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WisdomTree Trust

Annual Report

August 31, 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 Equity Strategy Fund (GDE)

WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (GDMN)

WisdomTree Enhanced Commodity Strategy Fund (GCC)

WisdomTree Managed Futures Strategy Fund (WTMF)

WisdomTree Target Range Fund (GTR)


Table of Contents

 

Market Environment Overview (unaudited)

       1  

Information about Performance and Shareholder Expense Examples (unaudited)

       3  

Management’s Discussion of Funds’ Performance (unaudited)

       4  

Description of Terms and Indexes (unaudited)

       22  
Schedules of Investments

 

WisdomTree Bloomberg U.S. Dollar Bullish Fund

       28  

WisdomTree Chinese Yuan Strategy Fund

       32  

WisdomTree Emerging Currency Strategy Fund

       34  

WisdomTree Emerging Markets Corporate Bond Fund

       36  

WisdomTree Emerging Markets Local Debt Fund

       41  

WisdomTree Floating Rate Treasury Fund

       45  

WisdomTree Interest Rate Hedged High Yield Bond Fund

       46  

WisdomTree Interest Rate Hedged U.S. Aggregate Bond Fund

       55  

WisdomTree Mortgage Plus Bond Fund

       86  

WisdomTree Yield Enhanced U.S. Aggregate Bond Fund

       89  

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

       121  

WisdomTree Alternative Income Fund

       127  

WisdomTree CBOE S&P 500 PutWrite Strategy Fund

       128  

WisdomTree Efficient Gold Plus Equity Strategy Fund (consolidated)

       129  

WisdomTree Efficient Gold Plus Gold Miners Strategy Fund (consolidated)

       136  

WisdomTree Enhanced Commodity Strategy Fund (consolidated)

       138  

WisdomTree Managed Futures Strategy Fund (consolidated)

       140  

WisdomTree Target Range Fund

       142  

Statements of Assets and Liabilities

       144  

Statements of Operations

       148  

Statements of Changes in Net Assets

       152  

Financial Highlights

       158  

Notes to Financial Statements

       168  

Report of Independent Registered Public Accounting Firm

       190  

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

       192  

Liquidity Risk Management Program (unaudited)

       194  

Trustees and Officers Information (unaudited)

       195  

Supplemental Information (unaudited)

       197  

General Information (unaudited)

       199  

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


Market Environment Overview

(unaudited)

 

Global equity markets, as measured by the MSCI ACWI Index, returned -15.88% in U.S. dollar terms for the 12-month period ending August 31, 2022. Over the same period, U.S. equities, measured by the S&P 500 Index, returned -11.23%. Internationally, the MSCI EAFE Index, which represents equity markets in the developed world outside the U.S. and Canada, returned -19.80% in U.S. dollar terms. Within the developing world, the MSCI Emerging Markets Index returned -21.80% in U.S. dollar terms.

The Bloomberg U.S. Aggregate Bond Index, a measurement of broad U.S. fixed income, lost 11.52% over the fiscal year. Commodities have been a strong beneficiary of this year’s market volatility, with the Bloomberg Commodity Index, representing global commodity activity, returning 27.72%. Foreign exchange performance over the 12-month period was also mixed, but the U.S. dollar strengthened considerably against most developed and emerging market currencies. Every G10 currency weakened against the U.S. dollar, while only a small handful of emerging market currencies have strengthened against it. The CBOE® Volatility Index, which measures options market positioning as a proxy for volatility, crept higher over the fiscal year and exhibited brief spikes coinciding with major headline risks.

Equity markets struggled over the 12-month period. As the calendar turned to 2022, markets turned risk-off over concerns of stubbornly high inflation and the expectation that central banks around the world would have to raise interest rates to quell surging price levels. Though most monetary authorities have begun their rate hike campaigns, investors have yet to see them begin to consistently dampen inflation by the end of the fiscal year. Inflationary impulses have been exacerbated by Russia’s war with Ukraine, which began in early 2022 and caused a ripple effect of issues affecting energy supplies and global supply chains. Markets have begun to expect that central banks will have to tighten monetary policy so much that they may tip their economies into a recession just to fight inflation. Meanwhile, bond yields are rising commensurate with interest rate expectations, resulting in a higher (though inverted) yield curve than we’ve encountered in the past few years. These prevailing bearish sentiments had material impacts for the equity, fixed income, commodity, and currency markets.

The remaining four months of 2021 were volatile, although they pale in comparison to the drawdowns experienced so far in 2022. With monetary policy around the world remaining firmly accommodative, investors turned their attention to when central banks may have to finally begin raising rates to prevent the recovering economy from overheating. Coupled with a few temporary COVID-19 surges, markets did not regain their footing until December. Equity markets were mixed, led by U.S. equities, and weighed down by emerging markets by about 6% and -5% respectively, while the remaining indexes mentioned above were roughly flat.

Beginning 2022, investors’ concerns over inflation and the ensuing effect on monetary policy took hold of markets, sending equities and fixed income lower in unison. Record inflation rates, exacerbated by ripple effects from the Russia-Ukraine war, provided a massive tailwind to commodities, however, with the Bloomberg Commodity Index, gaining over 25% in the first quarter of 2022 alone. Meanwhile, the U.S. dollar began its surge as markets forecasted that forthcoming higher interest rates in the U.S. would not immediately be offset by rate hikes in other areas of the world, propelling it to new highs. By the end of Q1 2022, major currencies like the British pound sterling (GBP), euro (EUR) and Japanese yen (JPY) all weakened by about 3-5% versus the U.S. dollar. Overall, the bearish overhang weighed too heavily on most markets, rendering them unable to recover during the quarter.

The second quarter of 2022 provided much of the same sentiment and volatility that characterized the first quarter, but on a greater scale. Inflation remained stubbornly high, and the effects of the ongoing war between Russia and Ukraine left investors with little to be excited about. After a particularly volatile June, the equity indexes fell between 10-15% each. Inflation continued to eat into fixed income returns as well, sending the Bloomberg U.S. Aggregate Bond Index down another 5% as well. Even commodities fell back down to earth after their stellar first quarter, falling about 6%. By the end of the second quarter

 

WisdomTree Trust      1  


Market Environment Overview

(unaudited) (concluded)

 

of 2022, all G10 currencies were weaker versus the U.S. dollar by anywhere from 3-10%, with the GBP, EUR and JPY continuing their slide.

The final two months of the fiscal year saw a brief reprieve from the first half of 2022’s volatility in July, only for markets to continue falling in August. The narrative has unfortunately been the same: stubbornly high inflation, partially due to higher energy prices, indicates that the U.S. Federal Reserve and other central banks must raise rates even higher to combat it, even if it means tipping economies into recession. That bearish sentiment continues to weigh on equity indexes, and forced them to give up most, if not all, of their brief July gains by the end of the fiscal year in August. U.S. Treasury yields continue to climb, weighing on fixed income more broadly, though the yield curve remains inverted, potentially portending a recession if historical indications hold. Commodities have regained their footing again amid the record inflation readings, while the U.S. dollar continues to strengthen. Existing currency pair relationships have tested levels last seen decades ago, with the JPY hovering near 145 and the EUR near parity with the U.S. dollar. Even the GBP has breached 1.15 per U.S. dollar after trading in the 1.25-1.50 range for much of the past decade.

Each WisdomTree Fund’s performance as set forth in “Management’s Discussion of Funds’ Performance” in the pages that follow should also be viewed in light of the foregoing market environment.

 

2   WisdomTree Trust


Information about Performance and Shareholder Expense Examples (unaudited)

Performance

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

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

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

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

Shareholder Expense Examples

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

The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire period from March 1, 2022 to August 31, 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 184/365 (to reflect the one-half year period). The annualized expense ratio does not include acquired fund fees and expenses (“AFFEs”), which are fees and expenses incurred indirectly by a Fund through its investments in certain underlying investment companies.

Actual expenses

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

Hypothetical example for comparison purposes

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

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

 

WisdomTree Trust      3  


Management’s Discussion of Funds’ Performance

as of August 31, 2022 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    93.8%  

Exchange-Traded Funds

    4.2%  

Other Assets less Liabilities‡

    2.0%  

Total

    100.0%  

 

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

 

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

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
1.69%, 10/13/22

    23.6

U.S. Treasury Bill,
1.49%, 9/15/22

    23.5

U.S. Treasury Bill,
2.72%, 12/8/22

    23.4

U.S. Treasury Bill,
2.25%, 11/17/22

    23.3

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).

 

^

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

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

The Fund returned 12.67% at net asset value (“NAV”) for the fiscal year ended August 31, 2022 (for more complete performance information please see the table below). The U.S. dollar generally appreciated versus a basket of global currencies. Overall, the Fund’s use of derivatives to gain long exposure to the U.S. dollar measured against a basket of global currencies added to performance during the fiscal year as the U.S. dollar strengthened. Additionally, interest rates in the U.S. Treasury market began to increase as the Federal Reserve sought to combat inflation. Compared to other major central banks, the U.S. increased rates at a faster pace leading to broad-based dollar strength. Additionally, higher rates also increased returns for the Fund due to higher income on Fund collateral invested in U.S. Treasury bills as part of its investment strategy.

Shareholder Expense Example (for the six-month period ended August 31, 2022)

 

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

Actual

   $ 1,000.00      $ 1,099.20        0.50 %1    $ 2.65  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.68        0.50 %1    $ 2.55  
1 

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

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       12.67      2.06      3.29      3.04

Fund Market Price Returns

       12.64      1.88      3.30      3.04

Bloomberg Dollar Total Return Index

       13.27      2.38      3.29      3.24

Bloomberg Dollar Spot Index

       12.98      2.12      2.36      2.78
1 

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

 

LOGO

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

 

4   WisdomTree Trust


Management’s Discussion of Funds’ Performance

as of August 31, 2022 (unaudited)

WisdomTree Chinese Yuan Strategy Fund (CYB)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    65.0%  

Exchange-Traded Funds

    4.0%  

Repurchase Agreement

    31.8%  

Other Assets less Liabilities‡

    -0.8%  

Total

    100.0%  

 

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

 

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,
1.28%, 10/13/22

    34.5

Citigroup, Inc., tri-party repurchase agreement,
2.30%, 9/1/22††

    31.8

U.S. Treasury Bill,
2.75%, 12/8/22

    30.5

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.0
*

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

 

††

Fully collateralized by U.S. Government agency securities.

 

^

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

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

The Fund returned -3.88% at net asset value (“NAV”) for the fiscal year ended August 31, 2022 (for more complete performance information please see the table below). After depreciating modestly versus the Chinese yuan to start the fiscal year, the U.S. dollar generally appreciated after April 2022. As a result, the Fund’s use of derivatives to gain exposure to the Chinese yuan detracted from Fund performance during the fiscal year as the U.S. dollar strengthened. Aggressive rate hikes by the Federal Reserve to combat inflation led to increased demand for U.S. dollars. Additionally, China’s Zero-Covid policy negatively impacted sentiment and economic activity.

Shareholder Expense Example (for the six-month period ended August 31, 2022)

 

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

Actual

   $ 1,000.00      $ 927.60        0.45 %1    $ 2.19  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.94        0.45 %1    $ 2.29  
1 

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

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      10 Year  

Fund NAV Returns

       -3.88      3.40      1.67      1.48

Fund Market Price Returns

       -4.22      3.35      1.57      1.45

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

       -3.42      4.57      2.52      2.39

Chinese yuan

       -5.97      1.15      -0.79      -0.79

 

LOGO

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

 

WisdomTree Trust      5  


Management’s Discussion of Funds’ Performance

as of August 31, 2022 (unaudited)

WisdomTree Emerging Currency Strategy Fund (CEW)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    61.7%  

Exchange-Traded Funds

    4.2%  

Repurchase Agreement

    31.9%  

Other Assets less Liabilities‡

    2.2%  

Total

    100.0%  

 

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

 

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

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
1.14%, 9/15/22

    34.0

Citigroup, Inc., tri-party repurchase agreement,
2.30%, 9/1/22††

    31.9

U.S. Treasury Bill,
2.75%, 12/8/22

    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 45 of this report.

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

The Fund returned -9.46% at net asset value (“NAV”) for the fiscal year ended August 31, 2022 (for more complete performance information please see the table below). The U.S. dollar (“USD”) generally appreciated versus a basket of emerging market currencies. As a result, the Fund’s use of derivatives to gain long exposure to a basket of emerging market currencies measured against USD negatively impacted Fund performance during the fiscal year. The Brazilian real and Mexican peso were the currencies least impacted by USD strength. Many other emerging market currencies depreciated significantly as concerns about global growth weighed on sentiment. Additionally, as the Federal Reserve increased interest rates, the carry advantage in emerging markets diminished leading to decreased Fund performance.

Shareholder Expense Example (for the six-month period ended August 31, 2022)

 

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

Actual

   $ 1,000.00      $ 963.70        0.55 %1    $ 2.72  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.43        0.55 %1    $ 2.80  
1 

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

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      10 Year  

Fund NAV Returns

       -9.46      -2.40      -2.10      -1.65

Fund Market Price Returns

       -9.73      -2.45      -2.18      -1.70

JP Morgan Emerging Local Markets Index Plus (ELMI+)

       -13.14      -2.62      -1.93      -1.07

Equal-Weighted Emerging Currency Composite

       -14.45      -3.64      -2.46      -1.48

 

LOGO

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

 

6   WisdomTree Trust


Management’s Discussion of Funds’ Performance

as of August 31, 2022 (unaudited)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

 

Country Breakdown

 

Country   % of Net Assets  

South Korea

    6.4%  

India

    5.9%  

Mexico

    5.7%  

Israel

    5.1%  

United Arab Emirates

    4.9%  

China

    3.9%  

Brazil

    3.7%  

Thailand

    3.7%  

Chile

    3.6%  

Colombia

    3.6%  

South Africa

    3.2%  

Saudi Arabia

    2.9%  

Oman

    2.7%  

Turkey

    2.6%  

Indonesia

    2.6%  

Peru

    2.5%  

Kuwait

    2.2%  

Qatar

    2.2%  

Argentina

    2.1%  

Malaysia

    2.1%  

Kazakhstan

    1.7%  

Guatemala

    1.6%  

Netherlands

    1.6%  

Panama

    1.5%  

Ireland

    1.4%  

Luxembourg

    1.4%  

United Kingdom

    1.1%  

Hong Kong

    1.1%  

Russia

    1.1%  

Others^

    6.1%  

Other Assets less Liabilities‡

    9.8%  

Total

    100.0%  

 

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

 

^

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

 

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

Top Ten Holdings*

 

Description   % of Net Assets  

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

    1.3%  

Korea Electric Power Corp., 3.63%, 6/14/25

    1.3%  

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

    1.2%  

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

    1.1%  

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%  

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

    1.0%  

Arcor SAIC,
6.00%, 7/6/23

    0.9%  

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

    0.9%  

JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc.,
3.63%, 1/15/32

    0.9%  
*

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

The WisdomTree 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.

The Fund returned -15.52% at net asset value (“NAV”) for the fiscal year ended August 31, 2022 (for more complete performance information please see the table below). Interest rates in the U.S. generally rose as the Federal Reserve sought to hike interest rates aggressively. The bonds held by the Fund are denominated in U.S. dollars and trade a spread relative to U.S. Treasuries. This rise in rates was the primary detractor of Fund performance. In February 2022, Russia invaded Ukraine which negatively impacted the price of Russian assets. Additionally, concerns about global growth weighed on sentiment in most emerging markets. The primary driver of relative performance was the Fund’s overweight to Latin America and underweight to Asia. During the fiscal year, the Fund utilized derivatives to manage interest rate risk. The Fund’s use of derivatives to shorten the portfolio’s duration contributed positively to Fund performance.

Shareholder Expense Example (for the six-month period ended August 31, 2022)

 

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

Actual

   $ 1,000.00      $ 946.00        0.60   $ 2.94  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.18        0.60   $ 3.06  

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      10 Year  

Fund NAV Returns

       -15.52      -1.53      0.69      2.04

Fund Market Price Returns

       -15.47      -1.62      0.72      1.97

JP Morgan CEMBI Diversified Index

       -14.67      -1.40      1.03      3.01

 

LOGO

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

 

WisdomTree Trust      7  


Management’s Discussion of Funds’ Performance

as of August 31, 2022 (unaudited)

WisdomTree Emerging Markets Local Debt Fund (ELD)

 

Country Breakdown

 

Country   % of Net Assets  

Indonesia

    11.2%  

Brazil

    9.7%  

Supranational Bonds

    9.6%  

South Africa

    9.1%  

Malaysia

    7.6%  

Colombia

    6.4%  

Mexico

    4.7%  

United States

    4.6%  

China

    4.5%  

India

    4.1%  

Thailand

    3.9%  

Chile

    3.8%  

Poland

    3.7%  

Peru

    3.5%  

Czech Republic

    1.8%  

Romania

    1.8%  

Philippines

    1.8%  

Turkey

    1.6%  

Hungary

    1.5%  

Egypt

    0.0%

Other Assets less Liabilities‡

    5.1%  

Total

    100.0%  

 

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

 

^

Represents less than 0.05%.

 

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

Top Ten Holdings*

 

Description   % of Net Assets  

Citigroup, Inc., tri-party repurchase agreement,
2.30%, 9/1/22††

    4.6%  

Brazil Letras do Tesouro Nacional,
7.61%, 1/1/24, Series LTN

    2.5%  

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

    2.1%  

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

    1.7%  

Brazil Letras do Tesouro Nacional,
6.82%, 7/1/23, Series LTN

    1.7%  

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

    1.5%  

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

    1.4%  

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

    1.3%  

Peru Government Bond,
5.94%, 2/12/29

    1.3%  

Colombian TES,
7.50%, 8/26/26, Series B

    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.

The Fund returned -16.69% at net asset value (“NAV”) for the fiscal year ended August 31, 2022 (for more complete performance information please see the table below). In February 2022, Russia invaded Ukraine which negatively impacted the price of Russian assets and weighed on investor sentiment. Additionally, broad-based strength in the U.S. dollar also detracted from performance. Finally, interest rates rose in developed and emerging markets which negatively impacted Fund performance. In general, investments in Brazil and Mexico contributed the most to performance whereas investments in Turkey and Thailand largely detracted from Fund performance.

Shareholder Expense Example (for the six-month period ended August 31, 2022)

 

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

Actual

   $ 1,000.00      $ 914.30        0.55   $ 2.65  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.43        0.55   $ 2.80  

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      10 Year  

Fund NAV Returns

       -16.69      -4.58      -3.06      -2.03

Fund Market Price Returns

       -15.72      -4.17      -2.90      -1.98

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

       -19.43      -5.20      -3.02      -1.68

 

LOGO

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

 

8   WisdomTree Trust


Management’s Discussion of Funds’ Performance

as of August 31, 2022 (unaudited)

WisdomTree Floating Rate Treasury Fund (USFR)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    99.8%  

Other Assets less Liabilities‡

    0.2%  

Total

    100.0%  

 

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

 

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

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Floating Rate Note,
2.94%, 10/31/23

    29.2%  

U.S. Treasury Floating Rate Note,
2.89%, 1/31/24

    26.9%  

U.S. Treasury Floating Rate Note,
2.83%, 4/30/24

    26.1%  

U.S. Treasury Floating Rate Note,
2.94%, 7/31/24

    17.6%  
*

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

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

The Fund returned 0.63% at net asset value (“NAV”) for the fiscal year ended August 31, 2022 (for more complete performance information please see the table below). As a result of the rising interest rate environment, there was a meaningful increase in the Fund’s overall yield and performance during the fiscal year, particularly over the second half of the fiscal year as interest rates began to rise. At the beginning of the fiscal year toward summer’s end 2021, short-term rates in the U.S. Treasury market were virtually at 0% after the U.S. Federal Reserve (the “Fed”) stepped in earlier in 2020 to ease monetary conditions after the economic disruptions caused by the COVID-19 pandemic. Due to the severe inflation rises thereafter, the Fed began to aggressively hike interest rates starting in March 2022. Since the short-dated yields of the U.S. Treasury market tend to mimic Fed activity, upcoming anticipated interest rate policy moves have continued to be quickly priced into the market and have now approached nearly 3% yields for the first time in over a decade. It is expected that the Fed will continue to raise interest rates to curtail inflation, which will continue to be beneficial for the Fund and the securities it owns.

Shareholder Expense Example (for the six-month period ended August 31, 2022)

 

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

Actual

   $ 1,000.00      $ 1,005.40        0.15   $ 0.76  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.45        0.15   $ 0.77  

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       0.63      0.63      1.09      0.76

Fund Market Price Returns

       0.69      0.63      1.15      0.76

Bloomberg U.S. Treasury Floating Rate Bond Index

       0.80      0.80      1.27      0.93
1 

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

 

LOGO

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

 

WisdomTree Trust      9  


Management’s Discussion of Funds’ Performance

as of August 31, 2022 (unaudited)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

Corporate Bonds

    95.2%  

Other Assets less Liabilities‡

    4.8%  

Total

    100.0%  

 

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

 

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

Top Ten Holdings*

 

Description   % of Net Assets  

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

    0.8%  

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

    0.8%  

EQM Midstream Partners LP,
6.50%, 7/1/27

    0.8%  

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

    0.8%  

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

    0.7%  

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

    0.7%  

Frontier Communications Holdings LLC,
6.00%, 1/15/30

    0.7%  

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

    0.7%  

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

    0.7%  

Occidental Petroleum Corp.,
4.40%, 8/15/49

    0.7%  
*

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

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

The Fund returned -3.11% at net asset value (“NAV”) for the fiscal year ended August 31, 2022 (for more complete performance information please see the table below). During the fiscal year, interest rates steadily climbed from the beginning of the fiscal year to recent highs during the summer of 2022, where the U.S. 10-year Treasury yield topped out at 3.49% after starting the fiscal year at 1.30%. The Fund’s use of short futures contracts on U.S. Treasuries to hedge interest rate risk was particularly additive to Fund performance during the fiscal year due to interest rate rises across the yield curve. Both the U.S. High Yield corporate bond and U.S. Aggregate bond universes experienced largely negative performance over the fiscal year, primarily driven by “risk-on” assets selling off in the wake of market uncertainty and longer duration bonds reeling from rises in interest rates. Historic amounts of fiscal and monetary stimulus, while initially helping the markets and economy recover, have contributed heavily to rising inflation over the fiscal year which has resulted in interest rate hikes from the Federal Reserve. The Fund, given its high yield nature, relatively underperformed the investment grade credit market as the fiscal year was primarily driven by a “risk-off” widespread market selloff during the second half of the fiscal year, but the Fund’s tilt toward higher quality selections within the high yield spectrum (i.e., underweight CCC-rated and lower bonds) proved to be relatively additive to performance. It is expected that the Fed will continue to raise interest rates to curtail inflation, which will continue to be beneficial for the Fund relative to strategies with longer duration.

Shareholder Expense Example (for the six-month period ended August 31, 2022)

 

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

Actual

   $ 1,000.00      $ 975.50        0.43   $ 2.14  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,023.04        0.43   $ 2.19  

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       -3.11      0.86      1.97      2.53

Fund Market Price Returns

       -3.80      0.69      1.87      2.45

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

       -2.38      2.05      2.83      3.29
1 

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

 

2 

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

 

LOGO

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

 

10   WisdomTree Trust


Management’s Discussion of Funds’ Performance

as of August 31, 2022 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    40.0%  

U.S. Government Agencies

    28.7%  

Corporate Bonds

    24.3%  

Commercial Mortgage-Backed Securities

    1.9%  

Supranational Bonds

    1.5%  

Foreign Government Obligations

    0.9%  

Foreign Government Agencies

    0.7%  

Municipal Bonds

    0.6%  

Asset-Backed Securities

    0.4%  

Repurchase Agreement

    1.6%  

Other Assets less Liabilities‡

    -0.6%  

Total

    100.0%  

 

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

 

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

Top Ten Holdings*

 

Description   % of Net Assets  

Citigroup, Inc., tri-party repurchase agreement,
2.30%, 9/1/22††

    1.6%  

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

    1.1%  

U.S. Treasury Note,
2.63%, 2/15/29

    1.0%  

U.S. Treasury Bond,
1.88%, 2/15/51

    0.9%  

U.S. Treasury Note,
0.63%, 11/30/27

    0.9%  

U.S. Treasury Note,
0.88%, 9/30/26

    0.8%  

U.S. Treasury Bond,
2.88%, 5/15/52

    0.7%  

U.S. Treasury Bond,
3.00%, 5/15/47

    0.7%  

U.S. Treasury Bond,
3.13%, 2/15/43

    0.6%  

U.S. Treasury Note,
0.25%, 10/31/25

    0.6%  
*

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

 

††

Fully collateralized by U.S. Government agency securities.

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

The Fund returned -0.39% at net asset value (“NAV”) for the fiscal year ended August 31, 2022 (for more complete performance information please see the table below). During the fiscal year, interest rates steadily climbed from the beginning of the fiscal year to recent highs during the summer of 2022, where the U.S. 10-year Treasury yield topped out at 3.49% after starting the fiscal year at 1.30%. The Fund’s use of short futures contracts on U.S. Treasuries to hedge interest rate risk was particularly additive to Fund performance during the fiscal year due to interest rate rises across the yield curve. The U.S. Aggregate bond universe experienced largely negative performance over the fiscal year, primarily driven by “risk-on” assets selling off in the wake of market uncertainty and longer duration bonds reeling from rises in interest rates. Historic amounts of fiscal and monetary stimulus, while initially helping the markets and economy recover, have contributed heavily to rising inflation over the fiscal year which has resulted in significant interest rate hikes from the Federal Reserve. It is expected that the Fed will continue to raise interest rates to curtail inflation, which will continue to be beneficial for the Fund relative to strategies with longer duration.

Shareholder Expense Example (for the six-month period ended August 31, 2022)

 

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

Actual

   $ 1,000.00      $ 1,000.30        0.23   $ 1.16  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.05        0.23   $ 1.17  

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       -0.39      0.68      1.41      1.09

Fund Market Price Returns

       -0.24      0.74      1.43      1.12

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

       -0.49      0.79      1.40      1.34
1 

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

 

LOGO

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

 

WisdomTree Trust      11  


Management’s Discussion of Funds’ Performance

as of August 31, 2022 (unaudited)

WisdomTree Mortgage Plus Bond Fund (MTGP)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

Collateralized Mortgage Obligations

    46.5%  

U.S. Government Agencies

    42.0%  

Collateralized Loan Obligations

    5.0%  

Commercial Mortgage-Backed Securities

    4.5%  

Asset-Backed Securities

    0.7%  

Other Assets less Liabilities‡

    1.3%  

Total

    100.0%  

 

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

 

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

Top Ten Holdings*

 

Description   % of Net Assets  

Uniform Mortgage-Backed Security,
3.50%, 9/14/52

    9.4%  

Government National Mortgage Association,
3.00%, 9/21/52

    6.3%  

Uniform Mortgage-Backed Security,
2.00%, 9/14/52

    2.6%  

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

    2.3%  

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

    2.2%  

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

    1.9%  

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

    1.7%  

Seasoned Loans Structured Transaction Trust,
2.75%, 9/25/29, Series 2019-2, Class A2C

    1.6%  

Uniform Mortgage-Backed Security,
4.50%, 10/13/52

    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.

The Fund returned -9.27% at net asset value (“NAV”) for the fiscal year ended August 31, 2022 (for more complete performance information please see the table below). Security selection within agency mortgages was not a main source of differentiated relative performance between the Fund and the broader mortgage backed securities (“MBS”) market. Rising inflation and corresponding interest rates however slowed down a relatively robust housing market, resulting in a significant drop in new and existing home loans from recent highs. However, improving employment data and low default rates have supported this market from otherwise worsening conditions. Over the prior fiscal year, particularly year-to-date 2022, nearly all global markets across all asset classes have experienced a “risk-off” environment in the face of rampant inflation and global economic concerns related, but not limited, to, shutdowns, supply chain constraints, and geopolitical events, which in turn have led to widespread drawdowns and losses for nearly all “risk-on” asset classes such as credit and mortgage-back bonds. The Fund’s intermediate level duration served as a headwind to performance as interest rates rose sharply over the fiscal year. The Fund’s net long exposure to futures contracts on U.S. Treasuries detracted from performance during the fiscal year due to rise in interest rates across the yield curve.

Shareholder Expense Example (for the six-month period ended August 31, 2022)

 

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

Actual

   $ 1,000.00      $ 932.50        0.45   $ 2.19  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.94        0.45   $ 2.29  

Performance

 

   
        Average Annual Total Return  
        1 Year      Since Inception1  

Fund NAV Returns

       -9.27      -1.56

Fund Market Price Returns

       -9.37      -1.56

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

       -9.72      -2.13
1 

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

 

LOGO

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

 

12   WisdomTree Trust


Management’s Discussion of Funds’ Performance

as of August 31, 2022 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Agencies

    40.3%  

Corporate Bonds

    29.9%  

U.S. Government Obligations

    20.7%  

Commercial Mortgage-Backed Securities

    4.8%  

Asset-Backed Securities

    2.3%  

Foreign Government Obligations

    1.8%  

Municipal Bonds

    0.5%  

Foreign Government Agencies

    0.3%  

Supranational Bonds

    0.1%  

U.S. Government Agencies Sold Short

    -1.7%  

Repurchase Agreement

    1.1%  

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 Ten Holdings*

 

Description   % of Net Assets  

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

    1.9%  

Citigroup, Inc., tri-party repurchase agreement,
2.30%, 9/1/22††

    1.1%  

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

    1.0%  

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

    0.9%  

Government National Mortgage Association,
3.00%, 9/21/52

    0.7%  

Government National Mortgage Association,
3.50%, 9/21/52

    0.6%  

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

    0.5%  

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

    0.5%  

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

    0.5%  

Federal Home Loan Mortgage Corp.,
6.75%, 3/15/31

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

The Fund returned -13.62% at net asset value (“NAV”) for the fiscal year ended August 31, 2022 (for more complete performance information please see the table below). Rising rates over the fiscal year negatively affected performance due to the Fund’s longer duration relative to the Index. Investment grade spreads consistently widened from the beginning to the end of the fiscal year, detracting from the non-U.S. Treasury exposure within the Fund. The Fund benefited from a significant underweight to longer term U.S. Treasuries as yields rose across the Treasury curve. From a sector perspective, the Fund’s overweight position to Energy sector corporate bonds contributed positively to performance as commodity prices rose over the fiscal year. Historic amounts of fiscal and monetary stimulus, while initially helping the markets and economy recover, have contributed to rising inflation over the fiscal year resulting in significant interest rate increases from the Federal Reserve.

Shareholder Expense Example (for the six-month period ended August 31, 2022)

 

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

Actual

   $ 1,000.00      $ 909.20        0.12   $ 0.58  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.60        0.12   $ 0.61  

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       -13.62      -3.10      0.07      1.25

Fund Market Price Returns

       -13.70      -3.15      0.02      1.24

Bloomberg U.S. Aggregate Enhanced Yield Index

       -13.46      -2.95      0.25      1.44

Bloomberg U.S. Aggregate Bond Index

       -11.52      -2.00      0.52      1.30
1 

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

 

LOGO

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

 

WisdomTree Trust      13  


Management’s Discussion of Funds’ Performance

as of August 31, 2022 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    46.0%  

Corporate Bonds

    34.6%  

U.S. Government Agencies

    17.0%  

Commercial Mortgage-Backed Securities

    7.6%  

Asset-Backed Securities

    0.5%  

Foreign Government Obligations

    0.5%  

Foreign Government Agencies

    0.3%  

Other Assets less Liabilities‡

    -6.5%  

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 Ten Holdings*

 

Description   % of Net Assets  

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

    19.3%  

U.S. Treasury Bill,
2.18%, 10/13/22

    7.4%  

Uniform Mortgage-Backed Security,
2.00%, 9/19/37

    5.9%  

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

    3.9%  

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

    3.3%  

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

    3.3%  

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

    2.0%  

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

    2.0%  

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

    1.9%  

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

    1.9%  
*

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

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

The Fund returned -6.52% at net asset value (“NAV”) for the fiscal year ended August 31, 2022 (for more complete performance information please see the table below). Rising rates over the fiscal year negatively affected performance due to the Fund’s slightly longer duration relative to the short-term Index. Investment grade spreads consistently widened from the beginning to the end of the fiscal year, detracting from the non-U.S. Treasury exposure within the Fund. The Fund benefited from a significant underweight to longer term U.S. Treasuries as yields rose across the Treasury curve. From a sector perspective, the Fund’s overweight position to Energy sector corporate bonds contributed positively to performance as commodity prices rose over the fiscal year. Historic amounts of fiscal and monetary stimulus, while initially helping the markets and economy recover, have contributed to rising inflation over the fiscal year resulting in significant interest rate increases from the Federal Reserve. However, because the Fund is investing in a shorter-term maturing universe of bonds, it had positive relative performance when compared to longer duration strategies.

Shareholder Expense Example (for the six-month period ended August 31, 2022)

 

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

Actual

   $ 1,000.00      $ 961.40        0.12   $ 0.59  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.60        0.12   $ 0.61  

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       -6.52      -0.55      0.83      0.95

Fund Market Price Returns

       -6.56      -0.57      0.80      0.93

Bloomberg U.S. Short Aggregate Enhanced Yield Index

       -7.10      -0.96      0.68      0.83

Bloomberg U.S. Short Aggregate Composite Index

       -6.02      -0.41      0.83      0.92
1 

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

 

LOGO

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

 

14   WisdomTree Trust


Management’s Discussion of Funds’ Performance

as of August 31, 2022 (unaudited)

WisdomTree Alternative Income Fund (HYIN)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

Common Stocks

    71.3%  

Closed-End Mutual Funds

    28.2%  

Other Assets less Liabilities‡

    0.5%  

Total

    100.0%  

 

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

 

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

Top Ten Holdings*

 

Description   % of Net Assets  

Arbor Realty Trust, Inc.

    3.1%  

FS KKR Capital Corp.

    3.1%  

Apollo Commercial Real Estate Finance, Inc.

    3.1%  

Main Street Capital Corp.

    3.1%  

Guggenheim Strategic Opportunities Fund

    3.0%  

Ares Capital Corp.

    3.0%  

AGNC Investment Corp.

    3.0%  

New York Mortgage Trust, Inc.

    3.0%  

KKR Real Estate Finance Trust, Inc.

    2.9%  

Starwood Property Trust, Inc.

    2.9%  
*

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

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

The Fund returned -13.50% at net asset value (“NAV”) for the fiscal year ended August 31, 2022 (for more complete performance information please see the table below). Interest rates in the U.S. generally rose as the Federal Reserve sought to hike interest rates aggressively. While the strategy seeks to provide investors with high levels of income, many of these investments declined in net asset value over the fiscal year. The Fund seeks to provide exposure to a wide variety of alternative income strategies. Strategies linked to non-agency real estate debt were the largest detractor to Fund performance whereas commercial real estate lending experienced better relative performance, while also detracting from the Fund’s overall performance.

Shareholder Expense Example (for the six-month period ended August 31, 2022)

 

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

Actual

   $ 1,000.00      $ 918.30        0.50   $ 2.42  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.68        0.50   $ 2.55  

Performance

 

   
        Average Annual Total Return  
        1 Year      Since Inception1  

Fund NAV Returns

     -13.50%        -8.13

Fund Market Price Returns

     -13.44%        -8.12

Gapstow Liquid Alternative Credit Index

     -13.00%        -7.63

ICE BofA Merrill Lynch U.S. High Yield Index

     -10.43%        -6.30

S&P 500® Index

     -11.23%        -2.42
1 

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

 

LOGO

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

 

WisdomTree Trust      15  


Management’s Discussion of Funds’ Performance

as of August 31, 2022 (unaudited)

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

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    83.8%  

Exchange-Traded Funds

    4.5%  

Other Assets less Liabilities‡

    11.7%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time.

 

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

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
2.71%, 11/17/22

    42.9%  

U.S. Treasury Bill,
2.54%, 11/25/22

    40.9%  

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.5%  
*

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 45 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.

The Fund returned -3.60% at net asset value (“NAV”) for the fiscal year ended August 31, 2022 (for more complete performance information please see the table below). With the S&P 500 down 11.23% over the fiscal year, put writing has been beneficial. Volatile markets and higher levels of the CBOE® Volatility Index have increased the premium the Fund has been able to collect from selling put options. This additional premium income has helped protect performance on the downside during a period where broader equity indexes have suffered much worse. It also has allowed the Fund to retain some ability to participate in market upturns, though there haven’t been many long-lasting rallies over the fiscal year.

Shareholder Expense Example (for the six-month period ended August 31, 2022)

 

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

Actual

   $ 1,000.00      $ 935.50        0.44 %1    $ 2.15  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.99        0.44 %1    $ 2.24  
1 

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

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      Since Inception1  

Fund NAV Returns

       -3.60      5.83      4.11      5.94

Fund Market Price Returns

       -3.60      5.88      4.08      5.93

CBOE S&P 500® PutWrite Index

       -3.00      6.38      4.69      6.51

S&P 500® Index

       -11.23      12.39      11.82      13.72
1 

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

 

LOGO

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

 

16   WisdomTree Trust


Management’s Discussion of Funds’ Performance

as of August 31, 2022 (unaudited)

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

 

Country Breakdown

 

Country   % of Net Assets  

United States

    89.7%  

Others^

    0.7%  

Other Assets less Liabilities‡

    9.6%  

Total

    100.0%  

 

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

 

^

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

 

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

Top Ten Holdings*

 

Description
  % of Net Assets  

Apple, Inc.

    6.6%  

Microsoft Corp.

    5.3%  

Amazon.com, Inc.

    3.2%  

Tesla, Inc.

    1.9%  

Alphabet, Inc., Class A

    1.7%  

Alphabet, Inc., Class C

    1.6%  

UnitedHealth Group, Inc.

    1.3%  

Berkshire Hathaway, Inc., Class B

    1.3%  

Johnson & Johnson

    1.2%  

Exxon Mobil Corp.

    1.1%  
*

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

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

The Fund 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 August 31, 2022)

 

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

Actual1

   $ 1,000.00      $ 825.40        0.20   $ 0.84  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,024.20        0.20   $ 1.02  
1 

Fund commenced operations on March 17, 2022. Actual expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 168/365 (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      17  


Management’s Discussion of Funds’ Performance

as of August 31, 2022 (unaudited)

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

 

Country Breakdown

 

Country   % of Net Assets  

Canada

    42.3%  

United States

    15.0%  

Australia

    13.7%  

South Africa

    7.8%  

United Kingdom

    4.0%  

Brazil

    3.4%  

China

    2.4%  

Others^

    1.6%  

Other Assets less Liabilities‡

    9.8%  

Total

    100.0%  

 

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

 

^

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

 

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

Top Ten Holdings*

 

Description   % of Net Assets  

Newmont Corp.

    11.4%  

Barrick Gold Corp.

    9.9%  

Franco-Nevada Corp.

    8.2%  

Agnico Eagle Mines Ltd.

    5.3%  

Northern Star Resources Ltd.

    3.9%  

AngloGold Ashanti Ltd., ADR

    3.5%  

Wheaton Precious Metals Corp.

    3.4%  

Gold Fields Ltd., ADR

    3.4%  

Newcrest Mining Ltd.

    3.3%  

Royal Gold, Inc.

    3.1%  
*

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

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

The Fund returned -22.83% at net asset value (“NAV”) for the fiscal period from December 16, 2021 through August 31, 2022 (for more complete performance information please see the table below). In early 2022, the Fund generated strong total returns. However, in April 2022, the Federal Reserve signaled that it would need to aggressively hike interest rates in the U.S. to combat inflation. This led to a decrease in investor confidence and a general decline in equity markets including companies focused on mining gold. The price of gold also decreased over this period resulting in negative performance for the Fund.

Shareholder Expense Example (for the six-month period ended August 31, 2022)

 

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

Actual

   $ 1,000.00      $ 641.50        0.45   $ 1.86  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.94        0.45   $ 2.29  

Performance

 

   
        Cumulative Total Return  
        Since Inception1  

Fund NAV Returns

       -22.83

Fund Market Price Returns

       -23.11

NYSE ARCA Gold Miners Index

       -17.50
1 

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

 

LOGO

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

 

18   WisdomTree Trust


Management’s Discussion of Funds’ Performance

as of August 31, 2022 (unaudited)

WisdomTree Enhanced Commodity Strategy Fund (GCC) (consolidated)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    88.1%  

Exchange-Traded Funds

    4.4%  

Other Assets less Liabilities‡

    7.5%  

Total

    100.0%  

 

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

 

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

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
1.51%, 12/1/22

    72.6%  

U.S. Treasury Bill,
1.53%, 9/15/22

    15.5%  

WisdomTree Floating Rate Treasury Fund (USFR)^

    4.4%  
*

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

 

^

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

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

The Fund returned 12.81% at net asset value (“NAV”) for the fiscal year ended August 31, 2022 (for more complete performance information please see the table below). Throughout the fiscal year, many commodity sectors surged higher due to record inflation in the U.S. and the ripple effects from Russia’s war with Ukraine. Energy products, such as crude oil and natural gas, were strong beneficiaries as the conflict resulted in coordinated, global sanctions against Russia, thereby squeezing global markets since many regions depend on Russian energy supplies. Russia also exacerbated these impacts by choking off supplies to dependent countries as retaliation for sanctions imposed upon them. Precious metals, such as gold, silver, and platinum, weighed on performance, as they began to lose favor as a hedge against some of the highest inflation rates on record. Base metals, such as copper and aluminum, struggled as well. These products are closely linked to economic growth and encountered headwinds as investors grew concerned about near-term recession risks. Other agricultural commodities, including coffee, soybeans, wheat, live cattle, and lean hogs, exhibited mixed performance during the fiscal year.

Shareholder Expense Example (for the six-month period ended August 31, 2022)

 

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

Actual

   $ 1,000.00      $ 971.80        0.55 %1    $ 2.73  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,022.43        0.55 %1    $ 2.80  
1 

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

Performance

 

   
        Average Annual Total Return  
        1 Year      Since Inception1  

Fund NAV Returns

       12.81      18.39

Fund Market Price Returns

       12.21      18.02

S&P GSCI Index

       42.19      44.05

Bloomberg Commodity Index Total Return

       27.72      31.14
1 

For the period December 19, 2020 (post-reorganization) through August 31, 2022.

 

LOGO

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

 

WisdomTree Trust      19  


Management’s Discussion of Funds’ Performance

as of August 31, 2022 (unaudited)

WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    84.2%  

Exchange-Traded Funds

    4.3%  

Other Assets less Liabilities‡

    11.5%  

Total

    100.0%  

 

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

 

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

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
1.43%, 12/1/22

    77.3%  

U.S. Treasury Bill,
2.04%, 9/15/22

    6.9%  

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 45 of this report.

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

The Fund returned -3.91% at net asset value (“NAV”) for the fiscal year ended August 31, 2022 (for more complete performance information please see the table below). During the fiscal year, the Fund benefitted from the currency and interest rate models that comprise the strategy, while the commodity portion was neutral and the equity component negatively impacted the Fund’s performance. Currency and interest rate markets moved in a steady upward trend during the period, with the dollar exhibiting strength versus other currencies and interest rates steadily moving higher due to the Fed’s actions to reduce inflation. Commodity performance within the Fund was mixed, owing to prevailing volatility and trends within the global commodity markets. Equities weighed on performance due to long and half-hedged exposures suffering in tandem with broader equity markets over the fiscal year. With respect to performance differences between the Fund and its benchmarks, the S&P GSCI Index provides long-only exposure to commodities; and constituents in the SG Trend Index often take more concentrated positions in certain futures markets. The Fund seeks to provide broad-based exposure to trends in equities, interest rates, commodities, and currencies. To the extent that the benchmark holdings and the Fund’s holdings diverge and the areas of concentration in the benchmark indices dramatically outperform the Fund’s securities, performance differences of the sort experienced herein should be expected.

Shareholder Expense Example (for the six-month period ended August 31, 2022)

 

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

Actual

   $ 1,000.00      $ 983.30        0.65 %1    $ 3.25  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,021.93        0.65 %1    $ 3.31  
1 

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

Performance

 

   
        Average Annual Total Return  
        1 Year      3 Year      5 Year      10 Year  

Fund NAV Returns

       -3.91      1.32      1.62      0.15

Fund Market Price Returns

       -4.46      1.24      1.61      0.14

SG Trend Index

       28.89      10.61      9.27      5.21

S&P GSCI Index

       42.19      15.94      10.24      -3.30

 

LOGO

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

 

20   WisdomTree Trust


Management’s Discussion of Funds’ Performance

as of August 31, 2022 (unaudited)

WisdomTree Target Range Fund (GTR)

 

Investment Breakdown

 

Investment Type   % of Net Assets  

U.S. Government Obligations

    73.0%  

Purchased Options (Exchange-Traded)

    5.6%  

Other Assets less Liabilities‡

    21.4%  

Total

    100.0%  

 

The Fund’s investment breakdown may change over time.

 

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

Top Holdings*

 

Description   % of Net Assets  

U.S. Treasury Bill,
1.65%, 12/1/22

    73.0%  

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

    3.5%  

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

    1.6%  

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

    0.3%  

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

    0.2%  
*

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 returned -12.00% at net asset value (“NAV”) for the fiscal period from October 7, 2021 through August 31, 2022 (for more complete performance information please see the table below). Over the fiscal period, global equity markets generally declined as the Federal Reserve aggressively hiked interest rates to combat inflation. As markets declined, the value of equity call options decreased leading to negative performance for the Fund. However, the Fund generated outperformance relative to the MSCI AC World Index.

Shareholder Expense Example (for the six-month period ended August 31, 2022)

 

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

Actual

   $ 1,000.00      $ 909.40        0.70   $ 3.37  

Hypothetical (5% return before expenses)

   $ 1,000.00      $ 1,021.68        0.70   $ 3.57  

Performance

 

   
        Cumulative Total Return  
        Since Inception1  

Fund NAV Returns

       -12.00

Fund Market Price Returns

       -11.76

TOPS® Global Equity Target Range Index

       -11.05

MSCI AC World Index

       -12.30
1 

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

 

LOGO

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

 

WisdomTree Trust      21  


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.

 

22   WisdomTree Trust


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.

 

WisdomTree Trust      23  


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

Mortgage-backed security (MBS):

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

MSCI AC World Index

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

NYSE ARCA Gold Miners Index

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

Risk-on and Risk-off refers to investors’ appetites for risk which rise and fall over time. During periods when risk is perceived as low, the risk-on risk-off theory states that investors tend to engage in higher-risk investments (i.e., “Risk-on”). When risk is perceived as high, investors tend to gravitate toward lower-risk investments (i.e., “Risk-off”).

 

24   WisdomTree Trust


Description of Terms and Indexes (unaudited) (continued)

 

S&P 500® Index:

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

S&P GSCI Index:

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

SG Trend Index:

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

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

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

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

 

WisdomTree Trust      25  


Description of Terms and Indexes (unaudited) (continued)

 

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 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.

* * * * * *

 

 

26   WisdomTree Trust


Description of Terms and Indexes (unaudited) (concluded)

 

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

 

CURRENCY ABBREVIATIONS:     
AUD   Australian dollar    EUR   Euro    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    THB   Thai baht
CNH   Offshore Chinese renminbi    INR   Indian rupee    TRY   Turkish new lira
CNY   Chinese yuan    JPY   Japanese yen    TWD   New Taiwan dollar
COP   Colombian peso    KRW   South Korean won    USD   U.S. dollar
CZK   Czech koruna    MXN   Mexican peso    ZAR   South African rand
EGP   Egyptian pound    MYR   Malaysian ringgit     
OTHER ABBREVIATIONS:                      
ADR   American Depositary Receipt  
HRW   Hard Red Winter
PIK   Payment In Kind
RBOB   Reformulated Blendstock for Oxygenate Blending  
REMIC   Real Estate Mortgage Investment Conduit  
STRIPS   Separate Trading of Registered Interest and Principal of Securities  
ULSD   Ultra-Low-Sulfur Diesel  
WTI   West Texas Intermediate  

 

WisdomTree Trust      27  


Schedule of Investments

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

August 31, 2022

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 93.8%

 

U.S. Treasury Bills – 93.8%

 

1.49%, 9/15/22*

   $ 93,404,000      $ 93,326,268  

1.69%, 10/13/22*

     94,324,000        94,070,072  

2.25%, 11/17/22*

     93,250,000        92,716,467  

2.72%, 12/8/22*

     93,600,000        92,888,216  
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost: $373,228,964)
              373,001,023  
EXCHANGE-TRADED FUND – 4.2%

 

United States – 4.2%

 

WisdomTree Floating Rate Treasury Fund(a)

     
(Cost: $16,770,501)      333,500      $ 16,758,375  

TOTAL INVESTMENTS IN SECURITIES – 98.0%

(Cost: $389,999,465)

 

 

     389,759,398  

Other Assets less Liabilities – 2.0%

 

     7,822,913  
  

 

 

 
NET ASSETS – 100.0%

 

   $ 397,582,311  
* 

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

 

(a) 

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

 

INVESTMENT IN AFFILIATES

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the fiscal year ended August 31, 2022 were as follows:

 

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

WisdomTree Floating Rate Treasury Fund

  $ 5,898,500     $ 26,170,763     $ 15,280,684     $ (21,146   $ (9,058   $ 16,758,375     $ 88,175     $ 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
 

Bank of America NA

    9/6/2022       806,803       USD       1,045,000       CAD     $ 11,140     $  

Bank of America NA

    9/6/2022       482,976       USD       465,000       CHF       7,135        

Barclays Bank PLC

    9/6/2022       8,909,970       USD       709,100,000       INR             (11,016

Citibank NA

    9/6/2022       831,810,000       INR       10,460,821       USD       3,945        

Citibank NA

    9/6/2022       1,792,628,000       KRW       1,364,045       USD             (23,765

Citibank NA

    9/6/2022       754,569,000       MXN       37,427,163       USD             (771

Citibank NA

    9/6/2022       264,306       USD       20,950,000       INR       740        

Citibank NA

    9/6/2022       1,340,046       USD       107,130,000       INR             (7,726

Citibank NA

    9/6/2022       608,383       USD       48,685,000       INR             (4,109

Citibank NA

    9/6/2022       142,468       USD       191,000,000       KRW             (335

Citibank NA

    9/6/2022       753,864       USD       1,011,000,000       KRW             (2,022

Citibank NA

    9/6/2022       204,423       USD       6,105,000       TWD       3,814        

Citibank NA

    9/6/2022       146,122       USD       4,400,000       TWD       1,538        

Citibank NA

    9/6/2022       470,902       USD       14,255,000       TWD       2,485        

Citibank NA

    10/6/2022       10,691,073       USD       852,535,000       INR             (6,614

Citibank NA

    10/6/2022       36,529,055       USD       740,685,000       MXN       667        

Goldman Sachs

    9/6/2022       11,105,000       INR       139,905       USD             (197

Goldman Sachs

    9/6/2022       229,000,000       KRW       175,715       USD             (4,500

HSBC Holdings PLC

    9/6/2022       280,000       AUD       195,409       USD             (3,809

HSBC Holdings PLC

    9/6/2022       800,000       CAD       622,091       USD             (12,970

HSBC Holdings PLC

    9/6/2022       55,918,000       CAD       42,575,774       USD       241        

HSBC Holdings PLC

    9/6/2022       200,000       CHF       209,867       USD             (5,205

HSBC Holdings PLC

    9/6/2022       2,525,000       CNH       374,266       USD             (8,710

HSBC Holdings PLC

    9/6/2022       1,845,000       EUR       1,894,221       USD             (39,604

HSBC Holdings PLC

    9/6/2022       121,815,000       EUR       122,448,438       USD       1,537        

HSBC Holdings PLC

    9/6/2022       470,000       GBP       572,320       USD             (26,281

HSBC Holdings PLC

    9/6/2022       90,520,000       JPY       682,657       USD             (30,903

HSBC Holdings PLC

    9/6/2022       3,640,000       MXN       177,961       USD       2,582        

HSBC Holdings PLC

    9/6/2022       1,082,060       USD       1,570,000       AUD       7,729        

HSBC Holdings PLC

    9/6/2022       2,454,142       USD       3,200,000       CAD       17,659        

 

See Notes to Financial Statements.

 

28   WisdomTree Trust


Schedule of Investments (continued)

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

August 31, 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
 

HSBC Holdings PLC

    9/6/2022       16,572,491       USD       15,735,000       CHF     $ 470,664     $  

HSBC Holdings PLC

    9/6/2022       1,138,597       USD       1,100,000       CHF       12,953        

HSBC Holdings PLC

    9/6/2022       1,568,966       USD       10,815,000       CNH       3,231        

HSBC Holdings PLC

    9/6/2022       103,715,359       USD       101,235,000       EUR       1,952,659        

HSBC Holdings PLC

    9/6/2022       3,088,314       USD       3,095,000       EUR             (22,819

HSBC Holdings PLC

    9/6/2022       7,003,813       USD       7,025,000       EUR             (57,806

HSBC Holdings PLC

    9/6/2022       35,240,098       USD       28,915,000       GBP       1,647,081        

HSBC Holdings PLC

    9/6/2022       1,160,501       USD       980,000       GBP       21,951        

HSBC Holdings PLC

    9/6/2022       2,365,417       USD       2,015,000       GBP       24,419        

HSBC Holdings PLC

    9/6/2022       114,604       USD       9,170,000       INR             (762

HSBC Holdings PLC

    9/6/2022       3,058,608       USD       420,205,000       JPY       33,087        

HSBC Holdings PLC

    9/6/2022       11,036,694       USD       14,386,110,000       KRW       280,746        

HSBC Holdings PLC

    9/6/2022       2,145,510       USD       42,975,000       MXN       13,964        

HSBC Holdings PLC

    9/6/2022       6,870,538       USD       205,965,000       TWD       102,565        

HSBC Holdings PLC

    9/6/2022       88,516       USD       2,690,000       TWD       123        

HSBC Holdings PLC

    10/6/2022       43,594,328       USD       57,270,000       CAD             (433

HSBC Holdings PLC

    10/6/2022       123,641,662       USD       122,760,000       EUR             (2,798

JP Morgan Chase Bank NA

    9/6/2022       2,832,000       AUD       1,961,610       USD             (23,709

JP Morgan Chase Bank NA

    9/6/2022       27,533,000       AUD       18,840,529       USD             (49

JP Morgan Chase Bank NA

    9/6/2022       5,837,000       CAD       4,534,695       USD             (90,398

JP Morgan Chase Bank NA

    9/6/2022       1,961,000       CHF       2,053,786       USD             (47,069

JP Morgan Chase Bank NA

    9/6/2022       19,585,000       CNH       2,896,083       USD             (60,677

JP Morgan Chase Bank NA

    9/6/2022       187,965,000       CNH       27,211,927       USD       587        

JP Morgan Chase Bank NA

    9/6/2022       12,615,000       EUR       12,857,978       USD             (177,220

JP Morgan Chase Bank NA

    9/6/2022       3,603,000       GBP       4,387,643       USD             (201,731

JP Morgan Chase Bank NA

    9/6/2022       34,987,000       GBP       40,646,882       USD       495        

JP Morgan Chase Bank NA

    9/6/2022       746,608,000       JPY       5,624,060       USD             (248,402

JP Morgan Chase Bank NA

    9/6/2022       77,931,000       MXN       3,727,455       USD       137,898        

JP Morgan Chase Bank NA

    9/6/2022       242,505,000       TWD       7,978,188       USD             (9,516

JP Morgan Chase Bank NA

    9/6/2022       15,889,702       USD       22,730,000       AUD       335,854        

JP Morgan Chase Bank NA

    9/6/2022       270,531       USD       385,000       AUD       7,080        

JP Morgan Chase Bank NA

    9/6/2022       337,023       USD       490,000       AUD       1,723        

JP Morgan Chase Bank NA

    9/6/2022       2,425,756       USD       3,500,000       AUD       30,750        

JP Morgan Chase Bank NA

    9/6/2022       207,346       USD       300,000       AUD       2,059        

JP Morgan Chase Bank NA

    9/6/2022       203,611       USD       295,000       AUD       1,746        

JP Morgan Chase Bank NA

    9/6/2022       615,107       USD       790,000       CAD       13,601        

JP Morgan Chase Bank NA

    9/6/2022       765,617       USD       995,000       CAD       8,023        

JP Morgan Chase Bank NA

    9/6/2022       5,484,746       USD       7,105,000       CAD       74,992        

JP Morgan Chase Bank NA

    9/6/2022       462,814       USD       600,000       CAD       5,974        

JP Morgan Chase Bank NA

    9/6/2022       465,136       USD       605,000       CAD       4,488        

JP Morgan Chase Bank NA

    9/6/2022       279,586       USD       265,000       CHF       8,408        

JP Morgan Chase Bank NA

    9/6/2022       355,043       USD       340,000       CHF       7,116        

JP Morgan Chase Bank NA

    9/6/2022       2,507,236       USD       2,415,000       CHF       35,936        

JP Morgan Chase Bank NA

    9/6/2022       217,485       USD       210,000       CHF       2,589        

JP Morgan Chase Bank NA

    9/6/2022       211,833       USD       205,000       CHF       2,054        

JP Morgan Chase Bank NA

    9/6/2022       23,293,527       USD       157,170,000       CNH       539,340        

JP Morgan Chase Bank NA

    9/6/2022       388,694       USD       2,640,000       CNH       6,490        

JP Morgan Chase Bank NA

    9/6/2022       487,825       USD       3,335,000       CNH       5,002        

JP Morgan Chase Bank NA

    9/6/2022       3,482,908       USD       23,870,000       CNH       27,144        

JP Morgan Chase Bank NA

    9/6/2022       295,177       USD       2,030,000       CNH       1,285        

JP Morgan Chase Bank NA

    9/6/2022       295,659       USD       2,045,000       CNH             (404

JP Morgan Chase Bank NA

    9/6/2022       1,726,078       USD       1,695,000       EUR       22,242        

JP Morgan Chase Bank NA

    9/6/2022       2,160,793       USD       2,150,000       EUR             (414

JP Morgan Chase Bank NA

    9/6/2022       15,428,348       USD       15,465,000       EUR             (117,265

JP Morgan Chase Bank NA

    9/6/2022       1,316,977       USD       1,320,000       EUR             (9,903

JP Morgan Chase Bank NA

    9/6/2022       1,320,045       USD       1,320,000       EUR             (6,836

 

See Notes to Financial Statements.

 

WisdomTree Trust      29  


Schedule of Investments (continued)

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

August 31, 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

    9/6/2022       586,786       USD       485,000       GBP     $ 23,321     $  

JP Morgan Chase Bank NA

    9/6/2022       727,783       USD       615,000       GBP       13,285        

JP Morgan Chase Bank NA

    9/6/2022       5,254,274       USD       4,440,000       GBP       95,948        

JP Morgan Chase Bank NA

    9/6/2022       448,444       USD       380,000       GBP       6,966        

JP Morgan Chase Bank NA

    9/6/2022       444,810       USD       380,000       GBP       3,332        

JP Morgan Chase Bank NA

    9/6/2022       150,920       USD       11,980,000       INR       203        

JP Morgan Chase Bank NA

    9/6/2022       188,828       USD       15,110,000       INR             (1,267

JP Morgan Chase Bank NA

    9/6/2022       45,044,408       USD       5,991,645,000       JPY       1,903,924        

JP Morgan Chase Bank NA

    9/6/2022       751,105       USD       100,665,000       JPY       26,306        

JP Morgan Chase Bank NA

    9/6/2022       944,855       USD       129,135,000       JPY       15,069        

JP Morgan Chase Bank NA

    9/6/2022       6,780,985       USD       926,840,000       JPY       107,638        

JP Morgan Chase Bank NA

    9/6/2022       573,877       USD       78,620,000       JPY       7,805        

JP Morgan Chase Bank NA

    9/6/2022       573,373       USD       79,500,000       JPY       965        

JP Morgan Chase Bank NA

    9/6/2022       327,603       USD       425,000,000       KRW       9,847        

JP Morgan Chase Bank NA

    9/6/2022       185,305       USD       243,000,000       KRW       3,623        

JP Morgan Chase Bank NA

    9/6/2022       529,814       USD       10,585,000       MXN       4,802        

JP Morgan Chase Bank NA

    9/6/2022       666,248       USD       13,475,000       MXN             (2,108

JP Morgan Chase Bank NA

    9/6/2022       4,788,420       USD       95,885,000       MXN       32,553        

JP Morgan Chase Bank NA

    9/6/2022       407,879       USD       8,130,000       MXN       4,633        

JP Morgan Chase Bank NA

    9/6/2022       404,245       USD       8,105,000       MXN       2,240        

JP Morgan Chase Bank NA

    10/6/2022       19,008,002       USD       27,765,000       AUD             (170

JP Morgan Chase Bank NA

    10/6/2022       42,057,007       USD       36,180,000       GBP             (559

JP Morgan Chase Bank NA

    10/6/2022       8,278,356       USD       251,215,000       TWD       12,067        

JP Morgan Chase Bank NA

    10/13/2022       27,904,051       USD       192,690,000       CNH             (418

Morgan Stanley & Co. International

    9/6/2022       19,039,000       CHF       19,482,579       USD       273        

Morgan Stanley & Co. International

    9/6/2022       36,575,091       USD       46,840,000       CAD       911,073        

Morgan Stanley & Co. International

    9/6/2022       114,568       USD       9,150,000       INR             (545

Morgan Stanley & Co. International

    9/6/2022       1,664,303       USD       2,230,000,000       KRW             (2,983

Morgan Stanley & Co. International

    9/6/2022       30,482,815       USD       625,410,000       MXN             (537,330

Morgan Stanley & Co. International

    9/6/2022       650,208       USD       13,050,000       MXN       2,932        

Morgan Stanley & Co. International

    9/6/2022       1,034,626       USD       31,225,000       TWD       8,578        

Morgan Stanley & Co. International

    9/6/2022       88,566       USD       2,680,000       TWD       501        

Morgan Stanley & Co. International

    10/6/2022       19,858,997       USD       19,360,000       CHF             (391

Royal Bank of Canada

    9/6/2022       515,268       USD       3,530,000       CNH       4,215        

Royal Bank of Canada

    9/6/2022       1,716,904       USD       233,955,000       JPY       32,403        

Standard Chartered Bank

    9/6/2022       88,360,000       INR       1,120,751       USD             (9,119

Standard Chartered Bank

    9/6/2022       25,665,000       TWD       856,499       USD             (13,152

Standard Chartered Bank

    9/6/2022       2,635,000       TWD       87,951       USD             (1,365

Standard Chartered Bank

    9/6/2022       489,296       USD       705,000       AUD       6,874        

Standard Chartered Bank

    9/6/2022       141,133       USD       190,000,000       KRW             (923

UBS AG

    9/6/2022       7,299,867,000       JPY       52,559,227       USD       595        

UBS AG

    9/6/2022       17,562,482,000       KRW       13,081,923       USD       48,878        

UBS AG

    9/6/2022       474,572       USD       670,000       AUD       16,099        

UBS AG

    9/6/2022       1,076,058       USD       1,375,000       CAD       29,132        

UBS AG

    9/6/2022       494,061       USD       465,000       CHF       18,220        

UBS AG

    9/6/2022       690,316       USD       4,640,000       CNH       18,563        

UBS AG

    9/6/2022       3,065,263       USD       2,970,000       EUR       79,781        

UBS AG

    9/6/2022       1,039,104       USD       850,000       GBP       51,586        

UBS AG

    9/6/2022       1,329,461       USD       176,430,000       JPY       59,146        

UBS AG

    9/6/2022       232,723       USD       311,000,000       KRW       200        

UBS AG

    9/6/2022       445,672       USD       597,000,000       KRW             (682

UBS AG

    9/6/2022       920,229       USD       18,525,000       MXN       1,395        

UBS AG

    9/6/2022       116,322       USD       3,485,000       TWD       1,805        

UBS AG

    10/6/2022       53,838,439       USD       7,459,305,000       JPY             (890

UBS AG

    10/6/2022       13,245,700       USD       17,774,935,000       KRW             (50,450
                                            $ 9,474,307     $ (1,889,100

 

See Notes to Financial Statements.

 

30   WisdomTree Trust


Schedule of Investments (concluded)

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

August 31, 2022

 

FAIR VALUATION SUMMARY

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

   $      $ 373,001,023      $      $ 373,001,023  

Exchange-Traded Fund

     16,758,375                      16,758,375  

Total Investments in Securities

   $ 16,758,375      $ 373,001,023      $      $ 389,759,398  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ 9,474,307      $      $ 9,474,307  

Liabilities:

  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ (1,889,100    $      $ (1,889,100

Total – Net

   $ 16,758,375      $ 380,586,230      $      $ 397,344,605  
1 

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

 

See Notes to Financial Statements.

 

WisdomTree Trust      31  


Schedule of Investments

WisdomTree Chinese Yuan Strategy Fund (CYB)

August 31, 2022

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 65.0%

 

U.S. Treasury Bills – 65.0%

 

1.28%, 10/13/22*

   $ 9,550,000      $ 9,524,291  

2.75%, 12/8/22*

     8,500,000        8,435,361  

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $17,973,820)

 

 

     17,959,652  
      Shares          
EXCHANGE-TRADED FUND – 4.0%

 

United States – 4.0%

 

WisdomTree Floating Rate Treasury Fund(a)

     
(Cost: $1,119,572)      22,300        1,120,575  
REPURCHASE AGREEMENT – 31.8%

 

United States – 31.8%

 

Citigroup, Inc., tri-party repurchase agreement dated 8/31/22 (tri-party custodian: The Bank of New York Mellon Corp.), 2.30% due 9/1/22; Proceeds at maturity – $8,780,561 (fully collateralized by Ginnie Mae I Single Family, 4.50% due 3/15/52, Ginnie Mae II Single Family, 2.00% – 3.50% due 3/20/52; Market value including accrued interest – $9,219,988)

     
(Cost: $8,780,000)    $ 8,780,000      $ 8,780,000  

TOTAL INVESTMENTS IN SECURITIES – 100.8%

(Cost: $27,873,392)

 

 

     27,860,227  

Other Assets less Liabilities – (0.8)%

 

     (211,765
  

 

 

 
NET ASSETS – 100.0%

 

   $ 27,648,462  
* 

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

 

(a) 

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

 

INVESTMENT IN AFFILIATES

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the fiscal year ended August 31, 2022 were as follows:

 

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

WisdomTree Floating Rate Treasury Fund

  $ 1,822,260     $     $ 703,862     $ 862     $ 1,315     $ 1,120,575     $ 7,547     $ 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
 

Bank of America NA

    10/21/2022       28,417,000       CNH       4,231,601       USD     $     $ (108,635

Citibank NA

    9/15/2022       40,000,000       CNY       5,906,064       USD             (88,427

Citibank NA

    9/15/2022       690,823       USD       4,629,000       CNY       17,577        

HSBC Holdings PLC

    9/15/2022       224,148       USD       1,500,000       CNY       5,987        

Morgan Stanley & Co. International

    11/14/2022       67,303,000       CNY       9,964,910       USD             (182,838

UBS AG

    9/15/2022       4,902,872       USD       33,871,000       CNY             (23,358

UBS AG

    10/21/2022       60,485,000       CNY       9,002,083       USD             (215,025

UBS AG

    12/13/2022       33,947,000       CNY       4,916,008       USD       19,282        
                                            $ 42,846     $ (618,283

 

See Notes to Financial Statements.

 

32   WisdomTree Trust


Schedule of Investments (concluded)

WisdomTree Chinese Yuan Strategy Fund (CYB)

August 31, 2022

 

FAIR VALUATION SUMMARY

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

   $      $ 17,959,652      $      $ 17,959,652  

Exchange-Traded Fund

     1,120,575                      1,120,575  

Repurchase Agreement

            8,780,000               8,780,000  

Total Investments in Securities

   $ 1,120,575      $ 26,739,652      $      $ 27,860,227  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ 42,846      $      $ 42,846  

Liabilities:

  

Financial Derivative Instruments

  

Foreign Currency Contracts1

   $      $ (618,283    $      $ (618,283

Total – Net

   $ 1,120,575      $ 26,164,215      $      $ 27,284,790  
1 

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

 

See Notes to Financial Statements.

 

WisdomTree Trust      33  


Schedule of Investments

WisdomTree Emerging Currency Strategy Fund (CEW)

August 31, 2022

 

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 61.7%

 

U.S. Treasury Bills – 61.7%

 

1.14%, 9/15/22*

   $ 2,800,000      $ 2,797,670  

2.75%, 12/8/22*

     2,300,000        2,282,509  
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost: $5,081,952)

 

     5,080,179  
      Shares          
EXCHANGE-TRADED FUND – 4.2%

 

United States – 4.2%

 

WisdomTree Floating Rate Treasury Fund(a)

     
(Cost: $341,394)      6,800        341,700  
REPURCHASE AGREEMENT – 31.9%

 

United States – 31.9%

 

Citigroup, Inc., tri-party repurchase agreement dated 8/31/22 (tri-party custodian: The Bank of New York Mellon Corp.), 2.30% due 9/1/22; Proceeds at maturity – $2,630,168 (fully collateralized by U.S. Treasury Bond, 3.00% due 8/15/52; Market value including accrued interest – $2,682,651)

     
(Cost: $2,630,000)    $ 2,630,000      $ 2,630,000  
TOTAL INVESTMENTS IN SECURITIES – 97.8%
(Cost: $8,053,346)

 

     8,051,879  

Other Assets less Liabilities – 2.2%

 

     182,787  
  

 

 

 
NET ASSETS – 100.0%

 

   $ 8,234,666  
* 

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

 

(a) 

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

 

INVESTMENT IN AFFILIATES

Affiliated holdings are investments in entities in which the Fund owns 5% or more of the outstanding voting securities or are investments in entities which are under common ownership or control. Investments in affiliates during the fiscal year ended August 31, 2022 were as follows:

 

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

WisdomTree Floating Rate Treasury Fund

  $ 567,260     $ 175,895     $ 402,042     $ 185     $ 402     $ 341,700     $ 2,008     $ 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

    11/4/2022       21,285,000       THB       581,149       USD     $ 6,108     $  

Citibank NA

    11/4/2022       3,205,000       BRL       588,444       USD       20,748        

Citibank NA

    11/4/2022       8,780,010,000       IDR       580,896       USD       9,828        

Citibank NA

    11/4/2022       46,975,000       INR       582,474       USD       4,800        

Citibank NA

    11/4/2022       32,355,000       PHP       577,242       USD             (3,636

HSBC Holdings PLC

    11/4/2022       3,945,000       CNH       584,454       USD             (11,877

HSBC Holdings PLC

    11/4/2022       762,015,000       KRW       581,513       USD             (12,049

JP Morgan Chase Bank NA

    11/4/2022       2,642,765,000       COP       586,772       USD       4,215        

JP Morgan Chase Bank NA

    11/4/2022       12,145,000       MXN       580,237       USD       16,343        

JP Morgan Chase Bank NA

    11/4/2022       2,775,000       PLN       576,923       USD       8,179        

JP Morgan Chase Bank NA

    11/4/2022       11,925,000       TRY       578,054       USD       43,846        

JP Morgan Chase Bank NA

    11/4/2022       9,980,000       ZAR       585,739       USD   &nb