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WisdomTree Trust

Semi-Annual Report

February 28, 2023

 

Currency Strategy Funds:

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

WisdomTree Chinese Yuan Strategy Fund (CYB)

WisdomTree Emerging Currency Strategy Fund (CEW)

Fixed Income Funds:

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

WisdomTree Emerging Markets Local Debt Fund (ELD)

WisdomTree Floating Rate Treasury Fund (USFR)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

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

WisdomTree Mortgage Plus Bond Fund (MTGP)

WisdomTree Voya Yield Enhanced USD Universal Bond Fund (UNIY)

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

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

Alternative Funds:

WisdomTree Alternative Income Fund (HYIN)

WisdomTree Efficient Gold Plus Equity Strategy Fund (GDE)

WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (GDMN)

WisdomTree Enhanced Commodity Strategy Fund (GCC)

WisdomTree Managed Futures Strategy Fund (WTMF)

WisdomTree PutWrite Strategy Fund (PUTW)

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

WisdomTree Target Range Fund (GTR)


Table of Contents

 

Information about Performance and Shareholder Expense Examples (unaudited)

       1  

Performance Summary (unaudited)

       2  

Description of Terms and Indexes (unaudited)

       21  
Schedules of Investments (unaudited)

 

WisdomTree Bloomberg U.S. Dollar Bullish Fund

       27  

WisdomTree Chinese Yuan Strategy Fund

       30  

WisdomTree Emerging Currency Strategy Fund

       32  

WisdomTree Emerging Markets Corporate Bond Fund

       34  

WisdomTree Emerging Markets Local Debt Fund

       39  

WisdomTree Floating Rate Treasury Fund

       43  

WisdomTree Interest Rate Hedged High Yield Bond Fund

       44  

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund

       53  

WisdomTree Mortgage Plus Bond Fund

       81  

WisdomTree Voya Yield Enhanced USD Universal Bond Fund

       84  

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund

       105  

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

       139  

WisdomTree Alternative Income Fund

       146  

WisdomTree Efficient Gold Plus Equity Strategy Fund (consolidated)

       147  

WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (consolidated)

       154  

WisdomTree Enhanced Commodity Strategy Fund (consolidated)

       156  

WisdomTree Managed Futures Strategy Fund (consolidated)

       158  

WisdomTree PutWrite Strategy Fund

       160  

WisdomTree Target Range Fund

       161  

Statements of Assets and Liabilities (unaudited)

       162  

Statements of Operations (unaudited)

       166  

Statements of Changes in Net Assets (unaudited)

       170  

Financial Highlights (unaudited)

       177  

Notes to Financial Statements (unaudited)

       188  

Approval of Investment Advisory and Sub-Advisory Agreements (unaudited)

       206  

General Information (unaudited)

       210  

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


Information about Performance and Shareholder Expense Examples (unaudited)

Performance

The performance tables on the following pages are provided for comparative purposes and represent the period noted. Each Fund’s per share net asset value (“NAV”) is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the midpoint of the bid and ask price for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other exchange traded funds (“ETFs”), NAV returns and market price returns may differ because of factors such as the supply and demand for Fund shares and investors’ assessments of the underlying value of a Fund’s portfolio securities.

Fund shares are bought and sold at market price (not NAV) and are not individually redeemed from a Fund. Fund NAV returns are calculated using a Fund’s daily 4:00 p.m. eastern time NAV. Market price returns reflect the midpoint of the bid and ask price as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.

Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. For the most recent month-end performance information visit www.wisdomtree.com/investments.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore, index returns do not reflect deductions for fees or expenses and an index is not available for direct investment. In comparison, the Funds’ performance is negatively impacted by these deductions. Fund returns do not reflect brokerage commissions or taxes on transactions in Fund shares or taxes that a shareholder would pay on Fund distributions. Past performance is no guarantee of future results.

Shareholder Expense Examples

Each Fund’s performance table is accompanied by a shareholder expense example. As a shareholder of a WisdomTree Fund, you incur two types of cost: (1) transaction costs, including brokerage commissions on purchases and sales of your Fund shares and (2) ongoing costs, including management fees and other Fund expenses. The examples are intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.

The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from September 1, 2022 to February 28, 2023. Except where noted, expenses are calculated using each Fund’s annualized expense ratio (after the effect of contractual or voluntary fee waivers, if any), multiplied by the average account value for the period, multiplied by 181/365 (to reflect the one-half year period). The annualized expense ratio does not include acquired fund fees and expenses (“AFFEs”), which are fees and expenses incurred indirectly by a Fund through its investments in certain underlying investment companies.

Actual expenses

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

Hypothetical example for comparison purposes

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

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line in the table is useful in comparing ongoing Fund costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

WisdomTree Trust      1  


Performance Summary

as of February 28, 2023 (unaudited)

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

 

Investment Breakdown

 

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    92.8%  

Exchange-Traded Funds

    4.3%  

Other Assets less Liabilities‡

    2.9%  

Total

    100.0%  

 

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

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description    % of Net Assets  

U.S. Treasury Bill,
4.31%, 3/16/23

     23.7

U.S. Treasury Bill,
4.53%, 4/27/23

     23.5

U.S. Treasury Bill,
4.68%, 5/9/23

     23.3

U.S. Treasury Bill,
4.68%, 5/30/23

     22.3

WisdomTree Floating Rate Treasury Fund (USFR)^

     4.3
*

The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

^

For a full list of holdings information for the underlying WisdomTree fund, please see page 43 of this report.

The WisdomTree Bloomberg U.S. Dollar Bullish Fund (the “Fund”) seeks to provide total returns, before fees and expenses, that exceed the performance of the Bloomberg Dollar Total Return Index (the “Index”). The Fund seeks to achieve its investment objective by investing in short-term securities and instruments designed to potentially benefit as the U.S. dollar appreciates in value relative to a basket of global currencies. Although the Fund invests in short-term, investment grade instruments, the Fund is not a “money market” fund and it is not the objective of the Fund to maintain a constant share price.

Shareholder Expense Example (for the six-month period ended February 28, 2023)

 

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

Actual

   $ 1,000.00      $ 988.80        0.50 %1    $ 2.47  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.32        0.50 %1    $ 2.51  
1 

WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs.

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       -1.12      8.68      1.50      3.27      2.75

Fund Market Price Returns

       -0.98      8.68      1.35      3.32      2.76

Bloomberg Dollar Total Return Index

       -1.52      8.51      1.78      3.17      2.89

Bloomberg Dollar Spot Index

       -3.16      6.28      1.23      2.02      2.27
*

Returns of less than one year are cumulative.

 

1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on December 18, 2013.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

2   WisdomTree Trust


Performance Summary

as of February 28, 2023 (unaudited)

WisdomTree Chinese Yuan Strategy Fund (CYB)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    66.4%  

Exchange-Traded Funds

    4.5%  

Repurchase Agreement

    29.3%  

Other Assets less Liabilities‡

    -0.2%  

Total

    100.0%  

 

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

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description    % of Net Assets  

U.S. Treasury Bill,
4.68%, 5/9/23

     35.1

U.S. Treasury Bill,
4.41%, 3/28/23

     31.3

Citigroup, Inc., tri-party repurchase agreement,
4.55%, 3/1/23††

     29.3

WisdomTree Floating Rate Treasury Fund (USFR)^

     4.5
*

The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

††

Fully collateralized by U.S. Government agency securities.

 

^

For a full list of holdings information for the underlying WisdomTree fund, please see page 43 of this report.

The WisdomTree Chinese Yuan Strategy Fund (the “Fund”) seeks to achieve total returns reflective of both money market rates in China available to foreign investors and changes in value of the Chinese yuan relative to the U.S. dollar. The Fund seeks to achieve its investment objective by investing in short-term securities and instruments designed to provide exposure to Chinese currency and money market rates. The Chinese yuan is a developing market currency, which can experience periods of significant volatility. Although the Fund invests in short-term, investment grade instruments, the Fund is not a “money market” fund and it is not the objective of the Fund to maintain a constant share price.

Shareholder Expense Example (for the six-month period ended February 28, 2023)

 

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

Actual

   $ 1,000.00      $ 1,004.80        0.45 %1    $ 2.24  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.56        0.45 %1    $ 2.26  
1 

WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs.

Performance

 

   
     Average Annual Total Return  
     6-Month*     1 Year     3 Year     5 Year     10 Year  

Fund NAV Returns

    0.48     -6.79     2.45     0.60     1.28

Fund Market Price Returns

    0.72     -6.83     2.57     0.58     1.29

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

    1.44     -5.69     3.40     1.58     2.28

Chinese yuan

    -0.97     -8.98     0.32     -1.81     -1.08
*

Returns of less than one year are cumulative.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      3  


Performance Summary

as of February 28, 2023 (unaudited)

WisdomTree Emerging Currency Strategy Fund (CEW)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    63.5%  

Exchange-Traded Funds

    4.0%  

Repurchase Agreement

    32.0%  

Other Assets less Liabilities‡

    0.5%  

Total

    100.0%  

 

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

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
4.68%, 5/9/23

    34.7%  

Citigroup, Inc., tri-party repurchase agreement,
4.55%, 3/1/23††

    32.0%  

U.S. Treasury Bill,
4.41%, 3/28/23

    28.8%  

WisdomTree Floating Rate
Treasury Fund (USFR)^

    4.0%  
*

The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

††

Fully collateralized by U.S. Government agency securities.

 

^

For a full list of holdings information for the underlying WisdomTree fund, please see page 43 of this report.

The WisdomTree Emerging Currency Strategy Fund (the “Fund”) seeks to achieve total returns reflective of both money market rates in selected emerging market countries available to foreign investors and changes to the value of these currencies relative to the U.S. dollar. The Fund seeks to achieve its investment objective by investing in short-term securities and instruments designed to provide exposure to the currencies and money market rates of selected emerging market countries. Emerging market currencies can experience periods of significant volatility. Although the Fund invests in short-term, investment grade instruments, the Fund is not a “money market” fund and it is not the objective of the Fund to maintain a constant share price.

Shareholder Expense Example (for the six-month period ended February 28, 2023)

 

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

Actual

   $ 1,000.00      $ 1,042.20        0.55 %1    $ 2.78  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.07        0.55 %1    $ 2.76  
1 

WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs.

Performance

 

   
     Average Annual Total Return  
     6-Month*     1 Year     3 Year     5 Year     10 Year  

Fund NAV Returns

    4.22     0.44     -0.82     -1.98     -1.63

Fund Market Price Returns

    4.42     0.86     -0.90     -1.97     -1.62

JP Morgan Emerging Local Markets Index Plus (ELMI+)

    5.11     -4.49     -1.40     -1.56     -0.91

Equal-Weighted Emerging Currency Composite

    4.62     -5.36     -2.14     -2.32     -1.42
*

Returns of less than one year are cumulative.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

4   WisdomTree Trust


Performance Summary

as of February 28, 2023 (unaudited)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

 

Country Breakdown

 

Country   % of Net Assets  

South Korea

    8.0%  

United Arab Emirates

    6.6%  

India

    6.0%  

Mexico

    5.8%  

Israel

    5.1%  

Colombia

    5.1%  

United Kingdom

    4.7%  

Chile

    4.6%  

China

    4.4%  

Saudi Arabia

    3.5%  

Brazil

    3.4%  

Thailand

    2.8%  

Indonesia

    2.5%  

South Africa

    2.4%  

Kuwait

    2.2%  

Turkey

    2.2%  

Qatar

    2.1%  

Malaysia

    2.1%  

Guatemala

    1.9%  

Peru

    1.8%  

Hong Kong

    1.7%  

Mongolia

    1.7%  

Luxembourg

    1.6%  

Panama

    1.3%  

Oman

    1.1%  

Argentina

    1.1%  

Ireland

    1.0%  

Others^

    6.7%  

Other Assets less Liabilities‡

    6.6%  

Total

    100.0%  

 

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

 

^

Includes countries that represent less than 1% of net assets.

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

HSBC Holdings PLC,
8.00%, 3/7/28

    1.4%  

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

    1.3%  

AES Panama Generation Holdings SRL,
4.38%, 5/31/30

    1.3%  

Sands China Ltd.,
5.90%, 8/8/28

    1.3%  

Ecopetrol SA,
8.88%, 1/13/33

    1.2%  

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

    1.1%  

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

    1.1%  

Mizrahi Tefahot Bank Ltd.,
3.08%, 4/7/31

    1.1%  

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

    1.1%  

Banco do Brasil SA,
9.00%, 6/18/24

    1.1%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any).

The WisdomTree Emerging Markets Corporate Bond Fund (the “Fund”) seeks a high level of total return consisting of both income and capital appreciation. The Fund attempts to achieve its objective through investments in U.S. dollar denominated debt securities issued by corporate entities that are domiciled in, or economically tied to, emerging market countries.

Shareholder Expense Example (for the six-month period ended February 28, 2023)

 

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

Actual

   $ 1,000.00      $ 1,021.80        0.60   $ 3.01  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,021.82        0.60   $ 3.01  

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      3 Year      5 Year      10 Year  

Fund NAV Returns

       2.18      -3.35      -2.06      1.03      1.81

Fund Market Price Returns

       2.34      -5.16      -1.80      1.01      1.76

JP Morgan CEMBI Diversified Index

       1.78      -5.68      -2.15      1.38      2.70
*

Returns of less than one year are cumulative.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      5  


Performance Summary

as of February 28, 2023 (unaudited)

WisdomTree Emerging Markets Local Debt Fund (ELD)

 

Country Breakdown

 

Country   % of Net Assets  

Indonesia

    11.1%  

South Africa

    8.5%  

Brazil

    8.4%  

Supranational Bonds

    8.3%  

Malaysia

    7.4%  

Colombia

    7.1%  

United States

    7.1%  

Mexico

    4.8%  

Chile

    4.7%  

China

    4.3%  

Poland

    4.2%  

Thailand

    3.9%  

Peru

    3.9%  

India

    3.7%  

Hungary

    2.2%  

Czech Republic

    2.2%  

Romania

    2.1%  

Turkey

    1.4%  

Philippines

    1.1%  

Egypt

    0.0%

Other Assets less Liabilities‡

    3.6%  

Total

    100.0%  

 

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

 

^

Represents less than 0.05%.

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Citigroup, Inc., tri-party repurchase agreement,
4.55%, 3/1/23††

    7.1%  

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

    2.0%  

European Investment Bank,
7.50%, 7/30/23

    1.8%  

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

    1.5%  

Colombian TES,
10.00%, 7/24/24, Series B

    1.3%  

Republic of South Africa Government Bond,
8.50%, 1/31/37, Series 2037

    1.3%  

Brazil Letras do Tesouro Nacional,
9.41%, 7/1/24, Series LTN

    1.3%  

Brazil Letras do Tesouro Nacional,
12.83%, 1/1/26, Series LTN

    1.2%  

Republic of South Africa Government Bond,
8.00%, 1/31/30, Series 2030

    1.1%  

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

    1.1%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

††

Fully collateralized by U.S. Government agency securities.

The WisdomTree Emerging Markets Local Debt Fund (the “Fund”) seeks a high level of total return consisting of both income and capital appreciation. The Fund attempts to achieve its objective through investments in fixed income instruments denominated in the local currencies of emerging market countries.

Shareholder Expense Example (for the six-month period ended February 28, 2023)

 

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

Actual

   $ 1,000.00      $ 1,035.80        0.55   $ 2.78  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.07        0.55   $ 2.76  

Performance

 

   
      Average Annual Total Return  
      6-Month*      1 Year      3 Year      5 Year      10 Year  

Fund NAV Returns

     3.58      -5.30      -3.95      -2.99      -2.28

Fund Market Price Returns

     2.62      -2.76      -4.00      -2.97      -2.29

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

     4.20      -6.11      -4.29      -2.96      -1.97
*

Returns of less than one year are cumulative.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

6   WisdomTree Trust


Performance Summary

as of February 28, 2023 (unaudited)

WisdomTree Floating Rate Treasury Fund (USFR)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    99.6%  

Other Assets less Liabilities‡

    0.4%  

Total

    100.0%  

 

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

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Floating Rate Note,
4.95%, 10/31/24

    27.1%  

U.S. Treasury Floating Rate Note,
4.85%, 7/31/24

    27.1%  

U.S. Treasury Floating Rate Note,
4.73%, 4/30/24

    27.1%  

U.S. Treasury Floating Rate Note,
5.01%, 1/31/25

    18.3%  
*

The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

The WisdomTree Floating Rate Treasury Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg U.S. Treasury Floating Rate Bond Index (the “Index”). In seeking to track the Index, the Fund invests in floating rate public obligations of the U.S. Treasury. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

Shareholder Expense Example (for the six-month period ended February 28, 2023)

 

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

Actual

   $ 1,000.00      $ 1,020.20        0.15   $ 0.75  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.05        0.15   $ 0.75  

Performance

 

   
      Average Annual Total Return  
      6-Month*      1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

     2.02      2.59      0.95      1.37      0.95

Fund Market Price Returns

     2.00      2.57      0.95      1.38      0.94

Bloomberg U.S. Treasury Floating Rate Bond Index

     2.15      2.78      1.14      1.55      1.12
*

Returns of less than one year are cumulative.

 

1 

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

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      7  


Performance Summary

as of February 28, 2023 (unaudited)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

Corporate Bonds

    95.2%  

Other Assets less Liabilities‡

    4.8%  

Total

    100.0%  

 

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

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

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

    0.9%  

Tenet Healthcare Corp.,
4.88%, 1/1/26

    0.9%  

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

    0.9%  

Frontier Communications Holdings LLC,
5.00%, 5/1/28

    0.8%  

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

    0.8%  

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

    0.7%  

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

    0.7%  

CommScope, Inc.,
8.25%, 3/1/27

    0.7%  

Gray Television, Inc.,
7.00%, 5/15/27

    0.7%  

Deutsche Bank AG,
3.74%, 1/7/33

    0.7%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any).

The WisdomTree Interest Rate Hedged High Yield Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the WisdomTree U.S. High Yield Corporate Bond, Zero Duration Index (the “Index”). In seeking to track the Index, the Fund invests mainly in U.S. non-investment-grade corporate fixed income securities that are deemed to have favorable fundamental and income characteristics and obtains short exposure to U.S. Treasuries such that the Fund’s total portfolio duration approximates zero years. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

Shareholder Expense Example (for the six-month period ended February 28, 2023)

 

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

Actual

   $ 1,000.00      $ 1,052.10        0.43   $ 2.19  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.66        0.43   $ 2.16  

Performance

 

   
      Average Annual Total Return  
      6-Month*     1 Year     3 Year     5 Year     Since Inception1  

Fund NAV Returns

     5.21     2.64     2.55     2.35     2.96

Fund Market Price Returns

     5.63     2.48     2.55     2.33     2.93

ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index/WisdomTree U.S. High Yield Corporate Bond, Zero Duration Spliced Index2

     5.50     3.39     3.94     3.26     3.71

ICE BofA Merrill Lynch U.S. High Yield Index

     2.36     -5.52     1.14     2.70     3.81
*

Returns of less than one year are cumulative.

 

1 

Total returns are calculated based on the commencement of Fund trading on the NASDAQ on December 18, 2013.

 

2 

ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index through May 31, 2020; WisdomTree U.S. High Yield Corporate Bond, Zero Duration Index thereafter.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

8   WisdomTree Trust


Performance Summary

as of February 28, 2023 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    40.6%  

U.S. Government Agencies

    28.0%  

Corporate Bonds

    24.8%  

Commercial Mortgage-Backed Securities

    2.0%  

Supranational Bonds

    1.4%  

Municipal Bonds

    0.9%  

Foreign Government Obligations

    0.8%  

Foreign Government Agencies

    0.7%  

Asset-Backed Securities

    0.5%  

U.S. Government Agencies Sold Short

    -0.3%  

Repurchase Agreement

    1.2%  

Other Assets less Liabilities‡

    -0.6%  

Total

    100.0%  

 

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

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Citigroup, Inc., tri-party repurchase agreement,
4.55%, 3/1/23††

    1.2%  

U.S. Treasury Note,
0.88%, 11/15/30

    0.6%  

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

    0.6%  

U.S. Treasury Bond,
1.75%, 8/15/41

    0.6%  

U.S. Treasury Note,
2.75%, 8/15/32

    0.5%  

U.S. Treasury Note,
0.63%, 10/15/24

    0.4%  

U.S. Treasury Note,
2.88%, 5/15/32

    0.4%  

U.S. Treasury Note,
0.75%, 11/15/24

    0.4%  

U.S. Treasury Bond,
2.25%, 5/15/41

    0.4%  

Uniform Mortgage-Backed Security,
4.50%, 3/13/53

    0.4%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

††

Fully collateralized by U.S. Government agency securities.

The WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg Rate Hedged U.S. Aggregate Bond Index, Zero Duration (the “Index”). In seeking to track the Index, the Fund invests mainly in U.S. investment grade fixed income securities and obtains short exposure to U.S. Treasuries such that the Fund’s total portfolio duration approximates zero years. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

Shareholder Expense Example (for the six-month period ended February 28, 2023)

 

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

Actual

   $ 1,000.00      $ 1,034.00        0.23   $ 1.16  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,023.65        0.23   $ 1.15  

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       3.40      3.43      1.40      1.76      1.40

Fund Market Price Returns

       3.14      3.33      1.30      1.71      1.40

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

       3.19      3.40      1.52      1.70      1.61
*

Returns of less than one year are cumulative.

 

1 

Total returns are calculated based on the commencement of Fund trading on the NASDAQ on December 18, 2013.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      9  


Performance Summary

as of February 28, 2023 (unaudited)

WisdomTree Mortgage Plus Bond Fund (MTGP)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

Collateralized Mortgage Obligations

    57.8%  

U.S. Government Agencies

    32.8%  

Commercial Mortgage-Backed Securities

    4.2%  

Collateralized Loan Obligations

    3.3%  

Other Assets less Liabilities‡

    1.9%  

Total

    100.0%  

 

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

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

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

    3.5%  

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

    2.9%  

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

    2.7%  

Federal National Mortgage Association REMIC,
1.75%, 11/25/40,
Series 2012-51, Class GU

    2.1%  

Federal National Mortgage Association REMIC,
3.00%, 4/25/45,
Series 2015-23, Class HZ

    2.1%  

Federal National Mortgage Association,
2.50%, 11/1/50

    1.9%  

Federal Home Loan Mortgage Corp. REMIC,
4.00%, 1/15/41,
Series 4179, Class AZ

    1.9%  

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

    1.9%  

Federal Home Loan Mortgage Corp. REMIC,
5.00%, 4/15/40,
Series 3658, Class CZ

    1.8%  

Federal Home Loan Mortgage Corp.,
2.00%, 9/1/51

    1.8%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any).

The WisdomTree Mortgage Plus Bond Fund (the “Fund”) seeks income and capital appreciation. The Fund attempts to achieve its objective through investments in mortgage-related debt and other securitized debt.

Shareholder Expense Example (for the six-month period ended February 28, 2023)

 

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

Actual

   $ 1,000.00      $ 970.60        0.45   $ 2.20  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.56        0.45   $ 2.26  

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      3 Year      Since Inception1  

Fund NAV Returns

       -2.94      -9.49      -3.29      -2.22

Fund Market Price Returns

       -3.10      -9.47      -3.31      -2.26

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

       -2.37      -8.94      -3.50      -2.53
*

Returns of less than one year are cumulative.

 

1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on November 14, 2019.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

10   WisdomTree Trust


Performance Summary

as of February 28, 2023 (unaudited)

WisdomTree Voya Yield Enhanced USD Universal Bond Fund (UNIY)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    33.8%  

Corporate Bonds

    33.8%  

U.S. Government Agencies

    21.9%  

Foreign Government Obligations

    3.5%  

Commercial Mortgage-Backed Securities

    3.1%  

Foreign Government Agencies

    1.1%  

Municipal Bonds

    0.9%  

Asset-Backed Securities

    0.5%  

Supranational Bonds

    0.2%  

Other Assets less Liabilities‡

    1.2%  

Total

    100.0%  

 

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

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

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

    5.9%  

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

    4.9%  

U.S. Treasury Note,
4.00%, 2/29/28

    3.4%  

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

    2.8%  

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

    2.7%  

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

    1.9%  

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

    1.8%  

U.S. Treasury Bond,
4.00%, 11/15/52

    1.4%  

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

    1.4%  

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

    1.3%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any).

The WisdomTree Voya Yield Enhanced USD Universal Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg U.S. Universal Enhanced Yield Index (the “Index”).

The Fund had less than six months of operating history at the end of the reporting period and therefore no comparative performance information is shown in this shareholder report. Comparative performance information for the most recent month-end is available at www.wisdomtree.com/investments.

Shareholder Expense Example (for the period1 ended February 28, 2023)

 

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

Actual1

   $ 1,000.00      $ 980.10        0.15   $ 0.09  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.05        0.15   $ 0.75  
1 

Fund commenced operations on February 7, 2023. Actual expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 22/365 (to reflect the period since commencement of operations).

 

WisdomTree Trust      11  


Performance Summary

as of February 28, 2023 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

Corporate Bonds

    39.5%  

U.S. Government Agencies

    26.6%  

U.S. Government Obligations

    21.3%  

Commercial Mortgage-Backed Securities

    6.5%  

Asset-Backed Securities

    3.9%  

Foreign Government Obligations

    2.0%  

Foreign Government Agencies

    0.2%  

Municipal Bonds

    0.2%  

Supranational Bonds

    0.0%

U.S. Government Agencies Sold Short

    -0.9%  

Repurchase Agreement

    1.5%  

Other Assets less Liabilities‡

    -0.8%  

Total

    100.0%  

 

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

 

^

Represents less than 0.1%.

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Citigroup, Inc., tri-party repurchase agreement,
4.55%, 3/1/23††

    1.5%  

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

    0.9%  

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

    0.8%  

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

    0.6%  

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

    0.4%  

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

    0.4%  

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

    0.4%  

Tennessee Valley Authority,
4.70%, 7/15/33, Series B

    0.3%  

Government National Mortgage Association,
2.00%, 1/20/51

    0.3%  

Tennessee Valley Authority,
3.50%, 12/15/42

    0.3%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

††

Fully collateralized by U.S. Government agency securities.

The WisdomTree Yield Enhanced U.S. Aggregate Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg U.S. Aggregate Enhanced Yield Index (the “Index”). In seeking to track the Index, the Fund invests mainly in U.S. investment grade fixed income securities. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

Shareholder Expense Example (for the six-month period ended February 28, 2023)

 

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

Actual

   $ 1,000.00      $ 979.20        0.12   $ 0.59  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.20        0.12   $ 0.60  

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       -2.08      -10.97      -4.93      0.07      0.89

Fund Market Price Returns

       -2.01      -10.83      -4.92      0.07      0.89

Bloomberg U.S. Aggregate Enhanced Yield Index

       -2.03      -10.86      -4.84      0.23      1.07

Bloomberg U.S. Aggregate Bond Index

       -2.13      -9.72      -3.77      0.53      0.93
*

Returns of less than one year are cumulative.

 

1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on July 9, 2015.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

12   WisdomTree Trust


Performance Summary

as of February 28, 2023 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

Corporate Bonds

    42.5%  

U.S. Government Obligations

    41.0%  

U.S. Government Agencies

    16.0%  

Commercial Mortgage-Backed Securities

    5.7%  

Foreign Government Agencies

    0.5%  

Foreign Government Obligations

    0.5%  

Asset-Backed Securities

    0.1%  

Other Assets less Liabilities‡

    -6.3%  

Total

    100.0%  

 

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

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

U.S. Treasury Note,
0.50%, 3/31/25

    15.5%  

U.S. Treasury Bill,
4.59%, 3/28/23

    8.0%  

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

    6.4%  

Uniform Mortgage-Backed Security,
3.00%, 3/16/38

    5.3%  

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

    4.1%  

Federal National Mortgage Association,
2.63%, 9/6/24

    3.0%  

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

    2.6%  

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

    1.9%  

Federal Home Loan Mortgage Corp.,
0.38%, 9/23/25

    1.9%  

Federal Home Loan Mortgage Corp.,
0.38%, 4/20/23

    1.9%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any).

The WisdomTree Yield Enhanced U.S. Short-Term Aggregate Bond Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg U.S. Short Aggregate Enhanced Yield Index (the “Index”). In seeking to track the Index, the Fund invests mainly in short-term U.S. investment grade fixed income securities having effective maturities generally shorter than five years. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

Shareholder Expense Example (for the six-month period ended February 28, 2023)

 

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

Actual

   $ 1,000.00      $ 991.70        0.12   $ 0.59  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.20        0.12   $ 0.60  

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       -0.83      -4.66      -1.62      0.94      0.72

Fund Market Price Returns

       -0.81      -4.68      -1.66      0.89      0.71

Bloomberg U.S. Short Aggregate Enhanced Yield Index

       -0.56      -4.70      -2.00      0.83      0.66

Bloomberg U.S. Short Aggregate Composite Index

       -0.70      -4.21      -1.40      0.96      0.72
*

Returns of less than one year are cumulative.

 

1 

Total returns are calculated based on the commencement of Fund trading on the Cboe BZX Exchange, Inc. on May 18, 2017.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      13  


Performance Summary

as of February 28, 2023 (unaudited)

WisdomTree Alternative Income Fund (HYIN)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

Common Stocks

    71.4%  

Closed-End Mutual Funds

    28.2%  

Other Assets less Liabilities‡

    0.4%  

Total

    100.0%  

 

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

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Angel Oak Mortgage, Inc.

    4.3%  

Hercules Capital, Inc.

    3.2%  

Main Street Capital Corp.

    3.1%  

Owl Rock Capital Corp.

    3.1%  

Blackstone Secured Lending Fund

    3.1%  

FS KKR Capital Corp.

    3.0%  

Oxford Lane Capital Corp.

    3.0%  

Arbor Realty Trust, Inc.

    3.0%  

Ladder Capital Corp.

    2.9%  

Redwood Trust, Inc.

    2.9%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any).

The WisdomTree Alternative Income Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Gapstow Liquid Alternative Credit Index (the “Index”), which is designed to provide diversified exposure to alternative credit sectors. Alternative credit is an asset class that includes debt and debt-based investments that have a higher expected risk, return, and yield than traditional investment grade fixed income instruments. In seeking to track the Index, the Fund invests mainly in registered closed-end investment companies (“CEFs”), including CEFs that have elected to be regulated as “business development companies” under the Investment Company Act of 1940, as amended, and real estate investment trusts that are listed and publicly traded on a major U.S. stock exchange. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

Shareholder Expense Example (for the six-month period ended February 28, 2023)

 

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

Actual

   $ 1,000.00      $ 996.90        0.50   $ 2.48  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.32        0.50   $ 2.51  

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      Since Inception1  

Fund NAV Returns

       -0.31      -8.46      -6.15

Fund Market Price Returns

       -0.13      -8.04      -6.04

Gapstow Liquid Alternative Credit Index

       -0.01      -7.95      -5.62

ICE BofA Merrill Lynch U.S. High Yield Index

       2.36      -5.52      -3.39

S&P 500® Index

       1.26      -7.69      -1.09
*

Returns of less than one year are cumulative.

 

1 

Total returns are calculated based on the commencement of Fund trading on the Cboe BZX Exchange, Inc. on May 6, 2021.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

14   WisdomTree Trust


Performance Summary

as of February 28, 2023 (unaudited)

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

 

Country Breakdown

 

Country   % of Net Assets  

United States

    89.0%  

Others^

    0.9%  

Other Assets less Liabilities‡

    10.1%  

Total

    100.0%  

 

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

 

^

Includes countries that represent less than 1% of net assets.

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Apple, Inc.

    6.0%  

Microsoft Corp.

    5.0%  

Amazon.com, Inc.

    2.3%  

Tesla, Inc.

    1.5%  

NVIDIA Corp.

    1.5%  

Berkshire Hathaway, Inc., Class B

    1.4%  

Alphabet, Inc., Class C

    1.4%  

Alphabet, Inc., Class A

    1.4%  

Exxon Mobil Corp.

    1.3%  

UnitedHealth Group, Inc.

    1.2%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes derivatives and investment of cash collateral for securities on loan (if any).

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

Shareholder Expense Example (for the six-month period ended February 28, 2023)

 

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

Actual

   $ 1,000.00      $ 1,044.20        0.20   $ 1.01  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,023.80        0.20   $ 1.00  

Performance

 

   
        Cumulative Total Return  
        6-Month      Since Inception1  

Fund NAV Returns

       4.42      -13.82

Fund Market Price Returns

       4.45      -13.63

S&P 500® Index

       1.26      -7.43
1 

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

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      15  


Performance Summary

as of February 28, 2023 (unaudited)

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

 

Country Breakdown

 

Country   % of Net Assets  

Canada

    40.9%  

United States

    14.2%  

Australia

    14.2%  

South Africa

    7.9%  

Brazil

    4.0%  

United Kingdom

    3.8%  

China

    2.6%  

Peru

    1.0%  

Others^

    1.2%  

Other Assets less Liabilities‡

    10.2%  

Total

    100.0%  

 

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

 

^

Includes countries that represent less than 1% of net assets.

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Ten Holdings*

 

Description   % of Net Assets  

Newmont Corp.

    10.3%  

Barrick Gold Corp.

    9.3%  

Franco-Nevada Corp.

    7.5%  

Agnico Eagle Mines Ltd.

    5.1%  

Northern Star Resources Ltd.

    4.4%  

Wheaton Precious Metals Corp.

    4.0%  

AngloGold Ashanti Ltd., ADR

    3.7%  

Newcrest Mining Ltd.

    3.6%  

Royal Gold, Inc.

    3.4%  

Gold Fields Ltd., ADR

    3.3%  
*

The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

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

Shareholder Expense Example (for the six-month period ended February 28, 2023)

 

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

Actual

   $ 1,000.00      $ 1,174.80        0.45   $ 2.43  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.56        0.45   $ 2.26  

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      Since Inception1  

Fund NAV Returns

       17.48      -24.63      -7.81

Fund Market Price Returns

       18.29      -24.90      -7.57

NYSE ARCA Gold Miners Index

       16.82      -18.53      -3.01
*

Returns of less than one year are cumulative.

 

1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on December 16, 2021.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

16   WisdomTree Trust


Performance Summary

as of February 28, 2023 (unaudited)

WisdomTree Enhanced Commodity Strategy Fund (GCC) (consolidated)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    80.4%  

Exchange-Traded Funds

    4.6%  

Other Assets less Liabilities‡

    15.0%  

Total

    100.0%  

 

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

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
4.63%, 5/18/23

    70.3%  

U.S. Treasury Bill,
4.39%, 3/16/23

    10.1%  

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.6%  
*

The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

^

For a full list of holdings information for the underlying WisdomTree fund, please see page 43 of this report.

The WisdomTree Enhanced Commodity Strategy Fund (the “Fund”) seeks to achieve positive total returns in rising and falling markets that are not directly correlated to broad market equity or fixed income returns. The Fund is actively managed and intends to provide broad-based exposure to the following four commodity sectors: Energy, Agriculture, Industrial Metals, and Precious Metals primarily through investments in futures contracts.

Shareholder Expense Example (for the six-month period ended February 28, 2023)

 

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

Actual

   $ 1,000.00      $ 956.00        0.55 %1    $ 2.67  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.07        0.55 %1    $ 2.76  
1 

WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs.

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      Since Inception1  

Fund NAV Returns

       -4.40      -7.10      11.64

Fund Market Price Returns

       -4.23      -7.62      11.46

S&P GSCI Index

       -8.36      -0.30      27.49

Bloomberg Commodity Index Total Return

       -10.92      -4.72      17.03
*

Returns of less than one year are cumulative.

 

1 

For the period December 19, 2020 (post-reorganization) through February 28, 2023.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      17  


Performance Summary

as of February 28, 2023 (unaudited)

WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    90.8%  

Exchange-Traded Funds

    4.4%  

Other Assets less Liabilities‡

    4.8%  

Total

    100.0%  

 

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

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
4.63%, 5/18/23

    80.5%  

U.S. Treasury Bill,
4.41%, 3/16/23

    10.3%  

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.4%  
*

The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

^

For a full list of holdings information for the underlying WisdomTree fund, please see page 43 of this report.

The WisdomTree Managed Futures Strategy Fund (the “Fund”) seeks to provide investors with positive total returns in rising or falling markets that are not directly correlated to broad market equity or fixed income returns. The Fund is managed using a quantitative, rules-based strategy and invests in a combination of diversified futures contracts for equities, commodities, currencies and interest rates.

Shareholder Expense Example (for the six-month period ended February 28, 2023)

 

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

Actual

   $ 1,000.00      $ 981.70        0.65 %1    $ 3.19  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,021.57        0.65 %1    $ 3.26  
1 

WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs.

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      3 Year      5 Year      10 Year  

Fund NAV Returns

       -1.83      -3.47      3.21      0.87      0.11

Fund Market Price Returns

       -1.85      -2.97      3.12      0.84      0.07

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

       1.74      2.10      0.84      1.35      0.83

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

       -0.11      -8.34      6.25      6.65      8.05

S&P GSCI Index

       -8.36      -0.30      16.63      5.62      -3.66
*

Returns of less than one year are cumulative.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

18   WisdomTree Trust


Performance Summary

as of February 28, 2023 (unaudited)

WisdomTree PutWrite Strategy Fund (PUTW)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    95.8%  

Exchange-Traded Funds

    4.4%  

Other Assets less Liabilities‡

    -0.2%  

Total

    100.0%  

 

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

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
4.76%, 5/18/23

    57.2%  

U.S. Treasury Bill,
4.92%, 8/10/23

    38.6%  

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.4%  
*

The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes derivatives and investment of cash collateral for securities on loan (if any).

 

^

For a full list of holdings information for the underlying WisdomTree fund, please see page 43 of this report.

The WisdomTree PutWrite Strategy Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Volos U.S. Large Cap Target 2.5% PutWrite Index (the “Index”). Prior to October 25, 2022, the Fund sought to track the price and yield performance, before fees and expenses, of the CBOE S&P 500 PutWrite Index (the “Former Index”), utilizing a strategy of writing put options on the S&P 500 Index. In seeking to track the Former Index, the strategy was designed to receive a premium from the option buyer by selling (i.e., writing) a sequence of one-month, at-the-money, S&P 500 Index put options. The Fund generally uses a representative sampling strategy to achieve its investment objective, meaning it generally will invest in a sample of the securities in the Index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Index as a whole.

Shareholder Expense Example (for the six-month period ended February 28, 2023)

 

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

Actual

   $ 1,000.00      $ 1,014.80        0.44 %1    $ 2.20  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.61        0.44 %1    $ 2.21  
1 

WisdomTree Asset Management, Inc. voluntarily waives a portion of its advisory fee, that it would otherwise charge, in an amount equal to the acquired fund fees and expenses (“AFFEs”) attributable to the Fund’s investment in the underlying WisdomTree fund. The “Annualized Net Expense Ratio” does not include the impact of AFFEs.

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       1.48      -5.06      7.62      4.10      5.73

Fund Market Price Returns

       1.46      -4.64      7.95      4.09      5.72

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

       2.73      -3.57      8.60      4.88      6.45

S&P 500® Index

       1.26      -7.69      12.15      9.82      12.89
*

Returns of less than one year are cumulative.

 

1 

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

 

2 

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

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

WisdomTree Trust      19  


Performance Summary

as of February 28, 2023 (unaudited)

WisdomTree Target Range Fund (GTR)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    74.2%  

Purchased Options (Exchange-Traded)

    18.5%  

Other Assets less Liabilities‡

    7.3%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time.

 

Other assets less liabilities may include investment of cash collateral for securities on loan and/or receivables/payables on derivatives (if any).

Top Holdings*

 

Description    % of Net Assets  

U.S. Treasury Bill,
4.62%, 5/18/23

     74.2

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

     9.7

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

     4.1

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

     3.3

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

     1.4
*

The largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular company. Excludes written options and investment of cash collateral for securities on loan (if any).

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

Shareholder Expense Example (for the six-month period ended February 28, 2023)

 

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

Actual

   $ 1,000.00      $ 970.80        0.70   $ 3.42  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,021.32        0.70   $ 3.51  

Performance

 

   
        Average Annual Total Return  
        6-Month*      1 Year      Since Inception1  

Fund NAV Returns

       -2.92      -11.72      -10.66

Fund Market Price Returns

       -3.05      -11.41      -10.57

TOPS® Global Equity Target Range Index

       -2.73      -10.71      -9.84

MSCI AC World Index

       3.32      -8.26      -6.81
*

Returns of less than one year are cumulative.

 

1 

Total returns are calculated based on the commencement of Fund trading on the NASDAQ on October 7, 2021.

Performance is historical and does not guarantee future results. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

20   WisdomTree Trust


Description of Terms and Indexes (unaudited)

 

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

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

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

Bloomberg Commodity Index Total Return:

Bloomberg Commodity Index Total Return is composed of futures contracts and reflects the returns on a fully collateralized investment in the Bloomberg Commodity Index (“BCOM”). This combines the returns of the BCOM with the returns on cash collateral invested in 13-week U.S. Treasury Bills.

Bloomberg Dollar Spot Index:

The Bloomberg Dollar Spot Index tracks the performance of a basket of 10 leading global currencies versus the U.S. dollar. Each currency in the basket and its weight is determined annually based on its share of international trade and foreign exchange (FX) liquidity.

Bloomberg Dollar Total Return Index:

The Bloomberg Dollar Total Return Index is total return version of the Bloomberg Dollar Spot Index (BBDXY). It is generated by adding the daily forward implied yield of each currency, and U.S. funding rate, to BBDXY returns.

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

The Bloomberg Rate Hedged U.S. Aggregate Bond Index, Zero Duration combines long positions in the Bloomberg U.S. Aggregate Bond Index with short positions in U.S. Treasury Bonds to provide a duration exposure of 0 years. Market values of long and short positions are rebalanced at month-end.

Bloomberg U.S. Aggregate Bond Index:

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

Bloomberg U.S. Aggregate Enhanced Yield Index:

The Bloomberg U.S. Aggregate Enhanced Yield Index uses a rules-based approach to reallocate across subcomponents in the Bloomberg U.S. Aggregate Bond Index seeking to enhance yield while maintaining a similar risk profile.

Bloomberg U.S. Securitized MBS/ABS/CMBS Index:

The Bloomberg U.S. Securitized MBS/ABS/CMBS Index is a market capitalization index that is designed to measure the performance of residential mortgage backed securities issued by Government Sponsored Enterprises, commercial mortgage backed securities, and asset backed securities.

Bloomberg U.S. Short Aggregate Composite Index:

The Bloomberg U.S. Short Aggregate Composite Index measures the performance of the short-term U.S. investment-grade bond market.

Bloomberg U.S. Short Aggregate Enhanced Yield Index:

The Bloomberg U.S. Short Aggregate Enhanced Yield Index uses a rules-based approach to reallocate across subcomponents in the Bloomberg U.S. Aggregate Bond Index that

 

WisdomTree Trust      21  


Description of Terms and Indexes (unaudited) (continued)

 

 

generally have effective maturities shorter than 5 years and seeks to enhance yield while maintaining a similar risk profile.

Bloomberg U.S. Treasury Floating Rate Bond Index:

The Bloomberg U.S. Treasury Floating Rate Bond Index is a rules-based, market-value weighted index engineered to measure the performance and characteristics of floating rate coupon U.S. Treasuries which have a maturity greater than 12 months.

Bloomberg U.S. Universal Enhanced Yield Index:

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

CBOE® S&P 500 PutWrite Index:

The CBOE® S&P 500 PutWrite Index tracks the value of a cash-secured (i.e., collateralized) put option sales strategy, which consists of selling (or “writing”) S&P 500® Index put options and investing the sale proceeds in one- and three-month Treasury bills.

Collateralized loan obligation (CLO):

A collateralized loan obligation is a form of securitization where payments from multiple middle sized and large business loans are pooled together and passed on to different classes of owners.

Commercial mortgage backed securities (CMBS):

A type of mortgage backed security that is backed by commercial and multifamily mortgages rather than residential real estate.

Duration:

Duration is a measure of a bond’s sensitivity to changes in interest rates. The weighted average accounts for the various durations of the bonds purchased as well as the proportion of the total government bond portfolio that they make up.

Equal-Weighted Emerging Currency Composite:

A composite incorporating equal-weighted exposure to the currencies within the Emerging Currency Strategy Fund was constructed as an additional gauge of Emerging Currency Strategy Fund performance. The composite tracks the returns for the currencies using the total returns of the country subindices of the JP Morgan Emerging Local Markets Index Plus (ELMI+). Each subindex uses a weighted basket of one-month, two-month and three-month currency forwards (deliverable or nondeliverable) collateralized with U.S. money market rates to proxy the total returns of an investment in local-currency money market instruments. Currency exposures are rebalanced back to equal-weighting at the end of the month in which the Emerging Currency Strategy Fund intends to rebalance, and currency changes are reflected in the composite at the end of the month they are reflected in the Fund.

Gapstow Liquid Alternative Credit Index:

The Gapstow Liquid Alternative Credit Index (GLACI) is an equal-weighted index that tracks the performance of 35 Publicly Traded Alternative Credit Vehicles (“PACs”) using an objective, rules-based methodology. PACs are a subset of business development companies, real estate investment trusts, and closed-end funds, and selected because of their exposure to a range of U.S. alternative credit sectors (tradeable high yield, structured, and private credit) and borrower segments (households, corporations, and commercial real estate sponsors). GLACI is the first index constructed to provide diversified exposure to these alternative credit sectors and segments.

 

22   WisdomTree Trust


Description of Terms and Indexes (unaudited) (continued)

 

ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index:

The ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index tracks the performance of the combination of a long position in short maturity U.S. high yield bonds and a short position in on-the-run U.S. Treasuries where the net interest rate exposure of the index is adjusted to a zero year duration. Market values of long and short positions are rebalanced at month-end.

ICE BofA Merrill Lynch U.S. High Yield Index:

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

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

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

JP Morgan CEMBI Diversified Index:

The JP Morgan CEMBI Diversified Index is an alternatively weighted version of the JP Morgan CEMBI Index (a comprehensive U.S. dollar-denominated emerging market corporate bond index) which limits the weights of those index countries with larger corporate debt stocks by only including a specified portion of these countries’ eligible current face amounts of debt outstanding.

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

The JP Morgan Emerging Local Markets Index Plus (ELMI+) and its underlying country and regional subindices track the total returns for local-currency denominated money market instruments in emerging market countries.

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

The China subindex uses a weighted basket of one-month, two-month and three-month currency forwards collateralized with U.S. money market rates to proxy the total returns of an investment in Chinese yuan money market instruments. The returns are reported in U.S. dollar terms.

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

The JP Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified Index tracks the performance of local currency debt issued by emerging market governments, whose debt is accessible by most of the international investor base. The index incorporates a constrained market capitalization methodology in which individual issuer exposures are capped at 10% (with the excess distributed to smaller issuers) for greater diversification among issuing governments. The returns are reported in U.S. dollar terms.

Long Call Spread:

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

Mortgage-backed security (MBS):

A mortgage backed security is a type of asset-backed security which is secured by a mortgage or collection of mortgages.

 

WisdomTree Trust      23  


Description of Terms and Indexes (unaudited) (continued)

 

 

MSCI AC World Index:

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

NYSE ARCA Gold Miners Index:

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

S&P 500® Index:

The S&P 500® Index is a capitalization-weighted index of 500 stocks selected by Standard & Poor’s Index Committee designed to represent the performance of the leading industries in the United States economy.

S&P GSCI Index:

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

Spot Rate and Non-Deliverable Forward (“NDF”) Rate Returns:

A “spot” rate is the foreign exchange rate on foreign currency contracts settled generally within two business days from the trade date. The NDF rate is the foreign exchange rate on non-deliverable forward currency contracts settled on a future date that is generally greater than two business days from the trade date. The Chinese yuan NDF return rate relative to the U.S. dollar calculated by WisdomTree is the rate of return percentage difference between the end of period NDF rate and the beginning of period NDF rate using WM/Reuters Singapore closing rates.

Thomson Reuters Continuous Commodity Index:

The Thomson Reuters Continuous Commodity Index, also known as the Continuous Commodity Total Return Index or Refinitiv Equal Weight Continuous Commodity Total Return Index (the “Index”), is composed of notional amounts of each of the following commodities (“Index Commodities”): corn, soybean, wheat, live cattle, lean hogs, gold, silver, copper, cocoa, coffee, sugar, cotton, soybean oil, platinum, crude oil, NY Harbor ULSD (formerly known as heating oil), and natural gas. The notional amounts of each Index Commodity included in the Index are in equal weight proportion to the Index Commodities or 1/17 weighting per index commodity rebalanced daily.

TOPS® Global Equity Target Range Index:

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

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

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

WisdomTree U.S. High Yield Corporate Bond, Zero Duration Index:

The WisdomTree U.S. High Yield Corporate Bond, Zero Duration Index is a rules-based alternatively weighted index that is designed to provide exposure to U.S. high yield corporate bonds with a short position in U.S. Treasuries where the net interest rate exposure of the index is adjusted to a zero year duration.

* * * * * *

 

24   WisdomTree Trust


Description of Terms and Indexes (unaudited) (continued)

 

Bloomberg® and the Bloomberg Indices are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (“BISL”), the administrator of the index (collectively, “Bloomberg”) and have been licensed for use for certain purposes by WisdomTree. Bloomberg is not affiliated with WisdomTree, and Bloomberg does not approve, endorse, review, or recommend each of AGGY, SHAG, AGZD or UNIY. Bloomberg does not guarantee the timeliness, accurateness, or completeness of any data or information relating to each of AGGY, SHAG, AGZD or UNIY.

Merrill Lynch, Pierce, Fenner & Smith Incorporated and its affiliates (“ICE BofA Merrill Lynch”) indices and related information, the name “ICE BofA Merrill Lynch”, and related trademarks, are intellectual property licensed from ICE BofA Merrill Lynch, and may not be copied, used, or distributed without ICE BofA Merrill Lynch’s prior written approval. The licensee’s products have not been passed on as to their legality or suitability, and are not regulated, issued, endorsed, sold, guaranteed, or promoted by ICE BofA Merrill Lynch. ICE BofA MERRILL LYNCH MAKES NO WARRANTIES AND BEARS NO LIABILITY WITH RESPECT TO THE INDICES, ANY RELATED INFORMATION, ITS TRADEMARKS, OR THE PRODUCT(S) (INCLUDING WITHOUT LIMITATION, THEIR QUALITY, ACCURACY, SUITABILITY AND/OR COMPLETENESS).

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

The Gapstow Liquid Alternative Credit Index is a registered service mark of Gapstow Capital Partners L.P. and has been licensed for use by WisdomTree Asset Management and WisdomTree Trust as the issuer of the WisdomTree Alternative Income Fund. The WisdomTree Alternative Income Fund is not sponsored, endorsed, sold, or promoted by Gapstow Capital Partners L.P., and it makes no representation regarding the advisability of investing in the Fund. GAPSTOW CAPITAL PARTNERS L.P. AND ITS AFFILIATES MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE WISDOMTREE ALTERNATIVE INCOME FUND. Gapstow Capital Partners L.P. contracts with a calculation agent to independently calculate and publish the Gapstow Liquid Alternative Credit Index, and Gapstow Capital Partners L.P. cannot assure its accuracy. The publication of the Gapstow Liquid Alternative Credit Index does not constitute a recommendation by Gapstow Capital Partners L.P. to invest in the WisdomTree Alternative Income Fund. Gapstow Capital Partners L.P. offers no guarantee or assurance with regard to the results of using the Gapstow Liquid Alternative Credit Index.

WisdomTree, Inc. and WisdomTree Asset Management, Inc. (together, “WisdomTree”) and the Funds make no representation or warranty, express or implied, to the owners of shares of the Funds or any member of the public regarding the advisability of investing in securities generally or in the Funds particularly or the ability of the underlying Indexes to track the performance of their underlying securities. WisdomTree is the licensor of certain trademarks, service marks and trade names of the Funds. WisdomTree has no obligation to take the needs of the Funds or the owners of shares of the Funds into consideration in determining, composing, or calculating the underlying WisdomTree Indexes of the applicable Funds. WisdomTree is not responsible for, and has not participated in, the determination of the timing of, prices of, or quantities of shares of the Funds to be issued or in the determination or calculation of the equation by which the shares of the Funds are redeemable. WisdomTree and the Funds do not guarantee the accuracy, completeness, or performance of the underlying Indexes or the data included therein and shall have no liability in connection with the underlying Indexes or their calculation.

 

WisdomTree Trust      25  


Description of Terms and Indexes (unaudited) (concluded)

 

 

Index returns do not reflect expenses paid by the Funds. Index returns assume reinvestment of distributions. It is not possible to invest directly in an index.

* * * * * *

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

 

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

 

26   WisdomTree Trust


Schedule of Investments (unaudited)

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

February 28, 2023

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 92.8%

 

U.S. Treasury Bills – 92.8%

 

4.31%, 3/16/23*

   $ 71,975,000      $ 71,840,572  

4.53%, 4/27/23*

     71,810,000        71,281,725  

4.68%, 5/9/23*

     71,100,000        70,471,318  

4.68%, 5/30/23*

     68,250,000        67,453,864  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $281,113,828)

              281,047,479  
EXCHANGE-TRADED FUND – 4.3%

 

United States – 4.3%

 

WisdomTree Floating Rate Treasury Fund(a)

     
(Cost: $12,892,368)      256,500      12,899,385  

TOTAL INVESTMENTS IN SECURITIES – 97.1%

(Cost: $294,006,196)

 

 

     293,946,864  

Other Assets less Liabilities – 2.9%

 

     8,800,589  
  

 

 

 
NET ASSETS – 100.0%

 

   $ 302,747,453  
* 

Interest rate shown reflects the yield to maturity at the time of purchase.

 

(a) 

Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information.

 

INVESTMENT IN AFFILIATES

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 28, 2023 were as follows:

 

Affiliate   Value at
8/31/2022
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
2/28/2023
    Dividend
Income
    Capital Gain
Distributions
 

WisdomTree Floating Rate Treasury Fund

  $ 16,758,375     $ 5,033,200     $ 8,906,390     $ (4,943   $ 19,143     $ 12,899,385     $ 309,160     $ 909  

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)  
Counterparty   Settlement
Date
    Amount and
Description of
Currency to
be Purchased
    Amount and
Description of
Currency to
be Sold
    Unrealized
Appreciation
    Unrealized
Depreciation
 

Bank of America NA

    3/6/2023       14,972,435       USD       21,185,000       AUD     $ 714,955     $  

Bank of America NA

    3/6/2023       34,410,127       USD       45,775,000       CAD       862,162        

Barclays Bank PLC

    3/6/2023       139,422,000       CNH       20,064,906       USD       1,690        

Barclays Bank PLC

    3/6/2023       512,311,000       MXN       27,977,051       USD       2,294        

Barclays Bank PLC

    4/5/2023       27,903,465       USD       513,885,000       MXN             (3,546

Barclays Bank PLC

    4/6/2023       21,201,635       USD       147,045,000       CNH             (3,146

Citibank NA

    3/6/2023       5,737,000       INR       69,479       USD             (94

Citibank NA

    3/6/2023       1,617,000       TWD       53,636       USD             (545

Citibank NA

    3/6/2023       183,095,000       TWD       5,958,184       USD       53,364        

Citibank NA

    4/10/2023       6,199,256       USD       189,970,000       TWD             (60,044

Goldman Sachs

    3/6/2023       5,630,000       INR       68,180       USD             (90

Goldman Sachs

    3/6/2023       22,540,000       INR       272,009       USD       593        

Goldman Sachs

    3/6/2023       106,051,000       KRW       86,671       USD             (6,519

Goldman Sachs

    3/6/2023       105,000,000       KRW       84,141       USD             (4,783

Goldman Sachs

    3/6/2023       420,000,000       KRW       333,333       USD             (15,900

Goldman Sachs

    3/6/2023       1,550,000       TWD       51,857       USD             (966

Goldman Sachs

    3/6/2023       6,210,000       TWD       207,242       USD             (3,349

Goldman Sachs

    3/6/2023       15,657,094       USD       14,285,000       CHF       483,571        

Goldman Sachs

    3/6/2023       28,694,812       USD       543,460,000       MXN             (985,704

HSBC Holdings PLC

    3/6/2023       19,979,000       AUD       13,446,127       USD             (284

HSBC Holdings PLC

    3/6/2023       42,801,000       CAD       31,368,132       USD       223        

HSBC Holdings PLC

    3/6/2023       649,674,000       INR       7,860,544       USD             (3,293

HSBC Holdings PLC

    3/6/2023       12,099,246,000       KRW       9,152,228       USD             (7,698

HSBC Holdings PLC

    3/6/2023       21,936,493       USD       147,895,000       CNH       650,403        

HSBC Holdings PLC

    3/6/2023       42,283,257       USD       5,480,130,000       JPY       2,012,549        

HSBC Holdings PLC

    3/6/2023       10,422,629       USD       12,837,135,000       KRW       720,407        

HSBC Holdings PLC

    4/6/2023       14,397,460       USD       21,370,000       AUD             (749

HSBC Holdings PLC

    4/6/2023       33,047,818       USD       45,080,000       CAD             (549

HSBC Holdings PLC

    4/6/2023       8,122,677       USD       673,240,000       INR             (3,672

 

See Notes to Financial Statements.

 

WisdomTree Trust      27  


Schedule of Investments (unaudited) (continued)

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

February 28, 2023

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)  
Counterparty   Settlement
Date
    Amount and
Description of
Currency to
be Purchased
    Amount and
Description of
Currency to
be Sold
    Unrealized
Appreciation
    Unrealized
Depreciation
 

HSBC Holdings PLC

    4/6/2023       10,079,336       USD       13,309,965,000       KRW     $ 7,170     $  

JP Morgan Chase Bank NA

    3/6/2023       175,000       AUD       124,102       USD             (6,327

JP Morgan Chase Bank NA

    3/6/2023       170,000       AUD       117,845       USD             (3,435

JP Morgan Chase Bank NA

    3/6/2023       685,000       AUD       472,141       USD             (11,137

JP Morgan Chase Bank NA

    3/6/2023       176,000       AUD       121,878       USD             (3,430

JP Morgan Chase Bank NA

    3/6/2023       378,000       CAD       283,956       USD             (6,924

JP Morgan Chase Bank NA

    3/6/2023       375,000       CAD       279,869       USD             (5,036

JP Morgan Chase Bank NA

    3/6/2023       1,490,000       CAD       1,108,389       USD             (16,386

JP Morgan Chase Bank NA

    3/6/2023       381,000       CAD       285,526       USD             (6,296

JP Morgan Chase Bank NA

    3/6/2023       118,000       CHF       129,544       USD             (4,204

JP Morgan Chase Bank NA

    3/6/2023       115,000       CHF       124,514       USD             (2,361

JP Morgan Chase Bank NA

    3/6/2023       465,000       CHF       502,292       USD             (8,369

JP Morgan Chase Bank NA

    3/6/2023       119,000       CHF       129,075       USD             (2,674

JP Morgan Chase Bank NA

    3/6/2023       1,222,000       CNH       181,748       USD             (5,869

JP Morgan Chase Bank NA

    3/6/2023       1,205,000       CNH       177,334       USD             (3,902

JP Morgan Chase Bank NA

    3/6/2023       4,815,000       CNH       709,015       USD             (16,006

JP Morgan Chase Bank NA

    3/6/2023       1,231,000       CNH       180,596       USD             (3,421

JP Morgan Chase Bank NA

    3/6/2023       737,000       EUR       805,747       USD             (26,034

JP Morgan Chase Bank NA

    3/6/2023       725,000       EUR       783,912       USD             (16,894

JP Morgan Chase Bank NA

    3/6/2023       3,100,000       EUR       3,331,477       USD             (51,813

JP Morgan Chase Bank NA

    3/6/2023       741,000       EUR       792,401       USD             (8,455

JP Morgan Chase Bank NA

    3/6/2023       222,000       GBP       271,837       USD             (4,787

JP Morgan Chase Bank NA

    3/6/2023       220,000       GBP       265,263       USD             (618

JP Morgan Chase Bank NA

    3/6/2023       875,000       GBP       1,052,505       USD       58        

JP Morgan Chase Bank NA

    3/6/2023       223,000       GBP       268,945       USD             (691

JP Morgan Chase Bank NA

    3/6/2023       45,273,000       JPY       352,949       USD             (20,260

JP Morgan Chase Bank NA

    3/6/2023       44,710,000       JPY       342,188       USD             (13,637

JP Morgan Chase Bank NA

    3/6/2023       179,125,000       JPY       1,355,343       USD             (39,044

JP Morgan Chase Bank NA

    3/6/2023       45,611,000       JPY       348,023       USD             (12,851

JP Morgan Chase Bank NA

    3/6/2023       4,490,000       MXN       239,563       USD       5,654        

JP Morgan Chase Bank NA

    3/6/2023       4,430,000       MXN       232,463       USD       9,477        

JP Morgan Chase Bank NA

    3/6/2023       17,705,000       MXN       920,204       USD       46,737        

JP Morgan Chase Bank NA

    3/6/2023       4,524,000       MXN       241,586       USD       5,488        

JP Morgan Chase Bank NA

    3/6/2023       97,163,586       USD       89,190,000       EUR       2,804,477        

JP Morgan Chase Bank NA

    3/6/2023       33,100,627       USD       26,830,000       GBP       826,036        

Morgan Stanley & Co. International

    3/6/2023       350,000       CAD       262,166       USD             (5,655

Morgan Stanley & Co. International

    3/6/2023       25,095,000       GBP       30,187,177       USD       332        

Morgan Stanley & Co. International

    3/6/2023       5,694,000       INR       69,270       USD             (406

Morgan Stanley & Co. International

    3/6/2023       5,135,181,000       JPY       37,735,506       USD       346        

Morgan Stanley & Co. International

    3/6/2023       1,603,000       TWD       54,238       USD             (1,607

Morgan Stanley & Co. International

    4/6/2023       31,708,658       USD       26,345,000       GBP             (678

Morgan Stanley & Co. International

    4/6/2023       40,873,952       USD       5,538,045,000       JPY             (800

Royal Bank of Canada

    3/6/2023       8,413,745       USD       689,275,000       INR       77,553        

Standard Chartered Bank

    3/6/2023       310,000       EUR       332,715       USD             (4,749

Standard Chartered Bank

    3/6/2023       195,000       GBP       236,695       USD             (2,124

Standard Chartered Bank

    3/6/2023       30,230,000       JPY       228,423       USD             (6,278

Standard Chartered Bank

    3/6/2023       106,838,000       KRW       84,257       USD             (3,510

Standard Chartered Bank

    3/6/2023       6,489,305       USD       194,075,000       TWD       117,252        

UBS AG

    3/6/2023       13,468,000       CHF       14,305,592       USD       113        

UBS AG

    3/6/2023       83,577,000       EUR       88,419,869       USD       932        

UBS AG

    4/6/2023       14,985,010       USD       14,060,000       CHF             (289

UBS AG

    4/6/2023       93,455,713       USD       88,175,000       EUR             (1,640
                                            $ 9,403,836     $ (1,429,528

 

See Notes to Financial Statements.

 

28   WisdomTree Trust


Schedule of Investments (unaudited) (concluded)

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

February 28, 2023

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2023 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

  

U.S. Government Obligations

   $      $ 281,047,479      $      $ 281,047,479  

Exchange-Traded Fund

     12,899,385                      12,899,385  

Total Investments in Securities

   $ 12,899,385      $ 281,047,479      $      $ 293,946,864  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ 9,403,836      $      $ 9,403,836  

Liabilities:

  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ (1,429,528    $      $ (1,429,528

Total – Net

   $ 12,899,385      $ 289,021,787      $      $ 301,921,172  
1 

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

 

See Notes to Financial Statements.

 

WisdomTree Trust      29  


Schedule of Investments (unaudited)

WisdomTree Chinese Yuan Strategy Fund (CYB)

February 28, 2023

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 66.4%

 

U.S. Treasury Bills – 66.4%

 

4.41%, 3/28/23*

   $ 7,860,000      $ 7,833,398  

4.68%, 5/9/23*

     8,880,000        8,801,481  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $16,637,168)

 

 

     16,634,879  
      Shares          
EXCHANGE-TRADED FUND – 4.5%

 

United States – 4.5%

 

WisdomTree Floating Rate Treasury Fund(a)

     
(Cost: $1,119,572)      22,300        1,121,467  
REPURCHASE AGREEMENT – 29.3%

 

United States – 29.3%

 

Citigroup, Inc., tri-party repurchase agreement dated 2/28/23 (tri-party custodian: The Bank of New York Mellon Corp.), 4.55% due 3/1/23; Proceeds at maturity – $7,340,928 (fully collateralized by U.S. Treasury Note, 1.38% – 2.75% due 5/31/23 – 8/31/26, Ginnie Mae I Construction Loan, 2.62% – 5.65% due 6/15/64 – 9/15/64; Market value including accrued interest – $7,517,600)

     
(Cost: $7,340,000)    $ 7,340,000      $ 7,340,000  

TOTAL INVESTMENTS IN SECURITIES – 100.2%

(Cost: $25,096,740)

 

 

     25,096,346  

Other Assets less Liabilities – (0.2)%

 

     (54,702
  

 

 

 
NET ASSETS – 100.0%

 

   $ 25,041,644  
* 

Interest rate shown reflects the yield to maturity at the time of purchase.

 

(a) 

Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information.

 

INVESTMENT IN AFFILIATES

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 28, 2023 were as follows:

 

Affiliate   Value at
8/31/2022
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
2/28/2023
    Dividend
Income
    Capital Gain
Distributions
 

WisdomTree Floating Rate Treasury Fund

  $ 1,120,575     $     $     $     $ 892     $ 1,121,467     $ 21,743     $ 57  

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)  
Counterparty   Settlement
Date
    Amount and
Description of
Currency to
be Purchased
    Amount and
Description of
Currency to
be Sold
    Unrealized
Appreciation
    Unrealized
Depreciation
 

Citibank NA

    3/13/2023       503,965       USD       3,400,000       CNY     $ 13,946     $  

Citibank NA

    3/13/2023       4,468,840       USD       31,100,000       CNY             (13,389

Citibank NA

    4/14/2023       742,777       USD       5,000,000       CNY       20,879        

Citibank NA

    6/13/2023       32,000,000       CNY       4,619,404       USD       18,043        

HSBC Holdings PLC

    3/13/2023       34,500,000       CNY       4,854,369       USD       117,879        

HSBC Holdings PLC

    4/14/2023       59,500,000       CNY       8,601,995       USD             (11,418

HSBC Holdings PLC

    5/16/2023       61,303,000       CNY       9,135,113       USD             (267,106

Standard Chartered Bank

    4/14/2023       28,000,000       CNH       4,048,033       USD             (12,340

Standard Chartered Bank

    4/14/2023       371,266       USD       2,500,000       CNH       10,937        
                                            $ 181,684     $ (304,253

 

See Notes to Financial Statements.

 

30   WisdomTree Trust


Schedule of Investments (unaudited) (concluded)

WisdomTree Chinese Yuan Strategy Fund (CYB)

February 28, 2023

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2023 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

  

U.S. Government Obligations

   $      $ 16,634,879      $      $ 16,634,879  

Exchange-Traded Fund

     1,121,467                      1,121,467  

Repurchase Agreement

            7,340,000               7,340,000  

Total Investments in Securities

   $ 1,121,467      $ 23,974,879      $      $ 25,096,346  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ 181,684      $      $ 181,684  

Liabilities:

  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ (304,253    $      $ (304,253

Total – Net

   $ 1,121,467      $ 23,852,310      $      $ 24,973,777  
1 

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

 

See Notes to Financial Statements.

 

WisdomTree Trust      31  


Schedule of Investments (unaudited)

WisdomTree Emerging Currency Strategy Fund (CEW)

February 28, 2023

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 63.5%

 

U.S. Treasury Bills – 63.5%

 

4.41%, 3/28/23*

   $ 2,460,000      $ 2,451,674  

4.68%, 5/9/23*

     2,980,000        2,953,650  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $5,406,064)

 

 

     5,405,324  
      Shares          
EXCHANGE-TRADED FUND – 4.0%

 

United States – 4.0%

 

WisdomTree Floating Rate Treasury Fund(a)

     
(Cost: $341,394)      6,800        341,972  
REPURCHASE AGREEMENT – 32.0%

 

United States – 32.0%

 

Citigroup, Inc., tri-party repurchase agreement dated 2/28/23 (tri-party custodian: The Bank of New York Mellon Corp.), 4.55% due 3/1/23; Proceeds at maturity – $2,720,344 (fully collateralized by U.S. Treasury Note, 1.63% due 11/30/26; Market value including accrued interest – $2,774,461)

     
(Cost: $2,720,000)    $ 2,720,000      $ 2,720,000  

TOTAL INVESTMENTS IN SECURITIES – 99.5%

(Cost: $8,467,458)

 

 

     8,467,296  

Other Assets less Liabilities – 0.5%

 

     45,220  
  

 

 

 
NET ASSETS – 100.0%

 

   $ 8,512,516  
* 

Interest rate shown reflects the yield to maturity at the time of purchase.

 

(a) 

Affiliated holding. See “Investment in Affiliates” supplementary table included in this Schedule of Investments for additional information.

 

INVESTMENT IN AFFILIATES

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the six-month fiscal period ended February 28, 2023 were as follows:

 

Affiliate   Value at
8/31/2022
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
2/28/2023
    Dividend
Income
    Capital Gain
Distributions
 

WisdomTree Floating Rate Treasury Fund

  $ 341,700     $     $     $     $ 272     $ 341,972     $ 6,630     $ 17  

 

FINANCIAL DERIVATIVE INSTRUMENTS  
FOREIGN CURRENCY CONTRACTS (OTC — OVER THE COUNTER)  
Counterparty   Settlement
Date
    Amount and
Description of
Currency to
be Purchased
    Amount and
Description of
Currency to
be Sold
    Unrealized
Appreciation
    Unrealized
Depreciation
 

Citibank NA

    5/8/2023       51,935,000       INR       631,471       USD     $     $ (6,558

Goldman Sachs

    5/5/2023       3,270,000       BRL       630,763       USD             (11,504

HSBC Holdings PLC

    5/5/2023       515,980,000       CLP       629,589       USD             (14,750

HSBC Holdings PLC

    5/8/2023       774,965,000       KRW       629,689       USD             (41,775

JP Morgan Chase Bank NA

    5/5/2023       12,120,000       MXN       633,913       USD       19,515        

JP Morgan Chase Bank NA

    5/5/2023       2,765,000       PLN       632,487       USD             (12,060

JP Morgan Chase Bank NA

    5/5/2023       12,635,000       TRY       633,601       USD       11,119        

JP Morgan Chase Bank NA

    5/5/2023       10,970,000       ZAR       631,400       USD             (37,001

Morgan Stanley & Co. International

    5/5/2023       2,665,000       MYR       631,966       USD             (35,780

Standard Chartered Bank

    5/5/2023       4,240,000       CNH       630,903       USD             (18,921

UBS AG

    5/5/2023       2,946,300,000       COP       634,691       USD             (34,010

UBS AG

    5/5/2023       9,461,245,000       IDR       630,897       USD             (10,980

UBS AG

    5/5/2023       34,400,000       PHP       631,309       USD             (9,791

UBS AG

    5/5/2023       20,500,000       THB       628,231       USD             (41,456
                                            $ 30,634     $ (274,586

 

See Notes to Financial Statements.

 

32   WisdomTree Trust


Schedule of Investments (unaudited) (concluded)

WisdomTree Emerging Currency Strategy Fund (CEW)

February 28, 2023

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2023 in valuing the Fund’s investments (See Note 2 — Fair Value Measurement):

 

      Quoted
Prices in
Active
Markets
(Level 1)
     Other
Significant
Observable
Inputs
(Level 2)
     Significant
Unobservable
Inputs
(Level 3)
     Total  

Assets:

 

     

Investments in Securities

  

U.S. Government Obligations

   $      $ 5,405,324      $      $ 5,405,324  

Exchange-Traded Fund

     341,972                      341,972  

Repurchase Agreement

            2,720,000               2,720,000  

Total Investments in Securities

   $ 341,972      $ 8,125,324      $      $ 8,467,296  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ 30,634      $      $ 30,634  

Liabilities:

  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ (274,586    $      $ (274,586

Total – Net

   $ 341,972      $ 7,881,372      $      $ 8,223,344  
1 

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

 

See Notes to Financial Statements.

 

WisdomTree Trust      33  


Schedule of Investments (unaudited)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

February 28, 2023

 

 

 

Investments    Principal
Amount
     Value  
CORPORATE BONDS – 89.3%

 

Argentina – 1.1%

 

Arcor SAIC
8.25%, 10/9/27(a)

   $ 250,000      $ 261,000  

YPF SA
8.50%, 6/27/29(a)

     263,000        211,711  
     

 

 

 
Total Argentina               472,711  
Austria – 0.5%

 

Suzano Austria GmbH
7.00%, 3/16/47(a)

     226,000        226,000  
Brazil – 3.4%      

Banco do Brasil SA

     

9.00%, 6/18/24, (9.00% fixed rate until 6/18/24; 10-year Constant Maturity Treasury Rate + 6.362% thereafter)(b)(c)(d)

     450,000        458,289  

CSN Resources SA
4.63%, 6/10/31(a)

     325,000        256,246  

Fibria Overseas Finance Ltd.
5.50%, 1/17/27

     50,000        49,883  

Minerva Luxembourg SA
4.38%, 3/18/31(a)

     275,000        215,016  

Nexa Resources SA
6.50%, 1/18/28(b)

     500,000        485,905  
     

 

 

 
Total Brazil               1,465,339  
Chile – 4.6%

 

ATP Tower Holdings LLC / Andean Tower Partners Colombia SAS / Andean Telecom Partners
4.05%, 4/27/26(a)

     300,000        265,500  

Banco de Credito e Inversiones SA
2.88%, 10/14/31(b)

     200,000        165,973  

Celulosa Arauco y Constitucion SA

     

4.50%, 8/1/24

     200,000        196,500  

5.50%, 11/2/47

     325,000        277,517  

Corp. Nacional del Cobre de Chile
5.13%, 2/2/33(a)(e)

     200,000        194,407  

Engie Energia Chile SA
3.40%, 1/28/30(b)

     350,000        268,625  

Inversiones CMPC SA
3.00%, 4/6/31(a)

     325,000        268,621  

Telefonica Moviles Chile SA
3.54%, 11/18/31(b)

     450,000        360,423  
     

 

 

 
Total Chile               1,997,566  
China – 4.4%

 

Alibaba Group Holding Ltd.
3.60%, 11/28/24

     350,000        339,456  

ENN Clean Energy International Investment Ltd. 3.38%, 5/12/26(a)

     300,000        271,313  

Lenovo Group Ltd.

     

5.83%, 1/27/28(a)

     350,000        344,344  

6.54%, 7/27/32(a)

     330,000        322,536  

MGM China Holdings Ltd.
4.75%, 2/1/27(b)

     325,000        286,000  

Tencent Holdings Ltd.

     

3.98%, 4/11/29(b)

     200,000        183,688  

3.93%, 1/19/38(b)

     200,000        161,750  
     

 

 

 
Total China               1,909,087  
Colombia – 5.1%

 

Bancolombia SA

     

4.63%, 12/18/29, (4.625% fixed rate until 12/18/24; 5-year Constant Maturity Treasury Rate + 2.944% thereafter)(c)

   385,000      348,377  

Ecopetrol SA

     

6.88%, 4/29/30

     325,000        290,469  

8.88%, 1/13/33

     525,000        513,844  

Geopark Ltd.
5.50%, 1/17/27(a)

     375,000        317,727
 

Millicom International Cellular SA
4.50%, 4/27/31(a)(e)

     225,000        182,953  

Oleoducto Central SA
4.00%, 7/14/27(b)

     450,000        388,036  

Promigas SA ESP / Gases del Pacifico SAC
3.75%, 10/16/29(a)

     200,000        155,558  
     

 

 

 
Total Colombia               2,196,964  
Ghana – 0.8%

 

Tullow Oil PLC
10.25%, 5/15/26(a)

     439,000        355,041  
Guatemala – 1.9%      

Central American Bottling Corp. / CBC Bottling Holdco SL / Beliv Holdco SL
5.25%, 4/27/29(a)

     460,000        424,350  

CT Trust
5.13%, 2/3/32(a)

     500,000        396,250  
     

 

 

 
Total Guatemala               820,600  
Hong Kong – 1.7%

 

Melco Resorts Finance Ltd.

     

5.75%, 7/21/28(b)

     325,000        281,937  

5.75%, 7/21/28(a)

     275,000        238,563  

5.38%, 12/4/29(b)

     250,000        208,125  
     

 

 

 
Total Hong Kong               728,625  
India – 5.3%

 

Adani Ports & Special Economic Zone Ltd.
4.38%, 7/3/29(b)

     250,000        194,375  

Bharti Airtel International Netherlands BV
5.35%, 5/20/24(a)

     323,000        321,308  

JSW Steel Ltd.
5.05%, 4/5/32(a)

     600,000  <