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WisdomTree Trust

Annual Report

August 31, 2023

 

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 Voya Yield Enhanced USD Universal Bond Fund (UNIY)

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 Efficient Gold Plus Equity Strategy Fund (GDE)

WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (GDMN)

WisdomTree Enhanced Commodity Strategy Fund (GCC)

WisdomTree Managed Futures Strategy Fund (WTMF)

WisdomTree PutWrite Strategy Fund (PUTW)

(formerly, WisdomTree CBOE S&P 500 PutWrite Strategy Fund)

WisdomTree Target Range Fund (GTR)


Table of Contents

 

Market Environment Overview (unaudited)

       1  

Information about Performance and Shareholder Expense Examples (unaudited)

       3  

Management’s Discussion of Funds’ Performance (unaudited)

       4  

Description of Terms and Indexes (unaudited)

       23  
Schedules of Investments         

WisdomTree Bloomberg U.S. Dollar Bullish Fund

       29  

WisdomTree Chinese Yuan Strategy Fund

       32  

WisdomTree Emerging Currency Strategy Fund

       34  

WisdomTree Emerging Markets Corporate Bond Fund

       36  

WisdomTree Emerging Markets Local Debt Fund

       41  

WisdomTree Floating Rate Treasury Fund

       45  

WisdomTree Interest Rate Hedged High Yield Bond Fund

       46  

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund

       55  

WisdomTree Mortgage Plus Bond Fund

       83  

WisdomTree Voya Yield Enhanced USD Universal Bond Fund

       86  

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund

       115  

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

       148  

WisdomTree Alternative Income Fund

       158  

WisdomTree Efficient Gold Plus Equity Strategy Fund (consolidated)

       159  

WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (consolidated)

       166  

WisdomTree Enhanced Commodity Strategy Fund (consolidated)

       168  

WisdomTree Managed Futures Strategy Fund (consolidated)

       170  

WisdomTree PutWrite Strategy Fund

       172  

WisdomTree Target Range Fund

       173  

Statements of Assets and Liabilities

       174  

Statements of Operations

       178  

Statements of Changes in Net Assets

       182  

Financial Highlights

       189  

Notes to Financial Statements

       200  

Report of Independent Registered Public Accounting Firm

       222  

Liquidity Risk Management Program (unaudited)

       224  

Trustees and Officers Information (unaudited)

       225  

Supplemental Information (unaudited)

       227  

General Information (unaudited)

       230  

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


Market Environment Overview

(unaudited)

 

Global equity markets, as measured by the MSCI ACWI Index, returned 13.95% in U.S. dollar (“USD”) terms for the 12-month period ending August 31, 2023. Over the same period, U.S. equities, measured by the S&P 500 Index, returned 15.94%. Internationally, the MSCI EAFE Index, which represents equity markets in the developed world outside the U.S. and Canada, returned 17.92% in USD terms. Within the developing world, the MSCI Emerging Markets Index returned 1.25% in USD terms.

The Bloomberg U.S. Aggregate Bond Index, a measurement of broad U.S. fixed income, fell 1.19% during the period. Commodities continued to slip from their post-pandemic highs, with the Bloomberg Commodity Index, representing global commodity markets, lost 8.67%. Foreign exchange performance over the 12-month period was also mixed, but the USD generally weakened against a basket of most developed and emerging market currencies. Among Group of Ten (“G10”) currencies, only the Swiss franc, British pound, euro, and Danish krone strengthened against the USD, as their own economic outlooks suggested further interest rate hikes would be needed to quell local inflation, whereas investors grew convinced that the Federal Reserve’s (“Fed”) rate hike cycle in the U.S. was at, or near, its conclusion. The remaining G10 currencies weakened against the USD, while only a small handful of notable emerging market currencies strengthened against it. Among Asian currencies, the USD continued to strengthen against the Japanese yen due to policy rate differentials and the Chinese yuan renminbi due to economic growth concerns amid the Chinese property market crisis. The CBOE® Volatility Index, which measures options market positioning as a proxy for volatility, steadily declined over the period and exhibited brief spikes coinciding with headline risks.

Although equity markets climbed higher during the period, the first three months (from September to November 2022) got off to a slow start. U.S. inflation began to decelerate after peaking in the summertime months. Though this would ultimately lead to 75 more basis points of interest rate hikes from the Fed, finishing November at 4%, it ultimately encouraged investors that the worst had passed, and disinflation and a reduced pace of interest rate hikes would continue. Despite the economic data, developed equity markets climbed higher. The MSCI ACWI and S&P 500 indexes grew between 3-4% in USD terms. The MSCI EAFE index fared even better, returning over 6% in USD terms. Emerging markets did not participate in the equity uptrend, however, falling about 2% by November’s end. Bond market volatility remained constant during this three-month period, as the Bloomberg U.S. Aggregate Bond Index fell 2% due to pressure from rising interest rates. The U.S. 10-Year Treasury Yield illustrated the volatility well. It began September at about 3.2%, surged to over 4.2% by mid-October, and fell to 3.6% to end November. The U.S. yield curve remained deeply inverted. Commodities fell by about 4%.

The three-month period encompassing December 2022 through February 2023 exhibited mixed equity market activity as U.S. inflation rates continued to decelerate but remained stubbornly higher than investors had expected. This prompted the Fed to raise interest rates another 75 basis points to 4.75%. In USD terms, the MSCI ACWI and MSCI Emerging Markets indexes were flat while the S&P 500 lost a little more than 2%. Only the MSCI EAFE Index kept pace with the prior three-month period, returning another 6% in USD terms. The Bloomberg U.S. Aggregate Bond Index was flat, with volatility remaining a constant. Though the yield curve remained inverted, the 10-Year U.S. Treasury yield responded to changing investor perceptions about the U.S. economy. It began December at 3.6%, climbed higher to about 3.85%, then fell to under 3.4%, before it finished February over 3.9%. Commodities fell over 7.5% by the end of February as global disinflation continued.

The March through May 2023 period began to send global equities slightly higher as U.S. inflation decelerated down to 4% year-over-year, much closer to the Fed’s 2% target rate and marking twelve straight months of disinflation from a peak in June 2022. The Fed was encouraged by this, opting to raise interest rates only 50 basis points further to finish May at 5.25%. In USD terms, the MSCI ACWI Index grew almost 3.5%, while the S&P 500 climbed higher by about 6%. The MSCI EAFE and MSCI Emerging Markets Indexes were

 

WisdomTree Trust      1  


Market Environment Overview

(unaudited) (concluded)

 

roughly flat in USD terms. The Bloomberg U.S. Aggregate Index grew by 2% as rates slightly fell, although the U.S. yield curve remained inverted. The U.S. 10-Year Treasury yield began March at roughly 3.9% and fell as low as 3.3% before climbing back to 3.64% by the end of May. Commodities continued to fall as inflation decelerated, with the Bloomberg Commodity Index losing 6.5%.

The final three months, from June through August 2023, exhibited most of the equity markets’ gains for the entire period. U.S. inflation stabilized in the 3% range despite ticking back up slightly in the late summer months. This did not discourage the Fed, however, who raised rates 25 basis points to 5.5% in July and kept rates there ever since. During this period the MSCI ACWI Index grew nearly 7% in USD terms, while the S&P 500 returned over 8%. The MSCI Emerging Markets and MSCI EAFE Indexes grew 3.5-4% apiece in USD terms. The Bloomberg U.S. Aggregate Bond Index remained flat, losing only 1%. Though the yield curve remained inverted, it steepened during the period and reduced the extent of inversion. The U.S. 10-Year Treasury yield steadily climbed higher from 3.65%, peaking 4.34% in late August before concluding the period at 4.1%. Commodities finally bounced back after larger than expected oil supply cuts from OPEC raised global prices, sending the Bloomberg Commodity Index higher by almost 10%.

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.

 

2   WisdomTree Trust


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. For the most recent month-end performance information visit www.wisdomtree.com/investments.

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.

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, 2023 to August 31, 2023. 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.

 

WisdomTree Trust      3  


Management’s Discussion of Funds’ Performance

as of August 31, 2023 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    93.3%  

Exchange-Traded Funds

    4.5%  

Other Assets less Liabilities‡

    2.2%  

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 Bills,
5.40%, 10/19/23

    24.1%  

U.S. Treasury Bills,
5.07%, 9/14/23

    23.6%  

U.S. Treasury Bills,
5.42%, 12/7/23

    23.2%  

U.S. Treasury Bills,
5.38%, 9/19/23

    22.4%  

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).

 

^

For a full list of holdings information for the underlying WisdomTree fund, please see page 45 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 0.71% at net asset value (“NAV”) for the fiscal year ended August 31, 2023, outperforming the Index by 0.34% (for more complete performance information please see the table below). Interest generated on the underlying investment in short-term U.S. Treasury obligations and the positive net interest differentials embedded in the forward contracts offset an overall decline in the U.S. dollar (“USD”) relative to the selected basket of global currencies. The positive influence of interest income came as the U.S. Federal Reserve continued to tighten monetary policy, lifting U.S. short-term rates to 22-year highs. After sharp appreciation in fiscal year 2022, the USD lost momentum and eventually reversed in 2023 as continued tightening by the U.S. Federal Reserve fed potential growth concerns amid extended investor positioning. Strength in late summer economic data mitigated some of these concerns, enabling the USD to recover lost ground in August.

At the end of March, the Index adopted some methodology changes, which brought it more in line with the investment approach of the Fund. The Index now tracks a collateral investment in U.S. short-term interest rates combined with currency forward positions to achieve the desired currency exposure. These positions are rolled monthly. Previously, the Index tracked changes in the spot currency of the USD relative to the basket of global currencies plus a calculated interest component reflecting both U.S. and global short-term interest rates.

Shareholder Expense Example (for the six-month period ended August 31, 2023)

 

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

Actual

   $ 1,000.00      $ 1,018.50        0.50 %1    $ 2.54  

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

       0.71      3.64      2.58      2.80

Fund Market Price Returns

       0.77      3.59      2.59      2.81

Bloomberg Dollar Total Return Index

       0.37      3.88      2.56      2.94

Bloomberg Dollar Spot Index

       -4.28      2.22      0.96      2.03
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.

 

4   WisdomTree Trust


Management’s Discussion of Funds’ Performance

as of August 31, 2023 (unaudited)

WisdomTree Chinese Yuan Strategy Fund (CYB)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    67.9%  

Repurchase Agreement

    27.2%  

Exchange-Traded Funds

    4.5%  

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 Bills,
5.00%, 9/21/23

    35.3%  

U.S. Treasury Bills,
4.96%, 9/14/23

    32.6%  

Citigroup, Inc., tri-party repurchase agreement,
5.30%, 9/1/23††

    27.2%  

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 45 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 (“USD”). 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 -2.93% at net asset value (“NAV”) for the fiscal year ended August 31, 2023 (for more complete performance information please see the table below). China’s re-opening since the lifting of the Zero-Covid policy in early December 2022 has not generated a robust bounce back with its economy struggling with weak growth, falling prices, a real estate bubble and an increasing unemployment rate among college graduates. The Chinese yuan continued to depreciate against the USD as the People’s Bank of China continued cutting interest rates while the U.S. Fed stayed in the quantitative tightening cycle and the USD generally appreciated after January 2023. The Fund experienced a depreciation in its onshore Chinese yuan forward position, both from spot market movement and negative carry (interest rate differential) while the offshore yuan position also depreciated but with a modest cushion from positive carry. The interest generated on the Fund’s investment in short-term U.S. Treasury obligations offset some of the negative detraction in performance.

Shareholder Expense Example (for the six-month period ended August 31, 2023)

 

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

Actual

   $ 1,000.00      $ 966.10        0.45 %1    $ 2.23  

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

       -2.93      0.38      1.11      0.71

Fund Market Price Returns

       -2.54      0.28      1.19      0.73

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

       -2.81      0.85      1.83      1.61

Chinese yuan

       -4.55      -1.58      -1.04      -1.53

 

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  


Management’s Discussion of Funds’ Performance

as of August 31, 2023 (unaudited)

WisdomTree Emerging Currency Strategy Fund (CEW)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    97.4%  

Exchange-Traded Funds

    3.9%  

Repurchase Agreement

    0.7%  

Other Assets less Liabilities‡

    -2.0%  

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 Bills,
5.40%, 10/19/23

    50.5%  

U.S. Treasury Bills,
5.08%, 9/14/23

    46.9%  

WisdomTree Floating Rate Treasury Fund (USFR)^

    3.9%  

Citigroup, Inc., tri-party repurchase agreement,
5.30%, 9/1/23††

    0.7%  
*

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 45 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 8.20% at net asset value (“NAV”) for the fiscal year ended August 31, 2023 (for more complete performance information please see the table below). The Fund benefited from the carry or interest rate differentials embedded in emerging markets currency forwards, as well as interest income generated from the investment in the short-term U.S. government securities underpinning the forward positions. This income return offset a slight decline in the currencies within the Fund relative to the U.S. dollar over the fiscal year. The Fund modestly underperformed its performance benchmark the JP Morgan Emerging Local Market Index Plus (8.54%) by 0.34% based on the Fund’s 1-year NAV return, as the 0.21% of outperformance from the investments was less than the Fund’s expense ratio.

Returns were driven by exposures to Latin American currencies and the Polish zloty. Exposures to China, South Africa, Thailand, and Malaysia detracted from performance. Relative to the index, excess returns generated from overweights to selected Latin American currencies, such as Brazil, Chile, and Colombia, were offset by less exposure to European currencies and an underweight to the Mexican peso.

Shareholder Expense Example (for the six-month period ended August 31, 2023)

 

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

Actual

   $ 1,000.00      $ 1,038.20        0.55 %1    $ 2.83  

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

       8.20      0.73      0.71      -0.54

Fund Market Price Returns

       8.22      0.69      0.69      -0.55

JP Morgan Emerging Local Markets Index Plus (ELMI+)

       8.54      -0.50      0.56      -0.17

Equal-Weighted Emerging Currency Composite

       9.25      -0.55      0.34      -0.34

 

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


Management’s Discussion of Funds’ Performance

as of August 31, 2023 (unaudited)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

 

Country Breakdown

 

Country   % of Net Assets  

Mexico

    8.5%  

South Korea

    7.2%  

Brazil

    6.3%  

United Kingdom

    5.8%  

India

    5.3%  

Colombia

    4.5%  

China

    4.4%  

Chile

    4.4%  

Israel

    4.1%  

United Arab Emirates

    3.6%  

Saudi Arabia

    2.9%  

Thailand

    2.7%  

Mongolia

    2.6%  

Turkey

    2.4%  

South Africa

    2.4%  

Malaysia

    2.3%  

Kuwait

    1.9%  

Qatar

    1.7%  

United States

    1.5%  

Spain

    1.5%  

Poland

    1.4%  

Hong Kong

    1.3%  

Luxembourg

    1.3%  

Panama

    1.3%  

Australia

    1.2%  

Guatemala

    1.2%  

Indonesia

    1.1%  

Ireland

    1.1%  

Others^

    8.2%  

Other Assets less Liabilities‡

    5.9%  

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  

Sands China Ltd.,
5.65%, 8/8/28

    1.8%  

HSBC Holdings PLC,
5.89%, 8/14/27

    1.5%  

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

    1.4%  

Ecopetrol SA,
8.88%, 1/13/33

    1.3%  

AngloGold Ashanti Holdings PLC,
3.75%, 10/1/30

    1.2%  

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

    1.2%  

JSW Steel Ltd.,
5.05%, 4/5/32

    1.2%  

Nexa Resources SA,
6.50%, 1/18/28

    1.2%  

Engie Energia Chile SA,
3.40%, 1/28/30

    1.1%  

POSCO,
5.63%, 1/17/26

    1.1%  
*

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 (“EM”) countries.

The Fund returned 5.11% at net asset value (“NAV”) for the fiscal year ended August 31, 2023 (for more complete performance information please see the table below). Despite continued hawkish central bank rhetoric out of developed markets, EM remained resilient and was somewhat supported by EM central banks, which are nearing the end of their tightening cycles across countries. This has led to continued compression in the spread for EM assets. Returns were broad-based across sovereigns, quasi-sovereigns and EM corporates, as well as by region and credit ratings. The primary driver of relative performance was the Fund’s overweight to Latin America and underweight to Asia. 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.

Shareholder Expense Example (for the six-month period ended August 31, 2023)

 

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

Actual

   $ 1,000.00      $ 1,028.90        0.60   $ 3.07  

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      10 Year  

Fund NAV Returns

       5.11      -1.92      2.13      2.76

Fund Market Price Returns

       5.48      -2.09      2.18      2.81

JP Morgan CEMBI Diversified Index

       4.36      -1.99      2.22      3.50

 

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  


Management’s Discussion of Funds’ Performance

as of August 31, 2023 (unaudited)

WisdomTree Emerging Markets Local Debt Fund (ELD)

 

Country Breakdown

 

Country   % of Net Assets  

Brazil

    12.4%  

Indonesia

    11.4%  

Colombia

    9.0%  

Malaysia

    7.5%  

Supranational Bonds

    7.1%  

China

    6.3%  

United States

    6.2%  

Poland

    4.9%  

South Africa

    4.8%  

Mexico

    4.8%  

Thailand

    4.4%  

Peru

    4.2%  

India

    3.4%  

Chile

    3.2%  

Czech Republic

    2.5%  

Hungary

    2.1%  

Romania

    2.0%  

Turkey

    0.7%  

Egypt

    0.0%

Other Assets less Liabilities‡

    3.1%  

Total

    100.0%  

 

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

 

^

Represents less than 0.1%.

 

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,
5.30%, 9/1/23††

    6.2%  

Brazil Letras do Tesouro Nacional,
10.29%, 7/1/24, Series LTN

    2.3%  

Brazil Letras do Tesouro Nacional,
8.09%, 1/1/24, Series LTN

    2.1%  

Brazil Notas do Tesouro Nacional,
10.00%, 1/1/29, Series F

    1.9%  

Brazil Notas do Tesouro Nacional,
10.00%, 1/1/25, Series F

    1.8%  

China Government Bond,
2.68%, 5/21/30

    1.5%  

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

    1.5%  

Colombian TES,
7.00%, 3/26/31, Series B

    1.3%  

Brazil Notas do Tesouro Nacional,
10.00%, 1/1/27, Series F

    1.3%  

Brazil Letras do Tesouro Nacional,
12.68%, 7/1/25

    1.3%  
*

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 (“EM”) countries.

The Fund returned 11.83% at net asset value (“NAV”) for the fiscal year ended August 31, 2023 (for more complete performance information please see the table below). Coupon, bond price, and local currency return were all positive contributors to performance, with coupon return being particularly influential. The Fund started the year under pressure, declining 7% by late October amid Fed tightening, pressure from rising U.S. rates and sharp increases in the U.S. dollar. As a more positive environment for risk assets developed, EM currency exposures within the Fund recovered, and EM rates began to decline on positive disinflation trends in many EM countries.

The Fund outperformed the JP Morgan GBI-EM Global Diversified Index (the “Index”) by 49 basis points over the fiscal year based on the Fund’s 1-year NAV return. Underweights in European and Asian exposures detracted from relative performance in the first half of the year, while strength in Latin American exposures helped the Fund recover some of the performance deficit that occurred in the last six months of the Fund’s fiscal year.

Shareholder Expense Example (for the six-month period ended August 31, 2023)

 

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

Actual

   $ 1,000.00      $ 1,079.60        0.55   $ 2.88  

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

       11.83      -1.03      1.62      -0.27

Fund Market Price Returns

       11.28      -0.80      1.69      -0.15

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

       11.34      -2.25      1.20      -0.07

 

 

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


Management’s Discussion of Funds’ Performance

as of August 31, 2023 (unaudited)

WisdomTree Floating Rate Treasury Fund (USFR)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    99.5%  

Other Assets less Liabilities‡

    0.5%  

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 Floating Rate Notes,
5.61%, 1/31/25

    26.9%  

U.S. Treasury Floating Rate Notes,
5.55%, 10/31/24

    26.9%  

U.S. Treasury Floating Rate Notes,
5.58%, 4/30/25

    26.8%  

U.S. Treasury Floating Rate Notes,
5.54%, 7/31/25

    18.9%  
*

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 4.75% at net asset value (“NAV”) compared to 4.95% for the Index for the fiscal year ended August 31, 2023 (for more complete performance information please see the table below). As a result of the U.S. Federal Reserve (“Fed”) quantitative tightening, the Fund’s overall yield and performance resumed its upward trajectory from the previous fiscal year. It is expected that the Fed will continue to hold interest rates at a high level in order to curtail inflation more and ultimately bring inflation back down toward their goal of 2%. This higher-for-longer interest rate scenario will continue to be beneficial for the Fund.

Shareholder Expense Example (for the six-month period ended August 31, 2023)

 

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

Actual

   $ 1,000.00      $ 1,026.70        0.15   $ 0.77  

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

       4.75      1.77      1.73      1.17

Fund Market Price Returns

       4.74      1.79      1.72      1.17

Bloomberg U.S. Treasury Floating Rate Bond Index

       4.95      1.95      1.90      1.34
1 

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

 

 

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  


Management’s Discussion of Funds’ Performance

as of August 31, 2023 (unaudited)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

Corporate Bonds

    95.6%  

Other Assets less Liabilities‡

    4.4%  

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 Ten Holdings*

 

Description   % of Net Assets  

Sirius XM Radio, Inc.,
5.50%, 7/1/29

    1.0%  

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

    1.0%  

Transocean, Inc.,
11.50%, 1/30/27

    0.9%  

Post Holdings, Inc.,
4.63%, 4/15/30

    0.9%  

Centene Corp.,
4.63%, 12/15/29

    0.8%  

NGL Energy Operating LLC / NGL Energy Finance Corp.,
7.50%, 2/1/26

    0.8%  

Tenet Healthcare Corp.,
6.13%, 6/15/30

    0.8%  

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

    0.8%  

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

    0.7%  

DISH DBS Corp.,
7.75%, 7/1/26

    0.7%  
*

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 9.74% at net asset value (“NAV”) compared to 10.65% for the Index, for the fiscal year ended August 31, 2023 (for more complete performance information please see the table below). During the fiscal year, interest rates climbed from the beginning of the fiscal year to recent highs during the summer of 2023, where the U.S. 10-year Treasury yield reached 4.11% after starting the fiscal year at 3.19%. The Fund’s use of short futures contracts on U.S. Treasuries to hedge interest rate risk was particularly additive to Fund performance during the fiscal year due to interest rate rises across the yield curve. The Fund’s 9.74% return compared favorably to the 7.01% generated by the broad high yield market (as measured by the ICE BofA Merrill Lynch U.S. High Yield Index). Both high-yield spread compression during the fiscal year as well as multi-decade high income offered by the asset class, helped the Fund generate a strong return in an environment where many more interest rate strategies generated losses. The Fund, given its high yield nature, relatively outperformed the investment grade credit market as the fiscal year was primarily driven by a “risk-on” widespread market rally.

Shareholder Expense Example (for the six-month period ended August 31, 2023)

 

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

Actual

   $ 1,000.00      $ 1,043.00        0.43   $ 2.21  

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

       9.74      4.83      2.74      3.25

Fund Market Price Returns

       10.21      5.07      2.71      3.23

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

       10.65      6.09      3.62      4.02

ICE BofA Merrill Lynch U.S. High Yield Index

       7.01      1.86      3.16      4.09
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.

 

10   WisdomTree Trust


Management’s Discussion of Funds’ Performance

as of August 31, 2023 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    40.3%  

U.S. Government Agencies

    28.6%  

Corporate Bonds

    25.3%  

Commercial Mortgage-Backed Securities

    1.7%  

Supranational Bonds

    1.6%  

Foreign Government Obligations

    0.9%  

Municipal Bonds

    0.8%  

Asset-Backed Securities

    0.4%  

Foreign Government Agencies

    0.4%  

U.S. Government Agencies TBA Sale Commitments

    -0.3%  

Repurchase Agreement

    1.2%  

Other Assets less Liabilities‡

    -0.9%  

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,
5.30%, 9/1/23††

    1.2%  

U.S. Treasury Notes,
1.38%, 11/15/31

    0.7%  

U.S. Treasury Notes,
1.88%, 2/15/32

    0.6%  

U.S. Treasury Notes,
0.63%, 8/15/30

    0.6%  

Federal National Mortgage
Association, 2.00%, 12/1/50

    0.6%  

Federal National Mortgage
Association, 2.00%, 3/1/51

    0.6%  

U.S. Treasury Notes,
1.25%, 8/15/31

    0.5%  

U.S. Treasury Notes,
4.13%, 11/15/32

    0.5%  

U.S. Treasury Notes,
1.25%, 4/30/28

    0.5%  

U.S. Treasury Notes,
1.00%, 12/15/24

    0.5%  
*

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 6.35% at net asset value (“NAV”) for the fiscal year ended August 31, 2023 (for more complete performance information please see the table below). The Fund outperformed the Index, by 15 basis points over the year net of fees. During the fiscal year, interest rates steadily climbed from the beginning of the fiscal year to recent highs during the summer of 2023, where the U.S. 10-year Treasury yield reached 4.11% after starting the fiscal year at 3.19%. The Fund’s use of short futures contracts on U.S. Treasuries to hedge interest rate risk was particularly additive to Fund performance during the fiscal year due to interest rate rises across the yield curve.

The U.S. Aggregate bond universe experienced largely negative performance from August to October 2022, primarily driven by “risk-on” assets selling off in the appearance of inverted yield curve, market fear of recession and uncertainty and longer duration bonds responding to interest rate hikes. However, signs of moderating inflation from below expectation in the October 2022 Consumer Price Index data improved market sentiment, bolstering values across the aggregate bond universe. While debate continues within the Fed regarding whether another rate hike is needed, restrictive monetary policy will likely continue for the foreseeable future which will continue to be beneficial for the Fund relative to strategies with longer duration.

Shareholder Expense Example (for the six-month period ended August 31, 2023)

 

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

Actual

   $ 1,000.00      $ 1,028.50        0.23   $ 1.18  

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

       6.35      2.39      2.19      1.62

Fund Market Price Returns

       6.08      2.40      2.10      1.62

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

       6.20      2.43      2.13      1.83
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.

 

WisdomTree Trust      11  


Management’s Discussion of Funds’ Performance

as of August 31, 2023 (unaudited)

WisdomTree Mortgage Plus Bond Fund (MTGP)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

Collateralized Mortgage Obligations

    50.0%  

U.S. Government Agencies

    42.6%  

Commercial Mortgage-Backed Securities

    3.4%  

Collateralized Loan Obligations

    2.9%  

Other Assets less Liabilities‡

    1.1%  

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  

Federal National Mortgage Association,
2.00%, 3/1/52

    10.5%  

Federal National Mortgage Association,
2.50%, 9/1/52

    4.6%  

Federal Home Loan Mortgage Corp.,
2.50%, 2/1/52

    3.4%  

Federal Home Loan Mortgage Corp.,
2.00%, 1/1/52

    2.8%  

Seasoned Credit Risk Transfer Trust,
4.00%, 8/25/56, Series 2017-2, Class M1

    2.7%  

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

    2.3%  

Federal National Mortgage Association,
2.50%, 12/1/51

    2.3%  

Seasoned Credit Risk Transfer Trust,
3.75%, 9/25/55, Series 2016-1, Class M2

    2.2%  

Federal National Mortgage Association REMIC,
5.00%, 9/25/40, Series 2010-102, Class PN

    1.9%  

Flagstar Mortgage Trust,
2.50%, 9/25/51, Series 2021-8INV, Class A6

    1.8%  
*

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 -2.87% at net asset value (“NAV”) for the fiscal year ended August 31, 2023 (for more complete performance information please see the table below). Security selection within agency mortgages was a main source of differentiated relative performance between the Fund and the broader mortgage-backed securities (“MBS”) market. Persistent high inflation, albeit falling, and corresponding interest rates continued to keep the housing market muted, whereby new and existing home sales have remained on the lower end of the cycle. However, the low supply of existing homes available for sale has supported this market from otherwise worsening conditions. Agency MBS have been the laggard within the Bloomberg U.S. Aggregate Index this year partially due to the removal of years of stimulus and partly due to failed banks from earlier this spring. However, the Mortgage-Backed asset class was able to recover from the sell off during the regional banking crisis in March, thanks to declining interest rate volatility and improving market sentiment of the asset class. Within securitized credit sectors, Commercial Mortgage-Backed Securities (“CMBS”) continued to be directly impacted by the acute and ongoing credit pressures facing owners of commercial real estate and mortgage debt holders. The Fund’s intermediate level duration served as a headwind to performance as interest rates rose sharply over the fiscal year.

Shareholder Expense Example (for the six-month period ended August 31, 2023)

 

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

Actual

   $ 1,000.00      $ 1,000.80        0.45   $ 2.27  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.94        0.45   $ 2.29  

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      Since Inception1  

Fund NAV Returns

       -2.87      -3.81      -1.90

Fund Market Price Returns

       -2.82      -3.81      -1.89

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

       -1.96      -3.99      -2.09
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.

 

12   WisdomTree Trust


Management’s Discussion of Funds’ Performance

as of August 31, 2023 (unaudited)

WisdomTree Voya Yield Enhanced USD Universal Bond Fund (UNIY)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

Corporate Bonds

    36.8%  

U.S. Government Obligations

    30.1%  

U.S. Government Agencies

    20.0%  

Foreign Government Obligations

    3.5%  

Commercial Mortgage-Backed Securities

    3.4%  

Asset-Backed Securities

    1.2%  

Foreign Government Agencies

    1.0%  

Municipal Bonds

    0.8%  

Supranational Bonds

    0.5%  

Other Assets less Liabilities‡

    2.7%  

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  

U.S. Treasury Notes,
4.13%, 1/31/25

    2.5%  

U.S. Treasury Notes,
4.00%, 2/15/26

    1.9%  

Federal National Mortgage Association,
2.00%, 2/1/52

    1.9%  

U.S. Treasury Notes,
1.50%, 1/31/27

    1.7%  

U.S. Treasury Notes,
3.63%, 3/31/28

    1.7%  

U.S. Treasury Notes,
2.88%, 6/15/25

    1.6%  

U.S. Treasury Notes,
4.13%, 7/31/28

    1.4%  

U.S. Treasury Notes,
0.13%, 1/15/24

    1.4%  

U.S. Treasury Notes,
4.63%, 2/28/25

    1.3%  

U.S. Treasury Notes,
3.88%, 1/15/26

    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 Voya Yield Enhanced USD Universal Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg U.S. Universal Enhanced Yield Index (the “Index”). In seeking to track the Index, the Fund invests mainly in the U.S. dollar denominated bond market while enhancing yield within desired risk parameters and constraints. 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 -0.61% at net asset value (“NAV”) for the fiscal period ended August 31, 2023 (for more complete performance information please see the table below). The Fund underperformed the Index by 17 basis points since the Fund’s inception on February 7, 2023.

The Fund benefitted from a sizable underweight to Treasuries as yields rose across the yield curve. The Fund’s overweight to corporates generated income from its short-duration, investment grade holdings due to the inverted yield curve. Given resilient strength in the economy and the labor market, the Federal Reserve (“Fed”) kept raising rates to combat inflation with the 10-year Treasury yield continuing to rise from 3.19% to 4.11% for the fiscal period ended August 31, 2023. The Fed tightening led to an extension in duration in those sectors, enabling the Fund to generate higher yields while taking less duration and interest rate risk compared to the benchmark index due to its underweighting positions in Treasury and Securitized sectors. The Fund also benefited as both high yield spread compression during the fiscal period as well as multi-decade high carry offered by the asset class from its overweight to the high yield and ex-aggregate bond universe. The negative impact from additional rate hikes started to decrease as the Fed neared the end of its rate hiking cycle and with higher yields serving as an extra cushion from price decreases.

Shareholder Expense Example (for the six-month period ended August 31, 2023)

 

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

Actual

   $ 1,000.00      $ 1,014.10        0.15   $ 0.76  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.45        0.15   $ 0.77  

Performance

 

   
        Cumulative Total Return  
        Since Inception1  

Fund NAV Returns

       -0.61

Fund Market Price Returns

       -0.61

Bloomberg U.S. Universal Enhanced Yield Index

       -0.44

Bloomberg U.S. Aggregate Index

       -0.95
1 

Total returns are calculated based on the commencement of Fund trading on the NASDAQ on February 7, 2023.

 

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  


Management’s Discussion of Funds’ Performance

as of August 31, 2023 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

Corporate Bonds

    46.8%  

U.S. Government Obligations

    21.4%  

U.S. Government Agencies

    17.7%  

Commercial Mortgage-Backed Securities

    6.7%  

Asset-Backed Securities

    5.1%  

Foreign Government Obligations

    2.0%  

Foreign Government Agencies

    0.3%  

Repurchase Agreement

    0.3%  

Municipal Bonds

    0.1%  

Supranational Bonds

    0.0%

U.S. Government Agencies TBA Sale Commitments

    -0.7%  

Other Assets less Liabilities‡

    0.3%  

Total

    100.0%  

 

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

 

^

Represents less than 0.1%.

 

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  

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

    0.9%  

Federal Home Loan Bank,
5.50%, 7/15/36, Series 677

    0.8%  

Tennessee Valley Authority,
5.88%, 4/1/36

    0.7%  

Uniform Mortgage-Backed Securities,
2.00%, 10/1/38

    0.7%  

Uniform Mortgage-Backed Securities,
1.50%, 10/1/37

    0.5%  

Federal National Mortgage Association,
5.63%, 7/15/37

    0.4%  

Federal National Mortgage Association,
2.00%, 12/1/50

    0.4%  

Tennessee Valley Authority,
4.63%, 9/15/60

    0.4%  

Tennessee Valley Authority,
4.25%, 9/15/65

    0.4%  

Tennessee Valley Authority,
5.38%, 4/1/56

    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).

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 -0.66% at net asset value (“NAV”) for the fiscal year ended August 31, 2023 (for more complete performance information please see the table below). The Fund underperformed its underlying, primary benchmark, the Bloomberg U.S. Aggregate Enhanced Yield Index, by 13 basis points, roughly in line with its annual expense ratio. The Fund outperformed its broader, secondary market benchmark: the Bloomberg U.S. Aggregate Index (“Agg Index”) by 53 basis points net of fees. This outperformance of the Agg Index was mainly driven by a sizable underweight to Treasuries as yields rose across the yield curve and the Fund’s overweight to corporates as income generated in the short-end, high quality paper across investment grade given the inverted yield curve. Given the resilient strength in the economy and the labor market, the Federal Reserve (“Fed”) kept raising rates to combat inflation with the 10-year Treasury yield continuing to rise from 3.19% to 4.11% for the fiscal year ended August 31, 2023. The Fed tightening led to the extension in duration in the Treasury and Securitized sectors, enabling the Fund to generate higher yields while taking less duration and interest rate risk compared to the benchmark Agg Index starting at the end of 2022 due to its underweighting positions in these sectors. The Fund outperformed the Agg Index also because of its overweight to the government agencies and industrial buckets. Allocation within these buckets added value as well.

Shareholder Expense Example (for the six-month period ended August 31, 2023)

 

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

Actual

   $ 1,000.00      $ 1,014.50        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

       -0.66      -4.91      0.23      1.01

Fund Market Price Returns

       -0.50      -4.89      0.24      1.02

Bloomberg U.S. Aggregate Enhanced Yield Index

       -0.53      -4.72      0.38      1.19

Bloomberg U.S. Aggregate Index

       -1.19      -4.41      0.49      0.99
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


Management’s Discussion of Funds’ Performance

as of August 31, 2023 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

Corporate Bonds

    46.7%  

U.S. Government Obligations

    41.8%  

U.S. Government Agencies

    11.6%  

Commercial Mortgage-Backed Securities

    6.3%  

Foreign Government Agencies

    0.6%  

Foreign Government Obligations

    0.2%  

Supranational Bond

    0.1%  

Asset-Backed Securities

    0.0%

Other Assets less Liabilities‡

    -7.3%  

Total

    100.0%  

 

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

 

^

Represents less than 0.1%.

 

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 Notes,
0.50%, 3/31/25

    10.1%  

U.S. Treasury Bills,
5.37%, 10/3/23

    8.5%  

Uniform Mortgage-Backed Securities,
3.00%, 9/1/38

    5.1%  

U.S. Treasury Notes,
3.50%, 1/31/28

    3.9%  

U.S. Treasury Notes,
0.63%, 7/31/26

    3.0%  

Uniform Mortgage-Backed Securities,
2.50%, 9/1/38

    2.8%  

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

    1.7%  

U.S. Treasury Notes,
2.50%, 3/31/27

    1.6%  

Benchmark Mortgage Trust,
2.58%, 4/15/54, Series 2021-B25, Class A5

    1.5%  

U.S. Treasury Notes,
2.75%, 7/31/27

    1.4%  
*

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 0.96% at net asset value (“NAV”) for the fiscal year ended August 31, 2023 (for more complete performance information please see the table below). The Fund underperformed the Index, by 40 basis points net of fees. The Fund also underperformed the broader market benchmark the Bloomberg U.S. Short Aggregate Composite Index (“Short Agg Index”), by 10 basis points over the year, net of fees (gross of fees, the Fund’s 1-year return based on NAV was 2 basis points higher than the index). Rising rates over the fiscal year negatively affected performance due to the Fund’s slightly longer duration relative to the short Agg Index during second half of 2022 but as of August 31, 2023, the Fund had less duration and interest rate risk than the Short Agg Index. Given resilient strength in the economy and the labor market, the Federal Reserve kept raising rates to combat inflation with the 10-year Treasury yield rising from 3.19% to 4.11% for the fiscal year ended August 31, 2023. The Fund benefited from a significant underweight to longer term U.S. Treasuries as yields rose across the Treasury curve. From a sector perspective, the Fund’s overweight position to the Utilities sector corporate bonds contributed negatively to performance because of macroeconomic pressure and weak energy demand over the fiscal year.

Shareholder Expense Example (for the six-month period ended August 31, 2023)

 

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

Actual

   $ 1,000.00      $ 1,018.10        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

       0.96      -1.69      1.12      0.95

Fund Market Price Returns

       1.01      -1.70      1.08      0.94

Bloomberg U.S. Short Aggregate Enhanced Yield Index

       1.36      -1.74      1.00      0.91

Bloomberg U.S. Short Aggregate Composite Index

       1.06      -1.58      1.13      0.94
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  


Management’s Discussion of Funds’ Performance

as of August 31, 2023 (unaudited)

WisdomTree Alternative Income Fund (HYIN)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

Common Stocks

    71.7%  

Closed-End Mutual Funds

    27.9%  

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 Ten Holdings*

 

Description   % of Net Assets  

Redwood Trust, Inc.

    3.4%  

Angel Oak Mortgage REIT, Inc.

    3.3%  

Arbor Realty Trust, Inc.

    3.2%  

Hercules Capital, Inc.

    3.1%  

Rithm Capital Corp.

    3.0%  

Blackstone Mortgage Trust, Inc., Class A

    3.0%  

Chimera Investment Corp.

    3.0%  

FS KKR Capital Corp.

    3.0%  

Golub Capital BDC, Inc.

    2.9%  

Starwood Property Trust, Inc.

    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 returned 5.28% at net asset value (“NAV”) for the fiscal year ended August 31, 2023 (for more complete performance information please see the table below). The Fund underperformed the Index, by 49 basis points, roughly in line with its management fee of 50 basis points. Interest rates in the U.S. continued to rise as the Federal Reserve moved along in their quantitative tightening to tame inflation, impacting many of the more interest rate sensitive strategies within the Fund. Accordingly, strategies linked to agency real estate debt (-9.5% in the Index) were the largest detractor from performance within the Fund and Index. Credit based strategies fared much better over the year as corporate fundamentals proved resilient. Private corporate lending (+16% in the Index) had the best performance among strategies in the Fund.

Shareholder Expense Example (for the six-month period ended August 31, 2023)

 

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

Actual

   $ 1,000.00      $ 1,056.10        0.50   $ 2.59  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.68        0.50   $ 2.55  

Performance

 

   
        Average Annual Total Return  
        1 Year      Since Inception1  

Fund NAV Returns

       5.28      -2.58

Fund Market Price Returns

       5.21      -2.60

Gapstow Liquid Alternative Credit Index

       5.77      -2.09

ICE BofA Merrill Lynch U.S. High Yield Index

       7.01      -0.79

S&P 500® Index

       15.94      5.10
1 

Total returns are calculated based on the commencement of Fund trading on the Cboe BZX Exchange, Inc. on May 6, 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.

 

16   WisdomTree Trust


Management’s Discussion of Funds’ Performance

as of August 31, 2023 (unaudited)

WisdomTree Efficient Gold Plus Equity Strategy Fund (GDE) (consolidated)

 

Country Breakdown

 

Country   % of Net Assets  

United States

    88.7%  

Others^

    0.5%  

Other Assets less Liabilities‡

    10.8%  

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  

Apple, Inc.

    6.8%  

Microsoft Corp.

    5.8%  

Amazon.com, Inc.

    3.0%  

NVIDIA Corp.

    2.7%  

Alphabet, Inc., Class A

    2.0%  

Alphabet, Inc., Class C

    1.7%  

Tesla, Inc.

    1.7%  

Berkshire Hathaway, Inc., Class B

    1.6%  

Meta Platforms, Inc., Class A

    1.5%  

UnitedHealth Group, Inc.

    1.1%  
*

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 Efficient Gold Plus Equity Strategy Fund (the “Fund”) is actively managed using a models-based approach seeking total return. The Fund seeks to achieve its investment objective by investing, either directly or through a wholly-owned subsidiary, in a portfolio comprised of (i) U.S.-listed gold futures contracts and (ii) U.S. equity securities. The Fund uses U.S.-listed gold futures contracts to enhance the capital efficiency of the Fund.

The Fund returned 22.14% at net asset value (“NAV”) for the fiscal year ended August 31, 2023 (for more complete performance information please see the table below). The Fund exhibited strong performance during the fiscal year due to both its equity and gold exposures. It invests 90% of assets into the 500 largest U.S. equities, similar to the S&P 500, which was additive during the fiscal year as large cap equities rallied. The remaining 10% of assets are used to collateralize the Fund’s futures overlay strategy, which provides an extra 90% of gold exposure. The gold futures strategy was also beneficial for the Fund as gold returned over 13% during the fiscal year. This was primarily due to the high inflation environment and investors’ recessionary fears. Gold tends to perform well as an inflation-hedge, and as a defensive asset amid economic concerns and market volatility.

Shareholder Expense Example (for the six-month period ended August 31, 2023)

 

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

Actual

   $ 1,000.00      $ 1,169.70        0.20   $ 1.09  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.20        0.20   $ 1.02  

Performance

 

   
        Average Annual Total Return  
        1 Year      Since Inception1  

Fund NAV Returns

       22.14      0.55

Fund Market Price Returns

       22.03      0.63

S&P 500® Index

       15.94      4.07
1 

Total returns are calculated based on the commencement of Fund trading on the Cboe BZX Exchange, Inc. on March 17, 2022.

 

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  


Management’s Discussion of Funds’ Performance

as of August 31, 2023 (unaudited)

WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (GDMN) (consolidated)

 

Country Breakdown

 

Country   % of Net Assets  

Canada

    41.7%  

Australia

    14.7%  

United States

    12.4%  

South Africa

    9.0%  

Brazil

    4.0%  

United Kingdom

    3.3%  

China

    2.9%  

Peru

    1.0%  

Others^

    0.9%  

Other Assets less Liabilities‡

    10.1%  

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  

Newmont Corp.

    8.9%  

Barrick Gold Corp.

    8.9%  

Franco-Nevada Corp.

    8.0%  

Agnico Eagle Mines Ltd.

    6.0%  

Northern Star Resources Ltd.

    4.6%  

Gold Fields Ltd., ADR

    4.3%  

Wheaton Precious Metals Corp.

    4.0%  

Newcrest Mining Ltd.

    3.8%  

AngloGold Ashanti Ltd., ADR

    3.6%  

Kinross Gold Corp.

    3.2%  
*

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).

The WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (the “Fund”) is actively managed using a models-based approach seeking total return. The Fund seeks to achieve its investment objective by investing, either directly or through a wholly-owned subsidiary, in a portfolio comprised of (i) U.S.-listed gold futures contracts and (ii) global equity securities issued by companies that derive at least 50% of their revenue from the gold mining business (“Gold Miners”). The Fund uses U.S.-listed gold futures contracts to enhance the capital efficiency of the Fund.

The Fund returned 26.95% at net asset value (“NAV”) for the fiscal year ended August 31, 2023 (for more complete performance information please see the table below). The Fund exhibited strong performance during the fiscal year, due to rising gold prices and additive returns within its gold miner equity allocation. It invests 90% of assets into a global, diversified assortment of gold mining companies, whose share prices rallied due to increased global demand for gold and improved outlooks for the mining industry itself. The remaining 10% of assets are used to collateralize the Fund’s futures overlay strategy, which provides an extra 90% of gold exposure. The gold futures strategy was also beneficial for the Fund as gold returned over 13% during the fiscal year. Gold tends to perform well as an inflation-hedge, and as a defensive asset amid economic concerns and market volatility.

Shareholder Expense Example (for the six-month period ended August 31, 2023)

 

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

Actual

   $ 1,000.00      $ 1,080.60        0.45   $ 2.36  

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

       26.95      -1.19

Fund Market Price Returns

       26.98      -1.39

NYSE ARCA Gold Miners Index

       25.96      2.27
1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on December 16, 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


Management’s Discussion of Funds’ Performance

as of August 31, 2023 (unaudited)

WisdomTree Enhanced Commodity Strategy Fund (GCC) (consolidated)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    91.1%  

Exchange-Traded Funds

    4.5%  

Other Assets less Liabilities‡

    4.4%  

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 Bills,
5.06%, 9/7/23

    79.1%  

U.S. Treasury Bills,
5.42%, 11/28/23

    12.0%  

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).

 

^

For a full list of holdings information for the underlying WisdomTree fund, please see page 45 of this report.

The WisdomTree Enhanced Commodity Strategy Fund (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 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 Fund returned -2.56% at net asset value (“NAV”) for the fiscal year ended August 31, 2023 (for more complete performance information please see the table below). During the fiscal year, the Fund benefitted from exposure to energy commodities as energy prices continued to rise in an environment characterized by higher inflation. However, the Fund is routinely underweight energy exposure compared to other commodity benchmarks in the market, so greater energy exposure during the fiscal year would have aided performance further. Bitcoin exposure, which is the Fund’s only cryptocurrency exposure, was additive as it strengthened during the period. Industrial metal performance was mixed but generally detracted from performance, as overweight exposures to nickel and aluminum weighed negatively on performance. Agriculture commodities, including grains, livestock, and soft commodities, detracted from performance as well, as most struggled during the period. Collectively, the agricultural commodity sector amounts to roughly 30% of the Fund and declining prices combined with large exposure created a performance headwind during the fiscal year.

Shareholder Expense Example (for the six-month period ended August 31, 2023)

 

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

Actual

   $ 1,000.00      $ 1,019.20        0.55 %1    $ 2.80  

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      Since Inception1  

Fund NAV Returns

       -2.56      10.14

Fund Market Price Returns

       -2.12      10.11

S&P GSCI Index

       -1.77      25.02

Bloomberg Commodity Index Total Return

       -8.67      14.70
1 

For the period December 19, 2020 (post-reorganization) through August 31, 2023.

 

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      19  


Management’s Discussion of Funds’ Performance

as of August 31, 2023 (unaudited)

WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    82.1%  

Exchange-Traded Funds

    4.4%  

Other Assets less Liabilities‡

    13.5%  

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 Bills,
5.07%, 9/7/23

    73.3%  

U.S. Treasury Bills,
5.42%, 11/28/23

    8.8%  

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.4%  
*

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 45 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 over economic market cycles. The Fund is managed using a quantitative, rules-based strategy and invests in a combination of diversified futures contracts for equities, commodities, currencies and interest rates.

The Fund returned 6.00% at net asset value (“NAV”) for the fiscal year ended August 31, 2023 (for more complete performance information please see the table below). During the period, the Fund benefitted most from exposures to equities and energy commodities. Equity exposures to the S&P 500, Euro STOXX 50, and Nikkei 225 indexes were additive as each of the three indexes climbed 15-26% higher, in U.S. dollar, euro, and yen terms, respectively. Energy commodity exposures were also beneficial in an inflationary environment, as natural gas, U.S. diesel, gasoil, and Reformulated Blendstock for Oxygenate Blending gasoline prices all climbed higher. Most other commodity contract exposures exhibited mixed, yet negligible, performance during the period. Bitcoin exposure was also additive, as the cryptocurrency strengthened during the period. Interest rate exposures in a rising rate environment weighed negatively on Fund performance, however, as the Fund was positioned for longer-term interest rates to fall. Exposures to the 10- and 30-Year U.S. Treasury rates, for example, detracted from performance.

Shareholder Expense Example (for the six-month period ended August 31, 2023)

 

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

Actual

   $ 1,000.00      $ 1,079.80        0.65 %1    $ 3.41  

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

     6.00     6.27     1.92     0.63

Fund Market Price Returns

     6.13     6.26     1.88     0.61

ICE BofA U.S. 3-Month Treasury Bill Index

     4.25     1.55     1.65     1.07

60% S&P 500 Index/40% Bloomberg U.S. Aggregate Index Composite

     7.14     4.25     6.80     8.22

S&P GSCI Index

     -1.77     26.19     5.53     -3.26

SG Trend Index1

     -3.02     12.71     8.16     5.76
1 

The SG Trend Index was removed as a benchmark in favor of a blend of equities and fixed income to compare performance vs. a traditional asset allocation benchmark.

 

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.

 

20   WisdomTree Trust


Management’s Discussion of Funds’ Performance

as of August 31, 2023 (unaudited)

WisdomTree PutWrite Strategy Fund (PUTW)

(formerly, WisdomTree CBOE S&P 500 PutWrite Strategy Fund)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    93.7%  

Exchange-Traded Funds

    4.1%  

Other Assets less Liabilities‡

    2.2%  

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 Bills,
5.47%, 2/1/24

    47.4%  

U.S. Treasury Bills,
5.05%, 9/7/23

    46.3%  

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 45 of this report.

The WisdomTree PutWrite Strategy Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Volos U.S. Large Cap Target 2.5% PutWrite Index (the “Index”). Prior to October 25, 2022, the Fund sought to track the price and yield performance, before fees and expenses, of the CBOE S&P 500 PutWrite Index (the “Former Index”), utilizing a strategy of writing put options on the S&P 500 Index. In seeking to track the Former Index, the strategy was 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 11.06% at net asset value (“NAV”) for the fiscal year ended August 31, 2023 (for more complete performance information please see the table below). During the period, the Fund benefitted from the premiums collected on the S&P 500 put options that it sold. The S&P 500 steadily climbed higher for the last six months of the period, pushing the options further out-the-money and thereby reducing the likelihood of the options being exercised. The proceeds from selling these options were invested in 3-Month U.S. Treasury Bills, which delivered modestly positive returns during the period and improved performance for the Fund.

Shareholder Expense Example (for the six-month period ended August 31, 2023)

 

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

Actual

   $ 1,000.00      $ 1,094.30        0.44 %1    $ 2.32  

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

       11.06      10.16      4.64      6.61

Fund Market Price Returns

       11.15      10.15      4.67      6.61

CBOE S&P 500® PutWrite/Volos U.S. Large Cap Target 2.5% PutWrite Spliced Index2

       12.76      11.24      5.39      7.32

S&P 500® Index

       15.94      10.52      11.12      14.02
1 

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

 

2 

CBOE S&P 500® PutWrite Index through October 24, 2022; Volos U.S. Large Cap Target 2.5% PutWrite 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      21  


Management’s Discussion of Funds’ Performance

as of August 31, 2023 (unaudited)

WisdomTree Target Range Fund (GTR)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    71.4%  

Purchased Options (Exchange-Traded)

    21.6%  

Other Assets less Liabilities‡

    7.0%  

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 Bills,
5.07%, 9/7/23

    71.4%  

SPDR S&P 500 ETF Trust,
Purchased Call Option @ $340 strike expiring 1/19/24

    14.0%  

iShares Russell 2000 ETF,
Purchased Call Option @ $160 strike expiring 1/19/24

    3.2%  

iShares MSCI EAFE ETF,
Purchased Call Option @ $61 strike expiring 1/19/24

    3.2%  

iShares MSCI Emerging Markets ETF,
Purchased Call Option @ $35 strike expiring 1/19/24

    1.2%  
*

The 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 Target Range Fund (the “Fund”) is actively managed seeking capital appreciation, with a secondary objective of hedging risk. In general, the Fund is expected to provide similar exposures to the TOPS® Global Equity Target Range Index (the “Index”), a long call spread option strategy that buys call options that are 15% in-the-money and sells call options that are 15% out-the-money, but will not match the Index’s returns due to the amount and timing of assets that flow in and out of the Fund.

The Fund returned 2.65% at net asset value (“NAV”) for the fiscal year ended August 31, 2023 (for more complete performance information please see the table below). The Fund employs a long call option spread strategy that involves buying options on four equity index tracking funds that are 15% in-the-money, while simultaneously selling call options on those same equity index tracking funds that are 15% out-the-money. As a result, it benefits when equity markets perform within this negative/positive 15% range with muted volatility. During the period, equity exposures to the Russell 2000 and MSCI Emerging Markets indexes, for example, were additive for the Fund as both indexes only gained about 1.2% and 4.6%, respectively. Exposures to the S&P 500 and MSCI EAFE indexes, however, climbed about 16% and 18%, respectively, which results in the Fund not being able to participate as much in equity bull markets since the 15% out-the-money call options sold are likely to be exercised.

Shareholder Expense Example (for the six-month period ended August 31, 2023)

 

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

Actual

   $ 1,000.00      $ 1,057.40        0.70   $ 3.63  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,021.68        0.70   $ 3.57  

Performance

 

   
        Average Annual Total Return  
        1 Year      Since Inception1  

Fund NAV Returns

       2.65      -5.21

Fund Market Price Returns

       2.46      -5.17

TOPS® Global Equity Target Range Index

       3.52      -4.25

MSCI AC World Index

       13.95      -0.03
1 

Total returns are calculated based on the commencement of Fund trading on the NASDAQ on October 7, 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.

 

22   WisdomTree Trust


Description of Terms and Indexes (unaudited)

 

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

60% S&P 500® Index/40% Bloomberg U.S. Aggregate Index Composite:

The 60% S&P 500® Index/40% Bloomberg U.S. Aggregate Index Composite represents a 60% weight to the S&P 500® Index and a 40% weight to the Bloomberg U.S. Aggregate Index. The Bloomberg U.S. Aggregate Index measures the performance of the U.S. investment-grade bond market.

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.

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 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 Bond Index:

The Bloomberg U.S. Aggregate Bond Index measures the performance of the U.S. investment-grade bond market.

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.

 

WisdomTree Trust      23  


Description of Terms and Indexes (unaudited) (continued)

 

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.

Bloomberg U.S. Universal Enhanced Yield Index:

The Bloomberg U.S. Universal Enhanced Yield Index is a rules-based index that seeks to provide both exposure and potential yield enhancement across the broad universe of U.S. Dollar-denominated market.

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.

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 non-deliverable) 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.

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.

 

24   WisdomTree Trust


Description of Terms and Indexes (unaudited) (continued)

 

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. High Yield Index:

The ICE BofA Merrill Lynch U.S. High Yield Index tracks the performance of U.S. dollar denominated below investment grade corporate bond debt securities issued in the U.S.

ICE BofA U.S. 3-Month Treasury Bill Index:

This ICE BofA U.S. 3-Month Treasury Bill Index is an unmanaged market index of U.S. Treasury securities maturing in 90 days that assumes reinvestment of all income.

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.

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.

Long Call Spread:

A long call spread is an option trading strategy designed to benefit from a stock’s limited increase in price. The strategy uses two call options — buying a lower strike call and selling a higher strike call — to create a range consisting of a lower strike price and an upper strike price. The long call spread helps to limit losses of owning stock but it also limits the gains.

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.

 

WisdomTree Trust      25  


Description of Terms and Indexes (unaudited) (continued)

 

MSCI AC World Index:

The MSCI AC World Index is a free float adjusted market capitalization index that is designed to measure the performance of the world stock indexes covered by MSCI.

NYSE ARCA Gold Miners Index:

The NYSE Arca Gold Miners Index is a modified market capitalization weighted index that measures the performance of global gold mining companies.

Risk-on and Risk-off refers to investors’ appetites for risk which 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 as high, investors tend 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 GSCI Index:

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

SG Trend Index:

The SG Trend Index (f.k.a. SG Trend-Sub Index) is an equal-weighted index that is designed to track the 10 largest (by AUM) trend following Commodity Trading Advisors and be representative of the trend followers in the managed futures space.

Spot Rate and Non-Deliverable Forward (“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.

TOPS® Global Equity Target Range Index:

The TOPS® Global Equity Target Range Index tracks the performance of a systematic collateralized conditional call / call spread strategy.

Volos U.S. Large Cap Target 2.5% PutWrite Index:  

The Volos U.S. Large Cap Target 2.5% PutWrite index tracks the performance of a systematic collateralized PutWrite strategy. At any point in time the strategy has two short put options on SPDR® ETF Trust, with different expiration dates, and a collateral account that accrues interest at a theoretical Treasury Bill rate on a daily basis.

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.

* * * * * *

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, AGZD or UNIY. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to each of AGGY, SHAG, AGZD or UNIY.

 

26   WisdomTree Trust


Description of Terms and Indexes (unaudited) (continued)

 

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).

Neither Volos nor any other party guarantees the accuracy and/or the completeness of the Volos U.S. Large Cap Target 2.5% PutWrite Index (the “Index”) or any Index data included herein. Neither Volos nor any other party makes any warranty, express or implied, as to results to be obtained from the use of the Index or any Index data included herein. Volos expressly disclaims any liability for any errors or omissions in the Index or Index data and no party may rely on the Index or Index data contained in this communication. Volos does not promote, sponsor or endorse the content of this communication.

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, 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 is the licensor of certain trademarks, service marks and trade names of the Funds. WisdomTree 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 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.

* * * * * *

 

 

WisdomTree Trust      27  


Description of Terms and Indexes (unaudited) (concluded)

 

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

 

CURRENCY ABBREVIATIONS:
AUD   Australian dollar    EUR   Euro    PHP   Philippine peso
BRL   Brazilian real    GBP   British pound    PLN   Polish zloty
CAD   Canadian dollar    HUF   Hungary forint    RON   Romanian leu
CHF   Swiss franc    IDR   Indonesian rupiah    SGD   Singapore dollar
CLP   Chilean peso    INR   Indian rupee    THB   Thai baht
CNH   Offshore Chinese renminbi    JPY   Japanese yen    TRY   Turkish new lira
CNY   Chinese yuan    KRW   South Korean won    TWD   New Taiwan dollar
COP   Colombian peso    MXN   Mexican peso    USD   U.S. dollar
CZK   Czech koruna    MYR   Malaysian ringgit    ZAR   South African rand
EGP   Egyptian pound    PEN   Peruvian nuevo sol     
OTHER ABBREVIATIONS:
ADR   American Depositary Receipt
HECM   Home Equity Conversion Mortgage
HRW   Hard Red Winter
PIK   Payment In Kind
RBOB   Reformulated Blendstock for Oxygenate Blending
REMIC   Real Estate Mortgage Investment Conduit
ULSD   Ultra-Low-Sulfur Diesel
WTI   West Texas Intermediate

 

 

28   WisdomTree Trust


Schedule of Investments

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

August 31, 2023

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 93.3%

 

  
U.S. Treasury Bills – 93.3%      

5.07%, 9/14/23*

   $ 46,513,000      $ 46,425,030  

5.38%, 9/19/23*

     44,110,000        43,993,769  

5.40%, 10/19/23*

     47,730,000        47,393,265  

5.42%, 12/7/23*

     46,250,000        45,595,215  
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost: $183,416,752)
              183,407,279  
EXCHANGE-TRADED FUND – 4.5%      
United States – 4.5%      
WisdomTree Floating Rate Treasury Fund(a)
(Cost: $8,871,143)
     176,500      $ 8,885,010  

TOTAL INVESTMENTS IN SECURITIES – 97.8%

(Cost: $192,287,895)

 

 

     192,292,289  

Other Assets less Liabilities – 2.2%

        4,284,732  
     

 

 

 
NET ASSETS – 100.0%             $ 196,577,021  
* 

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, 2023 were as follows:

 

Affiliate   Value at
8/31/2022
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
   

Change in
Unrealized
Appreciation/

Depreciation

    Value at
8/31/2023
    Dividend
Income
    Capital Gain
Distributions
 

WisdomTree Floating Rate Treasury Fund

  $ 16,758,375     $ 10,827,294     $ 18,731,775     $ 5,123     $ 25,993     $ 8,885,010     $ 588,385     $ 908  

 

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 NA

    9/6/2023       50,900,000       EUR       55,195,960       USD     $ 27     $  

Bank of America NA

    9/6/2023       15,115,000       GBP       19,147,652       USD       117        

Bank of America NA

    9/6/2023       453,384       USD       3,270,000       CNH       4,038        

Bank of America NA

    9/6/2023       829,745       USD       118,795,000       JPY       13,129        

Bank of America NA

    10/5/2023       56,906,590       USD       52,405,000       EUR             (919

Bank of America NA

    10/5/2023       19,903,753       USD       15,710,000       GBP             (461

Barclays Bank PLC

    9/6/2023       492,000,000       KRW       371,964       USD       288        

Barclays Bank PLC

    9/6/2023       277,441       USD       425,000       AUD       2,053        

Barclays Bank PLC

    9/6/2023       744,043       USD       1,000,000       CAD       3,908        

Barclays Bank PLC

    9/6/2023       314,392       USD       275,000       CHF       3,045        

Barclays Bank PLC

    9/6/2023       452,353       USD       3,270,000       CNH       3,006        

Barclays Bank PLC

    9/6/2023       59,445,150       USD       53,975,000       EUR       914,632        

Barclays Bank PLC

    9/6/2023       1,906,971       USD       1,735,000       EUR       25,537        

Barclays Bank PLC

    9/6/2023       659,174       USD       520,000       GBP       435        

Barclays Bank PLC

    9/6/2023       214,935       USD       17,770,000       INR       294        

Barclays Bank PLC

    9/6/2023       824,559       USD       118,985,000       JPY       6,637        

Barclays Bank PLC

    9/6/2023       83,562       USD       109,000,000       KRW       1,092        

Barclays Bank PLC

    9/6/2023       602,530       USD       10,310,000       MXN             (2,043

Barclays Bank PLC

    9/6/2023       170,604       USD       230,000       SGD       417        

Barclays Bank PLC

    9/6/2023       59,129       USD       1,870,000       TWD       402        

Citibank NA

    9/6/2023       50,210,000       INR       603,333       USD       3,148        

Citibank NA

    9/6/2023       929,000,000       KRW       693,154       USD       9,736        

Citibank NA

    9/6/2023       12,000,000       TWD       376,352       USD       501        

Citibank NA

    9/6/2023       745,296       USD       1,000,000       CAD       5,161        

Citibank NA

    9/6/2023       5,587,082       USD       459,880,000       INR       32,245        

Citibank NA

    9/6/2023       178,049       USD       14,750,000       INR             (114

Citibank NA

    9/6/2023       207,933       USD       273,000,000       KRW       1,379        

Citibank NA

    9/6/2023       207,308       USD       273,000,000       KRW       754        

Citibank NA

    9/6/2023       4,585,573       USD       144,020,000       TWD       62,701        

Citibank NA

    9/6/2023       148,291       USD       4,710,000       TWD       376        

 

See Notes to Financial Statements.

 

WisdomTree Trust      29  


Schedule of Investments (continued)

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

August 31, 2023

 

 

 

Counterparty   Settlement
Date
    Amount and
Description of
Currency to
be Purchased
    Amount and
Description of
Currency to
be Sold
    Unrealized
Appreciation
    Unrealized
Depreciation
 

Goldman Sachs

    9/6/2023       12,345,000       AUD       7,999,560       USD     $     $ (327

Goldman Sachs

    9/6/2023       29,095,000       CAD       21,534,146       USD       91        

Goldman Sachs

    9/6/2023       26,620,000       INR       321,727       USD             (187

Goldman Sachs

    9/6/2023       248,497       USD       329,000,000       KRW             (428

Goldman Sachs

    9/6/2023       603,540       USD       10,345,000       MXN             (3,086

Goldman Sachs

    10/5/2023       8,540,267       USD       13,165,000       AUD       540        

Goldman Sachs

    10/5/2023       22,768,502       USD       30,750,000       CAD             (134

HSBC Holdings PLC

    9/6/2023       430,315,000       INR       5,209,625       USD             (11,900

HSBC Holdings PLC

    9/6/2023       7,963,655,000       KRW       6,005,773       USD       19,604        

HSBC Holdings PLC

    9/6/2023       9,776,605       USD       8,495,000       CHF       158,802        

HSBC Holdings PLC

    9/6/2023       20,729,720       USD       16,150,000       GBP       270,807        

HSBC Holdings PLC

    9/6/2023       5,333,032       USD       7,080,000       SGD       94,214        

HSBC Holdings PLC

    10/5/2023       5,381,411       USD       445,075,000       INR       10,893        

HSBC Holdings PLC

    10/6/2023       6,423,733       USD       8,504,830,000       KRW             (21,654

JP Morgan Chase Bank NA

    9/6/2023       170,000       AUD       111,357       USD             (1,202

JP Morgan Chase Bank NA

    9/6/2023       770,000       AUD       498,902       USD       37        

JP Morgan Chase Bank NA

    9/6/2023       400,000       CAD       299,878       USD             (3,824

JP Morgan Chase Bank NA

    9/6/2023       1,810,000       CAD       1,337,502       USD       2,143        

JP Morgan Chase Bank NA

    9/6/2023       110,000       CHF       125,748       USD             (1,209

JP Morgan Chase Bank NA

    9/6/2023       495,000       CHF       563,666       USD             (3,241

JP Morgan Chase Bank NA

    9/6/2023       1,305,000       CNH       181,661       USD             (2,335

JP Morgan Chase Bank NA

    9/6/2023       5,890,000       CNH       806,967       USD       2,406        

JP Morgan Chase Bank NA

    9/6/2023       695,000       EUR       761,535       USD             (7,877

JP Morgan Chase Bank NA

    9/6/2023       3,145,000       EUR       3,435,853       USD             (25,413

JP Morgan Chase Bank NA

    9/6/2023       210,000       GBP       267,052       USD             (1,023

JP Morgan Chase Bank NA

    9/6/2023       940,000       GBP       1,195,438       USD             (4,641

JP Morgan Chase Bank NA

    9/6/2023       47,500,000       JPY       332,977       USD             (6,454

JP Morgan Chase Bank NA

    9/6/2023       215,375,000       JPY       1,473,578       USD       6,945        

JP Morgan Chase Bank NA

    9/6/2023       3,481,620,000       JPY       23,933,002       USD       213        

JP Morgan Chase Bank NA

    9/6/2023       4,090,000       MXN       238,730       USD       1,106        

JP Morgan Chase Bank NA

    9/6/2023       18,670,000       MXN       1,113,045       USD             (18,246

JP Morgan Chase Bank NA

    9/6/2023       299,615,000       MXN       17,569,408       USD             (140

JP Morgan Chase Bank NA

    9/6/2023       90,000       SGD       67,176       USD             (581

JP Morgan Chase Bank NA

    9/6/2023       500,000       SGD       370,472       USD             (499

JP Morgan Chase Bank NA

    9/6/2023       6,830,000       SGD       5,054,007       USD             (176

JP Morgan Chase Bank NA

    9/6/2023       8,870,473       USD       13,190,000       AUD       323,702        

JP Morgan Chase Bank NA

    9/6/2023       111,712       USD       170,000       AUD       1,557        

JP Morgan Chase Bank NA

    9/6/2023       331,148       USD       515,000       AUD             (2,558

JP Morgan Chase Bank NA

    9/6/2023       23,588,449       USD       31,090,000       CAD       577,642        

JP Morgan Chase Bank NA

    9/6/2023       298,931       USD       400,000       CAD       2,877        

JP Morgan Chase Bank NA

    9/6/2023       885,951       USD       1,205,000       CAD             (5,912

JP Morgan Chase Bank NA

    9/6/2023       172,296       USD       150,000       CHF       2,470        

JP Morgan Chase Bank NA

    9/6/2023       373,737       USD       330,000       CHF       120        

JP Morgan Chase Bank NA

    9/6/2023       14,309,716       USD       101,950,000       CNH       300,275        

JP Morgan Chase Bank NA

    9/6/2023       182,019       USD       1,305,000       CNH       2,693        

JP Morgan Chase Bank NA

    9/6/2023       540,294       USD       3,940,000       CNH             (1,120

JP Morgan Chase Bank NA

    9/6/2023       765,995       USD       695,000       EUR       12,337        

JP Morgan Chase Bank NA

    9/6/2023       2,597,016       USD       2,400,000       EUR             (5,545

JP Morgan Chase Bank NA

    9/6/2023       267,631       USD       210,000       GBP       1,601        

JP Morgan Chase Bank NA

    9/6/2023       794,072       USD       630,000       GBP             (4,016

JP Morgan Chase Bank NA

    9/6/2023       336,186       USD       47,465,000       JPY       9,904        

JP Morgan Chase Bank NA

    9/6/2023       984,144       USD       144,030,000       JPY             (5,941

JP Morgan Chase Bank NA

    9/6/2023       6,673,454       USD       8,509,655,000       KRW       234,968        

JP Morgan Chase Bank NA

    9/6/2023       19,005,503       USD       320,230,000       MXN       227,383        

JP Morgan Chase Bank NA

    9/6/2023       239,769       USD       4,120,000       MXN             (1,825

JP Morgan Chase Bank NA

    9/6/2023       736,785       USD       12,370,000       MXN       11,414        

JP Morgan Chase Bank NA

    9/6/2023       67,250       USD       90,000       SGD       655        

 

See Notes to Financial Statements.

 

30   WisdomTree Trust


Schedule of Investments (continued)

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

August 31, 2023

 

 

 

Counterparty   Settlement
Date
    Amount and
Description of
Currency to
be Purchased
    Amount and
Description of
Currency to
be Sold
    Unrealized
Appreciation
    Unrealized
Depreciation
 

JP Morgan Chase Bank NA

    9/6/2023       210,316       USD       285,000       SGD     $     $ (568

JP Morgan Chase Bank NA

    10/5/2023       25,290,450       USD       3,662,090,000       JPY             (638

JP Morgan Chase Bank NA

    10/5/2023       18,022,106       USD       308,920,000       MXN             (180

JP Morgan Chase Bank NA

    10/5/2023       5,130,899       USD       6,925,000       SGD       78        

Morgan Stanley & Co. International

    9/6/2023       109,000,000       KRW       83,835       USD             (1,364

Morgan Stanley & Co. International

    9/6/2023       138,605,000       TWD       4,350,439       USD       2,377        

Morgan Stanley & Co. International

    9/6/2023       1,906,281       USD       1,735,000       EUR       24,846        

Morgan Stanley & Co. International

    9/6/2023       26,185,786       USD       3,705,220,000       JPY       715,508        

Morgan Stanley & Co. International

    10/5/2023       4,417,662       USD       140,570,000       TWD             (12,740

Standard Chartered Bank

    9/6/2023       1,440,000       AUD       922,870       USD       10,212        

Standard Chartered Bank

    9/6/2023       3,390,000       CAD       2,502,781       USD       6,277        

Standard Chartered Bank

    9/6/2023       935,000       CHF       1,061,529       USD             (2,948

Standard Chartered Bank

    9/6/2023       11,125,000       CNH       1,524,390       USD       4,350        

Standard Chartered Bank

    9/6/2023       5,800,000       EUR       6,311,102       USD             (21,579

Standard Chartered Bank

    9/6/2023       1,765,000       GBP       2,248,644       USD             (12,731

Standard Chartered Bank

    9/6/2023       5,890,000       INR       71,139       USD       5        

Standard Chartered Bank

    9/6/2023       390,000,000       JPY       2,689,648       USD             (8,725

Standard Chartered Bank

    9/6/2023       35,000,000       MXN       2,048,396       USD       3,986        

Standard Chartered Bank

    9/6/2023       500,000       SGD       368,816       USD       1,157        

Standard Chartered Bank

    9/6/2023       1,855,000       TWD       58,650       USD             (395

Standard Chartered Bank

    9/6/2023       8,550,000       TWD       268,688       USD             (180

Standard Chartered Bank

    9/6/2023       277,875       USD       425,000       AUD       2,486        

Standard Chartered Bank

    9/6/2023       314,294       USD       275,000       CHF       2,947        

Standard Chartered Bank

    9/6/2023       661,630       USD       520,000       GBP       2,891        

Standard Chartered Bank

    9/6/2023       71,188       USD       5,890,000       INR       43        

Standard Chartered Bank

    9/6/2023       177,793       USD       14,745,000       INR             (310

Standard Chartered Bank

    9/6/2023       174,759       USD       235,000       SGD       871        

Standard Chartered Bank

    9/6/2023       149,071       USD       4,725,000       TWD       685        

Standard Chartered Bank

    9/6/2023       178,298       USD       5,685,000       TWD             (236

UBS AG

    9/6/2023       7,985,000       CHF       9,040,315       USD       80        

UBS AG

    9/6/2023       95,415,000       CNH       13,110,425       USD       1,009        

UBS AG

    10/5/2023       9,397,963       USD       8,275,000       CHF             (288

UBS AG

    10/13/2023       13,821,918       USD       100,430,000       CNH             (2,498
                                            $ 4,152,265     $ (210,411

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of August 31, 2023 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

   $      $ 183,407,279      $      $ 183,407,279  

Exchange-Traded Fund

     8,885,010                      8,885,010  

Total Investments in Securities

   $ 8,885,010      $ 183,407,279      $      $ 192,292,289  

Financial Derivative Instruments

           

Foreign Currency Contracts1

   $      $ 4,152,265      $      $ 4,152,265  

Liabilities:

           

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ (210,411    $      $ (210,411

Total – Net

   $ 8,885,010      $ 187,349,133      $      $ 196,234,143  
1 

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

 

See Notes to Financial Statements.

 

WisdomTree Trust      31  


Schedule of Investments

WisdomTree Chinese Yuan Strategy Fund (CYB)

August 31, 2023

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 67.9%

 

  
U.S. Treasury Bills – 67.9%      

4.96%, 9/14/23*

   $ 7,904,000      $ 7,889,051  

5.00%, 9/21/23*

     8,571,000        8,545,930  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $16,438,301)

              16,434,981  
      Shares          
EXCHANGE-TRADED FUND – 4.5%

 

United States – 4.5%

 

WisdomTree Floating Rate Treasury Fund(a)

     
(Cost: $1,069,367)      21,300        1,072,242  
Investments    Principal
Amount
     Value  
REPURCHASE AGREEMENT – 27.2%      
United States – 27.2%      

Citigroup, Inc., tri-party repurchase agreement dated 8/31/23 (tri-party custodian: The Bank of New York Mellon Corp.), 5.30% due 9/1/23; Proceeds at maturity – $6,580,969 (fully collateralized by Ginnie Mae I Construction Loan, 2.29% – 4.65% due 1/15/64 – 5/15/64, Ginnie Mae II HECM, 4.632% due 3/20/64; Market value including accrued interest – $6,909,579)

     
(Cost: $6,580,000)    $ 6,580,000      $ 6,580,000  

TOTAL INVESTMENTS IN SECURITIES – 99.6%

(Cost: $24,087,668)

 

 

     24,087,223  

Other Assets less Liabilities – 0.4%

 

     106,465  
     

 

 

 
NET ASSETS – 100.0%

 

   $ 24,193,688  
* 

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, 2023 were as follows:

 

Affiliate   Value at
8/31/2022
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
   

Change in
Unrealized
Appreciation/

Depreciation

    Value at
8/31/2023
    Dividend
Income
    Capital Gain
Distributions
 

WisdomTree Floating Rate Treasury Fund

  $ 1,120,575     $     $ 50,457     $ 252     $ 1,872     $ 1,072,242     $ 50,211     $ 57  

 

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
 

Citibank NA

    9/13/2023       4,458,907       USD       32,200,000       CNY      $      $ (12,210

Citibank NA

    11/13/2023       900,776       USD       6,500,000       CNY        1,257         

Citibank NA

    12/13/2023       32,200,000       CNY       4,453,973       USD        7,847         

HSBC Holdings PLC

    10/20/2023       27,500,000       CNH       3,821,718       USD               (45,552

HSBC Holdings PLC

    10/20/2023       54,500,000       CNY       7,596,878       USD               (55,307

Standard Chartered Bank

    10/20/2023       178,931       USD       1,300,000       CNH        421         

UBS AG

    9/13/2023       32,200,000       CNY       4,586,764       USD               (115,646

UBS AG

    11/13/2023       68,000,000       CNY       9,577,735       USD               (167,385
                                             $ 9,525      $ (396,100
 

As of August 31, 2023, the Fund posted cash collateral of $410,000 with the counterparty, UBS AG, for foreign currency contracts.

 

See Notes to Financial Statements.

 

32   WisdomTree Trust


Schedule of Investments (concluded)

WisdomTree Chinese Yuan Strategy Fund (CYB)

August 31, 2023

 

 

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of August 31, 2023 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