USCF ETF TRUST
T
ABLE OF CONTENTS

 

Disclosure of Fund Expenses (unaudited) 2
   
Consolidated Schedule of Investments (unaudited) 4
   
Schedule of Investments (unaudited) 22
   
Consolidated Statements of Assets and Liabilities (unaudited) 26
   
Statements of Assets and Liabilities (unaudited) 29
   
Consolidated Statements of Operations (unaudited) 30
   
Statements of Operations (unaudited) 33
   
Consolidated Statements of Changes in Net Assets (unaudited) 34
   
Statements of Changes in Net Assets (unaudited) 37
   
Consolidated Financial Highlights (unaudited) 38
   
Financial Highlights (unaudited) 44
   
Notes to Financial Statements (unaudited) 46
   
Approval of Investment Advisory and Sub-Advisory Agreements (unaudited) 75
 
 

DISCLOSURE OF FUND EXPENSES

 

As a shareholder of one or more of the USCF SummerHaven Dynamic Commodity Strategy No K-1 Fund, the USCF Gold Strategy Plus Income Fund, the USCF Sustainable Battery Metals Strategy Fund, the USCF Energy Commodity Strategy Absolute Return Fund, the USCF Sustainable Commodity Strategy Fund, the USCF Aluminum Strategy Fund, the USCF Midstream Energy Income Fund, and the USCF Dividend Income Fund (each a “Fund” and collectively, the “Funds”), each of which is a series of the USCF ETF Trust (the “Trust”), you may incur two potential types of costs: (1) transaction costs, such as brokerage commissions, for purchasing and selling your Fund shares, and (2) ongoing costs, which consist of a unitary management fee that covers all of the direct expenses of a Fund except for expenses for taxes and governmental fees; brokerage fees; commissions and other transaction expenses; costs of borrowing money, including interest expenses; securities lending expenses; extraordinary expenses (such as litigation and indemnification expenses); and fees and expenses of any independent legal counsel. The following examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2023, until December 31, 2023.

 

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

 

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

 

The expenses shown in the table are meant to highlight ongoing costs only and do not reflect any transaction fees, such as brokerage commission paid on purchases and sales of Fund shares. Therefore, the number under the heading “Hypothetical Expenses Paid During the Period” is useful in comparing ongoing costs only and may not help you determine the relative total costs of owning different funds.

 

2 Semi-Annual Report December 31, 2023
 
 

DISCLOSURE OF FUND EXPENSES (continued)

 

Fund   Beginning
Account
Value
July 1, 2023
    Ending
Account Value
December 31,
2023
    Annualized
Expense
Ratio
    Expenses
Paid
During the
Period
Per $1,000
 
USCF SummerHaven Dynamic Commodity Strategy No K-1 Fund                                
Actual(a)   $ 1,000.00     $ 1,052.00       0.60 %   $ 3.10  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,022.12       0.60 %   $ 3.05  
USCF Gold Strategy Plus Income Fund                                
Actual(a)   $ 1,000.00     $ 1,079.60       0.45 %   $ 2.35  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,022.87       0.45 %   $ 2.29  
USCF Sustainable Battery Metals Strategy Fund                                
Actual(a)   $ 1,000.00     $ 764.20       0.59 %   $ 2.62  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,021.81       0.59 %   $ 3.00  
USCF Energy Commodity Strategy Absolute Return Fund                                
Actual(a)   $ 1,000.00     $ 1,069.30       0.79 %   $ 4.11  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,020.82       0.79 %   $ 4.01  
USCF Sustainable Commodity Strategy Fund                                
Actual(b)   $ 1,000.00     $ 886.60       0.33 %   $ 1.25  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,023.08       0.33 %   $ 1.70  
USCF Aluminum Strategy Fund                                
Actual(c)   $ 1,000.00     $ 1,055.00       0.65 %   $ 1.58  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,021.53       0.65 %   $ 3.28  
USCF Midstream Energy Income Fund                                
Actual(a)   $ 1,000.00     $ 1,092.00       0.85 %   $ 4.47  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,020.86       0.85 %   $ 4.32  
USCF Dividend Income Fund                                
Actual(a)   $ 1,000.00     $ 1,050.00       0.65 %   $ 3.35  
Hypothetical (5% return before expenses)   $ 1,000.00     $ 1,021.51       0.65 %   $ 3.30  

 

(a) Expenses (net of fee waivers), with respect to a Fund, are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days (184 days) in the most recent fiscal half-year, then divided by 366 (to reflect the one-half year period).
(b) Expenses (net of fee waivers), with respect to a Fund, are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days (145 days) in the period August 9, 2023 (commencement of operations) to December 31, 2023, then divided by 366. ZSC’s proportionate share of the operating expenses of ZSB is not reflected in the table above.
(c) Expenses, with respect to a Fund, are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days (87 days) in the period October 6, 2023 (commencement of operations) to December 31, 2023, then divided by 366.

 

  3
 
 

USCF ETF TRUST
USCF SUMMERHAVEN DYNAMIC COMMODITY STRATEGY NO K-1 FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2023 (unaudited)

 

Besides the following listed Commodity Futures Contracts and United States Treasury Obligations of the Fund and its wholly-owned subsidiary, there were no additional investments held by the Fund at December 31, 2023.

 

The following Commodity Futures Contracts of the Fund’s wholly-owned subsidiary were open at December 31, 2023 (see Security Valuation in the Notes to Financial Statements):

 

    Number of
Contracts
    Notional
Amount
    Expiration
Date
    Fair Value/
Unrealized Gain
(Loss) on Open
Commodity
Contracts
    % of Total
Net
Assets
 
Open Commodity Futures                                        
Contracts – Long                                        
Foreign Contracts                                        
LME Lead Futures LL, January 2024 contracts     19     $ 1,017,839       Jan-24     $ (46,820 )     (0.4 )%
LME Zinc Futures LX, January 2024 contracts     28       1,738,365       Jan-24       111,735       0.9 %
ICE Low Sulphur Gasoil Futures QS,February 2024 contracts     11       842,475       Feb-24       (26,000 )     (0.2 )%
ICE Brent Crude Futures CO, November 2024 contracts     11       869,580       Sep-24       (41,500 )     (0.4 )%
      69       4,468,259               (2,585 )     (0.1 )%
United States Contracts                                        
NYMEX Natural Gas Futures NG, March 2024 contracts     37       855,018       Feb-24       5,972       0.0 %(a)
CME Live Cattle Futures LC, February 2024 contracts.     13       879,640       Feb-24       (3,440 )     (0.0 )%(b)
ICE Cocoa Futures CC, March 2024 contracts     20       849,090       Mar-24       (9,890 )     (0.1 )%
CBOT Soybean Futures S, March 2024 contracts     13       853,525       Mar-24       (9,825 )     (0.1 )%
CBOT Soybean Meal Futures SM, March 2024 contracts     22       915,070       Mar-24       (65,870 )     (0.6 )%
CBOT Soybean Oil Futures BO, March 2024 contracts     29       907,656       Mar-24       (69,324 )     (0.6 )%
ICE Coffee Futures KC, March 2024 contracts     12       729,281       Mar-24       118,069       1.0 %
COMEX Copper Futures HG, March 2024 contracts     9       830,612       Mar-24       44,750       0.4 %
NYMEX NY Harbour ULSD Futures HO, April 2024 contracts     8       839,929       Mar-24       (16,393 )     (0.1 )%
COMEX Gold 100 OZ Futures GC, April 2024 contracts     4       837,480       Apr-24       (760 )     (0.0 )%(b)
ICE Sugar #11 Futures SB, May 2024 contracts     38       1,039,763       Apr-24       (170,688 )     (1.4 )%

 

The accompanying notes are an integral part of the financial statements.

4 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST
USCF SUMMERHAVEN DYNAMIC COMMODITY STRATEGY NO K-1 FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2023 (unaudited) (continued)

 

    Number of
Contracts
    Notional
Amount
    Expiration
Date
    Fair Value/
Unrealized Gain
(Loss) on Open
Commodity
Contracts
    % of Total
Net
Assets
 
United States Contracts (continued)                                        
NYMEX WTI Crude Oil Futures CL, October 2024 contracts     12     $ 899,610       Sep-24     $ (47,850 )     (0.4 )%
      217       10,436,674               (225,249 )     (1.9 )%
Open Commodity Futures Contracts – Short(c)                                        
Foreign Contracts                                        
LME Lead Futures LL, January 2024 contracts     19       (977,552 )     Jan-24       6,534       0.1 %
LME Zinc Futures LX, January 2024 contracts     28       (1,811,241 )     Jan-24       (38,859 )     (0.3 )%
      47       (2,788,793 )             (32,325 )     (0.2 )%
Total Open Commodity Futures Contracts(d)     333     $ 12,116,140             $ (260,159 )     (2.2 )%

 

The accompanying notes are an integral part of the financial statements.  
  5
 
 

USCF ETF TRUST
USCF SUMMERHAVEN DYNAMIC COMMODITY STRATEGY NO K-1 FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2023 (unaudited) (continued)

 

    Principal
Amount
    Market
Value
    % of Total
Net Assets
 
Cash Equivalents                        
United States Treasury Obligations                        
U.S. Treasury Bills:                        
5.39%, 2/08/2024     200,000     $ 198,888       1.7 %
5.30%, 2/15/2024     550,000       546,394       4.7 %
5.30%, 2/29/2024     550,000       545,277       4.6 %
5.23%, 3/12/2024     350,000       346,362       2.9 %
5.21%, 3/26/2024     550,000       543,176       4.6 %
5.28%, 3/28/2024     250,000       246,844       2.1 %
Total Treasury Obligations                        
(Cost $2,426,941)           $ 2,426,941       20.6 %
Total Investments                        
(Cost $2,426,941)           $ 2,166,782       18.4 %
Other Assets in Excess of Liabilities             9,619,316       81.6 %
Total Net Assets           $ 11,786,098       100.0 %

 

(a) Position represents less than 0.05%.
(b) Position represents greater than (0.05)%.
(c) All short contracts are offset by long positions in Commodity Futures Contracts and are acquired solely for the purpose of reducing a long position (e.g., due to a redemption or to reflect a rebalancing).
(d) Collateral amounted to $1,510,799 on open Commodity Futures Contracts.

 

Summary of Investments by Country^        
United States     101.6 %
United Kingdom     (1.6 )
      100.0 %
         
Summary of Investments by Sector^        
Government     100.0 %
      100.0 %

 

^ As a percentage of total investments.

 

The accompanying notes are an integral part of the financial statements.

6 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST
USCF GOLD STRATEGY PLUS INCOME FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2023 (unaudited)

 

Besides the following listed Commodity Futures Contracts and Written Call Options of the Fund and its wholly-owned subsidiary, there were no additional investments held by the Fund at December 31, 2023.

The following Commodity Futures Contracts of the Fund’s wholly-owned subsidiary were open at December 31, 2023 (see Security Valuation in the Notes to Financial Statements):

 

    Number of
Contracts
    Notional
Amount
    Expiration
Date
    Fair Value/
Unrealized Gain
(Loss) on Open
Commodity
Contracts
    % of Total
Net
Assets
 
Open Commodity Futures Contracts—Long(a)                                        
United States Contracts                                        
COMEX Gold 100 OZ Futures GC, April 2024 contracts     16     $ 3,342,240       Apr-24     $ 4,640       0.1 %

 

The following Written Call Options of the Funds wholly-owned subsidiary were open at December 31, 2023:

 

    Number of
Contracts
    Notional
Amount
    Expiration
Date
    Fair Value/
Written Call
Options
    % of Total
Net
Assets
 
Written Call Options(b)                                        
United States Contracts                                        
COMEX Gold Futures February 2024 Option Contracts, Call @ $2200 (Premiums received $6,197)     (16 )   $ 6,197       Jan-24     $ (6,880 )     (0.2 )%
Total Investments                                        
(Cost $(6,197))                           $ (2,240 )     (0.1 )%
Other Assets in Excess of Liabilities                             3,171,803       100.1 %
Total Net Assets                           $ 3,169,563       100.0 %

 

(a) Collateral amounted to $(44,614) on open Commodity Futures Contracts.
(b) Pledged as collateral for the trading of Commodity Futures Contracts.

 

Summary of Investments by Country^        
United States     100.0 %
         
Summary of Investments by Sector^        
Gold     100.0 %

 

^ As a percentage of total investments.

 

The accompanying notes are an integral part of the financial statements.  
  7
 
 

USCF ETF TRUST
USCF SUSTAINABLE BATTERY METALS STRATEGY FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2023 (unaudited)

 

Besides the following listed Commodity Futures Contracts, Common Stocks and United States Treasury Obligations of the Fund and its wholly-owned subsidiary, there were no additional investments held by the Fund at December 31, 2023.

 

The following Commodity Futures Contracts of the Fund’s wholly-owned subsidiary were open at December 31, 2023 (see Security Valuation in the Notes to Financial Statements):

 

    Number of
Contracts
    Notional
Amount
    Expiration
Date
    Fair Value/
Unrealized Gain
(Loss) on Open
Commodity
Contracts
    % of Total
Net
Assets
 
Open Commodity Futures Contracts—Long                                        
Foreign Contracts                                        
LME Nickel Futures LN, March 2024 contracts     2     $ 218,427       Mar-24     $ (19,311 )     (1.2 )%
LME Zinc Futures LX, March 2024 contracts     1       64,431       Mar-24       2,156       0.1 %
SGX Iron Ore Futures SC, March 2024 contracts     2       23,445       Mar-24       3,961       0.2 %
ICE ECX EMISSION Futures MO, December 2024 contracts     2       171,890       Dec-24       346       0.0 %(a)
      7       478,193               (12,848 )     (0.9 )%
United States Contracts                                        
COMEX Copper Futures HG, March 2024 contracts     3       278,925       Mar-24       12,863       0.8 %
COMEX Silver Futures SI, March 2024 contracts     1       117,875       Mar-24       2,555       0.2 %
LME Aluminum Futures LA, March 2024 contracts     3       170,844       Mar-24       7,187       0.4 %
CME Cobalt Fastmarket Futures CV, March 2024 contracts     5       190,303       Mar-24       (33,775 )     (2.0 )%
CME Lithium LiOH Futures LF, April 2024 contracts     4       100,000       Apr-24       (22,080 )     (1.3 )%
CME Lithium LiOH Futures LF, May 2024 contracts     4       100,000       May-24       (20,800 )     (1.3 )%
CME Lithium LiOH Futures LF, June 2024 contracts     4       100,000       Jun-24       (19,880 )     (1.2 )%
CME Cobalt Fastmarket Futures CV, September 2024 contracts     5       205,581       Sep-24       (40,234 )     (2.4 )%
      29       1,263,528               (114,164 )     (6.8 )%
Total Open Commodity Futures Contracts(b)     36     $ 1,741,721             $ (127,012 )     (7.7 )%

 

The accompanying notes are an integral part of the financial statements.

8 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST
USCF SUSTAINABLE BATTERY METALS STRATEGY FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2023 (unaudited) (continued)

 

    Shares     Market
Value
    % of Total
Net Assets
 
Common Stocks                        
Australia                        
Iluka Resources Ltd.     575     $ 2,590       0.2 %
Lynas Rare Earths Ltd.(c)     4,472       21,849       1.3 %
Mineral Resources Ltd.     78       3,726       0.2 %
Pilbara Minerals Ltd.     3,984       10,738       0.7 %
            38,903     2.4 %
Brazil                        
Vale SA – Class B, ADR     100       1,586       0.1 %
Chile                        
Sociedad Quimica y Minera de Chile SA, ADR     400       24,088       1.5 %
China                        
Beijing Easpring Material Technology Co. Ltd. – Class A     200       1,073       0.1 %
China Rare Earth Resources And Technology Co. Ltd. – Class A     1,000       3,886       0.2 %
Ganfeng Lithium Group Co. Ltd. – Class H, 144A(d)     4,400       16,623       1.0 %
Guangzhou Tinci Materials Technology Co. Ltd. – Class A     600       2,113       0.1 %
Jinduicheng Molybdenum Co. Ltd. – Class A     11,600       15,395       0.9 %
Ningbo Shanshan Co. Ltd. – Class A     100       191       0.0 %(a)
Shanghai Putailai New Energy Technology Co. Ltd. – Class A     7,275       21,384       1.3 %
Shenghe Resources Holding Co. Ltd. – Class A     5,400       7,720       0.5 %
Shenzhen Capchem Technology Co. Ltd. – Class A     300       1,993       0.1 %
Shenzhen Dynanonic Co. Ltd. – Class A     120       1,028       0.1 %
South Manganese Investment Ltd.(c) (d)     28,000       887       0.1 %
Tianqi Lithium Corp. – Class H     1,200       6,631       0.4 %
Tongwei Co. Ltd. – Class A     600       2,109       0.1 %
Xiangtan Electrochemical Scientific Co. Ltd. – Class A     2,200       3,303       0.2 %
Xinte Energy Co. Ltd. – Class H(c)     2,800       3,923       0.2 %
Youngy Co. Ltd. – Class A     400       3,045       0.2 %
            91,304     5.5 %
France                        
Eramet SA     139       10,979       0.7 %
Germany                        
SGL Carbon SE(c)     6,808       48,958       3.0 %
Wacker Chemie AG     52       6,566       0.4 %
            55,524     3.4 %
Japan                        
Nippon Carbon Co. Ltd.     600       18,662       1.1 %
Nippon Denko Co. Ltd.     3,300       6,460       0.4 %
Toho Titanium Co. Ltd.     100       1,345       0.1 %
            26,467     1.6 %

 

The accompanying notes are an integral part of the financial statements.  
  9
 
 

USCF ETF TRUST
USCF SUSTAINABLE BATTERY METALS STRATEGY FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2023 (unaudited) (continued)

 

    Shares     Market
Value
    % of Total
Net Assets
 
Common Stocks (continued)                        
Jersey Island                        
Arcadium Lithium PLC(c)     2,043     $ 15,627       0.9 %
Netherlands                        
AMG Critical Materials NV     25       630       0.0 %(a)
Norway                        
Elkem ASA, 144A(e)     5,507       11,474       0.7 %
South Korea                        
Ecopro BM Co. Ltd.(c)     6       1,342       0.1 %
L&F Co. Ltd.(c)     5       792       0.0 %(a)
              2,134       0.1 %
United States                        
Albemarle Corp.     200       28,896       1.7 %
GrafTech International Ltd.     9,600       21,024       1.3 %
Livent Corp.(c)     1,300       23,374       1.4 %
MP Materials Corp.(c)     700       13,895       0.8 %
Tronox Holdings PLC     200       2,832       0.2 %
              90,021       5.4 %
Total Common Stocks                        
(Cost $434,976)           $ 368,737       22.3 %

 

    Principal
Amount
    Market
Value
    % of Total
Net Assets
 
Cash Equivalents                        
United States Treasury Obligations                        
U.S. Treasury Bills:                        
5.36%, 1/18/2024     170,000     $ 169,575       10.2 %
5.30%, 2/29/2024     320,000       317,252       19.2 %
5.30%, 3/07/2024     410,000       406,061       24.6 %
Total Treasury Obligations                        
(Cost $892,888)           $ 892,888       54.0 %
Total Investments                        
(Cost $1,327,864)           $ 1,134,613       68.6 %
Other Assets in Excess of Liabilities             518,088       31.4 %
Total Net Assets           $ 1,652,701       100.0 %
(a) Position represents less than 0.05%.
(b) Collateral amounted to $190,805 on open Commodity Futures Contracts.
(c) Non-income producing security.
(d) Security fair valued as of December 31, 2023 in accordance with procedures approved by the Board of Trustees. Total value of all such securities on December 31, 2023 amounted to $887 which represents approximately 0.05% of net assets of the Fund.
(e) Security was purchased (sold) pursuant to Rule 144A under the Securities Act of 1933 and may not be resold (repurchased) subject to that rule except to qualified institutional buyers. Unless otherwise noted, Rule 144A securities are deemed to be liquid. Total fair value of Rule 144A securities amounts to $28,097, which represents 1.7% of net assets as of December 31, 2023.

 

The accompanying notes are an integral part of the financial statements.

10 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST
USCF SUSTAINABLE BATTERY METALS STRATEGY FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2023 (unaudited) (continued)

 

Summary of Investments by Country^      
United States     77.9 %
China     7.2  
Germany     4.4  
Australia     3.1  
Japan     2.1  
Chile     1.9  
Jersey Island     1.2  
Norway     0.9  
France     0.9  
South Korea     0.2  
Brazil     0.1  
Netherlands     0.1  
      100.0 %

 

Summary of Investments by Sector^      
Government     70.8 %
Basic Materials     25.8  
Industrial     2.8  
Energy     0.6  
      100.0 %

 

^ As a percentage of total investments.

The accompanying notes are an integral part of the financial statements.  
  11
 
 

USCF ETF TRUST
USCF ENERGY COMMODITY STRATEGY ABSOLUTE RETURN FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2023 (unaudited)

 

Besides the following listed Commodity Futures Contracts and United States Treasury Obligations of the Fund and its wholly-owned subsidiary, there were no additional investments held by the Fund at December 31, 2023.

 

The following Commodity Futures Contracts of the Fund’s wholly-owned subsidiary were open at December 31, 2023 (see Security Valuation in the Notes to Financial Statements):

 

    Number of
Contracts
    Notional
Amount
    Expiration
Date
    Fair Value/
Unrealized Gain
(Loss) on Open
Commodity
Contracts
    % of Total
Net
Assets
 
Open Commodity Futures Contracts – Long                                        
United States Contracts                                        
NYMEX WTI Crude Oil Futures CL, March 2024 contracts     59     $ 4,369,540       Feb-24     $ (130,980 )     (4.2 )%
NYMEX RBOB Gasoline Futures RB, March 2024 contracts     7       630,189       Feb-24       (5,204 )     (0.2 )%
      66       4,999,729               (136,184 )     (4.4 )%
Open Commodity Futures Contracts – Short(a)                                        
United States Contracts                                        
NYMEX Natural Gas Futures NG, March 2024 contracts     36       (893,880 )     Feb-24       56,160       1.8 %
NYMEX WTI Crude Oil Futures CL, December 2024 contracts     30       (2,177,100 )     Nov-24       68,100       2.2 %
NYMEX RBOB Gasoline Futures RB, December 2024 contracts     4       (337,478 )     Nov-24       5,746       0.2 %
      70       (3,408,458 )             130,006       4.2 %
Total Open Commodity Futures  Contracts(b)     136     $ 1,591,271             $ (6,178 )     (0.2 )%

 

The accompanying notes are an integral part of the financial statements.

12 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST
USCF ENERGY COMMODITY STRATEGY ABSOLUTE RETURN FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2023 (unaudited) (continued)

 

    Principal
Amount
    Market
Value
    % of Total
Net Assets
 
Cash Equivalents                        
United States Treasury Obligations                        
U.S. Treasury Bills:                        
5.36%, 1/18/2024     300,000     $ 299,249       9.5 %
4.98%, 2/01/2024     475,000       472,855       15.0 %
5.30%, 2/15/2024     700,000       695,411       22.0 %
5.30%, 2/29/2024     900,000       892,271       28.3 %
5.30%, 3/07/2024     135,000       133,703       4.2 %
Total Treasury Obligations                        
(Cost $2,493,489)           $ 2,493,489       79.0 %
Total Investments                        
(Cost $2,493,489)           $ 2,487,311       78.8 %
Other Assets in Excess of Liabilities             670,852       21.2 %
Total Net Assets           $ 3,158,163       100.0 %

(a) All short contracts are offset by long positions in Commodity Futures Contracts and are acquired solely for the purpose of reducing a long position (e.g., due to a redemption or to reflect a rebalancing of the USE).
(b) Collateral amounted to $611,084 on open Commodity Futures Contracts.

 

Summary of Investments by Country^      
United States     100.0 %
         
Summary of Investments by Sector^        
Government     100.0 %

 

^ As a percentage of total investments.

 

The accompanying notes are an integral part of the financial statements.  
  13
 
 

USCF ETF TRUST
USCF SUSTAINABLE COMMODITY STRATEGY FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2023 (unaudited)

 

Besides the following listed Commodity Futures Contracts, Common Stocks, United States Treasury Obligations and Exchange-Traded Funds of the Fund and its wholly-owned subsidiary, there were no additional investments held by the Fund at December 31, 2023.

 

The following Commodity Futures Contracts of the Fund’s wholly-owned subsidiary were open at December 31, 2023 (see Security Valuation in the Notes to Financial Statements):

 

    Number of
Contracts
    Notional
Amount
    Expiration
Date
    Fair Value/
Unrealized Gain
(Loss) on Open
Commodity
Contracts
    % of
Total
Net
Assets
 
Open Commodity Futures Foreign Contracts – Long                                        
Euronext Rapeseed EURO Futures IJ, February 2024 contracts     3     $ 70,828       Jan-24     $ (1,837 )     (0.1 )%
ICE Canola Futures RS, March 2024 contracts     8       79,363       Mar-24       (2,366 )     (0.1 )%
ICE ECX EMISSION Futures MO, December 2024 contracts     2       171,890       Dec-24       265       0.0 %(a)
      13       322,081               (3,938 )     (0.2 )%
United States Contracts                                        
                                         
ICE Sugar #11 Futures SB, March 2024 contracts     2       59,438       Feb-24       (13,339 )     (0.5 )%
ICE Cotton Futures CT, March 2024 contracts     1       40,460       Mar-24       40       0.0 %(a)
ICE Cocoa Futures CC, March 2024 contracts     1       39,410       Mar-24       2,550       0.1 %
CBOT Corn Futures C, March 2024 contracts     9       219,825       Mar-24       (7,763 )     (0.3 )%
CBOT Rough Rice Futures RR, March 2024 contracts     3       103,120       Mar-24       2,000       0.1 %
CBOT Soybean Futures S, March 2024 contracts     2       132,475       Mar-24       (2,675 )     (0.1 )%
CBOT Wheat Future W, March 2024 contracts     3       90,588       Mar-24       3,613       0.1 %
ICE Coffee Futures KC, March 2024 contracts     1       64,387       Mar-24       6,225       0.2 %
NYMEX Chicago Ethanol S Futures CU, March 2024 contracts     1       72,975       Mar-24       (5,355 )     (0.2 )%

 

The accompanying notes are an integral part of the financial statements.

14 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST
USCF SUSTAINABLE COMMODITY STRATEGY FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2023 (unaudited) (continued)

 

    Number of
Contracts
    Notional
Amount
    Expiration
Date
    Fair Value/
Unrealized Gain
(Loss) on Open
Commodity
Contracts
    % of Total
Net
Assets
 
United States Contracts (continued)                                        
ICE Biodiesel D4 RIN Futures RI, June 2024 contracts     2       81,850       Jun-24     $ (4,750 )     (0.2 )%
ICE PJM TQRECC I ZQ, July 2024 contracts     13       48,009       Jul-24       (1,274 )     (0.0 )%(b)
ICE CA Low Carbon Fuel Futures ZR, December 2024 contracts     2       14,525       Dec-24       (325 )     (0.0 )%(b)
      40       967,062           (21,053 )     (0.8 )%
Total Open Commodity Futures Contracts(c)     53     $ 1,289,143             $ (24,991 )     (1.0 )%

 

    Shares     Market
Value
    % of Total
Net Assets
 
Common Stocks                        
Aerospace & Defense                        
Hexcel Corp     100     $ 7,375       0.3 %
Chemicals                        
Daqo New Energy Corp., ADR(d)     600       15,960       0.6 %
Electric                        
AES Brasil Energia SA(d)     10,100       25,616       1.0 %
Boralex, Inc. – Class A     800       20,434       0.8 %
Brookfield Renewable Corp. – Class A     700       20,153       0.8 %
EDP Renovaveis SA     1,132       23,165       0.9 %
FTC Solar, Inc.(d)     6,400       4,434       0.2 %
Greenvolt-Energias Renovaveis SA(d)     103       931       0.0 %(a)
Light S/A(d)     9,300       15,316       0.6 %
Meridian Energy Ltd.     8,940       31,358       1.2 %
NextEra Energy, Inc.     200       12,148       0.5 %
Ormat Technologies, Inc.     100       7,579       0.3 %
Orsted AS, 144A(e)     232       12,868       0.5 %
ReNew Energy Global PLC – Class A(d)     2,600       19,916       0.8 %
              193,918       7.6 %
Energy – Alternate Sources                        
Array Technologies, Inc.(d)     1,300       21,840       0.8 %
Canadian Solar, Inc.(d)     1,500       39,345       1.5 %

 

The accompanying notes are an integral part of the financial statements.  
  15
 
 

USCF ETF TRUST
USCF SUSTAINABLE COMMODITY STRATEGY FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2023 (unaudited) (continued)

 

    Shares     Market
Value
    % of Total
Net Assets
 
Common Stocks (continued)
Energy – Alternate Sources (continued)
                 
Corp. ACCIONA Energias Renovables SA=     780     $ 24,194       0.9 %
Energix-Renewable  Energies  Ltd.     1,127       4,159       0.1 %
Enphase Energy, Inc.(d)     100       13,214       0.5 %
ERG SpA     168       5,356       0.2 %
First Solar, Inc.(d)     200       34,456       1.3 %
Flat Glass Group Co. Ltd. – Class H     8,000       13,503       0.5 %
Gigasolar Materials Corp.(d)     2,000       5,898       0.2 %
Grenergy Renovables SA(d)     1,150       43,497       1.7 %
JA Solar Technology Co. Ltd. – Class A     3,600       10,476       0.4 %
JinkoSolar Holding Co. Ltd., ADR     500       18,470       0.7 %
LONGi Green Energy Technology Co. Ltd. – Class A     6,200       19,939       0.8 %
Maxeon  Solar Technologies  Ltd.(d)     3,100       22,227       0.8 %
Ming Yang Smart Energy Group Ltd. – Class A     2,900       5,107       0.2 %
Motech Industries, Inc.     3,000       2,742       0.1 %
Neoen SA, 144A(e)     52       1,739       0.1 %
Nordex SE(d)     1,599       18,370       0.7 %
OX2 AB(d)     3,125       17,008       0.6 %
OY Nofar Energy Ltd.(d)     536       14,401       0.5 %
PNE AG     110       1,682       0.1 %
Scatec ASA, 144A(e)     953       7,709       0.3 %
Serena  Energia SA(d)     2,300       4,834       0.2 %
Solaria Energia y Medio Ambiente SA(d)     1,641       33,735       1.3 %
Sungrow Power Supply Co. Ltd. – Class A     2,700       33,213       1.3 %
Sunrun, Inc.(d)     2,300       45,149       1.7 %
                         
TCL Zhonghuan Renewable Energy Technology Co. Ltd. – Class A     1,600       3,514       0.1 %
Terna Energy SA     91       1,598       0.1 %
Titan Wind Energy Suzhou Co. Ltd. – Class A(d)     10,700       17,431       0.7 %
Xinte Energy Co. Ltd. – Class H(d)     10,800       15,131       0.6 %
            499,937     19.0 
Engineering & Construction                        
Eolus Vind AB – Class B     363       3,195       0.1 %
Investment Companies                        
Aker Horizons ASA(d)     27,526       11,807       0.4 %
Machinery – Construction & Mining                        
GoodWe Technologies Co. Ltd. – Class A     771       14,139       0.5 %

 

The accompanying notes are an integral part of the financial statements.

16 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST
USCF SUSTAINABLE COMMODITY STRATEGY FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2023 (unaudited) (continued)

                   
    Shares     Market Value     % of Total
Net Assets
 
Common Stocks (continued)
Engineering & Construction (continued)
                 
Transportation                        
Cadeler A/S(d)     1,326     $ 6,126       0.2 %
Total Common Stocks                        
(Cost $753,379)           $ 752,457       28 .7 %

 

    Principal
Amount
    Market
Value
    % of Total
Net Assets
 
Exchange-Traded Funds                  
USCF Sustainable Battery Metals Strategy Fund(f) (Cost $1,052,640)     49,500     $ 822,195       31.4 %
                         
Cash Equivalents                        
United States Treasury  Obligations                        
U.S. Treasury Bills:                        
5.39%, 1/18/2024     220,000     $ 219,446       8.3 %
5.30%, 2/15/2024     680,000       675,542       25.8 %
Total Treasury Obligations
(Cost $894,988)
          $ 894,988       34.1 %
Total Investments
(Cost $2,701,007)
          $ 2,444,649       93.2 %
Other Assets in Excess of Liabilities             178,449       6.8 %
Total Net Assets           $ 2,623,098       100.0 %

 

(a) Position represents less than 0.05%.
(b) Position represents greater than (0.05)%.
(c) Collateral amounted to $253,510 on open Commodity Futures Contracts.
(d) Non-income producing security.
(e) Security was purchased (sold) pursuant to Rule 144A under the Securities Act of 1933 and may not be resold (repurchased) subject to that rule except to qualified institutional buyers. Unless otherwise noted, Rule 144A securities are deemed to be liquid. Total fair value of Rule 144A securities amounts to $22,316, which represents 0.9% of net assets as of December 31, 2023.
(f) Affiliated issuer.

 

The accompanying notes are an integral part of the financial statements.  
  17
 
 

USCF ETF TRUST
USCF SUSTAINABLE COMMODITY STRATEGY FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2023 (unaudited) (continued)

 

ADR: American Depositary Receipt

 

A summary of the Fund’s transactions with affiliated investments during the period ended December 31, 2023 is as follows:

 

Market
Value at
6/30/2023
  Purchase
Cost
    Sales
Proceeds
    Net Realized
Gain (Loss)
on Affiliated
investments
    Net Change
in Unrealized
Appreciation
(Depreciation)
on Affiliated
investments
    Affiliated
investment
Interest
Income
    Distributions
from Capital
Gain
    Number of
Shares at
12/31/23
    Market
Value at
12/31/23
 
Exchange-Traded Fund — 31%                                    
USCF Sustainable Battery Metals Strategy Fund                              
$            —   $ 1,052,640    $      $       $ (230,445 )   $ 28,196    $         49,500     $ 822,195  

 

Summary of Investments by Country^      
United States     77.2 %
China     6.8  
Spain     5.0  
Canada     2.4  
Brazil     1.9  
New Zealand     1.3  
Sweden     0.8  
Germany     0.8  
India     0.8  
Israel     0.8  
Denmark     0.5  
Norway     0.5  
Taiwan     0.3  
South Africa     0.3  
Hong Kong     0.2  
Italy     0.2  
France     0.1  
Greece     0.1  
Portugal     0.0 (a)
      100.0 %

 

The accompanying notes are an integral part of the financial statements.

18 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST
USCF SUSTAINABLE COMMODITY STRATEGY FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2023 (unaudited) (continued)

 

Summary of Investments by Sector^      
Government     36.2 %
Financial     33.8  
Energy     20.2  
Utilities     7.9  
Industrial     1.3  
Basic Materials     0.6  
      100.0 %

 

^ As a percentage of total investments.

(a) Position represents less than 0.05%.

 

The accompanying notes are an integral part of the financial statements.  
  19
 
 

USCF ETF TRUST
USCF ALUMINUM STRATEGY FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS
AT DECEMBER 31, 2023 (unaudited)

 

Besides the following listed Commodity Futures Contracts and United States Treasury Obligations of the Fund and its wholly-owned subsidiary, there were no additional investments held by the Fund at December 31, 2023.

The following Commodity Futures Contracts of the Fund’s wholly-owned subsidiary were open at December 31, 2023 (see Security Valuation in the Notes to Financial Statements):

 

   

Number of
Contracts

    Notional
Amount
    Expiration
Date
    Fair Value/
Unrealized Gain
(Loss) on Open
Commodity
Contracts
    % of
Total
Net
Assets
 
Open Commodity Futures
Contracts – Long
United States Contracts
                             
LME Aluminum Futures LA,
February 2024 contracts
    22     $ 1,252,044       Feb-24     $ 44,581       1.1 %
LME Aluminum Futures LA,
March 2024 contracts
    22       1,258,512       Mar-24       47,050       1.2 %
LME Aluminum Futures LA,
April 2024 contracts
    22       1,214,900       Apr-24       97,125       2.5 %
      66       3,725,456               188,756       4.8 %
Total Open Commodity Futures
Contracts(a)
    66     $ 3,725,456             $ 188,756       4.8 %

 

    Principal
Amount
    Market
Value
    % of Total
Net Assets
 
Cash Equivalents                  
United States Treasury Obligations                  
U.S. Treasury Bills:                  
5.39%, 1/04/2024     750,000     $ 749,667       19.1 %
5.39%, 1/18/2024     225,000       224,433       5.7 %
4.98%, 2/01/2024     500,000       497,742       12.7 %
5.39%, 2/29/2024     125,000       123,912       3.1 %
5.38%, 3/07/2024     750,000       742,699       18.9 %
5.28%, 3/28/2024     225,000       222,159       5.7 %
Total Treasury Obligations
(Cost $2,560,612)
          $ 2,560,612       65.2 %
Total Investments
(Cost $2,560,612)
          $ 2,749,368       70.0 %
Other Assets in Excess of Liabilities             1,176,681       30.0 %
Total Net Assets           $ 3,926,049       100.0 %

 

(a) Collateral amounted to $116,421 on open Commodity Futures Contracts.

 

The accompanying notes are an integral part of the financial statements.

20 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST

USCF ALUMINUM STRATEGY FUND
CONSOLIDATED SCHEDULE OF INVESTMENTS

AT DECEMBER 31, 2023 (unaudited) (continued)

 

Summary of Investments by Country^      
United States     100.0 %

 

Summary of Investments by Sector^      
Government     100.0 %

 

^ As a percentage of total investments.

 

The accompanying notes are an integral part of the financial statements.

  21

 
 

USCF ETF TRUST

USCF MIDSTREAM ENERGY INCOME FUND
SCHEDULE OF INVESTMENTS

AT DECEMBER 31, 2023 (unaudited)

 

    % of Total
Net Assets
    Shares     Market
Value
 
Common Stocks     75.0 %                
Pipelines     75.0 %                
Antero Midstream Corp.     4.6 %     843,399     $ 10,567,789  
Cheniere Energy, Inc.     7.3 %     97,279       16,606,498  
DT Midstream, Inc.     4.1 %     169,922       9,311,726  
Enbridge, Inc.     7.7 %     487,306       17,552,762  
EnLink Midstream LLC(a)     2.2 %     403,441       4,905,843  
Equitrans Midstream Corp     3.9 %     866,120       8,817,102  
Gibson Energy, Inc.     2.0 %     293,153       4,475,330  
Hess Midstream LP – Class A     2.2 %     157,434       4,979,637  
Keyera Corp.     4.0 %     375,170       9,113,222  
Kinder Morgan, Inc.     4.6 %     597,150       10,533,726  
ONEOK, Inc.     8.1 %     264,304       18,559,427  
Pembina Pipeline Corp.     4.5 %     300,787       10,353,089  
Plains GP Holdings LP – Class A(a)     6.9 %     986,137       15,728,885  
Targa Resources Corp.     4.7 %     122,074       10,604,568  
TC Energy Corp.     3.7 %     216,648       8,468,770  
Williams Cos., Inc. (The)     4.5 %     294,850       10,269,626  
                      170,848,000  
Total Common Stocks                        
(Cost $137,688,372     75.0 %             170,848,000  
Master Limited Partnerships     24.0 %                
Oil & Gas     0.9 %                
Sunoco LP     0.9 %     33,258       1,993,152  
Pipelines     23.1 %                
Energy Transfer LP     8.7 %     1,432,508       19,768,610  
Enterprise Products Partners LP     7.6 %     658,072       17,340,197  
MPLX LP     4.6 %     283,184       10,398,516  
NuStar Energy LP     1.0 %     124,098       2,318,151  
Western Midstream Partners LP     1.2 %     98,173       2,872,542  
                      52,698,016  
Total Master Limited Partnerships                        
(Cost $36,745,424)     24.0 %             54,691,168  
Money Market Funds     0.7 %                
Dreyfus Government Cash Management Fund, Institutional Shares, 5.25%(b)                        
(Cost $1,555,984)     0.7 %     1,555,984       1,555,984  
Total Investments                        
(Cost $175,989,780)     99.7 %             227,095,152  
Other Assets in Excess of Liabilities     0.3 %             694,015  
Total Net Assets     100.0 %           $ 227,789,167  

 

(a) Non-income producing security.
(b) Reflects the 7-day yield at December 31, 2023.

 

The accompanying notes are an integral part of the financial statements.

22 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST

USCF MIDSTREAM ENERGY INCOME FUND

SCHEDULE OF INVESTMENTS

AT DECEMBER 31, 2023 (unaudited) (continued)

 

Summary of Investments by Country^      
United States     78.0 %
Canada     22.0  
      100.0 %

 

Summary of Investments by Sector^      
Energy     99.3 %
Money Market Funds     0.7  
      100.0 %

 

^ As a percentage of total investments.

 

The accompanying notes are an integral part of the financial statements.

  23
 
 

USCF ETF TRUST

USCF DIVIDEND INCOME FUND
SCHEDULE OF INVESTMENTS

AT DECEMBER 31, 2023 (unaudited)

 

    % of Total
Net Assets
   

 

Shares

    Market
Value
 
Common Stocks     97.8 %                
Advertising     5.2 %                
Interpublic Group of Cos., Inc. (The)     3.5 %     6,300     $ 205,632  
Omnicom Group, Inc.     1.7 %     1,170       101,217  
                    306,849  
Banks     19.1 %                
Associated Banc-Corp.     2.4 %     6,599       141,152  
Bank of America Corp.     2.1 %     3,655       123,064  
Bank of New York Mellon Corp. (The)     3.3 %     3,713       193,262  
Goldman Sachs Group, Inc. (The)     3.6 %     556       214,488  
JPMorgan Chase & Co.     4.8 %     1,647       280,155  
Royal Bank of Canada     2.9 %     1,690       170,910  
                      1,123,031  
Beverages        4.3 %                
Coca-Cola Co. (The)     4.3 %     4,257       250,865  
Biotechnology        3.0 %                
Gilead Sciences, Inc.     3.0 %     2,160       174,981  
Chemicals        2.1 %                
Nutrien Ltd.     2.1 %     2,142       120,659  
Diversified Financial Services     5.9 %                
CME Group, Inc.     2.5 %     702       147,841  
Jefferies Financial Group, Inc.     3.4 %     4,906       198,252  
                      346,093  
Healthcare-Products     3.5 %                
Medtronic  PLC     3.5 %     2,484       204,632  
Insurance       4.0 %                
Old Republic International Corp.     4.0 %     8,019       235,759  
Media       4.0 %                
Comcast Corp. – Class A     4.0 %     5,403       236,921  
Packaging & Containers     1.8 %                
Sonoco Products Co.     1.8 %     1,907       106,544  
Pharmaceuticals     14.7 %                
AbbVie, Inc.     3.7 %     1,412       218,818  
Cardinal Health, Inc.     2.7 %     1,599       161,179  
Johnson & Johnson     4.1 %     1,521       238,402  
Merck & Co., Inc.     2.3 %     1,267       138,128  
Pfizer, Inc.     1.9 %     3,807       109,603  
                      866,130  
REITS       9.7 %                
Camden Property Trust     1.3 %     743       73,772  
Host Hotels & Resorts, Inc.     2.5 %     7,516       146,337  
Lamar Advertising Co. – Class A     2.5 %     1,366       145,179  
Mid-America Apartment Communities, Inc.     1.2 %     544       73,146  
STAG Industrial, Inc.     2.2 %     3,366       132,149  
                      570,583  

 

The accompanying notes are an integral part of the financial statements.

24 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST
USCF DIVIDEND INCOME FUND
SCHEDULE OF INVESTMENTS

AT DECEMBER 31, 2023 (unaudited) (continued)

 

    % of Total
Net Assets
    Shares     Market
Value
 
Common Stocks (continued)                        
Retail     2.6 %                
MSC Industrial Direct Co., Inc. – Class A     2.6 %     1,489     $ 150,776  
Semiconductors     9.2 %                
Broadcom, Inc.     5.4 %     283       315,899  
Texas Instruments, Inc.     3.8 %     1,323       225,518  
                      541,417  
Software     3.4 %                
Paychex, Inc.     3.4 %     1,671       199,033  
Telecommunications     3.8 %                
Cisco Systems, Inc.     3.8 %     4,396       222,086  
Transportation     1.5 %                
United Parcel Service, Inc. – Class B     1.5 %     560       88,049  
Total Common Stocks                        
(Cost $5,232,458)     97.8 %             5,744,408  
Money Market Funds     2.0 %                
Dreyfus Government Cash Management Fund, Institutional Shares, 5.25%(a)                        
(Cost $117,187)     2.0 %     117,187       117,187  
Total Investments                        
(Cost $5,349,645)     99.8 %             5,861,595  
Other Assets in Excess of Liabilities     0.2 %             11,210  
Total Net Assets     100.0 %           $ 5,872,805  

 

(a) Reflects the 7-day yield at December 31, 2023.

 

Summary of Investments by Country^      
United States     95.0 %
Canada     5.0  
      100.0 %

 

Summary of Investments by Sector^      
Financial     38.8 %
Consumer, Non-cyclical     25.5  
Communications     13.1  
Technology     12.6  
Industrial     3.3  
Consumer, Cyclical     2.6  
Basic Materials     2.1  
Money Market Funds     2.0  
      100.0 %

 

^ As a percentage of total investments.

The accompanying notes are an integral part of the financial statements.

  25
 
 

USCF ETF TRUST

CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES

DECEMBER 31, 2023 (unaudited)

 

    USCF
SummerHaven
Dynamic
Commodity
Strategy
No K-1 Fund
    USCF Gold
Strategy
Plus Income
Fund
 
Assets:                
Investments, at Market Value:   $ 2,426,941     $  
Net Unrealized Appreciation (Depreciation) on Open Commodity Futures Contracts     (260,159 )     4,640  
Cash     8,254,456       3,004,832  
Receivables:                
Deposit with broker for Commodity Futures Contracts     1,510,799       (44,614 )
Variation margin in Commodity Futures Contracts           196,996  
Dividends and Interest     45,349       15,968  
Other Assets     676        
Total Assets     11,978,062       3,177,822  
Liabilities:                
Written Call Options, at fair value           6,880  
Payables:                
Variation margin in Commodity Futures Contracts     183,896        
Accrued Management Fees     8,068       1,379  
Total Liabilities     191,964       8,259  
Total Net Assets   $ 11,786,098     $ 3,169,563  
                 
Net Assets Consist of:                
Capital Paid In   $ 12,037,512     $ 3,147,708  
Total Distributable Earnings (Loss)     (251,414 )     21,855  
Total Net Assets   $ 11,786,098     $ 3,169,563  
                 
Net Asset Value Per Share:                
Total Net Assets   $ 11,786,098     $ 3,169,563  
Shares of Beneficial Interest Outstanding (Unlimited Shares of $0.001 Par Value Authorized)     675,000       125,000  
Net Asset Value   $ 17.46     $ 25.36  
Investments, at Cost   $ 2,426,941     $  
Written Call Options, Premiums received   $     $ 6,197  

 

The accompanying notes are an integral part of the financial statements.

26 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST

CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES

DECEMBER 31, 2023 (unaudited) (continued)

 

    USCF
Sustainable
Battery Metals
Strategy Fund
    USCF Energy
Commodity
Strategy
Absolute
Return Fund
 
Assets:            
Investments, at Market Value   $ 1,261,625     $ 2,493,489  
Net Unrealized Appreciation (Depreciation) on Open Commodity Futures Contracts     (127,012 )     (6,178 )
Cash     79,449       35,167  
Receivables:                
Variation margin in Commodity Futures Contracts           23,089  
Deposit with broker for Commodity Futures Contracts     763,751       611,084  
Dividends and Interest     2,184       3,797  
Total Assets     1,979,997       3,160,448  
                 
Liabilities:                
Payables:                
Variation margin in Commodity Futures Contracts     326,422        
Accrued Management Fees     874       2,285  
Total Liabilities     327,296       2,285  
Total Net Assets   $ 1,652,701     $ 3,158,163  
                 
Net Assets Consist of:                
Capital Paid In   $ 2,312,693     $ 3,155,041  
Total Distributable Earnings (Loss)     (659,992 )     3,122  
Total Net Assets   $ 1,652,701     $ 3,158,163  
                 
Net Asset Value Per Share:                
Total Net Assets   $ 1,652,701     $ 3,158,163  
Shares of Beneficial Interest Outstanding (Unlimited Shares of $0.001 Par Value Authorized)     100,000       100,000  
Net Asset   $ 16.53     $ 31.58  
Investments, at Cost   $ 1,327,864     $ 2,493,489  

 

The accompanying notes are an integral part of the financial statements.

  27
 
 

USCF ETF TRUST

CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES

DECEMBER 31, 2023 (unaudited) (continued)

 

    USCF
Sustainable
Commodity
Strategy
Fund
    USCF
Aluminum
Strategy
Fund
 
Assets:            
Investments, at Market Value   $ 2,469,640     $ 2,560,612  
Net Unrealized Appreciation (Depreciation) on Open Commodity Futures Contracts     (24,991 )     188,756  
Cash     57,534       1,110,536  
Foreign currency, at value (cost $(36,736), respectively)     84          
Receivables:                
Deposit with broker for Commodity Futures Contracts     253,257       116,421  
Interest     459       2,570  
Reimbursement     2,736        
Total Assets     2,758,719       3,978,895  
                 
Liabilities:                
Payables:                
Investment securities purchased     36,736        
Variation margin on Commodity Futures Contracts     97,597       51,213  
Accrued Management Fees     1,288       1,633  
Total Liabilities     135,621       52,846  
Total Net Assets   $ 2,623,098     $ 3,926,049  
                 
Net Assets Consist of:                
Capital Paid In   $ 3,000,000     $ 3,781,233  
Total Distributable Earnings (Loss)     (376,902 )     144,816  
Total Net Assets   $ 2,623,098     $ 3,926,049  
                 
Net Asset Value Per Share:                
Total Net Assets   $ 2,623,098     $ 3,926,049  
Shares of Beneficial Interest Outstanding                
(Unlimited Shares of $0.001 Par Value Authorized)     100,000       125,000  
Net Asset Value   $ 26.23     $ 31.41  
Investments, at Cost   $ 2,701,007     $ 2,560,612  

 

The accompanying notes are an integral part of the financial statements.

28 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST

STATEMENTS OF ASSETS AND LIABILITIES

DECEMBER 31, 2023 (unaudited)

 

    USCF
Midstream
Energy
Income Fund
    USCF
Dividend
Income Fund
 
Assets:            
Investments, at Market Value   $ 227,095,152     $ 5,861,595  
Foreign currency, at value (cost $120,340 and $—, respectively)     120,340        
Receivables:                
Investment securities sold     1,131,429        
Dividends     310,930       13,205  
Interest     7,835       514  
Capital Shares     3,544        
Foreign tax reclaim           674  
Total Assets     228,669,230       5,875,988  
                 
Liabilities:                
Payables:                
Investment securities purchased     717,537        
Accrued Management Fees     162,526       3,183  
Total Liabilities     880,063       3,183  
Total Net Assets   $ 227,789,167     $ 5,872,805  
                 
Net Assets Consist of:                
Capital Paid In   $ 173,498,235     $ 5,583,475  
Total Distributable Earnings (Loss)     54,290,932       289,330  
Total Net Assets   $ 227,789,167     $ 5,872,805  
                 
Net Asset Value Per Share:                
Total Net Assets   $ 227,789,167     $ 5,872,805  
Shares of Beneficial Interest Outstanding (Unlimited Shares of $0.001 Par Value Authorized)     6,240,000       225,000  
Net Asset Value   $ 36.50     $ 26.10  
Investments, at Cost   $ 175,989,780     $ 5,349,645  

 

The accompanying notes are an integral part of the financial statements.

  29
 
 

USCF ETF TRUST

CONSOLIDATED STATEMENTS OF OPERATIONS

FOR THE PERIOD ENDED DECEMBER 31, 2023

 

    USCF
SummerHaven
Dynamic
Commodity
Strategy No K-1
Fund
    USCF Gold
Strategy
Plus Income
Fund
 
Investment Income:            
Interest Income   $ 290,527     $ 83,476  
Total Investment Income     290,527       83,476  
                 
Expenses:                
Management Fees     44,510       7,230  
Brokerage commissions     5,218       661  
Total Expenses     49,728       7,891  
Less Fees Waived (Note 4)     (11,128 )      
Net Expenses     38,600       7,891  
Net Investment Income (Loss)     251,927       75,585  
                 
Realized and Unrealized Gain (Loss) on Investments:                
Net Realized Gain (Loss) on Commodity                
Futures Contracts(a)     25,765       29,650  
Net Realized Gain (Loss) on Written Call Options           39,372  
Net Realized Gain (Loss) on Short-term investments           (212 )
Net realized gain (loss)     25,765       68,810  
Net Change in Unrealized Appreciation (Depreciation) on Commodity Futures Contracts     (23,411 )     96,100  
Net Change in Unrealized Appreciation (Depreciation) on Written Call Options           (3,357 )
Net change in unrealized appreciation (depreciation)     (23,411 )     92,743  
Net Change in Realized and Unrealized Gain (Loss) on Commodity Futures Contracts, Written Call Options and Short-term investments     2,354       161,553  
Net Increase (Decrease) in Net Assets Resulting from Operations   $ 254,281     $ 237,138  

 

(a) Net of commissions of $941 and $233 respectively.

 

The accompanying notes are an integral part of the financial statements.

30 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST

CONSOLIDATED STATEMENTS OF OPERATIONS

FOR THE PERIOD ENDED DECEMBER 31, 2023 (continued)

 

    USCF
Sustainable
Battery Metals
Strategy Fund
    USCF Energy
Commodity
Strategy
Absolute
Return Fund
 
Investment Income:            
Dividend Income (less net foreign withholding tax $295 and $0)   $ 2,108     $  
Interest Income     33,651       86,064  
Total Investment Income     35,759       86,064  
                 
Expenses:                
Management Fees     7,678       14,072  
Total Expenses     7,678       14,072  
Less Fees Waived (Note 4)     (1,944 )      
Net Expenses     5,734       14,072  
Net Investment Income (Loss)     30,025       71,992  
                 
Realized and Unrealized Gain (Loss) on Investments:                
Net Realized Gain (Loss) on Commodity Futures Contracts(a)     (422,697 )     74,261  
Net Realized Gain (Loss) on:                
Investments     (45,999 )     89  
Foreign currency translations     (527 )      
Net realized gain (loss)     (468,723 )     74,350  
Net Change in Unrealized Appreciation (Depreciation) on Commodity Futures Contracts     (51,047 )     74,245  
Net Change in unrealized appreciation (depreciation) on:                
Investments     (36,900 )      
Foreign currency translations     (856 )      
Net change in unrealized appreciation (depreciation)     (88,803 )     74,245  
Net Change in Realized and Unrealized Gain (Loss) on Commodity Futures Contracts, Written Call Options and Short-term investments     (557,526 )     148,595  
Net Increase (Decrease) in Net Assets Resulting from Operations   $ (527,501 )   $ 220,587  

 

(a) Net of commissions of $3,311 and $6,952 respectively.

 

The accompanying notes are an integral part of the financial statements.

  31
 
 

USCF ETF TRUST

CONSOLIDATED STATEMENTS OF OPERATIONS

FOR THE PERIOD ENDED DECEMBER 31, 2023 (continued)

 

    USCF
Sustainable
Commodity
Strategy
Fund(a)
    USCF
Aluminum
Strategy
Fund(b)
 
Investment Income:            
Dividend Income (less net foreign withholding tax $296 and $0)   $ 30,791     $  
Interest Income     23,417       36,458  
Total Investment Income     54,208       36,458  
                 
Expenses:                
Management Fees     5,683       4,585  
Total Expenses     5,683       4,585  
Less Fees Waived (Note 4)     (2,131 )      
Net Expenses     3,552       4,585  
Net Investment Income (Loss)     50,656       31,873  
                 
Realized and Unrealized Gain (Loss) on Investments:                
Net Realized Gain (Loss) on Commodity                
Futures Contracts(c)     (95,558 )     (50,706 )
Net Realized Gain (Loss) on:                
Investments     (37,888 )      
Foreign currency translations     (2,525 )      
Net realized gain (loss)     (135,971 )     (50,706 )
Net Change in Unrealized Appreciation (Depreciation) on Commodity Futures Contracts     (24,779 )     188,756  
Net change in unrealized appreciation (depreciation) on:                
Investments     (231,367 )      
Foreign currency translations     1,668        
Net change in unrealized appreciation (depreciation)     (254,478 )     188,756  
Net Change in Realized and Unrealized Gain (Loss) on Investments     (390,449 )     138,050  
Net Increase (Decrease) in Net Assets Resulting from Operations   $ (339,793 )   $ 169,923  

 

(a) Inception Date, August 8, 2023.
(b) Inception Date, October 6, 2023.
(c) Net of commissions of $631 and $506 respectively.

 

The accompanying notes are an integral part of the financial statements.

32 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST

STATEMENTS OF OPERATIONS

FOR THE PERIOD ENDED DECEMBER 31, 2023

 

    USCF
Midstream
Energy
Income Fund
    USCF
Dividend
Income Fund
 
Investment Income:            
Dividend Income (less net foreign withholding tax $239,492 and $1,106)   $ 4,251,634     $ 103,228  
Interest Income     53,644        
Total Investment Income     4,305,278       103,228  
                 
Expenses:                
Management Fees     927,719       18,230  
Total Expenses     927,719       18,230  
Net Investment Income (Loss)     3,377,559       84,998  
                 
Realized and Unrealized Gain (Loss) on Investments:                
Net Realized Gain (Loss) on:                
Investments     3,167,746       (50,484 )
Foreign currency translations     2,839       (48 )
Net realized gain (loss)     3,170,585       (50,532 )
Net change in unrealized appreciation (depreciation) on:                
Investments     12,513,040       243,160  
Foreign currency translations     (208 )     253  
Net change in unrealized appreciation (depreciation)     12,512,832       243,413  
Net Change in Realized and Unrealized Gain (Loss) on Investments     15,683,417       192,881  
Net Increase (Decrease) in Net Assets Resulting from Operations   $ 19,060,976     $ 277,879  

 

The accompanying notes are an integral part of the financial statements.

  33
 
 

USCF ETF TRUST

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

 

    USCF SummerHaven
Dynamic Commodity Strategy
No K-1 Fund
    USCF Gold Strategy Plus
Income Fund
 
    For the
Period Ended
December 31,
2023
(unaudited)
    For the Year
Ended
June 30, 2023
    For the
Period Ended
December 31,
2023
(unaudited)
    For the Year
Ended
June 30, 2023
 
Operations:                                
Net Investment Income (Loss)   $ 251,927     $ 268,457     $ 75,585     $ 102,134  
Net Realized Gain (Loss)     25,765       (800,274 )     68,810       126,164  
Net Changes in Unrealized Appreciation (Depreciation)     (23,411 )     365,224       92,743       9,603  
Net Increase (Decrease) in Net Assets Resulting from Operations     254,281       (166,593 )     237,138       237,901  
                                 
Distributions to Shareholders from:                                
Distributions     (208,989 )     (3,022,277 )     (224,084 )     (127,148 )
Total Distributions to Shareholders     (208,989 )     (3,022,277 )     (224,084 )     (127,148 )
                                 
Shareholder Transactions:                                
Proceeds from Shares Sold     5,498,066       3,045,435       647,686       3,680,970  
Cost of Shares Redeemed     (2,213,722 )     (2,007,459 )     (625,187 )     (3,836,208 )
Net Increase (Decrease) in Net Assets from Shares Transactions     3,284,344       1,037,976       22,499       (155,238 )
Net Increase (Decrease) in Net Assets     3,329,636       (2,150,894 )     35,553       (44,485 )
                                 
Net Assets:                                
Beginning of Period     8,456,462       10,607,356       3,134,010       3,178,495  
End of Period   $ 11,786,098     $ 8,456,462     $ 3,169,563     $ 3,134,010  
                                 
Changes in Shares Outstanding:                                
Shares Outstanding, Beginning of Period     500,000       450,000       125,000       125,000  
Shares Issued     300,000       150,000       25,000       150,000  
Shares Redeemed     (125,000 )     (100,000 )     (25,000 )     (150,000 )
Shares Outstanding, End of Period     675,000       500,000       125,000       125,000  

 

The accompanying notes are an integral part of the financial statements.

34 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (continued)

 

    USCF Sustainable Battery
Metals Strategy Fund
    USCF Energy Commodity Strategy
Absolute Return Fund
 
    For the
Period Ended
December 31,
2023
(unaudited)
    For the Period
Ended
June 30,
2023(a)
    For the
Period Ended
December 31,
2023
(unaudited)
    For the Period
Ended
June 30,
2023(b)
 
Operations:                                
Net Investment Income (Loss)   $ 30,025     $ 37,484     $ 71,992     $ 19,121  
Net Realized Gain (Loss)     (468,723 )     (189,560 )     74,350       151,115  
Net Changes in Unrealized Appreciation (Depreciation)     (88,803 )     (104,529 )     74,245       (80,424 )
Net Increase (Decrease) in Net Assets Resulting from Operations     (527,501 )     (256,605 )     220,587       89,812  
                                 
Distributions to Shareholders from:                                
Distributions     (59,612 )           (152,236 )      
Total Distributions to Shareholders     (59,612 )           (152,236 )      
                                 
Shareholder Transactions:                                
Proceeds from Shares Sold           2,496,419             3,000,000  
Cost of Shares Redeemed                        
Net Increase (Decrease) in Net Assets from Shares Transactions           2,496,419             3,000,000  
Net Increase (Decrease) in Net Assets     (587,113 )     2,239,814       68,351       3,089,812  
                                 
Net Assets:                                
Beginning of Period     2,239,814             3,089,812        
End of Period   $ 1,652,701     $ 2,239,814     $ 3,158,163     $ 3,089,812  
                                 
Changes in Shares Outstanding:                                
Shares Outstanding, Beginning of Period     100,000             100,000        
Shares Issued           100,000             100,000  
Shares Redeemed                        
Shares Outstanding, End of Period     100,000       100,000       100,000       100,000  

 

(a) Inception Date, January 10, 2023.
(b) Inception Date, May 4, 2023.

 

The accompanying notes are an integral part of the financial statements.

  35
 
 

USCF ETF TRUST

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (continued)

 

    USCF Sustainable
Commodity
Strategy Fund
For the Period
Ended
December 31,
2023(a)
(unaudited)
    USCF Aluminum
Strategy Fund
For the Period
Ended
December 31,
2023(b)
(unaudited)
 
Operations:            
Net Investment Income (Loss)   $ 50,656     $ 31,873  
Net Realized Gain (Loss)     (135,971 )     (50,706 )
Net Changes in Unrealized Appreciation (Depreciation)     (254,478 )     188,756  
Net Increase (Decrease) in Net Assets Resulting from Operations     (339,793 )     169,923  
                 
Distributions to Shareholders from:                
Distributions     (37,109 )     (25,107 )
Total Distributions to Shareholders     (37,109 )     (25,107 )
                 
Shareholder Transactions:                
Proceeds from Shares Sold     3,000,000       3,781,233  
Cost of Shares Redeemed            
Net Increase (Decrease) in Net Assets from Shares Transactions     3,000,000       3,781,233  
Net Increase (Decrease) in Net Assets     2,623,098       3,926,049  
                 
Net Assets:                
Beginning of Period            
End of Period   $ 2,623,098     $ 3,926,049  
                 
Changes in Shares Outstanding:                
Shares Outstanding, Beginning of Period            
Shares Issued     100,000       125,000  
Shares Redeemed            
Shares Outstanding, End of Period     100,000       125,000  

 

(a) Inception Date, August 9, 2023.
(b) Inception Date, October 6, 2023.

 

The accompanying notes are an integral part of the financial statements.

36 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST

STATEMENTS OF CHANGES IN NET ASSETS

 

    USCF Midstream Energy
Income Fund
    USCF Dividend Income Fund  
    For the
Period Ended
December 31,
2023
(unaudited)
    For the Year
Ended
June 30, 2023
    For the
Period Ended
December 31,
2023
(unaudited)
    For the Year
Ended
June 30, 2023
 
Operations:                                
Net Investment Income (Loss)   $ 3,377,559     $ 5,564,810     $ 84,998     $ 164,024  
Net Realized Gain (Loss)     3,170,585       786,669       (50,532 )     (180,123 )
Net Changes in Unrealized Appreciation (Depreciation)     12,512,832       18,890,839       243,413       596,151  
Net Increase (Decrease) in Net Assets Resulting from Operations     19,060,976       25,242,318       277,879       580,052  
                                 
Distributions to Shareholders from:                                
Distributions     (5,109,380 )     (4,590,858 )     (80,948 )     (173,760 )
Capital Gain           (756,306 )           (60 )
Return of Capital           (4,330,404 )            
Total Distributions to Shareholders     (5,109,380 )     (9,677,568 )     (80,948 )     (173,820 )
                                 
Shareholder Transactions:                                
Proceeds from Shares Sold     8,599,873       38,550,653              
Cost of Shares Redeemed                        
Net Increase (Decrease) in Net Assets from Shares Transactions     8,599,873       38,550,653              
Net Increase (Decrease) in Net Assets     22,551,469       54,115,403       196,931       406,232  
                                 
Net Assets:                                
Beginning of Period     205,237,698       151,122,295       5,675,874       5,269,642  
End of Period   $ 227,789,167     $ 205,237,698     $ 5,872,805     $ 5,675,874  
                                 
Changes in Shares Outstanding:                                
Shares Outstanding, Beginning of Period     6,000,000       4,850,000       225,000       225,000  
Shares Issued     240,000       1,150,000              
Shares Redeemed                        
Shares Outstanding, End of Period     6,240,000       6,000,000       225,000       225,000  

 

The accompanying notes are an integral part of the financial statements.

  37
 
 

USCF ETF TRUST

USCF SUMMERHAVEN DYNAMIC COMMODITY STRATEGY NO K-1 FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS

SELECTED DATA FOR A SHARE OF COMMON STOCK OUTSTANDING THROUGHOUT THE PERIOD INDICATED:

 

    For the                                
    Period Ended                                
    December 31,                                
    2023    

 For the Year Ended June 30,

 
    (Unaudited)     2023     2022     2021     2020     2019  
Net Asset Value, Beginning of Year   $ 16.91     $ 23.57     $ 20.55     $ 13.17     $ 18.46     $ 21.94  
Income (Loss) from Operations:                                                
Net Investment Income (Loss)(a)     0.39       0.57       (0.09 )     (0.09 )     0.12       0.26  
Net Realized and Unrealized Gain (Loss)     0.50       (0.87 )     6.67       7.47       (5.31 )     (3.54 )
Total Income (Loss) from Operations     0.89       (0.30 )     6.58       7.38       (5.19 )     (3.28 )
                                                 
Less Distributions From:                                                
Net Investment                                                
Income (Loss)     (0.34 )     (6.36 )     (3.56 )           (0.10 )     (0.20 )
Total Distributions     (0.34 )     (6.36 )     (3.56 )           (0.10 )     (0.20 )
Net Assets Value, End of Year   $ 17.46     $ 16.91     $ 23.57     $ 20.55     $ 13.17     $ 18.46  
Total Return(b)     5.20 %     (1.75 )%     37.52 %     56.04 %     (28.20 )%     (14.98 )%
Net Assets, End of Year (thousands)   $ 11,786     $ 8,456     $ 10,607     $ 8,220     $ 2,634     $ 3,691  
Ratios of Average Net Assets:                                                
Gross Expenses     0.89 %(c)     0.80 %     0.80 %(d)     0.80 %(d)     0.94 %(d)     0.80 %
Net Expenses     0.69 %(c)     0.60 %     0.60 %(d)     0.60 %(d)     0.77 %(d)     0.80 %
Net Investment                                                
Income (Loss)     4.53 %(c)     2.97 %     (0.42 )%     (0.56 )%     0.73 %     1.27 %
Portfolio Turnover Rate(e)     0 %     0 %     0 %     0 %     0 %     123 %

 

(a) Per share amounts have been calculated using the average shares method.
(b) Total Return reflects fee waivers and/or expense reimbursement and assumes reinvestment of dividend distributions. In the absence of fee waivers and/or expense reimbursement, the total return would have been lower. Past performance is no guarantee of future results.
(c) Annualized.
(d) Effective August 15, 2019, USCF Advisers, LLC (“the Adviser”) contractually to waive 0.20% of its management fees. Such waiver is currently in effect through October 31, 2024.

(e) Portfolio turnover rate is not annualized for periods less than one year and does not include securities received or delivered from processing creations or redemptions.

 

The accompanying notes are an integral part of the financial statements.

38 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST

USCF GOLD STRATEGY PLUS INCOME FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS

SELECTED DATA FOR A SHARE OF COMMON STOCK OUTSTANDING THROUGHOUT THE PERIOD INDICATED:

 

    For the
Period Ended
December 31,
2023
(Unaudited)
    For the Year
Ended
June 30,
2023
    For the
Period Ended
June 30,
2022(a)
 
Net Asset Value, Beginning of Period   $ 25.07     $ 25.43     $ 25.00  
Income (Loss) from Operations:                        
Net Investment Income (Loss)(b)     0.59       0.75       (0.03 )
Net Realized and Unrealized Gain (Loss)     1.33       (0.12 )     0.63  
Total Income (Loss) from Operations     1.92       0.63       0.60  
                         
Less Distributions From:                        
Net Investment Income (Loss)     (1.63 )     (0.99 )     (0.17 )
Total Distributions     (1.63 )     (0.99 )     (0.17 )
Net Assets Value, End of Period   $ 25.36     $ 25.07     $ 25.43  
                         
Total Return(c)     7.96 %     2.71 %     2.38 %
Net Assets, End of Period (thousands)   $ 3,170     $ 3,134     $ 3,178  
Ratios of Average Net Assets:                        
Expenses     0.49 %(d)     0.45 %     0.45 %(d)
Net Investment Income (Loss)     4.70 %(d)     3.00 %     (0.17 )%(d)
Portfolio Turnover Rate(e)     0 %     0 %     0 %

 

(a) Inception Date, November 2, 2021.
(b) Per share amounts have been calculated using the average shares method.
(c) Past performance is no guarantee of future results.
(d) Annualized.
(e) Portfolio turnover rate is not annualized for periods less than one year and does not include securities received or delivered from processing creations or redemptions.

 

The accompanying notes are an integral part of the financial statements.

  39
 
 

USCF ETF TRUST

USCF SUSTAINABLE BATTERY METALS STRATEGY FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS

SELECTED DATA FOR A SHARE OF COMMON STOCK OUTSTANDING THROUGHOUT THE PERIOD INDICATED:

 

    For the
Period Ended
December 31,
2023
(Unaudited)
    For the
Period Ended
June 30,
2023(a)
 
Net Asset Value, Beginning of Period   $ 22.40     $ 25.00  
Income (Loss) from Operations:                
Net Investment Income (Loss)(b)     0.30       0.37  
Net Realized and Unrealized Gain (Loss)     (5.57 )     (2.97 )
Total Income (Loss) from Operations     (5.27 )     (2.60 )
                 
Less Distributions From:                
Net Investment Income (Loss)     (0.60 )      
Total Distributions     (0.60 )      
Net Assets Value, End of Period   $ 16.53     $ 22.40  
                 
Total Return(c)     (23.58 )%     (10.27 )%
Net Assets, End of Period (thousands)   $ 1,653     $ 2,240  
Ratios of Average Net Assets:                
Gross Expenses     0.79 %(d)(e)     0.79 %(d)
Net Expenses     0.59 %(d)(e)     0.59 %(d)(e)
Net Investment Income (Loss)     3.09 %(d)     3.41 %(d)
Portfolio Turnover Rate(f)     36 %     10 %

 

(a) Inception Date, January 10, 2023.
(b) Per share amounts have been calculated using the average shares method.
(c) Total Return reflects fee waivers and/or expense reimbursement and assumes reinvestment of dividend distributions. In the absence of fee waivers and/or expense reimbursement, the total return would have been lower. Past performance is no guarantee of future results.
(d) Annualized.
(e) The Adviser has contractually agreed, through October 31, 2024, to waive 0.20% of its management fee.
(f) Portfolio turnover rate is not annualized for periods less than one year and does not include securities received or delivered from processing creations or redemptions.

 

The accompanying notes are an integral part of the financial statements.

40 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST
USCF ENERGY COMMODITY STRATEGY ABSOLUTE RETURN FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS

SELECTED DATA FOR A SHARE OF COMMON STOCK OUTSTANDING THROUGHOUT THE PERIOD INDICATED:

    For the
Period Ended
December 31,
2023
(Unaudited)
    For the
Period Ended
June 30,
2023(a)
 
Net Asset Value, Beginning of Period   $ 30.90     $ 30.00  
Income (Loss) from Operations:                
Net Investment Income (Loss)(b)     0.72       0.19  
Net Realized and Unrealized Gain (Loss)     1.48       0.71  
Total Income (Loss) from Operations     2.20       0.90  
                 
Less Distributions From:                
Net Investment Income (Loss)     (1.52 )      
Total Distributions     (1.52 )      
Net Assets Value, End of Period   $ 31.58     $ 30.90  
                 
Total Return(c)     6.93 %     2.99 %
Net Assets, End of Period (thousands)   $ 3,158     $ 3,090  
Ratios of Average Net Assets:                
Expenses     0.79 %(d)     0.79 %(d)
Net Investment Income (Loss)     4.04 %(d)     3.88 %(d)
Portfolio Turnover Rate(e)     110 %     49 %

 

(a) Inception Date, May 4, 2023.
(b) Per share amounts have been calculated using the average shares method.
(c) Past performance is no guarantee of future results.
(d) Annualized.
(e) Portfolio turnover rate is not annualized for periods less than one year and does not include securities received or delivered from processing creations or redemptions.

 

The accompanying notes are an integral part of the financial statements.

  41
 
 

USCF ETF TRUST
USCF SUSTAINABLE COMMODITY STRATEGY FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS

SELECTED DATA FOR A SHARE OF COMMON STOCK OUTSTANDING THROUGHOUT THE PERIOD INDICATED:

 

    For the
Period Ended
December 31,
2023(a)
(Unaudited)
 
Net Asset Value, Beginning of Period   $ 30.00  
Income (Loss) from Operations:        
Net Investment Income (Loss)(b)     0.51  
Net Realized and Unrealized Gain (Loss)     (3.91 )
Total Income (Loss) from Operations     (3.40 )
         
Less Distributions From:        
Net Investment Income (Loss)     (0.37 )
Total Distributions     (0.37 )
Net Assets Value, End of Period   $ 26.23  
         
Total Return(c)     (11.34 )%
Net Assets, End of Period (thousands)   $ 2,623  
Ratios of Average Net Assets:        
Gross Expenses     0.53 %(d)
Net Expenses     0.33 %(d)
Net Investment Income (Loss)     4.75 %(d)
Portfolio Turnover Rate(e)     7 %

 

(a) Inception Date, August 9, 2023.
(b) Per share amounts have been calculated using the average shares method.
(c) Total Return reflects fee waivers and/or expense reimbursement and assumes reinvestment of dividend distributions. In the absence of fee waivers and/or expense reimbursement, the total return would have been lower. Past performance is no guarantee of future results.
(d) Annualized.
(e) Portfolio turnover rate is not annualized for periods less than one year and does not include securities received or delivered from processing creations or redemptions.

 

The accompanying notes are an integral part of the financial statements.

42 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST
USCF ALUMINUM STRATEGY FUND
CONSOLIDATED FINANCIAL HIGHLIGHTS

SELECTED DATA FOR A SHARE OF COMMON STOCK OUTSTANDING THROUGHOUT THE PERIOD INDICATED:

 

    For the
Period Ended
December 31,
2023(a)
(Unaudited)
 
Net Asset Value, Beginning of Period   $ 30.00  
Income (Loss) from Operations:        
Net Investment Income (Loss)(b)     0.32  
Net Realized and Unrealized Gain (Loss)     1.34  
Total Income (Loss) from Operations     1.66  
         
Less Distributions From:        
Net Investment Income (Loss)     (0.25 )
Total Distribution     (0.25 )
Net Assets Value, End of Period   $ 31.41  
         
Total Return(c)     5.50 %
Net Assets, End of Period (thousands)   $ 3,926  
Ratios of Average Net Assets:        
Expenses     0.65 %(d)
Net Investment Income (Loss)     4.49 %(d)
Portfolio Turnover Rate(e)     0 %

 

  (a) Inception Date, October 6, 2023.
  (b) Per share amounts have been calculated using the average shares method.
  (c) Past performance is no guarantee of future results.
  (d) Annualized.
  (e) Portfolio turnover rate is not annualized for periods less than one year and does not include securities received or delivered from processing creations or redemptions.

 

The accompanying notes are an integral part of the financial statements.

  43
 
 

USCF ETF TRUST
USCF MIDSTREAM ENERGY INCOME FUND
FINANCIAL HIGHLIGHTS

SELECTED DATA FOR A SHARE OF COMMON STOCK OUTSTANDING THROUGHOUT THE PERIOD INDICATED:

 

    For the
Period Ended
December 31,
2023
    For the Year Ended
June 30,
    For the
Period Ended
June 30,
 
    (Unaudited)     2023     2022     2021(a)  
Net Asset Value, Beginning of Period   $ 34.21     $ 31.16     $ 29.35     $ 24.29  
Income (Loss) from Operations:                                
Net Investment Income (Loss)(b)     0.55       1.02       0.84       0.21  
Net Realized and Unrealized Gain (Loss)     2.57       3.79       2.30       5.09  
Total Income (Loss) from Operations     3.12       4.81       3.14       5.30  
                                 
Less Distributions From:                                
Net Investment Income (Loss)     (0.83 )     (0.83 )     (0.81 )     (0.18 )
Capital Gain Dividends           (0.14 )            
Return of Capital           (0.79 )     (0.52 )     (0.06 )
Total Distributions     (0.83 )     (1.76 )     (1.33 )     (0.24 )
Net Assets Value, End of Period   $ 36.50     $ 34.21     $ 31.16     $ 29.35  
                                 
Total Return(c)     9.20 %     15.56 %     10.74 %     21.83 %
Net Assets, End of Period (thousands)   $ 227,789     $ 205,238     $ 151,122     $ 99,785  
Ratios of Average Net Assets:                                
Expenses     0.85 %(d)     0.85 %     0.85 %     0.85 %(d)
Net Investment Income (Loss)     3.09 %(d)     3.04 %     2.68 %     2.80 %(d)
Portfolio Turnover Rate(e)     13 %     17 %     18 %     8 %

 

  (a) Inception Date, March 23, 2021.
  (b) Per share amounts have been calculated using the average shares method.
  (c) Past performance is no guarantee of future results.
  (d) Annualized.
  (e) Portfolio turnover rate is not annualized for periods less than one year and does not include securities received or delivered from processing creations or redemptions.

 

The accompanying notes are an integral part of the financial statements.

44 Semi-Annual Report December 31, 2023
 
 

USCF ETF TRUST
USCF DIVIDEND INCOME FUND
FINANCIAL HIGHLIGHTS (continued)

SELECTED DATA FOR A SHARE OF COMMON STOCK OUTSTANDING THROUGHOUT THE PERIOD INDICATED:

 

    For the
Period Ended
December 31,
2023
(Unaudited)
    For the
Year Ended
June 30,
2023
   

For the
Period Ended
June 30,
2022(a)

 
Net Asset Value, Beginning of Period   $ 25.23     $ 23.42     $ 25.18  
Income (Loss) from Operations:                        
Net Investment Income (Loss)(b)     0.38       0.73       0.06  
Net Realized and Unrealized Gain (Loss)     0.85       2.30       (1.82 )
Total Income (Loss) from Operations     1.23       3.03       (1.76 )
                         
Less Distributions From:                        
Net Investment Income (Loss)     (0.36 )     (1.22 )      
Capital Gain           (0.00 )(c)      
Total Distributions     (0.36 )     (1.22 )      
Net Assets Value, End of Period   $ 26.10     $ 25.23     $ 23.42  
                         
Total Return(d)     5.00 %     11.19 %     (7.00 )%
Net Assets, End of Period (thousands)   $ 5,873     $ 5,676      5,270  
Ratios of Average Net Assets:                        
Expenses     0.65 %(e)     0.65 %     0.65 %(e)
Net Investment Income (Loss)     3.03 %(e)     2.95 %     4.44 %(e)
Portfolio Turnover Rate(f)     15 %     39 %     0 %

 

(a) Inception Date, June 7, 2022.
(b) Per share amounts have been calculated using the average shares method.
(c) Greater than $(0.005).
(d) Past performance is no guarantee of future results.
(e) Annualized.
(f) Portfolio turnover rate is not annualized for periods less than one year and does not include securities received or delivered from processing creations or redemptions.

 

The accompanying notes are an integral part of the financial statements.

  45
 
 

USCF ETF TRUST
NOTES TO FINANCIAL STATEMENTS

December 31, 2023 (unaudited)

NOTE 1 – ORGANIZATION

The USCF ETF Trust (the “Trust”) was organized as a Delaware statutory trust in accordance with a Declaration of Trust dated November 6, 2013. The Declaration of Trust was amended and restated on June 16, 2014. The Trust is authorized to have multiple segregated series or portfolios. The Trust is an open-end management investment company registered under the Investment Company Act of 1940, as amended (the “1940 Act”). As of December 31, 2023, the Trust has established eight investment portfolios that are operational, each of which is an exchange-traded fund (“ETF”): the USCF SummerHaven Dynamic Commodity Strategy No K-1 Fund (“SDCI”), the USCF Gold Strategy Plus Income Fund (“GLDX”), the USCF Sustainable Battery Metals Strategy Fund (ZSB”), the USCF Energy Commodity Strategy Absolute Return Fund (“USE”), the USCF Sustainable Commodity Strategy Fund (“ZSC”), the USCF Aluminum Strategy Fund (“ALUM”), the USCF Midstream Energy Income Fund (“UMI”) and the USCF Dividend Income Fund (“UDI”), (each a “Fund” and collectively, the “Funds”). Shares of the Trust’s series trade on the NYSE Arca Equity, Inc. (“NYSE Arca”).

 

   

Diversification
Policy

 

Commencement of
Operations

 

NYSE Arca

Listing Date

USCF SummerHaven Dynamic Commodity Strategy No K-1 Fund SDCI Non-diversified   May 2, 2018   May 3, 2018
USCF Gold Strategy Plus Income Fund GLDX Non-diversified  

November 2, 2021

 

November 3, 2021

USCF Sustainable Battery Metals Strategy Fund ZSB Non-diversified  

January 10, 2023

 

January 11, 2023

USCF Energy Commodity Strategy Absolute Return Fund USE Non-diversified   May 4, 2023   May 5, 2023
USCF Sustainable Commodity Strategy Fund ZSC Non-diversified   August 9, 2023   August 10, 2023
USCF Aluminum Strategy Fund ALUM Non-diversified   October 6, 2023   October 7, 2023
USCF Midstream Energy Income Fund UMI Non-diversified   March 23, 2021   March 24, 2021
USCF Dividend Income Fund UDI Diversified   June 7, 2022   June 8, 2022

 

Other series or portfolios may be added to the Trust in the future. USCF Advisers LLC (the “Adviser”) serves as the investment adviser to each of the Funds,USCF Cayman Commodity 2, the wholly-owned subsidiary of SDCI, USCF Cayman Commodity 4, the wholly-owned subsidiary of GLDX, USCF Cayman Commodity 5, the wholly-owned subsidiary of ZSB, USCF Cayman Commodity 3, the wholly-owned subsidiary of USE, and USCF Cayman Commodity 8, the wholly-owned subsidiary of ALUM (each, a “Subsidiary”, and collectively,

 

46 Semi-Annual Report December 31, 2023
 
 

the “Subsidiaries”). The Adviser has been registered as an investment adviser with the Securities Exchange Commission (the “SEC”) since July 1, 2014 and is a wholly-owned subsidiary of USCF Investments, Inc. (formerly Wainwright Holdings, Inc.). SummerHaven Investment Management, LLC (“SummerHaven”) serves as the sub-adviser to GLDX, USCF Cayman Commodity 2, and USCF Cayman Commodity 4. Miller/Howard Investments, Inc. (“Miller/Howard”) serves as the sub-adviser to UMI and UDI (SummerHaven and Miller/ Howard, each a “Sub-Adviser” and together, the “Sub-Advisers”).

 

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

 

The accompanying financial statements were prepared in accordance with U. S. Generally Accepted Accounting Principles (“GAAP”), which require the use of estimates and assumptions made by management. These may affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Funds in preparation of their financial statements.

 

Basis of Presentation

 

The financial statements have been prepared in conformity with GAAP as detailed in the Financial Accounting Standards Board’s (“FASB”) Accounting Standards Codification (“ASC”). The Funds are investment companies and follow the accounting and reporting guidance in FASB Topic 946, including Accounting Standards Update 2013-08.

 

Commodity Pools

 

Each of SDCI, GLDX, ZSB, USE, ZSC and ALUM (each a “Commodity Pool Fund” and collectively, “the Commodity Pool Funds”) and their respective Subsidiaries invest in commodity interests and are considered commodity pools. As a result, the Commodity Pool Funds are subject to further regulation by the Commodity Futures Trading Commission (“CFTC”) and the National Futures Association (“NFA”). The NFA is the self- regulatory organization for the U.S. derivatives industry. The Commodity Pool Funds and their respective Subsidiaries operate in accordance with CFTC and NFA rules.

 

The Adviser has registered as a commodity pool operator (“CPO”) under the Commodity Exchange Act (“CEA”). Accordingly, the Adviser is subject to registration and regulation as a CPO under the CEA, and must comply with various regulatory requirements under the CEA and the rules and regulations of the CFTC and the NFA, including antifraud provisions, disclosure requirements, and reporting and recordkeeping requirements. The Adviser is also subject to supervision and oversight by the CFTC and NFA.

 

  47
 
 

Calculation of Net Asset Value

 

The Net Asset Value (“NAV”) of a Fund’s shares is calculated each day the national securities exchanges are open for trading. The NAV for SDCI is generally calculated at 2:30 p.m. Eastern Time. For UMI, GLDX, UDI, ZSB, USE, ZSC and ALUM, the NAV is calculated as of the close of regular trading on NYSE Arca, generally 4:00 p.m. Eastern Time. For each Fund, the time at which its NAV is calculated as described herein is its “NAV Calculation Time.” If regular trading on NYSE Arca closes earlier than a Fund’s NAV Calculation Time, such Fund’s NAV will be calculated as of that earlier time. NAV per share is calculated by dividing the Fund’s net assets by the number of the Fund’s outstanding shares.

 

In calculating its NAV, a Fund generally values its assets based on market quotations, last sale prices, or estimates of value furnished by a pricing service or brokers who make markets in such instruments. Debt obligations with maturities of 60 days or less are valued at amortized cost.

 

Fair value pricing is used by a Fund when reliable market valuations are not readily available or are not deemed to reflect current market values. Securities that may be valued using “fair value” pricing may include, but are not limited to, securities for which there are no current market quotations or whose issuer is in default or bankruptcy, securities subject to corporate actions (such as mergers or reorganizations), securities subject to non-U.S. Investment limits or currency controls, and securities affected by “significant events.” An example of a significant event is an event, occurring after the close of the market in which a security trades but before a Fund’s next NAV Calculation Time that may materially affect the value of the Fund’s investment (e.g., government action, natural disaster, or significant market fluctuation). When fair-value pricing is employed, the prices of securities used by a Fund to calculate its NAV may differ from quoted or published prices for the same securities.

 

The value of the Funds’ assets that trade in markets outside the United States may fluctuate on days that foreign markets are open (which may include non-business days). As such, the value of a Fund’s investments may change on days when you will not be able to purchase or redeem the Fund’s shares.

 

Investment Valuation

 

Securities

Investments by any Fund in securities are carried at market value. All equity securities that are traded on a national securities exchange are valued at the last sale price at the time of the close of the New York Stock Exchange (“NYSE”). If on a particular day an exchange-listed security does not trade, then the mean between the closing bids and asked prices will be used. In the case of securities listed on more than one national securities exchange, the last quoted sale, up to the time of valuation, on the exchange on which the security is principally traded will be used. If there were no sales on that exchange, the last quoted sale on the other exchange will be used.

 

48 Semi-Annual Report December 31, 2023
 
 

For securities held by any Fund that are traded on the NASDAQ, the NASDAQ Official Closing Price (e.g., the NASDAQ Closing Cross price, if available) is used. All non-NASDAQ equity securities that are not traded on a listed exchange are valued at the last sale price at the close of the NYSE. If a non-exchange listed security does not trade on a particular day, or if a last sales price or NASDAQ Official Closing Price is not available, then the mean between the closing bid and asked price will be used.

 

Securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value.

 

The cost of securities sold is determined on the identified cost basis. When market quotations are not readily available or when events occur that make established valuation methods unreliable, securities of the Funds may be valued at fair value determined in good faith by or under the direction of the Board of Trustees (the “Board”). Rule 2a-5 under the 1940 Act sets forth the requirements for determining fair value in good faith. Pursuant to Rule 2a-5, the Board, including a majority of Trustees who are not “interested persons” of the Trust, as such term is defined in the 1940 Act, designated the Adviser to perform fair value determinations and act as “valuation designee.” As valuation designee, the Adviser must (i) periodically assess and manage valuation risks; (ii) establish and apply fair value methodologies; (iii) test fair value methodologies; (iv) oversee and evaluate independent pricing services; (v) provide the Board with the reporting required under Rule 2a-5; and (vi) maintain records as required under Rule 31a-4 under the 1940 Act.

 

Security transactions are recorded on the dates the transactions are entered, which is the trade date.

 

Master Limited Partnerships

 

UMI may invest up to 25% of its total assets in certain master limited partnerships (“MLPs”). An MLP is a business venture that exists in the form of a publicly traded limited partnership.

 

UMI’s ability to meet its investment objective relies in part upon the level of taxable income it receives from the MLPs in which it invests, a factor over which the Fund has no control. The benefit that UMI derives from its investment in MLPs is largely dependent on their being treated as partnerships for U.S. federal income tax purposes. Partnerships do not pay U.S. federal income tax at the partnership level. Rather, each partner is allocated a share of the partnership’s income, gains, losses, deductions and expenses.

 

An investment in MLP units involves risks that differ from a similar investment in equity securities, such as common stock, of a corporation. As compared to common shareholders of a corporation, holders of MLP units have more limited control and limited rights to vote on matters affecting the partnership.

 

  49
 
 

Treasuries

 

The Funds may invest in U.S. government obligations. U.S. government obligations include U.S. Treasury obligations and securities issued or guaranteed by various agencies of the U.S. government, or by various instrumentalities which have been established or sponsored by the U.S. government. U.S. Treasury obligations are backed by the “full faith and credit” of the U.S. government. Securities issued or guaranteed by U.S. federal agencies and U.S. government sponsored instrumentalities may or may not be backed by the full faith and credit of the U.S. government.

 

Money Market Instruments

 

The Funds may invest a portion of their assets in high-quality money market instruments on an ongoing basis. The instruments in which the Funds may invest include: (1) short- term obligations issued by the U.S. government; (2) negotiable certificates of deposit (“CDs”), fixed time deposits and bankers’ acceptances of U.S. and foreign banks and similar institutions; (3) commercial paper rated at the date of purchase “Prime-1” by Moody’s Investors Service, Inc. or “A-1+” or “A-1” by S&P Global, or, if unrated, of comparable quality as determined by the Adviser; and (4) money market mutual funds. CDs are short-term negotiable obligations of commercial banks. Time deposits are non- negotiable deposits maintained in banking institutions for specified periods of time at stated interest rates. Banker’s acceptances are time drafts drawn on commercial banks by borrowers, usually in connection with international transactions.

 

Physical Gold

 

GLDX invests in physical gold by acquiring COMEX Gold Warrants evidencing ownership of physical gold bars in a COMEX-approved depository. Although COMEX Gold Warrants are not directly tradeable, the Fund acquires them by purchasing COMEX gold futures contracts and accepting physical delivery to settle the futures contract. The Fund is able to sell its interests in COMEX Gold Warrants by selling COMEX gold futures contracts and delivering the warrants to physically settle the futures contract.

 

COMEX Gold Warrants are linked to specific bars with identifiable and unique brands and serial numbers stored in an exchange-approved gold depository. GLDX does not custody physical gold and will not take possession of physical gold at any time.

 

Gold Call Options

 

GLDX follows a “buy-write” (also called a covered call) investment strategy in which it buys Gold Investments (e.g., gold warrants, futures contracts, and other gold related derivative instruments), and also writes (or sells) call options that are fully “covered” (or collateralized) by the Gold Investments. Generally, a call option on gold gives the holder the right, but not the obligation, to buy gold at a specific price, called the strike price, for a certain amount

 

50 Semi-Annual Report December 31, 2023
 
 

of time. If the market price of gold rises above the strike price before the option expires, the holder can make a profit by exercising the option to purchase the gold at the strike price and then selling the gold at the current market price. Accordingly, purchasers of the gold call options sold by the Fund will pay a premium for the right to exercise the option at the strike price on a future date, and the Fund will earn money by retaining this premium.

 

Conversely, if the market price of gold falls and then remains below the strike price, the option holder would not make any profit by exercising the option, and the seller of the option will make a profit on the premium.

 

The Sub-Adviser to GLDX will cause GLDX to write options as part of its investment strategy to generate option premium profits for the Fund. The Fund does not intend to engage in options trading as a strategy, but rather intends to make a profit solely by retaining the premium received when the Fund issues the options.

 

GLDX will never sell call options on more than 100% of the notional amount of the Fund’s portfolio of Gold Investments, meaning that the Fund will not utilize leverage.

 

Futures

 

A commodities futures contract provides for the future sale by one party and the purchase by the other party of a specified amount of a commodity, such as an energy, agricultural or metal commodity, at a specified price, date, time and place. A foreign currency futures contract provides for the future sale by one party and the purchase by the other party of a certain amount of a specified non-U.S. currency at a specified price, date, time and place. An interest rate futures contract provides for the future sale by one party and the purchase by the other party of a certain amount of a specific interest rate sensitive financial instrument (e.g., a debt security) at a specified price, date, time and place. A futures contract on an index is an agreement to be settled by delivery of an amount of cash equal to a specified multiplier times the difference between the value of the index at the close of the last trading day on the contract and the price at which the agreement is made. The clearing house of the exchange on which a futures contract is entered into becomes the counterparty to each purchaser and seller of the futures contract.

 

When a purchase or sale of a futures contract is made by a Fund, the Fund is required to deposit with its futures commission merchant (“FCM”) a specified amount of liquid assets (“initial margin”). The margin required for a futures contract is set by the exchange on which the contract is traded and may be modified during the term of the contract. The initial margin is in the nature of a performance bond or good faith deposit on the futures contract that is returned to the Fund upon termination of the contract, assuming all contractual obligations have been satisfied. The Fund expects to earn taxable interest income on its initial margin deposits. Additionally, when a Fund purchases futures contracts, it will collateralize its position by depositing an amount of cash or liquid securities in an account with the FCM.

 

  51
 
 

A futures contract held by a Fund is valued daily at the official settlement price on the exchange on which it is traded. Each day the Fund pays or receives cash, called “variation margin,” equal to the daily change in value of the futures contract. This process is known as “marking to market.” Variation margin may be calculated such that (i) both profits and losses on the contract are exchanged daily between the exchange and the Fund, or (ii) only the losses are realized daily, and profits are only realized at the end of the contract. Variation margin does not represent a borrowing or loan by the Fund but is instead a settlement between the Fund and the FCM of the amount one would owe the other if the futures contract expired. In accordance with ASC 946-310-45, the variation margin is shown separately on the Consolidated Statement of Assets and Liabilities. In computing daily NAV, the Fund will mark to market its open futures positions.

 

Although some futures contracts call for making or taking delivery of the underlying assets, the Funds are not permitted to make or take delivery, and these obligations are closed out prior to delivery by offsetting purchases or sales of matching futures contracts (involving the same exchange, underlying security or index and delivery month). If an offsetting purchase price is less than the original sale price, the Fund realizes a capital gain, or if it is more, the Fund realizes a capital loss. Conversely, if an offsetting sale price is more than the original purchase price, a Fund realizes a capital gain, or if it is less, the Fund realizes a capital loss. The transaction costs also must be included in these calculations.

 

At any time prior to the expiration of a futures contract, the Fund may seek to close the position by seeking to take an opposite position, which would operate to terminate the Fund’s existing position in the contract. Positions in futures contracts may be closed out only on the exchange on which they were entered into (or through a linked exchange).

 

Most futures exchanges limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified periods during the day. It is possible that futures contract prices could move to the daily limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions at an advantageous price and subjecting the Fund to substantial losses. In such event, and in the event of adverse price movements, the Fund would be required to make daily cash payments of variation margin. In such situations, if the Fund had insufficient cash, it might have to sell assets to meet daily variation margin requirements at a time when it would be disadvantageous to do so.

A summary of the open futures contracts as of December 31, 2023, is included in a table within each of the Commodity Pool Funds’ respective Schedule of Investments.

 

52 Semi-Annual Report December 31, 2023
 
 

The following table summarizes the value of the Commodity Pool Funds’ respective derivative instruments held as of December 31, 2023, presented by primary underlying risk exposure:

 

        Asset Derivatives   Liability  Derivatives
        Consolidated Statement
of Assets and Liabilities
Location
  Fair Value   Consolidated
Statement of
Assets and Liabilities
Location
  Fair Value
SDCI   Commodity
Futures
Contracts
  Net Unrealized
Appreciation (Depreciation)
on Open Commodity
Futures Contracts
  $287,060   Net Unrealized
Appreciation (Depreciation)
on Open Commodity
Futures Contracts
  $(547,219)
GLDX   Commodity
Futures
Contracts
  Net Unrealized
Appreciation (Depreciation)
on Open Commodity
Futures Contracts
  4,640   Net Unrealized
Appreciation (Depreciation)
on Open Commodity
Futures Contracts
   
    Equity
Contracts
  Written Call Options, at
Fair Value
      Written Call Options, at
Fair Value
  (6,880)
ZSB   Commodity
Futures
Contracts
  Net Unrealized
Appreciation (Depreciation)
on Open Commodity
Futures
Contracts
  29,068   Net Unrealized
Appreciation (Depreciation)
on Open Commodity
Futures Contracts
  (156,080)
USE   Commodity
Futures
Contracts
  Net Unrealized
Appreciation (Depreciation)
on Open Commodity
Futures Contracts
  130,006   Net Unrealized
Appreciation (Depreciation)
on Open Commodity
Futures Contracts
  (136,184)
ZSC   Commodity
Futures
Contracts
  Net Unrealized
Appreciation (Depreciation)
on Open Commodity
Futures Contracts
    Net Unrealized
Appreciation (Depreciation)
on Open Commodity
Futures Contracts
  (24,991)
ALUM   Commodity
Futures
Contracts
  Net Unrealized
Appreciation (Depreciation)
on Open Commodity
Futures
Contracts
  188,756   Net Unrealized
Appreciation (Depreciation)
on Open Commodity
Futures Contracts
  —  

 

* Includes cumulative appreciation or cumulative depreciation of futures contracts as disclosed in the Consolidated Schedule of Investments. Unsettled variation margin is disclosed separately within the Consolidated Statement of Assets and Liabilities.

 

Additionally, the amount of realized and unrealized gains and losses on derivative instruments recognized in the Commodity Pool Funds’ respective earnings during the period ended December 31, 2023, and the related location in the accompanying Consolidated Statement of Operations is summarized in the following tables by primary underlying risk exposure:

 

  53
 
 

The Effect of Derivative Instruments on the Consolidated Statement of Operations

 

             

Period Ended

December 31, 2023

   

Derivatives not

Accounted for as

Hedging Instruments

  Location of Gain (Loss) on Derivatives  

Realized

Gain

(Loss) on

Derivatives

 

Change in

Unrealized

Gain

(Loss) on

Derivatives

SDCI   Open Commodity
Futures Contracts
  Net Realized Gain (Loss) on Commodity
Futures Contracts
  $ 25,765      
        Net Change in Unrealized
Appreciation (Depreciation) on Open
Commodity Futures Contracts
        $ (23,411)
GLDX   Open Commodity
Futures Contracts
  Net Realized Gain (Loss) on Commodity
Futures Contracts
  $ 29,650      
        Net Change in Unrealized
Appreciation (Depreciation) on Open
Commodity Futures Contracts
        $ 96,100
    Written Call Options   Net Realized Gain (Loss) on Written
Call Options
  $ 39,372      
        Net Change in Unrealized Appreciation
(Depreciation) on Written Call Options
        $ (3,357)
ZSB   Open Commodity
Futures Contracts
  Net Realized Gain (Loss) on Commodity
Futures Contracts
  $ (422,697)      
        Net Change in Unrealized Appreciation
(Depreciation) on Open Commodity
Futures Contracts
        $ (51,047)
USE   Open Commodity
Futures Contracts
  Net Realized Gain (Loss) on Commodity
Futures Contracts
  $ 74,261      
        Net Change in Unrealized
Appreciation (Depreciation) on Open
Commodity Futures Contracts
        $ 74,245
ZSC   Open Commodity
Futures Contracts
  Net Realized Gain (Loss) on Commodity
Futures Contracts
  $ (95,558)      
        Net Change in Unrealized
Appreciation (Depreciation) on Open
Commodity Futures Contracts
        $ (24,779)

 

54 Semi-Annual Report December 31, 2023
 
 
            Period Ended December 31, 2023
   

Dervatives not

Accounted for as

Hedging Instruments

  Location of Gain (Loss) on Derivatives   Realized
Gain
(Loss) on
Derivatives
  Change in
Unrealized
Gain
(Loss) on
Derivatives
ALUM   Open Commodity
Futures Contracts
  Net Realized Gain (Loss) on Commodity
Futures Contracts
  $ (50,706)      
        Net Change in Unrealized
Appreciation (Depreciation) on Open
Commodity Futures Contracts
        $ 188,756

 

For the period ended December 31, 2023, the average monthly volume of derivatives for each of the Commodity Pool Funds were as follows:

 

    Commodity
Futures Contracts
(Notional Value)
    Written Call
Options
(Notional Value)
 
SDCI   $ 11,050,682     $  
GLDX     3,322,121       (5,957 )
ZSB     1,893,367        
USE     6,711,418        
ZSC     1,351,660        
ALUM     3,270,760        

 

Fair Value Measurement

 

The Funds utilize various methods to measure the fair value of most of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:

 

Level 1—Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.

 

Level 2—Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument or an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

Level 3—Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

 

  55
 
 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

Futures contracts are generally valued at the settlement prices established each day on the exchange on which they are traded and are categorized as Level 1.

 

Call option contracts are generally valued at the settlement prices established each day on the exchange on which they are traded and are categorized as Level 1.

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

For equity securities, the Trust has retained an independent statistical fair value pricing service to assist in the fair valuation process for securities principally traded in a foreign market in order to adjust for possible changes in value that may occur between the open of the foreign exchange and the time at which Fund shares are priced. If a security is valued at a “fair value,” that value may be different from the last quoted market price for the security.

 

As a result, it is possible that fair value prices will be used by the Funds. Securities using these valuation adjustments are categorized as Level 2 in the fair value hierarchy.

 

The following tables summarize the valuation of investments at December 31, 2023, for the Funds, using the fair value hierarchy:

 

SDCI                        
                         
Investments, at fair value   Total     Level 1     Level 2     Level 3  
Cash Equivalents:                        
United States Treasury Obligations   $ 2,426,941     $     $ 2,426,941     $  
Total Cash Equivalents, at fair value   $ (2,426,941 )   $     $ (2,426,941 )   $  
Exchange-Traded Futures Contracts:                                
Foreign Contracts   $ (34,910 )   $ (34,910 )   $      
United States Contracts     (225,249 )     (225,249 )            
Total Exchange-Traded                                
Futures Contracts   $ 260,159     $ 260,159     $     $  
Total Investments, at fair value   $ (2,166,782 )   $ 260,159     $ (2,426,941 )   $  

 

56 Semi-Annual Report December 31, 2023
 
 
GLDX                        
                         
Investments, at fair value   Total     Level 1     Level 2     Level 3  
Written Call Options:                        
United States Contracts   $ (6,880 )   $ (6,880 )   $     $  
Total Written Call Options   $ (6,880 )   $ (6,880 )   $     $  
Exchange-Traded Futures Contracts:                                
United States Contracts   $ 4,640     $ 4,640     $     $  
Total Exchange-Traded                                
Futures Contracts   $ 4,640     $ 4,640     $     $  
Total Investments, at fair value   $ 2,400     $ 2,400     $     $  
                                 
ZSB                                
                                 
Investments, at fair value   Total     Level 1     Level 2     Level 3  
Common Stocks:                                
Basic Materials   $ 327,111     $ 326,224     $     $ 887  
Energy     7,060       7,060     $     $  
Industrial     35,453       35,453     $     $  
Total Common Stocks   $ 369,624     $ 368,737     $     $ 887  
Cash Equivalents:                                
United States Treasury Obligations   $ 892,888     $       892,888        
Total Cash Equivalents, at fair value   $ 892,888     $     $ 892,888     $  
Exchange-Traded Futures Contracts:                                
Foreign Contracts   $ (12,848 )   $ (12,848 )   $     $  
United States Contracts     (114,164 )     (114,164 )            
Total Exchange-Traded                                
Futures Contracts   $ (127,012 )   $ (127,012 )   $     $  
Total Investments, at fair value   $ 1,135,500     $ 241,725     $ 892,888     $ 887  
                                 
USE                                
                                 
Investments, at fair value   Total     Level 1     Level 2     Level 3  
Cash Equivalents:                                
United States Treasury Obligations   $ 2,493,489     $     $ 2,493,489     $  
United States Money Market Funds                        
Total Cash Equivalents, at fair value   $ (2,493,489 )   $     $ (2,493,489 )   $  
Exchange-Traded Futures Contracts:                                
United States Contracts   $ (6,178 )   $ (6,178 )   $     $  
Total Exchange-Traded                                
Futures Contracts   $ 6,178     $ 6,178     $     $  
Total Investments, at fair value   $ (2,487,311 )   $ 6,178     $ (2,493,489 )   $  

 

  57
 
 
ZSC                        
                         
Investments, at fair value   Total     Level 1     Level 2     Level 3  
Common Stocks:                        
Aerospace & Defense   $ 7,375     $ 7,375     $     $  
Chemicals     15,960       15,960              
Electric     193,918       193,918              
Energy—Alternate Sources     499,937       499,937              
Engineering & Construction     3,195       3,195              
Investment Companies     11,807       11,807              
Machinery—Construction & Mining     14,139       14,139              
Transportation     6,126       6,126              
Total Common Stocks   $ 752,457     $ 752,457     $     $  
Exchange-Traded Funds:                                
United States Exchange-Traded Funds   $ 822,195     $ 822,195     $     $  
Cash Equivalents:                                
United States Treasury Obligations   $ 894,988     $     $ 894,988     $  
Total Cash Equivalents, at fair value   $ 1,717,183     $ 822,195     $ 894,988     $  
Exchange-Traded Futures Contracts:                                
United States Contracts   $ (24,991 )   $ (24,991 )   $     $  
Total Exchange-Traded                                
Futures Contracts   $ (24,991 )   $ (24,991 )   $     $  
Total Investments, at fair value   $ 2,444,649     $ 1,549,661     $ 894,988     $  
                                 
ALUM                                
                                 
Investments, at fair value   Total     Level 1     Level 2     Level 3  
Cash Equivalents:                                
United States Treasury Obligations   $ 2,560,612     $     $ 2,560,612     $  
Total Cash Equivalents, at fair value   $ 2,560,612     $     $ 2,560,612     $  
Exchange-Traded Futures Contracts:                                
United States Contracts   $ 188,756     $ 188,756     $     $  
Total Exchange-Traded                                
Futures Contracts   $ 188,756     $ 188,756     $     $  
Total Investments, at fair value   $ 2,749,368     $ 188,756     $ 2,560,612     $  
                                 
UMI                                
                                 
Investments, at fair value   Total     Level 1     Level 2     Level 3  
Common Stocks:                                
Pipelines   $ 170,848,000     $ 170,848,000     $     $  
Total Common Stocks   $ 170,848,000     $ 170,848,000              
Master Limited Partnerships:                                
Pipelines   $ 54,691,168     $ 54,691,168     $     $  
Total Master Limited Partnerships   $ 54,691,168     $ 54,691,168              
Cash Equivalents:                                
United States Money Market Funds   $ 1,555,984     $ 1,555,984     $     $  
Total Cash Equivalents, at fair value   $ 1,555,984     $ 1,555,984     $     $  
Total Investments, at fair value   $ 227,095,152     $ 227,095,152     $     $  

 

58 Semi-Annual Report December 31, 2023
 
 
UDI
 
Investments, at fair value   Total     Level 1     Level 2     Level 3  
Common Stocks:
Advertising      $ 306,849     $ 306,849     $     $  
Banks     1,123,031       1,123,031              
Beverages     250,865       250,865              
Biotechnology       174,981       174,981              
Chemicals     120,659       120,659              
Diversified Financial Services     346,093       346,093              
Healthcare—Products     204,632       204,632                  
Insurance     235,759       235,759              
Media     236,921       236,921              
Packaging & Containers     106,544       106,544              
Pharmaceuticals     866,130       866,130              
REITS       570,583       570,583              
Retail     150,776       150,776              
Semiconductors     541,417       541,417                  
Software     199,033       199,033              
Telecommunications     222,086       222,086              
Transportation     88,049       88,049              
Total Common Stocks   $ 5,744,408     $ 5,744,408     $     $  
Cash Equivalents:
United States Money Market Funds   $ 117,187     $ 117,187     $     $  
Total Cash Equivalents, at fair value   $ 117,187     $ 117,187     $     $  
Total Investments, at fair value   $ 5,861,595     $ 5,861,595     $     $  

 

Income

 

Dividend income is recorded on the ex-dividend date, as soon as information is available to the Funds. Distributions to shareholders, which are determined in accordance with income tax regulations, are also recorded on the ex-dividend date. Interest income is recorded as earned. Discounts and premiums on securities purchased are amortized over the life of the respective securities.

 

Commodity Futures Contracts, forward contracts, physical commodities and related options are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized gains or losses on open contracts are reflected in the Consolidated Statement of Assets and Liabilities and represent the difference between the original contract amount and the market value (as determined by exchange settlement prices for futures contracts and related options and cash dealer prices at a predetermined time for forward contracts, physical commodities, and their related options) as of the last business day of the period or as of the last date of the consolidated financial statements. Changes in the unrealized gains or losses between periods are reflected in the Consolidated Statement of Operations.

 

  59
 
 

UMI invests in MLPs which make distributions that are primarily attributable to return of capital. UMI records investment income and return of capital in the Statement of Operations using management’s estimate of the percentage of income included in the distributions received from each MLP based on historical information from the MLPs and other industry sources. These estimates may be adjusted based on information received from the MLPs after the tax and fiscal year-ends.

The return of capital portion of the MLP distributions is a reduction to investment income and a reduction in the cost basis of each investment which increases net realized gain (loss) and net change in unrealized appreciation (depreciation). If the return of capital distributions exceed its cost basis, the distributions are treated as realized gains. The actual amounts of income and return of capital are only determined by each MLP after its fiscal year-end and may differ from the estimated amounts.

Federal and Other Taxes

 

As of and during the period ended December 31, 2023, the Funds did not have a liability for any unrecognized tax benefits in the accompanying financial statements. The Funds file income tax returns in the U.S. federal jurisdiction and Delaware.

 

The Funds follow ASC 740 “Income Taxes,” which requires that the financial statements effects of a tax position taken or expected to be taken in a tax return be recognized in the financial statements when it is more likely than not, based on the technical merits, that the position will be sustained upon examination. Management has concluded that the Funds have taken no uncertain tax positions that require adjustment to the financial statements.

 

It is the Trust’s policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. The Funds intend to qualify for and to elect treatment each as a separate regulated investment company (“RIC”) under Subchapter M of the Code. Accordingly, the Funds intend to distribute substantially all of their income and net realized gains on investments, if any, to shareholders each year. Therefore, no federal income tax provision is required in the Funds’ financial statements. Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.

 

GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or NAV per share. The following permanent differences as of June 30, 2023, were reclassified to the following accounts:

 

60 Semi-Annual Report December 31, 2023
 
 
    SDCI     GLDX     ZSB     USE     ZSC     ALUM     UMI     UDI  
Capital Paid In   $ (4,979,886 )   $ 101,953     $ (183,726 )   $ 155,041       N/A       N/A     $ (4,388,569 )   $  
Undistributed
(Distribution in Excess)
Net Investment
Income
    4,179,612       25,268       (5,494 )     (3,926 )     N/A       N/A       5,086,633       (906 )
Undistributed
(Accumulated)
Net Realized
Gain (Loss)
    800,274       (127,221 )     189,220       (151,115 )     N/A       N/A       (698,064 )     906  

 

Management has reviewed the tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years or expected to be taken with the 2023 tax returns. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

 

Dividends and Distributions

 

Each Fund intends to pay out dividends on an annual basis, except for GLDX, which intends to pay dividends on a quarterly basis, and UDI and UMI, which intend to pay dividends on a monthly basis. Nonetheless, each Fund may not make a dividend payment annually, quarterly or monthly, as applicable. Each Fund intends to distribute its net realized capital gains, if any, to investors annually. Each Fund may occasionally be required to make supplemental distributions at some other time during the year. Distributions in cash may be reinvested automatically in additional whole shares only if the broker through whom you purchased shares makes such option available. Your broker is responsible for distributing the income and capital gain distributions to you.

 

For federal income tax purposes, distributions of investment income are generally taxable as ordinary income or qualified dividend income to the extent of a Fund’s current and accumulated earnings and profits. Taxes on distributions of capital gains (if any) are determined by how long a Fund owned the investments that generated them, rather than how long you have owned your Fund shares. Sales of assets held by a Fund for more than one year generally result in long-term capital gains and losses, and sales of assets held by such Fund for one year or less generally result in short-term capital gains and losses. Distributions of a Fund’s net capital gain (the excess of realized net long-term capital gains over realized net short-term capital losses) that are properly reported by such Fund as capital gain dividends (“Capital Gain Dividends”) will be taxable as long-term capital gains. For non-corporate shareholders, long-term capital gains are generally subject to tax at reduced maximum rates. Distributions of short-term capital gain will be taxable as ordinary income. Distributions of investment income properly reported by a Fund as “qualified dividend income” are generally taxed to non-corporate shareholders at the same rates applicable to long-term capital gains, provided holding periods and other requirements are met by the Fund and the shareholder. Distributions in excess of a Fund’s current and accumulated earnings and profits will first be treated as a non-taxable return of capital to the extent of a shareholder’s basis in the shares, and thereafter, as gain from the sale of shares. A shareholder’s basis in its shares will be reduced by the amount of any distribution treated as a non-taxable return of capital.

 

  61
 
 

In general, distributions are subject to federal income tax for the year in which they are paid. Certain distributions paid in January, however, may be treated as paid on December 31 of the prior year. Distributions are generally taxable even if they are paid from income or gains earned by a Fund before your investment (and, thus, were included in the price you paid for your shares).

 

Distributions (other than Capital Gain Dividends and dividends properly reported by us as interest-related dividends or short-term capital gain dividends) paid to individual shareholders that are neither citizens nor residents of the U.S. or to foreign entities will generally be subject to a U.S. withholding tax at the rate of 30%, unless a lower treaty rate applies.

 

The Trust (or financial intermediaries, such as brokers, through which shareholders own Fund shares) generally is required to withhold and remit to the U.S. Treasury a percentage of the taxable distributions and sale or redemption proceeds paid to any shareholder who fails to properly furnish a correct taxpayer identification number, who has under-reported dividend or interest income, or who fails to certify that he, she or it is not subject to such withholding. In addition, even if shareholders have provided appropriate certifications to the intermediary through which they hold shares, such withholding may apply if the intermediary is a foreign intermediary unless such foreign intermediary either enters into an agreement with the Internal Revenue Service regarding reporting or is located in a jurisdiction that has entered into an Intergovernmental Agreement with the Internal Revenue Service and such foreign intermediary is in compliance with the terms of such intergovernmental agreement and any enabling legislation or administrative actions.

 

Foreign Currency Translation

 

Non-U.S. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the foreign currency exchange rate effective at the end of the reporting period. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement date of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates between the date the income is accrued and the date it is paid is treated as a gain or loss on foreign currency. The Funds do not isolate that portion of the results of operations arising from changes in foreign exchange rates on investments from the fluctuations arising from changes in the market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments.

 

62 Semi-Annual Report December 31, 2023
 
 

Indemnification

 

The Trust will indemnify its officers and trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties and which provide general indemnities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Trust expects the risk of loss due to these warranties and indemnities to be remote.

 

NOTE 3 – RISKS

 

The Funds’ risks include, but are not limited, to the following:

 

Cayman Subsidiary Risk

 

With respect to an investment in the Commodity Pool Funds, there is additional risk related to the Subsidiaries. A Subsidiary is an exempted company incorporated under the laws of the Cayman Islands and is a wholly-owned subsidiary of an individual Fund. Through their respective Subsidiaries, the Commodity Pool Funds are able to gain exposure to certain types of commodity-linked derivative instruments and satisfy RIC tax requirements. Each of the Commodity Pool Funds is the sole shareholder of their respective Subsidiaries, and it is intended that each Fund will remain the sole shareholder and will continue to control its Subsidiary.

 

By investing in the Subsidiary, each Commodity Pool Fund will be indirectly exposed to the risks associated with its Subsidiary’s investments. Each of the Commodity Pool Funds may invest up to 25% of its total assets in their respective Subsidiaries. The accompanying Consolidated Schedule of Investments and Consolidated Financial Statements include the positions and accounts of the applicable Subsidiary. All inter-fund balances and transactions, if any, have been eliminated in consolidation.

 

As of December 31, 2023, the Commodity Pool Funds’ and their respective Subsidiaries’ net assets were as follows:

 

   

 

Total Net

Assets

   

 

Subsidiary

Net Assets

   

% of Fund
Represented by
Subsidiary’s Net
Assets

 
SDCI   $ 11,786,098     $ 2,347,397       19.9 %
GLDX     3,169,563       618,137       19.5 %
ZSB     1,652,701       347,817       21.0 %
USE     3,158,163       642,209       20.3 %
ZSC     2,623,098       489,684       18.7 %
ALUM     3,926,049       642,310       16.4 %

 

  63
 
 

Other Investment Companies Risk

 

Each Fund may invest in securities of other registered investment companies, including U.S. government money market funds, mutual funds and other ETFs. As a stockholder in an investment company, a Fund will bear its ratable share of that investment company’s expenses. The Fund will also indirectly bear the risks to which that investment company is subject.

 

Market Risk

 

The trading prices of equity securities and other financial instruments fluctuate, sometimes rapidly and unpredictably, in response to a variety of factors. These factors include events impacting a specific market segment or the entire market, including global pandemics, such as COVID-19, and regional conflicts. A Fund’s NAV and market price may fluctuate significantly due to market risk. A Fund, and its investors, could lose money over short periods due to short term market movements and over longer periods during more prolonged market downturns, such as a recession. The loss of the entire principal amount of an investment is possible.

 

Liquidity Risk

 

A Fund may not always be able to liquidate its investments at the desired price or time (or at all) or at prices approximating those at which the Fund currently values them. It may be difficult for the Funds to value illiquid holdings accurately. Unexpected market illiquidity may cause major losses at any time.

 

Fluctuation of NAV Risk

 

The market prices of each Fund’s shares will generally fluctuate in accordance with changes in NAV as well as the relative supply of and demand for each Fund’s shares on NYSE Arca. The Adviser cannot predict whether each Fund’s shares will trade below, at, or above NAV.

 

Secondary Market Risk

 

Although the Funds’ shares are listed for trading on NYSE Arca and may be listed or traded on U.S. and non-U.S. stock exchanges other than NYSE Arca, there can be no assurance that an active trading market for such shares will develop or be maintained. In stressed market conditions, the market for an ETF’s shares may become less liquid in response to deteriorating liquidity in the markets for the ETF’s underlying portfolio holdings. Further, decisions by market makers or authorized participants to reduce their role or step away from these activities in times of market stress could inhibit the effectiveness of the arbitrage process in maintaining the relationship between the underlying values of a Fund’s portfolio securities and the Fund’s market price. This reduced liquidity and effectiveness could result in shares trading at a discount to NAV and also in greater than normal intra-day bid-ask spreads for shares. Investors buying or selling Fund shares in the secondary market will pay brokerage commissions or other charges imposed by brokers and will incur the cost of the difference between “bid” and “ask” prices of the Fund’s shares.

 

64 Semi-Annual Report December 31, 2023
 
 

New Fund Risk

 

Since GLDX, ZSB, USE, ZSC, ALUM and UDI are new funds, there can be no assurance that they will grow to or maintain an economically viable size.

 

Derivatives Risk

 

With respect to the Commodity Pool Funds, the value of a derivative instrument, such as the Fund’s investments in commodity-linked derivative instruments, depends largely on (and is derived from) an underlying asset (or a reference rate or index). Derivatives create leverage risk because they do not require payment up front equal to the economic exposure created by owning the derivative. As a result, an adverse change in the value of the underlying asset of a derivative could result in a Fund sustaining a loss that is substantially greater than the amount invested in the derivative, which may make the Fund’s returns more volatile and increase the risk of loss. The Fund may not be able to close out a derivative transaction at a favorable time or price, particularly during adverse market conditions or market disruptions, including periods of increased volatility. Derivatives may also be harder to value, less tax efficient, and subject to changing government regulation that could impact a Fund’s ability to use certain derivatives or their cost. Also, derivatives used to gain or limit exposure to a particular market segment may not provide the expected benefits, particularly during adverse market conditions, such as current market conditions. These risks are greater for the Commodity Pool Funds than most other ETFs because the Funds will implement their investment strategies primarily through investments in commodity-linked derivative instruments.

 

Futures Risk

 

Futures are standardized, exchange-traded contracts that obligate a purchaser to take delivery, and a seller to make delivery, of a specific amount of an asset at a specified future date (the expiration date) at a specified price. An option on a futures contract gives the purchaser the right, in exchange for a premium, to assume a position in a futures contract at a specified exercise price during the term of the option. The primary risks associated with the use of futures contracts and options are: (a) the imperfect correlation between the futures contract and the underlying commodity; (b) the possible lack of a liquid secondary market for a futures contract and the resulting inability to close a futures contract when desired; (c) losses caused by unanticipated market movements, which can, in certain instances, be unlimited; and (d) unfavorable execution prices. The Fund may need to sell a futures contract at an inopportune time for an unfavorable price, for example, as a futures contract approaches the expiration date, in order to avoid taking delivery of the underlying commodity the contract may be replaced by a similar contract that has 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. Contango and backwardation (if the price of the near month futures contract is higher than the next futures month contract) may impact the total return on investment in shares of the Fund relative to spot prices of the commodities in which the Fund holds futures. It is impossible to predict with any degree of certainty whether backwardation or contango will occur in the future. It is likely that both conditions will occur during different periods.

 

  65
 
 

Commodities Risk

 

With respect to the Commodity Pool Funds, exposure to the commodities markets through investments in commodity-linked derivatives instruments may subject the Funds to greater volatility than investments in traditional securities. The risks and hazards that are inherent in commodity production may cause the price of commodities to fluctuate widely. Significant changes in the value of commodities may lead to volatility in the Commodity Pool Funds’ NAV and market price.

 

Commodities Tax Risk

 

Each Commodity Pool Fund intends to qualify as a RIC under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If the Commodity Pool Funds qualify as RICs and satisfy certain minimum distribution requirements, they will not be subject to fund-level U.S. federal income tax on income and gains that it timely distributes to shareholders. To qualify as a RIC, a Fund must satisfy certain source-of-income requirements. The Internal Revenue Service issued a revenue ruling indicating that certain direct investments in commodity-linked instruments would not produce qualifying income for purposes of the RIC source-of-income requirements. Subsequent to this ruling, the IRS issued an additional revenue ruling and several private letter rulings in which it concluded that certain commodity-linked instruments and certain investments in foreign subsidiaries holding commodity-linked instruments would produce qualifying income. As discussed above, each of the Commodity Pool Funds intends to gain exposure to the commodities market primarily through its investment in a Subsidiary. The Commodity Pool Funds anticipate that their inclusion of income from their Subsidiary will be qualifying income for purposes of the RIC source-of-income requirements. This tax treatment may be adversely affected by additional changes in legislation, regulations, or other legally binding authority. If, as a result of any such adverse action, the income of a Fund from its Subsidiary is treated as non-qualifying income, the Fund might fail to qualify as a RIC, in which case, it would be subject to U.S. federal income tax at the Fund level. Such adverse effects could, among other consequences, limit a Fund’s ability to pursue its investment strategy. The Commodity Pool Funds seek to manage their investments in their respective Subsidiaries and in commodities investments as necessary to maintain their qualification as RICs.

 

66 Semi-Annual Report December 31, 2023
 
 

Master Limited Partnership Tax Risk

 

UMI’s ability to meet its investment objective relies in part upon the level of taxable income it receives from the MLPs in which it invests, a factor over which the Fund has no control. The benefit UMI derives from its investment in MLPs is largely dependent on their being treated as partnerships for U.S. federal income tax purposes. Partnerships do not pay U.S. federal income tax at the partnership level. Rather, each partner is allocated a share of the partnership’s income, gains, losses, deductions and expenses. A change in current tax law or a change in the underlying business mix of a given MLP could result in an MLP being treated as a corporation for U.S. federal income tax purposes, which would result in the MLP being required to pay U.S. federal income tax (as well as state and local income taxes) on its taxable income at the applicable corporate tax rate. This would have the effect of reducing the amount of cash available for distribution by an MLP and could result in a significant reduction in the value of UMI’s investment. The classification of an MLP as a corporation for U.S. federal income tax purposes would have the effect of reducing the amount of cash available for distribution by the MLP and causing any such distributions received by UMI to be taxed as dividend income to the extent of the MLP’s current or accumulated earnings and profits. To the extent a distribution received by UMI from an MLP is treated as a return of capital, the Fund’s adjusted tax basis in the interests of the MLP may be reduced, which will result in an increase in the amount of income or gain (or decrease in the amount of loss) that will be recognized by the Fund for tax purposes upon the sale of any such interests or upon subsequent distributions in respect of such interests. Furthermore, any return of capital distribution received from an MLP may require UMI to restate the character of its distributions and amend any shareholder tax reporting previously issued. UMI will rely on information that is timely provided by MLPs to determine the tax character of the distributions to shareholders. To the extent such information is not timely provided, UMI intends to rely on its own data, and the Fund may restate the character of its distributions and amend any shareholder tax reporting previously issued. Without regard to whether the Fund restates the character of its distributions and amends any shareholder tax reporting previously provided, the shareholder may be required to report and pay tax based on the information provided by the MLPs.

 

ESG Investing Risk

 

UMI and UDI’s consideration of ESG factors in selecting investments may limit the investment opportunities available to each Fund or exclude the securities of certain issuers for non-financial reasons. As such, UMI and UDI may invest in companies or industries that are out of favor in the market or underperforming the market, and each Fund may forego certain market opportunities available to funds that do not invest using ESG criteria. Companies that meet UMI and UDI’s ESG criteria may be more focused on long-term rather than short-term returns, and thus may underperform in the short- term and adversely impact the Fund’s short-term performance. In evaluating a company based on ESG criteria, the Sub-Adviser may use information and data from third-party providers of ESG research, which may be incomplete, inaccurate or unavailable. There is no uniform set of ESG standards, and different third-party providers may provide different or inconsistent information and data. There may be limitations with respect to availability of ESG data in certain sectors, as well as limited availability of investments with positive ESG assessments in certain sectors.

 

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Cash Transaction Risk

 

Creation and redemption transactions are expected to generally settle through payments of cash and/or fixed income securities, which will cause the Funds to incur certain costs, such as brokerage costs, that it would not incur if it made in-kind redemptions.

 

NOTE 4 – INVESTMENT ADVISORY AND OTHER AGREEMENTS

Investment Adviser

 

The Adviser serves as the investment adviser to each Fund pursuant to an investment advisory agreement between the Trust and the Adviser. For SDCI, GLDX, ZSB, ZSC, ALUM and USE, the Adviser also serves as investment adviser to their respective Subsidiaries pursuant to a separate investment advisory agreement. The Board approved and renewed the advisory agreements for SDCI, GLDX, ZSB, UMI, UDI and the applicable Subsidiaries at a meeting held on September 20, 2023. The Board approved the initial investment advisory agreements for ALUM and its Subsidiary, for ZSC and its Subsidiary, and for USE and its Subsidiary on September, 20, 2023, February 16, 2023, and December 1, 2022, respectively. SummerHaven serves as the sub-adviser to GLDX, USCF Cayman Commodity 2 and USCF Cayman Commodity 4 pursuant to separate sub-advisory agreements between the Adviser and SummerHaven on behalf of GLDX and each applicable Subsidiary. The sub-advisory agreements with respect to GLDX and each Subsidiary were approved and renewed by the Board at a meeting held on September 20, 2023. Miller/ Howard serves as the sub-adviser to UMI and UDI pursuant to a sub-advisory agreements approved by the Board on September 20, 2023.

 

Management Fees

 

Each Fund pays the Adviser a unitary management fee as compensation for its services and its assumption of Fund expenses. The Adviser is responsible for all expenses of the Funds, and any wholly-owned subsidiaries, except expenses for taxes and governmental fees; brokerage fees; commissions and other transaction expenses; costs of borrowing money, including interest expenses; securities lending expenses; extraordinary expenses (such as litigation and indemnification expenses); and fees and expenses of any independent legal counsel. The Adviser may voluntarily waive any portion of its management fee from time to time, and may discontinue or modify any such voluntary limitations in the future at its discretion. The fees paid to the Adviser are accrued daily and paid monthly. The following table lists the total management fee paid by each Fund.

 

68 Semi-Annual Report December 31, 2023
 
 
Fund   Management
Fee
 
SDCI     0.80 %
GLDX     0.45 %
ZSB     0.79 %
USE     0.79 %
ZSC     0.79 %
ALUM     0.65 %
UMI     0.85 %
UDI     0.65 %

 

At a meeting of the Board on August 7, 2019, the Board approved an agreement between the Adviser and the Trust pursuant to which the Adviser waives 0.20% of the management fees payable by SDCI. The agreement became effective on August 15, 2019 and has subsequently been renewed on an annual basis. The agreement will remain in effect through October 31, 2024, and may be renewed by the Adviser in its sole discretion thereafter. At a meeting of the Board on July 28, 2022, the Board approved an agreement between the Adviser and the Trust pursuant to which the Adviser waives 0.20% of the management fees payable by ZSB. The agreement became effective on January 4, 2023 and has subsequently been renewed on an annual basis. The agreement will remain in effect through October 31, 2024, and may be renewed by the Adviser in its sole discretion thereafter. At a meeting of the Board on July 28, 2022, the Board approved an agreement between the Adviser and the Trust pursuant to which the Adviser waives 0.20% of its management fees payable to ZSC. The agreement became effective on January 4, 2024. The agreement will remain in effect through August 1, 2024.

 

The Adviser for ZSC has contractually agreed to waive a portion of its management fees in an amount equal to the acquired fund’s fees and expenses attributable to the Fund’s investments in affiliated exchange-traded funds. For the period from August 9, 2023 (commencement of operations) through December 31, 2023, the Advisor waived $2,736 of expenses to the Fund.

 

SummerHaven and Miller/Howard each receive a management fee equal to a percentage of the relevant Fund’s average daily net assets for the services it provides to each Fund and/or Subsidiary. The Sub-Advisers’ fees are calculated daily and paid monthly by the Adviser out of its management fees. The following table lists the contractual sub-advisory fees paid to the Sub-Advisers.

 

Fund   Sub-Advisory Fee  
Wholly-owned Subsidiary of SDCI     0.06 %
GLDX     0.15 %
UMI     0.38 %
UDI*     0.20 %

 

* As compensation for its services to the Fund, the Sub-Adviser receives an annual fee based on the average daily net assets of the Fund as outlined in the table below. The sub-advisory fee is paid by the Adviser, not by the Fund.

 

  69
 
 
Assets   Annual Fee as
a percent
of average daily
 
On the first $5 million ($0 — $5,000,000)     0.20 %
On the next $45 million ($5,000,001 — $50,000,000)     0.00 %
On the next $50 million ($50,000,001 — $100,000,000)     0.20 %
For the portion of Total Net Assets over $100 million     0.25 %

 

The Adviser and the Sub-Advisers (subject to the Adviser’s oversight) supervise and manage the investment portfolio of each Fund and direct the purchase and sale of each Fund’s investments.

 

Administrator, Custodian and Transfer Agent

 

The Bank of New York Mellon (“BNY Mellon”) serves as the administrator, custodian and transfer agent for the Funds. Under the Administrative Agency Agreement with the Trust, BNY Mellon performs certain administrative, accounting, transfer agency and dividend disbursing services for the Funds and prepares certain reports filed with the SEC on behalf of the Trust and the Funds. Under the Custodian Agreement with the Trust, BNY Mellon maintains in separate accounts: cash, securities and other assets of the Funds; keeps all necessary accounts and records, and provides other services. BNY Mellon is required, upon the order of the Trust, to deliver securities held by BNY Mellon and to make payments for securities purchased by the Trust for the Funds.

 

Buying and Selling Fund Shares

 

The Funds are ETFs. This means that shares of the Funds may only be purchased and sold on a national securities exchange, such as NYSE Arca, through a broker-dealer. The price of the Funds’ shares is based on market price. Because Fund shares trade at market prices rather than NAV, shares may trade at a price greater than NAV (premium) or less than NAV (discount).

 

Each Fund issues and redeems shares at NAV only in large blocks of shares (“Creation Units”), which only certain institutions or large investors (typically, market makers or other broker-dealers) that have entered into an agreement with ALPS Distributors, Inc. (the “Distributor”) may purchase or redeem. Such institutions and large investors are referred to herein as “Authorized Participants.” Currently, Creation Units for SDCI, GLDX, ZSB, USE, ZSC and ALUM generally consist of 25,000 shares. For UMI and UDI, Creation Units generally consist of 10,000 shares. Creation Units share amounts may change from time to time. Authorized Participants are required to pay a transaction fee of $250 for SDCI, GLDX, ZSB, ZSC, USE and ALUM and $100 for UMI and UDI to compensate the Funds for brokerage and transaction expenses when purchasing Units.

 

70 Semi-Annual Report December 31, 2023
 
 

Each of SDCI, GLDX, ZSB, USE, ZSC and ALUM, generally issues and redeems Creation Units in exchange for a designated amount of cash. Each of UMI and UDI generally issues and redeems Creation Units in exchange for a portfolio of securities closely approximating the holdings of UMI or UDI, as applicable, and/or a designated amount of cash.

 

Distributor

 

The Distributor serves as the distributor of Creation Units for the Funds on an agency basis. The Distributor does not maintain a secondary market in shares.

 

The Distributor is the distributor of the Trust. The Distributor has entered into a Distribution Agreement with the Trust pursuant to which it distributes shares of the Funds in Creation Units. The Distributor is a broker-dealer registered under the Securities Exchange Act of 1934, as amended, and a member of the Financial Industry Regulatory Authority. Fees under the Distribution Agreement are paid by the Adviser. The Adviser may, from time to time and from its own resources, make other distribution-related payments to the Distributor or other persons.

 

Licensing Agreement

 

SHIM, an affiliate of SummerHaven, owns and maintains the SummerHaven Dynamic Commodity Index Total Return (SDCITR) (the “Index”). The Adviser and SHIM have entered into a licensing agreement (the “Licensing Agreement”) for the Trust’s use of the Index, for which the Adviser pays SHIM licensing fees. The licensing fees are separate from the fees paid to for sub-advisory services provided to the Subsidiary.

 

Investors cannot be assured of the continuation of the Licensing Agreement between SHIM and the Adviser for use of the Index. Should the Licensing Agreement between SHIM and the Adviser be terminated, the Adviser and the Board will consider available alternatives, including finding a replacement benchmark or strategy or liquidating SDCI. Termination of the Licensing Agreement may have an adverse effect on the performance and NAV of SDCI’s shares.

 

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NOTE 5 – INVESTMENT TRANSACTIONS – PURCHASES AND SALES

During the period ended December 31, 2023, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments and in-kind transactions) were as follows:

 

Fund   Purchases     Sales     In-Kind
Creations
    In-Kind
Redemptions
 
SDCI   $     $     $     $  
GLDX                        
ZSB     148,999       183,999              
USE     763,796       920,946              
ZSC     1,954,626       110,719              
ALUM                        
UMI     28,185,427       28,612,939       8,520,889        
UDI     846,291       856,417              

 

NOTE 6 – DISTRIBUTIONS AND TAXES

It is the policy of the Funds to qualify as regulated investment companies by complying with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies and by distributing substantially all of their earnings to shareholders. Therefore, no federal income tax provision is required.

 

Income distributions and return of capital distributions are determined in accordance with tax regulations, which may differ from GAAP.

 

NOTE 7 – BENEFICIAL OWNERSHIP

Certain owners of the Adviser are also owners and/or trustees of the Funds. These individuals may receive benefits from any management fees paid to the Adviser.

 

NOTE 8 – CAPITAL LOSS CARRY FORWARD

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010, for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre- enactment taxable years. As a result of this, pre-enactment capital loss carryforwards may be more likely to expire unused.

 

As of December 31, 2023, the Funds have not generated a net capital loss carryforward.

 

72 Semi-Annual Report December 31, 2023
 
 

NOTE 9 – TAX COST OF INVESTMENTS

As of December 31, 2023, the aggregate cost of investments for federal income tax purposes, the net unrealized appreciation or depreciation and the aggregate gross unrealized appreciation (depreciation) on investments were as follows:

 

Fund   Aggregate Tax
Cost
    Net Unrealized
Appreciation
(Depreciation)
    Aggregate
Gross Unrealized
Appreciation
    Aggregate Gross
Unrealized
(Depreciation)
 
SDCI   $ 2,426,941     $     $     $  
GLDX                        
ZSB     1,327,864       (66,239 )            
USE     2,493,489                    
ZSC     2,701,007       (231,367 )     61,452       (292,819 )
ALUM     2,560,612                        
UMI     175,989,780       51,105,372       53,147,735       (2,042,363 )
UDI     5,349,645       511,950       714,227       (202,277 )

 

NOTE 10 – TRUSTEES’ FEES

The Trust compensates each Trustee who is not an “interested person” of the Trust as defined in the 1940 Act. The Adviser, as a result of each Fund’s unitary management fee, pays for such compensation. The Trustees who are “interested persons” of the Trust do not receive any Trustees’ fees.

 

NOTE 11 – CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

On September 20, 2023, the Audit Committee of the Board of Trustees of the Trust appointed, and the Board of Trustees ratified and approved, Cohen & Company, Ltd. as the independent registered public accounting firm of the Trust for the fiscal year ending June 30, 2024. Prior to the Trust’s fiscal year ending June 30, 2024, the Trust’s financial statements were audited by Spicer Jeffries LLP.

 

The reports of Spicer Jeffries LLP on the financial statements of the Funds as of and for the fiscal years ended 2023 and 2022 did not contain an adverse opinion or a disclaimer of opinion, and were not qualified or modified as to uncertainties, audit scope or accounting principles. During the fiscal years ended 2023 and 2022, and during the subsequent interim period through September 20, 2023: (i) there were no disagreements between the registrant and Spicer Jeffries LLP on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of Spicer Jeffries LLP, would have caused it to make reference to the subject matter of the disagreements in its report on the financial statements of the Funds for such years or interim period; and (ii) there were no “reportable events,” as defined in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended.

 

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During the fiscal years ended 2023 and 2022, and during the subsequent interim period through September 20, 2023, neither the registrant, nor anyone acting on its behalf, consulted with Cohen on behalf of the Funds regarding the application of accounting principles to a specified transaction (either completed or proposed), the type of audit opinion that might be rendered on the Funds’ financial statements, or any matter that was either: (i) the subject of a “disagreement,” as defined in Item 304(a)(1)(iv) of Regulation S-K and the instructions thereto; or (ii) “reportable events,” as defined in Item 304(a)(1) (v) of Regulation S-K.

 

NOTE 12 – SUBSEQUENT EVENTS

The Funds have evaluated the need for disclosure and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no adjustments were required to the financial statements.

 

74 Semi-Annual Report December 31, 2023
 
 

APPROVAL OF INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS

Board Evaluation and Approval of Continuation of the Investment Advisory Agreements of the USCF Dividend Income Fund, USCF Gold Strategy Plus Income Fund, USCF Midstream Energy Income Fund, USCF SummerHaven Dynamic Commodity Strategy No K-1 Fund and USCF Sustainable Battery Metals Strategy Fund

 

At its quarterly meeting held on September 20, 2023 (the “September Meeting”), the Board of Trustees (the “Board”) of the USCF ETF Trust (the “Trust”), including a majority of Trustees who are not “interested persons” as that term is defined in the Investment Company Act of 1940, as amended, (the “1940 Act”) (the “Independent Trustees”), unanimously approved the continuation of the investment advisory agreement (the “Advisory Agreement”) between USCF Advisers LLC (the “Adviser”) and the Trust on behalf of the USCF Dividend Income Fund (“UDI”), USCF Gold Strategy Plus Income Fund (“GLDX”), USCF Midstream Energy Income Fund (“UMI”), USCF SummerHaven Dynamic Commodity Strategy No K-1 Fund (“SDCI”) and USCF Sustainable Battery Metals Strategy Fund (“ZSB”) (together, the “Funds”); and continuation of the investment advisory agreements (each, a “Cayman Advisory Agreement” and together with the Advisory Agreement, the “Advisory Agreements”) between the Adviser and USCF Cayman Commodity 4, GLDX’s wholly-owned Cayman subsidiary (“GLDX Subsidiary”), USCF Cayman Commodity 2, SDCI’s wholly-owned Cayman subsidiary (“SDCI Subsidiary”), and USCF Cayman Commodity 5, ZSB’s wholly-owned Cayman subsidiary (“ZSB Subsidiary,” and together with the GLDX Subsidiary and SDCI Subsidiary, the “Subsidiaries”).

 

In approving the Advisory Agreements, the Board considered information provided by the Adviser before and during the September Meeting, the presentations made during the September Meeting, and the comprehensive discussion during the September Meeting. The Board’s consideration of various factors and its conclusions with respect to such factors formed the basis for the Board’s determination to approve the Advisory Agreements. The factors considered by the Board included, but were not limited to the following: (i) the personnel resources of the Adviser; (ii) the experience and expertise of the Adviser; (iii) the financial capabilities and resources of the Adviser; (iv) the compliance procedures and history of the Adviser; (v) the performance of other accounts in comparison to similarly managed funds, and of the Adviser’s other clients; (vi) the amount of the proposed advisory fees in comparison to similarly managed funds, and of the Adviser’s other clients; (vii) the estimated total expenses of each Fund in comparison to similarly managed funds; (viii) the estimated profitability level of the Adviser with respect to the Advisory Agreements; (ix) the extent of any economies of scale and whether the fee structures reflect such economies of scale; (x) the existence of any collateral benefits that may be realized by the Adviser, such as affiliated brokerage arrangements or the use of soft dollars; (xi) any collateral benefits that may be realized by the Funds resulting from relationships with the Adviser; and (xii) the effect of any anticipated fee waiver and expense reimbursement arrangement. In its deliberations, the Board, including the Independent Trustees, did not identify any single factor as all-important or controlling.

 

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In connection with their review of the Advisory Agreements, the Trustees considered the factors described below.

 

Nature, Extent and Quality of Services. The Board examined the nature, extent and quality of the services provided and to be provided by the Adviser to the Funds and the Subsidiaries under their respective Advisory Agreements. The Board considered the presentations and written information given to the Board in connection with the September Meeting, including the information provided by the Adviser in response to the Board’s requests for information. The Board considered the Adviser’s business operations; the Adviser’s investment management process; the Adviser’s experience advising affiliated funds and other accounts; the experience and capability of the Adviser’s senior management and other key personnel; the Adviser’s experience in working with SummerHaven Investment Management LLC (“SummerHaven”) and Miller/Howard Investments, Inc. (“Miller/ Howard”), as sub-advisers; and the quality of the Adviser’s compliance program. The Board considered how the Adviser had retained (i) SummerHaven to provide certain services to GLDX, the SDCI Subsidiary and the GLDX Subsidiary and (ii) Miller/Howard to provide certain services to UMI and UDI. The Board also considered the Adviser’s overall financial strength and support from its ultimate parent. In addition to investment management services, the Board also considered the nature, extent, and quality of administrative, compliance, and legal services that would be, and had been, provided by, or arranged to be provided by, the Adviser. The Board concluded that the nature, extent and quality of the services provided by the Adviser under the Advisory Agreement and Cayman Advisory Agreements would benefit the Funds, the Subsidiaries and the Funds’ shareholders.

 

Investment Performance. The Board reviewed the investment performance of the Funds by considering the Funds’ achievement of their respective stated objectives, the Funds’ performance compared to the performance of other funds with similar investment objectives and policies but with different advisers, and the performance of the Funds compared to their respective benchmark indices and other appropriate market indices and published fund averages. The Board concluded that the Funds were performing as expected.

 

Fees and Expenses. The Board compared the advisory fee of the Funds to the advisory fees of other funds managed by the Adviser and other funds managed by other advisers, but with similar investment strategies as the Funds. The Board noted that each of the Funds had a unitary fee that included the sub-advisory fee, as applicable, and most other expenses. The Board noted that there was no separate fee paid to the Adviser under the Cayman Advisory Agreements with the Subsidiaries. In connection with the review of the unitary fee for SDCI and ZSB, the Board also considered that the Adviser had agreed to a fee waiver for each Fund. After further discussion, the Board concluded that each Fund’s advisory fee, as well as the overall projected expense ratio, were acceptable considering the quality of the services the Funds expect to receive from the Adviser and the level of fees paid by similar funds.

 

76 Semi-Annual Report December 31, 2023
 
 

Economies of Scale. The Board considered whether economies of scale exist with respect of the management of each Fund. It was the consensus of the Board that considering the current size of each Fund, economies of scale was not a relevant consideration at this time.

 

Profitability. The Board considered the anticipated profits realized, and that may be realized, by the Adviser under the Advisory Agreement and Cayman Advisory Agreements, and whether the amount of profit is a fair entrepreneurial profit for the management of the Funds. The Board also considered each Fund’s operating expenses on the Adviser’s profits. The Board remarked that at current asset levels, the advisory fees received by the Adviser for the management of each Fund, the Adviser was still not operating at a profit.

 

Collateral Benefits. The Board considered whether the Adviser or its affiliates may receive other benefits as a result of the Adviser’s proposed relationship with the Funds. The Board considered that the Adviser is not affiliated with any of the Funds’ service providers, and therefore will not benefit from those contractual relationships. The Board also considered portfolio trading practices, noting that the Adviser is not affiliated with any broker-dealer that would execute portfolio transactions on behalf of the Funds and would not receive the benefit of research provided by any such broker-dealer. Thereafter, the Board concluded that the Adviser and its affiliates will not receive collateral benefits that will materially affect the reasonableness of the advisory fees under the Advisory Agreement.

 

Conclusion. Having requested and received such information from the Adviser as the Board believed to be reasonably necessary to evaluate the terms of the applicable Advisory Agreements, and as assisted by the advice of counsel, the Board, including the Independent Trustees, concluded that the advisory fee is reasonable and, in light of the matters that the Trustees have considered to be relevant in the exercise of their reasonable judgment, approved the Advisory Agreement and the Cayman Advisory Agreements.

 

Board Evaluation and Approval of Continuation of the Investment Sub-Advisory Agreements of the USCF Gold Strategy Plus Income Fund, USCF Dividend Income Fund and USCF Midstream Energy Income Fund

 

At the September Meeting, the Board of the Trust, including a majority of the Independent Trustees, unanimously approved the continuation of the investment sub-advisory agreements (the “Sub-Advisory Agreements”) between (i) the Adviser and SummerHaven with respect to GLDX; (ii) the Adviser and Miller/Howard (together with “SummerHaven,” the “Sub-Advisers”) with respect to UDI and UMI; (iii) the Adviser and SummerHaven with respect to the SDCI Subsidiary; and (iv) the Adviser and SummerHaven with respect to the GLDX Subsidiary.

 

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In approving the Sub-Advisory Agreements, the Board considered information provided by the Sub-Advisers before and during the September Meeting, the presentations made during the September Meeting, and the comprehensive discussion during the September Meeting. The Board’s consideration of various factors and its conclusions with respect to such factors formed the basis for the Board’s determination to approve the Sub-Advisory Agreements. The factors considered by the Board included, but were not limited to the following: (i) the personnel resources of the Sub-Advisers; (ii) the experience and expertise of the Sub-Advisers; (iii) the financial capabilities and resources of the Sub-Advisers; (iv)   the compliance procedures and histories of the Sub-Advisers; (v) the performance of other accounts in comparison to similarly managed funds, and of the Sub-Advisers’ other clients; (vi) the amount of the proposed sub-advisory fees in comparison to similarly managed funds, and of the Sub-Advisers’ other clients; (vii) the estimated total expenses of the Funds and the Subsidiaries and in comparison to similarly managed funds; (viii) the estimated profitability level of each of the Sub-Advisers with respect to its Sub-Advisory Agreements; (ix) the extent of any economies of scale and whether the fee structures reflect such economies of scale; (x) the existence of any collateral benefits that may be realized by a Sub-Adviser, such as affiliated brokerage arrangements or the use of soft dollars; (xi) any collateral benefits that may be realized by the Funds and the Subsidiaries resulting from their respective relationships with the Sub-Advisers; and (xii) the effect of any anticipated fee waiver and expense reimbursement arrangement. In its deliberations, the Board, including the Independent Trustees, did not identify any single factor as all- important or controlling.

 

In connection with their review of the Sub-Advisory Agreements, the Trustees considered the factors described below.

 

Nature, Extent and Quality of Services. The Board examined the nature, extent, and quality of the services to be provided by the Sub-Advisers under the Sub-Advisory Agreements. The Board considered the written information provided to the Board prior to and during the September Meeting, including information provided by the Adviser and the Sub- Advisers in response to the Board’s requests for information. The Board considered the Sub-Advisers’ operations and the services currently provided or to be provided to the Funds and the Subsidiaries, including trading, administrative, compliance, and marketing support services. The Board considered the Sub-Advisers’ experience advising other accounts; Miller/Howard’s experience in integrating ESG factors into its investment selection process; the experience and capabilities of SummerHaven in trading commodity futures; the experience and capabilities of the Sub-Advisers’ senior management and other key personnel; the Sub-Advisers’ overall financial strength; and the quality of the Sub-Advisers’ compliance programs. The Board considered that the Sub-Advisers were registered with the Securities and Exchange Commission (“SEC”) as investment advisers and that SummerHaven had substantial experience as a commodity pool operator. The Board also considered the services provided by SummerHaven to an affiliate of the Adviser. The Board concluded that the nature, extent and quality of the services to be provided by the Sub-Advisers under the Sub-Advisory Agreements would benefit the Funds, the Subsidiaries and the Funds’ shareholders.

 

78 Semi-Annual Report December 31, 2023
 
 

Investment Performance. With respect to performance, the Board considered the performance of the Funds, as well as the manner in which SummerHaven managed the commodity positions of the Subsidiaries. The Board considered the performance of the other accounts managed by the Sub-Advisers with similar investment strategies. With respect to the Subsidiaries, the Board concluded that the Subsidiaries were performing as expected within the fund structures of SDCI and GLDX and as compared to SDCI’s and GLDX’s respective benchmark indices.

 

Fees and Expenses. The Board reviewed the fees to be paid to the Sub-Advisers for their services under the Sub-Advisory Agreements. The Board took into account that none of the Funds nor the Subsidiaries would pay any fees to its respective Sub-Adviser directly, and that the fees paid to a Sub-Adviser would be paid from the unitary management fee paid to the Adviser. The Board also noted that the Adviser also paid a SummerHaven affiliate a fee for licensing and services related to the index used as a benchmark by SDCI. The Board concluded that the sub-advisory fees were acceptable in light of the quality of the services that the Funds and the Subsidiaries had received or expect to receive from their applicable Sub-Adviser.

 

Economies of Scale. The Board considered whether the Sub-Advisers would realize economies of scale with respect to the services to be provided to the Funds and the Subsidiaries, as applicable. It was the consensus of the Board that based on the size of the Funds, economies of scale was not a relevant consideration at this time.

 

Profitability. The Board considered the anticipated profits realized, and that may be realized, by the Sub-Advisers under the Sub-Advisory Agreements and the related licensing agreement (with respect to SummerHaven only), and whether the amount of profit is a fair entrepreneurial profit for the services to be provided under the Sub- Advisory Agreements. The Board noted that the Sub-Advisory Agreements and related agreements were negotiated at arms-length by the Adviser. The Board concluded that each Sub-Adviser’s expected level of profitability from its relationship with the Trust was not excessive.

 

Collateral Benefits. The Board considered whether the Sub-Advisers or their affiliates may receive other benefits as a result of its relationship with the Trust. The Board acknowledged that an affiliate of SummerHaven receives fees under a licensing agreement with the Adviser, and that the Adviser relies on that agreement to use names and marks in connection with SDCI. Despite this collateral benefit for SummerHaven and its affiliates arising from the Sub-Adviser’s relationship with the Trust, the Board concluded that the fees to be paid to each Sub-Adviser were reasonable in relation to the nature, extent, and quality of services to be provided.

 

Conclusion. Having requested and received such information from the Adviser and the Sub-Advisers, as the Board believed to be reasonably necessary to evaluate the terms of the Sub-Advisory Agreements, the Board, including the Independent Trustees, concluded that the fees to be paid to each Sub-Adviser were reasonable and, in light of the matters that the Trustees considered to be relevant in the exercise of their reasonable judgment, approved the Sub-Advisory Agreements.

 

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Board Evaluation and Approval of the Investment Advisory Agreements of the USCF Aluminum Strategy Fund

 

At the September Meeting, the Board of Trustees (the “Board”) of USCF ETF Trust (the “Trust”), including the Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) (the “Independent Trustees”), unanimously approved (i) an Investment Advisory Agreement between USCF Advisers LLC (the “Adviser”) and the Trust, on behalf of the USCF Aluminum Strategy Fund (“ALUM”) (the “Advisory Agreement”) and (ii) an Investment Advisory Agreement between the Adviser and USCF Cayman Commodity 8, the wholly-owned Cayman Islands subsidiary of ALUM (the “Subsidiary”) (“the Subsidiary Advisory Agreement” and, together with the Advisory Agreement, the “Advisory Agreements”). Each of the Advisory Agreements was approved for an initial two-year term.

 

In approving the Advisory Agreements, the Board considered information provided by the Adviser before and during the Meeting, the presentations made during the Meeting, and the comprehensive discussion during the Meeting. The Board’s consideration of various factors and its conclusions with respect to such factors formed the basis for the Board’s determination to approve the Advisory Agreements. The factors considered by the Board included, but were not limited to the following: (i) the personnel resources of the Adviser; (ii) the experience and expertise of the Adviser; (iii) the financial capabilities and resources of the Adviser; (iv) the compliance procedures and history the Adviser; (v)   the amount of the proposed advisory fee in comparison to similarly managed funds of the Adviser’s other clients; (vi) the estimated total expenses of ALUM in comparison to similarly managed funds; (vii) the estimated profitability level of the Adviser with respect to the Advisory Agreements; (viii) the extent of any economies of scale and whether the fee structures reflect such economies of scale; (ix) the existence of any collateral benefits that may be realized by the Adviser, such as affiliated brokerage arrangements or the use of soft dollars; (xi) any collateral benefits that may be realized by ALUM resulting from its relationships with the Adviser; and (xii) the effect of any anticipated fee waiver and expense reimbursement arrangement. In its deliberations, the Board, including the Independent Trustees, did not identify any single factor as all-important or controlling.

 

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In connection with their review of the Advisory Agreements, the Trustees considered the factors listed below.

 

Nature, Extent and Quality of Services. The Board examined the nature, extent and quality of the services expected to be provided by the Adviser to ALUM and the Subsidiary under the Advisory Agreements. The Board considered the presentations and written information given to the Board in connection with the Meeting, including the Advisory Agreements and information provided by the Adviser in response to the Board’s requests for information. The Board considered the Adviser’s business operations; the Adviser’s investment management process; the Adviser’s experience advising affiliated funds and other accounts; the experience and capability of the Adviser’s senior management and other key personnel; the Adviser’s overall financial strength; and the quality of the Adviser’s compliance program. In addition to investment management services, the Board also considered the nature, extent, and quality of administrative, compliance, and legal services that would be provided, and had been provided to other series of the Trust, by the Adviser. The Board considered the Adviser’s experience in trading metals futures contracts for other funds and the Adviser’s experience in the commodities markets in general. The Board concluded that the nature, extent and quality of the services expected to be provided by the Adviser under the Advisory Agreements would benefit ALUM and its shareholders.

 

Investment Performance. The Board considered that ALUM did not have an investment performance history. The Board also noted the items it would consider related to performance once ALUM became operational.

 

Fees and Expenses. The Board compared the proposed advisory fee for ALUM to the advisory fee of other funds managed by the Adviser and other funds with investment strategies similar to that of ALUM, acknowledging that ALUM did not have a direct competitor. The Board considered that the proposed management fee is a unitary fee and reviewed the expense ratios of comparable funds. The Board noted the proposed advisory fee rate of 65 basis points, and that the Adviser will bear the costs of various third-party services required by the Fund, including trustee fees, audit, custodial, portfolio accounting, legal, transfer agency and printing costs. After further discussion, the Board concluded that ALUM’s proposed advisory fee, as well as the overall projected expense ratio, were acceptable considering the investment strategy of ALUM, the quality of the services ALUM expects to receive from the Adviser and the level of fees paid by other funds with a metals focus.

 

Economies of Scale. The Board considered whether economies of scale exist with respect to the management of ALUM and determined that ALUM was not expected to benefit from economies of scale until it achieved sufficient asset size.

 

Profitability. The Board considered the anticipated profits that may be realized by the Adviser under the Advisory Agreements, and whether the amount of profit is a fair entrepreneurial profit for the management of ALUM. The Board also considered the impact of ALUM’s operating expenses on the Adviser’s profits.

 

Collateral Benefits. The Board considered whether the Adviser and its affiliates may receive other benefits as a result of the Adviser’s proposed relationship with ALUM. The Board noted that ALUM’s relationship with the Adviser could likely help ALUM enter into service agreements with terms more favorable than would have otherwise been available.

 

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The Board considered that the Adviser is not affiliated with any of ALUM’s other primary service providers, and therefore will not benefit from those contractual relationships.

 

Conclusion. Having requested and received such information from the Adviser as the Board believed to be reasonably necessary to evaluate the terms of the Advisory Agreements, and with the advice of counsel, the Board, including the Independent Trustees, concluded that the advisory fee is reasonable and, in light of the matters that the Trustees have considered to be relevant in the exercise of their reasonable judgment, approved the Advisory Agreements.

 

Board Evaluation and Approval of the Investment Advisory Agreements of the USCF Sustainable Commodity Strategy Fund

 

At its quarterly meeting held on February 16, 2023 (the “February Meeting”), the Board of Trustees (the “Board”) of USCF ETF Trust (the “Trust”), including the Trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) (the “Independent Trustees”), unanimously approved (i) an Investment Advisory Agreement between USCF Advisers LLC (the “Adviser”) and the Trust, on behalf of the USCF Sustainable Commodity Strategy Fund (“ZSC”) (the “Advisory Agreement”) and (ii) an Investment Advisory Agreement between the Adviser and USCF Cayman Commodity 7, the wholly-owned Cayman Islands subsidiary of ZSC (the “Subsidiary”) (“the Subsidiary Advisory Agreement” and, together with the Advisory Agreement, the “Advisory Agreements”). Each of the Advisory Agreements was approved for an initial two-year term.

 

In approving the Advisory Agreements, the Board considered information provided by the Adviser before and during the Meeting, the presentations made during the Meeting, and the comprehensive discussion during the Meeting. The Board’s consideration of various factors and its conclusions with respect to such factors formed the basis for the Board’s determination to approve the Advisory Agreements. The factors considered by the Board included, but were not limited to the following: (i) the personnel resources of the Adviser; (ii) the experience and expertise of the Adviser; (iii) the financial capabilities and resources of the Adviser; (iv) the compliance procedures and history of the Adviser; (v) the composite back-tested performance of the proposed strategy; (vi) the amount of the proposed advisory fee in comparison to similarly managed funds of the Adviser’s other clients; (vii) the estimated total expenses of ZSC in comparison to similarly managed funds; (viii)   the estimated profitability level of the Adviser with respect to the Advisory Agreements; (ix) the extent of any economies of scale and whether the fee structures reflect such economies of scale; (x) the existence of any collateral benefits that may be realized by the Adviser, such as affiliated brokerage arrangements or the use of soft dollars; (xi) any collateral benefits that may be realized by ZSC resulting from its relationships with the Adviser; and (xii) the effect of any anticipated fee waiver and expense reimbursement arrangement. In its deliberations, the Board, including the Independent Trustees, did not identify any single factor as all-important or controlling.

 

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In connection with their review of the Advisory Agreements, the Trustees considered the factors listed below.

 

Nature, Extent and Quality of Services. The Board examined the nature, extent and quality of the services expected to be provided by the Adviser to ZSC and the Subsidiary under the Advisory Agreements. The Board considered the presentations and written information given to the Board in connection with the Meeting, including the Advisory Agreements and information provided by the Adviser in response to the Board’s requests for information. The Board considered the Adviser’s business operations; the Adviser’s investment management process; the Adviser’s experience advising affiliated funds and other accounts; the experience and capability of the Adviser’s senior management and other key personnel; the Adviser’s overall financial strength; and the quality of the Adviser’s compliance program. In addition to investment management services, the Board also considered the nature, extent, and quality of administrative, compliance, and legal services that would be provided, and had been provided to other series of the Trust, by the Adviser. The Board concluded that the nature, extent and quality of the services expected to be provided by the Adviser under the Advisory Agreements would benefit ZSC and its shareholders.

 

Investment Performance. The Board considered that ZSC did not have an investment performance history. The Board reviewed the composite back-tested performance of the proposed strategy presented for ZSC, and considered the inputs and assumptions used by the Adviser in calculating ZSC’s hypothetical performance. The Board acknowledged the limitations of back-tested performance and that back-tested performance was not necessarily indicative of how the strategy would perform in the future. The Board also noted the items it would consider related to performance once ZSC became operational.

 

Fees and Expenses. The Board compared the proposed advisory fee for ZSC to the advisory fee of other funds managed by the Adviser and other funds with investment strategies similar to that of ZSC. The Board considered that the Adviser managed a fund with a similar strategy and charged the same fee to that fund. The Board considered that the proposed management fee is a unitary fee and reviewed the expense ratios of unaffiliated peer funds and found that the proposed fee and expenses for ZSC aligned with the fees and expenses of unaffiliated peer funds. The Board acknowledged the lack of peer funds with similar sustainable commodity strategies, noting that the unaffiliated peer funds presented by the Adviser were broad commodity strategy funds. The Board noted the proposed advisory fee rate of 79 basis points, and that the Adviser will bear the costs of various third-party services required by the Fund, including trustee fees, audit, custodial, portfolio accounting, legal, transfer agency and printing costs. The Board further considered that the Adviser contractually agreed to waive a portion of its Advisory fee for at least the first year of ZSC’s operations. After further discussion, the Board concluded that ZSC’s proposed advisory fee, as well as the overall projected expense ratio, were acceptable considering the complex nature of ZSC and its investment strategy, the quality of the services ZSC expects to receive from the Adviser and the level of fees paid by similar funds.

 

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Economies of Scale. The Board considered whether economies of scale exist with respect to the management of ZSC and determined that ZSC was not expected to benefit from economies of scale until it achieved sufficient asset size.

 

Profitability. The Board considered the anticipated profits that may be realized by the Adviser under the Advisory Agreements, and whether the amount of profit is a fair entrepreneurial profit for the management of ZSC. The Board also considered the impact of ZSC’s operating expenses on the Adviser’s profits.

 

Collateral Benefits. The Board considered whether the Adviser and its affiliates may receive other benefits as a result of the Adviser’s proposed relationship with ZSC. The Board noted that ZSC’s relationship with the Adviser could likely help ZSC enter into service agreements with terms more favorable than would have otherwise been available. The Board considered that the Adviser is not affiliated with any of ZSC’s other primary service providers, and therefore will not benefit from those contractual relationships.

 

Conclusion. Having requested and received such information from the Adviser as the Board believed to be reasonably necessary to evaluate the terms of the Advisory Agreements, and with the advice of counsel, the Board, including the Independent Trustees, concluded that the advisory fee is reasonable and, in light of the matters that the Trustees have considered to be relevant in the exercise of their reasonable judgment, approved the Advisory Agreements.

 

84 Semi-Annual Report December 31, 2023
 
 

Investment Adviser

USCF Advisers, LLC

1850 Mt. Diablo Boulevard, Suite 640
Walnut Creek, California 94596

 

Administrator, Custodian and Transfer Agent

 

The Bank of New York Mellon
240 Greenwich Street

New York, New York 10286

Distributor

ALPS Distributors, Inc.
1290 Broadway, Suite 1100

Denver, Colorado 80203

Independent Registered Public Accounting Firm

Cohen & Company, Ltd.

1835 Market Street, Suite 310

Philadelphia, PA 19103

Trustees

Nicholas D. Gerber
Stuart P. Crumbaugh
Jeremy Henderson
John D. Schwartz

H. Abram Wilson
Thomas Gard

 

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Proxy Voting Information

A description of the policies and procedures that the Adviser uses to determine how to vote proxies relating to portfolio securities of a Fund, if applicable, is available without charge by contacting the Funds at 1.800.920.0259, on the Funds website at www.uscfinvestments.com and on the SEC’s website at www.sec.gov. Information regarding how a Fund voted such proxies, if applicable, for the most recent 12 month period ended June 30, 2023 is also available without charge by calling the Funds or by accessing a Fund’s Form N-PX on the SEC’s website at www.sec.gov.

Portfolio Holdings Information

A Fund files its completed schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its Form N-PORT. A Fund’s Form N-PORT is available on the SEC’s website at www.sec.gov. A Fund’s holdings can also be found at the Fund’s website www.uscfinvestments.com.

Premium/Discount Information

Information about the differences between the daily market price on the secondary markets for shares of a Fund and the Fund’s net asset value may be found on the Funds website at www.uscfinvestments.com.

ALPS Distributors, Inc .

An investment in a Fund must be accompanied or preceded by a current prospectus which contains more information on fees, risks and expenses. Please read the prospectus carefully before investing or sending money.

 

86 Semi-Annual Report December 31, 2023