  

Total Investments in Securities

   $      $ 130,884,070      $      $ 130,884,070  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ 17,853      $      $ 17,853  

Liabilities:

        

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ (225,853    $      $ (225,853

Total – Net

   $      $ 130,676,070      $      $ 130,676,070  
1 

Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

 

See Notes to Financial Statements.

 

40   WisdomTree Trust


Table of Contents

Schedule of Investments

WisdomTree Floating Rate Treasury Fund (USFR)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 100.0%

 

U.S. Treasury Notes – 100.0%

 

U.S. Treasury Floating Rate Notes

 

0.10%, 10/31/22, (3-month U.S. Treasury Bill Money Market Yield + 0.055%)*

   $ 279,002,000      $ 279,166,645  

0.09%, 1/31/23, (3-month U.S. Treasury Bill Money Market Yield + 0.049%)*

     301,743,000        301,883,283  

0.08%, 4/30/23, (3-month U.S. Treasury Bill Money Market Yield + 0.034%)*

     301,663,000        301,748,639  

0.07%, 7/31/23, (3-month U.S. Treasury Bill Money Market Yield + 0.029%)*

     203,624,000        203,655,265  

TOTAL INVESTMENTS IN SECURITIES – 100.0%

(Cost: $1,086,163,211)

 

 

     1,086,453,832  

Other Assets less Liabilities – 0.0%

 

     1,281  
  

 

 

 
NET ASSETS – 100.0%

 

   $ 1,086,455,113  
* 

Floating rate note. Coupon shown is in effect at August 31, 2021. Date represents the ultimate maturity date.

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of August 31, 2021 in valuing the Fund’s investments (See Note 2 – Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
    

Other

Significant
Observable
Inputs
(Level 2)

     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

           

Investments in Securities

           

U.S. Government Obligations

   $      $ 1,086,453,832      $      $ 1,086,453,832  

Total Investments in Securities

   $      $ 1,086,453,832      $      $ 1,086,453,832  

 

See Notes to Financial Statements.

 

WisdomTree Trust      41  


Table of Contents

Schedule of Investments

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  
U.S. CORPORATE BONDS – 96.0%

 

United States – 96.0%

 

ACCO Brands Corp.
4.25%, 3/15/29(a)

   $ 135,000      $ 135,836  

AdaptHealth LLC
4.63%, 8/1/29(a)(b)

     122,000        122,511  

ADT Security Corp. (The)
4.88%, 7/15/32(a)

     212,000        215,708  

Adtalem Global Education, Inc.
5.50%, 3/1/28(a)

     260,000        266,562  

AECOM
5.13%, 3/15/27

     231,000        258,357  

Allison Transmission, Inc.
5.88%, 6/1/29(a)(b)

     699,000        771,179  

Ally Financial, Inc.
5.75%, 11/20/25

     156,000        178,330  

8.00%, 11/1/31

     393,000        577,164  

AMC Networks, Inc.
5.00%, 4/1/24

     245,000        248,812  

4.75%, 8/1/25(b)

     588,000        603,629  

American Axle & Manufacturing, Inc.
6.25%, 4/1/25(b)

     269,000        278,162  

AmeriGas Partners L.P.
5.63%, 5/20/24

     221,000        242,121  

5.50%, 5/20/25

     533,000        588,070  

5.75%, 5/20/27

     17,000        19,159  

Amkor Technology, Inc.
6.63%, 9/15/27(a)

     304,000        327,596  

Antero Midstream Partners L.P.
5.75%, 1/15/28(a)

     587,000        611,008  

Antero Resources Corp.
5.00%, 3/1/25

     100,000        102,219  

7.63%, 2/1/29(a)

     495,000        545,416  

Apache Corp.
5.10%, 9/1/40

     400,000        445,132  

4.75%, 4/15/43(b)

     516,000        555,015  

APX Group, Inc.
6.75%, 2/15/27(a)

     400,000        428,932  

Aramark Services, Inc.
6.38%, 5/1/25(a)

     324,000        343,003  

5.00%, 2/1/28(a)

     441,000        459,315  

Archrock Partners L.P.
6.25%, 4/1/28(a)

     488,000        497,770  

ASGN, Inc.
4.63%, 5/15/28(a)

     135,000        141,035  

Audacy Capital Corp.
6.75%, 3/31/29(a)(b)

     160,000        161,702  

Avantor Funding, Inc.
4.63%, 7/15/28(a)

     346,000        366,182  

Avient Corp.
5.75%, 5/15/25(a)

     150,000        158,399  

Axalta Coating Systems LLC
3.38%, 2/15/29(a)

     190,000        186,593  

B&G Foods, Inc.
5.25%, 4/1/25

     281,000        288,550  

5.25%, 9/15/27(b)

     136,000        141,277  

Ball Corp.
4.00%, 11/15/23

     183,000        194,000  

2.88%, 8/15/30

     220,000        220,557  

Bally’s Corp.
6.75%, 6/1/27(a)

   150,000      162,516  

Bath & Body Works, Inc.
5.25%, 2/1/28

     300,000        336,366  

7.50%, 6/15/29(b)

     295,000        342,940  

6.63%, 10/1/30(a)

     300,000        348,588  

6.75%, 7/1/36

     693,000        883,755  

Bausch Health Americas, Inc.
9.25%, 4/1/26(a)

     778,000        838,824  

Bed Bath & Beyond, Inc.
5.17%, 8/1/44(b)

     330,000        314,305  

Berry Global, Inc.
4.88%, 7/15/26(a)

     518,000        547,215  

Black Knight InfoServ LLC
3.63%, 9/1/28(a)

     261,000        264,338  

Booz Allen Hamilton, Inc.
3.88%, 9/1/28(a)

     200,000        207,068  

Brink’s Co. (The)
4.63%, 10/15/27(a)

     44,000        46,255  

Brookfield Property REIT, Inc.
5.75%, 5/15/26(a)

     463,000        478,960  

Builders FirstSource, Inc.
5.00%, 3/1/30(a)

     256,000        274,130  

Cable One, Inc.
4.00%, 11/15/30(a)

     120,000        121,405  

Catalent Pharma Solutions, Inc.
3.13%, 2/15/29(a)

     280,000        276,900  

CCO Holdings LLC
4.00%, 3/1/23(a)

     243,000        244,577  

5.75%, 2/15/26(a)

     636,000        654,285  

5.13%, 5/1/27(a)

     530,000        554,762  

4.75%, 3/1/30(a)

     420,000        444,217  

4.50%, 8/15/30(a)

     574,000        600,857  

CDK Global, Inc.
5.00%, 10/15/24

     10,000        11,118  

5.25%, 5/15/29(a)

     48,000        52,205  

CDW LLC
5.50%, 12/1/24

     108,000        120,033  

4.13%, 5/1/25

     144,000        149,901  

4.25%, 4/1/28

     154,000        161,541  

Cedar Fair L.P.
5.50%, 5/1/25(a)

     463,000        482,835  

Centene Corp.
4.63%, 12/15/29

     339,000        372,439  

3.00%, 10/15/30

     580,000        600,822  

Central Garden & Pet Co.
4.13%, 10/15/30

     200,000        205,348  

CF Industries, Inc.
3.45%, 6/1/23

     292,000        307,245  

5.38%, 3/15/44

     244,000        317,490  

Charles River Laboratories International, Inc.
4.00%, 3/15/31(a)

     160,000        170,976  

Charter Communications Operating LLC
3.70%, 4/1/51

     610,000        614,789  

3.85%, 4/1/61

     341,000        339,687  

Chemours Co. (The)
5.38%, 5/15/27(b)

     33,000        35,876  

5.75%, 11/15/28(a)

     400,000        424,200  

 

See Notes to Financial Statements.

 

42   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

Churchill Downs, Inc.
5.50%, 4/1/27(a)

   $ 272,000      $ 283,595  

Clear Channel Outdoor Holdings, Inc.
7.75%, 4/15/28(a)

     823,000        859,303  

Clearway Energy Operating LLC
4.75%, 3/15/28(a)

     330,000        350,183  

3.75%, 2/15/31(a)

     277,000        281,953  

CNX Resources Corp.
7.25%, 3/14/27(a)

     396,000        420,227  

CommScope Technologies LLC
6.00%, 6/15/25(a)

     864,000        879,474  

5.00%, 3/15/27(a)(b)

     349,000        344,390  

CommScope, Inc.
6.00%, 3/1/26(a)

     305,000        320,159  

8.25%, 3/1/27(a)

     300,000        316,341  

Community Health Systems, Inc.
6.63%, 2/15/25(a)

     632,000        665,433  

8.00%, 3/15/26(a)

     714,000        764,515  

8.00%, 12/15/27(a)

     360,000        398,120  

6.88%, 4/15/29(a)

     150,000        155,961  

4.75%, 2/15/31(a)(b)

     1,325,000        1,348,863  

Compass Minerals International, Inc.
6.75%, 12/1/27(a)

     317,000        336,664  

Consolidated Communications, Inc.
6.50%, 10/1/28(a)

     290,000        317,489  

Continental Resources, Inc.
4.50%, 4/15/23

     200,000        208,876  

4.90%, 6/1/44

     252,000        284,057  

CoreLogic, Inc.
4.50%, 5/1/28(a)

     318,000        317,615  

Cornerstone Building Brands, Inc.
6.13%, 1/15/29(a)

     288,000        308,316  

Coty, Inc.
6.50%, 4/15/26(a)(b)

     276,000        284,840  

Crestwood Midstream Partners L.P.
5.63%, 5/1/27(a)

     394,000        398,425  

6.00%, 2/1/29(a)

     200,000        204,936  

Crown Americas LLC
4.50%, 1/15/23

     197,000        206,275  

CSC Holdings LLC
5.25%, 6/1/24

     756,000        816,253  

5.50%, 4/15/27(a)

     260,000        272,519  

7.50%, 4/1/28(a)

     570,000        626,117  

6.50%, 2/1/29(a)

     400,000        442,424  

5.75%, 1/15/30(a)

     1,010,000        1,067,701  

3.38%, 2/15/31(a)

     210,000        199,973  

CVR Partners L.P.
9.25%, 6/15/23(a)

     73,000        73,339  

DaVita, Inc.
4.63%, 6/1/30(a)

     350,000        366,093  

3.75%, 2/15/31(a)

     1,323,000        1,308,791  

Del Monte Foods, Inc.
11.88%, 5/15/25(a)

     167,000        187,947  

Delta Air Lines, Inc.
3.63%, 3/15/22

     981,000        992,095  

2.90%, 10/28/24

     50,000        50,922  

4.38%, 4/19/28(b)

     210,000        224,612  

3.75%, 10/28/29(b)

     44,000        44,610  

Devon Energy Corp.
5.00%, 6/15/45

   145,000      171,921  

Diamond Sports Group LLC
5.38%, 8/15/26(a)

     1,716,000        1,141,123  

6.63%, 8/15/27(a)(b)

     815,000        351,827  

DISH DBS Corp.
5.88%, 7/15/22

     921,000        953,051  

5.00%, 3/15/23

     244,000        255,307  

5.88%, 11/15/24

     1,093,000        1,183,227  

7.75%, 7/1/26

     895,000        1,025,912  

Diversified Healthcare Trust
4.75%, 2/15/28

     308,000        313,368  

4.38%, 3/1/31

     611,000        600,925  

Dycom Industries, Inc.
4.50%, 4/15/29(a)

     183,000        188,585  

Edgewell Personal Care Co.
5.50%, 6/1/28(a)

     407,000        431,457  

4.13%, 4/1/29(a)

     70,000        70,958  

Element Solutions, Inc.
3.88%, 9/1/28(a)

     174,000        178,442  

EMC Corp.
3.38%, 6/1/23

     49,000        50,813  

Encompass Health Corp.
4.75%, 2/1/30

     345,000        368,391  

Energizer Holdings, Inc.
4.38%, 3/31/29(a)

     435,000        436,623  

EnLink Midstream LLC
5.63%, 1/15/28(a)

     110,000        115,713  

EnLink Midstream Partners L.P.
4.40%, 4/1/24

     161,000        167,638  

4.15%, 6/1/25

     208,000        214,427  

5.45%, 6/1/47

     220,000        209,539  

EPR Properties
3.75%, 8/15/29

     118,000        118,472  

EQM Midstream Partners L.P.
6.50%, 7/1/27(a)

     500,000        559,075  

5.50%, 7/15/28

     180,000        196,636  

4.75%, 1/15/31(a)

     300,000        306,012  

6.50%, 7/15/48

     500,000        564,985  

Fluor Corp.
4.25%, 9/15/28(b)

     389,000        408,104  

Ford Motor Co.
8.50%, 4/21/23

     531,000        587,944  

9.00%, 4/22/25

     483,000        589,308  

9.63%, 4/22/30

     437,000        623,293  

5.29%, 12/8/46

     520,000        589,477  

Ford Motor Credit Co. LLC
3.22%, 1/9/22

     70,000        70,619  

3.35%, 11/1/22

     90,000        92,061  

4.14%, 2/15/23

     660,000        683,529  

3.66%, 9/8/24

     20,000        20,888  

4.39%, 1/8/26

     10,000        10,786  

4.54%, 8/1/26

     180,000        196,529  

Fortress Transportation & Infrastructure Investors LLC
6.50%, 10/1/25(a)

     250,000        258,135  

5.50%, 5/1/28(a)

     327,000        333,164  

 

See Notes to Financial Statements.

 

WisdomTree Trust      43  


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

Freeport-McMoRan, Inc.
3.88%, 3/15/23

   $ 825,000      $ 857,332  

4.55%, 11/14/24

     235,000        255,311  

5.00%, 9/1/27

     270,000        285,185  

5.45%, 3/15/43

     8,000        10,241  

Gap, Inc. (The)
8.38%, 5/15/23(a)

     12,000        13,416  

8.63%, 5/15/25(a)

     437,000        477,947  

8.88%, 5/15/27(a)

     111,000        127,855  

Gartner, Inc.
3.75%, 10/1/30(a)

     201,000        210,602  

Genesis Energy L.P.
7.75%, 2/1/28

     928,000        910,878  

GLP Capital L.P.
4.00%, 1/15/31

     341,000        370,374  

Go Daddy Operating Co. LLC
3.50%, 3/1/29(a)

     294,000        291,648  

Golden Nugget, Inc.
6.75%, 10/15/24(a)

     400,000        401,432  

Goodyear Tire & Rubber Co. (The)
5.00%, 5/31/26

     450,000        463,559  

4.88%, 3/15/27(b)

     300,000        322,566  

5.25%, 7/15/31(a)

     809,000        867,110  

Gray Television, Inc.
5.88%, 7/15/26(a)

     338,000        349,208  

7.00%, 5/15/27(a)(b)

     647,000        694,904  

Greif, Inc.
6.50%, 3/1/27(a)

     258,000        271,055  

Griffon Corp.
5.75%, 3/1/28

     392,000        417,029  

GrubHub Holdings, Inc.
5.50%, 7/1/27(a)

     187,000        195,589  

Hanesbrands, Inc.
4.63%, 5/15/24(a)

     273,000        290,548  

4.88%, 5/15/26(a)(b)

     267,000        292,173  

HCA, Inc.
5.88%, 5/1/23

     254,000        274,538  

5.38%, 2/1/25

     937,000        1,055,746  

3.50%, 9/1/30

     415,000        445,851  

Hilton Domestic Operating Co., Inc.
4.88%, 1/15/30

     426,000        460,067  

3.63%, 2/15/32(a)

     464,000        463,341  

HLF Financing Sarl LLC
4.88%, 6/1/29(a)

     243,000        245,717  

Holly Energy Partners L.P.
5.00%, 2/1/28(a)

     200,000        204,418  

Hologic, Inc.
3.25%, 2/15/29(a)

     162,000        166,175  

Horizon Therapeutics USA, Inc.
5.50%, 8/1/27(a)

     110,000        116,900  

Hughes Satellite Systems Corp.
5.25%, 8/1/26

     257,000        291,520  

6.63%, 8/1/26(b)

     242,000        275,570  

iHeartCommunications, Inc.
8.38%, 5/1/27

     600,000        638,040  

4.75%, 1/15/28(a)

     510,000        529,905  

Ingevity Corp.
3.88%, 11/1/28(a)

     150,000        150,594  

IQVIA, Inc.
5.00%, 5/15/27(a)

   250,000      261,650  

Iron Mountain, Inc.
4.88%, 9/15/27(a)

     436,000        455,642  

5.25%, 3/15/28(a)

     173,000        182,361  

4.50%, 2/15/31(a)

     1,216,000        1,252,419  

iStar, Inc.
4.75%, 10/1/24

     400,000        425,168  

4.25%, 8/1/25

     240,000        251,158  

J2 Global, Inc.
4.63%, 10/15/30(a)

     278,000        294,716  

JBS USA LUX S.A.
6.75%, 2/15/28(a)

     190,000        208,650  

6.50%, 4/15/29(a)

     390,000        442,455  

5.50%, 1/15/30(a)

     11,000        12,440  

Kaiser Aluminum Corp.
4.63%, 3/1/28(a)

     188,000        195,868  

4.50%, 6/1/31(a)

     138,000        143,252  

Kennedy-Wilson, Inc.
5.00%, 3/1/31

     350,000        365,190  

Kraft Heinz Foods Co.
3.75%, 4/1/30

     156,000        172,603  

5.00%, 7/15/35

     176,000        218,868  

4.63%, 10/1/39

     300,000        358,602  

5.20%, 7/15/45

     808,000        1,035,032  

4.38%, 6/1/46

     439,000        508,406  

4.88%, 10/1/49

     88,000        109,785  

5.50%, 6/1/50

     89,000        119,115  

Ladder Capital Finance Holdings LLLP
4.25%, 2/1/27(a)

     313,000        317,244  

Lamar Media Corp.
3.63%, 1/15/31(a)(b)

     240,000        239,717  

Lamb Weston Holdings, Inc.
4.63%, 11/1/24(a)

     305,000        314,135  

Lennar Corp.
4.50%, 4/30/24

     100,000        108,694  

Level 3 Financing, Inc.
3.63%, 1/15/29(a)

     807,000        783,863  

3.75%, 7/15/29(a)

     292,000        284,928  

Lions Gate Capital Holdings LLC
5.50%, 4/15/29(a)

     390,000        398,697  

LPL Holdings, Inc.
4.00%, 3/15/29(a)

     140,000        143,016  

Lumen Technologies, Inc.
5.80%, 3/15/22, Series T

     838,000        858,481  

7.50%, 4/1/24, Series Y

     54,000        60,200  

5.63%, 4/1/25

     501,000        543,119  

5.13%, 12/15/26(a)

     373,000        385,880  

4.00%, 2/15/27(a)

     341,000        350,681  

Marriott Ownership Resorts, Inc.
6.13%, 9/15/25(a)

     86,000        90,650  

6.50%, 9/15/26

     162,000        167,558  

Maxim Crane Works Holdings Capital LLC
10.13%, 8/1/24(a)

     230,000        237,100  

MEDNAX, Inc.
6.25%, 1/15/27(a)

     347,000        366,252  

 

See Notes to Financial Statements.

 

44   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

MGM Growth Properties Operating Partnership L.P.
5.63%, 5/1/24

   $ 478,000      $ 522,014  

5.75%, 2/1/27

     588,000        677,635  

MGM Resorts International
7.75%, 3/15/22

     1,259,000        1,303,909  

6.00%, 3/15/23

     24,000        25,499  

6.75%, 5/1/25

     9,000        9,569  

Michaels Cos., Inc.(The)
7.88%, 5/1/29(a)

     773,000        794,799  

Midwest Gaming Borrower LLC
4.88%, 5/1/29(a)

     289,000        293,023  

Molina Healthcare, Inc.
5.38%, 11/15/22

     246,000        255,360  

3.88%, 11/15/30(a)

     393,000        419,174  

Moog, Inc.
4.25%, 12/15/27(a)

     104,000        107,391  

MPH Acquisition Holdings LLC
5.75%, 11/1/28(a)(b)

     591,000        565,156  

MPT Operating Partnership L.P.
5.25%, 8/1/26

     632,000        653,336  

MSCI, Inc.
4.00%, 11/15/29(a)

     230,000        246,988  

Nationstar Mortgage Holdings, Inc.
6.00%, 1/15/27(a)

     882,000        931,754  

5.13%, 12/15/30(a)

     200,000        205,190  

Navient Corp.
6.50%, 6/15/22

     191,000        199,045  

5.50%, 1/25/23

     158,000        166,485  

7.25%, 9/25/23

     207,000        227,727  

6.13%, 3/25/24

     788,000        855,161  

5.88%, 10/25/24

     251,000        273,705  

6.75%, 6/15/26(b)

     31,000        35,029  

4.88%, 3/15/28

     370,000        377,633  

NCR Corp.
5.13%, 4/15/29(a)

     330,000        342,662  

6.13%, 9/1/29(a)

     768,000        837,489  

Newell Brands, Inc.
4.35%, 4/1/23

     245,000        258,637  

4.70%, 4/1/26

     38,000        42,496  

6.00%, 4/1/46

     284,000        369,595  

Newmark Group, Inc.
6.13%, 11/15/23

     23,000        25,056  

News Corp.
3.88%, 5/15/29(a)

     241,000        248,167  

Nexstar Media, Inc.
5.63%, 7/15/27(a)

     733,000        778,937  

4.75%, 11/1/28(a)

     254,000        264,396  

NextEra Energy Operating Partners L.P.
4.25%, 7/15/24(a)

     305,000        322,257  

4.25%, 9/15/24(a)

     55,000        58,319  

Nielsen Finance LLC
5.88%, 10/1/30(a)

     491,000        525,753  

Nordstrom, Inc.
5.00%, 1/15/44(b)

     578,000        574,833  

NRG Energy, Inc.
5.25%, 6/15/29(a)

     566,000        614,444  

3.63%, 2/15/31(a)

     220,000        224,013  

NuStar Logistics L.P.
6.00%, 6/1/26

   300,000      325,329  

5.63%, 4/28/27

     344,000        366,167  

6.38%, 10/1/30

     235,000        260,122  

Occidental Petroleum Corp.
2.90%, 8/15/24

     726,000        746,248  

3.50%, 6/15/25

     252,000        264,663  

3.40%, 4/15/26

     123,000        127,352  

6.63%, 9/1/30

     400,000        499,016  

7.50%, 5/1/31

     440,000        576,321  

6.45%, 9/15/36

     288,000        361,630  

4.10%, 2/15/47

     481,000        477,094  

4.40%, 8/15/49

     868,000        875,135  

Oceaneering International, Inc.
4.65%, 11/15/24

     200,000        203,990  

Olin Corp.
5.13%, 9/15/27

     424,000        442,351  

5.00%, 2/1/30

     285,000        306,389  

OneMain Finance Corp.
6.13%, 5/15/22

     437,000        452,107  

6.13%, 3/15/24

     301,000        324,902  

8.88%, 6/1/25

     236,000        258,819  

7.13%, 3/15/26

     522,000        610,996  

5.38%, 11/15/29

     477,000        521,852  

4.00%, 9/15/30

     520,000        521,950  

Organon & Co.
4.13%, 4/30/28(a)

     200,000        206,528  

5.13%, 4/30/31(a)

     1,390,000        1,459,333  

Outfront Media Capital LLC
4.63%, 3/15/30(a)

     343,000        348,104  

Owens & Minor, Inc.
4.50%, 3/31/29(a)

     232,000        237,549  

Owens-Brockway Glass Container, Inc.
5.88%, 8/15/23(a)(b)

     604,000        643,665  

Par Pharmaceutical, Inc.
7.50%, 4/1/27(a)

     1,033,000        1,048,722  

Park Intermediate Holdings LLC
5.88%, 10/1/28(a)

     396,000        422,488  

4.88%, 5/15/29(a)

     60,000        61,846  

Party City Holdings, Inc.
8.75%, 2/15/26(a)

     370,000        387,272  

Patterson-UTI Energy, Inc.
3.95%, 2/1/28(b)

     199,000        196,144  

PBF Holding Co. LLC
9.25%, 5/15/25(a)

     566,000        546,779  

7.25%, 6/15/25

     452,000        317,336  

6.00%, 2/15/28

     470,000        309,204  

PBF Logistics L.P.
6.88%, 5/15/23(b)

     373,000        363,153  

Pilgrim’s Pride Corp.
5.88%, 9/30/27(a)

     240,000        256,572  

4.25%, 4/15/31(a)

     230,000        247,988  

Plains All American Pipeline L.P.
4.90%, 2/15/45

     269,000        293,457  

Plantronics, Inc.
4.75%, 3/1/29(a)(b)

     252,000        241,839  

Post Holdings, Inc.
5.75%, 3/1/27(a)

     552,000        578,038  

5.63%, 1/15/28(a)(b)

     570,000        600,535  

 

See Notes to Financial Statements.

 

WisdomTree Trust      45  


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

4.63%, 4/15/30(a)

   $ 731,000      $ 747,740  

4.50%, 9/15/31(a)

     290,000        293,599  

Prestige Brands, Inc.
3.75%, 4/1/31(a)

     227,000        224,378  

Prime Healthcare Services, Inc.
7.25%, 11/1/25(a)

     449,000        481,871  

Prime Security Services Borrower LLC
5.25%, 4/15/24(a)

     625,000        665,812  

5.75%, 4/15/26(a)

     396,000        429,094  

6.25%, 1/15/28(a)

     637,000        660,830  

PTC, Inc.
4.00%, 2/15/28(a)

     250,000        259,030  

Qorvo, Inc.
4.38%, 10/15/29

     192,000        213,001  

QVC, Inc.
4.38%, 3/15/23

     124,000        130,243  

4.85%, 4/1/24

     247,000        268,995  

4.45%, 2/15/25

     272,000        291,366  

4.75%, 2/15/27

     35,000        37,520  

Rackspace Technology Global, Inc.
3.50%, 2/15/28(a)

     351,000        338,129  

Radian Group, Inc.
6.63%, 3/15/25

     143,000        161,426  

Realogy Group LLC
9.38%, 4/1/27(a)

     631,000        698,530  

5.75%, 1/15/29(a)

     159,000        166,618  

Renewable Energy Group, Inc.
5.88%, 6/1/28(a)

     70,000        72,550  

RHP Hotel Properties L.P.
4.50%, 2/15/29(a)

     331,000        336,753  

Sabre GLBL, Inc.
9.25%, 4/15/25(a)

     508,000        586,202  

Sally Holdings LLC
5.63%, 12/1/25

     166,000        171,441  

SBA Communications Corp.
3.13%, 2/1/29(a)

     175,000        172,144  

Scientific Games International, Inc.
8.25%, 3/15/26(a)

     1,069,000        1,138,239  

7.00%, 5/15/28(a)

     252,000        271,417  

7.25%, 11/15/29(a)

     272,000        303,685  

Scotts Miracle-Gro Co. (The)
4.00%, 4/1/31(a)

     136,000        136,602  

Scripps Escrow II, Inc.
5.38%, 1/15/31(a)

     280,000        277,595  

Scripps Escrow, Inc.
5.88%, 7/15/27(a)

     374,000        384,210  

Select Medical Corp.
6.25%, 8/15/26(a)

     487,000        515,967  

Sensata Technologies, Inc.
3.75%, 2/15/31(a)

     250,000        253,350  

Service Corp. International
4.63%, 12/15/27

     442,000        467,830  

3.38%, 8/15/30

     140,000        141,037  

Service Properties Trust
7.50%, 9/15/25

     599,000        676,588  

Silgan Holdings, Inc.
4.13%, 2/1/28

     154,000        159,473  

Sinclair Television Group, Inc.
5.50%, 3/1/30(a)(b)

   250,000      245,158  

4.13%, 12/1/30(a)

     287,000        280,715  

Sirius XM Radio, Inc.
5.50%, 7/1/29(a)

     622,000        681,762  

4.13%, 7/1/30(a)

     350,000        358,866  

Six Flags Entertainment Corp.
4.88%, 7/31/24(a)

     250,000        253,085  

Six Flags Theme Parks, Inc.
7.00%, 7/1/25(a)

     496,000        531,280  

Spectrum Brands, Inc.
5.75%, 7/15/25

     152,000        155,846  

3.88%, 3/15/31(a)

     110,000        108,785  

Spirit AeroSystems, Inc.
7.50%, 4/15/25(a)

     424,000        450,207  

4.60%, 6/15/28(b)

     392,000        383,623  

Sprint Communications, Inc.
6.00%, 11/15/22

     520,000        550,165  

Sprint Corp.
7.88%, 9/15/23

     551,000        624,481  

7.13%, 6/15/24

     259,000        298,712  

7.63%, 3/1/26

     231,000        285,146  

SS&C Technologies, Inc.
5.50%, 9/30/27(a)

     463,000        490,965  

SSL Robotics LLC
9.75%, 12/31/23(a)

     521,000        568,833  

Starwood Property Trust, Inc.
5.00%, 12/15/21

     57,000        57,141  

Station Casinos LLC
4.50%, 2/15/28(a)

     225,000        228,623  

Stericycle, Inc.
5.38%, 7/15/24(a)

     458,000        471,154  

Suburban Propane Partners L.P.
5.00%, 6/1/31(a)

     240,000        247,738  

Summit Materials LLC
5.25%, 1/15/29(a)

     203,000        215,290  

Sunoco L.P.
4.50%, 5/15/29

     218,000        221,946  

Surgery Center Holdings, Inc.
10.00%, 4/15/27(a)

     200,000        217,692  

Syneos Health, Inc.
3.63%, 1/15/29(a)

     158,000        157,487  

T-Mobile USA, Inc.
4.00%, 4/15/22

     684,000        695,840  

2.88%, 2/15/31

     430,000        442,470  

Taylor Morrison Communities, Inc.
5.13%, 8/1/30(a)

     228,000        249,696  

TEGNA, Inc.
4.63%, 3/15/28

     288,000        299,218  

5.00%, 9/15/29

     536,000        568,235  

Tempur Sealy International, Inc.
4.00%, 4/15/29(a)

     228,000        235,820  

Tenet Healthcare Corp.
6.75%, 6/15/23

     567,000        614,617  

4.63%, 7/15/24

     180,000        182,707  

4.63%, 9/1/24(a)

     475,000        487,421  

4.88%, 1/1/26(a)

     358,000        371,557  

6.25%, 2/1/27(a)

     292,000        305,158  

6.13%, 10/1/28(a)

     818,000        865,428  

 

See Notes to Financial Statements.

 

46   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

Tenneco, Inc.
5.00%, 7/15/26(b)

   $ 319,000      $ 319,070  

7.88%, 1/15/29(a)

     426,000        481,150  

Terex Corp.
5.00%, 5/15/29(a)

     184,000        194,004  

TerraForm Power Operating LLC
4.25%, 1/31/23(a)

     709,000        730,780  

4.75%, 1/15/30(a)

     320,000        337,056  

TransDigm, Inc.
8.00%, 12/15/25(a)

     56,000        60,012  

6.25%, 3/15/26(a)

     569,000        597,973  

6.38%, 6/15/26

     742,000        770,062  

7.50%, 3/15/27

     328,000        347,296  

5.50%, 11/15/27

     73,000        74,726  

4.88%, 5/1/29(a)

     1,233,000        1,227,982  

Transocean, Inc.
11.50%, 1/30/27(a)

     906,000        912,659  

Travel & Leisure Co.
6.63%, 7/31/26(a)

     90,000        102,653  

TreeHouse Foods, Inc.
4.00%, 9/1/28(b)

     198,000        191,383  

TriNet Group, Inc.
3.50%, 3/1/29(a)

     85,000        85,749  

Tronox, Inc.
4.63%, 3/15/29(a)

     413,000        420,186  

TTM Technologies, Inc.
4.00%, 3/1/29(a)(b)

     70,000        70,991  

Tutor Perini Corp.
6.88%, 5/1/25(a)(b)

     310,000        319,666  

United Natural Foods, Inc.
6.75%, 10/15/28(a)

     250,000        270,665  

United Rentals North America, Inc.
5.50%, 5/15/27

     193,000        203,681  

3.88%, 11/15/27

     313,000        329,151  

4.88%, 1/15/28

     243,000        257,782  

5.25%, 1/15/30

     343,000        377,516  

3.88%, 2/15/31

     80,000        82,978  

Uniti Group L.P.
7.13%, 12/15/24(a)

     668,000        687,385  

7.88%, 2/15/25(a)

     824,000        878,541  

4.75%, 4/15/28(a)

     340,000        347,551  

Urban One, Inc.
7.38%, 2/1/28(a)

     351,000        380,316  

US Foods, Inc.
4.75%, 2/15/29(a)

     330,000        338,940  

USA Compression Partners L.P.
6.88%, 4/1/26

     602,000        626,929  

Valvoline, Inc.
3.63%, 6/15/31(a)

     243,000        242,307  

Vector Group Ltd.
5.75%, 2/1/29(a)

     350,000        356,367  

VeriSign, Inc.
5.25%, 4/1/25

     1,000        1,131  

4.75%, 7/15/27

     38,000        40,342  

ViacomCBS, Inc.

     

5.88%, 2/28/57, (5.875% fixed rate until 2/28/22; 3-month U.S. dollar London Interbank Offered Rate + 3.895% thereafter)(c)

     517,800        526,484  

VICI Properties LP
3.50%, 2/15/25(a)

   358,000      367,569  

3.75%, 2/15/27(a)

     252,000        262,584  

4.13%, 8/15/30(a)

     308,000        329,190  

Victors Merger Corp.
6.38%, 5/15/29(a)

     261,000        259,961  

Vine Energy Holdings LLC
6.75%, 4/15/29(a)

     300,000        324,699  

Vista Outdoor, Inc.
4.50%, 3/15/29(a)

     186,000        188,340  

Vistra Operations Co. LLC
5.63%, 2/15/27(a)

     550,000        572,990  

5.00%, 7/31/27(a)

     229,000        238,602  

4.38%, 5/1/29(a)

     588,000        597,296  

W&T Offshore, Inc.
9.75%, 11/1/23(a)

     433,000        406,189  

WESCO Distribution, Inc.
7.25%, 6/15/28(a)

     889,000        990,373  

Western Digital Corp.
4.75%, 2/15/26

     469,000        524,426  

Western Midstream Operating L.P.
5.30%, 2/1/30

     266,000        298,292  

5.30%, 3/1/48

     670,000        759,257  

6.50%, 2/1/50

     100,000        117,989  

William Carter Co. (The)
5.63%, 3/15/27(a)

     326,000        341,619  

Williams Scotsman International, Inc.
4.63%, 8/15/28(a)

     196,000        203,323  

Xerox Corp.
4.38%, 3/15/23

     58,000        60,805  

Xerox Holdings Corp.
5.50%, 8/15/28(a)

     551,000        576,908  

XHR L.P.
6.38%, 8/15/25(a)

     150,000        159,560  

XPO Logistics, Inc.
6.25%, 5/1/25(a)

     341,000        360,631  

Yum! Brands, Inc.
7.75%, 4/1/25(a)

     209,000        225,434  

3.63%, 3/15/31

     80,000        82,355  

TOTAL U.S. CORPORATE BONDS

(Cost: $155,268,697)

 

 

     159,811,287  
FOREIGN CORPORATE BONDS – 0.7%

 

Canada – 0.4%

 

Open Text Holdings, Inc.
4.13%, 2/15/30(a)

     250,000        263,405  

Primo Water Holdings, Inc.
4.38%, 4/30/29(a)

     299,000        302,280  
     

 

 

 
Total Canada

 

     565,685  
Germany – 0.3%

 

Deutsche Bank AG

     

4.88%, 12/1/32, (4.875% fixed rate until 12/1/27; 5-year U.S. dollar ICE Swap Rate + 2.553% thereafter)(c)

     470,000        515,548  
TOTAL FOREIGN CORPORATE BONDS
(Cost: $1,037,836)

 

     1,081,233  

 

See Notes to Financial Statements.

 

WisdomTree Trust      47  


Table of Contents

Schedule of Investments (concluded)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

August 31, 2021

 

 

 

Investments        
Shares
     Value  
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 3.7%

 

United States – 3.7%

 

State Street Navigator Securities Lending
Government Money Market Portfolio, 0.03%(d)

 

  
(Cost: $6,181,380)      6,181,380      $ 6,181,380  

TOTAL INVESTMENTS IN SECURITIES – 100.4%

(Cost: $162,487,913)

 

 

     167,073,900  

Other Assets less Liabilities – (0.4)%

 

     (626,739
  

 

 

 
NET ASSETS – 100.0%

 

   $ 166,447,161  

 

(a)

This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers.

 

(b)

Security, or portion thereof, was on loan at August 31, 2021 (See Note 2). At August 31, 2021, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $7,975,951 and the total market value of the collateral held by the Fund was $8,916,781. The Fund also had securities on loan having a total market value of $443,603 that were sold and pending settlement. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $2,735,401.

 

(c)

Rate shown reflects the accrual rate as of August 31, 2021 on securities with variable or step rates.

 

(d)

Rate shown represents annualized 7-day yield as of August 31, 2021.

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FUTURES CONTRACTS (EXCHANGE-TRADED)  
Short Exposure   Contracts     Expiration
Date
    Notional
Value
    Unrealized
Appreciation/
(Depreciation)
 

2 Year U.S. Treasury Note

    153       12/31/21     $ (33,710,203   $ (22,811

5 Year U.S. Treasury Note

    598       12/31/21       (73,983,813     (200,891

10 Year U.S. Treasury Note

    34       12/21/21       (4,537,406     (14,123

U.S. Treasury Long Bond

    2       12/21/21       (325,937     (1,156

U.S. Treasury Ultra Long Term Bond

    15       12/21/21       (2,959,219     (9,955

Ultra 10 Year U.S. Treasury Note

    100       12/21/21       (14,801,563     (57,031
      $ (130,318,141   $ (305,967

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of August 31, 2021 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

  

Investments in Securities

  

U.S. Corporate Bonds

   $      $ 159,811,287      $      $ 159,811,287  

Foreign Corporate Bonds

            1,081,233               1,081,233  

Investment of Cash Collateral for Securities Loaned

            6,181,380               6,181,380  

Total Investments in Securities

   $      $ 167,073,900      $      $ 167,073,900  

Liabilities:

 

     

Financial Derivative Instruments

  

Futures Contracts1

   $ (305,967    $      $      $ (305,967

Total – Net

   $ (305,967    $ 167,073,900      $      $ 166,767,933  

1   Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

    

 

See Notes to Financial Statements.

 

48   WisdomTree Trust


Table of Contents

Schedule of Investments

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT AGENCIES – 28.2%

 

Federal Home Loan Bank – 0.1%

 

3.38%, 9/8/23

   $ 70,000      $ 74,451  

3.38%, 12/8/23

     65,000        69,560  

1.50%, 8/15/24

     85,000        87,814  

3.25%, 11/16/28

     65,000        74,456  

5.50%, 7/15/36

     15,000        22,450  
     

 

 

 
Total Federal Home Loan Bank

 

     328,731  
Federal Home Loan Mortgage Corporation – 5.7%

 

3.00%, 4/1/27

     25,513        26,884  

3.00%, 7/1/27

     42,512        44,781  

2.50%, 3/1/28

     23,201        24,288  

2.50%, 4/1/28

     59,649        62,556  

3.50%, 1/1/29

     22,928        24,494  

2.50%, 6/1/29

     40,080        41,977  

3.00%, 8/1/29

     22,254        23,588  

2.50%, 1/1/30

     23,595        24,712  

2.50%, 2/1/30

     34,014        35,641  

3.00%, 4/1/30

     36,037        38,113  

2.50%, 5/1/30

     136,988        143,516  

3.00%, 3/1/31

     103,731        109,691  

2.50%, 12/1/31

     36,901        38,712  

3.00%, 12/1/31

     33,914        35,866  

3.00%, 7/1/32

     226,819        239,527  

6.25%, 7/15/32

     294,000        436,916  

3.50%, 9/1/32

     105,800        113,327  

2.50%, 11/1/32

     18,305        19,182  

3.00%, 1/1/33

     16,994        17,947  

4.00%, 11/1/33

     13,008        13,815  

4.00%, 5/1/34

     32,636        35,587  

3.50%, 8/1/34

     17,690        19,009  

3.00%, 3/1/35

     46,689        49,167  

3.00%, 5/1/35

     27,474        28,959  

3.50%, 6/1/35

     22,600        24,283  

2.50%, 8/1/35

     95,030        99,514  

2.00%, 9/1/35

     77,287        80,013  

2.50%, 10/1/35

     76,266        79,911  

2.50%, 1/1/36

     44,632        47,145  

1.50%, 5/1/36

     24,289        24,727  

1.00%, 8/1/36

     49,614        49,393  

4.00%, 10/1/37

     42,917        46,605  

5.50%, 4/1/38

     27,925        32,272  

2.00%, 11/1/40

     45,337        46,567  

4.50%, 12/1/40

     38,369        42,836  

1.50%, 1/1/41

     104,005        104,472  

2.00%, 1/1/41

     23,508        24,144  

2.00%, 2/1/41

     47,543        48,833  

4.00%, 2/1/41

     168,493        186,409  

2.00%, 3/1/41

     72,215        74,208  

2.00%, 4/1/41

     170,447        175,151  

2.00%, 8/1/41

     224,096        230,281  

3.50%, 3/1/42

     34,027        36,797  

3.50%, 6/1/42

     421,041        455,321  

3.00%, 6/1/43

     43,947        46,802  

3.00%, 7/1/43

     62,863        67,899  

3.00%, 8/1/43

     67,478        71,861  

4.00%, 12/1/43

     12,356        13,551  

3.00%, 1/1/44

     66,882        71,232  

3.50%, 9/1/44

   59,229      64,117  

4.00%, 9/1/44

     38,195        41,812  

3.50%, 1/1/45

     21,312        22,950  

4.00%, 4/1/45

     135,176        147,202  

4.50%, 7/1/45

     21,371        23,859  

3.50%, 8/1/45

     36,523        39,156  

4.00%, 8/1/45

     22,774        24,803  

3.50%, 9/1/45

     46,107        49,422  

4.00%, 11/1/45

     24,634        26,828  

3.00%, 1/1/46

     281,801        298,232  

3.50%, 3/1/46

     25,175        26,983  

3.00%, 4/1/46

     7,844        8,292  

3.50%, 4/1/46

     42,517        45,362  

3.00%, 5/1/46

     98,284        105,066  

3.50%, 5/1/46

     11,140        11,886  

3.00%, 9/1/46

     225,886        238,867  

4.50%, 9/1/46

     52,971        59,121  

3.00%, 10/1/46

     47,292        50,011  

3.00%, 11/1/46

     45,108        47,685  

4.00%, 11/1/46

     14,944        16,212  

3.50%, 12/1/46

     57,129        60,938  

3.00%, 2/1/47

     9,908        10,475  

3.50%, 2/1/47

     103,486        110,411  

4.00%, 2/1/47

     12,226        13,264  

4.50%, 4/1/47

     12,064        13,192  

3.50%, 5/1/47

     11,099        11,786  

4.50%, 5/1/47

     19,650        21,488  

4.00%, 7/1/47

     70,297        75,626  

3.50%, 8/1/47

     63,115        67,024  

4.00%, 8/1/47

     30,054        32,339  

3.00%, 10/1/47

     36,622        38,684  

3.50%, 10/1/47

     83,727        88,912  

3.50%, 11/1/47

     208,818        225,092  

3.50%, 12/1/47

     68,649        72,895  

4.00%, 2/1/48

     25,808        27,759  

4.00%, 7/1/48

     107,929        118,627  

4.00%, 8/1/48

     75,012        81,502  

3.00%, 11/1/48

     273,484        289,113  

5.00%, 3/1/49

     50,847        55,640  

3.50%, 7/1/49

     337,577        361,617  

3.50%, 8/1/49

     208,496        222,966  

3.50%, 10/1/49

     106,151        113,711  

5.00%, 10/1/49

     21,157        23,152  

3.00%, 12/1/49

     372,183        394,155  

3.00%, 1/1/50

     92,649        98,119  

3.00%, 2/1/50

     76,843        81,172  

3.00%, 4/1/50

     114,775        122,216  

3.50%, 4/1/50

     160,666        172,890  

2.50%, 5/1/50

     151,513        157,443  

2.50%, 6/1/50

     240,554        250,288  

3.00%, 6/1/50

     686,425        726,482  

2.50%, 7/1/50

     328,317        342,099  

2.50%, 8/1/50

     117,405        122,410  

2.00%, 9/1/50

     69,409        70,547  

2.00%, 10/1/50

     32,868        33,407  

2.50%, 10/1/50

     134,705        140,691  

1.50%, 12/1/50

     72,485        71,276  

2.00%, 1/1/51

     190,478        193,219  

2.50%, 1/1/51

     89,630        93,109  

 

See Notes to Financial Statements.

 

WisdomTree Trust      49  


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

3.00%, 1/1/51

   $ 126,007      $ 131,984  

2.00%, 2/1/51

     414,530        420,762  

2.00%, 3/1/51

     145,723        148,114  

2.50%, 3/1/51

     141,486        146,982  

1.50%, 4/1/51

     293,583        288,627  

2.00%, 5/1/51

     245,325        248,863  

1.50%, 6/1/51

     495,373        487,009  
     

 

 

 
Total Federal Home Loan Mortgage Corporation

 

     12,254,425  
Federal National Mortgage Association – 10.7%

 

4.00%, 9/1/25

     13,589        14,455  

5.50%, 10/1/25

     23,573        25,370  

4.00%, 7/1/26

     3,649        3,879  

1.88%, 9/24/26

     914,000        963,621  

3.50%, 10/1/26

     29,538        31,505  

3.00%, 11/1/26

     20,573        21,671  

3.50%, 12/1/26

     6,033        6,435  

3.00%, 6/1/27

     47,974        50,623  

3.00%, 9/1/27

     22,394        23,594  

2.50%, 8/1/28

     19,396        20,302  

3.00%, 9/1/28

     41,160        43,341  

3.00%, 11/1/28

     9,966        10,523  

3.00%, 7/1/29

     38,567        40,687  

7.25%, 5/15/30

     100,000        148,867  

0.88%, 8/5/30

     35,000        33,548  

3.00%, 9/1/30

     20,198        21,355  

3.50%, 4/1/31

     22,970        24,608  

2.50%, 6/1/31

     16,294        17,090  

2.50%, 7/1/31

     17,540        18,396  

2.50%, 10/1/31

     415,550        435,871  

3.50%, 11/1/31

     46,796        49,987  

2.50%, 4/1/32

     21,288        22,422  

3.50%, 4/1/32

     34,444        37,035  

2.50%, 9/1/32

     58,204        61,439  

3.00%, 10/1/32

     63,925        67,488  

3.50%, 11/1/32

     55,951        59,914  

2.50%, 12/1/32

     9,399        9,846  

2.50%, 1/1/33

     58,028        60,790  

3.50%, 1/1/33

     19,231        20,594  

3.50%, 2/1/33

     43,105        46,232  

3.00%, 4/1/33

     32,238        33,982  

3.00%, 6/1/33

     47,884        50,995  

6.00%, 2/1/34

     39,167        45,620  

4.00%, 3/1/34

     42,690        45,410  

2.50%, 5/1/34

     29,382        30,729  

3.00%, 6/1/34

     12,701        13,375  

4.00%, 8/1/34

     11,749        12,809  

3.00%, 12/1/34

     33,023        35,165  

3.00%, 1/1/35

     14,300        15,060  

2.50%, 5/1/35

     28,154        29,460  

2.00%, 7/1/35

     71,316        73,831  

2.50%, 7/1/35

     68,263        71,471  

2.50%, 8/1/35

     66,097        69,444  

2.00%, 9/1/35

     18,408        19,057  

2.50%, 9/1/35

     36,570        38,311  

3.50%, 9/1/35

     33,299        35,760  

1.50%, 10/1/35

     50,207        51,063  

2.00%, 10/1/35

     88,372        91,594  

1.50%, 11/1/35

     21,929        22,301  

1.50%, 12/1/35

   147,949      150,471  

2.00%, 12/1/35

     408,878        423,709  

3.50%, 1/1/36

     11,334        12,171  

2.50%, 2/1/36

     21,481        22,540  

1.50%, 3/1/36

     23,724        24,108  

2.00%, 3/1/36

     95,685        99,244  

1.50%, 4/1/36

     251,885        256,091  

2.00%, 5/1/36

     48,636        50,428  

3.00%, 6/1/36

     58,718        62,232  

3.50%, 7/1/36

     28,112        30,107  

3.00%, 9/1/36

     123,307        130,688  

3.00%, 11/1/36

     64,867        69,966  

3.00%, 2/1/37

     47,830        50,693  

3.50%, 7/1/37

     27,016        28,846  

5.50%, 8/1/37

     233,522        268,638  

3.50%, 4/1/38

     15,408        16,429  

4.50%, 9/1/39

     13,380        14,940  

2.50%, 3/1/40

     32,791        34,175  

3.00%, 4/1/40

     50,556        52,934  

2.50%, 5/1/40

     26,689        27,815  

3.00%, 6/1/40

     21,236        22,235  

4.50%, 8/1/40

     26,094        29,125  

2.00%, 9/1/40

     20,789        21,350  

2.50%, 9/1/40

     77,915        81,204  

5.50%, 9/1/40

     48,575        56,179  

2.00%, 11/1/40

     45,219        46,435  

2.50%, 12/1/40

     45,098        46,999  

3.50%, 12/1/40

     93,031        100,674  

1.50%, 3/1/41

     24,217        24,352  

2.00%, 3/1/41

     24,110        24,771  

2.50%, 3/1/41

     48,499        51,049  

2.00%, 4/1/41

     24,356        25,028  

1.50%, 5/1/41

     73,566        74,002  

2.50%, 5/1/41

     83,346        87,059  

1.50%, 6/1/41

     49,295        49,587  

2.00%, 6/1/41

     73,865        75,897  

1.50%, 7/1/41

     49,531        49,825  

3.50%, 6/1/42

     8,735        9,445  

4.00%, 7/1/42

     62,198        68,616  

4.00%, 9/1/42

     186,351        205,059  

3.50%, 12/1/42

     41,526        45,051  

3.00%, 1/1/43

     69,416        74,489  

3.00%, 4/1/43

     53,928        57,419  

3.00%, 5/1/43

     164,498        175,531  

3.50%, 5/1/43

     15,975        17,289  

3.00%, 6/1/43

     82,782        89,383  

4.00%, 6/1/43

     5,648        6,212  

3.00%, 8/1/43

     224,863        240,498  

3.50%, 8/1/43

     131,913        142,760  

3.00%, 9/1/43

     59,256        63,352  

4.00%, 11/1/43

     10,737        11,774  

3.00%, 2/1/44

     49,100        52,369  

4.00%, 2/1/44

     74,551        82,052  

4.50%, 2/1/44

     109,009        122,704  

4.50%, 5/1/44

     8,566        9,542  

4.00%, 9/1/44

     51,382        56,241  

4.00%, 10/1/44

     84,751        92,765  

3.50%, 2/1/45

     81,530        88,155  

5.00%, 2/1/45

     43,736        49,342  

 

See Notes to Financial Statements.

 

50   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

3.50%, 3/1/45

   $ 47,935      $ 51,375  

3.50%, 4/1/45

     53,260        57,446  

3.50%, 6/1/45

     88,137        95,556  

3.50%, 8/1/45

     49,893        53,814  

3.50%, 12/1/45

     135,119        144,818  

3.00%, 1/1/46

     72,230        76,439  

3.50%, 1/1/46

     112,506        120,580  

3.50%, 2/1/46

     26,489        28,390  

3.50%, 4/1/46

     9,567        10,204  

3.00%, 5/1/46

     58,910        62,283  

3.50%, 5/1/46

     20,328        21,682  

4.50%, 5/1/46

     53,212        58,396  

3.50%, 6/1/46

     112,763        120,273  

4.00%, 7/1/46

     15,044        16,317  

3.00%, 9/1/46

     48,562        51,343  

3.00%, 10/1/46

     16,205        17,132  

4.00%, 10/1/46

     17,041        18,539  

2.50%, 11/1/46

     10,981        11,489  

3.00%, 11/1/46

     117,242        124,509  

3.50%, 11/1/46

     16,915        18,129  

4.50%, 11/1/46

     25,920        28,803  

3.00%, 1/1/47

     38,327        40,522  

4.00%, 1/1/47

     130,443        141,474  

3.00%, 2/1/47

     21,032        22,236  

4.00%, 2/1/47

     14,477        15,702  

4.00%, 3/1/47

     13,088        14,077  

4.00%, 5/1/47

     34,435        37,038  

4.00%, 8/1/47

     46,528        50,546  

3.50%, 11/1/47

     13,765        14,614  

4.50%, 11/1/47

     86,895        95,016  

3.00%, 12/1/47

     75,743        80,081  

3.50%, 12/1/47

     52,284        55,510  

3.50%, 1/1/48

     124,294        134,485  

4.00%, 1/1/48

     81,661        87,831  

3.00%, 4/1/48

     64,267        68,428  

4.00%, 4/1/48

     295,867        321,428  

4.50%, 5/1/48

     28,095        30,460  

4.50%, 6/1/48

     306,323        332,113  

4.50%, 7/1/48

     48,194        52,094  

4.00%, 8/1/48

     29,489        31,568  

4.00%, 9/1/48

     400,189        434,764  

4.50%, 9/1/48

     19,967        21,583  

4.00%, 11/1/48

     27,782        30,533  

3.00%, 12/1/48

     71,079        75,149  

4.00%, 1/1/49

     61,417        66,057  

5.00%, 5/1/49

     69,486        76,065  

4.00%, 6/1/49

     113,450        123,251  

4.50%, 7/1/49

     23,127        25,165  

3.00%, 9/1/49

     157,333        167,160  

4.00%, 9/1/49

     162,719        175,155  

3.00%, 10/1/49

     98,184        103,710  

4.00%, 10/1/49

     221,815        237,485  

2.50%, 1/1/50

     81,066        84,174  

3.00%, 1/1/50

     57,461        60,074  

3.50%, 1/1/50

     126,408        135,176  

4.50%, 1/1/50

     125,429        136,888  

3.00%, 3/1/50

     65,452        69,540  

4.00%, 3/1/50

     97,442        105,757  

4.50%, 3/1/50

     122,778        134,098  

5.00%, 3/1/50

   220,619      241,345  

3.00%, 4/1/50

     131,057        137,039  

3.50%, 4/1/50

     727,633        778,490  

3.50%, 5/1/50

     184,995        198,301  

4.50%, 5/1/50

     112,385        121,954  

2.50%, 6/1/50

     734,511        763,360  

4.00%, 6/1/50

     216,857        234,939  

2.50%, 7/1/50

     275,072        286,363  

3.00%, 7/1/50

     194,459        204,865  

2.50%, 8/1/50

     152,334        158,291  

3.00%, 8/1/50

     36,260        39,051  

2.00%, 9/1/50

     238,671        242,105  

2.50%, 9/1/50

     257,624        268,956  

2.00%, 10/1/50

     383,193        390,170  

1.50%, 12/1/50

     96,030        94,417  

2.00%, 12/1/50

     318,292        323,119  

2.50%, 12/1/50

     400,826        418,689  

3.00%, 12/1/50

     89,095        93,302  

2.00%, 1/1/51

     96,577        97,967  

2.50%, 1/1/51

     497,081        519,271  

2.00%, 2/1/51

     257,562        261,332  

2.50%, 2/1/51

     579,410        604,235  

3.00%, 2/1/51

     475,766        500,910  

1.50%, 3/1/51

     34,113        33,541  

2.00%, 3/1/51

     683,500        696,794  

1.50%, 4/1/51

     83,217        81,812  

2.00%, 4/1/51

     881,670        894,866  

2.00%, 5/1/51

     737,646        749,776  

3.00%, 5/1/51

     147,756        155,932  

1.50%, 6/1/51

     494,975        486,665  

2.00%, 6/1/51

     247,350        251,412  
     

 

 

 
Total Federal National Mortgage Association

 

     23,032,762  
Government National Mortgage Association – 5.9%

 

3.00%, 4/20/33

     34,935        36,820  

4.00%, 11/20/40

     120,304        132,906  

3.00%, 11/20/42

     181,945        194,120  

5.00%, 2/20/43

     27,440        31,438  

3.50%, 3/20/43

     133,114        144,639  

4.00%, 5/20/43

     26,714        29,406  

4.00%, 6/20/43

     54,188        59,648  

3.00%, 8/20/43

     122,591        130,577  

5.00%, 4/20/44

     58,113        66,569  

3.50%, 7/20/44

     71,912        77,368  

4.00%, 7/20/44

     15,653        17,067  

5.00%, 7/20/44

     11,034        12,639  

3.50%, 8/20/44

     91,595        98,544  

5.00%, 8/20/44

     9,900        11,342  

3.00%, 9/20/44

     42,270        44,821  

4.50%, 9/20/44

     37,374        41,553  

3.50%, 10/20/44

     136,406        146,755  

3.00%, 1/20/45

     16,014        16,981  

4.00%, 4/20/45

     93,992        102,479  

3.00%, 7/20/45

     118,404        125,401  

3.50%, 11/20/45

     73,463        78,560  

3.00%, 12/20/45

     90,480        95,827  

3.50%, 12/20/45

     132,365        141,550  

4.50%, 12/20/45

     36,634        40,730  

3.50%, 1/20/46

     249,493        266,805  

 

See Notes to Financial Statements.

 

WisdomTree Trust      51  


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

3.00%, 5/20/46

   $ 14,880      $ 15,690  

3.00%, 9/20/46

     144,252        152,105  

3.50%, 9/20/46

     80,732        86,049  

3.00%, 10/20/46

     21,916        23,109  

3.00%, 12/20/46

     10,648        11,227  

4.00%, 12/20/46

     25,521        27,571  

4.00%, 1/20/47

     23,320        25,193  

4.50%, 1/20/47

     29,876        33,043  

3.00%, 2/20/47

     217,583        229,429  

3.50%, 2/20/47

     29,562        31,509  

3.50%, 3/20/47

     78,367        83,198  

3.50%, 4/20/47

     41,742        44,315  

3.00%, 5/20/47

     46,377        48,843  

4.00%, 7/20/47

     29,626        31,780  

4.00%, 8/20/47

     25,001        26,808  

3.50%, 9/20/47

     69,565        73,853  

4.50%, 10/20/47

     11,722        12,729  

3.50%, 1/20/48

     158,267        169,546  

4.00%, 1/20/48

     12,819        13,719  

3.00%, 2/20/48

     68,211        71,838  

3.50%, 3/20/48

     24,136        25,624  

3.50%, 4/20/48

     42,317        44,925  

4.50%, 6/20/48

     25,898        27,756  

3.50%, 7/20/48

     43,761        46,287  

4.00%, 9/20/48

     39,384        41,914  

4.50%, 9/20/48

     24,231        25,928  

4.50%, 1/20/49

     25,469        27,198  

3.50%, 3/20/49

     11,700        12,375  

4.00%, 3/20/49

     42,750        45,392  

4.50%, 3/20/49

     12,028        12,845  

5.00%, 3/20/49

     22,167        24,242  

4.00%, 4/20/49

     18,831        20,045  

4.50%, 6/20/49

     76,058        81,251  

3.00%, 8/20/49

     22,543        23,609  

3.00%, 9/20/49

     395,282        413,758  

4.00%, 10/20/49

     53,055        56,442  

3.00%, 11/15/49

     17,262        18,122  

3.00%, 1/20/50

     10,740        11,234  

3.50%, 1/20/50

     9,023        9,488  

4.50%, 1/20/50

     19,187        20,497  

3.00%, 2/20/50

     41,887        43,802  

4.00%, 2/20/50

     284,470        302,632  

3.00%, 5/20/50

     160,971        168,328  

3.00%, 6/20/50

     73,971        77,353  

3.50%, 7/20/50

     204,988        215,728  

5.00%, 7/20/50

     90,954        99,629  

2.00%, 8/20/50

     177,028        180,850  

2.50%, 8/20/50

     91,150        94,512  

3.00%, 8/20/50

     378,311        395,622  

3.50%, 8/20/50

     153,654        161,833  

4.00%, 8/20/50

     63,424        67,473  

2.50%, 9/20/50

     82,693        85,743  

4.00%, 9/20/50

     66,765        70,945  

4.50%, 9/20/50

     96,494        103,129  

3.50%, 10/20/50

     37,737        39,682  

4.50%, 10/20/50

     71,801        76,830  

3.00%, 11/20/50

     122,780        128,401  

2.00%, 12/20/50

     238,429        243,576  

2.50%, 12/20/50

     93,097        96,531  

3.50%, 12/20/50

   337,369      356,032  

2.00%, 3/20/51

     389,937        398,338  

2.50%, 3/20/51

     604,718        627,716  

2.00%, 6/20/51

     99,282        101,421  

2.00%, 9/1/51(a)

     1,550,000        1,581,945  

2.50%, 9/1/51(a)

     1,825,000        1,892,390  

3.00%, 9/1/51(a)

     300,000        313,640  

3.50%, 9/1/51(a)

     25,000        26,308  

4.50%, 9/1/51(a)

     50,000        53,410  

2.00%, 10/1/51(a)

     150,000        152,823  

2.50%, 10/1/51(a)

     125,000        129,383  

3.00%, 10/1/51(a)

     75,000        78,284  
     

 

 

 
Total Government National Mortgage Association

 

     12,709,320  
Tennessee Valley Authority – 0.1%

 

  

5.25%, 9/15/39

     180,000        262,346  
Uniform Mortgage-Backed Securities – 5.7%

 

1.50%, 9/1/36(a)

     700,000        711,000  

2.00%, 9/1/36(a)

     1,375,000        1,423,249  

2.50%, 9/1/36(a)

     125,000        130,772  

2.00%, 10/1/36(a)

     100,000        103,349  

2.50%, 10/1/36(a)

     50,000        52,283  

1.50%, 9/1/51(a)

     200,000        196,496  

2.00%, 9/1/51(a)

     5,400,000        5,474,492  

2.50%, 9/1/51(a)

     2,675,000        2,778,820  

3.00%, 9/1/51(a)

     150,000        156,905  

4.50%, 9/1/51(a)

     125,000        135,240  

2.00%, 10/1/51(a)

     450,000        455,372  

2.50%, 10/1/51(a)

     450,000        466,571  

5.00%, 10/1/51(a)

     100,000        109,706  
     

 

 

 
Total Uniform Mortgage-Backed Securities

 

     12,194,255  

TOTAL U.S. GOVERNMENT AGENCIES

(Cost: $60,237,823)

 

 

     60,781,839  
U.S. GOVERNMENT OBLIGATIONS – 37.7%

 

U.S. Treasury Bonds – 8.1%

 

7.63%, 11/15/22

     188,000        205,048  

6.88%, 8/15/25

     277,000        345,092  

5.25%, 2/15/29

     259,000        336,012  

1.63%, 8/15/29

     541,000        560,273  

6.13%, 8/15/29

     75,000        103,670  

6.25%, 5/15/30

     244,000        346,518  

0.63%, 8/15/30

     715,000        677,407  

5.38%, 2/15/31

     128,500        176,186  

4.50%, 2/15/36

     322,000        450,347  

4.75%, 2/15/37

     100,000        144,680  

5.00%, 5/15/37

     128,000        190,150  

4.38%, 2/15/38

     200,000        281,156  

4.50%, 5/15/38

     54,000        77,068  

3.50%, 2/15/39

     122,000        156,284  

4.25%, 5/15/39

     110,000        154,034  

4.50%, 8/15/39

     92,000        132,674  

4.38%, 11/15/39

     106,000        150,876  

4.63%, 2/15/40

     57,000        83,688  

4.38%, 5/15/40

     25,000        35,742  

1.13%, 8/15/40

     600,000        532,969  

1.38%, 11/15/40

     520,000        481,691  

4.25%, 11/15/40

     5,000        7,062  

1.88%, 2/15/41

     650,000        655,383  

2.25%, 5/15/41

     250,000        267,578  

 

See Notes to Financial Statements.

 

52   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

3.75%, 8/15/41

   $ 150,000      $ 199,805  

3.13%, 11/15/41

     150,000        183,586  

3.13%, 2/15/42

     200,000        245,281  

3.00%, 5/15/42

     100,000        120,266  

2.75%, 8/15/42

     150,000        173,672  

2.75%, 11/15/42

     250,000        289,453  

3.13%, 2/15/43

     200,000        245,203  

2.88%, 5/15/43

     271,000        320,119  

3.63%, 8/15/43

     152,500        201,395  

3.75%, 11/15/43

     346,000        465,911  

3.63%, 2/15/44

     134,000        177,644  

3.38%, 5/15/44

     118,000        151,058  

3.13%, 8/15/44

     182,000        224,500  

3.00%, 11/15/44

     137,000        165,781  

2.50%, 2/15/45

     71,000        79,143  

3.00%, 5/15/45

     94,000        114,115  

2.88%, 8/15/45

     94,000        111,867  

3.00%, 11/15/45

     141,000        171,645  

2.50%, 2/15/46

     141,000        157,579  

2.50%, 5/15/46

     205,000        229,248  

2.25%, 8/15/46

     128,000        136,700  

2.88%, 11/15/46

     94,000        112,484  

3.00%, 2/15/47

     240,000        293,812  

3.00%, 5/15/47

     221,000        270,915  

2.75%, 8/15/47

     219,000        257,000  

2.75%, 11/15/47

     169,000        198,496  

3.00%, 2/15/48

     291,000        357,612  

3.13%, 5/15/48

     334,000        419,979  

3.00%, 8/15/48

     341,000        419,856  

3.38%, 11/15/48

     395,000        519,672  

3.00%, 2/15/49

     377,000        465,566  

2.25%, 8/15/49

     450,000        482,168  

2.00%, 2/15/50

     477,000        485,124  

1.38%, 8/15/50

     650,000        569,105  

1.63%, 11/15/50

     625,000        582,129  

1.88%, 2/15/51

     675,000        666,984  

2.38%, 5/15/51

     565,000        624,148  
     

 

 

 
Total U.S. Treasury Bonds

 

     17,440,609  
U.S. Treasury Notes – 29.6%

 

2.00%, 10/31/22

     350,000        357,725  

1.63%, 11/15/22

     426,000        433,796  

0.13%, 11/30/22

     800,000        800,156  

2.00%, 11/30/22

     500,000        511,816  

1.63%, 12/15/22

     500,000        509,766  

0.13%, 12/31/22

     275,000        275,011  

2.13%, 12/31/22

     200,000        205,324  

1.50%, 1/15/23

     620,000        631,722  

0.13%, 1/31/23

     500,000        500,000  

1.75%, 1/31/23

     132,000        135,024  

2.38%, 1/31/23

     132,000        136,197  

1.38%, 2/15/23

     100,000        101,812  

0.13%, 2/28/23

     700,000        699,863  

1.50%, 2/28/23

     100,000        102,045  

0.13%, 3/31/23

     300,000        299,889  

1.50%, 3/31/23

     212,000        216,542  

2.50%, 3/31/23

     115,000        119,270  

0.25%, 4/15/23

     700,000        701,094  

0.13%, 4/30/23

     750,000        749,604  

1.63%, 4/30/23

   300,000      307,336  

2.75%, 4/30/23

     188,000        196,100  

0.13%, 5/15/23

     450,000        449,745  

1.75%, 5/15/23

     406,000        417,022  

1.63%, 5/31/23

     500,000        512,773  

2.75%, 5/31/23

     188,000        196,475  

0.25%, 6/15/23

     400,000        400,547  

0.13%, 6/30/23

     500,000        499,629  

1.38%, 6/30/23

     377,000        385,284  

2.63%, 6/30/23

     250,000        261,157  

0.13%, 7/15/23

     400,000        399,578  

0.13%, 7/31/23

     485,000        484,451  

1.25%, 7/31/23

     354,000        361,198  

2.75%, 7/31/23

     250,000        262,227  

0.13%, 8/15/23

     400,000        399,484  

2.50%, 8/15/23

     738,000        771,138  

1.38%, 8/31/23

     340,000        347,916  

2.75%, 8/31/23

     250,000        262,671  

0.13%, 9/15/23

     400,000        399,281  

1.38%, 9/30/23

     338,000        346,120  

2.88%, 9/30/23

     250,000        263,740  

0.13%, 10/15/23

     525,000        523,852  

1.63%, 10/31/23

     344,000        354,333  

2.88%, 10/31/23

     250,000        264,228  

0.25%, 11/15/23

     450,000        450,070  

2.75%, 11/15/23

     550,000        580,336  

2.13%, 11/30/23

     250,000        260,518  

2.88%, 11/30/23

     250,000        264,707  

0.13%, 12/15/23

     671,600        669,554  

2.25%, 12/31/23

     411,000        429,945  

2.63%, 12/31/23

     250,000        263,691  

0.13%, 1/15/24

     650,000        647,664  

2.25%, 1/31/24

     354,000        370,815  

2.50%, 1/31/24

     250,000        263,340  

0.13%, 2/15/24

     500,000        498,086  

2.75%, 2/15/24

     382,000        405,069  

2.13%, 2/29/24

     329,000        344,011  

2.38%, 2/29/24

     250,000        262,939  

0.25%, 3/15/24

     550,000        549,269  

2.13%, 3/31/24

     612,000        640,544  

0.38%, 4/15/24

     500,000        500,547  

2.00%, 4/30/24

     341,000        356,145  

0.25%, 5/15/24

     200,000        199,477  

2.50%, 5/15/24

     282,000        298,424  

2.00%, 5/31/24

     235,000        245,603  

0.25%, 6/15/24

     750,000        747,656  

1.75%, 6/30/24

     300,000        311,742  

2.00%, 6/30/24

     500,000        523,066  

0.38%, 7/15/24

     500,000        499,863  

2.38%, 8/15/24

     629,000        665,806  

1.25%, 8/31/24

     400,000        410,156  

1.50%, 9/30/24

     150,000        154,998  

2.13%, 9/30/24

     250,000        263,076  

1.50%, 10/31/24

     300,000        310,090  

2.25%, 10/31/24

     250,000        264,268  

2.25%, 11/15/24

     719,000        760,455  

2.13%, 11/30/24

     321,000        338,266  

2.25%, 12/31/24

     349,000        369,531  

2.50%, 1/31/25

     99,000        105,744  

 

See Notes to Financial Statements.

 

WisdomTree Trust      53  


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

2.00%, 2/15/25

   $ 485,000      $ 509,894  

1.13%, 2/28/25

     500,000        510,566  

2.75%, 2/28/25

     99,000        106,703  

0.50%, 3/31/25

     470,000        469,468  

2.63%, 3/31/25

     275,000        295,432  

2.88%, 4/30/25

     188,000        203,885  

2.13%, 5/15/25

     282,000        298,182  

0.25%, 5/31/25

     500,000        493,965  

2.88%, 5/31/25

     410,000        445,042  

0.25%, 6/30/25

     500,000        493,633  

2.75%, 6/30/25

     350,000        378,766  

0.25%, 7/31/25

     580,000        572,138  

2.00%, 8/15/25

     454,000        478,864  

0.25%, 8/31/25

     300,000        295,629  

0.25%, 9/30/25

     250,000        246,123  

0.25%, 10/31/25

     100,000        98,348  

2.25%, 11/15/25

     272,000        290,084  

0.38%, 11/30/25

     500,000        493,965  

0.38%, 12/31/25

     400,000        394,797  

0.38%, 1/31/26

     350,000        345,119  

1.63%, 2/15/26

     300,000        312,211  

0.50%, 2/28/26

     650,000        644,211  

0.75%, 3/31/26

     800,000        801,156  

2.25%, 3/31/26

     150,000        160,395  

0.75%, 4/30/26

     500,000        500,488  

1.63%, 5/15/26

     623,000        648,577  

0.75%, 5/31/26

     500,000        500,195  

2.13%, 5/31/26

     200,000        212,937  

0.88%, 6/30/26

     900,000        905,062  

1.88%, 6/30/26

     750,000        789,932  

0.63%, 7/31/26

     200,000        198,633  

1.88%, 7/31/26

     450,000        474,240  

1.50%, 8/15/26

     550,000        569,443  

1.38%, 8/31/26

     350,000        360,350  

1.63%, 9/30/26

     450,000        468,773  

1.63%, 10/31/26

     250,000        260,469  

2.00%, 11/15/26

     500,000        530,508  

1.63%, 11/30/26

     500,000        520,879  

1.75%, 12/31/26

     300,000        314,496  

1.50%, 1/31/27

     250,000        258,799  

2.25%, 2/15/27

     500,000        537,500  

1.13%, 2/28/27

     450,000        456,680  

0.63%, 3/31/27

     500,000        493,555  

0.50%, 4/30/27

     150,000        146,848  

2.38%, 5/15/27

     675,000        731,004  

0.50%, 5/31/27

     450,000        439,980  

0.50%, 6/30/27

     500,000        488,496  

0.38%, 7/31/27

     500,000        484,453  

2.25%, 8/15/27

     507,000        546,154  

0.50%, 8/31/27

     350,000        341,182  

2.25%, 11/15/27

     58,000        62,522  

0.63%, 11/30/27

     300,000        293,602  

0.63%, 12/31/27

     300,000        293,297  

0.75%, 1/31/28

     300,000        295,254  

2.75%, 2/15/28

     693,000        769,176  

1.13%, 2/29/28

     300,000        302,227  

1.25%, 3/31/28

     200,000        202,859  

2.88%, 5/15/28

     218,000        244,092  

1.00%, 7/31/28

     500,000        497,539  

2.88%, 8/15/28

   337,000      377,967  

1.13%, 8/31/28

     500,000        501,445  

3.13%, 11/15/28

     151,000        172,341  

2.63%, 2/15/29

     400,000        443,187  

2.38%, 5/15/29

     375,000        409,189  

1.75%, 11/15/29

     400,000        418,125  

1.50%, 2/15/30

     365,000        373,754  

0.63%, 5/15/30

     880,000        836,000  

0.88%, 11/15/30

     1,150,000        1,111,637  

1.13%, 2/15/31

     850,000        838,777  

1.63%, 5/15/31

     875,000        902,139  

1.13%, 5/15/40

     725,000        646,326  

2.88%, 5/15/49

     510,000        616,423  

2.38%, 11/15/49

     400,000        440,344  

1.25%, 5/15/50

     540,000        458,325  
     

 

 

 
Total U.S. Treasury Notes

 

     63,803,168  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $79,092,437)

 

 

     81,243,777  
U.S. CORPORATE BONDS – 23.0%

 

United States – 23.0%

 

3M Co.
2.25%, 9/19/26

     30,000        31,756  

2.88%, 10/15/27

     65,000        71,112  

3.38%, 3/1/29

     35,000        39,157  

3.05%, 4/15/30(b)

     25,000        27,510  

3.13%, 9/19/46

     23,000        24,766  

3.63%, 10/15/47

     18,000        20,980  

Abbott Laboratories
3.40%, 11/30/23

     14,000        14,867  

6.15%, 11/30/37

     53,000        78,978  

4.75%, 4/15/43

     10,000        13,362  

AbbVie, Inc.
2.90%, 11/6/22

     27,000        27,799  

3.20%, 11/6/22

     25,000        25,715  

3.60%, 5/14/25

     59,000        64,186  

2.95%, 11/21/26

     115,000        123,955  

4.55%, 3/15/35

     10,000        12,188  

4.50%, 5/14/35

     125,000        152,119  

4.40%, 11/6/42

     15,000        18,329  

4.75%, 3/15/45

     5,000        6,318  

4.70%, 5/14/45

     48,000        60,509  

4.25%, 11/21/49

     14,000        17,017  

Activision Blizzard, Inc.
3.40%, 6/15/27

     82,000        90,915  

2.50%, 9/15/50

     10,000        8,943  

Adobe, Inc.
2.30%, 2/1/30

     25,000        26,136  

Advance Auto Parts, Inc.
3.90%, 4/15/30

     25,000        27,975  

Aetna, Inc.
4.75%, 3/15/44

     60,000        75,635  

3.88%, 8/15/47

     43,000        48,835  

Aflac, Inc.
3.25%, 3/17/25

     75,000        81,191  

Air Lease Corp.
3.88%, 7/3/23

     5,000        5,282  

4.25%, 9/15/24

     5,000        5,443  

 

See Notes to Financial Statements.

 

54   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

3.25%, 3/1/25

   $ 25,000      $ 26,569  

3.63%, 4/1/27

     23,000        24,864  

3.63%, 12/1/27

     219,000        237,000  

Air Products and Chemicals, Inc.
2.70%, 5/15/40

     50,000        51,500  

Aircastle Ltd.
5.00%, 4/1/23

     5,000        5,324  

Alabama Power Co.
4.30%, 7/15/48, Series A

     20,000        25,319  

3.45%, 10/1/49

     9,000        9,970  

Alexandria Real Estate Equities, Inc.
3.45%, 4/30/25

     18,000        19,548  

4.90%, 12/15/30

     51,000        62,838  

Allstate Corp. (The)
1.45%, 12/15/30

     30,000        29,034  

Ally Financial, Inc.
1.45%, 10/2/23

     100,000        101,563  

8.00%, 11/1/31

     263,000        376,747  

Alphabet, Inc.
2.25%, 8/15/60

     25,000        22,780  

Altria Group, Inc.
4.80%, 2/14/29

     25,000        29,081  

2.45%, 2/4/32

     65,000        63,530  

3.40%, 2/4/41

     31,000        29,882  

5.38%, 1/31/44

     148,000        178,540  

Amazon.com, Inc.
5.20%, 12/3/25

     19,000        22,243  

1.50%, 6/3/30

     60,000        59,056  

3.88%, 8/22/37

     15,000        17,916  

4.05%, 8/22/47

     66,000        81,587  

4.25%, 8/22/57

     27,000        35,227  

2.70%, 6/3/60

     40,000        38,886  

Ameren Illinois Co.
3.80%, 5/15/28

     48,000        54,444  

1.55%, 11/15/30

     50,000        48,506  

American Express Co.
3.70%, 8/3/23

     10,000        10,609  

3.00%, 10/30/24

     95,000        101,770  

3.63%, 12/5/24

     44,000        47,975  

4.05%, 12/3/42

     18,000        21,895  

American Express Credit Corp.
3.30%, 5/3/27

     10,000        11,086  

American Financial Group, Inc.
4.50%, 6/15/47

     25,000        31,215  

American Homes 4 Rent L.P.
4.25%, 2/15/28

     10,000        11,464  

American Honda Finance Corp.
1.95%, 5/10/23

     40,000        41,063  

2.90%, 2/16/24

     5,000        5,281  

1.00%, 9/10/25

     15,000        15,035  

2.30%, 9/9/26

     5,000        5,275  

American International Group, Inc.
3.75%, 7/10/25

     45,000        49,380  

4.70%, 7/10/35

     5,000        6,167  

4.75%, 4/1/48

     28,000        36,572  

8.18%, 5/15/68, (8.175% fixed rate until 5/15/38; 3-month U.S. dollar London Interbank Offered Rate + 4.195% thereafter)(c)

   25,000      37,281  

American Tower Corp.
0.60%, 1/15/24

     20,000        19,995  

2.95%, 1/15/25

     50,000        53,074  

4.00%, 6/1/25

     45,000        49,447  

3.60%, 1/15/28

     58,000        63,944  

3.80%, 8/15/29

     25,000        27,934  

3.10%, 6/15/50

     20,000        19,892  

American Water Capital Corp.
2.95%, 9/1/27

     64,000        69,484  

3.75%, 9/1/47

     15,000        17,244  

AmerisourceBergen Corp.
3.40%, 5/15/24

     18,000        19,138  

3.45%, 12/15/27

     25,000        27,485  

4.30%, 12/15/47

     50,000        59,098  

Amgen, Inc.
2.25%, 8/19/23

     5,000        5,168  

3.63%, 5/22/24

     16,000        17,179  

2.30%, 2/25/31(b)

     105,000        107,032  

4.66%, 6/15/51

     132,000        171,500  

Anthem, Inc.
3.50%, 8/15/24

     155,000        166,493  

3.65%, 12/1/27

     25,000        28,018  

6.38%, 6/15/37

     18,000        25,950  

4.63%, 5/15/42

     85,000        106,508  

4.65%, 1/15/43

     40,000        50,314  

4.65%, 8/15/44

     15,000        18,965  

3.13%, 5/15/50

     202,000        210,880  

Aon Corp.
2.80%, 5/15/30

     15,000        15,909  

Apple, Inc.
0.75%, 5/11/23

     25,000        25,219  

3.00%, 2/9/24

     18,000        19,041  

2.85%, 5/11/24

     48,000        50,889  

1.13%, 5/11/25

     10,000        10,123  

3.25%, 2/23/26

     75,000        82,221  

3.00%, 6/20/27

     23,000        25,363  

2.20%, 9/11/29

     75,000        78,340  

1.65%, 5/11/30

     55,000        54,833  

4.45%, 5/6/44

     18,000        23,438  

4.38%, 5/13/45

     18,000        23,106  

3.85%, 8/4/46

     36,000        43,170  

3.75%, 11/13/47

     48,000        56,659  

2.65%, 5/11/50

     60,000        59,515  

2.55%, 8/20/60

     120,000        112,928  

Applied Materials, Inc.
5.85%, 6/15/41

     25,000        37,185  

Aptiv Corp.
4.15%, 3/15/24

     5,000        5,393  

Ares Capital Corp.
3.50%, 2/10/23

     25,000        25,888  

4.25%, 3/1/25

     43,000        46,481  

Arizona Public Service Co.
2.60%, 8/15/29

     50,000        52,749  

 

See Notes to Financial Statements.

 

WisdomTree Trust      55  


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

Ascension Health
4.85%, 11/15/53

   $ 49,000      $ 71,757  

Assurant, Inc.
4.20%, 9/27/23

     18,000        19,250  

AT&T, Inc.
3.80%, 3/1/24

     25,000        26,853  

3.80%, 2/15/27

     64,000        71,491  

4.25%, 3/1/27

     25,000        28,518  

4.30%, 2/15/30

     250,000        290,652  

2.75%, 6/1/31

     100,000        104,860  

2.25%, 2/1/32

     21,000        20,888  

4.30%, 12/15/42

     125,000        144,736  

4.35%, 6/15/45

     121,000        140,309  

4.75%, 5/15/46

     10,000        12,277  

5.45%, 3/1/47

     10,000        13,369  

3.65%, 6/1/51

     12,000        12,720  

3.50%, 9/15/53(d)

     100,000        102,786  

3.55%, 9/15/55(d)

     55,000        56,314  

3.80%, 12/1/57(d)

     75,000        79,976  

3.50%, 2/1/61

     10,000        9,945  

Atmos Energy Corp.
1.50%, 1/15/31

     45,000        43,232  

AutoNation, Inc.
3.50%, 11/15/24

     18,000        19,336  

4.50%, 10/1/25

     18,000        20,108  

AutoZone, Inc.
3.25%, 4/15/25

     18,000        19,364  

3.63%, 4/15/25

     100,000        108,914  

4.00%, 4/15/30

     50,000        57,374  

AvalonBay Communities, Inc.
2.30%, 3/1/30

     205,000        211,195  

Avangrid, Inc.
3.80%, 6/1/29

     25,000        28,249  

Avnet, Inc.
3.00%, 5/15/31

     100,000        101,091  

AXIS Specialty Finance LLC
3.90%, 7/15/29

     50,000        55,640  

Baker Hughes a GE Co. LLC
3.34%, 12/15/27

     48,000        52,666  

Bank of America Corp.
2.50%, 10/21/22

     10,000        10,031  

4.10%, 7/24/23

     25,000        26,767  

3.00%, 12/20/23, (3.004% fixed rate until 12/20/22; 3-month U.S. dollar London Interbank Offered Rate + 0.79% thereafter)(c)

     30,000        30,976  

4.13%, 1/22/24

     48,000        52,097  

3.55%, 3/5/24, (3.55% fixed rate until 3/5/23; 3-month U.S. dollar London Interbank Offered Rate + 0.78% thereafter)(c)

     60,000        62,689  

4.00%, 4/1/24

     50,000        54,381  

1.49%, 5/19/24, (1.486% fixed rate until 5/19/23; Secured Overnight Financing Rate + 1.46% thereafter)(c)

     40,000        40,670  

3.86%, 7/23/24, (3.864% fixed rate until 7/23/23; 3-month U.S. dollar London Interbank Offered Rate + 0.94% thereafter)(c)

   155,000      164,359  

4.20%, 8/26/24

     48,000        52,655  

0.81%, 10/24/24, (0.81% fixed rate until 10/24/23; Secured Overnight Financing Rate + 0.74% thereafter)(c)

     105,000        105,445  

3.46%, 3/15/25, (3.458% fixed rate until 3/15/24; 3-month U.S. dollar London Interbank Offered Rate + 0.97% thereafter)(c)

     105,000        112,156  

3.95%, 4/21/25, Series L

     29,000        31,774  

2.46%, 10/22/25, (2.456% fixed rate until 10/22/24; 3-month U.S. dollar London Interbank Offered Rate + 0.87% thereafter)(c)

     50,000        52,396  

3.50%, 4/19/26

     71,000        78,217  

1.32%, 6/19/26, (1.319% fixed rate until 6/19/25; Secured Overnight Financing Rate + 1.15% thereafter)(c)

     13,000        13,050  

1.20%, 10/24/26, (1.197% fixed rate until 10/24/25; Secured Overnight Financing Rate + 1.01% thereafter)(c)

     60,000        59,783  

1.66%, 3/11/27, Series N, (1.658% fixed rate until 3/11/26; Secured Overnight Financing Rate + 0.91% thereafter)(c)

     20,000        20,233  

3.42%, 12/20/28, (3.419% fixed rate until 12/20/27; 3-month U.S. dollar London Interbank Offered Rate + 1.04% thereafter)(c)

     144,000        158,289  

4.27%, 7/23/29, (4.271% fixed rate until 7/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.31% thereafter)(c)

     45,000        51,729  

2.88%, 10/22/30, (2.884% fixed rate until 10/22/29; 3-month U.S. dollar London Interbank Offered Rate + 1.19% thereafter)(c)

     10,000        10,596  

1.92%, 10/24/31, (1.922% fixed rate until 10/24/30; Secured Overnight Financing Rate + 1.37% thereafter)(c)

     10,000        9,805  

4.24%, 4/24/38, (4.244% fixed rate until 4/24/37; 3-month U.S. dollar London Interbank Offered Rate + 1.814% thereafter)(c)

     10,000        11,878  

2.68%, 6/19/41, (2.676% fixed rate until 6/19/40; Secured Overnight Financing Rate + 1.93% thereafter)(c)

     25,000        24,659  

5.88%, 2/7/42

     10,000        14,623  

5.00%, 1/21/44

     45,000        60,482  

4.75%, 4/21/45, Series L

     10,000        12,743  

4.44%, 1/20/48, (4.443% fixed rate until 1/20/47; 3-month U.S. dollar London Interbank Offered Rate + 1.99% thereafter)(c)

     10,000        12,648  

 

See Notes to Financial Statements.

 

56   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

3.95%, 1/23/49, (3.946% fixed rate until 1/23/48; 3-month U.S. dollar London Interbank Offered Rate + 1.19% thereafter)(c)

   $ 18,000      $ 21,235  

2.83%, 10/24/51, (2.831% fixed rate until 10/24/50; Secured Overnight Financing Rate + 1.88% thereafter)(c)

     5,000        4,921  

BankUnited, Inc.
4.88%, 11/17/25

     18,000        20,504  

Baxalta, Inc.
4.00%, 6/23/25

     15,000        16,538  

Baylor Scott & White Holdings
4.19%, 11/15/45

     24,000        29,872  

Becton Dickinson and Co.
2.82%, 5/20/30

     37,000        39,238  

4.69%, 12/15/44

     25,000        31,828  

Berkshire Hathaway Energy Co.
4.05%, 4/15/25

     95,000        105,111  

3.25%, 4/15/28

     23,000        25,365  

3.70%, 7/15/30

     50,000        57,012  

6.13%, 4/1/36

     25,000        35,286  

5.15%, 11/15/43

     25,000        33,222  

3.80%, 7/15/48

     36,000        41,199  

Berkshire Hathaway Finance Corp.
1.85%, 3/12/30

     150,000        152,250  

1.45%, 10/15/30

     50,000        48,973  

4.20%, 8/15/48

     20,000        25,080  

4.25%, 1/15/49

     38,000        47,938  

2.85%, 10/15/50

     5,000        5,058  

BGC Partners, Inc.
3.75%, 10/1/24

     10,000        10,640  

Biogen, Inc.
3.63%, 9/15/22

     25,000        25,850  

Black Hills Corp.
4.35%, 5/1/33

     25,000        29,484  

BlackRock, Inc.
3.50%, 3/18/24

     18,000        19,413  

Boardwalk Pipelines L.P.

     

4.95%, 12/15/24

     5,000        5,570  

4.45%, 7/15/27

     18,000        20,357  

3.40%, 2/15/31

     15,000        16,045  

Boeing Co. (The)

     

4.88%, 5/1/25

     85,000        95,064  

2.25%, 6/15/26

     5,000        5,117  

5.15%, 5/1/30

     220,000        261,023  

5.88%, 2/15/40

     10,000        12,983  

3.90%, 5/1/49

     10,000        10,530  

5.81%, 5/1/50

     25,000        34,058  

3.83%, 3/1/59

     175,000        177,567  

5.93%, 5/1/60

     30,000        41,744  

Booking Holdings, Inc.
2.75%, 3/15/23

     15,000        15,537  

BorgWarner, Inc.
2.65%, 7/1/27

     12,000        12,766  

Boston Properties L.P.
3.85%, 2/1/23

     5,000        5,193  

3.13%, 9/1/23

     19,000        19,877  

3.65%, 2/1/26

   5,000      5,507  

2.75%, 10/1/26

     24,000        25,657  

2.90%, 3/15/30

     25,000        26,291  

BP Capital Markets America, Inc.
2.75%, 5/10/23

     78,000        81,183  

3.41%, 2/11/26

     25,000        27,365  

3.12%, 5/4/26

     5,000        5,429  

3.59%, 4/14/27

     15,000        16,664  

4.23%, 11/6/28

     10,000        11,578  

3.38%, 2/8/61

     120,000        124,598  

Bristol-Myers Squibb Co.
3.25%, 2/20/23

     14,000        14,575  

3.20%, 6/15/26

     10,000        10,978  

3.45%, 11/15/27

     28,000        31,360  

3.40%, 7/26/29

     125,000        140,514  

1.45%, 11/13/30

     5,000        4,874  

4.13%, 6/15/39

     60,000        73,222  

4.25%, 10/26/49

     50,000        63,760  

2.55%, 11/13/50(b)

     5,000        4,862  

Brixmor Operating Partnership L.P.
3.65%, 6/15/24

     5,000        5,363  

3.90%, 3/15/27

     50,000        55,275  

Broadcom Corp.
3.63%, 1/15/24

     81,000        86,120  

3.13%, 1/15/25

     5,000        5,318  

3.88%, 1/15/27

     23,000        25,394  

3.50%, 1/15/28

     5,000        5,442  

Broadcom, Inc.
4.15%, 11/15/30

     70,000        78,842  

2.45%, 2/15/31(d)

     70,000        69,383  

Bunge Ltd. Finance Corp.
1.63%, 8/17/25

     15,000        15,247  

Burlington Northern Santa Fe LLC
3.00%, 4/1/25

     18,000        19,339  

7.00%, 12/15/25

     22,000        27,386  

6.15%, 5/1/37

     10,000        14,564  

5.15%, 9/1/43

     48,000        66,066  

3.90%, 8/1/46

     5,000        5,948  

Burlington Resources LLC
7.40%, 12/1/31

     14,000        20,668  

Camden Property Trust
3.15%, 7/1/29

     25,000        27,415  

2.80%, 5/15/30

     25,000        26,721  

Campbell Soup Co.
4.15%, 3/15/28

     20,000        22,806  

Capital One Financial Corp.
2.60%, 5/11/23

     95,000        98,385  

3.50%, 6/15/23

     48,000        50,583  

4.20%, 10/29/25

     25,000        27,889  

3.75%, 3/9/27

     20,000        22,386  

Cardinal Health, Inc.
3.20%, 3/15/23(b)

     25,000        26,036  

4.90%, 9/15/45

     50,000        60,880  

Carlisle Cos., Inc.
3.75%, 12/1/27

     18,000        20,088  

Carrier Global Corp.
2.72%, 2/15/30

     25,000        26,268  

 

See Notes to Financial Statements.

 

WisdomTree Trust      57  


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

Caterpillar Financial Services Corp.
3.75%, 11/24/23

   $ 33,000      $ 35,492  

Caterpillar, Inc.
3.40%, 5/15/24

     35,000        37,528  

3.80%, 8/15/42(b)

     25,000        29,953  

3.25%, 9/19/49

     40,000        44,582  

Cboe Global Markets, Inc.
3.65%, 1/12/27

     5,000        5,578  

CBRE Services, Inc.
4.88%, 3/1/26

     30,000        34,565  

CC Holdings GS V LLC
3.85%, 4/15/23

     30,000        31,613  

CenterPoint Energy Resources Corp.
3.55%, 4/1/23

     9,000        9,415  

4.10%, 9/1/47

     5,000        5,922  

Charles Schwab Corp. (The)
3.25%, 5/22/29

     25,000        27,693  

1.65%, 3/11/31

     70,000        68,539  

Charter Communications Operating LLC 4.50%, 2/1/24

     18,000        19,549  

5.05%, 3/30/29

     150,000        177,817  

2.30%, 2/1/32

     105,000        102,496  

6.38%, 10/23/35

     5,000        6,688  

6.48%, 10/23/45

     15,000        20,973  

5.13%, 7/1/49

     20,000        24,186  

3.70%, 4/1/51

     24,000        24,188  

6.83%, 10/23/55

     73,000        109,104  

3.85%, 4/1/61

     14,000        13,946  

Cheniere Corpus Christi Holdings LLC
5.13%, 6/30/27

     25,000        29,159  

Chevron Corp.
2.57%, 5/16/23

     100,000        103,406  

Chevron USA, Inc.
0.43%, 8/11/23

     100,000        100,263  

3.90%, 11/15/24

     5,000        5,483  

0.69%, 8/12/25

     15,000        14,924  

3.25%, 10/15/29

     26,000        28,839  

Children’s Hospital Corp. (The)
4.12%, 1/1/47, Series 2017

     25,000        32,283  

Chubb INA Holdings, Inc.
2.70%, 3/13/23

     68,000        70,496  

3.15%, 3/15/25

     18,000        19,455  

Church & Dwight Co., Inc.
2.88%, 10/1/22

     5,000        5,136  

Cigna Corp.
3.00%, 7/15/23

     15,000        15,659  

3.75%, 7/15/23

     8,000        8,472  

0.61%, 3/15/24

     100,000        100,028  

3.40%, 3/1/27

     10,000        11,026  

3.05%, 10/15/27

     200,000        217,012  

6.13%, 11/15/41

     14,000        20,207  

3.88%, 10/15/47

     5,000        5,693  

4.90%, 12/15/48

     30,000        39,260  

Cintas Corp. No. 2
2.90%, 4/1/22

     5,000        5,067  

3.25%, 6/1/22

     28,000        28,419  

3.70%, 4/1/27

     23,000        25,827  

Cisco Systems, Inc.
2.60%, 2/28/23

   5,000      5,178  

2.20%, 9/20/23

     36,000        37,340  

3.63%, 3/4/24

     35,000        37,798  

5.90%, 2/15/39

     40,000        58,305  

Citigroup, Inc.
2.70%, 10/27/22

     200,000        205,240  

3.30%, 4/27/25

     9,000        9,766  

5.50%, 9/13/25

     10,000        11,621  

3.70%, 1/12/26

     9,000        9,952  

3.40%, 5/1/26

     10,000        10,963  

3.20%, 10/21/26

     55,000        59,896  

1.12%, 1/28/27, (1.122% fixed rate until 1/28/26; Secured Overnight Financing Rate + 0.765% thereafter)(c)

     10,000        9,928  

4.45%, 9/29/27

     114,000        130,707  

3.52%, 10/27/28, (3.52% fixed rate until 10/27/27; 3-month U.S. dollar London Interbank Offered Rate + 1.151% thereafter)(c)

     74,000        81,406  

4.08%, 4/23/29, (4.075% fixed rate until 4/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.192% thereafter)(c)

     10,000        11,349  

3.98%, 3/20/30, (3.98% fixed rate until 3/20/29; 3-month U.S. dollar London Interbank Offered Rate + 1.338% thereafter)(c)

     150,000        170,569  

4.41%, 3/31/31, (4.412% fixed rate until 3/31/30; Secured Overnight Financing Rate + 3.914% thereafter)(c)

     20,000        23,472  

2.57%, 6/3/31, (2.572% fixed rate until 6/3/30; Secured Overnight Financing Rate + 2.107% thereafter)(c)

     8,000        8,271  

6.63%, 6/15/32

     105,000        143,791  

8.13%, 7/15/39

     10,000        17,255  

6.68%, 9/13/43

     19,000        29,652  

4.28%, 4/24/48, (4.281% fixed rate until 4/24/47; 3-month U.S. dollar London Interbank Offered Rate + 1.839% thereafter)(c)

     10,000        12,642  

4.65%, 7/23/48

     10,000        13,285  

Citizens Financial Group, Inc.
3.25%, 4/30/30

     25,000        27,273  

Citrix Systems, Inc.
3.30%, 3/1/30

     30,000        31,630  

Cleco Corporate Holdings LLC
3.74%, 5/1/26

     23,000        25,135  

Clorox Co. (The)
3.50%, 12/15/24(b)

     40,000        43,339  

CME Group, Inc.
3.00%, 3/15/25

     105,000        112,530  

5.30%, 9/15/43

     5,000        7,194  

4.15%, 6/15/48

     5,000        6,529  

CNH Industrial Capital LLC
4.38%, 4/5/22

     5,000        5,113  

 

See Notes to Financial Statements.

 

58   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

Coca-Cola Co. (The)
2.13%, 9/6/29

   $ 98,000      $ 101,925  

2.60%, 6/1/50

     5,000        4,963  

2.50%, 3/15/51

     5,000        4,856  

2.75%, 6/1/60

     50,000        50,426  

Comcast Cable Communications Holdings, Inc.
9.46%, 11/15/22

     5,000        5,554  

Comcast Corp.
3.60%, 3/1/24

     40,000        43,071  

3.70%, 4/15/24

     23,000        24,841  

2.35%, 1/15/27

     20,000        21,104  

3.30%, 2/1/27

     28,000        30,776  

3.55%, 5/1/28

     99,000        110,909  

6.45%, 3/15/37

     27,000        40,084  

4.60%, 10/15/38

     15,000        18,821  

4.50%, 1/15/43

     22,000        27,510  

3.40%, 7/15/46

     10,000        10,926  

4.00%, 8/15/47

     40,000        47,444  

3.97%, 11/1/47

     78,000        92,080  

4.70%, 10/15/48(b)

     17,000        22,433  

4.05%, 11/1/52

     128,000        154,286  

4.95%, 10/15/58

     28,000        40,224  

CommonSpirit Health
3.35%, 10/1/29

     27,000        29,358  

4.35%, 11/1/42

     10,000        11,880  

Commonwealth Edison Co.
4.70%, 1/15/44

     15,000        19,551  

Conagra Brands, Inc.
1.38%, 11/1/27

     25,000        24,536  

7.00%, 10/1/28

     19,000        25,254  

Connecticut Light & Power Co. (The)
4.30%, 4/15/44

     15,000        18,884  

ConocoPhillips

     

4.95%, 3/15/26

     25,000        28,991  

6.50%, 2/1/39

     54,000        79,740  

Consolidated Edison Co. of New York, Inc. 3.88%, 6/15/47, Series 2017

     20,000        22,832  

4.00%, 11/15/57, Series C

     43,000        49,957  

Constellation Brands, Inc.
3.15%, 8/1/29

     75,000        81,062  

5.25%, 11/15/48

     19,000        25,758  

Consumers Energy Co.
3.95%, 7/15/47

     50,000        60,634  

Corning, Inc.
4.38%, 11/15/57

     50,000        61,636  

5.85%, 11/15/68(b)

     18,000        26,987  

5.45%, 11/15/79

     10,000        14,218  

Costco Wholesale Corp.
3.00%, 5/18/27

     5,000        5,503  

1.60%, 4/20/30

     40,000        39,737  

1.75%, 4/20/32

     30,000        29,917  

Crown Castle International Corp.
3.15%, 7/15/23

     18,000        18,854  

4.30%, 2/15/29

     55,000        63,461  

3.30%, 7/1/30

     25,000        27,025  

4.75%, 5/15/47

     50,000        62,702  

3.25%, 1/15/51

     15,000        15,242  

CSX Corp.
2.40%, 2/15/30(b)

   50,000      51,752  

4.30%, 3/1/48

     45,000        55,579  

4.50%, 8/1/54

     18,000        23,203  

CVS Health Corp.
6.25%, 6/1/27

     48,000        59,848  

3.25%, 8/15/29

     25,000        27,299  

1.88%, 2/28/31

     105,000        102,984  

4.88%, 7/20/35

     48,000        59,179  

4.78%, 3/25/38

     25,000        31,115  

5.30%, 12/5/43

     48,000        64,493  

5.05%, 3/25/48

     60,000        79,460  

CyrusOne L.P.
3.45%, 11/15/29

     25,000        26,332  

D.R. Horton, Inc.
4.38%, 9/15/22

     18,000        18,541  

Danaher Corp.
2.60%, 10/1/50

     5,000        4,891  

Darden Restaurants, Inc.
3.85%, 5/1/27

     68,000        75,546  

Dell International LLC
5.45%, 6/15/23

     110,000        118,593  

6.02%, 6/15/26

     15,000        17,956  

4.90%, 10/1/26

     25,000        28,968  

8.35%, 7/15/46

     48,000        79,337  

Devon Energy Corp.
5.60%, 7/15/41

     15,000        18,787  

Digital Realty Trust L.P.
3.60%, 7/1/29

     50,000        55,633  

Dignity Health
5.27%, 11/1/64

     25,000        35,317  

Discover Financial Services
4.10%, 2/9/27

     35,000        39,402  

Discovery Communications LLC
5.20%, 9/20/47

     10,000        12,602  

4.00%, 9/15/55

     47,000        50,545  

Dollar Tree, Inc.
4.20%, 5/15/28

     50,000        56,927  

Dominion Energy South Carolina, Inc.
5.10%, 6/1/65

     34,000        50,566  

Dominion Energy, Inc.
3.90%, 10/1/25

     5,000        5,510  

5.95%, 6/15/35, Series B

     5,000        6,842  

4.60%, 3/15/49, Series A

     25,000        32,204  

Dover Corp.
3.15%, 11/15/25

     23,000        24,788  

Dow Chemical Co. (The)
7.38%, 11/1/29

     3,000        4,194  

4.25%, 10/1/34

     17,000        19,899  

9.40%, 5/15/39

     15,000        27,539  

4.38%, 11/15/42

     5,000        6,033  

DTE Electric Co.
1.90%, 4/1/28, Series A

     65,000        66,609  

3.75%, 8/15/47

     50,000        58,911  

Duke Energy Carolinas LLC
3.70%, 12/1/47

     48,000        54,960  

 

See Notes to Financial Statements.

 

WisdomTree Trust      59  


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

Duke Energy Corp.
3.15%, 8/15/27

   $ 145,000      $ 157,631  

Duke Energy Florida LLC
6.40%, 6/15/38

     43,500        64,326  

Duke Energy Indiana LLC
2.75%, 4/1/50

     140,000        137,346  

Duke Energy Ohio, Inc.
3.80%, 9/1/23

     18,000        19,066  

Duke Realty L.P.
3.05%, 3/1/50

     46,000        46,274  

DXC Technology Co.
4.13%, 4/15/25

     45,000        49,411  

4.75%, 4/15/27

     10,000        11,469  

Eastman Chemical Co.
4.80%, 9/1/42

     48,000        59,958  

Eaton Vance Corp.
3.50%, 4/6/27

     18,000        19,705  

eBay, Inc.
2.75%, 1/30/23

     50,000        51,584  

4.00%, 7/15/42

     15,000        17,113  

Ecolab, Inc.
3.25%, 1/14/23

     18,000        18,629  

2.70%, 11/1/26

     5,000        5,378  

3.25%, 12/1/27(b)

     25,000        27,691  

Eli Lilly & Co.
5.50%, 3/15/27

     40,000        49,126  

3.95%, 3/15/49

     20,000        24,686  

Emerson Electric Co.
2.63%, 2/15/23

     5,000        5,145  

1.80%, 10/15/27

     35,000        35,988  

Enable Midstream Partners L.P.
3.90%, 5/15/24

     48,000        51,081  

Enbridge Energy Partners L.P.
5.88%, 10/15/25

     5,000        5,874  

Energy Transfer L.P.

 

4.25%, 3/15/23

     25,000        26,118  

4.20%, 9/15/23, Series 5Y

     5,000        5,324  

5.88%, 1/15/24

     40,000        44,080  

4.25%, 4/1/24

     20,000        21,463  

4.50%, 4/15/24

     30,000        32,569  

3.90%, 7/15/26

     5,000        5,496  

4.20%, 4/15/27

     20,000        22,236  

4.90%, 3/15/35

     38,000        43,805  

6.63%, 10/15/36

     94,000        124,818  

Entergy Louisiana LLC
3.12%, 9/1/27

     15,000        16,391  

4.00%, 3/15/33

     85,000        99,814  

4.20%, 9/1/48

     40,000        49,222  

Entergy Texas, Inc.
1.75%, 3/15/31

     50,000        48,251  

3.55%, 9/30/49

     25,000        27,398  

Enterprise Products Operating LLC
3.35%, 3/15/23

     82,000        85,046  

6.88%, 3/1/33, Series D

     44,000        62,214  

4.45%, 2/15/43

     65,000        76,824  

4.25%, 2/15/48

     194,000        224,638  

Equinix, Inc.
2.95%, 9/15/51

   30,000      29,039  

Equitable Holdings, Inc.
4.35%, 4/20/28

     164,000        188,639  

ERP Operating L.P.
3.00%, 4/15/23

     19,000        19,688  

3.00%, 7/1/29

     50,000        54,268  

Essex Portfolio L.P.
1.65%, 1/15/31

     25,000        23,850  

2.65%, 9/1/50

     30,000        27,473  

Estee Lauder Cos., Inc. (The)
2.00%, 12/1/24

     25,000        26,151  

1.95%, 3/15/31

     40,000        40,561  

Eversource Energy
4.25%, 4/1/29, Series O

     15,000        17,485  

Exelon Corp.
5.10%, 6/15/45

     33,000        44,138  

4.70%, 4/15/50

     25,000        32,087  

Expedia Group, Inc.
3.80%, 2/15/28

     5,000        5,402  

Exxon Mobil Corp.
2.73%, 3/1/23

     25,000        25,803  

1.57%, 4/15/23

     25,000        25,506  

3.04%, 3/1/26

     23,000        24,951  

2.28%, 8/16/26

     50,000        52,757  

2.44%, 8/16/29

     15,000        15,770  

2.61%, 10/15/30

     60,000        63,632  

4.33%, 3/19/50

     200,000        251,366  

FedEx Corp.
4.20%, 10/17/28

     18,000        20,946  

3.90%, 2/1/35

     19,000        21,916  

3.88%, 8/1/42

     5,000        5,670  

4.75%, 11/15/45

     5,000        6,314  

4.40%, 1/15/47

     63,000        76,301  

Fifth Third Bancorp
2.55%, 5/5/27

     20,000        21,231  

3.95%, 3/14/28

     25,000        28,825  

8.25%, 3/1/38

     20,000        33,697  

Fiserv, Inc.

     

3.20%, 7/1/26

     55,000        59,808  

4.20%, 10/1/28

     15,000        17,245  

Flex Ltd.
5.00%, 2/15/23

     5,000        5,301  

Florida Power & Light Co.
3.70%, 12/1/47

     5,000        5,962  

4.13%, 6/1/48

     53,000        66,803  

Fortune Brands Home & Security, Inc.
4.00%, 9/21/23

     25,000        26,695  

3.25%, 9/15/29

     15,000        16,332  

Fox Corp.
5.48%, 1/25/39

     25,000        32,503  

Franklin Resources, Inc.
2.85%, 3/30/25

     25,000        26,739  

GE Capital International Funding Co. Unlimited Co.
4.42%, 11/15/35

     100,000        121,590  

 

See Notes to Financial Statements.

 

60   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

General Dynamics Corp.
2.25%, 11/15/22

   $ 40,000      $ 40,766  

3.75%, 5/15/28

     23,000        26,213  

4.25%, 4/1/40

     35,000        43,558  

General Electric Co.
6.75%, 3/15/32, Series MTNA

     128,000        177,843  

5.88%, 1/14/38

     24,000        32,997  

General Mills, Inc.
3.70%, 10/17/23

     15,000        15,977  

3.00%, 2/1/51(b)(d)

     28,000        29,134  

General Motors Co.
4.20%, 10/1/27

     71,000        79,587  

General Motors Financial Co., Inc.
3.45%, 4/10/22

     5,000        5,067  

4.00%, 1/15/25

     101,000        109,848  

4.35%, 4/9/25

     215,000        237,145  

4.30%, 7/13/25

     30,000        33,129  

4.35%, 1/17/27

     30,000        33,831  

2.35%, 1/8/31(b)

     100,000        99,042  

George Washington University (The)
4.13%, 9/15/48, Series 2018

     26,000        32,892  

Georgia Power Co.
2.10%, 7/30/23, Series A

     22,000        22,714  

3.25%, 4/1/26

     25,000        27,105  

4.30%, 3/15/43

     164,000        197,781  

Georgia-Pacific LLC
7.75%, 11/15/29

     5,000        7,209  

Gilead Sciences, Inc.
3.50%, 2/1/25

     5,000        5,414  

3.65%, 3/1/26

     69,000        76,122  

1.20%, 10/1/27

     50,000        49,297  

5.65%, 12/1/41

     38,000        53,303  

4.80%, 4/1/44

     25,000        32,183  

4.50%, 2/1/45

     138,000        171,130  

Global Payments, Inc.
3.75%, 6/1/23

     23,000        24,094  

GLP Capital L.P.
5.38%, 11/1/23

     18,000        19,537  

5.25%, 6/1/25

     15,000        16,854  

5.75%, 6/1/28

     18,000        21,506  

Goldman Sachs Capital I
6.35%, 2/15/34

     19,000        27,000  

Goldman Sachs Group, Inc. (The)
3.63%, 1/22/23

     43,000        44,981  

0.48%, 1/27/23

     10,000        10,003  

3.20%, 2/23/23

     78,000        81,061  

0.63%, 11/17/23, (0.627% fixed rate until 11/17/22; Secured Overnight Financing Rate + 0.538% thereafter)(c)

     100,000        100,164  

4.00%, 3/3/24

     15,000        16,245  

3.50%, 1/23/25

     25,000        26,940  

3.27%, 9/29/25, (3.272% fixed rate until 9/29/24; 3-month U.S. dollar London Interbank Offered Rate + 1.201% thereafter)(c)

     25,000        26,796  

3.75%, 2/25/26

     50,000        55,282  

5.95%, 1/15/27

     23,000        28,026  

3.85%, 1/26/27

   15,000      16,599  

3.69%, 6/5/28, (3.691% fixed rate until 6/5/27; 3-month U.S. dollar London Interbank Offered Rate + 1.51% thereafter)(c)

     23,000        25,570  

3.81%, 4/23/29, (3.814% fixed rate until 4/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.158% thereafter)(c)

     21,000        23,548  

4.22%, 5/1/29, (4.223% fixed rate until 5/1/28; 3-month U.S. dollar London Interbank Offered Rate + 1.301% thereafter)(c)

     100,000        114,682  

3.80%, 3/15/30

     10,000        11,288  

6.13%, 2/15/33

     9,000        12,229  

6.45%, 5/1/36

     22,000        31,175  

6.75%, 10/1/37

     25,000        36,477  

4.02%, 10/31/38, (4.017% fixed rate until 10/31/37; 3-month U.S. dollar London Interbank Offered Rate + 1.373% thereafter)(c)

     10,000        11,723  

4.41%, 4/23/39, (4.411% fixed rate until 4/23/38; 3-month U.S. dollar London Interbank Offered Rate + 1.43% thereafter)(c)

     5,000        6,141  

6.25%, 2/1/41

     10,000        14,863  

5.15%, 5/22/45

     53,000        71,177  

Hackensack Meridian Health, Inc.
2.68%, 9/1/41, Series 2020

     40,000        40,200  

Halliburton Co.
6.70%, 9/15/38

     18,000        24,893  

4.50%, 11/15/41

     140,000        156,309  

Hasbro, Inc.
3.55%, 11/19/26

     20,000        21,946  

3.50%, 9/15/27

     15,000        16,490  

HCA, Inc.
4.75%, 5/1/23

     36,000        38,394  

4.13%, 6/15/29

     50,000        56,641  

Healthcare Trust of America Holdings L.P.
3.75%, 7/1/27

     5,000        5,585  

Healthpeak Properties, Inc.
6.75%, 2/1/41

     40,000        61,449  

Hershey Co. (The)
2.30%, 8/15/26

     93,000        98,757  

Hess Corp.
4.30%, 4/1/27

     30,000        33,375  

7.88%, 10/1/29

     100,000        136,903  

7.13%, 3/15/33

     25,000        33,896  

6.00%, 1/15/40

     48,000        61,896  

Hewlett Packard Enterprise Co.
4.40%, 10/15/22

     48,000        49,791  

6.20%, 10/15/35(b)

     23,000        31,360  

Home Depot, Inc. (The)
2.80%, 9/14/27(b)

     23,000        25,056  

5.88%, 12/16/36

     15,000        21,544  

4.20%, 4/1/43

     25,000        30,930  

4.88%, 2/15/44

     11,000        14,851  

 

See Notes to Financial Statements.

 

WisdomTree Trust      61  


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

Honeywell International, Inc.
2.50%, 11/1/26(b)

   $ 10,000      $ 10,671  

2.70%, 8/15/29

     110,000        118,235  

Hormel Foods Corp.
1.80%, 6/11/30

     30,000        30,153  

HP, Inc.
3.00%, 6/17/27(b)

     25,000        26,928  

Hubbell, Inc.
3.15%, 8/15/27

     48,000        51,702  

Hudson Pacific Properties L.P.
3.95%, 11/1/27

     5,000        5,533  

Humana, Inc.
4.80%, 3/15/47

     23,000        29,732  

Huntington Bancshares, Inc.
4.00%, 5/15/25

     25,000        27,684  

Huntington Ingalls Industries, Inc.
3.84%, 5/1/25

     15,000        16,359  

Hyatt Hotels Corp.
3.38%, 7/15/23

     48,000        49,908  

Illinois Tool Works, Inc.
2.65%, 11/15/26

     65,000        69,933  

Intel Corp.
3.70%, 7/29/25

     25,000        27,542  

3.75%, 3/25/27

     50,000        56,601  

3.90%, 3/25/30(b)

     25,000        29,079  

4.10%, 5/19/46

     45,000        54,483  

4.10%, 5/11/47

     18,000        21,767  

3.25%, 11/15/49

     20,000        21,384  

4.75%, 3/25/50

     45,000        60,434  

Intercontinental Exchange, Inc.
3.75%, 12/1/25

     5,000        5,527  

3.10%, 9/15/27

     5,000        5,464  

International Business Machines Corp. 6.22%, 8/1/27

     49,000        62,113  

5.88%, 11/29/32

     24,000        32,683  

4.00%, 6/20/42

     50,000        59,304  

4.25%, 5/15/49(b)

     20,000        25,019  

International Flavors & Fragrances, Inc.
5.00%, 9/26/48

     5,000        6,663  

International Paper Co.
3.80%, 1/15/26

     2,000        2,222  

7.30%, 11/15/39

     25,000        39,458  

4.80%, 6/15/44

     5,000        6,448  

4.35%, 8/15/48(b)

     19,000        23,875  

Invesco Finance PLC
4.00%, 1/30/24

     18,000        19,415  

ITC Holdings Corp.
5.30%, 7/1/43

     15,000        20,170  

Jabil, Inc.
4.70%, 9/15/22

     5,000        5,219  

3.95%, 1/12/28

     50,000        55,543  

Janus Capital Group, Inc.
4.88%, 8/1/25

     18,000        20,300  

Jefferies Group LLC
5.13%, 1/20/23

     25,000        26,547  

6.45%, 6/8/27

     25,000        31,339  

John Deere Capital Corp.
2.80%, 3/6/23(b)

     24,000        24,932  

3.45%, 6/7/23

   5,000      5,276  

3.45%, 3/13/25

     25,000        27,365  

2.80%, 9/8/27

     37,000        40,224  

2.45%, 1/9/30

     35,000        37,015  

Johnson & Johnson
2.63%, 1/15/25

     48,000        51,008  

2.95%, 3/3/27

     21,000        23,030  

3.55%, 3/1/36

     14,000        16,499  

3.40%, 1/15/38

     25,000        28,724  

4.50%, 9/1/40

     19,000        24,941  

3.70%, 3/1/46

     22,000        26,549  

Johnson Controls International PLC
6.00%, 1/15/36

     18,000        25,633  

JPMorgan Chase & Co.
3.20%, 1/25/23

     142,000        147,877  

3.88%, 2/1/24

     50,000        54,048  

3.56%, 4/23/24, (3.559% fixed rate until 4/23/23; 3-month U.S. dollar London Interbank Offered Rate + 0.73% thereafter)(c)

     5,000        5,252  

3.80%, 7/23/24, (3.797% fixed rate until 7/23/23; 3-month U.S. dollar London Interbank Offered Rate + 0.89% thereafter)(c)

     10,000        10,613  

0.56%, 2/16/25, (0.563% fixed rate until 2/16/24; Secured Overnight Financing Rate + 0.42% thereafter)(c)

     100,000        99,750  

3.22%, 3/1/25, (3.22% fixed rate until 3/1/24; 3-month U.S. dollar London Interbank Offered Rate + 1.155% thereafter)(c)

     40,000        42,443  

2.01%, 3/13/26, (2.005% fixed rate until 3/13/25; Secured Overnight Financing Rate + 1.585% thereafter)(c)

     125,000        128,965  

3.30%, 4/1/26

     10,000        10,921  

1.05%, 11/19/26, (1.045% fixed rate until 11/19/25; Secured Overnight Financing Rate + 0.80% thereafter)(c)

     50,000        49,568  

3.54%, 5/1/28, (3.54% fixed rate until 5/1/27; 3-month U.S. dollar London Interbank Offered Rate + 1.38% thereafter)(c)

     50,000        55,127  

3.51%, 1/23/29, (3.509% fixed rate until 1/23/28; 3-month U.S. dollar London Interbank Offered Rate + 0.945% thereafter)(c)

     23,000        25,429  

4.20%, 7/23/29, (4.203% fixed rate until 7/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.26% thereafter)(c)

     45,000        51,778  

4.45%, 12/5/29, (4.452% fixed rate until 12/5/28; 3-month U.S. dollar London Interbank Offered Rate + 1.33% thereafter)(c)

     18,000        21,063  

3.70%, 5/6/30, (3.702% fixed rate until 5/6/29; 3-month U.S. dollar London Interbank Offered Rate + 1.16% thereafter)(c)

     15,000        16,809  

 

See Notes to Financial Statements.

 

62   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

4.49%, 3/24/31, (4.493% fixed rate until 3/24/30; Secured Overnight Financing Rate + 3.79% thereafter)(c)

   $ 15,000      $ 17,801  

2.52%, 4/22/31, (2.522% fixed rate until 4/22/30; Secured Overnight Financing Rate + 2.04% thereafter)(c)

     15,000        15,551  

1.76%, 11/19/31, (1.764% fixed rate until 11/19/30; Secured Overnight Financing Rate + 1.105% thereafter)(c)

     5,000        4,852  

6.40%, 5/15/38

     10,000        14,844  

2.53%, 11/19/41, (2.525% fixed rate until 11/19/40; Secured Overnight Financing Rate + 1.51% thereafter)(c)

     65,000        63,237  

5.63%, 8/16/43

     218,000        307,720  

4.85%, 2/1/44

     25,000        33,283  

3.90%, 1/23/49, (3.897% fixed rate until 1/23/48; 3-month U.S. dollar London Interbank Offered Rate + 1.22% thereafter)(c)

     48,000        56,364  

3.11%, 4/22/51, (3.109% fixed rate until 4/22/50; Secured Overnight Financing Rate + 2.44% thereafter)(c)

     80,000        83,936  

Kaiser Foundation Hospitals
3.15%, 5/1/27

     24,000        26,372  

4.15%, 5/1/47

     9,000        11,349  

3.00%, 6/1/51, Series 2021

     10,000        10,497  

Kansas City Southern
4.95%, 8/15/45

     205,000        263,956  

Kellogg Co.
3.40%, 11/15/27

     100,000        110,420  

Keurig Dr. Pepper, Inc.
3.13%, 12/15/23

     25,000        26,393  

2.55%, 9/15/26

     8,000        8,503  

4.42%, 12/15/46

     48,000        58,829  

KeyCorp
4.15%, 10/29/25(b)

     169,000        190,118  

2.55%, 10/1/29

     13,000        13,708  

Keysight Technologies, Inc.
4.60%, 4/6/27

     25,000        29,167  

Kimberly-Clark Corp.
1.05%, 9/15/27(b)

     35,000        34,775  

3.90%, 5/4/47

     50,000        61,521  

Kimco Realty Corp.
3.30%, 2/1/25

     18,000        19,344  

2.80%, 10/1/26

     5,000        5,349  

Kinder Morgan Energy Partners L.P.
3.45%, 2/15/23

     5,000        5,177  

3.50%, 9/1/23

     5,000        5,253  

4.30%, 5/1/24

     10,000        10,839  

5.50%, 3/1/44

     18,000        23,030  

5.40%, 9/1/44

     19,000        24,082  

Kinder Morgan, Inc.
4.30%, 3/1/28

     30,000        34,319  

7.75%, 1/15/32

     5,000        7,241  

5.30%, 12/1/34

     75,000        93,280  

5.55%, 6/1/45

     15,000        19,496  

KLA Corp.
4.65%, 11/1/24

   $ 15,000      $ 16,655  

3.30%, 3/1/50

     25,000        27,335  

Kroger Co. (The)
3.70%, 8/1/27

     64,000        71,963  

5.15%, 8/1/43

     18,000        23,774  

5.40%, 1/15/49

     19,000        26,484  

Laboratory Corp. of America Holdings
2.30%, 12/1/24

     261,000        272,661  

Lam Research Corp.
4.00%, 3/15/29

     15,000        17,412  

Legg Mason, Inc.
5.63%, 1/15/44

     5,000        7,128  

Linde, Inc.
3.20%, 1/30/26

     25,000        27,300  

2.00%, 8/10/50

     15,000        13,244  

Lockheed Martin Corp.
6.15%, 9/1/36, Series B

     39,000        56,669  

4.09%, 9/15/52

     24,000        30,381  

Lowe’s Cos., Inc.
3.12%, 4/15/22

     5,000        5,054  

2.50%, 4/15/26

     30,000        31,919  

2.63%, 4/1/31

     10,000        10,436  

4.05%, 5/3/47

     15,000        17,566  

Lubrizol Corp. (The)
6.50%, 10/1/34

     39,000        57,950  

LYB International Finance B.V.
4.88%, 3/15/44

     5,000        6,354  

LYB International Finance II B.V.
3.50%, 3/2/27

     38,000        41,841  

LYB International Finance III LLC
3.80%, 10/1/60

     5,000        5,490  

LyondellBasell Industries N.V.
4.63%, 2/26/55

     20,000        25,242  

Magellan Midstream Partners L.P.
4.20%, 10/3/47

     13,000        14,694  

Main Street Capital Corp.
5.20%, 5/1/24

     25,000        27,155  

Marathon Oil Corp.
3.85%, 6/1/25

     5,000        5,524  

6.80%, 3/15/32

     5,000        6,582  

Marathon Petroleum Corp.
6.50%, 3/1/41

     25,000        34,793  

5.00%, 9/15/54

     50,000        61,098  

Marriott International, Inc.
3.50%, 10/15/32, Series GG

     95,000        101,622  

Marsh & McLennan Cos., Inc.
3.30%, 3/14/23

     18,000        18,732  

3.75%, 3/14/26

     40,000        44,438  

4.20%, 3/1/48

     5,000        6,266  

4.90%, 3/15/49

     20,000        27,603  

Martin Marietta Materials, Inc.
4.25%, 7/2/24

     35,000        38,135  

3.50%, 12/15/27

     5,000        5,554  

Marvell Technology, Inc.
4.20%, 6/22/23(d)

     5,000        5,299  

4.88%, 6/22/28(d)

     15,000        17,487  

 

See Notes to Financial Statements.

 

WisdomTree Trust      63  


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

Mass General Brigham, Inc.
3.19%, 7/1/49, Series 2020

   $ 100,000      $ 108,080  

3.34%, 7/1/60, Series 2020

     25,000        28,099  

Massachusetts Institute of Technology
3.89%, 7/1/2116

     19,000        24,303  

Mastercard, Inc.
3.65%, 6/1/49

     20,000        23,657  

McCormick & Co., Inc.
4.20%, 8/15/47

     50,000        60,874  

McDonald’s Corp.
3.38%, 5/26/25

     5,000        5,418  

6.30%, 10/15/37

     19,000        27,449  

3.70%, 2/15/42

     159,000        179,746  

4.45%, 3/1/47

     15,000        18,757  

3.63%, 9/1/49

     40,000        45,085  

4.20%, 4/1/50

     110,000        135,302  

Medtronic, Inc.
4.38%, 3/15/35

     10,000        12,561  

Merck & Co., Inc.
2.40%, 9/15/22

     5,000        5,087  

2.80%, 5/18/23

     25,000        26,054  

6.50%, 12/1/33

     50,000        74,589  

2.35%, 6/24/40

     5,000        4,911  

2.45%, 6/24/50(b)

     5,000        4,812  

MetLife, Inc.
3.60%, 11/13/25

     69,000        76,171  

Micron Technology, Inc.
4.64%, 2/6/24

     30,000        32,658  

Microsoft Corp.
2.40%, 8/8/26

     69,000        73,822  

3.30%, 2/6/27

     92,000        102,689  

4.10%, 2/6/37

     48,000        59,846  

4.50%, 10/1/40

     75,000        100,003  

3.70%, 8/8/46

     12,000        14,615  

4.25%, 2/6/47

     18,000        23,861  

2.53%, 6/1/50

     115,000        114,915  

2.92%, 3/17/52

     50,000        53,821  

4.50%, 2/6/57

     18,000        25,592  

MidAmerican Energy Co.
4.80%, 9/15/43

     15,000        19,741  

3.15%, 4/15/50

     9,000        9,639  

Molson Coors Beverage Co.
5.00%, 5/1/42

     30,000        37,474  

Mondelez International, Inc.
1.50%, 5/4/25

     50,000        50,955  

Moody’s Corp.
3.25%, 1/15/28

     18,000        19,757  

2.55%, 8/18/60

     10,000        9,041  

Morgan Stanley
4.88%, 11/1/22

     194,000        203,979  

3.13%, 1/23/23

     54,000        56,085  

3.75%, 2/25/23

     37,000        38,852  

4.10%, 5/22/23

     50,000        53,023  

3.74%, 4/24/24, (3.737% fixed rate until 4/24/23; 3-month U.S. dollar London Interbank Offered Rate + 0.847% thereafter)(c)

     30,000        31,583  

3.88%, 4/29/24, Series F

   15,000      16,246  

3.70%, 10/23/24

     67,000        72,982  

2.72%, 7/22/25, (2.72% fixed rate until 7/22/24; Secured Overnight Financing Rate + 1.152% thereafter)(c)

     100,000        105,130  

4.00%, 7/23/25

     9,000        9,986  

3.88%, 1/27/26

     9,000        10,036  

3.13%, 7/27/26

     9,000        9,770  

4.35%, 9/8/26

     165,000        187,491  

3.59%, 7/22/28, (3.591% fixed rate until 7/22/27; 3-month U.S. dollar London Interbank Offered Rate + 1.34% thereafter)(c)

     97,000        107,813  

3.77%, 1/24/29, (3.772% fixed rate until 1/24/28; 3-month U.S. dollar London Interbank Offered Rate + 1.14% thereafter)(c)

     89,000        99,612  

4.43%, 1/23/30, (4.431% fixed rate until 1/23/29; 3-month U.S. dollar London Interbank Offered Rate + 1.628% thereafter)(c)

     45,000        52,627  

2.70%, 1/22/31, (2.699% fixed rate until 1/22/30; Secured Overnight Financing Rate + 1.143% thereafter)(c)

     15,000        15,726  

3.62%, 4/1/31, (3.622% fixed rate until 4/1/30; Secured Overnight Financing Rate + 3.12% thereafter)(c)

     15,000        16,820  

3.97%, 7/22/38, (3.971% fixed rate until 7/22/37; 3-month U.S. dollar London Interbank Offered Rate + 1.455% thereafter)(c)

     19,000        22,280  

4.38%, 1/22/47

     14,000        17,746  

5.60%, 3/24/51, (5.597% fixed rate until 3/24/50; Secured Overnight Financing Rate + 4.84% thereafter)(c)

     8,000        12,089  

2.80%, 1/25/52, (2.802% fixed rate until 1/25/51; Secured Overnight Financing Rate + 1.43% thereafter)(c)

     10,000        9,975  

Mosaic Co. (The)
4.88%, 11/15/41

     10,000        11,945  

5.63%, 11/15/43

     25,000        33,524  

Motorola Solutions, Inc.
2.30%, 11/15/30

     25,000        24,894  

Mount Sinai Hospitals Group, Inc.
3.98%, 7/1/48, Series 2017

     5,000        5,666  

3.74%, 7/1/49, Series 2019

     25,000        28,361  

MPLX L.P.
4.13%, 3/1/27(b)

     100,000        112,250  

4.00%, 3/15/28

     18,000        20,108  

4.70%, 4/15/48

     50,000        58,233  

National Rural Utilities Cooperative Finance Corp.
2.70%, 2/15/23

     11,000        11,345  

3.25%, 11/1/25

     10,000        10,863  

3.40%, 2/7/28

     5,000        5,530  

3.90%, 11/1/28

     18,000        20,559  

4.02%, 11/1/32

     18,000        21,386  

NBCUniversal Media LLC
5.95%, 4/1/41

     5,000        7,432  

4.45%, 1/15/43

     50,000        62,344  

 

See Notes to Financial Statements.

 

64   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

NetApp, Inc.
3.30%, 9/29/24

   $ 45,000      $ 48,088  

New York and Presbyterian Hospital (The)
2.61%, 8/1/60

     25,000        24,107  

Newmont Corp.
4.88%, 3/15/42

     45,000        57,769  

NextEra Energy Capital Holdings, Inc.
0.65%, 3/1/23

     255,000        256,020  

2.75%, 5/1/25

     15,000        15,925  

3.50%, 4/1/29

     20,000        22,201  

NIKE, Inc.
2.40%, 3/27/25

     200,000        211,928  

2.85%, 3/27/30

     17,000        18,578  

3.88%, 11/1/45

     5,000        6,134  

3.38%, 11/1/46

     20,000        22,832  

NiSource, Inc.
3.49%, 5/15/27

     10,000        11,050  

5.25%, 2/15/43

     20,000        26,631  

5.65%, 2/1/45

     5,000        7,019  

4.38%, 5/15/47

     25,000        30,589  

3.95%, 3/30/48

     18,000        20,922  

Norfolk Southern Corp.
2.90%, 2/15/23

     10,000        10,303  

3.15%, 6/1/27

     23,000        25,086  

4.05%, 8/15/52

     5,000        5,993  

Northrop Grumman Corp.
3.25%, 8/1/23

     48,000        50,583  

3.20%, 2/1/27

     53,000        57,875  

Nucor Corp.
2.70%, 6/1/30

     25,000        26,450  

NVIDIA Corp.
2.85%, 4/1/30

     10,000        10,837  

3.70%, 4/1/60

     20,000        23,890  

NVR, Inc.
3.95%, 9/15/22

     5,000        5,141  

NY Society for Relief of Ruptured & Crippled Maintaining Hospital Special Surgery
2.67%, 10/1/50, Series 2020

     135,000        130,337  

NYU Langone Hospitals
3.38%, 7/1/55, Series 2020

     25,000        26,718  

O’Reilly Automotive, Inc.
3.55%, 3/15/26

     25,000        27,609  

3.90%, 6/1/29

     13,000        14,782  

Office Properties Income Trust
4.25%, 5/15/24

     25,000        26,697  

Omega Healthcare Investors, Inc.
4.50%, 4/1/27

     18,000        20,226  

4.75%, 1/15/28

     23,000        26,123  

3.63%, 10/1/29

     49,000        52,369  

Oncor Electric Delivery Co. LLC
0.55%, 10/1/25

     25,000        24,540  

5.75%, 3/15/29

     34,000        43,037  

ONEOK, Inc.
2.75%, 9/1/24

     18,000        18,887  

4.00%, 7/13/27

     18,000        19,997  

4.55%, 7/15/28

     78,000        89,241  

Oracle Corp.
2.50%, 10/15/22

   50,000      51,221  

2.63%, 2/15/23

     15,000        15,461  

3.63%, 7/15/23

     23,000        24,357  

2.40%, 9/15/23

     50,000        51,822  

2.50%, 4/1/25

     50,000        52,474  

2.65%, 7/15/26

     161,000        170,591  

3.25%, 11/15/27

     17,000        18,571  

2.30%, 3/25/28

     150,000        154,939  

2.95%, 4/1/30

     91,000        96,708  

5.38%, 7/15/40

     10,000        12,981  

4.50%, 7/8/44

     40,000        47,408  

4.00%, 11/15/47

     28,000        30,855  

4.38%, 5/15/55

     75,000        88,161  

Orlando Health Obligated Group
3.33%, 10/1/50

     128,000        139,579  

Owens Corning
4.30%, 7/15/47

     23,000        27,197  

Pacific Gas and Electric Co.
3.45%, 7/1/25

     145,000        150,185  

2.95%, 3/1/26

     20,000        20,317  

2.10%, 8/1/27

     20,000        19,387  

2.50%, 2/1/31

     175,000        165,480  

4.50%, 7/1/40

     25,000        25,420  

3.50%, 8/1/50

     80,000        72,284  

PacifiCorp
4.10%, 2/1/42

     50,000        59,257  

Packaging Corp. of America
4.50%, 11/1/23

     43,000        46,259  

3.40%, 12/15/27

     25,000        27,569  

Parker-Hannifin Corp.
3.50%, 9/15/22

     5,000        5,159  

3.30%, 11/21/24

     18,000        19,337  

3.25%, 6/14/29

     13,000        14,146  

6.25%, 5/15/38

     15,000        21,306  

PayPal Holdings, Inc.
2.20%, 9/26/22

     50,000        51,046  

1.65%, 6/1/25

     100,000        103,000  

PeaceHealth Obligated Group
4.79%, 11/15/48, Series 2018

     50,000        68,679  

PECO Energy Co.
3.90%, 3/1/48

     20,000        24,103  

2.80%, 6/15/50

     175,000        177,285  

People’s United Financial, Inc.
3.65%, 12/6/22

     155,000        160,044  

PepsiCo, Inc.
3.60%, 3/1/24

     40,000        42,849  

2.63%, 3/19/27

     25,000        26,932  

3.00%, 10/15/27

     53,000        58,510  

2.75%, 3/19/30

     30,000        32,541  

4.25%, 10/22/44

     23,000        28,905  

3.38%, 7/29/49

     20,000        22,704  

Pfizer, Inc.
2.95%, 3/15/24

     18,000        19,097  

3.00%, 12/15/26

     10,000        11,013  

7.20%, 3/15/39

     89,000        146,110  

4.30%, 6/15/43

     5,000        6,318  

 

See Notes to Financial Statements.

 

WisdomTree Trust      65  


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

Philip Morris International, Inc.
3.25%, 11/10/24

   $ 21,000      $ 22,689  

2.10%, 5/1/30

     100,000        101,128  

4.88%, 11/15/43

     32,000        40,249  

Phillips 66
3.90%, 3/15/28

     11,000        12,328  

5.88%, 5/1/42

     40,000        55,156  

Piedmont Natural Gas Co., Inc.
2.50%, 3/15/31

     25,000        25,618  

Plains All American Pipeline L.P.
3.65%, 6/1/22

     39,500        40,125  

4.50%, 12/15/26

     15,000        16,847  

6.65%, 1/15/37

     48,000        63,609  

PNC Financial Services Group, Inc. (The) 3.90%, 4/29/24

     78,000        84,410  

3.45%, 4/23/29

     50,000        55,865  

2.55%, 1/22/30

     10,000        10,522  

Procter & Gamble Co. (The)
2.80%, 3/25/27

     105,000        114,292  

3.00%, 3/25/30

     50,000        55,539  

Progressive Corp. (The)
3.95%, 3/26/50

     25,000        30,931  

Prologis L.P.
2.25%, 4/15/30

     25,000        25,794  

1.25%, 10/15/30(b)

     60,000        57,183  

4.38%, 9/15/48

     5,000        6,502  

Prudential Financial, Inc.
5.70%, 12/14/36

     5,000        6,938  

6.63%, 12/1/37

     19,000        28,255  

5.88%, 9/15/42, (5.875% fixed rate until 9/15/22; 3-month U.S. dollar London Interbank Offered Rate + 4.175% thereafter)(c)

     5,000        5,253  

4.60%, 5/15/44

     5,000        6,455  

5.38%, 5/15/45, (5.375% fixed rate until 5/15/25; 3-month U.S. dollar London Interbank Offered Rate + 3.031% thereafter)(c)

     5,000        5,559  

5.70%, 9/15/48, (5.70% fixed rate until 9/15/28; 3-month U.S. dollar London Interbank Offered Rate + 2.665% thereafter)(b)(c)

     5,000        5,892  

3.94%, 12/7/49

     20,000        23,976  

4.35%, 2/25/50

     20,000        25,651  

PSEG Power LLC
3.85%, 6/1/23

     5,000        5,279  

Public Service Co. of Colorado
3.60%, 9/15/42

     90,000        102,938  

4.30%, 3/15/44

     29,000        35,781  

Public Service Electric & Gas Co.
2.38%, 5/15/23

     43,000        44,315  

3.00%, 5/15/27

     19,000        20,700  

3.95%, 5/1/42

     30,000        36,004  

3.60%, 12/1/47

     125,000        144,320  

Public Service Enterprise Group, Inc.
2.88%, 6/15/24

     25,000        26,446  

PVH Corp.
4.63%, 7/10/25

     25,000        27,821  

QUALCOMM, Inc.
2.60%, 1/30/23

   10,000      10,317  

2.90%, 5/20/24

     22,000        23,355  

1.65%, 5/20/32

     30,000        29,013  

3.25%, 5/20/50(b)

     20,000        22,047  

Raymond James Financial, Inc.
4.65%, 4/1/30

     25,000        30,064  

Raytheon Technologies Corp.
3.95%, 8/16/25

     25,000        27,724  

3.50%, 3/15/27

     50,000        55,291  

5.70%, 4/15/40

     25,000        34,995  

4.50%, 6/1/42

     100,000        125,051  

4.80%, 12/15/43

     10,000        12,861  

3.75%, 11/1/46

     48,000        54,676  

4.35%, 4/15/47

     30,000        37,145  

Realty Income Corp.
3.00%, 1/15/27

     5,000        5,417  

Regeneron Pharmaceuticals, Inc.
2.80%, 9/15/50

     80,000        75,969  

Reliance Steel & Aluminum Co.
1.30%, 8/15/25

     25,000        25,106  

Rockwell Automation, Inc.
4.20%, 3/1/49

     35,000        44,708  

Roper Technologies, Inc.
2.35%, 9/15/24

     15,000        15,705  

3.80%, 12/15/26

     30,000        33,585  

1.40%, 9/15/27

     25,000        24,925  

RWJ Barnabas Health, Inc.
3.95%, 7/1/46

     24,000        29,077  

Ryder System, Inc.
2.50%, 9/1/22

     100,000        101,963  

3.75%, 6/9/23

     23,000        24,265  

Sabine Pass Liquefaction LLC
5.88%, 6/30/26

     25,000        29,556  

5.00%, 3/15/27

     25,000        28,936  

4.20%, 3/15/28

     25,000        28,110  

Sabra Health Care L.P.
5.13%, 8/15/26

     18,000        20,319  

salesforce.com, Inc.
3.70%, 4/11/28

     25,000        28,450  

San Diego Gas & Electric Co.
1.70%, 10/1/30, Series VVV

     50,000        48,779  

Santander Holdings USA, Inc.
4.40%, 7/13/27

     88,000        99,370  

Sempra Energy
2.88%, 10/1/22

     5,000        5,098  

4.05%, 12/1/23

     55,000        58,827  

3.55%, 6/15/24

     25,000        26,757  

3.25%, 6/15/27

     46,000        50,100  

Sherwin-Williams Co. (The)
2.95%, 8/15/29

     10,000        10,763  

4.00%, 12/15/42

     55,000        64,305  

4.50%, 6/1/47

     5,000        6,299  

3.80%, 8/15/49

     20,000        23,169  

Shire Acquisitions Investments Ireland DAC 2.88%, 9/23/23

     15,000        15,663  

3.20%, 9/23/26

     110,000        119,447  

 

See Notes to Financial Statements.

 

66   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

Simon Property Group L.P.
2.75%, 2/1/23

   $ 5,000      $ 5,141  

3.75%, 2/1/24

     5,000        5,347  

3.30%, 1/15/26

     5,000        5,425  

3.25%, 11/30/26

     23,000        25,144  

3.38%, 6/15/27

     100,000        109,991  

2.45%, 9/13/29

     25,000        25,843  

SITE Centers Corp.
4.70%, 6/1/27

     68,000        76,620  

Southern California Edison Co.
2.25%, 6/1/30

     100,000        100,089  

4.65%, 10/1/43

     124,000        142,844  

4.88%, 3/1/49, Series B

     8,000        9,598  

3.65%, 2/1/50

     20,000        20,423  

Southern California Gas Co.
4.13%, 6/1/48, Series UU

     5,000        6,092  

Southern Co. (The)
2.95%, 7/1/23

     10,000        10,418  

3.25%, 7/1/26

     67,000        72,637  

Southern Co. Gas Capital Corp.
4.40%, 6/1/43

     5,000        6,025  

Southern Power Co.
5.15%, 9/15/41

     19,000        23,744  

Southwest Airlines Co.
4.75%, 5/4/23

     45,000        48,077  

5.13%, 6/15/27

     50,000        58,547  

Southwest Gas Corp.
3.80%, 9/29/46

     50,000        55,336  

Spectra Energy Partners L.P.
4.75%, 3/15/24

     18,000        19,637  

3.50%, 3/15/25

     5,000        5,386  

Stanford Health Care
3.80%, 11/15/48, Series 2018

     18,000        21,758  

Starbucks Corp.
3.10%, 3/1/23

     5,000        5,195  

2.45%, 6/15/26

     5,000        5,299  

2.00%, 3/12/27

     70,000        72,407  

4.00%, 11/15/28

     5,000        5,778  

4.30%, 6/15/45

     25,000        30,313  

3.50%, 11/15/50

     75,000        82,388  

State Street Corp.
3.10%, 5/15/23

     48,000        50,264  

2.35%, 11/1/25, (2.354% fixed rate until 11/1/24; Secured Overnight Financing Rate + 0.94% thereafter)(c)

     50,000        52,570  

4.14%, 12/3/29, (4.141% fixed rate until 12/3/28; 3-month U.S. dollar London Interbank Offered Rate + 1.03% thereafter)(c)

     50,000        58,784  

2.40%, 1/24/30(b)

     62,000        65,352  

Steel Dynamics, Inc.
3.45%, 4/15/30

     90,000        98,718  

Stryker Corp.
3.38%, 5/15/24

     5,000        5,350  

Sutter Health
3.16%, 8/15/40, Series 20A

     95,000        101,522  

Synchrony Financial
3.70%, 8/4/26

   5,000      5,482  

5.15%, 3/19/29

     100,000        118,880  

Synovus Financial Corp.
3.13%, 11/1/22

     5,000        5,123  

Sysco Corp.
5.65%, 4/1/25

     45,000        51,929  

3.30%, 7/15/26

     73,000        79,403  

T-Mobile USA, Inc.
3.50%, 4/15/25

     90,000        97,332  

3.75%, 4/15/27

     20,000        22,203  

4.50%, 4/15/50

     20,000        24,034  

Tampa Electric Co.
4.30%, 6/15/48

     18,000        22,591  

Tapestry, Inc.
4.13%, 7/15/27

     55,000        60,295  

Target Corp.
2.50%, 4/15/26

     135,000        145,140  

4.00%, 7/1/42

     60,000        75,565  

TC PipeLines L.P.
4.38%, 3/13/25

     44,000        48,393  

TD Ameritrade Holding Corp.
2.95%, 4/1/22

     10,000        10,114  

Teledyne FLIR LLC
2.50%, 8/1/30

     25,000        25,634  

Texas Instruments, Inc.
2.90%, 11/3/27

     27,000        29,570  

4.15%, 5/15/48

     14,000        17,765  

Thermo Fisher Scientific, Inc.
4.50%, 3/25/30

     75,000        89,715  

Time Warner Cable LLC
6.75%, 6/15/39

     80,500        112,886  

5.50%, 9/1/41

     7,000        8,772  

4.50%, 9/15/42

     10,000        11,240  

TJX Cos., Inc. (The)
3.88%, 4/15/30

     25,000        28,892  

Toyota Motor Credit Corp.
0.35%, 10/14/22

     100,000        100,168  

1.35%, 8/25/23

     40,000        40,788  

0.45%, 1/11/24

     32,000        31,989  

2.90%, 4/17/24

     5,000        5,305  

3.05%, 1/11/28

     15,000        16,493  

2.15%, 2/13/30

     50,000        51,706  

1.65%, 1/10/31(b)

     30,000        29,780  

Trane Technologies Global Holding Co., Ltd. 3.75%, 8/21/28

     45,000        50,677  

Trane Technologies Luxembourg Finance S.A.
3.55%, 11/1/24

     50,000        53,958  

Transcontinental Gas Pipe Line Co. LLC
4.45%, 8/1/42

     15,000        17,925  

Travelers Cos., Inc. (The)
6.25%, 6/15/37

     30,000        44,372  

3.75%, 5/15/46

     25,000        29,640  

4.00%, 5/30/47

     48,000        59,116  

2.55%, 4/27/50

     20,000        19,617  

Trimble, Inc.
4.15%, 6/15/23

     5,000        5,286  

 

See Notes to Financial Statements.

 

WisdomTree Trust      67  


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

Trinity Health Corp.
2.63%, 12/1/40, Series 2021

   $ 40,000      $ 40,061  

Truist Bank
4.05%, 11/3/25

     25,000        28,079  

Truist Financial Corp.
2.85%, 10/26/24

     144,000        153,809  

1.13%, 8/3/27

     15,000        14,815  

TWDC Enterprises 18 Corp.
3.00%, 2/13/26

     15,000        16,250  

2.95%, 6/15/27(b)

     23,000        25,212  

3.70%, 12/1/42

     5,000        5,757  

3.00%, 7/30/46(b)

     48,000        50,051  

Tyson Foods, Inc.
4.88%, 8/15/34

     50,000        62,807  

U.S. Bancorp
3.60%, 9/11/24

     25,000        27,174  

1.45%, 5/12/25

     25,000        25,591  

2.38%, 7/22/26, Series V

     125,000        133,045  

3.90%, 4/26/28

     78,000        90,035  

1.38%, 7/22/30

     11,000        10,665  

UDR, Inc.
2.10%, 8/1/32

     25,000        24,435  

Union Electric Co.
2.95%, 6/15/27

     18,000        19,537  

Union Pacific Corp.
3.50%, 6/8/23

     52,000        54,784  

3.75%, 7/15/25

     5,000        5,524  

3.25%, 8/15/25

     5,000        5,427  

2.75%, 3/1/26

     5,000        5,357  

4.00%, 4/15/47

     19,000        22,463  

3.84%, 3/20/60

     108,000        125,686  

3.75%, 2/5/70

     25,000        28,547  

3.80%, 4/6/71(d)

     5,000        5,754  

United Airlines Pass Through Trust
4.30%, 2/15/27, Series 2013-1, Class A

     16,324        17,555  

United Parcel Service, Inc.
2.45%, 10/1/22

     5,000        5,120  

2.40%, 11/15/26

     5,000        5,334  

3.05%, 11/15/27

     53,000        58,854  

6.20%, 1/15/38

     15,000        22,343  

3.40%, 11/15/46

     5,000        5,693  

UnitedHealth Group, Inc.
2.75%, 2/15/23

     5,000        5,152  

3.70%, 12/15/25

     90,000        100,354  

3.10%, 3/15/26

     34,000        37,166  

3.88%, 12/15/28

     18,000        20,775  

5.80%, 3/15/36

     25,000        35,436  

3.95%, 10/15/42

     5,000        6,005  

4.75%, 7/15/45

     100,000        133,498  

3.75%, 10/15/47

     15,000        17,555  

University of Southern California
3.03%, 10/1/39

     24,000        26,124  

3.84%, 10/1/47, Series 2017

     120,000        148,846  

Utah Acquisition Sub, Inc.
3.95%, 6/15/26

     40,000        44,344  

Valero Energy Corp.
2.70%, 4/15/23

     29,000        29,974  

3.40%, 9/15/26

     50,000        53,897  

Valero Energy Partners L.P.
4.38%, 12/15/26

   58,000      65,524  

Ventas Realty L.P.
4.75%, 11/15/30(b)

     14,000        16,706  

4.38%, 2/1/45

     24,000        28,085  

VEREIT Operating Partnership L.P.
4.60%, 2/6/24

     18,000        19,507  

3.95%, 8/15/27

     5,000        5,660  

Verisk Analytics, Inc.
4.13%, 3/15/29

     147,000        168,444  

Verizon Communications, Inc.
0.75%, 3/22/24

     20,000        20,085  

3.38%, 2/15/25

     10,000        10,837  

0.85%, 11/20/25

     10,000        9,927  

4.33%, 9/21/28

     25,000        29,183  

4.02%, 12/3/29

     20,000        23,045  

1.68%, 10/30/30

     76,000        73,413  

2.65%, 11/20/40

     70,000        67,877  

3.40%, 3/22/41

     150,000        160,738  

6.55%, 9/15/43

     8,000        12,838  

4.86%, 8/21/46

     50,000        65,297  

4.52%, 9/15/48

     20,000        25,208  

5.01%, 4/15/49

     23,000        30,792  

2.88%, 11/20/50

     85,000        81,848  

2.99%, 10/30/56

     11,000        10,627  

3.00%, 11/20/60

     15,000        14,463  

3.70%, 3/22/61

     107,000        117,663  

ViacomCBS, Inc.
3.38%, 2/15/28

     5,000        5,503  

6.88%, 4/30/36

     5,000        7,233  

4.90%, 8/15/44

     5,000        6,173  

4.60%, 1/15/45

     50,000        60,369  

4.95%, 5/19/50(b)

     20,000        25,481  

Viatris, Inc.
2.70%, 6/22/30(d)

     10,000        10,233  

3.85%, 6/22/40(d)

     30,000        32,525  

4.00%, 6/22/50(d)

     60,000        65,374  

Virginia Electric & Power Co.
8.88%, 11/15/38

     15,000        27,005  

Visa, Inc.
2.80%, 12/14/22

     50,000        51,458  

1.90%, 4/15/27(b)

     34,000        35,366  

2.75%, 9/15/27

     22,000        23,937  

3.65%, 9/15/47

     65,000        76,759  

VMware, Inc.
4.50%, 5/15/25

     25,000        27,936  

Vulcan Materials Co.
4.50%, 4/1/25

     18,000        20,042  

Wachovia Corp.
5.50%, 8/1/35

     5,000        6,547  

Walgreens Boots Alliance, Inc.
3.80%, 11/18/24

     128,000        139,036  

Walmart, Inc.
3.55%, 6/26/25

     69,000        75,984  

3.70%, 6/26/28

     15,000        17,143  

5.25%, 9/1/35

     50,000        68,987  

6.50%, 8/15/37

     48,000        73,360  

4.05%, 6/29/48

     65,000        82,499  

 

See Notes to Financial Statements.

 

68   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

Walt Disney Co. (The)
3.35%, 3/24/25

   $ 50,000      $ 54,359  

2.20%, 1/13/28

     75,000        78,265  

2.65%, 1/13/31(b)

     10,000        10,644  

6.40%, 12/15/35

     4,000        5,913  

6.65%, 11/15/37

     20,000        30,576  

3.50%, 5/13/40

     60,000        67,504  

4.95%, 10/15/45

     5,000        6,768  

3.80%, 5/13/60

     15,000        17,945  

Wells Fargo & Co.
3.45%, 2/13/23, Series M

     10,000        10,443  

4.13%, 8/15/23

     69,000        73,824  

3.00%, 4/22/26

     125,000        135,431  

3.58%, 5/22/28, (3.584% fixed rate until 5/22/27; 3-month U.S. dollar London Interbank Offered Rate + 1.31% thereafter)(c)

     139,000        154,275  

2.39%, 6/2/28, (2.393% fixed rate until 6/2/27; Secured Overnight Financing Rate + 2.10% thereafter)(c)

     115,000        119,931  

4.15%, 1/24/29

     10,000        11,517  

4.48%, 4/4/31, (4.478% fixed rate until 4/4/30; Secured Overnight Financing Rate + 4.032% thereafter)(c)

     50,000        59,393  

3.07%, 4/30/41, (3.068% fixed rate until 4/30/40; Secured Overnight Financing Rate + 2.53% thereafter)(c)

     15,000        15,774  

5.38%, 11/2/43

     47,000        63,485  

4.75%, 12/7/46

     96,000        122,606  

5.01%, 4/4/51, (5.013% fixed rate until 4/4/50; Secured Overnight Financing Rate + 4.502% thereafter)(c)

     105,000        146,336  

Welltower, Inc.
4.25%, 4/1/26

     23,000        25,857  

4.25%, 4/15/28

     15,000        17,253  

Western Union Co. (The)
4.25%, 6/9/23

     55,000        58,320  

2.75%, 3/15/31

     250,000        253,132  

Westinghouse Air Brake Technologies Corp.
3.45%, 11/15/26

     50,000        53,768  

Westlake Chemical Corp.
5.00%, 8/15/46

     10,000        12,828  

WestRock MWV LLC
7.95%, 2/15/31

     14,000        20,077  

Whirlpool Corp.
4.50%, 6/1/46

     30,000        36,820  

Williams Cos., Inc. (The)
3.75%, 6/15/27

     10,000        11,112  

7.50%, 1/15/31, Series A

     50,000        70,170  

6.30%, 4/15/40

     10,000        13,743  

5.75%, 6/24/44

     50,000        66,806  

Wisconsin Public Service Corp.
3.67%, 12/1/42

     38,000        44,200  

WRKCo, Inc.
3.75%, 3/15/25

     45,000        49,027  

4.65%, 3/15/26

     25,000        28,514  

WW Grainger, Inc.
3.75%, 5/15/46

     85,000        99,891  

Wyeth LLC
5.95%, 4/1/37

   10,000      14,376  

Xilinx, Inc.
2.95%, 6/1/24

     73,000        77,130  

Xylem, Inc.
3.25%, 11/1/26

     5,000        5,480  

Zimmer Biomet Holdings, Inc.
3.15%, 4/1/22

     5,000        5,059  

3.55%, 4/1/25

     60,000        64,888  

Zoetis, Inc.
4.70%, 2/1/43

     25,000        32,558  

TOTAL U.S. CORPORATE BONDS

(Cost: $46,956,961)

 

 

     49,528,882  
FOREIGN CORPORATE BONDS – 3.4%

 

  
Australia – 0.1%

 

BHP Billiton Finance USA Ltd.
5.00%, 9/30/43

     23,000        31,824  

Westpac Banking Corp.
2.75%, 1/11/23

     50,000        51,728  

3.35%, 3/8/27

     23,000        25,558  

4.32%, 11/23/31, (4.322% fixed rate until 11/23/26; 5-year U.S. dollar ICE Swap Rate + 2.236% thereafter)(c)

     10,000        11,126  

2.67%, 11/15/35, (2.668% fixed rate until 11/15/30; 5-year Constant Maturity Treasury Rate + 1.75% thereafter)(c)

     30,000        29,802  

4.42%, 7/24/39(b)

     25,000        29,984  
     

 

 

 
Total Australia

 

     180,022  
Belgium – 0.3%

 

Anheuser-Busch Cos. LLC
3.65%, 2/1/26

     129,000        142,571  

4.70%, 2/1/36

     25,000        30,885  

Anheuser-Busch InBev Finance, Inc.
4.00%, 1/17/43

     128,000        145,568  

Anheuser-Busch InBev Worldwide, Inc.
4.90%, 1/23/31(b)

     90,000        110,954  

4.60%, 4/15/48

     119,000        146,999  

4.44%, 10/6/48

     19,000        22,979  
     

 

 

 
Total Belgium

 

     599,956  
Bermuda – 0.0%

 

Aspen Insurance Holdings Ltd.
4.65%, 11/15/23

     18,000        19,513  
Brazil – 0.0%

 

Vale Overseas Ltd.
6.88%, 11/21/36

     10,000        14,064  
Canada – 0.8%

 

Bank of Montreal
2.35%, 9/11/22

     44,000        44,979  

3.30%, 2/5/24, Series E

     40,000        42,680  

3.80%, 12/15/32, (3.803% fixed rate until 12/15/27; 5-year U.S. dollar Swap Rate + 1.432% thereafter)(c)

     49,000        54,229  

Bank of Nova Scotia (The)
2.45%, 9/19/22

     48,000        49,133  

2.00%, 11/15/22

     50,000        51,061  

1.63%, 5/1/23

     40,000        40,893  

 

See Notes to Financial Statements.

 

WisdomTree Trust      69  


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

Brookfield Finance, Inc.
3.90%, 1/25/28

   $ 18,000      $ 20,265  

4.85%, 3/29/29

     25,000        29,874  

4.70%, 9/20/47

     50,000        62,065  

Canadian Imperial Bank of Commerce
0.95%, 6/23/23

     40,000        40,377  

Canadian National Railway Co.
2.95%, 11/21/24

     25,000        26,599  

2.75%, 3/1/26

     100,000        107,138  

Canadian Natural Resources Ltd.
3.80%, 4/15/24(b)

     50,000        53,460  

3.85%, 6/1/27

     25,000        27,561  

CNOOC Petroleum North America ULC
5.88%, 3/10/35

     65,000        81,356  

6.40%, 5/15/37

     25,000        33,532  

7.50%, 7/30/39

     63,000        96,071  

Enbridge, Inc.
4.25%, 12/1/26

     25,000        28,224  

Kinross Gold Corp.
4.50%, 7/15/27

     55,000        63,260  

Magna International, Inc.
3.63%, 6/15/24

     5,000        5,398  

Nutrien Ltd.
3.15%, 10/1/22

     43,000        44,000  

2.95%, 5/13/30

     90,000        96,284  

5.63%, 12/1/40

     5,000        6,973  

5.25%, 1/15/45

     18,000        24,309  

3.95%, 5/13/50

     50,000        58,825  

Rogers Communications, Inc.
3.00%, 3/15/23

     23,000        23,745  

4.50%, 3/15/43

     25,000        29,393  

5.00%, 3/15/44

     25,000        31,463  

Royal Bank of Canada
2.75%, 2/1/22

     50,000        50,519  

2.80%, 4/29/22

     50,000        50,865  

3.70%, 10/5/23

     25,000        26,710  

2.25%, 11/1/24

     25,000        26,226  

TELUS Corp.
2.80%, 2/16/27

     50,000        53,681  

4.60%, 11/16/48

     5,000        6,464  

Toronto-Dominion Bank (The)
0.75%, 6/12/23

     10,000        10,076  

0.75%, 9/11/25

     25,000        24,823  

TransCanada PipeLines Ltd.
4.25%, 5/15/28

     64,000        73,596  

4.63%, 3/1/34

     28,000        33,126  

5.85%, 3/15/36

     29,000        38,435  
     

 

 

 
Total Canada

 

     1,667,668  
China – 0.1%

 

Alibaba Group Holding Ltd.
3.40%, 12/6/27

     25,000        27,257  

Baidu, Inc.
1.72%, 4/9/26

     200,000        202,422  
     

 

 

 
Total China

 

     229,679  
France – 0.0%

 

Sanofi
3.63%, 6/19/28

   5,000      5,721  

TotalEnergies Capital International S.A.
3.46%, 7/12/49

     20,000        21,969  
     

 

 

 
Total France

 

     27,690  
Germany – 0.1%

 

Deutsche Bank AG
3.70%, 5/30/24

     25,000        26,758  

Deutsche Telekom International Finance B.V. 8.75%, 6/15/30

     15,000        22,579  

9.25%, 6/1/32

     50,000        82,200  
     

 

 

 
Total Germany

 

     131,537  
Japan – 0.3%

 

Mitsubishi UFJ Financial Group, Inc.
3.46%, 3/2/23

     25,000        26,170  

3.76%, 7/26/23

     54,000        57,432  

3.41%, 3/7/24

     25,000        26,737  

3.78%, 3/2/25

     5,000        5,477  

3.96%, 3/2/28

     45,000        51,246  

3.74%, 3/7/29

     40,000        45,183  

4.15%, 3/7/39(b)

     25,000        30,093  

Sumitomo Mitsui Financial Group, Inc.
2.78%, 10/18/22

     50,000        51,427  

3.45%, 1/11/27(b)

     25,000        27,624  

3.35%, 10/18/27

     23,000        25,384  

3.20%, 9/17/29

     50,000        53,581  

2.14%, 9/23/30

     155,000        152,119  

Takeda Pharmaceutical Co., Ltd.
3.03%, 7/9/40

     25,000        25,745  
     

 

 

 
Total Japan

 

     578,218  
Netherlands – 0.2%

 

Cooperatieve Rabobank UA
5.25%, 5/24/41

     109,000        153,750  

Shell International Finance B.V.
3.40%, 8/12/23

     47,000        49,825  

3.25%, 5/11/25

     100,000        108,495  

2.38%, 11/7/29

     100,000        104,531  

5.50%, 3/25/40

     27,000        37,746  
     

 

 

 
Total Netherlands

 

     454,347  
Norway – 0.2%

 

Equinor ASA
2.45%, 1/17/23

     106,000        109,144  

2.65%, 1/15/24

     5,000        5,247  

3.70%, 3/1/24

     137,000        147,712  

3.00%, 4/6/27

     25,000        27,148  

3.63%, 9/10/28

     149,000        168,759  

5.10%, 8/17/40

     19,000        25,595  

4.80%, 11/8/43

     25,000        32,940  
     

 

 

 
Total Norway

 

     516,545  
Peru – 0.0%

 

Southern Copper Corp.
6.75%, 4/16/40

     5,000        7,140  

 

See Notes to Financial Statements.

 

70   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  
Spain – 0.1%

 

Telefonica Emisiones S.A.
7.05%, 6/20/36

   $ 9,000      $ 13,114  

Telefonica Europe B.V.
8.25%, 9/15/30

     147,000        215,525  
     

 

 

 
Total Spain

 

     228,639  
Switzerland – 0.1%

 

Credit Suisse Group AG
4.55%, 4/17/26

     192,000        217,642  

Novartis Capital Corp.
3.10%, 5/17/27

     60,000        65,831  

3.70%, 9/21/42

     15,000        17,752  

Syngenta Finance N.V.
3.13%, 3/28/22

     19,000        19,249  
     

 

 

 
Total Switzerland

 

     320,474  
United Kingdom – 1.1%

 

AstraZeneca PLC
3.38%, 11/16/25

     15,000        16,444  

4.00%, 1/17/29

     25,000        28,881  

4.38%, 11/16/45

     50,000        64,671  

Barclays PLC

     

4.34%, 5/16/24, (4.338% fixed rate until 5/16/23; 3-month U.S. dollar London Interbank Offered Rate + 1.356% thereafter)(c)

     200,000        212,306  

BAT Capital Corp.
3.22%, 8/15/24

     150,000        159,237  

3.22%, 9/6/26

     25,000        26,727  

4.39%, 8/15/37

     50,000        54,474  

BP Capital Markets PLC
3.54%, 11/4/24

     95,000        103,025  

3.28%, 9/19/27(b)

     24,000        26,508  

3.72%, 11/28/28

     45,000        50,748  

British Telecommunications PLC
9.63%, 12/15/30

     124,000        191,759  

CNH Industrial N.V.
4.50%, 8/15/23

     20,000        21,453  

Diageo Capital PLC
2.13%, 4/29/32

     30,000        30,340  

GlaxoSmithKline Capital, Inc.
2.80%, 3/18/23

     100,000        103,886  

3.38%, 5/15/23

     19,000        19,993  

HSBC Holdings PLC
3.90%, 5/25/26

     25,000        27,808  

4.95%, 3/31/30

     175,000        211,745  

7.63%, 5/17/32

     64,000        90,871  

6.80%, 6/1/38

     100,000        144,520  

Lloyds Banking Group PLC

     

1.63%, 5/11/27, (1.627% fixed rate until 5/11/26; 1-year Constant Maturity Treasury Rate + 0.85% thereafter)(c)

     200,000        200,976  

3.57%, 11/7/28, (3.574% fixed rate until 11/7/27; 3-month U.S. dollar London Interbank Offered Rate + 1.205% thereafter)(c)

     50,000        54,944  

Reynolds American, Inc.
7.25%, 6/15/37

   23,000      31,571  

5.85%, 8/15/45

     10,000        12,404  

Santander UK Group Holdings PLC

     

1.09%, 3/15/25, (1.089% fixed rate until 3/15/24; Secured Overnight Financing Rate + 0.787% thereafter)(c)

     250,000        250,950  

Unilever Capital Corp.
5.90%, 11/15/32

     5,000        6,918  

Vodafone Group PLC
4.13%, 5/30/25

     50,000        55,694  

4.38%, 2/19/43

     34,000        40,429  

5.25%, 5/30/48

     30,000        40,011  
     

 

 

 
Total United Kingdom

 

     2,279,293  

TOTAL FOREIGN CORPORATE BONDS

(Cost: $6,962,006)

 

 

     7,254,785  
FOREIGN GOVERNMENT AGENCIES – 0.7%

 

Canada – 0.3%

 

Export Development Canada
2.50%, 1/24/23

     10,000        10,325  

1.38%, 2/24/23

     50,000        50,891  

2.75%, 3/15/23

     30,000        31,175  

Province of Alberta Canada
3.30%, 3/15/28

     95,000        107,107  

Province of British Columbia Canada
2.00%, 10/23/22

     110,000        112,283  

2.25%, 6/2/26

     25,000        26,650  

Province of New Brunswick Canada
3.63%, 2/24/28

     20,000        23,013  

Province of Ontario Canada
3.20%, 5/16/24

     110,000        118,068  

Province of Quebec Canada
2.63%, 2/13/23

     9,000        9,315  

2.88%, 10/16/24, Series QO

     55,000        59,010  

1.50%, 2/11/25, Series QX

     20,000        20,591  

2.50%, 4/20/26

     50,000        53,809  

7.50%, 9/15/29, Series PD

     31,000        44,992  
     

 

 

 
Total Canada

 

     667,229  
Germany – 0.4%

 

Kreditanstalt fuer Wiederaufbau
2.13%, 1/17/23

     133,000        136,608  

2.63%, 2/28/24

     225,000        237,659  

2.50%, 11/20/24

     33,000        35,103  

0.63%, 1/22/26

     100,000        99,559  

2.88%, 4/3/28

     40,000        44,605  

Landwirtschaftliche Rentenbank
1.75%, 7/27/26(b)

     90,000        94,020  

0.88%, 9/3/30

     105,000        100,965  
     

 

 

 
Total Germany

 

     748,519  

TOTAL FOREIGN GOVERNMENT AGENCIES

(Cost: $1,395,786)

 

 

     1,415,748  
FOREIGN GOVERNMENT OBLIGATIONS – 1.0%

 

Canada – 0.0%

 

Canada Government International Bond
2.00%, 11/15/22

     20,000        20,447  

 

See Notes to Financial Statements.

 

WisdomTree Trust      71  


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  
Hungary – 0.0%

 

Hungary Government International Bond 5.38%, 2/21/23

   $ 50,000      $ 53,667  

5.38%, 3/25/24

     18,000        20,173  
     

 

 

 
Total Hungary

 

     73,840  
Indonesia – 0.1%

 

Indonesia Government International Bond
3.50%, 2/14/50

     165,000        172,707  
Italy – 0.1%

 

Republic of Italy Government International Bond
5.38%, 6/15/33

     136,000        174,854  
Mexico – 0.1%

 

Mexico Government International Bond 4.00%, 10/2/23

     31,000        33,391  

6.75%, 9/27/34, Series MTNA

     25,000        33,879  

5.75%, 10/12/2110

     168,000        205,506  
     

 

 

 
Total Mexico

 

     272,776  
Panama – 0.2%

 

Panama Government International Bond 8.88%, 9/30/27

     219,000        303,503  

6.70%, 1/26/36

     50,000        68,728  
     

 

 

 
Total Panama

 

     372,231  
Peru – 0.1%

 

Peruvian Government International Bond 4.13%, 8/25/27

     144,000        162,323  

2.78%, 1/23/31

     50,000        51,182  

8.75%, 11/21/33

     25,000        39,428  

5.63%, 11/18/50

     50,000        69,769  
     

 

 

 
Total Peru

 

     322,702  
Philippines – 0.2%

 

Philippine Government International Bond 7.75%, 1/14/31

     100,000        148,366  

3.95%, 1/20/40

     200,000        228,130  
     

 

 

 
Total Philippines

 

     376,496  
Poland – 0.1%

 

Republic of Poland Government International Bond
3.00%, 3/17/23

     99,000        103,177  

3.25%, 4/6/26

     72,000        79,481  
     

 

 

 
Total Poland

 

     182,658  
Uruguay – 0.1%

 

Uruguay Government International Bond 5.10%, 6/18/50

     53,000        70,966  

4.98%, 4/20/55

     124,000        163,746  
     

 

 

 
Total Uruguay

 

     234,712  

TOTAL FOREIGN GOVERNMENT OBLIGATIONS

(Cost: $2,095,091)

 

 

     2,203,423  
SUPRANATIONAL BONDS – 1.5%

 

Asian Development Bank
2.75%, 3/17/23

     9,000        9,358  

1.50%, 10/18/24

     275,000        283,673  

2.00%, 1/22/25

   5,000      5,246  

0.63%, 4/29/25

     150,000        150,198  

0.50%, 2/4/26

     300,000        296,862  

2.50%, 11/2/27

     20,000        21,779  

Asian Infrastructure Investment Bank (The)
2.25%, 5/16/24

     200,000        209,870  

Corporacion Andina de Fomento
3.25%, 2/11/22

     50,000        50,641  

European Investment Bank
2.25%, 3/15/22

     14,000        14,162  

2.50%, 3/15/23

     291,000        301,403  

0.25%, 9/15/23

     250,000        249,993  

3.25%, 1/29/24

     14,000        14,977  

0.38%, 12/15/25

     15,000        14,804  

2.13%, 4/13/26

     25,000        26,566  

2.38%, 5/24/27

     94,000        101,547  

4.88%, 2/15/36

     25,000        35,213  

Inter-American Development Bank
1.75%, 9/14/22

     141,000        143,360  

2.50%, 1/18/23

     9,000        9,292  

1.75%, 3/14/25

     65,000        67,683  

0.63%, 7/15/25

     200,000        200,006  

3.88%, 10/28/41

     80,000        104,885  

3.20%, 8/7/42

     25,000        29,752  

International Bank for Reconstruction & Development
2.13%, 2/13/23

     5,000        5,142  

2.50%, 11/25/24, Series GDIF

     114,000        121,321  

2.13%, 3/3/25, Series GDIF

     50,000        52,719  

0.63%, 4/22/25

     250,000        250,405  

2.50%, 7/29/25, Series GDIF

     184,000        197,235  

0.50%, 10/28/25

     10,000        9,930  

2.50%, 11/22/27, Series GDIF

     154,000        167,889  

International Finance Corp.
1.38%, 10/16/24

     60,000        61,652  

TOTAL SUPRANATIONAL BONDS

(Cost: $3,167,931)

 

 

     3,207,563  
COMMERCIAL MORTGAGE-BACKED SECURITIES – 2.0%

 

United States – 2.0%

 

Banc of America Commercial Mortgage Trust

     

3.17%, 7/15/49, Series 2016-UB10, Class A4

     100,000        108,073  

Bank

     

2.85%, 10/17/52, Series 2019-BN21, Class A5

     75,000        81,048  

3.44%, 9/15/60, Series 2017-BNK7, Class A5

     105,000        116,456  

2.40%, 1/15/63, Series 2020-BN25, Class A4

     150,000        156,710  

2.14%, 3/15/63, Series 2020-BN28, Class AS

     100,000        101,039  

Benchmark Mortgage Trust

     

2.91%, 9/15/43, Series 2020-IG1, Class AS^(c)

     60,000        64,272  

4.02%, 3/15/52, Series 2019-B9, Class A5

     60,000        69,191  

 

See Notes to Financial Statements.

 

72   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

Commercial Mortgage Trust

     

3.60%, 5/10/47, Series 2014-CR17, Class ASB

   $ 29,452      $ 30,506  

3.21%, 3/10/48, Series 2015-CR22, Class A3

     95,000        95,746  

3.63%, 10/10/48, Series 2015-CR26, Class A4

     250,000        274,190  

CSAIL Commercial Mortgage Trust

     

4.10%, 4/15/51, Series 2018-CX11, Class A3

     100,000        108,355  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates
2.87%, 12/25/21, Series K017, Class A2

     41,304        41,418  

2.48%, 3/25/25, Series K049, Class A1

     10,177        10,488  

3.75%, 8/25/25, Series K733, Class A2

     100,000        109,894  

3.00%, 12/25/25, Series K053, Class A2

     200,000        216,831  

2.62%, 8/25/26, Series K057, Class AM

     100,000        107,104  

3.43%, 1/25/27, Series K063, Class A2^(c)

     70,000        78,270  

3.69%, 1/25/29, Series K088, Class A2

     115,000        133,370  

2.52%, 10/25/29, Series K101, Class A2

     50,000        54,393  

3.99%, 8/25/33, Series K157, Class A3^(c)

     70,000        85,419  

1.24%, 1/25/35, Series K-1516, Class A1

     294,922        287,318  

Federal National Mortgage Association Alternative Credit Enhancement Securities

     

3.19%, 7/25/23, Series 2014-M1, Class A2^(c)

     68,115        70,283  

2.49%, 5/25/26, Series 2016-M6, Class A2

     57,210        61,014  

2.56%, 12/25/26, Series 2017-M3, Class A2^(c)

     44,502        47,651  

3.15%, 3/25/28, Series 2018-M4, Class A2^(c)

     24,046        26,727  

2.44%, 10/25/29, Series 2020-M1, Class A2

     200,000        216,841  

3.09%, 2/25/30, Series 2018-M3, Class A1^(c)

     18,280        19,703  

1.78%, 5/25/30, Series 2020-M14, Class A2

     125,000        128,544  

3.61%, 2/25/31, Series 2019-M4, Class A2

     250,000        294,529  

GS Mortgage Securities Trust

     

3.00%, 9/1/52, Series 2019-GC42, Class A4

     50,000        54,325  

2.66%, 2/13/53, Series 2020-GC45, Class A4

     100,000        106,060  

JPMBB Commercial Mortgage Securities Trust

     

4.08%, 2/15/47, Series 2014-C18, Class A5

     50,000        53,541  

Morgan Stanley Bank of America Merrill Lynch Trust

     

3.10%, 5/15/46, Series 2013-C9, Class A4

     105,000        108,991  

3.60%, 5/15/50, Series 2017-C33, Class A5

     250,000        277,970  

Morgan Stanley Capital I Trust

     

3.52%, 7/15/52, Series 2019-H7, Class AS

     100,000        110,375  

UBS Commercial Mortgage Trust

     

4.30%, 8/15/51, Series 2018-C12, Class A5

   50,000      58,139  

4.08%, 12/15/51, Series 2018-C15, Class A3

     50,000        56,506  

Wells Fargo Commercial Mortgage Trust

     

3.79%, 9/15/48, Series 2015-SG1, Class A4

     98,674        106,710  

3.64%, 3/15/50, Series 2017-RB1, Class A5

     68,000        75,840  

2.40%, 7/15/53, Series 2020-C58, Class AS

     100,000        102,200  

WFRBS Commercial Mortgage Trust

     

4.02%, 12/15/46, Series 2013-C17, Class A4

     100,000        106,701  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES

(Cost: $4,312,033)

 

 

     4,412,741  
MUNICIPAL BONDS – 0.6%

 

United States – 0.6%

 

Bay Area Toll Authority
7.04%, 4/1/50, Series S1-SUB

     25,000        45,175  

Chicago Transit Authority Sales & Transfer Tax Receipts Revenue
6.90%, 12/1/40, Series B

     50,000        72,404  

City of Houston, TX
3.96%, 3/1/47

     100,000        120,744  

New Jersey Transportation Trust Fund Authority
5.75%, 12/15/28, Series C

     45,000        54,138  

New York City Water & Sewer System
5.44%, 6/15/43

     100,000        149,281  

Port Authority of New York & New Jersey 5.65%, 11/1/40

     100,000        143,564  

4.81%, 10/15/65, Series 192

     25,000        35,762  

Port of Morrow, OR
2.54%, 9/1/40

     20,000        20,376  

Sales Tax Securitization Corp.
3.82%, 1/1/48

     150,000        169,972  

State of California
7.55%, 4/1/39

     190,000        327,098  

State of Mississippi
5.25%, 11/1/34

     75,000        97,884  

Texas Transportation Commission
2.56%, 4/1/42

     20,000        20,288  

Texas Transportation Commission State Highway Fund
5.18%, 4/1/30, Series B-BUILD

     50,000        62,008  

4.00%, 10/1/33

     20,000        24,492  

University of California
3.35%, 7/1/29, Series BD

     10,000        11,384  

TOTAL MUNICIPAL BONDS

(Cost: $1,274,733)

 

 

     1,354,570  

 

See Notes to Financial Statements.

 

WisdomTree Trust      73  


Table of Contents

Schedule of Investments (continued)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  
ASSET-BACKED SECURITIES – 0.4%

 

United States – 0.4%

 

BMW Vehicle Owner Trust

     

2.51%, 6/25/24, Series 2018-A, Class A4

   $ 4,933      $ 4,960  

CarMax Auto Owner Trust

     

2.64%, 6/15/23, Series 2018-1, Class A4

     29,000        29,206  

1.89%, 12/16/24, Series 2020-1, Class A3

     5,000        5,075  

Ford Credit Auto Lease Trust

     

2.22%, 10/15/22, Series 2019-B, Class A3

     4,419        4,426  

Ford Credit Auto Owner Trust

     

1.04%, 8/15/24, Series 2020-A, Class A3

     60,000        60,367  

GM Financial Consumer Automobile Receivables Trust

     

2.46%, 7/17/23, Series 2018-1, Class A4

     13,955        13,990  

2.65%, 2/16/24, Series 2019-2, Class A3

     8,525        8,605  

1.49%, 12/16/24, Series 2020-2, Class A3

     50,000        50,503  

Honda Auto Receivables Owner Trust

     

1.83%, 1/18/24, Series 2019-4, Class A3

     46,608        47,060  

0.82%, 7/15/24, Series 2020-2, Class A3

     26,000        26,152  

Santander Drive Auto Receivables Trust 0.48%, 7/15/24, Series 2020-4, Class A3

     75,000        75,081  

World Omni Auto Receivables Trust

     

0.82%, 1/15/26, Series 2020-B, Class A4

     500,000        504,666  

TOTAL ASSET-BACKED SECURITIES

(Cost: $830,026)

 

 

     830,091  
REPURCHASE AGREEMENT – 7.2%

 

United States – 7.2%

 

Citigroup, Inc., tri-party repurchase agreement dated 8/31/21 (tri-party custodian: The Bank of New York Mellon Corp.), 0.06% due 9/1/21; Proceeds at maturity – $15,426,526 (fully collateralized by Freddie Mac Pool, 1.50% – 4.00% due 8/1/51; Market value including accrued interest – $16,198,430)

     
(Cost: $15,426,500)      15,426,500        15,426,500  
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 0.4%

 

United States – 0.4%

 

State Street Navigator Securities Lending Government Money Market Portfolio, 0.03%(e)

     
(Cost: $878,573)      878,573      878,573  

TOTAL INVESTMENTS IN SECURITIES – 106.1%

(Cost: $222,629,900)

 

 

     228,538,492  

Other Assets less Liabilities – (6.1)%

 

     (13,208,899
  

 

 

 
NET ASSETS – 100.0%

 

   $ 215,329,593  

 

^ 

Variable coupon rate based on weighted average interest rate of underlying mortgage.

 

(a) 

To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing.

 

(b) 

Security, or portion thereof, was on loan at August 31, 2021 (See Note 2). At August 31, 2021, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $1,200,542 and the total market value of the collateral held by the Fund was $1,235,966. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $357,393.

 

(c) 

Rate shown reflects the accrual rate as of August 31, 2021 on securities with variable or step rates.

 

(d) 

This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers.

 

(e) 

Rate shown represents annualized 7-day yield as of August 31, 2021.

 

See Notes to Financial Statements.

 

74   WisdomTree Trust


Table of Contents

Schedule of Investments (concluded)

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)

August 31, 2021

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FUTURES CONTRACTS (EXCHANGE-TRADED)  
Short Exposure   Contracts     Expiration
Date
    Notional
Value
    Unrealized
Appreciation/
(Depreciation)
 

2 Year U.S. Treasury Note

    300       12/31/21     $ (66,098,438   $ (24,493

5 Year U.S. Treasury Note

    851       12/31/21       (105,284,656     (182,470

U.S. Treasury Ultra Long Term Bond

    140       12/21/21       (27,619,375     (57,000

Ultra 10 Year U.S. Treasury Note

    216       12/21/21       (31,971,375     (152,078
      $ (230,973,844   $ (416,041

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of August 31, 2021 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

  

U.S. Government Agencies

   $      $ 60,781,839      $      $ 60,781,839  

U.S. Government Obligations

            81,243,777               81,243,777  

U.S. Corporate Bonds

            49,528,882               49,528,882  

Foreign Corporate Bonds

            7,254,785               7,254,785  

Foreign Government Agencies

            1,415,748               1,415,748  

Foreign Government Obligations

            2,203,423               2,203,423  

Supranational Bonds

            3,207,563               3,207,563  

Commercial Mortgage-Backed Securities

            4,412,741               4,412,741  

Municipal Bonds

            1,354,570               1,354,570  

Asset-Backed Securities

            830,091               830,091  

Repurchase Agreement

            15,426,500               15,426,500  

Investment of Cash Collateral for Securities Loaned

            878,573               878,573  

Total Investments in Securities

   $      $ 228,538,492      $      $ 228,538,492  

Liabilities:

 

     

Financial Derivative Instruments

  

Futures Contracts1

   $ (416,041    $      $      $ (416,041

Total – Net

   $ (416,041    $ 228,538,492      $      $ 228,122,451  
1 

Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

 

See Notes to Financial Statements.

 

WisdomTree Trust      75  


Table of Contents

Schedule of Investments

WisdomTree Mortgage Plus Bond Fund (MTGP)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  
ASSET-BACKED SECURITIES – 1.5%

 

United States – 1.5%

 

Navient Private Education Refi Loan Trust
3.90%, 1/15/43, Series 2019-A, Class B(a)

   $ 284,000      $ 295,143  

Sofi Consumer Loan Program Trust
3.65%, 2/25/27, Series 2018-1, Class B(a)

     129,074        130,543  

3.79%, 4/26/27, Series 2018-2, Class B(a)

     132,555        133,518  

4.02%, 8/25/27, Series 2018-3, Class B(a)

     57,609        58,218  

TOTAL ASSET-BACKED SECURITIES

(Cost: $618,419)

 

 

     617,422  
COLLATERALIZED LOAN OBLIGATIONS – 5.3%

 

Cayman Islands – 4.7%

 

Apidos XXXVI

     

1.00%, 7/20/34, Series 2021-36A, Class C (3-month U.S. dollar London Interbank Offered Rate + 2.000%)(a)(b)

     350,000        350,210  

Ares XLVII Ltd.

     

1.88%, 4/15/30, Series 2018-47A, Class C, (3-month U.S. dollar London Interbank Offered Rate + 1.75%)(a)(b)

     400,000        400,202  

LCM 28 Ltd.

     

2.28%, 10/20/30, Series 28A, Class C, (3-month U.S. dollar London Interbank Offered Rate + 2.15%)(a)(b)

     400,000        400,241  

Neuberger Berman Loan Advisers Ltd.

     

1.83%, 1/20/32, Series 2019-32A, Class CR, (3-month U.S. dollar London Interbank Offered Rate + 1.70%)(a)(b)

     500,000        500,254  

TCW Ltd.

     

2.53%, 4/25/31, Series 2018-1A, Class B2R2, (3-month U.S. dollar London Interbank Offered Rate + 2.40%)(a)(b)

     250,000        250,237  
     

 

 

 
Total Cayman Islands

 

     1,901,144  
Morocco – 0.6%

 

OCP S.A.

     

1.21%, 4/26/31, Series 2014-5A, Class A1R, (3-month U.S. dollar London Interbank Offered Rate + 1.08%)(a)(b)

     250,000        250,276  

TOTAL COLLATERALIZED LOAN OBLIGATIONS

(Cost: $2,110,780)

 

 

     2,151,420  
COLLATERALIZED MORTGAGE OBLIGATIONS – 43.3%

 

CSMC Trust

     

3.90%, 10/25/44, Series 2014-WIN2, Class B1^(a)(b)

     164,821        167,867  

Federal Home Loan Mortgage Corp. REMIC 6.00%, 2/15/22, Series 2416, Class PG

     13,414        13,517  

6.00%, 2/15/22, Series 2418, Class MB

     2,418        2,433  

7.40%, 5/15/23, Series 1517, Class J

     8,351        8,643  

4.50%, 7/15/25, Series 3000, Class BC

     32,699        34,109  

4.00%, 5/15/28, Series 4669, Class EV

     196,875        205,912  

6.00%, 7/15/29, Series 2175, Class TH

     49,935        55,905  

6.00%, 5/15/32, Series 2448, Class ZQ

     67,559        76,151  

3.00%, 8/15/32, Series 4092, Class AY

     200,000        216,398  

6.00%, 8/15/32, Series 2485, Class WG

     22,289        25,705  

5.00%, 11/15/32, Series 2519, Class NU

     917,663        1,010,219  

5.50%, 11/15/32, Series 2519, Class ZD

   8,501      9,651  

5.50%, 11/15/32, Series 2520, Class PH

     160,336        184,254  

2.50%, 1/15/33, Series 4332, Class CU

     168,365        170,913  

0.55%, 6/15/34, Series 2812, Class MF, (1-month U.S. dollar London Interbank Offered Rate + 0.450%)^(b)

     196,148        198,139  

5.50%, 9/15/34, Series 2861, Class Z

     10,755        12,604  

5.00%, 11/15/34, Series 2893, Class PE

     47,900        54,300  

6.00%, 11/15/36, Series 3244, Class LZ

     262        300  

0.41%, 3/15/37, Series 3284, Class LF, (1-month U.S. dollar London Interbank Offered Rate + 0.310%)^(b)

     546,812        550,117  

5.00%, 1/15/40, Series 3626, Class ME

     467,000        532,209  

5.00%, 4/15/40, Series 3658, Class CZ

     369,665        448,969  

4.00%, 1/15/41, Series 4179, Class AZ

     598,514        655,426  

3.50%, 5/15/41, Series 4229, Class MA

     80,239        84,132  

3.00%, 12/15/41, Series 4273, Class GM

     91,151        95,319  

2.00%, 1/15/42, Series 4112, Class CP

     27,222        27,866  

4.50%, 9/15/42, Series 4671, Class JM

     128,183        133,966  

3.50%, 3/15/43, Series 4402, Class PE

     12,851        13,047  

3.00%, 5/15/43, Series 4322, Class DJ

     110,468        114,042  

3.00%, 6/15/44, Series 4483, Class CA

     258,921        271,305  

2.25%, 8/15/44, Series 4406, Class AC

     98,425        100,689  

3.50%, 9/15/46, Series 4774, Class LP

     109,845        114,141  

3.00%, 4/25/49, Series 4908, Class BD

     381,280        394,691  

Federal Home Loan Mortgage Corp. STRIPS
3.00%, 9/15/42, Series 280, Class 30

     414,098        445,002  

Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes

     

2.38%, 9/25/30, Series 2018-HQA1, Class M2, (1-month U.S. dollar London Interbank Offered Rate + 2.30%)^(b)

     154,381        156,533  

Federal National Mortgage Association REMIC 6.68%, 1/25/23, Series G93-1, Class K

     4,323        4,420  

6.00%, 8/25/23, Series 1996-8, Class C

     6,492        6,663  

6.50%, 9/25/23, Series 1993-169, Class L

     11,754        12,350  

3.50%, 8/25/26, Series 2011-80, Class HE

     268,164        281,443  

2.00%, 11/25/30, Series 2015-93, Class AD

     164,213        170,351  

6.50%, 10/25/31, Series 2001-52, Class YZ

     1,340        1,571  

3.00%, 6/25/33, Series 2014-36, Class QA

     70,464        73,635  

4.00%, 8/25/33, Series 2014-58, Class VM

     100,000        106,622  

4.50%, 10/25/34, Series 2004-75, Class ZG

     7,879        8,792  

0.33%, 5/25/35, Series 2005-40, Class FB, (1-month U.S. dollar London Interbank Offered Rate + 0.250%)^(b)

     104,144        103,791  

4.75%, 8/25/35, Series 2005-80, Class SZ

     106,754        123,218  

6.00%, 7/25/36, Series 2006-62, Class PZ

     131,371        199,080  

4.50%, 10/25/36, Series 2009-19, Class PW

     40,908        45,827  

0.33%, 12/25/36, Series 2006-120, Class PF, (1-month U.S. dollar London Interbank Offered Rate + 0.250%)^(b)

     100,664        100,226  

5.50%, 2/25/37, Series 2007-6, Class PA

     17,648        19,283  

4.25%, 4/25/37, Series 2007-30, Class ZM

     252,549        306,792  

5.00%, 4/25/37, Series 2007-26, Class JZ

     261,486        295,491  

5.00%, 3/25/38, Series 2008-16, Class EA

     7,667        8,733  

6.00%, 8/25/39, Series 2009-62, Class Z

     265,664        322,556  

5.00%, 11/25/39, Series 2009-89, Class PH

     118,000        137,300  

 

See Notes to Financial Statements.

 

76   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Mortgage Plus Bond Fund (MTGP)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

5.00%, 7/25/40, Series 2010-80, Class PZ

   $ 261,860      $ 311,505  

5.00%, 9/25/40, Series 2010-102, Class PN

     173,762        197,393  

1.75%, 11/25/40, Series 2012-51, Class GU

     400,000        412,158  

3.00%, 2/25/41, Series 2011-134, Class NJ

     106,338        110,051  

2.50%, 5/25/41, Series 2012-131, Class DZ

     42,922        43,755  

5.00%, 6/25/41, Series 2011-52, Class GB

     188,837        215,825  

2.50%, 9/25/41, Series 2011-127, Class JC

     42,034        42,590  

5.25%, 9/25/41, Series 2011-84, Class PZ

     337,705        398,868  

3.00%, 3/25/42, Series 2016-21, Class BA

     100,212        101,690  

1.75%, 6/25/42, Series 2013-37, Class JA

     226,888        230,096  

2.50%, 11/25/42, Series 2012-152, Class TB

     231,000        247,506  

3.00%, 2/25/43, Series 2013-1, Class JZ

     109,165        115,377  

3.00%, 3/25/44, Series 2015-42, Class CA

     268,935        276,268  

3.00%, 4/25/45, Series 2015-23, Class HZ

     484,794        521,887  

3.00%, 3/25/46, Series 2016-9, Class D

     206,040        218,231  

2.50%, 9/25/46, Series 2016-63, Class CA

     100,975        101,710  

Government National Mortgage Association 5.00%, 7/16/33, Series 2003-60, Class ZG

     62,316        69,549  

5.00%, 6/20/35, Series 2005-46, Class YX

     154,880        180,439  

5.50%, 4/20/37, Series 2007-24, Class PC

     75,927        81,511  

5.50%, 5/20/38, Series 2008-42, Class QB

     76,233        87,396  

2.00%, 8/20/39, Series 2011-52, Class KY

     86,390        88,272  

4.50%, 9/16/40, Series 2010-125, Class BZ, REMIC

     311,954        341,904  

3.00%, 7/16/41, Series 2011-135, Class WH

     170,628        176,142  

4.00%, 3/20/44, Series 2014-43, Class Z

     605,116        725,891  

3.75%, 4/16/44, Series 2014-60, Class AL

     250,000        282,511  

3.00%, 11/20/45, Series 2015-165, Class ZE

     118,802        130,822  

GS Mortgage-Backed Securities Trust

     

3.50%, 5/25/50, Series 2020-PJ1, Class A6^(a)(b)

     14,575        14,574  

JP Morgan Mortgage Trust

     

3.59%, 5/25/45, Series 2015-3, Class B3^(a)(b)

     154,858        157,339  

3.92%, 12/25/48, Series 2018-6, Class B2^(a)(b)

     276,664        283,488  

3.45%, 5/25/50, Series 2019-9, Class B2A^(a)(b)

     290,240        300,136  

4.43%, 5/25/50, Series 2019-INV3, Class B3^(a)(b)

     224,489        233,671  

3.73%, 11/25/50, Series 2020-4, Class B2^(a)(b)

     292,891        302,021  

3.65%, 12/25/50, Series 2020-5, Class B1^(a)(b)

     244,315        254,804  

Provident Funding Mortgage Trust

     

3.27%, 2/25/50, Series 2020-1, Class B1^(a)(b)

     386,922        399,582  

RCKT Mortgage Trust

     

3.00%, 2/25/50, Series 2020-1, Class A13^(a)(b)

     263,447        267,422  

Seasoned Loans Structured Transaction Trust
2.75%, 9/25/29, Series 2019-2, Class A2C

     455,000        477,586  

Sequoia Mortgage Trust

     

4.00%, 2/25/48, Series 2018-CH1, Class A1^(a)(b)

   50,671      51,461  

Verus Securitization Trust

     

2.99%, 5/25/60, Series 2020-2, Class A2^(a)(b)

     300,000        305,988  

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS

(Cost: $17,621,464)

 

 

     17,670,037  
COMMERCIAL MORTGAGE-BACKED SECURITIES – 4.9%

 

United States – 4.9%

 

Bank

     

2.90%, 8/15/31, Series 2021-BN35, Class C^(b)

     350,000        358,506  

1.46%, 11/15/53, Series 2020-BN29, Class XA^(b)(c)

     4,475,348        456,362  

Benchmark Mortgage Trust

     

2.50%, 12/15/62, Series 2019-B14, Class D(a)

     380,000        353,344  

Cantor Commercial Real Estate Lending

     

2.50%, 1/15/53, Series 2019-CF3, Class D^(a)(b)

     250,000        224,868  

Washington State Housing Finance Commission

     

0.73%, 12/20/35, Series 2021-1, Class X^(b)(c)

     6,278,184        391,256  

WFRBS Commercial Mortgage Trust

     

4.23%, 8/15/47, Series 2014-C21, Class C^(b)

     200,000        202,917  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES

(Cost: $1,959,658)

 

 

     1,987,253  
U.S. GOVERNMENT AGENCIES – 44.4%

 

Federal Home Loan Mortgage Corporation – 2.7%

 

4.00%, 1/1/42

     297,462        329,235  

3.50%, 8/1/46

     316,615        342,625  

3.50%, 9/1/47

     395,524        428,398  
     

 

 

 
Total Federal Home Loan Mortgage Corporation

 

     1,100,258  
Federal National Mortgage Association – 7.3%

 

4.00%, 11/1/43

     364,566        402,377  

4.00%, 5/1/47

     305,344        336,463  

4.00%, 12/1/47

     315,218        347,449  

4.00%, 10/1/48

     1,124,913        1,238,094  

4.00%, 4/1/55

     481,757        549,768  

4.50%, 6/1/56

     96,270        108,917  
     

 

 

 
Total Federal National Mortgage Association

 

     2,983,068  
Government National Mortgage Association – 17.6%

 

3.50%, 7/20/47

     600,436        649,347  

4.50%, 5/20/49

     118,711        126,493  

2.50%, 9/21/51(d)

     2,000,000        2,074,219  

2.50%, 10/21/51(d)

     1,690,000        1,749,260  

3.00%, 10/21/51(d)

     2,450,000        2,557,283  
     

 

 

 
Total Government National Mortgage Association

 

     7,156,602  

 

See Notes to Financial Statements.

 

WisdomTree Trust      77  


Table of Contents

Schedule of Investments (concluded)

WisdomTree Mortgage Plus Bond Fund (MTGP)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  
Uniform Mortgage-Backed Securities – 16.8%

 

2.00%, 10/14/51(d)

   $ 3,288,000      $ 3,326,921  

2.50%, 10/14/51(d)

     3,393,000        3,517,591  
     

 

 

 
Total Uniform Mortgage-Backed Securities

 

     6,844,512  

TOTAL U.S. GOVERNMENT AGENCIES

(Cost: $17,934,022)

 

 

     18,084,440  

TOTAL INVESTMENTS IN SECURITIES – 99.4%

(Cost: $40,244,343)

 

 

     40,510,572  

Other Assets less Liabilities – 0.6%

 

     242,978  
  

 

 

 
NET ASSETS – 100.0%

 

   $ 40,753,550  

 

^ 

Variable coupon rate based on weighted average interest rate of underlying mortgage.

 

(a) 

This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers.

 

(b) 

Rate shown reflects the accrual rate as of August 31, 2021 on securities with variable or step rates.

 

(c) 

Interest-only security. The principal amount shown is a notional amount representing the outstanding principal of the underlying debt obligation(s). Holders of interest-only securities do not receive principal payments on the underlying debt obligation(s).

 

(d) 

To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing.

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FUTURES CONTRACTS (EXCHANGE-TRADED)  
Short Exposure   Contracts     Expiration
Date
    Notional
Value
    Unrealized
Appreciation/
(Depreciation)
 

5 Year U.S. Treasury Note

    2       12/31/21     $ (247,438   $ (672

10 Year U.S. Treasury Note

    15       12/21/21       (2,001,797     (6,230
      $ (2,249,235   $ (6,902
Long Exposure  

2 Year U.S. Treasury Note

    5       12/31/21     $ 1,101,641     $ 781  
      $ 1,101,641     $ 781  

Total – Net

 

  $ (1,147,594   $ (6,121

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of August 31, 2021 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

        

Investments in Securities

           

Asset-Backed Securities

   $      $ 617,422      $      $ 617,422  

Collateralized Loan Obligations

            2,151,420               2,151,420  

Collateralized Mortgage Obligations

            17,670,037               17,670,037  

Commercial Mortgage-Backed Securities

            1,987,253               1,987,253  

U.S. Government Agencies

            18,084,440               18,084,440  

Total Investments in Securities

   $      $ 40,510,572      $      $ 40,510,572  

Financial Derivative Instruments

           

Futures Contracts1

   $ 781      $      $      $ 781  

Liabilities:

           

Financial Derivative Instruments

           

Futures Contracts1

   $ (6,902    $      $      $ (6,902

Total – Net

   $ (6,121    $ 40,510,572      $      $ 40,504,451  
1 

Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

 

See Notes to Financial Statements.

 

78   WisdomTree Trust


Table of Contents

Schedule of Investments

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  
U.S. GOVERNMENT AGENCIES – 45.3%      
Federal Farm Credit Bank – 0.5%      

2.02%, 4/1/31

   $ 2,000,000      $ 2,018,760  

1.79%, 6/22/35

     500,000        489,845  

1.65%, 7/23/35

     1,500,000        1,450,200  

1.95%, 8/13/40

     1,500,000        1,446,300  
     

 

 

 
Total Federal Farm Credit Bank               5,405,105  
Federal Home Loan Bank – 0.9%      

3.25%, 11/16/28

     1,200,000        1,374,576  

5.50%, 7/15/36

     5,900,000        8,830,412  
     

 

 

 
Total Federal Home Loan Bank               10,204,988  
Federal Home Loan Mortgage Corporation – 7.5%

 

  

6.75%, 9/15/29, Series GDIF

     280,000        402,702  

2.50%, 4/1/30

     2,182,581        2,286,592  

3.00%, 5/1/30

     663,254        698,832  

6.75%, 3/15/31

     5,500,000        8,144,070  

6.25%, 7/15/32

     13,109,000        19,481,416  

3.00%, 1/1/33

     1,699,449        1,794,464  

3.00%, 5/1/33

     2,312,705        2,438,086  

4.00%, 11/1/33

     51,523        54,767  

5.50%, 12/1/33

     305,465        350,582  

6.50%, 3/1/36

     204,624        236,803  

5.00%, 6/1/37

     1,749        1,996  

6.00%, 9/1/37

     167,023        194,370  

5.50%, 2/1/40

     6,773        7,843  

4.50%, 8/1/40

     128,953        143,971  

4.00%, 11/1/40

     10,161        11,177  

5.00%, 3/1/41

     209,764        239,486  

5.50%, 6/1/41

     200,480        231,763  

5.00%, 7/1/41

     5,839        6,666  

3.50%, 10/1/41

     344,595        372,960  

3.50%, 2/1/42

     142,090        153,820  

5.00%, 2/1/42

     282,901        322,052  

4.00%, 4/1/42

     501,332        553,114  

4.50%, 5/1/42

     205,189        228,891  

3.50%, 6/1/42

     35,106        37,965  

3.50%, 8/1/42

     162,954        176,221  

3.50%, 9/1/42

     205,355        222,072  

3.00%, 3/1/43

     286,804        305,435  

3.00%, 4/1/43

     182,510        194,366  

3.00%, 7/1/43

     740,059        799,343  

3.50%, 7/1/43

     235,833        255,293  

3.00%, 8/1/43

     55,516        59,122  

4.00%, 8/1/43

     19,685        21,602  

3.50%, 1/1/44

     1,221,635        1,322,274  

3.00%, 2/1/44

     133,840        142,544  

3.50%, 2/1/44

     97,333        105,364  

4.00%, 3/1/44

     35,690        39,080  

4.00%, 4/1/44

     362,541        399,021  

3.50%, 5/1/44

     144,906        156,045  

4.00%, 5/1/44

     134,144        146,885  

4.50%, 5/1/44

     7,794        8,683  

3.50%, 7/1/44

     40,588        43,709  

4.50%, 7/1/44

     111,632        124,360  

4.00%, 8/1/44

     453,459        505,506  

3.50%, 10/1/44

     14,897        16,043  

4.50%, 11/1/44

     108,120        120,452  

3.50%, 12/1/44

   193,906      208,816  

3.50%, 1/1/45

     39,000        41,998  

4.00%, 2/1/45

     73,094        79,606  

4.00%, 3/1/45

     8,643        9,413  

3.00%, 4/1/45

     12,960        13,715  

4.00%, 4/1/45

     43,405        47,267  

3.00%, 5/1/45

     53,361        56,490  

3.50%, 5/1/45

     85,806        91,991  

3.50%, 6/1/45

     42,581        45,640  

4.00%, 6/1/45

     123,350        134,339  

3.00%, 7/1/45

     14,100        14,923  

3.00%, 8/1/45

     59,374        62,856  

3.50%, 8/1/45

     577,705        625,019  

4.00%, 9/1/45

     71,605        77,975  

3.50%, 10/1/45

     85,193        91,335  

4.00%, 10/1/45

     75,359        82,073  

3.50%, 11/1/45

     42,765        45,848  

4.00%, 11/1/45

     59,953        65,294  

4.50%, 11/1/45

     492,438        548,523  

3.00%, 12/1/45

     55,524        58,780  

4.50%, 12/1/45

     163,997        182,703  

4.00%, 1/1/46

     19,255        21,231  

4.00%, 2/1/46

     99,843        108,735  

4.00%, 3/1/46

     77,037        83,577  

3.00%, 4/1/46

     260,937        275,849  

3.50%, 4/1/46

     399,160        425,871  

4.50%, 4/1/46

     427,814        476,489  

3.50%, 5/1/46

     135,458        144,507  

3.00%, 6/1/46

     59,395        62,810  

3.50%, 6/1/46

     137,297        146,457  

3.00%, 9/1/46

     1,300,837        1,378,940  

3.50%, 9/1/46

     108,641        115,889  

2.50%, 10/1/46

     61,647        64,519  

3.00%, 10/1/46

     71,226        76,422  

3.50%, 10/1/46

     43,839        46,764  

3.00%, 11/1/46

     548,773        580,135  

3.50%, 11/1/46

     15,291        16,310  

4.00%, 11/1/46

     29,888        32,424  

4.50%, 11/1/46

     310,067        345,433  

3.00%, 12/1/46

     241,371        255,165  

3.00%, 1/1/47

     428,592        453,139  

4.00%, 1/1/47

     129,989        141,019  

4.50%, 1/1/47

     401,963        447,744  

3.00%, 2/1/47

     370,198        391,395  

3.00%, 4/1/47

     527,728        557,929  

3.50%, 4/1/47

     237,945        252,667  

4.00%, 4/1/47

     95,669        102,893  

4.00%, 5/1/47

     77,407        83,252  

4.50%, 5/1/47

     19,650        21,488  

4.00%, 6/1/47

     117,998        126,908  

3.50%, 7/1/47

     118,012        125,320  

4.00%, 7/1/47

     210,890        226,879  

3.50%, 8/1/47

     123,146        130,772  

4.00%, 8/1/47

     445,566        479,433  

4.50%, 8/1/47

     109,374        119,607  

3.50%, 9/1/47

     290,580        308,575  

4.50%, 9/1/47

     141,108        154,309  

4.00%, 10/1/47

     364,380        392,007  

4.50%, 10/1/47

     57,481        62,859  

 

See Notes to Financial Statements.

 

WisdomTree Trust      79  


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

3.50%, 11/1/47

   $ 399,910      $ 424,659  

3.50%, 12/1/47

     206,768        219,573  

3.50%, 1/1/48

     109,415        116,182  

4.50%, 2/1/48

     86,569        94,668  

3.50%, 5/1/48

     162,042        171,988  

3.00%, 9/1/48

     389,222        411,465  

4.00%, 9/1/48

     83,784        89,696  

4.00%, 10/1/48

     477,634        517,944  

4.50%, 10/1/48

     216,114        233,640  

3.00%, 12/1/48

     82,596        87,223  

4.50%, 2/1/49

     952,646        1,040,823  

4.50%, 3/1/49

     38,324        41,432  

5.00%, 3/1/49

     22,132        24,206  

4.50%, 5/1/49

     136,941        148,014  

4.00%, 7/1/49

     722,879        794,949  

4.50%, 7/1/49

     153,986        166,438  

5.50%, 7/1/49

     150,405        167,572  

3.50%, 8/1/49

     489,965        523,970  

3.00%, 10/1/49

     765,706        810,909  

5.00%, 10/1/49

     1,321,399        1,445,969  

5.50%, 10/1/49

     231,894        258,536  

3.00%, 12/1/49

     764,195        807,731  

3.00%, 2/1/50

     550,195        581,189  

3.00%, 3/1/50

     408,024        431,711  

3.00%, 4/1/50

     2,344,027        2,467,077  

3.50%, 4/1/50

     722,326        763,681  

2.50%, 5/1/50

     686,107        717,941  

3.00%, 5/1/50

     91,299        95,522  

2.50%, 6/1/50

     1,723,134        1,792,515  

4.00%, 6/1/50

     841,890        904,034  

2.50%, 7/1/50

     323,793        338,106  

3.50%, 7/1/50

     849,587        898,641  

2.50%, 8/1/50

     1,427,639        1,483,837  

2.50%, 9/1/50

     1,515,692        1,574,526  

2.00%, 1/1/51

     952,390        966,093  

2.50%, 2/1/51

     916,017        951,604  

2.00%, 5/1/51

     490,651        497,726  

2.50%, 5/1/51

     488,531        507,829  

1.50%, 6/1/51

     2,326,689        2,287,409  
     

 

 

 
Total Federal Home Loan Mortgage Corporation

 

     81,235,162  
Federal National Mortgage Association – 14.0%

 

4.00%, 9/1/25

     815,364        867,307  

1.88%, 9/24/26

     60,000        63,257  

0.75%, 10/8/27

     60,000        59,154  

2.50%, 11/1/30

     325,803        342,639  

6.63%, 11/15/30

     1,945,000        2,826,513  

2.50%, 1/1/32

     789,955        827,568  

2.50%, 2/1/32

     135,034        141,623  

3.00%, 5/1/32

     229,405        242,192  

2.50%, 6/1/32

     954,305        1,000,874  

6.00%, 9/1/32

     157,023        181,895  

3.00%, 11/1/32

     226,547        239,175  

6.00%, 12/1/32

     309,888        348,790  

2.50%, 1/1/33

     335,300        351,113  

5.00%, 8/1/33

     248,717        281,759  

5.50%, 10/1/35

     32,115        36,991  

5.50%, 4/1/37

     294,938        339,143  

5.63%, 7/15/37

     3,405,000        5,238,763  

5.00%, 5/1/38

   10,411      11,879  

6.00%, 5/1/38

     28,691        33,706  

5.50%, 6/1/38

     84,055        96,980  

5.50%, 11/1/38

     2,086        2,413  

4.00%, 8/1/39

     59,566        65,513  

4.50%, 9/1/39

     349,331        390,056  

5.00%, 9/1/39

     173,180        197,295  

4.50%, 11/1/39

     87,524        97,727  

5.50%, 4/1/40

     12,470        14,357  

4.50%, 8/1/40

     194,145        216,696  

4.50%, 9/1/40

     125,206        139,748  

4.00%, 10/1/40

     102,864        113,116  

4.00%, 12/1/40

     22,738        25,287  

3.50%, 1/1/41

     182,579        197,579  

4.00%, 1/1/41

     18,777        20,648  

4.00%, 2/1/41

     538,543        592,339  

4.50%, 2/1/41

     58,142        64,895  

4.00%, 3/1/41

     428,810        471,697  

6.00%, 7/1/41

     434,950        510,287  

4.50%, 8/1/41

     153,171        170,836  

4.00%, 9/1/41

     48,968        53,848  

4.50%, 9/1/41

     191,415        213,649  

5.50%, 9/1/41

     45,532        52,641  

4.00%, 10/1/41

     677,763        759,514  

4.00%, 11/1/41

     93,008        102,310  

4.00%, 12/1/41

     80,673        89,739  

4.00%, 1/1/42

     150,936        166,509  

4.50%, 1/1/42

     139,790        156,027  

6.00%, 1/1/42

     259,049        304,376  

4.00%, 3/1/42

     205,686        226,820  

4.00%, 5/1/42

     23,626        25,980  

3.50%, 6/1/42

     276,615        299,092  

4.00%, 6/1/42

     348,795        383,679  

4.00%, 9/1/42

     243,277        273,411  

3.00%, 10/1/42

     313,934        336,876  

4.00%, 12/1/42

     82,934        91,228  

2.50%, 2/1/43

     182,893        191,624  

4.00%, 2/1/43

     135,951        149,500  

2.50%, 3/1/43

     15,727        16,478  

3.00%, 4/1/43

     500,595        533,007  

2.50%, 5/1/43

     60,533        63,341  

3.00%, 5/1/43

     128,830        137,171  

3.50%, 5/1/43

     31,950        34,577  

3.00%, 6/1/43

     301,664        325,700  

3.00%, 7/1/43

     451,844        488,741  

3.50%, 7/1/43

     1,117,346        1,222,985  

3.00%, 8/1/43

     1,722,552        1,855,933  

3.50%, 8/1/43

     686,089        744,272  

4.00%, 8/1/43

     37,863        41,523  

3.00%, 9/1/43

     2,396,467        2,551,632  

4.00%, 9/1/43

     248,598        273,923  

4.50%, 9/1/43

     20,923        23,353  

3.50%, 10/1/43

     156,653        169,533  

3.50%, 11/1/43

     248,274        268,448  

4.00%, 11/1/43

     292,240        325,083  

3.50%, 12/1/43

     337,602        365,035  

4.00%, 1/1/44

     465,314        516,064  

4.00%, 2/1/44

     127,007        140,329  

4.00%, 3/1/44

     103,578        114,162  

 

See Notes to Financial Statements.

 

80   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

4.50%, 5/1/44

   $ 95,698      $ 106,596  

3.50%, 6/1/44

     138,542        149,958  

4.00%, 6/1/44

     45,821        50,710  

4.00%, 7/1/44

     550,844        608,204  

3.50%, 8/1/44

     25,576        27,866  

4.00%, 8/1/44

     40,463        44,289  

4.00%, 9/1/44

     137,983        151,032  

3.00%, 10/1/44

     419,380        446,535  

4.00%, 11/1/44

     219,294        242,618  

5.00%, 11/1/44

     178,660        203,185  

4.00%, 12/1/44

     91,942        100,975  

3.00%, 1/1/45

     4,796        5,096  

3.50%, 2/1/45

     905,693        979,287  

4.00%, 2/1/45

     481,994        529,997  

4.50%, 2/1/45

     508,836        567,432  

3.00%, 4/1/45

     115,538        122,271  

3.00%, 5/1/45

     403,456        431,348  

3.00%, 6/1/45

     120,979        128,028  

3.50%, 6/1/45

     121,371        130,082  

4.00%, 6/1/45

     614,322        672,731  

3.50%, 7/1/45

     801,376        858,893  

3.50%, 8/1/45

     474,784        515,854  

3.50%, 9/1/45

     1,206,313        1,292,895  

4.00%, 9/1/45

     287,386        312,964  

3.00%, 10/1/45

     54,687        57,873  

3.50%, 10/1/45

     77,260        82,805  

4.00%, 10/1/45

     233,121        253,870  

4.50%, 10/1/45

     142,387        158,808  

3.00%, 11/1/45

     47,327        50,085  

3.50%, 11/1/45

     53,933        57,804  

4.00%, 11/1/45

     75,206        81,900  

3.00%, 12/1/45

     854,294        913,430  

3.50%, 12/1/45

     88,302        94,640  

3.50%, 1/1/46

     1,695,072        1,816,735  

4.00%, 1/1/46

     103,823        114,692  

3.00%, 2/1/46

     126,112        133,460  

3.50%, 2/1/46

     375,060        400,780  

3.50%, 3/1/46

     1,795,531        1,954,282  

4.00%, 3/1/46

     35,522        38,684  

3.00%, 4/1/46

     578,188        611,879  

3.50%, 4/1/46

     983,955        1,049,490  

3.50%, 5/1/46

     190,726        203,429  

4.50%, 5/1/46

     45,570        50,763  

3.00%, 6/1/46

     701,532        749,085  

3.50%, 6/1/46

     75,879        80,932  

3.50%, 7/1/46

     313,686        334,578  

4.00%, 7/1/46

     51,069        55,387  

2.50%, 8/1/46

     16,578        17,346  

3.00%, 8/1/46

     121,592        128,555  

2.50%, 9/1/46

     23,326        24,405  

3.00%, 9/1/46

     585,712        620,121  

4.00%, 9/1/46

     631,502        695,164  

2.50%, 10/1/46

     28,413        29,728  

3.00%, 10/1/46

     1,280,721        1,354,774  

4.00%, 10/1/46

     102,246        111,233  

2.50%, 11/1/46

     21,961        22,978  

3.00%, 11/1/46

     1,746,805        1,847,807  

2.50%, 12/1/46

     51,339        53,715  

3.00%, 12/1/46

     1,120,928        1,185,862  

3.50%, 12/1/46

   1,169,424      1,255,457  

2.50%, 1/1/47

     65,200        68,218  

3.00%, 1/1/47

     208,945        223,298  

3.50%, 1/1/47

     401,486        428,227  

4.50%, 1/1/47

     101,360        111,235  

5.50%, 1/1/47

     328,062        378,147  

3.00%, 2/1/47

     712,889        753,714  

3.50%, 2/1/47

     3,460,463        3,732,409  

4.00%, 2/1/47

     613,592        676,292  

4.50%, 3/1/47

     62,436        68,271  

3.00%, 4/1/47

     1,268,871        1,341,535  

4.00%, 4/1/47

     145,181        156,151  

4.50%, 4/1/47

     178,279        194,941  

3.00%, 5/1/47

     669,682        718,270  

3.50%, 5/1/47

     288,983        308,230  

4.00%, 5/1/47

     526,192        568,812  

4.50%, 5/1/47

     999,255        1,111,510  

3.50%, 6/1/47

     101,486        107,749  

4.00%, 6/1/47

     430,890        465,636  

3.50%, 7/1/47

     1,449,529        1,573,841  

4.00%, 7/1/47

     333,577        362,016  

4.50%, 7/1/47

     302,771        331,068  

5.00%, 7/1/47

     257,602        293,916  

3.50%, 8/1/47

     413,303        440,915  

4.00%, 8/1/47

     1,205,915        1,306,867  

3.00%, 9/1/47

     790,601        843,955  

3.50%, 9/1/47

     356,600        378,606  

4.00%, 9/1/47

     182,317        196,093  

4.50%, 9/1/47

     183,118        200,232  

3.50%, 10/1/47

     83,924        89,103  

4.00%, 10/1/47

     216,759        233,137  

4.50%, 10/1/47

     196,788        215,179  

3.50%, 11/1/47

     206,472        219,214  

4.00%, 11/1/47

     742,622        798,734  

4.50%, 11/1/47

     263,166        287,762  

3.00%, 12/1/47

     293,237        309,750  

3.50%, 12/1/47

     137,050        146,177  

4.00%, 12/1/47

     263,878        283,817  

3.00%, 1/1/48

     1,036,206        1,094,557  

3.50%, 1/1/48

     1,230,970        1,306,938  

3.00%, 2/1/48

     132,441        139,899  

3.50%, 2/1/48

     659,216        699,899  

4.50%, 4/1/48

     389,117        420,600  

4.00%, 5/1/48

     323,080        351,634  

5.00%, 5/1/48

     153,318        167,806  

4.00%, 6/1/48

     103,458        110,754  

4.50%, 6/1/48

     33,633        36,354  

5.00%, 6/1/48

     38,012        41,585  

3.50%, 7/1/48

     699,295        744,528  

4.00%, 7/1/48

     397,712        425,759  

3.00%, 8/1/48

     887,188        948,032  

3.50%, 8/1/48

     286,394        308,277  

4.50%, 8/1/48

     283,430        307,918  

5.00%, 8/1/48

     145,851        159,562  

3.00%, 9/1/48

     258,888        273,713  

4.00%, 9/1/48

     957,943        1,031,075  

4.00%, 10/1/48

     2,198,699        2,407,597  

3.00%, 11/1/48

     1,520,717        1,608,840  

3.50%, 11/1/48

     1,513,351        1,606,744  

 

See Notes to Financial Statements.

 

WisdomTree Trust      81  


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

4.00%, 11/1/48

   $ 216,278      $ 236,519  

4.50%, 11/1/48

     355,114        388,647  

5.00%, 11/1/48

     179,572        196,453  

4.50%, 12/1/48

     473,050        511,324  

4.00%, 1/1/49

     275,940        296,790  

4.50%, 1/1/49

     393,209        429,958  

5.00%, 2/1/49

     252,827        276,594  

4.00%, 3/1/49

     69,128        74,011  

4.50%, 3/1/49

     325,457        351,632  

5.00%, 3/1/49

     19,093        20,888  

4.00%, 4/1/49

     381,776        408,746  

4.50%, 4/1/49

     158,392        171,131  

3.50%, 5/1/49

     68,886        72,836  

4.00%, 5/1/49

     934,006        1,016,166  

4.50%, 5/1/49

     227,742        246,058  

3.50%, 6/1/49

     844,977        900,218  

4.00%, 7/1/49

     217,880        233,271  

3.50%, 8/1/49

     1,324,227        1,416,580  

4.00%, 8/1/49

     454,069        486,145  

3.00%, 9/1/49

     1,807,072        1,900,230  

3.50%, 9/1/49

     172,921        183,352  

3.00%, 10/1/49

     740,474        774,146  

4.00%, 10/1/49

     353,087        378,030  

4.50%, 10/1/49

     215,707        233,055  

3.00%, 12/1/49

     1,007,623        1,053,444  

3.00%, 1/1/50

     1,393,258        1,468,875  

3.00%, 2/1/50

     1,050,157        1,112,101  

3.50%, 2/1/50

     843,304        903,325  

4.50%, 2/1/50

     331,727        358,405  

3.00%, 3/1/50

     2,710,010        2,855,287  

3.50%, 3/1/50

     334,444        358,248  

4.00%, 3/1/50

     270,550        289,629  

3.50%, 4/1/50

     366,546        393,885  

5.50%, 4/1/50

     224,760        255,040  

2.50%, 5/1/50

     2,485,291        2,600,164  

3.50%, 5/1/50

     924,973        991,507  

2.50%, 6/1/50

     4,027,935        4,184,630  

2.50%, 7/1/50

     386,088        401,186  

3.00%, 7/1/50

     1,619,030        1,704,645  

2.50%, 8/1/50

     3,242,248        3,379,373  

3.00%, 8/1/50

     1,015,682        1,062,429  

2.00%, 9/1/50

     1,865,969        1,892,818  

2.50%, 9/1/50

     842,741        877,941  

2.00%, 10/1/50

     7,962,400        8,093,353  

3.00%, 10/1/50

     668,995        700,190  

3.50%, 11/1/50

     316,332        334,562  

1.50%, 12/1/50

     1,939,798        1,907,218  

2.00%, 12/1/50

     2,858,084        2,899,208  

2.00%, 1/1/51

     965,771        979,667  

2.00%, 2/1/51

     3,146,785        3,194,425  

2.50%, 2/1/51

     929,673        970,425  

3.00%, 4/1/51

     392,339        413,806  

2.00%, 5/1/51

     737,377        748,015  

1.50%, 6/1/51

     1,138,562        1,119,434  

2.00%, 6/1/51

     744,579        756,868  

2.00%, 7/1/51

     595,597        607,706  

2.50%, 7/1/51

     498,175        519,575  

2.00%, 8/1/51

     598,747        609,714  

2.50%, 8/1/51

     698,767        728,838  
     

 

 

 
Total Federal National Mortgage Association

 

     152,325,119  
Government National Mortgage Association – 7.0%

 

4.00%, 11/20/40

   1,780,495      1,967,003  

2.50%, 3/20/43

     120,164        125,754  

3.50%, 12/20/45

     832,799        890,588  

3.50%, 1/20/46

     330,418        353,346  

3.00%, 9/20/46

     259,653        273,789  

3.00%, 1/20/47

     370,640        390,818  

2.50%, 2/20/47

     189,233        197,248  

3.00%, 2/20/47

     435,166        458,858  

4.50%, 8/20/47

     525,739        571,226  

3.00%, 9/20/47

     99,815        105,122  

3.50%, 10/20/47

     100,910        107,131  

3.50%, 1/20/48

     340,564        361,559  

4.00%, 1/20/48

     468,024        500,853  

3.00%, 3/20/48

     154,922        163,160  

3.50%, 3/20/48

     579,274        614,985  

3.50%, 4/20/48

     244,026        259,070  

3.50%, 1/20/49

     26,164        27,777  

4.00%, 2/20/49

     128,567        136,574  

4.50%, 2/20/49

     233,058        248,878  

3.50%, 3/20/49

     229,317        242,553  

4.00%, 3/20/49

     214,793        228,065  

4.50%, 3/20/49

     54,894        58,620  

3.00%, 8/20/49

     138,723        145,287  

5.00%, 9/20/49

     43,115        46,570  

4.50%, 10/20/49

     204,954        218,954  

3.00%, 11/20/49

     490,366        513,032  

3.00%, 1/20/50

     66,588        69,649  

3.50%, 1/20/50

     187,679        197,352  

5.00%, 1/20/50

     37,300        40,791  

3.00%, 2/20/50

     401,030        419,359  

3.50%, 2/20/50

     38,939        40,930  

3.50%, 4/20/50

     13,232        13,903  

4.00%, 4/20/50

     49,777        52,893  

2.50%, 5/15/50

     137,031        141,702  

5.00%, 5/20/50

     11,656        12,767  

3.00%, 6/20/50

     414,236        433,176  

3.50%, 6/20/50

     234,018        246,279  

4.00%, 6/20/50

     173,549        184,630  

2.50%, 7/15/50

     82,439        85,249  

3.00%, 7/20/50

     127,519        133,352  

3.00%, 8/20/50

     171,959        179,828  

4.50%, 8/20/50

     138,288        147,731  

3.50%, 12/20/50

     227,834        240,437  

2.00%, 3/20/51

     974,842        995,844  

2.50%, 5/20/51

     49,317        51,192  

2.00%, 9/1/51(a)

     10,600,000        10,818,464  

2.50%, 9/1/51(a)

     12,075,000        12,520,879  

3.00%, 9/1/51(a)

     9,650,000        10,088,739  

3.50%, 9/1/51(a)

     7,425,000        7,813,557  

4.00%, 9/1/51(a)

     1,500,000        1,589,699  

4.50%, 9/1/51(a)

     500,000        534,103  

5.00%, 9/1/51(a)

     300,000        322,547  

2.00%, 10/1/51(a)

     4,275,000        4,355,465  

2.50%, 10/1/51(a)

     4,400,000        4,554,286  

3.00%, 10/1/51(a)

     3,600,000        3,757,641  

3.50%, 10/1/51(a)

     3,000,000        3,156,160  

4.00%, 10/1/51(a)

     1,500,000        1,590,881  

4.50%, 10/1/51(a)

     1,600,000        1,711,161  

 

See Notes to Financial Statements.

 

82   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

5.00%, 10/21/51

   $ 500,000      $ 538,378  
     

 

 

 
Total Government National Mortgage Association

 

     76,245,844  
Tennessee Valley Authority – 4.8%

 

4.70%, 7/15/33, Series B

     3,450,000        4,543,064  

4.65%, 6/15/35

     2,000,000        2,672,800  

5.88%, 4/1/36

     4,300,000        6,450,129  

6.15%, 1/15/38

     100,000        155,150  

5.50%, 6/15/38

     2,000,000        2,951,820  

5.25%, 9/15/39

     8,156,000        11,887,207  

3.50%, 12/15/42

     4,519,000        5,454,071  

4.88%, 1/15/48

     1,995,000        2,958,066  

5.38%, 4/1/56

     3,790,000        6,321,493  

4.63%, 9/15/60

     2,700,000        4,120,362  

4.25%, 9/15/65

     3,350,000        4,879,945  
     

 

 

 
Total Tennessee Valley Authority

 

     52,394,107  
Uniform Mortgage-Backed Securities – 10.6%

 

1.50%, 9/1/51(a)

     8,925,000        8,768,644  

2.00%, 9/1/51(a)

     63,275,000        64,147,861  

2.50%, 9/1/51(a)

     35,800,000        37,189,441  

3.00%, 9/1/51(a)

     200,000        209,206  

5.00%, 9/1/51(a)

     300,000        328,796  

2.00%, 10/1/51(a)

     2,750,000        2,782,830  

2.50%, 10/1/51(a)

     2,400,000        2,488,376  
     

 

 

 
Total Uniform Mortgage-Backed Securities

 

     115,915,154  

TOTAL U.S. GOVERNMENT AGENCIES

(Cost: $492,918,957)

 

 

     493,725,479  
U.S. GOVERNMENT OBLIGATIONS – 17.9%

 

U.S. Treasury Bonds – 4.2%

 

7.13%, 2/15/23

     55,000        60,600  

6.25%, 8/15/23

     175,000        195,723  

7.50%, 11/15/24

     175,000        214,648  

6.25%, 5/15/30

     115,000        163,318  

0.63%, 8/15/30

     1,950,000        1,847,473  

5.38%, 2/15/31

     475,000        651,269  

4.50%, 2/15/36

     655,000        916,079  

4.38%, 2/15/38

     290,000        407,677  

4.50%, 5/15/38

     580,000        827,769  

3.50%, 2/15/39

     85,000        108,886  

4.25%, 5/15/39

     300,000        420,094  

4.50%, 8/15/39

     476,000        686,444  

4.38%, 11/15/39

     525,000        747,264  

4.63%, 2/15/40

     245,000        359,710  

4.38%, 5/15/40

     625,000        893,555  

1.13%, 8/15/40

     1,050,000        932,695  

3.88%, 8/15/40

     178,000        239,855  

1.38%, 11/15/40

     1,260,000        1,167,173  

4.25%, 11/15/40

     500,000        706,250  

1.88%, 2/15/41

     1,300,000        1,310,766  

4.75%, 2/15/41

     425,000        638,562  

2.25%, 5/15/41

     1,500,000        1,605,469  

4.38%, 5/15/41

     165,000        237,381  

1.75%, 8/15/41

     1,400,000        1,378,125  

3.75%, 8/15/41

     299,000        398,277  

3.13%, 11/15/41

     300,000        367,172  

3.13%, 2/15/42

     215,000        263,677  

3.00%, 5/15/42

     300,000        360,797  

2.75%, 8/15/42

   153,000      177,145  

2.75%, 11/15/42

     450,000        521,016  

3.13%, 2/15/43

     600,000        735,609  

2.88%, 5/15/43

     614,000        725,287  

3.63%, 8/15/43

     549,000        725,023  

3.75%, 11/15/43

     285,000        383,770  

3.63%, 2/15/44

     740,000        981,020  

3.38%, 5/15/44

     440,000        563,269  

3.13%, 8/15/44

     500,000        616,758  

3.00%, 11/15/44

     500,000        605,039  

2.50%, 2/15/45

     500,000        557,344  

3.00%, 5/15/45

     820,000        995,467  

2.88%, 8/15/45

     305,000        362,974  

3.00%, 11/15/45

     500,000        608,672  

2.50%, 2/15/46

     565,000        631,432  

2.50%, 5/15/46

     560,000        626,237  

2.25%, 8/15/46

     1,025,000        1,094,668  

2.88%, 11/15/46

     440,000        526,522  

3.00%, 2/15/47

     890,000        1,089,555  

3.00%, 5/15/47

     500,000        612,930  

2.75%, 8/15/47

     350,000        410,730  

2.75%, 11/15/47

     510,000        599,011  

3.00%, 2/15/48

     705,000        866,379  

3.13%, 5/15/48

     925,000        1,163,115  

3.00%, 8/15/48

     1,295,000        1,594,469  

3.38%, 11/15/48

     1,215,000        1,598,484  

3.00%, 2/15/49

     330,000        407,524  

2.25%, 8/15/49

     1,110,000        1,189,348  

2.00%, 2/15/50

     855,000        869,562  

1.38%, 8/15/50

     1,305,000        1,142,589  

1.63%, 11/15/50

     1,350,000        1,257,398  

1.88%, 2/15/51

     1,250,000        1,235,156  

2.38%, 5/15/51

     1,550,000        1,712,266  
     

 

 

 
Total U.S. Treasury Bonds

 

     45,292,476  
U.S. Treasury Notes – 13.7%

 

1.50%, 9/15/22

     1,085,000        1,100,957  

1.75%, 9/30/22

     45,000        45,807  

1.88%, 9/30/22

     1,950,000        1,987,591  

0.13%, 10/31/22

     500,000        500,156  

1.88%, 10/31/22

     1,325,000        1,352,458  

2.00%, 10/31/22

     800,000        817,656  

1.63%, 11/15/22

     1,905,000        1,939,863  

0.13%, 11/30/22

     2,000,000        2,000,391  

2.00%, 11/30/22

     1,785,000        1,827,185  

1.63%, 12/15/22

     800,000        815,625  

0.13%, 12/31/22

     200,000        200,008  

2.13%, 12/31/22

     1,340,000        1,375,672  

1.50%, 1/15/23

     500,000        509,453  

0.13%, 1/31/23

     1,000,000        1,000,000  

2.38%, 1/31/23

     400,000        412,719  

1.38%, 2/15/23

     970,000        987,581  

2.00%, 2/15/23

     845,000        868,039  

1.50%, 2/28/23

     720,000        734,723  

2.63%, 2/28/23

     750,000        778,008  

0.50%, 3/15/23

     5,000        5,028  

0.13%, 3/31/23

     1,100,000        1,099,592  

1.50%, 3/31/23

     300,000        306,428  

0.25%, 4/15/23

     365,000        365,570  

 

See Notes to Financial Statements.

 

WisdomTree Trust      83  


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

1.63%, 4/30/23

   $ 770,000      $ 788,829  

2.75%, 4/30/23

     600,000        625,852  

0.13%, 5/15/23

     1,140,000        1,139,354  

1.75%, 5/15/23

     1,515,000        1,556,130  

1.63%, 5/31/23

     435,000        446,113  

2.75%, 5/31/23

     230,000        240,368  

0.25%, 6/15/23

     850,000        851,162  

1.38%, 6/30/23

     480,000        490,547  

2.63%, 6/30/23

     215,000        224,595  

0.13%, 7/15/23

     1,350,000        1,348,576  

0.13%, 7/31/23

     1,000,000        998,867  

1.25%, 7/31/23

     820,000        836,672  

0.13%, 8/15/23

     350,000        349,549  

2.50%, 8/15/23

     50,000        52,245  

0.13%, 8/31/23

     1,000,000        998,379  

1.38%, 8/31/23

     680,000        695,831  

2.75%, 8/31/23

     625,000        656,677  

0.13%, 9/15/23

     250,000        249,551  

1.38%, 9/30/23

     500,000        512,012  

2.88%, 9/30/23

     1,210,000        1,276,503  

0.13%, 10/15/23

     1,000,000        997,813  

1.63%, 10/31/23

     675,000        695,276  

2.88%, 10/31/23

     245,000        258,944  

0.25%, 11/15/23

     1,850,000        1,850,289  

2.75%, 11/15/23

     450,000        474,820  

2.13%, 11/30/23

     580,000        604,401  

2.88%, 11/30/23

     745,000        788,827  

0.13%, 12/15/23

     750,000        747,715  

2.25%, 12/31/23

     415,000        434,129  

2.63%, 12/31/23

     740,000        780,527  

0.13%, 1/15/24

     500,000        498,203  

2.25%, 1/31/24

     750,000        785,625  

2.50%, 1/31/24

     660,000        695,217  

0.13%, 2/15/24

     1,590,000        1,583,913  

2.75%, 2/15/24

     1,135,000        1,203,543  

2.38%, 2/29/24

     1,000,000        1,051,758  

2.13%, 3/31/24

     1,923,000        2,012,690  

2.00%, 4/30/24

     170,000        177,550  

2.25%, 4/30/24

     1,000,000        1,050,898  

0.25%, 5/15/24

     1,000,000        997,383  

2.50%, 5/15/24

     1,900,000        2,010,660  

2.00%, 5/31/24

     1,780,000        1,860,309  

1.75%, 6/30/24

     1,000,000        1,039,141  

2.00%, 6/30/24

     964,000        1,008,472  

0.38%, 7/15/24

     1,000,000        999,727  

1.75%, 7/31/24

     1,000,000        1,039,922  

2.13%, 7/31/24

     576,000        605,205  

2.38%, 8/15/24

     2,250,000        2,381,660  

1.25%, 8/31/24

     1,605,000        1,645,752  

1.88%, 8/31/24

     1,100,000        1,148,512  

1.50%, 9/30/24

     1,615,000        1,668,812  

2.13%, 9/30/24

     894,000        940,760  

1.50%, 10/31/24

     1,000,000        1,033,633  

2.25%, 10/31/24

     1,310,000        1,384,762  

2.25%, 11/15/24

     1,150,000        1,216,305  

1.50%, 11/30/24

     975,000        1,008,021  

1.75%, 12/31/24

     525,000        547,230  

2.25%, 12/31/24

     972,000        1,029,181  

1.38%, 1/31/25

     1,104,000        1,136,818  

2.50%, 1/31/25

   750,000      801,094  

2.00%, 2/15/25

     1,000,000        1,051,328  

7.63%, 2/15/25

     500,000        622,617  

1.13%, 2/28/25

     250,000        255,283  

2.75%, 2/28/25

     622,000        670,399  

0.50%, 3/31/25

     175,000        174,802  

2.63%, 3/31/25

     702,000        754,156  

0.38%, 4/30/25

     458,000        455,084  

2.13%, 5/15/25

     375,000        396,519  

0.25%, 5/31/25

     670,000        661,913  

2.88%, 5/31/25

     565,000        613,290  

0.25%, 6/30/25

     250,000        246,816  

2.75%, 6/30/25

     311,000        336,560  

0.25%, 7/31/25

     400,000        394,578  

2.00%, 8/15/25

     500,000        527,383  

0.25%, 8/31/25

     250,000        246,357  

0.25%, 9/30/25

     972,000        956,926  

0.25%, 10/31/25

     2,000,000        1,966,953  

2.25%, 11/15/25

     835,000        890,514  

0.38%, 11/30/25

     1,425,000        1,407,800  

0.38%, 12/31/25

     2,400,000        2,368,781  

0.38%, 1/31/26

     1,610,000        1,587,548  

1.63%, 2/15/26

     700,000        728,492  

0.50%, 2/28/26

     2,000,000        1,982,188  

0.75%, 3/31/26

     2,120,000        2,123,064  

2.25%, 3/31/26

     2,000,000        2,138,594  

0.75%, 4/30/26

     1,400,000        1,401,367  

1.63%, 5/15/26

     1,170,000        1,218,034  

0.75%, 5/31/26

     2,500,000        2,500,977  

2.13%, 5/31/26

     1,000,000        1,064,688  

0.88%, 6/30/26

     1,500,000        1,508,438  

1.88%, 6/30/26

     1,850,000        1,948,498  

0.63%, 7/31/26

     500,000        496,582  

1.88%, 7/31/26

     1,570,000        1,654,571  

1.50%, 8/15/26

     1,624,000        1,681,411  

1.38%, 8/31/26

     650,000        669,221  

1.63%, 9/30/26

     850,000        885,461  

1.63%, 10/31/26

     1,000,000        1,041,875  

2.00%, 11/15/26

     1,500,000        1,591,523  

2.25%, 2/15/27

     500,000        537,500  

1.13%, 2/28/27

     500,000        507,422  

0.63%, 3/31/27

     490,000        483,684  

0.50%, 4/30/27

     500,000        489,492  

2.38%, 5/15/27

     2,000,000        2,165,938  

0.50%, 5/31/27

     910,000        889,738  

0.50%, 6/30/27

     750,000        732,744  

0.38%, 7/31/27

     1,000,000        968,906  

0.50%, 8/31/27

     500,000        487,402  

0.38%, 9/30/27

     500,000        483,086  

1.25%, 4/30/28

     400,000        405,531  

1.25%, 5/31/28

     1,000,000        1,013,203  

2.88%, 8/15/28

     1,000,000        1,121,563  

3.13%, 11/15/28

     1,300,000        1,483,727  

2.63%, 2/15/29

     1,300,000        1,440,359  

2.38%, 5/15/29

     500,000        545,586  

1.50%, 2/15/30

     1,000,000        1,023,984  

0.63%, 5/15/30

     2,075,000        1,971,250  

0.88%, 11/15/30

     1,960,000        1,894,616  

1.13%, 2/15/31

     3,445,000        3,399,515  

 

See Notes to Financial Statements.

 

84   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

1.63%, 5/15/31

   $ 3,000,000      $ 3,093,047  

1.25%, 8/15/31

     2,000,000        1,989,844  

1.13%, 5/15/40

     700,000        624,039  

2.88%, 5/15/49

     1,250,000        1,510,840  

2.38%, 11/15/49

     900,000        990,773  

1.25%, 5/15/50

     758,000        643,353  
     

 

 

 
Total U.S. Treasury Notes

 

     149,681,552  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $194,297,297)

 

 

     194,974,028  
U.S. CORPORATE BONDS – 27.7%

 

United States – 27.7%

 

3M Co.

 

2.25%, 9/19/26

     130,000        137,608  

2.88%, 10/15/27

     180,000        196,925  

Abbott Laboratories
3.75%, 11/30/26

     251,000        284,019  

AbbVie, Inc.

 

2.95%, 11/21/26

     31,000        33,414  

4.25%, 11/14/28

     100,000        115,997  

3.20%, 11/21/29

     1,364,000        1,491,466  

4.55%, 3/15/35

     625,000        761,719  

4.50%, 5/14/35

     234,000        284,766  

4.30%, 5/14/36

     71,000        84,866  

4.05%, 11/21/39

     400,000        469,768  

4.85%, 6/15/44

     25,000        32,081  

4.75%, 3/15/45

     208,000        262,823  

4.70%, 5/14/45

     250,000        315,152  

4.45%, 5/14/46

     200,000        245,820  

4.88%, 11/14/48

     29,000        37,988  

4.25%, 11/21/49

     750,000        911,632  

Activision Blizzard, Inc.

 

3.40%, 9/15/26

     189,000        208,274  

1.35%, 9/15/30

     350,000        329,532  

Adobe, Inc.
2.30%, 2/1/30

     59,000        61,680  

Adventist Health System
2.95%, 3/1/29

     50,000        53,272  

AEP Texas, Inc.
3.95%, 6/1/28

     100,000        112,926  

AES Corp. (The)
2.45%, 1/15/31

     250,000        252,507  

Aetna, Inc.
6.63%, 6/15/36

     75,000        109,533  

4.75%, 3/15/44

     500,000        630,290  

3.88%, 8/15/47

     34,000        38,613  

Agilent Technologies, Inc.
2.75%, 9/15/29

     33,000        34,912  

2.30%, 3/12/31

     250,000        253,657  

Air Lease Corp.

     

3.63%, 4/1/27

     201,000        217,289  

3.63%, 12/1/27

     120,000        129,863  

4.63%, 10/1/28

     86,000        97,774  

Alexandria Real Estate Equities, Inc.
3.95%, 1/15/28

     95,000        107,707  

3.38%, 8/15/31

     675,000        748,116  

3.00%, 5/18/51

     150,000        149,643  

Allstate Corp. (The)
3.28%, 12/15/26

     108,000        119,452  

Ally Financial, Inc.
8.00%, 11/1/31

   456,000      666,837  

Altria Group, Inc.
2.63%, 9/16/26

     237,000        250,187  

4.80%, 2/14/29

     127,000        147,731  

3.40%, 5/6/30

     400,000        429,108  

5.80%, 2/14/39

     150,000        187,955  

3.40%, 2/4/41

     250,000        240,985  

5.38%, 1/31/44

     257,000        310,032  

3.88%, 9/16/46

     32,000        32,361  

5.95%, 2/14/49

     191,000        249,085  

4.45%, 5/6/50

     250,000        273,182  

3.70%, 2/4/51

     200,000        194,354  

4.00%, 2/4/61

     90,000        88,523  

Amcor Flexibles North America, Inc.
2.69%, 5/25/31

     300,000        313,224  

Ameren Illinois Co.
1.55%, 11/15/30

     250,000        242,530  

American Airlines Pass Through Trust

     

3.15%, 8/15/33, Series 2019-1, Class AA

     229,679        235,233  

American Campus Communities Operating Partnership L.P.
3.63%, 11/15/27

     61,000        66,855  

2.85%, 2/1/30

     244,000        253,687  

American Electric Power Co., Inc.
4.30%, 12/1/28, Series J

     50,000        57,762  

American Equity Investment Life Holding Co.
5.00%, 6/15/27

     75,000        85,811  

American Express Credit Corp.
3.30%, 5/3/27

     125,000        138,580  

American Homes 4 Rent L.P.
4.25%, 2/15/28

     337,000        386,327  

American Honda Finance Corp.
3.50%, 2/15/28

     65,000        72,795  

1.80%, 1/13/31

     250,000        248,940  

American International Group, Inc.
4.20%, 4/1/28

     518,000        596,265  

3.88%, 1/15/35

     708,000        811,191  

4.50%, 7/16/44

     250,000        310,255  

4.38%, 6/30/50

     250,000        314,447  

American Tower Corp.
3.38%, 10/15/26

     150,000        163,355  

3.13%, 1/15/27

     145,000        155,971  

3.55%, 7/15/27

     140,000        154,162  

1.50%, 1/31/28

     72,000        70,628  

3.80%, 8/15/29

     554,000        619,023  

2.90%, 1/15/30

     415,000        437,107  

2.95%, 1/15/51

     100,000        97,329  

American Water Capital Corp.
2.95%, 9/1/27

     132,000        143,311  

3.75%, 9/1/28

     624,000        708,789  

4.00%, 12/1/46

     13,000        15,595  

3.75%, 9/1/47

     125,000        143,701  

4.20%, 9/1/48

     80,000        98,890  

Ameriprise Financial, Inc.
2.88%, 9/15/26

     70,000        75,485  

 

See Notes to Financial Statements.

 

WisdomTree Trust      85  


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

AmerisourceBergen Corp.
3.45%, 12/15/27

   $ 75,000      $ 82,454  

2.70%, 3/15/31

     250,000        259,705  

Amgen, Inc.
2.20%, 2/21/27

     100,000        104,286  

3.20%, 11/2/27

     301,000        330,378  

2.45%, 2/21/30

     417,000        431,716  

3.15%, 2/21/40

     500,000        524,320  

2.80%, 8/15/41

     250,000        247,660  

4.40%, 5/1/45

     269,000        328,863  

4.56%, 6/15/48

     200,000        252,906  

3.38%, 2/21/50

     250,000        266,307  

4.66%, 6/15/51

     250,000        324,810  

2.77%, 9/1/53

     250,000        239,843  

Amphenol Corp.
2.80%, 2/15/30

     230,000        244,179  

Analog Devices, Inc.
3.50%, 12/5/26

     183,000        202,683  

Anthem, Inc.
3.65%, 12/1/27

     292,000        327,244  

2.25%, 5/15/30

     500,000        509,550  

2.55%, 3/15/31(b)

     400,000        416,488  

4.63%, 5/15/42

     30,000        37,591  

5.10%, 1/15/44

     242,000        320,302  

4.65%, 8/15/44

     26,000        32,873  

4.38%, 12/1/47

     79,000        98,015  

4.55%, 3/1/48

     30,000        38,018  

3.13%, 5/15/50

     202,000        210,880  

3.60%, 3/15/51

     250,000        281,010  

Aon Corp.
4.50%, 12/15/28

     499,000        585,212  

2.90%, 8/23/51

     150,000        148,193  

Appalachian Power Co.
3.30%, 6/1/27, Series X

     100,000        108,982  

Apple, Inc.
4.50%, 2/23/36

     63,000        80,144  

Aptiv PLC

     

4.35%, 3/15/29

     75,000        87,130  

5.40%, 3/15/49

     125,000        174,673  

Arch Capital Group Ltd.
3.64%, 6/30/50

     197,000        219,746  

Arch Capital Group US, Inc.
5.14%, 11/1/43

     50,000        66,892  

Archer-Daniels-Midland Co.
2.50%, 8/11/26

     110,000        117,248  

Ares Capital Corp.
2.88%, 6/15/28

     250,000        255,070  

Arrow Electronics, Inc.
3.88%, 1/12/28

     212,000        233,550  

Arthur J Gallagher & Co.
3.50%, 5/20/51

     250,000        272,040  

Assurant, Inc.
4.90%, 3/27/28

     25,000        29,275  

AT&T, Inc.
3.80%, 2/15/27

     315,000        351,868  

4.25%, 3/1/27

     209,000        238,413  

2.30%, 6/1/27

     550,000        573,743  

4.10%, 2/15/28

     409,000        466,865  

4.35%, 3/1/29

   510,000      592,171  

4.30%, 2/15/30

     480,000        558,053  

2.75%, 6/1/31

     350,000        367,010  

2.25%, 2/1/32

     290,000        288,448  

2.55%, 12/1/33(c)

     450,000        452,529  

4.50%, 5/15/35

     314,000        372,709  

5.25%, 3/1/37

     173,000        219,765  

4.85%, 3/1/39

     130,000        159,480  

5.35%, 9/1/40

     50,000        64,972  

6.25%, 3/29/41

     190,000        269,078  

3.50%, 6/1/41

     350,000        369,845  

5.15%, 3/15/42

     200,000        254,692  

4.90%, 6/15/42

     79,000        98,853  

4.30%, 12/15/42

     350,000        405,261  

3.10%, 2/1/43

     300,000        298,332  

5.15%, 11/15/46

     70,000        90,754  

4.55%, 3/9/49

     29,000        34,810  

5.15%, 2/15/50

     70,000        90,984  

3.65%, 6/1/51

     400,000        424,016  

3.30%, 2/1/52

     150,000        149,627  

3.50%, 9/15/53(c)

     500,000        513,930  

3.55%, 9/15/55(c)

     528,000        540,614  

3.80%, 12/1/57(c)

     772,000        823,222  

3.65%, 9/15/59(c)

     1,109,000        1,142,880  

3.85%, 6/1/60

     150,000        160,320  

3.50%, 2/1/61

     500,000        497,235  

Athene Holding Ltd.
4.13%, 1/12/28

     403,000        453,464  

Autodesk, Inc.
3.50%, 6/15/27

     165,000        182,909  

AutoNation, Inc.
3.80%, 11/15/27

     115,000        127,260  

AutoZone, Inc.
3.75%, 6/1/27

     113,000        127,117  

3.75%, 4/18/29

     175,000        196,716  

1.65%, 1/15/31

     250,000        240,670  

AvalonBay Communities, Inc.
2.90%, 10/15/26

     50,000        53,904  

3.20%, 1/15/28

     75,000        82,112  

3.30%, 6/1/29

     320,000        353,430  

Avangrid, Inc.
3.80%, 6/1/29

     150,000        169,493  

Avery Dennison Corp.
4.88%, 12/6/28

     31,000        37,241  

AXIS Specialty Finance LLC
3.90%, 7/15/29

     225,000        250,380  

AXIS Specialty Finance PLC
4.00%, 12/6/27

     25,000        27,895  

Baker Hughes a GE Co. LLC
3.34%, 12/15/27

     50,000        54,861  

3.14%, 11/7/29

     75,000        81,282  

Baltimore Gas & Electric Co.
2.40%, 8/15/26

     90,000        95,051  

2.25%, 6/15/31

     450,000        460,449  

Bank of America Corp.
4.25%, 10/22/26

     50,000        56,791  

3.25%, 10/21/27

     67,000        73,145  

4.18%, 11/25/27, Series L

     909,000        1,022,316  

 

See Notes to Financial Statements.

 

86   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

3.82%, 1/20/28, (3.824% fixed rate until 1/20/27; 3-month U.S. dollar London Interbank Offered Rate + 1.575% thereafter)(d)

   $ 100,000      $ 111,381  

3.71%, 4/24/28, (3.705% fixed rate until 4/24/27; 3-month U.S. dollar London Interbank Offered Rate + 1.512% thereafter)(d)

     350,000        388,230  

3.59%, 7/21/28, (3.593% fixed rate until 7/21/27; 3-month U.S. dollar London Interbank Offered Rate + 1.37% thereafter)(d)

     331,000        366,248  

3.42%, 12/20/28, (3.419% fixed rate until 12/20/27; 3-month U.S. dollar London Interbank Offered Rate + 1.04% thereafter)(d)

     201,000        220,945  

3.97%, 3/5/29, (3.97% fixed rate until 3/5/28; 3-month U.S. dollar London Interbank Offered Rate + 1.07% thereafter)(d)

     250,000        281,975  

4.27%, 7/23/29, (4.271% fixed rate until 7/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.31% thereafter)(d)

     296,000        340,261  

3.97%, 2/7/30, (3.974% fixed rate until 2/7/29; 3-month U.S. dollar London Interbank Offered Rate + 1.21% thereafter)(d)

     311,000        353,392  

2.50%, 2/13/31, (2.496% fixed rate until 2/13/30; 3-month U.S. dollar London Interbank Offered Rate + 0.99% thereafter)(d)

     1,052,000        1,083,002  

2.65%, 3/11/32, Series N, (2.651% fixed rate until 3/11/31; Secured Overnight Financing Rate + 1.22% thereafter)(d)

     500,000        518,695  

2.69%, 4/22/32, (2.687% fixed rate until 4/22/31; Secured Overnight Financing Rate + 1.32% thereafter)(d)

     1,150,000        1,197,334  

7.75%, 5/14/38

     250,000        396,662  

BankUnited, Inc.
5.13%, 6/11/30

     50,000        58,454  

Baxalta, Inc.
5.25%, 6/23/45

     60,000        82,415  

Baxter International, Inc.
2.60%, 8/15/26

     49,000        52,181  

3.95%, 4/1/30

     200,000        230,726  

Becton Dickinson and Co.
3.70%, 6/6/27

     175,000        195,230  

1.96%, 2/11/31

     250,000        246,555  

4.69%, 12/15/44

     87,000        110,761  

4.67%, 6/6/47

     124,000        157,764  

3.79%, 5/20/50

     250,000        284,320  

Berkshire Hathaway Energy Co.
3.25%, 4/15/28

     248,000        273,499  

Berkshire Hathaway Finance Corp.
5.75%, 1/15/40

     81,000        118,276  

4.40%, 5/15/42

     52,000        65,866  

4.30%, 5/15/43

   55,000      69,042  

4.20%, 8/15/48

     84,000        105,336  

4.25%, 1/15/49

     52,000        65,600  

2.85%, 10/15/50

     55,000        55,643  

Berkshire Hathaway, Inc.
4.50%, 2/11/43

     66,000        85,046  

Biogen, Inc.
2.25%, 5/1/30

     100,000        101,124  

3.15%, 5/1/50

     300,000        297,183  

3.25%, 2/15/51(c)

     52,000        52,401  

Black Hills Corp.
4.35%, 5/1/33

     180,000        212,283  

3.88%, 10/15/49

     40,000        44,586  

Boardwalk Pipelines L.P.
4.45%, 7/15/27

     100,000        113,093  

Boeing Co. (The)
2.80%, 3/1/27

     285,000        296,694  

5.15%, 5/1/30

     725,000        860,191  

3.63%, 2/1/31

     400,000        434,096  

3.60%, 5/1/34

     275,000        291,582  

3.55%, 3/1/38

     50,000        51,453  

5.71%, 5/1/40

     700,000        906,668  

3.38%, 6/15/46

     50,000        49,018  

3.85%, 11/1/48

     50,000        52,066  

5.81%, 5/1/50

     400,000        544,924  

5.93%, 5/1/60

     842,000        1,171,601  

Booking Holdings, Inc.
3.55%, 3/15/28

     90,000        100,535  

4.63%, 4/13/30

     150,000        179,651  

BorgWarner, Inc.
4.38%, 3/15/45

     111,000        132,676  

Boston Properties L.P.
4.50%, 12/1/28

     450,000        526,716  

2.90%, 3/15/30

     77,000        80,976  

Boston Scientific Corp.
4.00%, 3/1/29

     290,000        332,299  

7.00%, 11/15/35

     165,000        238,549  

7.38%, 1/15/40

     2,000        3,209  

4.70%, 3/1/49

     47,000        61,192  

BP Capital Markets America, Inc.
3.02%, 1/16/27

     142,000        153,635  

4.23%, 11/6/28

     50,000        57,890  

Brandywine Operating Partnership L.P.
4.55%, 10/1/29

     290,000        328,698  

Brighthouse Financial, Inc.
5.63%, 5/15/30

     250,000        304,925  

Bristol-Myers Squibb Co.
3.45%, 11/15/27

     100,000        112,001  

3.90%, 2/20/28

     357,000        409,433  

3.40%, 7/26/29

     363,000        408,052  

1.45%, 11/13/30

     110,000        107,230  

Brixmor Operating Partnership L.P.
4.05%, 7/1/30

     250,000        283,240  

Broadcom Corp.
3.88%, 1/15/27

     430,000        474,763  

3.50%, 1/15/28

     637,000        693,311  

 

See Notes to Financial Statements.

 

WisdomTree Trust      87  


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Broadcom, Inc.
3.46%, 9/15/26

   $ 143,000      $ 155,347  

1.95%, 2/15/28(c)

     500,000        499,060  

4.11%, 9/15/28

     40,000        44,902  

4.75%, 4/15/29

     500,000        581,345  

5.00%, 4/15/30

     250,000        296,650  

4.15%, 11/15/30

     715,000        805,312  

3.42%, 4/15/33(c)

     500,000        530,685  

3.47%, 4/15/34(c)

     250,000        265,072  

3.50%, 2/15/41(c)

     400,000        409,808  

3.75%, 2/15/51(c)

     150,000        156,921  

Broadridge Financial Solutions, Inc.
2.90%, 12/1/29

     275,000        291,967  

Brown & Brown, Inc.
2.38%, 3/15/31

     250,000        253,022  

Bunge Ltd. Finance Corp.
3.25%, 8/15/26

     91,000        98,496  

3.75%, 9/25/27

     164,000        182,302  

2.75%, 5/14/31

     75,000        77,063  

CA, Inc.
4.70%, 3/15/27

     55,000        62,178  

Campbell Soup Co.
2.38%, 4/24/30(b)

     250,000        254,457  

4.80%, 3/15/48

     143,000        181,368  

Capital One Financial Corp.
3.75%, 3/9/27

     257,000        287,660  

3.80%, 1/31/28

     349,000        392,185  

Cardinal Health, Inc.
3.41%, 6/15/27(b)

     184,000        201,986  

4.50%, 11/15/44

     52,000        60,078  

4.37%, 6/15/47

     105,000        119,243  

Carlisle Cos., Inc.
3.75%, 12/1/27

     41,000        45,756  

Carrier Global Corp.
2.70%, 2/15/31

     535,000        559,102  

3.38%, 4/5/40

     300,000        321,069  

3.58%, 4/5/50

     250,000        272,900  

Caterpillar Financial Services Corp.
2.40%, 8/9/26

     90,000        96,006  

1.10%, 9/14/27

     100,000        99,737  

CenterPoint Energy Houston Electric LLC
3.00%, 2/1/27, Series AA

     100,000        108,799  

CenterPoint Energy Resources Corp.
4.00%, 4/1/28

     290,000        328,051  

CenterPoint Energy, Inc.
4.25%, 11/1/28

     270,000        311,029  

CF Industries, Inc.
4.95%, 6/1/43

     350,000        432,267  

Charles Schwab Corp. (The)
3.20%, 1/25/28

     181,000        199,578  

3.25%, 5/22/29

     200,000        221,546  

Charter Communications Operating LLC
4.20%, 3/15/28

     150,000        169,722  

5.05%, 3/30/29

     100,000        118,545  

2.80%, 4/1/31

     520,000        533,562  

6.38%, 10/23/35

     505,000        675,458  

3.50%, 6/1/41

     250,000        253,055  

6.48%, 10/23/45

   278,000      388,708  

5.38%, 5/1/47

     374,000        461,460  

5.75%, 4/1/48

     113,000        146,145  

5.13%, 7/1/49

     97,000        117,302  

4.80%, 3/1/50

     500,000        587,625  

3.70%, 4/1/51

     250,000        251,962  

3.90%, 6/1/52

     150,000        155,234  

3.85%, 4/1/61

     275,000        273,941  

Cheniere Corpus Christi Holdings LLC
5.13%, 6/30/27

     400,000        466,548  

3.70%, 11/15/29

     75,000        82,450  

Chevron USA, Inc.
4.95%, 8/15/47

     69,000        94,551  

Chubb INA Holdings, Inc.
1.38%, 9/15/30

     250,000        240,255  

Church & Dwight Co., Inc.
3.15%, 8/1/27

     90,000        98,545  

Cigna Corp.
3.40%, 3/1/27

     120,000        132,314  

3.05%, 10/15/27

     155,000        168,184  

4.38%, 10/15/28

     941,000        1,099,041  

4.80%, 8/15/38

     152,000        190,499  

3.20%, 3/15/40

     135,000        141,935  

6.13%, 11/15/41

     21,000        30,310  

4.80%, 7/15/46

     125,000        160,208  

3.88%, 10/15/47

     146,000        166,221  

4.90%, 12/15/48

     200,000        261,732  

3.40%, 3/15/50

     250,000        266,832  

3.40%, 3/15/51

     150,000        160,206  

Cimarex Energy Co.
3.90%, 5/15/27

     245,000        270,896  

Cintas Corp. No. 2
3.70%, 4/1/27

     85,000        95,448  

Cisco Systems, Inc.
2.50%, 9/20/26

     40,000        43,058  

Citigroup, Inc.
3.20%, 10/21/26

     44,000        47,916  

4.45%, 9/29/27

     470,000        538,878  

3.89%, 1/10/28, (3.887% fixed rate until 1/10/27; 3-month U.S. dollar London Interbank Offered Rate + 1.563% thereafter)(d)

     120,000        133,823  

6.63%, 1/15/28

     200,000        259,144  

3.67%, 7/24/28, (3.668% fixed rate until 7/24/27; 3-month U.S. dollar London Interbank Offered Rate + 1.39% thereafter)(d)

     297,000        329,320  

4.13%, 7/25/28

     329,000        372,310  

3.52%, 10/27/28, (3.52% fixed rate until 10/27/27; 3-month U.S. dollar London Interbank Offered Rate + 1.151% thereafter)(d)

     208,000        228,817  

4.08%, 4/23/29, (4.075% fixed rate until 4/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.192% thereafter)(d)

     265,000        300,741  

 

See Notes to Financial Statements.

 

88   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

3.98%, 3/20/30, (3.98% fixed rate until 3/20/29; 3-month U.S. dollar London Interbank Offered Rate + 1.338% thereafter)(d)

   $ 329,000      $ 374,116  

2.98%, 11/5/30, (2.976% fixed rate until 11/5/29; Secured Overnight Financing Rate + 1.422% thereafter)(d)

     240,000        255,727  

2.67%, 1/29/31, (2.666% fixed rate until 1/29/30; Secured Overnight Financing Rate + 1.146% thereafter)(d)

     382,000        397,502  

4.41%, 3/31/31, (4.412% fixed rate until 3/31/30; Secured Overnight Financing Rate + 3.914% thereafter)(d)

     446,000        523,417  

6.63%, 6/15/32

     500,000        684,720  

6.00%, 10/31/33

     50,000        66,801  

6.68%, 9/13/43

     158,000        246,576  

4.75%, 5/18/46

     250,000        321,832  

Citizens Financial Group, Inc.
2.85%, 7/27/26

     359,000        384,123  

Citrix Systems, Inc.
4.50%, 12/1/27

     25,000        28,525  

Clorox Co. (The)
3.10%, 10/1/27

     325,000        354,916  

CME Group, Inc.
5.30%, 9/15/43

     86,000        123,733  

CMS Energy Corp.
3.45%, 8/15/27(b)

     157,000        174,009  

4.75%, 6/1/50, (4.75% fixed rate until 3/1/30; 5-year Constant Maturity Treasury Rate + 4.116% thereafter)(d)

     72,000        81,284  

CNA Financial Corp.
2.05%, 8/15/30

     250,000        248,795  

Coca-Cola Co. (The)
2.13%, 9/6/29

     145,000        150,807  

3.45%, 3/25/30

     300,000        341,178  

2.00%, 3/5/31

     250,000        254,987  

1.38%, 3/15/31

     50,000        48,261  

Comcast Corp.
2.35%, 1/15/27

     635,000        670,065  

3.30%, 2/1/27

     175,000        192,348  

3.15%, 2/15/28

     264,000        290,033  

2.65%, 2/1/30

     56,000        59,025  

1.95%, 1/15/31

     250,000        249,082  

CommonSpirit Health
4.35%, 11/1/42

     320,000        380,173  

3.91%, 10/1/50

     100,000        112,288  

Conagra Brands, Inc.
7.00%, 10/1/28

     23,000        30,570  

4.85%, 11/1/28

     387,000        462,121  

8.25%, 9/15/30

     335,000        496,855  

Connecticut Light & Power Co. (The)
3.20%, 3/15/27, Series A

     100,000        110,351  

ConocoPhillips

 

6.95%, 4/15/29

     100,000        135,422  

2.40%, 2/15/31(c)

     150,000        154,323  

Consolidated Edison Co. of New York, Inc.
2.40%, 6/15/31

   250,000      256,837  

Constellation Brands, Inc.

 

3.70%, 12/6/26

     340,000        377,961  

3.50%, 5/9/27

     162,000        179,311  

2.88%, 5/1/30

     250,000        263,817  

4.50%, 5/9/47

     100,000        121,980  

4.10%, 2/15/48

     65,000        75,258  

Consumers Energy Co.
3.80%, 11/15/28

     100,000        114,382  

Continental Airlines Pass Through Trust
4.00%, 4/29/26, Series 2012-2, Class A

     10,339        10,915  

Corning, Inc.

 

4.75%, 3/15/42

     250,000        319,552  

5.45%, 11/15/79

     250,000        355,442  

Costco Wholesale Corp.

 

3.00%, 5/18/27

     74,000        81,445  

1.60%, 4/20/30

     350,000        347,700  

Crown Castle International Corp.

 

4.00%, 3/1/27

     220,000        247,205  

3.65%, 9/1/27

     144,000        159,625  

3.80%, 2/15/28

     100,000        111,394  

4.30%, 2/15/29

     250,000        288,457  

3.10%, 11/15/29

     102,000        108,945  

2.25%, 1/15/31

     50,000        49,715  

4.75%, 5/15/47

     95,000        119,134  

5.20%, 2/15/49

     50,000        65,754  

3.25%, 1/15/51

     250,000        254,040  

CSX Corp.

 

3.25%, 6/1/27

     99,000        108,602  

3.80%, 3/1/28

     212,000        239,002  

2.40%, 2/15/30

     250,000        258,762  

6.00%, 10/1/36

     250,000        349,392  

3.80%, 11/1/46

     87,000        100,115  

4.30%, 3/1/48

     155,000        191,439  

4.75%, 11/15/48

     100,000        131,683  

4.50%, 3/15/49

     250,000        317,690  

3.80%, 4/15/50

     250,000        290,215  

3.95%, 5/1/50

     15,000        17,875  

4.25%, 11/1/66

     55,000        68,877  

CubeSmart L.P.

 

3.13%, 9/1/26

     35,000        37,577  

4.38%, 2/15/29

     25,000        28,843  

CVS Health Corp.

 

6.25%, 6/1/27

     75,000        93,512  

4.30%, 3/25/28

     1,297,000        1,495,363  

3.25%, 8/15/29

     572,000        624,590  

4.88%, 7/20/35

     653,000        805,077  

4.78%, 3/25/38

     136,000        169,267  

4.13%, 4/1/40

     250,000        292,997  

2.70%, 8/21/40

     205,000        201,413  

5.13%, 7/20/45

     250,000        330,192  

5.05%, 3/25/48

     500,000        662,165  

4.25%, 4/1/50

     400,000        486,536  

Danaher Corp.
2.60%, 10/1/50

     150,000        146,736  

 

See Notes to Financial Statements.

 

WisdomTree Trust      89  


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Dayton Power & Light Co. (The)
3.95%, 6/15/49

   $ 100,000      $ 115,319  

Dell International LLC

 

4.90%, 10/1/26

     100,000        115,870  

6.10%, 7/15/27

     322,000        397,883  

5.30%, 10/1/29

     240,000        292,397  

8.10%, 7/15/36

     530,000        815,818  

Devon Energy Corp.

 

7.95%, 4/15/32

     75,000        107,807  

4.75%, 5/15/42

     200,000        228,252  

5.00%, 6/15/45

     306,000        362,812  

DH Europe Finance II Sarl

 

3.25%, 11/15/39

     250,000        272,565  

3.40%, 11/15/49

     50,000        55,795  

Diamondback Energy, Inc.

 

3.50%, 12/1/29

     300,000        323,571  

3.13%, 3/24/31

     150,000        156,867  

Digital Realty Trust L.P.

 

3.70%, 8/15/27

     288,000        323,029  

4.45%, 7/15/28

     152,000        176,673  

3.60%, 7/1/29

     100,000        111,266  

Dignity Health
5.27%, 11/1/64

     10,000        14,127  

Discover Bank

 

3.45%, 7/27/26

     250,000        272,947  

4.65%, 9/13/28

     358,000        420,557  

Discovery Communications LLC

 

3.95%, 3/20/28

     85,000        95,093  

4.13%, 5/15/29

     350,000        395,790  

5.00%, 9/20/37

     250,000        306,127  

4.00%, 9/15/55

     456,000        490,396  

Dollar General Corp.

 

3.88%, 4/15/27

     112,000        126,047  

3.50%, 4/3/30

     268,000        298,978  

Dominion Energy, Inc.

 

4.25%, 6/1/28

     75,000        86,438  

3.38%, 4/1/30, Series C

     600,000        657,822  

5.25%, 8/1/33, Series F

     45,000        57,224  

7.00%, 6/15/38

     25,000        37,706  

4.60%, 3/15/49, Series A

     72,000        92,748  

Dow Chemical Co. (The)

 

4.80%, 11/30/28

     157,000        188,694  

7.38%, 11/1/29

     205,000        286,567  

4.25%, 10/1/34

     120,000        140,461  

5.25%, 11/15/41

     55,000        72,948  

5.55%, 11/30/48

     250,000        355,767  

DTE Electric Co.
2.63%, 3/1/31, Series C

     250,000        265,747  

Duke Energy Carolinas LLC

 

2.95%, 12/1/26

     20,000        21,676  

3.95%, 11/15/28

     354,000        406,937  

Duke Energy Corp.

 

2.65%, 9/1/26

     137,000        145,752  

3.15%, 8/15/27

     237,000        257,645  

3.40%, 6/15/29

     42,000        46,095  

2.45%, 6/1/30

     250,000        256,385  

2.55%, 6/15/31

     250,000        257,382  

4.80%, 12/15/45

   35,000      43,989  

3.75%, 9/1/46

     250,000        271,920  

3.95%, 8/15/47

     250,000        280,237  

Duke Energy Florida LLC
3.20%, 1/15/27

     55,000        60,332  

Duke Energy Progress LLC
3.70%, 9/1/28

     50,000        56,720  

3.45%, 3/15/29

     54,000        60,455  

Duke Realty L.P.
3.25%, 6/30/26

     41,000        44,602  

4.00%, 9/15/28

     60,000        68,768  

1.75%, 2/1/31

     250,000        242,353  

DuPont de Nemours, Inc.
4.73%, 11/15/28

     517,000        616,605  

5.32%, 11/15/38

     250,000        331,210  

5.42%, 11/15/48

     152,000        215,458  

DXC Technology Co.
4.75%, 4/15/27

     247,000        283,277  

E*TRADE Financial Corp.
3.80%, 8/24/27

     100,000        112,046  

Eastman Chemical Co.
4.50%, 12/1/28

     40,000        46,842  

4.65%, 10/15/44

     40,000        49,198  

Eaton Corp.
3.10%, 9/15/27

     226,000        246,641  

eBay, Inc.
3.60%, 6/5/27

     240,000        268,164  

4.00%, 7/15/42

     300,000        342,258  

Ecolab, Inc.
2.70%, 11/1/26

     150,000        161,325  

3.25%, 12/1/27

     25,000        27,691  

4.80%, 3/24/30

     186,000        228,627  

Edison International
4.13%, 3/15/28

     145,000        155,405  

Eli Lilly & Co.
3.38%, 3/15/29

     187,000        210,541  

Enable Midstream Partners L.P.
4.40%, 3/15/27

     35,000        38,965  

4.95%, 5/15/28

     170,000        193,533  

4.15%, 9/15/29

     100,000        109,733  

5.00%, 5/15/44

     60,000        65,714  

Energy Transfer L.P.
5.50%, 6/1/27

     100,000        117,973  

4.00%, 10/1/27

     711,000        790,077  

5.25%, 4/15/29

     175,000        206,432  

3.75%, 5/15/30

     150,000        163,209  

6.63%, 10/15/36

     50,000        66,393  

5.80%, 6/15/38, Series 20Y

     250,000        310,307  

7.50%, 7/1/38

     50,000        70,254  

6.10%, 2/15/42

     50,000        63,153  

4.95%, 1/15/43

     254,000        279,512  

5.35%, 5/15/45

     225,000        265,342  

6.13%, 12/15/45

     50,000        64,410  

5.30%, 4/15/47

     25,000        29,512  

5.40%, 10/1/47

     60,000        72,483  

6.25%, 4/15/49

     300,000        397,896  

5.00%, 5/15/50

     280,000        328,432  

 

See Notes to Financial Statements.

 

90   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Enstar Group Ltd.
4.95%, 6/1/29(b)

   $ 196,000      $ 225,051  

Entergy Corp.
2.95%, 9/1/26

     309,000        331,857  

2.80%, 6/15/30

     315,000        330,010  

Enterprise Products Operating LLC
4.15%, 10/16/28

     371,000        427,288  

3.13%, 7/31/29

     152,000        164,780  

6.65%, 10/15/34, Series H

     290,000        413,424  

5.95%, 2/1/41

     200,000        278,090  

4.45%, 2/15/43

     200,000        236,382  

4.85%, 3/15/44

     250,000        309,705  

5.10%, 2/15/45

     250,000        317,090  

4.25%, 2/15/48

     216,000        250,113  

4.95%, 10/15/54

     175,000        227,036  

3.95%, 1/31/60

     250,000        279,005  

5.25%, 8/16/77, Series E, (5.25% fixed rate until 8/16/27; 3-month U.S. dollar London Interbank Offered Rate + 3.033% thereafter)(d)

     118,000        123,108  

Equinix, Inc.
2.90%, 11/18/26

     100,000        107,146  

1.80%, 7/15/27

     48,000        48,785  

3.20%, 11/18/29

     500,000        539,125  

2.95%, 9/15/51

     225,000        217,796  

Equitable Holdings, Inc.
4.35%, 4/20/28

     529,000        608,477  

5.00%, 4/20/48

     95,000        123,776  

ERP Operating L.P.
3.25%, 8/1/27

     88,000        96,809  

3.50%, 3/1/28

     112,000        124,452  

4.15%, 12/1/28

     153,000        176,897  

Essential Utilities, Inc.
3.57%, 5/1/29

     362,000        403,673  

Essex Portfolio L.P.
4.00%, 3/1/29

     100,000        113,959  

3.00%, 1/15/30

     175,000        186,694  

1.65%, 1/15/31

     250,000        238,498  

Estee Lauder Cos., Inc. (The)
3.15%, 3/15/27

     60,000        66,205  

1.95%, 3/15/31

     250,000        253,507  

Everest Reinsurance Holdings, Inc.
3.50%, 10/15/50

     250,000        272,555  

Evergy, Inc.
2.90%, 9/15/29

     150,000        159,870  

Eversource Energy
1.65%, 8/15/30, Series R

     290,000        280,453  

Exelon Corp.
4.95%, 6/15/35

     51,000        63,344  

Exelon Generation Co. LLC
6.25%, 10/1/39

     395,000        491,538  

5.60%, 6/15/42

     97,000        115,595  

Expedia Group, Inc.
4.63%, 8/1/27

     500,000        566,015  

3.25%, 2/15/30

     100,000        103,689  

Extra Space Storage L.P.
2.55%, 6/1/31

     50,000        50,887  

Federal Realty Investment Trust
3.20%, 6/15/29

   71,000      76,799  

4.50%, 12/1/44

     250,000        306,612  

FedEx Corp.
3.40%, 2/15/28

     90,000        100,017  

3.10%, 8/5/29

     277,000        300,318  

4.25%, 5/15/30

     240,000        280,634  

4.90%, 1/15/34

     25,000        31,412  

3.25%, 5/15/41

     250,000        261,535  

4.75%, 11/15/45

     250,000        315,687  

4.40%, 1/15/47

     170,000        205,890  

4.05%, 2/15/48

     100,000        116,666  

5.25%, 5/15/50(b)

     235,000        324,838  

Fidelity National Financial, Inc.
4.50%, 8/15/28

     220,000        254,025  

Fidelity National Information Services, Inc.
1.65%, 3/1/28(b)

     500,000        500,365  

Fifth Third Bancorp
8.25%, 3/1/38

     250,000        421,215  

First Republic Bank
4.38%, 8/1/46

     75,000        93,962  

Fiserv, Inc.
4.20%, 10/1/28(b)

     337,000        387,429  

2.65%, 6/1/30

     423,000        439,738  

4.40%, 7/1/49

     576,000        707,432  

Flex Ltd.
4.88%, 6/15/29

     100,000        116,314  

Florida Power & Light Co.
5.63%, 4/1/34

     100,000        137,100  

4.05%, 6/1/42

     60,000        73,551  

3.80%, 12/15/42

     133,000        158,645  

Flowers Foods, Inc.
3.50%, 10/1/26

     8,000        8,749  

FMC Corp.
3.45%, 10/1/29

     110,000        120,168  

4.50%, 10/1/49

     272,000        326,457  

Ford Foundation (The)
2.42%, 6/1/50, Series 2020

     75,000        74,009  

Fox Corp.
4.71%, 1/25/29

     333,000        392,690  

5.48%, 1/25/39

     185,000        240,524  

5.58%, 1/25/49

     50,000        68,808  

GATX Corp.
3.85%, 3/30/27

     160,000        176,922  

3.50%, 3/15/28

     100,000        110,541  

4.55%, 11/7/28

     90,000        105,311  

4.70%, 4/1/29

     40,000        47,030  

GE Capital Funding LLC
4.40%, 5/15/30

     750,000        879,990  

GE Capital International Funding Co. Unlimited Co.
4.42%, 11/15/35

     970,000        1,179,423  

General Dynamics Corp.
2.13%, 8/15/26

     114,000        119,902  

2.63%, 11/15/27

     62,000        66,728  

3.75%, 5/15/28

     200,000        227,938  

 

See Notes to Financial Statements.

 

WisdomTree Trust      91  


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

General Electric Co.
3.45%, 5/1/27

   $ 150,000      $ 165,492  

3.63%, 5/1/30

     350,000        393,750  

6.75%, 3/15/32, Series MTNA

     353,000        490,458  

5.88%, 1/14/38

     157,000        215,856  

6.88%, 1/10/39

     85,000        128,825  

4.35%, 5/1/50

     450,000        555,556  

General Mills, Inc.
3.20%, 2/10/27(b)

     53,000        57,908  

4.20%, 4/17/28

     385,000        443,628  

3.00%, 2/1/51(b)(c)

     145,000        150,874  

General Motors Co.
4.20%, 10/1/27

     112,000        125,545  

6.80%, 10/1/27

     50,000        63,008  

5.00%, 4/1/35

     90,000        108,490  

6.60%, 4/1/36

     660,000        904,246  

5.15%, 4/1/38

     450,000        545,814  

6.25%, 10/2/43

     250,000        342,515  

General Motors Financial Co., Inc.
4.00%, 10/6/26

     120,000        132,851  

4.35%, 1/17/27

     273,000        307,862  

3.85%, 1/5/28

     206,000        226,137  

Georgia Power Co.
3.25%, 3/30/27

     110,000        119,792  

Gilead Sciences, Inc.
2.95%, 3/1/27

     62,000        67,007  

1.65%, 10/1/30

     450,000        439,398  

2.60%, 10/1/40

     250,000        243,740  

4.80%, 4/1/44

     600,000        772,392  

2.80%, 10/1/50

     450,000        439,456  

Global Payments, Inc.
4.45%, 6/1/28

     85,000        98,143  

3.20%, 8/15/29

     449,000        482,531  

Globe Life, Inc.
4.55%, 9/15/28

     200,000        235,656  

GLP Capital L.P.
5.75%, 6/1/28

     192,000        229,398  

4.00%, 1/15/30

     250,000        271,907  

Goldman Sachs Group, Inc. (The)
3.50%, 11/16/26

     125,000        136,158  

5.95%, 1/15/27

     150,000        182,781  

3.85%, 1/26/27

     70,000        77,460  

3.69%, 6/5/28, (3.691% fixed rate until 6/5/27; 3-month U.S. dollar London Interbank Offered Rate + 1.51% thereafter)(d)

     96,000        106,728  

3.81%, 4/23/29, (3.814% fixed rate until 4/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.158% thereafter)(d)

     643,000        721,022  

2.60%, 2/7/30

     350,000        365,148  

2.62%, 4/22/32, (2.615% fixed rate until 4/22/31; Secured Overnight Financing Rate + 1.281% thereafter)(d)

     850,000        876,851  

6.75%, 10/1/37

     446,000        650,745  

5.15%, 5/22/45

     430,000        577,473  

Halliburton Co.
2.92%, 3/1/30(b)

   150,000      156,306  

4.85%, 11/15/35

     55,000        65,181  

6.70%, 9/15/38

     56,000        77,446  

7.45%, 9/15/39

     78,000        114,389  

4.50%, 11/15/41

     2,000        2,233  

4.75%, 8/1/43

     200,000        229,690  

5.00%, 11/15/45

     207,000        249,934  

Harley-Davidson, Inc.
4.63%, 7/28/45

     40,000        43,629  

Hartford Financial Services Group, Inc. (The)
4.30%, 4/15/43

     65,000        78,850  

4.40%, 3/15/48

     120,000        150,331  

Hasbro, Inc.
3.55%, 11/19/26

     74,000        81,201  

3.50%, 9/15/27

     174,000        191,280  

6.35%, 3/15/40

     341,000        478,556  

HCA, Inc.
4.50%, 2/15/27

     452,000        512,812  

4.13%, 6/15/29

     300,000        339,849  

5.13%, 6/15/39

     60,000        75,518  

5.50%, 6/15/47

     113,000        149,482  

5.25%, 6/15/49

     233,000        304,188  

3.50%, 7/15/51

     150,000        153,314  

Healthcare Realty Trust, Inc.
3.63%, 1/15/28(b)

     25,000        27,634  

Healthcare Trust of America Holdings L.P.
3.10%, 2/15/30

     325,000        347,539  

2.00%, 3/15/31

     250,000        243,170  

Healthpeak Properties, Inc.
3.25%, 7/15/26

     168,000        182,915  

6.75%, 2/1/41

     32,000        49,159  

Hershey Co. (The)
2.30%, 8/15/26

     85,000        90,262  

1.70%, 6/1/30

     50,000        50,152  

Hess Corp.
4.30%, 4/1/27

     100,000        111,249  

7.13%, 3/15/33

     100,000        135,582  

5.60%, 2/15/41

     250,000        312,220  

Hewlett Packard Enterprise Co.
6.20%, 10/15/35(b)

     100,000        136,349  

6.35%, 10/15/45

     150,000        207,792  

Highwoods Realty L.P.
4.13%, 3/15/28

     25,000        28,197  

4.20%, 4/15/29

     75,000        85,169  

3.05%, 2/15/30

     115,000        121,892  

HollyFrontier Corp.
4.50%, 10/1/30

     50,000        53,850  

Home Depot, Inc. (The)
2.13%, 9/15/26

     101,000        106,379  

2.80%, 9/14/27

     105,000        114,384  

3.90%, 12/6/28

     35,000        40,657  

2.95%, 6/15/29

     295,000        323,155  

1.38%, 3/15/31

     250,000        241,440  

Honeywell International, Inc.
2.50%, 11/1/26

     201,000        214,479  

Hormel Foods Corp.
1.80%, 6/11/30

     150,000        150,765  

 

See Notes to Financial Statements.

 

92   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Host Hotels & Resorts L.P.
3.50%, 9/15/30, Series I

   $ 250,000      $ 263,680  

HP, Inc.
3.40%, 6/17/30

     300,000        321,435  

6.00%, 9/15/41

     185,000        243,371  

Hubbell, Inc.
3.15%, 8/15/27

     8,000        8,617  

3.50%, 2/15/28

     96,000        106,003  

Hudson Pacific Properties L.P.
4.65%, 4/1/29

     185,000        215,623  

3.25%, 1/15/30

     200,000        213,378  

Humana, Inc.
3.95%, 3/15/27

     71,000        79,864  

2.15%, 2/3/32

     500,000        499,020  

4.95%, 10/1/44

     117,000        153,456  

Huntington Ingalls Industries, Inc.
3.48%, 12/1/27

     25,000        27,291  

4.20%, 5/1/30

     250,000        286,785  

Huntsman International LLC
4.50%, 5/1/29

     379,000        435,092  

Illinois Tool Works, Inc.
2.65%, 11/15/26

     99,000        106,514  

Indiana Michigan Power Co.
3.85%, 5/15/28

     92,000        103,850  

Indiana University Health, Inc. Obligated Group
3.97%, 11/1/48

     45,000        56,270  

Ingredion, Inc.
3.20%, 10/1/26

     109,000        118,648  

Intel Corp.
3.15%, 5/11/27

     100,000        110,251  

2.45%, 11/15/29

     55,000        58,061  

3.90%, 3/25/30(b)

     365,000        424,550  

Intercontinental Exchange, Inc.
3.10%, 9/15/27

     90,000        98,357  

3.75%, 9/21/28

     208,000        235,052  

2.10%, 6/15/30

     320,000        321,488  

2.65%, 9/15/40

     250,000        244,555  

3.00%, 6/15/50

     150,000        152,031  

3.00%, 9/15/60

     100,000        99,292  

International Business Machines Corp.
3.30%, 1/27/27

     150,000        165,555  

1.70%, 5/15/27

     100,000        102,028  

3.50%, 5/15/29

     450,000        504,328  

International Flavors & Fragrances, Inc.
4.38%, 6/1/47

     27,000        32,928  

5.00%, 9/26/48

     50,000        66,629  

International Paper Co.
5.15%, 5/15/46

     250,000        336,537  

4.35%, 8/15/48

     134,000        168,379  

Interpublic Group of Cos., Inc. (The)
5.40%, 10/1/48

     125,000        170,781  

Interstate Power & Light Co.
4.10%, 9/26/28

     250,000        289,065  

6.25%, 7/15/39

     10,000        14,405  

3.70%, 9/15/46

     100,000        115,435  

ITC Holdings Corp.
3.25%, 6/30/26

     75,000        81,740  

Jabil, Inc.
3.95%, 1/12/28

   209,000      232,172  

Janus Capital Group, Inc.
4.88%, 8/1/25

     2,000        2,256  

Jefferies Group LLC
4.85%, 1/15/27

     53,000        61,794  

4.15%, 1/23/30

     503,000        570,633  

6.25%, 1/15/36

     268,000        363,810  

6.50%, 1/20/43

     61,000        85,445  

JetBlue Pass Through Trust

     

2.75%, 11/15/33, Series 2019-1, Class AA

     94,843        95,704  

JM Smucker Co. (The)
4.25%, 3/15/35

     222,000        264,235  

4.38%, 3/15/45

     5,000        6,104  

John Deere Capital Corp.
3.05%, 1/6/28

     25,000        27,546  

3.45%, 3/7/29

     250,000        282,532  

2.80%, 7/18/29

     175,000        190,215  

2.45%, 1/9/30

     45,000        47,590  

Johnson & Johnson
4.38%, 12/5/33

     30,000        37,706  

3.40%, 1/15/38

     50,000        57,447  

3.70%, 3/1/46

     103,000        124,295  

Johnson Controls International PLC
6.00%, 1/15/36

     400,000        569,616  

5.13%, 9/14/45

     11,000        14,778  

4.50%, 2/15/47

     120,000        152,552  

JPMorgan Chase & Co.
2.95%, 10/1/26

     97,000        104,610  

7.63%, 10/15/26

     167,000        217,902  

4.13%, 12/15/26

     27,000        30,676  

8.00%, 4/29/27

     1,000        1,342  

4.25%, 10/1/27

     244,000        280,310  

3.63%, 12/1/27

     35,000        38,511  

3.78%, 2/1/28, (3.782% fixed rate until 2/1/27; 3-month U.S. dollar London Interbank Offered Rate + 1.337% thereafter)(d)

     129,000        143,660  

3.54%, 5/1/28, (3.54% fixed rate until 5/1/27; 3-month U.S. dollar London Interbank Offered Rate + 1.38% thereafter)(d)

     268,000        295,481  

3.51%, 1/23/29, (3.509% fixed rate until 1/23/28; 3-month U.S. dollar London Interbank Offered Rate + 0.945% thereafter)(d)

     110,000        121,619  

4.01%, 4/23/29, (4.005% fixed rate until 4/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.12% thereafter)(d)

     490,000        556,464  

4.20%, 7/23/29, (4.203% fixed rate until 7/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.26% thereafter)(d)

     355,000        408,470  

4.45%, 12/5/29, (4.452% fixed rate until 12/5/28; 3-month U.S. dollar London Interbank Offered Rate + 1.33% thereafter)(d)

     211,000        246,906  

 

See Notes to Financial Statements.

 

WisdomTree Trust      93  


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

2.52%, 4/22/31, (2.522% fixed rate until 4/22/30; Secured Overnight Financing Rate + 2.04% thereafter)(d)

   $ 350,000      $ 362,855  

2.96%, 5/13/31, (2.956% fixed rate until 5/13/30; Secured Overnight Financing Rate + 2.515% thereafter)(d)

     550,000        582,708  

1.95%, 2/4/32, (1.953% fixed rate until 2/4/31; Secured Overnight Financing Rate + 1.065% thereafter)(d)

     500,000        491,370  

2.58%, 4/22/32, (2.58% fixed rate until 4/22/31; Secured Overnight Financing Rate + 1.25% thereafter)(d)

     500,000        517,510  

Juniper Networks, Inc.
2.00%, 12/10/30(b)

     50,000        48,426  

Kansas City Southern
2.88%, 11/15/29

     200,000        211,928  

4.70%, 5/1/48

     125,000        156,358  

4.20%, 11/15/69

     50,000        58,664  

Kellogg Co.
3.40%, 11/15/27

     155,000        171,151  

7.45%, 4/1/31, Series B

     150,000        217,626  

Kennametal, Inc.
4.63%, 6/15/28

     240,000        273,178  

Keurig Dr. Pepper, Inc.
2.55%, 9/15/26

     50,000        53,144  

3.43%, 6/15/27

     90,000        99,670  

4.60%, 5/25/28

     170,000        199,626  

3.20%, 5/1/30

     550,000        599,720  

5.09%, 5/25/48

     125,000        167,819  

KeyBank NA
3.90%, 4/13/29

     75,000        84,860  

KeyCorp
4.10%, 4/30/28

     290,000        335,846  

2.55%, 10/1/29

     90,000        94,901  

Kilroy Realty L.P.
4.25%, 8/15/29

     150,000        171,570  

3.05%, 2/15/30

     120,000        128,014  

Kimberly-Clark Corp.
3.20%, 4/25/29

     117,000        130,436  

Kimco Realty Corp.
2.70%, 10/1/30

     50,000        51,855  

3.70%, 10/1/49

     250,000        276,920  

Kinder Morgan Energy Partners L.P.
7.30%, 8/15/33

     1,000        1,426  

5.80%, 3/15/35

     50,000        64,800  

6.95%, 1/15/38

     90,000        129,020  

6.38%, 3/1/41

     8,000        11,145  

5.00%, 8/15/42

     200,000        242,364  

5.00%, 3/1/43

     350,000        425,022  

5.40%, 9/1/44

     75,000        95,060  

Kinder Morgan, Inc.
4.30%, 3/1/28

     192,000        219,640  

2.00%, 2/15/31(b)

     150,000        146,397  

7.75%, 1/15/32

     187,000        270,810  

5.30%, 12/1/34

     168,000        208,947  

5.55%, 6/1/45

     148,000        192,357  

5.05%, 2/15/46

   80,000      98,582  

5.20%, 3/1/48

     100,000        126,938  

3.25%, 8/1/50

     150,000        148,049  

Kirby Corp.
4.20%, 3/1/28

     80,000        89,374  

KLA Corp.
3.30%, 3/1/50

     250,000        273,347  

Kohl’s Corp.
5.55%, 7/17/45

     177,000        220,108  

Kroger Co. (The)
2.65%, 10/15/26

     55,000        58,645  

3.70%, 8/1/27

     295,000        331,704  

5.40%, 7/15/40

     50,000        66,921  

5.00%, 4/15/42

     66,000        85,570  

5.15%, 8/1/43

     25,000        33,019  

4.45%, 2/1/47

     51,000        62,315  

4.65%, 1/15/48

     69,000        86,830  

5.40%, 1/15/49

     250,000        348,480  

L3Harris Technologies, Inc.
4.40%, 6/15/28

     381,000        440,554  

4.85%, 4/27/35

     67,000        84,983  

Laboratory Corp. of America Holdings
3.60%, 9/1/27

     225,000        249,385  

4.70%, 2/1/45

     75,000        93,276  

Lam Research Corp.
4.00%, 3/15/29(b)

     217,000        251,889  

Las Vegas Sands Corp.
3.50%, 8/18/26

     100,000        105,010  

3.90%, 8/8/29

     137,000        144,316  

Lear Corp.
4.25%, 5/15/29

     498,000        565,584  

Leggett & Platt, Inc.
3.50%, 11/15/27

     25,000        27,391  

Leidos, Inc.
2.30%, 2/15/31

     350,000        346,811  

LifeStorage L.P.
3.50%, 7/1/26

     60,000        65,977  

3.88%, 12/15/27

     25,000        28,235  

Lincoln National Corp.
3.80%, 3/1/28

     38,000        42,718  

3.05%, 1/15/30

     200,000        215,978  

4.35%, 3/1/48

     303,000        369,802  

Lowe’s Cos., Inc.
3.10%, 5/3/27

     60,000        65,611  

3.65%, 4/5/29

     500,000        561,625  

4.50%, 4/15/30

     250,000        296,967  

5.00%, 4/15/40

     350,000        454,685  

5.13%, 4/15/50

     250,000        343,397  

3.00%, 10/15/50

     350,000        351,239  

LYB International Finance B.V.
5.25%, 7/15/43

     100,000        131,744  

4.88%, 3/15/44

     195,000        247,786  

LYB International Finance III LLC
3.38%, 10/1/40

     100,000        106,001  

4.20%, 10/15/49

     300,000        352,836  

3.80%, 10/1/60

     310,000        340,374  

 

See Notes to Financial Statements.

 

94   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Magellan Midstream Partners L.P.
3.25%, 6/1/30

   $ 250,000      $ 269,557  

5.15%, 10/15/43

     72,000        89,805  

4.20%, 10/3/47

     160,000        180,843  

Marathon Oil Corp.
4.40%, 7/15/27(b)

     165,000        186,722  

6.60%, 10/1/37

     79,000        105,083  

Marathon Petroleum Corp.
6.50%, 3/1/41

     240,000        334,008  

4.75%, 9/15/44

     51,000        60,467  

4.50%, 4/1/48

     25,000        28,615  

5.00%, 9/15/54

     40,000        48,878  

Markel Corp.
3.50%, 11/1/27

     100,000        110,701  

5.00%, 4/5/46

     250,000        328,702  

Marriott International, Inc.
4.63%, 6/15/30

     250,000        288,242  

Marsh & McLennan Cos., Inc.
4.38%, 3/15/29

     171,000        201,123  

2.25%, 11/15/30

     450,000        461,821  

Martin Marietta Materials, Inc.
3.45%, 6/1/27

     25,000        27,452  

4.25%, 12/15/47

     180,000        214,398  

3.20%, 7/15/51

     250,000        256,675  

Marvell Technology, Inc.
2.95%, 4/15/31(c)

     300,000        312,012  

Masco Corp.
1.50%, 2/15/28

     500,000        493,365  

Massachusetts Institute of Technology
5.60%, 7/1/2111

     60,000        107,375  

Mastercard, Inc.
2.95%, 11/21/26

     50,000        54,662  

3.50%, 2/26/28

     52,000        58,542  

2.95%, 6/1/29

     145,000        159,103  

1.90%, 3/15/31

     250,000        255,737  

McCormick & Co., Inc.
3.40%, 8/15/27

     110,000        122,276  

McDonald’s Corp.
3.80%, 4/1/28

     328,000        371,404  

2.63%, 9/1/29

     100,000        105,664  

2.13%, 3/1/30

     150,000        152,814  

3.60%, 7/1/30

     250,000        282,567  

4.70%, 12/9/35

     81,000        101,555  

6.30%, 3/1/38

     18,000        26,148  

4.88%, 7/15/40

     150,000        193,230  

3.70%, 2/15/42

     150,000        169,572  

4.60%, 5/26/45

     92,000        116,692  

4.88%, 12/9/45

     88,000        116,057  

4.45%, 3/1/47

     69,000        86,282  

4.45%, 9/1/48

     40,000        50,298  

3.63%, 9/1/49

     250,000        281,780  

MDC Holdings, Inc.
3.85%, 1/15/30

     50,000        54,393  

Medtronic Global Holdings SCA
3.35%, 4/1/27

     143,000        157,883  

Memorial Health Services
3.45%, 11/1/49

     47,000        52,854  

Merck & Co., Inc.
3.40%, 3/7/29

   288,000      324,187  

Mercury General Corp.
4.40%, 3/15/27

     160,000        181,670  

MetLife, Inc.
6.40%, 12/15/66

     140,000        179,760  

Micron Technology, Inc.
5.33%, 2/6/29

     337,000        408,023  

Microsoft Corp.
3.50%, 2/12/35

     250,000        294,102  

4.50%, 10/1/40

     50,000        66,669  

Mid-America Apartments L.P.
3.95%, 3/15/29

     340,000        388,042  

1.70%, 2/15/31(b)

     100,000        96,363  

MidAmerican Energy Co.
3.10%, 5/1/27

     200,000        219,272  

Molson Coors Beverage Co.
3.00%, 7/15/26

     167,000        179,543  

5.00%, 5/1/42

     60,000        74,947  

4.20%, 7/15/46

     315,000        356,624  

Mondelez International, Inc.
2.75%, 4/13/30

     50,000        53,019  

1.50%, 2/4/31

     500,000        479,350  

1.88%, 10/15/32

     25,000        24,470  

2.63%, 9/4/50

     150,000        143,291  

Moody’s Corp.
3.25%, 1/15/28

     33,000        36,221  

5.25%, 7/15/44

     250,000        343,997  

Morgan Stanley
4.35%, 9/8/26

     535,000        607,926  

3.63%, 1/20/27

     249,000        277,067  

3.95%, 4/23/27

     350,000        393,393  

3.59%, 7/22/28, (3.591% fixed rate until 7/22/27; 3-month U.S. dollar London Interbank Offered Rate + 1.34% thereafter)(d)

     163,000        181,170  

3.77%, 1/24/29, (3.772% fixed rate until 1/24/28; 3-month U.S. dollar London Interbank Offered Rate + 1.14% thereafter)(d)

     518,000        579,766  

4.43%, 1/23/30, (4.431% fixed rate until 1/23/29; 3-month U.S. dollar London Interbank Offered Rate + 1.628% thereafter)(d)

     275,000        321,607  

2.70%, 1/22/31, (2.699% fixed rate until 1/22/30; Secured Overnight Financing Rate + 1.143% thereafter)(d)

     450,000        471,793  

1.79%, 2/13/32, (1.794% fixed rate until 2/13/31; Secured Overnight Financing Rate + 1.034% thereafter)(d)

     500,000        484,695  

1.93%, 4/28/32, (1.928% fixed rate until 4/28/31; Secured Overnight Financing Rate + 1.02% thereafter)(d)

     500,000        489,080  

Mosaic Co. (The)
4.05%, 11/15/27

     223,000        252,523  

5.63%, 11/15/43

     38,000        50,957  

 

See Notes to Financial Statements.

 

WisdomTree Trust      95  


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Motorola Solutions, Inc.
4.60%, 2/23/28

   $ 50,000      $ 58,206  

4.60%, 5/23/29

     75,000        88,016  

2.30%, 11/15/30

     75,000        74,683  

5.50%, 9/1/44

     250,000        328,952  

MPLX L.P.
4.25%, 12/1/27

     50,000        56,715  

4.00%, 3/15/28

     280,000        312,785  

4.80%, 2/15/29(b)

     60,000        70,357  

2.65%, 8/15/30

     200,000        203,510  

5.20%, 3/1/47

     35,000        43,075  

5.20%, 12/1/47

     275,000        336,341  

4.70%, 4/15/48

     500,000        582,335  

Mylan, Inc.
4.55%, 4/15/28

     166,000        191,703  

5.20%, 4/15/48

     150,000        187,130  

Nasdaq, Inc.
1.65%, 1/15/31

     650,000        620,210  

National Fuel Gas Co.
3.95%, 9/15/27

     150,000        162,371  

4.75%, 9/1/28

     65,000        73,701  

National Retail Properties, Inc.
3.50%, 10/15/27

     15,000        16,437  

2.50%, 4/15/30

     200,000        205,842  

3.50%, 4/15/51

     150,000        160,592  

National Rural Utilities Cooperative Finance Corp.
3.40%, 2/7/28

     100,000        110,603  

3.70%, 3/15/29

     167,000        189,797  

NewMarket Corp.
2.70%, 3/18/31

     50,000        50,823  

Newmont Corp.
2.80%, 10/1/29

     110,000        115,873  

6.25%, 10/1/39

     93,000        134,677  

5.45%, 6/9/44

     250,000        347,330  

NextEra Energy Capital Holdings, Inc.
3.50%, 4/1/29

     327,000        362,990  

2.75%, 11/1/29

     500,000        529,935  

4.80%, 12/1/77, (4.80% fixed rate until 12/1/27; 3-month U.S. dollar London Interbank Offered Rate + 2.409% thereafter)(d)

     33,000        37,232  

NIKE, Inc.
2.38%, 11/1/26

     49,000        52,252  

2.85%, 3/27/30

     420,000        458,976  

NiSource, Inc.
3.49%, 5/15/27

     110,000        121,553  

3.60%, 5/1/30

     515,000        574,251  

5.95%, 6/15/41

     2,000        2,861  

4.80%, 2/15/44

     40,000        50,998  

5.65%, 2/1/45

     224,000        314,467  

4.38%, 5/15/47

     181,000        221,461  

3.95%, 3/30/48

     75,000        87,174  

Nordstrom, Inc.
5.00%, 1/15/44

     250,000        248,630  

Norfolk Southern Corp.
3.15%, 6/1/27

     100,000        109,069  

3.80%, 8/1/28

     149,000        169,094  

4.84%, 10/1/41

   120,000      156,551  

3.95%, 10/1/42

     250,000        294,047  

3.94%, 11/1/47

     71,000        82,911  

3.05%, 5/15/50

     250,000        255,772  

3.16%, 5/15/55

     40,000        41,357  

4.10%, 5/15/2121

     100,000        115,470  

Northern Trust Corp.
3.15%, 5/3/29

     181,000        200,705  

3.38%, 5/8/32, (3.375% fixed rate until 5/8/27; 3-month U.S. dollar London Interbank Offered Rate + 1.131% thereafter)(d)

     30,000        32,772  

Northrop Grumman Corp.
3.20%, 2/1/27

     100,000        109,199  

3.25%, 1/15/28

     100,000        109,376  

5.15%, 5/1/40

     250,000        331,867  

5.05%, 11/15/40

     26,000        34,354  

4.75%, 6/1/43

     60,000        77,971  

5.25%, 5/1/50

     372,000        530,431  

Northrop Grumman Systems Corp.
7.75%, 2/15/31

     170,000        249,319  

NOV, Inc.
3.95%, 12/1/42

     105,000        104,990  

NSTAR Electric Co.
3.20%, 5/15/27

     150,000        164,961  

Nucor Corp.
5.20%, 8/1/43

     200,000        273,264  

2.98%, 12/15/55(c)

     27,000        27,411  

NVIDIA Corp.
2.85%, 4/1/30

     250,000        270,930  

O’Reilly Automotive, Inc.
3.60%, 9/1/27

     100,000        112,382  

4.20%, 4/1/30

     250,000        290,805  

1.75%, 3/15/31

     250,000        242,667  

Oglethorpe Power Corp.
5.25%, 9/1/50

     255,000        334,019  

Oklahoma Gas & Electric Co.
3.80%, 8/15/28

     135,000        153,504  

Omega Healthcare Investors, Inc.
4.50%, 4/1/27

     90,000        101,132  

4.75%, 1/15/28

     60,000        68,148  

3.63%, 10/1/29

     100,000        106,876  

Omnicom Group, Inc.
2.45%, 4/30/30

     525,000        538,891  

ONEOK Partners L.P.
6.13%, 2/1/41

     100,000        129,393  

6.20%, 9/15/43

     25,000        32,690  

ONEOK, Inc.
4.00%, 7/13/27

     430,000        477,713  

4.55%, 7/15/28

     357,000        408,447  

4.45%, 9/1/49

     150,000        169,409  

7.15%, 1/15/51

     150,000        221,171  

Oracle Corp.
2.65%, 7/15/26

     125,000        132,446  

2.80%, 4/1/27

     310,000        331,002  

3.25%, 11/15/27

     414,000        452,258  

2.30%, 3/25/28

     275,000        284,056  

 

See Notes to Financial Statements.

 

96   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

2.95%, 4/1/30

   $ 600,000      $ 637,632  

2.88%, 3/25/31

     633,000        667,017  

3.80%, 11/15/37

     400,000        439,064  

6.50%, 4/15/38

     250,000        356,142  

3.60%, 4/1/40

     400,000        426,004  

5.38%, 7/15/40

     350,000        454,317  

3.65%, 3/25/41

     200,000        213,824  

4.13%, 5/15/45

     250,000        280,880  

4.00%, 7/15/46

     250,000        275,920  

4.00%, 11/15/47

     500,000        550,975  

3.60%, 4/1/50

     250,000        261,365  

3.95%, 3/25/51

     500,000        554,465  

3.85%, 4/1/60

     300,000        323,058  

4.10%, 3/25/61

     150,000        169,305  

Oshkosh Corp.
4.60%, 5/15/28

     32,000        37,193  

Otis Worldwide Corp.
2.29%, 4/5/27

     200,000        209,626  

2.57%, 2/15/30

     478,000        500,045  

Owens Corning
3.40%, 8/15/26

     260,000        282,805  

7.00%, 12/1/36

     32,000        47,047  

Owl Rock Capital Corp.
2.88%, 6/11/28

     350,000        352,026  

Pacific Gas and Electric Co.
3.30%, 3/15/27(b)

     150,000        154,839  

2.10%, 8/1/27

     50,000        48,467  

4.55%, 7/1/30

     250,000        268,142  

2.50%, 2/1/31

     400,000        378,240  

4.50%, 7/1/40

     432,000        439,262  

4.20%, 6/1/41

     75,000        74,027  

4.60%, 6/15/43

     540,000        550,762  

4.95%, 7/1/50

     350,000        370,821  

Packaging Corp. of America
3.00%, 12/15/29

     242,000        259,119  

Parker-Hannifin Corp.
3.25%, 3/1/27(b)

     100,000        108,800  

3.25%, 6/14/29

     422,000        459,199  

4.00%, 6/14/49

     150,000        176,531  

PayPal Holdings, Inc.
2.65%, 10/1/26

     79,000        84,940  

2.85%, 10/1/29

     350,000        377,905  

2.30%, 6/1/30

     350,000        364,259  

Pentair Finance Sarl
4.50%, 7/1/29

     233,000        271,545  

PepsiCo, Inc.
2.38%, 10/6/26

     125,000        133,870  

3.00%, 10/15/27

     103,000        113,708  

1.40%, 2/25/31(b)

     300,000        294,153  

PerkinElmer, Inc.
2.55%, 3/15/31

     200,000        206,116  

Perrigo Finance Unlimited Co.
3.15%, 6/15/30

     50,000        52,497  

Pfizer, Inc.
3.00%, 12/15/26

     160,000        176,210  

3.60%, 9/15/28

     94,000        107,085  

3.45%, 3/15/29

     293,000        330,943  

2.63%, 4/1/30

   100,000      107,358  

1.70%, 5/28/30(b)

     100,000        100,193  

Philip Morris International, Inc.
3.13%, 3/2/28

     73,000        79,682  

3.38%, 8/15/29

     50,000        55,474  

1.75%, 11/1/30

     250,000        244,292  

Phillips 66
4.65%, 11/15/34

     322,000        382,539  

5.88%, 5/1/42

     300,000        413,667  

Phillips 66 Partners L.P.
3.75%, 3/1/28

     245,000        267,878  

4.90%, 10/1/46

     100,000        119,592  

Physicians Realty L.P.
3.95%, 1/15/28

     25,000        27,682  

Piedmont Natural Gas Co., Inc.
3.50%, 6/1/29

     578,000        638,366  

Pioneer Natural Resources Co.
1.90%, 8/15/30

     455,000        439,630  

Plains All American Pipeline L.P.
4.50%, 12/15/26

     171,000        192,059  

3.55%, 12/15/29

     50,000        53,097  

6.65%, 1/15/37

     250,000        331,297  

4.70%, 6/15/44

     47,000        50,172  

PNC Financial Services Group, Inc. (The)
2.60%, 7/23/26(b)

     250,000        267,830  

3.45%, 4/23/29

     335,000        374,299  

2.55%, 1/22/30

     350,000        368,263  

PPG Industries, Inc.
2.80%, 8/15/29

     82,000        87,314  

PPL Capital Funding, Inc.
3.10%, 5/15/26

     99,000        106,566  

4.13%, 4/15/30

     100,000        116,834  

President & Fellows of Harvard College
2.52%, 10/15/50

     125,000        127,328  

Principal Financial Group, Inc.
3.10%, 11/15/26

     25,000        27,170  

3.70%, 5/15/29

     21,000        23,747  

Progressive Corp. (The)
2.45%, 1/15/27

     25,000        26,736  

6.63%, 3/1/29

     105,000        139,351  

Prologis L.P.
4.38%, 2/1/29

     60,000        70,936  

Prudential Financial, Inc.

     

4.50%, 9/15/47, (4.50% fixed rate until 9/15/27; 3-month U.S. dollar London Interbank Offered Rate + 2.38% thereafter)(d)

     283,000        310,411  

5.70%, 9/15/48, (5.70% fixed rate until 9/15/28; 3-month U.S. dollar London Interbank Offered Rate + 2.665% thereafter)(b)(d)

     150,000        176,762  

Public Service Co. of Colorado
3.70%, 6/15/28

     126,000        142,553  

Public Service Electric & Gas Co.
2.25%, 9/15/26

     29,000        30,536  

3.00%, 5/15/27

     35,000        38,131  

3.20%, 5/15/29

     270,000        298,709  

 

See Notes to Financial Statements.

 

WisdomTree Trust      97  


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Public Storage
3.09%, 9/15/27

   $ 90,000      $ 99,201  

PulteGroup, Inc.
6.00%, 2/15/35

     350,000        462,955  

QUALCOMM, Inc.
3.25%, 5/20/27

     162,000        179,456  

1.30%, 5/20/28

     88,000        86,954  

Quest Diagnostics, Inc.
2.95%, 6/30/30

     405,000        433,978  

Raymond James Financial, Inc.
4.95%, 7/15/46

     155,000        203,720  

Raytheon Technologies Corp.
3.50%, 3/15/27

     190,000        210,108  

3.13%, 5/4/27

     208,000        226,851  

7.20%, 8/15/27

     21,000        27,636  

4.13%, 11/16/28

     588,000        677,335  

7.50%, 9/15/29

     78,000        109,560  

2.25%, 7/1/30

     325,000        332,475  

6.13%, 7/15/38

     123,000        176,050  

4.45%, 11/16/38

     152,000        186,249  

5.70%, 4/15/40

     125,000        174,976  

4.88%, 10/15/40

     250,000        322,320  

4.50%, 6/1/42

     261,000        326,383  

4.15%, 5/15/45

     119,000        142,372  

3.75%, 11/1/46

     106,000        120,744  

4.35%, 4/15/47

     27,000        33,430  

4.05%, 5/4/47

     25,000        29,688  

4.63%, 11/16/48

     45,000        58,319  

3.13%, 7/1/50

     250,000        260,827  

Realty Income Corp.
4.13%, 10/15/26

     95,000        107,712  

3.00%, 1/15/27

     146,000        158,172  

3.65%, 1/15/28

     136,000        152,810  

Regency Centers L.P.
4.13%, 3/15/28

     40,000        45,453  

2.95%, 9/15/29

     272,000        289,620  

4.40%, 2/1/47

     13,000        15,663  

Regeneron Pharmaceuticals, Inc.
1.75%, 9/15/30

     100,000        96,325  

Regions Financial Corp.
7.38%, 12/10/37

     50,000        77,489  

Reinsurance Group of America, Inc.
3.15%, 6/15/30

     250,000        269,297  

Republic Services, Inc.
3.95%, 5/15/28

     90,000        102,488  

1.45%, 2/15/31

     250,000        238,148  

1.75%, 2/15/32

     350,000        338,754  

Rockwell Automation, Inc.
3.50%, 3/1/29

     68,000        76,716  

Roper Technologies, Inc.
3.80%, 12/15/26

     90,000        100,755  

1.40%, 9/15/27

     99,000        98,703  

2.00%, 6/30/30

     400,000        398,772  

Ross Stores, Inc.
1.88%, 4/15/31

     250,000        244,965  

Royalty Pharma PLC
2.20%, 9/2/30(b)

     290,000        287,555  

3.30%, 9/2/40

     250,000        253,972  

RPM International, Inc.
3.75%, 3/15/27

   73,000      80,407  

4.55%, 3/1/29

     100,000        115,876  

S&P Global, Inc.
2.95%, 1/22/27

     5,000        5,418  

Sabine Pass Liquefaction LLC
5.88%, 6/30/26

     250,000        295,557  

5.00%, 3/15/27

     50,000        57,872  

4.20%, 3/15/28

     302,000        339,569  

4.50%, 5/15/30

     232,000        269,482  

Sabra Health Care L.P.
5.13%, 8/15/26

     50,000        56,441  

3.90%, 10/15/29

     265,000        284,220  

Santander Holdings USA, Inc.
4.40%, 7/13/27

     102,000        115,178  

Sempra Energy
3.25%, 6/15/27

     40,000        43,565  

3.40%, 2/1/28

     246,000        268,617  

3.80%, 2/1/38

     150,000        168,414  

ServiceNow, Inc.
1.40%, 9/1/30

     250,000        237,840  

Sherwin-Williams Co. (The)
3.45%, 6/1/27

     116,000        128,373  

2.95%, 8/15/29

     110,000        118,390  

2.30%, 5/15/30(b)

     290,000        297,131  

4.55%, 8/1/45

     12,000        15,127  

4.50%, 6/1/47

     200,000        251,970  

Shire Acquisitions Investments Ireland DAC
3.20%, 9/23/26

     278,000        301,875  

Simon Property Group L.P.
3.38%, 6/15/27

     175,000        192,484  

2.45%, 9/13/29

     142,000        146,785  

SITE Centers Corp.
4.70%, 6/1/27

     30,000        33,803  

Snap-on, Inc.
3.25%, 3/1/27

     150,000        164,657  

Southern California Edison Co.
3.65%, 3/1/28, Series B

     70,000        76,893  

4.20%, 3/1/29, Series A

     100,000        113,465  

6.65%, 4/1/29

     208,000        261,152  

Southern California Gas Co.
4.30%, 1/15/49, Series VV

     135,000        170,563  

3.95%, 2/15/50, Series WW

     76,000        91,534  

Southern Co. (The)
3.25%, 7/1/26

     64,000        69,384  

3.70%, 4/30/30, Series A

     100,000        111,547  

4.25%, 7/1/36

     257,000        302,350  

4.40%, 7/1/46

     250,000        300,960  

Southern Co. Gas Capital Corp.
5.88%, 3/15/41

     350,000        493,059  

4.40%, 5/30/47

     3,000        3,602  

Southern Power Co.
5.25%, 7/15/43

     15,000        19,164  

4.95%, 12/15/46, Series F

     160,000        197,906  

Southwest Airlines Co.
5.13%, 6/15/27

     225,000        263,464  

3.45%, 11/16/27

     100,000        108,566  

 

See Notes to Financial Statements.

 

98   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Southwestern Electric Power Co.
2.75%, 10/1/26, Series K

   $ 110,000      $ 116,998  

4.10%, 9/15/28, Series M

     229,000        262,258  

3.85%, 2/1/48, Series L

     250,000        281,630  

Spectra Energy Partners L.P.
5.95%, 9/25/43

     250,000        346,932  

Spirit Airlines Pass Through Trust
4.10%, 10/1/29, Series A

     119,691        125,099  

Spirit Realty L.P.
3.40%, 1/15/30

     150,000        161,195  

Stanford Health Care
3.80%, 11/15/48, Series 2018

     35,000        42,308  

Stanley Black & Decker, Inc.
4.25%, 11/15/28

     125,000        146,886  

Starbucks Corp.
4.00%, 11/15/28

     383,000        442,618  

3.55%, 8/15/29

     379,000        425,644  

4.30%, 6/15/45

     150,000        181,878  

4.45%, 8/15/49

     150,000        189,546  

3.50%, 11/15/50

     150,000        164,777  

State Street Corp.

     

3.03%, 11/1/34, (3.031% fixed rate until 11/1/29; Secured Overnight Financing Rate + 1.49% thereafter)(d)

     310,000        332,769  

Steel Dynamics, Inc.
3.45%, 4/15/30

     24,000        26,325  

3.25%, 1/15/31

     50,000        54,373  

Steelcase, Inc.
5.13%, 1/18/29

     70,000        82,013  

STERIS Irish FinCo Unlimited Co.
2.70%, 3/15/31

     200,000        206,746  

STORE Capital Corp.
4.50%, 3/15/28

     30,000        34,227  

4.63%, 3/15/29

     25,000        28,819  

Stryker Corp.
4.63%, 3/15/46

     575,000        756,895  

Synchrony Financial
3.70%, 8/4/26

     99,000        108,549  

3.95%, 12/1/27

     223,000        248,977  

Sysco Corp.
3.30%, 7/15/26

     170,000        184,911  

3.25%, 7/15/27

     210,000        229,490  

5.95%, 4/1/30

     160,000        206,438  

5.38%, 9/21/35

     22,000        28,867  

6.60%, 4/1/50

     227,000        363,892  

T-Mobile USA, Inc.
3.75%, 4/15/27

     787,000        873,688  

2.05%, 2/15/28

     250,000        254,405  

3.88%, 4/15/30

     1,000,000        1,120,400  

2.55%, 2/15/31

     153,000        156,371  

2.25%, 11/15/31

     150,000        149,406  

4.38%, 4/15/40

     200,000        234,246  

3.00%, 2/15/41

     400,000        397,388  

4.50%, 4/15/50

     300,000        360,516  

3.30%, 2/15/51

     250,000        251,087  

3.40%, 10/15/52(c)

     250,000        253,975  

Tanger Properties L.P.
3.13%, 9/1/26

     90,000        94,300  

Tapestry, Inc.
4.13%, 7/15/27

   84,000      92,088  

Target Corp.
3.38%, 4/15/29

     280,000        315,028  

TC PipeLines L.P.
3.90%, 5/25/27

     217,000        241,334  

TD Ameritrade Holding Corp.
3.30%, 4/1/27

     135,000        149,035  

Teledyne FLIR LLC
2.50%, 8/1/30

     200,000        205,072  

Teledyne Technologies, Inc.
2.25%, 4/1/28

     75,000        77,227  

2.75%, 4/1/31

     50,000        52,229  

Texas Instruments, Inc.
2.90%, 11/3/27

     65,000        71,187  

2.25%, 9/4/29

     100,000        104,614  

Textron, Inc.
3.38%, 3/1/28

     450,000        490,297  

Thermo Fisher Scientific, Inc.
3.20%, 8/15/27

     590,000        647,690  

2.00%, 10/15/31

     200,000        199,798  

2.80%, 10/15/41

     250,000        255,635  

4.10%, 8/15/47

     40,000        49,760  

Time Warner Cable LLC
6.55%, 5/1/37

     401,000        548,644  

7.30%, 7/1/38

     50,000        72,941  

6.75%, 6/15/39

     77,000        107,978  

4.50%, 9/15/42

     500,000        562,010  

Timken Co. (The)
4.50%, 12/15/28

     256,000        290,371  

TJX Cos., Inc. (The)
2.25%, 9/15/26

     80,000        84,486  

1.60%, 5/15/31(b)

     315,000        308,426  

Toyota Motor Credit Corp.
2.15%, 2/13/30

     500,000        517,065  

Trane Technologies Global Holding Co., Ltd.
3.75%, 8/21/28(b)

     83,000        93,471  

5.75%, 6/15/43

     50,000        73,483  

Trane Technologies Luxembourg Finance S.A.
3.80%, 3/21/29

     140,000        158,873  

Transatlantic Holdings, Inc.
8.00%, 11/30/39

     30,000        47,105  

Transcontinental Gas Pipe Line Co. LLC
4.00%, 3/15/28

     295,000        333,521  

3.95%, 5/15/50

     250,000        284,427  

Trimble, Inc.
4.90%, 6/15/28

     120,000        140,128  

Truist Bank
3.30%, 5/15/26

     40,000        44,014  

2.25%, 3/11/30

     250,000        256,327  

Trustees of Princeton University (The)
5.70%, 3/1/39

     90,000        134,213  

TWDC Enterprises 18 Corp.
1.85%, 7/30/26

     31,000        32,166  

2.95%, 6/15/27

     112,000        122,773  

Tyco Electronics Group S.A.
3.13%, 8/15/27

     120,000        131,635  

 

See Notes to Financial Statements.

 

WisdomTree Trust      99  


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Tyson Foods, Inc.
4.35%, 3/1/29

   $ 385,000      $ 450,677  

4.88%, 8/15/34

     126,000        158,274  

5.15%, 8/15/44

     100,000        133,327  

4.55%, 6/2/47

     50,000        62,876  

5.10%, 9/28/48

     54,000        74,001  

U.S. Bancorp
3.15%, 4/27/27, Series X

     339,000        373,737  

3.00%, 7/30/29

     175,000        190,792  

UDR, Inc.
2.95%, 9/1/26

     40,000        42,931  

3.50%, 1/15/28

     25,000        27,572  

4.40%, 1/26/29

     79,000        91,766  

3.20%, 1/15/30

     210,000        228,348  

3.00%, 8/15/31

     73,000        77,544  

Union Pacific Corp.
3.95%, 9/10/28

     100,000        114,507  

2.38%, 5/20/31

     350,000        362,358  

3.20%, 5/20/41

     250,000        267,157  

4.05%, 3/1/46

     99,000        117,020  

4.00%, 4/15/47

     65,000        76,846  

4.50%, 9/10/48

     159,000        202,272  

3.25%, 2/5/50

     350,000        373,786  

3.80%, 10/1/51

     85,000        99,221  

3.88%, 2/1/55

     30,000        34,708  

2.97%, 9/16/62

     160,000        158,218  

3.75%, 2/5/70

     250,000        285,472  

3.80%, 4/6/71(c)

     205,000        235,922  

United Airlines Pass Through Trust
4.30%, 2/15/27, Series 2013-1, Class A

     290,567        312,472  

4.00%, 10/11/27, Series A

     44,859        47,487  

3.75%, 3/3/28, Series A

     11,738        12,419  

3.45%, 1/7/30, Series A

     23,668        23,979  

United Parcel Service, Inc.
3.05%, 11/15/27

     49,000        54,412  

3.40%, 3/15/29

     150,000        168,638  

UnitedHealth Group, Inc.
3.45%, 1/15/27

     103,000        114,687  

3.38%, 4/15/27

     95,000        105,729  

2.95%, 10/15/27

     100,000        109,620  

3.85%, 6/15/28

     95,000        108,986  

3.88%, 12/15/28

     190,000        219,290  

Universal Health Services, Inc.
2.65%, 1/15/32(c)

     250,000        251,580  

University of Notre Dame du Lac
3.39%, 2/15/48, Series 2017

     12,000        14,127  

University of Southern California
3.03%, 10/1/39

     49,000        53,336  

Unum Group
5.75%, 8/15/42

     122,000        153,104  

4.50%, 12/15/49

     75,000        80,363  

Utah Acquisition Sub, Inc.
5.25%, 6/15/46

     50,000        62,217  

Valero Energy Corp.
3.40%, 9/15/26

     60,000        64,676  

4.35%, 6/1/28

     583,000        658,609  

4.00%, 4/1/29

   150,000      166,338  

6.63%, 6/15/37

     100,000        136,632  

4.90%, 3/15/45

     23,000        27,964  

Valero Energy Partners L.P.
4.38%, 12/15/26

     162,000        183,016  

4.50%, 3/15/28

     50,000        56,732  

Valmont Industries, Inc.
5.00%, 10/1/44

     105,000        129,229  

Ventas Realty L.P.
4.00%, 3/1/28

     115,000        129,526  

4.40%, 1/15/29

     60,000        69,170  

3.00%, 1/15/30

     200,000        211,054  

VEREIT Operating Partnership L.P.
3.95%, 8/15/27

     195,000        220,721  

3.10%, 12/15/29

     450,000        484,956  

Verisk Analytics, Inc.
5.50%, 6/15/45

     25,000        34,235  

Verizon Communications, Inc.
2.63%, 8/15/26

     281,000        299,254  

4.13%, 3/16/27

     213,000        243,517  

4.33%, 9/21/28

     543,000        633,849  

3.88%, 2/8/29

     105,000        119,770  

4.02%, 12/3/29

     773,000        890,689  

1.68%, 10/30/30

     209,000        201,886  

1.75%, 1/20/31

     180,000        174,242  

2.55%, 3/21/31

     1,150,000        1,188,364  

4.50%, 8/10/33

     376,000        455,750  

4.40%, 11/1/34

     466,000        562,513  

4.81%, 3/15/39

     560,000        711,995  

2.65%, 11/20/40

     380,000        368,475  

3.40%, 3/22/41

     500,000        535,795  

6.55%, 9/15/43

     25,000        40,119  

4.13%, 8/15/46

     288,000        338,976  

4.86%, 8/21/46

     215,000        280,777  

4.52%, 9/15/48

     200,000        252,076  

5.01%, 4/15/49

     52,000        69,618  

4.00%, 3/22/50

     630,000        733,036  

2.88%, 11/20/50

     700,000        674,044  

5.01%, 8/21/54

     50,000        69,011  

2.99%, 10/30/56

     400,000        386,452  

3.00%, 11/20/60

     245,000        236,234  

3.70%, 3/22/61

     600,000        659,790  

VF Corp.
2.80%, 4/23/27

     110,000        117,928  

2.95%, 4/23/30

     100,000        106,821  

ViacomCBS, Inc.
2.90%, 1/15/27

     92,000        98,271  

3.38%, 2/15/28

     170,000        187,088  

3.70%, 6/1/28

     134,000        149,760  

7.88%, 7/30/30

     147,000        209,963  

4.95%, 1/15/31

     436,000        527,782  

4.20%, 5/19/32

     100,000        115,707  

4.38%, 3/15/43

     150,000        175,938  

5.85%, 9/1/43

     141,000        195,804  

5.25%, 4/1/44

     30,000        38,731  

4.95%, 5/19/50(b)

     185,000        235,697  

Viatris, Inc.
2.70%, 6/22/30(c)

     250,000        255,815  

3.85%, 6/22/40(c)

     150,000        162,626  

4.00%, 6/22/50(c)

     250,000        272,392  

 

See Notes to Financial Statements.

 

100   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Virginia Electric & Power Co.
2.95%, 11/15/26, Series B

   $ 135,000      $ 146,120  

3.50%, 3/15/27, Series A

     107,000        118,904  

Visa, Inc.
4.15%, 12/14/35

     95,000        116,886  

VMware, Inc.
3.90%, 8/21/27

     212,000        237,703  

2.20%, 8/15/31

     500,000        496,705  

Vulcan Materials Co.
3.90%, 4/1/27

     20,000        22,647  

4.50%, 6/15/47

     80,000        98,850  

4.70%, 3/1/48

     30,000        38,187  

W.R. Berkley Corp.
4.75%, 8/1/44

     8,000        10,258  

4.00%, 5/12/50

     250,000        293,890  

Walgreens Boots Alliance, Inc.
3.20%, 4/15/30(b)

     250,000        270,365  

4.80%, 11/18/44

     52,000        64,189  

Walmart, Inc.
6.50%, 8/15/37

     68,000        103,926  

6.20%, 4/15/38

     25,000        37,516  

3.95%, 6/28/38

     83,000        100,804  

Walt Disney Co. (The)
3.38%, 11/15/26

     65,000        71,879  

2.00%, 9/1/29

     200,000        203,886  

3.80%, 3/22/30

     50,000        57,768  

2.65%, 1/13/31(b)

     250,000        266,102  

Waste Connections, Inc.
3.50%, 5/1/29

     75,000        83,307  

Waste Management, Inc.
3.15%, 11/15/27

     175,000        192,456  

1.15%, 3/15/28

     80,000        78,048  

1.50%, 3/15/31

     300,000        288,009  

2.50%, 11/15/50

     40,000        38,120  

WEC Energy Group, Inc.
1.38%, 10/15/27

     100,000        98,994  

Wells Fargo & Co.
3.00%, 10/23/26

     86,000        93,033  

4.30%, 7/22/27

     313,000        359,283  

3.58%, 5/22/28, (3.584% fixed rate until 5/22/27; 3-month U.S. dollar London Interbank Offered Rate + 1.31% thereafter)(d)

     234,000        259,714  

2.39%, 6/2/28, (2.393% fixed rate until 6/2/27; Secured Overnight Financing Rate + 2.10% thereafter)(d)

     500,000        521,440  

4.15%, 1/24/29

     784,000        902,909  

4.48%, 4/4/31, (4.478% fixed rate until 4/4/30; Secured Overnight Financing Rate + 4.032% thereafter)(d)

     450,000        534,541  

Welltower, Inc.
4.25%, 4/15/28

     75,000        86,264  

4.13%, 3/15/29

     150,000        171,281  

3.10%, 1/15/30

     364,000        389,207  

Westinghouse Air Brake Technologies Corp.
3.45%, 11/15/26

     70,000        75,275  

4.95%, 9/15/28

   293,000      341,919  

Westlake Chemical Corp.
3.60%, 8/15/26

     108,000        119,222  

5.00%, 8/15/46

     55,000        70,556  

4.38%, 11/15/47

     35,000        41,193  

3.13%, 8/15/51

     150,000        145,478  

WestRock MWV LLC
8.20%, 1/15/30

     36,000        51,022  

Weyerhaeuser Co.
6.95%, 10/1/27

     75,000        97,289  

4.00%, 11/15/29

     70,000        80,343  

7.38%, 3/15/32

     215,000        310,617  

Whirlpool Corp.
2.40%, 5/15/31(b)

     100,000        102,070  

4.60%, 5/15/50

     150,000        189,845  

Williams Cos., Inc. (The)
3.75%, 6/15/27

     214,000        237,790  

8.75%, 3/15/32

     45,000        69,624  

6.30%, 4/15/40

     55,000        75,586  

5.75%, 6/24/44

     102,000        136,285  

5.10%, 9/15/45

     300,000        375,807  

Willis North America, Inc.
4.50%, 9/15/28

     150,000        173,517  

2.95%, 9/15/29

     250,000        264,842  

WRKCo, Inc.
4.00%, 3/15/28

     85,000        96,313  

4.90%, 3/15/29

     162,000        194,534  

3.00%, 6/15/33

     250,000        266,547  

Xcel Energy, Inc.
3.40%, 6/1/30

     150,000        166,427  

6.50%, 7/1/36

     250,000        365,550  

Xylem, Inc.
1.95%, 1/30/28

     500,000        509,015  

Zimmer Biomet Holdings, Inc.
5.75%, 11/30/39

     200,000        272,734  

Zoetis, Inc.
3.00%, 9/12/27

     236,000        256,539  

3.90%, 8/20/28

     111,000        126,726  

4.70%, 2/1/43

     25,000        32,558  

3.95%, 9/12/47

     25,000        30,066  

4.45%, 8/20/48

     100,000        130,003  

TOTAL U.S. CORPORATE BONDS

(Cost: $288,519,221)

 

 

     301,366,739  
FOREIGN CORPORATE BONDS – 5.1%

 

Australia – 0.1%

 

Rio Tinto Finance USA Ltd.
7.13%, 7/15/28

     148,000        200,504  

Westpac Banking Corp.

     

4.32%, 11/23/31, (4.322% fixed rate until 11/23/26; 5-year U.S. dollar ICE Swap Rate + 2.236% thereafter)(d)

     455,000        506,233  

4.11%, 7/24/34, (4.11% fixed rate until 7/24/29; 5-year Constant Maturity Treasury Rate + 2.00% thereafter)(d)

     265,000        292,995  

 

See Notes to Financial Statements.

 

WisdomTree Trust      101  


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

2.67%, 11/15/35, (2.668% fixed rate until 11/15/30; 5-year Constant Maturity Treasury Rate + 1.75% thereafter)(d)

   $ 250,000      $ 248,348  
     

 

 

 
Total Australia

 

     1,248,080  
Austria – 0.1%

 

Suzano Austria GmbH
6.00%, 1/15/29

     250,000        299,233  

5.00%, 1/15/30

     425,000        483,943  

3.75%, 1/15/31

     250,000        263,225  
     

 

 

 
Total Austria

 

     1,046,401  
Belgium – 0.6%

 

Anheuser-Busch Cos. LLC
4.70%, 2/1/36

     300,000        370,626  

4.90%, 2/1/46

     840,000        1,074,704  

Anheuser-Busch InBev Worldwide, Inc.
4.75%, 1/23/29

     662,000        788,608  

4.90%, 1/23/31

     410,000        505,456  

4.38%, 4/15/38

     80,000        95,765  

8.20%, 1/15/39

     150,000        252,416  

5.45%, 1/23/39

     10,000        13,220  

8.00%, 11/15/39

     346,000        572,775  

4.35%, 6/1/40

     350,000        420,476  

4.95%, 1/15/42

     250,000        317,133  

4.60%, 4/15/48

     250,000        308,823  

4.44%, 10/6/48

     36,000        43,538  

5.55%, 1/23/49

     490,000        683,535  

4.50%, 6/1/50

     500,000        620,840  

5.80%, 1/23/59

     250,000        371,405  

4.60%, 6/1/60

     440,000        550,405  
     

 

 

 
Total Belgium

 

     6,989,725  
Bermuda – 0.0%

 

RenaissanceRe Holdings Ltd.
3.60%, 4/15/29

     125,000        139,008  

XLIT Ltd.
5.50%, 3/31/45

     53,000        74,249  
     

 

 

 
Total Bermuda

 

     213,257  
Brazil – 0.1%

 

Vale Overseas Ltd.
6.25%, 8/10/26

     50,000        60,349  

3.75%, 7/8/30

     500,000        533,295  

6.88%, 11/21/36

     400,000        562,548  

6.88%, 11/10/39

     139,000        199,437  
     

 

 

 
Total Brazil

 

     1,355,629  
Canada – 0.9%

 

Bank of Montreal

 

3.80%, 12/15/32, (3.803% fixed rate until 12/15/27; 5-year U.S. dollar Swap Rate + 1.432% thereafter)(d)

     304,000        336,443  

Barrick Gold Corp.
5.25%, 4/1/42

     100,000        132,185  

Barrick North America Finance LLC
5.75%, 5/1/43

     82,000        115,242  

Barrick PD Australia Finance Pty Ltd.
5.95%, 10/15/39

     50,000        70,161  

Bell Canada
4.30%, 7/29/49

   150,000      182,267  

3.20%, 2/15/52, Series US-6

     250,000        258,276  

Brookfield Finance, Inc.
3.90%, 1/25/28

     50,000        56,291  

Canadian National Railway Co.
6.90%, 7/15/28

     140,000        187,015  

Canadian Natural Resources Ltd.
3.85%, 6/1/27

     106,000        116,859  

2.95%, 7/15/30

     30,000        31,297  

7.20%, 1/15/32

     409,000        562,293  

6.50%, 2/15/37

     4,000        5,428  

Canadian Pacific Railway Co.
4.00%, 6/1/28

     46,000        52,374  

7.13%, 10/15/31

     313,000        446,135  

4.80%, 9/15/35

     95,000        117,824  

6.13%, 9/15/2115

     150,000        238,147  

Cenovus Energy, Inc.
5.25%, 6/15/37

     600,000        717,168  

CI Financial Corp.
4.10%, 6/15/51

     250,000        270,855  

Enbridge, Inc.
4.25%, 12/1/26

     15,000        16,935  

3.70%, 7/15/27(b)

     150,000        166,392  

3.13%, 11/15/29

     107,000        115,035  

5.50%, 12/1/46

     250,000        342,592  

4.00%, 11/15/49(b)

     150,000        170,106  

Fairfax Financial Holdings Ltd.
4.85%, 4/17/28

     157,000        181,035  

Fortis, Inc.
3.06%, 10/4/26

     220,000        237,554  

Manulife Financial Corp.

     

4.06%, 2/24/32, (4.061% fixed rate until 2/24/27; 5-year U.S. dollar ICE Swap Rate + 1.647% thereafter)(d)

     25,000        27,552  

Nutrien Ltd.
4.20%, 4/1/29

     182,000        210,234  

4.13%, 3/15/35

     55,000        63,669  

5.88%, 12/1/36

     60,000        82,445  

5.25%, 1/15/45

     350,000        472,671  

Rogers Communications, Inc.
5.00%, 3/15/44

     63,000        79,287  

4.30%, 2/15/48

     100,000        115,469  

4.35%, 5/1/49

     300,000        351,906  

Suncor Energy, Inc.
7.15%, 2/1/32

     122,000        171,804  

5.95%, 12/1/34

     191,000        254,475  

5.95%, 5/15/35

     36,000        47,628  

6.80%, 5/15/38

     18,000        25,855  

6.50%, 6/15/38

     250,000        351,980  

Teck Resources Ltd.
6.13%, 10/1/35

     215,000        278,524  

TELUS Corp.
3.70%, 9/15/27

     120,000        135,546  

4.60%, 11/16/48

     200,000        258,576  

Thomson Reuters Corp.
5.65%, 11/23/43

     90,000        125,240  

 

See Notes to Financial Statements.

 

102   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Toronto-Dominion Bank (The)

     

3.63%, 9/15/31, (3.625% fixed rate until 9/15/26; 5-year U.S. dollar Swap Rate + 2.205% thereafter)(d)

   $ 137,000      $ 152,049  

TransCanada PipeLines Ltd.
4.25%, 5/15/28

     152,000        174,789  

4.63%, 3/1/34

     640,000        757,171  

4.75%, 5/15/38

     210,000        254,295  

6.10%, 6/1/40

     50,000        69,154  

4.88%, 5/15/48

     250,000        320,817  

5.10%, 3/15/49

     97,000        129,001  
     

 

 

 
Total Canada

 

     10,036,046  
Chile – 0.1%

 

Celulosa Arauco y Constitucion S.A.
5.50%, 11/2/47

     200,000        242,002  

Enel Chile S.A.
4.88%, 6/12/28

     250,000        289,155  
     

 

 

 
Total Chile

 

     531,157  
China – 0.2%

 

Alibaba Group Holding Ltd.
3.40%, 12/6/27

     230,000        250,764  

Baidu, Inc.
3.63%, 7/6/27

     200,000        221,872  

CNOOC Finance 2015 USA LLC
4.38%, 5/2/28

     540,000        613,829  

JD.com, Inc.
3.38%, 1/14/30

     250,000        268,043  

NXP B.V.
4.30%, 6/18/29(c)

     250,000        287,610  

3.40%, 5/1/30(c)

     350,000        384,419  

3.25%, 5/11/41(c)

     100,000        106,175  

Tencent Music Entertainment Group
2.00%, 9/3/30

     400,000        385,692  
     

 

 

 
Total China

 

     2,518,404  
France – 0.1%

 

AXA S.A.
8.60%, 12/15/30

     200,000        303,218  

Orange S.A.
9.00%, 3/1/31

     234,000        370,366  

5.38%, 1/13/42

     50,000        68,527  

5.50%, 2/6/44

     250,000        352,472  

TotalEnergies Capital International S.A.
2.83%, 1/10/30

     150,000        161,530  

Veolia Environnement S.A.
6.75%, 6/1/38

     33,000        50,326  
     

 

 

 
Total France

 

     1,306,439  
Germany – 0.2%

 

Daimler Finance North America LLC
8.50%, 1/18/31

     450,000        690,719  

Deutsche Bank AG
4.10%, 1/13/26

     75,000        82,406  

3.55%, 9/18/31, (3.547% fixed rate until 9/18/30; Secured Overnight Financing Rate + 3.043% thereafter)(d)

     440,000        475,433  

Deutsche Telekom International Finance B.V.

  

8.75%, 6/15/30

   521,000      784,230  

9.25%, 6/1/32

     48,000        78,912  
     

 

 

 
Total Germany

 

     2,111,700  
Ireland – 0.0%

 

AerCap Ireland Capital DAC
3.65%, 7/21/27

     200,000        212,908  
Japan – 0.5%

 

Mitsubishi UFJ Financial Group, Inc.
3.29%, 7/25/27

     275,000        304,725  

3.96%, 3/2/28

     115,000        130,963  

4.05%, 9/11/28

     10,000        11,509  

3.74%, 3/7/29

     406,000        458,606  

Mizuho Financial Group, Inc.
3.17%, 9/11/27

     325,000        353,984  

4.02%, 3/5/28

     225,000        257,895  

Nomura Holdings, Inc.
3.10%, 1/16/30

     390,000        412,031  

ORIX Corp.
3.70%, 7/18/27

     80,000        89,754  

Sumitomo Mitsui Financial Group, Inc.
2.63%, 7/14/26

     36,000        38,382  

3.45%, 1/11/27(b)

     153,000        169,057  

3.36%, 7/12/27

     8,000        8,826  

3.54%, 1/17/28

     150,000        167,025  

3.94%, 7/19/28(b)

     379,000        433,299  

4.31%, 10/16/28(b)

     136,000        158,999  

3.04%, 7/16/29

     250,000        269,060  

2.14%, 9/23/30

     425,000        417,099  

Takeda Pharmaceutical Co., Ltd.
5.00%, 11/26/28

     366,000        442,260  

2.05%, 3/31/30

     350,000        348,964  

3.18%, 7/9/50

     250,000        259,450  

3.38%, 7/9/60

     200,000        213,232  
     

 

 

 
Total Japan

 

     4,945,120  
Macau – 0.1%

 

Sands China Ltd.
5.40%, 8/8/28

     450,000        520,848  
Mexico – 0.1%

 

America Movil S.A.B. de C.V.
3.63%, 4/22/29

     215,000        236,708  

Grupo Televisa S.A.B.
6.63%, 1/15/40

     100,000        144,358  

5.00%, 5/13/45

     200,000        248,360  

5.25%, 5/24/49(b)

     250,000        331,100  
     

 

 

 
Total Mexico

 

     960,526  
Netherlands – 0.1%

 

Cooperatieve Rabobank UA
3.75%, 7/21/26

     325,000        360,090  

5.25%, 5/24/41

     115,000        162,213  

5.25%, 8/4/45

     250,000        339,688  

ING Groep N.V.
4.55%, 10/2/28

     250,000        294,783  

 

See Notes to Financial Statements.

 

WisdomTree Trust      103  


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Koninklijke Ahold Delhaize N.V.
5.70%, 10/1/40(b)

   $ 40,000      $ 55,812  

Shell International Finance B.V.
4.13%, 5/11/35

     134,000        160,139  

3.13%, 11/7/49

     5,000        5,296  
     

 

 

 
Total Netherlands

 

     1,378,021  
Norway – 0.1%

 

Equinor ASA
4.80%, 11/8/43

     75,000        98,820  

3.25%, 11/18/49

     379,000        410,654  

3.70%, 4/6/50

     190,000        223,056  
     

 

 

 
Total Norway

 

     732,530  
Peru – 0.1%

 

Southern Copper Corp.
6.75%, 4/16/40

     35,000        49,979  

5.25%, 11/8/42

     350,000        449,596  

5.88%, 4/23/45

     150,000        208,979  
     

 

 

 
Total Peru

 

     708,554  
Spain – 0.2%

 

Banco Santander S.A.
4.25%, 4/11/27

     200,000        226,710  

3.80%, 2/23/28

     200,000        221,906  

2.75%, 12/3/30

     400,000        402,336  

Telefonica Emisiones S.A.
4.10%, 3/8/27

     500,000        565,075  

7.05%, 6/20/36

     195,000        284,134  

4.67%, 3/6/38

     200,000        237,796  

5.52%, 3/1/49

     400,000        528,424  
     

 

 

 
Total Spain

 

     2,466,381  
Switzerland – 0.0%

 

Credit Suisse Group AG
4.55%, 4/17/26

     100,000        113,355  

4.88%, 5/15/45

     250,000        321,772  
     

 

 

 
Total Switzerland

 

     435,127  
United Kingdom – 1.5%

 

AstraZeneca PLC
3.13%, 6/12/27

     457,000        500,040  

1.38%, 8/6/30

     250,000        240,398  

6.45%, 9/15/37

     250,000        376,692  

4.00%, 9/18/42

     205,000        250,034  

4.38%, 11/16/45

     250,000        323,355  

4.38%, 8/17/48

     20,000        25,999  

Barclays PLC
4.84%, 5/9/28

     240,000        272,131  

4.97%, 5/16/29, (4.972% fixed rate until 5/16/28; 3-month U.S. dollar London Interbank Offered Rate + 1.902% thereafter)(d)

     575,000        676,539  

5.09%, 6/20/30, (5.088% fixed rate until 6/20/29; 3-month U.S. dollar London Interbank Offered Rate + 3.054% thereafter)(d)

     300,000        350,616  

2.65%, 6/24/31, (3.073% fixed rate until 6/24/30; 1-year Constant Maturity Treasury Rate + 2.55% thereafter)(d)

     250,000        255,278  

5.25%, 8/17/45

   100,000      136,057  

4.95%, 1/10/47

     330,000        435,346  

BAT Capital Corp.
4.70%, 4/2/27

     95,000        108,044  

3.56%, 8/15/27

     755,000        817,431  

4.39%, 8/15/37

     500,000        544,745  

3.73%, 9/25/40

     350,000        347,806  

3.98%, 9/25/50

     250,000        248,048  

BP Capital Markets PLC
3.28%, 9/19/27

     156,000        172,300  

3.72%, 11/28/28

     125,000        140,966  

British Telecommunications PLC
5.13%, 12/4/28

     365,000        432,784  

9.63%, 12/15/30

     281,000        434,550  

CNH Industrial N.V.
3.85%, 11/15/27

     25,000        27,926  

Diageo Capital PLC
2.00%, 4/29/30

     250,000        252,293  

GlaxoSmithKline Capital, Inc.
3.88%, 5/15/28

     111,000        127,622  

HSBC Holdings PLC
4.38%, 11/23/26

     432,000        486,549  

4.04%, 3/13/28, (4.041% fixed rate until 3/13/27; 3-month U.S. dollar London Interbank Offered Rate + 1.546% thereafter)(d)

     118,000        131,674  

4.95%, 3/31/30

     350,000        423,489  

3.97%, 5/22/30, (3.973% fixed rate until 5/22/29; 3-month U.S. dollar London Interbank Offered Rate + 1.61% thereafter)(d)

     415,000        466,024  

6.50%, 9/15/37

     500,000        701,210  

6.80%, 6/1/38

     250,000        361,300  

Lloyds Banking Group PLC
4.55%, 8/16/28

     225,000        262,964  

3.57%, 11/7/28, (3.574% fixed rate until 11/7/27; 3-month U.S. dollar London Interbank Offered Rate + 1.205% thereafter)(d)

     305,000        335,158  

4.34%, 1/9/48

     264,000        317,251  

4.89%, 5/18/29, (4.892% fixed rate until 5/18/28; 3-month U.S. dollar London Interbank Offered Rate + 1.754% thereafter)(d)

     257,000        302,497  

5.08%, 1/27/30, (5.076% fixed rate until 1/27/29; 3-month U.S. dollar London Interbank Offered Rate + 1.905% thereafter)(d)

     200,000        239,590  

3.03%, 11/28/35, (3.032% fixed rate until 8/28/30; 5-year Constant Maturity Treasury Rate + 2.35% thereafter)(d)

     250,000        251,608  

nVent Finance Sarl
4.55%, 4/15/28

     84,000        93,477  

RELX Capital, Inc.
4.00%, 3/18/29

     46,000        52,040  

3.00%, 5/22/30

     250,000        268,480  

 

See Notes to Financial Statements.

 

104   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Reynolds American, Inc.
5.70%, 8/15/35

   $ 125,000      $ 152,920  

7.25%, 6/15/37

     250,000        343,163  

6.15%, 9/15/43

     220,000        279,057  

5.85%, 8/15/45

     134,000        166,215  

Santander UK Group Holdings PLC

     

3.82%, 11/3/28, (3.823% fixed rate until 11/3/27; 3-month U.S. dollar London Interbank Offered Rate + 1.40% thereafter)(d)

     200,000        220,948  

Unilever Capital Corp.
2.90%, 5/5/27

     120,000        130,583  

3.50%, 3/22/28

     245,000        275,676  

Vodafone Group PLC
4.38%, 5/30/28

     402,000        467,365  

7.88%, 2/15/30

     149,000        215,108  

5.00%, 5/30/38

     332,000        423,473  

5.25%, 5/30/48

     355,000        473,463  

4.88%, 6/19/49

     373,000        478,895  

4.25%, 9/17/50

     30,000        35,532  
     

 

 

 
Total United Kingdom

 

     15,852,709  

TOTAL FOREIGN CORPORATE BONDS

(Cost: $53,160,420)

 

 

     55,569,562  
FOREIGN GOVERNMENT AGENCIES – 0.2%

 

Canada – 0.0%

 

Hydro-Quebec
9.38%, 4/15/30

     10,000        15,911  

Province of New Brunswick Canada
3.63%, 2/24/28

     229,000        263,501  
     

 

 

 
Total Canada

 

     279,412  
Germany – 0.0%

 

Kreditanstalt fuer Wiederaufbau
5.78%, 6/29/37(e)

     177,000        135,226  
Japan – 0.2%

 

Japan Bank for International Cooperation
1.88%, 7/21/26

     250,000        260,685  

2.88%, 6/1/27

     770,000        844,667  

2.88%, 7/21/27

     250,000        274,527  

3.50%, 10/31/28

     200,000        230,298  

1.88%, 4/15/31

     200,000        206,900  

Japan International Cooperation Agency
2.13%, 10/20/26

     250,000        263,868  
     

 

 

 
Total Japan

 

     2,080,945  

TOTAL FOREIGN GOVERNMENT AGENCIES

(Cost: $2,350,756)

 

 

     2,495,583  
FOREIGN GOVERNMENT OBLIGATIONS – 1.8%

 

Chile – 0.1%

 

Chile Government International Bond
3.24%, 2/6/28

     318,000        346,102  

2.45%, 1/31/31

     200,000        205,552  
     

 

 

 
Total Chile

 

     551,654  
Hungary – 0.0%

 

Hungary Government International Bond
7.63%, 3/29/41

     200,000        340,938  
Indonesia – 0.2%

 

Indonesia Government International Bond
3.50%, 1/11/28

   200,000      220,490  

4.10%, 4/24/28

     460,000        524,193  

2.85%, 2/14/30

     240,000        252,326  

3.85%, 10/15/30

     300,000        339,918  

4.35%, 1/11/48

     450,000        522,383  

5.35%, 2/11/49

     200,000        263,482  

4.45%, 4/15/70

     200,000        238,924  
     

 

 

 
Total Indonesia

 

     2,361,716  
Italy – 0.1%

 

Republic of Italy Government International Bond

     

2.88%, 10/17/29

     350,000        369,754  

5.38%, 6/15/33

     233,000        299,566  

4.00%, 10/17/49

     350,000        401,445  
     

 

 

 
Total Italy

 

     1,070,765  
Mexico – 0.6%

 

Mexico Government International Bond
4.00%, 10/2/23

     6,000        6,463  

4.15%, 3/28/27

     457,000        522,675  

3.75%, 1/11/28

     250,000        277,148  

4.50%, 4/22/29

     370,000        424,401  

3.25%, 4/16/30

     250,000        263,273  

2.66%, 5/24/31

     450,000        446,485  

4.75%, 4/27/32

     350,000        406,213  

7.50%, 4/8/33, Series MTNA

     105,000        149,876  

6.75%, 9/27/34, Series MTNA

     380,000        514,961  

6.05%, 1/11/40

     126,000        161,086  

4.28%, 8/14/41

     500,000        536,875  

4.75%, 3/8/44

     214,000        241,257  

5.55%, 1/21/45

     200,000        246,788  

4.35%, 1/15/47

     305,000        325,789  

4.60%, 2/10/48

     200,000        219,506  

4.50%, 1/31/50

     500,000        544,965  

3.77%, 5/24/61

     750,000        716,700  

5.75%, 10/12/2110

     260,000        318,045  
     

 

 

 
Total Mexico

 

     6,322,506  
Panama – 0.2%

 

Panama Government International Bond
8.88%, 9/30/27

     356,000        493,366  

3.88%, 3/17/28

     200,000        221,768  

9.38%, 4/1/29

     305,000        453,480  

6.70%, 1/26/36

     185,000        254,292  

4.50%, 5/15/47

     200,000        230,126  

4.50%, 4/16/50

     200,000        229,556  

4.30%, 4/29/53

     240,000        269,165  

4.50%, 4/1/56

     550,000        629,821  
     

 

 

 
Total Panama

 

     2,781,574  
Peru – 0.2%

 

Peruvian Government International Bond
4.13%, 8/25/27

     204,000        229,957  

2.84%, 6/20/30

     520,000        538,314  

8.75%, 11/21/33

     261,000        411,634  

6.55%, 3/14/37

     80,000        111,017  

 

See Notes to Financial Statements.

 

WisdomTree Trust      105  


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

5.63%, 11/18/50

   $ 200,000      $ 279,076  

2.78%, 12/1/60

     250,000        225,327  

3.23%, 7/28/2121

     100,000        88,202  
     

 

 

 
Total Peru

 

     1,883,527  
Philippines – 0.3%

 

Philippine Government International Bond
3.00%, 2/1/28

     550,000        599,302  

3.75%, 1/14/29

     300,000        342,459  

9.50%, 2/2/30

     282,000        446,696  

7.75%, 1/14/31

     125,000        185,458  

6.38%, 1/15/32

     285,000        395,848  

3.95%, 1/20/40

     600,000        684,390  

3.70%, 3/1/41

     200,000        221,460  

3.70%, 2/2/42

     630,000        698,065  
     

 

 

 
Total Philippines

 

     3,573,678  
Uruguay – 0.1%

 

Uruguay Government International Bond
4.38%, 10/27/27

     135,000        156,773  

4.38%, 1/23/31

     290,000        342,525  

7.63%, 3/21/36

     30,000        46,053  

4.13%, 11/20/45

     60,000        72,315  

5.10%, 6/18/50

     350,000        468,646  

4.98%, 4/20/55

     190,000        250,901  
     

 

 

 
Total Uruguay

 

     1,337,213  

TOTAL FOREIGN GOVERNMENT OBLIGATIONS

(Cost: $19,376,661)

 

 

     20,223,571  
SUPRANATIONAL BONDS – 0.1%

 

European Investment Bank
4.88%, 2/15/36

     150,000        211,276  

Inter-American Development Bank
3.88%, 10/28/41

     100,000        131,106  

3.20%, 8/7/42

     372,000        442,710  

4.38%, 1/24/44

     100,000        140,970  

International Bank for Reconstruction & Development
4.75%, 2/15/35

     55,000        74,928  

TOTAL SUPRANATIONAL BONDS

(Cost: $1,012,558)

 

 

     1,000,990  
COMMERCIAL MORTGAGE-BACKED SECURITIES – 1.9%

 

United States – 1.9%

 

Banc of America Commercial Mortgage Trust

     

3.57%, 2/15/50, Series 2017-BNK3, Class A4

     100,000        111,146  

Bank

4.23%, 9/15/60, Series 2018-BN14, Class A4^(d)

     577,767        671,843  

3.43%, 2/15/61, Series 2018-BN10, Class A4

     10,000        10,991  

Benchmark Mortgage Trust

3.62%, 2/15/51, Series 2018-B2, Class A4

     350,000        390,726  

3.88%, 2/15/51, Series 2018-B2, Class A5^(d)

     230,000        261,803  

3.75%, 3/15/52, Series 2019-B9, Class A4

   118,000      133,355  

2.29%, 3/15/53, Series 2020-B17, Class A5

     450,000        465,339  

CD Mortgage Trust

2.46%, 8/10/49, Series 2016-CD1, Class A3

     340,000        356,316  

3.33%, 11/13/50, Series 2017-CD6, Class ASB

     104,000        112,216  

Citigroup Commercial Mortgage Trust

2.94%, 4/10/48, Series 2015-GC29, Class A3

     64,685        67,678  

3.72%, 12/10/49, Series 2016-P6, Class A5^(d)

     100,000        111,780  

3.04%, 11/10/52, Series 2019-GC43, Class A4

     380,000        414,012  

3.52%, 9/10/58, Series 2015-GC33, Class AAB

     255,844        270,719  

Commercial Mortgage Trust

3.92%, 8/10/46, Series 2013-CR10, Class A3

     47,334        50,042  

3.78%, 4/10/47, Series 2014-CR16, Class A3

     394,856        420,858  

3.50%, 8/10/47, Series 2014-CR19, Class ASB

     184,177        192,165  

3.50%, 5/10/48, Series 2015-CR23, Class A4

     50,000        54,377  

3.51%, 8/10/48, Series 2015-CR25, Class A3

     524,241        558,556  

CSAIL Commercial Mortgage Trust

3.49%, 11/15/48, Series 2016-C5, Class A4

     225,078        237,803  

3.79%, 4/15/50, Series 2015-C1, Class AS^(d)

     82,000        88,483  

3.02%, 9/15/52, Series 2019-C17, Class A5

     343,000        373,604  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates

2.87%, 12/25/21, Series K017, Class A2

     20,652        20,709  

2.51%, 11/25/22, Series K026, Class A2

     250,000        255,398  

2.62%, 3/25/23, Series K035, Class A1

     29,013        29,272  

3.30%, 4/25/23, Series K031, Class A2^(d)

     370,000        386,085  

2.49%, 11/25/24, Series K045, Class A1

     133,569        135,639  

3.06%, 12/25/24, Series K043, Class A2

     199,000        213,766  

3.02%, 11/25/25, Series K045, Class A2

     55,000        59,104  

3.15%, 11/25/25, Series K052, Class A2

     125,000        136,108  

2.34%, 7/25/26, Series K058, Class A1

     475,284        493,930  

 

See Notes to Financial Statements.

 

106   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

2.86%, 10/25/26, Series K065, Class A1

   $ 280,389      $ 295,234  

3.33%, 5/25/27, Series K065, Class AM

     59,000        65,738  

3.93%, 6/25/28, Series K079, Class A2

     400,000        467,387  

3.93%, 7/25/28, Series K080, Class A2^(d)

     685,000        801,400  

3.77%, 12/25/28, Series K087, Class A2

     450,000        524,056  

3.29%, 3/25/29, Series K153, Class A2^(d)

     615,000        698,580  

3.75%, 11/25/29, Series K155, Class A1

     418,476        472,472  

3.95%, 12/25/29, Series K159, Class A1

     197,525        224,683  

1.24%, 1/25/35, Series K-1516, Class A1

     756,966        737,449  

Federal National Mortgage Association Alternative Credit Enhancement Securities

2.73%, 10/25/21, Series 2012-M1, Class A2

     39,108        39,108  

2.72%, 2/25/22, Series 2012-M2, Class A2

     134,094        134,613  

2.38%, 5/25/22, Series 2012-M13, Class A2

     34,720        34,830  

2.30%, 9/25/22, Series 2012-M14, Class A2^(d)

     21,926        22,086  

2.63%, 4/25/23, Series 2013-M14, Class APT^(d)

     17,777        17,964  

2.16%, 10/25/23, Series 2016-M7, Class AV2

     382,283        388,811  

3.33%, 10/25/23, Series 2013-M14, Class A2^(d)

     66,224        69,875  

3.50%, 1/25/24, Series 2014-M3, Class A2^(d)

     59,109        62,385  

2.14%, 5/25/26, Series 2016-M6, Class A1

     91,972        94,022  

2.00%, 6/25/26, Series 2016-M9, Class A1

     329,965        338,481  

2.50%, 9/25/26, Series 2016-M7, Class A2

     164,828        169,941  

2.50%, 10/25/26, Series 2017-M1, Class A2^(d)

     223,170        237,110  

3.44%, 6/25/28, Series 2018-M8, Class A2^(d)

     80,000        90,760  

3.67%, 9/25/28, Series 2019-M1, Class A2^(d)

     400,000        458,117  

3.23%, 4/25/29, Series 2017-M5, Class A2^(d)

     60,386        67,990  

3.09%, 2/25/30, Series 2018-M3, Class A1^(d)

     229,245        247,094  

2.94%, 7/25/39, Series 2016-M11, Class AL

     303,432        310,416  

GS Mortgage Securities Trust

4.24%, 8/10/46, Series 2013-GC14, Class A5

   85,000      90,358  

3.86%, 6/10/47, Series 2014-GC22, Class A5

     70,000        75,435  

3.67%, 9/10/47, Series 2014-GC24, Class A4

     298,084        311,922  

3.43%, 8/10/50, Series 2017-GS7, Class A4

     170,000        188,141  

JP Morgan Chase Commercial Mortgage Securities Trust

2.87%, 8/15/49, Series 2016-JP3, Class A5

     375,000        401,151  

JPMBB Commercial Mortgage Securities Trust

3.66%, 7/15/45, Series 2013-C12, Class A5

     100,000        104,913  

4.13%, 8/15/46, Series 2013-C14, Class A4^(d)

     71,610        75,724  

3.93%, 1/15/47, Series 2013-C17, Class A3

     85,875        90,690  

3.29%, 1/15/48, Series 2014-C26, Class ASB

     96,481        100,315  

3.34%, 5/15/48, Series 2015-C29, Class A3A1

     176,335        185,388  

JPMCC Commercial Mortgage Securities Trust

3.46%, 3/15/50, Series 2017-JP5, Class A4

     50,000        54,954  

Morgan Stanley Bank of America Merrill Lynch Trust

3.48%, 11/15/45, Series 2012-C6, Class AS

     100,000        102,503  

3.89%, 6/15/47, Series 2014-C16, Class A5

     70,000        75,246  

3.07%, 2/15/48, Series 2015-C20, Class ASB

     148,051        153,396  

3.08%, 3/15/48, Series 2015-C21, Class A3

     117,466        122,062  

3.04%, 4/15/48, Series 2015-C22, Class ASB

     150,870        156,420  

3.31%, 4/15/48, Series 2015-C22, Class A4

     95,000        101,979  

Morgan Stanley Capital I Trust

3.81%, 3/15/52, Series 2019-L2, Class A3

     275,000        307,079  

2.70%, 2/15/53, Series 2020-L4, Class A3

     400,000        426,342  

UBS Commercial Mortgage Trust

3.47%, 11/15/50, Series 2017-C5, Class A5

     300,000        332,279  

3.78%, 11/15/50, Series 2017-C5, Class AS^(d)

     400,000        443,244  

UBS-Citigroup Commercial Mortgage Trust

3.60%, 1/10/45, Series 2011-C1, Class A3

     12,441        12,471  

 

See Notes to Financial Statements.

 

WisdomTree Trust      107  


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  

Wells Fargo Commercial Mortgage Trust

2.92%, 10/15/45, Series 2012-LC5, Class A3

   $ 176,445      $ 180,239  

2.91%, 2/15/48, Series 2015-C26, Class A3

     431,511        455,772  

2.92%, 11/15/49, Series 2016-NXS6, Class A4

     265,000        284,660  

3.47%, 11/15/50, Series 2017-C41, Class A4

     250,000        277,071  

2.73%, 2/15/53, Series 2020-C55, Class A5

     450,000        480,661  

WFRBS Commercial Mortgage Trust

4.15%, 8/15/46, Series 2013-C15, Class A4^(d)

     200,000        211,216  

4.42%, 9/15/46, Series 2013-C16, Class A5

     100,000        107,144  

4.02%, 12/15/46, Series 2013-C17, Class A4

     60,000        64,021  

3.41%, 8/15/47, Series 2014-C21, Class A4

     206,213        218,412  

3.63%, 11/15/47, Series 2014-C25, Class A5

     100,000        108,346  
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost: $19,765,514)

 

     20,453,979  
MUNICIPAL BONDS – 0.6%

 

United States – 0.6%

 

Alameda County Joint Powers Authority
7.05%, 12/1/44

     150,000        249,015  

Commonwealth of Massachusetts
2.81%, 9/1/43, Series D

     150,000        161,506  

Dallas Area Rapid Transit
6.00%, 12/1/44

     175,000        271,045  

5.02%, 12/1/48

     130,000        188,183  

Grand Parkway Transportation Corp.
5.18%, 10/1/42, Series E

     250,000        343,716  

Los Angeles County Public Works Financing Authority
7.62%, 8/1/40

     100,000        168,435  

Los Angeles Department of Water & Power Power System Revenue
6.57%, 7/1/45

     70,000        116,059  

Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board
4.05%, 7/1/26, Series B

     100,000        111,085  

Metropolitan Transportation Authority
7.34%, 11/15/39

     275,000        454,902  

Municipal Electric Authority of Georgia
6.64%, 4/1/57

     216,000        330,890  

New Jersey Transportation Trust Fund Authority
5.75%, 12/15/28, Series C

     595,000        715,818  

Port Authority of New York & New Jersey
5.65%, 11/1/40

     130,000        186,634  

4.46%, 10/1/62

     200,000        275,444  

Regional Transportation District Sales Tax Revenue
5.84%, 11/1/50, Series B

   205,000      333,459  

Sales Tax Securitization Corp.
4.64%, 1/1/40, Series A

     100,000        122,992  

3.82%, 1/1/48

     255,000        288,953  

San Jose Redevelopment Agency Successor Agency
3.38%, 8/1/34, Series A-T

     60,000        66,236  

State of Illinois
4.95%, 6/1/23

     157,818        167,335  

5.10%, 6/1/33

     595,000        707,241  

6.63%, 2/1/35

     100,000        126,392  

Texas Private Activity Bond Surface Transportation Corp.
3.92%, 12/31/49

     500,000        576,372  

University of California
5.77%, 5/15/43

     230,000        326,603  

4.86%, 5/15/2112, Series AD

     56,000        83,793  

University of Pittsburgh of the Commonwealth System of Higher Education
3.56%, 9/15/2119

     120,000        134,186  

University of Virginia
3.23%, 9/1/2119, Series A

     150,000        157,147  

TOTAL MUNICIPAL BONDS

(Cost: $6,120,292)

 

 

     6,663,441  
ASSET-BACKED SECURITIES – 0.1%

 

United States – 0.1%

 

Ally Auto Receivables Trust

3.09%, 6/15/23, Series 2018-2, Class A4

     283,108        284,858  

American Express Credit Account Master Trust

3.18%, 4/15/24, Series 2018-8, Class A

     100,000        100,110  

GM Financial Consumer Automobile Receivables Trust

3.32%, 6/17/24, Series 2018-4, Class A4

     74,000        76,042  

Honda Auto Receivables Owner Trust

3.16%, 8/19/24, Series 2018-2, Class A4

     127,667        128,113  

Synchrony Card Funding LLC

2.95%, 3/15/25, Series 2019-A1, Class A

     140,000        142,067  

2.34%, 6/15/25, Series 2019-A2, Class A

     125,000        127,126  

World Omni Auto Receivables Trust

3.33%, 4/15/24, Series 2018-D, Class A3

     114,166        115,593  

3.04%, 5/15/24, Series 2019-A, Class A3

     52,167        52,807  

TOTAL ASSET-BACKED SECURITIES

(Cost: $1,025,804)

 

 

     1,026,716  

 

See Notes to Financial Statements.

 

108   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

 

 

Investments in Long Securities    Principal
Amount
     Value  
REPURCHASE AGREEMENT – 13.5%

 

United States – 13.5%

 

Citigroup, Inc., tri-party repurchase agreement dated 8/31/21 (tri-party custodian: The Bank of New York Mellon Corp.), 0.06% due 9/1/21; Proceeds at maturity – $146,660,244 (fully collateralized by Fannie Mae Pool, 2.00% – 4.00% due 8/1/51, Fannie Mae Interest STRIPS, zero coupon – 5.00% due 3/1/34 – 2/1/47, Freddie Mac Pool, 2.00% – 3.50% due 8/1/51, zero coupon – 6.00% due 9/15/27 – 9/15/48; Market value including accrued interest – $153,629,167)

     
(Cost: $146,660,000)    $ 146,660,000      $ 146,660,000  
      Shares          
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 0.5%

 

United States – 0.5%

 

State Street Navigator Securities Lending Government Money Market Portfolio, 0.03%(f)

     
(Cost: $5,202,955)      5,202,955        5,202,955  

TOTAL INVESTMENTS IN LONG SECURITIES BEFORE SECURITIES SOLD SHORT – 114.7%

(Cost: $1,230,410,435)

 

 

     1,249,363,043  
Securities Sold Short    Principal
Amount
    Value  
U.S. GOVERNMENT AGENCIES SOLD SHORT – (1.4)%

 

 
Uniform Mortgage-Backed Securities – (1.4)%

 

2.50%, 9/1/36(a)

   (4,700,000   (4,917,028

3.00%, 9/1/36(a)

     (5,100,000     (5,368,887

4.00%, 9/1/36(a)

     (850,000     (902,393

3.50%, 9/1/51(a)

     (3,175,000     (3,359,088

4.50%, 10/1/51(a)

     (700,000     (757,602
TOTAL INVESTMENTS IN SECURITIES SOLD SHORT
(Proceeds: $15,294,578)

 

    (15,304,998

Other Assets less Liabilities – (13.3)%

 

    (144,982,976
    

 

 

 
NET ASSETS – 100.0%

 

  $ 1,089,075,069  

 

^ 

Variable coupon rate based on weighted average interest rate of underlying mortgage.

 

(a) 

To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing.

 

(b) 

Security, or portion thereof, was on loan at August 31, 2021 (See Note 2). At August 31, 2021, the total market value of the Fund’s securities on loan identified in the Schedule of Investments was $5,495,890. The Fund also had securities on loan having a total market value of $22,774 that were sold and pending settlement. The total market value of the collateral held by the Fund was $5,675,824. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $472,869.

 

(c) 

This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers.

 

(d) 

Rate shown reflects the accrual rate as of August 31, 2021 on securities with variable or step rates.

 

(e) 

Represents a zero coupon bond. Rate shown reflects the effective yield as of August 31, 2021.

 

(f) 

Rate shown represents annualized 7-day yield as of August 31, 2021.

 

See Notes to Financial Statements.

 

WisdomTree Trust      109  


Table of Contents

Schedule of Investments (concluded)

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (AGGY)

August 31, 2021

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of August 31, 2021 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
    

Other
Significant
Observable

Inputs
(Level 2)

     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

 

     

U.S. Government Agencies

   $      $ 493,725,479      $      $ 493,725,479  

U.S. Government Obligations

            194,974,028               194,974,028  

U.S. Corporate Bonds

            301,366,739               301,366,739  

Foreign Corporate Bonds

            55,569,562               55,569,562  

Foreign Government Agencies

            2,495,583               2,495,583  

Foreign Government Obligations

            20,223,571               20,223,571  

Supranational Bonds

            1,000,990               1,000,990  

Commercial Mortgage-Backed Securities

            20,453,979               20,453,979  

Municipal Bonds

            6,663,441               6,663,441  

Asset-Backed Securities

            1,026,716               1,026,716  

Repurchase Agreement

            146,660,000               146,660,000  

Investment of Cash Collateral for Securities Loaned

            5,202,955               5,202,955  

Total Investments in Securities

   $      $ 1,249,363,043      $      $ 1,249,363,043  

Liabilities:

 

     

Investments in Securities Sold Short

  

U.S. Government Agencies

   $      $ (15,304,998    $      $ (15,304,998

Total – Net

   $      $ 1,234,058,045      $      $ 1,234,058,045  

 

See Notes to Financial Statements.

 

110   WisdomTree Trust


Table of Contents

Schedule of Investments

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT AGENCIES – 22.4%

 

Federal Home Loan Bank – 0.1%

 

0.38%, 9/4/25

   $ 200,000      $ 198,148  
Federal Home Loan Mortgage Corporation – 1.9%

 

0.38%, 4/20/23

     3,500,000        3,513,825  

0.38%, 7/21/25

     200,000        198,384  
     

 

 

 
Total Federal Home Loan Mortgage Corporation

 

     3,712,209  
Federal National Mortgage Association – 1.1%

 

2.63%, 9/6/24

     1,850,000        1,975,227  

1.63%, 1/7/25

     175,000        181,970  
     

 

 

 
Total Federal National Mortgage Association

 

     2,157,197  
Tennessee Valley Authority – 0.0%

 

0.75%, 5/15/25

     86,000        86,504  
Uniform Mortgage-Backed Securities – 19.3%

 

2.00%, 9/16/36(a)

     30,769,000        31,848,694  

2.50%, 9/16/36(a)

     6,427,000        6,723,775  
     

 

 

 
Total Uniform Mortgage-Backed Securities

 

     38,572,469  

TOTAL U.S. GOVERNMENT AGENCIES

(Cost: $44,712,811)

 

 

     44,726,527  
U.S. GOVERNMENT OBLIGATIONS – 72.5%

 

U.S. Treasury Bills – 44.4%

 

0.02%, 9/2/21*

     38,875,000        38,874,973  

0.06%, 11/1/21*

     2,925,000        2,924,738  

0.04%, 12/2/21*

     37,000,000        36,996,454  

0.05%, 3/3/22*

     9,875,000        9,872,379  
     

 

 

 
Total U.S. Treasury Bills

 

     88,668,544  
U.S. Treasury Bonds – 0.6%

 

7.63%, 11/15/22

     106,000        115,612  

7.13%, 2/15/23

     300,000        330,545  

6.88%, 8/15/25

     500,000        622,910  

6.00%, 2/15/26

     100,000        123,395  
     

 

 

 
Total U.S. Treasury Bonds

 

     1,192,462  
U.S. Treasury Notes – 27.5%

 

1.75%, 9/30/22

     1,429,000        1,454,622  

1.63%, 11/15/22

     2,215,000        2,255,536  

1.63%, 12/15/22

     840,000        856,406  

0.25%, 4/15/23

     1,230,000        1,231,922  

0.13%, 5/15/23

     490,000        489,722  

2.63%, 6/30/23

     232,800        243,190  

0.13%, 8/31/23

     6,000,000        5,990,273  

2.75%, 8/31/23

     859,200        902,747  

2.13%, 3/31/24

     735,000        769,281  

2.00%, 5/31/24

     1,000,000        1,045,117  

1.50%, 10/31/24

     1,535,000        1,586,626  

1.50%, 11/30/24

     400,000        413,547  

1.75%, 12/31/24

     1,300,000        1,355,047  

1.13%, 2/28/25

     238,000        243,030  

0.50%, 3/31/25

     22,000,000        21,975,078  

0.75%, 3/31/26

     2,200,000        2,203,180  

0.75%, 4/30/26

     3,000,000        3,002,930  

0.75%, 5/31/26

     6,000,000        6,002,344  

0.63%, 7/31/26

     3,000,000        2,979,492  
     

 

 

 
Total U.S. Treasury Notes

 

     55,000,090  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $144,570,375)

 

 

     144,861,096  
U.S. CORPORATE BONDS – 26.5%

 

United States – 26.5%

 

3M Co.
2.25%, 3/15/23

   113,000      116,196  

2.65%, 4/15/25

     50,000        53,143  

Abbott Laboratories
3.88%, 9/15/25

     1,209,000        1,345,206  

AbbVie, Inc.
2.90%, 11/6/22

     449,000        462,286  

3.85%, 6/15/24

     5,000        5,399  

2.60%, 11/21/24

     200,000        210,924  

3.60%, 5/14/25

     35,000        38,076  

Adobe, Inc.
1.90%, 2/1/25

     322,000        334,278  

3.25%, 2/1/25

     187,000        201,760  

Aetna, Inc.
3.50%, 11/15/24

     27,000        29,106  

Affiliated Managers Group, Inc.
4.25%, 2/15/24

     25,000        27,153  

Aflac, Inc.
3.25%, 3/17/25

     200,000        216,510  

Air Lease Corp.
2.25%, 1/15/23

     200,000        204,732  

3.00%, 9/15/23

     50,000        52,128  

Air Products and Chemicals, Inc.
1.50%, 10/15/25

     264,000        271,001  

Ally Financial, Inc.
1.45%, 10/2/23

     270,000        274,220  

Amazon.com, Inc.
0.80%, 6/3/25

     50,000        50,135  

American Express Co.
3.00%, 10/30/24

     76,000        81,416  

3.63%, 12/5/24

     226,000        246,417  

American Honda Finance Corp.
2.40%, 6/27/24

     50,000        52,442  

2.15%, 9/10/24

     150,000        156,454  

1.20%, 7/8/25

     200,000        201,950  

1.00%, 9/10/25

     111,000        111,256  

American International Group, Inc.
4.13%, 2/15/24

     42,000        45,512  

American Tower Corp.
3.50%, 1/31/23

     358,000        373,505  

1.30%, 9/15/25

     10,000        10,054  

1.60%, 4/15/26

     10,000        10,109  

Ameriprise Financial, Inc.
3.70%, 10/15/24

     47,000        51,345  

3.00%, 4/2/25

     50,000        53,410  

AmerisourceBergen Corp.
3.25%, 3/1/25

     100,000        107,081  

Amgen, Inc.
3.63%, 5/22/24

     149,000        159,978  

Amphenol Corp.
3.20%, 4/1/24

     50,000        52,931  

Anthem, Inc.
3.30%, 1/15/23

     219,000        227,747  

Appalachian Power Co.
3.40%, 6/1/25

     52,000        56,133  

Ares Capital Corp.
3.50%, 2/10/23

     90,000        93,198  

3.88%, 1/15/26

     30,000        32,321  

 

See Notes to Financial Statements.

 

WisdomTree Trust      111  


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

Assurant, Inc.
4.20%, 9/27/23

   $ 64,000      $ 68,443  

AT&T, Inc.
4.45%, 4/1/24

     216,000        235,099  

AutoZone, Inc.
3.63%, 4/15/25

     250,000        272,285  

AvalonBay Communities, Inc.
3.45%, 6/1/25

     101,000        110,084  

Bank of America Corp.

     

3.00%, 12/20/23, (3.004% fixed rate until 12/20/22; 3-month U.S. dollar London Interbank Offered Rate + 0.79% thereafter)(b)

     150,000        154,878  

4.13%, 1/22/24

     72,000        78,145  

3.55%, 3/5/24, (3.55% fixed rate until 3/5/23; 3-month U.S. dollar London Interbank Offered Rate + 0.78% thereafter)(b)

     157,000        164,037  

4.00%, 4/1/24

     117,000        127,252  

4.20%, 8/26/24

     22,000        24,134  

3.88%, 8/1/25

     513,000        569,907  

0.98%, 9/25/25, (0.981% fixed rate until 9/25/24; Secured Overnight Financing Rate + 0.91% thereafter)(b)

     50,000        50,173  

3.09%, 10/1/25, (3.093% fixed rate until 10/1/24; 3-month U.S. dollar London Interbank Offered Rate + 1.09% thereafter)(b)

     207,000        220,536  

3.37%, 1/23/26, (3.366% fixed rate until 1/23/25; 3-month U.S. dollar London Interbank Offered Rate + 0.81% thereafter)(b)

     200,000        214,936  

2.02%, 2/13/26, (2.015% fixed rate until 2/13/25; 3-month U.S. dollar London Interbank Offered Rate + 0.64% thereafter)(b)

     871,000        897,008  

3.50%, 4/19/26

     134,000        147,621  

1.32%, 6/19/26, (1.319% fixed rate until 6/19/25; Secured Overnight Financing Rate + 1.15% thereafter)(b)

     30,000        30,114  

Bank of New York Mellon Corp. (The)
2.95%, 1/29/23

     111,000        114,992  

3.40%, 5/15/24

     4,000        4,297  

3.00%, 2/24/25, Series G

     50,000        53,820  

1.60%, 4/24/25

     50,000        51,401  

Berkshire Hathaway Energy Co.
3.50%, 2/1/25

     200,000        216,146  

4.05%, 4/15/25

     187,000        206,902  

Berry Global, Inc.
1.57%, 1/15/26(c)

     120,000        121,104  

BGC Partners, Inc.
5.38%, 7/24/23

     231,000        248,875  

Biogen, Inc.
3.63%, 9/15/22

     50,000        51,700  

4.05%, 9/15/25

     184,000        204,593  

Black Hills Corp.
4.25%, 11/30/23

     121,000        129,766  

BlackRock, Inc.
3.50%, 3/18/24

     34,000        36,669  

Blackstone Secured Lending Fund
3.65%, 7/14/23

   120,000      125,334  

Block Financial LLC
5.50%, 11/1/22

     43,000        44,385  

Boardwalk Pipelines L.P.
4.95%, 12/15/24

     67,000        74,636  

Boeing Co. (The)
1.88%, 6/15/23

     200,000        203,688  

4.88%, 5/1/25

     12,000        13,421  

2.75%, 2/1/26

     407,000        425,555  

Boston Properties L.P.
3.65%, 2/1/26

     100,000        110,138  

BP Capital Markets America, Inc.
3.22%, 11/28/23

     200,000        211,432  

3.19%, 4/6/25

     209,000        224,713  

3.80%, 9/21/25

     136,000        150,313  

Bristol-Myers Squibb Co.
2.90%, 7/26/24

     675,000        719,732  

Broadcom, Inc.
4.70%, 4/15/25

     19,000        21,272  

3.15%, 11/15/25

     107,000        114,656  

4.25%, 4/15/26

     125,000        139,845  

3.46%, 9/15/26

     100,000        108,634  

Brown-Forman Corp.
3.50%, 4/15/25

     316,000        345,091  

Campbell Soup Co.
3.65%, 3/15/23

     35,000        36,609  

Capital One Financial Corp.
3.50%, 6/15/23

     498,000        524,797  

Cardinal Health, Inc.
2.62%, 6/15/22

     93,000        94,499  

Carrier Global Corp.
2.24%, 2/15/25

     100,000        104,153  

Caterpillar Financial Services Corp.
2.15%, 11/8/24

     74,000        77,581  

Caterpillar, Inc.
3.40%, 5/15/24

     81,000        86,851  

Charles Schwab Corp. (The)
3.00%, 3/10/25

     111,000        118,979  

4.20%, 3/24/25

     452,000        504,030  

3.85%, 5/21/25

     50,000        55,208  

Charter Communications Operating LLC
4.50%, 2/1/24

     36,000        39,098  

Chubb INA Holdings, Inc.
3.15%, 3/15/25

     97,000        104,841  

Cigna Corp.
3.75%, 7/15/23

     62,000        65,657  

4.13%, 11/15/25

     70,000        78,270  

1.25%, 3/15/26

     57,000        57,367  

Cisco Systems, Inc.
3.63%, 3/4/24

     211,000        227,869  

3.50%, 6/15/25

     200,000        220,482  

Citigroup, Inc.
3.50%, 5/15/23

     680,000        714,360  

3.88%, 10/25/23

     110,000        118,253  

3.75%, 6/16/24

     50,000        54,256  

3.88%, 3/26/25

     9,000        9,853  

 

See Notes to Financial Statements.

 

112   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

3.35%, 4/24/25, (3.352% fixed rate until 4/24/24; 3-month U.S. dollar London Interbank Offered Rate + 0.897% thereafter)(b)

   $ 95,000      $ 101,299  

3.11%, 4/8/26, (3.106% fixed rate until 4/8/25; Secured Overnight Financing Rate + 2.842% thereafter)(b)

     257,000        274,887  

1.12%, 1/28/27, (1.122% fixed rate until 1/28/26; Secured Overnight Financing Rate + 0.765% thereafter)(b)

     251,000        249,188  

Citrix Systems, Inc.
1.25%, 3/1/26

     25,000        24,722  

Cleveland Electric Illuminating Co. (The)
5.50%, 8/15/24

     180,000        204,210  

CNH Industrial Capital LLC
4.38%, 4/5/22

     50,000        51,129  

Coca-Cola Co. (The)
1.75%, 9/6/24

     100,000        104,100  

Columbia Pipeline Group, Inc.
4.50%, 6/1/25

     250,000        280,082  

Comcast Corp.
3.60%, 3/1/24

     50,000        53,839  

3.38%, 2/15/25

     50,000        54,088  

3.10%, 4/1/25

     400,000        430,144  

3.38%, 8/15/25

     178,000        193,915  

3.95%, 10/15/25

     106,000        118,265  

3.15%, 3/1/26

     5,000        5,438  

Comerica, Inc.
3.70%, 7/31/23

     83,000        87,982  

Constellation Brands, Inc.
4.25%, 5/1/23

     72,000        76,324  

Costco Wholesale Corp.
2.75%, 5/18/24

     42,000        44,467  

Crown Castle International Corp.
3.20%, 9/1/24

     48,000        51,236  

Cummins, Inc.
0.75%, 9/1/25

     200,000        199,370  

CVS Health Corp.
4.75%, 12/1/22

     8,000        8,343  

3.70%, 3/9/23

     33,000        34,558  

4.10%, 3/25/25

     100,000        110,313  

3.88%, 7/20/25

     50,000        55,062  

D.R. Horton, Inc.
5.75%, 8/15/23

     140,000        152,243  

Dell International LLC
5.85%, 7/15/25

     5,000        5,843  

Devon Energy Corp.
5.85%, 12/15/25

     110,000        128,155  

Discover Financial Services
3.85%, 11/21/22

     50,000        52,092  

Discovery Communications LLC
2.95%, 3/20/23

     50,000        51,790  

Dollar General Corp.
3.25%, 4/15/23

     40,000        41,556  

Dominion Energy, Inc.
3.07%, 8/15/24(b)

     16,000        16,981  

3.90%, 10/1/25

     40,000        44,076  

Dow Chemical Co. (The)
4.55%, 11/30/25

     2,000        2,275  

Duke Energy Corp.
0.90%, 9/15/25

   100,000      99,272  

DuPont de Nemours, Inc.
4.49%, 11/15/25

     30,000        33,893  

E*TRADE Financial Corp.
2.95%, 8/24/22

     50,000        51,225  

Edison International
2.40%, 9/15/22

     100,000        101,620  

3.55%, 11/15/24

     9,000        9,571  

EI du Pont de Nemours and Co.
1.70%, 7/15/25

     175,000        179,693  

Electronic Arts, Inc.
4.80%, 3/1/26

     9,000        10,350  

Eli Lilly & Co.
2.75%, 6/1/25

     177,000        188,730  

Enable Midstream Partners L.P.
3.90%, 5/15/24

     8,000        8,514  

Energy Transfer L.P.
5.20%, 2/1/22

     79,000        79,604  

2.90%, 5/15/25

     100,000        105,119  

Entergy Arkansas LLC
3.70%, 6/1/24

     20,000        21,526  

Entergy Corp.
0.90%, 9/15/25

     25,000        24,719  

Entergy Gulf States Louisiana LLC
5.59%, 10/1/24

     107,000        122,621  

Entergy Louisiana LLC
5.40%, 11/1/24

     50,000        57,188  

Enterprise Products Operating LLC
3.35%, 3/15/23

     50,000        51,858  

EOG Resources, Inc.
4.15%, 1/15/26

     100,000        112,265  

Equinix, Inc.
2.63%, 11/18/24

     189,000        198,673  

1.25%, 7/15/25

     44,000        44,049  

ERP Operating L.P.
3.38%, 6/1/25

     77,000        83,419  

Estee Lauder Cos., Inc. (The)
2.00%, 12/1/24

     50,000        52,302  

Evergy Metro, Inc.
3.65%, 8/15/25

     200,000        219,024  

Exelon Corp.
3.40%, 4/15/26

     41,000        44,760  

Fidelity National Information Services, Inc.
1.15%, 3/1/26

     23,000        22,919  

Fifth Third Bancorp
2.38%, 1/28/25

     100,000        104,696  

FNB Corp.
2.20%, 2/24/23

     50,000        50,810  

Fox Corp.
4.03%, 1/25/24

     29,000        31,251  

Franklin Resources, Inc.
2.85%, 3/30/25

     210,000        224,610  

FS KKR Capital Corp.
3.40%, 1/15/26

     130,000        135,915  

General Dynamics Corp.
3.25%, 4/1/25

     150,000        162,105  

3.50%, 5/15/25

     209,000        228,458  

General Electric Co.
2.70%, 10/9/22

     50,000        51,286  

 

See Notes to Financial Statements.

 

WisdomTree Trust      113  


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

General Mills, Inc.
3.70%, 10/17/23

   $ 84,000      $ 89,473  

General Motors Co.
6.13%, 10/1/25

     99,000        116,875  

General Motors Financial Co., Inc.
3.45%, 1/14/22

     155,000        156,362  

3.45%, 4/10/22

     80,000        81,077  

3.15%, 6/30/22

     161,000        164,249  

Georgia Power Co.
2.20%, 9/15/24, Series A

     235,000        244,872  

Georgia-Pacific LLC
8.00%, 1/15/24

     66,000        77,514  

Gilead Sciences, Inc.
3.25%, 9/1/22

     111,000        113,798  

3.70%, 4/1/24

     118,000        126,469  

3.65%, 3/1/26

     57,000        62,884  

Global Payments, Inc.
4.80%, 4/1/26

     100,000        114,463  

Goldman Sachs BDC, Inc.
2.88%, 1/15/26

     50,000        51,785  

Goldman Sachs Group, Inc. (The)
4.00%, 3/3/24

     307,000        332,478  

3.85%, 7/8/24

     50,000        54,068  

3.50%, 1/23/25

     164,000        176,726  

3.50%, 4/1/25

     209,000        226,357  

3.75%, 5/22/25

     250,000        272,645  

1.09%, 12/9/26, (1.093% fixed rate until 12/9/25; Secured Overnight Financing Rate + 0.789% thereafter)(b)

     680,000        675,308  

1.43%, 3/9/27, (1.431% fixed rate until 3/9/26; Secured Overnight Financing Rate + 0.798% thereafter)(b)

     10,000        10,030  

Halliburton Co.
3.80%, 11/15/25

     100,000        110,159  

Harley-Davidson, Inc.
3.50%, 7/28/25

     17,000        18,265  

Hasbro, Inc.
3.00%, 11/19/24

     124,000        131,831  

HCA, Inc.
5.25%, 4/15/25

     205,000        234,102  

Hershey Co. (The)
0.90%, 6/1/25

     264,000        264,974  

Hess Corp.
3.50%, 7/15/24

     135,000        143,321  

Hewlett Packard Enterprise Co.
4.40%, 10/15/22

     72,000        74,686  

2.25%, 4/1/23

     100,000        102,605  

4.65%, 10/1/24

     125,000        138,666  

1.75%, 4/1/26

     70,000        71,446  

Host Hotels & Resorts L.P.
3.75%, 10/15/23, Series D

     170,000        178,906  

HP, Inc.
2.20%, 6/17/25

     212,000        220,069  

Humana, Inc.
3.15%, 12/1/22

     50,000        51,387  

4.50%, 4/1/25

     83,000        92,654  

Intel Corp.
3.40%, 3/25/25

     65,000        70,729  

3.70%, 7/29/25

     100,000        110,167  

Intercontinental Exchange, Inc.
0.70%, 6/15/23

   260,000      261,196  

International Business Machines Corp.
3.00%, 5/15/24

     487,000        518,397  

Intuit, Inc.
0.95%, 7/15/25

     291,000        292,298  

Invesco Finance PLC
4.00%, 1/30/24

     118,000        127,278  

Jabil, Inc.
4.70%, 9/15/22

     2,000        2,088  

1.70%, 4/15/26

     100,000        101,060  

Jefferies Financial Group, Inc.
5.50%, 10/18/23

     180,000        192,449  

John Deere Capital Corp.
2.05%, 1/9/25

     200,000        209,066  

3.45%, 3/13/25

     200,000        218,918  

JPMorgan Chase & Co.
3.63%, 5/13/24

     169,000        182,752  

3.80%, 7/23/24, (3.797% fixed rate until 7/23/23; 3-month U.S. dollar London Interbank Offered Rate + 0.89% thereafter)(b)

     100,000        106,128  

3.88%, 9/10/24

     889,000        967,845  

4.02%, 12/5/24, (4.023% fixed rate until 12/5/23; 3-month U.S. dollar London Interbank Offered Rate + 1.00% thereafter)(b)

     170,000        182,677  

3.13%, 1/23/25

     200,000        214,232  

3.22%, 3/1/25, (3.22% fixed rate until 3/1/24; 3-month U.S. dollar London Interbank Offered Rate + 1.155% thereafter)(b)

     29,000        30,771  

2.01%, 3/13/26, (2.005% fixed rate until 3/13/25; Secured Overnight Financing Rate + 1.585% thereafter)(b)

     34,000        35,078  

3.30%, 4/1/26

     23,000        25,119  

2.08%, 4/22/26, (2.083% fixed rate until 4/22/25; Secured Overnight Financing Rate + 1.85% thereafter)(b)

     464,000        479,405  

3.96%, 1/29/27, (3.96% fixed rate until 1/29/26; 3-month U.S. dollar London Interbank Offered Rate + 1.245% thereafter)(b)

     109,000        121,345  

Juniper Networks, Inc.
1.20%, 12/10/25

     115,000        114,982  

KeyBank NA
3.30%, 6/1/25

     250,000        273,102  

Kilroy Realty L.P.
3.45%, 12/15/24

     249,000        266,577  

Kinder Morgan Energy Partners L.P.
4.15%, 2/1/24

     47,000        50,420  

Kroger Co. (The)
3.85%, 8/1/23

     50,000        52,843  

Lam Research Corp.
3.80%, 3/15/25

     49,000        53,768  

3.75%, 3/15/26

     7,000        7,825  

Leidos, Inc.
2.95%, 5/15/23

     133,000        137,969  

Lennar Corp.
4.75%, 11/15/22

     160,000        166,408  

 

See Notes to Financial Statements.

 

114   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

Lennox International, Inc.
1.35%, 8/1/25

   $ 100,000      $ 100,804  

Linde, Inc.
3.20%, 1/30/26

     81,000        88,452  

Lockheed Martin Corp.
3.10%, 1/15/23

     75,000        77,514  

2.90%, 3/1/25

     100,000        106,813  

M&T Bank Corp.
3.55%, 7/26/23

     150,000        158,784  

Marvell Technology, Inc.
4.20%, 6/22/23(c)

     120,000        127,166  

Mastercard, Inc.
2.00%, 3/3/25

     50,000        52,242  

McDonald’s Corp.
2.63%, 1/15/22

     93,000        93,825  

MetLife, Inc.
3.00%, 3/1/25

     124,000        133,076  

Microsoft Corp.
3.63%, 12/15/23

     138,000        147,624  

Morgan Stanley
4.88%, 11/1/22

     258,000        271,272  

3.75%, 2/25/23

     103,000        108,155  

4.10%, 5/22/23

     370,000        392,374  

3.88%, 4/29/24, Series F

     141,000        152,711  

4.00%, 7/23/25

     334,000        370,586  

3.88%, 1/27/26

     100,000        111,515  

2.19%, 4/28/26, (2.188% fixed rate until 4/28/25; Secured Overnight Financing Rate + 1.99% thereafter)(b)

     400,000        415,716  

MPLX L.P.
1.75%, 3/1/26

     100,000        101,314  

MUFG Americas Holdings Corp.
3.00%, 2/10/25

     50,000        53,389  

National Rural Utilities Cooperative Finance Corp.
2.85%, 1/27/25

     50,000        53,127  

NetApp, Inc.
1.88%, 6/22/25

     100,000        103,073  

NiSource, Inc.
0.95%, 8/15/25

     260,000        258,320  

Northern Trust Corp.
3.95%, 10/30/25

     100,000        112,759  

Northrop Grumman Corp.
3.25%, 8/1/23

     78,000        82,198  

Omega Healthcare Investors, Inc.
4.38%, 8/1/23

     27,000        28,684  

Oncor Electric Delivery Co. LLC
0.55%, 10/1/25

     379,000        372,023  

ONEOK, Inc.
5.85%, 1/15/26

     228,000        268,372  

Oracle Corp.
2.95%, 11/15/24

     95,000        101,202  

2.50%, 4/1/25

     684,000        717,851  

2.95%, 5/15/25

     59,000        62,805  

Owl Rock Capital Corp.
4.25%, 1/15/26

     30,000        32,375  

Pacific Gas and Electric Co.
4.25%, 8/1/23

     170,000        177,810  

3.45%, 7/1/25

     163,000        168,829  

PECO Energy Co.
3.15%, 10/15/25

   35,000      37,946  

PepsiCo, Inc.
2.25%, 3/19/25

     40,000        42,049  

3.50%, 7/17/25

     40,000        43,888  

Pfizer, Inc.
2.95%, 3/15/24

     167,000        177,180  

3.40%, 5/15/24

     33,000        35,588  

0.80%, 5/28/25

     126,000        126,257  

Philip Morris International, Inc.
2.63%, 2/18/22

     85,000        85,794  

2.88%, 5/1/24

     50,000        52,926  

1.50%, 5/1/25

     50,000        51,005  

3.38%, 8/11/25

     50,000        54,395  

Piedmont Operating Partnership L.P.
3.40%, 6/1/23

     110,000        114,205  

Pinnacle West Capital Corp.
1.30%, 6/15/25

     143,000        144,499  

Plains All American Pipeline L.P.
3.60%, 11/1/24

     133,000        141,839  

4.65%, 10/15/25

     7,000        7,804  

PNC Financial Services Group, Inc. (The)
3.90%, 4/29/24

     100,000        108,218  

2.20%, 11/1/24

     2,000        2,102  

PPG Industries, Inc.
2.40%, 8/15/24

     64,000        67,088  

Precision Castparts Corp.
3.25%, 6/15/25

     15,000        16,279  

Primerica, Inc.
4.75%, 7/15/22

     120,000        124,486  

Private Export Funding Corp.
2.45%, 7/15/24, Series GG

     50,000        52,673  

1.75%, 11/15/24

     100,000        103,255  

Public Service Electric & Gas Co.
0.95%, 3/15/26

     592,000        592,018  

Public Service Enterprise Group, Inc.
0.80%, 8/15/25

     10,000        9,900  

PulteGroup, Inc.
5.50%, 3/1/26

     45,000        52,660  

QUALCOMM, Inc.
2.90%, 5/20/24

     61,000        64,757  

3.45%, 5/20/25

     200,000        217,822  

Ralph Lauren Corp.
3.75%, 9/15/25

     259,000        285,547  

Realty Income Corp.
3.88%, 7/15/24

     88,000        95,176  

RenaissanceRe Finance, Inc.
3.70%, 4/1/25

     50,000        54,269  

Republic Services, Inc.
4.75%, 5/15/23

     54,000        57,380  

Roper Technologies, Inc.
3.13%, 11/15/22

     50,000        51,320  

Ross Stores, Inc.
0.88%, 4/15/26

     100,000        98,452  

Sabine Pass Liquefaction LLC
6.25%, 3/15/22

     100,000        101,640  

Santander Holdings USA, Inc.
3.45%, 6/2/25

     264,000        283,549  

 

See Notes to Financial Statements.

 

WisdomTree Trust      115  


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

Schlumberger Finance Canada Ltd.
1.40%, 9/17/25

   $ 15,000      $ 15,226  

Sempra Energy
4.05%, 12/1/23

     56,000        59,897  

Simon Property Group L.P.
2.00%, 9/13/24

     290,000        300,530  

3.50%, 9/1/25

     15,000        16,370  

3.30%, 1/15/26

     64,000        69,445  

Southern California Edison Co.
3.50%, 10/1/23, Series C

     49,000        51,622  

3.70%, 8/1/25, Series E

     148,000        162,076  

Southern Power Co.
0.90%, 1/15/26

     84,000        82,897  

Southwest Airlines Co.
2.75%, 11/16/22

     69,000        70,684  

4.75%, 5/4/23

     50,000        53,418  

5.25%, 5/4/25

     34,000        38,557  

Southwestern Electric Power Co.
1.65%, 3/15/26, Series N

     100,000        101,653  

Starbucks Corp.
3.80%, 8/15/25

     30,000        33,154  

State Street Corp.
3.30%, 12/16/24

     94,000        102,152  

3.55%, 8/18/25

     218,000        241,016  

2.35%, 11/1/25, (2.354% fixed rate until 11/1/24; Secured Overnight Financing Rate + 0.94% thereafter)(b)

     361,000        379,559  

Stryker Corp.
3.50%, 3/15/26

     10,000        10,992  

Synchrony Financial
2.85%, 7/25/22

     150,000        153,126  

Synovus Financial Corp.
3.13%, 11/1/22

     50,000        51,230  

Sysco Corp.
3.75%, 10/1/25

     100,000        110,025  

Timken Co. (The)
3.88%, 9/1/24

     100,000        107,269  

Toyota Motor Credit Corp.
3.00%, 4/1/25

     50,000        53,667  

0.80%, 10/16/25

     250,000        248,487  

Trane Technologies Global Holding Co., Ltd.
4.25%, 6/15/23

     114,000        121,490  

Transcontinental Gas Pipe Line Co. LLC
7.85%, 2/1/26

     100,000        125,941  

Trimble, Inc.
4.75%, 12/1/24

     48,000        53,292  

Truist Bank

     

3.69%, 8/2/24, (3.689% fixed rate until 8/2/23; 3-month U.S. dollar London Interbank Offered Rate + 0.735% thereafter)(b)

     83,000        88,285  

1.50%, 3/10/25

     250,000        255,992  

Truist Financial Corp.
3.75%, 12/6/23

     113,000        121,204  

2.50%, 8/1/24

     600,000        632,454  

2.85%, 10/26/24

     32,000        34,180  

4.00%, 5/1/25

     355,000        393,805  

1.27%, 3/2/27, (1.267% fixed rate until 3/2/26; Secured Overnight Financing Rate + 0.609% thereafter)(b)

   20,000      20,069  

Tucson Electric Power Co.
3.05%, 3/15/25

     50,000        53,480  

TWDC Enterprises 18 Corp.
3.15%, 9/17/25

     618,000        672,038  

U.S. Bancorp
1.45%, 5/12/25

     100,000        102,364  

United Parcel Service, Inc.
2.20%, 9/1/24

     250,000        261,680  

3.90%, 4/1/25

     100,000        110,373  

UnitedHealth Group, Inc.
2.38%, 8/15/24

     100,000        105,389  

UPMC
3.60%, 4/3/25, Series D-1

     300,000        326,436  

US Bancorp
2.40%, 7/30/24

     50,000        52,630  

VEREIT Operating Partnership L.P.
4.63%, 11/1/25

     100,000        113,370  

Verizon Communications, Inc.
3.38%, 2/15/25

     262,000        283,916  

0.85%, 11/20/25

     227,000        225,336  

ViacomCBS, Inc.
3.70%, 8/15/24

     105,000        113,078  

Walt Disney Co. (The)
3.70%, 10/15/25

     409,000        451,663  

Waste Management, Inc.
2.40%, 5/15/23

     87,000        89,724  

Wells Fargo & Co.
4.48%, 1/16/24

     33,000        35,932  

3.00%, 2/19/25

     824,000        879,241  

3.55%, 9/29/25

     92,000        100,978  

2.41%, 10/30/25, (2.406% fixed rate until 10/30/24; Secured Overnight Financing Rate + 1.087% thereafter)(b)

     416,000        434,841  

2.16%, 2/11/26, (2.164% fixed rate until 2/11/25; 3-month U.S. dollar London Interbank Offered Rate + 0.75% thereafter)(b)

     322,000        334,320  

3.00%, 4/22/26

     73,000        79,092  

2.19%, 4/30/26, (2.188% fixed rate until 4/30/25; Secured Overnight Financing Rate + 2.00% thereafter)(b)

     100,000        103,908  

Western Union Co. (The)
1.35%, 3/15/26

     100,000        99,444  

Willis North America, Inc.
3.60%, 5/15/24

     155,000        166,041  

Wisconsin Electric Power Co.
2.05%, 12/15/24

     15,000        15,672  

WW Grainger, Inc.
1.85%, 2/15/25

     100,000        103,374  

Xilinx, Inc.
2.95%, 6/1/24

     84,000        88,753  

Zoetis, Inc.
4.50%, 11/13/25

     100,000        113,423  

TOTAL U.S. CORPORATE BONDS

(Cost: $52,492,347)

 

 

     52,952,686  

 

See Notes to Financial Statements.

 

116   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  
FOREIGN CORPORATE BONDS – 5.8%

 

Canada – 1.3%

 

Bank of Montreal
3.30%, 2/5/24, Series E

   $ 150,000      $ 160,050  

1.85%, 5/1/25

     251,000        259,529  

4.34%, 10/5/28, (4.338% fixed rate until 10/5/23; 5-year U.S. dollar Swap Rate + 1.28% thereafter)(b)

     90,000        96,278  

Bank of Nova Scotia (The)
2.20%, 2/3/25

     206,000        215,336  

4.50%, 12/16/25

     58,000        65,755  

1.05%, 3/2/26

     40,000        39,810  

Brookfield Asset Management, Inc.
4.00%, 1/15/25

     50,000        54,743  

Brookfield Finance, Inc.
4.00%, 4/1/24

     150,000        161,869  

Canadian Imperial Bank of Commerce
3.10%, 4/2/24

     220,000        233,719  

2.25%, 1/28/25

     50,000        52,258  

Cenovus Energy, Inc.
5.38%, 7/15/25

     34,000        38,610  

Enbridge, Inc.
2.50%, 1/15/25

     42,000        44,024  

Magna International, Inc.
4.15%, 10/1/25

     50,000        55,985  

Rogers Communications, Inc.
3.63%, 12/15/25

     100,000        109,817  

Royal Bank of Canada
2.25%, 11/1/24

     120,000        125,884  

1.15%, 6/10/25

     527,000        530,605  

Toronto-Dominion Bank (The)
1.15%, 6/12/25

     343,000        346,255  

TransCanada PipeLines Ltd.
4.88%, 1/15/26

     30,000        34,440  
     

 

 

 
Total Canada

 

     2,624,967  
China – 0.4%

 

Alibaba Group Holding Ltd.
3.60%, 11/28/24

     378,000        407,783  

Baidu, Inc.
3.08%, 4/7/25

     200,000        211,886  

4.13%, 6/30/25

     90,000        99,289  

Tencent Music Entertainment Group
1.38%, 9/3/25

     110,000        108,713  
     

 

 

 
Total China

 

     827,671  
Colombia – 0.2%

 

Ecopetrol S.A.
5.88%, 9/18/23

     276,000        297,790  
France – 0.1%

 

BPCE S.A.
4.00%, 4/15/24

     170,000        185,326  
Germany – 0.1%

 

Deutsche Bank AG

     

2.22%, 9/18/24, (2.222% fixed rate until 9/18/23; Secured Overnight Financing Rate + 2.159% thereafter)(b)

     140,000        143,695  
Ireland – 0.2%

 

AerCap Ireland Capital DAC
4.50%, 9/15/23

   130,000      138,809  

6.50%, 7/15/25

     150,000        175,311  
     

 

 

 
Total Ireland

 

     314,120  
Japan – 0.8%

 

Mitsubishi UFJ Financial Group, Inc.
2.19%, 2/25/25

     536,000        557,660  

1.41%, 7/17/25

     50,000        50,625  

Mizuho Financial Group, Inc.
2.95%, 2/28/22

     190,000        192,552  

ORIX Corp.
3.25%, 12/4/24

     150,000        161,563  

Sumitomo Mitsui Financial Group, Inc.
2.44%, 10/19/21

     290,000        290,867  

2.70%, 7/16/24

     315,000        332,076  

Toyota Motor Corp.
1.34%, 3/25/26

     73,000        73,986  
     

 

 

 
Total Japan

 

     1,659,329  
Netherlands – 0.1%

 

Cooperatieve Rabobank UA
4.63%, 12/1/23

     100,000        108,815  

ING Groep N.V.
3.55%, 4/9/24

     140,000        150,500  
     

 

 

 
Total Netherlands

 

     259,315  
Peru – 0.0%

 

Southern Copper Corp.
3.50%, 11/8/22

     91,000        94,184  
Spain – 0.3%

 

Banco Bilbao Vizcaya Argentaria S.A.
1.13%, 9/18/25

     250,000        248,855  

Banco Santander S.A.
2.71%, 6/27/24

     200,000        211,374  

2.75%, 5/28/25

     200,000        210,936  
     

 

 

 
Total Spain

 

     671,165  
Switzerland – 0.5%

 

Credit Suisse Group AG
3.80%, 6/9/23

     560,000        590,777  

3.75%, 3/26/25

     250,000        271,320  

Syngenta Finance N.V.
3.13%, 3/28/22

     120,000        121,570  
     

 

 

 
Total Switzerland

 

     983,667  
United Kingdom – 1.8%

 

Barclays PLC

     

1.01%, 12/10/24, (1.007% fixed rate until 12/10/23; 1-year Constant Maturity Treasury Rate + 0.80% thereafter)(b)

     360,000        361,764  

BAT Capital Corp.
3.22%, 8/15/24

     55,000        58,387  

BAT International Finance PLC
1.67%, 3/25/26

     100,000        100,690  

BP Capital Markets PLC
3.81%, 2/10/24

     90,000        97,037  

Diageo Capital PLC
1.38%, 9/29/25

     200,000        203,338  

 

See Notes to Financial Statements.

 

WisdomTree Trust      117  


Table of Contents

Schedule of Investments (continued)

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

GlaxoSmithKline Capital, Inc.
2.80%, 3/18/23

   $ 127,000      $ 131,935  

HSBC Holdings PLC
4.25%, 3/14/24

     524,000        565,296  

1.65%, 4/18/26, (1.645% fixed rate until 4/18/25; Secured Overnight Financing Rate + 1.538% thereafter)(b)

     50,000        50,633  

2.10%, 6/4/26, (2.099% fixed rate until 6/4/25; Secured Overnight Financing Rate + 1.929% thereafter)(b)

     500,000        514,245  

Lloyds Bank PLC
3.50%, 5/14/25

     200,000        217,376  

Lloyds Banking Group PLC

     

2.91%, 11/7/23, (2.907% fixed rate until 11/7/22; 3-month U.S. dollar London Interbank Offered Rate + 0.81% thereafter)(b)

     63,000        64,758  

3.90%, 3/12/24

     50,000        53,998  

Natwest Group PLC
3.88%, 9/12/23

     550,000        585,277  

RELX Capital, Inc.
3.50%, 3/16/23

     50,000        52,221  

Reynolds American, Inc.
4.45%, 6/12/25

     25,000        27,726  

Santander UK Group Holdings PLC

     

4.80%, 11/15/24, (4.796% fixed rate until 11/15/23; 3-month U.S. dollar London Interbank Offered Rate + 1.57% thereafter)(b)

     220,000        239,248  

1.09%, 3/15/25, (1.089% fixed rate until 3/15/24; Secured Overnight Financing Rate + 0.787% thereafter)(b)

     41,000        41,156  

Unilever Capital Corp.
3.25%, 3/7/24

     125,000        133,374  
     

 

 

 
Total United Kingdom

 

     3,498,459  

TOTAL FOREIGN CORPORATE BONDS

(Cost: $11,511,163)

 

 

     11,559,688  
FOREIGN GOVERNMENT AGENCIES – 0.4%

 

Canada – 0.1%

 

Province of Manitoba Canada
3.05%, 5/14/24

     184,000        196,482  
Japan – 0.3%

 

Japan Bank for International Cooperation
1.75%, 10/17/24

     430,000        445,042  

2.13%, 2/10/25, Series DTC

     140,000        146,815  
     

 

 

 
Total Japan

 

     591,857  

TOTAL FOREIGN GOVERNMENT AGENCIES

(Cost: $788,588)

 

 

     788,339  
FOREIGN GOVERNMENT OBLIGATIONS – 0.5%

 

Chile – 0.1%

 

Chile Government International Bond
3.13%, 3/27/25

     110,000        117,985  
Colombia – 0.1%

 

Colombia Government International Bond
2.63%, 3/15/23

     100,000        101,932  

4.00%, 2/26/24

     78,000        82,151  
     

 

 

 
Total Colombia

 

     184,083  
Indonesia – 0.1%

 

Indonesia Government International Bond
2.95%, 1/11/23

   150,000      155,067  
Italy – 0.1%

 

Republic of Italy Government International Bond
6.88%, 9/27/23

     280,000        315,431  
Mexico – 0.0%

 

Mexico Government International Bond
4.00%, 10/2/23

     18,000        19,388  
Uruguay – 0.1%

 

Uruguay Government International Bond
8.00%, 11/18/22

     130,000        137,045  

TOTAL FOREIGN GOVERNMENT OBLIGATIONS

(Cost: $927,998)

 

 

     928,999  
SUPRANATIONAL BONDS – 0.5%

 

Corporacion Andina de Fomento
3.75%, 11/23/23

     96,000        102,178  

1.63%, 9/23/25

     200,000        202,936  

European Investment Bank
0.63%, 7/25/25

     750,000        749,992  

TOTAL SUPRANATIONAL BONDS

(Cost: $1,056,515)

 

 

     1,055,106  
COMMERCIAL MORTGAGE-BACKED SECURITIES – 8.0%

 

United States – 8.0%

 

Benchmark Mortgage Trust

     

3.75%, 3/15/52, Series 2019-B9, Class A4 

     850,000        960,611  

2.03%, 10/15/53, Series 2020-B20, Class A5

     1,128,000        1,142,173  

2.58%, 4/15/54, Series 2021-B25, Class A5

     2,200,000        2,321,109  

Commercial Mortgage Trust

     

3.29%, 12/10/44, Series 2012-LC4, Class A4

     349,658        350,601  

3.42%, 8/10/47, Series 2014-UBS4, Class A4

     900,000        950,193  

4.73%, 10/10/47, Series 2014-LC17, Class C^(b)

     400,000        418,342  

2.85%, 5/10/48, Series 2015-CR23, Class A2

     27,231        27,554  

4.04%, 2/10/49, Series 2016-CR28, Class D^(b)

     820,000        856,512  

3.04%, 11/10/49, Series 2016-CD2, Class A2

     39,980        40,120  

CSAIL Commercial Mortgage Trust

     

3.77%, 4/15/51, Series 2018-CX11, Class A4

     2,000,000        2,220,819  

Deutsche Bank Commercial Mortgage Trust
1.89%, 8/10/49, Series 2016-C3, Class A2

     28,438        28,623  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates
2.79%, 1/25/22, Series K718, Class A2

     242,929        244,134  

GS Mortgage Securities Trust

     

5.49%, 11/10/46, Series 2013-GC16, Class C^(b)

     200,000        207,754  

 

See Notes to Financial Statements.

 

118   WisdomTree Trust


Table of Contents

Schedule of Investments (concluded)

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  

JP Morgan Chase Commercial Mortgage Securities Trust

     

4.17%, 12/15/46, Series 2013-C16, Class A4

   $ 1,075,000      $ 1,149,829  

JPMBB Commercial Mortgage Securities Trust

     

3.61%, 5/15/48, Series 2015-C29, Class A4

     2,100,000        2,280,549  

Morgan Stanley Bank of America Merrill Lynch Trust

     

3.18%, 8/15/45, Series 2012-C5, Class A4 

     505,700        510,503  

2.74%, 4/15/48, Series 2015-C22, Class A2

     316,186        316,186  

Morgan Stanley Capital I

     

4.36%, 12/15/50, Series 2017-HR2, Class C^(b)

     160,000        179,766  

Wells Fargo Commercial Mortgage Trust

     

2.60%, 6/15/49, Series 2016-C34, Class A2

     49,515        50,277  

2.63%, 4/15/54, Series 2021-C59, Class A5

     376,000        398,394  

3.12%, 1/15/60, Series 2017-RC1, Class A2

     435,517        438,624  

WFRBS Commercial Mortgage Trust

     

3.50%, 8/15/47, Series 2014-C21, Class D(c)

     627,000        549,611  

3.98%, 11/15/47, Series 2014-C25, Class AS

     395,000        429,187  

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES

(Cost: $15,923,482)

 

 

     16,071,471  
ASSET-BACKED SECURITIES – 1.7%

 

United States – 1.7%

 

Ally Auto Receivables Trust
1.93%, 5/15/24, Series 2019-3, Class A3

     169,537        171,166  

Capital One Prime Auto Receivables Trust
1.63%, 8/15/25, Series 2020-1, Class A4

   450,000      460,564  

CarMax Auto Owner Trust
2.30%, 4/15/25, Series 2019-3, Class A4

     118,000        121,878  

Chase Issuance Trust
1.53%, 1/15/25, Series 2020-A1, Class A1

     400,000        407,113  

Citibank Credit Card Issuance Trust
3.21%, 12/7/24, Series 2018-A6, Class A6

     430,000        446,288  

Discover Card Execution Note Trust
1.89%, 10/15/24, Series 2019-A3, Class A

     285,000        290,449  

Ford Credit Auto Owner Trust
2.85%, 8/15/24, Series 2019-A, Class A4

     100,000        103,035  

GM Financial Consumer Automobile Receivables Trust
2.71%, 8/16/24, Series 2019-2, Class A4

     1,100,000        1,127,854  

Honda Auto Receivables Owner Trust
2.90%, 6/18/24, Series 2019-1, Class A4

     200,000        203,837  

Synchrony Card Funding LLC
2.95%, 3/15/25, Series 2019-A1, Class A

     100,000        101,476  

TOTAL ASSET-BACKED SECURITIES

(Cost: $3,424,801)

 

 

     3,433,660  

TOTAL INVESTMENTS IN SECURITIES – 138.3%

(Cost: $275,408,080)

 

 

     276,377,572  

Other Assets less Liabilities – (38.3)%

 

     (76,575,587
     

 

 

 
NET ASSETS – 100.0%

 

   $ 199,801,985  
*

Interest rate shown reflects the yield to maturity at the time of purchase.

 

^

Variable coupon rate based on weighted average interest rate of underlying mortgage.

 

(a)

To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing.

 

(b)

Rate shown reflects the accrual rate as of August 31, 2021 on securities with variable or step rates.

 

(c)

This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers.

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of August 31, 2021 in valuing the Fund’s investments (See Note 2 – Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

  

U.S. Government Agencies

   $      $ 44,726,527      $      $ 44,726,527  

U.S. Government Obligations

            144,861,096               144,861,096  

U.S. Corporate Bonds

            52,952,686               52,952,686  

Foreign Corporate Bonds

            11,559,688               11,559,688  

Foreign Government Agencies

            788,339               788,339  

Foreign Government Obligations

            928,999               928,999  

Supranational Bonds

            1,055,106               1,055,106  

Commercial Mortgage-Backed Securities

            16,071,471               16,071,471  

Asset-Backed Securities

            3,433,660               3,433,660  

Total Investments in Securities

   $      $ 276,377,572      $      $ 276,377,572  

 

See Notes to Financial Statements.

 

WisdomTree Trust      119  


Table of Contents

Schedule of Investments

WisdomTree Alternative Income Fund (HYIN)

August 31, 2021

 

 

 

Investments    Shares      Value  
COMMON STOCKS – 70.8%

 

United States – 70.8%

 

Capital Markets – 23.0%

 

Ares Capital Corp.

     15,489      $ 308,231  

FS KKR Capital Corp.

     13,858        319,981  

Goldman Sachs BDC, Inc.

     14,818        282,431  

Golub Capital BDC, Inc.

     19,192        301,507  

Hercules Capital, Inc.

     17,252        291,559  

Main Street Capital Corp.

     7,119        296,079  

Owl Rock Capital Corp.

     20,468        298,833  

Prospect Capital Corp.

     34,095        270,714  
     

 

 

 
Total Capital Markets

 

       2,369,335  
Mortgage Real Estate Investment Trusts (REITs) – 47.8%

 

AGNC Investment Corp.

     17,494        285,327  

Annaly Capital Management, Inc.

     32,531        282,694  

Apollo Commercial Real Estate Finance, Inc.

     18,165        282,466  

Arbor Realty Trust, Inc.

     16,628        303,960  

Blackstone Mortgage Trust, Inc., Class A

     9,214        302,311  

Broadmark Realty Capital, Inc.

     27,677        290,885  

Chimera Investment Corp.

     19,354        296,503  

Great Ajax Corp.

     23,422        330,953  

Invesco Mortgage Capital, Inc.

     73,813        230,297  

KKR Real Estate Finance Trust, Inc.

     13,161        280,724  

Ladder Capital Corp., Class A

     24,990        285,136  

MFA Financial, Inc.

     62,606        300,509  

New Residential Investment Corp.

     27,936        305,061  

New York Mortgage Trust, Inc.

     63,404      280,246  

PennyMac Mortgage Investment Trust

     14,193        275,486  

Redwood Trust, Inc.

     24,200        301,774  

Starwood Property Trust, Inc.

     11,398        294,068  
     

 

 

 
Total Mortgage Real Estate Investment Trusts (REITs)

 

     4,928,400  

TOTAL COMMON STOCKS

(Cost: $7,266,331)

 

 

     7,297,735  
CLOSED-END MUTUAL FUNDS – 29.1%

 

United States – 29.1%

 

BlackRock Corporate High Yield Fund, Inc.

     24,393        307,352  

Eaton Vance Limited Duration Income Fund

     22,727        302,951  

Highland Income Fund

     27,549        302,488  

Invesco Dynamic Credit Opportunities Fund

     25,590        299,403  

Nuveen Credit Strategies Income Fund

     44,975        292,338  

PIMCO Corporate & Income Opportunity Fund

     15,121        309,224  

PIMCO Dynamic Credit and Mortgage Income Fund

     13,416        301,323  

PIMCO Dynamic Income Fund

     10,413        296,562  

Saba Capital Income & Opportunities Fund

     63,689        291,696  

Western Asset High Income Opportunity Fund, Inc.

     57,319        300,925  

TOTAL CLOSED-END MUTUAL FUNDS

(Cost: $2,984,097))

 

 

     3,004,262  

TOTAL INVESTMENTS IN SECURITIES – 99.9%

(Cost: $10,250,428))

 

 

     10,301,997  

Other Assets less Liabilities – 0.1%

 

     13,051  
     

 

 

 
NET ASSETS – 100.0%

 

   $ 10,315,048  

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of August 31, 2021 in valuing the Fund’s investments (See Note 2 – Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

        

Investments in Securities

  

Common Stocks

   $ 7,297,735      $       —      $      $ 7,297,735  

Closed-End Mutual Funds

     3,004,262                      3,004,262  

Total Investments in Securities

   $ 10,301,997      $      $      $ 10,301,997  

 

See Notes to Financial Statements.

 

120   WisdomTree Trust


Table of Contents

Schedule of Investments

WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 91.3%

 

U.S. Treasury Bills – 91.3%

 

0.04%, 11/18/21*

   $ 43,000,000      $ 42,996,040  

0.05%, 11/26/21*

     15,400,000        15,398,369  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $58,394,261)

 

 

     58,394,409  
Investments   

Shares

     Value  
EXCHANGE-TRADED FUND – 4.5%

 

United States – 4.5%

 

WisdomTree Floating Rate Treasury Fund(a)
(Cost: $2,865,100)
     114,375      $ 2,870,813  

TOTAL INVESTMENTS IN SECURITIES – 95.8%

(Cost: $61,259,361)

 

 

     61,265,222  

Other Assets less Liabilities – 4.2%

 

     2,674,859  
     

 

 

 
NET ASSETS – 100.0%

 

   $ 63,940,081  

 

* 

Interest rate shown reflects the yield to maturity at the time of purchase.

 

(a) 

Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information.

 

INVESTMENT IN AFFILIATES

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the fiscal year ended August 31, 2021 were as follows:

 

                 
Affiliate   Value at
8/31/2020
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/
(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
8/31/2021
    Dividend
Income
    Capital Gain
Distributions
 

WisdomTree Floating Rate Treasury Fund

  $ 5,271,368     $ 774,767     $ 3,172,856     $ 5,467     $ (7,933   $ 2,870,813     $ 1,157     $ 999  

 

FINANCIAL DERIVATIVE INSTRUMENTS  
WRITTEN PUT OPTION CONTRACTS (EXCHANGE-TRADED)  
Description   Number of
Contracts
    Notional
Amount1
    Strike
Price
    Expiration
Date
    Premiums
Paid/
(Received)
    Unrealized
Appreciation
    Value  

S&P 500 Index

    (145   $ (64,162,500   $ 4,425       9/17/2021     $ (970,820   $ 705,470     $ (265,350
1 

Notional amount is derived by multiplying the number of contracts, the contract size (typically 100), and the contract strike price.

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of August 31, 2021 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

           

Investments in Securities

           

U.S. Government Obligations

   $      $ 58,394,409      $      $ 58,394,409  

Exchange-Traded Fund

     2,870,813                      2,870,813  

Total Investments in Securities

   $ 2,870,813      $ 58,394,409      $      $ 61,265,222  

Financial Derivative Instruments

           

Written Options1

   $      $ (265,350    $      $ (265,350

Total – Net

   $ 2,870,813      $ 58,129,059      $      $ 60,999,872  
1

Amount shown represents the market value of the financial instrument.

 

See Notes to Financial Statements.

 

WisdomTree Trust      121  


Table of Contents

Schedule of Investments

WisdomTree Enhanced Commodity Strategy Fund (GCC) (consolidated)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 80.4%

 

U.S. Treasury Bills – 80.4%

 

0.03%, 9/16/21*

   $ 145,000,000      $ 144,998,489  

0.01%, 12/2/21*(a)

     246,000        245,976  

0.02%, 4/21/22*(a)

     1,130,000        1,129,691  

0.06%, 5/19/22*(a)

     9,213,000        9,209,673  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $155,582,891)

 

 

     155,583,829  
     

Shares

     Value  
EXCHANGE-TRADED FUND – 4.2%

 

United States – 4.2%

 

WisdomTree Floating Rate Treasury Fund(b)

     
(Cost: $8,146,461)      324,373      8,141,762  

TOTAL INVESTMENTS IN SECURITIES – 84.6%

(Cost: $163,729,352)

        163,725,591  

Other Assets less Liabilities – 15.4%

 

     29,826,072  
     

 

 

 
NET ASSETS – 100.0%

 

   $ 193,551,663  

 

* 

Interest rate shown reflects the yield to maturity at the time of purchase.

 

(a) 

All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $10,585,340 as of August 31, 2021.

 

(b) 

Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information.

 

INVESTMENT IN AFFILIATES

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the fiscal period ended August 31, 2021 were as follows:

 

                 
Affiliate   Value at
12/18/2020
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/
(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
8/31/2021
    Dividend
Income
    Capital Gain
Distributions
 

WisdomTree Floating Rate Treasury Fund

  $     $ 9,691,138     $ 1,543,289     $ (1,388   $ (4,699   $ 8,141,762     $ 162     $  

 

See Notes to Financial Statements.

 

122   WisdomTree Trust


Table of Contents

Schedule of Investments (continued)

WisdomTree Enhanced Commodity Strategy Fund (GCC) (consolidated)

August 31, 2021

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FUTURES CONTRACTS (EXCHANGE-TRADED)  
Short Exposure   Contracts     Expiration
Date
    Notional
Value
    Unrealized
Appreciation/
(Depreciation)
 

Aluminum

    197       12/15/21     $ (13,379,994   $ (1,388,850

Aluminum

    23       6/13/22       (1,551,350     (112,344

Copper

    75       12/15/21       (17,852,344     729,375  

Copper

    9       12/19/22       (2,128,781     (48,138

Nickel

    10       12/13/21       (1,172,760     (61,722

Zinc

    3       10/18/21       (225,187     (3,106

Zinc

    101       12/13/21       (7,589,519     (57,295
      $ (43,899,935   $ (942,080
Long Exposure  

Aluminum

    197       12/15/21     $ 13,379,994     $ 2,782,295  

Aluminum

    209       6/13/22       14,097,050       1,333,588  

Brent Crude

    229       10/29/21       16,259,000       1,014,794  

Cocoa

    119       3/16/22       3,049,970       78,799  

Coffee “C”

    68       3/21/22       5,061,750       1,373,118  

Copper

    75       12/15/21       17,852,343       1,942,969  

Copper

    80       12/19/22       18,922,500       (830,581

Corn

    420       12/14/22       10,652,250       (154,566

Cotton No. 2

    38       3/09/22       1,743,630       115,994  

Feeder Cattle

    16       11/18/21       1,357,200       18,688  

Gasoline RBOB

    59       9/30/21       5,307,628       767,736  

Gold 100 Ounce

    155       4/27/22       28,242,550       209,720  

HRW Wheat

    82       7/14/22       2,913,050       6,863  

Lean Hogs

    98       10/14/21       3,480,960       (116,782

Live Cattle

    80       2/28/22       4,408,000       95,000  

Low Sulphur Gasoil

    76       12/10/21       4,523,900       811,881  

Nickel

    66       12/13/21       7,740,216       646,223  

NY Harbor ULSD

    53       5/31/22       4,566,194       133,136  

Platinum

    64       10/27/21       3,245,120       (506,307

Silver

    100       12/29/21       12,003,000       (1,526,841

Soybean Meal

    140       12/14/21       4,838,400       (622,060

Soybean Oil

    117       12/14/21       4,124,250       (454,218

Soybeans

    154       11/12/21       9,952,250       700,733  

Sugar No.11

    222       4/29/22       4,928,045       732,411  

Wheat

    106       7/14/22       3,839,850       14,563  

WTI Crude Oil

    239       11/19/21       16,237,660       2,026,193  

Zinc

    96       10/18/21       7,206,000       43,626  

Zinc

    101       12/13/21       7,589,519       553,881  
      $ 237,522,279     $ 11,190,856  

Total – Net

 

  $ 193,622,344     $ 10,248,776  

 

See Notes to Financial Statements.

 

WisdomTree Trust      123  


Table of Contents

Schedule of Investments (concluded)

WisdomTree Enhanced Commodity Strategy Fund (GCC) (consolidated)

August 31, 2021

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of August 31, 2021 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

     

Quoted
Prices in
Active

Markets
(Level 1)

     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

  

U.S. Government Obligations

   $      $ 155,583,829      $      $ 155,583,829  

Exchange-Traded Fund

     8,141,762                      8,141,762  

Total Investments in Securities

   $ 8,141,762      $ 155,583,829      $      $ 163,725,591  

Financial Derivative Instruments

  

Futures Contracts1

   $ 16,131,586      $      $      $ 16,131,586  

Liabilities:

 

     

Financial Derivative Instruments

  

Futures Contracts1

   $ (5,882,810    $      $      $ (5,882,810

Total – Net

   $ 18,390,538      $ 155,583,829      $      $ 173,974,367  
1

Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

 

See Notes to Financial Statements.

 

124   WisdomTree Trust


Table of Contents

Schedule of Investments

WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)

August 31, 2021

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 72.9%

 

U.S. Treasury Bills – 72.9%

 

0.02%, 9/16/21*

   $ 101,000,000      $ 100,998,947  

0.05%, 5/19/22*(a)

     6,214,000        6,211,756  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $107,211,096)

 

 

     107,210,703  
Investments   

Shares

     Value  
EXCHANGE-TRADED FUND – 4.1%

 

United States – 4.1%

 

WisdomTree Floating Rate Treasury Fund(b)

     
(Cost: $5,991,597)      238,956      5,997,796  

TOTAL INVESTMENTS IN SECURITIES – 77.0%

(Cost: $113,202,693)

 

 

     113,208,499  

Other Assets less Liabilities – 23.0%

 

     33,792,008  
     

 

 

 
NET ASSETS – 100.0%

 

   $ 147,000,507  
*

Interest rate shown reflects the yield to maturity at the time of purchase.

 

(a) 

All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $6,211,756 as of August 31, 2021.

 

(b) 

Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information.

 

INVESTMENT IN AFFILIATES

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the fiscal year ended August 31, 2021 were as follows:

 

                 
Affiliate   Value at
8/31/2020
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/
(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
8/31/2021
    Dividend
Income
    Capital Gain
Distributions
 

WisdomTree Floating Rate Treasury Fund

  $ 5,069,835     $ 2,274,735     $ 1,343,226     $ (1,414   $ (2,134   $ 5,997,796     $ 1,143     $ 1,048  

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FUTURES CONTRACTS (EXCHANGE-TRADED)  
Long Exposure   Contracts     Expiration
Date
    Notional
Value
    Unrealized
Appreciation/
(Depreciation)
 

10 Year U.S. Treasury Note

    79       12/21/21     $ 10,542,797     $ (35,297

Aluminum

    44       9/13/21       2,984,300       138,638  

Cattle Feeder

    34       9/30/21       2,771,000       31,051  

Corn

    101       12/14/21       2,697,963       (94,300

Euro Stoxx 50

    237       9/17/21       11,698,436       277,724  

Gasoline RBOB

    31       9/30/21       2,788,754       5,859  

HRW Wheat

    78       12/14/21       2,776,800       34,388  

Lead

    47       9/13/21       2,686,050       (98,106

Lean Hogs

    77       10/14/21       2,735,040       51,660  

Live Cattle

    54       10/29/21       2,741,040       2,320  

Natural Gas

    67       9/28/21       2,932,590       155,750  

Nickel

    24       9/13/21       2,817,720       14,076  

Nikkei 225

    23       12/09/21       5,857,819       102,585  

NY Harbor ULSD

    31       9/30/21       2,773,520       27,993  

Russell 2000 E-Mini Index

    53       9/17/21       6,018,680       (76,138

S&P 500 E-Mini Index

    53       9/17/21       11,979,325       785,592  

S&P/TSX 60 Index

    60       9/16/21       11,679,500       361,448  

Silver

    21       12/29/21       2,520,630       (140,280

Sugar No. 11

    138       9/30/21       3,066,470       186,413  

Tin

    15       9/13/21       2,573,775       (77,550

U.S. Dollar Index

    157       9/13/21       14,543,695       (2,240

U.S. Treasury Long Bond

    65       12/21/21       10,592,969       (75,250

Wheat

    76       12/14/21       2,744,550       (11,750
      $ 124,523,423     $ 1,564,586  

 

See Notes to Financial Statements.

 

WisdomTree Trust      125  


Table of Contents

Schedule of Investments (concluded)

WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)

August 31, 2021

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of August 31, 2021 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

  

U.S. Government Obligations

   $      $ 107,210,703      $      $ 107,210,703  

Exchange-Traded Fund

     5,997,796                      5,997,796  

Total Investments in Securities

   $ 5,997,796      $ 107,210,703      $      $ 113,208,499  

Financial Derivative Instruments

  

Futures Contracts1

   $ 2,175,497      $      $      $ 2,175,497  

Liabilities:

 

     

Financial Derivative Instruments

  

Futures Contracts1

   $ (610,911    $      $      $ (610,911

Total – Net

   $ 7,562,382      $ 107,210,703      $      $ 114,773,085  
1 

Amount shown represents the unrealized appreciation (depreciation) on the financial instrument.

 

See Notes to Financial Statements.

 

126   WisdomTree Trust


Table of Contents

Statements of Assets and Liabilities

WisdomTree Trust

August 31, 2021

 

 

 

     

WisdomTree
Bloomberg

U.S. Dollar
Bullish Fund

     WisdomTree
Chinese Yuan
Strategy Fund
     WisdomTree
Emerging
Currency
Strategy Fund
     WisdomTree
Emerging
Markets
Corporate
Bond Fund
     WisdomTree
Emerging
Markets Local
Debt Fund
 

ASSETS:

              

Investments, at cost

   $ 135,799,184      $ 28,216,200      $ 7,975,766      $ 53,098,631      $ 134,124,404  

Investment in affiliates, at cost (Note 3)

     5,901,568        1,822,572        567,356                

Repurchase agreements, at cost

            12,960,000        4,000,000               6,860,000  

Foreign currency, at cost

            65                      571,434  

Investments in securities, at value1,2 (Note 2)

     135,799,767        28,216,327        7,975,802        54,246,367        124,024,070  

Investment in affiliates, at value (Note 3)

     5,898,500        1,822,260        567,260                

Repurchase agreements, at value (Note 2)

            12,960,000        4,000,000               6,860,000  

Cash

     813,690        118,263        92,068        704,383        306,901  

Deposits at broker for futures contracts

                          102,945         

Foreign currency, at value

            65                      578,368  

Unrealized appreciation on foreign currency contracts

     855,222        144,520        172,547               17,853  

Receivables:

              

Investment securities sold

                                 1,876,850  

Securities lending income

                          899         

Interest

            22        7        591,890        2,161,847  

Foreign tax reclaims

                                 140,305  

Net variation margin on futures contracts

                          8,391         

Total Assets

     143,367,179        43,261,457        12,807,684        55,654,875        135,966,194  

LIABILITIES:

              

Unrealized depreciation on foreign currency contracts

     138,445        76,809        69,521               225,853  

Payables:

              

Cash collateral received for securities loaned (Note 2)

                          2,348,675         

Investment securities purchased

                                 764,879  

Advisory fees (Note 3)

     60,119        18,763        6,081        27,075        62,140  

Service fees (Note 2)

     536        187        50        198        499  

Foreign capital gains tax

                                 129,284  

Total Liabilities

     199,100        95,759        75,652        2,375,948        1,182,655  

NET ASSETS

   $ 143,168,079      $ 43,165,698      $ 12,732,032      $ 53,278,927      $ 134,783,539  

NET ASSETS:

              

Paid-in capital

   $ 157,903,096      $ 41,324,556      $ 60,179,387      $ 60,597,368      $ 166,441,152  

Total distributable earnings (loss)

     (14,735,017      1,841,142        (47,447,355      (7,318,441      (31,657,613

NET ASSETS

   $ 143,168,079      $ 43,165,698      $ 12,732,032      $ 53,278,927      $ 134,783,539  

Outstanding beneficial interest shares of $0.001 par value
(unlimited number of shares authorized)

     5,600,000        1,550,000        700,000        700,000        4,150,000  

Net asset value per share

   $ 25.57      $ 27.85      $ 18.19      $ 76.11      $ 32.48  

1 Includes market value of securities out on loan of:

                        $ 3,565,545         

2 Investments in securities include investment of cash collateral for securities loaned (see Schedule of Investments for additional information).

  

 

See Notes to Financial Statements.

 

WisdomTree Trust      127  


Table of Contents

Statements of Assets and Liabilities (continued)

WisdomTree Trust

August 31, 2021

 

 

 

      WisdomTree
Floating Rate
Treasury Fund
     WisdomTree
Interest Rate
Hedged High
Yield Bond Fund
     WisdomTree
Interest Rate
Hedged U.S.
Aggregate
Bond Fund
     WisdomTree
Mortgage Plus
Bond Fund
     WisdomTree Yield
Enhanced U.S.
Aggregate Bond
Fund
 

ASSETS:

              

Investments, at cost

   $ 1,086,163,211      $ 162,487,913      $ 207,203,400      $ 40,244,343      $ 1,083,750,435  

Repurchase agreements, at cost

                   15,426,500               146,660,000  

Investments in securities, at value1,2 (Note 2)

     1,086,453,832        167,073,900        213,111,992        40,510,572        1,102,703,043  

Repurchase agreements, at value (Note 2)

                   15,426,500               146,660,000  

Cash

     174,489        1,188,037        500,401        13,910,943        2,738,150  

Deposits at broker for futures contracts

            931,798        3,012,175        23,527         

Receivables:

              

Investment securities sold3

     94,925,137        884,821        105,425        12,726,653        34,242,402  

Due from broker for securities sold short (Note 2)

                                 15,312,415  

Due from custodian

            209,923                       

Capital shares sold

                   204,283                

Securities lending income

            2,238        189               842  

Interest

     94,512        2,346,146        972,680        79,544        6,223,825  

Net variation margin on futures contracts

            51,995        214,583        1,149         

Total Assets

     1,181,647,970        172,688,858        233,548,228        67,252,388        1,307,880,677  

LIABILITIES:

              

Securities sold short, at value4

                                 15,304,998  

Payables:

              

Cash collateral received for securities loaned (Note 2)

            6,181,380        878,573               5,202,955  

Investment securities purchased

     88,143,834               17,297,217        26,483,091        198,165,211  

Capital shares redeemed

     6,904,141                              

Advisory fees (Note 3)

     140,753        59,708        42,041        15,594        110,553  

Service fees (Note 2)

     4,129        609        804        153        4,054  

Interest on securities sold short

                                 17,837  

Total Liabilities

     95,192,857        6,241,697        18,218,635        26,498,838        218,805,608  

NET ASSETS

   $ 1,086,455,113      $ 166,447,161      $ 215,329,593      $ 40,753,550      $ 1,089,075,069  

NET ASSETS:

              

Paid-in capital

   $ 1,086,010,298      $ 192,353,047      $ 221,725,351      $ 40,587,416      $ 1,069,663,638  

Total distributable earnings (loss)

     444,815        (25,905,886      (6,395,758      166,134        19,411,431  

NET ASSETS

   $ 1,086,455,113      $ 166,447,161      $ 215,329,593      $ 40,753,550      $ 1,089,075,069  

Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)

     43,275,000        7,500,000        4,600,000        800,000        20,700,000  

Net asset value per share

   $ 25.11      $ 22.19      $ 46.81      $ 50.94      $ 52.61  

1 Includes market value of securities out on loan of:

          $ 7,975,951      $ 1,200,542             $ 5,495,890  

2 Investments in securities include investment of cash collateral for securities loaned (see Schedule of Investments for additional information).

  

3 Includes market value of securities out on loan, which were sold and pending settlement, of:

          $ 443,603                    $ 22,774  

4 Securities sold short, proceeds:

                               $ 15,294,578  

 

See Notes to Financial Statements.

 

128   WisdomTree Trust


Table of Contents

Statements of Assets and Liabilities (concluded)

WisdomTree Trust

August 31, 2021

 

 

 

      WisdomTree
Yield Enhanced
U.S. Short-Term
Aggregate
Bond Fund
     WisdomTree
Alternative
Income Fund
     WisdomTree
CBOE S&P 500
PutWrite
Strategy Fund
     WisdomTree
Enhanced
Commodity
Strategy Fund

(consolidated)
     WisdomTree
Managed
Futures
Strategy Fund

(consolidated)
 

ASSETS:

              

Investments, at cost

   $ 275,408,080      $ 10,250,428      $ 58,394,261      $ 155,582,891      $ 107,211,096  

Investment in affiliates, at cost (Note 3)

                   2,865,100        8,146,461        5,991,597  

Investments in securities, at value

     276,377,572        10,301,997        58,394,409        155,583,829        107,210,703  

Investment in affiliates, at value (Note 3)

                   2,870,813        8,141,762        5,997,796  

Cash

     145,493        8,273        2,963,387        24,637,160        34,090,254  

Deposits at broker for futures contracts

                          4,891,873         

Foreign currency, at value

                                 757  

Receivables:

              

Investment securities sold

     36,971,820                              

Capital shares sold

            6,161,013               4,424,038         

Dividends

            7,923                       

Interest

     749,928                              

Total Assets

     314,244,813        16,479,206        64,228,609        197,678,662        147,299,510  

LIABILITIES:

              

Written options, at value1

                   265,350                

Payables:

              

Investment securities purchased

     114,422,138        6,162,290               3,999,963         

Due to broker

                                 145,787  

Advisory fees (Note 3)

     19,957        1,852        22,945        87,263        79,058  

Service fees (Note 2)

     733        16        233               539  

Net variation margin on futures contracts

                          39,773        73,619  

Total Liabilities

     114,442,828        6,164,158        288,528        4,126,999        299,003  

NET ASSETS

   $ 199,801,985      $ 10,315,048      $ 63,940,081      $ 193,551,663      $ 147,000,507  

NET ASSETS:

              

Paid-in capital

   $ 198,603,807      $ 10,195,773      $ 74,883,814      $ 181,654,811      $ 162,254,421  

Total distributable earnings (loss)

     1,198,178        119,275        (10,943,733      11,896,852        (15,253,914

NET ASSETS

   $ 199,801,985      $ 10,315,048      $ 63,940,081      $ 193,551,663      $ 147,000,507  

Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)

     3,900,000        400,000        1,950,000        8,750,000        3,550,000  

Net asset value per share

   $ 51.23      $ 25.79      $ 32.79      $ 22.12      $ 41.41  

1 Premiums received on written options:

                 $ 970,820                

 

See Notes to Financial Statements.

 

WisdomTree Trust      129  


Table of Contents

Statements of Operations

WisdomTree Trust

For the Year Ended August 31, 2021

 

 

 

      WisdomTree
Bloomberg
U.S. Dollar
Bullish Fund
     WisdomTree
Chinese Yuan
Strategy Fund
     WisdomTree
Emerging
Currency
Strategy Fund
     WisdomTree
Emerging
Markets
Corporate
Bond Fund
     WisdomTree
Emerging
Markets Local
Debt Fund
 

INVESTMENT INCOME:

              

Dividends from affiliates (Note 3)

   $ 866      $ 302      $ 126      $      $  

Interest1

     42,952        16,314        6,105        1,894,566        7,356,756  

Securities lending income, net (Note 2)

                          8,035        146  

Total investment income

     43,818        16,616        6,231        1,902,601        7,356,902  

EXPENSES:

              

Advisory fees (Note 3)

     489,531        190,341        82,364        279,758        732,105  

Service fees (Note 2)

     4,307        1,862        659        2,052        5,857  

Total expenses

     493,838        192,203        83,023        281,810        737,962  

Expense waivers (Note 3)

     (6,068      (2,623      (903              

Net expenses

     487,770        189,580        82,120        281,810        737,962  

Net investment income (loss)

     (443,952      (172,964      (75,889      1,620,791        6,618,940  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

              

Net realized gain (loss) from:

              

Investment transactions2

     365        39        5        660,200        (5,193,163

Investment transactions in affiliates (Note 3)

     (3,198      (400      (91              

In-kind redemptions

                          167,741        (297,343

Capital gain distributions from affiliates (Note 3)

     822        282        148                

Futures contracts

                          141,658         

Foreign currency contracts

     (2,823,672      3,481,247        511,502               291,961  

Foreign currency related transactions

     (15                           88,845  

Net realized gain (loss)

     (2,825,698      3,481,168        511,564        969,599        (5,109,700

Net increase (decrease) in unrealized appreciation/depreciation:

              

Investment transactions3

     1,261        373        157        (420,395      3,493,072  

Investment transactions in affiliates (Note 3)

     (2,123      (646      (236              

Futures contracts

                          (29,531       

Foreign currency contracts

     1,985,485        (766,938      74,208               (305,833

Translation of assets and liabilities denominated in foreign currencies

            (1                    15,511  

Net increase (decrease) in unrealized appreciation/depreciation

     1,984,623        (767,212      74,129        (449,926      3,202,750  

Net realized and unrealized gain (loss) on investments

     (841,075      2,713,956        585,693        519,673        (1,906,950

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ (1,285,027    $ 2,540,992      $ 509,804      $ 2,140,464      $ 4,711,990  

1 Net of foreign withholding tax of:

                        $ 1,763      $ 189,487  

2 Net of foreign capital gains tax of:

                               $ 27,382  

3 Includes net increase (decrease) in accrued foreign capital gain taxes of:

                               $ 5,659  

 

See Notes to Financial Statements.

 

130   WisdomTree Trust


Table of Contents

Statements of Operations (continued)

WisdomTree Trust

For the Year Ended August 31, 2021

 

 

 

      WisdomTree
Floating Rate
Treasury Fund
     WisdomTree
Interest Rate
Hedged
High Yield
Bond Fund
    

WisdomTree

Interest Rate
Hedged
U.S. Aggregate
Bond Fund

     WisdomTree
Mortgage Plus
Bond Fund
     WisdomTree
Yield Enhanced
U.S. Aggregate
Bond Fund
 

INVESTMENT INCOME:

              

Interest

   $ 1,609,384      $ 6,504,475      $ 2,314,929      $ 467,968      $ 20,217,729  

Securities lending income, net (Note 2)

            27,226        1,647               10,334  

Total investment income

     1,609,384        6,531,701        2,316,576        467,968        20,228,063  

EXPENSES:

              

Advisory fees (Note 3)

     1,791,611        581,510        312,725        158,008        1,742,686  

Service fees (Note 2)

     52,554        5,950        5,983        1,546        51,310  

Total expenses

     1,844,165        587,460        318,708        159,554        1,793,996  

Expense waivers (Note 3)

                                 (343,335

Net expenses

     1,844,165        587,460        318,708        159,554        1,450,661  

Net investment income (loss)

     (234,781      5,944,241        1,997,868        308,414        18,777,402  

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

              

Net realized gain (loss) from:

              

Investment transactions

     1,157,128        230,165        396,108        70,621        6,526,033  

In-kind redemptions

     539,869        3,435,561        896,000               6,414,222  

Futures contracts

            700,661        (451,575      133,841         

Securities sold short

                   169               (1,556

Net realized gain

     1,696,997        4,366,387        840,702        204,462        12,938,699  

Net increase (decrease) in unrealized appreciation/depreciation:

              

Investment transactions

     (1,459,432      492,837        (1,104,886      (166,487      (32,412,889

Futures contracts

            (262,936      (374,340      (16,127       

Securities sold short

                   137               (9,776

Net increase (decrease) in unrealized appreciation/depreciation

     (1,459,432      229,901        (1,479,089      (182,614      (32,422,665

Net realized and unrealized gain (loss) on investments

     237,565        4,596,288        (638,387      21,848        (19,483,966

Net increase from payment by affiliate (Note 3)

            53,005                       

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ 2,784      $ 10,593,534      $ 1,359,481      $ 330,262      $ (706,564

 

See Notes to Financial Statements.

 

WisdomTree Trust      131  


Table of Contents

Statements of Operations (continued)

WisdomTree Trust

For the Year or Period Ended August 31, 2021 (except where noted)

 

 

 

                      WisdomTree Enhanced
Commodity Strategy Fund
(consolidated)2
 
     WisdomTree
Yield Enhanced
U.S. Short-Term
Aggregate
Bond Fund
    WisdomTree
Alternative
Income Fund1
    WisdomTree
CBOE S&P 500
PutWrite
Strategy Fund
    For the Period
December 19,
2020 through
August 31,
2021
    For the Period
January 1,
2020 through
December 18,
2020
 

INVESTMENT INCOME:

         

Dividends

  $     $ 66,770     $     $     $  

Dividends from affiliates (Note 3)

                1,157       162        

Interest

    1,760,090             50,694       31,628       478,451  

Non-cash dividends

          2,847                    

Total investment income

    1,760,090       69,617       51,851       31,790       478,451  

EXPENSES:

         

Advisory fees (Note 3)

    227,741       5,910       429,329       608,698       711,393  

Service fees (Note 2)

    7,079       52       4,293       4,870        

Total expenses

    234,820       5,962       433,622       613,568       711,393  

Expense waivers (Note 3)

    (34,676           (6,427     (7,269     (83,693

Net expenses

    200,144       5,962       427,195       606,299       627,700  

Net investment income (loss)

    1,559,946       63,655       (375,344     (574,509     (149,249

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

         

Net realized gain (loss) from:

         

Investment transactions

    208,942       3,938       (8,628     1,000       14,441  

Investment transactions in affiliates (Note 3)

                5,467       (1,388      

In-kind redemptions

    1,451,813       13,363                    

Capital gain distributions from affiliates (Note 3)

                999              

Futures contracts

    (400                 11,589,626       1,642,503  

Written options

                22,767,275              

Net realized gain

    1,660,355       17,301       22,765,113       11,589,238       1,656,944  

Net increase (decrease) in unrealized appreciation/depreciation:

         

Investment transactions

    (2,119,466     51,569       2,225       938       (10,304

Investment transactions in affiliates (Note 3)

                (7,933     (4,699      

Futures contracts

    586                   10,248,776       (6,162,155

Written options

                (522,269            

Net increase (decrease) in unrealized appreciation/depreciation

    (2,118,880     51,569       (527,977     10,245,015       (6,172,459

Net realized and unrealized gain (loss) on investments

    (458,525     68,870       22,237,136       21,834,253       (4,515,515

Net increase from payment by affiliate (Note 3)

                      6,934       13,626  

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ 1,101,421     $ 132,525     $ 21,861,792     $ 21,266,678     $ (4,651,138

1 For the period May 6, 2021 (commencement of operations) through August 31, 2021.

  

2 After the close of business on December 18, 2020, the WisdomTree Continuous Commodity Index Fund (the “Predecessor Fund”), a commodity pool that was not registered under the Investment Company Act of 1940, as amended (“1940 Act”), was reorganized into the WisdomTree Enhanced Commodity Strategy Fund (the “Successor Fund”), an investment company registered under the 1940 Act. The Successor Fund adopted the financial information for the Predecessor Fund. Accordingly, information presented prior to the close of business on December 18, 2020 is that of the Predecessor Fund prior to the reorganization into a regulated investment company under the 1940 Act.

  

 

See Notes to Financial Statements.

 

132   WisdomTree Trust


Table of Contents

Statements of Operations (concluded)

WisdomTree Trust

For the Year Ended August 31, 2021

 

 

 

      WisdomTree
Managed
Futures
Strategy Fund

(consolidated)
 

INVESTMENT INCOME:

  

Dividends from affiliates (Note 3)

   $ 1,143  

Interest

     53,495  

Total investment income

     54,638  

EXPENSES:

  

Advisory fees (Note 3)

     844,296  

Service fees (Note 2)

     5,461  

Total expenses

     849,757  

Expense waivers (Note 3)

     (45,687

Net expenses

     804,070  

Net investment loss

     (749,432

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

  

Net realized gain (loss) from:

  

Investment transactions

     25  

Investment transactions in affiliates (Note 3)

     (1,414

Capital gain distributions from affiliates (Note 3)

     1,048  

Futures contracts

     19,178,971  

Foreign currency contracts

     102,816  

Foreign currency related transactions

     125  

Net realized gain

     19,281,571  

Net increase (decrease) in unrealized appreciation/depreciation:

  

Investment transactions

     (163

Investment transactions in affiliates (Note 3)

     (2,134

Futures contracts

     1,301,502  

Foreign currency contracts

     (53,425

Translation of assets and liabilities denominated in foreign currencies

     757  

Net increase in unrealized appreciation/depreciation

     1,246,537  

Net realized and unrealized gain on investments

     20,528,108  

Net increase from payment by affiliate (Note 3)

     1,478  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 19,780,154  

 

See Notes to Financial Statements.

 

WisdomTree Trust      133  


Table of Contents

Statements of Changes in Net Assets

WisdomTree Trust

 

 

 

 

    

WisdomTree Bloomberg

U.S. Dollar Bullish Fund

   

WisdomTree Chinese

Yuan Strategy Fund

   

WisdomTree Emerging

Currency Strategy Fund

 
     For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

 

       

Net investment income (loss)

  $ (443,952   $ 136,271     $ (172,964   $ 150,972     $ (75,889   $ 106,267  

Net realized gain (loss) on investments, foreign currency contracts and foreign currency related transactions

    (2,825,698     (3,200,565     3,481,168       (415,447     511,564       (1,110,629

Net increase (decrease) in unrealized appreciation/depreciation on investments, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

    1,984,623       (1,553,432     (767,212     1,782,332       74,129       712,729  

Net increase (decrease) in net assets resulting from operations

    (1,285,027     (4,617,726     2,540,992       1,517,857       509,804       (291,633

DISTRIBUTIONS TO SHAREHOLDERS:

           

Distributable earnings

    (526,430     (1,101,951     (150,971     (535,878     (106,263     (352,930

CAPITAL SHARE TRANSACTIONS:

           

Net proceeds from sale of shares

    153,829,112       234,606,294       30,039,799             9,013,146        

Cost of shares redeemed

    (92,800,455     (189,909,518     (13,771,152     (2,519,020     (7,216,742     (8,832,378

Net increase (decrease) in net assets resulting from capital share transactions

    61,028,657       44,696,776       16,268,647       (2,519,020     1,796,404       (8,832,378

Net Increase (Decrease) in Net Assets

    59,217,200       38,977,099       18,658,668       (1,537,041     2,199,945       (9,476,941

NET ASSETS:

           

Beginning of year

  $ 83,950,879     $ 44,973,780     $ 24,507,030     $ 26,044,071     $ 10,532,087     $ 20,009,028  

End of year

  $ 143,168,079     $ 83,950,879     $ 43,165,698     $ 24,507,030     $ 12,732,032     $ 10,532,087  

SHARES CREATED AND REDEEMED:

           

Shares outstanding, beginning of year

    3,200,000       1,600,000       950,000       1,050,000       600,000       1,100,000  

Shares created

    6,050,000       8,350,000       1,100,000             500,000        

Shares redeemed

    (3,650,000     (6,750,000     (500,000     (100,000     (400,000     (500,000

Shares outstanding, end of year

    5,600,000       3,200,000       1,550,000       950,000       700,000       600,000  

 

See Notes to Financial Statements.

 

134   WisdomTree Trust


Table of Contents

Statements of Changes in Net Assets (continued)

WisdomTree Trust

 

 

 

 

     WisdomTree Emerging Markets
Corporate Bond Fund
   

WisdomTree Emerging

Markets Local Debt Fund

   

WisdomTree Floating

Rate Treasury Fund

 
     For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income (loss)

  $ 1,620,791     $ 1,356,943     $ 6,618,940     $ 9,009,643     $ (234,781   $ 16,052,845  

Net realized gain (loss) on investments, futures contracts, foreign currency contracts and foreign currency related transactions

    969,599       (325,614     (5,109,700     (20,937,023     1,696,997       1,929,606  

Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

    (449,926     254,225       3,202,750       10,111,423       (1,459,432     3,008,156  

Net increase (decrease) in net assets resulting from operations

    2,140,464       1,285,554       4,711,990       (1,815,957     2,784       20,990,607  

DISTRIBUTIONS TO SHAREHOLDERS:

           

Distributable earnings

    (1,598,500     (1,368,000     (2,002,000     (3,300,000     (570,446     (16,637,462

Tax return of capital

                (4,188,000     (5,048,500            

Total distributions to shareholders

    (1,598,500     (1,368,000     (6,190,000     (8,348,500     (570,446     (16,637,462

CAPITAL SHARE TRANSACTIONS:

           

Net proceeds from sale of shares

    30,620,672             25,096,209             367,233,859       559,326,304  

Cost of shares redeemed

    (7,539,093     (6,624,034     (16,353,201     (58,099,951     (772,150,883     (724,101,028

Net increase (decrease) in net assets resulting from capital share transactions

    23,081,579       (6,624,034     8,743,008       (58,099,951     (404,917,024     (164,774,724

Net Increase (Decrease) in Net Assets

    23,623,543       (6,706,480     7,264,998       (68,264,408     (405,484,686     (160,421,579

NET ASSETS:

           

Beginning of year

  $ 29,655,384     $ 36,361,864     $ 127,518,541     $ 195,782,949     $ 1,491,939,799     $ 1,652,361,378  

End of year

  $ 53,278,927     $ 29,655,384     $ 134,783,539     $ 127,518,541     $ 1,086,455,113     $ 1,491,939,799  

SHARES CREATED AND REDEEMED:

           

Shares outstanding, beginning of year

    400,000       500,000       3,900,000       5,700,000       59,400,000       65,950,000  

Shares created

    400,000             750,000             14,625,000       22,300,000  

Shares redeemed

    (100,000     (100,000     (500,000     (1,800,000     (30,750,000     (28,850,000

Shares outstanding, end of year

    700,000       400,000       4,150,000       3,900,000       43,275,000       59,400,000  

 

See Notes to Financial Statements.

 

WisdomTree Trust      135  


Table of Contents

Statements of Changes in Net Assets (continued)

WisdomTree Trust

 

 

 

 

     WisdomTree Interest Rate Hedged
High Yield Bond Fund
    WisdomTree Interest Rate Hedged
U.S. Aggregate Bond Fund
   

WisdomTree Mortgage

Plus Bond Fund

 
     For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2021
    For the Period
November 14, 2019*
through
August 31, 2020
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income

  $ 5,944,241     $ 9,902,432     $ 1,997,868     $ 2,036,987     $ 308,414     $ 281,918  

Net realized gain (loss) on investments, futures contracts and securities sold short

    4,366,387       (24,248,806     840,702       (3,318,919     204,462       302,893  

Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts and securities sold short

    229,901       5,306,785       (1,479,089     2,143,832       (182,614     442,722  

Net increase from payment by affiliate

    53,005                                

Net increase (decrease) in net assets resulting from operations

    10,593,534       (9,039,589     1,359,481       861,900       330,262       1,027,533  

DISTRIBUTIONS TO SHAREHOLDERS:

           

Distributable earnings

    (5,948,000     (9,953,950     (2,402,000     (2,155,990     (825,209     (366,452

Tax return of capital

                            (3,401      

Total distributions to shareholders

    (5,948,000     (9,953,950     (2,402,000     (2,155,990     (828,610     (366,452

CAPITAL SHARE TRANSACTIONS:

           

Net proceeds from sale of shares

    94,738,737       6,894,337       145,849,677       32,755,346       10,265,975       30,324,844  

Cost of shares redeemed

    (61,314,239     (106,989,172     (23,565,595     (13,710,340     (102      

Net increase (decrease) in net assets resulting from capital share transactions

    33,424,498       (100,094,835     122,284,082       19,045,006       10,265,873       30,324,844  

Net Increase (Decrease) in Net Assets

    38,070,032       (119,088,374     121,241,563       17,750,916       9,767,525       30,985,925  

NET ASSETS:

           

Beginning of period

  $ 128,377,129     $ 247,465,503     $ 94,088,030     $ 76,337,114     $ 30,986,025     $ 100  

End of period

  $ 166,447,161     $ 128,377,129     $ 215,329,593     $ 94,088,030     $ 40,753,550     $ 30,986,025  

SHARES CREATED AND REDEEMED:

           

Shares outstanding, beginning of period

    6,000,000       10,700,000       2,000,000       1,600,000       600,002       2  

Shares created

    4,300,000       300,000       3,100,000       700,000       200,000       600,000  

Shares redeemed

    (2,800,000     (5,000,000     (500,000     (300,000     (2      

Shares outstanding, end of period

    7,500,000       6,000,000       4,600,000       2,000,000       800,000       600,002  
*

Commencement of operations. The commencement of operations date is considered to be the date that the Fund began trading in the secondary market.

 

See Notes to Financial Statements.

 

136   WisdomTree Trust


Table of Contents

Statements of Changes in Net Assets (continued)

WisdomTree Trust

 

 

 

 

      WisdomTree Yield Enhanced U.S.
Aggregate Bond Fund
     WisdomTree Yield Enhanced U.S.
Short-Term Aggregate Bond Fund
    

WisdomTree

Alternative
Income Fund

 
      For the
Year Ended
August 31, 2021
     For the
Year Ended
August 31, 2020
     For the
Year Ended
August 31, 2021
     For the
Year Ended
August 31, 2020
     For the Period
May 6, 2021*
through
August 31, 2021
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income

   $ 18,777,402      $ 26,705,132      $ 1,559,946      $ 2,101,230      $ 63,655  

Net realized gain on investments, futures contracts and securities sold short

     12,938,699        17,156,980        1,660,355        958,297        17,301  

Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts and securities sold short

     (32,422,665      8,440,085        (2,118,880      809,003        51,569  

Net increase (decrease) in net assets resulting from operations

     (706,564      52,302,197        1,101,421        3,868,530        132,525  

DISTRIBUTIONS TO SHAREHOLDERS:

              

Distributable earnings

     (31,052,127      (29,771,450      (2,117,289      (2,124,600       

CAPITAL SHARE TRANSACTIONS:

              

Net proceeds from sale of shares

     132,305,854        758,734,591        128,299,583        51,149,463        10,694,617  

Cost of shares redeemed

     (327,328,491      (345,601,912      (41,010,874      (30,416,013      (512,194

Net increase (decrease) in net assets resulting from capital share transactions

     (195,022,637      413,132,679        87,288,709        20,733,450        10,182,423  

Net Increase (Decrease) in Net Assets

     (226,781,328      435,663,426        86,272,841        22,477,380        10,314,948  

NET ASSETS:

              

Beginning of period

   $ 1,315,856,397      $ 880,192,971      $ 113,529,144      $ 91,051,764      $ 100  

End of period

   $ 1,089,075,069      $ 1,315,856,397      $ 199,801,985      $ 113,529,144      $ 10,315,048  

SHARES CREATED AND REDEEMED:

              

Shares outstanding, beginning of period

     24,400,000        16,700,000        2,200,000        1,800,000        4  

Shares created

     2,500,000        14,300,000        2,500,000        1,000,000        420,000  

Shares redeemed

     (6,200,000      (6,600,000      (800,000      (600,000      (20,004

Shares outstanding, end of period

     20,700,000        24,400,000        3,900,000        2,200,000        400,000  
*

Commencement of operations. The commencement of operations date is considered to be the date that the Fund began trading in the secondary market.

 

See Notes to Financial Statements.

 

WisdomTree Trust      137  


Table of Contents

Statements of Changes in Net Assets (continued)

WisdomTree Trust

 

 

 

 

     

WisdomTree CBOE

S&P 500 PutWrite Strategy Fund

    

WisdomTree Enhanced Commodity Strategy Fund

(consolidated)1

 
      For the
Year Ended
August 31, 2021
     For the
Year Ended
August 31, 2020
     For the Period
December 19, 2020
through
August 31, 2021
     For the Period
January 1, 2020
through
December 18, 2020
     For the
Year Ended
December 31, 2019
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income (loss)

   $ (375,344    $ 1,532,239      $ (574,509    $ (149,249    $ 1,747,917  

Net realized gain (loss) on investments, futures contracts and written options

     22,765,113        (14,965,883      11,589,238        1,656,944        (5,894,771

Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts and written options

     (527,977      (778,833      10,245,015        (6,172,459      13,728,495  

Net increase from payment by affiliate

                   6,934        13,626         

Net increase (decrease) in net assets resulting from operations

     21,861,792        (14,212,477      21,266,678        (4,651,138      9,581,641  

DISTRIBUTIONS TO SHAREHOLDERS:

              

Distributable earnings

     (1,532,213      (3,011,616                     

CAPITAL SHARE TRANSACTIONS:

              

Net proceeds from sale of shares

     7,868,162        21,298,290        95,736,950        29,910,736        18,530,911  

Cost of shares redeemed

     (81,482,203      (98,199,850      (22,784,541      (53,762,865      (55,131,710

Net increase (decrease) in net assets resulting from capital share transactions

     (73,614,041      (76,901,560      72,952,409        (23,852,129      (36,600,799

Net Increase (Decrease) in Net Assets

     (53,284,462      (94,125,653      94,219,087        (28,503,267      (27,019,158

NET ASSETS:

              

Beginning of period

   $ 117,224,543      $ 211,350,196      $ 99,332,576      $ 127,835,843      $ 154,855,001  

End of period

   $ 63,940,081      $ 117,224,543      $ 193,551,663      $ 99,332,576      $ 127,835,843  

SHARES CREATED AND REDEEMED:

              

Shares outstanding, beginning of period

     4,400,000        7,700,000        5,300,050        6,800,050        8,850,050  

Shares created

     250,000        800,000        4,500,000        1,600,000        1,050,000  

Shares redeemed

     (2,700,000      (4,100,000      (1,050,050      (3,100,000      (3,100,000

Shares outstanding, end of period

     1,950,000        4,400,000        8,750,000        5,300,050        6,800,050  
1 

After the close of business on December 18, 2020, the WisdomTree Continuous Commodity Index Fund (the “Predecessor Fund”), a commodity pool that was not registered under the Investment Company Act of 1940, as amended (“1940 Act”), was reorganized into the WisdomTree Enhanced Commodity Strategy Fund (the “Successor Fund”), an investment company registered under the 1940 Act. The Successor Fund adopted the financial information for the Predecessor Fund. Accordingly, information presented prior to the close of business on December 18, 2020 is that of the Predecessor Fund prior to the reorganization into a regulated investment company under the 1940 Act.

 

See Notes to Financial Statements.

 

138   WisdomTree Trust


Table of Contents

Statements of Changes in Net Assets (concluded)

WisdomTree Trust

 

 

 

 

     

WisdomTree Managed
Futures Strategy Fund

(consolidated)

 
      For the
Year Ended
August 31, 2021
     For the
Year Ended
August 31, 2020
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

 

Net investment income (loss)

   $ (749,432    $ 656,894  

Net realized gain (loss) on investments, futures contracts, foreign currency contracts and foreign currency related transactions

     19,281,571        (7,553,718

Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

     1,246,537        (6,941,998

Net increase from payment by affiliate

     1,478         

Net increase (decrease) in net assets resulting from operations

     19,780,154        (13,838,822

DISTRIBUTIONS TO SHAREHOLDERS:

     

Distributable earnings

     (535,804      (2,475,949

CAPITAL SHARE TRANSACTIONS:

     

Net proceeds from sale of shares

     55,450,686        26,370,052  

Cost of shares redeemed

     (40,687,188      (113,937,192

Net increase (decrease) in net assets resulting from capital share transactions

     14,763,498        (87,567,140

Net Increase (Decrease) in Net Assets

     34,007,848        (103,881,911

NET ASSETS:

     

Beginning of year

   $ 112,992,659      $ 216,874,570  

End of year

   $ 147,000,507      $ 112,992,659  

SHARES CREATED AND REDEEMED:

     

Shares outstanding, beginning of year

     3,200,000        5,550,000  

Shares created

     1,400,000        750,000  

Shares redeemed

     (1,050,000      (3,100,000

Shares outstanding, end of year

     3,550,000        3,200,000  

 

See Notes to Financial Statements.

 

WisdomTree Trust      139  


Table of Contents

Financial Highlights

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Bloomberg U.S. Dollar
Bullish Fund
   For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
 

Net asset value, beginning of year

   $ 26.23     $ 28.11     $ 26.73     $ 25.64     $ 26.34  

Investment operations:

 

Net investment income (loss)1

     (0.12     0.05       0.47       0.21       0.002  

Net realized and unrealized gain (loss)

     (0.37     (1.11     1.15       0.88     (0.70

Total from investment operations

     (0.49     (1.06     1.62       1.09       (0.70

Dividends to shareholders:

 

Net investment income

     (0.17     (0.82     (0.24            

Net asset value, end of year

   $ 25.57     $ 26.23     $ 28.11     $ 26.73     $ 25.64  

TOTAL RETURN3

     (1.85 )%      (3.87 )%      6.09     4.25 %4      (2.66 )% 

RATIOS/SUPPLEMENTAL DATA:

 

Net assets, end of year (000’s omitted)

   $ 143,168     $ 83,951     $ 44,974     $ 90,884     $ 138,462  

Ratios to average net assets of:

 

Expenses

     0.50 %5,6      0.50 %5,6      0.50 %5,6      0.50 %5,6      0.50

Net investment income (loss)

     (0.45 )%6      0.19 %6      1.71 %6      0.83 %6      0.00 %7 

Portfolio turnover rate8

     55 %9      266 %9      23 %9      0     0
          
           
WisdomTree Chinese Yuan Strategy
Fund
   For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
 

Net asset value, beginning of year

   $ 25.80     $ 24.80     $ 25.49     $ 25.54     $ 24.42  

Investment operations:

 

Net investment income (loss)1

     (0.11     0.15       0.47       0.24       0.02  

Net realized and unrealized gain (loss)

     2.27       1.36       (0.87     (0.29     1.10  

Total from investment operations

     2.16       1.51       (0.40     (0.05     1.12  

Dividends to shareholders:

 

Net investment income

     (0.11     (0.51     (0.29            

Net asset value, end of year

   $ 27.85     $ 25.80     $ 24.80     $ 25.49     $ 25.54  

TOTAL RETURN3

     8.39     6.16     (1.59 )%      (0.20 )%      4.59

RATIOS/SUPPLEMENTAL DATA:

 

Net assets, end of year (000’s omitted)

   $ 43,166     $ 24,507     $ 26,044     $ 31,861     $ 38,312  

Ratios to average net assets of:

 

Expenses

     0.45 %5,6      0.45 %5,6      0.45 %5,6      0.45 %5,6      0.45

Net investment income (loss)

     (0.41 )%6      0.60 %6      1.82 %6      0.92 %6      0.09

Portfolio turnover rate8

     25 %10      0     0     0     0

 

^

Includes a voluntary reimbursement from the sub-advisor of less than $0.01 per share for investment losses on certain foreign currency contract transactions during the fiscal year ended August 31, 2018.

 

1 

Based on average shares outstanding.

 

2 

Amount represents less than $0.005.

 

3 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. For the periods in which the investment advisor waived advisory fees, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

4 

Includes a voluntary reimbursement from the sub-advisor for investment losses on certain foreign currency contract transactions during the period. Excluding this voluntary reimbursement, total return would have been unchanged.

 

5 

The expense ratio includes investment advisory fee waivers. Without these investment advisory fee waivers, the expense ratio would have been unchanged.

 

6 

The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests.

 

7 

Amount represents less than 0.005%.

 

8 

Portfolio turnover rate excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

9 

During the fiscal years ended August 31, 2021, August 31, 2020 and August 31, 2019, the Fund invested in the WisdomTree Floating Rate Treasury Fund which is considered a long term security for purposes of computing the portfolio turnover rate. During the fiscal years ended August 31, 2021, August 31, 2020 and August 31, 2019, the WisdomTree Floating Rate Fund was the only long-term security held or transacted in the portfolio, as a result, the variability in the portfolio turnover was primarily driven by the transaction activity during the fiscal year for this security only (see the “Investment in Affiliates” supplementary table included in the Schedule of Investments for transaction activity related to this security for the current fiscal year).

 

10 

During the fiscal year ended August 31, 2021, the Fund invested in the WisdomTree Floating Rate Treasury Fund which is considered a long term security for purposes of computing the portfolio turnover rate. During the fiscal year ended August 31, 2021, the WisdomTree Floating Rate Fund was the only long-term security held or transacted in the portfolio, as a result, the variability in the portfolio turnover was primarily driven by the transaction activity during the fiscal year for this security only (see the “Investment in Affiliates” supplementary table included in the Schedule of Investments for transaction activity related to this security for the current fiscal year).

 

See Notes to Financial Statements.

 

140   WisdomTree Trust


Table of Contents

Financial Highlights (continued)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Emerging Currency
Strategy Fund
   For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
 

Net asset value, beginning of year

   $ 17.55     $ 18.19     $ 17.97     $ 19.14     $ 17.97  

Investment operations:

 

Net investment income (loss)1

     (0.09     0.12       0.31       0.16       0.002  

Net realized and unrealized gain (loss)

     0.85       (0.41     0.25       (1.33     1.17  

Total from investment operations

     0.76       (0.29     0.56       (1.17     1.17  

Dividends to shareholders:

 

Net investment income

     (0.12     (0.35     (0.34            

Net asset value, end of year

   $ 18.19     $ 17.55     $ 18.19     $ 17.97     $ 19.14  

TOTAL RETURN3

     4.31     (1.68 )%      3.12     (6.11 )%      6.51

RATIOS/SUPPLEMENTAL DATA:

 

Net assets, end of year (000’s omitted)

   $ 12,732     $ 10,532     $ 20,009     $ 28,746     $ 49,755  

Ratios to average net assets of:

 

Expenses

     0.55 %4,5      0.55 %4,5      0.55 %4,5      0.55 %4,5      0.55

Net investment income (loss)

     (0.51 )%5      0.65 %5      1.68 %5      0.82 %5      0.01

Portfolio turnover rate6

     26 %7      0     0     0     0
          
           
WisdomTree Emerging Markets
Corporate Bond Fund
   For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
 

Net asset value, beginning of year

   $ 74.14     $ 72.72     $ 68.58     $ 72.91     $ 71.93  

Investment operations:

 

Net investment income1

     2.63       2.99       3.00       2.84       2.87  

Net realized and unrealized gain (loss)

     1.94       1.478       4.17       (4.30     0.98  

Total from investment operations

     4.57       4.46       7.17       (1.46     3.85  

Dividends to shareholders:

 

Net investment income

     (2.60     (3.04     (3.03     (2.87     (2.87

Net asset value, end of year

   $ 76.11     $ 74.14     $ 72.72     $ 68.58     $ 72.91  

TOTAL RETURN3

     6.26     6.37     10.69     (2.08 )%      5.51

RATIOS/SUPPLEMENTAL DATA:

 

Net assets, end of year (000’s omitted)

   $ 53,279     $ 29,655     $ 36,362     $ 41,150     $ 51,035  

Ratios to average net assets of:

 

Expenses

     0.60     0.60     0.60     0.60     0.60

Net investment income

     3.48     4.13     4.26     3.96     4.03

Portfolio turnover rate6

     56     43     54     132     36

 

1 

Based on average shares outstanding.

 

2 

Amount represents less than $0.005.

 

3 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. For the periods in which the investment advisor waived advisory fees for the WisdomTree Emerging Currency Strategy Fund, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

4 

The expense ratio includes investment advisory fee waivers. Without these investment advisory fee waivers, the expense ratio would have been unchanged.

 

5 

The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests.

 

6 

Portfolio turnover rate excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

7 

During the fiscal year ended August 31, 2021, the Fund invested in the WisdomTree Floating Rate Treasury Fund which is considered a long term security for purposes of computing the portfolio turnover rate. During the fiscal year ended August 31, 2021, the WisdomTree Floating Rate Fund was the only long-term security held or transacted in the portfolio, as a result, the variability in the portfolio turnover was primarily driven by the transaction activity during the fiscal year for this security only (see the “Investment in Affiliates” supplementary table included in the Schedule of Investments for transaction activity related to this security for the current fiscal year).

 

8 

The amount of net realized and unrealized gain per share does not correspond with the amounts reported within the Statements of Changes due to the timing of capital share transactions of Fund shares and fluctuating market values during the fiscal year.

 

See Notes to Financial Statements.

 

WisdomTree Trust      141  


Table of Contents

Financial Highlights (continued)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Emerging Markets Local
Debt Fund
   For the
Year Ended
August 31, 2021
     For the
Year Ended
August 31, 2020
     For the
Year Ended
August 31, 2019
     For the
Year Ended
August 31, 2018
     For the
Year Ended
August 31, 2017
 

Net asset value, beginning of year

   $ 32.70      $ 34.35      $ 32.47      $ 38.92      $ 37.59  

Investment operations:

 

Net investment income1

     1.64        1.83        1.96        2.15        2.07  

Net realized and unrealized gain (loss)

     (0.33      (1.76 )2       1.72        (6.48      1.00  

Total from investment operations

     1.31        0.07        3.68        (4.33      3.07  

Dividends and distributions to shareholders:

 

Net investment income

     (0.52      (0.60      (0.82      (2.06      (0.82

Tax return of capital

     (1.01      (1.12      (0.98      (0.06      (0.92

Total dividends and distributions to shareholders

     (1.53      (1.72      (1.80      (2.12      (1.74

Net asset value, end of year

   $ 32.48      $ 32.70      $ 34.35      $ 32.47      $ 38.92  

TOTAL RETURN3

     4.06      0.20      11.54      (11.66 )%       8.46

RATIOS/SUPPLEMENTAL DATA:

 

Net assets, end of year (000’s omitted)

   $ 134,784      $ 127,519      $ 195,783      $ 172,083      $ 256,851  

Ratios to average net assets of:

 

Expenses

     0.55      0.55      0.55      0.55      0.55

Net investment income

     4.97      5.42      5.77      5.71      5.51

Portfolio turnover rate4

     31      29      27      44      39
              
           
WisdomTree Floating Rate Treasury
Fund
   For the
Year Ended
August 31, 2021
     For the
Year Ended
August 31, 2020
     For the
Year Ended
August 31, 2019
     For the
Year Ended
August 31, 2018
     For the
Year Ended
August 31, 2017
 

Net asset value, beginning of year

   $ 25.12      $ 25.05      $ 25.07      $ 25.07      $ 25.03  

Investment operations:

 

Net investment income (loss)1

     (0.00 )5       0.24        0.56        0.45        0.17  

Net realized and unrealized gain (loss)

     0.01        0.07        (0.05      (0.07      0.04  

Total from investment operations

     0.01        0.31        0.51        0.38        0.21  

Dividends and distributions to shareholders:

 

Net investment income

     (0.01      (0.24      (0.53      (0.35      (0.17

Capital gains

     (0.01                    (0.03       

Total dividends and distributions to shareholders

     (0.02      (0.24      (0.53      (0.38      (0.17

Net asset value, end of year

   $ 25.11      $ 25.12      $ 25.05      $ 25.07      $ 25.07  

TOTAL RETURN3

     0.00 %6       1.26      2.06      1.53      0.85

RATIOS/SUPPLEMENTAL DATA:

 

Net assets, end of year (000’s omitted)

   $ 1,086,455      $ 1,491,940      $ 1,652,361      $ 272,044      $ 1,254  

Ratios to average net assets of:

 

Expenses, net of expense waivers

     0.15      0.15      0.15      0.15      0.15

Expenses, prior to expense waivers

     0.15      0.15      0.15      0.17      0.20

Net investment income (loss)

     (0.02 )%       0.95      2.22      1.83      0.68

Portfolio turnover rate4

     147      163      170      170      160

 

1 

Based on average shares outstanding.

 

2 

The amount of net realized and unrealized loss per share does not correspond with the amounts reported within the Statements of Changes due to the timing of capital share transactions of Fund shares and fluctuating market values during the fiscal year.

 

3 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. For the periods in which the investment advisor waived advisory fees for the WisdomTree Floating Rate Treasury Fund, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

4 

Portfolio turnover rate excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

5 

Amount represents less than $0.005.

 

6 

Amount represents less than 0.005%.

 

See Notes to Financial Statements.

 

142   WisdomTree Trust


Table of Contents

Financial Highlights (continued)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Interest Rate Hedged
High Yield Bond Fund
   For the
Year Ended
August 31, 2021
     For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2019
     For the
Year Ended
August 31, 2018
     For the
Year Ended
August 31, 2017
 

Net asset value, beginning of year

   $ 21.40      $ 23.13     $ 24.07      $ 23.91      $ 23.39  

Investment operations:

 

Net investment income1

     0.96        1.20       1.30        1.23        1.24  

Net realized and unrealized gain (loss)

     0.78        (1.73     (0.91      0.10        0.53  

Net increase from payment by affiliate

     0.01                             

Total from investment operations

     1.75        (0.53     0.39        1.33        1.77  

Dividends and distributions to shareholders:

 

Net investment income

     (0.96      (1.20     (1.30      (1.17      (1.25

Capital gains

                  (0.03              

Total dividends and distributions to shareholders

     (0.96      (1.20     (1.33      (1.17      (1.25

Net asset value, end of year

   $ 22.19      $ 21.40     $ 23.13      $ 24.07      $ 23.91  

TOTAL RETURN2

     8.33 %3       (2.26 )%      1.68      5.68      7.73

RATIOS/SUPPLEMENTAL DATA:

 

Net assets, end of year (000’s omitted)

   $ 166,447      $ 128,377     $ 247,466      $ 262,332      $ 54,997  

Ratios to average net assets of:

 

Expenses

     0.43      0.43     0.43      0.43      0.43

Net investment income

     4.40      5.43     5.52      5.14      5.19

Portfolio turnover rate4

     40      101 %5,6      61      60      57
             
           
WisdomTree Interest Rate Hedged U.S.
Aggregate Bond Fund
   For the
Year Ended
August 31, 2021
     For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2019
     For the
Year Ended
August 31, 2018
     For the
Year Ended
August 31, 2017
 

Net asset value, beginning of year

   $ 47.04      $ 47.71     $ 47.82      $ 47.89      $ 48.01  

Investment operations:

 

Net investment income1

     0.69        1.11       1.36        1.18        0.95  

Net realized and unrealized loss

     (0.06      (0.60     (0.10      (0.07      (0.03

Total from investment operations

     0.63        0.51       1.26        1.11        0.92  

Dividends to shareholders:

 

Net investment income

     (0.86      (1.18     (1.37      (1.18      (1.04

Net asset value, end of year

   $ 46.81      $ 47.04     $ 47.71      $ 47.82      $ 47.89  

TOTAL RETURN2

     1.34      1.08     2.69      2.35      1.93

RATIOS/SUPPLEMENTAL DATA:

 

Net assets, end of year (000’s omitted)

   $ 215,330      $ 94,088     $ 76,337      $ 52,606      $ 23,945  

Ratios to average net assets of:

 

Expenses

     0.23      0.23     0.23      0.23      0.23

Net investment income

     1.47      2.36     2.86      2.46      1.99

Portfolio turnover rate4,7

     81      70     39      81      187

 

1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period.

 

3 

Includes a voluntary reimbursement from the sub-advisor for an operational error that resulted in investment transaction losses. Excluding the voluntary reimbursement, total return would have been 0.05% lower (Note 3).

 

4 

Portfolio turnover rate excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

5 

The increase in the portfolio turnover rate was primarily a result of the change in investment objective and strategy on June 1, 2020.

 

6 

On June 4, 2020, Voya Investment Management Co., LLC replaced Mellon Investments Corporation as sub-advisor to the Fund.

 

7 

The portfolio turnover rates excluding TBA roll transactions for the years ended August 31, 2021, August 31, 2020, August 31, 2019, August 31, 2018 and August 31, 2017 were 23%, 33%, 12%, 28% and 45%, respectively.

 

See Notes to Financial Statements.

 

WisdomTree Trust      143  


Table of Contents

Financial Highlights (continued)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Mortgage Plus Bond
Fund
                           For the
Year Ended
August 31, 2021
     For the Period
November 14, 2019*
through
August 31, 2020
 

Net asset value, beginning of period

                              $ 51.64      $ 50.26  

Investment operations:

              

Net investment income1

              0.45        0.66  

Net realized and unrealized gain

                                0.06        1.55  

Total from investment operations

                                0.51        2.21  

Dividends and distributions to shareholders:

              

Net investment income

              (0.88      (0.83

Capital gains

              (0.32       

Tax return of capital

                                (0.01       

Total dividends and distributions to shareholders

                                (1.21      (0.83

Net asset value, end of period

                              $ 50.94      $ 51.64  

TOTAL RETURN2

                                0.99      4.45

RATIOS/SUPPLEMENTAL DATA:

              

Net assets, end of period (000’s omitted)

            $ 40,754      $ 30,986  

Ratios to average net assets of:

              

Expenses

              0.45      0.45 %3 

Net investment income

                                0.88      1.64 %3 

Portfolio turnover rate4,5

                                430      278
              
           
WisdomTree Yield Enhanced U.S.
Aggregate Bond Fund
   For the
Year Ended
August 31, 2021
     For the
Year Ended
August 31, 2020
     For the
Year Ended
August 31, 2019
     For the
Year Ended
August 31, 2018
     For the
Year Ended
August 31, 2017
 

Net asset value, beginning of year

   $ 53.93      $ 52.71      $ 48.68      $ 50.94      $ 52.04  

Investment operations:

 

Net investment income1

     0.85        1.28        1.61        1.53        1.35  

Net realized and unrealized gain (loss)

     (0.76      1.38        4.05        (2.26      (0.85

Total from investment operations

     0.09 ^       2.66        5.66        (0.73      0.50  

Dividends and distributions to shareholders:

 

Net investment income

     (1.14      (1.44      (1.63      (1.53      (1.38

Capital gains

     (0.27                           (0.22

Total dividends and distributions to shareholders

     (1.41      (1.44      (1.63      (1.53      (1.60

Net asset value, end of year

   $ 52.61      $ 53.93      $ 52.71      $ 48.68      $ 50.94  

TOTAL RETURN2

     0.18      5.14      11.92      (1.44 )%       1.05

RATIOS/SUPPLEMENTAL DATA:

 

Net assets, end of year (000’s omitted)

   $ 1,089,075      $ 1,315,856      $ 880,193      $ 418,662      $ 168,105  

Ratios to average net assets of:

 

Expenses, net of expense waivers

     0.12 %6       0.12      0.12      0.12      0.12

Expenses, prior to expense waivers

     0.15      0.20      0.20      0.20      0.20

Net investment income

     1.61      2.43      3.25      3.10      2.69

Portfolio turnover rate4,7

     148      88      54      82      134

 

* 

Commencement of operations. The commencement of operations date is considered to be the date that the Fund began trading in the secondary market.

 

^

The total from investment operations per share does not correspond with the amount reported within the Statements of Changes due to the timing of capital share transactions of Fund shares and fluctuating market values during the fiscal year.

1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees for the WisdomTree Yield Enhanced U.S. Aggregate Bond Fund, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

3 

Annualized.

 

4 

Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

5 

The portfolio turnover rates excluding TBA roll transactions for the periods ended August 31, 2021 and August 31, 2020 were 47% and 70%, respectively.

 

6 

The investment advisor had contractually agreed to limit the advisory fee to 0.12% through December 31, 2020. On December 31, 2020, the contractual waiver expired and the advisory fee was permanently reduced to 0.12%.

 

7 

The portfolio turnover rates excluding TBA roll transactions for the years ended August 31, 2021, August 31, 2020, August 31, 2019, August 31, 2018 and August 31, 2017, were 41%, 65%, 44%, 38% and 59%, respectively.

 

See Notes to Financial Statements.

 

144   WisdomTree Trust


Table of Contents

Financial Highlights (continued)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Yield Enhanced U.S.
Short-Term Aggregate Bond Fund
   For the
Year Ended
August 31, 2021
     For the
Year Ended
August 31, 2020
     For the
Year Ended
August 31, 2019
     For the
Year Ended
August 31, 2018
     For the Period
May 18, 2017*
through
August 31, 2017
 

Net asset value, beginning of period

   $ 51.60      $ 50.58      $ 48.88      $ 50.25      $ 50.06  

Investment operations:

 

Net investment income1

     0.50        1.19        1.40        1.17        0.26  

Net realized and unrealized gain (loss)

     (0.14      1.05        1.69        (1.41      0.17  

Total from investment operations

     0.36        2.24        3.09        (0.24      0.43  

Dividends and distributions to shareholders:

 

Net investment income

     (0.51      (1.22      (1.39      (1.07      (0.24

Capital gains

     (0.22                    (0.06       

Total dividends and distributions to shareholders

     (0.73      (1.22      (1.39      (1.13      (0.24

Net asset value, end of period

   $ 51.23      $ 51.60      $ 50.58      $ 48.88      $ 50.25  

TOTAL RETURN2

     0.69      4.51      6.43      (0.47 )%       0.86

RATIOS/SUPPLEMENTAL DATA:

 

Net assets, end of year (000’s omitted)

   $ 199,802      $ 113,529      $ 91,052      $ 39,104      $ 5,025  

Ratios to average net assets of:

 

Expenses, net of expense waivers

     0.12 %3       0.12      0.12      0.12      0.12 %4 

Expenses, prior to expense waivers

     0.15      0.20      0.20      0.20      0.20 %4 

Net investment income

     0.97      2.34      2.83      2.40      1.76 %4 

Portfolio turnover rate5,6

     224      106      49      177      44
              
           
WisdomTree Alternative Income Fund                                    For the Period
May 6, 2021*
through
August 31, 2021
 

Net asset value, beginning of period

                                       $ 24.96  

Investment operations:

              

Net investment income1

                 0.43  

Net realized and unrealized gain

                                         0.40  

Total from investment operations

                                         0.83  

Net asset value, end of period

                                       $ 25.79  

TOTAL RETURN2

                                         3.33

RATIOS/SUPPLEMENTAL DATA:

              

Net assets, end of period (000’s omitted)

               $ 10,315  

Ratios to average net assets7 of:

              

Expenses

                 0.50 %4 

Net investment income

                                         5.39 %4 

Portfolio turnover rate5

                                         2

 

* 

Commencement of operations. The commencement of operations date is considered to be the date that the Fund began trading in the secondary market.

 

1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees for the WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

3 

The investment advisor had contractually agreed to limit the advisory fee to 0.12% through December 31, 2020. On December 31, 2020, the contractual waiver expired and the advisory fee was permanently reduced to 0.12%.

 

4 

Annualized.

 

5 

Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

6 

The portfolio turnover rates excluding TBA roll transactions for the periods ended August 31, 2021, August 31, 2020, August 31, 2019, August 31, 2018 and August 31, 2017 were 49%, 46%, 24%, 120% and 22%, respectively.

 

7 

The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests.

 

See Notes to Financial Statements.

 

WisdomTree Trust      145  


Table of Contents

Financial Highlights (continued)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree CBOE S&P 500 PutWrite
Strategy Fund
         For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
    For the
Year Ended
August 31, 2017
 

Net asset value, beginning of year

          $ 26.64     $ 27.45     $ 30.57     $ 29.23     $ 27.05  

Investment operations:

           

Net investment income (loss)1

      (0.11     0.24       0.49       0.22       0.06  

Net realized and unrealized gain (loss)

            6.67       (0.63 )2      (1.96     2.15       2.74  

Total from investment operations

            6.56       (0.39     (1.47     2.37       2.80  

Dividends and distributions to shareholders:

           

Net investment income

      (0.41     (0.42     (0.25     (0.06      

Capital gains

                        (1.40     (0.97     (0.62

Total dividends and distributions to shareholders

            (0.41     (0.42     (1.65     (1.03     (0.62

Net asset value, end of year

          $ 32.79     $ 26.64     $ 27.45     $ 30.57     $ 29.23  

TOTAL RETURN3

            24.87     (1.52 )%      (4.72 )%      8.28     10.52

RATIOS/SUPPLEMENTAL DATA:

 

 

Net assets, end of year (000’s omitted)

    $ 63,940     $ 117,225     $ 211,350     $ 238,434     $ 204,635  

Ratios to average net assets of:

           

Expenses, net of expense waivers

      0.44 %4      0.41 %4      0.38     0.38     0.38

Expenses, prior to expense waivers

      0.44 %4      0.44 %4      0.44     0.44     0.44

Net investment income (loss)

            (0.38 )%4      0.90 %4      1.78     0.76     0.21

Portfolio turnover rate5

            18 %6      72 %6      0     0     0

 

1 

Based on average shares outstanding.

 

2 

The amount of net realized and unrealized loss per share does not correspond with the amounts reported within the Statements of Changes due to the timing of capital share transactions of Fund shares and fluctuating market values during the fiscal year.

 

3 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor waived advisory fees, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

4 

The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests.

 

5 

Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

6 

During the fiscal years ended August 31, 2021 and August 31, 2020, the Fund invested in the WisdomTree Floating Rate Treasury Fund which is considered a long-term security for purposes of computing the portfolio turnover rate. During the fiscal years ended August 31, 2021 and August 31, 2020, the WisdomTree Floating Rate Treasury Fund was the only long-term security held or transacted in the portfolio, as a result, the variability in the portfolio turnover rate was primarily driven by the transaction activity during the fiscal year for this security only (see the “Investment in Affiliates” supplementary table included in the Schedule of Investments for transaction activity related to this security for the current fiscal year).

 

See Notes to Financial Statements.

 

146   WisdomTree Trust


Table of Contents

Financial Highlights (continued)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

    Post-Reorganization           Pre-Reorganization         

WisdomTree Enhanced
Commodity Strategy

Fund (consolidated)^

  For the
Period December 19,
2020 through
August 31, 2021
           For the
Period January 1,
2020 through
December 18, 2020
    For the
Year Ended
December 31, 2019
    For the
Year Ended
December 31, 2018
    For the
Year Ended
December 31, 2017
    For the
Year Ended
December 31, 2016
 

Net asset value, beginning of period

  $ 18.74             $ 18.80     $ 17.50     $ 19.25     $ 19.35     $ 18.56  

Investment operations:

 

Net investment income (loss)1

    (0.08       (0.03     0.23       0.18       0.00 2      (0.16

Net realized and unrealized gain (loss)

    3.46         (0.03     1.07       (1.93     (0.10     0.95  

Net increase from payment by affiliate

    0.00 2              0.00 2                         

Total from investment operations

    3.38               (0.06     1.30       (1.75     (0.10     0.79  

Net asset value, end of period

  $ 22.12             $ 18.74     $ 18.80     $ 17.50     $ 19.25     $ 19.35  

TOTAL RETURN3

    18.04 %4              (0.32 )%4      7.43     (9.09 )%      (0.52 )%      4.26

RATIOS/SUPPLEMENTAL DATA:

             

Net assets, end of period (000’s omitted)

  $ 193,552       $ 99,333     $ 127,836     $ 154,855     $ 154,956     $ 219,661  

Ratios to average net assets of:

 

Expenses, net of expense waivers

    0.55 %5,6        0.75 %6      0.75     0.75     0.75     1.05

Expenses, prior to expense waivers

    0.55 %5,6        0.85 %6      0.85     0.85     0.85     1.05

Net investment income (loss)

    (0.52 )%5,6              (0.18 )%6      1.30     0.94     0.01     (0.83 )% 

Portfolio turnover rate7

    22 %8              0     0     0     0     0

 

^ 

After the close of business on December 18, 2020, the WisdomTree Continuous Commodity Index Fund (the “Predecessor Fund”), a commodity pool that was not registered under the Investment Company Act of 1940, as amended (“1940 Act”), was reorganized into the WisdomTree Enhanced Commodity Strategy Fund (the “Successor Fund”), an investment company registered under the 1940 Act. The Successor Fund adopted the financial information for the Predecessor Fund. Accordingly, information presented prior to the close of business on December 18, 2020 is that of the Predecessor Fund prior to the reorganization into a regulated investment company under the 1940 Act.

 

1 

Based on average shares outstanding.

 

2 

Amount represents less than $0.005.

 

3 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the periods in which the investment advisor (or the Managing Owner, with respect to the Predecessor Fund) waived advisory fees, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

4 

Includes a voluntary reimbursement from the advisor for brokerage commissions incurred in connection with the Reorganization. Excluding this voluntary reimbursement, total return would have been unchanged (Note 3).

 

5 

The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests.

 

6 

Annualized.

 

7 

Portfolio turnover rate is not annualized for fiscal periods less than one year and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

8 

During the fiscal period ended August 31, 2021, the Fund invested in the WisdomTree Floating Rate Treasury Fund which is considered a long-term security for purposes of computing the portfolio turnover rate. During the fiscal period ended August 31, 2021, the WisdomTree Floating Rate Treasury Fund was the only long-term security held or transacted in the portfolio, as a result, the variability in the portfolio turnover rate was primarily driven by the transaction activity during the fiscal period for this security only (see the “Investment in Affiliates” supplementary table included in the Schedule of Investments for transaction activity related to this security for the current fiscal period).

 

See Notes to Financial Statements.

 

WisdomTree Trust      147  


Table of Contents

Financial Highlights (concluded)

WisdomTree Trust

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

WisdomTree Managed Futures
Strategy Fund
(consolidated)
   For the
Year Ended
August 31, 2021
    For the
Year Ended
August 31, 2020
    For the
Year Ended
August 31, 2019
    For the
Year Ended
August 31, 2018
     For the
Year Ended
August 31, 2017
 

Net asset value, beginning of year

   $ 35.31     $ 39.08     $ 40.57     $ 38.84      $ 41.12  

Investment operations:

 

Net investment income (loss)1

     (0.23     0.17       0.55       0.26        (0.07

Net realized and unrealized gain (loss)

     6.50       (3.34     (0.65     1.47        (2.21

Net increase from payment by affiliate

     0.00 2                          

Total from investment operations

     6.27       (3.17     (0.10     1.73        (2.28

Dividends to shareholders:

 

Net investment income

     (0.17     (0.60     (1.39             

Net asset value, end of year

   $ 41.41     $ 35.31     $ 39.08     $ 40.57      $ 38.84  

TOTAL RETURN3

     17.83 %6      (8.17 )%      (0.22 )%4      4.45      (5.54 )%5 

RATIOS/SUPPLEMENTAL DATA:

 

Net assets, end of year (000’s omitted)

   $ 147,001     $ 112,993     $ 216,875     $ 160,250      $ 170,879  

Ratios to average net assets of:

 

Expenses, net of expense waivers

     0.65 %7,8      0.65 %7      0.65     0.65      0.65

Expenses, prior to expense waivers

     0.68 %7      0.75 %7      0.75     0.75      0.75

Net investment income (loss)

     (0.60 )%7      0.46 %7      1.40     0.66      (0.18 )% 

Portfolio turnover rate9

     25 %10      97 %10      0     0      0

 

1 

Based on average shares outstanding.

 

2 

Amount represents less than $0.005.

 

3 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. For the periods in which the investment advisor waived advisory fees, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

4 

Includes a voluntary reimbursement from the sub-advisor for investment losses on certain futures contract transactions during the period. Excluding this voluntary reimbursement, total return would have been unchanged.

 

5 

Includes a voluntary reimbursement from the sub-advisor for investment losses on certain futures contract transactions during the period. Excluding this voluntary reimbursement, total return would have been 0.08% lower.

 

6 

Includes a voluntary reimbursement from the sub-advisor for investment losses on certain futures contract transactions during the period. Excluding this voluntary reimbursement, total return would have been unchanged (Note 3).

 

7 

The ratios to average net assets do not include net investment income (loss) or expenses of other funds in which the Fund invests.

 

8 

The investment advisor had contractually agreed to limit the advisory fee to 0.65% through December 31, 2020. On December 31, 2020, the contractual waiver expired and the advisory fee was permanently reduced to 0.65%.

 

9 

Portfolio turnover rate excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

10 

During the fiscal years ended August 31, 2021 and August 31, 2020, the Fund invested in the WisdomTree Floating Rate Treasury Fund which is considered a long term security for purposes of computing the portfolio turnover rate. During the fiscal years ended August 31, 2021 and August 31, 2020, the WisdomTree Floating Rate Fund was the only long-term security held or transacted in the portfolio, as a result, the variability in the portfolio turnover was primarily driven by the transaction activity during the fiscal year for this security only (see the “Investment in Affiliates” supplementary table included in the Schedule of Investments for transaction activity related to this security for the current fiscal year).

 

See Notes to Financial Statements.

 

148   WisdomTree Trust


Table of Contents

Notes to Financial Statements

 

1. ORGANIZATION

WisdomTree Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Delaware statutory trust on December 15, 2005 and is authorized to have multiple series of portfolios (each a “Fund”, collectively, the “Funds”). These notes relate only to the Funds listed below. In accordance with Accounting Standards Codification Topic 946, Financial Services-Investment Companies, each Fund listed below qualifies as an investment company and is applying the accounting and reporting guidance for investment companies.

 

   
Fund    Commencement of
Operations
 

WisdomTree Bloomberg U.S. Dollar Bullish Fund (“U.S. Dollar Bullish Fund” and also referred to herein as “Currency Strategy Funds”)

     December 18, 2013  

WisdomTree Chinese Yuan Strategy Fund (“Chinese Yuan Strategy Fund” and also referred to herein as “Currency Strategy Funds”)

     May 14, 2008  

WisdomTree Emerging Currency Strategy Fund (“Emerging Currency Strategy Fund” and also referred to herein as “Currency Strategy Funds”)

     May 6, 2009  

WisdomTree Emerging Markets Corporate Bond Fund (“Emerging Markets Corporate Bond Fund”)

     March 8, 2012  

WisdomTree Emerging Markets Local Debt Fund (“Emerging Markets Local Debt Fund”)

     August 9, 2010  

WisdomTree Floating Rate Treasury Fund (“Floating Rate Treasury Fund”)

     February 4, 2014  

WisdomTree Interest Rate Hedged High Yield Bond Fund (“Interest Rate Hedged High Yield Bond Fund” and also referred to herein as “Duration Funds”)

     December 18, 2013  

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (“Interest Rate Hedged U.S. Aggregate Bond Fund” and also referred to herein as “Duration Funds”)

     December 18, 2013  

WisdomTree Mortgage Plus Bond Fund (“Mortgage Plus Bond Fund”)

     November 14, 2019  

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (“Yield Enhanced U.S. Aggregate Bond Fund”)

     July 9, 2015  

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (“Yield Enhanced U.S. Short-Term Aggregate Bond Fund”)

     May 18, 2017  

WisdomTree Alternative Income Fund (“Alternative Income Fund”)

     May 6, 2021  

WisdomTree CBOE S&P 500 PutWrite Strategy Fund (“CBOE S&P 500 PutWrite Strategy Fund”)

     February 24, 2016  

WisdomTree Enhanced Commodity Strategy Fund (“Enhanced Commodity Strategy Fund”) (consolidated) (predecessor, WisdomTree Continuous Commodity Index Fund)

     January 23, 2008

WisdomTree Managed Futures Strategy Fund (“Managed Futures Strategy Fund”) (consolidated)

     January 5, 2011  
  *

Commencement of operations date shown is that of the predecessor fund. After the close of business December 18, 2020, the predecessor fund was reorganized into the Enhanced Commodity Strategy Fund.

Each Fund, except for the U.S. Dollar Bullish Fund, Chinese Yuan Strategy Fund, Emerging Currency Strategy Fund, Emerging Markets Corporate Bond Fund, Emerging Markets Local Debt Fund, Mortgage Plus Bond Fund, Enhanced Commodity Strategy Fund and Managed Futures Strategy Fund, seeks to track the price and yield performance, before fees and expenses, of a particular index (“Index”) developed by WisdomTree Investments, Inc. (“WisdomTree Investments”) or an Index developed by a third party. The U.S. Dollar Bullish Fund, Chinese Yuan Strategy Fund, Emerging Currency Strategy Fund, Emerging Markets Corporate Bond Fund, Emerging Markets Local Debt Fund, Mortgage Plus Bond Fund, Enhanced Commodity Strategy Fund and Managed Futures Strategy Fund are each actively managed. WisdomTree Investments is the parent company of WisdomTree Asset Management, Inc. (“WTAM”), the investment adviser to each Fund and the Trust. “WisdomTree” is a registered trademark of WisdomTree Investments and has been licensed for use by the Trust. Each Fund described herein is considered to be non-diversified as defined under the 1940 Act.

The Enhanced Commodity Strategy Fund (the “Successor Fund”) acquired all of the assets totaling $101,247,117 and all of the stated liabilities totaling $1,914,541 having a net asset value of $99,332,576 of the WisdomTree Continuous Commodity Index Fund (the “Predecessor Fund”) after the close of business on December 18, 2020 (the “Reorganization”). The Predecessor Fund was a commodity pool organized as a Delaware statutory trust on October 27, 2006. Shareholders in the Predecessor Fund each received 1 share of the Successor Fund in exchange for 1 share of the Predecessor Fund each having a net value per share equivalent to the net asset value per share of the Predecessor Fund at the close of business on December 18, 2020. The Predecessor Fund was not registered as an investment company under the Investment Company Act of 1940, as amended, and was not required to register under such Act. The Successor Fund adopted the financial information of the Predecessor Fund as the Predecessor Fund was determined to be the accounting survivor. Accordingly, the information presented prior to the Reorganization is that of the Predecessor Fund.

In the normal course of business, the Funds may enter into contracts that contain a variety of representations or that provide indemnification for certain liabilities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and believes such exposure to be remote.

2. SIGNIFICANT ACCOUNTING POLICIES

The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (the “Codification”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by

 

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nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants.

The following is a summary of significant accounting policies followed by the Funds:

Basis of Consolidation — The financial statements of the Enhanced Commodity Strategy Fund and Managed Futures Strategy Fund (each a “Parent Fund”), include the accounts of WisdomTree Enhanced Commodity Strategy Portfolio I and WisdomTree Managed Futures Portfolio I, respectively, each a wholly-owned and controlled Cayman Islands subsidiary (each a “Subsidiary”). For each Parent Fund, the accompanying financial statements reflect the financial position and results of operations on a consolidated basis with its Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation. Each Parent Fund seeks to gain exposure to commodity markets, in whole or in part, through investments in its Subsidiary. Each Parent Fund’s investment in its Subsidiary may not exceed 25% of the respective Parent Fund’s total assets at the end of each fiscal quarter in order to meet the requirements for qualification as a regulated investment company under the Internal Revenue Code of 1986, as amended (the “Code”).

Use of Estimates — The preparation of financial statements in conformity with GAAP, requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in the net assets from operations during the reporting period. Actual results could differ from those estimates.

Investment Valuation — The net asset value (“NAV”) of each Fund’s shares is calculated each day a Fund is open for business as of the regularly scheduled close of regular trading on the New York Stock Exchange, normally 4:00 p.m. Eastern time (the “NAV Calculation Time”). NAV per share is calculated by dividing a Fund’s net assets by the number of Fund shares outstanding. Each Fund issues and redeems shares at NAV only in large blocks of shares known as creation units, which only certain institutions (e.g., broker-dealers) may purchase or redeem. Shares of each Fund are listed on a national securities exchange and trade at market prices. Most investors will buy and sell shares in the secondary market through brokers. Because Fund shares trade at market prices rather than NAV, shares may trade at a price greater than NAV or less than NAV. In calculating each Fund’s NAV, investments are valued under policies approved by the Board of Trustees of the Trust (the “Board of Trustees”). Fixed income securities (including short-term debt securities with remaining maturities of 60 days or less and to-be-announced (“TBA”) securities) generally are valued at current market quotations or mean prices obtained from broker-dealers or independent pricing service providers. Broker-dealers or independent pricing service providers, in determining the value of securities, may consider such factors as recent transactions, indications from yields and quoted prices from broker-dealers on similar securities, and market sentiment for the type of security. U.S. fixed income securities may be valued as of the announced closing time for such securities on any day that the Securities Industry and Financial Markets Association announces an early closing time. Repurchase agreements are valued at par which represents their fair value. Except for U.S. Dollar Bullish Fund, foreign currency contracts that settle within two business days after the trade date (“Spot Contracts”) and foreign currency contracts having a settlement period greater than two business days after the trade date (“Forward Contracts”) are valued daily using WM/Reuters closing spot and forward rates, respectively, as of 4:00 p.m. London time for all Funds except for Forward Contracts in certain Asian currencies (Chinese renminbi, Chinese yuan, Hong Kong dollar, Indian rupee, Indonesian rupiah, Malaysian ringgit, Philippine peso, Singapore dollar, South Korean won, New Taiwan dollar, and the Thai baht) which are valued daily using WM/Reuters closing forward rates as of 2:00 p.m. Singapore time. U.S. Dollar Bullish Fund uses WM/Reuters closing spot and forward rates as of 4:00 p.m. Eastern time to value foreign currency contracts daily. Futures contracts generally are valued at the settlement price, the price at which a futures contract settles once a given trading day has ended, on the primary exchange on which they trade. Option contracts generally are valued at the mean of the closing bid/ask price on the primary exchange on which they trade. Equity securities (including preferred stock) traded on any recognized U.S. or non-U.S. exchange are valued at the last sale price or official closing price on the exchange on which they are principally traded. Unlisted equity securities (including preferred stock) are valued at the last sale price or, if no sale price is available, at the mean between the highest bid and lowest ask price. Each Fund may invest in money market funds which are valued at their NAV per share and exchange-traded funds (“ETFs” or “ETF”), or exchange-traded notes (“ETNs” or “ETN”) or closed-end mutual funds (“CEF” or “CEFs”) which are valued at their last sale or official closing price on the exchange on which they are principally traded or at their NAV per share in instances where the ETF, ETN or CEF has not traded on its principal exchange.

In certain instances, such as when reliable market valuations are not readily available, a Fund’s investments, which include derivatives, will be fair valued in accordance with the Fund’s pricing policy. The Board of Trustees has established a pricing committee (the “Pricing Committee”) which is comprised of senior representatives of WTAM and which reports to the Board of Trustees on a quarterly basis. In the event that a financial instrument cannot be valued based upon a price from a national securities exchange, independent pricing service provider or broker-dealer quotation, or such prices are deemed to not reflect current market value, the Pricing Committee may value the financial instrument in good faith under the policies and procedures approved by the Board of Trustees based on current facts and circumstances. Securities that may be valued using “fair value” pricing may include, but are not limited to, securities for which there are no current market quotations, securities whose issuer is in default or bankruptcy, securities subject to corporate actions (such as mergers or reorganizations), securities subject to non-U.S. investment limits or currency

 

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controls, and securities affected by “significant events.” An example of a significant event is an event occurring after the close of the market in which a security trades but before a Fund’s next NAV Calculation Time that may materially affect the value of a Fund’s investment (e.g., government action, natural disaster, or significant market fluctuation). When fair value pricing is employed, the prices of securities used by a Fund to calculate its NAV may differ from quoted or published prices for the same securities.

Fair Value Measurement — In accordance with Codification Topic 820 (“ASC 820”), Fair Value Measurements and Disclosures, fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The Pricing Committee will perform other procedures (consistent with GAAP) to value an investment when a market quote is not available. ASC 820 established a three-tier hierarchy of inputs to be used when determining fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk — for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below:

Level 1 – quoted prices in active markets for identical securities

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates,

prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs (including each Fund’s assumptions in determining the fair value of investments)

The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments.

Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended (either due to events affecting the issuer of the security specifically or events affecting the primary trading exchange more broadly) or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation or market activity; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets in which the security is traded but before the time as of which a Fund’s NAV is computed and that may materially affect the value of the Fund’s investments).

The valuation techniques and significant inputs used in determining the fair market value measurements for Level 2 and Level 3 positions are as follows:

Financial instruments, such as fixed income securities, are generally valued by independent pricing service providers that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. Depending on the type of financial instrument, the independent pricing service providers’ internal pricing models may use inputs that are observable such as issuer details (e.g., credit rating, debt ranking, coupon date, maturity date, etc.), interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Financial instruments that use similar valuation techniques and observable inputs as described above and have an appropriate level of market activity are categorized as Level 2 of the fair value hierarchy, otherwise a Level 3 fair value classification is appropriate. Over-the-counter financial derivative instruments derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These instruments are normally valued on the basis of broker-dealer quotations or prices obtained from independent pricing service providers. Depending on the product and the terms of the transaction, the value of the financial derivative instruments can be estimated by an independent pricing service provider using a series of techniques including simulation pricing models. The pricing models may use inputs that are observed from actively quoted markets such as issuer details, indices, credit risks/spreads, interest rates, yield curves, default and exchange rates. Derivative contracts that use similar valuation techniques and observable inputs as described above and have an appropriate level of market activity are categorized as Level 2 of the fair value hierarchy, otherwise a Level 3 fair value classification is appropriate.

Determination of a fair value by the Pricing Committee may include significant unobservable inputs and therefore such financial instruments would be reflected as a Level 3 of the fair value hierarchy. The Pricing Committee may employ a market-based valuation approach which may use, among other potential considerations, related or comparable securities, recent transactions, market multiples, and other relevant information to determine fair value. The Pricing Committee may also use an income-based valuation approach in which anticipated future cash flows of the financial instrument are discounted to calculate fair value.

 

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The summary of fair valuations according to the inputs used in valuing each Fund’s assets as of the measurement date is included in a “Fair Valuation Summary” supplementary table in each applicable Fund’s Schedule of Investments.

During the fiscal year or period ended August 31, 2021, there were no significant transfers into or out of Level 3 of the fair value hierarchy.

Derivatives and Hedging Disclosure — Codification Topic 815 (“ASC 815”), Derivatives and Hedging, requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts as well as gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. The Funds have invested in derivatives, specifically foreign currency contracts, foreign currency futures contracts, commodity futures contracts, interest rate futures contracts, equity futures contracts and equity options contracts during the fiscal year or period ended August 31, 2021 and open positions in such derivatives as of August 31, 2021 are detailed in each Fund’s Schedule of Investments. All of the derivative instruments disclosed and described herein are subject to credit risk. Credit risk is where the financial condition of an issuer of a security or instrument may cause it to default or become unable to pay interest or principal due on the security or where the counterparty to a derivative contract might default on its obligations. The Funds’ derivative agreements may also contain credit-risk related contingent features which include, but are not limited to, a percentage decline in the Funds’ NAV over a specified time period. If an event occurred at August 31, 2021 that triggered a contingent feature, the counterparty to the agreement may require the Funds to post additional collateral or terminate the derivative positions and demand payment. Any collateral posted with respect to the derivative positions would be used to offset or reduce the payment. The maximum exposure to derivatives agreements with credit-risk related contingent features would be the total value of derivatives in net liability positions for each Fund, as disclosed in the table included in Note 2—Master Netting Arrangements. Information with respect to the amounts and types of collateral received and/or posted for derivative instruments as of August 31, 2021, if any, is reflected as a footnote within each Fund’s Schedule of Investments.

As of August 31, 2021, the effects of such derivative instruments on each Fund’s financial position as reflected in the Statements of Assets and Liabilities are presented in the summary below:

 

         
     Asset Derivatives            Liability Derivatives        
Fund    Balance Sheet Location    Value      Balance Sheet Location    Value  

U.S. Dollar Bullish Fund

           

Foreign currency risk

   Unrealized appreciation on foreign currency contracts    $  855,222      Unrealized depreciation on
foreign currency contracts
   $  138,445  

Chinese Yuan Strategy Fund

           

Foreign currency risk

   Unrealized appreciation on foreign currency contracts      144,520      Unrealized depreciation on
foreign currency contracts
     76,809  

Emerging Currency Strategy Fund

           

Foreign currency risk

   Unrealized appreciation on foreign currency contracts      172,547      Unrealized depreciation on
foreign currency contracts
     69,521  

Emerging Markets Corporate Bond Fund

           

Interest rate risk

   Unrealized appreciation on
futures contracts*
     10,175      Unrealized depreciation on
futures contracts*
     31,028  

Emerging Markets Local Debt Fund

           

Foreign currency risk

   Unrealized appreciation on
foreign currency contracts
     17,853      Unrealized depreciation on
foreign currency contracts
     225,853

Interest Rate Hedged High Yield Bond Fund

           

Interest rate risk

   Unrealized appreciation on
futures contracts*
          Unrealized depreciation on
futures contracts*
     305,967  

Interest Rate Hedged U.S. Aggregate Bond Fund

           

Interest rate risk

   Unrealized appreciation on
futures contracts*
          Unrealized depreciation on
futures contracts*
     416,041  

Mortgage Plus Bond Fund

           

Interest rate risk

   Unrealized appreciation on
futures contracts*
     781      Unrealized depreciation on
futures contracts*
     6,902  

CBOE S&P 500 PutWrite Strategy Fund

           

Equity risk

                 Written options, at value      265,350  

Enhanced Commodity Strategy Fund (consolidated)

           

Commodity risk

   Unrealized appreciation on
futures contracts*
     16,131,586      Unrealized depreciation on
futures contracts*
     5,882,810  

 

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     Asset Derivatives            Liability Derivatives        
Fund    Balance Sheet Location    Value      Balance Sheet Location    Value  

Managed Futures Strategy Fund (consolidated)

           

Commodity risk

   Unrealized appreciation on
futures contracts*
   $ 648,148      Unrealized depreciation on
futures contracts*
   $ 421,986  

Equity risk

   Unrealized appreciation on
futures contracts*
     1,527,349      Unrealized depreciation on
futures contracts*
     76,138  

Foreign currency risk

   Unrealized appreciation on
futures contracts*
          Unrealized depreciation on
futures contracts*
     2,240  

Interest rate risk

   Unrealized appreciation on
futures contracts*
          Unrealized depreciation on
futures contracts*
     110,547  
  *

Includes cumulative appreciation (depreciation) of futures contracts as reported in each Fund’s Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. Please see Note 2 (Futures Contracts) on page 156 for additional information regarding balance sheet location of balances associated with futures contracts.

For the fiscal year or period ended August 31, 2021, the effects of derivative instruments on each applicable Fund’s financial performance as reflected in the Statements of Operations are presented in the summary below:

 

     
Fund    Amount of Realized Gain
or (Loss) on Derivatives
Recognized1
    

Change in Unrealized
Appreciation or

(Depreciation) on
Derivatives Recognized2

 

U.S. Dollar Bullish Fund

 

Foreign currency risk

     $(2,823,672)      $ 1,985,485  

Chinese Yuan Strategy Fund

 

Foreign currency risk

     3,481,247        (766,938

Emerging Currency Strategy Fund

 

Foreign currency risk

     511,502        74,208  

Emerging Markets Corporate Bond Fund

 

Interest rate risk

     141,658        (29,531

Emerging Markets Local Debt Fund

 

Foreign currency risk

     291,961        (305,833

Interest Rate Hedged High Yield Bond Fund

 

Interest rate risk

     700,661        (262,936

Interest Rate Hedged U.S. Aggregate Bond Fund

 

Interest rate risk

     (451,575      (374,340

Mortgage Plus Bond Fund

 

Interest rate risk

     133,841        (16,127

Yield Enhanced U.S. Short-Term Aggregate Bond Fund

     

Interest rate risk

     (400      586  

CBOE S&P 500 PutWrite Strategy Fund

 

Equity risk

     22,767,275        (522,269

Enhanced Commodity Strategy Fund (consolidated)

 

Commodity risk3

     11,589,626        10,248,776  

Commodity risk4

     1,642,503        (6,162,155

Managed Futures Strategy Fund (consolidated)

 

Commodity risk

     19,669,287        (180,884

Equity risk

     (512,007      1,451,211  

Foreign currency risk

     280,305        (51,647

Interest rate risk

     (155,798      29,397  

 

  1 

Realized gains (losses) on derivatives are located on the Statements of Operations as follows:

 

Commodity risk

   Net realized gain (loss) from futures contracts

Equity risk

   Net realized gain (loss) from written options
     Net realized gain (loss) from futures contracts

Foreign currency risk

   Net realized gain (loss) from foreign currency contracts
     Net realized gain (loss) from futures contracts

Interest rate risk

   Net realized gain (loss) from futures contracts

 

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  2

Change in unrealized appreciation (depreciation) is located on the Statements of Operations as follows:

 

Commodity contracts

  Net increase (decrease) in unrealized appreciation/depreciation from futures contracts

Equity risk

  Net increase (decrease) in unrealized appreciation/depreciation from written options
    Net increase (decrease) in unrealized appreciation/depreciation from futures contracts

Foreign currency risk

  Net increase (decrease) in unrealized appreciation/depreciation from foreign currency contracts
    Net increase (decrease) in unrealized appreciation/depreciation from futures contracts

Interest rate risk

  Net increase (decrease) in unrealized appreciation/depreciation from futures contracts

 

  3 

For the period December 19, 2020 (post-reorganization) through August 31, 2021.

 

  4 

For the period January 1, 2020 (pre-reorganization) through December 18, 2020.

During the fiscal year or period ended August 31, 2021, the volume of derivative activity (based on the average of month-end balances, except where footnoted) for each Fund was as follows:

 

   
     Average Notional  
Fund    Foreign currency
contracts
(to deliver
USD)
     Foreign currency
contracts
(to receive
USD)
     Futures
contracts
(long)
     Futures
contracts
(short)
     Written
options
 

U.S. Dollar Bullish Fund

 

Foreign currency risk

   $ 107,080,082      $ 205,676,032      $      $      $  

Chinese Yuan Strategy Fund

 

Foreign currency risk

     55,699,146        15,015,112                       

Emerging Currency Strategy Fund

 

Foreign currency risk

     19,177,009        4,864,118                       

Emerging Markets Corporate Bond Fund

 

Interest rate risk

                   8,080,376        8,138,689         

Emerging Markets Local Debt Fund

 

Foreign currency risk

     8,243,013        2,409,107                       

Interest Rate Hedged High Yield Bond Fund

 

Interest rate risk

                   3,721,709        115,442,460         

Interest Rate Hedged U.S. Aggregate Bond Fund

 

Interest rate risk

                          148,502,799         

Mortgage Plus Bond Fund

 

Interest rate risk

                   882,728        1,682,793         

Yield Enhanced U.S. Short-Term Aggregate Bond Fund

 

Interest rate risk1

                          96,902         

CBOE S&P 500 PutWrite Strategy Fund

 

Equity risk

                                 98,902,615  

Enhanced Commodity Strategy Fund (consolidated)

 

Commodity risk2

                   170,959,079        12,390,643         

Commodity risk3

                   88,818,556                

Managed Futures Strategy Fund (consolidated)

 

Commodity risk

                   55,831,353        2,949,721         

Equity risk

                   12,338,245                

Foreign currency risk

     4,170,334        3,418,425        23,413,427        950,145         

Interest rate risk

                   3,233,047        7,932,892         
  1 

The volume of derivatives for the period is based on intra-month balances.

 

  2

For the period December 19, 2020 (post-reorganization) through August 31, 2021.

 

  3 

For the period January 1, 2020 (pre-reorganization) through December 18, 2020.

Investment Transactions and Investment Income — Investment transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Interest income (including amortization of premiums and accretion of discounts), net of any foreign taxes withheld, is accrued daily. Generally,

 

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amortization of premiums and accretion of discounts are recognized daily using the effective interest method (also known as scientific amortization method). Payment-in-kind (“PIK”) interest income is accrued daily and the increase in a security’s principal amount related to such PIK interest income is recorded on the coupon payment date. Dividend income is recognized on the ex-dividend date. On each measurement date, the Funds evaluate the collectability of receivable balances. Generally, the Funds will write-off interest receivable balances in default by the issuer as of the date any applicable interest payment grace period or forbearance period expires or as of the date any interest payment cancellation notification was publicly made available or when it becomes probable that interest will not be collected and the amount of uncollectable interest can be reasonably estimated.

Foreign Currency Translation — The accounting records of the Funds are maintained in U.S. dollars. Foreign currencies, as well as investment securities and other assets and liabilities denominated in foreign currencies, are translated into U.S. dollars using exchange rates prevailing on the respective dates of such transactions that are deemed appropriate by WTAM. Realized and unrealized foreign exchange gains and losses on investments are included as a component of “net realized gain (loss) from investment transactions” and “net increase (decrease) in unrealized appreciation/depreciation from investment transactions”, respectively, on the Statements of Operations. Realized and unrealized foreign exchange gains or losses from foreign currency contracts are included in “net realized gain (loss) from foreign currency contracts” and “net increase (decrease) in unrealized appreciation/depreciation from foreign currency contracts”, respectively, on the Statements of Operations. Realized and unrealized foreign exchange gains or losses arising from sales of foreign currencies, currency gains or losses recognized between the trade and settlement dates on investment transactions, and the difference between the amounts of dividends/interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid are included in “net realized gain (loss) from foreign currency related transactions” and/or “net increase (decrease) in unrealized appreciation/depreciation from translation of assets and liabilities denominated in foreign currencies” in the Statements of Operations. Certain foreign exchange gains and losses included in realized and unrealized gains or losses are included in, or are a reduction of, ordinary income in accordance with U.S. Federal income tax regulations.

Expenses — Under the investment advisory agreement for each Fund, except for Funds that commenced operations on or after March 26, 2013, WTAM has agreed to pay all expenses of the Trust, except for: (i) brokerage expenses and other expenses (such as stamp taxes) connected with the execution of portfolio transactions or in connection with creation and redemption transactions; (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) compensation and expenses of trustees who are not interested persons of the Funds (“Independent Trustees”); (iv) compensation and expenses of counsel to the Independent Trustees; (v) compensation and expenses of the Trust’s Chief Compliance Officer (“CCO”); (vi) extraordinary expenses; (vii) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; and (viii) the advisory fee payable to WTAM.

Under the investment advisory agreement for Funds that commenced operations on or after March 26, 2013, WTAM has agreed to pay all expenses of the Trust, except for: (i) brokerage expenses and other fees, charges, taxes, levies or expenses (such as stamp taxes) incurred in connection with the execution of portfolio transactions or in connection with creation and redemption transactions (including without limitation any fees, charges, taxes, levies or expenses related to the purchase or sale of an amount of any currency, or the patriation or repatriation of any security or other asset, related to the execution of portfolio transactions or any creation or redemption transactions); (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) compensation and expenses of each Independent Trustee; (iv) compensation and expenses of counsel to the Independent Trustees; (v) compensation and expenses of the Trust’s CCO; (vi) extraordinary expenses (in each case as determined by a majority of the Independent Trustees); (vii) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; (viii) interest and taxes of any kind or nature (including, but not limited to, income, excise, transfer and withholding taxes); (ix) fees and expenses related to the provision of securities lending services; and (x) the advisory fee payable to WTAM.

Acquired fund fees and expenses (“AFFEs”) (which are fees and expenses incurred indirectly by a Fund through its investments in certain underlying investment companies) are not operating expenses of the Funds and are not paid by WTAM.

Pursuant to a separate contractual arrangement, WTAM arranges for the provision of CCO services with respect to each Fund, and is liable and responsible for, and administers, payments to the CCO, the Independent Trustees and counsel to the Independent Trustees. WTAM receives a fee, as shown on the Statements of Operations under “Service fees”, of up to 0.0044% per annum of each Fund’s average daily net assets for providing such services and paying such expenses. WTAM provides CCO services to the Trust.

Repurchase Agreements — Each Fund may enter into repurchase agreements with counterparties that are deemed to present acceptable credit risks. A repurchase agreement is a transaction in which a Fund acquires securities or other obligations as collateral from a commercial bank or securities broker-dealer and simultaneously commits to resell them to the counterparty at an agreed upon date or upon demand and at a price reflecting a market rate of interest unrelated to the coupon rate or maturity of the acquired obligations. This is designed to result in a fixed rate of return for the Fund insulated from market fluctuations during the holding period. Each Fund maintains custody of the acquired collateral prior to their repurchase, either through its regular custodian or through a special “tri-party” custodian or sub-custodian that maintains separate accounts for both the Fund and the

 

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counterparty. Because repurchase agreements are collateralized by securities, they are subject to market and credit risk on the acquired collateral in addition to counterparty credit risk. The acquired collateral is valued on a daily basis at fair value to ensure that the value, including accrued interest, is at least equal to the repurchase price. If the acquired collateral declines in value and becomes less than the repurchase price, plus any agreed-upon additional amount, the counterparty must provide additional collateral so that at all times the collateral value is at least equal to the repurchase price plus any agreed-upon additional amount. In the event of default of the obligation to repurchase, a Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligations. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.

Foreign Currency Contracts — The Currency Strategy Funds, except the U.S. Dollar Bullish Fund, utilized foreign currency contracts to obtain net long exposure to foreign currencies consistent with each Currency Strategy Fund’s investment strategy. The U.S. Dollar Bullish Fund utilized foreign currency contracts to obtain net short exposure to foreign currencies consistent with its investment strategy. The Emerging Markets Local Debt Fund utilized foreign currency contracts to obtain long and short exposures to foreign currencies consistent with its investment objective. The Managed Futures Strategy Fund utilized foreign currency contracts to obtain long and short exposures to the Japanese Yen consistent with its investment objective. A foreign currency contract involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. These contracts are principally traded in the inter-bank market conducted directly between currency traders (usually large, commercial banks) and their customers. A foreign currency contract generally does not require an initial margin deposit and no commissions are charged at any stage for trades. However, if a Fund is in an unrealized loss position on a foreign currency contract, it may be required to pledge collateral (or additional collateral) to the counterparty. If a Fund is in an unrealized gain position on a foreign currency contract, it may receive collateral from the counterparty. In the event of a default or inability of counterparties to meet the terms of their contracts, the non-defaulting party generally has the right to liquidate the collateral and apply the proceeds in satisfaction of the contract terms.

Risks may arise upon entering into foreign currency contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currencies relative to the U.S. dollar or each other.

Fluctuations in the value of open foreign currency contracts are recorded for book purposes as unrealized gains or losses on foreign currency contracts by the Funds and are included in “net increase (decrease) in unrealized appreciation/depreciation from foreign currency contracts” on the Statements of Operations. Realized gains and losses on foreign currency contracts include net gains or losses recognized by the Funds on contracts which have settled are included in “net realized gain (loss) from foreign currency contracts” on the Statements of Operations.

Futures Contracts — The Duration Funds and the Yield Enhanced U.S. Short-Term Aggregate Bond Fund utilized futures contracts to obtain net short exposure to U.S. Treasury bonds to hedge against a rise in interest rates. The Emerging Markets Corporate Bond Fund and the Mortgage Plus Bond Fund each utilized futures contracts on U.S. Treasury bonds to manage interest rate risk. The Enhanced Commodity Strategy Fund utilized futures contracts to obtain long and short exposures to commodities consistent with its investment objective. The Managed Futures Strategy Fund utilized futures contracts to obtain long and short exposures to currencies, commodities, interest rates and equity indexes consistent with its investment objective. When a Fund purchases a listed futures contract, it agrees to purchase a specified reference asset (e.g., commodity, currency, equity or U.S. Treasury security) at a specified future date. When a Fund sells a listed futures contract, it agrees to sell a specified reference asset (e.g., commodity, currency, equity or U.S. Treasury security) at a specified future date. The price at which the purchase and sale will take place is fixed when the Fund enters into the contract. The exchange clearing corporation is the ultimate counterparty for all exchange-listed contracts, so credit risk is limited to the creditworthiness of the exchange clearing corporation.

Upon entering into a futures contract, a Fund is required to deliver to a broker an amount of cash and/or U.S. government securities equal to a certain percentage of the contract amount. This amount is known as the “initial margin”. Cash deposited as initial margin is shown as “Deposits at broker for futures contracts” in the Statement of Assets and Liabilities and U.S. government securities deposited are designated in the Schedule of Investments. Subsequent payments, known as “variation margin”, generally are made or received by the Fund each day or at other agreed-upon time periods depending on the fluctuations in the value of the underlying futures contracts, except that in the case of certain futures contracts, variation margin payments may be made or received when the futures contract expires. Variation margin is recorded for financial statement purposes on a daily basis as an unrealized gain or loss on futures until the financial futures contract is closed, at which time the net gain or loss is reclassified to realized gain or loss on futures. The current one-day variation margin on open futures contracts is shown on the Statements of Assets and Liabilities as either a receivable or a payable for “Net variation margin on futures contracts”. The variation margins received or paid by the Funds on both open and closed futures contracts are shown in the Statements of Assets and Liabilities, in whole or in part, as a component of, or an offset to, “Deposits at broker for futures contracts”. Deposits at broker utilized for futures contract margin requirements generally are restricted from withdrawal. When a Fund purchases or sells a futures contract, the Fund is required to “cover” its position in order to limit the risk associated with the use of leverage and other related risks. To cover its position, a Fund will segregate assets consisting of, or take other measures with respect to, cash or liquid securities that, when added to any amounts deposited with a

 

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futures commission merchant as margin, will “cover” its position in a manner consistent with the 1940 Act or the rules and SEC interpretations thereunder. This will function as a practical limit on the amount of leverage which a Fund may undertake and on the potential increase in the speculative character of a Fund’s outstanding portfolio securities.

Options Contracts — The CBOE S&P 500 PutWrite Strategy Fund utilized option contracts by writing put options on the S&P 500 Index consistent with its investment objective. A put option gives the purchaser of the option the right to sell, and the writer of the option the obligation to buy, the underlying security or financial instrument. A call option gives the purchaser of the option the right to buy, and the writer of the option the obligation to sell, the underlying security or financial instrument. A premium is paid to the writer of an option as consideration for undertaking the obligation in the contract. The CBOE S&P 500 PutWrite Strategy Fund may purchase and write options on an exchange or over the counter (“OTC”). OTC options differ from exchange-traded options in several respects. They are transacted directly with dealers and not with a clearing corporation, and therefore entail the risk of nonperformance by the dealer. OTC options are available for a greater variety of securities and for a wider range of expiration dates and exercise prices than are available for exchange-traded options. Because OTC options are not traded on an exchange, pricing is done normally by reference to information from a market maker.

When an option is purchased, an amount equal to the premium paid is recorded as an asset, the value of which is marked-to-market to reflect the current market value of the option purchased. If the purchased option expires, a loss equal to the amount of premium paid is realized. When a security or financial instrument is purchased or sold through the exercise of an option, the related premium paid is added to the basis of the security or financial instrument acquired or deducted from the proceeds of the security or financial instrument sold.

When an option is written, an amount equal to the premium received is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the premium received is recorded as a realized gain. When a written call option is exercised, the difference between the premium received plus the option exercise price and the basis in the underlying security (in the case of a covered written call option), or the cost to purchase the underlying security (in the case of an uncovered written call option), including brokerage commission, is recognized as a realized gain or loss. When a written put option is exercised, the amount of the premium received is subtracted from the cost of the security purchased from the exercise of the written put option to form the basis in the underlying security purchased.

The purchaser or writer of an option may close the position before the exercise of the option by entering into a closing transaction. In the case of a written option, the cost of a closing transaction is deducted from the original premium received resulting in a realized gain or loss. With respect to a purchased option, the original premium paid is deducted from the proceeds received from a closing transaction resulting in a realized gain or loss.

The maximum payout for written put options is limited to the number of contracts written and the associated strike prices. At August 31, 2021, the maximum payout for written put options for the CBOE S&P 500 PutWrite Strategy Fund was $64,162,500. The maximum payout for written call options is potentially unlimited to the extent that the written call option is uncovered.

The risk associated with purchasing put and call options is limited to the premiums paid. The risk in writing a covered call option is that the writer of the option may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. The risk in writing an uncovered call option is that the writer of the option is exposed to the risk of loss if the market price of the underlying security increases. The risk in writing a put option is that the writer of the option may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that the purchaser or writer of an option may not be able to enter into a closing transaction because of an illiquid secondary market.

Other significant risks associated with the use of options contracts may include the following: (1) the success of a strategy may depend on the investment adviser’s ability to predict movements in the prices of individual commodities, currencies or securities, fluctuations in markets and movements in interest rates; (2) there may be an imperfect or no correlation between the changes in market value of the commodities, currencies or securities and the price of options; (3) although the CBOE S&P 500 PutWrite Strategy Fund intends to enter into options contracts only if there is an active market for such contracts, there is no assurance that an active market will exist for the contracts at any particular time; (4) trading restrictions or limitations may be imposed by an exchange; and (5) government regulations may restrict trading in options contracts.

Securities Lending — Each Fund may lend portfolio securities to certain creditworthy borrowers, including the Funds’ securities lending agent. It is the Funds’ policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral in the form of cash and/or securities issued or guaranteed by the U.S. government or its agencies, equivalent to at least 100% of the market value of securities, is maintained at all times. The cash collateral can be invested in certain money market mutual funds which also have exposure to the fluctuations of the market. The values of the investments of cash collateral for securities on loan along with the obligations to return such collateral are included on the Statements of Assets and Liabilities. The total value of securities received as collateral for securities on loan is included in a footnote following each Schedule of Investments, but is not included within the Statements of Assets and Liabilities because the receiving Fund does not have the right to sell or repledge the securities received as collateral. As compensation for

 

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lending its securities, each Fund retains all or a portion of the interest received on investment of cash collateral or receives a fee from the borrower (net of any fee rebates paid to the borrower). The lending agent receives a portion of the income earned by the Funds in connection with the lending program. The net securities lending income earned by the Funds is disclosed on the Statements of Operations. The dividend and interest income earned on the securities loaned is accounted for in the same manner as other dividend and interest income. The borrower pays to the Funds an amount equal to any dividends or interest received on loaned securities. Dividends received while a security is out on loan are not considered Qualified Dividend Income (“QDI”) under the specific criteria issued by the Internal Revenue Service and are subject to taxation at the shareholder’s ordinary income tax rate instead of the lower long-term capital gains tax rate. Lending portfolio securities could result in a loss or delay in recovering each Fund’s securities if the borrower defaults. In the event of a borrower default with respect to the failure to return to each Fund some or all of the securities loaned, the securities lending agent shall indemnify each Fund against the failure of the borrower if the value of the collateral received is insufficient to cover the market value of the securities loaned.

Master Netting Arrangements — Codification Topic 210 (“ASC 210”), Balance Sheet, requires disclosures generally intended to (i) help investors and other financial statement users to better assess the effect or potential effect of offsetting arrangements on a company’s financial position, (ii) improve transparency in the reporting of how companies mitigate credit risk, and (iii) facilitate comparisons between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of international financial reporting standards. ASC 210 requires entities to disclose (i) gross and net information about both instruments and transactions eligible for offset in the financial statements, and (ii) instruments and transactions subject to an agreement similar to a master netting agreement. ASC 210 is limited in scope to the following financial instruments, to the extent they are offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement: (i) recognized derivative instruments accounted for under ASC 815 (Derivatives and Hedging); (ii) repurchase agreements and reverse repurchase agreements; and (iii) securities borrowing and securities lending transactions.

In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund enters into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs over-the-counter derivatives (“OTC”), such as foreign currency contracts, and typically contains, among other things, collateral posting terms, netting and rights of set-off provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and receivables to create a single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

Collateral requirements generally differ by type of derivative. Collateral terms are contract-specific for OTC derivatives (e.g., foreign currency contracts, options and certain swaps). Generally, for transactions traded under an ISDA Master Agreement, the collateral requirements are calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its derivatives counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from a counterparty’s non-performance.

Repurchase agreements are subject to the terms and conditions of a Master Repurchase Agreement (“Master Repurchase Agreement”) between a Fund and a counterparty. In the event of a default or failure by a party to perform an obligation with respect to a repurchase transaction, the Master Repurchase Agreement gives the non-defaulting party the right to set-off claims and to apply collateral held by it in connection with a repurchase transaction against obligations owed to the non-defaulting party.

The Funds’ securities lending activities are governed by a Securities Lending Authorization Agreement (“Lending Agreement”) between the Funds and the lending agent. The Lending Agreement authorizes the lending agent to lend qualifying U.S. and foreign securities held by a Fund to approved borrowers (each a “Borrower”). To mitigate borrower risk, a Fund typically receives from a Borrower collateral in the form of U.S. dollar cash and/or securities issued or guaranteed by the U.S. government or its agencies in excess of the market value of the securities loaned. Under the provisions of the Lending Agreement, a Fund shall have, as to the collateral, all of the rights and remedies of a secured party under applicable law. A Fund is exposed to risk of loss if a Borrower defaults on its obligation to return borrowed securities and the value of the collateral a Fund received is insufficient to cover the market value of the securities loaned. Also, the lending agent is permitted to invest the cash collateral it receives from a Borrower into a money market fund which is subject to market fluctuation. Therefore, a Fund is exposed to risk of loss if the value of invested cash collateral is insufficient to satisfy the Fund’s obligation to return the full amount owed to such Borrower.

The Funds’ futures contracts and option contracts are all exchange traded and are not subject to master netting arrangements. Therefore, all futures contracts and option contracts are excluded from the netting table.

For financial reporting purposes, the Funds elect to not offset assets and liabilities subject to an ISDA Master Agreement, Master Repurchase Agreement or Lending Agreement, if any, in the Statements of Assets and Liabilities. Therefore, all qualifying

 

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transactions are presented on a gross basis in the Statements of Assets and Liabilities. As of August 31, 2021, the impact of netting of assets and liabilities and the offsetting of collateral pledged or received based on contractual netting/set-off provisions in the ISDA Master Agreement, Master Repurchase Agreement and the Lending Agreement are detailed in the following table:

 

       
    Assets           Liabilities  
   

Gross Amounts
in the
Statements of

Assets and
Liabilities

    Gross Amounts Not Offset
in the Statements of
Assets and Liabilities
               

Gross Amounts
in the
Statements of

Assets and
Liabilities

    Gross Amounts Not Offset
in the Statements of
Assets and Liabilities
       
Fund   Financial
Instruments
    Collateral
Received
    Net Amount            Financial
Instruments
    Collateral
Posted
    Net Amount  

U.S. Dollar Bullish Fund

 

Foreign Currency Contracts

  $ 855,222     $ (114,019   $     $ 741,203             $ 138,445     $ (114,019   $     $ 24,426  

Chinese Yuan Strategy Fund

 

Repurchase Agreements

    12,960,000             (12,960,000 )1                                       

Foreign Currency Contracts

    144,520       (37,228           107,292               76,809       (37,228           39,581  

Emerging Currency Strategy Fund

 

Repurchase Agreements

    4,000,000             (4,000,000 )1                                       

Foreign Currency Contracts

    172,547       (64,259           108,288               69,521       (64,259           5,262  

Emerging Markets Corporate Bond Fund

 

Securities Lending

    3,565,545             (3,565,545 )1                                       

Emerging Markets Local Debt Fund

 

Repurchase Agreements

    6,860,000             (6,860,000 )1                                       

Foreign Currency Contracts

    17,853       (17,797           56               225,853       (17,797           208,056  

Interest Rate Hedged High Yield Bond Fund

 

Securities Lending

    8,419,554             (8,419,554 )1                                       

Interest Rate Hedged U.S. Aggregate Bond Fund

Securities Lending

    1,200,542             (1,200,542 )1                                       

Repurchase Agreements

    15,426,500             (15,426,500 )1                                       

Yield Enhanced U.S. Aggregate Bond Fund

 

Securities Lending

    5,518,664             (5,518,664 )1                                       

Repurchase Agreements

    146,660,000             (146,660,000 )1                                       
  1

The amount of collateral presented has been limited such that the net amount by counterparty cannot be less than zero.

Short-Term Investments — Each Fund may invest a portion of its assets in high-quality money market instruments on an ongoing basis to provide liquidity or for other reasons. The instruments include short-term obligations issued by the U.S. government, its agencies, non-U.S. government agencies, negotiable certificates of deposit (“CDs”), fixed time deposits and bankers’ acceptances of U.S. and foreign banks and similar institutions, commercial papers, repurchase agreements and money market funds. CDs are short-term negotiable obligations of commercial banks. Time deposits are non-negotiable deposits maintained in banking institutions for specified periods of time at stated interest rates. Banker’s acceptances are time drafts drawn on commercial banks by borrowers, usually in connection with international transactions.

Interest-Only and Principal-Only Securities — The Funds may invest in interest-only (“IO”) and principal-only (“PO”) securities which are typically created by splitting a traditional mortgage-backed security or pool of loans into an IO and a PO security. In general, the IO security is entitled to receive the interest payments on the underlying debt obligation(s) and the PO security is entitled to receive the principal payments of the underlying debt obligation(s). Both IO and PO securities are subject to prepayments and therefore prepayment risk. IO securities are at risk for faster than anticipated prepayments and PO securities are at risk for slower than anticipated prepayments. Assumptions regarding the rates of prepayment play a significant role in the value of these securities. If the underlying debt obligation experiences greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in the IO security.

Collateralized Loan Obligations — The Funds may invest in the debt tranche of collateralized loan obligations (“CLOs”). CLOs bear many of the same risks as other forms of asset-backed securities, including interest rate risk, credit risk and default risk. As CLOs are backed by pools of loans, they also bear similar risks to investing in loans directly. CLOs issue classes or “tranches” that vary in risk profile and yield. CLOs may experience substantial losses attributable to loan defaults. Losses caused by defaults on underlying assets are borne first by the holders of subordinate tranches. The value of an investment in a CLO may decline as a result of, but not limited to, underlying loan defaults and/or market anticipation of defaults, credit impairment on the underlying loans or the disappearance of one of more subordinate tranches resulting from changes in the credit profile of the underlying loans.

To-be-announced Transactions — Interest Rate Hedged U.S. Aggregate Bond Fund, Mortgage Plus Bond Fund, Yield Enhanced U.S. Aggregate Bond Fund and the Yield Enhanced U.S. Short-Term Aggregate Bond Fund invest in U.S. agency mortgage-backed pass-through securities which are securities issued by entities such as Government National Mortgage Association and Federal National

 

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Mortgage Association that are backed by pools of mortgages. Most transactions in mortgage-backed pass-through securities occur for future delivery in which the exact mortgage pools to be delivered are not specified until a few days prior to settlement, referred to as a “to-be-announced transaction” or “TBA Transaction.” In a TBA Transaction, the buyer and seller agree upon general trade parameters such as agency, settlement date, par amount and price. The actual pools delivered generally are determined a few days prior to the settlement date; however, it is not anticipated that the Interest Rate Hedged U.S. Aggregate Bond Fund, Mortgage Plus Bond Fund, Yield Enhanced U.S. Aggregate Bond Fund and the Yield Enhanced U.S. Short-Term Aggregate Bond Fund will take delivery of pools, but instead will participate in rolling TBA Transactions whereby instead of receiving pools on the purchase settlement date, the position is offset by a current sale of the TBA security with a simultaneous forward purchase of a substantially similar TBA security (i.e., same type, coupon, maturity) to settle on a specified future date.

Short Sale Transactions — Each Fund may enter into “short sale” transactions in which a Fund sells a security that it does not own in anticipation of a decline in the market price of that security. When a Fund enters into a short sale transaction, the Fund will borrow the security and deliver it to the counterparty to which the Fund sold the security short. An amount equal to the proceeds to be received by the Fund is reflected as an asset in “Receivables: Due from broker for securities sold short” and an equivalent liability in “Securities sold short, at value” on the Statement of Assets and Liabilities. The amount of the liability is subsequently marked-to-market to reflect the current market value of the securities sold short. Any interest or dividends that accrue on the securities borrowed are shown as an interest expense or dividend expense in the Statement of Operations of the Fund. A realized gain, limited to the proceeds received at which the Fund sold the security short, or a realized loss, unlimited as to the dollar amount, will be recognized upon the termination of a short sale if the cost to close out the short sale transaction is either less than (in the case of a gain) or greater than (in the case of a loss) the proceeds received. The risk of loss on a short sale transaction is potentially unlimited unlike the risk of loss on a long position, which is limited to the amount paid for the investment plus transaction costs. Funds entering into short sale transactions are exposed to the risk that they may be unable to close out a short sale position at any particular time or at an acceptable price.

Tax Information and Dividends and Distributions to Shareholders — It is each Fund’s policy to comply with all requirements of the Internal Revenue Code of 1986, as amended (the “Code”). A portion of the Code, known as subchapter M (“Subchapter M”), addresses the ways by which investment companies and investment trusts may pass income through to shareholders in order to avoid double taxation. Each Fund intends to qualify for and to elect treatment as a separate Regulated Investment Company (“RIC”) under Subchapter M of the Code so that it will not be subject to federal income tax on income and gains that are timely distributed to Fund shareholders. Accordingly, no provision for U.S. federal income taxes is required. In order to qualify for the special tax treatment accorded to RICs and their shareholders, each Fund must, among other things, distribute with respect to each taxable year an amount equal to or greater than the sum of 90% of its investment company taxable income and 90% of its net tax-exempt interest income. There can be no guarantee that a Fund will pay dividends. Taxable net realized gains from investment transactions, reduced by capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. The Funds may occasionally be required to make supplemental distributions at some other time during the year. The Trust reserves the right to declare special distributions if, in its reasonable discretion, such action is necessary or advisable to preserve the status of each Fund as a RIC or to avoid imposition of income or excise taxes on undistributed income. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with the requirements of the Code and the U.S. Treasury regulations. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their Federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions that exceed earnings and profit for tax purposes are reported for tax purposes as a return of capital.

3. ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES

WTAM has overall responsibility for the general management and administration of the Trust. WTAM provides an investment program for each Fund. WTAM has arranged for Mellon Investments Corporation (“Mellon”) to provide sub-advisory services to the Funds, except for Emerging Markets Corporate Bond Fund, Interest Rate Hedged High Yield Bond Fund, Mortgage Plus Bond Fund and Yield Enhanced U.S. Short-Term Aggregate Bond Fund, which are sub-advised by Voya Investment Management Co., LLC (“Voya IM”). Mellon and Voya IM are compensated by WTAM at no additional cost to the Funds. WTAM also arranges for transfer agency, custody, fund accounting, fund administration, securities lending and all other non-distribution related services necessary for the Funds to operate, which are generally under separate agreements entered into between the Trust on behalf of the Funds and the applicable service provider. Under the investment advisory agreement for each Fund, WTAM agrees to pay all expenses of the Funds, except for certain expenses described in Note 2.

Pursuant to a separate contractual arrangement, as also described in Note 2, WTAM arranges for the provision of CCO services with respect to each Fund, and is liable and responsible for, and administers, payments to the CCO, the Independent Trustees and counsel to the Independent Trustees in exchange for a fee, accrued daily and paid monthly in arrears, of up to 0.0044% per annum of each Fund’s average daily net assets.

 

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Table of Contents

Notes to Financial Statements (continued)

 

WTAM expects to receive annual advisory fees from each Fund, based on a percentage of the Fund’s average daily net assets, as shown in the following table:

 

Fund   

Advisory

Fee Rate

U.S. Dollar Bullish Fund

   0.50%

Chinese Yuan Strategy Fund

   0.45%

Emerging Currency Strategy Fund

   0.55%

Emerging Markets Corporate Bond Fund

   0.60%

Emerging Markets Local Debt Fund

   0.55%

Floating Rate Treasury Fund

   0.15%

Interest Rate Hedged High Yield Bond Fund

   0.43%

Interest Rate Hedged U.S. Aggregate Bond Fund

   0.23%

Mortgage Plus Bond Fund

   0.45%

Yield Enhanced U.S. Aggregate Bond Fund

   0.12%1

Yield Enhanced U.S. Short-Term Aggregate Bond Fund

   0.12%1

Alternative Income Fund

   0.50%

CBOE S&P 500 PutWrite Strategy Fund

   0.44%

Enhanced Commodity Strategy Fund (consolidated)

   0.55%

Managed Futures Strategy Fund (consolidated)

   0.65%2
  1

Prior to the close of business on December 31, 2020, WTAM received an annual advisory fee of 0.20% (before fee waivers) based on the Fund’s average daily net assets and had contractually agreed to limit the advisory fee to 0.12% through December 31, 2020 (the advisory fee waiver expiration date). Effective the close of business on December 31, 2020, the contractual advisory fee waiver expired and the advisory fee annual rate (before fee waivers) was lowered to 0.12%.

 

  2

Prior to the close of business on December 31, 2020, WTAM received an annual advisory fee of 0.75% (before fee waivers) based on the Fund’s average daily net assets and had contractually agreed to limit the advisory fee to 0.65% through December 31, 2020 (the advisory fee waiver expiration date). Effective the close of business on December 31, 2020, the contractual advisory fee waiver expired and the advisory fee annual rate (before fee waivers) was lowered to 0.65%.

During the year ended August 31, 2021, the Interest Rate Hedged High Yield Bond Fund and Managed Futures Strategy Fund received a voluntary reimbursement of $53,005 and $1,478, respectively, from Voya IM and Mellon, respectively, resulting from an operational error that resulted in investment transaction losses. During the fiscal period January 1, 2020 through December 18, 2020, the Enhanced Commodity Strategy Fund received a voluntary reimbursement of $13,626 from WTAM, and for the period December 19, 2020 through August 31, 2021, received a voluntary reimbursement of $6,934 from WTAM, each for brokerage commissions incurred in connection with the Reorganization. The dollar amount of the voluntary reimbursements are shown in the Statements of Operations in “Net increase from payment by affiliate”.

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Transactions in shares of affiliated ETFs for the fiscal year or period ended August 31, 2021, as applicable, are included in an “Investment in Affiliates” supplementary table in each applicable Fund’s Schedule of Investments. For these transactions, WTAM voluntarily waives a portion of the advisory fees, that it would otherwise charge, in an amount equal to the indirect AFFE (which are fees and expenses incurred indirectly by a Fund through its investments in certain underlying investment companies) attributable to each Fund’s investment in affiliated ETFs. The dollar amount of advisory fees waived during the period for the Funds, if any, are included in the Statement of Operations in “Expense waivers”.

 

WisdomTree Trust      161  


Table of Contents

Notes to Financial Statements (continued)

 

WTAM and/or WisdomTree Investments (collectively herein, “WT”) may from time to time own shares of a Fund. As of and for the fiscal year or period ended August 31, 2021, WT held shares of and received distributions from the following Funds, which were purchased through an unaffiliated broker in ordinary brokerage transactions in the secondary market in which the Funds’ shares trade:

 

     At August 31, 2021      For the year or period
ended August 31, 2021
 
Fund    Fund Shares
held by WT
     Market Value
of
Fund Shares
held by WT
    

Dividends
and Distributions

paid to
WT on Fund Shares
held by WT

 

Emerging Markets Corporate Bond Fund

          $      $ 42  

Emerging Markets Local Debt Fund

     206        6,668        228  

Floating Rate Treasury Fund

     37,033        929,528        406  

Interest Rate Hedged High Yield Bond Fund

     483        10,737        220  

Interest Rate Hedged U.S. Aggregate Bond Fund

     21,355        999,628        18,184  

Mortgage Plus Bond Fund

     169,053        8,624,239        257,637  

Yield Enhanced U.S. Aggregate Bond Fund

     62,929        3,310,607        83,029  

Yield Enhanced U.S. Short-Term Aggregate Bond Fund

     58,203        2,980,285        41,888  

CBOE S&P 500 PutWrite Strategy Fund

     185        6,069        97  

Enhanced Commodity Strategy Fund (consolidated)

     135        2,973        1 
  1 

For the period December 19, 2020 (post-reorganization) through August 31, 2021. Prior to December 19, 2020, WisdomTree Commodity Services, LLC (“WCS”), the former commodity pool operator and managing owner of the Predecessor Fund and also a subsidiary of WTAM, was issued 50 general units of the Predecessor Fund in exchange for a capital contribution of $1,500 upon inception of the Predecessor Fund. In connection with the reorganization at the close of business December 18, 2020, WCS received 50 shares of the Enhanced Commodity Strategy Fund in exchange for 50 general units of the Predecessor Fund having an net asset value equal to $937. Prior to December 19, 2020, WCS did not receive any dividends or distributions on the 50 general units that it held in the Predecessor Fund.

During the fiscal period ended August 31, 2021, in connection with the organization of the Alternative Income Fund, a newly launched fund, WTAM contributed $100 in exchange for 4 shares in the Alternative Income Fund. Prior to August 31, 2021, WTAM redeemed the aforementioned shares as follows: 4 shares of the Alternative Income Fund for proceeds of $100. During the fiscal period ended August 31, 2021, WTAM also redeemed 2 shares of the Mortgage Plus Bond Fund for proceeds of $102. Additionally, during the fiscal period ended August 31, 2021, WCS redeemed 50 shares the Enhanced Commodity Strategy Fund for proceeds of $1,102.

4. CAPITAL SHARE TRANSACTIONS

As of August 31, 2021, there were an unlimited number of $0.001 par value shares of beneficial interest authorized by the Trust. Shares are issued and redeemed by each Fund only in creation units or multiples thereof. Except when aggregated in creation units, shares of each Fund are not redeemable. Transactions in shares for each Fund are disclosed in detail in the Statements of Changes in Net Assets. Generally, Funds issue and redeem shares on a cash basis, however, shares may also be issued or redeemed in kind. Investors purchasing and redeeming creation units may be charged a purchase transaction fee and a redemption transaction fee to offset transfer and other transaction costs associated with the issuance and redemption of creation units.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments (excluding purchases and sales resulting from in-kind capital share transactions and short-term investments) and the cost of purchases and the proceeds from sales resulting from in-kind capital share transactions (excluding short-term investments) for the fiscal year or period ended August 31, 2021 are shown in the following table. Realized gains and losses on sales resulting from in-kind capital share redemptions, as shown on the Statements of Operations, are not recognized by the Funds for tax purposes.

 

       
    Non-U.S. Government Securities     U.S. Government Securities     In-kind Capital Share Transactions  
Fund   Purchases     Sales     Purchases     Sales     Purchases     Sales  

U.S. Dollar Bullish Fund

  $ 4,697,240     $ 2,258,599     $     $     $     $  

Chinese Yuan Strategy Fund

    1,130,013       426,613                          

Emerging Currency Strategy Fund

    251,125       150,584                          

Emerging Markets Corporate Bond Fund

    31,224,986       22,596,158       2,216,545       2,429,367       21,314,186       7,211,333  

Emerging Markets Local Debt Fund

    41,905,221       37,644,249                   13,491,202       8,699,060  

Floating Rate Treasury Fund

                1,756,454,870       1,802,093,677       367,328,338       726,990,140  

Interest Rate Hedged High Yield Bond Fund

    36,202,213       37,768,888       16,042,762       15,669,724       89,484,668       54,771,764  

Interest Rate Hedged U.S. Aggregate Bond Fund

    5,962,204       4,769,058       147,500,554       105,419,354       95,413,285       16,230,692  

 

162   WisdomTree Trust


Table of Contents

Notes to Financial Statements (continued)

 

       
    Non-U.S. Government Securities     U.S. Government Securities     In-kind Capital Share Transactions  
Fund   Purchases     Sales     Purchases     Sales     Purchases     Sales  

Mortgage Plus Bond Fund

    5,141,909       3,218,014       153,603,965       148,029,094              

Yield Enhanced U.S. Aggregate Bond Fund

    163,852,330       201,757,651       1,552,112,055       1,593,319,053       72,167,045       187,407,610  

Yield Enhanced U.S. Short-Term Aggregate Bond Fund

  $ 22,349,776     $ 22,384,117     $ 347,613,488     $ 324,581,980     $ 90,913,982     $ 37,548,524  

Alternative Income Fund

    308,653       94,255                   10,546,811       502,656  

CBOE S&P 500 PutWrite Strategy Fund

    774,767       3,172,856                          

Enhanced Commodity Strategy Fund (consolidated)1

    9,691,138       1,543,289                          

Managed Futures Strategy Fund (consolidated)

    2,274,735       1,343,226                          
  1 

For the period December 19, 2020 (post-reorganization) through August 31, 2021. There were no purchases and sales (excluding purchases and sales of short-term investments) for the fiscal period prior to December 19, 2020.

6. FEDERAL INCOME TAXES

At August 31, 2021, the cost of investments (including securities on loan, derivatives and securities sold short) for Federal income tax purposes was as follows:

 

         
   

Investments in Long Securities

          Investments in Securities Sold Short and
Financial Derivatives1
       
Fund   Tax Cost     Gross
Unrealized
Appreciation
    Gross
Unrealized
Depreciation
    Net Unrealized
Appreciation/
(Depreciation)
           Gross
Unrealized
Appreciation
    Gross
Unrealized
Depreciation
    Net Unrealized
Appreciation/
(Depreciation)
   

Total Net
Unrealized
Appreciation/

(Depreciation)

 

U.S. Dollar Bullish Fund

  $ 141,703,582     $ 583     $ (5,898   $ (5,315           $     $     $     $ (5,315

Chinese Yuan Strategy Fund

    42,998,772       126       (311     (185                               (185

Emerging Currency Strategy Fund

    12,543,122       37       (97     (60             64,935       (11,086     53,849       53,789  

Emerging Markets Corporate Bond Fund

    53,098,631       1,528,074       (380,338     1,147,736                                 1,147,736  

Emerging Markets Local Debt Fund

    141,054,726       2,755,489       (12,926,145     (10,170,656                   (26,628     (26,628     (10,197,284

Floating Rate Treasury Fund

    1,086,163,575       290,257             290,257                                 290,257  

Interest Rate Hedged High Yield Bond Fund

    162,494,831       5,356,018       (776,949     4,579,069                                 4,579,069  

Interest Rate Hedged U.S. Aggregate Bond Fund

    222,631,891       6,190,128       (283,527     5,906,601                                 5,906,601  

Mortgage Plus Bond Fund

    40,244,343       388,486       (122,257     266,229                                 266,229  

Yield Enhanced U.S. Aggregate Bond Fund

    1,230,601,621       26,222,918       (7,461,496     18,761,422                     (10,420     (10,420     18,751,002  

Yield Enhanced U.S. Short-Term Aggregate Bond Fund

    275,408,310       1,112,259       (142,997     969,262                                 969,262  

Alternative Income Fund

    10,250,558       116,009       (64,570     51,439                                 51,439  

CBOE S&P 500 PutWrite Strategy Fund

    61,259,361       5,861             5,861                                 5,861  

Enhanced Commodity Strategy Fund (consolidated)2

    179,187,238       3,186,509       (4,951 )       3,181,558                                 3,181,558  

Managed Futures Strategy Fund (consolidated)2

    179,350,688       4,972       (61,355,815     (61,350,843             464,034             464,034       (60,886,809
  1 

Certain financial derivatives may be considered section 1256 contracts under the Code. Each section 1256 contract held at the close of a taxable year shall be treated as sold for its fair market value on the last business day of such taxable year (and any realized gain and loss shall be taken into account for the taxable year). As such, the unrealized appreciation/(depreciation) for financial derivatives on a tax basis may not correspond to the unrealized appreciation/ (depreciation) on a GAAP basis. The unrealized appreciation/(depreciation) for financial derivatives on a GAAP basis is located in the respective financial derivatives tables in each Fund’s Schedule of Investments.

 

  2 

“Tax Cost” under “Investments in Long Securities” is presented on a non-consolidated basis and includes the Parent Fund’s investment in the Subsidiary. “Gross Unrealized Depreciation” under “Investments in Long Securities” is presented on a non-consolidated basis and includes the tax-basis unrealized depreciation associated with the Parent Fund’s investment in the Subsidiary.

 

WisdomTree Trust      163  


Table of Contents

Notes to Financial Statements (continued)

 

At August 31, 2021, the components of total distributable earnings (loss) on a tax-basis were as follows:

 

           
Fund    Undistributed
Ordinary Income
     Undistributed
Capital and Other
Gains/(Losses)
    

Net Unrealized
Appreciation/

(Depreciation)

     Currency and
Other Unrealized
Appreciation/
(Depreciation)
     Total Distributable
Earnings (Loss)
 

U.S. Dollar Bullish Fund

   $      $ (14,729,702    $ (5,315    $      $ (14,735,017

Chinese Yuan Strategy Fund

     639,016        1,202,312        (185      (1      1,841,142  

Emerging Currency Strategy Fund

            (47,501,144      (60      53,849        (47,447,355

Emerging Markets Corporate Bond Fund

     26,773        (8,492,950      1,147,736               (7,318,441

Emerging Markets Local Debt Fund

            (21,350,895      (10,170,656      (136,062      (31,657,613

Floating Rate Treasury Fund

     154,558               290,257               444,815  

Interest Rate Hedged High Yield Bond Fund

     27,243        (30,512,198      4,579,069               (25,905,886

Interest Rate Hedged U.S. Aggregate Bond Fund

     106,870        (12,409,228      5,906,601        (1      (6,395,758

Mortgage Plus Bond Fund

            (100,096      266,229        1        166,134  

Yield Enhanced U.S. Aggregate Bond Fund

     208,820        451,609        18,761,422        (10,420      19,411,431  

Yield Enhanced U.S. Short-Term Aggregate Bond Fund

     228,802        114        969,262               1,198,178  

Alternative Income Fund

     63,655        4,181        51,439               119,275  

CBOE S&P 500 PutWrite Strategy Fund

            (10,949,594      5,861               (10,943,733

Enhanced Commodity Strategy Fund (consolidated)1

     18,086,282               3,181,558               21,267,840  

Managed Futures Strategy Fund (consolidated)1

     18,716,023        (4,307,910      (61,350,843      464,791        (46,477,939
  1 

“Net Unrealized Appreciation/(Depreciation)” is presented on a non-consolidated basis and includes the tax-basis unrealized depreciation associated with the Parent Fund’s investment in the Subsidiary. The total distributable earnings (loss) reported herein differs from the amount shown on the Statement of Assets and Liabilities due to the tax treatment of the wholly-owned foreign subsidiary.

The tax character of distributions paid during the fiscal years or periods ended August 31, 2021 and August 31, 2020, was as follows:

 

     
    Year or Period Ended August 31, 2021     Year or Period Ended August 31, 2020  
Fund   Distributions Paid
from Ordinary
Income*
    Distributions Paid
from Long-Term
Capital Gains
    Distributions Paid
from Return of
Capital
    Distributions Paid
from Ordinary
Income*
    Distributions Paid
from Long-Term
Capital Gains
    Distributions Paid
from Return of
Capital
 

U.S. Dollar Bullish Fund

  $ 526,430     $     $     $ 1,101,951     $     $  

Chinese Yuan Strategy Fund

    150,971                   535,878              

Emerging Currency Strategy Fund

    106,263                   352,930              

Emerging Markets Corporate Bond Fund

    1,598,500                   1,368,000              

Emerging Markets Local Debt Fund

    2,002,000             4,188,000       3,300,000             5,048,500  

Floating Rate Treasury Fund

    570,446                   16,637,462              

Interest Rate Hedged High Yield Bond Fund

    5,948,000                   9,953,950              

Interest Rate Hedged U.S. Aggregate Bond Fund

    2,402,000                   2,155,990              

Mortgage Plus Bond Fund

    811,484       13,725       3,401       366,452 1             

Yield Enhanced U.S. Aggregate Bond Fund

    27,227,454       3,824,673             29,771,450              

Yield Enhanced U.S. Short-Term Aggregate Bond Fund

    1,803,117       314,172             2,124,600              

Alternative Income Fund2

                                   

CBOE S&P 500 PutWrite Strategy Fund

    1,532,213                   3,011,616              

Enhanced Commodity Strategy Fund (consolidated)3

                                   

Managed Futures Strategy Fund (consolidated)

    535,804                   2,475,949              
  * 

Includes short-term capital gains, if any.

 

  1 

For the period November 14, 2019 (commencement of operations) through August 31, 2020.

 

  2 

For the period May 6, 2021 (commencement of operations) through August 31, 2021.

 

  3 

For the period December 19, 2020 (post-reorganization) through August 31, 2021.

 

164   WisdomTree Trust


Table of Contents

Notes to Financial Statements (continued)

 

At August 31, 2021, for Federal tax purposes, the Funds have capital loss carryforwards available to offset future capital gains as indicated in the table. The loss carryforward amounts do not have an expiration date and, therefore, can be carried forward indefinitely until utilized. To the extent that these loss carryforwards are utilized, capital gains so offset will not be distributed to shareholders.

 

       
Fund    Short-Term      Long-Term      Capital Loss
Available Total
 

U.S. Dollar Bullish Fund

   $ 5,705,403      $ 8,706,181      $ 14,411,584  

Chinese Yuan Strategy Fund

                    

Emerging Currency Strategy Fund

     30,716,513        16,728,599        47,445,112  

Emerging Markets Corporate Bond Fund

     548,620        7,944,330        8,492,950  

Emerging Markets Local Debt Fund

     11,069,183        9,415,681        20,484,864  

Floating Rate Treasury Fund

                    

Interest Rate Hedged High Yield Bond Fund

     12,993,162        17,519,036        30,512,198  

Interest Rate Hedged U.S. Aggregate Bond Fund

     3,738,559        6,422,403        10,160,962  

Mortgage Plus Bond Fund

     77,103        22,993        100,096  

Yield Enhanced U.S. Aggregate Bond Fund

                    

Yield Enhanced U.S. Short-Term Aggregate Bond Fund

                    

Alternative Income Fund

                    

CBOE S&P 500 PutWrite Strategy Fund

     4,168,597        6,539,076        10,707,673  

Enhanced Commodity Strategy Fund (consolidated)

                    

Managed Futures Strategy Fund (consolidated)

     2,008,815        2,299,095        4,307,910  

Capital losses incurred after October 31 (“post-October capital losses”) and late year ordinary losses incurred after December 31 within the taxable year are deemed to arise on the first business day of each Fund’s next taxable year. At August 31, 2021, the Funds did not have any post-October capital losses to defer.

During the fiscal year or period ended August 31, 2021, the following Funds incurred and will elect to defer late year ordinary losses as follows:

 

   
Fund   

Late Year

Ordinary Loss

 

U.S. Dollar Bullish Fund

   $ 318,118  

Chinese Yuan Strategy Fund

      

Emerging Currency Strategy Fund

     56,032  

Emerging Markets Corporate Bond Fund

      

Emerging Markets Local Debt Fund

     866,031  

Floating Rate Treasury Fund

      

Interest Rate Hedged High Yield Bond Fund

      

Interest Rate Hedged U.S. Aggregate Bond Fund

      

Mortgage Plus Bond Fund

      

Yield Enhanced U.S. Aggregate Bond Fund

      

Yield Enhanced U.S. Short-Term Aggregate Bond Fund

      

Alternative Income Fund1

      

CBOE S&P 500 PutWrite Strategy Fund

     241,921  

Enhanced Commodity Strategy Fund (consolidated)2

      

Managed Futures Strategy Fund (consolidated)

      
  1 

For the period May 6, 2021 (commencement of operations) through August 31, 2021.

 

  2 

For the period December 19, 2020 (post-reorganization) through August 31, 2021.

During the fiscal year or period ended August 31, 2021, the amount of capital loss carryforwards used to offset realized gains are shown in the following table:

 

   
Fund    Utilized
Capital Loss
Carryforward
 

U.S. Dollar Bullish Fund

   $  

Chinese Yuan Strategy Fund

     699,935  

Emerging Currency Strategy Fund

     573,680  

Emerging Markets Corporate Bond Fund

     772,327  

Emerging Markets Local Debt Fund

     242,337  

Floating Rate Treasury Fund

     340,837  

 

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Notes to Financial Statements (continued)

 

   
Fund    Utilized
Capital Loss
Carryforward
 

Interest Rate Hedged High Yield Bond Fund

   $ 679,189  

Interest Rate Hedged U.S. Aggregate Bond Fund

      

Mortgage Plus Bond Fund

      

Yield Enhanced U.S. Aggregate Bond Fund

      

Yield Enhanced U.S. Short-Term Aggregate Bond Fund

      

Alternative Income Fund1

      

CBOE S&P 500 PutWrite Strategy Fund

     22,241,845  

Enhanced Commodity Strategy Fund (consolidated)2

      

Managed Futures Strategy Fund (consolidated)

     625,787  
  1 

For the period May 6, 2021 (commencement of operations) through August 31, 2021.

 

  2 

For the period December 19, 2020 (post-reorganization) through August 31, 2021.

At August 31, 2021, the effect of permanent “book/tax” reclassifications resulted in increases (decreases) to the components of net assets as shown in the following table. The differences are primarily due to the calculation of realized book income from wholly owned foreign subsidiaries, redemptions-in-kind and net operating losses.

 

     
Fund    Total
Distributable
Earnings (Loss)
     Paid-in Capital  

U.S. Dollar Bullish Fund

   $ 125,038      $ (125,038

Chinese Yuan Strategy Fund

             

Emerging Currency Strategy Fund

     19,708        (19,708

Emerging Markets Corporate Bond Fund

     (167,741      167,741  

Emerging Markets Local Debt Fund

     356,330        (356,330

Floating Rate Treasury Fund

     (536,114      536,114  

Interest Rate Hedged High Yield Bond Fund

     (3,331,024      3,331,024  

Interest Rate Hedged U.S. Aggregate Bond Fund

     (895,885      895,885  

Mortgage Plus Bond Fund

             

Yield Enhanced U.S. Aggregate Bond Fund

     (6,329,573      6,329,573  

Yield Enhanced U.S. Short-Term Aggregate Bond Fund

     (1,448,860      1,448,860  

Alternative Income Fund

     (13,250      13,250  

CBOE S&P 500 PutWrite Strategy Fund

     132,439        (132,439

Enhanced Commodity Strategy Fund (consolidated)

     (9,369,826      9,369,826  

Managed Futures Strategy Fund (consolidated)

     (19,525,812      19,525,812  

GAAP provides guidance on tax provisions that prescribe a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Foreign withholding taxes, as applicable, are accrued based on each Fund’s understanding of the tax rules and rates that exist in the foreign markets in which it invests. Foreign withholding taxes are accrued and applied to foreign income, net realized capital gains and net unrealized appreciation, as applicable, as the foreign income is earned or capital gains and unrealized appreciation are recorded.

As of and during the fiscal year or period ended August 31, 2021, the Funds did not have any liabilities for unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in the future. If applicable, the Funds will recognize interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other” expenses on the Statements of Operations. The Funds file tax returns with the Internal Revenue Service, the State of New York, and various other states. Specific to U.S. federal and state taxes, generally, each of the tax years in the four-year period ended August 31, 2021, remains subject to examination by taxing authorities. Specific to foreign countries in which the Funds invest, all open tax years remain subject to examination by taxing authorities in the respective jurisdictions.

7. ADDITIONAL INFORMATION

The respiratory disease caused by a novel coronavirus (“COVID-19”) has spread globally for over a year, resulting in a global pandemic and major disruption to global markets and economies. In an organized attempt to contain and mitigate the effects of COVID-19, governments and businesses world-wide took aggressive measures, including businesses canceling dividends to preserve cash, governments closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines of

 

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Notes to Financial Statements (concluded)

 

large populations. COVID-19 has resulted in the disruption of and delays in the delivery of healthcare services and processes, the cancellation of organized events and educational institutions, the disruption of production and supply chains, a decline in consumer demand for certain goods and services, and general concern and uncertainty, all of which have contributed to increased volatility in global markets. In recent months, however, the rapid COVID-19 vaccination rollout in the United States and certain other developed countries, coupled with the passage of stimulus programs in the U.S. and abroad, have resulted in a reversal of many of these trends including the re-opening of businesses, a reduction in quarantine requirements, increased consumer demand, and the resumption of certain in-person schooling, travel and events. Despite these positive trends, the prevalence of new COVID-19 variants, a failure to achieve herd immunity, or other unforeseen circumstances may result in the continued spread of the virus throughout unvaccinated populations or a resurgence in infections among vaccinated populations. As a result, it remains unclear if recent positive trends will continue in developed markets and whether such trends will spread world-wide to countries with limited access to vaccines that are still experiencing rising COVID-19 cases, hospitalizations and deaths.

The effects of COVID-19 have affected and are likely to continue to affect certain sectors and industries more dramatically than others, and the effects borne by some will negatively affect the value of the issuers in those sectors and industries, which may adversely affect the value of a Fund’s investments in those sectors or industries. It is also true that the speed at which global economies recover, or fail to recover, from the COVID-19 pandemic will affect certain sectors, industries, and issuers more dramatically than others, which in turn may adversely affect certain Fund investments.

COVID-19, and other epidemics and pandemics that may arise in the future, could adversely affect the economies of many nations, the global economy, individual companies and capital markets in ways that cannot be foreseen at the present time. In addition, the impact of infectious diseases in developing or emerging market countries may be greater due to limited health care resources, including access to COVID-19 vaccinations and treatments. Political, economic and social stresses caused by COVID-19 also may exacerbate other pre-existing political, social and economic risks in certain countries. The duration of COVID-19 and its effects cannot be determined fully at this time, but the effects could be present for an extended period of time. It is impossible to predict the effects on the Funds of these or similar events and market conditions in the future. However, it is possible that these or similar events and market conditions could have a significant and adverse effect on the NAV and/or risk profile of a Fund.

8. SUBSEQUENT EVENT

Effective September 1, 2021, Newton Investment Management North America, LLC (“Newton”) replaced Mellon, each a subsidiary of The Bank of New York Mellon Corporation, as the investment sub-adviser with respect to the CBOE S&P 500 PutWrite Strategy Fund, Enhanced Commodity Strategy Fund, and Managed Futures Strategy Fund (the “Affected Funds”). However, the portfolio managers of the Affected Funds also transitioned from Mellon to Newton and, therefore, the current portfolio managers of the Affected Funds will continue to be responsible for the day-to-day management of each respective Affected Fund’s portfolio after the transition effective date as employees of Newton. Additionally, the Affected Funds’ investment objective, and principal investment strategies and risks did not change.

 

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Report of Independent Registered Public Accounting Firm

 

To the Shareholders of WisdomTree Bloomberg U.S. Dollar Bullish Fund, WisdomTree Chinese Yuan Strategy Fund, WisdomTree Emerging Currency Strategy Fund, WisdomTree Emerging Markets Corporate Bond Fund, WisdomTree Emerging Markets Local Debt Fund, WisdomTree Floating Rate Treasury Fund, WisdomTree Interest Rate Hedged High Yield Bond Fund, WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund, WisdomTree Mortgage Plus Bond Fund, WisdomTree Yield Enhanced U.S. Aggregate Bond Fund, WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund, WisdomTree Alternative Income Fund, WisdomTree CBOE S&P 500 PutWrite Strategy Fund, WisdomTree Enhanced Commodity Strategy Fund and WisdomTree Managed Futures Strategy Fund and the Board of Trustees of WisdomTree Trust

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities (consolidated as it relates to WisdomTree Enhanced Commodity Strategy Fund and WisdomTree Managed Futures Strategy Fund) of WisdomTree Bloomberg U.S. Dollar Bullish Fund, WisdomTree Chinese Yuan Strategy Fund, WisdomTree Emerging Currency Strategy Fund, WisdomTree Emerging Markets Corporate Bond Fund, WisdomTree Emerging Markets Local Debt Fund, WisdomTree Floating Rate Treasury Fund, WisdomTree Interest Rate Hedged High Yield Bond Fund, WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund, WisdomTree Mortgage Plus Bond Fund, WisdomTree Yield Enhanced U.S. Aggregate Bond Fund, WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund, WisdomTree Alternative Income Fund, WisdomTree CBOE S&P 500 PutWrite Strategy Fund, WisdomTree Enhanced Commodity Strategy Fund and WisdomTree Managed Futures Strategy Fund (collectively referred to as the “Funds”), (fifteen of the funds constituting WisdomTree Trust (the “Trust”)), including the schedules of investments (consolidated as it relates to WisdomTree Enhanced Commodity Strategy Fund and WisdomTree Managed Futures Strategy Fund), as of August 31, 2021, and the related statements of operations and changes in net assets (consolidated as it relates to WisdomTree Enhanced Commodity Strategy Fund and WisdomTree Managed Futures Strategy Fund), and the financial highlights (consolidated as it relates to WisdomTree Enhanced Commodity Strategy Fund and WisdomTree Managed Futures Strategy Fund) for each of the periods indicated in the table below and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position (consolidated as it relates to WisdomTree Enhanced Commodity Strategy Fund and WisdomTree Managed Futures Strategy Fund) of each of the Funds (fifteen of the funds constituting WisdomTree Trust) at August 31, 2021, and the results of their operations (consolidated as it relates to WisdomTree Enhanced Commodity Strategy Fund and WisdomTree Managed Futures Strategy Fund), changes in net assets (consolidated as it relates to WisdomTree Enhanced Commodity Strategy Fund and WisdomTree Managed Futures Strategy Fund) and financial highlights (consolidated as it relates to WisdomTree Enhanced Commodity Strategy Fund and WisdomTree Managed Futures Strategy Fund) for each of the periods indicated in the table below, in conformity with U.S. generally accepted accounting principles.

 

       
Individual fund constituting the WisdomTree Trust   

Statement of

operations

   Statements of changes
in net assets
  

Financial highlights

WisdomTree Bloomberg U.S. Dollar Bullish Fund

WisdomTree Chinese Yuan Strategy Fund

WisdomTree Emerging Currency Strategy Fund

WisdomTree Emerging Markets Corporate Bond Fund

WisdomTree Emerging Markets Local Debt Fund

WisdomTree Floating Rate Treasury Fund

WisdomTree Interest Rate Hedged High Yield Bond Fund

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund

WisdomTree CBOE S&P 500 PutWrite Strategy Fund

WisdomTree Managed Futures Strategy Fund

   For the year ended August 31, 2021    For each of the two years in the period ended August 31, 2021    For each of the five years in the period ended August 31, 2021

WisdomTree Mortgage Plus Bond Fund

   For the year ended August 31, 2021    For the year ended August 31, 2021 and the period from November 14, 2019 (commencement of operations) through August 31, 2020

WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund

   For the year ended August 31, 2021    For each of the two years in the period ended August 31, 2021    For each of the four years in the period ended August 31, 2021 and the period from May 18, 2017 (commencement of operations) through August 31, 2017

WisdomTree Alternative Income Fund

   For the period from May 6, 2021 (commencement of operations) through August 31, 2021

WisdomTree Enhanced Commodity Strategy Fund

   For the period from December 19, 2020 through August 31, 2021 and for the period from January 1, 2020 through December 18, 2020    For the period from December 19, 2020 through August 31, 2021, the period from January 1, 2020 through December 18, 2020 and for the year ended December 31, 2019    For the period from December 19, 2020 through August 31, 2021, the period from January 1, 2020 through December 18, 2020 and each of the four years in the period ended December 31, 2019

 

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Report of Independent Registered Public Accounting Firm (concluded)

 

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on each of the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of August 31, 2021, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

 

LOGO

We have served as the auditor of one or more WisdomTree investment companies since 2006.

New York, New York

October 27, 2021

 

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Approval of Investment Advisory and Sub-Advisory Agreements (unaudited)

 

Consideration of the Approval of Sub-Advisory Agreements

WisdomTree Managed Futures Strategy Fund

WisdomTree CBOE S&P 500 PutWrite Strategy Fund

WisdomTree Enhanced Commodity Strategy Fund

(each, a “Fund” and collectively, the “Funds”)

At a meeting of the Board of Trustees (the “Board”) of the WisdomTree Trust (the “Trust”) held on August 19, 2021, the Trustees (the “Trustees”), including those Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), considered the approval of the Sub-Advisory Agreements (each, a “Sub-Advisory Agreement”), by and between WisdomTree Asset Management, Inc. (“WTAM”) and Newton Investment Management North America, LLC (the “Newton”) on behalf of the Funds, pursuant to which Newton would coordinate the investment and reinvestment of the assets of the Funds. Representatives of WTAM stated that the Funds were currently sub-advised by Mellon Investments Corporation (“Mellon”), and discussed plans to realign Mellon’s equities and multi-asset capabilities with Newton (the “Firm Realignment”), with such realignment scheduled to occur, subject to regulatory requirements, as of September 1, 2021 (the “Effective Date”). WTAM representatives noted that, as a result of the Firm Realignment, the senior portfolio managers who are currently responsible for managing the investments of the Funds as employees of Mellon will become employees of Newton as of the Effective Date. It was also noted that two new portfolio managers would be responsible for providing services to the Funds. Consequently, WTAM proposed to engage Newton to serve as each Fund’s sub-adviser, pursuant to a Sub-Advisory Agreement, to be effective on the Effective Date. The Independent Trustees were assisted in their review by independent legal counsel and met with counsel in executive session separate from WTAM representatives and the Sub-Adviser. In considering the approval of the Sub-Advisory Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Trustee may have attributed different weights to the factors considered. Each Fund was considered separately.

At the meeting, WTAM recommended the approval of each Sub-Advisory Agreement based on the following considerations, among others: (i) approval of the Sub-Advisory Agreement would permit the Fund’s current senior portfolio managers to continue to be responsible for the day-to-day management of the Fund’s portfolio after the Effective Date as employees of Newton; (ii) there will be no material changes to the Fund’s investment objective, strategies or policies, no reduction in the nature or level of services provided to the Fund, and no increases in the management fee payable by the Fund as a result of the proposed changes to the sub-investment advisory arrangements; and (iii) WTAM (and not the Fund) will pay Newton for its sub-investment advisory services. The Board also considered the fact that WTAM stated that it believes there are no material changes to the information the Board had previously considered at a Board meeting held on September 29-30, 2020 (the “September Meeting”), at which the Board re-approved each sub-advisory agreement between WTAM and Mellon on behalf of the Funds for the ensuing year, other than the information about the Firm Realignment and Newton.

In determining whether to approve each Sub-Advisory Agreement, the Board considered the materials prepared by WTAM and Newton received in advance of the meeting and other information presented at the meeting, which included: (i) a form of the Sub-Advisory Agreement; (ii) a memorandum providing an overview of Newton; and (iii) Newton’s response to a 15(c) questionnaire provided by Fund counsel. The Board also considered the substance of discussions with representatives of WTAM and Mellon at the meeting and the September Meeting.

Nature, Extent and Quality of Services to be Provided. In examining the nature, extent and quality of the services that were expected to be provided by Newton to each Fund under the Sub-Advisory Agreements, the Board considered: (i) Newton’s organization, qualification and background, as well as the qualifications of its personnel; (ii) the expertise of the personnel providing portfolio management services, which would remain the same after the Effective Date; and (iii) the investment strategy for each Fund, which would remain the same after the Effective Date. The Board also considered the review process undertaken by WTAM and WTAM’s favorable assessment of the nature and quality of the sub-investment advisory services expected to be provided to the Funds by Newton after the Effective Date. Based on their consideration and review of the foregoing information, the Board concluded that the nature, extent and quality of the sub-investment advisory services to be provided by Newton under each Sub-Advisory Agreement, as well as Newton’s ability to render such services based on its resources and the experience of the investment team, which will include each Fund’s current senior portfolio managers, were adequate and appropriate for the Funds in light of each Fund’s investment objective, and supported a decision to approve the Sub-Advisory Agreements.

Comparative Analysis of the Funds’ Performance and Management Fee and Expense Ratio. The Board had considered each Fund’s investment performance and that of the investment team managing each Fund’s portfolio at the September Meeting (including comparative data provided by Broadridge Financial Solutions, Inc.). The Board considered the performance and that certain of the same investment professionals would continue to manage each Fund’s assets after the Effective Date as factors in evaluating the services to be provided by Newton under the Sub-Advisory Agreement after the Effective Date, and determined that these factors, when viewed together with the other factors considered by the Board, supported a decision to approve the Sub-Advisory Agreements.

 

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Approval of Investment Advisory and Sub-Advisory Agreements (unaudited) (continued)

 

The Board considered the fees to Newton in relation to the fees paid to WTAM by the Funds and the respective services to be provided by Newton and WTAM. The Board also noted that Newton’s fees will be paid by WTAM (out of its fee paid by the relevant Funds) and not the Funds. The Board considered the meaningful differences in the services that WTAM provides to the Funds as compared to Newton, including that Newton’s role in making investment recommendations with respect to a Fund tracking an index is a rules-based function, with oversight by WTAM in seeking to ensure compliance with such rules. The Board also considered Newton’s role in making investment recommendations with respect to a Fund that is model-based, with oversight by WTAM in seeking to ensure consistency with such quantitative models.

Based on this review and the other factors considered at the meeting, the Board concluded that, with respect to each Fund, the Fund’s performance, the fees paid to WTAM and Newton and the Fund’s total expenses supported the Board’s approval of the Sub-Advisory Agreements.

Economies of Scale to be Realized. The Board recognized that, because the fee payable to Newton would be paid by WTAM, and not the Funds, an analysis of economies of scale was more appropriate in the context of the Board’s consideration of each Fund’s Investment Advisory Agreement between WTAM and the Trust, on behalf of each Fund, which had been done at the September Meeting.

*    *    *    *    *    *

At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the approval of the Sub-Advisory Agreements. In evaluating the Sub-Advisory Agreements, the Board considered the conclusions and determinations discussed above and also relied on its previous knowledge, gained through meetings and other interactions with WTAM and Mellon, of the Funds and the services provided to the Funds by WTAM and Mellon, and to be provided by Newton. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the Funds and the investment advisory and other services provided under the Agreements. In light of the foregoing, the Board, including a majority of the Independent Trustees, determined to approve the Sub-Advisory Agreements.

Consideration of the Approval of Investment Advisory and Sub-Advisory Agreements

WisdomTree Alternative Income Fund (the “Fund”)

At a meeting of the Board of Trustees (the “Board”) of the WisdomTree Trust (the “Trust”) held on December 3-4, 2020, the Trustees (the “Trustees”), including those Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), considered the approval of the Investment Advisory Agreement (the “Advisory Agreement”), pursuant to which WisdomTree Asset Management, Inc. (“WTAM”) will provide the Fund with investment advisory services, and the Sub-Advisory Agreement (together with the Advisory Agreement, the “Agreements”), pursuant to which Mellon Investments Corporation (the “Sub-Adviser”) will coordinate the investment and reinvestment of the assets of the Fund.

In considering whether to approve the Agreements, the Trustees considered and discussed information and analysis provided by WTAM and Broadridge Financial Solutions, Inc., an independent provider of investment company data. The Trustees noted that representatives from WTAM presented preliminary information to the Trustees regarding the Fund’s proposed investment objective and principal investment strategies and risks at a meeting of the Trust’s Investment Committee, a committee of Independent Trustees, held on December 3, 2020. The Independent Trustees were assisted in their review by independent legal counsel and met with counsel in executive session separate from WTAM representatives and the Sub-Adviser. In considering the approval of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Trustee may have attributed different weights to the factors considered.

Analysis of Nature, Extent, and Quality of Services to be Provided to the Fund. The Board considered information provided to them at the meeting and in previous presentations throughout the year from WTAM representatives regarding the nature, extent, and quality of the services provided to the WisdomTree funds, recognizing WTAM’s and the Sub-Adviser’s operational capabilities and resources. It was noted that the Fund would be passively managed. The Board noted WTAM’s belief that shareholders will invest in the Fund on the strength of WTAM’s industry standing and reputation and with the expectation that WTAM will have a continuing role in providing advisory services to the Fund. The Board also noted the extensive responsibilities that WTAM will have as investment adviser to the Fund, including: the selection of, and supervisory responsibilities and activities over, the Sub-Adviser, including oversight of the Sub-Adviser’s adherence to the Fund’s investment strategy and restrictions, monitoring of the Sub-Adviser’s buying and selling of securities and derivatives transactions, review of Sub-Adviser performance, review of proxies voted by the Sub-Adviser and oversight of, and the provision of consultation to, the Sub-Adviser with respect to the creation of custom creation or redemption baskets for authorized participants; oversight of the daily valuation of the Fund’s portfolio holdings; oversight of general Fund compliance with federal and state laws; and implementation of Board directives as they relate to the Fund.

 

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Approval of Investment Advisory and Sub-Advisory Agreements (unaudited) (concluded)

 

The Board also considered research support available to, and management capabilities of, the Fund’s management personnel and that WTAM will provide oversight of day-to-day Fund operations, including fund accounting, tax matters, administration, compliance and legal assistance in meeting disclosure and regulatory requirements.

Based on review of this information and the other factors considered at the meeting, the Board concluded that the nature, extent and quality of services to be provided by WTAM and the Sub-Adviser under the Advisory Agreement and Sub-Advisory Agreement, respectively, are adequate and appropriate and supported the Board’s approval of the Agreements.

 

Comparative Analysis of the Fund’s Performance, Advisory Fees and Fund Expenses. As the Fund had not yet commenced operations, the Board was not able to review the Fund’s performance. The Board discussed with WTAM representatives the portfolio management team and the investment strategies to be employed in the management of the Fund’s assets. The Board noted the reputation and experience of WTAM and the Sub-Adviser.

The Board considered the fees to be paid to WTAM by the Fund. The Board examined the fee to be paid by the Fund in light of fees paid to other investment advisers by comparable funds and the method of computing the Fund’s fee. The Board also considered the fee to be paid to the Sub-Adviser in relation to the fee to be paid to WTAM by the Fund and the respective services to be provided by the Sub-Adviser and WTAM. The Board also noted the Sub-Adviser’s fee will be paid by WTAM (out of its fee paid by the Fund) and not by the Fund. The Board considered the meaningful differences in the services that WTAM will provide to the Fund as compared to the Sub-Adviser, including that the role of the Sub-Adviser in making investment recommendations with respect to the Fund tracking an index is a rules-based function, with oversight by WTAM in seeking to ensure compliance with such rules. The Board also considered the entrepreneurial and expense risk to be borne by WTAM that is associated with the Fund’s unitary fee structure, which includes minimum fees (such as those to the Sub-Adviser), regardless of whether the asset size of the Fund grows to a sufficient size. Based on this review, the Board concluded that the fees to be paid to WTAM and the Sub-Adviser supported the Board’s approval of the Agreements.

Analysis of Profitability and Economies of Scale. As the Fund had not yet commenced operations, WTAM representatives were not able to review the dollar amount of expenses allocated and profit received by WTAM, or any economies of scale. The Board considered potential benefits to WTAM and the Sub-Adviser from acting as investment adviser and sub-adviser, respectively. The Board also considered the uncertainty of the estimated asset levels and the renewal requirements for advisory agreements and their ability to review the advisory fees annually after the initial term of the Agreements. The Board determined that because the Fund had not yet commenced operations, economies of scale were not a factor, but, to the extent in the future it were determined that material economies of scale had not been shared with the Fund, the Board would seek to have those economies of scale shared with the Fund in connection with future renewals.

*    *    *    *    *    *

In evaluating the Agreements, the Board considered the conclusions and determinations discussed above and also relied on its knowledge, gained through meetings and other interactions with WTAM and the Sub-Adviser, of other funds advised by WTAM and the Sub-Adviser. In light of the foregoing, the Board, including a majority of the Independent Trustees, determined to approve the Agreements.

 

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Liquidity Risk Management Program (unaudited)

 

The Funds adopted a liquidity risk management program (the “Program”) pursuant to the requirements of Rule 22e-4 (the “Rule”) under the Investment Company Act of 1940, as amended. The Rule requires registered open-end funds, including exchange-traded funds such as the Funds, to establish liquidity risk management programs in order to effectively manage fund liquidity and shareholder redemptions. The Rule is designed to mitigate the risk that a Fund could not meet redemption requests without significantly diluting the interest of remaining investors. The Board has appointed WisdomTree Asset Management, Inc., the investment advisor to the Funds, as the Program Administrator for each Fund’s Program.

The Rule requires the Funds to assess, manage and review their liquidity risk at least annually considering applicable factors such as investment strategy and liquidity during normal and foreseeable stressed conditions, including whether the strategy is appropriate for an open-ended fund and whether the Fund has a relatively concentrated portfolio or large positions in particular issuers. The Funds must also assess their use of borrowings and derivatives, short-term and long-term cash flow projections in normal and stressed conditions, holdings of cash and cash equivalents, and borrowing arrangements and other funding sources.

The Rule also requires the Funds to classify their investments into one of four liquidity categories: highly liquid, moderately liquid, less liquid or illiquid based on the number of days a Fund expects it would take to liquidate the investment, and to review these classifications at least monthly or more often under certain conditions. The periods range from three or fewer business days for a highly liquid investment to greater than seven calendar days for settlement of a less liquid investment. Illiquid investments are those a Fund does not expect to be able to sell or dispose of within seven calendar days without significantly changing the market value of the investment. A Fund is prohibited from acquiring an investment if, after the acquisition, its holdings of illiquid assets will exceed 15% of its net assets. In addition, if a Fund permits redemptions in-kind, the Rule requires the Fund to establish redemption in-kind policies and procedures governing how and when it will engage in such redemptions.

Pursuant to the Rule’s requirements, the Program has been reviewed and approved by the Fund’s Board. Furthermore, the Board has received a written report prepared by the Program Administrator that addresses the operation of the Program, assesses its adequacy and effectiveness and describes any material changes made to the Program. The Program Administrator has monitored the Fund’s liquidity risk and the liquidity classifications of the securities held by the Fund and has determined that the Program is operating effectively.

During the period from January 1, 2020 to December 31, 2020, there were no material changes to the Program and no material liquidity events that impacted the Funds. During the period, the Funds held sufficient highly liquid assets to meet fund redemptions.

Under normal expected foreseeable Fund redemption forecasts and foreseeable stressed Fund redemption forecasts, the Program Administrator believes that the Funds maintain sufficient highly liquid assets to meet Fund redemptions.

 

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Trustees and Officers Information (unaudited)

 

Name
and Year of Birth
of Trustee/Officer

 

Position(s) Held with
the Trust, Term of
Office and Length
of Time Served

 

Principal Occupation(s)
During Past 5 Years

  Number of Portfolios
in Fund Complex
Overseen by Trustee/
Officer+
   

Other
Directorships
Held by Trustee/
Officer
During Past
5 Years

Trustees Who Are Interested Persons of the Trust
Jonathan Steinberg
(1964)
  Trustee, 2005- present; President, 2005- present   Chief Executive Officer, WisdomTree Investments, Inc. and WisdomTree Asset Management since 2005; President, WisdomTree Investments and WisdomTree Asset Management from 2012 to 2019.     73     Director, WisdomTree Investments, Inc. and WisdomTree Asset Management.
Trustees Who Are Not Interested Persons of the Trust
David G. Chrencik*
(1948)
  Trustee, 2014- present   Chief Financial Officer of Sarus Indochina Select LP (hedge fund) since 2012; Chief Financial Officer of GeoGreen BioFuels, Inc. (biodiesel fuel producer) from 2010 to 2014; Audit Partner at PricewaterhouseCoopers LLP (public accounting firm) from 1972 to 2009 (includes positions prior to becoming Audit Partner and predecessor firms).     73     None
Joel Goldberg**, ***
(1945)
  Trustee, 2012- present   Attorney, Partner at Stroock & Stroock & Lavan LLP from 2010 to 2018; Attorney, Partner at Willkie Farr & Gallagher LLP from 2006 to 2010.     73     Director, Better Business Bureau (Metropolitan New York, Long Island and the Mid-Hudson Region).
Toni Massaro***
(1955)
  Trustee, 2006- present   Dean Emerita at the University of Arizona James E. Rogers College of Law (“Rogers College of Law”) since 2009 (distinguished Emerita in July 2009); Dean of the Rogers College of Law from 1999 to 2009; Regents’ Professor since 2006; Milton O. Riepe Chair in Constitutional Law since 1997; Professor at the Rogers College of Law since 1990.     73     None
Melinda A. Raso Kirstein****
(1955)
  Trustee, 2014- present   Retired since 2004, Merrill Lynch Investment Management, Vice President; Senior Portfolio Manager, Fixed Income Management; Director, Tax Exempt Fund Management.     73     Associate Alumnae of Douglass College, Chair of Investment Committee.
Victor Ugolyn
(1947)
  Trustee, 2006- present; Chairman of the Board, 2006- present   Private Investor, from 2005 to present; President and Chief Executive Officer of William D. Witter, Inc. from 2005 to 2006; Consultant to AXA Enterprise in 2004; Chairman, President and Chief Executive Officer of Enterprise Capital Management (subsidiary of The MONY Group, Inc.) and Enterprise Group of Funds, Chairman of MONY Securities Corporation, and Chairman of the Fund Board of Enterprise Group of Funds from 1991 to 2004.     73     Member of the Board of Governors of Naismith Memorial Basketball Hall of Fame (2001- 2016).

 

174   WisdomTree Trust


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Trustees and Officers Information (unaudited) (concluded)

 

Name
and Year of Birth
of Trustee/Officer

 

Position(s) Held with
the Trust, Term of
Office and Length
of Time Served

 

Principal Occupation(s)
During Past 5 Years

  Number of Portfolios
in Fund Complex
Overseen by Trustee/
Officer+
   

Other
Directorships
Held by Trustee/
Officer
During Past
5 Years

Officers of the Trust
Jonathan Steinberg*****
(1964)
  President, 2005- present; Trustee, 2005-present   Chief Executive Officer, WisdomTree Investments, Inc. and WisdomTree Asset Management since 2005; President, WisdomTree Investments and WisdomTree Asset Management from 2012 to 2019.     73     Director, WisdomTree Investments, Inc. and WisdomTree Asset Management.
David Castano*****
(1971)
  Treasurer, 2013- present   Head of Fund Accounting & Administration, WisdomTree Asset Management, since 2020; Director of Fund Accounting & Administration, WisdomTree Asset Management, 2011 to 2020.     73     None
Terry Jane Feld*****
(1960)
  Chief Compliance Officer, 2012- present   Chief Compliance Officer WisdomTree Asset Management since 2012; Senior Compliance Officer, WisdomTree Asset Management since 2011.     73     None
Ryan Louvar*****
(1972)
  Secretary and Chief Legal Officer, 2013- present   General Counsel, WisdomTree Asset Management since 2013; Vice President and Senior Managing Counsel, State Street, 2005 to 2013.     73     None
Joanne Antico*****
(1975)
  Assistant Secretary, 2018- present   Assistant General Counsel, WisdomTree Asset Management since 2016; Executive Director and Assistant Secretary, Morgan Stanley Investment Management Inc., 2005 to 2016.     73     None
Clint Martin*****
(1977)
  Assistant Treasurer, 2015- present   Director of Fund Accounting & Administration, WisdomTree Asset Management, since 2020; Fund Manager, Fund Accounting & Administration, WisdomTree Asset Management, 2012 to 2020.     73     None

 

+        

As of August 31, 2021.

 

*        

Chair of the Audit Committee.

 

**      

Chair of the Contracts Review Committee.

 

***    

Co-Chair of the Governance, Nominating and Compliance Committee.

 

****  

Chair of the Investment Committee.

 

*****

Elected by and serves at the pleasure of the Board.

 

WisdomTree Trust      175  


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Supplemental Information (unaudited)

 

Federal Income Tax Information

The following Federal tax information related to the Funds’ fiscal year or period ended August 31, 2021, is provided for information purposes only and should not be used for reporting to federal or state revenue agencies. Federal tax information for the calendar year will be reported to you on Form 1099-DIV in January 2022.

The Funds designate the following amount of ordinary income distributions paid during the fiscal year or period ended August 31, 2021 from qualified short-term gains and qualified interest income:

 

     
Fund    Qualified Short-Term
Gains
     Qualified Interest
Income
 

U.S. Dollar Bullish Fund

     0.00      99.97

Chinese Yuan Strategy Fund

     0.00      100.00

Emerging Currency Strategy Fund

     0.00      100.00

Emerging Markets Corporate Bond Fund

     0.00      2.42

Emerging Markets Local Debt Fund

     0.00      0.03

Floating Rate Treasury Fund

     100.00      100.00

Interest Rate Hedged High Yield Bond Fund

     0.00      97.40

Interest Rate Hedged U.S. Aggregate Bond Fund

     0.00      99.99

Mortgage Plus Bond Fund

     100.00      99.21

Yield Enhanced U.S. Aggregate Bond Fund

     100.00      91.30

Yield Enhanced U.S. Short-Term Aggregate Bond Fund

     100.00      89.90

Alternative Income Fund1

     0.00      0.00

CBOE S&P 500 PutWrite Strategy Fund

     0.00      86.03

Enhanced Commodity Strategy Fund (consolidated)2

     0.00      0.00

Managed Futures Strategy Fund (consolidated)

     0.00      98.52
  1 

For the period May 6, 2021 (commencement of operations) through August 31, 2021.

 

  2 

For the period December 19, 2020 (post-reorganization) through August 31, 2021.

The Funds intend to elect to pass through to shareholders the credit for taxes paid to foreign countries during the fiscal year or period ended August 31, 2021. The gross foreign source income and foreign taxes paid are as follows:

 

     
Fund    Gross Foreign
Income
     ForeignTaxes
Paid
 

U.S. Dollar Bullish Fund

   $      $  

Chinese Yuan Strategy Fund

             

Emerging Currency Strategy Fund

             

Emerging Markets Corporate Bond Fund

             

Emerging Markets Local Debt Fund

     6,757,494        216,839  

Floating Rate Treasury Fund

             

Interest Rate Hedged High Yield Bond Fund

             

Interest Rate Hedged U.S. Aggregate Bond Fund

             

Mortgage Plus Bond Fund

             

Yield Enhanced U.S. Aggregate Bond Fund

             

Yield Enhanced U.S. Short-Term Aggregate Bond Fund

             

Alternative Income Fund1

             

CBOE S&P 500 PutWrite Strategy Fund

             

Enhanced Commodity Strategy Fund (consolidated)2

             

Managed Futures Strategy Fund (consolidated)

             
  1 

For the period May 6, 2021 (commencement of operations) through August 31, 2021.

 

  2 

For the period December 19, 2020 (post-reorganization) through August 31, 2021.

 

176   WisdomTree Trust


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General Information (unaudited)

 

Proxy Voting Policies, Procedures and Record

A complete copy of the Proxy Voting Policy may be obtained upon request, at no charge, by calling 1-866-909-WISE (9473) or writing to: WisdomTree Trust, c/o Foreside Fund Services, LLC, Three Canal Plaza Suite 100, Portland, ME, 04101.

The Trust is required to disclose annually the Funds’ complete proxy voting record on Form N-PX covering the most recent

12-month period ended June 30 and to file Form N-PX with the SEC no later than August 31 of each year. The current Form N-PX for the Funds is available at no charge upon request by calling 1-866-909-WISE (9473) or through the Trust’s website at www.wisdomtree.com. The Funds’ Form N-PX is also available on the SEC’s website at www.sec.gov.

Shareholder Reports and Quarterly Portfolio Disclosure

The Funds file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters as an exhibit to their reports on Form N-PORT. Copies of the filings are available, without charge, on the SEC’s website at www.sec.gov and are also available by calling the Trust at 1-866-909-WISE (9473). Copies of the filings may also be obtained, after paying a duplicating fee, by electronic request at the following E-mail address: publicinfo@sec.gov.

Information about each Fund’s portfolio holdings is available daily, without charge, at www.wisdomtree.com.

The Statement of Additional Information (“SAI”) has additional information about the Funds’ Trustees and Officers and is available without charge upon request. Contact your financial representative for a free prospectus or SAI.

Frequency Distribution of Discounts & Premiums

Information about differences between the per share net asset value of each Fund and the market trading price of shares of each Fund are available, without charge, at www.wisdomtree.com.

 

WisdomTree Trust      177  


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The WisdomTree Funds are exchange traded funds (“ETFs”) registered with the United States Securities and Exchange Commission as separate series (“Funds”) of WisdomTree Trust (“Trust”). WisdomTree Asset Management, Inc., a wholly owned subsidiary of WisdomTree Investments, Inc., serves as the investment adviser to the Trust. None of the WisdomTree entities are affiliated with Foreside Fund Services, LLC, the Funds’ distributor. WisdomTree Investments, its affiliates and their independent providers are not liable for any informational errors, incompleteness, delays, or for any actions taken in reliance on information contained herein.

Investors should consider the investment objectives, risks, charges and expenses of the Funds carefully before investing. A prospectus, containing this and other information, is available at www.wisdomtree.com, or by calling 1-866-909-WISE (9473). Investors should read the prospectus carefully before investing.

There are risks associated with investing including possible loss of principal. Foreign investing involves special risks, such as risk of loss from currency fluctuation or political or economic uncertainty. Investments in real estate involve additional special risks, such as credit risk, interest rate fluctuations and the effect of varied economic conditions. Funds that focus their investments in one country or region may be significantly impacted by events and developments associated with the region which can adversely affect performance. Funds focusing on a single sector and/or smaller companies generally experience greater price volatility. Investments in emerging, offshore or frontier markets are generally less liquid and less efficient than investments in developed markets and are subject to additional risks, such as risks of adverse governmental regulation and intervention or political developments. Investments in currency involve additional special risks, such as credit risk and interest rate fluctuations. Derivative investments can be volatile and these investments may be less liquid than other securities, and more sensitive to the effect of varied economic conditions. As these Funds can have a high concentration in some issuers the Funds can be adversely impacted by changes affecting such issuers.

Fixed income investments are subject to interest rate risk; their value will normally decline as interest rates rise. In addition, when interest rates fall, income may decline. Fixed income investments are also subject to credit risk, the risk that the issuer of a bond will fail to pay interest and principal in a timely manner, or that negative perceptions of the issuer’s ability to make such payments will cause the price of that bond to decline. High-yield or “junk” bonds have lower credit ratings and involve a greater risk to principal. One of the risks associated with the Enhanced Commodity Strategy Fund (GCC) and the Managed Futures Strategy Fund (WTMF) is the complexity of the different factors which contribute to the Funds’ performance, as well as their correlation (or non-correlation) to other asset classes. These factors include use of long and short positions in commodity futures contracts, foreign currency contracts, swaps and other derivatives. An investment in GCC and WTMF is speculative and involves a substantial degree of risk. GCC and WTMF should not be used as a proxy for taking long only (or short only) positions in commodities or currencies. In markets without sustained price trends or markets that quickly reverse or “whipsaw” GCC and WTMF may suffer significant losses. Unlike typical exchange-traded funds, there are no indexes that the actively managed Currency Strategy Funds, actively managed Fixed Income Funds or GCC and WTMF attempt to track or replicate. Thus, the ability of these Funds to achieve their objectives will depend on the effectiveness of the portfolio manager. Due to the investment strategy of certain Funds they may make higher capital gain distributions than other ETFs. Please read the Fund’s prospectus for specific details regarding the Fund’s risk profile.

Commodities and futures are generally volatile and are not suitable for all investors. Investments in commodities may be affected by overall market movements, changes in interest rates and other factors such as weather, disease, embargoes and international economic and political developments.

Indexes are unmanaged and you cannot invest directly in an index.

Transactions in Fund shares will result in brokerage commissions and will generate tax consequences. Shares may be sold through brokerage accounts, but may be redeemed from the Funds by Authorized Participants in large creation unit sizes of shares.

This report is intended for the Funds’ shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current prospectus.


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LOGO

 

LOGO

 

WisdomTree Fund shares are distributed by Foreside Fund Services, LLC, in the U.S. only.

WTGM-5474


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Item 2. Code of Ethics.

 

  (a)

The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

 

  (c)

There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description.

 

  (d)

The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions.

 

  (f)

The code of ethics is attached hereto as exhibit 13(a)(1).

Item 3. Audit Committee Financial Expert.

The registrant’s Board of Trustees has determined that the registrant has one audit committee financial expert, as that term is defined under Item 3(b) and 3(c), serving on its audit committee. The audit committee financial expert serving on the registrant’s audit committee is David Chrencik, who is an independent trustee of the registrant, as that term is defined under Item 3(a) (2).

Item 4. Principal Accountant Fees and Services.

Audit Fees

 

  (a)

The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years were $341,971 for 2021 and $295,431 for 2020.

Audit-Related Fees

 

  (b)

The aggregate fees billed for each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item were $0 for 2021 and $0 for 2020.


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Tax Fees
         (c)      The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning were $128,157 for 2021 and $137,240 for 2020.
All Other Fees
         (d)      The aggregate fees billed for each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item were $0 for 2021 and $0 for 2020.
    (e)(1)    Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
     Per Rule 2-01(c) (7) (A), the registrant’s audit committee charter provides that the audit committee shall select and approve in advance the retention of independent accountants to annually audit and provide their opinion on the registrant’s financial statements. The audit committee must also approve prior to appointment the engagement of the principal accountant to provide other audit services to the registrant or to provide non-audit services to the registrant, its investment adviser, or any entity controlling, controlled by, or under common control with its investment adviser (“adviser/affiliate”) that provides ongoing services to the registrant, if the engagement by the investment adviser or adviser affiliate relates directly to the operations and financial reporting of the registrant. The audit committee must also, prior to appointment of the engagement of the principal accountant, review and approve the fees proposed to be charged to the registrant by the auditors for each audit and non-audit service. The audit committee must also consider whether non-audit services provided by the registrant’s principal accountant to the registrant’s investment adviser, or adviser/affiliate that provides ongoing services to the registrant are compatible with maintaining the auditor’s independence.
    (e)(2)    The registrant’s audit committee has approved 100% of services described in each of Items 4(b) through (d) pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
        (f)    The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.
        (g)    The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $128,157 for 2021 and $137,240 for 2020.
        (h)    Not applicable.
        (i)    Not applicable.
        (j)    Not applicable.
Item 5. Audit Committee of Listed Registrants.
The registrant is an issuer as defined in Rule 10A-3 under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) and has a separately-designated standing audit committee established in accordance with Section 3(a)(58)A of the Exchange Act. The registrant’s audit committee members are David Chrencik, Melinda Raso Kirstein and Victor Ugolyn.


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Item 6. Investments.

 

(a)

Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.

 

(b)

Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 11. Controls and Procedures.

 

  (a)

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

  (b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.


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Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

 

(a)(1)

   Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.

(a)(2)

   Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

(a)(3)

   Not applicable.

(a)(4)

   Not applicable.

(b)

   Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.


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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)   WisdomTree Trust
By (Signature and Title)   /s/Jonathan Steinberg
  Jonathan L. Steinberg, President
  (principal executive officer)
Date: November 3, 2021  

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)   /s/Jonathan Steinberg
  Jonathan L. Steinberg, President
  (principal executive officer)
Date: November 3, 2021  
By (Signature and Title)   /s/David Castano
  David Castano, Treasurer
  (principal financial officer)
Date: November 3, 2021