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Invesco Annual Report to Shareholders

 

October 31, 2023

    

PDBA  Invesco Agriculture Commodity Strategy No K-1 ETF

 

EVMT  Invesco Electric Vehicle Metals Commodity Strategy No K-1 ETF

 

  PDBC  Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF


 

Table of Contents

 

 

The Market Environment      3  
Management’s Discussion of Fund Performance      4  
Consolidated Schedules of Investments   

Invesco Agriculture Commodity Strategy No K-1 ETF (PDBA)

     13  

Invesco Electric Vehicle Metals Commodity Strategy No K-1 ETF (EVMT)

     14  

Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)

     16  
Consolidated Statements of Assets and Liabilities      22  
Consolidated Statements of Operations      23  
Consolidated Statements of Changes      24  
Consolidated Financial Highlights      25  
Notes to Consolidated Financial Statements      28  
Report of Independent Registered Public Accounting Firm      40  
Fund Expenses      42  
Tax Information      44  
Trustees and Officers      45  

 

    2    

 

 

 

 


 

The Market Environment

 

 

Commodity Market

Following two strong years, commodities’ performance was more mixed for the fiscal year ended October 31, 2023. For the reporting period, the DBIQ Optimum Yield Diversified Commodity Index Excess Return was down 6.04%,1 with precious metals and the agricultural sector ending higher, while energy posted negative performance and industrial metals were near flat.

Industrial metals and precious metals both moved higher to end calendar year 2022, due to optimism surrounding China’s reopening and the expectation that the US Federal Reserve (the Fed) would start easing its interest rate hikes. However, the market shifted its focus to recession fears in the first half of 2023 when both of these factors failed to play out as expected – this heavily weighed on investment demand, pressuring prices across the board. While commodities and energy especially, recovered sharply starting in June 2023 due to tightening oil balances, hopes for a US soft landing and upside surprises in demand, it was still insufficient to bring all commodity sectors back to positive territory.

Energy commodities performed negatively over the reporting period with the DBIQ Optimum Yield Energy Index Excess Return down 12.10%.1 Prices plunged in the first half of 2023, largely due to recession concerns driven by a disappointing recovery of the Chinese economy, the Fed’s more aggressive stance on interest rates and Europe’s looming energy crisis. However, energy commodities started to rally in July 2023 as Saudi Arabia and Russia remained committed to their supply cuts, extending them through the end of 2023, and demand from several non-traditional consuming regions and China fared better than expected. This helped return the global oil market back to a deficit. Macro sentiment also improved amid US economic resilience and easing Fed tightening, supporting broader market risk appetite.

Agricultural commodities posted positive performance for the reporting period with the DBIQ Diversified Agriculture Index Excess Return up 7.10%.1 While prices seesawed back and forth through the reporting period, the overall trend was positive. Most of the gains came from sugar, cocoa, live cattle and feeder cattle. Front month sugar and cocoa prices both gained nearly 80% – Indian export uncertainty and adverse weather in Brazil and Thailand raised supply risks for sugar, while the spread of a rot-causing disease in the Ivory Coast boosted cocoa prices. Cattle prices were supported by dwindling herd counts. On the other hand, wheat was heavily pressured, with front month prices down nearly 60% as Ukrainian grains continued to reach markets both with and without the Black Sea Grain Initiative and Russian wheat exports remained incredibly robust. This left US grains largely uncompetitive in global markets.

The performance of industrial metals was nearly flat for the reporting period with the DBIQ Optimum Yield Industrial Metals Index Excess Return down 0.35%.1 After prices skyrocketed from November 2022 through January of 2023 due to growing optimism for a strong Chinese reopening and expectations for a moderation in Fed rate hikes, the sector retreated sharply for the remainder of the reporting period. Recession fears weighed heavily on market risk sentiment and hence the sector. The downtrend did, however, slow in the last two months of the reporting period due to emerging signs of recovery in China and US economic resilience.

Precious metals posted positive performance with the DBIQ Optimum Yield Precious Metals Index Excess Return up 14.98%.1 The sector was supported to end 2022 on expectations that the Fed would soon dial back its aggressive rate hikes. Following that, the sector spiked once again due to the collapse of Silicon Valley Bank in March and US debt ceiling default fears in late April 2023, causing investors to flock to safe havens like gold. While gold prices faced downward pressure between May 2023 and September 2023 on a more hawkish-than-expected Fed, rising geopolitical tensions from the Israel-Gaza conflict in October 2023 renewed demand for safe havens. Strong central bank demand for gold also maintained a soft floor for the sector during the reporting period.

 

1 

Source: Bloomberg LP

 

    3    

 

 

 

 


 

 

PDBA    Management’s Discussion of Fund Performance
   Invesco Agriculture Commodity Strategy No K-1 ETF (PDBA)

 

The Invesco Agriculture Commodity Strategy No K-1 ETF (the “Fund”) is an actively managed exchange-traded fund (“ETF”) that seeks long-term capital appreciation. The Fund seeks to achieve its investment objective by investing in a combination of financial instruments that are economically linked to commodities drawn from the agriculture sector.

Under normal circumstances, the Fund invests, either directly or through a wholly-owned subsidiary (the “Subsidiary”), in a combination of three categories of investments: (i) exchange- traded futures contracts on underlying commodities (“Commodities Futures”); (ii) other instruments whose value is derived from or linked to price movements of underlying physical commodities, represented by exchange-traded futures contracts on commodity indices, commodity-linked notes, exchange-traded options on Commodities Futures, swaps on commodities and commodity-related forward contracts (“Commodity-Linked Instruments”); and (iii) cash, cash-like instruments or high-quality securities (collectively, “Collateral”). The Collateral may consist of (1) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (2) money market funds; and/or (3) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade or determined by the Adviser to be of comparable quality. Such Collateral is designed to provide liquidity, serve as margin or otherwise collateralize investments in the Commodities Futures and Commodity-Linked Instruments.

The Fund will not invest directly in physical commodities, Commodities Futures or Commodity-Linked Instruments. Instead, the Fund attempts to obtain investment returns that are highly correlated to the agriculture commodities markets by investing in these instruments indirectly through its Subsidiary. The Fund’s investment in the Subsidiary is expected to provide the Fund with exposure to Commodities Futures and Commodity-Linked Instruments in accordance with the limits of the federal tax laws, which limit the ability of investment companies like the Fund to invest directly in such investments. The Fund’s investment in the Subsidiary may not exceed 25% of the Fund’s total assets at each quarter-end of the Fund’s fiscal year. The Subsidiary operates under Cayman Islands law. It is wholly-owned and controlled by the Fund and advised by the Adviser. The Subsidiary has the same investment objective as the Fund and will follow the same general investment policies and restrictions, except that unlike the Fund, it may invest without limitation in Commodities Futures and Commodity-Linked Instruments.

The Subsidiary will invest in Commodities Futures (or gain exposure to Commodities Futures through the use of swaps) that generally are representative of the components of the DBIQ Diversified Agriculture Index Excess Return (the “Benchmark Index”), an index composed of futures contracts on 11 commodities drawn from the agriculture sector: Corn, Soybeans, Wheat, Kansas City Wheat, Sugar, Cocoa, Coffee, Cotton, Live

Cattle, Feeder Cattle, and Lean Hogs. Although the Subsidiary generally provides exposure to the components of the Benchmark Index, the Fund is not an “index tracking” ETF and instead seeks to exceed the performance of the Benchmark Index. Therefore, the Subsidiary may not seek exposure to all of the Benchmark Index’s components or in the same proportion as the Benchmark Index. The Subsidiary may invest in Commodities Futures (or gain exposure to such Commodities Futures through the use of swaps) that are not included in the Benchmark Index, but reference a commodity represented in the Benchmark Index by a different futures contract. At times, the Subsidiary also may invest in agriculture Commodities Futures outside the Benchmark Index, invest in Commodities Futures with expirations beyond those contained in the Benchmark Index or emphasize some agriculture commodities more than others.

The Subsidiary also invests a portion of its assets in Commodity- Linked Instruments to seek to increase its investment returns or hedge against declines in the value of its other investments. Although the Fund does not seek leveraged returns, investing in Commodity-Linked Instruments may have a leveraging effect on the Fund. The Commodity-Linked Instruments may be exchange- traded or traded over-the-counter (“OTC”).

For the fiscal year ended October 31, 2023, on a market price basis, the Fund returned 11.88%. On a net asset value (“NAV”) basis, the Fund returned 11.84%. During the same time period, the Benchmark Index returned 7.10%. Additionally, the DBIQ Diversified Agriculture Index Total Return (“Total Return Benchmark Index”) returned 12.56%. The Total Return Benchmark Index is similar to the Benchmark Index except that the Total Return Benchmark Index performance includes the return that would be generated by the Collateral. During the fiscal year, on a NAV basis, the Fund outperformed the Benchmark Index primarily due to interest income received from Collateral, although it underperformed the Total Return Benchmark Index primarily due to the fees and expenses that the Fund incurred during the period.

During the same time period, the S&P GSCI Agriculture Index returned (6.41)%. The S&P GSCI Agriculture Index has been selected for its recognition in the marketplace because its performance comparison is a useful measure for investors as a broad representation of the agriculture sector.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended October 31, 2023, included Sugar contracts and Cocoa contracts. The largest detractors from the Fund’s returns were Corn contracts and Wheat contracts.

 

 

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Invesco Agriculture Commodity Strategy No K-1 ETF (PDBA) (continued)

 

Risk Allocation* (% of the Fund’s Net Assets)
as of October 31, 2023
 
Asset Class    Risk Contribution by Agriculture Commodity  
Commodities      
   Sugar      18.52
   Cocoa      15.97  
   Live Cattle      13.60  
   Coffee      11.19  
   Soybeans      10.86  
   Corn      8.90  
   Lean Hogs      6.30  
   KC Wheat      4.27  
   Feeder Cattle      4.07  
   Wheat      3.82  
   Cotton      2.50  

 

*

Based on notional value of futures contracts.

Growth of a $10,000 Investment Since Inception

LOGO

Fund Performance History as of October 31, 2023

 

                Fund Inception  
Index   1 Year           Average
Annualized
    Cumulative  
DBIQ Diversified Agriculture Index Excess Return     7.10       2.57     3.05
DBIQ Diversified Agriculture Index Total Return     12.56         7.53       8.99  
S&P GSCI Agriculture Index     (6.41       (5.45     (6.42
Fund        
NAV Return     11.84         6.73       8.03  
Market Price Return     11.88         6.61       7.89  

 

 

 

  5  

 


 

Invesco Agriculture Commodity Strategy No K-1 ETF (PDBA) (continued)

 

Fund Inception: August 24, 2022

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information. The adviser has contractually agreed to waive fees and/or pay certain Fund expenses through August 31, 2025. According to the Fund’s current prospectus, the Fund’s expense ratio of 0.62% (0.59% after fee waiver) includes the unitary management fee of 0.59% and estimated acquired fund fees and expenses of 0.03%. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Cumulative Inception returns for the Fund and the indexes are based on the inception date of the Fund.

 

 

  6  

 


 

 

EVMT    Management’s Discussion of Fund Performance
   Invesco Electric Vehicle Metals Commodity Strategy No K-1 ETF (EVMT)

 

The Invesco Electric Vehicle Metals Commodity Strategy No K-1 ETF (the “Fund”) is an actively managed exchange-traded fund (“ETF”) that seeks long-term capital appreciation. The Fund seeks to achieve its investment objective by investing in a combination of financial instruments that are economically linked to the tradeable metals widely used in the production of an electric vehicle (which include, but are not limited to, iron ore, copper, aluminum, nickel, cobalt and lithium).

Under normal circumstances, the Fund invests, either directly or through a wholly-owned subsidiary (the “Subsidiary”), in a combination of four categories of investments: (i) exchange- traded futures contracts on underlying electric vehicle metal commodities (“Commodities Futures”); (ii) other instruments whose value is derived from or linked to price movements of underlying electric vehicle metal commodities. These other instruments consist of exchange-traded futures contracts on electric vehicle metal commodity indices, electric vehicle metal commodity-linked notes, exchange-traded options on Commodities Futures, swaps on electric vehicle metal commodities and electric vehicle metal commodity-related forward contracts (“Commodity-Linked Instruments”); (iii) investments related to or providing exposure to electric vehicle commodities. These investments include commodity-linked equity securities and commodity-linked exchange-traded notes (“ETNs”). These investments also include exchange-traded funds (“ETFs”), and other investment companies (including U.S. registered open-end investment companies (i.e., mutual funds), as well as closed-end investment companies traded on U.S. exchanges, or exchange- traded non-U.S. investment companies traded on foreign exchanges) to the extent permitted by the Investment Company Act of 1940, as amended (the “1940 Act”), and ETFs that are not registered under the 1940 Act. Such investments may include affiliated funds and will be limited to percentages permitted by the 1940 Act and the rules thereunder. Any such investments will have a focus on electric vehicle metals commodities and/or electric vehicle businesses. These investments also include commodity pools that seek to track the value of certain metals, but no investment in a single commodity pool will exceed 25% of the Fund’s total assets (“Commodity-Related Assets”); and (iv) cash, cash-like instruments or high-quality securities (collectively, “Collateral”). The Collateral may consist of (1) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (2) money market funds; and/or (3) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade or determined by the Adviser to be of comparable quality. Such Collateral is designed to provide liquidity, serve as margin or otherwise collateralize investments in the Commodities Futures and Commodity-Linked Instruments.

While the Fund may invest directly in Commodity-Related Assets and Collateral, it will not invest directly in physical commodities, Commodities Futures or Commodity-Linked Instruments. Instead,

the Fund attempts to obtain investment returns that are highly correlated to the commodities markets by investing in these instruments indirectly through its Subsidiary. The Fund’s investment in the Subsidiary is expected to provide the Fund with exposure to Commodities Futures and Commodity-Linked Instruments in accordance with the limits of the federal tax laws, which limit the ability of investment companies like the Fund to invest directly in such investments. The Fund’s investment in the Subsidiary may not exceed 25% of the Fund’s total assets at each quarter-end of the Fund’s fiscal year. The Subsidiary operates under Cayman Islands law. It is wholly-owned and controlled by the Fund and advised by the Adviser. The Subsidiary has the same investment objective as the Fund and will follow the same general investment policies and restrictions, except that unlike the Fund, it may invest without limit in Commodities Futures and Commodity- Linked Instruments.

The Subsidiary will invest in Commodities Futures (or gain exposure to Commodities Futures through the use of swaps) that generally are representative of the components of the S&P GSCI Electric Vehicle Metals Excess Return Index (the “Benchmark Index”), an index composed of futures contracts on various metals used in the production of an electric vehicle. The Benchmark Index is calculated and maintained by S&P Dow Jones Indices LLC (the “Benchmark Provider”). In accordance with the Benchmark Provider’s proprietary methodology, metals within the Benchmark Index are assigned weights that broadly reflect the relative usage of each metal within a representative electric vehicle, subject to adjustments for liquidity.

Although the Subsidiary generally provides exposure to the components of the Benchmark Index, the Fund is not an “index tracking” ETF and instead seeks to exceed the performance of the Benchmark Index. Therefore, the Subsidiary may not seek exposure to all of the Benchmark Index’s components or in the same proportion as the Benchmark Index. The Subsidiary may invest in Commodities Futures (or gain exposure to such Commodities Futures through the use of swaps) that are not included in the Benchmark Index that reference a commodity represented in the Benchmark Index by a different futures contract or that reference commodities not represented in the Benchmark Index. The Subsidiary also may invest in Commodities Futures with expirations beyond those contained in the Benchmark Index or emphasize some commodities more than others. In the event that a sufficient quantity of Commodities Futures on a particular Benchmark Index component are not available, the Subsidiary may purchase Commodities Futures on the highest correlated Benchmark Index component or other widely traded metal or may purchase Commodity-Related Assets to provide exposure to the Benchmark Index component.

The Subsidiary also invests a portion of its assets in Commodity- Linked Instruments to seek to increase its investment returns or hedge against declines in the value of its other investments.

 

 

  7  

 


 

Invesco Electric Vehicle Metals Commodity Strategy No K-1 ETF (EVMT) (continued)

 

 

Although the Fund does not seek leveraged returns, investing in Commodity-Linked Instruments may have a leveraging effect on the Fund. The Commodity-Linked Instruments may be exchange- traded or traded over-the-counter (“OTC”).

For the fiscal year ended October 31, 2023, on a market price basis, the Fund returned (9.72)%. On a net asset value (“NAV”) basis, the Fund returned (9.74)%. During the same time period, the Benchmark Index returned (16.21)%. Additionally, the S&P GSCI Electric Vehicle Metals Total Return Index (“Total Return Benchmark Index”) returned (11.91)%. The Total Return Benchmark Index is similar to the Benchmark Index except that

the Total Return Benchmark Index performance includes the return that would be generated by the Collateral. During the fiscal year, on a NAV basis, the Fund outperformed the Benchmark Index and the Total Return Benchmark Index primarily due to interest income from collateral and outperformance in the Fund’s Cobalt and Lithium contracts during the fiscal year.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended October 31, 2023, included Iron Ore contracts and LME Copper contracts. The largest detractors from the Fund’s returns were Lithium contracts and LME Nickel contracts.

 

Risk Allocation* (% of the Fund’s Net Assets)
as of October 31,  2023
 
Asset Class    Risk Contribution by Base Metal  
Commodities      
   Nickel      37.10
   Aluminum      20.21  
   Copper      17.30  
   Cobalt      12.17  
   Lithium      7.47  
   Iron Ore      5.75  

 

*

Based on notional value of futures contracts.

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of October 31, 2023

 

                Fund Inception  
Index   1 Year           Average
Annualized
    Cumulative  
S&P GSCI Electric Vehicle Metals Excess Return Index     (16.21 )%        (30.95 )%      (42.80 )% 
S&P GSCI Electric Vehicle Metals Total Return Index     (11.91       (28.05     (39.14
Fund        
NAV Return     (9.74       (27.30     (38.17
Market Price Return     (9.72       (27.70     (38.69

 

 

  8  

 


 

Invesco Electric Vehicle Metals Commodity Strategy No K-1 ETF (EVMT) (continued)

 

Fund Inception: April 27, 2022

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information. The adviser has contractually agreed to waive fees and/or pay certain Fund expenses through August 31, 2025. According to the Fund’s current prospectus, the Fund’s expense ratio of 0.73% (0.59% after fee waiver) includes the unitary management fee of 0.59% and acquired fund fees and expenses of 0.14%. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Cumulative Inception returns for the Fund and the indexes are based on the inception date of the Fund.

 

 

  9  

 


 

 

PDBC    Management’s Discussion of Fund Performance
   Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)

 

The Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (the “Fund”) is an actively managed exchange-traded fund (“ETF”) that seeks long-term capital appreciation. The Fund seeks to achieve its investment objective by investing in a combination of financial instruments that are economically linked to the world’s most heavily traded commodities. Commodities are assets that have tangible properties, such as oil, agricultural produce or raw metals.

Under normal circumstances, the Fund invests, either directly or through a wholly-owned subsidiary (the “Subsidiary”), in a combination of three categories of investments: (i) exchange traded futures contracts on underlying commodities (“Commodities Futures”); (ii) other instruments whose value is derived from or linked to price movements of underlying physical commodities, represented by exchange-traded futures contracts on commodity indices, commodity-linked notes, exchange-traded options on Commodities Futures, swaps on commodities and commodity- related forward contracts (collectively, these are “Commodity- Linked Instruments”); and (iii) cash, cash-like instruments or high- quality securities (collectively, “Collateral”). The Collateral may consist of (1) U.S. Government securities, such as bills, notes and bonds issued by the U.S. Treasury; (2) money market funds; and/or (3) corporate debt securities, such as commercial paper and other short-term unsecured promissory notes issued by businesses that are rated investment grade or determined by the Adviser to be of comparable quality. Such Collateral is designed to provide liquidity, serve as margin or otherwise collateralize investments in the Commodities Futures and Commodity-Linked Instruments.

The Fund will not invest directly in physical commodities, Commodities Futures or Commodity-Linked Instruments. Instead, the Fund attempts to obtain investment returns that are highly correlated to the commodities markets by investing in these instruments indirectly through its Subsidiary. The Fund’s investment in the Subsidiary is expected to provide the Fund with exposure to Commodities Futures and Commodity-Linked Instruments in accordance with the limits of the federal tax laws, which limit the ability of investment companies like the Fund to invest directly in such investments. The Fund’s investment in the Subsidiary may not exceed 25% of the Fund’s total assets at each quarter-end of the Fund’s fiscal year. The Subsidiary operates under Cayman Islands law. It is wholly-owned and controlled by the Fund and advised by the Adviser. The Subsidiary has the same investment objective as the Fund and will follow the same general investment policies and restrictions, except that unlike the Fund, it may invest without limit in Commodities Futures and Commodity-Linked Instruments.

The Subsidiary will invest in Commodities Futures (or gain exposure to Commodities Futures through the use of swaps) that generally are representative of the components of the DBIQ Optimum Yield Diversified Commodity Index Excess Return (the

“Benchmark Index”), an index composed of futures contracts on 14 of the most heavily traded commodities across the energy, precious metals, industrial metals and agriculture sectors: aluminum, Brent crude oil, copper, corn, gold, New York Harbor Ultra Low Sulphur Diesel (“NY Harbor ULSD” previously referred to as Heating Oil), WTI crude oil, natural gas, “RBOB” gasoline, silver, soybeans, sugar, wheat and zinc. Although the Subsidiary generally provides exposure to the components of the Benchmark Index, the Fund is not an “index tracking” ETF and instead seeks to exceed the performance of the Benchmark Index. Therefore, the Subsidiary may not seek exposure to all of the Benchmark Index’s components or in the same proportion as the Benchmark Index. The Subsidiary may invest in Commodities Futures (or gain exposure to such Commodities Futures through the use of swaps) that are not included in the Benchmark Index, but reference a commodity represented in the Benchmark Index by a different futures contract. At times, it also may invest in Commodities Futures outside the Benchmark Index, invest in Commodities Futures with expirations beyond those contained in the Benchmark Index or emphasize some commodity sectors more than others.

The Subsidiary also invests a portion of its assets in Commodity- Linked Instruments to seek to increase its investment returns or hedge against declines in the value of its other investments. Although the Fund does not seek leveraged returns, investing in Commodity-Linked Instruments may have a leveraging effect on the Fund. The Commodity-Linked Instruments may be exchange-traded or traded over-the-counter (“OTC”).

For the fiscal year ended October 31, 2023, on a market price basis, the Fund returned (2.04)%. On a net asset value (“NAV”) basis, the Fund returned (2.26)%. During the same time period, the Benchmark Index returned (6.04)%. Additionally, the DBIQ Optimum Yield Diversified Commodity Index Total Return (“Total Return Benchmark Index”) returned (1.25)%. The Total Return Benchmark Index is similar to the Benchmark Index except that the Total Return Benchmark Index performance includes the return that would be generated by the Collateral. During the fiscal year, on a NAV basis, the Fund outperformed the Benchmark Index primarily due to interest income received from Collateral, although it underperformed the Total Return Benchmark Index primarily due to the fees and expenses that the Fund incurred during the period, and trading costs (including costs related to swap transactions) incurred by the Fund.

Positions that contributed most significantly to the Fund’s return for the fiscal year ended October 31, 2023, included Sugar contracts and Gold contracts. The largest detractors from the Fund’s returns were Natural Gas contracts, Wheat contracts and Corn contracts, respectively.

 

 

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Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC) (continued)

 

Risk Allocation* (% of the Fund’s Net Assets)
as of October 31,  2023
 
Asset Class    Risk Contribution by Sector  
Commodities      
   Energy      51.51
   Agriculture      23.96  
   Base Metals      12.60  
   Precious Metals      11.93  

 

*

Based on notional value of futures contracts.

Growth of a $10,000 Investment Since Inception

 

LOGO

Fund Performance History as of October 31, 2023

 

    1 Year    

3 Years

Average
Annualized

   

3 Years

Cumulative

   

5 Years

Average
Annualized

   

5 Years

Cumulative

          Fund Inception  
Index         Average
Annualized
    Cumulative  
DBIQ Optimum Yield Diversified Commodity Index Excess Return     (6.04 )%      23.45     88.15     7.28     42.08       1.24     11.74
DBIQ Optimum Yield Diversified Commodity Index Total Return     (1.25     26.10       100.50       9.27       55.77         2.61       26.08  
Fund                
NAV Return     (2.26     24.64       93.64       8.12       47.72         1.63       15.60  
Market Price Return     (2.04     24.74       94.09       8.15       47.99         1.63       15.58  

 

 

  11  

 


 

Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC) (continued)

 

Fund Inception: November 7, 2014

Performance quoted above represents past performance. Past performance is not a guarantee of future results and current performance may be higher or lower than performance quoted. Investment returns and principal value will fluctuate, and shares of the Fund (“Fund Shares”), when redeemed or sold, may be worth more or less than their original cost. Fund performance reflects any applicable fee waivers and/or expense reimbursements. Had the adviser not waived fees and/or reimbursed expenses currently or in the past, returns would have been lower. See the current prospectus for more information. The adviser has contractually agreed to waive fees and/or pay certain Fund expenses through August 31, 2025. According to the Fund’s current prospectus, the Fund’s expense ratio of 0.64% (0.59% after fee waiver) includes the unitary management fee of 0.59% and acquired fund fees and expenses of 0.05%. NAV and Market Price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and Market Price, respectively. The returns shown in the table above do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund Shares. See invesco.com/ETFs to find the most recent month-end performance numbers.

Performance results for the indexes stated above are based upon a hypothetical investment in their respective constituent securities. The returns of an index do not represent Fund returns. An investor cannot invest directly in an index. The indexes do not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the hypothetical performance shown. In addition, the results actual investors might have achieved would have differed from those shown because of differences in the timing, amounts of their investments, and fees and expenses associated with an investment in the Fund.

Notes Regarding Indexes and Fund Performance History:

 

-

Average Annualized and Cumulative Inception returns for the Fund and the indexes are based on the inception date of the Fund.

 

 

  12  

 


 

Invesco Agriculture Commodity Strategy No K-1 ETF (PDBA)

October 31, 2023

    

 

Consolidated Schedule of Investments(a)

 

     Principal
Amount
     Value  

U.S. Treasury Securities-13.62%

 

U.S. Treasury Bills-13.62%(b)

 

4.98%, 11/16/2023(c)

   $ 1,000,000      $ 997,807  

5.34%, 01/18/2024(c)

     1,000,000        988,500  
     

 

 

 

Total U.S. Treasury Securities
(Cost $1,986,284)

 

     1,986,307  
     

 

 

 
     Shares         

Money Market Funds-85.53%

 

Invesco Premier U.S. Government Money Portfolio, Institutional Class, 5.26%(d)(e)

     11,891,126        11,891,126  
     Shares      Value  

Money Market Funds-(continued)

 

Invesco Liquidity Funds PLC, Invesco US Dollar Liquidity Portfolio, Institutional Class, 5.45%(d)(e)

     578,199      $ 578,199  
     

 

 

 

Total Money Market Funds
(Cost $12,469,325)

        12,469,325  
     

 

 

 

TOTAL INVESTMENTS IN SECURITIES-99.15%
(Cost $14,455,609)

 

     14,455,632  

OTHER ASSETS LESS LIABILITIES-0.85%

 

     123,807  
     

 

 

 

NET ASSETS-100.00%

 

   $ 14,579,439  
     

 

 

 

 

Notes to Consolidated Schedule of Investments:

(a) 

The Consolidated Schedule of Investments includes the accounts of the wholly-owned subsidiary. All inter-company accounts and transactions have been eliminated in consolidations.

(b) 

Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund.

(c) 

$1,986,307 was pledged as collateral to cover margin requirements for open futures contracts. See Note 2I.

(d) 

Affiliated holding. Affiliated holdings are investments in entities which are under common ownership or control of Invesco Ltd. or are investments in entities in which the Fund owns 5% or more of the outstanding voting securities. The table below shows the Fund’s transactions in, and earnings from, its investments in affiliates for the fiscal year ended October 31, 2023.

 

     Value
October 31, 2022
   Purchases
at Cost
   Proceeds
from Sales
  Change in
Unrealized
Appreciation
   Realized
Gain
   Value
October 31, 2023
   Dividend
Income
Investments in Affiliated Money Market Funds:                                  
Invesco Premier U.S. Government Money Portfolio, Institutional Class      $ 12,191,351      $ 6,595,943      $ (6,896,168 )     $ -      $ -      $ 11,891,126      $ 501,161
Invesco Liquidity Funds PLC, Invesco US Dollar Liquidity Portfolio, Institutional Class        189,671        15,374,837        (14,986,312 )       -        3        578,199        42,154
    

 

 

      

 

 

      

 

 

     

 

 

      

 

 

      

 

 

      

 

 

 
Total      $ 12,381,022      $ 21,970,780      $ (21,882,480 )     $ -      $ 3      $ 12,469,325      $ 543,315
    

 

 

      

 

 

      

 

 

     

 

 

      

 

 

      

 

 

      

 

 

 

 

(e) 

The rate shown is the 7-day SEC standardized yield as of October 31, 2023.

 

Open Futures Contracts

Long Futures Contracts

   Number of
Contracts
   Expiration
Month
   Notional
Value
   Value   Unrealized
Appreciation
(Depreciation)

Commodity Risk

                       

CME Feeder Cattle

       5        January-2024      $ 593,000      $ (40,514 )       $ (40,514)  

Cocoa

       61        December-2023        2,328,370        176,965        176,965  

Coffee ’C’

       26        December-2023        1,631,175        82,597          82,597  

Corn

       51        September-2024        1,297,313        (12,183 )         (12,183)  

Cotton No. 2

       9        December-2023        365,490        (6,061 )           (6,061)  

KC Wheat

       19        July-2024        623,200        (92,428 )         (92,428)  

Lean Hogs

       32        December-2023        918,080        (25,243 )         (25,243)  

Live Cattle

       27        December-2023        1,982,340        (32,054 )         (32,054)  

Soybean

       25        November-2024        1,583,437        8,773           8,773  

Sugar No. 11

       96        July-2024        2,647,142        184,311        184,311  

Wheat

       18        July-2024        557,325        (49,641 )         (49,641)  
                   

 

 

     

 

 

 

Total Futures Contracts

                    $ 194,522       $ 194,522  
                   

 

 

     

 

 

 

 

See accompanying Notes to Consolidated Financial Statements which are an integral part of the consolidated financial statements.

 

    13    

 

 

 

 


 

Invesco Electric Vehicle Metals Commodity Strategy No K-1 ETF (EVMT)

October 31, 2023

    

 

Consolidated Schedule of Investments(a)

 

     Principal
Amount
     Value  

U.S. Treasury Securities-17.28%

 

U.S. Treasury Bills-17.28%(b)

 

5.34%, 01/18/2024(c)
(Cost $2,075,656)

   $ 2,100,000      $ 2,075,851  
     

 

 

 
     Shares         

Money Market Funds-81.79%

 

Invesco Premier U.S. Government Money Portfolio, Institutional Class, 5.26%(d)(e)

     9,645,326        9,645,326  

Invesco Liquidity Funds PLC, Invesco US Dollar Liquidity Portfolio, Institutional Class, 5.45%(d)(e)

     178,264        178,264  
     

 

 

 

Total Money Market Funds
(Cost $9,823,590)

 

     9,823,590  
     

 

 

 

TOTAL INVESTMENTS IN SECURITIES-99.07%
(Cost $11,899,246)

 

     11,899,441  

OTHER ASSETS LESS LIABILITIES-0.93%

        111,919  
     

 

 

 

NET ASSETS-100.00%

      $ 12,011,360  
     

 

 

 

 

Notes to Consolidated Schedule of Investments:

(a) 

The Consolidated Schedule of Investments includes the accounts of the wholly-owned subsidiary. All inter-company accounts and transactions have been eliminated in consolidations.

(b) 

Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund.

(c) 

$2,075,851 was pledged as collateral to cover margin requirements for open futures contracts. See Note 2I.

(d) 

Affiliated holding. Affiliated holdings are investments in entities which are under common ownership or control of Invesco Ltd. or are investments in entities in which the Fund owns 5% or more of the outstanding voting securities. The table below shows the Fund’s transactions in, and earnings from, its investments in affiliates for the fiscal year ended October 31, 2023.

 

     Value
October 31, 2022
   Purchases
at Cost
   Proceeds
from Sales
  Change in
Unrealized
Appreciation
   Realized
Gain
   Value
October 31, 2023
   Dividend
Income
Investments in Affiliated Money Market Funds:                                  
Invesco Premier U.S. Government Money Portfolio, Institutional Class      $ 15,618,353      $ 16,981,838      $ (22,954,865 )     $ -      $ -      $ 9,645,326      $ 590,320
Invesco Liquidity Funds PLC, Invesco US Dollar Liquidity Portfolio, Institutional Class        -        23,667,822        (23,489,559 )       -        1        178,264        36,635
    

 

 

      

 

 

      

 

 

     

 

 

      

 

 

      

 

 

      

 

 

 
Total      $ 15,618,353      $ 40,649,660      $ (46,444,424 )     $ -      $ 1      $ 9,823,590      $ 626,955
    

 

 

      

 

 

      

 

 

     

 

 

      

 

 

      

 

 

      

 

 

 

 

(e) 

The rate shown is the 7-day SEC standardized yield as of October 31, 2023.

 

Open Futures Contracts

Long Futures Contracts

   Number of
Contracts
   Expiration
Month
   Notional
Value
   Value   Unrealized
Appreciation
(Depreciation)

Commodity Risk

                       

Cobalt Fastmarkets

       39        March-2024      $ 1,461,663      $ 97,010       $    97,010     

Lithium Hydroxide Fastmarkets

       12        January-2024        299,160        (173,471 )       (173,471)    

Lithium Hydroxide Fastmarkets

       12        February-2024        299,160        (173,472 )       (173,472)    

Lithium Hydroxide Fastmarkets

       12        March-2024        299,160        (173,472 )       (173,472)    

LME Copper

       10        December-2024        2,077,625        36,190       36,190     

LME Nickel

       41        December-2023        4,431,690        (143,591 )       (143,591)    

 

See accompanying Notes to Consolidated Financial Statements which are an integral part of the consolidated financial statements.

 

    14    

 

 

 

 


 

Invesco Electric Vehicle Metals Commodity Strategy No K-1 ETF (EVMT)–(continued)

October 31, 2023

    

 

      Open Futures Contracts–(continued)           
                        Unrealized
     Number of    Expiration    Notional        Appreciation

Long Futures Contracts–(continued)

   Contracts    Month    Value    Value   (Depreciation)

LME Primary Aluminum

       41        December-2024      $ 2,427,354      $ 42,947     $ 42,947

SGX Iron Ore 62%

       58        December-2023        691,012        49,027       49,027
                   

 

 

     

 

 

 

Total Futures Contracts

                    $ (438,832 )     $ (438,832 )
                   

 

 

     

 

 

 

 

See accompanying Notes to Consolidated Financial Statements which are an integral part of the consolidated financial statements.

 

    15    

 

 

 

 


 

Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)

October 31, 2023

Consolidated Schedule of Investments(a)

 

     Principal
Amount
     Value  

U.S. Treasury Securities-43.62%

 

U.S. Treasury Bills-43.62%(b)

 

5.17%, 11/24/2023

   $ 600,000,000      $ 597,974,943  

5.32%, 12/07/2023

     1,000,000,000        994,725,000  

5.30%, 04/04/2024(c)

     1,000,000,000        981,276,320  
     

 

 

 

Total U.S. Treasury Securities
(Cost $2,573,763,191)

        2,573,976,263  
     

 

 

 
     Shares         

Money Market Funds-54.46%

 

Invesco Premier U.S. Government Money Portfolio, Institutional Class, 5.26%(d)(e)

     2,641,404,268        2,641,404,268  
     Shares      Value  

Money Market Funds-(continued)

 

Invesco Liquidity Funds PLC, Invesco US Dollar Liquidity Portfolio, Institutional Class, 5.45%(d)(e)

     572,523,876      $ 572,523,876  
     

 

 

 

Total Money Market Funds
(Cost $3,213,928,144)

        3,213,928,144  
     

 

 

 

TOTAL INVESTMENTS IN SECURITIES-98.08%
(Cost $5,787,691,335)

 

     5,787,904,407  

OTHER ASSETS LESS LIABILITIES-1.92%

 

     113,468,457  
     

 

 

 

NET ASSETS-100.00%

 

   $ 5,901,372,864  
     

 

 

 

Notes to Consolidated Schedule of Investments:

(a) 

The Consolidated Schedule of Investments includes the accounts of the wholly-owned subsidiary. All inter-company accounts and transactions have been eliminated in consolidations.

(b) 

Security traded on a discount basis. The interest rate shown represents the discount rate at the time of purchase by the Fund.

(c) 

$196,260,000 was pledged as collateral to cover margin requirements for open futures contracts. See Note 2I.

(d) 

Affiliated holding. Affiliated holdings are investments in entities which are under common ownership or control of Invesco Ltd. or are investments in entities in which the Fund owns 5% or more of the outstanding voting securities. The table below shows the Fund’s transactions in, and earnings from, its investments in affiliates for the fiscal year ended October 31, 2023.

 

    

Value

October 31, 2022

     Purchases
at Cost
     Proceeds
from Sales
    Change in
Unrealized
Appreciation
     Realized
Gain
(Loss)
    

Value

October 31, 2023

     Dividend
Income
 
Investments in Affiliated Money Market Funds:                             
Invesco Premier U.S. Government Money Portfolio, Institutional Class    $ 2,584,878,270      $ 5,120,794,965      $ (5,064,268,967     $ -                 $ -        $ 2,641,404,268      $ 96,812,376  
Invesco Liquidity Funds PLC, Invesco US Dollar Liquidity Portfolio, Institutional Class      911,378,577        4,778,175,015        (5,117,029,713              -                    (3        572,523,876        27,739,285  
  

 

 

    

 

 

    

 

 

     

 

 

         

 

 

      

 

 

    

 

 

 
Total    $ 3,496,256,847      $ 9,898,969,980      $ (10,181,298,680     $ -           $ (3      $ 3,213,928,144      $ 124,551,661  
  

 

 

    

 

 

    

 

 

     

 

 

         

 

 

      

 

 

    

 

 

 

 

(e) 

The rate shown is the 7-day SEC standardized yield as of October 31, 2023.

 

Open Futures Contracts  

Long Futures Contracts

   Number of
Contracts
     Expiration
Month
     Notional
Value
     Value     Unrealized
Appreciation
(Depreciation)
 

Commodity Risk

             

Brent Crude Oil

     2,378           February-2024      $ 200,822,100      $ 5,762,686     $ 5,762,686  

Corn

     3,204           September-2024        81,501,750        (419,076     (419,076

Gasoline RBOB

     2,430           January-2024        225,726,102        (1,020,164     (1,020,164)  

Gold

     848           December-2023        169,116,640        473,869       473,869  

LME Copper

     400           December-2023        80,835,000        (2,745,685     (2,745,685)  

LME Primary Aluminum

     1,262           December-2023        70,897,582        566,222       566,222  

LME Zinc

     1,090           March-2024        66,367,375        (1,530,555     (1,530,555)  

Natural Gas

     1,587           May-2024        51,799,680        1,655,441       1,655,441  

 

See accompanying Notes to Consolidated Financial Statements which are an integral part of the consolidated financial statements.

 

    16    

 

 

 

 


 

Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)–(continued)

October 31, 2023

    

 

Open Futures Contracts–(continued)  

Long Futures Contracts–(continued)

   Number of
Contracts
     Expiration
Month
   Notional
Value
     Value     Unrealized
Appreciation
(Depreciation)
 

NY Harbor ULSD

     1,805           September-2024    $ 200,032,266      $ (3,491,429     $ (3,491,429)   

Silver

     339           December-2023      38,903,640        (616,599     (616,599)   

Soybean

     1,564           November-2024      99,059,850        691,744       691,744   

Sugar No. 11

     6,000           July-2024      165,446,400        9,523,737       9,523,737   

Wheat

     2,279           July-2024      70,563,538        (5,425,145     (5,425,145)   

WTI Crude Oil

     2,736           January-2024      220,248,000        7,140,549       7,140,549   
           

 

 

   

 

 

 

Total Futures Contracts

            $ 10,565,595       $ 10,565,595   
           

 

 

   

 

 

 

 

Open Over-The-Counter Total Return Swap Agreements(a)(b)

Counterparty

  Pay/Receive  

Reference Entity(c)

  Fixed
Rate
  Payment
Frequency
  Maturity Date   Notional
Value
  Upfront
Payments
Paid
(Received)
  Value   Unrealized
Appreciation

(Depreciation)

Commodity Risk

                                 

Citibank, N.A.

      Receive   Citigroup Global Markets Limited Commodity Index       0.21 %       Monthly       November-2023     $ 500,000,000     $     $ (4,581,324 )     $ (4,581,324 )
Goldman Sachs International       Receive   Goldman Sachs Managed Commodity Strategy GSEBA001       0.22       Monthly       November-2023       550,000,000             (5,099,278 )       (5,099,278 )

JPMorgan

      Receive   J.P. Morgan Excess Return JMCUINVE Index       0.20       Monthly       November-2023       600,000,000             (5,496,069 )       (5,496,069 )
Macquarie Bank Ltd.       Receive   Macquarie MQCP322E Managed Futures Index       0.21       Monthly       November-2023       700,000,000             (6,636,500 )       (6,636,500 )

Merrill Lynch International

      Receive   Merrill Lynch MLBXIVMB Excess Return Index       0.22       Monthly       November-2023       550,000,000             (5,053,967 )       (5,053,967 )
Morgan Stanley Capital Services LLC       Receive   Morgan Stanley MSCYIZ02 Index       0.20       Monthly       November-2023       600,000,000             (5,500,475 )       (5,500,475 )

Royal Bank of Canada

      Receive   RBC Enhanced Commodity PS01 Index       0.20       Monthly       November-2023       700,000,000             (6,623,134 )       (6,623,134 )
                         

 

 

     

 

 

     

 

 

 

Total - Total Return Swap  Agreements

 

                      $     $ (38,990,747 )     $ (38,990,747 )
                         

 

 

     

 

 

     

 

 

 

 

(a) 

Open Over-The-Counter Total Return Swap Agreements are collateralized by cash held with the swap Counterparties in the amount of $153,260,000.

(b) 

The Fund receives or pays payments based on any positive or negative return on the Reference Entity, respectively.

(c) 

The Reference Entity Components tables below include additional information regarding the underlying components of certain reference entities that are not publicly available.

 

See accompanying Notes to Consolidated Financial Statements which are an integral part of the consolidated financial statements.

 

    17    

 

 

 

 


 

Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)–(continued)

October 31, 2023

    

 

Reference Entity Components  

Reference Entity

  

Underlying Components

   Percentage  

Citigroup Global Markets

Limited Commodity Index

     
   Long Futures Contracts   
   RBOB Gasoline        12.94%  
   WTI Crude Oil        12.60     
   Heating Oil        11.59     
   Brent Crude Oil        11.51     
   Gold          9.69     
   Sugar          9.54     
   Soybean          5.72     
   Corn          4.68     
   Copper          4.61     
   Aluminium          4.11     
   Wheat          4.04     
   Zinc          3.87     
   Natural Gas          2.87     
   Silver          2.23     
     

 

 

 
   Total      100.00%  
     

 

 

 
Goldman Sachs Managed Commodity Strategy GSEBA001      
   Long Futures Contracts   
   RBOB Gasoline        13.45%  
   WTI Crude Oil        12.60     
   Heating Oil        11.59     
   Brent Crude Oil        11.51     
   Gold          9.69     
   Sugar          9.54     
   Soybean          5.56     
   Corn          4.68     
   Copper          4.61     
   Aluminium          4.11     
   Wheat          4.04     
   Zinc          3.87     
   Natural Gas          2.52     
   Silver          2.23     
     

 

 

 
   Total      100.00%  
     

 

 

 

    

 

See accompanying Notes to Consolidated Financial Statements which are an integral part of the consolidated financial statements.

 

    18    

 

 

 

 


 

Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)–(continued)

October 31, 2023

    

 

Reference Entity Components–(continued)  

Reference Entity

  

Underlying Components

   Percentage  

JPMorgan Excess Return

JMCUINVE Index

  
   Long Futures Contracts   
   RBOB Gasoline        12.94%  
   WTI Crude Oil        12.60     
   Heating Oil        11.59     
   Brent Crude Oil        11.51     
   Gold          9.69     
   Sugar          9.54     
   Soybean          5.72     
   Corn          4.68     
   Copper          4.61     
   Aluminium          4.11     
   Wheat          4.04     
   Zinc          3.87     
   Natural Gas          2.87     
   Silver          2.23     
     

 

 

 
   Total      100.00%  
     

 

 

 

Macquarie MQCP322E

Managed Futures Index

  
   Long Futures Contracts   
   RBOB Gasoline        13.02%  
   WTI Crude Oil        12.60     
   Heating Oil        11.55     
   Brent Crude Oil        11.51     
   Gold          9.69     
   Sugar          9.54     
   Soybean          5.70     
   Corn          4.68     
   Copper          4.61     
   Aluminium          4.11     
   Wheat          4.04     
   Zinc          3.87     
   Natural Gas          2.85     
   Silver          2.23     
     

 

 

 
   Total      100.00%  
     

 

 

 

    

 

See accompanying Notes to Consolidated Financial Statements which are an integral part of the consolidated financial statements.

 

    19    

 

 

 

 


 

Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)–(continued)

October 31, 2023

    

 

Reference Entity Components–(continued)  

Reference Entity

  

Underlying Components

   Percentage  

Merrill Lynch MLBXIVMB

Excess Return Index

  
   Long Futures Contracts   
   RBOB Gasoline        13.05%  
   WTI Crude Oil        12.50     
   Heating Oil        11.57     
   Brent Crude Oil        11.43     
   Gold          9.66     
   Sugar          9.66     
   Soybean          5.70     
   Corn          4.68     
   Copper          4.61     
   Aluminium          4.14     
   Wheat          4.00     
   Zinc          3.99     
   Natural Gas          2.79     
   Silver          2.22     
     

 

 

 
   Total      100.00%  
     

 

 

 

Morgan Stanley MSCYIZ02

Index

  
   Long Futures Contracts   
   RBOB Gasoline        12.98%  
   WTI Crude Oil        12.60     
   Heating Oil        11.59     
   Brent Crude Oil        11.51     
   Gold          9.69     
   Sugar          9.54     
   Soybean          5.70     
   Corn          4.68     
   Copper          4.61     
   Aluminium          4.11     
   Wheat          4.04     
   Zinc          3.87     
   Natural Gas          2.85     
   Silver          2.23     
     

 

 

 
   Total      100.00%  
     

 

 

 

    

 

See accompanying Notes to Consolidated Financial Statements which are an integral part of the consolidated financial statements.

 

    20    

 

 

 

 


 

Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)–(continued)

October 31, 2023

    

 

Reference Entity Components–(continued)  

Reference Entity

  

Underlying Components

   Percentage  

RBC Enhanced Commodity

PS01 Index

  
   Long Futures Contracts   
   RBOB Gasoline        12.97%  
   WTI Crude Oil        12.60     
   Heating Oil        11.56     
   Brent Crude Oil        11.51     
   Gold          9.69     
   Sugar          9.54     
   Soybean          5.72     
   Corn          4.68     
   Copper          4.61     
   Aluminium          4.11     
   Wheat          4.04     
   Zinc          3.87     
   Natural Gas          2.87     
   Silver          2.23     
     

 

 

 
   Total      100.00%  
     

 

 

 

    

 

See accompanying Notes to Consolidated Financial Statements which are an integral part of the consolidated financial statements.

 

    21    

 

 

 

 


 

Consolidated Statements of Assets and Liabilities

October 31, 2023

 

    Invesco
Agriculture
Commodity Strategy
No K-1 ETF
(PDBA)
    Invesco Electric
Vehicle Metals
Commodity Strategy
No K-1 ETF
(EVMT)
        Invesco Optimum
Yield Diversified
Commodity Strategy
No K-1 ETF

(PDBC)
 

Assets:

                                                                                 

Unaffiliated investments in securities, at value

    $ 1,986,307         $ 2,075,851           $ 2,573,976,263    

Affiliated investments in securities, at value

      12,469,325           9,823,590             3,213,928,144    

Deposits with brokers:

                   

Cash collateral-futures contracts

      -           688,513             24,740    

Cash collateral-OTC derivatives

      -           -             153,260,000    

Receivable for:

                   

Dividends

      50,069           44,481             13,521,742    

Variation margin on non-LME futures contracts

      78,651           -             -    

LME futures contracts

      -           20,226             -    
   

 

 

       

 

 

         

 

 

   

Total assets

      14,584,352           12,652,661             5,954,710,889    
   

 

 

       

 

 

         

 

 

   

Liabilities:

                   

Other investments:

                   

Unrealized depreciation on LME futures contracts

      -           64,454             3,710,018    

Unrealized depreciation on swap agreements — OTC

      -           -             38,990,747    

Payable for:

                   

Variation margin on non-LME futures contracts

      -           28,871             5,547,451    

LME futures contracts

      -           543,392             2,669,285    

Accrued unitary management fees

      4,913           4,584             2,420,524    
   

 

 

       

 

 

         

 

 

   

Total liabilities

      4,913           641,301             53,338,025    
   

 

 

       

 

 

         

 

 

   

Net Assets

    $ 14,579,439         $ 12,011,360           $ 5,901,372,864    
   

 

 

       

 

 

         

 

 

   

Net assets consist of:

                   

Shares of beneficial interest

    $ 13,026,262         $ 11,577,742           $ 5,745,267,712    

Distributable earnings

      1,553,177           433,618             156,105,152    
   

 

 

       

 

 

         

 

 

   

Net Assets

    $ 14,579,439         $ 12,011,360           $ 5,901,372,864    
   

 

 

       

 

 

         

 

 

   

Shares outstanding (unlimited amount authorized, $0.01 par value)

      450,001           650,001             402,204,000    

Net asset value

    $ 32.40         $ 18.48           $ 14.67    
   

 

 

       

 

 

         

 

 

   

Market price

    $ 32.40         $ 18.52           $ 14.69    
   

 

 

       

 

 

         

 

 

   

Unaffiliated investments in securities, at cost

    $ 1,986,284         $ 2,075,656           $ 2,573,763,191    
   

 

 

       

 

 

         

 

 

   

Affiliated investments in securities, at cost.

    $ 12,469,325         $ 9,823,590           $ 3,213,928,144    
   

 

 

       

 

 

         

 

 

   

 

See accompanying Notes to Consolidated Financial Statements which are an integral part of the consolidated financial statements.

 

    22    

 

 

 

 


 

Consolidated Statements of Operations

For the year ended October 31, 2023

 

    Invesco
Agriculture
Commodity  Strategy
No K-1 ETF

(PDBA)
    Invesco Electric
Vehicle Metals
Commodity Strategy
No K-1 ETF

(EVMT)
    Invesco Optimum
Yield Diversified
Commodity Strategy

No K-1 ETF
(PDBC)
 

Investment income:

                                                                       

Unaffiliated interest income

    $ 93,499         $ 146,895         $ 132,525,527    

Unaffiliated dividend income

      -           -           1,457    

Affiliated dividend income

      543,315           626,955           124,551,661    
   

 

 

       

 

 

       

 

 

   

Total investment income

      636,814           773,850           257,078,645    
   

 

 

       

 

 

       

 

 

   

Expenses:

                 

Unitary management fees

      80,229           99,391           40,911,996    
   

 

 

       

 

 

       

 

 

   

Less: Waivers

      (20,561         (24,207         (11,639,453  
   

 

 

       

 

 

       

 

 

   

Net expenses

      59,668           75,184           29,272,543    
   

 

 

       

 

 

       

 

 

   

Net investment income

      577,146           698,666           227,806,102    
   

 

 

       

 

 

       

 

 

   

Realized and unrealized gain (loss) from:

                 

Net realized gain (loss) from:

                 

Unaffiliated investment securities

      (8         785           (33,620  

Affiliated investment securities

      3           1           (3  

Futures contracts

      531,482           (1,583,451         (180,890,240  

Swap agreements

      -           -           (298,267,222  
   

 

 

       

 

 

       

 

 

   

Net realized gain (loss)

      531,477           (1,582,665         (479,191,085  
   

 

 

       

 

 

       

 

 

   

Change in net unrealized appreciation (depreciation) of:

                 

Unaffiliated investment securities

      1,133           1,220           4,088,184    

Futures contracts

      512,952           282,717           31,616,813    

Swap agreements

      -           -           (23,550,059  
   

 

 

       

 

 

       

 

 

   

Change in net unrealized appreciation

      514,085           283,937           12,154,938    
   

 

 

       

 

 

       

 

 

   

Net realized and unrealized gain (loss)

      1,045,562           (1,298,728         (467,036,147  
   

 

 

       

 

 

       

 

 

   

Net increase (decrease) in net assets resulting from operations

    $ 1,622,708         $ (600,062       $ (239,230,045  
   

 

 

       

 

 

       

 

 

   

 

See accompanying Notes to Consolidated Financial Statements which are an integral part of the consolidated financial statements.

 

    23    

 

 

 

 


 

Consolidated Statements of Changes in Net Assets

For the years ended October 31, 2023 and 2022

 

     Invesco
Agriculture
Commodity Strategy
No K-1 ETF (PDBA)
    Invesco Electric
Vehicle Metals
Commodity Strategy
No K-1 ETF (EVMT)
    Invesco Optimum Yield
    Diversified Commodity Strategy    
No K-1 ETF (PDBC)
 
     2023     2022(a)     2023     2022(b)     2023     2022  

Operations:

            

Net investment income

   $ 577,146     $ 49,875     $ 698,666     $ 130,995     $ 227,806,102     $ 26,862,313  

Net realized gain (loss)

     531,477       (110,107     (1,582,665     (7,818,012     (479,191,085     921,134,583  

Change in net unrealized appreciation (depreciation)

     514,085       (319,540     283,937       (722,574     12,154,938       (214,225,727
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

     1,622,708       (379,772     (600,062     (8,409,591     (239,230,045     733,771,169  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions to Shareholders from:

            

Distributable earnings

     (110,000     -       (190,998     -       (777,674,971     (2,084,525,510
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Shareholder Transactions:

            

Proceeds from shares sold

     4,748,622       16,422,174       1,087,796       30,264,440       1,754,991,501       4,660,180,327  

Value of shares repurchased

     (6,275,809     (1,448,484     (6,875,815     (3,264,410     (2,194,132,717     (2,837,745,272
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from share transactions

     (1,527,187     14,973,690       (5,788,019     27,000,030       (439,141,216     1,822,435,055  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets

     (14,479     14,593,918       (6,579,079     18,590,439       (1,456,046,232     471,680,714  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net assets:

            

Beginning of period

     14,593,918       -       18,590,439       -       7,357,419,096       6,885,738,382  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

End of period

   $ 14,579,439     $ 14,593,918     $ 12,011,360     $ 18,590,439     $ 5,901,372,864     $ 7,357,419,096  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Changes in Shares Outstanding:

            

Shares sold

     150,000       550,001       50,000       1,050,001       119,600,000       281,000,000  

Shares repurchased

     (200,000     (50,000     (300,000     (150,000     (149,500,000     (160,300,000

Shares outstanding, beginning of period

     500,001       -       900,001       -       432,104,000       311,404,000  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Shares outstanding, end of period

     450,001       500,001       650,001       900,001       402,204,000       432,104,000  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

For the period August 22, 2022 (commencement of investment operations) through October 31, 2022.

(b) 

For the period April 25, 2022 (commencement of investment operations) through October 31, 2022.

 

See accompanying Notes to Consolidated Financial Statements which are an integral part of the consolidated financial statements.

 

    24    

 

 

 

 


 

Consolidated Financial Highlights

 

Invesco Agriculture Commodity Strategy No K-1 ETF (PDBA)

 

    Years Ended October 31,
2023
    For the Period
August 22,  2022(a)
Through
October 31,

2022
 

Per Share Operating Performance:

                                                       

Net asset value at beginning of period

    $ 29.19         $ 30.00    
   

 

 

       

 

 

   

Net investment income(b)

      1.29           0.13    

Net realized and unrealized gain (loss) on investments

      2.14           (0.94  
   

 

 

       

 

 

   

Total from investment operations

      3.43           (0.81  
   

 

 

       

 

 

   

Distributions to shareholders from:

           

Net investment income

      (0.22         -    
   

 

 

       

 

 

   

Net asset value at end of period

    $ 32.40         $ 29.19    
   

 

 

       

 

 

   

Market price at end of period(c)

    $ 32.40         $ 29.18    
   

 

 

       

 

 

   

Net Asset Value Total Return(d)

      11.84         (2.70 )%(e)   

Market Price Total Return(d)

      11.88         (2.73 )%(e)   

Ratios/Supplemental Data:

           

Net assets at end of period (000’s omitted)

    $ 14,579         $ 14,594    

Ratio to average net assets of:

           

Expenses, after Waivers(f)

      0.44         0.43 %(g)   

Expenses, prior to Waivers(f)

      0.59         0.59 %(g)   

Net investment income

      4.24         2.31 %(g)   

 

(a) 

Commencement of investment operations.

(b) 

Based on average shares outstanding.

(c) 

The mean between the last bid and ask prices.

(d) 

Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Market price total return is calculated assuming an initial investment made at the market price at the beginning of the period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. Total investment returns calculated for a period of less than one year are not annualized.

(e) 

The net asset value total return from Fund Inception (August 24, 2022, the first day of trading on the exchange) to October 31, 2022 was (3.41)%. The market price total return from Fund Inception to October 31, 2022 was (3.57)%.

(f) 

In addition to the fees and expenses which the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of the investment companies in which the Fund invests. Estimated investment companies’ expenses are not expenses that are incurred directly by the Fund. They are expenses that are incurred directly by the investment companies and are deducted from the value of the investment companies the Fund invests in. The effect of the estimated investment companies’ expenses that the Fund bears indirectly is included in the Fund’s total return.

(g) 

Annualized.

 

See accompanying Notes to Consolidated Financial Statements which are an integral part of the consolidated financial statements.

 

    25    

 

 

 

 


 

Consolidated Financial Highlights–(continued)

 

Invesco Electric Vehicle Metals Commodity Strategy No K-1 ETF (EVMT)

 

    Years Ended October 31,
2023
    For the Period
April 25,  2022(a)
Through
October 31,
2022
 

Per Share Operating Performance:

                                                       

Net asset value at beginning of period

    $ 20.66         $ 30.00    
   

 

 

       

 

 

   

Net investment income(b)

      0.92           0.15    

Net realized and unrealized gain (loss) on investments

      (2.89         (9.49  
   

 

 

       

 

 

   

Total from investment operations

      (1.97         (9.34  
   

 

 

       

 

 

   

Distributions to shareholders from:

           

Net investment income

      (0.21         -    
   

 

 

       

 

 

   

Net asset value at end of period

    $ 18.48         $ 20.66    
   

 

 

       

 

 

   

Market price at end of period(c)

    $ 18.52         $ 20.70    
   

 

 

       

 

 

   

Net Asset Value Total Return(d)

      (9.74 )%          (31.13 )%(e)   

Market Price Total Return(d)

      (9.72 )%          (31.00 )%(e)   

Ratios/Supplemental Data:

           

Net assets at end of period (000’s omitted)

    $ 12,011         $ 18,590    

Ratio to average net assets of:

           

Expenses, after Waivers(f)

      0.45         0.45 %(g)   

Expenses, prior to Waivers(f)

      0.59         0.59 %(g)   

Net investment income

      4.15         1.21 %(g)   

 

(a) 

Commencement of investment operations.

(b) 

Based on average shares outstanding.

(c) 

The mean between the last bid and ask prices.

(d) 

Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Market price total return is calculated assuming an initial investment made at the market price at the beginning of the period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. Total investment returns calculated for a period of less than one year are not annualized.

(e) 

The net asset value total return from Fund Inception (April 27, 2022, the first day of trading on the exchange) to October 31, 2022 was (31.50)%. The market price total return from Fund Inception to October 31, 2022 was (32.09)%.

(f) 

In addition to the fees and expenses which the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of the investment companies in which the Fund invests. Estimated investment companies’ expenses are not expenses that are incurred directly by the Fund. They are expenses that are incurred directly by the investment companies and are deducted from the value of the investment companies the Fund invests in. The effect of the estimated investment companies’ expenses that the Fund bears indirectly is included in the Fund’s total return.

(g) 

Annualized.

 

See accompanying Notes to Consolidated Financial Statements which are an integral part of the consolidated financial statements.

 

    26    

 

 

 

 


 

Consolidated Financial Highlights–(continued)

 

Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)

 

     Years Ended October 31,  
     2023     2022     2021     2020     2019  

Per Share Operating Performance:

          

Net asset value at beginning of year

   $ 17.03     $ 22.11     $ 13.24     $ 15.90     $ 17.78  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)(a)

     0.58       0.06       (0.10     0.02       0.27  

Net realized and unrealized gain (loss) on investments

     (1.01     2.01       8.97       (2.45     (2.00
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from investment operations.

     (0.43     2.07       8.87       (2.43     (1.73
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Distributions to shareholders from:

          

Net investment income

     (1.93     (7.15     (0.00 )(b)      (0.23     (0.15
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value at end of year

   $ 14.67     $ 17.03     $ 22.11     $ 13.24     $ 15.90  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Market price at end of year(c)

   $ 14.69     $ 17.01     $ 22.12     $ 13.22     $ 15.89  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value Total Return(d)

     (2.26 )%      18.62     67.01     (15.55 )%      (9.66 )% 

Market Price Total Return(d)

     (2.04 )%      18.40     67.34     (15.63 )%      (9.63 )% 

Ratios/Supplemental Data:

          

Net assets at end of year (000’s omitted)

   $ 5,901,373     $ 7,357,419     $ 6,885,738     $ 2,439,770     $ 1,655,119  

Ratio to average net assets of:

          

Expenses, after Waivers(e)

     0.51     0.55     0.57     0.50     0.57 %(f) 

Expenses, prior to Waivers(e)

     0.71     0.59     0.59     0.59     0.60 %(f) 

Net investment income (loss)

     3.96     0.36     (0.53 )%      0.15     1.65 %(f) 

 

(a) 

Based on average shares outstanding.

(b) 

Amount represents less than $(0.005).

(c) 

The mean between the last bid and ask prices.

(d) 

Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, and redemption at net asset value on the last day of the period. Net asset value total return includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. Market price total return is calculated assuming an initial investment made at the market price at the beginning of the period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. Total investment returns calculated for a period of less than one year are not annualized.

(e) 

In addition to the fees and expenses which the Fund bears directly, the Fund indirectly bears a pro rata share of the fees and expenses of the investment companies in which the Fund invests. Estimated investment companies’ expenses are not expenses that are incurred directly by the Fund. They are expenses that are incurred directly by the investment companies and are deducted from the value of the investment companies the Fund invests in. The effect of the estimated investment companies’ expenses that the Fund bears indirectly is included in the Fund’s total return.

(f) 

Ratios include non-recurring costs associated with a proxy statement of 0.01%.

 

See accompanying Notes to Consolidated Financial Statements which are an integral part of the consolidated financial statements.

 

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Notes to Consolidated Financial Statements

Invesco Actively Managed Exchange-Traded Commodity Fund Trust

October 31, 2023

NOTE 1–Organization

Invesco Actively Managed Exchange-Traded Commodity Fund Trust (the “Trust”) was organized as a Delaware statutory trust and is authorized to have multiple series of portfolios. Each portfolio (each, a “Fund”, and collectively, the “Funds”) represents a separate series of the Trust. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). This report includes the following Funds and their respective wholly-owned subsidiaries (each, a “Subsidiary”) organized under the laws of the Cayman Islands:

 

Full Name

  

Short Name

  

Subsidiary

Invesco Agriculture Commodity Strategy No K-1 ETF (PDBA)    “Agriculture Commodity Strategy No K-1 ETF”    Invesco PDBA Cayman Ltd.
Invesco Electric Vehicle Metals Commodity Strategy No K-1 ETF (EVMT)    “Electric Vehicle Metals Commodity Strategy No K-1 ETF”    Invesco Electric Vehicle Metals Commodity Strategy No K-1 Cayman Ltd.
Invesco Optimum Yield Diversified Commodity Strategy No K-1 ETF (PDBC)    “Optimum Yield Diversified Commodity Strategy No K-1 ETF”    Invesco Optimum Yield Diversified Commodity Strategy No K-1 Cayman Ltd.

The shares of the Funds are referred to herein as “Shares” or “Fund’s Shares.” Each Fund’s Shares are listed and traded on The Nasdaq Stock Market LLC.

The market price of each Share may differ to some degree from a Fund’s net asset value (“NAV”). Unlike conventional mutual funds, each Fund issues and redeems Shares on a continuous basis, at NAV, only in a large specified number of Shares, each called a “Creation Unit.” Creation Units are issued and redeemed principally in exchange for the deposit or delivery of cash. Except when aggregated in Creation Units by authorized participants (“APs”), the Shares are not individually redeemable securities of the Funds.

Each Fund’s investment objective is to seek long-term capital appreciation. Agriculture Commodity Strategy No K-1 ETF seeks to achieve its investment objective by investing in financial instruments that provide economic exposure to the agriculture markets through investment in its Subsidiary. Electric Vehicle Metals Commodity Strategy No K-1 ETF seeks to achieve its investment objective by investing in financial instruments that provide economic exposure to the metals markets through investment in its Subsidiary. Optimum Yield Diversified Commodity Strategy No K-1 ETF seeks to achieve its investment objective by investing in financial instruments that provide economic exposure to the commodities markets through investment in its Subsidiary. Each Fund may invest up to 25% of its total assets in its Subsidiary.

NOTE 2–Significant Accounting Policies

The following is a summary of the significant accounting policies followed by the Funds in preparation of their consolidated financial statements.

Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance in accordance with Financial Accounting Standards Board Accounting Standards Codification Topic 946, Financial Services–Investment Companies.

A.

Security Valuation - Securities, including restricted securities, are valued according to the following policies:

A security listed or traded on an exchange is generally valued at its trade price or official closing price that day as of the close of the exchange where the security is principally traded or, lacking any trades or official closing price on a particular day, the security may be valued at the closing bid or ask price on that day. Securities traded in the over-the-counter (“OTC”) market are valued based on prices furnished by independent pricing services or market makers. When such securities are valued using prices provided by an independent pricing service they may be considered fair valued. Futures contracts are valued at the daily settlement price set by an exchange on which they are principally traded. Where a final settlement price exists, exchange-traded options are valued at the final settlement price from the exchange where the option principally trades. Where a final settlement price does not exist, exchange-traded options are valued at the mean between the last bid and ask price generally from the exchange where the option principally trades.

Securities of investment companies that are not exchange-traded (e.g., open-end mutual funds) are valued using such company’s end-of-business-day NAV per share.

Deposits, other obligations of U.S. and non-U.S. banks and financial institutions are valued at their daily account value.

Fixed income securities (including convertible debt securities) generally are valued on the basis of prices provided by independent pricing services. Prices provided by the pricing service may be determined without exclusive reliance on quoted prices, and may reflect appropriate factors such as institution-size trading in similar groups of securities, developments related to specific securities, dividend rate (for unlisted equities), yield (for debt obligations), quality, type of issue, coupon rate (for

 

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debt obligations), maturity (for debt obligations), individual trading characteristics and other market data. Securities with a demand feature exercisable within one to seven days are valued at par. Pricing services generally value debt obligations assuming orderly transactions of institutional round lot size, but a Fund may hold or transact in the same securities in smaller, odd lot sizes. Odd lots often trade at lower prices than institutional round lots, and their value may be adjusted accordingly. Debt obligations are subject to interest rate and credit risks. In addition, all debt obligations involve some risk of default with respect to interest and/or principal payments.

Foreign securities’ (including foreign exchange contracts’) prices are converted into U.S. dollar amounts using the applicable exchange rates as of the close of the London world markets. If market quotations are available and reliable for foreign exchange-traded equity securities, the securities will be valued at the market quotations. Invesco Capital Management LLC (the “Adviser”) may use various pricing services to obtain market quotations as well as fair value prices. Because trading hours for certain foreign securities end before the close of the New York Stock Exchange (“NYSE”), closing market quotations may become not representative of market value in the Adviser’s judgment (“unreliable”). If, between the time trading ends on a particular security and the close of the customary trading session on the NYSE, a significant event occurs that makes the closing price of the security unreliable, the Adviser may fair value the security. If the event is likely to have affected the closing price of the security, the security will be valued at fair value in good faith in accordance with Board-approved policies and related Adviser procedures (“Valuation Procedures”). Adjustments to closing prices to reflect fair value may also be based on a screening process of an independent pricing service to indicate the degree of certainty, based on historical data, that the closing price in the principal market where a foreign security trades is not the current value as of the close of the NYSE. Foreign securities’ prices meeting the degree of certainty that the price is not reflective of current value will be priced at the indication of fair value from the independent pricing service. Multiple factors may be considered by the independent pricing service in determining adjustments to reflect fair value and may include information relating to sector indices, American depositary receipts and domestic and foreign index futures. Foreign securities may have additional risks including exchange rate changes, the potential for sharply devalued currencies and high inflation, political and economic upheaval, the relative lack of issuer information, relatively low market liquidity and the potential lack of strict financial and accounting controls and standards.

Swap agreements are fair valued using an evaluated quote, if available, provided by an independent pricing service. Evaluated quotes provided by the pricing service are valued based on a model which may include end-of-day net present values, spreads, ratings, industry, company performance and returns of referenced assets. Centrally cleared swap agreements are valued at the daily settlement price determined by the relevant exchange or clearinghouse.

Unlisted securities will be valued using prices provided by independent pricing services or by another method that the Adviser, in its judgment, believes better reflects the security’s fair value in accordance with the Valuation Procedures.

Securities for which market prices are not provided by any of the above methods may be valued based upon quotes furnished by independent sources. The mean between the last bid and ask prices may be used to value debt obligations, including corporate loans, and unlisted equity securities.

Securities for which market quotations are not readily available are fair valued by the Adviser in accordance with the Valuation Procedures. If a fair value price provided by a pricing service is unreliable, the Adviser will fair value the security using the Valuation Procedures. Issuer-specific events, market trends, bid/ask quotes of brokers and information providers and other market data may be reviewed in the course of making a good faith determination of a security’s fair value.

Each Fund may invest in securities that are subject to interest rate risk, meaning the risk that the prices will generally fall as interest rates rise and, conversely, the prices will generally rise as interest rates fall. Specific securities differ in their sensitivity to changes in interest rates depending on their individual characteristics. Changes in interest rates may result in increased market volatility, which may affect the value and/or liquidity of certain Fund investments.

Valuations change in response to many factors, including the historical and prospective earnings of the issuer, the value of the issuer’s assets, general market conditions which are not specifically related to the particular issuer, such as real or perceived adverse economic conditions, changes in the general outlook for revenues or corporate earnings, changes in interest or currency rates, regional or global instability, natural or environmental disasters, widespread disease or other public health issues, war, acts of terrorism, significant governmental actions or adverse investor sentiment generally and market liquidity. Because of the inherent uncertainties of valuation, the values reflected in the consolidated financial statements may materially differ from the value received upon actual sale of those investments.

The price a Fund could receive upon the sale of any investment may differ from the Adviser’s valuation of the investment, particularly for securities that are valued using a fair valuation technique. When fair valuation techniques are applied, the Adviser uses available information, including both observable and unobservable inputs and assumptions, to determine a methodology that will result in a valuation that the Adviser believes approximates market value. Fund securities that are fair valued may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. Because of the inherent uncertainties of valuation, and the degree of subjectivity in such decisions, a Fund could realize a greater or lesser than expected gain or loss upon the sale of the investment.

B.

Investment Transactions and Investment Income -Investment transactions are accounted for on a trade date basis. Realized gains and losses from the sale or disposition of securities are computed on the specific identified cost basis. Interest income is recorded on an accrual basis from settlement date and includes coupon interest and amortization of premium and

 

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  accretion of discount on debt securities as applicable. Pay-in-kind interest income and non-cash dividend income received in the form of securities in-lieu of cash are recorded at the fair value of the securities received. Dividend income (net of withholding tax, if any) is recorded on the ex-dividend date. Realized gains, dividends and interest received by a Fund may give rise to withholding and other taxes imposed by foreign countries. Tax conventions between certain countries and the United States may reduce or eliminate such taxes.

The Funds may periodically participate in litigation related to a Fund’s investments. As such, the Funds may receive proceeds from litigation settlements. Any proceeds received are included in the Consolidated Statements of Operations as realized gain (loss) for investments no longer held and as unrealized gain (loss) for investments still held.

C.

Country Determination - For the purposes of presentation in the Consolidated Schedules of Investments, the Adviser may determine the country in which an issuer is located and/or credit risk exposure based on various factors. These factors may include the laws of the country under which the issuer is organized, where the issuer maintains a principal office, the country in which the issuer derives 50% or more of its total revenues, the country that has the primary market for the issuer’s securities and its “country of risk” as determined by a third party service provider, as well as other criteria. Among the other criteria that may be evaluated for making this determination are the country in which the issuer maintains 50% or more of its assets, the type of security, financial guarantees and enhancements, the nature of the collateral and the sponsor organization. Country of issuer and/or credit risk exposure has been determined to be the United States of America, unless otherwise noted.

D.

Dividends and Distributions to Shareholders - Each Fund declares and pays dividends from net investment income, if any, to its shareholders annually and records such dividends on the ex-dividend date. Generally, each Fund distributes net realized taxable capital gains, if any, annually in cash and records them on the ex-dividend date. Such distributions on a tax basis are determined in conformity with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America (“GAAP”). Distributions in excess of tax basis earnings and profits, if any, are reported in such Fund’s consolidated financial statements as a tax return of capital at fiscal year-end.

E.

Federal Income Taxes - Each Fund intends to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), applicable to regulated investment companies and to distribute substantially all of the Fund’s taxable earnings to its shareholders. As such, the Funds will not be subject to federal income taxes on otherwise taxable income (including net realized gains) that is distributed to the shareholders. Therefore, no provision for federal income taxes is recorded in the consolidated financial statements.

Each Fund recognizes the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained. Management has analyzed each Fund’s uncertain tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions. Management is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next 12 months.

Each Subsidiary is classified as a controlled foreign corporation under Subchapter N of the Internal Revenue Code. Therefore, each Fund is required to increase its taxable income by its share of its Subsidiary’s income. Net investment losses of each Subsidiary cannot be deducted by each Fund in the current period nor carried forward to offset taxable income in future periods.

Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing book and tax treatments for in-kind transactions, losses deferred due to wash sales, and passive foreign investment company adjustments, if any.

The Funds file U.S. federal tax returns and tax returns in certain other jurisdictions. Generally, a Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period.

F.

Expenses - Each Fund has agreed to pay an annual unitary management fee to the Adviser. Out of the unitary management fee, the Adviser pays for substantially all expenses of the Funds, including the costs of transfer agency, custody, fund administration, legal, audit and other services, except for distribution fees, if any, brokerage expenses, taxes, interest, acquired fund fees and expenses, if any, litigation expenses and other extraordinary expenses, including proxy expenses (except for such proxies related to: (i) changes to the Investment Advisory Agreement, (ii) the election of any Board member who is an “interested person” of the Trust or the Adviser (an “Interested Trustee”), or (iii) any other matters that directly benefit the Adviser).

Expenses of the Trust that are excluded from a Fund’s unitary management fee and are directly identifiable to a specific Fund are applied to that Fund. Expenses of the Trust that are excluded from a Fund’s unitary management fee and are not readily identifiable to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of each Fund.

To the extent a Fund invests in other investment companies, the expenses shown in the accompanying consolidated financial statements reflect the expenses of the Fund and do not include any expenses of the investment companies in which it invests. The effects of such investment companies’ expenses are included in the realized and unrealized gain or loss on the investments in the investment companies.

G.

Accounting Estimates -The preparation of the consolidated financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in the consolidated financial statements, including estimates and assumptions related to taxation. Actual results could differ from these estimates.

 

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  All inter-company accounts and transactions have been eliminated in consolidation. In addition, the Funds monitor for material events or transactions that may occur or become known after the period-end date and before the date the consolidated financial statements are released to print.
H.

Indemnifications - Under the Trust’s organizational documents, its Officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Also, under each Subsidiary’s organizational documents, the directors and officers of the Subsidiary are indemnified against certain liabilities that may arise out of the performance of their duties to the Fund and/or the Subsidiary, respectively. Each Board member who is not an “interested person” (as defined in the 1940 Act) of the Trust or the Adviser (each, an “Independent Trustee”) is also indemnified against certain liabilities arising out of the performance of their duties to the Trust pursuant to an Indemnification Agreement between such trustee and the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. The risk of material loss as a result of such indemnification claims is considered remote.

I.

Futures Contracts - The Subsidiaries invest in commodity-linked futures contracts that generally are representative of the components of each Fund’s respective benchmark index. A futures contract is an agreement between two parties (“Counterparties”) to purchase or sell a specified underlying commodity or financial instrument for a specified price at a future date. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral at the futures commission merchant broker. During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by recalculating the value of the contracts on a daily basis. Subsequent or variation margin payments are received or made on commodity futures contracts that do not trade on the London Metals Exchange (the “LME”), depending upon whether unrealized gains or losses are incurred. These amounts are reflected as a receivable or payable on the Consolidated Statements of Assets and Liabilities. For LME contracts, subsequent or variation margin payments are not made and the value of the contracts is presented as net unrealized appreciation (depreciation) on the Consolidated Statements of Assets and Liabilities. When the contracts are closed or expire, each Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and each Fund’s basis in the contract. The net realized gain (loss) and the change in unrealized gain (loss) on futures contracts held during the period is included on the Consolidated Statements of Operations.

For settlement of LME commodity futures contracts, cash is not transferred until the settled futures contracts expire. Net realized gains or losses on LME contracts which have been closed out but for which the contract has not yet expired are reflected as a receivable or payable on the Consolidated Statements of Assets and Liabilities.

The primary risks associated with futures contracts are market risk, leverage risk and the absence of a liquid secondary market. If a Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and may be required to continue to maintain the margin deposits on the futures contracts until the position expired or matured. As futures contracts approach expiration, they may be replaced by similar contracts that have a later expiration. This process is referred to as “rolling”. If the market for these contracts is in “contango,” meaning that the prices of futures contracts in the nearer months are lower than the price of contracts in the distant months, the sale of the near-term month contract would be at a lower price than the longer-term contract, resulting in a cost to “roll” the futures contract. The actual realization of a potential roll cost will depend on the difference in price of the near and distant contracts. In addition, each Fund may not “roll” futures contracts on a predefined schedule as they approach expiration; instead the Adviser may determine to roll to another futures contract (chosen from a list of tradable futures with expirations beyond those contained in the Fund’s benchmark index) in an attempt to generate maximum yield. There can be no guarantee that such a strategy will produce the desired results.

J.

Swap Agreements - The Funds may enter into various swap transactions, including interest rate, total return, index, currency exchange rate and credit default swap contracts (“CDS”) for investment purposes (e.g., to gain exposure to commodities or commodity-related futures) or to manage interest rate, currency or credit risk. Such transactions are agreements between Counterparties. These agreements may contain, among other conditions, events of default and termination events, and various covenants and representations such as provisions that require each Fund to maintain a pre-determined level of net assets, and/or provide limits regarding the decline of each Fund’s NAV over specific periods of time. If each Fund were to trigger such provisions and have open derivative positions at that time, the Counterparty may be able to terminate such agreement and request immediate payment in an amount equal to the net liability positions, if any.

Interest rate, total return, index and currency exchange rate swap agreements are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or return of an underlying asset, in a particular foreign currency, or in a “basket” of securities or commodities representing a particular index.

Changes in the value of swap agreements are recognized as unrealized gains (losses) in the Consolidated Statements of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Consolidated Statements of Assets

 

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and Liabilities and may be referred to as upfront payments. The Funds accrue for the fixed payment stream and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount, recorded as a component of realized gain (loss) on the Consolidated Statements of Operations. A liquidation payment received or made at the termination of a swap agreement is recorded as realized gain (loss) on the Consolidated Statements of Operations. Cash held as collateral is recorded as deposits with brokers on the Consolidated Statements of Assets and Liabilities. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Consolidated Statements of Assets and Liabilities. Such risks involve the possibility that a swap is difficult to sell or liquidate, the Counterparty does not honor its obligations under the agreement and unfavorable interest rates and market fluctuations, which could result in a Fund accruing additional expenses. It is possible that developments in the swaps market, including potential government regulation, could adversely affect a Fund’s ability to terminate existing swap agreements or to realize amounts to be received under such agreements. Additionally, an International Swaps and Derivatives Association Master Agreement (“ISDA Master Agreement”) includes credit related contingent features which allow Counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event that, for example, the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the Counterparty.

K.

Other Risks

AP Concentration Risk. Only APs may engage in creation or redemption transactions directly with each Fund. Each Fund has a limited number of institutions that may act as APs, and such APs have no obligation to submit creation or redemption orders. Consequently, there is no assurance that APs will establish or maintain an active trading market for the Shares. This risk may be heightened to the extent that securities held by each Fund are traded outside a collateralized settlement system. In that case, APs may be required to post collateral on certain trades on an agency basis (i.e., on behalf of other market participants), which only a limited number of APs may be able to do. In addition, to the extent that APs exit the business or are unable to proceed with creation and/or redemption orders with respect to each Fund and no other AP is able to step forward to create or redeem Creation Units, this may result in a significantly diminished trading market for Fund Shares, and Shares may be more likely to trade at a premium or discount to a Fund’s NAV and to face trading halts and/or delisting. Investments in non-U.S. securities, which may have lower trading volumes or could experience extended market closures or trading halts, may increase the risk that APs may not be able to effectively create or redeem Creation Units or the risk that the Shares may be halted and/or delisted.

Cash Transaction Risk. Most exchange-traded funds (“ETFs”) generally make in-kind redemptions to avoid being taxed at the fund level on gains on the distributed portfolio securities. However, unlike most ETFs, each Fund currently intends to effect creations and redemptions principally for cash, rather than principally in-kind, because of the nature of the Fund’s investments. As such, each Fund may be required to sell portfolio securities to obtain the cash needed to distribute redemption proceeds. Therefore, a Fund may recognize a capital gain on these sales that might not have been incurred if the Fund had made a redemption in-kind. This may decrease the tax efficiency of each Fund compared to ETFs that utilize an in-kind redemption process and there may be a substantial difference in the after-tax rate of return between each Fund and conventional ETFs.

Commodity-Linked Derivative Risk. Investments linked to the prices of commodities may be considered speculative. Each Fund’s significant investment exposure to commodities may subject the Fund to greater volatility than investments in traditional securities. Therefore, the value of such instruments may be volatile and fluctuate widely based on a variety of macroeconomic factors or commodity-specific factors. At times, price fluctuations may be quick and significant and may not correlate to price movements in other asset classes, such as stocks, bonds and cash.

Commodity Pool Risk. Each Subsidiary’s investments in futures contracts have caused it and the Fund to be deemed commodity pools, thereby subjecting each of the Subsidiaries and the Funds to regulation under the Commodity Exchange Act and Commodity Futures Trading Commission (“CFTC”) rules. The Adviser is registered as a commodity pool operator (“CPO”) and as a commodity trading advisor (“CTA”), and will manage both the Funds and the Subsidiaries in accordance with CFTC rules, as well as the rules that apply to registered investment companies. Registration as a CPO or CTA subjects the Adviser to additional laws, regulations and enforcement policies, which could increase compliance costs and may affect the operations and financial performance of the Funds or the Subsidiaries. Registration as a commodity pool may have negative effects on the ability of the Funds or the Subsidiaries to engage in its planned investment program. Additionally, the Subsidiaries’ positions in futures contracts may have to be liquidated at disadvantageous times or prices to prevent the Funds from exceeding any applicable position limits established by the CFTC. Such actions may subject the Funds to substantial losses.

Futures Contracts Risk. Risks of futures contracts include: (i) an imperfect correlation between the value of the futures contract and the underlying commodity or commodity index; (ii) possible lack of a liquid secondary market; (iii) the inability to close a futures contract when desired; (iv) losses caused by unanticipated market movements, which may be unlimited; (v) an obligation for the Fund to make daily cash payments to maintain its required margin, particularly at times when the Fund may have insufficient cash or must sell securities to meet those margin requirements; (vi) the possibility that a failure to close a position may result in the Fund receiving an illiquid commodity; and (vii) unfavorable execution prices from rapid selling.

Leverage Risk. The Subsidiaries may invest in portfolio investments that can give rise to a form of economic leverage. Leverage occurs when a Fund’s market exposure exceeds amounts invested. A Fund’s exposure to derivatives and

 

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other investment techniques can create a leveraging effect on the portfolio. This leverage will vary over time and may at times be significant. Engaging in transactions using leverage or those having a leveraging effect subjects a Fund to certain risks. Leverage can magnify the effect of any gains or losses, causing a Fund to be more volatile than if it had not used leverage. A Fund may have a substantial cash position due to margin and collateral requirements related to a Fund’s use of derivatives. Such margin and collateral requirements may limit a Fund’s ability to take advantage of other investment opportunities, and a Fund also may have to sell or liquidate a portion of its assets at inopportune times to satisfy these requirements. This may negatively affect a Fund’s ability to achieve its investment objective. In addition, a Fund’s assets that are used as collateral to secure these transactions may decrease in value while the positions are outstanding, which may force a Fund to use its other assets to increase collateral. The use of leverage is considered to be a speculative investment practice and may result in the loss of a substantial amount of a Fund’s assets. There is no assurance that a leveraging strategy will be successful.

Liquidity Risk. Liquidity risk exists when a particular investment is difficult to purchase or sell. If a Fund invests in illiquid securities or current portfolio securities become illiquid, it may reduce the returns of the Fund because the Fund may be unable to sell the illiquid securities at an advantageous time or price.

Management Risk. The Funds are subject to management risk because they are actively managed portfolios. In managing a Fund’s portfolio securities, the Adviser applies investment techniques and risk analyses in making investment decisions, but there can be no guarantee that these will produce the desired results.

Market Risk. The Funds’ holdings are subject to market fluctuations. You should anticipate that the value of the Shares will decline more or less, in correlation with any decline in value of the holdings in a Fund’s portfolio. Additionally, natural or environmental disasters, widespread disease or other public health issues, war, military conflict, acts of terrorism, economic crisis or other events could result in increased premiums or discounts to each Fund’s NAV.

Non-Diversified Fund Risk. Because each Fund (except Optimum Yield Diversified Commodity Strategy No K-1 ETF) is non-diversified and can invest a greater portion of its assets in securities of individual issuers than can a diversified fund, changes in the market value of a single investment could cause greater fluctuations in Share price than would occur in a diversified fund. This may increase a Fund’s volatility and cause the performance of a relatively small number of issuers to have a greater impact on a Fund’s performance.

Pooled Investment Vehicle Risk. The Funds face the risk that a pooled investment vehicle will not achieve its investment objective. The Funds also are subject to the risks of the underlying commodities in which the pooled vehicles invest. As a shareholder in such a vehicle, the Funds will incur duplicative expenses, bearing its share of that vehicle’s expenses while also paying its own advisory and administrative fees. In addition, the Funds will incur brokerage costs when purchasing and selling shares of pooled investment vehicles.

Subsidiary Investment Risk. By investing in its Subsidiary, each Fund is indirectly exposed to the risks associated with its respective Subsidiary’s investments. Each Subsidiary is not registered under the 1940 Act; therefore each Fund will not receive all of the protections offered to investors in registered investment companies. Changes in the laws of the United States and/or the Cayman Islands could result in the inability of a Fund and/or its Subsidiary to operate as intended, which may negatively affect the Fund and its shareholders.

Tax Risk. To qualify as a regulated investment company (“RIC”), the Funds must meet certain requirements concerning the source of its income. Each Fund’s investment in its respective Subsidiary is intended to provide exposure to commodities in a manner consistent with the “qualifying income” requirement applicable to RICs. The Internal Revenue Service (“IRS”) has ceased issuing private revenue rulings regarding whether the use of subsidiaries by investment companies to invest in commodity-linked instruments constitutes qualifying income. If the IRS determines that this source of income is not “qualifying income,” the Funds may cease to qualify as a RIC. Failure to qualify as a RIC could subject the Funds to adverse tax consequences, including a federal income tax on their net income at regular corporate rates, as well as a tax to shareholders on such income when distributed as an ordinary dividend.

Valuation Risk. Financial information related to securities of non-U.S. issuers may be less reliable than information related to securities of U.S. issuers, which may make it difficult to obtain a current price for a non-U.S. security held by a Fund. In certain circumstances, market quotations may not be readily available for some Fund securities, and those securities may be fair valued. The value established for a security through fair valuation may be different from what would be produced if the security had been valued using market quotations. Fund securities that are valued using techniques other than market quotations, including “fair valued” securities, may be subject to greater fluctuations in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance that a Fund could sell a portfolio security for the value established for it at any time, and it is possible that a Fund would incur a loss because a security is sold at a discount to its established value.

NOTE 3–Investment Advisory Agreement and Other Agreements

The Trust has entered into an Investment Advisory Agreement with the Adviser on behalf of each Fund, pursuant to which the Adviser has overall responsibility for the selection and ongoing monitoring of the Funds’ investments, managing the Funds’ business affairs and providing certain clerical, bookkeeping and other administrative services.

 

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Pursuant to the Investment Advisory Agreement, each Fund accrues daily and pays monthly to the Adviser an annual unitary management fee. Out of the unitary management fee, the Adviser pays for substantially all expenses of the Funds, including the costs of transfer agency, custody, fund administration, legal, audit and other services, except for distribution fees, if any, brokerage expenses, taxes, interest, acquired fund fees and expenses, if any, litigation expenses and other extraordinary expenses, including proxy expenses (except for such proxies related to: (i) changes to the Investment Advisory Agreement, (ii) the election of an Interested Trustee, or (iii) any other matters that directly benefit the Adviser). The unitary management fee is paid by each Fund to the Adviser at the following annual rates:

 

     Unitary Management Fees
(as a % of average daily net  assets)

Agriculture Commodity Strategy No K-1 ETF

   0.59%

Electric Vehicle Metals Commodity Strategy No K-1 ETF

   0.59%

Optimum Yield Diversified Commodity Strategy No K-1 ETF

   0.59%

Through at least August 31, 2025, the Adviser has contractually agreed to waive the management fee payable by each Fund in an amount equal to the lesser of: (i) 100% of the net advisory fees earned by the Adviser or an affiliate of the Adviser that are attributable to the Fund’s investments in money market funds that are managed by affiliates of the Adviser and other funds (including ETFs) managed by the Adviser or affiliates of the Adviser or (ii) the management fee available to be waived. There is no guarantee that the Adviser will extend the waiver of these fees past that date.

For the fiscal year ended October 31, 2023, the Adviser waived fees for each Fund in the following amounts:

 

Agriculture Commodity Strategy No K-1 ETF

   $ 20,561  

Electric Vehicle Metals Commodity Strategy No K-1 ETF

     24,207  

Optimum Yield Diversified Commodity Strategy No K-1 ETF

     11,639,453  

The Trust has entered into a Distribution Agreement with Invesco Distributors, Inc. (the “Distributor”), which serves as the distributor of Creation Units for each Fund. The Distributor does not maintain a secondary market in the Shares. The Funds are not charged any fees pursuant to the Distribution Agreement. The Distributor is an affiliate of the Adviser.

The Trust has entered into service agreements whereby The Bank of New York Mellon, a wholly-owned subsidiary of The Bank of New York Mellon Corporation, serves as the administrator, custodian, fund accountant and transfer agent for each Fund.

NOTE 4–Additional Valuation Information

GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date, under current market conditions. GAAP establishes a hierarchy that prioritizes the inputs to valuation methods, giving the highest priority to readily available unadjusted quoted prices in an active market for identical assets (Level 1) and the lowest priority to significant unobservable inputs (Level 3), generally when market prices are not readily available. Based on the valuation inputs, the securities or other investments are tiered into one of three levels. Changes in valuation methods may result in transfers in or out of an investment’s assigned level:

         Level 1 –   Prices are determined using quoted prices in an active market for identical assets.
  Level 2 –   Prices are determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, loss severities, default rates, discount rates, volatilities and others.
  Level 3 –   Prices are determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Adviser’s assumptions about the factors market participants would use in determining fair value of the securities or instruments and would be based on the best available information.

The following is a summary of the tiered valuation input levels, as of October 31, 2023. The level assigned to the securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. Because of the inherent

 

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uncertainties of valuation, the values reflected in the consolidated financial statements may materially differ from the value received upon actual sale of those investments.