QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
(State or Other Jurisdiction of Incorporation or Organization) |
(IRS Employer Identification No.) | |
(Address of Principal Executive Offices) |
(Zip Code) |
Title of each class |
Trading Symbol(s) |
Name of each exchange on which registered | ||
Large accelerated filer | ☐ | ☒ | ||||
Non-accelerated filer |
☐ | Smaller reporting company | ||||
Emerging growth company |
1 | ||||
1 | ||||
1 | ||||
1 | ||||
2 | ||||
4 | ||||
6 | ||||
7 | ||||
9 | ||||
10 | ||||
10 | ||||
11 | ||||
13 | ||||
15 | ||||
16 | ||||
18 | ||||
19 | ||||
27 | ||||
35 | ||||
37 | ||||
38 | ||||
38 | ||||
38 | ||||
38 | ||||
38 | ||||
38 | ||||
38 | ||||
39 | ||||
40 |
June 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets: |
| |||||||
Cash |
$ | $ | ||||||
Cash held by broker for futures contracts (Note 3) |
||||||||
Short-term investments (cost $ |
||||||||
Net unrealized appreciation on futures contracts |
||||||||
|
|
|
|
|||||
Total Assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity: |
| |||||||
Net management fee payable to related party (Note 8) |
||||||||
|
|
|
|
|||||
Total Liabilities |
||||||||
|
|
|
|
|||||
Shareholders’ equity: |
| |||||||
General Units: |
| |||||||
Paid in capital— | ||||||||
Accumulated deficit |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Total General Units |
||||||||
|
|
|
|
|||||
Limited Units: |
| |||||||
Paid in capital— | ||||||||
Accumulated deficit |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Total Limited Units |
||||||||
|
|
|
|
|||||
Total shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Net asset value per share |
| |||||||
General Units |
$ | $ | ||||||
|
|
|
|
|||||
Limited Units |
$ | $ | ||||||
|
|
|
|
Description |
Percentage of Net Assets |
Fair Value |
Face Amount |
|||||||||||||
U.S. Treasury Obligations |
||||||||||||||||
U.S. Treasury Bills |
||||||||||||||||
(a) |
% | $ | $ | |||||||||||||
Total U.S. Treasury Obligations (Cost: $ |
% |
$ |
$ |
|||||||||||||
Description |
Contracts |
Unrealized Appreciation/ (Depreciation) Percentage of Net Assets |
Unrealized Appreciation/ (Depreciation) |
Notional Value |
||||||||||||
Futures Contracts Long Exposure (Exchange-Traded) |
||||||||||||||||
Cocoa |
||||||||||||||||
expiration date 9/15/20 |
( |
)% | $ | ( |
) | $ | ||||||||||
expiration date 12/15/20 |
( |
) | ( |
) | ||||||||||||
Coffee “C” |
||||||||||||||||
expiration date 9/18/20 |
( |
) | ( |
) | ||||||||||||
expiration date 12/18/20 |
( |
) | ( |
) | ||||||||||||
Copper |
||||||||||||||||
expiration date 9/28/20 |
||||||||||||||||
expiration date 12/29/20 |
||||||||||||||||
Corn |
||||||||||||||||
expiration date 9/14/20 |
( |
) | ( |
) | ||||||||||||
expiration date 12/14/20 |
||||||||||||||||
Cotton No. 2 |
||||||||||||||||
expiration date 12/8/20 |
||||||||||||||||
expiration date 3/9/21 |
||||||||||||||||
Gold 100 Ounce |
||||||||||||||||
expiration date 12/29/20 |
||||||||||||||||
expiration date 2/24/21 |
||||||||||||||||
Lean Hogs |
||||||||||||||||
expiration date 8/14/20 |
( |
) | ( |
) | ||||||||||||
expiration date 10/14/20 |
( |
) | ( |
) | ||||||||||||
expiration date 12/14/20 |
( |
) | ( |
) | ||||||||||||
expiration date 2/12/21 |
( |
) | ( |
) | ||||||||||||
Live Cattle |
||||||||||||||||
expiration date 10/30/20 |
( |
) | ( |
) | ||||||||||||
expiration date 12/31/20 |
||||||||||||||||
expiration date 2/26/21 |
||||||||||||||||
Natural Gas |
||||||||||||||||
expiration date 8/27/20 |
( |
) | ( |
) | ||||||||||||
expiration date 9/28/20 |
( |
) | ( |
) | ||||||||||||
expiration date 10/28/20 |
( |
) | ( |
) | ||||||||||||
expiration date 11/25/20 |
( |
) | ( |
) | ||||||||||||
expiration date 12/29/20 |
( |
) | ( |
) | ||||||||||||
NY Harbor ULSD |
||||||||||||||||
expiration date 8/31/20 |
||||||||||||||||
expiration date 9/30/20 |
||||||||||||||||
expiration date 10/30/20 |
||||||||||||||||
expiration date 11/30/20 |
||||||||||||||||
expiration date 12/31/20 |
||||||||||||||||
Platinum |
||||||||||||||||
expiration date 10/28/20 |
||||||||||||||||
expiration date 1/27/21 |
||||||||||||||||
Silver |
||||||||||||||||
expiration date 9/28/20 |
||||||||||||||||
expiration date 12/29/20 |
||||||||||||||||
Soybean |
||||||||||||||||
expiration date 11/13/20 |
Description |
Contracts |
Unrealized Appreciation/ (Depreciation) Percentage of Net Assets |
Unrealized Appreciation/ (Depreciation) |
Notional Value |
||||||||||||
expiration date 1/14/21 |
% | $ | $ | |||||||||||||
Soybean Oil |
||||||||||||||||
expiration date 9/14/20 |
( |
) | ( |
) | ||||||||||||
expiration date 10/14/20 |
( |
) | ( |
) | ||||||||||||
expiration date 12/14/20 |
||||||||||||||||
expiration date 1/14/21 |
( |
) | ( |
) | ||||||||||||
Sugar No. 11 |
||||||||||||||||
expiration date 9/30/20 |
||||||||||||||||
expiration date 2/26/21 |
( |
) | ( |
) | ||||||||||||
Wheat |
||||||||||||||||
expiration date 9/14/20 |
( |
) | ( |
) | ||||||||||||
expiration date 12/14/20 |
( |
) | ( |
) | ||||||||||||
WTI Crude Oil |
||||||||||||||||
expiration date 8/20/20 |
||||||||||||||||
expiration date 9/22/20 |
||||||||||||||||
expiration date 10/20/20 |
||||||||||||||||
expiration date 11/20/20 |
||||||||||||||||
expiration date 12/21/20 |
||||||||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded) |
% |
$ |
$ |
|||||||||||||
* | Interest rate shown reflects the yield to maturity at time of purchase. |
(a) |
All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $ |
Description |
Percentage of Net Assets |
Fair Value |
Face Amount |
|||||||||||||
U.S. Treasury Obligations |
||||||||||||||||
U.S. Treasury Bills |
||||||||||||||||
|
% | $ | $ | |||||||||||||
|
||||||||||||||||
(a) |
||||||||||||||||
|
||||||||||||||||
|
|
|
|
|
|
|||||||||||
Total U.S. Treasury Obligations (Cost: $ |
|
% |
$ |
$ |
||||||||||||
|
|
|
|
|
|
|||||||||||
Description |
Contracts |
Unrealized Appreciation/ (Depreciation) Percentage of Net Assets |
Unrealized Appreciation/ (Depreciation) |
Notional Value |
||||||||||||
Futures Contracts Long Exposure (Exchange-Traded) |
||||||||||||||||
Cocoa |
||||||||||||||||
expiration date 3/16/20 |
% | $ | $ | |||||||||||||
expiration date 5/13/20 |
||||||||||||||||
expiration date 7/16/20 |
||||||||||||||||
Coffee “C” |
||||||||||||||||
expiration date 3/19/20 |
||||||||||||||||
expiration date 5/18/20 |
||||||||||||||||
expiration date 7/21/20 |
||||||||||||||||
Copper |
||||||||||||||||
expiration date 3/27/20 |
||||||||||||||||
expiration date 5/27/20 |
||||||||||||||||
expiration date 7/29/20 |
||||||||||||||||
Corn |
||||||||||||||||
expiration date 3/13/20 |
( |
) | ( |
) | ||||||||||||
expiration date 5/14/20 |
( |
) | ( |
) | ||||||||||||
expiration date 7/14/20 |
||||||||||||||||
Cotton No. 2 |
||||||||||||||||
expiration date 3/9/20 |
||||||||||||||||
expiration date 5/6/20 |
||||||||||||||||
expiration date 7/9/20 |
||||||||||||||||
Gold 100 Ounce |
||||||||||||||||
expiration date 2/26/20 |
||||||||||||||||
expiration date 4/28/20 |
||||||||||||||||
expiration date 6/26/20 |
||||||||||||||||
Lean Hogs |
||||||||||||||||
expiration date 2/14/20 |
( |
) | ( |
) | ||||||||||||
expiration date 4/15/20 |
( |
) | ( |
) | ||||||||||||
expiration date 6/12/20 |
( |
) | ( |
) | ||||||||||||
expiration date 7/15/20 |
( |
) | ( |
) | ||||||||||||
Live Cattle |
||||||||||||||||
expiration date 2/28/20 |
||||||||||||||||
expiration date 4/30/20 |
||||||||||||||||
expiration date 6/30/20 |
||||||||||||||||
Natural Gas |
||||||||||||||||
expiration date 1/29/20 |
( |
) | ( |
) | ||||||||||||
expiration date 2/26/20 |
( |
) | ( |
) | ||||||||||||
expiration date 3/27/20 |
( |
) | ( |
) | ||||||||||||
expiration date 4/28/20 |
( |
) | ( |
) | ||||||||||||
expiration date 5/27/20 |
( |
) | ( |
) | ||||||||||||
NY Harbor ULSD |
||||||||||||||||
expiration date 1/31/20 |
||||||||||||||||
expiration date 2/28/20 |
||||||||||||||||
expiration date 3/31/20 |
||||||||||||||||
expiration date 4/30/20 |
||||||||||||||||
expiration date 5/29/20 |
||||||||||||||||
Platinum |
||||||||||||||||
expiration date 4/28/20 |
Description |
Contracts |
Unrealized Appreciation/ (Depreciation) Percentage of Net Assets |
Unrealized Appreciation/ (Depreciation) |
Notional Value |
||||||||||||
expiration date 7/29/20 |
% | $ | $ | |||||||||||||
Silver |
||||||||||||||||
expiration date 3/27/20 |
||||||||||||||||
expiration date 5/27/20 |
||||||||||||||||
expiration date 7/29/20 |
||||||||||||||||
Soybean |
||||||||||||||||
expiration date 3/13/20 |
||||||||||||||||
expiration date 5/14/20 |
||||||||||||||||
expiration date 7/14/20 |
||||||||||||||||
Soybean Oil |
||||||||||||||||
expiration date 3/13/20 |
||||||||||||||||
expiration date 5/14/20 |
||||||||||||||||
expiration date 7/14/20 |
||||||||||||||||
Sugar No. 11 |
||||||||||||||||
expiration date 2/28/20 |
||||||||||||||||
expiration date 4/30/20 |
||||||||||||||||
expiration date 6/30/20 |
||||||||||||||||
Wheat |
||||||||||||||||
expiration date 3/13/20 |
||||||||||||||||
expiration date 5/14/20 |
||||||||||||||||
expiration date 7/14/20 |
||||||||||||||||
WTI Crude Oil |
||||||||||||||||
expiration date 1/21/20 |
||||||||||||||||
expiration date 2/20/20 |
||||||||||||||||
expiration date 3/20/20 |
||||||||||||||||
expiration date 4/21/20 |
||||||||||||||||
expiration date 5/19/20 |
||||||||||||||||
|
|
|
|
|
|
|||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded) |
|
% |
$ |
$ |
||||||||||||
|
|
|
|
|
|
* | Interest rate shown reflects the yield to maturity at time of purchase. |
(a) |
All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $ |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
Income: |
| |||||||||||||||
Interest income |
$ |
$ |
$ |
$ |
||||||||||||
Expenses: |
| |||||||||||||||
Management fee to related party (Note 8) |
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Expense waivers (Note 8) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net expenses |
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss) |
( |
) | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: |
| |||||||||||||||
Net Realized Gain (Loss) from: |
| |||||||||||||||
Investments |
( |
) | ||||||||||||||
Futures Contracts* |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net Realized Loss |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from: |
| |||||||||||||||
Investments |
( |
) | ( |
) | ||||||||||||
Futures Contracts |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net Gain (Loss) |
$ | $ | ( |
) | $ | ( |
) | $ | ||||||||
|
|
|
|
|
|
|
|
|||||||||
* |
$ |
$ |
$ |
$ |
||||||||||||
|
|
|
|
|
|
|
|
General Units |
Limited Units |
Total |
||||||||||||||||||||||||||||||||||
General Units |
Accumulated |
Total General Shareholders’ |
Limited Units |
Accumulated |
Total Limited Shareholders’ |
Total Shareholders’ |
||||||||||||||||||||||||||||||
Units |
Amount |
Deficit |
Equity |
Units |
Amount |
Deficit |
Equity |
Equity |
||||||||||||||||||||||||||||
Balance at March 31, 2020 |
$ | $ | ( |
) | $ | $ | $ | ( |
) | $ | $ | |||||||||||||||||||||||||
Creation of Units |
— | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units |
— | — | — | — | ( |
) | ( |
) | — | ( |
) | ( |
) | |||||||||||||||||||||||
Net Gain (Loss): |
||||||||||||||||||||||||||||||||||||
Net Investment Loss |
— | — | ( |
)* | ( |
)* | — | — | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts |
— | — | ( |
) | ( |
) | — | — | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts |
— | — | — | — | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Gain |
— | — | — | — | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Balance at June 30, 2020 |
$ | $ | ( |
) | $ | $ | $ | ( |
) | $ | $ | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Amount represents less than $1. |
General Units |
Limited Units |
Total |
||||||||||||||||||||||||||||||||||
General Units |
Accumulated |
Total General Shareholders’ |
Limited Units |
Accumulated |
Total Limited Shareholders’ |
Total Shareholders’ |
||||||||||||||||||||||||||||||
Units |
Amount |
Deficit |
Equity |
Units |
Amount |
Deficit |
Equity |
Equity |
||||||||||||||||||||||||||||
Balance at December 31, 2019 |
$ | $ | ( |
) | $ | $ | $ | ( |
) | $ | $ | |||||||||||||||||||||||||
Creation of Units |
— | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units |
— | — | — | — | ( |
) | ( |
) | — | ( |
) | ( |
) | |||||||||||||||||||||||
Net Gain (Loss): |
||||||||||||||||||||||||||||||||||||
Net Investment Income |
— | — | — | — | ||||||||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts |
— | — | ( |
) | ( |
) | — | — | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||
Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts |
— | — | ( |
) | ( |
) | — | — | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Loss |
— | — | ( |
) | ( |
) | — | — | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Balance at June 30, 2020 |
$ | $ | ( |
) | $ | $ | $ | ( |
) | $ | $ | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
General Units |
Limited Units |
Total |
||||||||||||||||||||||||||||||||||
General Units |
Accumulated Deficit |
Total General Shareholders' Equity |
Limited Units |
Accumulated Deficit |
Total Limited Shareholders' Equity |
Total Shareholders' Equity |
||||||||||||||||||||||||||||||
Units |
Amount |
Units |
Amount |
|||||||||||||||||||||||||||||||||
Balance at March 31, 2019 |
$ | $ | ( |
) | $ | $ | $ | ( |
) | $ | $ | |||||||||||||||||||||||||
Creation of Units |
— | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units |
— | — | — | — | ( |
) | ( |
) | — | ( |
) | ( |
) | |||||||||||||||||||||||
Net Gain (Loss): |
||||||||||||||||||||||||||||||||||||
Net Investment Income |
— | — | — | — | ||||||||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts |
— | — | ( |
) | ( |
) | — | — | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from Investments and Futures Contracts |
— | — | — | — | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Loss |
— | — | ( |
) | ( |
) | — | — | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Balance at June 30, 2019 |
$ | $ | ( |
) | $ | $ | $ | ( |
) | $ | $ | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
General Units |
Limited Units |
Total |
||||||||||||||||||||||||||||||||||
General Units |
Accumulated Deficit |
Total General Shareholders' Equity |
Limited Units |
Accumulated Deficit |
Total Limited Shareholders' Equity |
Total Shareholders' Equity |
||||||||||||||||||||||||||||||
Units |
Amount |
Units |
Amount |
|||||||||||||||||||||||||||||||||
Balance at December 31, 2018 |
$ | $ | ( |
) | $ | $ | $ | ( |
) | $ | $ | |||||||||||||||||||||||||
Creation of Units |
— | — | — | — | — | |||||||||||||||||||||||||||||||
Redemption of Units |
— | — | — | — | ( |
) | ( |
) | — | ( |
) | ( |
) | |||||||||||||||||||||||
Net Gain (Loss): |
||||||||||||||||||||||||||||||||||||
Net Investment Income |
— | — | — | — | ||||||||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts |
— | — | ( |
) | ( |
) | — | — | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts |
— | — | — | — | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Gain |
— | — | — | — | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Balance at June 30, 2019 |
$ | $ | ( |
) | $ | $ | $ | ( |
) | $ | $ | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2020 |
2019 |
|||||||
Cash flows from operating activities |
||||||||
Net Gain (Loss) |
$ | ( |
) | $ | ||||
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities: |
||||||||
Purchases of investment securities |
( |
) | ( |
) | ||||
Proceeds from sales/maturities of investment securities |
||||||||
Net accretion of discount |
( |
) | ( |
) | ||||
Net realized gain (loss) on investment securities |
( |
) | ||||||
Net change in unrealized appreciation/depreciation from investments |
( |
) | ||||||
Net change in unrealized appreciation/depreciation from futures contracts |
( |
) | ||||||
Changes in assets and liabilities |
||||||||
Increase/(Decrease) in liabilities: |
||||||||
Net management fee payable to related party |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Net cash provided by operating activities |
||||||||
|
|
|
|
|||||
Cash flows from financing activities |
||||||||
Proceeds from creation of Limited Units |
||||||||
Redemption of Limited Units |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Net cash used for financing activities |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Net decrease in cash |
( |
) | ( |
) | ||||
Cash* at beginning of period |
||||||||
|
|
|
|
|||||
Cash* at end of period |
$ | $ | ||||||
|
|
|
|
* |
Includes cash held by the broker for futures contracts. |
June 30, 2020 (unaudited) |
December 31, 2019 |
|||||||
Assets: |
||||||||
Cash |
$ | $ | ||||||
Cash held by broker for futures contracts (Note 3) |
||||||||
Short-term investments (cost $ |
||||||||
Net unrealized appreciation on futures contracts |
||||||||
|
|
|
|
|||||
Total Assets |
||||||||
|
|
|
|
|||||
Liabilities and shareholders’ equity: |
||||||||
Net management fee payable to related party (Note 8) |
||||||||
|
|
|
|
|||||
Total Liabilities |
||||||||
|
|
|
|
|||||
Shareholders’ equity: |
||||||||
General Units: |
||||||||
Paid in capital - | ||||||||
Accumulated deficit |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Total General Units |
||||||||
|
|
|
|
|||||
Limited Units: |
||||||||
Paid in capital - | ||||||||
Accumulated deficit |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Total Limited Units |
||||||||
|
|
|
|
|||||
Total shareholders’ equity |
||||||||
|
|
|
|
|||||
Total liabilities and shareholders’ equity |
$ | $ | ||||||
|
|
|
|
|||||
Net asset value per share |
||||||||
General Units |
$ | $ | ||||||
|
|
|
|
|||||
Limited Units |
$ | $ | ||||||
|
|
|
|
Description |
Percentage of Net Assets |
Fair Value |
Face Amount |
|||||||||||||
U.S. Treasury Obligations |
||||||||||||||||
U.S. Treasury Bills |
||||||||||||||||
7/9/20 *,(a) |
% | $ | $ | |||||||||||||
7/30/20 * |
||||||||||||||||
8/20/20 * |
||||||||||||||||
9/10/20 * |
||||||||||||||||
|
|
|
|
|
|
|||||||||||
Total U.S. Treasury Obligations (Cost: $ |
% |
$ |
$ |
|||||||||||||
|
|
|
|
|
|
|||||||||||
Description |
Contracts |
Unrealized Appreciation/ (Depreciation) Percentage of Net Assets |
Unrealized Appreciation/ (Depreciation) |
Notional Value |
||||||||||||
Futures Contracts Long Exposure (Exchange-Traded) |
||||||||||||||||
Cocoa |
||||||||||||||||
expiration date 9/15/20 |
( |
)% | $ | ( |
) | $ | ||||||||||
expiration date 12/15/20 |
( |
) | ( |
) | ||||||||||||
Coffee “C” |
||||||||||||||||
expiration date 9/18/20 |
( |
) | ( |
) | ||||||||||||
expiration date 12/18/20 |
( |
) | ( |
) | ||||||||||||
Copper |
||||||||||||||||
expiration date 9/28/20 |
||||||||||||||||
expiration date 12/29/20 |
||||||||||||||||
Corn |
||||||||||||||||
expiration date 9/14/20 |
( |
) | ( |
) | ||||||||||||
expiration date 12/14/20 |
||||||||||||||||
Cotton No. 2 |
||||||||||||||||
expiration date 12/8/20 |
||||||||||||||||
expiration date 3/9/21 |
||||||||||||||||
Gold 100 Ounce |
||||||||||||||||
expiration date 12/29/20 |
||||||||||||||||
expiration date 2/24/21 |
||||||||||||||||
Lean Hogs |
||||||||||||||||
expiration date 8/14/20 |
( |
) | ( |
) | ||||||||||||
expiration date 10/14/20 |
( |
) | ( |
) | ||||||||||||
expiration date 12/14/20 |
( |
) | ( |
) | ||||||||||||
expiration date 2/12/21 |
( |
) | ( |
) | ||||||||||||
Live Cattle |
||||||||||||||||
expiration date 10/30/20 |
( |
) | ( |
) | ||||||||||||
expiration date 12/31/20 |
||||||||||||||||
expiration date 2/26/21 |
||||||||||||||||
Natural Gas |
||||||||||||||||
expiration date 8/27/20 |
( |
) | ( |
) | ||||||||||||
expiration date 9/28/20 |
( |
) | ( |
) | ||||||||||||
expiration date 10/28/20 |
( |
) | ( |
) | ||||||||||||
expiration date 11/25/20 |
( |
) | ( |
) | ||||||||||||
expiration date 12/29/20 |
( |
) | ( |
) | ||||||||||||
NY Harbor ULSD |
||||||||||||||||
expiration date 8/31/20 |
||||||||||||||||
expiration date 9/30/20 |
||||||||||||||||
expiration date 10/30/20 |
||||||||||||||||
expiration date 11/30/20 |
||||||||||||||||
expiration date 12/31/20 |
||||||||||||||||
Platinum |
||||||||||||||||
expiration date 10/28/20 |
||||||||||||||||
expiration date 1/27/21 |
||||||||||||||||
Silver |
||||||||||||||||
expiration date 9/28/20 |
||||||||||||||||
expiration date 12/29/20 |
||||||||||||||||
Soybean |
||||||||||||||||
expiration date 11/13/20 |
Description |
Contracts |
Unrealized Appreciation/ (Depreciation) Percentage of Net Assets |
Unrealized Appreciation/ (Depreciation) |
Notional Value |
||||||||||||
expiration date 1/14/21 |
% | $ | $ | |||||||||||||
Soybean Oil |
||||||||||||||||
expiration date 9/14/20 |
( |
) | ( |
) | ||||||||||||
expiration date 10/14/20 |
( |
) | ( |
) | ||||||||||||
expiration date 12/14/20 |
||||||||||||||||
expiration date 1/14/21 |
( |
) | ( |
) | ||||||||||||
Sugar No. 11 |
||||||||||||||||
expiration date 9/30/20 |
||||||||||||||||
expiration date 2/26/21 |
( |
) | ( |
) | ||||||||||||
Wheat |
||||||||||||||||
expiration date 9/14/20 |
( |
) | ( |
) | ||||||||||||
expiration date 12/14/20 |
( |
) | ( |
) | ||||||||||||
WTI Crude Oil |
||||||||||||||||
expiration date 8/20/20 |
||||||||||||||||
expiration date 9/22/20 |
||||||||||||||||
expiration date 10/20/20 |
||||||||||||||||
expiration date 11/20/20 |
||||||||||||||||
expiration date 12/21/20 |
||||||||||||||||
|
|
|
|
|
|
|||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded) |
% |
$ |
$ |
|||||||||||||
|
|
|
|
|
|
* | Interest rate shown reflects the yield to maturity at time of purchase. |
(a) |
All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $ |
Description |
Percentage of Net Assets |
Fair Value |
Face Amount |
|||||||||||||
U.S. Treasury Obligations |
| |||||||||||||||
U.S. Treasury Bills |
|
|||||||||||||||
|
|
% | $ | $ | ||||||||||||
|
|
|||||||||||||||
(a) |
||||||||||||||||
|
||||||||||||||||
|
|
|
|
|
|
|||||||||||
Total U.S. Treasury Obligations (Cost: $ |
% |
$ |
$ |
|||||||||||||
|
|
|
|
|
|
Description |
Contracts |
Unrealized Appreciation/ (Depreciation) Percentage of Net Assets |
Unrealized Appreciation/ (Depreciation) |
Notional Value |
||||||||||||
Futures Contracts Long Exposure (Exchange-Traded) |
||||||||||||||||
Cocoa |
| |||||||||||||||
expiration date 3/16/20 |
% | $ | $ | |||||||||||||
expiration date 5/13/20 |
||||||||||||||||
expiration date 7/16/20 |
||||||||||||||||
Coffee “C” |
||||||||||||||||
expiration date 3/19/20 |
||||||||||||||||
expiration date 5/18/20 |
||||||||||||||||
expiration date 7/21/20 |
||||||||||||||||
Copper |
||||||||||||||||
expiration date 3/27/20 |
||||||||||||||||
expiration date 5/27/20 |
||||||||||||||||
expiration date 7/29/20 |
||||||||||||||||
Corn |
||||||||||||||||
expiration date 3/13/20 |
( |
) | ( |
) | ||||||||||||
expiration date 5/14/20 |
( |
) | ( |
) | ||||||||||||
expiration date 7/14/20 |
||||||||||||||||
Cotton No. 2 |
||||||||||||||||
expiration date 3/9/20 |
||||||||||||||||
expiration date 5/6/20 |
||||||||||||||||
expiration date 7/9/20 |
||||||||||||||||
Gold 100 Ounce |
||||||||||||||||
expiration date 2/26/20 |
||||||||||||||||
expiration date 4/28/20 |
||||||||||||||||
expiration date 6/26/20 |
||||||||||||||||
Lean Hogs |
||||||||||||||||
expiration date 2/14/20 |
( |
) | ( |
) | ||||||||||||
expiration date 4/15/20 |
( |
) | ( |
) | ||||||||||||
expiration date 6/12/20 |
( |
) | ( |
) | ||||||||||||
expiration date 7/15/20 |
( |
) | ( |
) | ||||||||||||
Live Cattle |
||||||||||||||||
expiration date 2/28/20 |
||||||||||||||||
expiration date 4/30/20 |
||||||||||||||||
expiration date 6/30/20 |
||||||||||||||||
Natural Gas |
||||||||||||||||
expiration date 1/29/20 |
( |
) | ( |
) | ||||||||||||
expiration date 2/26/20 |
( |
) | ( |
) | ||||||||||||
expiration date 3/27/20 |
( |
) | ( |
) | ||||||||||||
expiration date 4/28/20 |
( |
) | ( |
) | ||||||||||||
expiration date 5/27/20 |
( |
) | ( |
) | ||||||||||||
NY Harbor ULSD |
||||||||||||||||
expiration date 1/31/20 |
||||||||||||||||
expiration date 2/28/20 |
||||||||||||||||
expiration date 3/31/20 |
||||||||||||||||
expiration date 4/30/20 |
||||||||||||||||
expiration date 5/29/20 |
||||||||||||||||
Platinum |
||||||||||||||||
expiration date 4/28/20 |
Description |
Contracts |
Unrealized Appreciation/ (Depreciation) Percentage of Net Assets |
Unrealized Appreciation/ (Depreciation) |
Notional Value |
||||||||||||
expiration date 7/29/20 |
% | $ | $ | |||||||||||||
Silver |
||||||||||||||||
expiration date 3/27/20 |
||||||||||||||||
expiration date 5/27/20 |
||||||||||||||||
expiration date 7/29/20 |
||||||||||||||||
Soybean |
||||||||||||||||
expiration date 3/13/20 |
||||||||||||||||
expiration date 5/14/20 |
||||||||||||||||
expiration date 7/14/20 |
||||||||||||||||
Soybean Oil |
||||||||||||||||
expiration date 3/13/20 |
||||||||||||||||
expiration date 5/14/20 |
||||||||||||||||
expiration date 7/14/20 |
||||||||||||||||
Sugar No. 11 |
||||||||||||||||
expiration date 2/28/20 |
||||||||||||||||
expiration date 4/30/20 |
||||||||||||||||
expiration date 6/30/20 |
||||||||||||||||
Wheat |
||||||||||||||||
expiration date 3/13/20 |
||||||||||||||||
expiration date 5/14/20 |
||||||||||||||||
expiration date 7/14/20 |
||||||||||||||||
WTI Crude Oil |
||||||||||||||||
expiration date 1/21/20 |
||||||||||||||||
expiration date 2/20/20 |
||||||||||||||||
expiration date 3/20/20 |
||||||||||||||||
expiration date 4/21/20 |
||||||||||||||||
expiration date 5/19/20 |
||||||||||||||||
|
|
|
|
|
|
|||||||||||
Total Futures Contracts Long Exposure (Exchange-Traded) |
|
% |
$ |
$ |
||||||||||||
|
|
|
|
|
|
* | Interest rate shown reflects the yield to maturity at time of purchase. |
(a) |
All or a portion of this security is held by the broker as collateral for open futures contracts. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $ |
Three Months Ended June 30, |
Six Months Ended June 30, |
|||||||||||||||
2020 |
2019 |
2020 |
2019 |
|||||||||||||
Income: |
| |||||||||||||||
Interest income |
$ |
$ |
$ |
$ |
||||||||||||
Expenses: |
| |||||||||||||||
Management fee to related party (Note 8) |
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Expense waivers (Note 8) |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net expenses |
||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss) |
( |
) | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts: |
| |||||||||||||||
Net Realized Gain (Loss) from: |
| |||||||||||||||
Investments |
( |
) | ||||||||||||||
Futures Contracts* |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net Realized Loss |
( |
) | ( |
) | ( |
) | ( |
) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from: |
| |||||||||||||||
Investments |
( |
) | ( |
) | ||||||||||||
Futures Contracts |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net Realized and Unrealized Gain (Loss) on Investments and Futures Contracts |
( |
) | ( |
) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net Gain (Loss) |
$ | $ | ( |
) | $ | ( |
) | $ | ||||||||
|
|
|
|
|
|
|
|
|||||||||
* |
$ |
$ |
$ |
$ |
||||||||||||
|
|
|
|
|
|
|
|
General Units |
Limited Units |
Total |
||||||||||||||||||||||||||||||||||
General Units |
Accumulated |
Total General Shareholders’ |
Limited Units |
Accumulated |
Total Limited Shareholders’ |
Total Shareholders’ |
||||||||||||||||||||||||||||||
Units |
Amount |
Deficit |
Equity |
Units |
Amount |
Deficit |
Equity |
Equity |
||||||||||||||||||||||||||||
Balance at March 31, 2020 |
$ | $ | ( |
) | $ | $ | $ | ( |
) | $ | $ | |||||||||||||||||||||||||
Creation of Units |
— | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units |
— | — | — | — | ( |
) | ( |
) | — | ( |
) | ( |
) | |||||||||||||||||||||||
Net Gain (Loss): |
||||||||||||||||||||||||||||||||||||
Net Investment Loss |
— | — | ( |
)* |
( |
)* |
— | — | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts |
— | — | ( |
) | ( |
) | — | — | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts |
— | — | — | — | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Gain |
— | — | — | — | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Balance at June 30, 2020 |
$ | $ | ( |
) | $ | $ | $ | ( |
) | $ | $ | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
Amount represents less than $1. |
General Units |
Limited Units |
Total |
||||||||||||||||||||||||||||||||||
General Units |
Accumulated |
Total General Shareholders’ |
Limited Units |
Accumulated |
Total Limited Shareholders’ |
Total Shareholders’ |
||||||||||||||||||||||||||||||
Units |
Amount |
Deficit |
Equity |
Units |
Amount |
Deficit |
Equity |
Equity |
||||||||||||||||||||||||||||
Balance at December 31, 2019 |
$ | $ | ( |
) | $ | $ | $ | ( |
) | $ | $ | |||||||||||||||||||||||||
Creation of Units |
— | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units |
— | — | — | — | ( |
) | ( |
) | — | ( |
) | ( |
) | |||||||||||||||||||||||
Net Gain (Loss): |
||||||||||||||||||||||||||||||||||||
Net Investment Income |
— | — | — | — | ||||||||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts |
— | — | ( |
) | ( |
) | — | — | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||
Net Decrease in Unrealized Appreciation/Depreciation from Investments and Futures Contracts |
— | — | ( |
) | ( |
) | — | — | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Loss |
— | — | ( |
) | ( |
) | — | — | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Balance at June 30, 2020 |
$ | $ | ( |
) | $ | $ | $ | ( |
) | $ | $ | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
General Units |
Limited Units |
Total |
||||||||||||||||||||||||||||||||||
General Units |
Accumulated |
Total General Shareholders’ |
Limited Units |
Accumulated |
Total Limited Shareholders’ |
Total Shareholders’ |
||||||||||||||||||||||||||||||
Units |
Amount |
Deficit |
Equity |
Units |
Amount |
Deficit |
Equity |
Equity |
||||||||||||||||||||||||||||
Balance at March 31, 2019 |
$ | $ | ( |
) | $ | $ | $ | ( |
) | $ | $ | |||||||||||||||||||||||||
Creation of Units |
— | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Redemption of Units |
— | — | — | — | ( |
) | ( |
) | — | ( |
) | ( |
) | |||||||||||||||||||||||
Net Gain (Loss): |
||||||||||||||||||||||||||||||||||||
Net Investment Income |
— | — | — | — | ||||||||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts |
— | — | ( |
) | ( |
) | — | — | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||
Net Increase (Decrease) in Unrealized Appreciation/Depreciation from Investments and Futures Contracts |
— | — | — | — | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Loss |
— | — | ( |
) | ( |
) | — | — | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Balance at June 30, 2019 |
$ | $ | ( |
) | $ | $ | $ | ( |
) | $ | $ | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
General Units |
Limited Units |
Total |
||||||||||||||||||||||||||||||||||
General Units |
Accumulated |
Total General Shareholders’ |
Limited Units |
Accumulated |
Total Limited Shareholders’ |
Total Shareholders’ |
||||||||||||||||||||||||||||||
Units |
Amount |
Deficit |
Equity |
Units |
Amount |
Deficit |
Equity |
Equity |
||||||||||||||||||||||||||||
Balance at December 31, 2018 |
$ | $ | ( |
) | $ | $ | $ | ( |
) | $ | $ | |||||||||||||||||||||||||
Creation of Units |
— | — | — | — | — | |||||||||||||||||||||||||||||||
Redemption of Units |
— | — | — | — | ( |
) | ( |
) | — | ( |
) | ( |
) | |||||||||||||||||||||||
Net Gain (Loss): |
||||||||||||||||||||||||||||||||||||
Net Investment Income |
— | — | — | — | ||||||||||||||||||||||||||||||||
Net Realized Loss from Investments and Futures Contracts |
— | — | ( |
) | ( |
) | — | — | ( |
) | ( |
) | ( |
) | ||||||||||||||||||||||
Net Increase in Unrealized Appreciation/Depreciation from Investments and Futures Contracts |
— | — | — | — | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Gain |
— | — | — | — | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Balance at June 30, 2019 |
$ | $ | ( |
) | $ | $ | $ | ( |
) | $ | $ | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2020 |
2019 |
|||||||
Cash flows from operating activities |
| |||||||
Net Gain (Loss) |
$ | ( |
) | $ | ||||
Adjustments to reconcile net gain (loss) to net cash provided by (used for) operating activities: |
| |||||||
|
( |
) | ( |
) | ||||
|
||||||||
|
( |
) | ( |
) | ||||
|
( |
) | ||||||
|
( |
) | ||||||
|
( |
) | ||||||
|
| |||||||
|
| |||||||
|
( |
) | ( |
) | ||||
|
|
|
|
|||||
Net cash provided by operating activities |
||||||||
|
|
|
|
|||||
Cash flows from financing activities |
| |||||||
Proceeds from creation of Limited Units |
||||||||
Redemption of Limited Units |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Net cash used for financing activities |
( |
) | ( |
) | ||||
|
|
|
|
|||||
Net decrease in cash |
( |
) | ( |
) | ||||
Cash* at beginning of period |
||||||||
|
|
|
|
|||||
Cash* at end of period |
$ | $ | ||||||
|
|
|
|
* |
Includes cash held by the broker for futures contracts. |
Level 1 | — | Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. | ||
Level 2 | — | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. | ||
Level 3 | — | Unobservable inputs for the asset or liability. |
Assets |
Quoted Prices in Active Market (Level 1) |
Other Significant Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
Totals |
||||||||||||
U.S. Treasury Obligations |
$ | — | $ | $ | — | $ | ||||||||||
Unrealized appreciation on futures contracts |
— | — | ||||||||||||||
Total |
$ | $ | $ | — | $ | |||||||||||
Assets |
Quoted Prices in Active Market (Level 1) |
Other Significant Observable Inputs (Level 2) |
Significant Unobservable Inputs (Level 3) |
Totals |
||||||||||||
U.S. Treasury Obligations |
$ | — | $ | $ | — | $ | ||||||||||
Unrealized appreciation on futures contracts |
— | — | ||||||||||||||
Total |
$ | $ | $ | — | $ | |||||||||||
As of: |
Derivative Instruments |
Asset Derivatives (i) |
Liability Derivatives (ii) |
|||||||||
June 30, 2020 |
Commodity Futures | $ | $ | — | ||||||||
December 31, 2019 |
Commodity Futures | $ | $ | — |
(i) | Values are disclosed on the Statements of Financial Condition under Net unrealized appreciation on futures contracts. |
(ii) | Values are disclosed on the Statements of Financial Condition under Net unrealized depreciation on futures contracts |
Period |
Derivative Instruments |
Realized Gain (Loss) on Derivative Instruments (i) |
Net Increase (Decrease) in Unrealized Appreciation/Depreciation on Derivative Instruments (ii) |
|||||||||
Three months ended June 30, 2020 |
Commodity Futures | $ | ( |
) | $ | |||||||
Three months ended June 30, 2019 |
Commodity Futures | ( |
) | ( |
) | |||||||
Six months ended June 30, 2020 |
Commodity Futures | ( |
) | ( |
) | |||||||
Six months ended June 30, 2019 |
Commodity Futures | ( |
) |
(i) | Values are disclosed on the Statements of Income and Expenses under Net realized gain (loss) from futures contracts. |
(ii) | Values are disclosed on the Statements of Income and Expenses under Net increase (decrease) in unrealized appreciation/depreciation from futures contracts. |
Period |
Management Fee |
Voluntary Fee Waiver |
Net Management Fee |
|||||||||
Three months ended June 30, 2020 |
$ | $ | ( |
) | $ | |||||||
Three months ended June 30, 2019 |
$ | $ | ( |
) | $ | |||||||
Six months ended June 30, 2020 |
$ | $ | ( |
) | $ | |||||||
Six months ended June 30, 2019 |
$ | $ | ( |
) | $ | |||||||
Three Months Ended June 30, 2020 |
Three Months Ended June 30, 2019 |
Six Months Ended June 30, 2020 |
Six Months Ended June 30, 2019 |
|||||||||||||
Net Asset Value |
||||||||||||||||
Net asset value per Limited Share, beginning of period |
$ | $ | $ | $ | ||||||||||||
Investment operations: |
||||||||||||||||
Net realized and unrealized gain (loss) (1) |
( |
) | ( |
) | ||||||||||||
Net investment income (loss) (2) |
( |
) | ||||||||||||||
Net increase (decrease) in net assets from operations |
( |
) | ( |
) | ||||||||||||
Net asset value per Limited Share, end of period |
$ | $ | $ | $ | ||||||||||||
Total Return, at net asset value (3) |
% | ( |
)% | ( |
)% | % | ||||||||||
Ratio/Supplemental Data: |
||||||||||||||||
Net assets, end of period (000’s omitted) |
$ | $ | $ | 69,649 | $ | 129,395 | ||||||||||
Ratios to average net assets of: |
||||||||||||||||
Net investment income (4) |
( |
)% | % | % | % | |||||||||||
Expenses, prior to expense waivers (4) |
% | % | % | % | ||||||||||||
Expenses, net of expense waivers (4) |
% | % | % | % | ||||||||||||
(1) | Includes brokerage commissions of less than $ 25 . |
(2) | Based on average shares outstanding. |
(3) | Total return calculated for a period of less than one year is not annualized. For the periods in which the Managing Owner waived a portion of its Management Fee, the total return would have been lower if such expenses had not been waived. See Note 8(a) on page 25 . |
(4) | Annualized. |
Date |
Net Asset Value Per Share |
Total Shares |
Net Assets |
1 Month |
3 Months |
Year to Date |
Cumulative Return Since Inception |
|||||||||||||||||||||
7/31/2015 |
$ | 20.14 | 12,350,050 | $ | 248,781,672 | -8.79 | % | -8.04 | % | -11.71 | % | -32.87 | % | |||||||||||||||
8/31/2015 |
$ | 19.89 | 12,250,050 | $ | 243,701,247 | -1.24 | % | -7.53 | % | -12.80 | % | -33.70 | % | |||||||||||||||
9/30/2015 |
$ | 19.48 | 12,350,050 | $ | 240,610,264 | -2.06 | % | -11.78 | % | -14.60 | % | -35.07 | % | |||||||||||||||
10/31/2015 |
$ | 19.80 | 12,450,050 | $ | 246,482,902 | 1.64 | % | -1.69 | % | -13.20 | % | -34.00 | % | |||||||||||||||
11/30/2015 |
$ | 18.65 | 12,600,050 | $ | 234,930,303 | -5.81 | % | -6.23 | % | -18.24 | % | -37.83 | % | |||||||||||||||
12/31/2015 |
$ | 18.56 | 12,100,050 | $ | 224,518,525 | -0.48 | % | -4.72 | % | -18.63 | % | -38.13 | % | |||||||||||||||
1/31/2016 |
$ | 18.08 | 11,800,050 | $ | 213,290,323 | -2.59 | % | -8.69 | % | -2.59 | % | -39.73 | % | |||||||||||||||
2/29/2016 |
$ | 17.95 | 11,500,050 | $ | 206,423,399 | -0.72 | % | -3.75 | % | -3.29 | % | -40.17 | % | |||||||||||||||
3/31/2016 |
$ | 18.73 | 11,350,050 | $ | 212,556,966 | 4.35 | % | 0.92 | % | 0.92 | % | -37.57 | % | |||||||||||||||
4/30/2016 |
$ | 19.83 | 11,400,050 | $ | 226,055,159 | 5.87 | % | 9.68 | % | 6.84 | % | -33.90 | % | |||||||||||||||
5/31/2016 |
$ | 19.61 | 11,450,050 | $ | 224,548,529 | -1.11 | % | 9.25 | % | 5.66 | % | -34.63 | % | |||||||||||||||
6/30/2016 |
$ | 20.42 | 11,100,050 | $ | 226,681,895 | 4.13 | % | 9.02 | % | 10.02 | % | -31.93 | % | |||||||||||||||
7/31/2016 |
$ | 19.83 | 11,350,050 | $ | 225,092,558 | -2.89 | % | 0.00 | % | 6.84 | % | -33.90 | % | |||||||||||||||
8/31/2016 |
$ | 19.33 | 11,450,050 | $ | 221,349,718 | -2.52 | % | -1.43 | % | 4.15 | % | -35.57 | % | |||||||||||||||
9/30/2016 |
$ | 19.51 | 10,950,050 | $ | 213,673,816 | 0.93 | % | -4.46 | % | 5.12 | % | -34.97 | % | |||||||||||||||
10/31/2016 |
$ | 19.62 | 10,950,050 | $ | 214,888,405 | 0.56 | % | -1.06 | % | 5.71 | % | -34.60 | % | |||||||||||||||
11/30/2016 |
$ | 19.39 | 11,300,050 | $ | 219,111,876 | -1.17 | % | 0.31 | % | 4.47 | % | -35.37 | % | |||||||||||||||
12/31/2016 |
$ | 19.35 | 11,350,050 | $ | 219,660,595 | -0.21 | % | -0.82 | % | 4.26 | % | -35.50 | % | |||||||||||||||
1/31/2017 |
$ | 19.82 | 11,350,050 | $ | 224,901,754 | 2.43 | % | 1.02 | % | 2.43 | % | -33.93 | % | |||||||||||||||
2/28/2017 |
$ | 19.70 | 10,750,050 | $ | 211,819,623 | -0.61 | % | 1.60 | % | 1.81 | % | -34.33 | % | |||||||||||||||
3/31/2017 |
$ | 19.25 | 10,150,050 | $ | 195,428,354 | -2.28 | % | -0.52 | % | -0.52 | % | -35.83 | % | |||||||||||||||
4/30/2017 |
$ | 18.93 | 9,450,050 | $ | 178,936,038 | -1.66 | % | -4.49 | % | -2.17 | % | -36.90 | % | |||||||||||||||
5/31/2017 |
$ | 18.85 | 8,900,050 | $ | 167,788,181 | -0.42 | % | -4.31 | % | -2.58 | % | -37.17 | % | |||||||||||||||
6/30/2017 |
$ | 18.68 | 8,850,050 | $ | 165,359,886 | -0.90 | % | -2.96 | % | -3.46 | % | -37.73 | % | |||||||||||||||
7/31/2017 |
$ | 19.15 | 8,750,050 | $ | 167,534,220 | 2.52 | % | 1.16 | % | -1.03 | % | -36.17 | % | |||||||||||||||
8/31/2017 |
$ | 18.84 | 8,750,050 | $ | 164,834,840 | -1.62 | % | -0.05 | % | -2.64 | % | -37.20 | % | |||||||||||||||
9/30/2017 |
$ | 18.76 | 8,550,050 | $ | 160,409,438 | -0.42 | % | 0.43 | % | -3.05 | % | -37.47 | % | |||||||||||||||
10/31/2017 |
$ | 19.08 | 8,400,050 | $ | 160,283,921 | 1.71 | % | -0.37 | % | -1.40 | % | -36.40 | % | |||||||||||||||
11/30/2017 |
$ | 19.11 | 8,200,050 | $ | 156,718,600 | 0.16 | % | 1.43 | % | -1.24 | % | -36.30 | % | |||||||||||||||
12/31/2017 |
$ | 19.25 | 8,050,050 | $ | 154,956,309 | 0.73 | % | 2.61 | % | -0.52 | % | -35.83 | % |
Date |
Net Asset Value Per Share |
Total Shares |
Net Assets |
1 Month |
3 Months |
Year to Date |
Cumulative Return Since Inception |
|||||||||||||||||||||
1/31/2018 |
$ | 19.50 | 8,800,050 | $ | 171,590,704 | 1.30 | % | 2.20 | % | 1.30 | % | -35.00 | % | |||||||||||||||
2/28/2018 |
$ | 19.45 | 9,150,050 | $ | 177,987,164 | -0.26 | % | 1.78 | % | 1.04 | % | -35.17 | % | |||||||||||||||
3/31/2018 |
$ | 19.25 | 9,400,050 | $ | 180,938,291 | -1.03 | % | 0.00 | % | 0.00 | % | -35.83 | % | |||||||||||||||
4/30/2018 |
$ | 19.48 | 9,300,050 | $ | 181,169,802 | 1.19 | % | -0.10 | % | 1.19 | % | -35.07 | % | |||||||||||||||
5/31/2018 |
$ | 19.73 | 9,400,050 | $ | 185,447,260 | 1.28 | % | 1.44 | % | 2.49 | % | -34.23 | % | |||||||||||||||
6/30/2018 |
$ | 18.86 | 9,150,050 | $ | 172,533,165 | -4.41 | % | -2.03 | % | -2.03 | % | -37.13 | % | |||||||||||||||
7/31/2018 |
$ | 18.36 | 9,400,050 | $ | 172,579,285 | -2.65 | % | -5.75 | % | -4.62 | % | -38.80 | % | |||||||||||||||
8/31/2018 |
$ | 18.02 | 9,000,050 | $ | 162,207,008 | -1.85 | % | -8.67 | % | -6.39 | % | -39.93 | % | |||||||||||||||
9/30/2018 |
$ | 18.08 | 8,800,050 | $ | 159,102,078 | 0.33 | % | -4.14 | % | -6.08 | % | -39.73 | % | |||||||||||||||
10/31/2018 |
$ | 18.28 | 8,650,050 | $ | 158,160,214 | 1.11 | % | -0.44 | % | -5.04 | % | -39.07 | % | |||||||||||||||
11/30/2018 |
$ | 17.96 | 8,350,050 | $ | 149,939,026 | -1.75 | % | -0.33 | % | -6.70 | % | -40.13 | % | |||||||||||||||
12/31/2018 |
$ | 17.50 | 8,850,050 | $ | 154,855,001 | -2.56 | % | -3.21 | % | -9.09 | % | -41.67 | % | |||||||||||||||
1/31/2019 |
$ | 18.09 | 9,000,050 | $ | 162,845,090 | 3.37 | % | -1.04 | % | 3.37 | % | -39.70 | % | |||||||||||||||
2/28/2019 |
$ | 18.07 | 8,700,050 | $ | 157,241,808 | -0.11 | % | 0.61 | % | 3.26 | % | -39.77 | % | |||||||||||||||
3/31/2019 |
$ | 18.04 | 7,950,050 | $ | 143,407,805 | -0.17 | % | 3.09 | % | 3.09 | % | -39.87 | % | |||||||||||||||
4/30/2019 |
$ | 17.90 | 7,700,050 | $ | 137,843,116 | -0.78 | % | -1.05 | % | 2.29 | % | -40.33 | % | |||||||||||||||
5/31/2019 |
$ | 17.53 | 7,450,050 | $ | 130,608,270 | -2.07 | % | -2.99 | % | 0.17 | % | -41.57 | % | |||||||||||||||
6/30/2019 |
$ | 17.85 | 7,250,050 | $ | 129,395,183 | 1.83 | % | -1.05 | % | 2.00 | % | -40.50 | % | |||||||||||||||
7/31/2019 |
$ | 17.62 | 7,250,050 | $ | 127,772,592 | -1.29 | % | -1.56 | % | 0.69 | % | -41.27 | % | |||||||||||||||
8/31/2019 |
$ | 17.10 | 6,700,050 | $ | 114,556,679 | -2.95 | % | -2.45 | % | -2.29 | % | -43.00 | % | |||||||||||||||
9/30/2019 |
$ | 17.56 | 6,500,050 | $ | 114,110,261 | 2.69 | % | -1.62 | % | 0.34 | % | -41.47 | % | |||||||||||||||
10/31/2019 |
$ | 17.95 | 6,850,050 | $ | 122,956,931 | 2.22 | % | 1.87 | % | 2.57 | % | -40.17 | % | |||||||||||||||
11/30/2019 |
$ | 17.86 | 6,850,050 | $ | 122,348,578 | -0.50 | % | 4.44 | % | 2.06 | % | -40.47 | % | |||||||||||||||
12/31/2019 |
$ | 18.80 | 6,800,050 | $ | 127,835,843 | 5.26 | % | 7.06 | % | 7.43 | % | -37.33 | % | |||||||||||||||
1/31/2020 |
$ | 17.61 | 6,400,050 | $ | 112,722,603 | -6.33 | % | -1.89 | % | -6.33 | % | -41.30 | % | |||||||||||||||
2/29/2020 |
$ | 16.76 | 6,000,050 | $ | 100,581,288 | -4.83 | % | -6.16 | % | -10.85 | % | -44.13 | % | |||||||||||||||
3/31/2020 |
$ | 14.83 | 5,050,050 | $ | 74,876,112 | -11.52 | % | -21.12 | % | -21.12 | % | -50.57 | % | |||||||||||||||
4/30/2020 |
$ | 14.85 | 4,950,050 | $ | 73,491,909 | 0.13 | % | -15.67 | % | -21.01 | % | -50.50 | % | |||||||||||||||
5/31/2020 |
$ | 15.45 | 4,850,050 | $ | 74,932,143 | 4.04 | % | -7.82 | % | -17.82 | % | -48.50 | % | |||||||||||||||
6/30/2020 |
$ | 15.65 | 4,450,050 | $ | 69,649,419 | 1.29 | % | 5.53 | % | -16.76 | % | -47.83 | % |
Sector |
Sector Weight |
Commodity | ||||
Energy |
17.64 | % | WTI Crude Oil, Natural Gas, NY Harbor ULSD | |||
Grains |
23.49 | % | Corn, Soybean, Wheat, Soybean Oil | |||
Livestock |
11.80 | % | Live Hogs, Live Cattle | |||
Metals |
23.50 | % | Gold 100 Ounce, Silver, Platinum, Copper | |||
Softs |
23.57 | % | Coffee “C”, Cocoa, Sugar No. 11, Cotton No. 2 |
Description |
Range of Expiration Dates |
Number of Contracts |
Weighted- Average Price per Contract |
Contract Multiplier |
Notional Value |
Unrealized Appreciation/ (Depreciation) |
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Energy |
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Natural Gas |
August 2020—December 2020 | 176 | $ | 2.32 | 10,000 | $ | 4,084,630 | $ | (304,330 | ) | ||||||||||||
NY Harbor ULSD |
August 2020—December 2020 | 79 | 1.24 | 42,000 | 4,102,139 | 221,521 | ||||||||||||||||
WTI Crude Oil |
August 2020—December 2020 | 103 | 39.57 | 1,000 | 4,075,600 | 696,860 | ||||||||||||||||
Grains |
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Corn |
September 2020—December 2020 | 236 | 3.46 | 5,000 | 4,082,800 | (57,262 | ) | |||||||||||||||
Soybean |
November 2020—January 2021 | 92 | 8.84 | 5,000 | 4,064,100 | 32,550 | ||||||||||||||||
Soybean Oil |
September 2020—January 2021 | 238 | 0.29 | 60,000 | 4,090,548 | (115,308 | ) | |||||||||||||||
Wheat |
September 2020—December 2020 | 165 | 4.95 | 5,000 | 4,087,025 | (320,213 | ) | |||||||||||||||
Livestock |
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Lean Hogs |
August 2020—February 2021 | 195 | 0.53 | 40,000 | 4,096,390 | (235,270 | ) | |||||||||||||||
Live Cattle |
October 2020—February 2021 | 99 | 1.04 | 40,000 | 4,102,230 | (23,360 | ) | |||||||||||||||
Metals |
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Copper |
September 2020—December 2020 | 60 | 2.74 | 25,000 | 4,103,250 | 335,438 | ||||||||||||||||
Gold 100 Ounce |
December 2020—February 2021 | 22 | 1,823.95 | 100 | 4,012,690 | 190,070 | ||||||||||||||||
Platinum |
October 2020—January 2021 | 96 | 853.65 | 50 | 4,097,520 | 159,170 | ||||||||||||||||
Silver |
September 2020—December 2020 | 44 | 18.72 | 5,000 | 4,118,400 | 424,950 | ||||||||||||||||
Softs |
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Cocoa |
September 2020—December 2020 | 188 | 2,185.50 | 10 | 4,108,740 | (383,990 | ) | |||||||||||||||
Coffee “C” |
September 2020—December 2020 | 107 | 1.02 | 37,500 | 4,101,319 | (274,388 | ) | |||||||||||||||
Cotton No. 2 |
December 2020—March 2021 | 133 | 0.61 | 50,000 | 4,070,300 | 192,445 | ||||||||||||||||
Sugar No. 11 |
September 2020—February 2021 | 299 | 0.12 | 112,000 | 4,105,293 | 115,091 | ||||||||||||||||
|
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|
|
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$ |
69,502,974 |
$ |
653,974 |
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|
|
Description |
Range of Yields to Maturity |
Range of Maturity Dates |
Face Amount |
Fair Value |
Unrealized Appreciation/ (Depreciation) |
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U.S. Treasury Obligations |
||||||||||||||||||
U.S. Treasury Bills |
0.08% – 0.15% | July 2020 – September 2020 | $ | 65,000,000 | $ | 64,990,566 | $ | (215 | ) |
Issuer Purchases of Equity Securities |
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Period |
Total Number of Shares Redeemed |
Average Price Paid per Share |
Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs |
Maximum Number (or Approximate Dollar Value) of Shares That May Yet Be Purchased Under the Plans or Programs |
||||||||||||
April 1, 2020 to April 30, 2020 |
100,000 | $ | 14.39 | N/A | N/A | |||||||||||
May 1, 2020 to May 31, 2020 |
100,000 | $ | 14.90 | N/A | N/A | |||||||||||
June 1, 2020 to June 30, 2020 |
400,000 | $ | 15.59 | N/A | N/A | |||||||||||
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Total |
600,000 | $ | 15.28 | N/A | N/A | |||||||||||
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(1) |
Filed herewith. |
WisdomTree Commodity Services, LLC, | ||
Managing Owner of the WisdomTree Continuous Commodity Index Fund (registrant) | ||
By: | /s/ Jeremy Schwartz | |
Jeremy Schwartz | ||
President and Chief Executive Officer | ||
(Principal Executive Officer) | ||
Date: August 7, 2020 | ||
By: | /s/ David Castano | |
David Castano | ||
Chief Financial Officer and Treasurer | ||
(Principal Financial Officer) | ||
Date: August 7, 2020 | ||
WisdomTree Commodity Services, LLC, | ||
Managing Owner of the WisdomTree Continuous Commodity Index Master Fund (co-registrant) | ||
By: | /s/ Jeremy Schwartz | |
Jeremy Schwartz | ||
President and Chief Executive Officer | ||
(Principal Executive Officer) | ||
Date: August 7, 2020 | ||
By: | /s/ David Castano | |
David Castano | ||
Chief Financial Officer and Treasurer | ||
(Principal Financial Officer) | ||
Date: August 7, 2020 |