iShares Trust

·  iShares Asia 50 ETF | AIA | NASDAQ

·  iShares Emerging Markets Infrastructure ETF | EMIF | NASDAQ

·  iShares Europe ETF | IEV | NYSE Arca

·  iShares International Developed Property ETF | WPS | NYSE Arca

·  iShares International Developed Small Cap Value Factor ETF | ISVL | Cboe BZX

·  iShares International Dividend Growth ETF | IGRO | Cboe BZX

·  iShares Latin America 40 ETF | ILF | NYSE Arca

Table of Contents

Market Overview

iShares Trust

Global Market Overview

Global equity markets advanced during the 12 months ended March 31, 2022 (“reporting period”). The MSCI ACWI, a broad global equity index that includes both developed and emerging markets, returned 7.28% in U.S. dollar terms for the reporting period.

Stocks were supported by economic recovery in most regions of the world, even as significant challenges emerged. The global economy continued to rebound from the impact of restrictions imposed at the beginning of the pandemic, as mitigation and adaptation allowed most activity to continue. Nonetheless, two highly contagious COVID-19 variants appeared during the reporting period, causing sharp increases in cases in many countries and in some instances leading to new restrictions, which acted as a drag on growth. Inflation was high in many countries, reducing consumers’ purchasing power and leading many central banks to tighten monetary policy. Russia’s invasion of Ukraine late in the reporting period presented a further challenge to the global economy, disrupting markets in important commodities such as oil, natural gas, and wheat.

The U.S. economy grew robustly, powered primarily by consumers, who were supported by strong household balance sheets. Prior to the beginning of the reporting period, fiscal stimulus and business closures led to record-high personal savings rates. This allowed consumers to spend at an elevated level throughout much of the reporting period, as pent-up demand was released. The ensuing acceleration in economic activity allowed the U.S. to reach and then surpass its pre-pandemic output level. Hiring increased as businesses restored capacity. Consequently, unemployment decreased substantially, falling to 3.6% in March 2022.

Rising inflation led to a shift in policy from the U.S. Federal Reserve Bank (“Fed”). As the reporting period began, the Fed was using accommodative monetary policy to stimulate the economy. Short-term interest rates were kept at near zero levels, and the Fed used bond-buying programs to stabilize debt markets. However, rising prices led the Fed to tighten monetary policy in the second half of the reporting period in an attempt to prevent runaway inflation. The Fed slowed and then ended its bond-buying activities and discussed plans to begin reducing its balance sheet by selling bonds later in 2022. In March 2022, it raised short-term interest rates, and indicated that further increases could be necessary.

Stocks in Europe posted modest gains, helped by a steadily growing economy and increasing vaccinations. However, inflation increased significantly, and Russia’s invasion of Ukraine negatively impacted equities. Russia is an important trading partner with many other European countries, and new sanctions imposed limits on some types of trade with Russia. Investors became concerned that the sharp rise in energy prices during the reporting period would constrain economic growth, as Europe relies on imported energy for much of its industrial and heating needs. The European Central Bank (“ECB”) maintained ultra-low interest rates but started to wind down its bond buying programs.

Despite relatively low inflation by global standards, Asia-Pacific stocks declined significantly. Chinese stocks endured substantial declines, driving much of the negative performance in the region. Regulatory interventions by the Chinese government weighed on equity markets, particularly in the information technology sector. While China’s economy continued to expand at a solid pace, COVID-19 cases rose sharply late in the reporting period and analysts became concerned that the subsequent lockdowns would constrain growth.

Investment Objective

The iShares Asia 50 ETF (the “Fund”) seeks to track the investment results of an index composed of 50 of the largest Asian equities, as represented by the S&P Asia 50^TM (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

GROWTH OF $10,000 INVESTMENT

(AT NET ASSET VALUE)

Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 19 for more information.

Expense Example

Portfolio Management Commentary

Large-capitalization stocks in Asia declined significantly for the reporting period, driven by slowing growth and a far-reaching regulatory crackdown in China. Inflationary pressures, supply chain disruptions, and strict pandemic-related restrictions led to concerns about regional and global economic growth. Following Russia’s invasion of Ukraine, the possibility of war-related sanctions against China also weighed on stocks.

Chinese stocks drove the majority of detraction from the Index’s return, led by technology-related stocks in the consumer discretionary and communication services sectors, primarily due to regulatory restrictions. The government’s campaign to rein in large internet firms by lessening their monopolistic advantages continued to weigh on companies. Regulatory measures included anti-trust fines, restrictions on listings on foreign stock exchanges, and the construction of a state-backed cloud system to compete with private industry. A suggestion by the Chinese government in February 2022 that they might act to reduce online food-delivery fees reignited uncertainties about continuing crackdowns. In the consumer discretionary sector, the internet and direct marketing industry declined as regulation weakened large companies’ competitive advantages, while concerns surrounding new customer growth and slowing consumption pressured margins and earnings. In the communication services sector, the media and entertainment industry declined amid rules limiting video game use and restrictions on key advertisers. Revenue growth slowed for media and videogaming firms, constraining earnings and raising concerns about future growth. The possibility of delisting from U.S. exchanges amid U.S.-China tensions also weighed on Chinese stocks.

South Korean stocks also detracted significantly from the Index’s performance, led by the technology hardware and equipment industry. Despite rising semiconductor prices, decreased smartphone sales amid component shortages and investor concern that semiconductor prices would begin to decline weighed on the industry. Growth in demand for some other consumer electronics slowed as pandemic-related restrictions continued to abate in many parts of the world. Stocks in Hong Kong also detracted from the Index’s return as Chinese regulations and pandemic-related lockdowns in mainland China and Hong Kong weighed on equities listed in the city.

Portfolio Information

Investment Objective

The iShares Emerging Markets Infrastructure ETF (the “Fund”) seeks to track the investment results of an index composed of 30 of the largest equities in the emerging markets infrastructure industry, as represented by the S&P Emerging Markets Infrastructure Index^TM (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

GROWTH OF $10,000 INVESTMENT

(AT NET ASSET VALUE)

Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 19 for more information.

Expense Example

Portfolio Management Commentary

Emerging market infrastructure stocks declined during the reporting period, falling sharply toward the end of the reporting period as Russia’s invasion of Ukraine and resulting sanctions disrupted oil and natural gas markets and raised concerns about the pace of global economic growth. Prior to the invasion, the Index advanced as the continued global economic recovery provided tailwinds for infrastructure-related companies, driven by strengthening international trade and industrial production.

Russian infrastructure stocks were the largest detractors from the Index’s return. Western nations imposed sanctions designed to squeeze Russia’s economy, which reduced trade, isolated the country from the global financial system, and raised expectations for a sharp decrease in Russia’s economic growth. Many sanctions impacted energy companies in Russia, a major exporter of oil and gas. The U.S. banned imports of Russian fuels, while the E.U. halted new energy investments. Germany halted the certification of an $11 billion pipeline from Russia, and the E.U. pledged to reduce and eventually end Russian gas imports. A major Russian pipeline operator, whose stock declined sharply following the invasion, set limits on receiving oil as so much remained unsold.

Chinese gas utilities stocks weighed on the Index’s return as high natural gas prices constrained margins for gas distributors. The country’s slowing property market led to a dramatic reduction in new customers and weighed on profits, while the slowing economy and high prices prompted forecasters to project slower demand growth for natural gas in China.

Mexican airport services stocks contributed to the Index’s return amid a sluggish recovery in air travel. While 2021 global passenger volumes remained dramatically lower than prior to the pandemic, domestic travel rebounded faster, especially in Latin America, where in-country trips make up a sizable proportion of flights. Mexico’s domestic-flight recovery was particularly robust, while the number of Americans flying to Mexico also improved. Toward the end of the reporting period, sharply increasing jet fuel prices and flight costs raised concerns about the impact on the recovery in air travel.

Portfolio Information

Investment Objective

The iShares Europe ETF (the “Fund”) seeks to track the investment results of an index composed of European equities, as represented by the S&P Europe 350^TM (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

GROWTH OF $10,000 INVESTMENT

(AT NET ASSET VALUE)

Index performance through January 30, 2013 is calculated using currency exchange (FX) rates corresponding to 5:15 P.M. ET. Index performance beginning on January 31, 2013 is calculated using FX rates corresponding to World Market Reuters 4:00 P.M. London.

Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 19 for more information.

Expense Example

Portfolio Management Commentary

European equities gained modestly despite rising inflation and the war in Ukraine. Stocks rose early in the reporting period as the Eurozone economy slowly expanded despite the spread of COVID-19 variant cases. Rising prices and the prospect of higher interest rates subsequently slowed consumer demand. Stocks then trended lower as higher commodities prices, supply bottlenecks, and economic uncertainty stemming from the war in Ukraine weighed on markets.

U.K. stocks contributed the most to the Index’s return as the nation’s economy returned to its pre-pandemic size. Energy companies led the advance, driven by oil prices that climbed throughout 2021 as coronavirus-related restrictions eased, travel increased, and oil stockpiles dropped. Despite a gradual increase in global oil supply throughout 2021, demand continued to outstrip supply, sending prices higher and increasing corporate profits. U.K. healthcare stocks also added to gains as the global rollout of COVID-19 vaccines continued amid strong sales of existing drugs. Materials stocks further contributed as higher commodities prices translated into strong profits for mining operations. Metals prices increased significantly following Russia’s invasion of Ukraine.

Stocks in Switzerland also contributed to the Index’s return, with pharmaceuticals companies leading returns in the healthcare sector. Demand for COVID-19 treatment and testing drove robust gains, and sales of other core products improved. In the consumer staples sector, companies reported strong demand for household goods, which allowed companies to increase prices in order to side-step the impact of higher commodities costs.

On the downside, stocks in Germany were the largest detractors from the Index’s return as consumer discretionary companies faltered under the weight of rising inflation and continued shortages of computer chips. The closure of factories following Russia’s invasion of Ukraine further exacerbated production delays for automobile manufacturers. Boycotts of Western brands in China and COVID-19 related closures of factories in supplier countries such as Vietnam impacted sportswear companies. Stocks in Sweden also detracted from the Index’s return as lower household spending slowed economic growth.

Portfolio Information

Investment Objective

The iShares International Developed Property ETF (the “Fund”) seeks to track the investment results of an index composed of real estate equities in developed non-U.S. markets, as represented by the S&P Developed ex-U.S. Property Index^TM (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

GROWTH OF $10,000 INVESTMENT

(AT NET ASSET VALUE)

Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 19 for more information.

Expense Example

Portfolio Management Commentary

International developed property stocks posted modest returns for the reporting period despite the easing of restrictions in many parts of the world from the COVID-19 pandemic. Australian stocks contributed the most to the Index’s performance, led by industrial real estate investment trusts (“REITs”). Industrial REITs benefited from growing demand for storage facilities and delivery warehouses due to increased online shopping. The diversified REITs industry gained as businesses reoriented to the new demands of the digital economy and located warehouses and logistical centers closer to consumers.

Australian retail REITs also advanced as developers of shopping centers reported a rebound in foot traffic, rent, and demand for retail space as pandemic-related restrictions eased and vaccinations against COVID-19 increased. The pandemic disrupted business for restaurants at shopping centers, but increased business for takeout food mitigated the impact. Nonetheless, rising interest rates and inflationary pressures limited gains. Some Australian states extended protections for tenants impacted by the pandemic, limiting landlords from terminating leases and forcing rent relief.

U.K. real estate companies also contributed to the Index’s return. Higher online purchases during stay-at-home orders drove demand for warehouse and logistics services, leading to rising profits at industrial REITs. Limited land availability and zoning restrictions limited the ability to build enough new warehouses to meet growing demand, driving up the value of existing property portfolios.

The Israeli real estate management and development industry also contributed to the Index’s return. Commercial property owners reported stronger earnings after shopping mall stores and business offices reopened following the lifting of pandemic-related restrictions.

On the downside, Japanese companies in the real estate management and development industry detracted from the Index’s return. Vacancy rates in Tokyo office towers dropped through most of 2021 but investors were concerned about the impact of newly planned buildings on the supply of office space.

The German real estate management and development industry also detracted from the Index’s performance. The German government pledged to expand affordable housing, which could negatively impact developers.

Portfolio Information

Investment Objective

The iShares International Developed Small Cap Value Factor ETF (the “Fund”) seeks to track the investment results of an index composed of international developed market small-capitalization stocks, excluding the U.S. and Korea, with prominent value characteristics, as represented by the FTSE Developed ex US ex Korea Small Cap Focused Value Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

The inception date of the Fund was 3/23/21. The first day of secondary market trading was 3/25/21.

Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 19 for more information.

Expense Example

Portfolio Management Commentary

International developed market small-capitalization stocks with prominent value characteristics advanced for the reporting period. Canadian stocks contributed the most to the Index’s return, led by stocks in the energy sector. As the global economy rebounded following the initial disruptions of the coronavirus pandemic, demand for energy accelerated while supply remained constrained. Consequently, the prices of oil, natural gas, and coal all rose notably during the reporting period. The war in Ukraine drove further gains in oil prices as sanctions on Russia, the world’s third-largest supplier of oil, led to increased uncertainty surrounding supply. Higher prices for energy products drove increased revenues and cash flows for Canadian energy companies.

Stocks from the U.K. also advanced, particularly in the real estate sector. Businesses that own self-storage facilities benefited from rising demand for storage, which led to higher occupancy rates. Small and medium sized businesses were leading customers of storage facilities, as were older and divorced individuals.

On the downside, Japanese stocks detracted from the Index’s performance. The capital goods industry endured declines as makers of construction equipment raised concerns about semiconductor supply shortages. The retail industry also faced headwinds as Japanese retail spending declined late in the reporting period. In Sweden, the consumer discretionary sector was a detractor amid a selloff of outdoor-related stocks.

The Index’s selection process is designed to maximize exposure to small-capitalization stocks with prominent value characteristics, with screens to eliminate stocks with low liquidity, high volatility, high leverage, negative sentiment, and negative momentum. Reflecting those constraints, the Index significantly outperformed the broader market, as represented by the MSCI World ex USA Small Cap Index. Exposure to the value factor and the low-volatility factor were significant contributors to the Index’s relative return.

From a sector perspective, stock selection in the healthcare, utilities and real estate sectors were the top contributors to the Index’s relative return. Stock selection and an overweight position in healthcare also contributed, while stock selection in the materials and industrials sector detracted from performance.

Portfolio Information

Investment Objective

The iShares International Dividend Growth ETF (the “Fund”) seeks to track the investment results of an index composed of international equities with a history of consistently growing dividends, as represented by the Morningstar^® Global ex-US Dividend Growth Index^SM (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

The inception date of the Fund was 5/17/16. The first day of secondary market trading was 5/19/16.

Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 19 for more information.

Expense Example

Portfolio Management Commentary

Dividend stocks outside the U.S. advanced as the global economic recovery and higher consumer demand brought corporate dividends to record levels during the reporting period. Healthy corporate balance sheets and accessible capital markets also drove strong dividends. Mining companies led dividend payouts, as higher commodities prices supported cash flow. Banks resumed dividends and stock repurchases.

Canadian equities advanced strongly as economic activity in the country rose above pre-coronavirus pandemic levels. High vaccination rates helped the economy reopen, and targeted government aid bolstered household incomes, enabling steady, if uneven, economic recovery despite inflationary pressure. Stimulus programs also created higher government debt, which raised concerns about the impact on economic growth.

Japan’s economy recovered more slowly than in many other developed countries, but its corporate dividend yields ranked among the strongest, reflecting resilient company balance sheets. Consumer spending, which comprises about half of Japan’s economy, drove growth. However, a surge in COVID-19 cases early in 2022 raised concerns about continued growth. The Bank of Japan maintained stimulus measures. and the Japanese yen weakened, attenuating the effect of more expensive commodities inputs. A rise in exports and decline in imports supported the economy’s gains.

Switzerland’s economy grew significantly in 2021, driven by increases in private consumption as pandemic-related restrictions eased. Government spending on pandemic-related aid contributed, as did the hotel and catering industry, which benefited from the resumption of summer tourism. Switzerland’s solid currency, highly skilled workforce, and globally competitive companies with strong balance sheets helped it weather the pandemic. Few companies reduced their dividends, and Swiss banks resumed payouts earlier than banks in the E.U.

The U.K.’s economy advanced strongly as its services sector, which comprises 79% of its economy, expanded amid reopening. Healthcare and social services contributed to growth as the British vaccination program expanded, and testing and tracing increased. Household and government spending also grew, along with exports, supporting a strong rebound in dividends amid the U.K.’s strongest economic growth since 1941.

Portfolio Information

Investment Objective

The iShares Latin America 40 ETF (the “Fund”) seeks to track the investment results of an index composed of 40 of the largest Latin American equities, as represented by the S&P Latin America 40^TM (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

GROWTH OF $10,000 INVESTMENT

(AT NET ASSET VALUE)

Index performance through January 30, 2013 is calculated using currency exchange (FX) rates corresponding to 5:15 P.M. ET. Index performance beginning on January 31, 2013 is calculated using FX rates corresponding to World Market Reuters 4:00 P.M. London.

Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 19 for more information.

Expense Example

Portfolio Management Commentary

Large-capitalization Latin American stocks advanced strongly for the reporting period, rising sharply after declining for much of 2021. Markets benefited from strength in energy- and commodities-exporting countries as prices for oil, metals, and other raw materials rose. Commodities price increases helped strengthen Latin American currencies, improving foreign investors’ returns. The perception of value in the region and the removal of Russian stocks from key global indexes helped drive up inflows from abroad.

Brazilian stocks contributed the most to the Index’s return, bolstered by rising commodities prices, investor appetite for value in a shift away from growth, and the perception of improved prospects for political stability. The Brazilian energy sector advanced amid soaring oil prices, as supply failed to keep pace with renewed demand. Supply constraints following Russia’s invasion of Ukraine and the resulting sanctions against Russia, a key exporter of oil, further pressured supply chains. High oil prices drove stronger sales and profits for the integrated oil and gas industry. The materials sector, another strong contributor to the Index’s performance, also advanced due to increased commodities prices. Metals and mining companies advanced sharply as prices for commodities such as iron ore reached record highs, driving earnings growth. Despite high levels of volatility, iron ore prices ended the reporting period near 10-year highs.

Mexican stocks contributed significantly to the Index’s return, led by the communication services and consumer staples sectors. Mexico’s close link to the U.S. economy, which recovered faster than expected, bolstered investor optimism that Mexico might experience relatively less volatility than other emerging markets, despite slowing Mexican domestic growth. The telecommunication services industry advanced, as subscriber growth and demand for broadband services bolstered earnings. In the consumer staples sector, food and staples retailers benefited from improved margins and increased online shopping.

Peruvian stocks also contributed to the Index’s performance, bolstered by a strong economic recovery and growth in exports. In the financials sector, Peruvian banks benefited from growth in loans and net interest income as well as a reduction in loan loss provisions.

Portfolio Information

About Fund Performance

Past performance is not an indication of future results. Financial markets have experienced extreme volatility and trading in many instruments has been disrupted. These circumstances may continue for an extended period of time and may continue to affect adversely the value and liquidity of each Fund’s investments. As a result, current performance may be lower or higher than the performance data quoted. Performance data current to the most recent month-end is available at iShares.com. Performance results assume reinvestment of all dividends and capital gain distributions and do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. The investment return and principal value of shares will vary with changes in market conditions. Shares may be worth more or less than their original cost when they are redeemed or sold in the market. Performance for certain funds may reflect a waiver of a portion of investment advisory fees. Without such a waiver, performance would have been lower.

Net asset value or “NAV” is the value of one share of a fund as calculated in accordance with the standard formula for valuing mutual fund shares. Beginning August 10, 2020, the price used to calculate market return (“Market Price”) is the closing price. Prior to August 10, 2020, Market Price was determined using the midpoint between the highest bid and the lowest ask on the primary stock exchange on which shares of a fund are listed for trading, as of the time that such fund’s NAV is calculated. Since shares of a fund may not trade in the secondary market until after the fund’s inception, for the period from inception to the first day of secondary market trading in shares of the fund, the NAV of the fund is used as a proxy for the Market Price to calculate market returns. Market and NAV returns assume that dividends and capital gain distributions have been reinvested at Market Price and NAV, respectively.

An index is a statistical composite that tracks a specified financial market or sector. Unlike a fund, an index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by a fund. These expenses negatively impact fund performance. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower.

Shareholder Expenses

Shareholders of each Fund may incur the following charges: (1) transactional expenses, including brokerage commissions on purchases and sales of fund shares and (2) ongoing expenses, including management fees and other fund expenses. The expense examples shown (which are based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other funds.

The expense examples provide information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number under the heading entitled “Expenses Paid During Period.”

The expense examples also provide information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in a Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect any transactional expenses, such as brokerage commissions and other fees paid on purchases and sales of fund shares. Therefore, the hypothetical examples are useful in comparing ongoing expenses only and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended March 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

For the period ended March 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows: