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WisdomTree Trust

Semi-Annual Report

February 28, 2022

 

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 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 CBOE S&P 500 PutWrite Strategy Fund (PUTW)

WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (GDMN)

WisdomTree Enhanced Commodity Strategy Fund (GCC)

WisdomTree Managed Futures Strategy Fund (WTMF)

WisdomTree Target Range Fund (GTR)


Table of Contents

Table of Contents

 

Information about Performance and Shareholder Expense Examples (unaudited)

       1  

Performance Summary (unaudited)

       2  

Description of Terms and Indexes (unaudited)

       19  
Schedules of Investments (unaudited)     

WisdomTree Bloomberg U.S. Dollar Bullish Fund

       24  

WisdomTree Chinese Yuan Strategy Fund

       27  

WisdomTree Emerging Currency Strategy Fund

       29  

WisdomTree Emerging Markets Corporate Bond Fund

       31  

WisdomTree Emerging Markets Local Debt Fund

       37  

WisdomTree Floating Rate Treasury Fund

       41  

WisdomTree Interest Rate Hedged High Yield Bond Fund

       42  

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund

       51  

WisdomTree Mortgage Plus Bond Fund

       78  

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund

       81  

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

       111  

WisdomTree Alternative Income Fund

       118  

WisdomTree CBOE S&P 500 PutWrite Strategy Fund

       119  

WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (consolidated)

       120  

WisdomTree Enhanced Commodity Strategy Fund (consolidated)

       122  

WisdomTree Managed Futures Strategy Fund (consolidated)

       124  

WisdomTree Target Range Fund

       126  

Statements of Assets and Liabilities (unaudited)

       128  

Statements of Operations (unaudited)

       132  

Statements of Changes in Net Assets (unaudited)

       136  

Financial Highlights (unaudited)

       142  

Notes to Financial Statements (unaudited)

       151  

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

       169  

General Information (unaudited)

       174  

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


Table of Contents

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.

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, 2021 to February 28, 2022. 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  


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    95.6%  

Exchange-Traded Funds

    4.3%  

Other Assets less Liabilities‡

    0.1%  

Total

    100.0%  

 

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

 

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

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.50%, 7/7/22

    24.3

U.S. Treasury Bill,
0.05%, 4/7/22

    24.3

U.S. Treasury Bill,
0.09%, 5/12/22

    24.2

U.S. Treasury Bill,
0.48%, 6/9/22

    22.8

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 41 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, 2022)

 

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

Actual

   $ 1,000.00      $ 1,025.00        0.50 %1    $ 2.51  

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

       2.50      3.15      0.14      -0.04      2.05

Fund Market Price Returns

       2.62      3.19      0.18      -0.02      2.07

Bloomberg Dollar Total Return Index

       2.81      3.72      0.29      -0.09      2.22

Bloomberg Dollar Spot Index

       2.94      3.98      -0.26      -0.97      1.79
*

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


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Chinese Yuan Strategy Fund (CYB)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    61.8

Repurchase Agreement

    31.9

Exchange-Traded Funds

    4.8

Other Assets less Liabilities‡

    1.5

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  

Citigroup, Inc., tri-party repurchase agreement,
0.06%, 3/1/22††

    31.9%  

U.S. Treasury Bill,
0.05%, 4/7/22

    31.6%  

U.S. Treasury Bill,
0.34%, 6/9/22

    30.2%  

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.8%  
*

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 41 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, 2022)

 

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

Actual

   $ 1,000.00      $ 1,036.10        0.45 %1    $ 2.27  

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

       3.61      5.05      4.11      4.35      2.14

Fund Market Price Returns

       3.55      4.64      4.21      4.33      2.15

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

       3.89      5.64      5.17      5.29      3.11

Chinese yuan

       2.32      2.59      1.89      1.70      -0.03
*

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  


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Emerging Currency Strategy Fund (CEW)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    68.0%  

Repurchase Agreement

    28.7%  

Exchange-Traded Funds

    4.2%  

Other Assets less Liabilities‡

    -0.9%  

Total

    100.0%  

 

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

 

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

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.05%, 4/7/22

    40.3%  

Citigroup, Inc., tri-party repurchase agreement,
0.06%, 3/1/22††

    28.7%  

U.S. Treasury Bill,
0.34%, 6/9/22

    27.7%  

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.2%  
*

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 41 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, 2022)

 

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

Actual

   $ 1,000.00      $ 939.50        0.55 %1    $ 2.64  

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

       -6.05      -5.84      -1.98      -0.33      -1.75

Fund Market Price Returns

       -6.54      -6.03      -2.10      -0.36      -1.76

JP Morgan Emerging Local Markets Index Plus (ELMI+)

       -4.41      -3.66      -0.10      1.20      -0.37

Equal-Weighted Emerging Currency Composite

       -5.42      -4.72      -0.97      0.65      -0.88
*

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


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

 

Country Breakdown

 

Country   % of Net Assets  

Brazil

    7.5%  

Colombia

    7.0%  

Mexico

    6.5%  

India

    6.2%  

Chile

    5.6%  

Israel

    4.8%  

Kuwait

    3.7%  

Peru

    3.7%  

United Arab Emirates

    3.6%  

South Africa

    3.4%  

Turkey

    3.3%  

South Korea

    3.2%  

Indonesia

    2.8%  

Saudi Arabia

    2.8%  

Luxembourg

    2.8%  

China

    2.6%  

Thailand

    2.6%  

Russia

    2.4%  

Argentina

    2.3%  

Kazakhstan

    2.2%  

Panama

    2.2%  

Oman

    2.1%  

Malaysia

    1.7%  

Guatemala

    1.6%  

Hong Kong

    1.6%  

Singapore

    1.5%  

Qatar

    1.4%  

Poland

    1.2%  

Ireland

    1.0%  

Ghana

    1.0%  

Others^

    3.8%  

Other Assets less Liabilities‡

    1.9%  

Total

    100.0%  

 

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

 

^

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

 

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

Top Ten Holdings*

 

Description   % of Net Assets  

Ecopetrol SA,
6.88%, 4/29/30

    1.6%  

Altice Financing SA,
5.75%, 8/15/29

    1.4%  

Canpack SA / Canpack U.S. LLC,
3.13%, 11/1/25

    1.2%  

Tengizchevroil Finance Co. International Ltd.,
3.25%, 8/15/30

    1.2%  

NBK Tier 1 Financing 2 Ltd.,
4.50%, 8/27/25

    1.2%  

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

    1.1%  

C&W Senior Financing DAC,
6.88%, 9/15/27

    1.0%  

Bancolombia SA,
4.63%, 12/18/29

    1.0%  

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

    1.0%  

Teva Pharmaceutical Finance Netherlands III BV,
3.15%, 10/1/26

    1.0%  
*

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, 2022)

 

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

Actual

   $ 1,000.00      $ 893.00        0.60   $ 2.82  

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      Since Inception1  

Fund NAV Returns

       -10.70      -9.11      2.09      2.66      3.18

Fund Market Price Returns

       -8.78      -7.60      2.74      2.99      3.36

JP Morgan CEMBI Diversified Index

       -7.91      -5.82      3.23      3.39      4.30
*

Returns of less than one year are cumulative.

 

1 

Total returns are calculated based on the commencement of Fund trading on the NASDAQ on March 8, 2012.

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  


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Emerging Markets Local Debt Fund (ELD)

 

Country Breakdown

 

Country   % of Net Assets  

Indonesia

    11.6%  

Supranational Bonds

    9.6%  

South Africa

    9.6%  

Brazil

    7.9%  

China

    7.1%  

Colombia

    7.0%  

Malaysia

    6.8%  

Mexico

    5.0%  

Thailand

    3.8%  

Chile

    3.8%  

Russia

    3.7%  

Peru

    3.7%  

Poland

    3.6%  

India

    3.5%  

Turkey

    2.1%  

Czech Republic

    2.0%  

Philippines

    2.0%  

Romania

    2.0%  

Hungary

    1.9%  

United States

    1.8%  

Egypt

    0.0%

Other Assets less Liabilities‡

    1.5%  

Total

    100.0%  

 

The Fund’s country 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).

 

^

Represents less than 0.05%.

Top Ten Holdings*

 

Description   % of Net Assets  

Citigroup, Inc., tri-party repurchase agreement,
0.06%, 3/1/22††

    1.8%  

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

    1.6%  

Brazil Letras do Tesouro Nacional,
6.38%, 7/1/23, Series LTN

    1.5%  

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

    1.5%  

Brazil Letras do Tesouro Nacional,
6.30%, 1/1/24, Series LTN

    1.4%  

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

    1.4%  

International Finance Corp.,
7.50%, 1/18/28

    1.3%  

Philippine Government International Bond,
6.25%, 1/14/36

    1.3%  

Brazil Notas do Tesouro Nacional,
10.00%, 1/1/23, Series F

    1.3%  

Indonesia Treasury Bond,
8.38%, 9/15/26, Series FR56

    1.2%  
*

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

 

††

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, 2022)

 

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

Actual

   $ 1,000.00      $ 911.20        0.55   $ 2.61  

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

       -8.88      -8.45      -1.07      0.12      -1.28

Fund Market Price Returns

       -11.05      -10.54      -1.96      -0.39      -1.53

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

       -10.59      -9.96      -1.06      0.95      -0.77
*

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


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Floating Rate Treasury Fund (USFR)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    100.0%  

Other Assets less Liabilities‡

    0.0%

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).

 

^

Represents less than 0.05%.

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Floating Rate Note,
0.39%, 7/31/23

    28.2%  

U.S. Treasury Floating Rate Note,
0.39%, 4/30/23

    28.2%  

U.S. Treasury Floating Rate Note,
0.40%, 10/31/23

    26.8%  

U.S. Treasury Floating Rate Note,
0.35%, 1/31/24

    16.8%  
*

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, 2022)

 

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

Actual

   $ 1,000.00      $ 1,000.90        0.15   $ 0.74  

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

       0.09      0.09      0.78      1.09      0.75

Fund Market Price Returns

       0.13      0.09      0.78      1.15      0.74

Bloomberg U.S. Treasury Floating Rate Bond Index

       0.18      0.25      0.96      1.27      0.91
*

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  


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Corporate Bonds

    95.4%  

Foreign Corporate Bonds

    0.6%  

Other Assets less Liabilities‡

    4.0%  

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 Ten Holdings*

 

Description   % of Net Assets  

Caesars Entertainment, Inc.,
6.25%, 7/1/25

    0.9%  

NRG Energy, Inc.,
5.25%, 6/15/29

    0.9%  

CSC Holdings LLC,
5.25%, 6/1/24

    0.8%  

Sirius XM Radio, Inc.,
4.13%, 7/1/30

    0.8%  

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

    0.8%  

MGM Resorts International,
7.75%, 3/15/22

    0.7%  

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

    0.7%  

Tenet Healthcare Corp.,
6.13%, 10/1/28

    0.7%  

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

    0.7%  

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

    0.6%  
*

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, 2022)

 

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

Actual

   $ 1,000.00      $ 993.30        0.43   $ 2.13  

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

       -0.67      2.29      2.00      2.93      3.00

Fund Market Price Returns

       -0.85      1.00      2.14      2.89      2.99

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

       -0.39      3.28      2.97      3.73      3.75
*

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


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    41.0%  

U.S. Government Agencies

    28.7%  

U.S. Corporate Bonds

    21.5%  

Repurchase Agreement

    7.2%  

Foreign Corporate Bonds

    3.2%  

Commercial Mortgage-Backed Securities

    2.0%  

Supranational Bonds

    1.5%  

Foreign Government Obligations

    1.1%  

Foreign Government Agencies

    0.7%  

Municipal Bonds

    0.4%  

Asset-Backed Securities

    0.3%  

Other Assets less Liabilities‡

    -7.6%  

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,
0.06%, 3/1/22††

    7.2%  

Uniform Mortgage-Backed Security,
2.00%, 3/1/52

    2.1%  

Uniform Mortgage-Backed Security,
2.50%, 3/1/52

    1.0%  

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

    0.8%  

Uniform Mortgage-Backed Security,
2.00%, 3/1/37

    0.6%  

Government National Mortgage Association,
2.50%, 3/1/52

    0.6%  

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

    0.5%  

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

    0.5%  

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

    0.5%  

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

    0.5%  
*

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

 

††

Fully collateralized by U.S. Government agency securities.

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

Shareholder Expense Example (for the six-month period ended February 28, 2022)

 

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

Actual

   $ 1,000.00      $ 995.70        0.23   $ 1.14  

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

       -0.43      -0.67      1.22      1.55      1.15

Fund Market Price Returns

       -0.43      -0.48      1.19      1.55      1.17

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

       -0.69      -0.33      1.17      1.57      1.40
*

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  


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Mortgage Plus Bond Fund (MTGP)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

Collateralized Mortgage Obligations

    46.6%  

U.S. Government Agencies

    41.2%  

Commercial Mortgage-Backed Securities

    4.8%  

Collateralized Loan Obligations

    4.8%  

Asset-Backed Securities

    0.8%  

Other Assets less Liabilities‡

    1.8%  

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  

Government National Mortgage Association,
2.50%, 3/1/52

    9.4%  

Uniform Mortgage-Backed Security,
2.50%, 3/1/52

    8.0%  

Government National Mortgage Association,
3.00%, 4/1/52

    6.3%  

Uniform Mortgage-Backed Security,
2.00%, 3/1/52

    3.9%  

Federal National Mortgage Association,
4.00%, 10/1/48

    2.5%  

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

    2.4%  

Federal Home Loan Mortgage Corp. REMIC,
5.00%, 11/15/32, Series 2519, Class NU

    2.2%  

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

    1.8%  

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

    1.6%  

Government National Mortgage Association,
3.50%, 7/20/47

    1.4%  
*

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

The WisdomTree 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, 2022)

 

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

Actual

   $ 1,000.00      $ 972.90        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      Since Inception1  

Fund NAV Returns

       -2.71      -1.99      1.14

Fund Market Price Returns

       -3.00      -2.06      1.05

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

       -3.21      -2.85      0.40
*

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


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Agencies

    48.0%  

U.S. Corporate Bonds

    25.5%  

U.S. Government Obligations

    19.5%  

Repurchase Agreement

    18.6%  

Foreign Corporate Bonds

    4.5%  

Foreign Government Obligations

    2.1%  

Municipal Bonds

    0.6%  

Foreign Government Agencies

    0.3%  

Supranational Bonds

    0.1%  

Commercial Mortgage-Backed Securities

    0.1%  

Asset-Backed Securities

    0.0%

U.S. Government Agencies Sold Short

    -1.1%  

Other Assets less Liabilities‡

    -18.2%  

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).

 

^

Represents less than 0.05%.

Top Ten Holdings*

 

Description   % of Net Assets  

Citigroup, Inc., tri-party repurchase agreement,
0.06%, 3/1/22††

    18.6%  

Uniform Mortgage-Backed Security,
2.00%, 3/1/52

    6.0%  

Uniform Mortgage-Backed Security,
2.50%, 3/1/52

    3.8%  

Government National Mortgage Association,
2.50%, 3/1/52

    2.3%  

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

    2.2%  

Federal Home Loan Mortgage Corp.,
6.25%, 7/15/32

    1.8%  

Government National Mortgage Association,
3.00%, 3/1/52

    1.8%  

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

    1.1%  

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

    0.9%  

Government National Mortgage Association,
3.50%, 3/1/52

    0.8%  
*

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, 2022)

 

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

Actual

   $ 1,000.00      $ 950.10        0.12   $ 0.58  

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

       -4.99      -3.24      3.20      2.71      2.81

Fund Market Price Returns

       -5.16      -3.08      3.08      2.64      2.78

Bloomberg U.S. Aggregate Enhanced Yield Index

       -4.88      -3.02      3.33      2.91      3.00

Bloomberg U.S. Aggregate Bond Index

       -4.07      -2.64      3.30      2.71      2.64
*

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.

 

WisdomTree Trust      11  


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    51.9%  

U.S. Corporate Bonds

    25.0%  

U.S. Government Agencies

    11.5%  

Commercial Mortgage-Backed Securities

    9.6%  

Foreign Corporate Bonds

    6.3%  

Supranational Bonds

    0.7%  

Foreign Government Agencies

    0.5%  

Asset-Backed Securities

    0.4%  

Foreign Government Obligations

    0.3%  

Other Assets less Liabilities‡

    -6.2%  

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,
0.50%, 3/31/25

    14.8%  

U.S. Treasury Bill,
0.08%, 3/24/22

    6.4%  

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

    6.0%  

Uniform Mortgage-Backed Security,
2.00%, 3/1/37

    5.0%  

U.S. Treasury Note,
0.75%, 5/31/26

    4.0%  

U.S. Treasury Note,
0.13%, 8/31/23

    3.4%  

U.S. Treasury Note,
1.25%, 12/31/26

    2.7%  

U.S. Treasury Note,
1.13%, 10/31/26

    2.7%  

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

    2.4%  

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

    2.0%  
*

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, 2022)

 

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

Actual

   $ 1,000.00      $ 972.40        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      Since Inception1  

Fund NAV Returns

       -2.76      -2.21      2.17      1.88

Fund Market Price Returns

       -2.77      -2.21      2.11      1.88

Bloomberg U.S. Short Aggregate Enhanced Yield Index

       -3.06      -2.55      1.94      1.81

Bloomberg U.S. Short Aggregate Composite Index

       -2.57      -2.22      2.11      1.78
*

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.

 

12   WisdomTree Trust


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Alternative Income Fund (HYIN)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

Common Stocks

    71.7%  

Closed-End Mutual Funds

    27.9%  

Other Assets less Liabilities‡

    0.4%  

Total

    100.0%  

 

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

 

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

Top Ten Holdings*

Description   % of Net Assets  

Hercules Capital, Inc.

    3.2%  

Ares Capital Corp.

    3.2%  

FS KKR Capital Corp.

    3.2%  

Owl Rock Capital Corp.

    3.1%  

Arbor Realty Trust, Inc.

    3.1%  

Blackstone Mortgage Trust, Inc., Class A

    3.1%  

Golub Capital BDC, Inc.

    3.1%  

Starwood Property Trust, Inc.

    3.0%  

Main Street Capital Corp.

    3.0%  

Goldman Sachs BDC, Inc.

    3.0%  
*

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, 2022)

 

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

Actual

   $ 1,000.00      $ 942.00        0.50   $ 2.41  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.32        0.50   $ 2.51  

Performance

 

   
        Cumulative Total Return  
        6-Month      Since Inception1  

Fund NAV Returns

       -5.80      -2.66

Fund Market Price Returns

       -6.00      -2.91

Gapstow Liquid Alternative Credit Index

       -5.50      -2.21

ICE BofA Merrill Lynch U.S. High Yield Index

       -2.96      -0.60

S&P 500® Index

       -2.62      6.20
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.

 

WisdomTree Trust      13  


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    82.2%  

Exchange-Traded Funds

    4.4%  

Other Assets less Liabilities‡

    13.4%  

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 Bill,
0.35%, 5/19/22

    60.7%  

U.S. Treasury Bill,
0.40%, 5/26/22

    21.5%  

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 41 of this report.

The WisdomTree CBOE S&P 500 PutWrite Strategy Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the CBOE S&P 500 PutWrite Index (the “Index”), utilizing a strategy of writing put options on the S&P 500 Index. The strategy is 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, 2022)

 

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

Actual

   $ 1,000.00      $ 1,030.50        0.44 %1    $ 2.22  

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

       3.05      16.56      9.31      6.33      7.64

Fund Market Price Returns

       2.56      16.23      9.21      6.21      7.55

CBOE S&P 500® PutWrite Index

       3.34      17.20      9.84      6.90      8.21

S&P 500® Index

       -2.62      16.39      18.24      15.17      16.74
*

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.

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


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

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

 

Country Breakdown

 

Country   % of Net Assets  

Canada

    41.4%  

United States

    17.1%  

Australia

    11.9%  

South Africa

    7.9%  

Brazil

    3.6%  

United Kingdom

    2.7%  

China

    1.7%  

Others^

    2.0%  

Other Assets less Liabilities‡

    11.7%  

Total

    100.0%  

 

The Fund’s country 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).

 

^

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

Top Ten Holdings*

 

Description   % of Net Assets  

Newmont Corp.

    13.8%  

Barrick Gold Corp.

    11.9%  

Franco-Nevada Corp.

    8.4%  

Agnico Eagle Mines Ltd.

    5.9%  

Gold Fields Ltd., ADR

    3.9%  

Newcrest Mining Ltd.

    3.6%  

Wheaton Precious Metals Corp.

    3.6%  

AngloGold Ashanti Ltd., ADR

    3.2%  

Northern Star Resources Ltd.

    3.0%  

Royal Gold, Inc.

    2.7%  
*

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

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

The Fund 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.

Shareholder Expense Example (for the period1 ended February 28, 2022)

 

         
     

Beginning
Account Value

     Ending
Account Value
     Annualized
Expense Ratio
    Expenses Paid
During the
Period
 

Actual1

   $ 1,000.00      $ 1,202.90        0.45   $ 1.02  

Hypothetical (5% return before expenses)

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

Fund commenced operations on December 16, 2021. Actual expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 75/365 (to reflect the period since commencement of operations).

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  


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Enhanced Commodity Strategy Fund (GCC) (consolidated)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    75.9%  

Exchange-Traded Funds

    4.5%  

Other Assets less Liabilities‡

    19.6%  

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 Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.04%, 3/17/22

    68.0%  

U.S. Treasury Bill,
0.10%, 5/19/22

    7.7%  

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.5%  

U.S. Treasury Bill,
0.02%, 4/21/22

    0.2%  
*

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 41 of this report.

The WisdomTree Enhanced Commodity Strategy Fund (the “Successor Fund” and also herein, 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 Successor Fund is actively managed and intends to provide broad-based exposure to the following four commodity sectors: Energy, Agriculture, Industrial Metals, and Precious Metals primarily through investments in futures contracts. The Successor Fund acquired all of the assets and all of the stated liabilities of the WisdomTree Continuous Commodity Index Fund (the “Predecessor Fund”) after the close of business on December 18, 2020 (the “Reorganization”). The Predecessor Fund was not registered as an investment company under the Investment Company Act of 1940, as amended, and was not required to register under the Act. Prior to the Reorganization, the Predecessor Fund’s investment objective sought to provide investors with exposure to the daily change in the price of a portfolio of commodities (the “Index Commodities”) comprising 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”), before expenses. The Index Commodities consisted of corn, soybeans, 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.

Prior to December 19, 2020, the ticker symbol GCC was used for the Predecessor Fund.

Shareholder Expense Example (for the six-month period ended February 28, 2022)

 

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

Actual

   $ 1,000.00      $ 1,160.80        0.55 %1    $ 2.95  

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

       16.08      25.87      30.25

Fund Market Price Returns

       16.32      25.88      30.47

S&P GSCI Index

       30.70      46.86      56.56

Bloomberg Commodity Index Total Return

       19.41      34.43      38.96
*

Returns of less than one year are cumulative.

 

1 

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

 

16   WisdomTree Trust


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    81.2

Exchange-Traded Funds

    4.2

Other Assets less Liabilities‡

    14.6

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 Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.05%, 3/17/22

    77.3%  

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.2%  

U.S. Treasury Bill,
0.10%, 5/19/22

    3.9%  
*

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 41 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 commodities, equities, currencies and interest rates.

Shareholder Expense Example (for the six-month period ended February 28, 2022)

 

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

Actual

   $ 1,000.00      $ 977.20        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

       -2.28      2.60      2.09      1.11      -0.17

Fund Market Price Returns

       -3.36      1.88      1.86      0.98      -0.24

SG Trend Index

       7.68      13.59      11.61      4.61      3.29

S&P GSCI Index

       30.70      46.86      10.56      7.12      -4.42
*

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.

 

WisdomTree Trust      17  


Table of Contents

Performance Summary

as of February 28, 2022 (unaudited)

WisdomTree Target Range Fund (GTR)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    64.9%  

Purchased Options (Exchange-Traded)

    15.0%  

Other Assets less Liabilities‡

    20.1%  

Total

    100.0%  

 

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

 

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

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.03%, 3/17/22

    64.9%  

SPDR S&P 500 ETF Trust, Purchased Call Option @ $390 strike expiring 1/20/23

    7.7%  

iShares Russell 2000 ETF, Purchased Call Option @ $180 strike expiring 1/20/23

    3.4%  

iShares MSCI EAFE ETF, Purchased Call Option @ $67 strike expiring 1/20/23

    2.4%  

iShares MSCI Emerging Markets ETF, Purchased Call Option @ $42 strike expiring 1/20/23

    1.5%  
*

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.

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.

Shareholder Expense Example (for the period1 ended February 28, 2022)

 

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

Actual1

   $ 1,000.00      $ 967.60        0.70   $ 2.74  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,021.32        0.70   $ 3.51  
1 

Fund commenced operations on October 7, 2021. Actual expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 145/365 (to reflect the period since commencement of operations).

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


Table of Contents

Description of Terms and Indexes (unaudited)

 

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

Bloomberg Commodity Index Total Return:

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

Bloomberg Dollar Spot Index:

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

Bloomberg Dollar Total Return Index:

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

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

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

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

Bloomberg U.S. Aggregate Bond Index:

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

Bloomberg U.S. Aggregate Enhanced Yield Index:

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

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

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

Bloomberg U.S. Short Aggregate Composite Index:

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

Bloomberg U.S. Short Aggregate Enhanced Yield Index:

The Bloomberg U.S. Short Aggregate Enhanced Yield Index uses a rules-based approach to reallocate across subcomponents in the Bloomberg U.S. Aggregate Bond Index that generally have effective maturities shorter than 5 years and seeks to enhance yield while maintaining a similar risk profile.

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.

 

WisdomTree Trust      19  


Table of Contents

Description of Terms and Indexes (unaudited) (continued)

 

 

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.

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.

 

20   WisdomTree Trust


Table of Contents

Description of Terms and Indexes (unaudited) (continued)

 

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 options 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.

S&P 500® Index:

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

S&P GSCI Index:

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

SG Trend Index:

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

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

A “spot” rate is the foreign exchange rate on foreign currency contracts settled generally within two business days from the trade date. The NDF rate is the foreign exchange rate

 

WisdomTree Trust      21  


Table of Contents

Description of Terms and Indexes (unaudited) (continued)

 

 

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.

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

The WisdomTree U.S. High Yield Corporate Bond, Zero Duration Index is a rules-based

alternatively weighted index that is designed to provide exposure to U.S. high yield corporate bonds with a short position in U.S. Treasuries where the net interest rate exposure of the index is adjusted to a zero year duration.

* * * * * *

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

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).

The CBOE S&P 500 PutWrite Index is a product of S&P Dow Jones Indices LLC or its affiliates (“SPDJI”) and CBOE® and has been licensed for use by WisdomTree. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is registered trademark of Dow Jones Trademarks Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by WisdomTree. CBOE® is a trademark of the Chicago Board Options Exchange, Incorporated, and has been licensed for use by SPDJI and WisdomTree. The WisdomTree CBOE S&P 500 PutWrite Strategy Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates or the Chicago Board Options Exchange, Incorporated, and none of such parties make any

 

22   WisdomTree Trust


Table of Contents

Description of Terms and Indexes (unaudited) (concluded)

 

representation regarding the advisability of investing in such product(s), nor do they have any liability for any errors, omissions or interruptions of the CBOE S&P 500 PutWrite Index.

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 Investments, 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 Investments is the licensor of certain trademarks, service marks and trade names of the Funds. WisdomTree Investments 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 Investments is not responsible for, and has not participated in, the determination of the timing of, prices of, or quantities of shares of the Funds to be issued or in the determination or calculation of the equation by which the shares of the Funds are redeemable. WisdomTree and the Funds do not guarantee the accuracy, completeness, or performance of the underlying Indexes or the data included therein and shall have no liability in connection with the underlying Indexes or their calculation.

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

* * * * * *

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

 

CURRENCY ABBREVIATIONS:     
AUD   Australian dollar    EGP   Egyptian pound    PEN   Peruvian nuevo sol
BRL   Brazilian real    GBP   British pound    PHP   Philippine peso
CAD   Canadian dollar    HKD   Hong Kong dollar    PLN   Polish zloty
CHF   Swiss franc    HUF   Hungary forint    RON   Romanian leu
CLP   Chilean peso    IDR   Indonesian rupiah    RUB   Russian ruble
CNH   Offshore Chinese renminbi    INR   Indian rupee    THB   Thai baht
CNY   Chinese yuan    JPY   Japanese yen    TRY   Turkish new lira
COP   Colombian peso    KRW   South Korean won    USD   U.S. dollar
CZK   Czech koruna    MXN   Mexican peso    ZAR   South African rand
EUR   Euro    MYR   Malaysian ringgit     
OTHER ABBREVIATIONS:                      
ADR   American Depositary Receipt  
HEMC   Home Equity Conversion Mortgage
HRW   Hard Red Winter  
RBOB   Reformulated Blendstock for Oxygenate Blending  
REMIC   Real Estate Mortgage Investment Conduit  
STACR   Structured Agency Credit Risk  
STRIPS   Separate Trading of Registered Interest and Principal of Securities  
ULSD   Ultra-Low-Sulfur Diesel  
WTI   West Texas Intermediate  

 

WisdomTree Trust      23  


Table of Contents

Schedule of Investments (unaudited)

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

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 95.6%

 

U.S. Treasury Bills – 95.6%

 

0.05%, 4/7/22*

   $ 26,075,000      $ 26,072,655  

0.09%, 5/12/22*

     26,043,000        26,028,807  

0.48%, 6/9/22*

     24,500,000        24,475,075  

0.50%, 7/7/22*

     26,150,000        26,103,162  
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost: $102,683,902)

 

     102,679,699  
EXCHANGE-TRADED FUND – 4.3%

 

United States – 4.3%

 

WisdomTree Floating Rate Treasury Fund(a)

     
(Cost: $4,645,341)      185,000      $ 4,649,050  

TOTAL INVESTMENTS IN SECURITIES – 99.9%

(Cost: $107,329,243)

 

 

     107,328,749  

Other Assets less Liabilities – 0.1%

 

     116,097  
  

 

 

 
NET ASSETS – 100.0%

 

   $ 107,444,846  
* 

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, 2022 were as follows:

 

Affiliate   Value at
8/31/2021
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
2/28/2022
    Dividend
Income
    Capital Gain
Distributions
 

WisdomTree Floating Rate Treasury Fund

  $ 5,898,500     $ 502,250     $ 1,757,556     $ (921   $ 6,777     $ 4,649,050     $     $ 489  

 

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
 

Barclays Bank PLC

    3/3/2022       7,974,000       AUD       5,791,883       USD     $     $ (321

Barclays Bank PLC

    3/3/2022       31,591,000       EUR       35,425,073       USD             (2,357

Barclays Bank PLC

    3/3/2022       6,085,234       USD       5,635,000       CHF             (59,375

Barclays Bank PLC

    3/3/2022       14,615,423       USD       10,870,000       GBP       33,211        

Barclays Bank PLC

    3/7/2022       241,353,000       INR       3,203,517       USD             (1,654

Barclays Bank PLC

    3/7/2022       3,775,611       USD       282,680,000       INR       25,491        

Barclays Bank PLC

    4/7/2022       5,548,553       USD       7,635,000       AUD       55        

Barclays Bank PLC

    4/7/2022       35,090,813       USD       31,250,000       EUR       152        

Barclays Bank PLC

    4/7/2022       3,186,436       USD       241,175,000       INR             (2,096

Citibank NA

    3/3/2022       272,390       USD       385,000       AUD             (7,237

Citibank NA

    3/3/2022       627,138       USD       800,000       CAD             (4,030

Citibank NA

    3/3/2022       254,182       USD       235,000       CHF             (2,071

Citibank NA

    3/3/2022       157,666       USD       1,005,000       CNH             (1,425

Citibank NA

    3/3/2022       1,753,239       USD       1,530,000       EUR       37,663        

Citibank NA

    3/3/2022       608,668       USD       450,000       GBP       4,988        

Citibank NA

    3/3/2022       18,589,246       USD       2,138,795,000       JPY             (14,945

Citibank NA

    3/3/2022       768,306       USD       88,495,000       JPY             (1,463

Citibank NA

    3/3/2022       522,277       USD       10,840,000       MXN             (6,908

Citibank NA

    3/7/2022       4,240,664       USD       5,110,000,000       KRW             (8,781

Goldman Sachs

    3/3/2022       41,675,229       USD       37,075,000       EUR       103,350        

HSBC Holdings PLC

    3/3/2022       1,826,443,000       JPY       15,887,460       USD             (245

HSBC Holdings PLC

    3/3/2022       225,891,000       MXN       11,027,845       USD             (346

HSBC Holdings PLC

    4/7/2022       15,790,094       USD       1,813,955,000       JPY             (1,145

HSBC Holdings PLC

    4/7/2022       10,692,868       USD       220,350,000       MXN             (390

JP Morgan Chase Bank NA

    3/3/2022       1,555,000       AUD       1,110,340       USD       19,065        

JP Morgan Chase Bank NA

    3/3/2022       292,000       AUD       209,215       USD       2,867        

JP Morgan Chase Bank NA

    3/3/2022       3,221,000       CAD       2,542,627       USD             (1,388

JP Morgan Chase Bank NA

    3/3/2022       605,000       CAD       475,533       USD       1,787        

JP Morgan Chase Bank NA

    3/3/2022       938,000       CHF       1,021,274       USD       1,556        

JP Morgan Chase Bank NA

    3/3/2022       176,000       CHF       190,014       USD       1,903        

 

See Notes to Financial Statements.

 

24   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2022

 

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
 

JP Morgan Chase Bank NA

    3/3/2022       4,814,000       CHF       5,249,493       USD     $     $ (132

JP Morgan Chase Bank NA

    3/3/2022       4,042,000       CNH       634,763       USD       5,084        

JP Morgan Chase Bank NA

    3/3/2022       759,000       CNH       119,158       USD       991        

JP Morgan Chase Bank NA

    3/3/2022       20,734,000       CNH       3,282,308       USD             (120

JP Morgan Chase Bank NA

    3/3/2022       6,158,000       EUR       6,965,104       USD             (60,192

JP Morgan Chase Bank NA

    3/3/2022       1,156,000       EUR       1,322,048       USD             (25,835

JP Morgan Chase Bank NA

    3/3/2022       1,809,000       GBP       2,454,429       USD             (27,638

JP Morgan Chase Bank NA

    3/3/2022       340,000       GBP       460,837       USD             (4,723

JP Morgan Chase Bank NA

    3/3/2022       356,035,000       JPY       3,111,365       USD             (14,414

JP Morgan Chase Bank NA

    3/3/2022       66,824,000       JPY       575,977       USD       5,288        

JP Morgan Chase Bank NA

    3/3/2022       44,054,000       MXN       2,133,144       USD       17,475        

JP Morgan Chase Bank NA

    3/3/2022       8,265,000       MXN       400,876       USD       2,603        

JP Morgan Chase Bank NA

    3/3/2022       68,430       USD       96,000       AUD             (1,295

JP Morgan Chase Bank NA

    3/3/2022       156,873       USD       199,000       CAD             (130

JP Morgan Chase Bank NA

    3/3/2022       63,015       USD       58,000       CHF             (230

JP Morgan Chase Bank NA

    3/3/2022       3,804,024       USD       24,280,000       CNH             (39,494

JP Morgan Chase Bank NA

    3/3/2022       39,175       USD       250,000       CNH             (400

JP Morgan Chase Bank NA

    3/3/2022       338,253       USD       300,000       EUR       1,866        

JP Morgan Chase Bank NA

    3/3/2022       151,421       USD       112,000       GBP       1,172        

JP Morgan Chase Bank NA

    3/3/2022       191,957       USD       22,012,000       JPY       487        

JP Morgan Chase Bank NA

    3/3/2022       12,779,042       USD       264,870,000       MXN             (151,326

JP Morgan Chase Bank NA

    3/3/2022       121,080       USD       2,500,000       MXN             (965

JP Morgan Chase Bank NA

    3/7/2022       165,204,000       KRW       137,613       USD             (230

JP Morgan Chase Bank NA

    3/7/2022       38,766       USD       2,909,000       INR       174        

JP Morgan Chase Bank NA

    3/7/2022       155,645       USD       11,650,000       INR       1,092        

JP Morgan Chase Bank NA

    3/7/2022       43,659       USD       52,590,000       KRW             (74

JP Morgan Chase Bank NA

    3/7/2022       181,745       USD       218,000,000       KRW       458        

JP Morgan Chase Bank NA

    4/7/2022       5,149,449       USD       4,715,000       CHF             (163

JP Morgan Chase Bank NA

    4/7/2022       3,227,611       USD       20,440,000       CNH             (188

Standard Chartered Bank

    3/7/2022       4,515,386,000       KRW       3,754,687       USD       281        

Standard Chartered Bank

    4/7/2022       3,692,501       USD       4,442,965,000       KRW             (414

UBS AG

    3/3/2022       16,523,000       CAD       13,036,124       USD             (141

UBS AG

    3/3/2022       9,283,000       GBP       12,453,451       USD             (215

UBS AG

    3/3/2022       6,604,454       USD       9,340,000       AUD             (179,242

UBS AG

    3/3/2022       15,221,981       USD       19,350,000       CAD             (44,391

UBS AG

    3/7/2022       47,056,000       INR       626,995       USD             (2,736

UBS AG

    3/7/2022       8,830,000       INR       116,977       USD       165        

UBS AG

    3/7/2022       700,000,000       KRW       582,920       USD             (805

UBS AG

    4/7/2022       12,866,352       USD       16,305,000       CAD       550        

UBS AG

    4/7/2022       12,365,268       USD       9,215,000       GBP             (318
                                            $ 269,774     $ (671,988

 

See Notes to Financial Statements.

 

WisdomTree Trust      25  


Table of Contents

Schedule of Investments (unaudited) (concluded)

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

February 28, 2022

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 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

   $      $ 102,679,699      $      $ 102,679,699  

Exchange-Traded Fund

     4,649,050                      4,649,050  

Total Investments in Securities

   $ 4,649,050      $ 102,679,699      $      $ 107,328,749  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ 269,774      $      $ 269,774  

Liabilities:

  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ (671,988    $      $ (671,988

Total – Net

   $ 4,649,050      $ 102,277,485      $      $ 106,926,535  
1 

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

 

See Notes to Financial Statements.

 

26   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Chinese Yuan Strategy Fund (CYB)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 61.8%

 

U.S. Treasury Bills – 61.8%

 

0.05%, 4/7/22*

   $ 10,719,000      $ 10,718,036  

0.34%, 6/9/22*

     10,225,000        10,214,598  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $20,934,054)

 

 

     20,932,634  
      Shares          
EXCHANGE-TRADED FUND – 4.8%

 

United States – 4.8%

 

WisdomTree Floating Rate Treasury Fund(a)

     
(Cost: $1,621,671)      64,600        1,623,398  
REPURCHASE AGREEMENT – 31.9%

 

United States – 31.9%

 

Citigroup, Inc., tri-party repurchase agreement dated 2/28/22 (tri-party custodian: The Bank of New York Mellon Corp.), 0.06% due 3/1/22; Proceeds at maturity – $10,790,018 (fully collateralized by Ginnie Mae II Single Family, 2.00% – 4.00% due 1/20/52, Ginnie Mae II Single Family Platinum, 3.50% due 1/20/52; Market value including accrued interest – $11,330,561)

     
(Cost: $10,790,000)    $ 10,790,000      $ 10,790,000  

TOTAL INVESTMENTS IN SECURITIES – 98.5%

(Cost: $33,345,725)

 

 

     33,346,032  

Other Assets less Liabilities – 1.5%

 

     511,097  
  

 

 

 
NET ASSETS – 100.0%

 

   $ 33,857,129  
* 

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, 2022 were as follows:

 

Affiliate   Value at
8/31/2021
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
2/28/2022
    Dividend
Income
    Capital Gain
Distributions
 

WisdomTree Floating Rate Treasury Fund

  $ 1,822,260     $     $ 200,700     $ (201   $ 2,039     $ 1,623,398     $     $ 152  

 

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

    3/14/2022       385,184       USD       2,467,000       CNY     $     $ (5,226

Citibank NA

    3/14/2022       394,072       USD       2,513,000       CNY             (3,617

Citibank NA

    4/15/2022       889,640       USD       5,684,000       CNY             (7,619

Goldman Sachs

    3/14/2022       37,770,000       CNY       5,864,907       USD       112,305        

HSBC Holdings PLC

    3/14/2022       197,496       USD       1,262,000       CNY             (2,219

JP Morgan Chase Bank NA

    5/18/2022       79,500,000       CNY       12,401,529       USD       118,015        

Morgan Stanley & Co. International

    3/14/2022       4,980,727       USD       31,528,000       CNY             (8,670

Morgan Stanley & Co. International

    4/14/2022       34,700,000       CNH       5,410,080       USD       69,340        

Morgan Stanley & Co. International

    4/15/2022       77,000,000       CNY       11,988,167       USD       166,826        

Morgan Stanley & Co. International

    6/14/2022       31,745,000       CNY       4,987,431       USD       3,494        

UBS AG

    4/14/2022       401,078       USD       2,561,000       CNH             (3,325
                                            $ 469,980     $ (30,676

 

See Notes to Financial Statements.

 

WisdomTree Trust      27  


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Chinese Yuan Strategy Fund (CYB)

February 28, 2022

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 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

   $      $ 20,932,634      $      $ 20,932,634  

Exchange-Traded Fund

     1,623,398                      1,623,398  

Repurchase Agreement

            10,790,000               10,790,000  

Total Investments in Securities

   $ 1,623,398      $ 31,722,634      $      $ 33,346,032  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ 469,980      $      $ 469,980  

Liabilities:

  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ (30,676    $      $ (30,676

Total – Net

   $ 1,623,398      $ 32,161,938      $      $ 33,785,336  
1 

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

 

See Notes to Financial Statements.

 

28   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Emerging Currency Strategy Fund (CEW)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 68.0%

 

U.S. Treasury Bills – 68.0%

 

0.05%, 4/7/22*

   $ 5,508,000      $ 5,507,505  

0.34%, 6/9/22*

     3,790,000        3,786,144  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $9,294,241)

 

 

     9,293,649  
      Shares          
EXCHANGE-TRADED FUND – 4.2%

 

United States – 4.2%

 

WisdomTree Floating Rate Treasury Fund(a)

     
(Cost: $567,357)      22,600        567,938  
REPURCHASE AGREEMENT – 28.7%

 

United States – 28.7%

 

Citigroup, Inc., tri-party repurchase agreement dated 2/28/22 (tri-party custodian: The Bank of New York Mellon Corp.), 0.06% due 3/1/22; Proceeds at maturity – $3,930,007 (fully collateralized by U.S. Treasury Inflation Indexed Bond, 0.13% due 1/15/23; Market value including accrued interest – $4,008,673)

     
(Cost: $3,930,000)    $ 3,930,000      $ 3,930,000  

TOTAL INVESTMENTS IN SECURITIES – 100.9%

(Cost: $13,791,598)

 

 

     13,791,587  

Other Assets less Liabilities – (0.9)%

 

     (116,460
  

 

 

 
NET ASSETS – 100.0%

 

   $ 13,675,127  
* 

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, 2022 were as follows:

 

Affiliate   Value at
8/31/2021
    Purchases/
Additions
    Sales/
Reductions
    Realized
Gain/(Loss)
    Change in
Unrealized
Appreciation/
Depreciation
    Value at
2/28/2022
    Dividend
Income
    Capital Gain
Distributions
 

WisdomTree Floating Rate Treasury Fund

  $ 567,260     $ 125,563     $ 125,474     $ (88   $ 677     $ 567,938     $     $ 47  

 

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
 

BNP Paribas SA

    5/10/2022       14,465,000       ZAR       911,188       USD     $ 16,751     $  

Bank of America NA

    5/10/2022       13,515,000       TRY       941,532       USD             (53,138

Barclays Bank PLC

    5/10/2022       1,117,700,000       KRW       921,967       USD       4,969        

Citibank NA

    5/10/2022       757,315,000       CLP       917,113       USD       27,034        

Goldman Sachs

    5/10/2022       3,820,000       PLN       921,060       USD             (12,645

Goldman Sachs

    5/11/2022       73,820,000       RUB       923,812       USD             (276,845

HSBC Holdings PLC

    5/10/2022       70,495,000       INR       927,127       USD             (1,449

JP Morgan Chase Bank NA

    5/10/2022       13,431,825,000       IDR       925,376       USD       4,059        

Morgan Stanley & Co. International

    5/10/2022       5,140,000       BRL       928,888       USD       50,561        

Morgan Stanley & Co. International

    5/10/2022       5,945,000       CNH       928,520       USD       8,588        

Morgan Stanley & Co. International

    5/10/2022       3,905,000       MYR       928,634       USD             (1,130

Royal Bank of Canada

    5/10/2022       19,560,000       MXN       921,686       USD       23,928        

Standard Chartered Bank

    5/10/2022       30,795,000       THB       921,650       USD       19,494        

UBS AG

    5/10/2022       3,700,000,000       COP       918,798       USD       22,131        

UBS AG

    5/10/2022       47,825,000       PHP       914,523       USD       11,008        
                                            $ 188,523     $ (345,207

 

See Notes to Financial Statements.

 

WisdomTree Trust      29  


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Emerging Currency Strategy Fund (CEW)

February 28, 2022

 

FAIR VALUATION SUMMARY

The following is a summary of the fair valuations according to the inputs used as of February 28, 2022 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

   $      $ 9,293,649      $      $ 9,293,649  

Exchange-Traded Fund

     567,938                      567,938  

Repurchase Agreement

            3,930,000               3,930,000  

Total Investments in Securities

   $ 567,938      $ 13,223,649      $      $ 13,791,587  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ 188,523      $      $ 188,523  

Liabilities:

  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ (345,207    $      $ (345,207

Total – Net

   $ 567,938      $ 13,066,965      $      $ 13,634,903  
1 

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

 

See Notes to Financial Statements.

 

30   WisdomTree Trust


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
FOREIGN CORPORATE BONDS – 96.7%

 

Argentina – 2.3%

 

Arcor SAIC
6.00%, 7/6/23(a)

   $ 500,000      $ 487,571  

MercadoLibre, Inc.
2.38%, 1/14/26

     200,000        187,590  

3.13%, 1/14/31

     400,000        350,652  

YPF SA
8.50%, 7/28/25(a)

     200,000        159,880  

8.50%, 6/27/29(b)

     263,000        193,372  
     

 

 

 
Total Argentina

 

     1,379,065  
Austria – 0.4%

 

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

     226,000        258,488  
Brazil – 7.5%

 

Arcos Dorados Holdings, Inc.
5.88%, 4/4/27(b)

     200,000        204,050  

Braskem Netherlands Finance BV
4.50%, 1/31/30(b)

     400,000        396,000  

Centrais Eletricas Brasileiras SA
4.63%, 2/4/30(b)

     200,000        190,220  

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

     325,000        295,555  

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

     306,000        329,256  

Hidrovias International Finance Sarl
4.95%, 2/8/31(b)

     325,000        279,485  

Itau Unibanco Holding SA

     

4.63%, 2/27/25, (4.625% fixed rate until 2/27/25; 5-year Constant Maturity Treasury Rate + 3.222% thereafter)(b)(c)(d)(e)

     300,000        276,015  

3.88%, 4/15/31, (3.875% fixed rate until 1/15/26; 5-year Constant Maturity Treasury Rate + 3.446% thereafter)(b)(c)

     275,000        258,005  

Klabin Finance SA
4.88%, 9/19/27(b)

     300,000        306,900  

Minerva Luxembourg SA
5.88%, 1/19/28(b)

     200,000        211,551  

4.38%, 3/18/31(b)

     275,000        250,586  

Natura Cosmeticos SA
4.13%, 5/3/28(b)

     400,000        378,568  

4.13%, 5/3/28(a)

     200,000        189,284  

Petrobras Global Finance BV
7.38%, 1/17/27

     200,000        224,250  

5.60%, 1/3/31

     200,000        199,944  

St Marys Cement, Inc.
5.75%, 1/28/27(a)

     300,000        326,140  

5.75%, 1/28/27(b)

     200,000        217,427  
     

 

 

 
Total Brazil

 

     4,533,236  
Chile – 5.6%

 

Alfa Desarrollo SpA
4.55%, 9/27/51(b)

     635,000        546,100  

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

     300,000        279,173  

Celulosa Arauco y Constitucion SA
4.50%, 8/1/24

   200,000      207,412  

5.50%, 11/2/47

     325,000        337,015  

Cia Cervecerias Unidas SA
3.35%, 1/19/32(b)(e)

     230,000        223,537  

Colbun SA
3.95%, 10/11/27(b)

     200,000        204,257  

Empresa Nacional del Petroleo
3.45%, 9/16/31(b)

     200,000        183,710  

Falabella SA
3.38%, 1/15/32(b)

     400,000        374,000  

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

     325,000        297,619  

VTR Comunicaciones SpA
5.13%, 1/15/28(b)

     461,000        454,949  

4.38%, 4/15/29(b)

     275,000        263,313  
     

 

 

 
Total Chile

 

     3,371,085  
China – 2.6%

 

Alibaba Group Holding Ltd.
3.40%, 12/6/27

     500,000        508,000  

Bank of China Ltd.
5.00%, 11/13/24(a)(e)

     350,000        373,801  

CNAC HK Finbridge Co. Ltd.
5.13%, 3/14/28(a)

     200,000        219,312  

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

     300,000        293,249  

Tencent Holdings Ltd.
3.93%, 1/19/38(a)

     200,000        195,529  
     

 

 

 
Total China

 

     1,589,891  
Colombia – 7.0%

 

Banco Bilbao Vizcaya Argentaria Colombia SA
4.88%, 4/21/25(a)

     200,000        200,663  

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)

     635,000        609,441  

Canacol Energy Ltd.
5.75%, 11/24/28(b)

     275,000        258,328  

Ecopetrol SA
6.88%, 4/29/30

     900,000        942,300  

5.88%, 5/28/45(e)

     70,000        60,734  

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

     375,000        358,594  

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

     500,000        467,375  

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

     250,000        237,381  

4.00%, 7/14/27(a)

     200,000        189,905  

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

     200,000        179,771  

SierraCol Energy Andina LLC
6.00%, 6/15/28(b)

     300,000        273,865  

Transportadora de Gas Internacional SA ESP
5.55%, 11/1/28(b)

     400,000        416,600  
     

 

 

 
Total Colombia

 

     4,194,957  

 

See Notes to Financial Statements.

 

WisdomTree Trust      31  


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

February 28, 2022

 

 

 

Investments    Principal
Amount
     Value  
Ghana – 0.8%

 

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

   $ 465,000      $ 453,375  
Guatemala – 1.6%

 

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

     460,000        467,613  

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

     500,000        502,500  
     

 

 

 
Total Guatemala

 

     970,113  
Hong Kong – 1.6%

 

Melco Resorts Finance Ltd.
4.88%, 6/6/25(a)

     200,000        190,400  

5.75%, 7/21/28(b)

     275,000        248,684  

5.75%, 7/21/28(a)

     325,000        293,899  

5.38%, 12/4/29(a)

     250,000        217,400  
     

 

 

 
Total Hong Kong

 

     950,383  
India – 5.9%

 

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

     200,000        195,405  

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

     323,000        341,258  

Bharti Airtel Ltd.
4.38%, 6/10/25(a)

     200,000        207,869  

3.25%, 6/3/31(a)(e)

     200,000        189,542  

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

     600,000        556,500  

Network i2i Ltd.

     

3.98%, 3/3/26, (3.975% fixed rate until 3/3/26; 5-year Constant Maturity Treasury Rate + 3.39% thereafter)(b)(c)(d)(e)

     300,000        286,742  

Reliance Industries Ltd.
3.67%, 11/30/27(b)

     400,000        415,333  

2.88%, 1/12/32(b)

     335,000        312,805  

Summit Digitel Infrastructure Pvt. Ltd.
2.88%, 8/12/31(b)

     350,000        318,530  

Vedanta Resources Finance II PLC
13.88%, 1/21/24(b)

     275,000        280,500  

8.95%, 3/11/25(b)(e)

     450,000        421,875  
     

 

 

 
Total India

 

     3,526,359  
Indonesia – 2.8%

 

Medco Bell Pte Ltd.
6.38%, 1/30/27(b)

     478,000        464,138  

Medco Oak Tree Pte Ltd.
7.38%, 5/14/26(a)

     200,000        202,500  

Pertamina Persero PT
3.10%, 1/21/30(b)

     250,000        240,388  

6.45%, 5/30/44(a)

     200,000        235,815  

Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
4.13%, 5/15/27(a)

     541,000        553,876  
     

 

 

 
Total Indonesia

 

     1,696,717  
Ireland – 1.0%

 

C&W Senior Financing DAC
6.88%, 9/15/27(a)

   600,000      622,488  
Israel – 4.8%

 

Bank Hapoalim BM

     

3.26%, 1/21/32, (3.255% fixed rate until 1/21/32; 5-year Constant Maturity Treasury Rate + 2.155% thereafter)(a)(b)(c)

     475,000        457,781  

Bank Leumi Le-Israel BM

     

3.28%, 1/29/31, (3.275% fixed rate until 1/29/26; 5-year Constant Maturity Treasury Rate + 1.631% thereafter)(a)(b)(c)

     500,000        474,688  

Israel Electric Corp. Ltd.
4.25%, 8/14/28, Series GMTN(a)(b)

     300,000        315,090  

Mizrahi Tefahot Bank Ltd.

     

3.08%, 4/7/31, (3.077% fixed rate until 4/7/26; 5-year Constant Maturity Treasury Rate + 2.25% thereafter)(a)(b)(c)

     350,000        336,875  

Teva Pharmaceutical Finance Netherlands III BV
3.15%, 10/1/26

     650,000        586,625  

4.75%, 5/9/27

     200,000        191,875  

5.13%, 5/9/29

     525,000        503,993  
     

 

 

 
Total Israel

 

     2,866,927  
Jamaica – 0.1%

 

Digicel International Finance Ltd. / Digicel International Holdings Ltd.
8.75%, 5/25/24(b)

     81,000        81,846  
Kazakhstan – 2.2%

 

KazMunayGas National Co. JSC
3.50%, 4/14/33(b)(e)

     380,000        345,800  

Tengizchevroil Finance Co. International Ltd. 3.25%, 8/15/30(b)

     798,000        726,180  

3.25%, 8/15/30(a)

     250,000        227,500  
     

 

 

 
Total Kazakhstan

 

     1,299,480  
Kuwait – 3.7%

 

Equate Petrochemical BV
4.25%, 11/3/26(a)

     400,000        413,606  

2.63%, 4/28/28(b)

     350,000        332,377  

2.63%, 4/28/28(a)

     200,000        189,930  

NBK Tier 1 Financing 2 Ltd.

     

4.50%, 8/27/25, (4.50% fixed rate until 8/27/25; 6-year U.S. dollar Swap Rate + 2.832% thereafter)(b)(c)(d)

     700,000        694,750  

4.50%, 8/27/25, (4.50% fixed rate until 8/27/25; 6-year U.S. dollar Swap Rate + 2.832% thereafter)(a)(c)(d)

     400,000        397,000