WisdomTree Currency, Fixed Income and Alternative Funds
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-21864

 

 

WisdomTree Trust

(Exact name of registrant as specified in charter)

 

 

245 Park Avenue, 35th Floor

New York, NY 10167

(Address of principal executive offices) (Zip code)

 

 

The Corporation Trust Company

1209 Orange Street

Wilmington, DE 19801

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: (866) 909-9473

Date of fiscal year end: August 31

Date of reporting period: February 28, 2014

 

 

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

 


Table of Contents

Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.


Table of Contents

LOGO

 

LOGO

 

WisdomTree Trust

Currency Strategy, Fixed Income and Alternative Funds

 

Semi-Annual Report

February 28, 2014

Currency Strategy Funds:

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

WisdomTree Brazilian Real Strategy Fund (BZF)

(formerly, WisdomTree Brazilian Real Fund)

WisdomTree Chinese Yuan Strategy Fund (CYB)

(formerly, WisdomTree Chinese Yuan Fund)

WisdomTree Commodity Currency Strategy Fund (CCX)

(formerly, WisdomTree Commodity Currency Fund)

WisdomTree Emerging Currency Strategy Fund (CEW)

(formerly, WisdomTree Emerging Currency Fund)

WisdomTree Indian Rupee Strategy Fund (ICN)

(formerly, WisdomTree Indian Rupee Fund)

Fixed Income Funds:

WisdomTree Asia Local Debt Fund (ALD)

WisdomTree Australia & New Zealand Debt Fund (AUNZ)

WisdomTree Barclays U.S. Aggregate Bond Negative Duration Fund (AGND)

WisdomTree Barclays U.S. Aggregate Bond Zero Duration Fund (AGZD)

WisdomTree Bloomberg Floating Rate Treasury Fund (USFR)

WisdomTree BofA Merrill Lynch High Yield Bond Negative Duration Fund (HYND)

WisdomTree BofA Merrill Lynch High Yield Bond Zero Duration Fund (HYZD)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

WisdomTree Emerging Markets Local Debt Fund (ELD)

WisdomTree Euro Debt Fund (EU)

WisdomTree Global Corporate Bond Fund (GLCB)

WisdomTree Japan Interest Rate Strategy Fund (JGBB)

Alternative Funds:

WisdomTree Global Real Return Fund (RRF)

WisdomTree Managed Futures Strategy Fund (WDTI)


Table of Contents

Table of Contents

 

Performance Summaries (unaudited)

       1   

Description of Terms and Indexes (unaudited)

       21   

Shareholder Expense Examples (unaudited)

       27   
Schedules of Investments (unaudited)     

WisdomTree Bloomberg U.S. Dollar Bullish Fund

       30   

WisdomTree Brazilian Real Strategy Fund

       31   

WisdomTree Chinese Yuan Strategy Fund

       32   

WisdomTree Commodity Currency Strategy Fund

       33   

WisdomTree Emerging Currency Strategy Fund

       34   

WisdomTree Indian Rupee Strategy Fund

       35   

WisdomTree Asia Local Debt Fund

       36   

WisdomTree Australia & New Zealand Debt Fund

       38   

WisdomTree Barclays U.S. Aggregate Bond Negative Duration Fund

       39   

WisdomTree Barclays U.S. Aggregate Bond Zero Duration Fund

       42   

WisdomTree Bloomberg Floating Rate Treasury Fund

       45   

WisdomTree BofA Merrill Lynch High Yield Bond Negative Duration Fund

       46   

WisdomTree BofA Merrill Lynch High Yield Bond Zero Duration Fund

       48   

WisdomTree Emerging Markets Corporate Bond Fund

       50   

WisdomTree Emerging Markets Local Debt Fund

       52   

WisdomTree Euro Debt Fund

       55   

WisdomTree Global Corporate Bond Fund

       56   

WisdomTree Japan Interest Rate Strategy Fund (consolidated)

       58   

WisdomTree Global Real Return Fund (consolidated)

       59   

WisdomTree Managed Futures Strategy Fund (consolidated)

       61   

Statements of Assets and Liabilities (unaudited)

       62   

Statements of Operations (unaudited)

       66   

Statements of Changes in Net Assets (unaudited)

       70   

Financial Highlights (unaudited)

       77   

Notes to Financial Statements (unaudited)

       87   

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

       113   

General Information (unaudited)

       116   

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


Table of Contents

Performance Summary (unaudited)

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

 

Investment Breakdown

as of 2/28/14

 

Investment Type   % of
Net Assets
 

U.S. Government Obligations

    100.2%   

Liabilities in Excess of Other Assets

    -0.2%   

Total

    100.0%   

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Holdings* as of 2/28/14

 

Description   % of Net Assets  

U.S. Treasury Bill, 0.04%, 3/27/14

    54.8%   

U.S. Treasury Bill, 0.02%, 3/20/14

    45.4%   
* The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

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 returned -0.64% on net asset value (“NAV”) since its inception on December 18, 2013 through February 28, 2014 (for more complete performance information please see below). The Fund underperformed the Index by 0.17% based on NAV for the period. This was primarily due to deductions for Fund expenses and transaction costs.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share 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 mid-point of the highest bid and lowest offer 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 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.

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 are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated December 13, 2013, the Fund’s annual expense ratio was 0.50%.

Performance as of 2/28/14

 

        Cumulative Total Return  
       

Since

Inception1

 

Fund NAV Returns

       -0.64

Fund Market Price Returns

       -0.60

Bloomber Dollar Total Return Index

       -0.47
1 

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

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. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread 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.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      1   


Table of Contents

Performance Summary (unaudited)

WisdomTree Brazilian Real Strategy Fund (BZF)

(formerly, WisdomTree Brazilian Real Fund)

 

Investment Breakdown

as of 2/28/14

 

Investment Type  

% of

Net Assets

 

U.S. Government Obligations

    88.6%   

Repurchase Agreement

    27.2%   

Liabilities in Excess of Other Assets

    -15.8%   

Total

    100.0%   

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Holdings* as of 2/28/14

 

Description   % of Net Assets  

U.S. Treasury Bill, 0.03%, 3/13/14

    88.6%   

Citigroup, Inc., tri-party repurchase agreement, 0.06%, 3/03/14††

    27.2%   
* The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

 

†† Fully collateralized by U.S. Government agency securities.

The WisdomTree Brazilian Real Strategy Fund (the “Fund”) seeks to achieve total returns reflective of both money market rates in Brazil available to foreign investors and changes in value of the Brazilian real relative to the U.S. dollar. The Brazilian real is a developing market currency, which can experience periods of significant volatility. Although the Fund invests in very 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 5.82% on net asset value (“NAV”) for the six-month period ended February 28, 2014 (for more complete performance information please see below). The Fund outperformed the change in the spot currency rate by 4.06% based on NAV for the six-month period. This was largely due to the Fund’s investments in U.S. money market instruments and forward currency contracts.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share 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 mid-point of the highest bid and lowest offer 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 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.

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 are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2014, the Fund’s annual expense ratio was 0.45%.

Performance as of 2/28/14

 

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

Fund NAV Returns

     5.82     -9.82     -5.09     7.29     1.34

Fund Market Price Returns

     5.84     -10.13     -5.04     7.56     1.08

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

     6.19     -9.33     -4.37     8.24     2.55

Brazilian real

     1.76     -15.36     -10.80     0.33     -5.74
* Returns of less than one year are cumulative.
1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca on May 14, 2008.

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. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread 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.

 

2   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Performance Summary (unaudited)

WisdomTree Chinese Yuan Strategy Fund (CYB)

(formerly, WisdomTree Chinese Yuan Fund)

 

Investment Breakdown

as of 2/28/14

 

Investment Type   % of
Net Assets
 

U.S. Government Obligations

    70.5%   

Time Deposits

    20.2%   

Repurchase Agreement

    13.0%   

Liabilities in Excess of Other Assets

    -3.7%   

Total

    100.0%   

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Holdings* as of 2/28/14

 

Description   % of Net Assets  

U.S. Treasury Bill, 0.03%, 3/13/14

    26.4%   

U.S. Treasury Bill, 0.02%, 3/20/14

    22.8%   

U.S. Treasury Bill, 0.05%, 3/27/14

    21.3%   

Citigroup, Inc., tri-party repurchase agreement, 0.06%, 3/03/14††

    13.0%   

Standard Chartered Bank, 1.73%, 3/21/14

    5.2%   

Deutsche Bank AG, 1.20%, 3/21/14

    5.0%   

JPMorgan Chase & Co., 1.35%, 3/21/14

    5.0%   

BNP Paribas, 1.52%, 3/21/14

    5.0%   
* The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

 

†† Fully collateralized by U.S. Government agency securities.

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 Chinese yuan is a developing market currency, which can experience periods of significant volatility. Although the Fund invests in very 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 0.43% on net asset value (“NAV”) for the six-month period ended February 28, 2014 (for more complete performance information please see below). The Fund underperformed the change in the spot currency rate by 0.38% based on NAV for the six-month period. This underperformance was largely the result of the Fund’s investments in U.S. money market instruments, forward currency contracts, and locally-denominated time deposits.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share 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 mid-point of the highest bid and lowest offer 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 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.

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 are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2014, the Fund’s annual expense ratio was 0.45%.

Performance as of 2/28/14

 

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

Fund NAV Returns

     0.43     2.70     2.22     1.52     1.94

Fund Market Price Returns

     0.58     2.82     2.22     1.55     1.76

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

     -0.44     1.93     2.53     2.12     2.80

Chinese yuan

     0.81     1.67     2.42     2.24     2.33
* Returns of less than one year are cumulative.
1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca on May 14, 2008.

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. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread 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.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      3   


Table of Contents

Performance Summary (unaudited)

WisdomTree Commodity Currency Strategy Fund (CCX)

(formerly, WisdomTree Commodity Currency Fund)

 

Investment Breakdown as of 2/28/14

 

Investment Type   % of
Net Assets
 

U.S. Government Obligations

    71.4%   

Repurchase Agreement

    27.2%   

Other Assets less Liabilities

    1.4%   

Total

    100.0%   

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Holdings* as of 2/28/14

 

Description   % of Net Assets  

U.S. Treasury Bill, 0.05%, 3/27/14

    38.0%   

U.S. Treasury Bill, 0.03%, 3/13/14

    33.4%   

Citigroup, Inc., tri-party repurchase agreement, 0.06%, 3/03/14††

    27.2%   
* The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

 

†† Fully collateralized by U.S. Government agency securities.

The WisdomTree Commodity Currency Strategy Fund (the “Fund”) seeks to achieve total returns reflective of money market rates in selected commodity-producing countries and changes in value of such countries’ currencies relative to the U.S. dollar. The term “commodity currency” generally is used to describe the currency of a country whose economic success is commonly identified with the production and export of commodities (such as precious metals, oil, agricultural products or other raw materials) and whose value is closely linked to the value of such commodities. The Fund intends to invest in commodity-producing countries, such as Australia, Brazil, Canada, Chile, Colombia, Indonesia, Malaysia, New Zealand, Norway, Peru, Russia and South Africa. This list may change based on market developments. Although this Fund invests in very 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 0.15% on net asset value (“NAV”) for the six-month period ended February 28, 2014 (for more complete performance information please see below). The Fund outperformed its benchmark, the Barclays Commodity Producers Currency Index, by 0.48% based on NAV for the six-month period. This outperformance was largely the result of the Fund’s allocation to the New Zealand dollar.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share 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 mid-point of the highest bid and lowest offer 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 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.

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 are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2014, the Fund’s annual expense ratio was 0.55%.

Performance as of 2/28/14

 

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

Fund NAV Returns

     0.15     -7.64     -2.23     -0.42

Fund Market Price Returns

     0.31     -7.61     -2.33     -0.48

Barclays Commodity Producers Currency Index

     -0.33     -9.24     -3.95     -1.81

Equal-Weighted Commodity Currency Composite

     0.48     -7.04     -1.51     0.32
* Returns of less than one year are cumulative.
1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca on September 24, 2010.

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. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread 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.

 

4   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Performance Summary (unaudited)

WisdomTree Emerging Currency Strategy Fund (CEW)

(formerly, WisdomTree Emerging Currency Fund)

 

Investment Breakdown† as of 2/28/14

 

Investment Type   % of
Net Assets
 

U.S. Government Obligations

    93.3%   

Repurchase Agreement

    4.3%   

Other Assets less Liabilities

    2.4%   

Total

    100.0%   

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Holdings* as of 2/28/14

 

Description    % of Net Assets  

U.S. Treasury Bill, 0.03%, 3/13/14

     76.5

U.S. Treasury Bill, 0.05%, 3/27/14

     16.8

Citigroup, Inc., tri-party repurchase agreement, 0.06%, 3/03/14††

     4.3
* The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

 

†† Fully collateralized by U.S. Government agency securities.

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. 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 0.92% on net asset value (“NAV”) for the six-month period ended February 28, 2014 (for more complete performance information please see below). The Fund underperformed its industry benchmark, the JP Morgan Emerging Local Markets Index Plus, by 0.24% based on NAV for the six-month period. This was largely due to the Fund’s overweight in Chile and Turkey relative to the benchmark.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share 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 mid-point of the highest bid and lowest offer 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 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.

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 are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2014, the Fund’s annual expense ratio was 0.55%.

Performance as of 2/28/14

 

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

Fund NAV Returns

     0.92     -6.19     -2.28     1.90

Fund Market Price Returns

     1.12     -5.97     -2.28     1.70

JP Morgan Emerging Local Markets Index Plus (ELMI+)

     1.16     -2.99     -0.75     2.97

Equal-Weighted Emerging Currency Composite

     0.96     -5.43     -1.54     2.71
* Returns of less than one year are cumulative.
1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca on May 6, 2009.

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. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread 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.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      5   


Table of Contents

Performance Summary (unaudited)

WisdomTree Indian Rupee Strategy Fund (ICN)

(formerly, WisdomTree Indian Rupee Fund)

 

Investment Breakdown

as of 2/28/14

 

Investment Type   % of
Net Assets
 

U.S. Government Obligations

    95.9%   

Repurchase Agreement

    1.1%   

Other Assets less Liabilities

    3.0%   

Total

    100.0%   

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Holdings* as of 2/28/14

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.03%, 3/13/14

    63.6%   

U.S. Treasury Bill,
0.05%, 3/27/14

    17.1%   

U.S. Treasury Bill,
0.02%, 3/20/14

    15.2%   

Citigroup, Inc., tri-party repurchase agreement,
0.06%, 3/03/14††

    1.1%   
* The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

 

†† Fully collateralized by U.S. Government agency securities.

The WisdomTree Indian Rupee Strategy Fund (the “Fund”) seeks to achieve total returns reflective of both money market rates in India available to foreign investors and changes in value of the Indian rupee relative to the U.S. dollar. The Indian rupee is a developing market currency, which can experience periods of significant volatility. Although the Fund invests in very 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 12.90% on net asset value (“NAV”) for the six-month period ended February 28, 2014 (for more complete performance information please see below). The Fund outperformed the change in the spot currency rate by 5.21% based NAV for the six-month period. This was the result of the Fund’s investments in U.S. money market instruments and forward currency contracts.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share 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 mid-point of the highest bid and lowest offer 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 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.

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 are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2014, the Fund’s annual expense ratio was 0.45%.

Performance as of 2/28/14

 

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

Fund NAV Returns

       12.90      -6.48      -3.95      1.37      -0.53

Fund Market Price Returns

       12.51      -4.69      -3.79      1.50      -0.55

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

       12.36      -4.57      -3.27      2.31      0.57

Indian rupee

       7.69      -13.28      -10.03      -3.79      -6.33
* Returns of less than one year are cumulative.
1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca on May 14, 2008.

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. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread 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.

 

6   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Performance Summary (unaudited)

WisdomTree Asia Local Debt Fund (ALD)

 

Country Breakdown† as of 2/28/14

 

Country   % of
Net Assets
 

South Korea

    11.8%   

Malaysia

    11.8%   

Thailand

    11.6%   

Australia

    11.2%   

United States

    8.9%   

New Zealand

    6.0%   

Indonesia

    5.9%   

Hong Kong

    5.9%   

India

    5.8%   

Philippines

    5.3%   

China

    5.2%   

Singapore

    4.9%   

Taiwan

    0.4%   

Other Assets less Liabilities

    5.3%   

Total

    100.0%   

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Ten Holdings* as of 2/28/14

 

Description   % of Net Assets  

Citigroup, Inc., tri-party repurchase agreement, 0.06%, 3/03/14††

    8.9%   

Korea Treasury Bond,
2.75%, 9/10/17,
Series 1709

    3.8%   

Malaysia Government,
3.84%, 8/12/15,
Series 0110

    3.6%   

Malaysia Government,
3.26%, 3/01/18,
Series 0213

    3.5%   

Republic of Philippines, 4.95%, 1/15/21

    3.2%   

Korea Treasury Bond,
4.50%, 3/10/15,
Series 1503

    3.1%   

Malaysia Government,
4.01%, 9/15/17,
Series 0210

    3.0%   

Thailand Government Bond, 2.80%, 10/10/17

    2.8%   

Hong Kong Government Bond, 1.65%, 6/15/15

    2.7%   

Singapore Government Bond, 2.25%, 6/01/21

    2.6%   
* The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

 

†† Fully collateralized by U.S. Government agency securities.

The WisdomTree Asia 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 currencies of a broad range of Asian countries.

The Fund returned 1.92% on net asset value (“NAV”) for the six-month period ended February 28, 2014 (for more complete performance information please see below). The Fund underperformed its industry benchmark, the HSBC Asian Local Bond Index, by 1.05% based on NAV for the six-month period. This was the result of the Fund’s less concentrated position in South Korean bonds that performed well during the period.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share 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 mid-point of the highest bid and lowest offer 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 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.

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 are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2014, the Fund’s annual expense ratio was 0.55%.

Performance as of 2/28/14

 

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

Fund NAV Returns

       1.92      -6.65      0.67

Fund Market Price Returns

       2.59      -6.82      0.56

HSBC Asian Local Bond Index

       2.97      -5.59      2.55
* Returns of less than one year are cumulative.
1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca on March 17, 2011.

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. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread 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.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      7   


Table of Contents

Performance Summary (unaudited)

WisdomTree Australia & New Zealand Debt Fund (AUNZ)

 

Country Breakdown† as of 2/28/14

 

Country   % of
Net Assets
 

Australia

    86.3%   

New Zealand

    11.7%   

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 includes investment of cash collateral for securities on loan (if any).

Top Ten Holdings* as of 2/28/14

 

Description   % of Net Assets  

Australian Government Bond, 5.50%, 1/21/18, Series 132

    5.3%   

Export Development Canada, 5.25%, 8/10/15

    4.4%   

Treasury Corp. of Victoria, 5.50%, 11/15/18, Series 1118

    4.2%   

South Australian Government Financing Authority,
5.75%, 9/20/17, Series 17

    4.0%   

Tasmanian Public Finance, 6.50%, 4/15/15,
Series 15

    4.0%   

Australian Government Bond, 5.25%, 3/15/19,
Series 122

    3.8%   

Nordic Investment Bank, 6.00%, 4/06/15

    3.7%   

New Zealand Government Bond, 6.00%, 12/15/17, Series 1217

    3.5%   

Australian Government Bond, 4.50%, 4/15/20,
Series 126

    3.5%   

Inter-American Development Bank, 6.00%, 5/25/16

    3.5%   
* The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

The WisdomTree Australia & New Zealand Debt Fund (the “Fund”) seeks a high level of total return consisting of both income and capital appreciation. The Fund attempts to achieve its investment objective through investments in fixed income instruments denominated in Australian or New Zealand dollars.

The Fund returned 3.21% on net asset value (“NAV”) for the six-month period ended February 28, 2014 (for more complete performance information please see below). The Fund outperformed its industry benchmark, the Citigroup Australian Broad Investment-Grade Bond Index, by 0.32% based on NAV for the six-month period. This was the result of the Fund’s larger investments in New Zealand dollar denominated bonds than the industry benchmark.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share 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 mid-point of the highest bid and lowest offer 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 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.

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 are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2014, the Fund’s annual expense ratio was 0.45%.

Performance as of 2/28/14

 

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

Fund NAV Returns2

       3.21      -9.11      1.91      10.65      2.45

Fund Market Price Returns2

       2.54      -9.73      1.49      10.54      2.12

Citigroup Australian Broad Investment-Grade Bond Index3

       2.89      -9.87      2.79      13.68      6.52

BofA Merrill Lynch New Zealand Dollar One-Month LIBID Constant Maturity Index

       9.98      3.92      6.48      13.89      5.21

Spliced Australia & New Zealand Debt Composite

       4.45      -7.72      3.52      11.98      3.57
* Returns of less than one year are cumulative.
1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca on June 25, 2008.

2 

The information reflects the investment objective and strategy of the WisdomTree Dreyfus New Zealand Dollar Fund through October 24, 2011 and the investment objective and strategy of the WisdomTree Australia & New Zealand Debt Fund thereafter.

3 

Previously, the Fund’s performance was compared to the BofA Merrill Lynch New Zealand Dollar One-Month LIBID Constant Maturity Index as its primary benchmark. The Fund’s investment adviser has elected to compare the Fund’s performance to the Citigroup Australian Broad Investment-Grade Bond Index because it believes this is the most appropriate measure for comparison to the Fund’s performance.

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. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread 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.

 

8   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Performance Summary (unaudited)

WisdomTree Barclays U.S. Aggregate Bond Negative Duration Fund (AGND)

 

Investment Breakdown

as of 2/28/14

 

Investment Type   % of
Net Assets
 

U.S. Government Agencies

    38.7%   

U.S. Government Obligations

    27.7%   

Corporate Bonds

    24.0%   

Foreign Corporate Bonds

    4.2%   

Commercial Mortgage-Backed Securities

    2.1%   

Supranational Bonds

    1.3%   

Foreign Government Obligations

    1.0%   

Municipal Bond

    0.7%   

Other Assets less Liabilities

    0.3%   

Total

    100.0%   

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Ten Holdings* as of 2/28/14

 

Description   % of Net Assets  

U.S. Treasury Note,
2.13%, 5/31/15

    10.0%   

U.S. Treasury Note,
0.63%, 7/15/16

    8.3%   

Federal National Mortgage Association,
5.50%, 2/01/28

    4.6%   

Government National Mortgage Association, 5.00%, 2/20/43

    4.4%   

U.S. Treasury Note,
2.13%, 8/15/21

    4.1%   

Federal National Mortgage Association,
5.00%, 3/01/41

    2.2%   

Government National Mortgage Association, 4.50%, 3/15/44

    2.2%   

Federal National Mortgage Association,
4.50%, 10/01/41

    2.2%   

Federal Home Loan Mortgage Corp.,
4.50%, 2/15/35

    2.2%   

Government National Mortgage Association, 4.00%, 3/15/44

    2.2%   
* The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

The WisdomTree Barclays U.S. Aggregate Bond Negative Duration Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Barclays Rate Hedged U.S. Aggregate Bond Index, Negative Five Duration (the “Index”).

The Fund returned -2.17% on net asset value (“NAV”) since its inception on December 18, 2013 through February 28, 2014 (for more complete performance information please see below). The Fund underperformed the Index by 0.44% based on NAV for the period. This was primarily due to transaction costs and the Fund’s investments in Treasury futures compared to the Index’s investment in cash Treasury Bonds and transaction costs.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share 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 mid-point of the highest bid and lowest offer 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 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.

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 are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated December 16, 2013, the Fund’s annual expense ratio was 0.28%.

Performance as of 2/28/14

 

        Cumulative Total Return  
        Since
Inception1
 

Fund NAV Returns

       -2.17

Fund Market Price Returns

       -1.98

Barclays Rate Hedged U.S. Aggregate Bond Index, Negative Five Duration

       -1.73
1 

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

Performance is historical and does not guarantee future results. 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. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread 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.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      9   


Table of Contents

Performance Summary (unaudited)

WisdomTree Barclays U.S. Aggregate Bond Zero Duration Fund (AGZD)

 

Investment Breakdown

as of 2/28/14

 

Investment Type   % of
Net Assets
 

U.S. Government Agencies

    37.7%   

U.S. Government Obligations

    29.3%   

Corporate Bonds

    23.4%   

Foreign Corporate Bonds

    3.4%   

Commercial Mortgage-Backed Securities

    2.1%   

Foreign Government Obligations

    1.6%   

Supranational Bonds

    1.2%   

Municipal Bond

    0.7%   

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 includes investment of cash collateral for securities on loan (if any).

Top Ten Holdings* as of 2/28/14

 

Description   % of Net Assets  

U.S. Treasury Note,
0.63%, 7/15/16

    10.8%   

U.S. Treasury Note,
2.13%, 5/31/15

    9.7%   

Federal National Mortgage Association,
5.50%, 10/01/25

    4.4%   

Government National Mortgage Association, 5.00%, 2/20/43

    4.3%   

U.S. Treasury Note,
2.13%, 8/15/21

    4.0%   

Federal National Mortgage Association,
5.00%, 3/01/41

    2.2%   

Government National Mortgage Association, 4.50%, 3/15/44

    2.2%   

Federal National Mortgage Association,
4.50%, 9/01/39

    2.2%   

Federal Home Loan Mortgage Corp.,
4.50%, 2/15/35

    2.1%   

Government National Mortgage Association,
4.00%, 3/15/44

    2.1%   
* The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

The WisdomTree Barclays U.S. Aggregate Bond Zero Duration Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the Barclays Rate Hedged U.S. Aggregate Bond Index, Zero Duration (the “Index”).

The Fund returned 0.49% on net asset value (“NAV”) since its inception on December 18, 2013 through February 28, 2014 (for more complete performance information please see below). The Fund underperformed the Index by 0.05% based on NAV for the period. This was primarily due to deductions for Fund expenses and transaction costs.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share 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 mid-point of the highest bid and lowest offer 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 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.

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 are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated December 16, 2013, the Fund’s annual expense ratio was 0.23%.

Performance as of 2/28/14

 

        Cumulative Total Return  
        Since
Inception1
 

Fund NAV Returns

       0.49

Fund Market Price Returns

       0.53

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

       0.54
1 

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

Performance is historical and does not guarantee future results. 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. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread 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.

 

10   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Performance Summary (unaudited)

WisdomTree Bloomberg Floating Rate Treasury Fund (USFR)

 

Investment Breakdown

as of 2/28/14

 

Investment Type   % of
Net Assets
 

Treasury Note

    100.0%   

Other Assets less Liabilities

    0.0%   

Total

    100.0%   

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Holdings* as of 2/28/14

 

Description   % of Net Assets  

U.S. Treasury Floating Rate Note,
0.09%, 1/31/16

    100.0%   
* The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

The WisdomTree Bloomberg Floating Rate Treasury Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of an index that measures the performance of the market for floating rate public obligations of the U.S. Treasury.

The Fund returned -0.04% on net asset value (“NAV”) since its inception on February 4, 2014 through February 28, 2014 (for more complete performance information please see below). The Fund underperformed its industry benchmark, the Bloomberg U.S. Treasury Floating Rate Bond Index, by 0.01% based on NAV for the period. This was primarily due to deductions for Fund expenses and transaction costs.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share 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 mid-point of the highest bid and lowest offer 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 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.

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 are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 29, 2014, the Fund’s net and gross annual expense ratios were 0.15% and 0.20%, respectively. WisdomTree Asset Management, Inc. has contractually agreed to limit the Management Fee to 0.15% for one year from Fund inception, unless earlier terminated by the Board of Trustees of the Trust for any reason at any time.

Performance as of 2/28/14

 

        Cumulative Total Return  
        Since
Inception1
 

Fund NAV Returns

       -0.04

Fund Market Price Returns

       -0.04

Bloomberg U.S. Treasury Floating Rate Bond Index

       -0.03
1 

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

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. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread 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.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      11   


Table of Contents

Performance Summary (unaudited)

WisdomTree BofA Merrill Lynch High Yield Bond Negative Duration Fund (HYND)

 

Country Breakdown† as of 2/28/14

 

Country   % of
Net Assets
 

United States

    84.0%   

Italy

    3.8%   

Luxembourg

    2.6%   

Cyprus

    2.2%   

Norway

    2.0%   

United Kingdom

    0.8%   

Canada

    0.5%   

Other Assets less Liabilities

    4.1%   

Total

    100.0%   

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Ten Holdings* as of 2/28/14

 

Description   % of Net Assets  

Springleaf Finance Corp., 6.90%, 12/15/17

    4.5%   

Reynolds Group Issuer, Inc., 8.50%, 5/15/18

    4.3%   

MGM Resorts International, 7.63%, 1/15/17

    3.8%   

GenOn Energy, Inc.,
7.88%, 6/15/17

    3.7%   

Associated Materials LLC, 9.13%, 11/01/17

    3.5%   

Healthcare Technology Intermediate, Inc.,
7.38%, 9/01/18

    3.4%   

SLM Corp.,
8.45%, 6/15/18

    3.4%   

DISH DBS Corp.,
4.25%, 4/01/18

    3.2%   

Ally Financial, Inc.,
5.50%, 2/15/17

    3.2%   

ArcelorMittal S.A.,
5.00%, 2/25/17

    2.6%   
* The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

The WisdomTree BofA Merrill Lynch High Yield Bond Negative Duration Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Negative Seven Duration Index (the “Index”).

The Fund returned -2.02% on net asset value (“NAV”) since its inception on December 18, 2013 through February 28, 2014 (for more complete performance information please see below). The Fund underperformed the Index by 1.00% based on NAV for the period. This was primarily due to representative sampling of high yield bonds and transaction costs.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share 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 mid-point of the highest bid and lowest offer 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 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.

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 are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated December 16, 2013, the Fund’s annual expense ratio was 0.48%.

Performance as of 2/28/14

 

        Cumulative Total Return  
        Since
Inception1
 

Fund NAV Returns

       -2.02

Fund Market Price Returns

       -2.74

BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained Negative  Seven Duration Index

       -1.02
1 

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

Performance is historical and does not guarantee future results. 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. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread 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.

 

12   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Performance Summary (unaudited)

WisdomTree BofA Merrill Lynch High Yield Bond Zero Duration Fund (HYZD)

 

Country Breakdown† as of 2/28/14

 

Country   % of
Net Assets
 

United States

    83.0%   

Italy

    3.7%   

Luxembourg

    2.6%   

Cyprus

    2.1%   

Norway

    2.0%   

United Kingdom

    0.8%   

Canada

    0.5%   

Other Assets less Liabilities

    5.3%   

Total

    100.0%   

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Ten Holdings* as of 2/28/14

 

Description   % of Net Assets  

Springleaf Finance Corp., 6.90%, 12/15/17

    4.4%   

Reynolds Group Issuer, Inc., 8.50%, 5/15/18

    4.2%   

MGM Resorts International, 7.63%, 1/15/17

    3.7%   

GenOn Energy, Inc.,
7.88%, 6/15/17

    3.6%   

Associated Materials LLC, 9.13%, 11/01/17

    3.4%   

Healthcare Technology Intermediate, Inc.,
7.38%, 9/01/18

    3.3%   

SLM Corp.,
8.45%, 6/15/18

    3.3%   

DISH DBS Corp.,
4.25%, 4/01/18

    3.1%   

Ally Financial, Inc.,
5.50%, 2/15/17

    3.1%   

ArcelorMittal S.A.,
5.00%, 2/25/17

    2.6%   
* The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

The WisdomTree BofA Merrill Lynch High Yield Bond Zero Duration Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index (the “Index”).

The Fund returned 0.82% on net asset value (“NAV”) since its inception on December 18, 2013 through February 28, 2014 (for more complete performance information please see below). The Fund underperformed the Index by 0.79% based on NAV for the period. This was primarily due to representative sampling of high yield bonds and transaction costs.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share 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 mid-point of the highest bid and lowest offer 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 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.

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 are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated December 16, 2013, the Fund’s annual expense ratio was 0.43%.

Performance as of 2/28/14

 

        Cumulative Total Return  
        Since
Inception1
 

Fund NAV Returns

       0.82

Fund Market Price Returns

       0.22

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

       1.61
1 

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

Performance is historical and does not guarantee future results. 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. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread 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.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      13   


Table of Contents

Performance Summary (unaudited)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

 

Country Breakdown† as of 2/28/14

 

Country   % of
Net Assets
 

Russia

    28.1%   

Brazil

    16.2%   

Mexico

    11.0%   

Colombia

    5.8%   

Jamaica

    4.2%   

Hong Kong

    3.7%   

United Arab Emirates

    3.3%   

India

    3.3%   

Indonesia

    3.2%   

Kazakhstan

    2.9%   

China

    2.9%   

Qatar

    2.8%   

Venezuela

    2.2%   

South Africa

    2.2%   

Turkey

    2.0%   

Chile

    1.9%   

Peru

    1.8%   

Other Assets less Liabilities

    2.5%   

Total

    100.0%   

 

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

 

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Ten Holdings* as of 2/28/14

 

Description   % of Net Assets  

Digicel Group Ltd., 8.25%, 9/30/20

    4.2%   

VimpelCom Holdings B.V., 7.50%, 3/01/22

    4.0%   

Mexichem SAB de CV, 4.88%, 9/19/22

    3.4%   

Petrobras International Finance Co.,
5.38%, 1/27/21

    3.3%   

Braskem Finance Ltd., 5.75%, 4/15/21

    3.3%   

MDC-GMTM B.V.,
5.50%, 4/20/21

    3.3%   

Vedanta Resources PLC, 8.25%, 6/07/21

    3.3%   

PT Pertamina (Persero), 5.25%, 5/23/21

    3.2%   

Southern Copper Corp., 5.25%, 11/08/42

    3.2%   

Gazprom OAO Via Gaz Capital S.A. 4.95%, 5/23/16

    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 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 debt securities issued by corporate entities that are domiciled in, or economically tied to, emerging market countries.

The Fund returned 6.83% on net asset value (“NAV”) for the six-month period ended February 28, 2014 (for more complete performance information please see below). The Fund outperformed its industry benchmark, the JP Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad, by 1.26% based on NAV for the six-month period. This was the result of the Fund’s overweight to investments in emerging market corporate bonds in the Metals & Mining and Oil & Gas sectors.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share 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 mid-point of the highest bid and lowest offer 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 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.

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 are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2014, the Fund’s annual expense ratio was 0.60%.

Performance as of 2/28/14

 

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

Fund NAV Returns

     6.83     0.24     5.22

Fund Market Price Returns

     6.34     -1.11     4.72

JP Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad

     5.57     0.11     5.00
* Returns of less than one year are cumulative.
1 

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

Performance is historical and does not guarantee future results. 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. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread 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.

 

14   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Performance Summary (unaudited)

WisdomTree Emerging Markets Local Debt Fund (ELD)

 

Country Breakdown† as of 2/28/14

 

Country   % of
Net Assets
 

Brazil

    10.1%   

Malaysia

    10.0%   

Mexico

    9.8%   

Russia

    9.8%   

Indonesia

    7.0%   

Thailand

    6.3%   

Turkey

    5.4%   

South Korea

    4.7%   

Poland

    4.3%   

South Africa

    4.0%   

Peru

    3.4%   

Chile

    3.4%   

Philippines

    3.3%   

Romania

    3.3%   

Colombia

    3.3%   

China

    3.0%   

Germany

    0.6%   

United States

    0.5%   

Other Assets less Liabilities

    7.8%   

Total

    100.0%   

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Ten Holdings* as of 2/28/14

 

Description   % of Net Assets  

Malaysian Government, 4.38%, 11/29/19,
Series 0902

    2.4%   

Malaysian Government, 3.42%, 8/15/22,
Series 0112

    2.4%   

Republic of Chile,
5.50%, 8/05/20

    2.1%   

Republic of Philippines, 4.95%, 1/15/21

    1.7%   

Poland Government Bond, 5.75%, 4/25/14,
Series 0414

    1.7%   

Russian Government Bond — OFZ,
7.35%, 1/20/16,
Series 5077

    1.7%   

Letra Tesouro Nacional, 10.96%, 1/01/16

    1.7%   

Korea Treasury Bond, 3.75%, 6/10/22,
Series 2206

    1.6%   

Malaysian Government, 3.84%, 8/12/15,
Series 0110

    1.6%   

Nota do Tesouro Nacional, 10.00%, 1/01/23

    1.5%   
* The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

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 0.52% on net asset value (“NAV”) for the six-month period ended February 28, 2014 (for more complete performance information please see below). The Fund underperformed its industry benchmark, the JP Morgan Government Bond Index — Emerging Markets (GBI-EM) Global Diversified Index, by 1.36% based on NAV for the six-month period. This was the result of the Fund’s overweight to investments in Asia relative to the index.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share 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 mid-point of the highest bid and lowest offer 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 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.

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 are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2014, the Fund’s annual expense ratio was 0.55%.

Performance as of 2/28/14

 

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

Fund NAV Returns

     0.52     -11.44     0.15     1.14

Fund Market Price Returns

     0.87     -11.90     -0.10     0.82

JP Morgan GBI-EM Global Diversified Index

     1.88     -10.14     1.17     2.17
* Returns of less than one year are cumulative.
1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca on August 9, 2010.

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. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread 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.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      15   


Table of Contents

Performance Summary (unaudited)

WisdomTree Euro Debt Fund (EU)

 

Country Breakdown† as of 2/28/14

 

Country   % of
Net Assets
 

Germany

    20.3%   

France

    18.2%   

Luxembourg

    16.1%   

Belgium

    10.2%   

Netherlands

    9.7%   

Finland

    8.6%   

Austria

    4.7%   

Sweden

    4.2%   

Denmark

    4.1%   

Other Assets less Liabilities

    3.9%   

Total

    100.0%   

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Ten Holdings* as of 2/28/14

 

Description   % of Net Assets  

Bundesrepublik Deutschland, 4.75%, 7/04/28,
Series 98

    6.9%   

France Government Bond OAT,
3.50%, 4/25/20

    6.2%   

France Government Bond OAT, 4.25%, 4/25/19

    5.2%   

Council of Europe Development Bank, 3.00%, 7/13/20

    4.7%   

European Union, 3.38%, 5/10/19

    4.7%   

International Bank for Reconstruction & Development, 3.88%, 5/20/19

    4.7%   

Nordic Investment Bank, 3.00%, 4/08/14

    4.6%   

Landwirtschaftliche Rentenbank, 3.75%, 2/11/16

    4.3%   

Belgium Kingdom, 3.75%, 9/28/20,
Series 58

    3.9%   

KFW,
4.13%, 7/04/17

    3.6%   
* The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

The WisdomTree Euro 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 euros.

The Fund returned 7.03% on net asset value (“NAV”) for the six-month period ended February 28, 2014 (for more complete performance information please see below). The Fund underperformed its industry benchmark, the BofA Merrill Lynch Euro Government Index, by 2.78% based on NAV for the six-month period. This was a result of the Fund’s lack of exposure to debt from Portugal, Italy, Ireland, and Spain.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share 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 mid-point of the highest bid and lowest offer 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 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.

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 are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2014, the Fund’s annual expense ratio was 0.35%.

Performance as of 2/28/14

 

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

Fund NAV Returns2

     7.03     6.91     3.35     3.75     0.18

Fund Market Price Returns2

     6.82     4.00     2.23     3.11     -0.39

BofA Merrill Lynch Euro Government Index3

     9.81     11.50     6.69     6.82     3.59

BofA Merrill Lynch Euro Currency One-Month LIBID Constant Maturity Index

     4.79     5.72     0.44     2.19     -0.97

Spliced Euro Debt ex-Greece, Ieland, Italy, Portugal & Spain Composite

     8.01     7.56     3.99     4.34     0.80

Spliced Euro Debt Composite

     9.81     11.50     6.03     5.56     1.82
* Returns of less than one year are cumulative.
1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca on May 14, 2008.

2 

The information reflects the investment objective and strategy of the WisdomTree Dreyfus Euro Fund through October 19, 2011 and the investment objective and strategy of the WisdomTree Euro Debt Fund thereafter.

3 

Previously, the Fund’s performance was compared to the BofA Merrill Lynch Euro Currency One-Month LIBID Constant Maturity Index as its primary benchmark. The Fund’s adviser has elected to compare the Fund’s performance to the BofA Merrill Lynch Euro Government Index because it believes this is the most appropriate measure for comparison to the Fund’s performance.

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. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread 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.

 

16   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Performance Summary (unaudited)

WisdomTree Global Corporate Bond Fund (GLCB)

 

Country Breakdown† as of 2/28/14

 

Country   % of
Net Assets
 

United States

    51.1%   

United Kingdom

    10.2%   

Italy

    5.0%   

Russia

    4.4%   

Netherlands

    3.6%   

France

    3.2%   

Germany

    3.1%   

Spain

    3.0%   

Hong Kong

    2.9%   

Brazil

    2.8%   

Australia

    2.6%   

Belgium

    2.2%   

Canada

    1.5%   

Mexico

    1.5%   

Colombia

    1.0%   

Luxembourg

    0.4%   

Other Assets less Liabilities

    1.5%   

Total

    100.0%   

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Ten Holdings* as of 2/28/14

 

Description   % of Net Assets  

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA,
5.75%, 12/01/43

    3.6%   

Intesa Sanpaolo SpA,
3.88%, 1/16/18

    3.6%   

HSBC Bank PLC,
3.88%, 10/24/18

    3.3%   

Bank of America Corp.,
3.30%, 1/11/23

    3.2%   

Nara Cable Funding Ltd.,
8.88%, 12/01/18

    3.0%   

Daimler Chrysler Group LLC,
8.25%, 6/15/21

    3.0%   

Citigroup, Inc.,
4.50%, 1/14/22

    3.0%   

Hutchison Whampoa International 12 II Ltd.,
2.00%, 11/08/17

    3.0%   

Royal Bank of Scotland Group PLC,
6.13%, 12/15/22

    2.9%   

Goldman Sachs Group, Inc. (The),
5.75%, 1/24/22

    2.9%   
* The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

The WisdomTree Global Corporate Bond Fund (the “Fund”) seeks a high level of total return consisting of both income and capital appreciation. The Fund seeks to achieve its investment objective through investment in debt securities issued by corporate entities that are organized in or maintain their principal place of business in countries throughout the world, including the U.S. The issuers of such debt will include public, private, and state-owned or sponsored corporations.

The Fund returned 5.35% on net asset value (“NAV”) for the six-month period ended February 28, 2014 (for more complete performance information please see below). The Fund outperformed its industry benchmark, the Barclays Global Credit Index (Hedged), by 0.84% based on NAV for the six-month period. This was the result of the Fund’s overweight in investments in global high yield bonds.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share 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 mid-point of the highest bid and lowest offer 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 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.

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 are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2014, the Fund’s net and gross annual expense ratios were 0.45% and 0.50%, respectively. WisdomTree Asset Management, Inc. has contractually agreed to limit the Management Fee to 0.45% through at least January 1, 2015.

Performance as of 2/28/14

 

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

Fund NAV Returns

       5.35      3.29      4.01

Fund Market Price Returns

       5.29      2.68      3.34

Barclays Global Credit Index (Hedged)

       4.51      2.82      3.54

Global Corporate Composite (Hedged)

       1.00      1.23      1.14
* Returns of less than one year are cumulative.
1 

Total returns are calculated based on the commencement of Fund trading on the NASDAQ on January 31, 2013.

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. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread 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.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      17   


Table of Contents

Performance Summary (unaudited)

WisdomTree Japan Interest Rate Strategy Fund (JGBB) (consolidated)

 

Investment Breakdown as of 2/28/14

 

Investment Type   % of
Net Assets
 

U.S. Government Obligations

    97.3%   

Other Assets less Liabilities

    2.7%   

Total

    100.0%   

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Holdings* as of 2/28/14

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.05%, 4/24/14

    20.3%   

U.S. Treasury Bill,
0.04%, 5/22/14

    20.3%   

U.S. Treasury Bill,
0.03%, 4/10/14

    20.3%   

U.S. Treasury Bill,
0.06%, 3/13/14

    18.2%   

U.S. Treasury Bill,
0.08%, 5/08/14

    18.2%   
* The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

The WisdomTree Japan Interest Rate Strategy Fund (the “Fund”) seeks to track the price and yield performance, before fees and expenses, of the WisdomTree Japan Interest Rate Strategy Index (the “Index”).

The Fund returned -1.18% on net asset value (“NAV”) since its inception on December 18, 2013 through February 28, 2014 (for more complete performance information please see below). The Fund underperformed the Index by 0.13% based on NAV for the period. This was primarily due to deductions for Fund expenses and transaction costs.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share 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 mid-point of the highest bid and lowest offer 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 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.

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 are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated December 12, 2013, the Fund’s annual expense ratio was 0.50%.

Performance as of 2/28/14

 

        Cumulative Total Return  
        Since
Inception1
 

Fund NAV Returns

       -1.18

Fund Market Price Returns

       -1.48

WisdomTree Japan Interest Rate Strategy Index

       -1.05
1 

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

Performance is historical and does not guarantee future results. 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. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread 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.

 

18   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Performance Summary (unaudited)

WisdomTree Global Real Return Fund (RRF) (consolidated)

 

Country Breakdown as of 2/28/14

 

Country   % of
Net Assets
 

United States

    43.8%   

Mexico

    7.4%   

Australia

    6.1%   

United Kingdom

    5.1%   

France

    4.7%   

Sweden

    4.4%   

South Africa

    4.0%   

Canada

    3.9%   

Turkey

    3.6%   

Colombia

    2.3%   

Brazil

    2.2%   

Other Assets less Liabilities

    12.5%   

Total

    100.0%   

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Ten Holdings* as of 2/28/14

 

Description   % of Net Assets  

U.S. Treasury Inflation Indexed Notes,
1.13%, 1/15/21

    6.0%   

U.S. Treasury Inflation Indexed Notes,
1.38%, 1/15/20

    5.9%   

U.S. Treasury Inflation Indexed Bond,
2.38%, 1/15/25

    5.8%   

WisdomTree Equity Income Fund

    5.0%   

Swedish Government Index Linked Bond,
4.00%, 12/01/20,
Series 3102

    4.4%   

U.S. Treasury Inflation Indexed Notes,
0.38%, 7/15/23

    4.4%   

Australian Index Linked Bond,
4.00%, 8/20/20,
Series 20CI

    3.7%   

WisdomTree Global Natural Resources Fund

    3.5%   

U.S. Treasury Inflation Indexed Notes,
2.13%, 1/15/19

    3.2%   

U.K. Treasury Index Linked Gilt,
1.25%, 11/22/27

    2.8%   
* The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

The WisdomTree Global Real Return Fund (the “Fund”) seeks total returns (capital appreciation plus income) that exceed the rate of inflation over long-term investment horizons.

The Fund returned 2.01% on net asset value (“NAV”) for the six-month period ended February 28, 2014 (for more complete performance information please see below). The Fund underperformed its industry benchmark, the BofA Merrill Lynch Global Diversified Inflation-Linked Index by 2.66% based on NAV for the six-month period. This underperformance is largely due to losses from the Fund’s positions in commodity strategies which underperformed.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share 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 mid-point of the highest bid and lowest offer 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 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.

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 are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2014 the Fund’s annual expense ratio was 0.65%.

Performance as of 2/28/14

 

        Average Annual Total Return  
        6-Month*      1 Year     

Since

Inception1

 

Fund NAV Returns

       2.01      -3.69      -1.75

Fund Market Price Returns

       6.73      -1.21      -2.23

BofA Merrill Lynch Global Diversified Inflation-Linked Index

       4.67      -2.79      2.32
* Returns of less than one year are cumulative.
1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca on July 14, 2011.

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. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread 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.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      19   


Table of Contents

Performance Summary (unaudited)

WisdomTree Managed Futures Strategy Fund (WDTI) (consolidated)

 

Investment Breakdown as of 2/28/14

 

Investment Type   % of
Net Assets
 

U.S. Government Obligations

    85.7%   

Other Assets less Liabilities

    14.3%   

Total

    100.0%   

 

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

 

Other assets includes investment of cash collateral for securities on loan (if any).

Top Holdings* as of 2/28/14

 

Description   % of Net Assets  

U.S. Treasury Bill, 0.03%, 3/13/14

    75.6%   

U.S. Treasury Bill, 0.05%, 4/03/14

    8.5%   

U.S. Treasury Bill, 0.07%, 6/26/14

    1.5%   

U.S. Treasury Bill, 0.07%, 3/27/14

    0.1%   
* The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

The WisdomTree Managed Futures Strategy Fund (the “Fund”) seeks to provide investors with positive total returns in rising or falling markets.

The Fund returned -2.89% on net asset value (“NAV”) for the six-month period ended February 28, 2014 (for more complete performance information please see below). The Fund underperformed its industry benchmark, the Diversified Trends Indicator Index, by 0.60% based on NAV for the six-month period. This was primarily due to deductions for Fund expenses and transaction costs.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share 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 mid-point of the highest bid and lowest offer 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 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.

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 are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2014, the Fund’s annual expense ratio was 0.95%.

Performance as of 2/28/14

 

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

Since

Inception1

 

Fund NAV Returns

       -2.89      -0.42      -6.94      -5.92

Fund Market Price Returns

       -2.91      -0.42      -6.95      -5.95

Diversified Trends Indicator Index

       -2.29      0.75      -5.10      -5.87
* Returns of less than one year are cumulative.
1 

Total returns are calculated based on the commencement of Fund trading on the NYSE Arca on January 5, 2011.

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. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread 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.

 

20   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Description of Terms and Indexes (unaudited)

 

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

Barclays Commodity Producers Currency Index:

The Barclays Commodity Producers Currency Index (“CPCI-6”) tracks the performance of long positions in the equally weighted six commodity currencies versus the U.S. dollar, expressed through one-month cash settled forward rate agreements. The six commodity currencies included in CPCI-6 are the Australian dollar, Brazilian real, Canadian dollar, Norwegian krone, Russian ruble, and South African rand. These currencies are selected to represent six resource rich economies, diversified in terms of geography, major commodities items exported and across developed and emerging economies.

Barclays Global Credit Index (Hedged):

The Barclays Global Credit Index (Hedged) contains investment-grade and high-yield credit securities from the Barclays Multiverse Index, which is a broad-based measure of the global fixed-income bond market. The Barclays Multiverse Index is the union of the Barclays Global Aggregate Index and the Barclays Global High Yield Index and captures investment grade and high yield securities in all eligible currencies. The Barclays Multiverse Index family includes a wide range of standard and customized subindices by sector, quality, maturity, and country.

Barclays Rate Hedged U.S. Aggregate Bond Index, Negative Five Duration

The Barclays Rate Hedged U.S. Aggregate Bond Index, Negative Five Duration combines long positions in the Barclays U.S. Aggregate Bond Index with short positions in U.S. Treasury Bonds to provide a duration exposure of -5 years. Market values of long and short positions are rebalanced at month-end.

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

The Barclays Rate Hedged U.S. Aggregate Bond Index, Zero Duration combines long positions in the Barclays 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 Dollar Total Return Index:

The Bloomberg Dollar Total Return Index is structured to potentially benefit as the U.S. dollar appreciates relative to a basket of global currencies. The index tracks a long position in the U.S. dollar measured against a basket of developed and emerging market currencies which (i) have the highest liquidity in the currency markets and (ii) represent countries that make the largest contribution to trade flows with the United States. The index also incorporates differences in money market rates between the U.S. and the countries (or regions) represented by the foreign currencies.

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. To be included in the index a security must have a minimum par amount of 1,000MM.

BofA Merrill Lynch 0-5 Year US High Yield Constrained, Negative Seven Duration Index

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

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      21   


Table of Contents

Description of Terms and Indexes (unaudited) (continued)

 

BofA Merrill Lynch 0-5 Year US High Yield Constrained, Zero Duration Index

The BofA Merrill Lynch 0-5 Year US High Yield Constrained, Zero Duration Index tracks the performance of the combination of a long position in short maturity US high yield bonds and a short position in on the run US 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.

BofA Merrill Lynch Euro Currency One-Month LIBID Constant Maturity Index:

The BofA Merrill Lynch Euro Currency One-Month LIBID Constant Maturity Index tracks a consistent investment in one-month euro-denominated bank deposits.

BofA Merrill Lynch Euro Government ex-Greece, Ireland, Italy, Portugal & Spain Index:

The BofA Merrill Lynch Euro Government ex-Greece, Ireland, Italy, Portugal & Spain Index is a subset of the BofA Merrill Lynch Euro Government Index. It is a market capitalization-weighted index that tracks the performance of euro-denominated sovereign debt publicly issued by Euro member countries excluding Greece, Ireland, Italy, Portugal and Spain as the country of risk.

BofA Merrill Lynch Euro Government Index:

The BofA Merrill Lynch Euro Government Index is a market capitalization-weighted index that tracks the performance of euro-denominated sovereign debt publicly issued by Euro member countries.

BofA Merrill Lynch Global Diversified Inflation-Linked Index:

The BofA Merrill Lynch Global Diversified Inflation-Linked Index is a broad, market value-weighted, capped total return index designed to measure the performance of inflation-linked sovereign debt that is publicly issued and denominated in the issuer’s own domestic market and currency.

BofA Merrill Lynch New Zealand Dollar One-Month LIBID Constant Maturity Index:

The BofA Merrill Lynch New Zealand Dollar One-Month LIBID Constant Maturity Index tracks a consistent investment in one-month New Zealand dollar-denominated bank deposits.

Citigroup Australian Broad Investment-Grade Bond Index:

The Citigroup Australian Broad Investment-Grade Bond Index is a market capitalization weighted index designed to represent the Australian fixed-coupon bond market, including government, semi-government, and investment grade credit markets (including supranational issuers).

Diversified Trends Indicator:

The Diversified Trends Indicator (“DTI”) is a long/short rules-based index that consists of ten commodity sectors and eight financial sectors. Each month the DTI Index sector exposure is rebalanced back to the fixed weights, 50% physical commodities and 50% financials (when energy is long) and approximately 40% commodities and 60% financials (when energy is flat). Each sector (other than the energy sector) is positioned either long or short depending on the current market environment (the energy sector is positioned as either “long” or “flat” (i.e., no exposure)). The DTI Index individual market components, sectors and related weightings, as well as other aspects of the calculation of the DTI Index, are subject to change at any time.

 

22   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Description of Terms and Indexes (unaudited) (continued)

 

Equal-Weighted Commodity Currency Composite:

A composite incorporating equal-weighted exposures to the currencies within the Commodity Currency Strategy Fund was constructed as a benchmark for Fund performance. Returns for the individual emerging market currencies are represented by the return of the country subindices of the JP Morgan Emerging Local Markets Index Plus (ELMI+). Returns for the individual developed market countries are represented by the returns of the BofA Merrill Lynch One-Month Constant Maturity LIBID Index for each country. The JP Morgan indices use a weighted basket of one-month, two-month and three-month currency forwards collateralized with U.S. money market rates to proxy the returns for emerging currency positions. The BofA Merrill Lynch indices track a consistent investment in one-month bank deposits denominated in the specified currency. Within the composite, currency exposures are rebalanced back to equal-weight at the end of the month in which the Fund rebalances its portfolio. Changes to currencies within the Fund are reflected in the composite at the end of the month they are added to, or deleted from, the Fund.

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. Currently, the composite tracks the returns for the currencies of the following countries: Brazil, Chile, Mexico, Poland, Indonesia, South Africa, Turkey, India, China, Russia and South Korea, 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.

Euro Zone Area:

The area encompassing the European Union Member States whose currency is the euro and in which there is a single monetary policy. It currently comprises Belgium, Germany, Greece, Spain, Estonia, Ireland, France, Italy, Cyprus, Luxembourg, Malta, the Netherlands, Austria, Portugal, Slovenia, Slovakia and Finland.

Forward Currency Contracts:

A forward currency contract is an agreement to buy or sell a specific currency at a future date at a price set at the time of the contract. A forward contract may either be deliverable or non-deliverable. A deliverable forward currency contract is an agreement by two parties to transact in currencies at a specific rate on a future date upon which each party delivers the promised currency. A non-deliverable forward currency contract is an agreement by two parties to transact in currencies at a specific rate on a future date and then cash settle the agreement with a simple exchange of the market value difference between the current market rate and the initial agreed-upon rate.

Global Corporate Composite (Hedged):

The Global Corporate Composite (Hedged) consists of a blend of 75% Barclays Global Aggregate Corporate Index — Hedged USD and 25% Barclays Global High Yield Index — Hedged USD. The Barclays Global Aggregate Index provides a broad-based measure of the global investment grade fixed-rate debt markets. The Barclays Global High-Yield Index provides a broad-based measure of the global high-yield fixed income markets.

 

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Table of Contents

Description of Terms and Indexes (unaudited) (continued)

 

HSBC Asian Local Bond Index:

The HSBC Asian Local Bond Index (“ALBI”) tracks the total return performance of a bond portfolio which consists of local currency denominated, high quality and liquid bonds in Asia ex-Japan. The ALBI includes bonds from the following countries: Korea, Hong Kong, India, Singapore, Taiwan, Malaysia, Thailand, the Philippines, Indonesia and China.

JP Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad:

The JP Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad is a market capitalization weighted index consisting of U.S. dollar-denominated emerging market corporate bonds. The index serves as a global corporate benchmark representing Asia, Latin America, Europe and Middle East/Africa. U.S. dollar-denominated corporate issues from index-eligible countries are narrowed further by only including issues with more than $300 million current face outstanding and at least five years to maturity (at the time of inclusion into the index).

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+) Brazil:

The Brazil 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 Brazilian real money market instruments. The returns are reported in U.S. dollar terms.

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 Emerging Local Markets Index Plus (ELMI+) India:

The India 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 Indian rupee 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.

JP Morgan New Zealand Government Bond Index:

The JP Morgan New Zealand Government Bond Index is a market capitalization weighted index of locally denominated, fixed rate government debt.

 

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Description of Terms and Indexes (unaudited) (continued)

 

LIBID:

London Interbank Bid Rate or the rate at which banks are willing to borrow for a discrete period of time.

Sovereign Debt:

Debt that is the direct obligation of a government issuer.

Spliced Australia & New Zealand Debt Composite:

A spliced index which tracks the BofA Merrill Lynch New Zealand Dollar One-Month LIBID Constant Maturity Index through October 24, 2011. Thereafter, the composite tracks an 80%/20% weighted exposure to the local currency bond markets of Australia and New Zealand, respectively. Performance for Australia is proxied by the total returns of the Citigroup Australian Broad Investment-Grade Bond Index. Performance for the New Zealand bond market is proxied by the JP Morgan New Zealand Government Bond Index. Country exposures are rebalanced back to target weighting quarterly.

Spliced Euro Debt Composite:

A spliced index which tracks the BofA Merrill Lynch Euro Currency One-Month LIBID Constant Maturity Index through October 18, 2011. Thereafter, the composite tracks the BofA Merrill Lynch Euro Government Index.

Spliced Euro Debt ex-Greece, Ireland, Italy, Portugal & Spain Composite:

A spliced index which tracks the BofA Merrill Lynch Euro Currency One-Month LIBID Constant Maturity Index through October 18, 2011. Thereafter, the composite tracks the BofA Merrill Lynch Euro Government ex-Greece, Ireland, Italy, Portugal & Spain Index.

Spot Rate:

A “spot” rate is the foreign exchange market price at which a currency will be delivered on the settlement date. Spot rate is the starting point for all foreign exchange transactions. The Brazilian real “spot” return rate relative to the U.S. Dollar calculated by WisdomTree is the rate of return percentage difference between the end of period spot rate and the beginning of period spot rate using WM/Reuters London closing rates. The Chinese yuan and Indian rupee “spot” return rate relative to the U.S. Dollar calculated by WisdomTree is the rate of return percentage difference between the end of period spot rate and the beginning of period spot rate using Tullett Prebon Singapore closing rates.

WisdomTree Japan Interest Rate Strategy Index:

The WisdomTree Japan Interest Rate Strategy Index is designed to provide long exposure to monthly U.S. Treasury Bill returns plus short exposure to the monthly performance of Japanese government bonds while at the same time offsetting a portion of the exposure to fluctuations of the Japanese yen relative to the U.S. dollar (the amount of currency exposure to be offset is determined periodically with reference to its contribution to the overall volatility of the index).

Alpha Financial Technologies, LLC (“AFT”) has developed, maintained and owns rights to the methodology that is employed in connection with the Diversified Trends Indicator (“DTI”). DTI® is a registered mark of AFT. The WisdomTree Managed Futures Strategy Fund is not sponsored, endorsed, sold or promoted by AFT. The DTI was created, compiled, maintained and is owned by AFT without regard to the WisdomTree Managed Futures Strategy Fund. The DTI is licensed on an “as is” basis without warranties or guarantees or other terms concerning merchantability, absence of defects, fitness or use for a particular purpose, timeliness, accuracy, completeness, currentness or quality. Neither AFT nor its affiliates make any warranties or guarantees as

 

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Table of Contents

Description of Terms and Indexes (unaudited) (concluded)

 

to the results to be obtained in connection with the use of the DTI or an investment in the WisdomTree Managed Futures Strategy Fund, and AFT and its affiliates shall have no liability in connection with any WisdomTree Managed Futures Strategy Fund investment.

Barclays Capital Inc. and its affiliates (“Barclays”) is not the issuer or producer of the Funds and Barclays has no responsibilities, obligations or duties to investors in the Funds. These Barclays Indexes are a trademark owned by Barclays Bank PLC and licensed for use by WisdomTree with respect to the WisdomTree trust as the Issuer of the Funds. Barclays’ only relationship to WisdomTree is the licensing of these Barclays Indexes which is determined, composed and calculated by Barclays without regard to WisdomTree or the Funds. While WisdomTree may for itself execute transaction(s) with Barclays in or relating to these Barclays Indexes in connection with the Funds that investors acquire from WisdomTree, investors in the Funds neither acquire any interest in these Barclays Indexes nor enter into any relationship of any kind whatsoever with Barclays upon making an investment in the Funds. The Funds are not sponsored, endorsed, sold or promoted by Barclays, and Barclays makes no representation or warranty (express or implied) to the owners of the Funds, the Issuer or members of the public regarding the advisability, legality or suitability of the Funds or use of these Barclays Indexes or any data included therein. Barclays shall not be liable in any way to the Issuer, investors, or to other third parties in respect of the use or accuracy of these Barclays Indexes or any data included therein or in connection with the administration, marketing, purchasing or performance of the Funds.

Merrill Lynch, Pierce, Fenner & Smith Incorporated and its affiliates (“BofA Merrill Lynch”) indices and related information, the name “BofA Merrill Lynch”, and related trademarks, are intellectual property licensed from BofA Merrill Lynch, and may not be copied, used, or distributed without 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 BofA Merrill Lynch. 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).

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.

 

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Shareholder Expense Examples (unaudited)

 

As a shareholder of a WisdomTree Fund, you incur two types of costs: (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 following example is 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 example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from September 1, 2013 to February 28, 2014.

Actual expenses

The first line under each Fund in the table on the next page 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 9/1/13 to 2/28/14” to estimate the expenses you paid on your account during this period.

Hypothetical example for comparison purposes

The second line under each Fund in the table on the next page provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare 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 under each Fund 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.

 

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Table of Contents

Shareholder Expense Examples (unaudited) (continued)

 

 

     Beginning
Account Value
9/1/13
    Ending
Account Value
2/28/14
    Annualized
Expense Ratio
Based on the
Period
9/1/13 to
2/28/14
    Expenses Paid
During the
Period†
9/1/13 to
2/28/14
 

WisdomTree Bloomberg U.S. Dollar Bullish Fund*

       

Actual

  $ 1,000.00      $ 993.60        0.50   $ 1.00   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.32        0.50   $ 2.51   

WisdomTree Brazilian Real Strategy Fund

       

Actual

  $ 1,000.00      $ 1,058.20        0.45   $ 2.30   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.56        0.45   $ 2.26   

WisdomTree Chinese Yuan Strategy Fund

       

Actual

  $ 1,000.00      $ 1,004.30        0.45   $ 2.24   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.56        0.45   $ 2.26   

WisdomTree Commodity Currency Strategy Fund

       

Actual

  $ 1,000.00      $ 1,001.50        0.55   $ 2.73   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.07        0.55   $ 2.76   

WisdomTree Emerging Currency Strategy Fund

       

Actual

  $ 1,000.00      $ 1,009.20        0.55   $ 2.74   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.07        0.55   $ 2.76   

WisdomTree Indian Rupee Strategy Fund

       

Actual

  $ 1,000.00      $ 1,129.00        0.45   $ 2.38   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.56        0.45   $ 2.26   

WisdomTree Asia Local Debt Fund

       

Actual

  $ 1,000.00      $ 1,019.20        0.55   $ 2.75   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.07        0.55   $ 2.76   

WisdomTree Australia & New Zealand Debt Fund

       

Actual

  $ 1,000.00      $ 1,032.10        0.45   $ 2.27   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.56        0.45   $ 2.26   

WisdomTree Barclays U.S. Aggregate Bond Negative Duration Fund*

       

Actual

  $ 1,000.00      $ 978.30        0.28   $ 0.55   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,023.41        0.28   $ 1.40   

WisdomTree Barclays U.S. Aggregate Bond Zero Duration Fund*

       

Actual

  $ 1,000.00      $ 1,004.90        0.23   $ 0.46   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,023.65        0.23   $ 1.15   

WisdomTree Bloomberg Floating Rate Treasury Fund**

       

Actual

  $ 1,000.00      $ 999.60        0.15   $ 0.10   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,024.05        0.15   $ 0.75   

WisdomTree BofA Merrill Lynch High Yield Bond Negative Duration Fund*

       

Actual

  $ 1,000.00      $ 979.80        0.48   $ 0.95   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.41        0.48   $ 2.41   

WisdomTree BofA Merrill Lynch High Yield Bond Zero Duration Fund*

       

Actual

  $ 1,000.00      $ 1,008.20        0.43   $ 0.86   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.66        0.43   $ 2.16   

WisdomTree Emerging Markets Corporate Bond Fund

       

Actual

  $ 1,000.00      $ 1,068.30        0.60   $ 3.08   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,021.82        0.60   $ 3.01   

WisdomTree Emerging Markets Local Debt Fund

       

Actual

  $ 1,000.00      $ 1,005.20        0.55   $ 2.73   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.07        0.55   $ 2.76   

WisdomTree Euro Debt Fund

       

Actual

  $ 1,000.00      $ 1,070.30        0.35   $ 1.80   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,023.06        0.35   $ 1.76   

 

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Shareholder Expense Examples (unaudited) (concluded)

 

     Beginning
Account Value
9/1/13
    Ending
Account Value
2/28/14
    Annualized
Expense Ratio
Based on the
Period
9/1/13 to
2/28/14
    Expenses Paid
During the
Period†
9/1/13 to
2/28/14
 

WisdomTree Global Corporate Bond Fund

       

Actual

  $ 1,000.00      $ 1,053.50        0.45   $ 2.29   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.56        0.45   $ 2.26   

WisdomTree Japan Interest Rate Strategy Fund* (consolidated)

       

Actual

  $ 1,000.00      $ 988.20        0.50   $ 0.99   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.32        0.50   $ 2.51   

WisdomTree Global Real Return Fund (consolidated)

       

Actual

  $ 1,000.00      $ 1,020.10        0.60   $ 3.01   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,021.82        0.60   $ 3.01   

WisdomTree Managed Futures Strategy Fund (consolidated)

       

Actual

  $ 1,000.00      $ 971.10        0.95   $ 4.64   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,020.08        0.95   $ 4.76   
Expenses are calculated using each Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365, (to reflect the one-half year period), except the funds which are marked as per notes below.

 

* Commencement of operations was on December 18, 2013.

 

** Commencement of operations was on February 4, 2014.

 

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Table of Contents

Schedule of Investments (unaudited)

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

February 28, 2014

 

  

 

 

Investments   

Principal

Amount

     Value  
U.S. GOVERNMENT OBLIGATIONS – 100.2%      
Treasury Bills – 100.2%      

U.S. Treasury Bills

     

0.02%, 3/20/14*

   $ 17,000,000       $ 16,999,807   

0.04%, 3/27/14*

     20,500,000         20,499,146   

TOTAL INVESTMENTS IN SECURITIES – 100.2%

(Cost: $37,499,172)(a)

  

  

     37,498,953   

Liabilities in Excess of Cash and Other Assets – (0.2)%

  

     (62,026
     

 

 

 
NET ASSETS – 100.0%             $ 37,436,927   

 

* 

Interest rate shown reflects the discount rate at time of purchase.

 

(a)

Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

 

See Notes to Financial Statements.

 

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Schedule of Investments (unaudited)

WisdomTree Brazilian Real Strategy Fund (BZF)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 88.6%   
Treasury Bill – 88.6%   

U.S. Treasury Bill

     

0.03%, 3/13/14*

   $ 28,400,000       $ 28,399,792   
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost: $28,399,716)
              28,399,792   
REPURCHASE AGREEMENT – 27.2%      
United States – 27.2%      

Citigroup, Inc., tri-party repurchase agreement dated 2/28/14, 0.06% due 3/03/14; Proceeds at maturity – $8,714,422 (fully collateralized by Fannie Mae, 4.00% due 2/01/43; Market value – $9,150,097)

     
(Cost: $8,714,378)      8,714,378         8,714,378   
TOTAL INVESTMENTS IN SECURITIES – 115.8%
(Cost: $37,114,094)(a)
         37,114,170   

Liabilities in Excess of Cash and Other Assets – (15.8)%

  

     (5,058,184
     

 

 

 
NET ASSETS – 100.0%             $ 32,055,986   

 

* 

Interest rate shown reflects the discount rate at time of purchase.

 

(a) 

Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

 

See Notes to Financial Statements.

 

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Table of Contents

Schedule of Investments (unaudited)

WisdomTree Chinese Yuan Strategy Fund (CYB)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
    Value  
U.S. GOVERNMENT OBLIGATIONS – 70.5%   
Treasury Bills – 70.5%     

U.S. Treasury Bills

    

0.03%, 3/13/14*

   $ 52,058,000      $ 52,057,455   

0.02%, 3/20/14*

     45,000,000        44,999,438   

0.05%, 3/27/14*

     42,000,000        41,998,407   

 

 

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $139,055,413)

  

  

    139,055,300   
TIME DEPOSITS – 20.2%   
China – 20.2%     

BNP Paribas SA
1.52%, 3/21/14

     60,820,325  CNH      9,943,811   

Deutsche Bank AG
1.20%, 3/21/14

     60,925,344  CNH      9,960,981   

JPMorgan Chase & Co.
1.35%, 3/21/14

     60,888,360  CNH      9,954,934   

Standard Chartered Bank
1.73%, 3/21/14

     61,023,274  CNH      9,976,992   

 

 
TOTAL TIME DEPOSITS
(Cost: $40,287,253)
             39,836,718   
REPURCHASE AGREEMENT – 13.0%   
United States - 13.0%     

Citigroup, Inc., tri-party repurchase agreement dated 2/28/14, 0.06% due 3/03/14; Proceeds at maturity – $25,734,494 (fully collateralized by Fannie Mae, 3.00% – 4.00% due 7/01/25 – 8/01/28 and Freddie Mac, 4.00% due 8/01/43; Market value – $27,021,084)

    
(Cost: $25,734,366)      25,734,366        25,734,366   

TOTAL INVESTMENTS IN SECURITIES – 103.7%

(Cost: $205,077,032)(a)

  

  

    204,626,384   

Liabilities in Excess of Cash, Foreign Currency and Other Assets – (3.7)%

       (7,286,655
    

 

 

 
NET ASSETS – 100.0%            $ 197,339,729   

Principal amount is reported in U.S. dollars, except for those denoted in the following currency:

CNH – Offshore Chinese renminbi

 

* 

Interest rate shown reflects the discount rate at time of purchase.

 

(a) 

Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

 

See Notes to Financial Statements.

 

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Schedule of Investments (unaudited)

WisdomTree Commodity Currency Strategy Fund (CCX)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 71.4%   
Treasury Bills – 71.4%   

U.S. Treasury Bills

     

0.03%, 3/13/14*

   $ 3,950,000       $ 3,949,959   

0.05%, 3/27/14*

     4,500,000         4,499,829   

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $8,449,797)

              8,449,788   
REPURCHASE AGREEMENT – 27.2%      
United States – 27.2%      

Citigroup, Inc., tri-party repurchase agreement dated 2/28/14, 0.06% due 3/03/14; Proceeds at maturity – $3,214,988 (fully collateralized by Fannie Mae, 3.50% due 8/01/42; Market value – $3,375,721)

     
(Cost: $3,214,972)      3,214,972         3,214,972   

TOTAL INVESTMENTS IN SECURITIES – 98.6%

(Cost: $11,664,769)(a)

  

  

     11,664,760   

Cash and Other Assets in Excess of Liabilities – 1.4%

  

     163,667   
     

 

 

 
NET ASSETS – 100.0%             $ 11,828,427   

 

* 

Interest rate shown reflects the discount rate at time of purchase.

 

(a) 

Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

 

See Notes to Financial Statements.

 

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Schedule of Investments (unaudited)

WisdomTree Emerging Currency Strategy Fund (CEW)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 93.3%   
Treasury Bills – 93.3%   

U.S. Treasury Bills

     

0.03%, 3/13/14*

   $ 109,286,000       $ 109,284,912   

0.05%, 3/27/14*

     24,000,000         23,999,090   

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $133,284,032)

  

  

     133,284,002   
REPURCHASE AGREEMENT – 4.3%      
United States – 4.3%      

Citigroup, Inc., tri-party repurchase agreement dated 2/28/14, 0.06% due 3/03/14; Proceeds at maturity – $6,169,713 (fully collateralized by Fannie Mae, 3.50% – 4.00% due 1/01/27 – 1/01/41; Market value – $6,478,167)

     
(Cost: $6,169,683)      6,169,683         6,169,683   

TOTAL INVESTMENTS IN SECURITIES – 97.6%

(Cost: $139,453,715)(a)

  

  

     139,453,685   

Cash and Other Assets in Excess of Liabilities – 2.4%

  

     3,362,288   
     

 

 

 
NET ASSETS – 100.0%             $ 142,815,973   

 

* 

Interest rate shown reflects the discount rate at time of purchase.

 

(a) 

Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

 

See Notes to Financial Statements.

 

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Schedule of Investments (unaudited)

WisdomTree Indian Rupee Strategy Fund (ICN)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 95.9%   
Treasury Bills – 95.9%   

U.S. Treasury Bills

     

0.03%, 3/13/14*

   $ 16,723,000       $ 16,722,825   

0.02%, 3/20/14*

     4,000,000         3,999,950   

0.05%, 3/27/14*

     4,500,000         4,499,829   

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $25,222,621)

              25,222,604   
REPURCHASE AGREEMENT – 1.1%      
United States – 1.1%      

Citigroup, Inc., tri-party repurchase agreement dated 2/28/14, 0.06% due 3/03/14; Proceeds at maturity – $286,197 (fully collateralized by Fannie Mae, 3.50% due 8/01/42; Market value – $300,506)

     
(Cost: $286,196)      286,196         286,196   

TOTAL INVESTMENTS IN SECURITIES – 97.0%

(Cost: $25,508,817)(a)

        25,508,800   

Cash and Other Assets in Excess of Liabilities – 3.0%

  

     778,716   
     

 

 

 
NET ASSETS – 100.0%             $ 26,287,516   

 

* 

Interest rate shown reflects the discount rate at time of purchase.

 

(a) 

Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      35   


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Asia Local Debt Fund (ALD)

February 28, 2014

 

  

 

 

Investments   

Principal

Amount

     Value  
     
FOREIGN GOVERNMENT AGENCIES – 7.9%      
Australia – 7.2%      

New South Wales Treasury Corp.
6.00%, 4/01/16, Series 16

     11,080,000 AUD       $ 10,544,316   

Queensland Treasury Corp.
6.00%, 7/21/22, Series 22

     13,320,000 AUD         13,267,602   

Western Australian Treasury Corp.
7.00%, 4/15/15, Series 15

     14,116,000 AUD         13,228,459   
     

 

 

 
Total Australia               37,040,377   
New Zealand – 0.7%      

Queensland Treasury Corp.
7.13%, 9/18/17

     3,820,000 NZD         3,479,965   
TOTAL FOREIGN GOVERNMENT AGENCIES
(Cost: $45,746,078)
         40,520,342   
FOREIGN GOVERNMENT OBLIGATIONS – 65.7%      
Australia – 1.4%      

Australian Government Bond

     

6.25%, 4/15/15, Series 119

     2,186,000 AUD         2,038,579   

4.25%, 7/21/17, Series 135

     2,394,000 AUD         2,231,361   

Eurofima

     

5.63%, 10/24/16

     3,270,000 AUD         3,104,912   
     

 

 

 
Total Australia               7,374,852   
China – 4.6%      

China Government Bond

     

1.80%, 12/01/15

     21,500,000 CNY         3,499,170   

1.40%, 8/18/16

     18,000,000 CNY         2,875,371   

2.48%, 12/01/20

     33,500,000 CNY         5,130,861   

2.36%, 8/18/21

     35,000,000 CNY         5,270,995   

3.10%, 6/29/22

     27,000,000 CNY         4,218,660   

3.48%, 6/29/27

     18,000,000 CNY         2,738,996   
     

 

 

 
Total China               23,734,053   
Hong Kong – 4.9%      

Hong Kong Government Bond

     

1.69%, 12/22/14

     43,000,000 HKD         5,608,048   

1.65%, 6/15/15

     106,550,000 HKD         13,977,277   

1.51%, 2/24/27

     45,700,000 HKD         5,343,091   
     

 

 

 
Total Hong Kong               24,928,416   
Indonesia – 5.2%      

Indonesia Government

     

11.25%, 5/15/14, Series FR51

     45,196,000,000 IDR         3,925,328   

7.38%, 9/15/16, Series FR55

     139,387,000,000 IDR         11,940,768   

5.25%, 5/15/18, Series FR66

     39,935,000,000 IDR         3,132,694   

12.80%, 6/15/21, Series FR34

     44,422,000,000 IDR         4,762,705   

7.00%, 5/15/22, Series FR61

     36,135,000,000 IDR         2,870,393   
     

 

 

 
Total Indonesia               26,631,888   
Malaysia – 11.8%      

Malaysia Government

     

3.43%, 8/15/14, Series 0211

     23,360,000 MYR         7,144,809   

3.84%, 8/12/15, Series 0110

     59,050,000 MYR         18,215,298   

4.01%, 9/15/17, Series 0210

     49,856,000 MYR         15,470,652   

3.26%, 3/01/18, Series 0213

     60,333,000 MYR         18,189,981   

4.38%, 11/29/19, Series 0902

     4,614,000 MYR         1,447,706   
     

 

 

 
Total Malaysia               60,468,446   
     
New Zealand – 4.2%      

New Zealand Government Bond

     

6.00%, 4/15/15, Series 415

     14,305,000 NZD       $ 12,389,300   

6.00%, 12/15/17, Series 1217

     9,911,000 NZD         8,956,619   
     

 

 

 
Total New Zealand               21,345,919   
Philippines – 5.3%      

Republic of Philippines

     

4.95%, 1/15/21

     706,000,000 PHP         16,238,712   

3.90%, 11/26/22

     300,000,000 PHP         6,360,928   

6.25%, 1/14/36

     215,000,000 PHP         4,789,609   
     

 

 

 
Total Philippines               27,389,249   
Singapore – 4.9%      

Singapore Government Bond

     

2.25%, 6/01/21

     16,845,000 SGD         13,482,516   

3.00%, 9/01/24

     14,089,000 SGD         11,498,457   
     

 

 

 
Total Singapore               24,980,973   
South Korea – 11.8%      

Korea Treasury Bond

     

4.50%, 3/10/15, Series 1503

     16,707,020,000 KRW         15,938,779   

4.00%, 9/10/15, Series 1509

     14,000,000,000 KRW         13,363,908   

2.75%, 9/10/17, Series 1709

     21,136,210,000 KRW         19,665,882   

4.25%, 6/10/21, Series 2106

     11,854,100,000 KRW         11,739,013   
     

 

 

 
Total South Korea               60,707,582   
Thailand – 11.6%      

Thailand Government Bond

     

5.25%, 5/12/14

     367,646,000 THB         11,331,734   

3.13%, 12/11/15

     228,259,000 THB         7,087,825   

4.13%, 11/18/16

     214,690,000 THB         6,845,798   

3.25%, 6/16/17

     307,421,000 THB         9,588,510   

2.80%, 10/10/17

     463,685,000 THB         14,201,581   

3.63%, 6/16/23

     333,316,000 THB         10,208,522   
     

 

 

 
Total Thailand               59,263,970   
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost: $365,553,228)
         336,825,348   
SUPRANATIONAL BONDS – 12.2%      
Australia – 2.6%      

Asian Development Bank
5.50%, 2/15/16

     6,540,000 AUD         6,141,761   

International Finance Corp.
5.75%, 6/24/14

     3,206,000 AUD         2,895,446   

Nordic Investment Bank
6.00%, 4/06/15

     4,900,000 AUD         4,536,380   
     

 

 

 
Total Australia               13,573,587   
China – 0.6%      

Asian Development Bank
2.85%, 10/21/20

     14,500,000 CNY         2,292,510   

International Finance Corp.
1.80%, 1/27/16

     5,000,000 CNY         808,900   
     

 

 

 
Total China               3,101,410   
Hong Kong – 1.0%      

Council of Europe Development Bank
2.28%, 12/01/14

     39,000,000 HKD         5,079,224   

 

See Notes to Financial Statements.

 

36   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Asia Local Debt Fund (ALD)

February 28, 2014

 

  

 

 

Investments   

Principal

Amount

     Value  
     
India – 5.8%      

European Bank for Reconstruction & Development
5.00%, 5/28/15

     340,000,000 INR       $ 5,330,397   

Inter-American Development Bank

     

5.00%, 7/24/15

     574,550,000 INR         8,969,580   

4.75%, 10/25/15

     368,200,000 INR         5,705,674   

International Finance Corp.
7.75%, 12/03/16

     585,000,000 INR         9,537,633   
     

 

 

 
Total India               29,543,284   
Indonesia – 0.7%      

Export-Import Bank of Korea
8.40%, 7/06/16

     42,000,000,000 IDR         3,645,379   
New Zealand – 1.1%      

Inter-American Development Bank
6.25%, 6/22/16

     1,616,000 NZD         1,421,168   

International Bank for Reconstruction & Development
5.38%, 12/15/14

     4,840,000 NZD         4,127,092   
     

 

 

 
Total New Zealand               5,548,260   
Taiwan – 0.4%      

Export-Import Bank of Korea
0.70%, 7/01/16

     69,000,000 TWD         2,262,917   
TOTAL SUPRANATIONAL BONDS
(Cost: $66,499,919)
              62,754,061   
REPURCHASE AGREEMENT – 8.9%      
United States – 8.9%      

Citigroup, Inc., tri-party repurchase agreement dated 2/28/14, 0.06% due 3/03/14; Proceeds at maturity – $45,572,747 (fully collateralized by Fannie Mae, 3.00% – 4.50% due 4/01/43 – 9/01/43 and Freddie Mac, 3.00% due 3/01/29; Market value – $47,851,146)

     
(Cost: $45,572,519)      45,572,519         45,572,519   
TOTAL INVESTMENTS IN SECURITIES – 94.7%
(Cost: $523,371,744)(a)
         485,672,270   

Cash, Foreign Currency and Other Assets
in Excess of Liabilities – 5.3%

   

     27,131,292   
     

 

 

 
NET ASSETS – 100.0%       $ 512,803,562   

Principal amount is reported in U.S. dollars, except for those denoted in the following currencies:

AUD – Australian dollar

CNY – Chinese yuan

HKD – Hong Kong dollar

IDR – Indonesian rupiah

INR – Indian rupee

KRW – South Korean won

MYR – Malaysian ringgit

NZD – New Zealand dollar

PHP – Philippines peso

SGD – Singapore dollar

THB – Thai baht

TWD – Taiwan new dollar

 

(a) 

Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      37   


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Australia & New Zealand Debt Fund (AUNZ)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
     Value  
     
FOREIGN GOVERNMENT AGENCIES – 37.0%   
Australia – 37.0%   

Australian Capital Territory
5.50%, 6/07/18

     850,000 AUD       $ 819,889   

Export Development Canada
5.25%, 8/10/15

     1,681,000 AUD         1,555,214   

New South Wales Treasury Corp.

     

5.50%, 3/01/17, Series 17

     224,000 AUD         214,666   

6.00%, 2/01/18, Series 18

     1,121,600 AUD         1,101,479   

6.00%, 5/01/20, Series 520

     240,000 AUD         239,585   

Northern Territory Treasury Corp.

     

5.75%, 7/14/14

     500,000 AUD         452,379   

6.25%, 10/20/15

     500,000 AUD         471,957   

4.75%, 9/20/18

     400,000 AUD         376,097   

Queensland Treasury Corp.

     

6.00%, 4/21/16, Series 16

     454,000 AUD         432,063   

6.00%, 9/14/17, Series 17

     1,146,000 AUD         1,121,521   

South Australian Government Financing Authority

     

5.75%, 4/20/15, Series 15

     207,000 AUD         191,491   

5.75%, 9/20/17, Series 17

     1,475,000 AUD         1,428,723   

Tasmanian Public Finance

     

5.50%, 6/23/14, Series 14

     377,000 AUD         340,315   

6.50%, 4/15/15, Series 15

     1,528,000 AUD         1,424,560   

Treasury Corp. of Victoria

     

5.50%, 11/15/18, Series 1118

     1,534,000 AUD         1,489,707   

5.50%, 12/17/24, Series 1224

     120,000 AUD         116,393   

Western Australian Treasury Corp.

     

7.00%, 4/15/15, Series 15

     745,000 AUD         698,158   

6.00%, 10/16/23, Series 23

     722,800 AUD         721,374   

 

 
TOTAL FOREIGN GOVERNMENT AGENCIES
(Cost: $15,201,563)
              13,195,571   
FOREIGN GOVERNMENT OBLIGATIONS – 33.0%      
Australia – 21.5%      

Australian Government Bond

     

4.25%, 7/21/17, Series 135

     336,000 AUD         313,173   

5.50%, 1/21/18, Series 132

     1,958,000 AUD         1,907,707   

5.25%, 3/15/19, Series 122

     1,386,000 AUD         1,351,903   

4.50%, 4/15/20, Series 126

     1,325,000 AUD         1,249,789   

5.75%, 5/15/21, Series 124

     700,000 AUD         707,929   

5.75%, 7/15/22, Series 128

     845,000 AUD         858,073   

5.50%, 4/21/23, Series 133

     960,000 AUD         962,482   

4.75%, 4/21/27, Series 136

     350,000 AUD         328,214   
     

 

 

 
Total Australia               7,679,270   
New Zealand – 11.5%      

New Zealand Government Bond

     

6.00%, 4/15/15, Series 415

     154,000 NZD         133,377   

6.00%, 12/15/17, Series 1217

     1,394,000 NZD         1,259,765   

5.00%, 3/15/19, Series 319

     1,135,000 NZD         995,488   

6.00%, 5/15/21, Series 521

     1,065,000 NZD         984,760   

5.50%, 4/15/23, Series 423

     810,000 NZD         728,414   
     

 

 

 
Total New Zealand               4,101,804   
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost: $12,963,838)
         11,781,074   
     
SUPRANATIONAL BONDS – 28.0%      
Australia – 27.8%      

Asian Development Bank

     

6.00%, 1/20/15

     155,000 AUD       $ 142,719   

5.50%, 2/15/16

     280,000 AUD         262,950   

6.00%, 2/22/18

     1,170,000 AUD         1,142,985   

Council of Europe Development Bank

     

5.75%, 9/16/14

     324,000 AUD         294,529   

5.63%, 12/14/15

     178,000 AUD         166,515   

European Investment Bank

     

5.38%, 5/20/14

     436,000 AUD         392,324   

6.13%, 1/23/17

     1,077,000 AUD         1,041,286   

Inter-American Development Bank

     

6.00%, 5/25/16

     1,297,000 AUD         1,236,164   

6.50%, 8/20/19

     292,000 AUD         294,506   

International Bank For Reconstruction & Development
5.50%, 10/21/14

     340,000 AUD         309,578   

International Finance Corp.

     

5.75%, 3/16/15

     880,000 AUD         811,637   

5.75%, 7/28/20

     671,000 AUD         652,585   

KFW

     

5.75%, 5/13/15

     638,000 AUD         591,166   

6.25%, 12/04/19

     752,000 AUD         748,035   

Landwirtschaftliche Rentenbank
6.50%, 4/12/17

     312,000 AUD         305,282   

Nordic Investment Bank

     

6.00%, 8/20/14

     202,000 AUD         183,514   

6.00%, 4/06/15

     1,425,000 AUD         1,319,253   
     

 

 

 
Total Australia               9,895,028   
New Zealand – 0.2%      

KFW
6.38%, 2/17/15

     94,000 NZD         81,044   
TOTAL SUPRANATIONAL BONDS
(Cost: $11,539,174)
              9,976,072   
TOTAL INVESTMENTS IN SECURITIES – 98.0%
(Cost: $39,704,575)(a)
         34,952,717   

Cash, Foreign Currency and Other Assets in
Excess of Liabilities – 2.0%

   

     725,389   
     

 

 

 
NET ASSETS – 100.0%             $ 35,678,106   

Principal amount is reported in U.S. dollars, except for those denoted in the following currencies:

AUD – Australian dollar

NZD – New Zealand dollar

 

(a) 

Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

 

See Notes to Financial Statements.

 

38   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Barclays U.S. Aggregate Bond Negative Duration Fund (AGND)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
     Value  
     
U.S. GOVERNMENT AGENCIES – 38.7%      
Federal Home Loan Mortgage Corporation – 6.4%      

2.38%, 1/13/22

   $ 100,000       $ 98,688   

4.50%, 2/15/35(a)

     100,000         107,188   

4.00%, 12/01/43

     99,622         104,473   
     

 

 

 
Total Federal Home Loan Mortgage Corporation         310,349   
Federal National Mortgage Association – 21.4%   

0.88%, 5/21/18

     100,000         98,116   

4.00%, 7/01/26

     47,723         51,109   

3.50%, 12/01/26

     49,013         51,960   

5.50%, 2/01/28

     200,000         223,619   

2.50%, 8/01/28

     48,000         48,406   

3.00%, 11/01/28

     49,116         50,916   

5.00%, 3/01/41(a)

     100,000         109,500   

4.50%, 10/01/41

     100,001         107,631   

3.50%, 6/01/42

     100,008         101,699   

3.00%, 8/01/43

     100,053         97,355   

4.00%, 11/01/43

     99,362         104,422   
     

 

 

 
Total Federal National Mortgage Association         1,044,733   
Government National Mortgage Association – 10.9%   

5.00%, 2/20/43

     193,647         213,032   

3.50%, 3/15/44(a)

     100,000         103,008   

4.00%, 3/15/44(a)

     100,000         106,062   

4.50%, 3/15/44(a)

     100,000         108,699   
     

 

 

 
Total Government National Mortgage Association         530,801   
TOTAL U.S. GOVERNMENT AGENCIES
(Cost: $1,874,235)
         1,885,883   
U.S. GOVERNMENT OBLIGATIONS – 27.7%      
U.S. Treasury Bond – 3.7%      

5.38%, 2/15/31

     62,500         80,068   

3.63%, 8/15/43

     100,000         100,672   
     

 

 

 
Total U.S. Treasury Bond         180,740   
U.S. Treasury Note – 24.0%   

2.13%, 5/31/15

     475,000         486,550   

0.63%, 7/15/16

     402,500         404,103   

1.50%, 8/31/18

     25,000         25,169   

2.13%, 8/15/21

     200,000         198,602   

4.38%, 5/15/40

     50,000         57,555   
     

 

 

 
Total U.S. Treasury Note         1,171,979   
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost: $1,339,086)
         1,352,719   
CORPORATE BONDS – 24.0%      
United States – 24.0%      

21st Century Fox America, Inc.
6.65%, 11/15/37

     10,000         12,161   

American Express Credit Corp.
2.80%, 9/19/16

     20,000         20,941   

Amgen, Inc.
5.15%, 11/15/41

     10,000         10,510   

Anheuser-Busch InBev Worldwide, Inc.
5.38%, 1/15/20

     20,000         23,179   

AT&T, Inc.
2.38%, 11/27/18

     15,000         15,200   

4.35%, 6/15/45

     5,000         4,444   
     

Bank of America Corp.
2.60%, 1/15/19

   $ 50,000       $ 50,670   

BB&T Corp.
3.20%, 3/15/16

     10,000         10,477   

Burlington Northern Santa Fe LLC
4.70%, 10/01/19

     12,500         13,993   

Capital One Financial Corp.
6.15%, 9/01/16

     40,000         44,809   

Caterpillar Financial Services Corp.
7.15%, 2/15/19

     12,500         15,452   

CBS Corp.
8.88%, 5/15/19

     20,000         25,827   

Cellco Partnership
8.50%, 11/15/18

     15,000         19,172   

Citigroup, Inc.
8.13%, 7/15/39

     15,000         21,889   

Comcast Corp.
5.70%, 5/15/18

     10,000         11,579   

6.45%, 3/15/37

     10,000         12,346   

ConocoPhillips
6.50%, 2/01/39

     30,000         39,356   

Costco Wholesale Corp.
5.50%, 3/15/17

     15,000         16,979   

DIRECTV Holdings LLC
3.80%, 3/15/22

     15,000         14,851   

Dow Chemical Co. (The)
4.25%, 11/15/20

     15,000         16,109   

Duke Energy Florida, Inc.
6.40%, 6/15/38

     7,500         9,775   

Ford Motor Co.
4.75%, 1/15/43

     10,000         9,707   

Freeport-McMoRan Copper & Gold, Inc.
3.88%, 3/15/23

     10,000         9,696   

General Electric Capital Corp.
5.50%, 1/08/20, Series G

     15,000         17,443   

6.75%, 3/15/32, Series A

     10,000         12,829   

Goldman Sachs Group, Inc. (The)
7.50%, 2/15/19, Series G

     50,000         61,306   

Hartford Financial Services Group, Inc. (The)
5.13%, 4/15/22

     30,000         33,561   

Home Depot, Inc. (The)
4.88%, 2/15/44

     5,000         5,397   

HSBC Finance Corp.
6.68%, 1/15/21

     30,000         35,315   

JPMorgan Chase & Co.
3.40%, 6/24/15

     10,000         10,360   

3.20%, 1/25/23

     15,000         14,574   

5.50%, 10/15/40

     10,000         11,188   

Kellogg Co.
4.45%, 5/30/16

     25,000         26,902   

Merck & Co., Inc.
4.15%, 5/18/43

     5,000         4,842   

Microsoft Corp.
3.63%, 12/15/23

     45,000         46,316   

Mondelez International, Inc.
5.38%, 2/10/20

     20,000         22,858   

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      39   


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Barclays U.S. Aggregate Bond Negative Duration Fund (AGND)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
     Value  
     

Morgan Stanley
2.13%, 4/25/18

   $ 50,000       $ 50,333   

Norfolk Southern Corp.
3.00%, 4/01/22

     40,000         39,252   

Oncor Electric Delivery Co. LLC
7.00%, 9/01/22

     20,000         24,911   

Oracle Corp.
6.50%, 4/15/38

     10,000         12,730   

PepsiCo, Inc.
4.50%, 1/15/20

     10,000         11,143   

Pfizer, Inc.
7.20%, 3/15/39

     10,000         13,951   

Philip Morris International, Inc.
4.88%, 11/15/43

     5,000         5,122   

Plains All American Pipeline LP
3.65%, 6/01/22

     17,500         17,700   

PNC Funding Corp.
5.63%, 2/01/17

     35,000         38,961   

Public Service Electric & Gas Co.
2.38%, 5/15/23

     25,000         23,358   

San Diego Gas & Electric Co.
4.50%, 8/15/40

     20,000         20,915   

Southern California Edison Co.
4.65%, 10/01/43

     20,000         21,125   

Thomson Reuters Corp.
6.50%, 7/15/18

     15,000         17,486   

Time Warner Cable, Inc.
6.75%, 6/15/39

     7,500         8,932   

Time Warner, Inc.
7.63%, 4/15/31

     20,000         26,425   

United Technologies Corp.
6.13%, 2/01/19

     12,500         14,919   

Verizon Communications, Inc.
6.55%, 9/15/43

     25,000         30,716   

Wal-Mart Stores, Inc.
6.20%, 4/15/38

     10,000         12,569   

Wells Fargo & Co.
4.13%, 8/15/23

     25,000         25,529   

Xerox Corp.
6.35%, 5/15/18

     20,000         23,398   
TOTAL CORPORATE BONDS
(Cost: $1,144,717)
              1,171,488   
FOREIGN CORPORATE BONDS – 4.2%      
Austria – 0.2%      

Oesterreichische Kontrollbank AG
4.88%, 2/16/16

     10,000         10,853   
Brazil – 0.2%      

Vale Overseas Ltd.
6.88%, 11/21/36

     10,000         10,793   
Canada – 1.0%      

Bank of Montreal
2.50%, 1/11/17

     15,000         15,643   

Province of Ontario Canada
0.95%, 5/26/15

     30,000         30,248   
     

 

 

 
Total Canada               45,891   
     
Germany – 0.6%      

KFW
1.00%, 6/11/18

   $ 30,000       $ 29,575   
Netherlands – 0.6%      

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
2.13%, 10/13/15

     15,000         15,416   

Shell International Finance BV
5.50%, 3/25/40

     10,000         11,710   
     

 

 

 
Total Netherlands               27,126   
Spain – 0.3%      

Telefonica Emisiones SAU
3.99%, 2/16/16

     12,500         13,151   
Sweden – 0.4%      

Svensk Exportkredit AB
2.13%, 7/13/16

     20,000         20,700   
United Kingdom – 0.9%      

HSBC Holdings PLC
5.10%, 4/05/21

     20,000         22,478   

Vodafone Group PLC
5.45%, 6/10/19

     20,000         23,196   
     

 

 

 
Total United Kingdom               45,674   
TOTAL FOREIGN CORPORATE BONDS
(Cost: $201,636)
              203,763   
COMMERCIAL MORTGAGE-BACKED SECURITIES – 2.1%      
United States – 2.1%      

Citigroup Commercial Mortgage Trust
1.99%, 4/10/46, Series 2013-GC11

     15,000         15,094   

COMM Mortgage Trust
1.34%, 7/10/45, Series 2013-CR9

     27,750         27,910   

GS Mortgage Securities Trust
4.24%, 8/10/46, Series 2013-GC14

     15,000         15,889   

JP Morgan Chase Commercial Mortgage Securities Trust
2.67%, 1/15/46, Series 2013-C13

     15,000         15,433   

Morgan Stanley Bank of America Merrill Lynch Trust
3.13%, 12/15/48, Series 2013-C8

     15,000         14,692   

WFRBS Commercial Mortgage Trust
4.02%, 12/15/46, Series 2013-C17

     15,000         15,603   
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost: $104,391)
         104,621   
SUPRANATIONAL BONDS – 1.3%      
Luxembourg – 0.5%      

European Investment Bank
4.00%, 2/16/21

     20,000         22,021   
United States – 0.8%      

International Finance Corp.
2.75%, 4/20/15

     40,000         41,123   
TOTAL SUPRANATIONAL BONDS
(Cost: $62,872)
         63,144   

 

See Notes to Financial Statements.

 

40   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Barclays U.S. Aggregate Bond Negative Duration Fund (AGND)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
     Value  
     
FOREIGN GOVERNMENT OBLIGATIONS – 1.0%      
Brazil – 0.3%      

Brazilian Government International Bond
10.13%, 5/15/27

   $ 10,000       $ 15,100   
Mexico – 0.3%      

Mexico Government International Bond
4.00%, 10/02/23

     15,000         15,206   
Poland – 0.2%      

Poland Government International Bond
3.00%, 3/17/23

     7,500         7,060   
Turkey – 0.2%      

Turkey Government International Bond
7.38%, 2/05/25

     10,000         11,345   
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost: $48,292)
         48,711   
MUNICIPAL BOND – 0.7%      
United States – 0.7%      

State of California
7.55%, 4/01/39

     
(Cost: $33,019)      25,000         34,826   
TOTAL INVESTMENTS IN SECURITIES – 99.7%
(Cost: $4,808,248)(b)
        4,865,155   

Cash and Other Assets in Excess of Liabilities – 0.3%

  

     13,607   
     

 

 

 
NET ASSETS – 100.0%             $ 4,878,762   

 

(a) 

To-be-announced (“TBA”) security (See Note 2).

(b) 

Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      41   


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Barclays U.S. Aggregate Bond Zero Duration Fund (AGZD)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT AGENCIES – 37.7%      
Federal Home Loan Mortgage Corporation – 6.2%      

2.38%, 1/13/22

   $ 100,000       $ 98,688   

4.50%, 2/15/35(a)

     100,000         107,188   

4.00%, 12/01/43

     99,622         104,473   
     

 

 

 
Total Federal Home Loan Mortgage Corporation               310,349   
Federal National Mortgage Association – 20.9%      

0.88%, 5/21/18

     100,000         98,116   

5.50%, 10/01/25

     200,000         222,685   

4.00%, 7/01/26

     47,723         51,109   

3.50%, 12/01/26

     49,013         51,960   

2.50%, 8/01/28

     48,000         48,406   

3.00%, 11/01/28

     49,116         50,916   

4.50%, 9/01/39

     99,999         107,630   

5.00%, 3/01/41(a)

     100,000         109,500   

3.50%, 6/01/42

     100,008         101,699   

3.00%, 8/01/43

     100,053         97,355   

4.00%, 11/01/43

     99,362         104,421   
     

 

 

 
Total Federal National Mortgage Association               1,043,797   
Government National Mortgage Association - 10.6%      

5.00%, 2/20/43

     193,647         213,032   

3.50%, 3/15/44(a)

     100,000         103,008   

4.00%, 3/15/44(a)

     100,000         106,062   

4.50%, 3/15/44(a)

     100,000         108,699   
     

 

 

 
Total Government National Mortgage Association         530,801   
TOTAL U.S. GOVERNMENT AGENCIES
(Cost: $1,874,219)
              1,884,947   
U.S. GOVERNMENT OBLIGATIONS – 29.3%      
U.S. Treasury Bond – 3.6%      

5.38%, 2/15/31

     62,500         80,068   

3.63%, 8/15/43

     100,000         100,672   
     

 

 

 
Total U.S. Treasury Bond               180,740   
U.S. Treasury Note – 25.7%      

2.13%, 5/31/15

     475,000         486,550   

0.63%, 7/15/16

     540,000         542,151   

2.13%, 8/15/21

     200,000         198,602   

4.38%, 5/15/40

     50,000         57,555   
     

 

 

 
Total U.S. Treasury Note         1,284,858   
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost: $1,451,766)
              1,465,598   
CORPORATE BONDS – 23.4%      
United States – 23.4%      

21st Century Fox America, Inc.
6.65%, 11/15/37

     10,000         12,161   

American Express Credit Corp.
2.80%, 9/19/16

     20,000         20,941   

Amgen, Inc.
5.15%, 11/15/41

     10,000         10,510   

Anheuser-Busch InBev Worldwide, Inc.
5.38%, 1/15/20

     20,000         23,179   

AT&T, Inc.
2.38%, 11/27/18

     15,000         15,200   

4.35%, 6/15/45

     5,000         4,444   

Bank of America Corp.
2.60%, 1/15/19

   $ 50,000       $ 50,670   

BB&T Corp.
3.20%, 3/15/16

     10,000         10,477   

Burlington Northern Santa Fe LLC
4.70%, 10/01/19

     12,500         13,993   

Capital One Financial Corp.
6.15%, 9/01/16

     40,000         44,809   

Caterpillar Financial Services Corp.
7.15%, 2/15/19

     12,500         15,452   

CBS Corp.
8.88%, 5/15/19

     20,000         25,827   

Cellco Partnership
8.50%, 11/15/18

     15,000         19,172   

Citigroup, Inc.
8.13%, 7/15/39

     15,000         21,889   

Comcast Corp.
5.70%, 5/15/18

     10,000         11,579   

6.45%, 3/15/37

     10,000         12,346   

ConocoPhillips
6.50%, 2/01/39

     30,000         39,356   

Costco Wholesale Corp.
5.50%, 3/15/17

     15,000         16,979   

DIRECTV Holdings LLC
3.80%, 3/15/22

     15,000         14,851   

Dow Chemical Co. (The)
4.25%, 11/15/20

     15,000         16,109   

Duke Energy Florida, Inc.
6.40%, 6/15/38

     7,500         9,775   

Ford Motor Co.
4.75%, 1/15/43

     10,000         9,707   

Freeport-McMoRan Copper & Gold, Inc.
3.88%, 3/15/23

     10,000         9,696   

General Electric Capital Corp.
5.50%, 1/08/20, Series G

     15,000         17,443   

6.75%, 3/15/32, Series A

     10,000         12,829   

Goldman Sachs Group, Inc. (The)
7.50%, 2/15/19, Series G

     50,000         61,306   

Hartford Financial Services Group, Inc. (The)
5.13%, 4/15/22

     30,000         33,561   

Home Depot, Inc. (The)
4.88%, 2/15/44

     5,000         5,397   

HSBC Finance Corp.
6.68%, 1/15/21

     30,000         35,315   

JPMorgan Chase & Co.
3.40%, 6/24/15

     10,000         10,360   

3.20%, 1/25/23

     15,000         14,574   

5.50%, 10/15/40

     10,000         11,188   

Kellogg Co.
4.45%, 5/30/16

     25,000         26,902   

Merck & Co., Inc.
4.15%, 5/18/43

     5,000         4,842   

Microsoft Corp.
3.63%, 12/15/23

     45,000         46,316   

Mondelez International, Inc.
5.38%, 2/10/20

     20,000         22,858   

 

See Notes to Financial Statements.

 

42   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Barclays U.S. Aggregate Bond Zero Duration Fund (AGZD)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
     Value  

Morgan Stanley
2.13%, 4/25/18

   $ 50,000       $ 50,333   

Norfolk Southern Corp.
3.00%, 4/01/22

     40,000         39,252   

Oncor Electric Delivery Co. LLC
7.00%, 9/01/22

     20,000         24,911   

Oracle Corp.
6.50%, 4/15/38

     10,000         12,730   

PepsiCo, Inc.
4.50%, 1/15/20

     10,000         11,143   

Pfizer, Inc.
7.20%, 3/15/39

     10,000         13,951   

Philip Morris International, Inc.
4.88%, 11/15/43

     5,000         5,122   

Plains All American Pipeline LP
3.65%, 6/01/22

     17,500         17,700   

PNC Funding Corp.
5.63%, 2/01/17

     35,000         38,961   

Public Service Electric & Gas Co.
2.38%, 5/15/23

     25,000         23,358   

San Diego Gas & Electric Co.
4.50%, 8/15/40

     20,000         20,915   

Southern California Edison Co.
4.65%, 10/01/43

     20,000         21,125   

Thomson Reuters Corp.
6.50%, 7/15/18

     15,000         17,486   

Time Warner Cable, Inc.
6.75%, 6/15/39

     7,500         8,932   

Time Warner, Inc.
7.63%, 4/15/31

     20,000         26,425   

United Technologies Corp.
6.13%, 2/01/19

     12,500         14,919   

Verizon Communications, Inc.
6.55%, 9/15/43

     25,000         30,716   

Wal-Mart Stores, Inc.
6.20%, 4/15/38

     10,000         12,569   

Wells Fargo & Co.
4.13%, 8/15/23

     25,000         25,529   

Xerox Corp.
6.35%, 5/15/18

     20,000         23,398   

 

 
TOTAL CORPORATE BONDS
(Cost: $1,144,717)
              1,171,488   
FOREIGN CORPORATE BONDS – 3.4%      
Austria – 0.2%      

Oesterreichische Kontrollbank AG
4.88%, 2/16/16

     10,000         10,853   
Brazil – 0.2%      

Vale Overseas Ltd.
6.88%, 11/21/36

     10,000         10,793   
Canada – 0.3%      

Bank of Montreal
2.50%, 1/11/17

     15,000         15,643   
Germany – 0.6%      

KFW
1.00%, 6/11/18

     30,000         29,575   
Netherlands – 0.5%      

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
2.13%, 10/13/15

   $ 15,000       $ 15,416   

Shell International Finance BV
5.50%, 3/25/40

     10,000         11,710   
     

 

 

 
Total Netherlands               27,126   
Spain – 0.3%      

Telefonica Emisiones SAU
3.99%, 2/16/16

     12,500         13,151   
Sweden – 0.4%      

Svensk Exportkredit AB
2.13%, 7/13/16

     20,000         20,700   
United Kingdom – 0.9%      

HSBC Holdings PLC
5.10%, 4/05/21

     20,000         22,479   

Vodafone Group PLC
5.45%, 6/10/19

     20,000         23,196   
     

 

 

 
Total United Kingdom               45,675   
TOTAL FOREIGN CORPORATE BONDS
(Cost: $171,412)
              173,516   
COMMERCIAL MORTGAGE-BACKED SECURITIES – 2.1%      
United States – 2.1%      

Citigroup Commercial Mortgage Trust
1.99%, 4/10/46, Series 2013-GC11

     15,000         15,094   

COMM Mortgage Trust
1.34%, 7/10/45, Series 2013-CR9

     27,750         27,910   

GS Mortgage Securities Trust
4.24%, 8/10/46, Series 2013-GC14

     15,000         15,889   

JP Morgan Chase Commercial Mortgage Securities Trust
2.67%, 1/15/46, Series 2013-C13

     15,000         15,433   

Morgan Stanley Bank of America Merrill Lynch Trust
3.13%, 12/15/48, Series 2013-C8

     15,000         14,692   

WFRBS Commercial Mortgage Trust
4.02%, 12/15/46, Series 2013-C17

     15,000         15,603   

 

 
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(Cost: $104,391)
         104,621   
FOREIGN GOVERNMENT OBLIGATIONS – 1.6%      
Brazil – 0.4%      

Brazilian Government International Bond
10.13%, 5/15/27

     10,000         15,100   
Canada – 0.6%      

Province of Ontario Canada
0.95%, 5/26/15

     30,000         30,248   
Mexico – 0.3%      

Mexico Government International Bond
4.00%, 10/02/23

     15,000         15,206   
Poland – 0.1%      

Poland Government International Bond
3.00%, 3/17/23

     7,500         7,059   

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      43   


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Barclays U.S. Aggregate Bond Zero Duration Fund (AGZD)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
     Value  
Turkey – 0.2%      

Turkey Government International Bond
7.38%, 2/05/25

   $ 10,000       $ 11,345   
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost: $78,516)
         78,958   
SUPRANATIONAL BONDS – 1.2%      
Luxembourg – 0.4%      

European Investment Bank
4.00%, 2/16/21

     20,000         22,021   
United States – 0.8%      

International Finance Corp.
2.75%, 4/20/15

     40,000         41,123   
TOTAL SUPRANATIONAL BONDS
(Cost: $62,872)
         63,144   
MUNICIPAL BOND – 0.7%      
United States – 0.7%      

State of California
7.55%, 4/01/39

     
(Cost: $33,019)      25,000         34,826   
TOTAL INVESTMENTS IN SECURITIES – 99.4%
(Cost: $4,920,912)(b)
        4,977,098   

Cash and Other Assets in Excess of Liabilities – 0.6%

  

     27,648   
     

 

 

 
NET ASSETS – 100.0%             $ 5,004,746   
(a)

To-be-announced (“TBA”) security (See Note 2).

(b) 

Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

 

See Notes to Financial Statements.

 

44   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Bloomberg Floating Rate Treasury Fund (USFR)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 100.0%      
Treasury Note – 100.0%      
U.S. Treasury Floating Rate Note
    0.09%, 1/31/16**
   $ 2,499,500       $ 2,498,603   
TOTAL INVESTMENTS IN SECURITIES – 100.0%
(Cost: $2,499,549)(a)
        2,498,603   

Cash and Other Assets in Excess of Liabilities – 0.0%

  

     469   
     

 

 

 
NET ASSETS – 100.0%             $ 2,499,072   
** 

Floating rate note. Coupon shown is in effect at February 28, 2014. Date represents the ultimate maturity date.

 

(a) 

Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      45   


Table of Contents

Schedule of Investments (unaudited)

WisdomTree BofA Merrill Lynch High Yield Bond Negative Duration Fund (HYND)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
     Value  
     
CORPORATE BONDS – 84.0%      
United States – 84.0%      

AES Corp. (The)
8.00%, 10/15/17

   $ 100,000       $ 118,750   

Affinion Group, Inc.
7.88%, 12/15/18

     30,000         26,700   

Alcatel-Lucent USA, Inc.
4.63%, 7/01/17(a)

     100,000         103,625   

Alere, Inc.
7.25%, 7/01/18

     55,000         60,637   

Ally Financial, Inc.
5.50%, 2/15/17

     280,000         307,300   

Associated Materials LLC
9.13%, 11/01/17

     320,000         337,600   

Best Buy Co., Inc.
5.00%, 8/01/18

     80,000         83,200   

Beverages & More, Inc.
10.00%, 11/15/18(a)

     50,000         51,187   

Burger King Corp.
9.88%, 10/15/18

     50,000         54,875   

Cablevision Systems Corp.
7.75%, 4/15/18

     200,000         232,250   

Caesars Entertainment Operating Co., Inc.
11.25%, 6/01/17

     60,000         61,425   

Carrizo Oil & Gas, Inc.
8.63%, 10/15/18

     80,000         86,600   

CIT Group, Inc.
5.00%, 5/15/17

     120,000         129,300   

Clear Channel Communications, Inc.
6.88%, 6/15/18

     25,000         23,562   

CNH Capital LLC
6.25%, 11/01/16

     200,000         220,500   

Cogent Communications Group, Inc. 8.38%, 2/15/18(a)

     110,000         120,175   

CONSOL Energy, Inc.
8.00%, 4/01/17

     50,000         52,250   

Constellation Brands, Inc.
7.25%, 9/01/16

     100,000         113,750   

Dell, Inc.
3.10%, 4/01/16(b)

     100,000         102,250   

DineEquity, Inc.
9.50%, 10/30/18

     80,000         88,000   

DISH DBS Corp.
4.25%, 4/01/18

     300,000         312,750   

DynCorp International, Inc.
10.38%, 7/01/17

     50,000         52,500   

E*TRADE Financial Corp.
6.75%, 6/01/16

     80,000         87,000   

Energy Future Intermediate Holding Co. LLC
11.25%, 12/01/18 PIK(a)

     30,000         20,100   

Ferro Corp.
7.88%, 8/15/18

     100,000         106,750   

Frontier Communications Corp.
8.25%, 5/01/14

     200,000         202,250   

General Motors Co.
3.50%, 10/02/18(a)

     160,000         166,000   
     

GenOn Energy, Inc.
7.88%, 6/15/17

   360,000       364,500   

Genworth Holdings, Inc.
6.15%, 11/15/66**

     50,000         46,206   

Gymboree Corp.
9.13%, 12/01/18(b)

     50,000         44,625   

HCA, Inc.
6.38%, 1/15/15

     100,000         104,375   

Healthcare Technology Intermediate, Inc.
7.38%, 9/01/18 PIK(a)

     320,000         332,800   

Hexion US Finance Corp.
8.88%, 2/01/18

     80,000         83,800   

iGATE Corp.
9.00%, 5/01/16

     50,000         53,000   

Interactive Data Corp.
10.25%, 8/01/18

     95,000         103,550   

International Lease Finance Corp.
8.75%, 3/15/17

     160,000         189,600   

Kinetic Concepts, Inc.
10.50%, 11/01/18

     80,000         92,900   

Lennar Corp.
4.75%, 12/15/17

     200,000         213,500   

Masco Corp.
6.13%, 10/03/16

     200,000         223,000   

MGM Resorts International
7.63%, 1/15/17

     320,000         365,600   

Michaels FinCo Holdings LLC
7.50%, 8/01/18 PIK(a)

     30,000         31,200   

MPH Intermediate Holding Co. 2
8.38%, 8/01/18 PIK(a)

     30,000         31,388   

Reynolds Group Issuer, Inc.
8.50%, 5/15/18

     400,000         422,000   

Safway Group Holding LLC
7.00%, 5/15/18(a)

     100,000         106,750   

SLM Corp.
8.45%, 6/15/18

     280,000         332,500   

Springleaf Finance Corp.
6.90%, 12/15/17

     400,000         440,500   

Sprint Communications, Inc.
6.00%, 12/01/16

     50,000         54,813   

9.00%, 11/15/18(a)

     200,000         245,500   

Stater Brothers Holdings, Inc.
7.38%, 11/15/18

     50,000         53,063   

Swift Services Holdings, Inc.
10.00%, 11/15/18

     80,000         88,500   

Synovus Financial Corp.
5.13%, 6/15/17

     72,000         75,600   

Toys R Us, Inc.
10.38%, 8/15/17

     25,000         21,813   

TransUnion Holding Co., Inc.
8.13%, 6/15/18

     30,000         31,800   

United Continental Holdings, Inc.
6.38%, 6/01/18

     100,000         106,750   

US Airways Group, Inc.
6.13%, 6/01/18

     100,000         105,250   

 

See Notes to Financial Statements.

 

46   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree BofA Merrill Lynch High Yield Bond Negative Duration Fund (HYND)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
     Value  
     

USG Corp.
9.75%, 1/15/18

   $ 30,000       $ 36,375   

Valeant Pharmaceuticals International, Inc.
6.75%, 8/15/18(a)

     200,000         221,500   

Verso Paper Holdings LLC
11.75%, 1/15/19

     50,000         46,625   

VWR Funding, Inc.
7.25%, 9/15/17

     100,000         107,750   

Westmoreland Coal Co.
10.75%, 2/01/18

     24,000         26,250   

WMG Acquisition Corp.
11.50%, 10/01/18

     50,000         57,125   

 

 
TOTAL CORPORATE BONDS
(Cost: $8,142,372)
              8,181,794   
FOREIGN CORPORATE BONDS – 11.9%      
Canada – 0.5%      

Telesat Canada
6.00%, 5/15/17(a)

     50,000         52,000   
Cyprus – 2.2%      

Drill Rigs Holdings, Inc.
6.50%, 10/01/17(a)

     200,000         211,000   
Italy – 3.8%      

Telecom Italia Capital S.A.
5.25%, 10/01/15

     200,000         210,250   

Wind Acquisition Finance S.A.
11.75%, 7/15/17(a)

     150,000         159,000   
     

 

 

 
Total Italy               369,250   
Luxembourg – 2.6%      

ArcelorMittal S.A.
5.00%, 2/25/17

     240,000         257,700   
Norway – 2.0%      

Eksportfinans ASA
2.00%, 9/15/15

     200,000         198,900   
United Kingdom – 0.8%      

CEVA Group PLC
8.38%, 12/01/17(a)

     75,000         78,750   
TOTAL FOREIGN CORPORATE BONDS
(Cost: $1,167,645)
              1,167,600   
      Shares          
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 1.6%      
United States – 1.6%      

Dreyfus Institutional Preferred Money Market Fund, 0.05%(c)

     
(Cost: $152,500)(d)      152,500         152,500   
TOTAL INVESTMENTS IN SECURITIES – 97.5%
(Cost: $9,462,517)(e)
        9,501,894   

Other Assets in Excess of Liabilities – 2.5%

        242,386   
     

 

 

 
NET ASSETS – 100.0%             $ 9,744,280   
** 

Floating rate note. Coupon shown is in effect at February 28, 2014. Date represents the ultimate maturity date.

 

(a) 

This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers.

 

(b) 

Security, or portion thereof, was on loan at February 28, 2014.

 

(c) 

Rate shown represents annualized 7-day yield as of February 28, 2014.

 

(d) 

At February 28, 2014, the total market value of the Fund’s securities on loan was $148,368 and the total market value of the collateral held by the Fund was $152,500.

(e) 

Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

PIK – Payment In Kind

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      47   


Table of Contents

Schedule of Investments (unaudited)

WisdomTree BofA Merrill Lynch High Yield Bond Zero Duration Fund (HYZD)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
     Value  
CORPORATE BONDS – 83.0%      
United States – 83.0%      

AES Corp. (The)

     

8.00%, 10/15/17

   $ 100,000       $ 118,750   

Affinion Group, Inc.

     

7.88%, 12/15/18

     50,000         44,500   

Alcatel-Lucent USA, Inc.

     

4.63%, 7/01/17(a)

     100,000         103,625   

Alere, Inc.

     

7.25%, 7/01/18

     55,000         60,637   

Ally Financial, Inc.

     

5.50%, 2/15/17

     280,000         307,300   

Associated Materials LLC

     

9.13%, 11/01/17

     320,000         337,600   

Best Buy Co., Inc.

     

5.00%, 8/01/18

     80,000         83,200   

Beverages & More, Inc.

     

10.00%, 11/15/18(a)

     50,000         51,187   

Burger King Corp.

     

9.88%, 10/15/18

     50,000         54,875   

Cablevision Systems Corp.

     

7.75%, 4/15/18

     200,000         232,250   

Caesars Entertainment Operating Co., Inc

     

11.25%, 6/01/17

     60,000         61,425   

Carrizo Oil & Gas, Inc.

     

8.63%, 10/15/18

     80,000         86,600   

CIT Group, Inc.

     

5.00%, 5/15/17

     120,000         129,300   

Clear Channel Communications, Inc.

     

6.88%, 6/15/18

     25,000         23,562   

CNH Capital LLC

     

6.25%, 11/01/16

     200,000         220,500   

Cogent Communications Group, Inc.

     

8.38%, 2/15/18(a)

     110,000         120,175   

CONSOL Energy, Inc.

     

8.00%, 4/01/17

     50,000         52,250   

Constellation Brands, Inc.

     

7.25%, 9/01/16

     100,000         113,750   

Dell, Inc.

     

3.10%, 4/01/16(b)

     100,000         102,250   

DineEquity, Inc.

     

9.50%, 10/30/18

     80,000         88,000   

DISH DBS Corp.

     

4.25%, 4/01/18

     300,000         312,750   

DynCorp International, Inc.

     

10.38%, 7/01/17

     50,000         52,500   

E*TRADE Financial Corp.

     

6.75%, 6/01/16

     80,000         87,000   

Energy Future Intermediate Holding Co. LLC

     

11.25%, 12/01/18 PIK(a)

     50,000         33,500   

Ferro Corp.

     

7.88%, 8/15/18

     100,000         106,750   

Frontier Communications Corp.

     

8.25%, 5/01/14

     200,000         202,250   

General Motors Co.

     

3.50%, 10/02/18(a)

     160,000         166,000   

GenOn Energy, Inc.

     

7.88%, 6/15/17

   $ 360,000       $ 364,500   

Genworth Holdings, Inc.

     

6.15%, 11/15/66**

     50,000         46,206   

Gymboree Corp.

     

9.13%, 12/01/18(b)

     50,000         44,625   

HCA, Inc.

     

6.38%, 1/15/15

     100,000         104,375   

Healthcare Technology Intermediate, Inc.

     

7.38%, 9/01/18 PIK(a)

     320,000         332,800   

Hexion US Finance Corp.

     

8.88%, 2/01/18

     80,000         83,800   

iGATE Corp.

     

9.00%, 5/01/16

     50,000         53,000   

Interactive Data Corp.

     

10.25%, 8/01/18

     95,000         103,550   

International Lease Finance Corp.

     

8.75%, 3/15/17

     160,000         189,600   

Kinetic Concepts, Inc.

     

10.50%, 11/01/18

     80,000         92,900   

Lennar Corp.

     

4.75%, 12/15/17

     200,000         213,500   

Masco Corp.

     

6.13%, 10/03/16

     200,000         223,000   

MGM Resorts International

     

7.63%, 1/15/17

     320,000         365,600   

Michaels FinCo Holdings LLC

     

7.50%, 8/01/18 PIK(a)

     50,000         52,000   

MPH Intermediate Holding Co. 2

     

8.38%, 8/01/18 PIK(a)

     50,000         52,313   

Reynolds Group Issuer, Inc.

     

8.50%, 5/15/18

     400,000         422,000   

Safway Group Holding LLC

     

7.00%, 5/15/18(a)

     100,000         106,750   

SLM Corp.

     

8.45%, 6/15/18

     280,000         332,500   

Springleaf Finance Corp.

     

6.90%, 12/15/17

     400,000         440,500   

Sprint Communications, Inc.

     

6.00%, 12/01/16

     50,000         54,813   

9.00%, 11/15/18(a)

     200,000         245,500   

Stater Brothers Holdings, Inc.

     

7.38%, 11/15/18

     50,000         53,063   

Swift Services Holdings, Inc.

     

10.00%, 11/15/18

     80,000         88,500   

Synovus Financial Corp.

     

5.13%, 6/15/17

     72,000         75,600   

Toys R Us, Inc.

     

10.38%, 8/15/17

     25,000         21,813   

TransUnion Holding Co., Inc.

     

8.13%, 6/15/18

     50,000         53,000   

United Continental Holdings, Inc.

     

6.38%, 6/01/18

     100,000         106,750   

US Airways Group, Inc.

     

6.13%, 6/01/18

     100,000         105,250   

 

See Notes to Financial Statements.

 

48   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree BofA Merrill Lynch High Yield Bond Zero Duration Fund (HYZD)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
     Value  

USG Corp.

     

9.75%, 1/15/18

   $ 50,000       $ 60,625   

Valeant Pharmaceuticals International, Inc.

     

6.75%, 8/15/18(a)

     200,000         221,500   

Verso Paper Holdings LLC

     

11.75%, 1/15/19

     50,000         46,625   

VWR Funding, Inc.

     

7.25%, 9/15/17

     100,000         107,750   

Westmoreland Coal Co.

     

10.75%, 2/01/18

     35,000         38,281   

WMG Acquisition Corp.

     

11.50%, 10/01/18

     50,000         57,125   

TOTAL CORPORATE BONDS

(Cost: $8,273,482)

              8,312,200   
FOREIGN CORPORATE BONDS – 11.7%      
Canada – 0.5%      

Telesat Canada

     

6.00%, 5/15/17(a)

     50,000         52,000   
Cyprus – 2.1%      

Drill Rigs Holdings, Inc.

     

6.50%, 10/01/17(a)

     200,000         211,000   
Italy – 3.7%      

Telecom Italia Capital S.A.

     

5.25%, 10/01/15

     200,000         210,250   

Wind Acquisition Finance S.A.

     

11.75%, 7/15/17(a)

     150,000         159,000   
     

 

 

 
Total Italy               369,250   
Luxembourg – 2.6%      

ArcelorMittal S.A.

     

5.00%, 2/25/17

     240,000         257,700   
Norway – 2.0%      

Eksportfinans ASA

     

2.00%, 9/15/15

     200,000         198,900   
United Kingdom – 0.8%      

CEVA Group PLC

     

8.38%, 12/01/17(a)

     75,000         78,750   
TOTAL FOREIGN CORPORATE BONDS
(Cost: $1,167,645)
              1,167,600   
      Shares          
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 1.5%      
United States – 1.5%      

Dreyfus Institutional Preferred Money Market Fund, 0.05%(c)

     
(Cost: $152,500)(d)      152,500         152,500   

TOTAL INVESTMENTS IN SECURITIES – 96.2%

(Cost: $9,593,627)(e)

  

  

     9,632,300   

Cash and Other Assets in Excess of Liabilities – 3.8%

  

     382,303   
     

 

 

 
NET ASSETS – 100.0%             $ 10,014,603   
** 

Floating rate note. Coupon shown is in effect at February 28, 2014. Date represents the ultimate maturity date.

 

(a) 

This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers.

 

(b) 

Security, or portion thereof, was on loan at February 28, 2014.

 

(c) 

Rate shown represents annualized 7-day yield as of February 28, 2014.

 

(d) 

At February 28, 2014, the total market value of the Fund’s securities on loan was $148,368 and the total market value of the collateral held by the Fund was $152,500.

 

(e) 

Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

PIK – Payment In Kind

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      49   


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
     Value  
FOREIGN CORPORATE BONDS – 94.2%      
Brazil – 16.2%      

Braskem Finance Ltd.

     

5.75%, 4/15/21(a)

   $ 3,468,000       $ 3,489,675   

Centrais Eletricas Brasileiras S.A.

     

5.75%, 10/27/21

     2,054,000         2,033,203   

CSN Resources S.A.

     

6.50%, 7/21/20(a)

     1,869,000         1,895,867   

Odebrecht Finance Ltd.

     

4.38%, 4/25/25(b)

     2,320,000         2,070,600   

Oi S.A.

     

5.75%, 2/10/22

     951,000         902,261   

Petrobras International Finance Co.

     

5.38%, 1/27/21

     3,507,000         3,529,971   

Vale Overseas Ltd.

     

4.38%, 1/11/22

     3,219,000         3,213,637   
     

 

 

 
Total Brazil               17,135,214   
Chile – 1.9%      

Cencosud S.A.

     

4.88%, 1/20/23

     2,140,000         2,050,388   
China – 2.9%      

Country Garden Holdings Co. Ltd.

     

7.25%, 4/04/21(a)

     2,250,000         2,162,813   

MCE Finance Ltd.

     

5.00%, 2/15/21(b)

     900,000         893,250   
     

 

 

 
Total China               3,056,063   
Colombia – 5.8%      

Ecopetrol S.A.

     

7.63%, 7/23/19

     2,475,000         3,001,866   

Pacific Rubiales Energy Corp.

     

5.38%, 1/26/19(b)

     2,140,000         2,229,826   

5.13%, 3/28/23

     990,000         954,731   
     

 

 

 
Total Colombia               6,186,423   
Hong Kong – 3.7%      

Hutchison Whampoa International 11 Ltd.

     

4.63%, 1/13/22

     1,565,000         1,639,703   

Noble Group Ltd.

     

6.75%, 1/29/20

     2,103,000         2,281,755   
     

 

 

 
Total Hong Kong               3,921,458   
India – 3.3%      

Vedanta Resources PLC

     

8.25%, 6/07/21

     3,258,000         3,443,299   
Indonesia – 3.2%      

PT Pertamina (Persero)

     

5.25%, 5/23/21

     3,380,000         3,434,925   
Jamaica – 4.2%      

Digicel Group Ltd.

     

8.25%, 9/30/20

     4,160,000         4,434,747   
Kazakhstan – 2.9%      

KazMunayGaz National Co.

     

6.38%, 4/09/21

     2,767,000         3,019,489   
Mexico – 11.0%      

Cemex SAB de CV

     

6.50%, 12/10/19(b)

   $ 200,000       $ 210,500   

7.25%, 1/15/21(b)

     1,810,000         1,944,619   

Grupo Bimbo SAB de CV

     

4.50%, 1/25/22

     2,488,000         2,539,887   

Mexichem SAB de CV

     

4.88%, 9/19/22(a)

     3,650,000         3,614,869   

Southern Copper Corp.

     

5.25%, 11/08/42

     3,930,000         3,380,055   
     

 

 

 
Total Mexico               11,689,930   
Peru – 1.8%      

Volcan Cia Minera S.A.A.

     

5.38%, 2/02/22

     1,966,000         1,900,876   
Qatar – 2.8%      

Qtel International Finance Ltd.

     

4.75%, 2/16/21(a)

     2,756,000         2,966,145   
Russia – 28.1%      

EDC Finance Ltd.

     

4.88%, 4/17/20(b)

     800,000         761,000   

4.88%, 4/17/20(a)

     1,010,000         960,763   

EuroChem Mineral & Chemical Co. OJSC

     

5.13%, 12/12/17(a)

     2,800,000         2,835,000   

Evraz Group S.A.

     

6.75%, 4/27/18(a)

     3,126,000         3,104,509   

Gazprom OAO Via Gaz Capital S.A.

     

4.95%, 5/23/16

     3,051,000         3,249,315   

LUKOIL International Finance B.V.

     

6.13%, 11/09/20(a)

     1,373,000         1,479,407   

Novatek OAO Via Novatek Finance Ltd.

     

4.42%, 12/13/22(a)

     2,210,000         2,055,300   

Rosneft Finance S.A.

     

7.25%, 2/02/20(a)

     2,718,000         3,115,507   

Rosneft Oil Co. Via Rosneft International Finance Ltd.

     

3.15%, 3/06/17(a)

     3,080,000         3,125,430   

Severstal OAO Via Steel Capital S.A.

     

6.70%, 10/25/17(a)

     1,283,000         1,376,017   

5.90%, 10/17/22(a)

     677,000         659,229   

Sibur Securities Ltd.

     

3.91%, 1/31/18(a)

     2,800,000         2,737,000   

VimpelCom Holdings B.V.

     

7.50%, 3/01/22(a)

     4,062,000         4,249,868   
     

 

 

 
Total Russia               29,708,345   
South Africa – 2.2%      

AngloGold Ashanti Holdings PLC

     

8.50%, 7/30/20(a)

     2,050,000         2,302,406   
Turkey – 2.0%      

Anadolu Efes Biracilik ve Malt Sanayii AS

     

3.38%, 11/01/22(a)

     2,530,000         2,106,225   

 

See Notes to Financial Statements.

 

50   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
     Value  
Venezuela – 2.2%      

Petroleos de Venezuela S.A.

     

8.50%, 11/02/17

   $ 2,868,200       $ 2,314,279   
TOTAL FOREIGN CORPORATE BONDS
(Cost: $101,889,414)
         99,670,212   
FOREIGN GOVERNMENT AGENCIES – 3.3%      
United Arab Emirates – 3.3%      

MDC-GMTM B.V.

     

5.50%, 4/20/21(a)

     
(Cost: $3,399,348)      3,056,000         3,444,876   
Investments    Shares          
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 23.9%      
United States23.9%      

Dreyfus Institutional Preferred Money Market Fund, 0.05%(c)

     
(Cost: $25,339,746)(d)      25,339,746         25,339,746   

TOTAL INVESTMENTS IN SECURITIES – 121.4%

(Cost: $130,628,508)(e)

  

  

     128,454,834   

Liabilities in Excess of Cash and Other Assets – (21.4)%

        (22,610,482
     

 

 

 
NET ASSETS – 100.0%             $ 105,844,352   
(a) 

Security, or portion thereof, was on loan at February 28, 2014.

 

(b) 

This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers.

 

(c) 

Rate shown represents annualized 7-day yield as of February 28, 2014.

 

(d) 

At February 28, 2014, the total market value of the Fund’s securities on loan was $24,765,395 and the total market value of the collateral held by the Fund was $25,339,746.

 

(e) 

Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      51   


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Emerging Markets Local Debt Fund (ELD)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
    Value  
FOREIGN GOVERNMENT OBLIGATIONS – 84.7%     
Brazil – 10.1%     

Federal Republic of Brazil

    

12.50%, 1/05/16

     5,199,000  BRL    $ 2,323,526   

12.50%, 1/05/22

     3,659,000  BRL      1,777,810   

10.25%, 1/10/28

     3,123,000  BRL      1,356,954   

Letra Tesouro Nacional

    

10.47%, 1/01/15(a)

     23,225,000  BRL      9,103,544   

10.96%, 1/01/16(a)

     46,066,000  BRL      16,090,029   

9.86%, 7/01/16(a)

     41,391,000  BRL      13,609,736   

11.36%, 1/01/17(a)

     46,001,000  BRL      14,245,501   

Nota do Tesouro Nacional

    

10.00%, 1/01/17

     25,422,000  BRL      10,337,101   

10.00%, 1/01/21

     37,733,000  BRL      14,363,907   

10.00%, 1/01/23

     40,296,000  BRL      14,964,995   
    

 

 

 
Total Brazil              98,173,103   
Chile – 3.4%     

Bonos del Banco Central de Chile en Pesos

    

6.00%, 1/01/17

     4,355,000,000  CLP      8,136,161   

6.00%, 3/01/23

     1,525,000,000  CLP      2,944,119   

Republic of Chile

    

6.00%, 3/01/18

     745,000,000  CLP      1,370,071   

5.50%, 8/05/20

     11,477,500,000  CLP      20,724,935   
    

 

 

 
Total Chile              33,175,286   
China – 3.0%     

China Government Bond

    

1.40%, 8/18/16

     22,500,000  CNY      3,594,213   

2.56%, 6/29/17

     51,000,000  CNY      8,315,325   

2.48%, 12/01/20

     28,500,000  CNY      4,365,061   

2.36%, 8/18/21

     54,500,000  CNY      8,207,693   

3.10%, 6/29/22

     31,500,000  CNY      4,921,769   
    

 

 

 
Total China              29,404,061   
Colombia – 3.3%     

Republic of Colombia

    

12.00%, 10/22/15

     26,892,000,000  COP      14,687,528   

7.75%, 4/14/21

     24,510,000,000  COP      13,018,450   

9.85%, 6/28/27

     6,805,000,000  COP      4,023,274   
    

 

 

 
Total Colombia              31,729,252   
Germany – 0.6%     

KFW

    

7.00%, 4/09/18

     30,000,000  EUR      2,708,218   

Landwirtschaftliche Rentenbank

    

5.63%, 2/27/18

     9,000,000  EUR      3,436,928   
    

 

 

 
Total Germany              6,145,146   
Indonesia – 7.0%     

Indonesia Government

    

11.00%, 10/15/14, Series FR26

     49,790,000,000  IDR      4,396,137   

9.50%, 6/15/15, Series FR27

     118,061,000,000  IDR      10,414,009   

10.75%, 5/15/16, Series FR30

     49,065,000,000  IDR      4,504,935   

7.38%, 9/15/16, Series FR55

     75,114,000,000  IDR      6,434,738   

10.00%, 7/15/17, Series FR28

     50,000,000,000  IDR      4,567,620   

11.00%, 11/15/20, Series FR31

     102,919,000,000  IDR      10,150,939   

8.25%, 7/15/21, Series FR53

     103,330,000,000  IDR      8,887,697   

8.38%, 9/15/26, Series FR56

     143,231,000,000  IDR    $ 11,908,901   

8.25%, 6/15/32, Series FR58

     74,887,000,000  IDR      6,069,892   
    

 

 

 
Total Indonesia              67,334,868   
Malaysia – 10.0%     

Malaysian Government

    

3.43%, 8/15/14, Series 0211

     32,380,000  MYR      9,903,635   

3.84%, 8/12/15, Series 0110

     48,954,000  MYR      15,100,961   

3.81%, 2/15/17, Series 0207

     7,349,000  MYR      2,267,247   

4.01%, 9/15/17, Series 0210

     18,308,000  MYR      5,681,096   

3.31%, 10/31/17, Series 0512

     16,241,000  MYR      4,923,454   

4.38%, 11/29/19, Series 0902

     73,837,000  MYR      23,167,376   

3.42%, 8/15/22, Series 0112

     79,151,000  MYR      22,934,730   

4.39%, 4/15/26, Series 0311

     41,823,000  MYR      12,809,645   
    

 

 

 
Total Malaysia              96,788,144   
Mexico – 7.4%     

Mexican Bonos Desarrollo

    

9.50%, 12/18/14, Series MI10

     51,557,000  MXN      4,075,433   

8.00%, 12/17/15, Series M10

     99,046,000  MXN      7,996,423   

7.75%, 12/14/17, Series M10

     163,762,000  MXN      13,646,271   

8.50%, 12/13/18, Series M10

     50,722,000  MXN      4,358,724   

6.50%, 6/10/21, Series M

     187,527,000  MXN      14,716,174   

10.00%, 12/05/24, Series M 20

     20,682,000  MXN      2,004,556   

7.50%, 6/03/27, Series M 20

     60,000,000  MXN      4,872,439   

7.75%, 5/29/31, Series M

     99,186,000  MXN      7,990,591   

10.00%, 11/20/36, Series M 30

     17,188,000  MXN      1,683,303   

8.50%, 11/18/38, Series M 30

     125,000,000  MXN      10,700,276   
    

 

 

 
Total Mexico              72,044,190   
Peru – 3.4%     

Republic of Peru

    

9.91%, 5/05/15

     6,434,000  PEN      2,461,266   

8.60%, 8/12/17

     11,189,000  PEN      4,572,597   

7.84%, 8/12/20

     34,541,000  PEN      13,636,073   

8.20%, 8/12/26

     7,330,000  PEN      2,922,047   

6.95%, 8/12/31

     18,631,000  PEN      6,497,049   

6.90%, 8/12/37

     7,279,000  PEN      2,480,244   
    

 

 

 
Total Peru              32,569,276   
Philippines – 3.3%     

Republic of Philippines

    

7.88%, 2/19/19, Series 1048

     79,890,000  PHP      2,138,487   

4.95%, 1/15/21

     734,000,000  PHP      16,882,740   

3.90%, 11/26/22

     167,000,000  PHP      3,540,916   

6.25%, 1/14/36

     24,000,000  PHP      534,654   

7.63%, 9/29/36, Series 25-9

     322,950,000  PHP      8,962,823   
    

 

 

 
Total Philippines              32,059,620   
Poland – 4.3%     

Poland Government Bond

    

5.75%, 4/25/14, Series 0414

     49,657,000  PLN      16,518,248   

4.75%, 4/25/17, Series 0417

     1,628,000  PLN      561,032   

5.50%, 10/25/19, Series 1019

     34,868,000  PLN      12,470,577   

5.25%, 10/25/20, Series 1020

     16,901,000  PLN      5,982,036   

5.75%, 9/23/22, Series 0922

     15,632,000  PLN      5,690,343   
    

 

 

 
Total Poland              41,222,236   

 

See Notes to Financial Statements.

 

52   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Emerging Markets Local Debt Fund (ELD)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
    Value  
Romania – 3.3%     

Romania Government Bond

    

5.80%, 10/26/15, Series 3YR

     15,240,000  RON    $ 4,855,043   

5.75%, 1/27/16, Series 4YR

     26,430,000  RON      8,418,571   

5.90%, 7/26/17, Series 5Y

     33,760,000  RON      10,901,230   

5.85%, 4/26/23, Series 10Y

     24,100,000  RON      7,637,008   
    

 

 

 
Total Romania              31,811,852   
Russia – 7.3%     

Russian Agricultural Bank OJSC Via RSHB Capital SA

    

8.70%, 3/17/16

     395,300,000  RUB      10,961,687   

Russian Foreign Bond

    

7.85%, 3/10/18

     40,000,000  RUB      1,117,105   

Russian Government Bond — OFZ

    

6.88%, 7/15/15, Series 5075

     65,620,000  RUB      1,836,810   

7.35%, 1/20/16, Series 5077

     586,650,000  RUB      16,516,820   

6.80%, 12/11/19, Series 6210

     466,760,000  RUB      12,365,277   

7.60%, 7/20/22, Series 6209

     422,790,000  RUB      11,412,209   

8.15%, 2/03/27, Series 6207

     130,000,000  RUB      3,596,586   

Russian Railways Via Rzd Capital PLC

    

8.30%, 4/02/19

     457,800,000  RUB      12,440,027   
    

 

 

 
Total Russia              70,246,521   
South Africa – 3.4%     

Republic of South Africa

    

8.25%, 9/15/17, Series R203

     64,571,000  ZAR      6,104,470   

7.25%, 1/15/20, Series R207

     38,852,000  ZAR      3,454,371   

6.75%, 3/31/21, Series R208

     45,000,000  ZAR      3,837,682   

10.50%, 12/21/26, Series R186(b)

     79,644,000  ZAR      8,531,374   

7.00%, 2/28/31, Series R213

     35,000,000  ZAR      2,716,154   

6.25%, 3/31/36, Series R209

     39,490,600  ZAR      2,697,423   

6.50%, 2/28/41, Series R214

     80,000,000  ZAR      5,482,980   
    

 

 

 
Total South Africa              32,824,454   
South Korea – 4.7%     

Korea Treasury Bond

    

4.50%, 3/10/15, Series 1503

     13,490,540,000  KRW      12,870,203   

2.75%, 9/10/17, Series 1709

     14,512,230,000  KRW      13,502,695   

5.00%, 6/10/20, Series 2006

     2,812,280,000  KRW      2,891,801   

3.75%, 6/10/22, Series 2206

     16,634,580,000  KRW      15,948,939   
    

 

 

 
Total South Korea              45,213,638   
Thailand – 6.3%     

Thailand Government Bond

    

3.13%, 12/11/15

     346,744,000  THB      10,766,983   

4.13%, 11/18/16

     381,920,000  THB      12,178,244   

2.80%, 10/10/17

     352,366,000  THB      10,792,142   

5.13%, 3/13/18

     295,205,000  THB      9,777,624   

3.88%, 6/13/19

     91,541,000  THB      2,905,128   

3.65%, 12/17/21

     279,298,000  THB      8,625,861   

3.63%, 6/16/23

     200,000,000  THB      6,125,431   

3.58%, 12/17/27

     9,446,000  THB      278,127   
    

 

 

 
Total Thailand              61,449,540   
Turkey – 3.9%     

Turkey Government Bond

    

10.00%, 6/17/15

     24,906,000  TRY      11,202,844   

9.00%, 1/27/16

     31,388,000  TRY    $ 13,862,298   

10.50%, 1/15/20

     11,504,000  TRY      5,276,275   

9.50%, 1/12/22

     16,175,000  TRY      7,161,915   
    

 

 

 
Total Turkey              37,503,332   
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost: $951,054,736)
        819,694,519   
SUPRANATIONAL BONDS – 7.0%     
Mexico – 2.4%     

Inter-American Development Bank

    

8.00%, 1/26/16

     16,101,000  MXN      1,323,530   

7.50%, 12/05/24

     40,687,000  MXN      3,460,357   

International Bank for Reconstruction & Development

    

4.63%, 11/17/15

     35,375,000  MXN      2,743,621   

7.50%, 3/05/20

     50,357,000  MXN      4,347,031   

International Finance Corp.

    

6.00%, 1/28/16

     142,870,000  MXN      11,325,610   
    

 

 

 
Total Mexico              23,200,149   
Russia – 2.5%     

European Bank for Reconstruction & Development

    

6.75%, 5/12/17

     311,700,000  RUB      8,608,326   

European Investment Bank

    

6.50%, 12/15/15

     258,750,000  RUB      7,122,947   

6.50%, 9/30/16

     128,300,000  RUB      3,523,133   

6.75%, 6/13/17

     115,470,000  RUB      3,170,833   

International Bank for Reconstruction & Development

    

6.25%, 7/10/14

     40,000,000  RUB      1,108,757   

International Finance Corp.

    

5.75%, 2/24/15

     40,800,000  RUB      1,121,962   
    

 

 

 
Total Russia              24,655,958   
South Africa – 0.6%     

European Investment Bank

    

6.75%, 9/15/17

     70,000,000  ZAR      6,284,657   
Turkey – 1.5%     

European Investment Bank

    

5.75%, 4/03/18

     12,284,000  TRY      4,750,066   

5.25%, 9/03/18

     25,000,000  TRY      9,327,106   
    

 

 

 
Total Turkey              14,077,172   
TOTAL SUPRANATIONAL BONDS
(Cost: $74,016,166)
        68,217,936   
REPURCHASE AGREEMENT – 0.5%     
United States – 0.5%     

Citigroup, Inc., tri-party repurchase agreement dated 2/28/14, 0.06% due 3/03/14; Proceeds at maturity – $4,777,469 (fully collateralized by Fannie Mae, 3.50% – 4.00% due 1/01/41 – 8/01/42; Market value – $5,016,318)

    
(Cost: $4,777,445)      4,777,445        4,777,445   

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      53   


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Emerging Markets Local Debt Fund (ELD)

February 28, 2014

 

  

 

 

Investments    Shares        Value  
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 0.4%        
United States – 0.4%        

Dreyfus Institutional Preferred Money Market Fund, 0.05%(c)

       
(Cost: $3,837,240)(d)      3,837,240         $ 3,837,240   
TOTAL INVESTMENTS IN SECURITIES – 92.6%
(Cost: $1,033,685,587)(e)
           896,527,140   

Cash, Foreign Currency and Other Assets in Excess of Liabilities –7.4%

          71,939,292   
       

 

 

 
NET ASSETS – 100.0%               $ 968,466,432   

Principal amount is reported in U.S. dollars, except for those denoted in the following currencies:

BRL – Brazilian real

CLP – Chilean peso

CNY – Chinese yuan

COP – Colombian peso

EUR – Euro

IDR – Indonesian rupiah

KRW – South Korean won

MXN – Mexican peso

MYR – Malaysian ringgit

PEN – Peruvian nuevo sol

PHP – Philippines peso

PLN – Polish zloty

RON – Romanian leu

RUB – Russian ruble

THB – Thai baht

TRY – Turkish new lira

ZAR – South African rand

 

(a) 

Represents a zero coupon bond. Rate shown reflects the effective yield as of February 28, 2014.

 

(b) 

Security, or portion thereof, was on loan at February 28, 2014.

 

(c) 

Rate shown represents annualized 7-day yield as of February 28, 2014.

 

(d) 

At February 28, 2014, the total market value of the Fund’s security on loan was $3,714,029 and the total market value of the collateral held by the Fund was $3,837,240.

 

(e) 

Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

 

See Notes to Financial Statements.

 

54   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Euro Debt Fund (EU)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
    Value  
    
FOREIGN GOVERNMENT AGENCIES – 4.8%     
Luxembourg – 4.8%     

European Financial Stability Facility

    

2.75%, 7/18/16

     105,000  EUR    $ 153,301   

3.38%, 7/05/21

     45,000  EUR      69,970   

 

 
TOTAL FOREIGN GOVERNMENT AGENCIES
(Cost: $207,347)
        223,271   
FOREIGN GOVERNMENT OBLIGATIONS – 64.5%     
Austria – 4.7%     

Republic of Austria

    

3.50%, 7/15/15(a)

     30,000  EUR      43,365   

4.65%, 1/15/18, Series 2(a)

     45,000  EUR      71,735   

3.90%, 7/15/20(a)

     65,000  EUR      104,311   
    

 

 

 
Total Austria              219,411   
Belgium – 10.2%     

Belgium Kingdom

    

3.50%, 6/28/17, Series 63(a)

     50,000  EUR      75,703   

3.75%, 9/28/20, Series 58(a)

     115,000  EUR      181,596   

European Union

    

3.38%, 5/10/19

     140,000  EUR      217,833   
    

 

 

 
Total Belgium              475,132   
Denmark – 4.1%     

Kingdom of Denmark

    

1.75%, 10/05/15

     70,000  EUR      99,066   

2.75%, 3/16/16

     65,000  EUR      94,404   
    

 

 

 
Total Denmark              193,470   
Finland – 4.0%     

Finnish Government Bond

    

3.50%, 4/15/21(a)

     70,000  EUR      110,469   

4.00%, 7/04/25(a)

     45,000  EUR      74,274   
    

 

 

 
Total Finland              184,743   
France – 13.5%     

France Government Bond OAT

    

4.00%, 4/25/18

     65,000  EUR      101,857   

4.25%, 4/25/19

     150,000  EUR      240,962   

3.50%, 4/25/20

     185,000  EUR      289,521   
    

 

 

 
Total France              632,340   
Germany – 10.8%     

Bundesrepublik Deutschland

    

3.25%, 7/04/21

     80,000  EUR      127,109   

4.75%, 7/04/28, Series 98

     176,000  EUR      322,716   

2.50%, 7/04/44

     40,000  EUR      55,563   
    

 

 

 
Total Germany              505,388   
Luxembourg – 3.3%     

Luxembourg Government Bond

    

3.38%, 5/18/20

     100,000  EUR      155,937   

 

 
Netherlands – 9.7%     

Netherlands Government Bond

    

4.50%, 7/15/17(a)

     70,000  EUR      109,707   

4.00%, 7/15/18(a)

     60,000  EUR      94,602   

3.50%, 7/15/20(a)

     55,000  EUR      86,565   

5.50%, 1/15/28(a)

     85,000  EUR      162,157   
    

 

 

 
Total Netherlands              453,031   
    
Sweden – 4.2%     

Kingdom of Sweden

    

3.13%, 5/07/14

     70,000  EUR    $ 97,180   

0.63%, 2/20/15

     70,000  EUR      97,160   
    

 

 

 
Total Sweden              194,340   
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost: $2,781,167)
        3,013,792   
SUPRANATIONAL BONDS – 26.8%     
Finland – 4.6%     

Nordic Investment Bank

    

3.00%, 4/08/14

     155,000  EUR      214,676   

 

 
France – 4.7%     

Council of Europe Development Bank

    

3.00%, 7/13/20

     145,000  EUR      220,848   
Germany – 9.5%     

KFW

    

4.13%, 7/04/17

     110,000  EUR      170,232   

5.50%, 1/22/18, Series 213

     45,000  EUR      73,710   

Landwirtschaftliche Rentenbank

    

3.75%, 2/11/16

     135,000  EUR      199,138   
    

 

 

 
Total Germany              443,080   
Luxembourg – 8.0%     

European Investment Bank

    

2.88%, 7/15/16

     105,000  EUR      153,743   

International Bank for Reconstruction & Development

    

3.88%, 5/20/19

     137,000  EUR      217,501   
    

 

 

 
Total Luxembourg              371,244   
TOTAL SUPRANATIONAL BONDS
(Cost: $1,181,403)
             1,249,848   
TOTAL INVESTMENTS IN SECURITIES – 96.1%
(Cost: $4,169,917)(b)
        4,486,911   

Cash, Foreign Currency and Other Assets in Excess of Liabilities – 3.9%

   

    180,120   
    

 

 

 
NET ASSETS – 100.0%            $ 4,667,031   

Principal amount is reported in U.S. dollars, except for those denoted in the following currency:

EUR – Euro

 

(a) 

This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers.

 

(b) 

Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      55   


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Global Corporate Bond Fund (GLCB)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
       Value  
CORPORATE BONDS – 48.6%   
United States – 48.6%        

AbbVie, Inc.

       

1.75%, 11/06/17

   $ 60,000         $ 60,489   

American International Group, Inc.

       

5.85%, 1/16/18

     110,000           126,680   

AT&T, Inc.

       

5.50%, 2/01/18

     90,000           102,442   

Bank of America Corp.

       

3.30%, 1/11/23

     250,000           243,701   

Calpine Corp.

       

7.88%, 1/15/23(a)

     50,000           56,500   

Caterpillar, Inc.

       

3.90%, 5/27/21

     180,000           192,199   

CCO Holdings LLC

       

6.63%, 1/31/22

     30,000           32,475   

Citigroup, Inc.

       

4.50%, 1/14/22

     210,000           224,086   

Comcast Corp.

       

3.13%, 7/15/22

     110,000           109,196   

Daimler Chrysler Group LLC

       

8.25%, 6/15/21

     200,000           227,500   

Denbury Resources, Inc.

       

8.25%, 2/15/20

     50,000           54,937   

DPL, Inc.

       

7.25%, 10/15/21

     20,000           20,075   

Foresight Energy LLC

       

7.88%, 8/15/21(a)

     40,000           41,900   

Freeport-McMoRan Copper & Gold, Inc.

       

2.15%, 3/01/17

     190,000           193,034   

General Electric Capital Corp.

       

6.88%, 1/10/39

     140,000           185,061   

Goldman Sachs Group, Inc. (The)

       

5.75%, 1/24/22

     190,000           217,329   

Joseph T. Ryerson & Son, Inc.

       

9.00%, 10/15/17

     100,000           109,250   

Kraft Foods Group, Inc.

       

5.00%, 6/04/42

     50,000           52,317   

Kratos Defense & Security Solutions, Inc.

       

10.00%, 6/01/17

     80,000           85,600   

Mondelez International, Inc.

       

4.00%, 2/01/24

     40,000           40,689   

Pacific Gas & Electric Co.

       

6.05%, 3/01/34

     120,000           142,910   

Packaging Corp. of America

       

4.50%, 11/01/23

     40,000           41,793   

PepsiCo, Inc.

       

5.00%, 6/01/18

     60,000           68,019   

Reynolds Group Issuer, Inc.

       

9.00%, 4/15/19

     100,000           108,000   

Samson Investment Co.

       

10.75%, 2/15/20(a)

     50,000           55,812   

Sprint Communications, Inc.

       

7.00%, 8/15/20

     30,000           32,925   

Taylor Morrison Communities, Inc.

       

7.75%, 4/15/20(a)

     100,000           110,750   

Tenet Healthcare Corp.

    

8.00%, 8/01/20

   $ 50,000      $ 55,000   

Time Warner Cable, Inc.

    

5.85%, 5/01/17

     40,000        45,275   

United Technologies Corp.

    

3.10%, 6/01/22

     180,000        180,841   

Verizon Communications, Inc.

    

5.50%, 2/15/18

     120,000        136,260   

6.55%, 9/15/43

     40,000        49,145   

Wells Fargo & Co.

    

2.10%, 5/08/17

     210,000        216,462   

Zayo Group LLC

    

8.13%, 1/01/20

     30,000        33,187   

 

 
TOTAL CORPORATE BONDS
(Cost: $3,595,879)
        3,651,839   
FOREIGN CORPORATE BONDS – 47.4%     
Australia – 2.6%     

BHP Billiton Finance USA Ltd.

    

1.63%, 2/24/17

     70,000        71,316   

FMG Resources August 2006 Pty Ltd.

    

6.00%, 4/01/17(a)(b)

     120,000        126,975   
    

 

 

 
Total Australia              198,291   
Belgium – 2.2%     

Anheuser-Busch InBev Worldwide, Inc.

    

5.38%, 1/15/20

     140,000        162,255   

 

 
Brazil – 2.8%     

Petrobras International Finance Co.

    

5.38%, 1/27/21

     100,000        100,655   

Vale Overseas Ltd.

    

4.38%, 1/11/22

     110,000        109,817   
    

 

 

 
Total Brazil              210,472   
Canada – 1.5%     

Royal Bank of Canada

    

1.50%, 1/16/18

     50,000        49,950   

Xstrata Finance Canada Ltd.

    

3.60%, 1/15/17(a)

     60,000        63,168   
    

 

 

 
Total Canada              113,118   
Colombia – 1.0%     

Ecopetrol S.A.

    

7.63%, 7/23/19

     60,000        72,772   

 

 
France – 3.2%     

Electricite de France S.A.

    

4.63%, 9/11/24

     50,000  EUR      81,295   

Pernod-Ricard S.A.

    

4.45%, 1/15/22

     150,000        157,241   
    

 

 

 
Total France              238,536   
Germany – 3.1%     

E.ON International Finance B.V.

    

5.50%, 10/02/17

     50,000  EUR      79,836   

Volkswagen Leasing GmbH

    

3.25%, 5/10/18

     100,000  EUR      150,141   
    

 

 

 
Total Germany              229,977   

 

See Notes to Financial Statements.

 

56   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Global Corporate Bond Fund (GLCB)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
    Value  
Hong Kong – 2.9%     

Hutchison Whampoa International 12 II Ltd.

    

2.00%, 11/08/17(a)

   $ 220,000      $ 221,751   

 

 
Italy – 5.0%     

Intesa Sanpaolo SpA

    

3.88%, 1/16/18

     260,000        268,940   

Wind Acquisition Finance S.A.

    

11.75%, 7/15/17(a)

     100,000        106,000   
    

 

 

 
Total Italy              374,940   
Luxembourg – 0.4%     

Intelsat Jackson Holdings S.A.

    

7.25%, 10/15/20

     30,000        32,738   

 

 
Mexico – 1.5%     

Petroleos Mexicanos

    

5.50%, 1/21/21

     100,000        109,500   

 

 
Netherlands – 3.6%     

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA

    

5.75%, 12/01/43

     250,000        273,431   

 

 
Russia – 4.4%     

Gazprom OAO Via Gaz Capital S.A.

    

4.95%, 5/23/16

     200,000        213,000   

Rosneft Finance S.A.

    

7.25%, 2/02/20

     100,000        114,625   
    

 

 

 
Total Russia              327,625   
Spain – 3.0%     

Nara Cable Funding Ltd.

    

8.88%, 12/01/18(a)

     210,000        229,425   

 

 
United Kingdom – 10.2%     

BP Capital Markets PLC

    

1.38%, 11/06/17

     150,000        149,915   

HSBC Bank PLC

    

3.88%, 10/24/18

     160,000  EUR      247,368   

Rio Tinto Finance USA PLC

    

4.13%, 8/21/42

     40,000        36,169   

Royal Bank of Scotland Group PLC

    

6.13%, 12/15/22

     210,000        221,110   

Tesco PLC

    

6.13%, 2/24/22

     60,000  GBP      114,493   
    

 

 

 
Total United Kingdom              769,055   
TOTAL FOREIGN CORPORATE BONDS
(Cost: $3,471,337)
             3,563,886   
      Shares         
PREFERRED STOCK – 2.5%     
United States – 2.5%     

GMAC Capital Trust I

    

8.13%, 2/15/40(c)

    
(Cost: $180,839)      6,934        188,258   
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 1.8%         
United States – 1.8%        

Dreyfus Institutional Preferred Money Market Fund, 0.05%(d)

       
(Cost: $132,323)(e)      132,323         $ 132,323   
TOTAL INVESTMENTS IN SECURITIES – 100.3%
(Cost: $7,380,378)(f)
           7,536,306   

Liabilities in Excess of Cash, Foreign Currency and
Other Assets – (0.3)%

   

       (24,426
       

 

 

 
NET ASSETS – 100.0%               $ 7,511,880   

Principal amount is reported in U.S. dollars, except for those denoted in the following currencies:

EUR – Euro

GBP – British pound

 

(a) 

This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers.

 

(b) 

Security, or portion thereof, was on loan at February 28, 2014

 

(c) 

Rate shown reflects the current rate on securities with variable or step rates.

 

(d) 

Rate shown represents annualized 7-day yield as of February 28, 2014.

 

(e) 

At February 28, 2014, the total market value of the Fund’s securities on loan was $128,687 and the total market value of the collateral held by the Fund was $132,323.

 

(f) 

Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      57   


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Japan Interest Rate Strategy Fund (JGBB) (consolidated)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 97.3%   
Treasury Bills – 97.3%   

U.S. Treasury Bills
0.06%, 3/13/14*(a)

   $ 900,000       $ 899,991   

0.03%, 4/10/14*

     1,000,000         999,917   

0.05%, 4/24/14*

     1,000,000         999,942   

0.08%, 5/08/14*

     900,000         899,911   

0.04%, 5/22/14*

     1,000,000         999,925   
TOTAL INVESTMENTS IN SECURITIES – 97.3%
(Cost: $4,799,662)(b)
        4,799,686   

Cash and Other Assets in Excess of Liabilities – 2.7%

  

     135,012   
     

 

 

 
NET ASSETS – 100.0%             $ 4,934,698   
* 

Interest rate shown reflects the discount rate at time of purchase.

 

(a) 

All or a portion of this security is held by the broker as collateral for open futures contracts.

 

(b) 

Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

 

See Notes to Financial Statements.

 

58   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Global Real Return Fund (RRF) (consolidated)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
    Value  
    
U.S. GOVERNMENT OBLIGATIONS – 27.1%     
Treasury Bonds – 7.6%     

U.S. Treasury Inflation Indexed Bond

    

2.38%, 1/15/25

   $ 180,000      $ 265,246   

0.63%, 2/15/43

     100,000        84,489   
    

 

 

 
Total Treasury Bonds              349,735   
Treasury Notes – 19.5%     

U.S. Treasury Inflation Indexed Notes

    

2.13%, 1/15/19

     120,000        147,682   

1.38%, 1/15/20

     230,000        271,864   

1.13%, 1/15/21

     240,000        275,520   

0.38%, 7/15/23

     200,000        200,417   
    

 

 

 
Total Treasury Notes              895,483   
TOTAL U.S. GOVERNMENT OBLIGATIONS     
(Cost: $1,208,463)              1,245,218   
FOREIGN GOVERNMENT OBLIGATIONS – 34.4%   
Australia – 3.7%     

Australian Index Linked Bond

    

4.00%, 8/20/20, Series 20CI

     102,000  AUD      168,915   

 

 
Canada – 3.9%     

Canadian Government Real Return Index Linked Bond

    

4.25%, 12/01/26, Series VS05

     76,856  CAD      101,806   

3.00%, 12/01/36

     59,581  CAD      77,795   
    

 

 

 
Total Canada              179,601   
France – 4.7%     

France Government Index Linked Bond

    

1.60%, 7/25/15, Series OATe

     55,000  EUR      93,966   

2.10%, 7/25/23, Series OATi

     70,000  EUR      122,141   
    

 

 

 
Total France              216,107   
Mexico – 5.0%     

Mexican Udibonos

    

4.00%, 6/13/19

     1,333,976  MXN      111,598   

4.50%, 12/04/25

     1,282,669  MXN      117,806   
    

 

 

 
Total Mexico              229,404   
South Africa – 4.0%     

Republic of South Africa Index Linked Bond

    

2.50%, 1/31/17, Series R211

     904,470  ZAR      87,886   

5.50%, 12/07/23, Series R197

     778,025  ZAR      94,732   
    

 

 

 
Total South Africa              182,618   
Sweden – 4.4%     

Swedish Government Index Linked Bond

    

4.00%, 12/01/20, Series 3102

     840,000  SEK      205,087   

 

 
Turkey – 3.6%     

Turkey Government Index Linked Bond

    

4.50%, 2/11/15

     141,192  TRY      65,270   

4.00%, 4/01/20

     209,454  TRY      98,487   
    

 

 

 
Total Turkey              163,757   
    
United Kingdom – 5.1%     

U.K. Treasury Index Linked Gilt

    

1.25%, 11/22/27

     50,000  GBP    $ 128,722   

1.25%, 11/22/32

     45,000  GBP      108,045   
    

 

 

 
Total United Kingdom              236,767   
TOTAL FOREIGN GOVERNMENT OBLIGATIONS     
(Cost: $1,713,729)              1,582,256   
FOREIGN CORPORATE BONDS – 9.3%   
Australia – 2.4%     

FMG Resources August 2006 Pty Ltd.

    

6.88%, 4/01/22(a)

     100,000        108,875   

 

 
Brazil – 2.2%     

Vale Overseas Ltd.

    

4.38%, 1/11/22

     100,000        99,833   

 

 
Colombia – 2.3%     

Ecopetrol S.A.

    

5.88%, 9/18/23

     100,000        108,750   

 

 
Mexico – 2.4%     

America Movil SAB de CV

    

5.00%, 3/30/20

     100,000        110,869   

 

 
TOTAL FOREIGN CORPORATE BONDS     
(Cost: $409,991)              428,327   
CORPORATE BONDS – 7.2%   
United States – 7.2%     

Samson Investment Co.

    

10.75%, 2/15/20(a)

     100,000        111,625   

Sprint Corp.

    

7.88%, 9/15/23(a)

     100,000        111,000   

Tenet Healthcare Corp.

    

6.00%, 10/01/20(a)

     100,000        107,687   

 

 
TOTAL CORPORATE BONDS     
(Cost: $313,080)              330,312   
      Shares         
EXCHANGE-TRADED FUNDS – 9.5%   
United States – 9.5%     

WisdomTree Emerging Markets Equity Income Fund(b)

     1,000        47,510   

WisdomTree Equity Income Fund(b)

     4,200        231,294   

WisdomTree Global Natural Resources Fund(b)

     7,500        159,188   

 

 
TOTAL EXCHANGE-TRADED FUNDS     
(Cost: $436,224)              437,992   
TOTAL INVESTMENTS IN SECURITIES – 87.5% (Cost: $4,081,487)(c)        4,024,105   

Cash, Foreign Currency and Other Assets in Excess of Liabilities – 12.5%

       574,950   
    

 

 

 
NET ASSETS – 100.0%            $ 4,599,055   

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      59   


Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Global Real Return Fund (RRF) (consolidated)

February 28, 2014

 

  

 

 

Principal amount is reported in U.S. dollars, except for those denoted in the following currencies:

AUD – Australian dollar

CAD – Canadian dollar

EUR – Euro

GBP – British pound

MXN – Mexican peso

SEK – Swedish krona

TRY – Turkish new lira

ZAR – South African rand

 

(a) 

This security is exempt from registration under rule 144A of the Securities Act of 1933. This security may be sold in transactions that are exempt from registration, normally to qualified institutional buyers.

 

(b) 

Affiliated Company. (See Note 7)

 

(c) 

Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

 

See Notes to Financial Statements.

 

60   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Schedule of Investments (unaudited)

WisdomTree Managed Futures Strategy Fund (WDTI) (consolidated)

February 28, 2014

 

  

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 85.7%   
Treasury Bills – 85.7%   

U.S. Treasury Bills

     

0.03%, 3/13/14*(a)

   $ 110,820,000       $ 110,818,840   

0.07%, 3/27/14*(a)

     185,000         184,992   

0.05%, 4/03/14*

     12,500,000         12,499,860   

0.07%, 6/26/14*(a)

     2,120,000         2,119,652   
TOTAL INVESTMENTS IN SECURITIES – 85.7% (Cost: $125,622,768) (b)          125,623,344   

Cash and Other Assets in Excess of Liabilities – 14.3%

        20,947,730   
     

 

 

 
NET ASSETS – 100.0%             $ 146,571,074   
* 

Interest rate shown reflects the discount rate at time of purchase.

 

(a) 

All or a portion of this security is held by the broker as collateral for open futures contracts.

 

(b) 

Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      61   


Table of Contents

Statements of Assets and Liabilities (unaudited)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

February 28, 2014

 

  

 

 

      WisdomTree
Bloomberg
U.S. Dollar
Bullish Fund
     WisdomTree
Brazilian Real
Strategy Fund
     WisdomTree
Chinese Yuan
Strategy Fund
     WisdomTree
Commodity
Currency
Strategy Fund
     WisdomTree
Emerging
Currency
Strategy Fund
 

ASSETS:

              

Investments, at cost

   $ 37,499,172       $ 37,114,094       $ 205,077,032       $ 11,664,769       $ 139,453,715   

Foreign currency, at cost

                     175,161                   

Investments in securities, at value (including repurchase agreements of $—, $8,714,378, $25,734,366, $3,214,972 and $6,169,683, respectively) (Note 2)

     37,498,953         37,114,170         204,626,384         11,664,760         139,453,685   

Cash

     524,196         988,644         3,323,962         374,715         1,273,012   

Deposits at broker for forward foreign currency contracts

             760,000         530,000                 240,000   

Foreign currency, at value

                     174,582                   

Unrealized appreciation on forward foreign currency contracts

     22,493         4,714,480         53,153         303,927         3,010,965   

Receivables:

              

Interest

             14         12,879         5         10   

Total Assets

     38,045,642         43,577,308         208,720,960         12,343,407         143,977,672   

LIABILITIES:

              

Unrealized depreciation on forward foreign currency contracts

     594,132         11,510,039         1,189,396         509,995         1,097,393   

Payables:

              

Capital shares purchased

                     10,118,646                   

Advisory fees (Note 3)

     14,456         11,174         72,480         4,946         63,796   

Service fees (Note 2)

     127         109         709         39         510   

Total Liabilities

     608,715         11,521,322         11,381,231         514,980         1,161,699   

NET ASSETS

   $ 37,436,927       $ 32,055,986       $ 197,339,729       $ 11,828,427       $ 142,815,973   

NET ASSETS:

              

Paid-in capital

   $ 37,543,150       $ 132,356,147       $ 196,354,047       $ 18,591,827       $ 185,676,050   

Accumulated net investment loss

     (34,920      (800,010      (165,591      (108,276      (1,382,653

Accumulated net realized gain (loss) on investments, forward foreign currency contracts and foreign currency related transactions

     500,555         (92,704,666      2,738,765         (6,449,047      (43,390,967

Net unrealized appreciation (depreciation) on investments, forward foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

     (571,858      (6,795,485      (1,587,492      (206,077      1,913,543   

NET ASSETS

   $ 37,436,927       $ 32,055,986       $ 197,339,729       $ 11,828,427       $ 142,815,973   

Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)

     1,500,004         1,800,000         7,800,000         600,000         7,200,000   

Net asset value per share

   $ 24.96       $ 17.81       $ 25.30       $ 19.71       $ 19.84   

 

See Notes to Financial Statements.

 

62   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Statements of Assets and Liabilities (unaudited) (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

February 28, 2014

 

  

 

 

      WisdomTree
Indian Rupee
Strategy Fund
     WisdomTree
Asia Local
Debt Fund
     WisdomTree
Australia &
New Zealand
Debt Fund
     WisdomTree
Barclays U.S.
Aggregate Bond
Negative
Duration Fund
     WisdomTree
Barclays U.S.
Aggregate
Bond Zero
Duration Fund
 

ASSETS:

              

Investments, at cost

   $ 25,508,817       $ 523,371,744       $ 39,704,575       $ 4,808,248       $ 4,920,912   

Foreign currency, at cost

             1,578,585         155,098                   

Investments in securities, at value (including repurchase agreements of $286,196, $45,572,519, $—, $— and $—, respectively) (Note 2)

     25,508,800         485,672,270         34,952,717         4,865,155         4,977,098   

Cash

     166,394         21,056,721         62,929         3,738         64,960   

Deposits at broker for forward foreign currency contracts

             330,000                           

Deposits at broker for futures contracts

                             468,500         460,000   

Foreign currency, at value

             1,580,736         157,755                   

Unrealized appreciation on forward foreign currency contracts

     637,211         65,953                           

Receivables:

              

Interest

             5,724,878         517,065         27,428         27,539   

Investment securities sold

                             581,296         541,004   

Variation margin on futures contracts

                             2,529         3,408   

Foreign tax reclaims

             16,938                           

Total Assets

     26,312,405         514,447,496         35,690,466         5,948,646         6,074,009   

LIABILITIES:

              

Unrealized depreciation on forward foreign currency contracts

     15,342         1,427,087                           

Payables:

              

Investment securities purchased

                             1,067,564         1,067,564   

Advisory fees (Note 3)

     9,455         215,126         12,240         1,844         1,544   

Service fees (Note 2)

     92         1,721         120         29         30   

Variation margin on futures contracts

                             447         125   

Total Liabilities

     24,889         1,643,934         12,360         1,069,884         1,069,263   

NET ASSETS

   $ 26,287,516       $ 512,803,562       $ 35,678,106       $ 4,878,762       $ 5,004,746   

NET ASSETS:

              

Paid-in capital

   $ 30,224,948       $ 562,143,825       $ 44,912,857       $ 5,079,740       $ 4,996,087   

Accumulated net investment loss

     (126,079                                

Undistributed (Distributions in excess of) net investment income

             2,196,827         121,481         (3,523      (2,753

Accumulated net realized loss on investments, futures contracts, forward foreign currency contracts and foreign currency related transactions

     (4,433,205      (12,484,519      (4,602,246      (214,493      (30,080

Net unrealized appreciation (depreciation) on investments, futures contracts, forward foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

     621,852         (39,052,571      (4,753,986      17,038         41,492   

NET ASSETS

   $ 26,287,516       $ 512,803,562       $ 35,678,106       $ 4,878,762       $ 5,004,746   

Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)

     1,300,000         10,700,000         1,800,000         100,002         100,002   

Net asset value per share

   $ 20.22       $ 47.93       $ 19.82       $ 48.79       $ 50.05   

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      63   


Table of Contents

Statements of Assets and Liabilities (unaudited) (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

February 28, 2014

 

  

 

 

     WisdomTree
Bloomberg
Floating Rate
Treasury Fund
    WisdomTree
BofA Merrill Lynch
High Yield
Bond Negative
Duration  Fund
    WisdomTree
BofA Merrill Lynch
High Yield
Bond Zero
Duration Fund
    WisdomTree
Emerging
Markets Corporate
Bond Fund
    WisdomTree
Emerging
Markets Local
Debt Fund
 

ASSETS:

         

Investments, at cost

  $ 2,499,549      $ 9,462,517      $ 9,593,627      $ 130,628,508      $ 1,033,685,587   

Foreign currency, at cost

                                5,760,046   

Investments in securities, at value (including repurchase agreements of $—, $—, $—, $— and $4,777,445, respectively and securities on loan) (Note 2)1

    2,498,603        9,501,894        9,632,300        128,454,834        896,527,140   

Cash

    522               293,195        1,224,481        56,934,469   

Deposits at broker for forward foreign currency contracts

                                340,000   

Deposits at broker for futures contracts

           440,000        70,000                 

Foreign currency, at value

                                5,713,177   

Unrealized appreciation on forward foreign currency contracts

                                1,342,869   

Receivables:

         

Interest

    211        170,098        171,896        1,553,243        15,030,195   

Capital shares sold

                                4,506,829   

Investment securities sold

                                22,733,849   

Variation margin on futures contracts

           7,867        3,039                 

Foreign tax reclaims

                                7,556   

Total Assets

    2,499,336        10,119,859        10,170,430        131,232,558        1,003,136,084   

LIABILITIES:

         

Due to custodian

           218,510                        

Unrealized depreciation on forward foreign currency contracts

                                591,212   

Payables:

         

Investment of cash collateral for securities loaned (Note 2)

           152,500        152,500        25,339,746        3,837,240   

Investment securities purchased

                                16,294,091   

Capital shares purchased

                                13,518,331   

Advisory fees (Note 3)

    256        3,599        3,293        48,107        425,375   

Service fees (Note 2)

    8        33        34        353        3,403   

Variation margin on futures contracts

           937                        

Total Liabilities

    264        375,579        155,827        25,388,206        34,669,652   

NET ASSETS

  $ 2,499,072      $ 9,744,280      $ 10,014,603      $ 105,844,352      $ 968,466,432   

NET ASSETS:

         

Paid-in capital

  $ 2,500,100      $ 10,000,100      $ 10,000,100      $ 109,461,112      $ 1,214,104,703   

Accumulated net investment loss

    (82                            

Undistributed (Distributions in excess of) net investment income

           (5,302     (3,136     270,605        8,467,732   

Accumulated net realized loss on investments, forward foreign currency contracts, futures contracts and foreign currency related transactions

           (224,413     (15,932     (1,713,691     (117,428,364

Net unrealized appreciation (depreciation) on investments, forward foreign currency contracts, futures contracts and translation of assets and liabilities denominated in foreign currencies

    (946     (26,105     33,571        (2,173,674     (136,677,639

NET ASSETS

  $ 2,499,072      $ 9,744,280      $ 10,014,603      $ 105,844,352      $ 968,466,432   

Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)

    100,004        400,004        400,004        1,400,000        21,400,000   

Net asset value per share

  $ 24.99      $ 24.36      $ 25.04      $ 75.60      $ 45.26   

 

1 

Market value of securities out on loan were as follows: $0, $148,368, $148,368, $24,765,395 and $3,714,029, respectively.

 

See Notes to Financial Statements.

 

64   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Statements of Assets and Liabilities (unaudited) (concluded)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

February 28, 2014

 

  

 

 

      WisdomTree
Euro
Debt Fund
     WisdomTree
Global
Corporate
Bond Fund
     WisdomTree
Japan
Interest Rate
Strategy Fund1
     WisdomTree
Global Real
Return  Fund1
     WisdomTree
Managed
Futures
Strategy Fund1
 

ASSETS:

              

Investments, at cost

   $ 4,169,917       $ 7,380,378       $ 4,799,662       $ 3,645,263       $ 125,622,768   

Investment in affiliates, at cost

                             436,224           

Foreign currency, at cost

     71,098         17,262                 25,207           

Investments in securities, at value (including securities on loan) (Note 2)2

     4,486,911         7,536,306         4,799,686         3,586,113         125,623,344   

Investment in affiliates, at value (Note 7)

                             437,992           

Cash

     17,467         16,329         134,247         516,672         14,013,825   

Deposits at broker for swap contracts

                                     2,880,000   

Deposits at broker for futures contracts

                     47,590         17,003           

Foreign currency, at value

     74,411         17,529                 25,115           

Unrealized appreciation on forward foreign currency contracts

                     1,399         996         128,235   

Unrealized appreciation on swap contracts

                                     143,452   

Receivables:

              

Interest

     89,496         75,955                 26,826           

Capital shares sold

                                     4,071,163   

Investment securities sold

             9,963                           

Variation margin on futures contracts

                             1,421         99,440   

Total Assets

     4,668,285         7,656,082         4,982,922         4,612,138         146,959,459   

LIABILITIES:

              

Unrealized depreciation on forward foreign currency contracts

             9,272         64         10,643         239,475   

Payables:

              

Investment of cash collateral for securities loaned (Note 2)

             132,323                           

Advisory fees (Note 3)

     1,238         2,581         1,896         2,095         104,759   

Service fees (Note 2)

     16         26         17         15         485   

Variation margin on futures contracts

                     46,247         330         43,666   

Total Liabilities

     1,254         144,202         48,224         13,083         388,385   

NET ASSETS

   $ 4,667,031       $ 7,511,880       $ 4,934,698       $ 4,599,055       $ 146,571,074   

NET ASSETS:

              

Paid-in capital

   $ 4,328,562       $ 7,523,305       $ 5,000,100         4,681,932       $ 163,477,479   

Accumulated net investment loss

                     (4,728              (1,320,332

Undistributed net investment income

     1,546         18,136                 46,629           

Accumulated net realized gain (loss) on investments, forward foreign currency contracts, swap contracts, futures contracts and foreign currency related transactions

     14,305         (176,672      (18,147      (63,976      (16,116,087

Net unrealized appreciation (depreciation) on investments, forward foreign currency contracts, swap contracts, futures contracts and translation of assets and liabilities denominated in foreign currencies

     322,618         147,111         (42,527      (65,530      530,014   

NET ASSETS

   $ 4,667,031       $ 7,511,880       $ 4,934,698       $ 4,599,055       $ 146,571,074   

Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)

     200,000         100,000         100,002         100,000         3,600,000   

Net asset value per share

   $ 23.34       $ 75.12       $ 49.35       $ 45.99       $ 40.71   
1 

Consolidated.

 

2 

Market value of securities out on loan were as follows: $0, $128,687, $0, $0 and $0, respectively.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      65   


Table of Contents

Statements of Operations (unaudited)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

For the Six Months Ended February 28, 2014

 

  

 

 

     WisdomTree
Bloomberg
U.S. Dollar
Bullish Fund1
    WisdomTree
Brazilian Real
Strategy Fund
    WisdomTree
Chinese Yuan
Strategy Fund
    WisdomTree
Commodity
Currency
Strategy Fund
    WisdomTree
Emerging
Currency
Strategy Fund
 

INVESTMENT INCOME:

         

Interest

  $ 1,640      $ 89,247      $ 322,916      $ 1,707      $ 19,841   

Total investment income

    1,640        89,247        322,916        1,707        19,841   

EXPENSES:

         

Advisory fees (Note 3)

    36,241        742,254        483,799        41,523        489,906   

Service fees (Note 2)

    319        7,258        4,731        332        3,919   

Total expenses

    36,560        749,512        488,530        41,855        493,825   

Net investment loss

    (34,920     (660,265     (165,614     (40,148     (473,984

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

         

Net realized gain (loss) from:

         

Investment transactions

           (16,562     72,004        (1,437     (18,371

Forward foreign currency contracts and foreign currency related transactions

    500,555        (31,740,414     5,765,241        142,428        (5,622,259

Net realized gain (loss)

    500,555        (31,756,976     5,837,245        140,991        (5,640,630

Net change in unrealized appreciation (depreciation) from:

         

Investment transactions

    (219     95        (426,666     (2     67   

Forward foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

    (571,639     (4,504,329     (4,235,428     (105,743     8,314,381   

Net change in unrealized appreciation (depreciation)

    (571,858     (4,504,234     (4,662,094     (105,745     8,314,448   

Net realized and unrealized gain (loss) on investments

    (71,303     (36,261,210     1,175,151        35,246        2,673,818   

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ (106,223   $ (36,921,475   $ 1,009,537      $ (4,902   $ 2,199,834   
1 

For the period December 18, 2013 (commencement of operations) through February 28, 2014.

 

See Notes to Financial Statements.

 

66   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Statements of Operations (unaudited) (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

For the Six Months Ended February 28, 2014

 

  

 

 

      WisdomTree
Indian Rupee
Strategy Fund
     WisdomTree
Asia Local
Debt Fund
     WisdomTree
Australia &
New Zealand
Debt Fund
     WisdomTree
Barclays U.S.
Aggregate Bond
Negative
Duration Fund1
     WisdomTree
Barclays U.S.
Aggregate Bond
Zero Duration
Fund1
 

INVESTMENT INCOME:

              

Interest2

   $ 3,998       $ 7,383,611       $ 737,200       $ 29,303       $ 29,183   

Securities lending income (Note 2)

             94                 34         34   

Total investment income

     3,998         7,383,705         737,200         29,337         29,217   

EXPENSES:

              

Advisory fees (Note 3)

     67,779         1,412,257         90,823         5,277         4,386   

Service fees (Note 2)

     663         11,298         888         83         84   

Total expenses

     68,442         1,423,555         91,711         5,360         4,470   

Net investment income (loss)

     (64,444      5,960,150         645,489         23,977         24,747   

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

              

Net realized gain (loss) from:

              

Investment transactions

     (2,188      (5,923,014      (679,806      23,613         24,631   

In-kind redemptions

             (4,732,463      (521,799      29,632         29,561   

Futures contracts

                             (267,738      (84,272

Forward foreign currency contracts and foreign currency related transactions

     135,864         (1,568,423      988                   

Net realized gain (loss)

     133,676         (12,223,900      (1,200,617      (214,493      (30,080

Net change in unrealized appreciation (depreciation) from:

              

Investment transactions

     (5      15,170,157         1,662,945         56,907         56,186   

Futures contracts

                             (39,869      (14,694

Forward foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

     3,826,443         (101,608      41,729                   

Net change in unrealized appreciation (depreciation)

     3,826,438         15,068,549         1,704,674         17,038         41,492   

Net realized and unrealized gain (loss) on investments

     3,960,114         2,844,649         504,057         (197,455      11,412   

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ 3,895,670       $ 8,804,799       $ 1,149,546       $ (173,478    $ 36,159   
1 

For the period December 18, 2013 (commencement of operations) through February 28, 2014.

 

2 

Net of foreign withholding tax of $0, $204,465, $4,730, $0 and $0, respectively.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      67   


Table of Contents

Statements of Operations (unaudited) (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

For the Six Months Ended February 28, 2014

 

  

 

 

     WisdomTree
Bloomberg
Floating Rate
Treasury Fund1
    WisdomTree
BofA Merrill Lynch
High Yield
Bond Negative
Duration Fund2
    WisdomTree
BofA Merrill Lynch
High Yield
Bond Zero
Duration Fund2
    WisdomTree
Emerging
Markets Corporate
Bond Fund
    WisdomTree
Emerging
Markets Local
Debt Fund
 

INVESTMENT INCOME:

         

Interest3

  $ 182      $ 65,940      $ 67,212      $ 2,807,320      $ 32,994,731   

Securities lending income (Note 2)

           354        354        32,646        6,223   

Total investment income

    182        66,294        67,566        2,839,966        33,000,954   

EXPENSES:

         

Advisory fees (Note 3)

    342        9,508        8,613        331,160        3,415,864   

Service fees (Note 2)

    8        87        88        2,429        27,327   

Total expenses

    350        9,595        8,701        333,589        3,443,191   

Expense waivers (Note 3)

    (86                            

Net expenses

    264        9,595        8,701        333,589        3,443,191   

Net investment income (loss)

    (82     56,699        58,865        2,506,377        29,557,763   

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

         

Net realized gain (loss) from:

         

Investment transactions

           4,117        4,116        (1,264,695     (39,594,412

In-kind redemptions

                         (425,718     (73,319,946

Futures contracts

           (228,530     (20,048              

Forward foreign currency contracts and foreign currency related transactions

                                (2,241,950

Net realized loss

           (224,413     (15,932     (1,690,413     (115,156,308

Net change in unrealized appreciation (depreciation) from:

         

Investment transactions

    (946     39,377        38,673        6,414,785        93,075,444   

Futures contracts

           (65,482     (5,102              

Forward foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

                                3,329,120   

Net change in unrealized appreciation (depreciation)

    (946     (26,105     33,571        6,414,785        96,404,564   

Net realized and unrealized gain (loss) on investments

    (946     (250,518     17,639        4,724,372        (18,751,744

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ (1,028   $ (193,819   $ 76,504      $ 7,230,749      $ 10,806,019   
1 

For the period February 4, 2014 (commencement of operations) through February 28, 2014.

 

2 

For the period December 18, 2013 (commencement of operations) through February 28, 2014.

 

3 

Net of foreign withholding tax of $0, $0, $0, $786 and $411,752, respectively.

 

See Notes to Financial Statements.

 

68   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Statements of Operations (unaudited) (concluded)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

For the Six Months Ended February 28, 2014

 

  

 

 

      WisdomTree
Euro
Debt Fund
     WisdomTree
Global
Corporate
Bond Fund
     WisdomTree
Japan
Interest Rate
Strategy Fund1,2
     WisdomTree
Global Real
Return  Fund2
     WisdomTree
Managed
Futures
Strategy Fund2
 

INVESTMENT INCOME:

              

Dividends

   $       $ 10,570       $       $       $   

Dividends from affiliates (Note 7)

                             4,273           

Interest

     42,616         205,227         300         54,747         13,053   

Securities lending income (Note 2)

             378                 462           

Total investment income

     42,616         216,175         300         59,482         13,053   

EXPENSES:

              

Advisory fees (Note 3)

     7,920         28,879         4,984         13,582         685,304   

Service fees (Note 2)

     100         254         44         100         3,174   

Total expenses

     8,020         29,133         5,028         13,682         688,478   

Expense waivers (Note 3)

             (2,888                        

Net expenses

     8,020         26,245         5,028         13,682         688,478   

Net investment income (loss)

     34,596         189,930         (4,728      45,800         (675,425

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

              

Net realized gain (loss) from:

              

Investment transactions

     (4,642      (105,499      (3      (41,298      (9,429

Investment transactions in affiliates (Note 7)

                             (533        

Swap contracts

                             (34,042      (2,441,654

Futures contracts

                     (2,407      6,681         (2,316,863

Forward foreign currency contracts and foreign currency related transactions

     2,324         (61,473      (15,737      (571      343,736   

Net realized loss

     (2,318      (166,972      (18,147      (69,763      (4,424,210

Net change in unrealized appreciation (depreciation) from:

              

Investment transactions

     272,329         569,496         24         120,161         663   

Swap contracts

                             9,264         299,712   

Futures contracts

                     (43,826      (5,082      115,574   

Forward foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

     3,831         (18,424      1,275         (9,201      414,067   

Net change in unrealized appreciation (depreciation)

     276,160         551,072         (42,527      115,142         830,016   

Net realized and unrealized gain (loss) on investments

     273,842         384,100         (60,674      45,379         (3,594,194

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ 308,438       $ 574,030       $ (65,402    $ 91,179       $ (4,269,619
1 

For the period December 18, 2013 (commencement of operations) through February 28, 2014.

 

2

Consolidated.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      69   


Table of Contents

Statements of Changes in Net Assets

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

 

 

  

 

 

      WisdomTree
Bloomberg U.S.
Dollar Bullish Fund
     WisdomTree
Brazilian Real Strategy Fund
     WisdomTree
Chinese Yuan Strategy Fund
 
      For the Period
December 18, 2013*
through
February 28, 2014
(unaudited)
     For the
Six Months Ended
February 28, 2014
(unaudited)
     For the
Year Ended
August 31, 2013
     For the
Six Months Ended
February 28, 2014
(unaudited)
     For the
Year Ended
August 31, 2013
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

  

           

Net investment income (loss)

   $ (34,920    $ (660,265    $ (211,361    $ (165,614    $ 36,142   

Net realized gain (loss) on investments, forward foreign currency contracts and foreign currency related transactions

     500,555         (31,756,976      (854,032      5,837,245         6,591,984   

Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

     (571,858      (4,504,234      (3,437,225      (4,662,094      4,254,374   

Net increase (decrease) in net assets resulting from operations

     (106,223      (36,921,475      (4,502,618      1,009,537         10,882,500   

DIVIDENDS AND DISTRIBUTIONS:

              

Net investment income

                             (1,801,632        

Capital gains

                             (6,931,344      (1,872,010

Total dividends and distributions

                             (8,732,976      (1,872,010

CAPITAL SHARE TRANSACTIONS:

              

Net proceeds from sale of shares

     37,543,050         541,336,713         3,332,185         5,282,676         26,086,170   

Cost of shares redeemed

             (512,756,082      (22,374,520      (15,234,407      (87,464,328

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

     37,543,050         28,580,631         (19,042,335      (9,951,731      (61,378,158

Net Increase (Decrease) in Net Assets

     37,436,827         (8,340,844      (23,544,953      (17,675,170      (52,367,668

NET ASSETS:

              

Beginning of period

   $ 100       $ 40,396,830       $ 63,941,783       $ 215,014,899       $ 267,382,567   

End of period

   $ 37,436,927       $ 32,055,986       $ 40,396,830       $ 197,339,729       $ 215,014,899   

Accumulated net investment loss included in net assets at end of period

   $ (34,920    $ (800,010    $ (139,745    $ (165,591    $   

Undistributed net investment income included in net assets at end of period

   $       $       $       $       $ 1,801,655   

SHARES CREATED AND REDEEMED:

              

Shares outstanding, beginning of period

     4         2,400,000         3,400,000         8,200,000         10,600,000   

Shares created

     1,500,000         29,400,000         200,000         200,000         1,000,000   

Shares redeemed

             (30,000,000      (1,200,000      (600,000      (3,400,000

Shares outstanding, end of period

     1,500,004         1,800,000         2,400,000         7,800,000         8,200,000   
* Commencement of investment operations.

 

See Notes to Financial Statements.

 

70   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Statements of Changes in Net Assets (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

 

 

  

 

 

     WisdomTree
Commodity Currency Strategy Fund
    WisdomTree
Emerging Currency Strategy Fund
    WisdomTree
Indian Rupee Strategy Fund
 
     For the
Six Months Ended
February 28, 2014
(unaudited)
    For the
Year Ended
August 31, 2013
    For the
Six Months Ended
February 28, 2014
(unaudited)
    For the
Year Ended
August 31, 2013
    For the
Six Months Ended
February 28, 2014
(unaudited)
    For the
Year Ended
August 31, 2013
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

   

         

Net investment loss

  $ (40,148   $ (105,683   $ (473,984   $ (1,327,274   $ (64,444   $ (79,947

Net realized gain (loss) on investments, forward foreign currency contracts and foreign currency related transactions

    140,991        (988,804     (5,640,630     380,380        133,676        (710,401

Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

    (105,745     56,355        8,314,448        (6,689,918     3,826,438        (3,254,361

Net increase (decrease) in net assets resulting from operations

    (4,902     (1,038,132     2,199,834        (7,636,812     3,895,670        (4,044,709

CAPITAL SHARE TRANSACTIONS:

           

Net proceeds from sale of shares

                  3,926,579        65,386,888               22,409,574   

Cost of shares redeemed

    (3,913,925     (8,331,087     (55,938,642     (139,643,101     (9,838,328     (4,407,770

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

    (3,913,925     (8,331,087     (52,012,063     (74,256,213     (9,838,328     18,001,804   

Net Increase (Decrease) in Net Assets

    (3,918,827     (9,369,219     (49,812,229     (81,893,025     (5,942,658     13,957,095   

NET ASSETS:

           

Beginning of period

  $ 15,747,254      $ 25,116,473      $ 192,628,202      $ 274,521,227      $ 32,230,174      $ 18,273,079   

End of period

  $ 11,828,427      $ 15,747,254      $ 142,815,973      $ 192,628,202      $ 26,287,516      $ 32,230,174   

Accumulated net investment loss included in net assets at end of period

  $ (108,276   $ (68,128   $ (1,382,653   $ (908,669   $ (126,079   $ (61,635

SHARES CREATED AND REDEEMED:

           

Shares outstanding, beginning of period

    800,000        1,200,000        9,800,000        13,500,000        1,800,000        900,000   

Shares created

                  200,000        3,100,000               1,100,000   

Shares redeemed

    (200,000     (400,000     (2,800,000     (6,800,000     (500,000     (200,000

Shares outstanding, end of period

    600,000        800,000        7,200,000        9,800,000        1,300,000        1,800,000   

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      71   


Table of Contents

Statements of Changes in Net Assets (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

 

 

  

 

 

     WisdomTree
Asia Local Debt Fund
    WisdomTree
Australia & New Zealand Debt Fund
    WisdomTree
Barclays U.S.
Aggregate Bond
Negative Duration Fund
 
     For the
Six Months Ended
February 28, 2014
(unaudited)
    For the
Year Ended
August 31, 2013
    For the
Six Months Ended
February 28, 2014
(unaudited)
    For the
Year Ended
August 31, 2013
    For the Period
December 18, 2013*
through
February 28, 2014
(unaudited)
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

  

       

Net investment income

  $ 5,960,150      $ 11,450,807      $ 645,489      $ 1,886,148      $ 23,977   

Net realized gain (loss) on investments, forward foreign currency contracts, futures contracts and foreign currency related transactions

    (12,223,900     695,647        (1,200,617     (1,986,673     (214,493

Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts, futures contracts and translation of assets and liabilities denominated in foreign currencies

    15,068,549        (43,765,784     1,704,674        (7,622,195     17,038   

Net increase (decrease) in net assets resulting from operations

    8,804,799        (31,619,330     1,149,546        (7,722,720     (173,478

DIVIDENDS AND DISTRIBUTIONS:

         

Net investment income

    (4,181,000     (12,592,858     (511,000     (1,246,070     (27,500

Capital gains

           (2,461,230                     

Return of capital

                         (331,926       

Total dividends

    (4,181,000     (15,054,088     (511,000     (1,577,996     (27,500

CAPITAL SHARE TRANSACTIONS:

         

Net proceeds from sale of shares

    39,052,122        152,469,967        2,047,384        36,428,309        10,000,000   

Cost of shares redeemed

    (23,961,366     (35,578,600     (7,838,721     (31,376,097     (4,920,360

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

    15,090,756        116,891,367        (5,791,337     5,052,212        5,079,640   

Net Increase (Decrease) in Net Assets

    19,714,555        70,217,949        (5,152,791     (4,248,504     4,878,662   

NET ASSETS:

         

Beginning of period

  $ 493,089,007      $ 422,871,058      $ 40,830,897      $ 45,079,401      $ 100   

End of period

  $ 512,803,562      $ 493,089,007      $ 35,678,106      $ 40,830,897      $ 4,878,762   

Undistributed (Distributions in excess of) net investment income included in net assets at end of period

  $ 2,196,827      $ 417,677      $ 121,481      $ (13,008   $ (3,523

SHARES CREATED AND REDEEMED:

         

Shares outstanding, beginning of period

    10,400,000        8,200,000        2,100,000        2,000,000        2   

Shares created

    800,000        2,900,000        100,000        1,600,000        200,000   

Shares redeemed

    (500,000     (700,000     (400,000     (1,500,000     (100,000

Shares outstanding, end of period

    10,700,000        10,400,000        1,800,000        2,100,000        100,002   
* Commencement of investment operations.

 

See Notes to Financial Statements.

 

72   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Statements of Changes in Net Assets (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

 

 

  

 

 

      WisdomTree
Barclays U.S.
Aggregate Bond Zero
Duration Fund
     WisdomTree
Bloomberg
Floating Rate
Treasury Fund
     WisdomTree
BofA Merrill Lynch
High Yield Bond
Negative Duration Fund
 
      For the Period
December 18, 2013*
through
February 28, 2014
(unaudited)
     For the Period
February 4, 2014*
through
February 28, 2014
(unaudited)
     For the Period
December 18, 2013*
through
February 28, 2014
(unaudited)
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

  

     

Net investment income (loss)

   $ 24,747       $ (82    $ 56,699   

Net realized loss on investments and futures contracts

     (30,080              (224,413

Net change in unrealized appreciation (depreciation) on investments and futures contracts

     41,492         (946      (26,105

Net increase (decrease) in net assets resulting from operations

     36,159         (1,028      (193,819

DIVIDENDS AND DISTRIBUTIONS:

        

Net investment income

     (27,500              (62,001

CAPITAL SHARE TRANSACTIONS:

        

Net proceeds from sale of shares

     10,000,000         2,500,000         10,000,000   

Cost of shares redeemed

     (5,004,013                

Net increase in net assets resulting from capital share transactions

     4,995,987         2,500,000         10,000,000   

Net Increase in Net Assets

     5,004,646         2,498,972         9,744,180   

NET ASSETS:

        

Beginning of period

   $ 100       $ 100       $ 100   

End of period

   $ 5,004,746       $ 2,499,072       $ 9,744,280   

Accumulated net investment loss included in net assets at of period

   $       $ (82    $   

Distributions in excess of net investment income included in net assets at end of period

   $ (2,753    $       $ (5,302

SHARES CREATED AND REDEEMED:

        

Shares outstanding, beginning of period

     2         4         4   

Shares created

     200,000         100,000         400,000   

Shares redeemed

     (100,000                

Shares outstanding, end of period

     100,002         100,004         400,004   
* Commencement of investment operations.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      73   


Table of Contents

Statements of Changes in Net Assets (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

 

 

  

 

 

     WisdomTree
BofA Merrill Lynch
High Yield Bond Zero
Duration Fund
    WisdomTree
Emerging Markets Corporate
Bond Fund
    WisdomTree
Emerging Markets Local
Debt Fund
 
     For the Period
December 18, 2013*
through
February 28, 2014
(unaudited)
    For the
Six Months Ended
February 28, 2014
(unaudited)
    For the
Year Ended
August 31, 2013
    For the
Six Months Ended
February 28, 2014
(unaudited)
    For the
Year Ended
August 31, 2013
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

  

       

Net investment income

  $ 58,865      $ 2,506,377      $ 4,658,581      $ 29,557,763      $ 71,237,950   

Net realized gain (loss) on investments, forward foreign currency contracts, futures contracts and foreign currency related transactions

    (15,932     (1,690,413     996,092        (115,156,308     (36,699,399

Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts, futures contracts and translation of assets and liabilities denominated in foreign currencies

    33,571        6,414,785        (10,701,358     96,404,564        (187,015,686

Net increase (decrease) in net assets resulting from operations

    76,504        7,230,749        (5,046,685     10,806,019        (152,477,135

DIVIDENDS AND DISTRIBUTIONS:

         

Net investment income

    (62,001     (2,315,380     (4,619,285     (20,776,555     (63,721,656

Capital gains

           (1,099,320            (3,699,038     (4,207,599

Total dividends and distributions

    (62,001     (3,414,700     (4,619,285     (24,475,593     (67,929,255

CAPITAL SHARE TRANSACTIONS:

         

Net proceeds from sale of shares

    10,000,000               71,767,998        102,750,898        979,158,008   

Cost of shares redeemed

           (14,717,281     (7,459,755     (562,824,010     (513,626,313

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

    10,000,000        (14,717,281     64,308,243        (460,073,112     465,531,695   

Net Increase (Decrease) in Net Assets

    10,014,503        (10,901,232     54,642,273        (473,742,686     245,125,305   

NET ASSETS:

         

Beginning of period

  $ 100      $ 116,745,584      $ 62,103,311      $ 1,442,209,118      $ 1,197,083,813   

End of period

  $ 10,014,603      $ 105,844,352      $ 116,745,584      $ 968,466,432      $ 1,442,209,118   

Undistributed (Distributions in excess of) net investment income included in net assets at end of period

  $ (3,136   $ 270,605      $ 79,608      $ 8,467,732      $ (313,476

SHARES CREATED AND REDEEMED:

         

Shares outstanding, beginning of period

    4        1,600,000        800,002        31,400,000        23,400,000   

Shares created

    400,000               900,000        2,200,000        18,600,000   

Shares redeemed

           (200,000     (100,002     (12,200,000     (10,600,000

Shares outstanding, end of period

    400,004        1,400,000        1,600,000        21,400,000        31,400,000   
* Commencement of investment operations.

 

See Notes to Financial Statements.

 

74   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Statements of Changes in Net Assets (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

 

 

  

 

 

     WisdomTree
Euro Debt Fund
    WisdomTree
Global Corporate Bond Fund
    WisdomTree
Japan Interest
Rate Strategy Fund1
 
     For the
Six Months Ended
February 28, 2014
(unaudited)
    For the
Year Ended
August 31, 2013
    For the
Six Months Ended
February 28, 2014
(unaudited)
    For the Period
January 31, 2013*
through
August 31, 2013
    For the Period
December 18, 2013*
through
February 28, 2014
(unaudited)
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

  

       

Net investment income (loss)

  $ 34,596      $ 67,877      $ 189,930      $ 185,905      $ (4,728

Net realized gain (loss) on investments, forward foreign currency contracts, futures contracts and foreign currency related transactions

    (2,318     (22,844     (166,972     28,916        (18,147

Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts, futures contracts and translation of assets and liabilities denominated in foreign currencies

    276,160        134,902        551,072        (403,961     (42,527

Net increase (decrease) in net assets resulting from operations

    308,438        179,935        574,030        (189,140     (65,402

DIVIDENDS AND DISTRIBUTIONS:

         

Net investment income

    (36,750     (62,340     (176,339     (186,002       

Capital gains

    (15,978     (39,094     (33,974              

Total dividends and distributions

    (52,728     (101,434     (210,313     (186,002       

CAPITAL SHARE TRANSACTIONS:

         

Net proceeds from sale of shares

                         14,930,298        5,000,000   

Cost of shares redeemed

           (2,153,464     (7,406,998     (145       

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

           (2,153,464     (7,406,998     14,930,153        5,000,000   

Net Increase (Decrease) in Net Assets

    255,710        (2,074,963     (7,043,281     14,555,011        4,934,598   

NET ASSETS:

         

Beginning of period

  $ 4,411,321      $ 6,486,284      $ 14,555,161      $ 150      $ 100   

End of period

  $ 4,667,031      $ 4,411,321      $ 7,511,880      $ 14,555,161      $ 4,934,698   

Accumulated net investment loss included in net assets at end of period

  $      $      $      $      $ (4,728

Undistributed net investment income included in net assets at end of period

  $ 1,546      $ 3,700      $ 18,136      $ 4,545      $   

SHARES CREATED AND REDEEMED:

         

Shares outstanding, beginning of period

    200,000        300,000        200,000        2        2   

Shares created

                         200,000        100,000   

Shares redeemed

           (100,000     (100,000     (2       

Shares outstanding, end of period

    200,000        200,000        100,000        200,000        100,002   
* Commencement of investment operations.

 

1 

Consolidated.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      75   


Table of Contents

Statements of Changes in Net Assets (concluded)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

 

 

  

 

 

      WisdomTree
Global Real Return Fund1
     WisdomTree
Managed Futures Strategy Fund1
 
      For the
Six Months Ended
February 28, 2014
(unaudited)
     For the
Year Ended
August 31, 2013
     For the
Six Months Ended
February 28, 2014
(unaudited)
     For the
Year Ended
August 31, 2013
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

  

        

Net investment income (loss)

   $ 45,800       $ 73,307       $ (675,425    $ (1,158,112

Net realized gain (loss) on investments, swap contracts, forward foreign currency contracts, futures contracts and foreign currency related transactions

     (69,763      (2,489      (4,424,210      2,523,824   

Net change in unrealized appreciation (depreciation) on investments, swap contracts, forward foreign currency contracts, futures contracts and translation of assets and liabilities denominated in foreign currencies

     115,142         (323,295      830,016         (1,194,390

Net increase (decrease) in net assets resulting from operations

     91,179         (252,477      (4,269,619      171,322   

DIVIDENDS AND DISTRIBUTIONS:

           

Net investment income

     (23,020      (76,709                

Capital gains

     (8,109                        

Total dividends and distributions

     (31,129      (76,709                

CAPITAL SHARE TRANSACTIONS:

           

Net proceeds from sale of shares

                     16,513,035         37,358,600   

Cost of shares redeemed

                     (8,203,600      (44,287,158

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

                     8,309,435         (6,928,558

Net Increase (Decrease) in Net Assets

     60,050         (329,186      4,039,816         (6,757,236

NET ASSETS:

           

Beginning of period

   $ 4,539,005       $ 4,868,191       $ 142,531,258       $ 149,288,494   

End of period

   $ 4,599,055       $ 4,539,005       $ 146,571,074       $ 142,531,258   

Accumulated net investment loss included in net assets at end of period

   $       $       $ (1,320,332    $ (644,907

Undistributed net investment income included in net assets at end of period

   $ 46,629       $ 23,849       $       $   

SHARES CREATED AND REDEEMED:

           

Shares outstanding, beginning of period

     100,000         100,000         3,400,000         3,600,000   

Shares created

                     400,000         900,000   

Shares redeemed

                     (200,000      (1,100,000

Shares outstanding, end of period

     100,000         100,000         3,600,000         3,400,000   
1 

Consolidated.

 

See Notes to Financial Statements.

 

76   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Financial Highlights

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

 

WisdomTree Bloomberg U.S. Dollar Bullish Fund    For the Period
December 18, 2013*
through
February 28, 2014
(unaudited)
 

Net asset value, beginning of period

   $ 25.12   

Investment operations:

  

Net investment loss1

     (0.02

Net realized and unrealized loss

     (0.14

Total from investment operations

     (0.16

Net asset value, end of period

   $ 24.96   

TOTAL RETURN2

     (0.64 )% 

RATIOS/SUPPLEMENTAL DATA:

  

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

   $   37,437   

Ratios to average net assets of:

  

Expenses

     0.50 %3 

Net investment loss

     (0.48 )%3 

Portfolio turnover rate4

     N/A5   

 

             
WisdomTree Brazilian Real
Strategy Fund
   For the
Six Months Ended
February 28, 2014
(unaudited)
    For the
Year Ended
August 31, 2013
    For the
Year Ended
August 31, 2012
    For the
Year Ended
August 31, 2011
    For the
Year Ended
August 31, 2010
    For the
Year Ended
August 31, 2009
 

Net asset value, beginning of period

   $ 16.83      $ 18.81      $ 28.99      $ 27.65      $ 24.47      $ 26.47   

Investment operations:

            

Net investment income (loss)1

     (0.04     (0.07     (0.09     (0.10     (0.07     0.04   

Net realized and unrealized gain (loss)

     1.02        (1.91     (4.36     4.68        3.53        (1.34

Total from investment operations

     0.98        (1.98     (4.45     4.58        3.46        (1.30

Dividends and distributions to shareholders:

            

Net investment income

                                 (0.02     (0.17

Capital gains

                   (5.73     (3.24     (0.26     (0.53

Total dividends and distributions to shareholders

                   (5.73     (3.24     (0.28     (0.70

Net asset value, end of period

   $ 17.81      $ 16.83      $ 18.81      $ 28.99      $ 27.65      $ 24.47   

TOTAL RETURN2

     5.82     (10.53 )%      (16.14 )%      17.98     14.24     (3.92 )% 

RATIOS/SUPPLEMENTAL DATA:

            

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

   $ 32,056      $ 40,397      $ 63,942      $ 481,253      $ 221,177      $ 112,573   

Ratios to average net assets of:

            

Expenses

     0.45 %3      0.45     0.45     0.45     0.45     0.45

Net investment income (loss)

     (0.40 )%3      (0.39 )%      (0.38 )%      (0.36 )%      (0.28 )%      0.19

Portfolio turnover rate4

     N/A5        N/A5        N/A5        0     0     0
* Commencement of investment operations.

 

1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized.

 

3 

Annualized.

 

4 

Portfolio turnover rate is not annualized.

 

5 

The Fund invested in short-term securities with maturities less than or equal to 365 days. SEC rules exclude such securities from portfolio turnover calculations.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      77   


Table of Contents

Financial Highlights (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

 

WisdomTree Chinese Yuan
Strategy Fund
   For the
Six Months Ended
February 28, 2014
(unaudited)
    For the
Year Ended
August 31, 2013
    For the
Year Ended
August 31, 2012
    For the
Year Ended
August 31, 2011
    For the
Year Ended
August 31, 2010
    For the
Year Ended
August 31, 2009
 

Net asset value, beginning of period

   $ 26.22      $ 25.22      $ 25.81      $ 24.84      $ 25.31      $ 25.39   

Investment operations:

            

Net investment income (loss)1

     (0.02     0.00 2      (0.06     (0.09     (0.07     0.08   

Net realized and unrealized gain (loss)

     0.14        1.20        0.02        1.21        (0.40     0.32   

Total from investment operations

     0.12        1.20        (0.04     1.12        (0.47     0.40   

Dividends and distributions to shareholders:

            

Net investment income

     (0.21                                 (0.48

Capital gains

     (0.83     (0.20     (0.55     (0.15              

Total dividends and distributions to shareholders

     (1.04     (0.20     (0.55     (0.15            (0.48

Net asset value, end of period

   $ 25.30      $ 26.22      $ 25.22      $ 25.81      $ 24.84      $ 25.31   

TOTAL RETURN3

     0.43     4.78     (0.15 )%      4.50     (1.86 )%      1.58

RATIOS/SUPPLEMENTAL DATA:

            

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

   $ 197,340      $ 215,015      $ 267,383      $ 567,883      $ 586,278      $ 136,660   

Ratios to average net assets of:

            

Expenses

     0.45 %4      0.45     0.45     0.45     0.45     0.45

Net investment income (loss)

     (0.15 )%4      0.02     (0.22 )%      (0.34 )%      (0.28 )%      0.36

Portfolio turnover rate5

     N/A6        N/A6        N/A6        0     8     0

 

         
WisdomTree Commodity Currency Strategy Fund    For the
Six Months Ended
February 28, 2014
(unaudited)
    For the
Year Ended
August 31, 2013
    For the
Year Ended
August 31, 2012
    For the Period
September 24, 2010*
through
August 31, 2011
 

Net asset value, beginning of period

   $ 19.68      $ 20.93      $ 27.78      $ 25.10   

Investment operations:

        

Net investment loss1

     (0.05     (0.10     (0.11     (0.13

Net realized and unrealized gain (loss)

     0.08        (1.15     (1.68     2.90   

Total from investment operations

     0.03        (1.25     (1.79     2.77   

Distributions to shareholders:

        

Capital gains

                   (5.06     (0.09

Net asset value, end of period

   $ 19.71      $ 19.68      $ 20.93      $ 27.78   

TOTAL RETURN3

     0.15     (5.97 )%      (5.75 )%      11.06

RATIOS/SUPPLEMENTAL DATA:

        

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

   $ 11,828      $ 15,747      $ 25,116      $ 80,560   

Ratios to average net assets of:

        

Expenses

     0.55 %4      0.55     0.55     0.55 %4 

Net investment loss

     (0.53 )%4      (0.48 )%      (0.48 )%      (0.46 )%4 

Portfolio turnover rate5

     N/A6        N/A6        N/A6        N/A6   
* Commencement of investment operations.

 

1 

Based on average shares outstanding.

 

2 

Amount is less than $0.005.

 

3 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized.

 

4 

Annualized.

 

5 

Portfolio turnover rate is not annualized.

 

6 

The Fund invested in short-term securities with maturities less than or equal to 365 days. SEC rules exclude such securities from portfolio turnover calculations.

 

See Notes to Financial Statements.

 

78   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Financial Highlights (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

 

 

WisdomTree Emerging Currency
Strategy Fund
   For the
Six Months Ended
February 28, 2014
(unaudited)
    For the
Year Ended
August 31, 2013
    For the
Year Ended
August 31, 2012
    For the
Year Ended
August 31, 2011
    For the
Year Ended
August 31, 2010
    For the Period
May 6, 2009*
through
August 31, 2009
 

Net asset value, beginning of period

   $ 19.66      $ 20.33      $ 22.87      $ 21.89      $ 21.22      $ 19.98   

Investment operations:

            

Net investment loss1

     (0.05     (0.10     (0.10     (0.10     (0.09     (0.02

Net realized and unrealized gain (loss)

     0.23        (0.57     (1.38     1.92        0.94        1.26   

Total from investment operations

     0.18        (0.67     (1.48     1.82        0.85        1.24   

Distributions to shareholders:

            

Capital gains

                   (1.06     (0.84     (0.18       

Net asset value, end of period

   $ 19.84      $ 19.66      $ 20.33      $ 22.87      $ 21.89      $ 21.22   

TOTAL RETURN2

     0.92     (3.30 )%      (6.36 )%      8.44     4.01     6.21

RATIOS/SUPPLEMENTAL DATA:

            

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

   $ 142,816      $ 192,628      $ 274,521      $ 585,411      $ 337,106      $ 38,200   

Ratios to average net assets of:

            

Expenses

     0.55 %3      0.55     0.55     0.55     0.55     0.55 %3 

Net investment loss

     (0.53 )%3      (0.48 )%      (0.47 )%      (0.46 )%      (0.39 )%      (0.33 )%3 

Portfolio turnover rate4

     N/A5        N/A5        N/A5        0     0     0

 

             
WisdomTree Indian Rupee
Strategy Fund
   For the
Six Months Ended
February 28, 2014
(unaudited)
    For the
Year Ended
August 31, 2013
    For the
Year Ended
August 31, 2012
    For the
Year Ended
August 31, 2011
    For the
Year Ended
August 31, 2010
    For the
Year Ended
August 31, 2009
 

Net asset value, beginning of period

   $ 17.91      $ 20.30      $ 26.78      $ 25.10      $ 23.79      $ 24.47   

Investment operations:

            

Net investment income (loss)1

     (0.04     (0.08     (0.08     (0.09     (0.08     0.02   

Net realized and unrealized gain (loss)

     2.35        (2.31     (3.12     2.06        1.39        (0.51

Total from investment operations

     2.31        (2.39     (3.20     1.97        1.31        (0.49

Dividends and distributions to shareholders:

            

Net investment income

                                        (0.19

Capital gains

                   (3.28     (0.29              

Total dividends and distributions to shareholders

                   (3.28     (0.29            (0.19

Net asset value, end of period

   $ 20.22      $ 17.91      $ 20.30      $ 26.78      $ 25.10      $ 23.79   

TOTAL RETURN2

     12.90     (11.77 )%      (11.93 )%      7.86     5.51     (1.97 )% 

RATIOS/SUPPLEMENTAL DATA:

            

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

   $ 26,288      $ 32,230      $ 18,273      $ 24,104      $ 22,586      $ 11,893   

Ratios to average net assets of:

            

Expenses

     0.45 %3      0.45     0.45     0.45     0.45     0.45

Net investment income (loss)

     (0.43 )%3      (0.39 )%      (0.37 )%      (0.34 )%      (0.29 )%      0.09

Portfolio turnover rate4

     N/A5        N/A5        N/A5        0     0     0
* Commencement of investment operations.

 

1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized.

 

3 

Annualized.

 

4 

Portfolio turnover rate is not annualized.

 

5 

The Fund invested in short-term securities with maturities less than or equal to 365 days. SEC rules exclude such securities from portfolio turnover calculations.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      79   


Table of Contents

Financial Highlights (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

 

 

WisdomTree Asia Local Debt Fund    For the
Six Months Ended
February 28, 2014
(unaudited)
    For the
Year Ended
August 31, 2013
    For the
Year Ended
August 31, 2012
    For the Period
March 17, 2011*
through
August 31, 2011
 

Net asset value, beginning of period

   $ 47.41      $ 51.57      $ 53.23      $ 49.85   

Investment operations:

        

Net investment income1

     0.55        1.20        1.29        0.60   

Net realized and unrealized gain (loss)

     0.36        (3.74     (2.37     3.21   

Total from investment operations

     0.91        (2.54     (1.08     3.81   

Dividends and distributions to shareholders:

        

Net investment income

     (0.39     (1.34     (0.58     (0.43

Capital gains

            (0.28              

Total dividends and distributions to shareholders

     (0.39     (1.62     (0.58     (0.43

Net asset value, end of period

   $ 47.93      $ 47.41      $ 51.57      $ 53.23   

TOTAL RETURN2

     1.92     (5.14 )%      (2.00 )%      7.66

RATIOS/SUPPLEMENTAL DATA:

        

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

   $ 512,804      $ 493,089      $ 422,871      $ 660,086   

Ratios to average net assets of:

        

Expenses

     0.55 %3      0.55     0.55     0.55 %3 

Net investment income

     2.32 %3      2.34     2.51     2.52 %3 

Portfolio turnover rate4

     17     52     62     0

 

             
WisdomTree Australia &
New Zealand Debt Fund
   For the
Six Months Ended
February 28, 2014
(unaudited)
    For the
Year Ended
August 31, 2013
    For the
Year Ended
August 31, 20125
    For the
Year Ended
August 31, 2011
    For the
Year Ended
August 31, 2010
    For the
Year Ended
August 31, 2009
 

Net asset value, beginning of period

   $ 19.44      $ 22.54      $ 26.31      $ 22.24      $ 23.68      $ 23.53   

Investment operations:

            

Net investment income (loss)1

     0.32        0.72        0.67        (0.08     (0.07     (0.02

Net realized and unrealized gain (loss)

     0.31        (3.22     (0.70     5.40        1.08        0.30   

Total from investment operations

     0.63        (2.50     (0.03     5.32        1.01        0.28   

Dividends and distributions to shareholders:

            

Net investment income

     (0.25     (0.47     (0.69                   (0.13

Capital gains

                   (3.05     (1.25     (2.45       

Return of capital

            (0.13                            

Total dividends and distributions to shareholders

     (0.25     (0.60     (3.74     (1.25     (2.45     (0.13

Net asset value, end of period

   $ 19.82      $ 19.44      $ 22.54      $ 26.31      $ 22.24      $ 23.68   

TOTAL RETURN2

     3.21     (11.42 )%      0.76     24.85     4.32     1.30

RATIOS/SUPPLEMENTAL DATA:

            

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

   $ 35,678      $ 40,831      $ 45,079      $ 52,614      $ 17,790      $ 9,471   

Ratios to average net assets of:

            

Expenses

     0.45 %3      0.45     0.45     0.45     0.45     0.45

Net investment income (loss)

     3.20 %3      3.29     2.99     (0.35 )%      (0.30 )%      (0.11 )% 

Portfolio turnover rate4

     10     42     9     0     0     0
* Commencement of investment operations.

 

1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized.

 

3 

Annualized.

 

4 

Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.

 

5 

The information reflects the investment objective and strategy of the WisdomTree Dreyfus New Zealand Dollar Fund through October 24, 2011 and the investment objective of the WisdomTree Australia & New Zealand Debt Fund thereafter.

 

See Notes to Financial Statements.

 

80   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Financial Highlights (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

 

WisdomTree Barclays U.S. Aggregate Bond Negative Duration Fund    For the Period
December 18, 2013*
through
February 28, 2014
(unaudited)
 

Net asset value, beginning of period

   $ 50.05   

Investment operations:

  

Net investment income1

     0.13   

Net realized and unrealized loss

     (1.21

Total from investment operations

     (1.08

Dividends to shareholders:

  

Net investment income

     (0.18

Net asset value, end of period

   $ 48.79   

TOTAL RETURN2

     (2.17 )% 

RATIOS/SUPPLEMENTAL DATA:

  

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

   $ 4,879   

Ratios to average net assets of:

  

Expenses

     0.28 %3 

Net investment income

     1.27 %3 

Portfolio turnover rate4, 5

     133

 

   
WisdomTree Barclays U.S. Aggregate Bond Zero Duration Fund    For the Period
December 18, 2013*
through
February 28, 2014
(unaudited)
 

Net asset value, beginning of period

   $ 49.98   

Investment operations:

  

Net investment income1

     0.13   

Net realized and unrealized gain

     0.12   

Total from investment operations

     0.25   

Dividends to shareholders:

  

Net investment income

     (0.18

Net asset value, end of period

   $ 50.05   

TOTAL RETURN2

     0.49

RATIOS/SUPPLEMENTAL DATA:

  

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

   $ 5,005   

Ratios to average net assets of:

  

Expenses

     0.23 %3 

Net investment income

     1.30 %3 

Portfolio turnover rate4, 5

     130
* Commencement of investment operations.

 

1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized.

 

3 

Annualized.

 

4 

Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.

 

5 

The portfolio turnover rates excluding TBA roll transactions for the period ended February 28, 2014 were 81% and 77% for WisdomTree Barclays U.S. Aggregate Bond Negative Duration Fund and WisdomTree Barclays U.S. Aggregate Bond Zero Duration Fund, respectively.

 

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      81   


Table of Contents

Financial Highlights (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

 

WisdomTree Bloomberg Floating Rate Treasury Fund    For the Period
February 4, 2014*
through
February 28,  2014
(unaudited)
 

Net asset value, beginning of period

   $ 25.00   

Investment operations:

  

Net investment loss1

     (0.00 )2 

Net realized and unrealized loss

     (0.01

Total from investment operations

     (0.01

Net asset value, end of period

   $ 24.99   

TOTAL RETURN3

     (0.04 )% 

RATIOS/SUPPLEMENTAL DATA:

  

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

   $ 2,499   

Ratios to average net assets of:

  

Expenses, net of expense waivers

     0.15 %4 

Expenses, prior to expense waivers

     0.20 %4 

Net investment loss

     (0.05 )%4 

Portfolio turnover rate5

     0

 

   
WisdomTree BofA Merrill Lynch High Yield Bond Negative Duration Fund    For the Period
December 18, 2013*
through
February 28, 2014
(unaudited)
 

Net asset value, beginning of period

   $ 25.02   

Investment operations:

  

Net investment income1

     0.14   

Net realized and unrealized loss

     (0.64

Total from investment operations

     (0.50

Dividends to shareholders:

  

Net investment income

     (0.16

Net asset value, end of period

   $ 24.36   

TOTAL RETURN3

     (2.02 )% 

RATIOS/SUPPLEMENTAL DATA:

  

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

   $ 9,744   

Ratios to average net assets of:

  

Expenses

     0.48 %4 

Net investment income

     2.86 %4 

Portfolio turnover rate5

     15
* Commencement of investment operations.

 

1 

Based on average shares outstanding.

 

2 

Amount is less than $0.005.

 

3 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been waived by the investment adviser for WisdomTree Bloomberg Floating Rate Treasury Fund (Note 2 and 3).

 

4 

Annualized.

 

5 

Portfolio turnover rate is not annualized.

 

See Notes to Financial Statements.

 

82   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Financial Highlights (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

 

 

WisdomTree BofA Merrill Lynch High Yield Bond Zero Duration Fund    For the Period
December 18, 2013*
through
February 28, 2014
(unaudited)
 

Net asset value, beginning of period

   $ 24.99   

Investment operations:

  

Net investment income1

     0.15   

Net realized and unrealized gain

     0.06   

Total from investment operations

     0.21   

Dividends to shareholders:

  

Net investment income

     (0.16

Net asset value, end of period

   $ 25.04   

TOTAL RETURN2

     0.82

RATIOS/SUPPLEMENTAL DATA:

  

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

   $ 10,015   

Ratios to average net assets of:

  

Expenses

     0.43 %3 

Net investment income

     2.94 %3 

Portfolio turnover rate4

     15

 

       
WisdomTree Emerging Markets Corporate Bond Fund    For the
Six Months Ended
February 28, 2014
(unaudited)
     For the
Year Ended
August 31, 2013
     For the Period
March 8, 2012*
through
August 31, 2012
 

Net asset value, beginning of period

   $ 72.97       $ 77.63       $ 75.03   

Investment operations:

        

Net investment income1

     1.68         3.29         1.63   

Net realized and unrealized gain (loss)

     3.24         (4.69      2.54   

Total from investment operations

     4.92         (1.40      4.17   

Dividends and distributions to shareholders:

        

Net investment income

     (1.56      (3.26      (1.57

Capital gains

     (0.73                

Total dividends and distributions to shareholders

     (2.29      (3.26      (1.57

Net asset value, end of period

   $ 75.60       $ 72.97       $ 77.63   

TOTAL RETURN2

     6.83      (2.00 )%       5.64

RATIOS/SUPPLEMENTAL DATA:

        

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

   $ 105,844       $ 116,746       $ 62,103   

Ratios to average net assets of:

        

Expenses

     0.60 %3       0.60      0.60 %3 

Net investment income

     4.54 %3       4.22      4.47 %3 

Portfolio turnover rate5

     18      37      0
* Commencement of investment operations.

 

1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized.

 

3 

Annualized.

 

4 

Portfolio turnover rate is not annualized.

 

5 

Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      83   


Table of Contents

Financial Highlights (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

 

 

WisdomTree Emerging Markets

Local Debt Fund

   For the
Six Months Ended
February 28, 2014
(unaudited)
    For the
Year Ended
August 31, 2013
    For the
Year Ended
August 31, 2012
    For the
Year Ended
August 31, 2011
    For the Period
August 9, 2010*
through
August 31, 2010
 

Net asset value, beginning of period

   $ 45.93      $ 51.16      $ 53.83      $ 50.08      $ 50.23   

Investment operations:

          

Net investment income1

     1.10        2.22        2.41        2.40        0.10   

Net realized and unrealized gain (loss)

     (0.85     (5.29     (3.26     3.79        (0.25

Total from investment operations

     0.25        (3.07     (0.85     6.19        (0.15

Dividends and distributions to shareholders:

          

Net investment income

     (0.78     (2.01     (1.77     (2.44       

Capital gains

     (0.14     (0.15     (0.05              

Total dividends and distributions to shareholders

     (0.92     (2.16     (1.82     (2.44       

Net asset value, end of period

   $ 45.26      $ 45.93      $ 51.16      $ 53.83      $ 50.08   

TOTAL RETURN2

     0.52     (6.41 )%      (1.45 )%      12.64     (0.30 )% 

RATIOS/SUPPLEMENTAL DATA:

          

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

   $ 968,466      $ 1,442,209      $ 1,197,084      $ 1,415,705      $ 195,319   

Ratios to average net assets of:

          

Expenses

     0.55 %3      0.55     0.55     0.55     0.55 %3 

Net investment income

     4.76 %3      4.31     4.76     4.65     3.31 %3 

Portfolio turnover rate4

     40     57     43     30     0

 

             
WisdomTree Euro Debt Fund    For the
Six Months Ended
February 28, 2014
(unaudited)
    For the
Year Ended
August 31, 2013
    For the
Year Ended
August 31, 20125
    For the
Year Ended
August 31, 2011
    For the
Year Ended
August 31, 2010
    For the
Year Ended
August 31, 2009
 

Net asset value, beginning of period

   $ 22.06      $ 21.62      $ 23.32      $ 20.54      $ 23.19      $ 24.07   

Investment operations:

            

Net investment income (loss)1

     0.17        0.34        0.35        0.05        (0.01     0.35   

Net realized and unrealized gain (loss)

     1.37        0.61        (1.61     2.73        (2.64     (0.63

Total from investment operations

     1.54        0.95        (1.26     2.78        (2.65     (0.28

Dividends and distributions to shareholders:

            

Net investment income

     (0.18     (0.31     (0.44                   (0.60

Capital gains

     (0.08     (0.20                            

Total dividends and distributions to shareholders

     (0.26     (0.51     (0.44                   (0.60

Net asset value, end of period

   $ 23.34      $ 22.06      $ 21.62      $ 23.32      $ 20.54      $ 23.19   

TOTAL RETURN2

     7.03     4.37     (5.37 )%      13.53     (11.43 )%      (1.13 )% 

RATIOS/SUPPLEMENTAL DATA:

            

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

   $ 4,667      $ 4,411      $ 6,486      $ 5,246      $ 12,836      $ 9,857   

Ratios to average net assets of:

            

Expenses

     0.35 %3      0.35     0.35     0.35     0.35     0.35

Net investment income (loss)

     1.53 %3      1.51     1.63     0.21     (0.03 )%      1.61

Portfolio turnover rate4

     2     3     26     N/A6        N/A6        N/A6   
* Commencement of investment operations.

 

1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized.

 

3 

Annualized.

 

4 

Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.

 

5 

This information reflects the investment objective and strategy of the WisdomTree Dreyfus Euro Fund through October 18, 2011 and the investment objective of the WisdomTree Euro Debt Fund thereafter.

 

6 

The Fund invested in short-term securities with maturities less than or equal to 365 days. SEC rules exclude such securities from portfolio turnover calculations.

 

See Notes to Financial Statements.

 

84   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Financial Highlights (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

 

 

WisdomTree Global Corporate Bond Fund    For the
Six Months Ended
February 28, 2014
(unaudited)
     For the Period
January 31, 2013*
through
August 31, 2013
 

Net asset value, beginning of period

   $ 72.78       $ 74.76   

Investment operations:

     

Net investment income1

     1.21         1.37   

Net realized and unrealized gain (loss)

     2.65         (2.08

Total from investment operations

     3.86         (0.71

Dividends and distributions to shareholders:

     

Net investment income

     (1.18      (1.27

Capital gains

     (0.34        

Total dividends and distributions to shareholders

     (1.52      (1.27

Net asset value, end of period

   $ 75.12       $ 72.78   

TOTAL RETURN2

     5.35      (0.98 )% 

RATIOS/SUPPLEMENTAL DATA:

     

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

   $ 7,512       $ 14,555   

Ratios to average net assets of:

     

Expenses, net of expense waivers

     0.45 %3       0.45 %3 

Expenses, prior to expense waivers

     0.50 %3       0.50 %3 

Net investment income

     3.29 %3       3.18 %3 

Portfolio turnover rate4

     12      5

 

   
WisdomTree Japan Interest Rate Strategy Fund (consolidated)    For the Period
December 18, 2013*
through
February 28, 2014
(unaudited)
 

Net asset value, beginning of period

   $ 49.94   

Investment operations:

  

Net investment loss1

     (0.05

Net realized and unrealized loss

     (0.54

Total from investment operations

     (0.59

Net asset value, end of period

   $ 49.35   

TOTAL RETURN2

     (1.18 )% 

RATIOS/SUPPLEMENTAL DATA:

  

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

   $ 4,935   

Ratios to average net assets of:

  

Expenses

     0.50 %3 

Net investment loss

     (0.47 )%3 

Portfolio turnover rate5

     N/A6   
* Commencement of investment operations.

 

1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. The total return would have been lower if certain expenses had not been waived by the investment adviser for WisdomTree Global Corporate Bond Fund (Note 2 and 3).

 

3 

Annualized.

 

4 

Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.

 

5 

Portfolio turnover rate is not annualized.

 

6 

The Fund invested in short-term securities with maturities less than or equal to 365 days. SEC rules exclude such securities from portfolio turnover calculations.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      85   


Table of Contents

Financial Highlights (concluded)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

 

 

WisdomTree Global Real Return Fund (consolidated)    For the
Six Months Ended
February 28, 2014
(unaudited)
    For the
Year Ended
August 31, 2013
    For the
Year Ended
August 31, 2012
    For the Period
July 14, 2011*
through
August 31, 2011
 

Net asset value, beginning of period

   $ 45.39      $ 48.68      $ 50.66      $ 49.99   

Investment operations:

        

Net investment income1

     0.46        0.73        0.79        0.05   

Net realized and unrealized gain (loss)

     0.45        (3.25     (2.10     0.62   

Total from investment operations

     0.91        (2.52     (1.31     0.67   

Dividends and distributions to shareholders:

        

Net investment income

     (0.23     (0.77     (0.62       

Capital gains

     (0.08            (0.05       

Total dividends and distributions to shareholders

     (0.31     (0.77     (0.67       

Net asset value, end of period

   $ 45.99      $ 45.39      $ 48.68      $ 50.66   

TOTAL RETURN2

     2.01     (5.25 )%      (2.54 )%      1.34

RATIOS/SUPPLEMENTAL DATA:

        

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

   $ 4,599      $ 4,539      $ 4,868      $ 5,066   

Ratios to average net assets of:

        

Expenses

     0.60 %3      0.60     0.60     0.60 %3 

Net investment income

     2.02 %3      1.53     1.65     0.68 %3 

Portfolio turnover rate4

     7     1     3     0 %6 

 

         
WisdomTree Managed Futures Strategy Fund (consolidated)    For the
Six Months Ended
February 28, 2014
(unaudited)
    For the
Year Ended
August 31, 2013
    For the
Year Ended
August 31, 2012
    For the Period
January 5, 2011*
through
August 31, 2011
 

Net asset value, beginning of period

   $ 41.92      $ 41.47      $ 49.90      $ 50.18   

Investment operations:

        

Net investment loss1

     (0.19     (0.37     (0.40     (0.27

Net realized and unrealized gain (loss)

     (1.02     0.82        (7.25     (0.01

Total from investment operations

     (1.21     0.45        (7.65     (0.28

Distributions to shareholders:

        

Capital gains

                   (0.78       

Net asset value, end of period

   $ 40.71      $ 41.92      $ 41.47      $ 49.90   

TOTAL RETURN2

     (2.89 )%      1.09     (15.47 )%      (0.56 )% 

RATIOS/SUPPLEMENTAL DATA:

        

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

   $ 146,571      $ 142,531      $ 149,288      $ 229,553   

Ratios to average net assets of:

        

Expenses

     0.95 %3      0.95     0.95     0.95 %3 

Net investment loss

     (0.94 )%3      (0.90 )%      (0.91 )%      (0.91 )%3 

Portfolio turnover rate5

     N/A7        N/A7        N/A7        0
* Commencement of investment operations.

 

1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized.

 

3 

Annualized.

 

4 

Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.

 

5 

Portfolio turnover rate is not annualized.

 

6 

Amount represents less than 1%.

 

7 

The Fund invested in short-term securities with maturities less than or equal to 365 days. SEC rules exclude such securities from portfolio turnover calculations.

 

See Notes to Financial Statements.

 

86   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Notes to Financial Statements (unaudited)

 

1. ORGANIZATION

WisdomTree Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Delaware statutory trust on December 15, 2005. As of February 28, 2014, the Trust offered 62 investment funds (each a “Fund”, collectively the “Funds”). These notes relate only to Funds listed in the table below.

 

Fund    Commencement of
Operations

WisdomTree Bloomberg U.S. Dollar Bullish Fund (“U.S. Dollar Bullish Fund”)

   December 18, 2013

WisdomTree Brazilian Real Strategy Fund (“Brazilian Real Strategy Fund”) (formerly, WisdomTree Brazilian Real Fund)

   May 14, 2008

WisdomTree Chinese Yuan Strategy Fund (“Chinese Yuan Strategy Fund”) (formerly, WisdomTree Chinese Yuan Fund)

   May 14, 2008

WisdomTree Commodity Currency Strategy Fund (“Commodity Currency Strategy Fund”) (formerly, WisdomTree Commodity Currency Fund)

   September 24, 2010

WisdomTree Emerging Currency Strategy Fund (“Emerging Currency Strategy Fund”) (formerly, WisdomTree Emerging Currency Fund)

   May 6, 2009

WisdomTree Indian Rupee Strategy Fund (“Indian Rupee Strategy Fund”) (formerly, WisdomTree Indian Rupee Fund)

   May 14, 2008

WisdomTree Asia Local Debt Fund (“Asia Local Debt Fund”)

   March 17, 2011

WisdomTree Australia & New Zealand Debt Fund (“Australia & New Zealand Debt Fund”)

   June 25, 2008

WisdomTree Barclays U.S. Aggregate Bond Negative Duration Fund (“U.S. Aggregate Bond Negative Duration Fund”)

   December 18, 2013

WisdomTree Barclays U.S. Aggregate Bond Zero Duration Fund (“U.S. Aggregate Bond Zero Duration Fund”)

   December 18, 2013

WisdomTree Bloomberg Floating Rate Treasury Fund (“Floating Rate Treasury Fund”)

   February 4, 2014

WisdomTree BofA Merrill Lynch High Yield Bond Negative Duration Fund (“High Yield Bond Negative Duration Fund”)

   December 18, 2013

WisdomTree BofA Merrill Lynch High Yield Bond Zero Duration Fund (“High Yield Bond Zero Duration Fund”)

   December 18, 2013

WisdomTree Emerging Markets Corporate Bond Fund (“Emerging Markets Corporate Bond Fund”)

   March 8, 2012

WisdomTree Emerging Markets Local Debt Fund (“Emerging Markets Local Debt Fund”)

   August 9, 2010

WisdomTree Euro Debt Fund (“Euro Debt Fund”)

   May 14, 2008

WisdomTree Global Corporate Bond Fund (“Global Corporate Bond Fund”)

   January 31, 2013

WisdomTree Japan Interest Rate Strategy Fund (“Japan Interest Rate Strategy Fund”) (consolidated)

   December 18, 2013

WisdomTree Global Real Return Fund (“Global Real Return Fund”) (consolidated)

   July 14, 2011

WisdomTree Managed Futures Strategy Fund (“Managed Futures Strategy Fund”) (consolidated)

   January 5, 2011

Consolidation of Subsidiaries

The financial statements of the Managed Futures Strategy Fund and Global Real Return Fund (each an “Alternative Fund”), and Japan Interest Rate Strategy Fund, include the accounts of a wholly-owned and controlled Cayman Islands subsidiary (each, a “Subsidiary”). For each Alternative Fund and Japan Interest Rate Strategy Fund, the accompanying financial statements reflect the financial position and results of operations on a consolidated basis with its respective Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation. Each Alternative Fund seeks to gain exposure to commodity markets, in whole or in part, through investments in its Subsidiary. Each Alternative Fund’s and Japan Interest Rate Strategy Fund’s investment in its Subsidiary may not exceed 25% of each respective Alternative Fund’s and Japan Interest Rate Strategy Fund’s total assets at the end of each fiscal quarter.

2. SIGNIFICANT ACCOUNTING POLICIES

The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (the “Codification”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants.

The following is a summary of significant accounting policies followed by the Funds.

Guarantees — In the normal course of business the Funds may enter into contracts that contain a variety of representations or that provide indemnification for certain liabilities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote. Therefore, no liabilities have been recorded in connection with these indemnifications.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      87   


Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

Use of Estimates — The preparation of financial statements in conformity with GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in the net assets from operations during the reporting period. Actual results could differ from those estimates.

Investment Valuation — The net asset value (“NAV”) of each Fund’s shares is calculated each day the national securities exchanges are open for trading as of the close of regular trading on the New York Stock Exchange, generally 4:00 p.m. New York time. NAV per share is calculated by dividing a Fund’s net assets by the number of Fund shares outstanding. Each Fund issues and redeems shares at NAV only in large blocks of shares known as creation units, which only certain institutions or large investors may purchase or redeem. Shares of each Fund are listed on a national securities exchange and trade at market prices. Most investors will buy and sell shares through brokers. Because Fund shares trade at market prices rather than NAV, shares may trade at a price greater than NAV or less than NAV. In calculating each Fund’s NAV, investments are valued under policies approved by the Board of Trustees. Fixed income securities generally are valued at current market quotations or mean prices obtained from broker-dealers or independent pricing service providers. Broker-dealers or independent pricing service providers, in determining the value of securities may consider such factors as recent transactions, indications from broker-dealers yields and quoted prices on similar securities, and market sentiment for the type of security. U.S. fixed income assets may be valued as of the announced closing time for such securities on any day that the Securities Industry and Financial Markets Association announces an early closing time. Except for U.S. Dollar Bullish Fund, forward foreign currency contracts generally are valued daily using WM/Reuters closing spot and forward rates as of 4:00 p.m. London time for Europe and the Americas. U.S. Dollar Bullish Fund uses WM/Reuters closing spot and forward rates as of 4:00 p.m. New York time to value forward foreign currency contracts in Europe and the Americas. Tullett Prebon closing spot and forward rates as of 2:00 p.m. Singapore time are used for Asia. Futures contracts generally are valued at the settlement price on the primary exchange on which they trade. Swap contracts are generally marked to market daily based upon values from pricing service providers or quotations from broker-dealers to the extent available. Short-term debt securities with remaining maturities of 60 days or less generally are valued on the basis of amortized cost which approximates fair value. Each Fund may invest in money market funds which are valued at such money market fund’s NAV per share.

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

Fair Value Measurement — In accordance with Codification Topic 820 (“ASC 820”), Fair Value Measurements and Disclosures, fair value is defined as the price that each Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. ASC 820 established a three-tier hierarchy of inputs to be used when determining fair value measurements for disclosure purposes, including assumptions about risk — for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below:

Level 1 – quoted prices in active markets for identical securities

Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3 – significant unobservable inputs (including each Fund’s assumptions in determining the fair value of investments)

The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments.

Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation or market activity; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an

 

88   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

event that occurs after the close of the markets on which the security is traded but before the time as of which a Fund’s NAV is computed and that may materially affect the value of the Fund’s investments).

The valuation techniques and significant inputs used in determining the fair market value measurements for Level 2 and Level 3 positions are as follows:

Financial instruments are generally valued by independent pricing service providers that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. Depending on the type of financial instrument, the independent pricing service providers’ internal models may use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Financial instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy. Over-the-counter financial derivative contracts, such as forward foreign currency contracts derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker-dealer quotations or independent pricing service providers. Depending on the product and the terms of the transaction, the value of the financial derivative contracts can be estimated by an independent pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Derivative contracts that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

The Board of Trustees of the Trust has established a pricing committee (the “Pricing Committee”) which is comprised of senior representatives of WisdomTree Asset Management, Inc. (“WTAM”) and which reports to the Board of Trustees on a quarterly basis. In the event that a financial instrument cannot be valued based upon a price from a national securities exchange, independent pricing service provider or broker quotation, or such prices are deemed to not reflect current market value, the Pricing Committee may value the financial instrument in good faith under the policies and procedures approved by the Board of Trustees based on current facts and circumstances. Determination of this value may include significant unobservable inputs and therefore would be reflected as a Level 3 of the fair value hierarchy. The Pricing Committee may employ a market-based valuation approach which may use, among other potential considerations, related or comparable securities, recent transactions, market multiples, book values, and other relevant information to determine fair value. The Pricing Committee may also use an income-based valuation approach in which anticipated future cash flows of the financial instrument are discounted to calculate fair value. The Pricing Committee meets at least on a monthly basis to review and discuss the appropriateness of such fair values using more current information such as, recent security news, recent market transactions, updated corporate action information and/or other macro or security specific events. Also, when observable inputs become available, the Pricing Committee conducts back testing of the methodologies used to value Level 3 financial instruments to substantiate the unobservable inputs used to value those investments. Such back testing includes comparing Level 3 investment values to observable inputs such as exchange-traded prices, transaction prices, and/or vendor prices.

The following is a summary of the fair valuations according to the inputs used as of February 28, 2014 in valuing each Fund’s assets:

 

U.S. Dollar Bullish Fund    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $       $ 37,498,953       $   

Total

             37,498,953           

Unrealized Appreciation on Forward Foreign Currency Contracts

             22,493           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (594,132        

Total - Net

   $       $ 36,927,314       $   

 

Brazilian Real Strategy Fund    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $       $ 28,399,792       $   

Repurchase Agreement

             8,714,378           

Total

             37,114,170           

Unrealized Appreciation on Forward Foreign Currency Contracts

             4,714,480           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (11,510,039        

Total - Net

   $       $ 30,318,611       $   

 

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      89   


Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

Chinese Yuan Strategy Fund    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $       $ 139,055,300       $   

Time Deposits

             39,836,718           

Repurchase Agreement

             25,734,366           

Total

             204,626,384           

Unrealized Appreciation on Forward Foreign Currency Contracts

             53,153           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (1,189,396        

Total - Net

   $       $ 203,490,141       $   

 

Commodity Currency Strategy Fund    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $       $ 8,449,788       $   

Repurchase Agreement

             3,214,972           

Total

             11,664,760           

Unrealized Appreciation on Forward Foreign Currency Contracts

             303,927           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (509,995        

Total - Net

   $       $ 11,458,692       $   

 

Emerging Currency Strategy Fund    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $       $ 133,284,002       $   

Repurchase Agreement

             6,169,683           

Total

             139,453,685           

Unrealized Appreciation on Forward Foreign Currency Contracts

             3,010,965           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (1,097,393        

Total - Net

   $       $ 141,367,257       $   

 

Indian Rupee Strategy Fund    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $       $ 25,222,604       $   

Repurchase Agreement

             286,196           

Total

             25,508,800           

Unrealized Appreciation on Forward Foreign Currency Contracts

             637,211           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (15,342        

Total - Net

   $       $ 26,130,669       $   

 

Asia Local Debt Fund    Level 1      Level 2      Level 3  

Foreign Government Agencies

   $       $ 40,520,342       $   

Foreign Government Obligations

             336,825,348           

Supranational Bonds

             62,754,061           

Repurchase Agreement

             45,572,519           

Total

             485,672,270           

Unrealized Appreciation on Forward Foreign Currency Contracts

             65,953           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (1,427,087        

Total - Net

   $       $ 484,311,136       $   

 

90   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

 

Australia & New Zealand Debt Fund    Level 1      Level 2      Level 3  

Foreign Government Agencies

   $       $ 13,195,571       $   

Foreign Government Obligations

             11,781,074           

Supranational Bonds

             9,976,072           

Total

   $       $ 34,952,717       $   

 

U.S. Aggregate Bond Negative Duration Fund    Level 1      Level 2      Level 3  

U.S. Government Agencies

     $—       $ 1,885,883       $   

U.S. Government Obligations

             1,352,719           

Corporate Bonds

             1,171,488           

Foreign Corporate Bonds

             203,763           

Commercial Mortgage-Backed Securities

             104,621           

Supranational Bonds

             63,144           

Foreign Government Obligations

             48,711           

Municipal Bonds

             34,826           

Total

             4,865,155           

Unrealized Depreciation on Futures Contracts

     (39,869)                   

Total - Net

   $ (39,869)       $ 4,865,155       $   

 

U.S. Aggregate Bond Zero Duration Fund    Level 1      Level 2      Level 3  

U.S. Government Agencies

     $—       $ 1,884,947       $   

U.S. Government Obligations

             1,465,598           

Corporate Bonds

             1,171,488           

Foreign Corporate Bonds

             173,516           

Commercial Mortgage-Backed Securities

             104,621           

Foreign Government Obligations

             78,958           

Supranational Bonds

             63,144           

Municipal Bond

             34,826           

Total

             4,977,098           

Unrealized Depreciation on Futures Contracts

     (14,694)                   

Total - Net

   $ (14,694)       $ 4,977,098       $   

 

Floating Rate Treasury Fund    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $       $ 2,498,603       $   

 

High Yield Bond Negative Duration Fund    Level 1      Level 2      Level 3  

Corporate Bonds

   $       $ 8,181,794       $   

Foreign Corporate Bonds

             1,167,600           

Investment of Cash Collateral for Securities Loaned

             152,500           

Total

             9,501,894           

Unrealized Depreciation on Futures Contracts

     (65,482)                   

Total - Net

   $ (65,482)       $ 9,501,894       $   

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      91   


Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

 

High Yield Bond Zero Duration Fund    Level 1      Level 2      Level 3  

Corporate Bonds

   $       $ 8,312,200       $   

Foreign Corporate Bonds

             1,167,600           

Investment of Cash Collateral for Securities Loaned

             152,500           

Total

             9,632,300           

Unrealized Depreciation on Futures Contracts

     (5,102                

Total - Net

   $ (5,102    $ 9,632,300       $   

 

Emerging Markets Corporate Bond Fund    Level 1      Level 2      Level 3  

Foreign Corporate Bonds

   $       $ 99,670,212       $   

Foreign Government Agencies

             3,444,876           

Investment of Cash Collateral for Securities Loaned

             25,339,746           

Total

   $       $ 128,454,834       $   

 

Emerging Markets Local Debt Fund    Level 1      Level 2      Level 3  

Foreign Government Obligations

   $       $ 819,694,519       $   

Supranational Bonds

             68,217,936           

Repurchase Agreement

             4,777,445           

Investment of Cash Collateral for Securities Loaned

             3,837,240           

Total

             896,527,140           

Unrealized Appreciation on Forward Foreign Currency Contracts

             1,342,869           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (591,212        

Total - Net

   $       $ 897,278,797       $   

 

Euro Debt Fund    Level 1      Level 2      Level 3  

Foreign Government Agencies

   $       $ 223,271       $   

Foreign Government Obligations

             3,013,792           

Supranational Bonds

             1,249,848           

Total

   $       $ 4,486,911       $   

 

Global Corporate Bond Fund    Level 1      Level 2      Level 3  

Corporate Bonds

   $       $ 3,651,839       $   

Foreign Corporate Bonds

             3,563,886           

Preferred Stock

     188,258                   

Investment of Cash Collateral for Securities Loaned

             132,323           

Total

     188,258         7,348,048           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (9,272        

Total - Net

   $ 188,258       $ 7,338,776       $   

 

Japan Interest Rate Strategy Fund (consolidated)    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $       $ 4,799,686       $   

Total

             4,799,686           

Unrealized Appreciation on Forward Foreign Currency Contracts

             1,399           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (64        

Unrealized Depreciation on Futures Contracts

     (43,826                

Total - Net

   $ (43,826    $ 4,801,021       $   

 

92   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

 

Global Real Return Fund (consolidated)    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $       $ 1,245,218       $   

Foreign Government Obligations

             1,582,256           

Foreign Corporate Bonds

             428,327           

Corporate Bonds

             330,312           

Exchange-Traded Funds

     437,992                   

Total

     437,992         3,586,113           

Unrealized Appreciation on Forward Foreign Currency Contracts

             996           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (10,643        

Unrealized Appreciation on Futures Contracts

     2,793                   

Unrealized Depreciation on Futures Contracts

     (1,238                

Total - Net

   $ 439,547       $ 3,576,466       $   

 

Managed Futures Strategy Fund (consolidated)    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $       $ 125,623,344       $   

Total

             125,623,344           

Unrealized Appreciation on Forward Foreign Currency Contracts

             128,235           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (239,475        

Unrealized Appreciation on Futures Contracts

     514,367                   

Unrealized Depreciation on Futures Contracts

     (17,140                

Unrealized Appreciation on Swap Contracts

             143,452           

Total - Net

   $ 497,227       $ 125,655,556       $   

There were no Level 3 securities at or during the period ended February 28, 2014.

No transfers between Level 1 and Level 2 fair value measurements occurred during the period ended February 28, 2014.

Derivatives and Hedging Disclosure — Codification Topic 815 (“ASC 815”), Derivatives and Hedging, requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. The Funds have invested in derivatives, specifically forward foreign currency contracts, swaps contracts and futures contracts during the period ended February 28, 2014 which are detailed in the tables herein. All of the derivative instruments disclosed and described herein are subject to credit risk. Credit risk is where the financial condition of an issuer of a security or instrument may cause it to default or become unable to pay interest or principal due on the security or where the counterparty to a derivative contract might default on its obligations. The Funds’ derivative agreements contain credit-risk related contingent features which include, but are not limited to, a percentage decline in the Funds’ NAV or net assets over a specified time period. If an event occurred that triggered a contingent feature, the counterparty to the agreement may require the Funds to post additional collateral or terminate the derivative positions and demand payment. Any collateral posted with respect to the derivative positions would be used to offset or reduce the payment. The maximum exposure to derivative agreements with credit-risk related contingent features would be the total value of derivatives in net liability positions for each Fund. At February 28, 2014 or for the period ended February 28, 2014, no event occurred that triggered a credit-risk-related contingent feature.

As of February 28, 2014, the following Funds posted U.S. government securities and/or cash as collateral for derivative agreements as follows:

 

Fund    Value of
Collateral Posted
 

Brazilian Real Strategy Fund

   $ 760,000   

Chinese Yuan Strategy Fund

     530,000   

Emerging Currency Strategy Fund

     240,000   

Asia Local Debt Fund

     330,000   

U.S. Aggregate Bond Negative Duration Fund

     468,500   

U.S. Aggregate Bond Zero Duration Fund

     460,000   

High Yield Bond Negative Duration Fund

     440,000   

High Yield Bond Zero Duration Fund

     70,000   

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      93   


Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

Fund    Value of
Collateral Posted
 

Emerging Markets Local Debt Fund

   $ 340,000   

Japan Interest Rate Strategy Fund (consolidated)

     97,590   

Global Real Return Fund (consolidated)

     17,003   

Managed Futures Strategy Fund (consolidated)

     5,384,645   

The effect of derivative instruments on each Fund’s financial position as reflected in the Statements of Assets and Liabilities are presented in the summary below:

 

Fund

   Asset Derivatives      Liability Derivatives  
   Balance Sheet Location    Value      Balance Sheet Location    Value  

U.S. Dollar Bullish Fund

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts    $ 22,493       Unrealized depreciation on forward foreign currency contracts    $ 594,132   

Brazilian Real Strategy Fund

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts      4,714,480       Unrealized depreciation on forward foreign currency contracts      11,510,039   

Chinese Yuan Strategy Fund

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts      53,153       Unrealized depreciation on forward foreign currency contracts      1,189,396   

Commodity Currency Strategy Fund

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts      303,927       Unrealized depreciation on forward foreign currency contracts      509,995   

Emerging Currency Strategy Fund

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts      3,010,965       Unrealized depreciation on forward foreign currency contracts      1,097,393   

Indian Rupee Strategy Fund

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts      637,211       Unrealized depreciation on forward foreign currency contracts      15,342   

Asia Local Debt Fund

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts      65,953       Unrealized depreciation on forward foreign currency contracts      1,427,087   

U.S. Aggregate Bond Negative Duration Fund

           

Interest rate contracts

   Unrealized appreciation on futures contracts*            Unrealized depreciation on futures contracts*      39,869   

U.S. Aggregate Bond Zero Duration Fund

           

Interest rate contracts

   Unrealized appreciation on futures contracts*            Unrealized depreciation on futures contracts*      14,694   

High Yield Bond Negative Duration Fund

           

Interest rate contracts

   Unrealized appreciation on futures contracts*            Unrealized depreciation on futures contracts*      65,482   

High Yield Bond Zero Duration Fund

           

Interest rate contracts

   Unrealized appreciation on futures contracts*            Unrealized depreciation on futures contracts*      5,102   

Emerging Markets Local Debt Fund

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts      1,342,869       Unrealized depreciation on forward foreign currency contracts      591,212   

Global Corporate Bond Fund

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts            Unrealized depreciation on forward foreign currency contracts      9,272   

Japan Interest Rate Strategy Fund (consolidated)

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts      1,399       Unrealized depreciation on forward foreign currency contracts      64   

Interest rate contracts

   Unrealized appreciation on futures contracts*            Unrealized depreciation on futures contracts*      43,826   

 

94   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

Fund

   Asset Derivatives      Liability Derivatives  
   Balance Sheet Location    Value      Balance Sheet Location    Value  

Global Real Return Fund (consolidated)

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts    $ 996       Unrealized depreciation on forward foreign currency contracts    $ 10,643   

Commodity contracts

   Unrealized appreciation on futures contracts*      2,793       Unrealized depreciation on futures contracts*      1,238   

Managed Futures Strategy Fund (consolidated)

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts      128,235       Unrealized depreciation on forward foreign currency contracts      239,475   
   Unrealized appreciation on futures contracts*      32,876       Unrealized depreciation on futures contracts*      12,286   

Commodity contracts

   Unrealized appreciation on swap contracts      143,452       Unrealized depreciation on swap contracts        
   Unrealized appreciation on futures contracts*      360,991       Unrealized depreciation on futures contracts*      4,854   

Interest rate contracts

   Unrealized appreciation on futures contracts*      120,500       Unrealized depreciation on futures contracts*        
  * Includes cumulative appreciation (depreciation) of futures contracts as reported in the futures table. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

The effect of derivative instruments on each Fund’s financial performance as reflected in the Statements of Operations are presented in the summary below:

 

Fund

   Amount of Realized
Gain or (Loss) on Derivatives
Recognized1
     Change in Unrealized
Appreciation or (Depreciation) on
Derivatives Recognized2
 

U.S. Dollar Bullish Fund

     

Foreign exchange contracts

   $ 500,555       $ (571,639

Brazilian Real Strategy Fund

     

Foreign exchange contracts

     (31,740,414      (4,504,329

Chinese Yuan Strategy Fund

     

Foreign exchange contracts

     5,426,404         (4,234,741

Commodity Currency Strategy Fund

     

Foreign exchange contracts

     142,428         (105,743

Emerging Currency Strategy Fund

     

Foreign exchange contracts

     (5,622,259      8,314,380   

Indian Rupee Strategy Fund

     

Foreign exchange contracts

     135,864         3,826,443   

Asia Local Debt Fund

     

Foreign exchange contracts

     (1,020,928      (412,494

Australia & New Zealand Debt Fund

     

Foreign exchange contracts

     23,835         7   

U.S. Aggregate Bond Negative Duration Fund

     

Interest rate contracts

     (267,738      (39,869

U.S. Aggregate Bond Zero Duration Fund

     

Interest rate contracts

     (84,272      (14,694

High Yield Bond Negative Duration Fund

     

Interest rate contracts

     (228,530      (65,482

High Yield Bond Zero Duration Fund

     

Interest rate contracts

     (20,048      (5,102

Emerging Markets Local Debt Fund

     

Foreign exchange contracts

     (563,840      2,167,209   

Euro Debt Fund

     

Foreign exchange contracts

     20           

Global Corporate Bond Fund

     

Foreign exchange contracts

     (61,182      (18,972

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      95   


Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

Fund

   Amount of Realized
Gain or (Loss) on Derivatives
Recognized1
     Change in Unrealized
Appreciation or (Depreciation) on
Derivatives Recognized2
 

Japan Interest Rate Strategy Fund (consolidated)

     

Foreign exchange contracts

   $ (15,783    $ 1,335   
  

 

 

 

Interest rate contracts

     (2,407      (43,826

Global Real Return Fund (consolidated)

     

Commodity contracts

     (27,361      (2,439
  

 

 

 

Interest rate contracts

             6,621   
  

 

 

 

Foreign exchange contracts

             (9,647

Managed Futures Strategy Fund (consolidated)

     

Foreign exchange contracts

     615,738         475,015   
  

 

 

 

Commodity contracts

     (3,796,169      385,394   
  

 

 

 

Interest rate contracts

     (1,234,350      (31,055
  1 

Realized gains (losses) on derivatives are located on the Statement of Operations as follows:

 

Foreign exchange contracts

   Net realized gain (loss) from forward foreign currency contracts, foreign
currency related transactions and futures contracts

Commodity contracts

   Net realized gain (loss) from futures contracts and swap contracts

Interest rate contracts

   Net realized gain (loss) from futures contracts and swap contracts

 

  2 

Change in unrealized appreciation (depreciation) is located on the Statement of Operations as follows:

 

Foreign exchange contracts

   Net change in unrealized appreciation (depreciation) from forward foreign
currency contracts, foreign currency related transactions and futures contracts

Commodity contracts

   Net change in unrealized appreciation (depreciation) from futures contracts
and swap contracts

Interest rate contracts

   Net change in unrealized appreciation (depreciation) from futures contracts
and swap contracts

During the six months or period ended February 28, 2014, the volume of derivative activity was as follows:

 

      Average Notional            Average Market Value  
Fund    Forward foreign
currency
contracts
(to deliver)
     Forward foreign
currency
contracts
(to receive)
     Swap
contracts
           Futures
contracts
(long)
     Futures
contracts
(short)
 

U.S. Dollar Bullish Fund

                 

Foreign exchange contracts

   $ 23,646,349       $ 59,453,189       $            $       $   

Brazilian Real Strategy Fund

                 

Foreign exchange contracts

     495,171,980         236,719,266                                

Chinese Yuan Strategy Fund

                 

Foreign exchange contracts

     207,093,464         33,958,692                                

Commodity Currency Strategy Fund

                 

Foreign exchange contracts

     21,064,762         6,215,665                                

Emerging Currency Strategy Fund

                 

Foreign exchange contracts

     254,079,169         73,829,079                                

Indian Rupee Strategy Fund

                 

Foreign exchange contracts

     41,168,029         10,456,401                                

Asia Local Debt Fund

                 

Foreign exchange contracts

     70,562,609         3,291,463                                

Australia & New Zealand Debt Fund

                 

Foreign exchange contracts

             277,905                                

U.S. Aggregate Bond Negative Duration Fund

                 

Interest rate contracts

                                          8,155,401   

U.S. Aggregate Bond Zero Duration Fund

                 

Interest rate contracts

                                          8,253,589   

High Yield Bond Negative Duration Fund

                 

Interest rate contracts

                                          9,725,906   

 

96   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

      Average Notional            Average Market Value  
Fund    Forward foreign
currency
contracts
(to deliver)
     Forward foreign
currency
contracts
(to receive)
     Swap
contracts
           Futures
contracts
(long)
     Futures
contracts
(short)
 

High Yield Bond Zero Duration Fund

                 

Interest rate contracts

   $       $       $            $       $ 8,224,984   

Emerging Markets Local Debt Fund

                 

Foreign exchange contracts

     89,940,622         34,719,056                                

Euro Debt Fund

                 

Foreign exchange contracts

             30,924                                

Global Corporate Bond Fund

                 

Foreign exchange contracts

     321,325         1,581,876                                

Japan Interest Rate Strategy Fund (consolidated)

                 

Foreign exchange contracts

     1,048,580         2,558,729                                

Interest rate contracts

                                          4,951,317   

Global Real Return Fund (consolidated)

                 

Interest rate contracts

                     31,429                        

Commodity contracts

                     179,716              345,630           

Foreign exchange contracts

     407         149,149                                

Managed Futures Strategy Fund (consolidated)

                 

Commodity contracts

                     43,540,471              13,835,818         10,603,980   

Foreign exchange contracts

     13,646,700         27,763,284                      29,255,538         6,898,147   

Interest rate contracts

                                  13,863,585         9,692,509   

Investment Transactions and Investment Income — Investment transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Interest income including amortization of premiums and discounts is accrued daily.

Foreign Currency Translation — The accounting records of the Funds are maintained in U.S. dollars. Foreign currencies, as well as investment securities and other assets and liabilities denominated in foreign currencies, are translated into U.S. dollars using exchange rates prevailing on the respective dates of such transactions that are deemed appropriate by WTAM. Realized and unrealized foreign exchange gains and losses on investments are included as a component of net realized gain (loss) from investment transactions and net change in unrealized appreciation (depreciation) from investment transactions, respectively, on the Statement of Operations. Net realized and unrealized foreign exchange gains or losses arising from sales of foreign currencies, including gains and losses of forward foreign currency contracts, currency gains or losses recognized between the trade and settlement dates on investment transactions, and the difference between the amounts of dividends/interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid are included in net realized gain (loss) from forward foreign currency contracts and foreign currency related transactions and/or net change in unrealized appreciation (depreciation) from forward foreign currency contracts and translation of assets and liabilities denominated in foreign currencies in the Statement of Operations. Certain foreign exchange gains and losses included in realized and unrealized gains or losses are included in, or are a reduction of ordinary income in accordance with U.S. Federal income tax regulations.

Expenses — Under the Investment Advisory Agreement for each Fund, except U.S. Dollar Bullish Fund, U.S. Aggregate Bond Negative Duration Fund, U.S. Aggregate Bond Zero Duration Fund, High Yield Bond Negative Duration Fund, High Yield Bond Zero Duration Fund, Japan Interest Rate Strategy Fund, and Floating Rate Treasury Fund, WTAM has agreed to pay all expenses of the Funds, except for: (i) brokerage expenses and other expenses (such as stamp taxes) connected with the execution of portfolio transactions or in connection with creation and redemption transactions; (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) compensation and expenses of trustees who are not interested persons of the Funds (“Independent Trustees”); (iv) compensation and expenses of counsel to the Independent Trustees; (v) compensation and expenses of the Trust’s Chief Compliance Officer (“CCO”); (vi) extraordinary expenses; (vii) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; and (viii) the advisory fee payable to WTAM.

Under the investment advisory agreement for U.S. Dollar Bullish Fund, U.S. Aggregate Bond Negative Duration Fund, U.S. Aggregate Bond Zero Duration Fund, High Yield Bond Negative Duration Fund, High Yield Bond Zero Duration Fund, Japan Interest Rate Strategy Fund, and Floating Rate Treasury Fund, WTAM has agreed to pay all expenses of the Funds, except for: (i) brokerage expenses and other fees, charges, taxes, levies or expenses (such as stamp taxes) incurred in connection with the execution of portfolio transactions or in connection with creation and redemption transactions (including without limitation any fees, charges, taxes, levies or expenses related to the purchase or sale of an amount of any currency, or the partition or repatriation

 

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Notes to Financial Statements (unaudited) (continued)

 

of any security or other asset, related to the execution of portfolio transactions or any creation or redemption transactions); (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) compensation and expenses of each Independent Trustee; (iv) compensation and expenses of counsel to the Independent Trustees; (v) compensation and expenses of the Trust’s CCO; (vi) extraordinary expenses (in each case as determined by a majority of the Independent Trustees); (vii) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; (viii) interest and taxes of any kind or nature (including, but not limited to, income, excise, transfer and withholding taxes); (ix) fees and expenses related to the provision of securities lending services; and (x) the advisory fee payable to WTAM.

The internal expenses of pooled investment vehicles in which the Fund may invest (acquired fund fees and expenses) are not expenses of the Fund and are not paid by WTAM.

Pursuant to a separate contractual arrangement, WTAM arranges for the provision of CCO services with respect to each Fund, and is liable and responsible for, and administers, payments to the CCO, the Independent Trustees and counsel to the Independent Trustees. WTAM receives a fee, as shown on the Statements of Operations under “Service fees”, of up to 0.0044% of each Fund’s average daily net assets for providing such services and paying such expenses. WTAM provides CCO services to the Trust.

Repurchase Agreements — Each Fund’s custodian or a third party custodian under tri-party repurchase agreements may take possession of the collateral pledged for investments in repurchase agreements. The underlying collateral is valued on a daily basis at fair value to ensure that the value, including accrued interest, is at least equal to the repurchase price. In the event of default of the obligation to repurchase, a Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligations. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.

Forward Foreign Currency Contracts — A forward foreign currency contract (“Forward Contract”) involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. These contracts are principally traded in the inter-bank market conducted directly between currency traders (usually large, commercial banks) and their customers. A Forward Contract generally has no margin deposit requirement, and no commissions are charged at any stage for trades.

Risks may arise upon entering into Forward Contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currencies relative to the U.S. dollar or each other.

Fluctuations in the value of open Forward Contracts are recorded for book purposes as unrealized gains or losses on Forward Contracts by the Funds. Realized gains and losses on Forward Contracts include net gains or losses recognized by the Funds on contracts which have matured. Each Fund may enter into Forward Contracts to manage its foreign currency exposure or to facilitate settlement of foreign currency denominated portfolio transactions. A Fund may invest in both Forward Contracts and U.S. dollar denominated money market securities in an attempt to create a “synthetic” investment in a foreign currency denominated instrument.

The following Forward Contracts were open at February 28, 2014:

 

Fund    Settlement Date            Contracts
To Deliver
             In
Exchange For
     Unrealized
Gain (Loss)
 

U.S. Dollar Bullish Fund

                                                 
   3/7/2014      AUD         2,686,116         USD         2,346,833       $ (49,620
   3/7/2014      BRL         2,031,256         USD         835,564         (29,990
   3/7/2014      CAD         4,881,238         USD         4,379,442         (28,471
   3/7/2014      CHF         1,441,276         USD         1,590,014         (48,765
   3/7/2014      CNH         6,882,837         USD         1,139,412                 14,863   
   3/7/2014      EUR         3,809,938         USD         5,138,501         (120,350
   3/7/2014      EUR         4,992,354         USD         6,733,203         (157,736
   3/7/2014      GBP         2,190,704         USD         3,600,641         (67,694
   3/7/2014      JPY         745,203,110         USD         7,294,828         (27,712
   3/7/2014      KRW         1,343,718,987         USD         1,238,850         (19,673
   3/7/2014      MXN         48,907,469         USD         3,649,675         (37,589
   3/7/2014      USD         2,396,956         AUD         2,686,116         (503
   3/7/2014      USD         866,207         BRL         2,031,256         (653
   3/7/2014      USD         4,407,836         CAD         4,881,238         76   
   3/7/2014      USD         1,638,745         CHF         1,441,276         35   

 

98   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

Fund    Settlement Date            Contracts
To Deliver
             In
Exchange For
     Unrealized
Gain (Loss)
 

U.S. Dollar Bullish Fund (continued)

                                                 
   3/7/2014      USD         1,124,702         CNH         6,882,837       $ (151
   3/7/2014      USD         6,890,936         EUR         4,992,354         2   
   3/7/2014      USD         5,258,857         EUR         3,809,938         (6
   3/7/2014      USD         3,668,443         GBP         2,190,704         (108
   3/7/2014      USD         7,322,424         JPY         745,203,110         115   
   3/7/2014      USD         1,254,347         KRW         1,343,718,987         4,176   
   3/7/2014      USD         3,688,151         MXN         48,907,469         (888
   4/3/2014      AUD         2,605,778         USD         2,321,071         616   
   4/3/2014      BRL         1,936,287         USD         819,696         1,005   
   4/3/2014      CAD         4,815,601         USD         4,345,818         39   
   4/3/2014      CHF         1,401,861         USD         1,594,265         (9
   4/3/2014      CNH         6,884,240         USD         1,123,646         229   
   4/3/2014      EUR         4,303,335         USD         5,939,773         (40
   4/3/2014      EUR         4,303,336         USD         5,939,809         (6
   4/3/2014      GBP         2,140,021         USD         3,582,866         102   
   4/3/2014      JPY         732,827,688         USD         7,201,813         (142
   4/3/2014      KRW         1,327,591,000         USD         1,237,351         (4,026
   4/3/2014      MXN         47,943,874         USD         3,608,139         1,235   
                                              $ (571,639

Brazilian Real Strategy Fund

                                                 
   3/6/2014      BRL         578,984,915         USD         236,985,577       $ (10,723,850
   3/6/2014      BRL         21,764,308         USD         8,902,173         (409,337
   3/6/2014      BRL         8,367,281         USD         3,425,765         (154,042
   3/6/2014      BRL         8,410,981         USD         3,448,042         (150,462
   3/6/2014      BRL         407,000         USD         169,796         (4,333
   3/6/2014      BRL         17,766,151         USD         7,636,429         35,465   
   3/6/2014      BRL         17,766,151         USD         7,633,804         32,840   
   3/6/2014      USD         90,157,097         BRL         217,458,919         2,879,220   
   3/6/2014      USD         177,801         BRL         437,000         9,162   
   3/6/2014      USD         93,011,492         BRL         218,111,949         304,214   
   3/6/2014      USD         92,398,096         BRL         217,458,919         638,222   
   4/2/2014      USD         8,034,826         BRL         19,879,767         406,867   
   4/2/2014      USD         8,033,202         BRL         19,879,766         408,490   
   5/5/2014      USD         7,633,742         BRL         18,030,135         (34,977
   5/5/2014      USD         7,631,803         BRL         18,030,135         (33,038
                                              $ (6,795,559

Chinese Yuan Strategy Fund

                                                 
   4/16/2014      CNY         31,234,216         USD         5,116,431       $ 25,668   
   4/16/2014      CNY         31,043,235         USD         5,061,012         1,375   
   4/16/2014      CNY         13,877,888         USD         2,259,212         (2,700
   4/16/2014      USD         23,651,006         CNY         144,429,598         (110,893
   4/16/2014      USD         24,127,619         CNY         147,347,367         (111,948
   5/7/2014      USD         37,554,796         CNY         230,586,445         17,542   
   6/6/2014      USD         12,685,607         CNY         77,864,254         (2,358
   7/16/2014      CNH         1,000,000         USD         164,970                   2,444   
   7/16/2014      CNH         11,263,491         USD         1,831,164         553   
   7/16/2014      CNH         6,800,000         USD         1,110,748         5,571   
   7/16/2014      USD         38,090,167         CNH         231,401,571         (481,375
   7/16/2014      USD         38,088,913         CNH         231,401,572         (480,122
                                              $ (1,136,243

 

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Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

Fund    Settlement Date            Contracts
To Deliver
             In
Exchange For
     Unrealized
Gain (Loss)
 

Commodity Currency Strategy Fund

                                                 
   3/6/2014      AUD         277,560         USD         246,976       $ (1,366
   3/6/2014      AUD         277,560         USD         242,614         (5,727
   3/6/2014      AUD         1,665,364         USD         1,492,166         2,115   
   3/6/2014      BRL         592,351         USD         242,891         (10,537
   3/6/2014      BRL         3,554,107         USD         1,523,406                   2,839   
   3/6/2014      CAD         266,731         USD         246,672         5,723   
   3/6/2014      CAD         266,731         USD         238,386         (2,563
   3/6/2014      CAD         1,600,386         USD         1,436,097         (9,594
   3/6/2014      CLP         132,653,227         USD         247,077         9,382   
   3/6/2014      CLP         132,653,227         USD         241,653         3,959   
   3/6/2014      CLP         795,919,362         USD         1,416,227         (9,942
   3/6/2014      NOK         1,541,162         USD         248,495         (8,732
   3/6/2014      NOK         1,541,162         USD         246,457         (10,770
   3/6/2014      NOK         9,246,974         USD         1,530,196         (13,166
   3/6/2014      NZD         311,871         USD         257,596         (4,418
   3/6/2014      NZD         311,871         USD         253,391         (8,623
   3/6/2014      NZD         1,871,231         USD         1,567,530         (4,557
   3/6/2014      RUB         8,433,137         USD         252,038         17,445   
   3/6/2014      RUB         8,433,137         USD         239,434         4,841   
   3/6/2014      RUB         50,598,826         USD         1,399,072         (8,487
   3/6/2014      USD         2,004,831         AUD         2,220,484         (18,097
   3/6/2014      USD         1,687,507         BRL         4,146,458         86,489   
   3/6/2014      USD         2,011,167         CAD         2,133,848         (83,579
   3/6/2014      USD         1,998,354         CLP         1,061,225,816         (96,795
   3/6/2014      USD         2,016,519         NOK         12,329,298         41,297   
   3/6/2014      USD         2,015,764         NZD         2,494,973         80,352   
   3/6/2014      USD         1,999,884         RUB         67,465,100         (123,139
   3/6/2014      USD         1,996,363         ZAR         20,678,926         (71,825
   3/6/2014      ZAR         2,584,865         USD         239,338         (1,229
   3/6/2014      ZAR         2,584,865         USD         230,731         (9,836
   3/6/2014      ZAR         15,509,196         USD         1,445,432         2,028   
   4/2/2014      USD         1,479,205         BRL         3,476,872         (2,795
   6/3/2014      USD         1,470,619         AUD         1,651,156         (2,064
   6/3/2014      USD         1,465,751         CAD         1,636,870         9,805   
   6/3/2014      USD         1,465,639         CLP         831,896,572         11,229   
   6/3/2014      USD         1,476,548         NOK         8,952,460         12,666   
   6/3/2014      USD         1,484,203         NZD         1,783,984         4,366   
   6/3/2014      USD         1,464,719         RUB         53,868,720         9,391   
   6/3/2014      USD         1,483,426         ZAR         16,143,833         (2,154
                                              $ (206,068

Emerging Currency Strategy Fund

                                                 
   3/6/2014      BRL         635,263         USD         258,132       $ (13,655
   3/6/2014      BRL         1,270,526         USD         528,175         (15,399
   3/6/2014      BRL         635,263         USD         262,590         (9,197
   3/6/2014      BRL         317,631         USD         131,934         (3,959
   3/6/2014      BRL         317,631         USD         132,623         (3,271
   3/6/2014      BRL         317,631         USD         135,592         (301
   3/6/2014      BRL         22,869,472         USD         9,836,332         51,994   
   3/6/2014      USD         10,790,748         BRL         26,363,417         488,418   
   4/2/2014      USD         9,828,555         BRL         23,023,390         (51,962

 

100   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

Fund    Settlement Date            Contracts
To Deliver
             In
Exchange For
     Unrealized
Gain (Loss)
 

Emerging Currency Strategy Fund (continued)

                                                 
   5/5/2014      CLP         144,322,699         USD         260,275       $           3,325   
   5/5/2014      CLP         288,645,398         USD         518,447         4,546   
   5/5/2014      CLP         144,322,699         USD         261,653         4,703   
   5/5/2014      CLP         72,161,349         USD         130,538         2,063   
   5/5/2014      CLP         72,161,349         USD         129,565         1,090   
   5/5/2014      CLP         72,161,349         USD         128,876         400   
   5/5/2014      COP         524,631,160         USD         258,566         3,172   
   5/5/2014      COP         1,049,262,321         USD         509,598         (1,191
   5/5/2014      COP         524,631,160         USD         257,147         1,753   
   5/5/2014      COP         262,315,580         USD         128,533         835   
   5/5/2014      COP         262,315,580         USD         127,959         262   
   5/5/2014      COP         262,315,580         USD         127,644         (54
   5/5/2014      IDR         3,232,774,987         USD         261,869         (13,612
   5/5/2014      IDR         6,465,549,974         USD         529,312         (21,651
   5/5/2014      IDR         3,232,774,987         USD         267,171         (8,310
   5/5/2014      IDR         1,616,387,493         USD         135,206         (2,535
   5/5/2014      IDR         1,616,387,493         USD         136,289         (1,452
   5/5/2014      IDR         1,616,387,493         USD         137,275         (466
   5/5/2014      INR         16,742,368         USD         263,659         (2,642
   5/5/2014      INR         33,484,736         USD         527,817         (4,786
   5/5/2014      INR         16,742,368         USD         264,764         (1,537
   5/5/2014      INR         8,371,184         USD         132,644         (506
   5/5/2014      INR         8,371,184         USD         132,414         (737
   5/5/2014      INR         8,371,184         USD         133,437         287   
   5/5/2014      MXN         3,521,929         USD         261,518         (3,143
   5/5/2014      MXN         7,043,859         USD         524,144         (5,179
   5/5/2014      MXN         3,521,929         USD         262,621         (2,040
   5/5/2014      MXN         1,760,964         USD         132,329         (1
   5/5/2014      MXN         1,760,964         USD         132,048         (282
   5/5/2014      MXN         1,760,964         USD         132,382         51   
   5/5/2014      MYR         437,042         USD         131,897         (745
   5/5/2014      MYR         874,084         USD         261,389         (3,895
   5/5/2014      MYR         1,748,168         USD         523,717         (6,851
   5/5/2014      MYR         874,084         USD         261,622         (3,662
   5/5/2014      MYR         437,042         USD         131,778         (864
   5/5/2014      MYR         437,042         USD         132,801         159   
   5/5/2014      PHP         11,831,011         USD         261,228         (3,333
   5/5/2014      PHP         23,662,023         USD         524,308         (4,814
   5/5/2014      PHP         11,831,011         USD         263,022         (1,539
   5/5/2014      PHP         5,915,505         USD         132,516         235   
   5/5/2014      PHP         5,915,505         USD         132,486         206   
   5/5/2014      PHP         5,915,505         USD         132,620         340   
   5/5/2014      PLN         805,189         USD         258,923         (6,615
   5/5/2014      PLN         1,610,378         USD         522,100         (8,977
   5/5/2014      PLN         805,189         USD         263,165         (2,373
   5/5/2014      PLN         402,594         USD         132,775         6   
   5/5/2014      PLN         402,594         USD         132,224         (545
   5/5/2014      PLN         402,594         USD         132,697         (72
   5/5/2014      RUB         9,189,215         USD         256,396         3,575   
   5/5/2014      RUB         18,378,431         USD         520,271         14,630   

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      101   


Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

Fund    Settlement Date            Contracts
To Deliver
             In
Exchange For
     Unrealized
Gain (Loss)
 

Emerging Currency Strategy Fund (continued)

                                                 
   5/5/2014      RUB         9,189,215         USD         257,088       $ 4,268   
   5/5/2014      RUB         4,594,608         USD         127,806         1,395   
   5/5/2014      RUB         4,594,608         USD         126,818         408   
   5/5/2014      RUB         4,594,608         USD         127,078         668   
   5/5/2014      TRY         615,317         USD         265,318         (8,457
   5/5/2014      TRY         1,230,635         USD         543,424         (4,126
   5/5/2014      TRY         615,317         USD         273,887         112   
   5/5/2014      TRY         307,658         USD         138,357         1,470   
   5/5/2014      TRY         307,658         USD         137,371         484   
   5/5/2014      TRY         307,658         USD         136,512         (375
   5/5/2014      USD         10,845,436         CLP         5,989,392,025         (181,988
   5/5/2014      USD         10,779,114         COP         21,772,193,172         (180,247
   5/5/2014      USD         10,801,945         IDR         134,160,161,978               630,535   
   5/5/2014      USD         10,830,150         INR         694,808,283         221,357   
   5/5/2014      USD         10,948,157         MXN         146,160,089         35,295   
   5/5/2014      USD         10,836,942         MYR         36,274,495         172,344   
   5/5/2014      USD         10,812,310         PHP         490,986,981         166,981   
   5/5/2014      USD         10,802,491         PLN         33,415,346         217,347   
   5/5/2014      USD         10,783,940         RUB         381,352,461         (291,906
   5/5/2014      USD         11,023,863         TRY         25,535,677         337,799   
   5/5/2014      ZAR         2,946,394         USD         258,555         (13,104
   5/5/2014      ZAR         5,892,789         USD         524,923         (18,394
   5/5/2014      ZAR         2,946,394         USD         264,137         (7,522
   5/5/2014      ZAR         1,473,197         USD         133,953         (1,876
   5/5/2014      ZAR         1,473,197         USD         133,457         (2,372
   5/5/2014      ZAR         1,473,197         USD         135,927         98   
   5/5/2014      USD         10,918,420         ZAR         122,275,388         355,409   
   5/7/2014      CNH         1,574,342         USD         260,265         3,989   
   5/7/2014      CNH         3,148,685         USD         521,694         9,143   
   5/7/2014      CNH         1,574,342         USD         260,093         3,817   
   5/7/2014      CNH         787,171         USD         130,094         1,956   
   5/7/2014      CNH         787,171         USD         129,982         1,844   
   5/7/2014      CNH         787,171         USD         128,413         275   
   5/7/2014      KRW         282,711,499         USD         262,645         (1,158
   5/7/2014      KRW         565,422,998         USD         525,877         (1,730
   5/7/2014      KRW         282,711,499         USD         263,911         107   
   5/7/2014      KRW         141,355,749         USD         132,055         153   
   5/7/2014      KRW         141,355,749         USD         132,022         120   
   5/7/2014      KRW         141,355,749         USD         131,225         (677
   5/7/2014      THB         8,629,542         USD         259,457         (3,560
   5/7/2014      THB         17,259,084         USD         521,422         (4,612
   5/7/2014      THB         8,629,542         USD         262,935         (82
   5/7/2014      THB         4,314,771         USD         131,946         438   
   5/7/2014      THB         4,314,771         USD         131,548         39   
   5/7/2014      THB         4,314,771         USD         131,829         321   
   5/7/2014      USD         10,798,497         CNH         65,335,229         (163,054
   5/7/2014      USD         10,828,359         KRW         11,732,527,221         119,482   
   5/7/2014      USD         10,773,947         THB         358,126,000         141,261   
                                              $ 1,913,572   

 

102   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

Fund    Settlement Date            Contracts
To Deliver
             In
Exchange For
     Unrealized
Gain (Loss)
 

Indian Rupee Strategy Fund

                                                 
   5/5/2014      INR         127,182,381         USD         2,007,615       $ (15,328
   5/5/2014      INR         115,834         USD         1,828         (14
   5/5/2014      USD         9,027,423         INR         580,553,601         206,768   
   5/5/2014      USD         9,026,020         INR         580,553,600               208,171   
   5/5/2014      USD         9,299,536         INR         598,146,133         214,480   
   5/5/2014      USD         331,002         INR         21,300,000         7,792   
                                              $ 621,869   

Asia Local Debt Fund

                                                 
   3/19/2014      SGD         1,065,000         USD         839,905       $ (528
   3/19/2014      TWD         70,000,000         USD         2,374,693         65,953   
   3/19/2014      USD         3,432,357         CNH         20,855,000         (31,595
   3/19/2014      USD         36,744,357         SGD         45,861,000         (553,638
   3/19/2014      USD         28,356,447         TWD         834,246,662         (841,326
                                              $ (1,361,134

Emerging Markets Local Debt Fund

                                                 
   3/3/2014      IDR         7,005,271,150         USD         600,538       $ (2,897
   3/3/2014      KRW         974,060,527         USD         914,267         1,799   
   3/3/2014      PLN         3,672,620         USD         1,204,105         (11,793
   3/3/2014      RON         1,476,627         USD         446,637         (6,323
   3/4/2014      KRW         964,639,810         USD         902,460         (1,184
   3/4/2014      PLN         3,643,772         USD         1,195,589         (10,759
   3/4/2014      RON         1,465,997         USD         445,768         (3,931
   3/5/2014      BRL         2,108,793         USD         898,314         (4,422
   3/6/2014      BRL         1,049,916         USD         448,682         (768
   3/19/2014      KRW         1,637,000,000         USD         1,549,602         17,870   
   3/19/2014      KRW         980,000,000         USD         927,459         10,478   
   3/19/2014      KRW         95,881,640         USD         88,969         (747
   3/19/2014      KRW         1,277,000,000         USD         1,177,773         (17,110
   3/19/2014      KRW         639,000,000         USD         589,347         (8,562
   3/19/2014      KRW         645,000,000         USD         600,950         (2,573
   3/19/2014      KRW         1,285,000,000         USD         1,188,703         (13,665
   3/19/2014      KRW         1,285,000,000         USD         1,187,506         (14,862
   3/19/2014      KRW         322,000,000         USD         297,570         (3,724
   3/19/2014      KRW         966,000,000         USD         896,936         (6,945
   3/19/2014      KRW         320,000,000         USD         300,441         1,019   
   3/19/2014      PLN         3,730,000         USD         1,210,227         (23,501
   3/19/2014      PLN         1,830,000         USD         590,219         (15,068
   3/19/2014      PLN         2,775,000         USD         900,763         (17,090
   3/19/2014      PLN         3,700,000         USD         1,203,291         (20,513
   3/19/2014      PLN         2,745,000         USD         895,083         (12,848
   3/19/2014      PLN         920,000         USD         302,968         (1,330
   3/19/2014      THB         19,520,000         USD         599,325         2,017   
   3/19/2014      THB         9,845,000         USD         302,318         1,064   
   3/19/2014      THB         19,560,000         USD         599,448         917   
   3/19/2014      TRY         2,675,000         USD         1,197,886         (9,192
   3/19/2014      TRY         2,010,000         USD         899,208         (7,793
   3/19/2014      TRY         18,315,000         USD         8,261,462         (3,077
   3/19/2014      TRY         21,500,000         USD         9,789,120         87,368   
   3/19/2014      USD         25,626,397         KRW         27,162,700,000         (210,395
   3/19/2014      USD         26,156,613         PLN         80,000,000         304,027   

 

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Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

Fund    Settlement Date            Contracts
To Deliver
             In
Exchange For
     Unrealized
Gain (Loss)
 

Emerging Markets Local Debt Fund (continued)

                                                 
   3/19/2014      USD         4,861,006         THB         160,000,000       $ 34,959   
   3/19/2014      USD         10,142,211         TRY         23,000,000               236,407   
   3/19/2014      USD         15,953,689         TRY         35,000,000         (160,140
   3/19/2014      USD         3,571,767         ZAR         39,545,000         101,413   
   3/19/2014      USD         9,055,633         ZAR         100,000,000         232,976   
   3/19/2014      USD         9,786,731         ZAR         108,000,000         244,967   
   3/19/2014      USD         7,744,862         ZAR         84,000,000         57,570   
   3/19/2014      ZAR         98,000,000         USD         9,110,855         8,018   
                                              $ 751,657   

Global Corporate Bond Fund

                                                 
   5/14/2014      EUR         391,891         USD         534,677       $ (6,580
   5/14/2014      GBP         75,870         USD         124,390         (2,692
                                              $ (9,272

Japan Interest Rate Strategy Fund (consolidated)

                                                 
   3/6/2014      JPY         77,000,000         USD         755,107       $ 678   
   3/6/2014      JPY         4,551,000         USD         44,631         41   
   3/6/2014      JPY         77,000,000         USD         755,109         680   
   3/6/2014      JPY         5,600,000         USD         54,867           
   3/6/2014      USD         54,918         JPY         5,600,000         (51
   3/6/2014      USD         754,429         JPY         77,000,000         (1
   3/6/2014      USD         44,590         JPY         4,551,000           
   3/6/2014      USD         754,428         JPY         77,000,000           
   4/4/2014      JPY         77,000,000         USD         754,534         (7
   4/4/2014      JPY         4,551,000         USD         44,596           
   4/4/2014      JPY         77,000,000         USD         754,535         (5
   4/4/2014      USD         54,876         JPY         5,600,000           
   4/4/2014      USD         17,286         JPY         1,764,000           
                                              $ 1,335   

Global Real Return Fund (consolidated)

                                                 
   4/16/2014      AUD         115,000         USD         103,607       $ 996   
   4/16/2014      CAD         100,000         USD         89,962         (284
   4/16/2014      EUR         91,603         USD         123,802         (2,715
   4/16/2014      GBP         87,000         USD         144,104         (1,649
   4/16/2014      TRY         207,493         USD         88,668         (4,181
   4/16/2014      ZAR         945,000         USD         85,581         (1,814
                                              $ (9,647

Managed Futures Strategy Fund (consolidated)

                                                 
   3/19/2014      JPY         1,014,193,500         USD         9,905,346       $ (32,133
   3/19/2014      JPY         53,511,000         USD         522,873         (1,449
   3/19/2014      JPY         1,014,193,500         USD         9,907,281         (30,198
   3/19/2014      JPY         60,945,000         USD         590,469         (6,694
   3/19/2014      JPY         179,466,000         USD         1,708,001         (50,479
   3/19/2014      JPY         303,191,000         USD         2,963,744         (7,044
   3/19/2014      JPY         108,327,000         USD         1,057,352         (4,080
   3/19/2014      USD         3,463,087         JPY         364,386,000               107,315   
   3/19/2014      USD         895,368         JPY         93,514,000         20,920   
   3/19/2014      USD         1,336,652         JPY         135,756,000         (6,460
   3/19/2014      USD         10,804,209         JPY         1,099,895,500         (26,988
   3/19/2014      USD         10,220,593         JPY         1,040,275,500         (27,553
   6/18/2014      USD         9,184,152         JPY         934,503,964         (23,037
   6/18/2014      USD         8,687,894         JPY         883,849,036         (23,360
                                              $ (111,240

 

 

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Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

Currency Legend:

AUD – Australian dollar

BRL – Brazilian real

CAD – Canadian dollar

CHF – Swiss Franc

CLP – Chilean peso

CNH – Chinese renminbi

CNY – Chinese yuan

COP – Colombian peso

EUR – Euro

GBP – British pound

IDR – Indonesian rupiah

INR – Indian rupee

JPY – Japanese yen

KRW – South Korean won

MXN – Mexican peso

MYR – Malaysian ringgit

NOK – Norwegian krone

NZD – New Zealand dollar

PHP – Philippine peso

PLN – Polish zloty

RON – Romanian leu

RUB – Russian ruble

SGD – Singapore dollar

THB – Thai baht

TRY – Turkish new lira

TWD – New Taiwan dollar

USD – U.S. dollar

ZAR – South African rand

Currency, Interest Rate and Total Return Swaps — Each Fund may enter into swap agreements, including interest rate swaps, currency swaps and total return swaps. A typical interest rate swap involves the exchange of a floating interest rate payment for a fixed interest rate payment. A typical foreign cross-currency swap involves the exchange of cash flows based on the notional difference among two or more currencies (e.g., the U.S. dollar and the Brazilian real). A typical total return swap involves the payment of the total return on a reference asset in return for payments equal to a rate of interest on another reference asset. The total return typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments. Swap agreements may be used to achieve exposure to, for example, currencies, interest rates, indexes and money market securities without actually purchasing such currencies or securities. The Managed Futures Strategy Fund and the Global Real Return Fund may enter into swaps transactions based on commodities or commodity indexes. Each Fund may use swap agreements to invest in a market without owning or taking physical custody of the underlying securities in circumstances in which direct investment is restricted for legal reasons or is otherwise impracticable. Swap agreements will tend to shift a Fund’s investment exposure from one type of investment to another or from one payment stream to another. Depending on their structure, swap agreements may increase or decrease a Fund’s exposure to long- or short-term interest rates (in the United States or abroad), foreign currencies, corporate borrowing rates, or other factors, and may increase or decrease the overall volatility of a Fund’s investments and its share price.

Detailed below is the total return swap agreement outstanding as of February 28, 2014:

 

Fund    Counterparty      Termination
Date
     Notional
Amount
(000)
    

Fund Pays
Fixed/Floating
Rate

(per annum)

     Fund Receives Total
Return of
Reference Entity
     Unrealized
Appreciation
 

Managed Futures Strategy Fund (consolidated)

     UBS AG         6/3/14       $ 50,164        
 
 
3-Month U.S.
Treasury Bill Index
+ 0.45%
  
  
  
     AFT CTI Modified Index       $ 143,452   

Abbreviations:

AFT CTI — The Alpha Financial Technologies Commodity Trends Indicator

Futures Contracts — Each Fund may transact in currency futures contracts and U.S. Treasury futures contracts. The Managed Futures Strategy Fund and Global Real Return Fund may transact in commodity, currency and U.S. Treasury futures contracts. When a Fund purchases a listed futures contract, it agrees to purchase a specified reference asset (e.g., commodity, currency or Treasury security) at a specified future date. When a Fund sells a listed futures contract, it agrees to sell a specified reference asset (e.g., commodity, currency or Treasury security) at a specified future date. The price at which the purchase and sale will take place is fixed when the Fund enters into the contract. The exchange clearing corporation is the ultimate counterparty for all exchange-listed contracts, so credit risk is limited to the creditworthiness of the exchange’s clearing corporation. Margin deposits are posted as performance bonds with the clearing broker and, in turn, with the exchange clearing corporation.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds      105   


Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

Each Fund may buy and sell index futures contracts. An index futures contract is a bilateral agreement pursuant to which two parties agree to take or make delivery of an amount of cash equal to a specified dollar amount times the difference between the index value at the close of trading of the contract and the price at which the futures contract is originally struck. No physical delivery of the securities comprising the index is made. Instead, settlement in cash must occur upon the termination of the contract, with the settlement being the difference between the contract price, and the actual level of the index at the expiration of the contract. Generally, contracts are closed out prior to the expiration date of the contract.

Upon entering into a futures contract, a Fund is required to deliver to a broker an amount of cash and/or government securities equal to a certain percentage of the contract amount. This amount is known as the “initial margin”. Subsequent payments, known as “variation margin”, generally are made or received by the Fund each day depending on the fluctuations in the value of the underlying futures contracts, except that in the case of certain futures contracts payments may be made or received at settlement. Such variation margin is recorded for financial statement purposes on a daily basis as an unrealized gain or loss on futures until the financial futures contract is closed, at which time the net gain or loss is reclassified to realized gain or loss on futures. When a Fund purchases or sells a futures contract, the Fund is required to “cover” its position in order to limit the risk associated with the use of leverage and other related risks. To cover its position, a Fund will segregate assets consisting of cash or liquid securities that, when added to any amounts deposited with a futures commission merchant as margin, are equal to the market value of the futures contract or otherwise “cover” its position in a manner consistent with the 1940 Act or the rules and SEC interpretations thereunder. If a Fund continues to engage in the described securities trading practices and properly segregates assets, the segregated assets will function as a practical limit on the amount of leverage which a Fund may undertake and on the potential increase in the speculative character of a Fund’s outstanding portfolio securities. Additionally, such segregated assets will generally ensure the availability of adequate funds to meet the obligations of a Fund arising from such investment activities.

The following futures contracts were open at February 28, 2014:

 

Fund          Number of
Contracts
    

Notional

Value

     Expiration
Date
     Unrealized
Appreciation/
(Depreciation)
 

U.S. Aggregate Bond Negative Duration Fund

   Futures Contracts Short                                    
   U.S. Treasury 10yr Notes Futures      6       $ (747,188      Jun-14       $ (1,434
   U.S. Treasury 5yr Notes Futures      1         (119,859      Jun-14         (10
   U.S. Long Bond (CBT) Futures      21         (2,794,313      Jun-14         (23,982
   U.S. Ultra Long Term Bond (CBT) Futures      7         (1,005,156      Jun-14         (14,443
                                       (39,869

U.S. Aggregate Bond Zero Duration Fund

   Futures Contracts Short                                    
   U.S. Treasury 10yr Notes Futures      9         (1,120,781      Jun-14         (2,761
   U.S. Treasury 2yr Notes Futures      7         (1,539,125      Jun-14         (124
   U.S. Treasury 5yr Notes Futures      11         (1,318,453      Jun-14         (1,984
   U.S. Long Bond (CBT) Futures      5         (665,313      Jun-14         (5,698
   U.S. Ultra Bond (CBT) Futures      2         (287,188      Jun-14         (4,127
                                       (14,694

High Yield Bond Negative Duration Fund

   Futures Contracts Short                                    
   U.S. Treasury 10yr Notes Futures      21         (2,517,047      Jun-14         (4,755
   U.S. Treasury 5yr Notes Futures      19         (2,366,094      Jun-14         (5,829
   U.S. Long Bond (CBT) Futures      20         (2,661,250      Jun-14         (23,948
   U.S. Ultra Long Term Bond (CBT) Futures      15         (2,153,906      Jun-14         (30,950
                                       (65,482

High Yield Bond Zero Duration Fund

   Futures Contracts Short                                    
   U.S. Treasury 5yr Notes Futures      19         (2,277,328      Jun-14         (4,641
   U.S. Treasury 2yr Notes Futures      26         (5,716,750      Jun-14         (461
                                       (5,102

Japan Interest Rate Strategy Fund (consolidated)

   Futures Contracts Short                                    
   Japanese Government 10 Year Mini Bond Futures      4         (568,932      Mar-14         (5,300
   Japanese Government 10yr Bond (TSE) Futures      3         (4,266,987      Mar-14         (38,526
                                       (43,826

 

106   WisdomTree Currency Strategy, Fixed Income and Alternative Funds


Table of Contents

Notes to Financial Statements (unaudited) (continued)

 

Fund          Number of
Contracts
    

Notional

Value

     Expiration
Date
     Unrealized
Appreciation/
(Depreciation)
 

Global Real Return Fund (consolidated)

   Futures Contracts Long                                    
   Copper Futures      1       $ 80,963         Mar-14       $ (1,238
   Gasoline RBOB Futures      2         246,800         Jun-14         1,371   
   Platinum Futures      1         72,340         Apr-14         1,422   
                                       1,555   

Managed Futures Strategy Fund (consolidated)

   Futures Contracts Short                                    
   Canadian Dollar Currency Futures      16         (1,442,400      Jun-14         (10,528
   Copper Futures      29         (2,310,938      May-14         7,099   
                                     (3,429
   Futures Contracts Long                                    
   Australian Dollar Currency Futures      33         2,925,780         Jun-14         101   
   British Pound Currency Futures      71         7,431,038         Jun-14         32,625   
   Cocoa Futures      16         474,560         Jul-14         6,740   
   Coffee Futures      10         683,438         Jul-14         180,450   
   Corn Futures      83         1,940,125         Jul-14         (1,428
   Cotton Futures      11         477,895         Jul-14         5,149   
   Euro Currency Futures      111         19,178,025         Jun-14         (1,758
   Gasoline RBOB Futures      11         1,357,402         Jun-14         (39
   Gold 100 Ounce Futures      12         1,586,280         Jun-14         (332
   Lean Hogs Futures      22         987,580         Jun-14         61,001   
   Live Cattle Futures      26         1,395,680         Jun-14         24,536   
   Natural Gas Futures      44         2,009,920         Jun-14         76,016   
   NY Harbor ULSD Futures      11         1,374,958         Jun-14         (39
   Silver Futures      8         850,920         Jul-14         (583
   Soybean Futures      35         2,424,188         Jul-14         (1,535
   Sugar #11 (World) Futures      23         454,922         May-14         (86
   Swiss Franc Currency Futures      21         2,992,238         Jun-14         150   
   U.S. Long Bond (CBT) Futures      83         11,044,188         Jun-14         84,232   
   U.S. Treasury 10yr Notes Futures      88         10,958,750         Jun-14         36,268   
   Wheat Futures (CBT)      36         1,094,850         Jul-14         (668
   WTI Crude Futures      41         4,138,950         Jun-14         (144
                                       500,656   
     Net                               $ 497,227   

Securities Lending — Each Fund may lend portfolio securities to certain creditworthy borrowers, including the Funds’ securities lending agent. It is the Funds’ policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral in the form of cash and/or high-grade debt obligations, equivalent to at least 100% of the market value of securities, is maintained at all times. The cash collateral can be invested in certain money market mutual funds which also have exposure to the fluctuations of the market. The value of the investment of cash collateral for securities on loan along with the obligation to return such collateral are included on the Statements of Assets and Liabilities. The value of securities received as collateral for securities on loan are not included on the Statements of Assets and Liabilities because the receiving Fund does not have the right to sell or repledge the securities received as collateral. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash or U.S. government securities held as collateral, net of fee rebates paid to the borrower plus reasonable administrative and custody fees. The securities lending income earned by the Funds is disclosed on the Statements of Operations. The dividend and interest income earned on the securities loaned is accounted for in the same manner as other dividend and interest income. The borrower pays to the Funds an amount equal to any dividends or interest received on loaned securities. The Funds retain all or a portion of the interest received on investment of cash collateral or receive a fee from the borrower. Lending portfolio securities could result in a loss or delay in recovering each Fund’s securities if the borrower defaults.

Master Netting Arrangements — Accounting Standards Update No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”) is generally intended to (i) help investors and other financial statement users to better assess the effect or potential effect of offsetting arrangements on a company’s financial position, (ii) improve transparency in the reporting of how companies

 

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mitigate credit risk, and (iii) facilitate comparisons between those entities that prepare their financial statements on the basis of GAAP and those entities that prepare their financial statements on the basis of international financial reporting standards. ASU 2011-11 requires entities to disclose (i) gross and net information about both instruments and transactions eligible for offset in the financial statements, and (ii) instruments and transactions subject to an agreement similar to a master netting agreement. ASU 2011-11 is limited in scope to the following financial instruments, to the extent they are offset in the financial statements or subject to an enforceable master netting arrangement or similar agreement: (i) recognized derivative instruments accounted for under ASC 815 (Derivatives and Hedging); (ii) repurchase agreements and reverse repurchase agreements; and (iii) securities borrowing and securities lending transactions.

In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs over-the-counter derivatives (“OTC”), including Forward Contracts, and typically contains, among other things, collateral posting terms, netting and rights of set-off provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and receivables to create a single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.

Collateral requirements generally differ by type of derivative. Collateral terms are contract-specific for OTC derivatives (e.g. foreign exchange contracts, options and certain swaps). Generally, for transactions traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its derivatives counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance.

A Fund’s security lending activities are governed by a Securities Lending Authorization Agreement (“Lending Agreement”) between the Fund and the lending agent. The Lending Agreement authorizes the lending agent to lend qualifying U.S. and foreign securities held by a Fund to approved borrowers (each a “Borrower”). To mitigate borrower risk, a Fund typically receives from a Borrower, collateral in the form of U.S. dollar cash and/or securities issued or guaranteed by the U.S. Government or its agencies in excess of the market value of the securities loaned. Under the provisions of the Lending Agreement, a Fund shall have, as to the collateral, all of the rights and remedies of a secured party under applicable law. A Fund is exposed to risk of loss if a Borrower defaults on its obligation to return borrowed securities and the value of the collateral a Fund received is insufficient to cover the market value of the securities loaned. Also, the lending agent is permitted to invest the cash collateral it receives from a Borrower into a money market fund which is subject to market fluctuation. Therefore, a Fund is exposed to risk of loss if the value of invested cash collateral is insufficient to satisfy the Fund’s obligation to return the full amount owed to such Borrower.

For financial reporting purposes, the Funds do not offset assets and liabilities subject to master netting arrangements or similar arrangements in the Statements of Assets and Liabilities. Therefore, all qualifying transactions are presented on a gross basis in the Statements of Assets and Liabilities. As of February 28, 2014, the impact of netting of assets and liabilities and the offsetting of collateral pledged or received based on contractual netting/set-off provisions from master netting arrangements are detailed in the following table:

 

     Assets          Liabilities  
   

Gross Amounts
Subject to
Master Netting
Arrangements

 

    Gross Amounts Not Offset
in Statement of
Assets and  Liabilities
             

Gross Amounts
Subject to
Master Netting
Arrangements

 

    Gross Amounts Not Offset
in Statement of
Assets and  Liabilities
       
Fund     Financial
Instruments
    Collateral
Received
    Net Amount            Financial
Instruments
    Collateral
Pledged
    Net Amount  

U.S. Dollar Bullish Fund

                                                                   

Forward Foreign Currency Contracts

  $ 21,156     $ (20,980 )   $      $ 176          $ 386,694     $ (20,980 )   $      $ 365,714   

Brazilian Real Strategy Fund

                                                                   

Repurchase Agreements

    8,714,378              (8,714,378 )1                                        

Forward Foreign Currency Contracts

    3,998,791       (304,214 )            3,694,577            11,437,691       (304,214 )     (760,000 )     10,373,477   

Chinese Yuan Strategy Fund

                                                                   

Repurchase Agreements

    25,734,366              (25,734,366 )1                                        

Forward Foreign Currency Contracts

    35,611       (8,568 )            27,043            1,189,396       (8,568 )     (530,000 )       650,828   

 

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Notes to Financial Statements (unaudited) (continued)

 

     Assets          Liabilities  
   

Gross Amounts
Subject to
Master Netting
Arrangements

 

    Gross Amounts Not Offset
in Statement of
Assets and  Liabilities
             

Gross Amounts
Subject to
Master Netting
Arrangements

 

    Gross Amounts Not Offset
in Statement of
Assets and  Liabilities
       
Fund     Financial
Instruments
    Collateral
Received
    Net Amount            Financial
Instruments
    Collateral
Pledged
    Net Amount  

Commodity Currency Strategy Fund

                                                                   

Repurchase Agreements

  $ 3,214,972     $      $ (3,214,972 )1    $          $      $      $      $   

Forward Foreign Currency Contracts

    213,295       (72,630 )            140,665            404,101       (72,630 )            331,471   

Emerging Currency Strategy Fund

                                                                   

Repurchase Agreements

    6,169,683              (6,169,683 )1                                        

Forward Foreign Currency Contracts

    2,268,334       (568,038 )            1,700,296            914,203       (568,038 )     (240,000 )     106,165   

Indian Rupee Strategy Fund

                                                                   

Repurchase Agreements

    286,196              (286,196 )1                                        

Forward Foreign Currency Contracts

    429,040                     429,040                                   

Asia Local Debt Fund

                                                                   

Repurchase Agreements

    45,572,519              (45,572,519 )1                                        

Forward Foreign Currency Contracts

    65,953                     65,953            585,761              (330,000 )     255,761   

U.S. Aggregate Bond Negative Duration Fund

                                                                   

Futures Contracts

    2,529       (447 )            2,082            447       (447 )              

U.S. Aggregate Bond Zero Duration Fund

                                                                   

Futures Contracts

    3,408       (125 )            3,283            125       (125 )              

High Yield Bond Negative Duration Fund

                                                                   

Securities Lending

    148,368              (148,368 )1                 152,500       (152,500 )              

Futures Contracts

    7,867       (937 )            6,930            937       (937 )              

High Yield Bond Zero Duration Fund

                                                                   

Securities Lending

    148,368              (148,368 )1                 152,500       (152,500 )              

Futures Contracts

    3,039                     3,039                                   

Emerging Markets Corporate Bond Fund

                                                                   

Securities Lending

    24,765,395              (24,765,395 )1                 25,339,746       (25,339,746 )              

Emerging Markets Local Debt Fund

                                                                   

Securities Lending

    3,714,029              (3,714,029 )1                 3,837,240       (3,837,240 )              

Repurchase Agreements

    4,777,445              (4,777,445 )1                                        

Forward Foreign Currency Contracts

    1,245,023       (332,466 )            912,557            559,149       (332,466 )     (226,683 )1        

Global Corporate Bond Fund

                                                                   

Securities Lending

    128,687              (128,687 )1                 132,323       (132,323 )              

Forward Foreign Currency Contracts

                                    9,272                     9,272   

Japan Interest Rate Strategy Fund (consolidated)

                                                                   

Forward Foreign Currency Contracts

    719       (5 )            714            56       (5 )            51   

Futures Contracts

                                    46,247              (46,247 )1        

Global Real Return Fund (consolidated)

                                                                   

Forward Foreign Currency Contracts

    996       (996 )                       10,643       (996 )            9,647   

Futures Contracts

    1,421       (330 )            1,091            330       (330 )              

Managed Futures Strategy Fund (consolidated)

                                                                   

Forward Foreign Currency Contracts

    128,235       (128,235 )                       239,475       (128,235 )            111,240   

Swap Contracts

    143,452                     143,452                                   

Futures Contracts

    99,440       (43,666 )            55,774            43,666       (43,666 )              
  1 

The amount of collateral presented has been limited such that the net amount cannot be less than zero.

Short-Term Investments — Each Fund may invest a portion of its assets in high-quality money market instruments on an ongoing basis to provide liquidity or for other reasons. The instruments include short-term obligations issued by the U.S. Government, its agencies, non-U.S. Government agencies, negotiable certificates of deposit (“CDs”), fixed time deposits and bankers’ acceptances of

 

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Notes to Financial Statements (unaudited) (continued)

 

U.S. and foreign banks and similar institutions, commercial papers, repurchase agreements and money market funds. CDs are short-term negotiable obligations of commercial banks. Time deposits are non-negotiable deposits maintained in banking institutions for specified periods of time at stated interest rates. Banker’s acceptances are time drafts drawn on commercial banks by borrowers, usually in connection with international transactions.

To-be-announced Transactions — U.S. Aggregate Bond Negative Duration Fund and U.S. Aggregate Bond Zero Duration Fund invest in U.S. agency mortgage-backed pass-through securities which are securities issued by entities such as Government National Mortgage Association and Federal National Mortgage Association that are backed by pools of mortgages. Most transactions in mortgage-backed pass-through securities occur for future delivery in which the exact mortgage pools to be delivered are not specified until a few days prior to settlement, referred to as a “to-be-announced transaction” or “TBA Transaction.” In a TBA Transaction, the buyer and seller agree upon general trade parameters such as agency, settlement date, par amount and price. The actual pools delivered generally are determined a few days prior to the settlement date; however, it is not anticipated that the U.S. Aggregate Bond Negative Duration Fund and U.S. Aggregate Bond Zero Duration Fund will take delivery of pools, but instead will participate in rolling TBA Transactions whereby instead of receiving pools on the purchase settlement date, the position is offset by a current sale of the TBA security with a simultaneous forward purchase of a substantially similar TBA security (i.e. same type, coupon, maturity) to settle on a specified future date.

Tax Information and Dividends and Distributions to Shareholders — It is each Fund’s policy to comply with all requirements of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to qualify for and to elect treatment as a separate Regulated Investment Company (“RIC”) under Subchapter M of the Code. It is the policy of each Fund to pay out dividends, if any, to investors at least annually. There can be no guarantee that a Fund will pay dividends. Taxable net realized gains from investment transactions, reduced by capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. The Funds may occasionally be required to make supplemental distributions at some other time during the year. The Trust reserves the right to declare special distributions if, in its reasonable discretion, such action is necessary or advisable to preserve the status of each Fund as a RIC or to avoid imposition of income or excise taxes on undistributed income. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with the requirements of the Code and the U.S. Treasury regulations which may differ from GAAP. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their Federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions that exceed earnings and profit for tax purposes are reported for tax purposes as a return of capital to the extent of a shareholder’s tax basis, and thereafter as capital gain.

3. ADVISORY FEES AND TRANSACTIONS

WTAM has overall responsibility for the general management and administration of the Trust. WTAM provides an investment program for each Fund. WTAM has arranged for Mellon Capital Management Corporation (“MCM”) to provide sub-advisory services to the Currency Strategy, Fixed Income and Alternative Funds, except for Emerging Markets Corporate Bond Fund, Global Corporate Bond Fund, Japan Interest Rate Strategy Fund and Global Real Return Fund which are sub-advised by Western Asset Management Company and certain affiliates (“WAMCO”). MCM and WAMCO are compensated by WTAM at no additional cost to the Funds. WTAM also arranges for transfer agency, custody, fund administration, securities lending, and all other non-distribution related services necessary for the Funds to operate, which are generally under separate agreements entered into between the Trust on behalf of the Funds and the applicable service provider. Under the Investment Advisory Agreement for each Fund, WTAM agrees to pay all expenses of the Funds except for certain expenses generally described in Note 2.

Pursuant to a separate contractual arrangement, also described in Note 2, WTAM arranges for the provision of CCO services with respect to each Fund and is liable and responsible for, and administers, payments to the CCO, the Independent Trustees and counsel to the Independent Trustees in exchange for a fee of up to 0.0044% of each Fund’s average daily net assets. WTAM expects to receive fees from each Fund, based on a percentage of the Fund’s average daily net assets, as shown in the following table.

 

Fund    Advisory
Fee Rate
 

U.S. Dollar Bullish Fund

     0.50

Brazilian Real Strategy Fund

     0.45

Chinese Yuan Strategy Fund

     0.45

Commodity Currency Strategy Fund

     0.55

Emerging Currency Strategy Fund

     0.55

Indian Rupee Strategy Fund

     0.45

Asia Local Debt Fund

     0.55

 

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Notes to Financial Statements (unaudited) (continued)

 

Fund    Advisory
Fee Rate
 

Australia & New Zealand Debt Fund

     0.45

U.S. Aggregate Bond Negative Duration Fund

     0.28

U.S. Aggregate Bond Zero Duration Fund

     0.23

Floating Rate Treasury Fund

     0.20 %* 

High Yield Bond Negative Duration Fund

     0.48

High Yield Bond Zero Duration Fund

     0.43

Emerging Markets Corporate Bond Fund

     0.60

Emerging Markets Local Debt Fund

     0.55

Euro Debt Fund

     0.35

Global Corporate Bond Fund

     0.50 %* 

Japan Interest Rate Strategy Fund (consolidated)

     0.50

Global Real Return Fund (consolidated)

     0.60

Managed Futures Strategy Fund (consolidated)

     0.95
  * For Floating Rate Treasury Fund and Global Corporate Bond Fund, WTAM has contractually agreed to limit its advisory fee to 0.15% and 0.45%, respectively through February 4, 2015 and January 1, 2015 respectively, or unless earlier terminated by the Board of Trustees of the Trust. This agreement may be terminated by: (i) the Board of Trustees of the Trust, for any reason at any time. For Floating Rate Treasury Fund and Global Corporate Bond Fund, WTAM waived $86 and $2,888 of its advisory fee for the period ended February 28, 2014, respectively.

Each Fund may purchase shares of affiliated exchanged traded funds (“ETF”) in secondary market transactions. For the six months or period ended February 28, 2014 please see Note 7 for additional information relating to the affiliated ETF transactions.

4. CAPITAL SHARE TRANSACTIONS

As of February 28, 2014, there was an unlimited number of $0.001 par value shares of beneficial interest authorized by the Trust. Shares are issued and redeemed by each Fund only in creation units or multiples thereof. Except when aggregated in creation units, shares of each Fund are not redeemable. Transactions in shares for each Fund are disclosed in detail in the Statements of Changes in Net Assets. Generally, Funds issue and redeem shares on a cash basis, however, shares may also be issued or redeemed in kind. Investors purchasing and redeeming creation units may be charged a purchase transaction fee and a redemption transaction fee to offset transfer and other transaction costs associated with the issuance and redemption of creation units.

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments (excluding in-kind capital share transactions and short-term investments) for the six months or period ended February 28, 2014 were as follows:

 

Fund    Purchases      Sales  

U.S. Dollar Bullish Fund*

   $       $   

Brazilian Real Strategy Fund

               

Chinese Yuan Strategy Fund

               

Commodity Currency Strategy Fund

               

Emerging Currency Strategy Fund

               

Indian Rupee Strategy Fund

               

Asia Local Debt Fund

     107,890,497         75,957,600   

Australia & New Zealand Debt Fund

     3,894,371         6,986,493   

U.S. Aggregate Bond Negative Duration Fund*

     18,801,463         10,822,365   

U.S. Aggregate Bond Zero Duration Fund*

     18,801,463         10,697,066   

Floating Rate Treasury Fund**

     2,499,550           

High Yield Bond Negative Duration Fund*

     10,508,978         1,353,722   

High Yield Bond Zero Duration Fund*

     10,640,506         1,353,722   

Emerging Markets Corporate Bond Fund

     19,725,658         20,860,989   

Emerging Markets Local Debt Fund

     459,414,972         622,770,846   

Euro Debt Fund

     95,437         181,848   

Global Corporate Bond Fund

     1,397,129         8,250,647   

Japan Interest Rate Strategy Fund (consolidated)*

               

Global Real Return Fund (consolidated)

     1,534,642         254,912   

Managed Futures Strategy Fund (consolidated)

               
  * For the period December 18, 2013 through February 28, 2014.

 

  ** For the period February 4, 2014 through February 28, 2014.

 

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For the six months or period ended February 28, 2014, the cost of purchases and the proceeds from sales resulting from in-kind capital share transactions were as follows:

 

Fund    Purchases      Sales  

Asia Local Debt Fund

   $ 2,152,286       $ 16,070,853   

Australia & New Zealand Debt Fund

             2,032,674   

U.S. Aggregate Bond Negative Duration Fund*

             3,212,515   

U.S. Aggregate Bond Zero Duration Fund*

             3,225,982   

Emerging Markets Corporate Bond Fund

             14,402,065   

Emerging Markets Local Debt Fund

             291,024,954   
  * For the period December 18, 2013 through February 28, 2014.

Realized gains and losses on in-kind redemptions are not recognized by the Funds for tax purposes.

6. FEDERAL INCOME TAXES

At February 28, 2014, the cost of investments (including securities on loan) for Federal income tax purposes was as indicated below:

 

Fund    Tax Cost      Gross Unrealized
Appreciation
     Gross Unrealized
Depreciation
     Net Unrealized
Appreciation/
(Depreciation)
 

U.S. Dollar Bullish Fund

   $ 37,499,172       $       $ (219    $ (219

Brazilian Real Strategy Fund

     37,114,094         76                 76   

Chinese Yuan Strategy Fund

     205,077,032                 (450,648      (450,648

Commodity Currency Strategy Fund

     11,664,769                 (9      (9

Emerging Currency Strategy Fund

     139,453,715         5         (35      (30

Indian Rupee Strategy Fund

     25,508,817                 (17      (17

Asia Local Debt Fund

     523,371,744         478,342         (38,177,816      (37,699,474

Australia & New Zealand Debt Fund

     39,704,575         13,652         (4,765,510      (4,751,858

U.S. Aggregate Bond Negative Duration Fund

     4,808,248         57,439         (532      56,907   

U.S. Aggregate Bond Zero Duration Fund

     4,920,912         56,717         (531      56,186   

Floating Rate Treasury Fund

     2,499,549                 (946      (946

High Yield Bond Negative Duration Fund

     9,462,517         85,712         (46,335      39,377   

High Yield Bond Zero Duration Fund

     9,593,627         86,348         (47,675      38,673   

Emerging Markets Corporate Bond Fund

     130,628,508         1,083,850         (3,257,524      (2,173,674

Emerging Markets Local Debt Fund

     1,033,685,587         1,919,837         (139,078,284      (137,158,447

Euro Debt Fund

     4,169,917         317,037         (43      316,994   

Global Corporate Bond Fund

     7,380,378         171,334         (15,406      155,928   

Japan Interest Rate Strategy Fund (consolidated)

     4,799,662         72         (48      24   

Global Real Return Fund (consolidated)

     4,081,487         130,426         (187,808      (57,382

Managed Futures Strategy Fund (consolidated)

     125,622,768         627         (51      576   

7. OTHER AFFILIATED PARTIES AND TRANSACTIONS

Affiliated holdings are Funds which are managed by the Trust or an affiliate of the Trust. Transactions with affiliated companies during the six months ended February 28, 2014 are as follows:

 

Fund    Value at
8/31/2013
     Purchases/
Additions
     Sales/
Reductions
     Value at
2/28/2014
     Dividend
Income
 

Global Real Return Fund (consolidated)

                                            

WisdomTree Equity Income Fund

   $       $ 262,943       $ 41,831       $ 231,294       $ 3,227   

WisdomTree Emerging Markets Equity Income

             52,790                 47,510         248   

WisdomTree Global Natural Resources Fund

             195,074         32,219         159,188         798   

Total

   $             —       $ 510,807       $ 74,050       $ 437,992       $ 4,273   

8. ADDITIONAL INFORMATION

In September 2013, WTAM entered into agreements to change fund administration and custody services from Bank of New York Mellon to State Street Bank and Trust Company, effective April 1, 2014.

 

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

 

Approval of Investment Advisory and Sub-Advisory Agreements with respect to WisdomTree Bloomberg U.S. Dollar Bullish Fund and WisdomTree Japan Interest Rate Strategy Fund

At a meeting held on September 19, 2013, the Board of Trustees (the “Board”) of the WisdomTree Trust (the “Trust”), including those trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), considered the approval of (i) the Investment Advisory Agreement (the “Investment Advisory Agreement”) between the Trust and WisdomTree Asset Management, Inc. (“WTAM”) with respect to WisdomTree Bloomberg U.S. Dollar Bullish Fund (“USD Bullish Fund”), and WisdomTree Japan Interest Rate Strategy Fund (“Japan Interest Rate Fund”) (each a “Fund” and collectively the “Funds”) pursuant to which WTAM will provide each Fund with investment advisory services, (ii) the Sub-Investment Advisory Agreement pursuant to which Mellon Capital Management Corporation (“MCM”) will coordinate the investment and reinvestment of the assets of USD Bullish Fund (the “MCM Sub-Advisory Agreement”) and (iii) the Sub-Investment Advisory Agreement pursuant to which Western Asset Management Company (“Western”) will coordinate the investment and reinvestment of the assets of Japan Interest Rate Fund (the “Western Sub-Advisory Agreement” and collectively with the Investment Advisory Agreement and the MCM Sub-Advisory Agreement, the “Agreements”).

In considering whether to approve the Agreements, the Board considered and discussed information and analysis provided by WTAM. The Board was assisted in its review by independent legal counsel. In considering the approval of the Agreements, the Board considered all factors that it deemed to be relevant, including those discussed below. The Board did not identify any particular factor as controlling, and each Trustee may have attributed different weights to the various factors.

Nature, Extent and Quality of Services to be Provided

The Board considered the nature, extent and quality of the services to be provided by WTAM, MCM and Western, recognizing WTAM’s, MCM’s and Western’s operational capabilities and resources. The Board noted the extensive responsibilities that WTAM has as investment adviser to each of the Funds, including the selection of MCM and Western, oversight of MCM’s and Western’s compliance with Fund policies and objectives, oversight of general Fund compliance with federal and state laws, and the implementation of Board directives as they relate to the Funds.

Comparative Analysis of the Funds’ Performance, Advisory Fees and Fund Expenses

As the Funds had not yet commenced operations, the Board was not able to review the Funds’ performance. The Board discussed with WTAM representatives the portfolio management personnel and the investment strategies to be employed in management of the Funds’ assets. The Board considered the fee to be paid to WTAM by the Funds. The Board examined the fee to be paid by each Fund in light of fees paid to other investment advisers by comparable funds and the method of computing each Fund’s fee. The Board also considered the respective fees to be paid to MCM and Western in relation to the fees paid to WTAM by the Funds and the respective services to be provided. The Board noted that MCM’s and Western’s fees will be paid by WTAM (out of its fees paid by the Funds) and not the Funds. After comparing the Funds’ fees with those of comparable funds, the Board concluded that the proposed level of fees for each Fund is reasonable and appropriate.

Costs of Services to be Provided, Profitability and Economies of Scale

As the Funds had not yet commenced operations, WTAM representatives were not able to review with the Board the dollar amount of expenses allocated and profit received by WTAM, or any economies of scale. The Board considered potential benefits to WTAM, MCM and Western from acting as investment adviser and sub-investment advisers, respectively, to the Funds, including the potential “fall-out” benefits to MCM and Western and their respective affiliates (i.e., ancillary benefits that may be realized by MCM and Western and their respective affiliates from MCM’s and Western’s relations with the Funds, such as other service contracts). The Trustees also considered the uncertainty of the estimated asset levels and the renewal requirements for advisory agreements, as well as their ability to review the advisory fees annually after the initial term of the Agreements.

Conclusion

After consideration of the factors discussed above, the Board, including a majority of the Independent Trustees, determined that the approval of the Agreements was in the best interests of each Fund and approved the Agreements for the Funds.

Approval of Investment Advisory and Sub-Advisory Agreements with respect to WisdomTree Barclays U.S. Aggregate Bond Zero Duration Fund, WisdomTree Barclays U.S. Aggregate Bond Negative Duration Fund, WisdomTree BofA Merrill Lynch High Yield Bond Zero Duration Fund, and WisdomTree BofA Merrill Lynch High Yield Bond Negative Duration Fund

At a meeting held on December 11, 2013, the Board of Trustees (the “Board”) of the WisdomTree Trust (the “Trust”), including those trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), considered the approval of (i) the Investment Advisory Agreement (the “Investment Advisory Agreement”)

 

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

 

between the Trust and WisdomTree Asset Management, Inc. (“WTAM”) with respect to WisdomTree Barclays U.S. Aggregate Bond Zero Duration Fund, WisdomTree Barclays U.S. Aggregate Bond Negative Duration Fund, WisdomTree BofA Merrill Lynch High Yield Bond Zero Duration Fund, and WisdomTree BofA Merrill Lynch High Yield Bond Negative Duration Fund, (each a “Fund” and collectively the “Funds”), pursuant to which WTAM will provide each Fund with investment advisory services and (ii) the Sub-Investment Advisory Agreement pursuant to which Mellon Capital Management Corporation (“MCM”) will coordinate the investment and reinvestment of the assets of each Fund (the “MCM Sub-Advisory Agreement” and, together with the Investment Advisory Agreement, the “Agreements”).

In considering whether to approve the Agreements, the Board considered and discussed information and analysis provided by WTAM. The Board was assisted in its review by independent legal counsel. In considering the approval of the Agreements, the Board considered all factors that it deemed to be relevant, including those discussed below. The Board did not identify any particular factor as controlling, and each Trustee may have attributed different weights to the various factors.

Nature, Extent and Quality of Services to be Provided

The Board considered the nature, extent and quality of the services to be provided by WTAM and MCM, recognizing WTAM’s and MCM’s operational capabilities and resources. The Board noted the extensive responsibilities that WTAM has as investment adviser to the Funds, including the selection of MCM, oversight of MCM’s compliance with Fund policies and objectives, oversight of general Fund compliance with federal and state laws, and the implementation of Board directives as they relate to the Funds.

Comparative Analysis of the Funds’ Performance, Advisory Fees and Fund Expenses

As the Funds had not yet commenced operations, the Board was not able to review the Funds’ performance. The Board discussed with WTAM representatives the portfolio management personnel and the investment strategies to be employed in management of the Funds’ assets. The Board considered the fee to be paid to WTAM by the Funds. The Board examined the fee to be paid by each Fund in light of fees paid to other investment advisers by comparable funds and the method of computing each Fund’s fee. The Board also considered the fees to be paid to MCM in relation to the fees paid to WTAM by the Funds and the respective services to be provided. The Board noted that MCM’s fees will be paid by WTAM (out of its fees paid by the Funds) and not the Funds. After comparing the Funds’ fees with those of comparable funds, the Board concluded that the proposed level of fees for each Fund is reasonable and appropriate.

Costs of Services to be Provided, Profitability and Economies of Scale

As the Funds had not yet commenced operations, WTAM representatives were not able to review with the Board the dollar amount of expenses allocated and profit received by WTAM, or any economies of scale. The Board considered potential benefits to WTAM and MCM from acting as investment adviser and sub-investment adviser, respectively, to the Funds, including the potential “fall-out” benefits to MCM and its affiliates (i.e., ancillary benefits that may be realized by MCM and its affiliates from relation with the Funds, such as other service contracts). The Trustees also considered the uncertainty of the estimated asset levels and the renewal requirements for advisory agreements, as well as their ability to review the advisory fees annually after the initial term of the Agreements.

Conclusion

After consideration of the factors discussed above, the Board, including a majority of the Independent Trustees, determined that the approval of the Agreements was in the best interests of each Fund and approved the Agreements for the Funds.

Approval of Investment Advisory and Sub-Advisory Agreements with respect to WisdomTree Bloomberg Floating Rate Treasury Fund

At a meeting held on January 17, 2014, the Board of Trustees (the “Board”) of the WisdomTree Trust (the “Trust”), including those trustees who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended) of the Trust (the “Independent Trustees”), considered the approval of (i) the Investment Advisory Agreement (the “Investment Advisory Agreement”) between the Trust and WisdomTree Asset Management, Inc. (“WTAM”) with respect to WisdomTree Bloomberg Floating Rate Treasury Fund (the “Fund”), pursuant to which WTAM will provide the Fund with investment advisory services and (ii) the Sub-Investment Advisory Agreement pursuant to which Mellon Capital Management Corporation (“MCM”) will coordinate the investment and reinvestment of the assets of the Fund (the “MCM Sub-Advisory Agreement” and, together with the Investment Advisory Agreement, the “Agreements”).

In considering whether to approve the Agreements, the Board considered and discussed information and analysis provided by WTAM. The Board was assisted in its review by independent legal counsel. In considering the approval of the Agreements, the Board considered all factors that it deemed to be relevant, including those discussed below. The Board did not identify any particular factor as controlling, and each Trustee may have attributed different weights to the various factors.

 

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

 

Nature, Extent and Quality of Services to be Provided

The Board considered the nature, extent and quality of the services to be provided by WTAM and MCM, recognizing WTAM’s and MCM’s operational capabilities and resources. The Board noted the extensive responsibilities that WTAM has as investment adviser to the Fund, including the selection of MCM, oversight of MCM’s compliance with Fund policies and objectives, oversight of general Fund compliance with federal and state laws, and the implementation of Board directives as they relate to the Fund.

Comparative Analysis of the Fund’s Performance, Advisory Fees and Fund Expenses

As the Fund had not yet commenced operations, the Board was not able to review the Fund’s performance. The Board discussed with WTAM representatives the portfolio management personnel and the investment strategies to be employed in management of the Fund’s assets. The Board considered the fee to be paid to WTAM by the Fund. The Board examined the fee to be paid by the Fund in light of fees paid to other investment advisers by comparable funds and the method of computing the Fund’s fee. The Board also considered the fees to be paid to MCM in relation to the fees paid to WTAM by the Fund and the respective services to be provided. The Board noted that MCM’s fees will be paid by WTAM (out of its fees paid by the Fund) and not the Fund. After comparing the Fund’s fee with those of comparable funds, the Board concluded that the proposed level of fees for the Fund is reasonable and appropriate. In considering the fee for this Fund, the Board noted that floating rate treasury notes are a new type of security and agreed to monitor closely the Fund and the developing market for its portfolio securities.

Costs of Services to be Provided, Profitability and Economies of Scale

As the Fund had not yet commenced operations, WTAM representatives were not able to review with the Board the dollar amount of expenses allocated and profit received by WTAM, or any economies of scale. The Board considered potential benefits to WTAM and MCM from acting as investment adviser and sub-investment adviser, respectively, to the Fund, including the potential “fall-out” benefits to MCM and its affiliates (i.e., ancillary benefits that may be realized by MCM and its affiliates from relation with the Fund, such as other service contracts). The Trustees also considered the uncertainty of the estimated asset levels and the renewal requirements for advisory agreements, as well as their ability to review the advisory fees annually after the initial term of the Agreements.

Conclusion

After consideration of the factors discussed above, the Board, including a majority of the Independent Trustees, determined that the approval of the Agreements was in the best interests of the Fund and approved the Agreements for the Fund.

 

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General Information (unaudited)

 

Proxy Voting Policies, Procedures and Record

A complete copy of the Proxy Voting Policy may be obtained by calling 1-866-909-WISE (9473) or writing to: WisdomTree Trust, c/o ALPS Distributors, Inc., 1290 Broadway, Suite 1100, Denver, Colorado 80203.

The Trust is required to disclose annually the Funds’ complete proxy voting record on Form N-PX covering the most recent 12-month period ended June 30 and to file Form N-PX with the SEC no later than August 31 of each year. The current Form N-PX for the Funds is available at no charge upon request by calling 1-866-909-WISE (9473) or through the Trust’s website at www.wisdomtree.com. The Funds’ Form N-PX is also available on the SEC’s website at www.sec.gov.

Special Shareholder Meeting Results

A special meeting of shareholders of WisdomTree Trust (the “Trust”) was held on March 11, 2014 and the three Trustees identified below were elected by the Trust’s shareholders. Election of Trustees was the only matter proposed for voting at the special meeting and the following is a report of the votes cast:

 

Nominee*    For      Withheld  

David Chrencik

     564,021,648         4,593,018   

Joel Goldberg

     564,748,510         3,866,156   

Melinda Raso Kirstein

     563,676,336         4,938,330   
  * Joel Goldberg is an existing Trustee of the Trust who had not previously been elected by shareholders, while David Chrencik and Melinda Raso Kirstein are newly elected Trustees.

Shareholder Reports and Quarterly Portfolio Disclosure

The Funds are required to file their complete schedule of portfolio holdings with the SEC for their first and third fiscal quarters on Form N-Q. Copies of the filings are available, without charge, on the SEC’s website at www.sec.gov and are also available by calling the Trust at 1-866-909-WISE (9473). You can also obtain copies of Form N-Q by (i) visiting the SEC’s Public Reference Room in Washington, DC (information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330); (ii) sending your request and a duplicating fee to the SEC’s Public Reference Room, Washington, DC 20549-0102; or (iii) sending your request electronically to publicinfo@sec.gov.

Information about each Fund’s portfolio holdings is available daily, without charge, at www.wisdomtree.com.

The Statement of Additional Information (“SAI”) has additional information about the Funds’ Trustees and Officers and is available without charge upon request. Contact your financial representative for a free prospectus or SAI.

Frequency Distribution of Discounts & Premiums

Information about differences between the per share net asset value of each Fund and the market trading price of shares of each Fund are available, without charge, at www.wisdomtree.com

 

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The WisdomTree Family of Funds

The following is a list of WisdomTree Funds being offered, along with their respective ticker symbols, as of February 28, 2014:

 

WisdomTree Domestic Dividend Funds

 

WisdomTree Total Dividend Fund (DTD)

 

WisdomTree Equity Income Fund (DHS)

 

WisdomTree LargeCap Dividend Fund (DLN)

 

WisdomTree Dividend ex-Financials Fund (DTN)

 

WisdomTree MidCap Dividend Fund (DON)

 

WisdomTree SmallCap Dividend Fund (DES)

 

WisdomTree U.S. Dividend Growth Fund (DGRW)

 

WisdomTree U.S. SmallCap Dividend Growth Fund (DGRS)

 

WisdomTree International Dividend Funds

 

WisdomTree DEFA Fund (DWM)

 

WisdomTree DEFA Equity Income Fund (DTH)

 

WisdomTree Global Equity Income Fund (DEW)

 

WisdomTree Europe SmallCap Dividend Fund (DFE)

 

WisdomTree Japan Hedged Equity Fund (DXJ)

 

WisdomTree Global ex-U.S. Dividend Growth Fund (DNL)

 

WisdomTree Japan SmallCap Dividend Fund (DFJ)

 

WisdomTree Asia Pacific ex-Japan Fund (AXJL)

 

WisdomTree Australia Dividend Fund (AUSE)

 

WisdomTree International LargeCap Dividend Fund (DOL)

 

WisdomTree International Dividend ex-Financials Fund (DOO)

 

WisdomTree International MidCap Dividend Fund (DIM)

 

WisdomTree International SmallCap Dividend Fund (DLS)

 

WisdomTree Emerging Markets Equity Income Fund (DEM)

 

WisdomTree Emerging Markets SmallCap Dividend Fund (DGS)

 

WisdomTree Middle East Dividend Fund (GULF)

 

WisdomTree Europe Hedged Equity Fund (HEDJ)

 

WisdomTree China Dividend ex-Financials Fund (CHXF)

 

WisdomTree United Kingdom Hedged Equity Fund (DXPS)

 

WisdomTree Japan Hedged SmallCap Equity Fund (DXJS)

 

WisdomTree Emerging Markets Dividend Growth Fund (DGRE)

 

WisdomTree Emerging Markets Consumer Growth Fund (EMCG)

 

WisdomTree Germany Hedged Equity Fund (DXGE)

 

WisdomTree Korea Hedged Equity Fund (DXKW)

 

WisdomTree International Dividend

Sector Funds

 

WisdomTree Commodity Country Equity Fund (CCXE)

 

WisdomTree Global Natural Resources Fund (GNAT)

 

WisdomTree Global ex-U.S. Utilities Fund (DBU)

 

WisdomTree Global ex-U.S. Real Estate Fund (DRW)

  

WisdomTree Domestic and International

Earnings Funds

 

WisdomTree Total Earnings Fund (EXT)

 

WisdomTree Earnings 500 Fund (EPS)

 

WisdomTree MidCap Earnings Fund (EZM)

 

WisdomTree SmallCap Earnings Fund (EES)

 

WisdomTree LargeCap Value Fund (EZY)

 

WisdomTree India Earnings Fund (EPI)

 

WisdomTree Currency Strategy Funds

 

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

 

WisdomTree Brazilian Real Strategy Fund (BZF)

 

WisdomTree Chinese Yuan Strategy Fund (CYB)

 

WisdomTree Commodity Currency Strategy Fund (CCX)

 

WisdomTree Emerging Currency Strategy Fund (CEW)

 

WisdomTree Indian Rupee Strategy Fund (ICN)

 

WisdomTree Fixed Income Funds

 

WisdomTree Asia Local Debt Fund (ALD)

 

WisdomTree Australia & New Zealand Debt Fund (AUNZ)

 

WisdomTree Barclays U.S. Aggregate Bond Negative Duration Fund (AGND)

 

WisdomTree Barclays U.S. Aggregate Bond Zero Duration Fund (AGZD)

 

WisdomTree Bloomberg Floating Rate Treasury Fund (USFR)

 

WisdomTree BofA Merrill Lynch High Yield Bond Negative Duration Fund (HYND)

 

WisdomTree BofA Merrill Lynch High Yield Bond Zero Duration Fund (HYZD)

 

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

 

WisdomTree Emerging Markets Local Debt Fund (ELD)

 

WisdomTree Euro Debt Fund (EU)

 

WisdomTree Global Corporate Bond Fund (GLCB)

 

WisdomTree Japan Interest Rate Strategy Fund (JGBB)

 

WisdomTree Alternative Funds

 

WisdomTree Global Real Return Fund (RRF)

 

WisdomTree Managed Futures Strategy Fund (WDTI)

The WisdomTree Funds are exchange traded funds (“ETFs”) registered with the United States Securities and Exchange Commission as separate series (“Funds”) of WisdomTree Trust (“Trust”). WisdomTree Asset Management, Inc., a wholly owned subsidiary of WisdomTree Investments, Inc., serves as the investment adviser to the Trust. None of the WisdomTree entities are affiliated with ALPS Distributors, Inc., the Funds’ distributor. WisdomTree Investments, its affiliates and their independent providers are not liable for any informational errors, incompleteness, delays, or for any actions taken in reliance on information contained herein.


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Investors should consider the investment objectives, risks, charges and expenses of the Funds carefully before investing. A prospectus, containing this and other information, is available at www.wisdomtree.com, or by calling 1-866-909-WISE (9473). Investors should read the prospectus carefully before investing. There are risks associated with investing, including possible loss of principal. Past performance does not guarantee future results. Indexes are unmanaged and you cannot invest directly in an index.

There are risks associated with investing including possible loss of principal. Foreign investing involves special risks, such as risk of loss from currency fluctuation or political or economic uncertainty. Investments in real estate involve additional special risks, such as credit risk, interest rate fluctuations and the effect of varied economic conditions. Funds that focus their investments in one country or region may be significantly impacted by events and developments associated with the region which can adversely affect performance. Funds focusing on a single sector and/or smaller companies generally experience greater price volatility. Investments in emerging, offshore or frontier markets are generally less liquid and less efficient than investments in developed markets and are subject to additional risks, such as risks of adverse governmental regulation and intervention or political developments. Inflation protected securities do not eliminate risks associated with inflation or deflation. Investments in currency involve additional special risks, such as credit risk and interest rate fluctuations. Derivative investments can be volatile and these investments may be less liquid than other securities, and more sensitive to the effect of varied economic conditions. As these Funds can have a high concentration in some issuers the Funds can be adversely impacted by changes affecting such issuers.

Fixed income investments are subject to interest rate risk; their value will normally decline as interest rates rise. In addition when interest rates fall income may decline. Fixed income investments are also subject to credit risk, the risk that the issuer of a bond will fail to pay interest and principal in a timely manner, or that negative perceptions of the issuer’s ability to make such payments will cause the price of that bond to decline. One of the risks associated with the Managed Futures Strategy Fund (WDTI) and the Global Real Return Fund (RRF) is the complexity of the different factors which contribute to each Fund’s performance, as well as their correlation (or non-correlation) to other asset classes. These factors include use of long and short positions in commodity futures contracts, currency forward contracts, swaps and other derivatives. An investment in WDTI is speculative and involves a substantial degree of risk. WDTI should not be used as a proxy for taking long only (or short only) positions in commodities or currencies. In markets without sustained price trends or markets that quickly reverse or “whipsaw” WDTI may suffer significant losses. Unlike typical exchange-traded funds, there are no indexes that the Currency Funds, Fixed Income Funds, WDTI or RRF attempt to track or replicate. Thus, the ability of these Funds to achieve their objectives will depend on the effectiveness of the portfolio manager. Due to the investment strategy of certain Funds they may make higher capital gain distributions than other ETFs. Please read the Fund’s prospectus for specific details regarding the Fund’s risk profile.

Transactions in Fund shares will result in brokerage commissions and will generate tax consequences. Shares may be sold through brokerage accounts, but may be redeemed from the Funds only in large amounts of 50,000 shares or more.


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WisdomTree Trust

245 Park Avenue, 35th Floor

New York, NY 10167

 

LOGO

 

LOGO

 

Currency Strategy Funds

WisdomTree Bloomberg U.S. Dollar Bullish Fund

WisdomTree Brazilian Real Strategy Fund

(formerly, WisdomTree Brazilian Real Fund)

WisdomTree Chinese Yuan Strategy Fund

(formerly, WisdomTree Chinese Yuan Fund)

WisdomTree Commodity Currency Strategy Fund

(formerly, WisdomTree Commodity Currency Fund)

WisdomTree Emerging Currency Strategy Fund

(formerly, WisdomTree Emerging Currency Fund)

WisdomTree Indian Rupee Strategy Fund

(formerly, WisdomTree Indian Rupee Fund)

Fixed Income Funds

WisdomTree Asia Local Debt Fund

WisdomTree Australia & New Zealand Debt Fund

WisdomTree Barclays U.S. Aggregate Bond Negative Duration Fund

WisdomTree Barclays U.S. Aggregate Bond Zero Duration Fund

WisdomTree Bloomberg Floating Rate Treasury Fund

WisdomTree BofA Merrill Lynch High Yield Bond Negative Duration Fund

WisdomTree BofA Merrill Lynch High Yield Bond Zero Duration Fund

WisdomTree Emerging Markets Corporate Bond Fund

WisdomTree Emerging Markets Local Debt Fund

WisdomTree Euro Debt Fund

WisdomTree Global Corporate Bond Fund

WisdomTree Japan Interest Rate Strategy Fund

Alternative Funds

WisdomTree Global Real Return Fund

WisdomTree Managed Futures Strategy Fund

WisdomTree Fund shares are distributed by ALPS Distributors, Inc.

WIS006570 4/2015


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Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed registrants.

Not applicable.

Item 6. Investments.

 

(a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form.

 

(b) Not applicable.


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Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 11. Controls and Procedures.

 

  (a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

  (b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

 

  (a)(1) Not applicable.


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  (a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

 

  (a)(3) Not applicable.

 

  (b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto.


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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)  

WisdomTree Trust

  
By (Signature and Title)*  

/s/ Jonathan L. Steinberg

     
  Jonathan L. Steinberg, President      
  (principal executive officer)      

Date May 7, 2014

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)*   

/s/ Jonathan L. Steinberg

     
   Jonathan L. Steinberg, President      
   (principal executive officer)      

Date May 7, 2014

 

By (Signature and Title)*   

/s/ David Castano

     
   David Castano, Treasurer      
   (principal financial officer)      

Date May 7, 2014

 

*  Print the name and title of each signing officer under his or her signature.