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, 35^th 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, 2018

 

 

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.

 

 

 

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Table of Contents

Item 1.

Reports to Stockholders.

The Report to Shareholders is attached herewith.

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Table of Contents

 

 

WisdomTree Trust

Currency Strategy, Fixed Income and Alternative Funds

 

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Table of Contents

Table of Contents

 

 

Performance Summaries (unaudited)			1
Description of Terms and Indexes (unaudited)			18
Shareholder Expense Examples (unaudited)			24
Schedules of Investments (unaudited)
WisdomTree Bloomberg U.S. Dollar Bullish Fund			27
WisdomTree Brazilian Real Strategy Fund			31
WisdomTree Chinese Yuan Strategy Fund			32
WisdomTree Emerging Currency Strategy Fund			33
WisdomTree Asia Local Debt Fund			34
WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund			36
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund			42
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund			51
WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund			75
WisdomTree Bloomberg Floating Rate Treasury Fund			78
WisdomTree Emerging Markets Corporate Bond Fund			79
WisdomTree Emerging Markets Local Debt Fund			82
WisdomTree Interest Rate Hedged High Yield Bond Fund			85
WisdomTree Negative Duration High Yield Bond Fund			94
WisdomTree CBOE Russell 2000 PutWrite Strategy Fund			101
WisdomTree CBOE S&P 500 PutWrite Strategy Fund			102
WisdomTree Managed Futures Strategy Fund (consolidated)			103
Statements of Assets and Liabilities (unaudited)			104
Statements of Operations (unaudited)			108
Statements of Changes in Net Assets (unaudited)			112
Financial Highlights (unaudited)			118
Notes to Financial Statements (unaudited)			127
Approval of Investment Advisory and Sub-Advisory Agreements (unaudited)			145
General Information (unaudited)			149

 

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

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Table of Contents

Performance Summary (unaudited)

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

 

Investment Breakdown†

as of 2/28/18

 

Investment Type		% of Net Assets
U.S. Government Obligations			96.7%
Other Assets less Liabilities‡			3.3%
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 2/28/18

 

Description		% of Net Assets
U.S. Treasury Bill, 1.56%, 4/19/18			48.4%
U.S. Treasury Bill, 1.32%, 3/8/18			48.3%

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

 

The WisdomTree 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 following performance table 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 the 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 the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns 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, 2018, the Fund’s annual expense ratio was 0.50%.

Performance as of 2/28/18

 

		Average Annual Total Return
		6-Month*				1 Year				3 Year				Since Inception1
Fund NAV Returns			-1.01	%			-7.64	%			-1.10	%			2.13	%
Fund Market Price Returns			-1.05	%			-7.75	%			-1.14	%			2.11	%
Bloomberg Dollar Total Return Index			-0.96	%			-7.58	%			-0.86	%			2.56	%
Bloomberg Dollar Spot Index			-1.51	%			-8.38	%			-1.06	%			2.57	%

*	Returns of less than one year are cumulative.

1	Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. 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. eastern time 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

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Table of Contents

Performance Summary (unaudited)

WisdomTree Brazilian Real Strategy Fund (BZF)

 

Investment Breakdown† as of 2/28/18

 

Investment Type		% of Net Assets
U.S. Government Obligations			66.1%
Repurchase Agreement			31.9%
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 Holdings* as of 2/28/18

 

Description		% of Net Assets
U.S. Treasury Bill, 1.28%, 3/8/18			66.1%
Citigroup, Inc., tri-party repurchase agreement, 1.37%, 3/1/18††			31.9%

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

 

††	Fully collateralized by U.S. Government 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 following performance table 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 the 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 the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns 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, 2018, the Fund’s annual expense ratio was 0.45%.

Performance as of 2/28/18

 

		Average Annual Total Return
		6-Month*				1 Year				3 Year				5 Year				Since Inception1
Fund NAV Returns			-0.63	%			2.51	%			5.50	%			-0.97	%			1.36	%
Fund Market Price Returns			-0.85	%			2.40	%			5.18	%			-1.01	%			1.21	%
JP Morgan Emerging Local Markets Index Plus (ELMI+) Brazil			-0.23	%			3.08	%			6.03	%			-0.48	%			2.27	%
Brazilian real			-3.15	%			-4.24	%			-4.17	%			-9.45	%			-6.63	%

*	Returns of less than one year are cumulative.

1	Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on 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. eastern time 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

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Table of Contents

Performance Summary (unaudited)

WisdomTree Chinese Yuan Strategy Fund (CYB)

 

Investment Breakdown† as of 2/28/18

 

Investment Type		% of Net Assets
U.S. Government Obligations			61.7%
Repurchase Agreement			31.0%
Other Assets less Liabilities‡			7.3%
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 2/28/18

 

Description		% of Net Assets
U.S. Treasury Bill, 1.56%, 4/19/18			39.9%
Citigroup, Inc., tri-party repurchase agreement, 1.37%, 3/1/18††			31.0%
U.S. Treasury Bill, 1.32%, 3/8/18			21.8%

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

 

††	Fully collateralized by U.S. Government and 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 following performance table 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 the 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 the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns 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, 2018, the Fund’s annual expense ratio was 0.45%.

Performance as of 2/28/18

 

		Average Annual Total Return
		6-Month*				1 Year				3 Year				5 Year				Since Inception1
Fund NAV Returns			5.91	%			11.92	%			2.43	%			1.97	%			1.87	%
Fund Market Price Returns			5.79	%			11.87	%			2.50	%			2.00	%			1.77	%
JP Morgan Emerging Local Markets Index Plus (ELMI+) China			6.21	%			12.80	%			4.34	%			2.98	%			2.98	%
Chinese yuan			4.30	%			8.51	%			-0.99	%			-0.35	%			1.02	%

*	Returns of less than one year are cumulative.

1	Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on 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. eastern time 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

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Table of Contents

Performance Summary (unaudited)

WisdomTree Emerging Currency Strategy Fund (CEW)

 

Investment Breakdown† as of 2/28/18

 

Investment Type		% of Net Assets
U.S. Government Obligations			63.4%
Repurchase Agreement			32.0%
Other Assets less Liabilities‡			4.6%
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 Holdings* as of 2/28/18

 

Description		% of Net Assets
U.S. Treasury Bill, 1.32%, 3/8/18			34.8%
Citigroup, Inc., tri-party repurchase agreement, 1.37%, 3/1/18††			32.0%
U.S. Treasury Bill, 1.56%, 4/19/18			28.6%

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

 

††	Fully collateralized by U.S. Government 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 following performance table 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 the 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 the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns 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, 2018, the Fund’s annual expense ratio was 0.55%.

Performance as of 2/28/18

 

		Average Annual Total Return
		6-Month*				1 Year				3 Year				5 Year				Since Inception1
Fund NAV Returns			3.55	%			9.20	%			2.49	%			-1.29	%			1.02	%
Fund Market Price Returns			3.34	%			9.46	%			2.53	%			-1.27	%			0.90	%
JP Morgan Emerging Local Markets Index Plus (ELMI+)			3.19	%			9.69	%			3.43	%			-0.25	%			1.81	%
Equal-Weighted Emerging Currency Composite			3.94	%			10.09	%			3.35	%			-0.48	%			1.83	%

*	Returns of less than one year are cumulative.

1	Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on 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. eastern time 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

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Table of Contents

Performance Summary (unaudited)

WisdomTree Asia Local Debt Fund (ALD)

 

Country Breakdown† as of 2/28/18

 

Country		% of Net Assets
Thailand			12.7%
Australia			12.4%
India			11.5%
Indonesia			10.1%
New Zealand			6.4%
Malaysia			6.4%
Hong Kong			6.1%
South Korea			4.9%
Singapore			4.8%
Philippines			4.7%
China			4.6%
Supranational Bonds			3.3%
Other Assets less Liabilities‡			12.1%
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 2/28/18

 

Description		% of Net Assets
India Government Bond, 7.72%, 5/25/25			5.0%
India Government Bond, 7.80%, 4/11/21			4.8%
South Australian Government Financing Authority, 5.00%, 5/20/21, Series 21			3.6%
Thailand Government Bond, 3.63%, 6/16/23			2.9%
Queensland Treasury Corp., 6.00%, 7/21/22, Series 22, Reg S			2.9%
China Government Bond, 2.36%, 8/18/21, Reg S			2.6%
Hong Kong Government Bond Programme, 2.46%, 8/4/21			2.6%
Treasury Corp. of Victoria, 5.50%, 12/17/24, Series 1224			2.5%
Indonesia Treasury Bond, 8.38%, 9/15/26, Series FR56			2.5%
Indonesia Treasury Bond, 9.00%, 3/15/29, Series FR71			2.4%

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

 

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 following performance table 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 the 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 the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns 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, 2018, the Fund’s annual expense ratio was 0.55%.

Performance as of 2/28/18

 

		Average Annual Total Return
		6-Month*				1 Year				3 Year				5 Year				Since Inception1
Fund NAV Returns			1.39	%			5.53	%			1.27	%			-0.72	%			0.75	%
Fund Market Price Returns			1.36	%			5.51	%			1.42	%			-0.72	%			0.74	%
Markit iBoxx Asian Local Bond Index			2.36	%			7.06	%			2.61	%			1.31	%			2.87	%

*	Returns of less than one year are cumulative.

1	Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. 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. eastern time 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

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Table of Contents

Performance Summary (unaudited)

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

 

Investment Breakdown†

as of 2/28/18

 

Investment Type		% of Net Assets
U.S. Government Obligations			35.3%
U.S. Government Agencies			28.2%
Corporate Bonds			24.4%
Commercial Mortgage-Backed Securities			2.8%
Foreign Corporate Bonds			2.5%
Foreign Government Obligations			1.2%
Municipal Bond			0.6%
Asset-Backed Securities			0.5%
Supranational Bond			0.1%
Other Assets less Liabilities‡			4.4%
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 Ten Holdings* as of 2/28/18

 

Description		% of Net Assets
U.S. Treasury Note, 1.63%, 12/31/19			6.5%
U.S. Treasury Bond, 2.50%, 5/15/46			2.9%
U.S. Treasury Note, 1.75%, 5/15/23			2.5%
U.S. Treasury Note, 1.50%, 8/15/26			2.3%
U.S. Treasury Bond, 6.88%, 8/15/25			1.8%
U.S. Treasury Note, 1.63%, 11/15/22			1.7%
U.S. Treasury Note, 2.50%, 8/15/23			1.7%
U.S. Treasury Note, 3.63%, 2/15/21			1.1%
U.S. Treasury Note, 2.63%, 11/15/20			1.0%
U.S. Treasury Note, 1.13%, 12/31/19			1.0%

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

 

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

The following performance table 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 the 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 the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns 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, 2018, the Fund’s annual expense ratio was 0.23%.

Performance as of 2/28/18

 

		Average Annual Total Return
		6-Month*				1 Year				3 Year				Since Inception1
Fund NAV Returns			1.65	%			2.40	%			1.17	%			0.97	%
Fund Market Price Returns			1.73	%			2.53	%			1.27	%			1.04	%
Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Zero Duration			1.68	%			2.74	%			1.63	%			1.51	%

*	Returns of less than one year are cumulative.

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

Performance is historical and does not guarantee future results. 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. eastern time 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

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Table of Contents

Performance Summary (unaudited)

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

 

Investment Breakdown†

as of 2/28/18

 

Investment Type		% of Net Assets
U.S. Government Obligations			34.2%
U.S. Government Agencies			27.8%
Corporate Bonds			24.6%
Foreign Corporate Bonds			5.0%
Commercial Mortgage-Backed Securities			1.8%
Foreign Government Obligations			0.8%
Asset-Backed Securities			0.7%
Foreign Government Agencies			0.6%
Supranational Bonds			0.6%
Municipal Bonds			0.2%
U.S. Government Agencies Sold Short			-0.3%
Other Assets less Liabilities‡			4.0%
Total			100.0%

 

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

 

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

Top Ten Holdings* as of 2/28/18

 

Description		% of Net Assets
U.S. Treasury Note, 1.13%, 3/31/20			1.6%
Federal Home Loan Mortgage Corp., 3.50%, 8/1/46			1.4%
U.S. Treasury Note, 1.88%, 10/31/22			1.4%
U.S. Treasury Note, 2.00%, 12/31/21			1.3%
Federal National Mortgage Association, 3.50%, 7/1/43			1.2%
U.S. Treasury Bond, 6.88%, 8/15/25			1.0%
U.S. Treasury Note, 1.75%, 9/30/19			1.0%
U.S. Treasury Note, 1.38%, 9/30/19			1.0%
U.S. Treasury Note, 1.63%, 7/31/20			1.0%
U.S. Treasury Note, 1.13%, 4/30/20			0.9%

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

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

The following performance table 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 the 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 the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns 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, 2018, the Fund’s annual expense ratio was 0.28%.

Performance as of 2/28/18

 

		Average Annual Total Return
		6-Month*				1 Year				3 Year				Since Inception1
Fund NAV Returns			3.93	%			2.89	%			1.27	%			-1.18	%
Fund Market Price Returns			4.07	%			2.96	%			1.38	%			-1.04	%
Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Negative Five Duration			4.08	%			3.41	%			2.07	%			-0.40	%

*	Returns of less than one year are cumulative.

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

Performance is historical and does not guarantee future results. 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. eastern time 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

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Table of Contents

Performance Summary (unaudited)

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

 

Investment Breakdown†

as of 2/28/18

 

Investment Type		% of Net Assets
Corporate Bonds			40.8%
U.S. Government Agencies			24.7%
U.S. Government Obligations			15.6%
Foreign Corporate Bonds			7.7%
Commercial Mortgage-Backed Securities			6.9%
Foreign Government Obligations			3.1%
Municipal Bonds			0.3%
Foreign Government Agencies			0.2%
Other Assets less Liabilities‡			0.7%
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 Ten Holdings* as of 2/28/18

 

Description		% of Net Assets
U.S. Treasury Note, 2.50%, 8/15/23			1.0%
U.S. Treasury Note, 1.50%, 5/31/19			0.7%
U.S. Treasury Note, 2.25%, 11/15/27			0.5%
Federal National Mortgage Association, 5.00%, 3/1/48			0.5%
U.S. Treasury Note, 1.50%, 10/31/19			0.5%
U.S. Treasury Note, 3.38%, 11/15/19			0.4%
U.S. Treasury Note, 2.00%, 2/28/21			0.4%
Federal National Mortgage Association, 4.00%, 5/1/47			0.4%
Federal National Mortgage Association, 3.50%, 12/1/46			0.3%
Federal National Mortgage Association, 3.00%, 12/1/45			0.3%

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

The WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (the ‘‘Fund’’) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg Barclays U.S. Aggregate Enhanced Yield Index.

The following performance table 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 the 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 the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns 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, 2018, the Fund’s net and gross annual expense ratios were 0.12% and 0.20%, respectively. WisdomTree Asset Management, Inc. has contractually agreed to limit the management fee to 0.12% through December 31, 2018, unless earlier terminated by the Board of Trustees of the Trust for any reason at any time.

Performance as of 2/28/18

 

		Average Annual Total Return
		6-Month*				1 Year				Since Inception1
Fund NAV Returns			-2.08	%			1.38	%			2.46	%
Fund Market Price Returns			-2.29	%			1.19	%			2.44	%
Bloomberg Barclays U.S. Aggregate Enhanced Yield Index			-1.93	%			1.69	%			2.68	%
Bloomberg Barclays U.S. Aggregate Index			-2.18	%			0.51	%			1.70	%

*	Returns of less than one year are cumulative.

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

Performance is historical and does not guarantee future results. 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. eastern time 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

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Table of Contents

Performance Summary (unaudited)

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

 

Investment Breakdown†

as of 2/28/18

 

Investment Type		% of Net Assets
Corporate Bonds			51.1%
U.S. Government Obligations			27.3%
Foreign Corporate Bonds			9.3%
Commercial Mortgage-Backed Securities			9.2%
U.S. Government Agencies			3.8%
Foreign Government Obligations			2.1%
Other Assets less Liabilities‡			-2.8%
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 Ten Holdings* as of 2/28/18

 

Description		% of Net Assets
U.S. Treasury Note, 2.25%, 2/15/21			4.7%
U.S. Treasury Bill, 1.21%, 3/8/18			3.7%
U.S. Treasury Note, 0.75%, 8/15/19			3.3%
Federal National Mortgage Association, 2.50%, 3/1/33			3.2%
COMM Mortgage Trust, 3.04%, 11/10/49, Series 2016-CD2, Class A2			2.3%
U.S. Treasury Note, 1.50%, 7/15/20			2.3%
U.S. Treasury Note, 1.13%, 8/31/21			2.3%
JPMCC Commercial Mortgage Securities Trust, 3.24%, 3/15/50, Series 2017-JP5, Class A2			2.3%
U.S. Treasury Note, 2.00%, 2/28/21			2.3%
U.S. Treasury Note, 1.88%, 7/31/22			2.3%

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

The WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund (the ‘‘Fund’’) seeks to track the price and yield performance, before fees and expenses, of the Bloomberg Barclays U.S. Short Aggregate Enhanced Yield Index.

The following performance table 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 the 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 the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns 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, 2018, the Fund’s net and gross annual expense ratios were 0.12% and 0.20%, respectively. WisdomTree Asset Management, Inc. has contractually agreed to limit the management fee to 0.12% through December 31, 2018, unless earlier terminated by the Board of Trustees of the Trust for any reason at any time.

Performance as of 2/28/18

 

		Cumulative Total Return
		6-Month				Since Inception1
Fund NAV Returns			-1.39	%			-0.54	%
Fund Market Price Returns			-1.25	%			-0.32	%
Bloomberg Barclays U.S. Short Aggregate Enhanced Yield Index			-1.26	%			-0.32	%

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

Performance is historical and does not guarantee future results. 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. eastern time 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

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Table of Contents

Performance Summary (unaudited)

WisdomTree Bloomberg Floating Rate Treasury Fund (USFR)

 

Investment Breakdown†

as of 2/28/18

 

Investment Type		% of Net Assets
U.S. Government Obligations			99.8%
Other Assets less Liabilities‡			0.2%
Total			100.0%

 

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

 

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

Top Holdings* as of 2/28/18

 

Description		% of Net Assets
U.S. Treasury Floating Rate Notes, 1.71%, 7/31/19			26.8%
U.S. Treasury Floating Rate Notes, 1.72%, 4/30/19			26.8%
U.S. Treasury Floating Rate Notes, 1.70%, 10/31/19			26.7%
U.S. Treasury Floating Rate Notes, 1.65%, 1/31/20			19.5%

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

 

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 following performance table 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 the 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 the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns 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, 2018, 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% through December 31, 2018, unless earlier terminated by the Board of Trustees of the Trust for any reason at any time.

Performance as of 2/28/18

 

		Average Annual Total Return
		6-Month*				1 Year				3 Year				Since Inception1
Fund NAV Returns			0.65	%			1.18	%			0.61	%			0.43	%
Fund Market Price Returns			0.81	%			1.42	%			0.69	%			0.39	%
Bloomberg U.S. Treasury Floating Rate Bond Index			0.75	%			1.38	%			0.77	%			0.59	%

*	Returns of less than one year are cumulative.

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

Performance is historical and does not guarantee future results. 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. eastern time 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

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Table of Contents

Performance Summary (unaudited)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

 

Country Breakdown† as of 2/28/18

 

Country		% of Net Assets
Russia			13.8%
Brazil			10.5%
Mexico			9.4%
India			6.9%
Chile			6.4%
Turkey			5.7%
Peru			5.0%
China			5.0%
Argentina			4.5%
United Arab Emirates			4.4%
Israel			3.2%
Kazakhstan			2.3%
Colombia			2.2%
Singapore			2.2%
Morocco			2.1%
South Korea			2.0%
Jamaica			2.0%
Luxembourg			1.6%
Hong Kong			1.4%
Indonesia			1.2%
Thailand			1.2%
Panama			1.0%
Zambia			0.8%
Kuwait			0.5%
South Africa			0.4%
Nigeria			0.4%
Other Assets less Liabilities‡			3.9%
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 2/28/18

 

Description		% of Net Assets
Cemex S.A.B. de C.V., 7.75%, 4/16/26, Reg S			2.7%
Gazprom Neft OAO Via GPN Capital S.A., 6.00%, 11/27/23, Reg S			2.4%
KazMunayGas National Co. JSC, 6.38%, 4/9/21, Reg S			2.3%
Oversea-Chinese Banking Corp., Ltd., 4.25%, 6/19/24, Reg S			2.2%
OCP S.A., 5.63%, 4/25/24, Reg S			2.1%
Woori Bank, 4.75%, 4/30/24, Reg S			2.0%
Abu Dhabi National Energy Co. PJSC, 4.38%, 6/22/26, Reg S			2.0%
Bharti Airtel Ltd., 4.38%, 6/10/25, Reg S			2.0%
Petrobras Global Finance B.V., 5.75%, 2/1/29			1.9%
Reliance Industries Ltd., 3.67%, 11/30/27			1.9%

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

 

The WisdomTree 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 following performance table 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 the 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 the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns 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, 2018, the Fund’s annual expense ratio was 0.60%.

Performance as of 2/28/18

 

		Average Annual Total Return
		6-Month*				1 Year				3 Year				5 Year				Since Inception1
Fund NAV Returns			0.44	%			4.68	%			4.18	%			2.60	%			3.86	%
Fund Market Price Returns			0.90	%			4.52	%			4.45	%			2.52	%			3.87	%
JP Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad			0.01	%			4.02	%			5.63	%			4.02	%			5.02	%

*	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. eastern time 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

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Table of Contents

Performance Summary (unaudited)

WisdomTree Emerging Markets Local Debt Fund (ELD)

 

Country Breakdown† as of 2/28/18

 

Country		% of Net Assets
Russia			10.6%
Brazil			10.3%
Indonesia			8.5%
Poland			6.2%
Colombia			5.9%
India			5.6%
Thailand			4.9%
Turkey			4.8%
South Africa			4.8%
Supranational Bonds			4.3%
Mexico			3.2%
China			3.1%
Malaysia			3.1%
Chile			3.1%
Peru			3.0%
Romania			3.0%
Hungary			3.0%
Philippines			2.9%
Argentina			2.5%
Other Assets less Liabilities‡			7.2%
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 2/28/18

 

Description		% of Net Assets
Brazil Letras do Tesouro Nacional, 9.23%, 7/1/19			3.3%
Brazil Notas do Tesouro Nacional, 10.00%, 1/1/21, Series F			3.2%
Russian Federal Bond - OFZ, 7.05%, 1/19/28, Series 6212			1.9%
Indonesia Treasury Bond, 8.25%, 6/15/32, Series FR58			1.7%
Indonesia Treasury Bond, 8.38%, 9/15/26, Series FR56			1.6%
Indonesia Treasury Bond, 8.38%, 3/15/24, Series FR70			1.6%
Colombian TES, 6.00%, 4/28/28, Series B			1.5%
Colombian TES, 10.00%, 7/24/24, Series B			1.5%
Indonesia Treasury Bond, 8.75%, 5/15/31, Series FR73			1.5%
RussianFederal Bond - OFZ, 7.60%, 4/14/21, Series 6205			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 derivatives and 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 following performance table 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 the 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 the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns 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, 2018, the Fund’s annual expense ratio was 0.55%.

Performance as of 2/28/18

 

		Average Annual Total Return
		6-Month*				1 Year				3 Year				5 Year				Since Inception1
Fund NAV Returns			3.19	%			10.86	%			3.39	%			-1.56	%			1.10	%
Fund Market Price Returns			2.99	%			10.83	%			3.25	%			-1.61	%			0.99	%
JP Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified Index			3.88	%			14.43	%			4.02	%			-0.97	%			1.80	%

*	Returns of less than one year are cumulative.

1	Total returns are calculated based on the commencement of Fund trading on the NYSE Arca, Inc. on 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. eastern time 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

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Table of Contents

Performance Summary (unaudited)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

 

Investment Breakdown†

as of 2/28/18

 

Investment Type		% of Net Assets
Corporate Bonds			83.1%
Foreign Corporate Bonds			12.7%
Other Assets less Liabilities‡			4.2%
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 Ten Holdings* as of 2/28/18

 

Description		% of Net Assets
Tenet Healthcare Corp., 6.00%, 10/1/20			0.8%
SFR Group S.A., 6.00%, 5/15/22			0.8%
Navient Corp., 8.00%, 3/25/20			0.7%
Valeant Pharmaceuticals International, Inc., 5.38%, 3/15/20			0.7%
Intelsat Jackson Holdings S.A., 7.25%, 10/15/20			0.6%
Sprint Corp., 7.25%, 9/15/21			0.6%
Navient Corp., 5.50%, 1/15/19			0.6%
iHeartCommunications, Inc., 9.00%, 3/1/21			0.6%
Bombardier, Inc., 8.75%, 12/1/21			0.6%
Freeport-McMoRan, Inc., 4.00%, 11/14/21			0.6%

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

 

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

The following performance table 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 the 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 the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns 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, 2018, the Fund’s annual expense ratio was 0.43%.

Performance as of 2/28/18

 

		Average Annual Total Return
		6-Month*				1 Year				3 Year				Since Inception1
Fund NAV Returns			3.30	%			5.62	%			4.75	%			3.69	%
Fund Market Price Returns			3.29	%			5.33	%			4.90	%			3.66	%
ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Zero Duration Index			3.34	%			5.76	%			5.30	%			4.25	%

*	Returns of less than one year are cumulative.

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

 

Performance is historical and does not guarantee future results. 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. eastern time 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.

 

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Table of Contents

Performance Summary (unaudited)

WisdomTree Negative Duration High Yield Bond Fund (HYND)

 

Investment Breakdown† as of 2/28/18

 

Investment Type		% of Net Assets
Corporate Bonds			87.3%
Foreign Corporate Bonds			8.1%
Other Assets less Liabilities‡			4.6%
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 2/28/18

 

Description		% of Net Assets
Ally Financial, Inc., 7.50%, 9/15/20			1.1%
NXP B.V., 4.13%, 6/1/21			1.1%
Valeant Pharmaceuticals International, Inc., 5.38%, 3/15/20			1.0%
Navient Corp., 8.45%, 6/15/18			0.8%
CenturyLink, Inc., 5.63%, 4/1/20, Series V			0.8%
Lennar Corp., 4.50%, 6/15/19			0.8%
Dell, Inc., 5.65%, 4/15/18			0.8%
DISH DBS Corp., 4.25%, 4/1/18			0.7%
HCA Healthcare, Inc., 6.25%, 2/15/21			0.7%
Sprint Corp., 7.25%, 9/15/21			0.6%

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

 

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

The following performance table 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 the 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 the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns 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, 2018, the Fund’s annual expense ratio was 0.48%.

Performance as of 2/28/18

 

		Average Annual Total Return
		6-Month*				1 Year				3 Year				Since Inception1
Fund NAV Returns			7.43	%			6.66	%			4.69	%			0.69	%
Fund Market Price Returns			8.11	%			7.28	%			5.11	%			0.99	%
ICE BofA Merrill Lynch 0-5 Year U.S. High Yield Constrained, Negative Seven Duration Index			7.62	%			7.56	%			6.01	%			2.07	%

*	Returns of less than one year are cumulative.

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

 

Performance is historical and does not guarantee future results. 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. eastern time 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

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Table of Contents

Performance Summary (unaudited)

WisdomTree CBOE Russell 2000 PutWrite Strategy Fund (RPUT)

 

Investment Breakdown† as of 2/28/18

 

Investment Type		% of Net Assets
U.S. Government Obligations			62.0%
Other Assets less Liabilities‡			38.0%
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 2/28/18

 

Description		% of Net Assets
U.S. Treasury Bill, 1.30%, 3/15/18			62.0%

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

 

The WisdomTree CBOE Russell 2000 PutWrite Strategy Fund (the ‘‘Fund’’) seeks to track the price and yield performance, before fees and expenses, of the CBOE Russell 2000 PutWrite Index (the “Index”).

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

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			15

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Table of Contents

Performance Summary (unaudited)

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

 

Investment Breakdown† as of 2/28/18

 

Investment Type		% of Net Assets
U.S. Government Obligations			73.8%
Other Assets less Liabilities‡			26.2%
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 2/28/18

 

Description		% of Net Assets
U.S. Treasury Bill, 1.57%, 5/17/18			73.8%

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

 

The WisdomTree CBOE S&P 500 PutWrite Strategy Fund (the ‘‘Fund’’) seeks to track the price and yield performance, before fees and expenses, of the CBOE S&P 500 PutWrite Index (the “Index”).

The following performance table 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 the 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 the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns 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, 2018, the Fund’s net and gross annual expense ratios were 0.38% and 0.44%, respectively. WisdomTree Asset Management, Inc. has contractually agreed to limit the management fee to 0.38% through December 31, 2018, unless earlier terminated by the Board of Trustees of the Trust for any reason at any time.

Performance as of 2/28/18

 

		Average Annual Total Return
		6-Month*				1 Year				Since Inception1
Fund NAV Returns			1.52	%			5.56	%			9.89	%
Fund Market Price Returns			1.44	%			5.51	%			9.89	%
CBOE S&P 500 PutWrite Index			1.80	%			6.08	%			10.45	%
S&P 500® Index			10.84	%			17.10	%			20.92	%

*	Returns of less than one year are cumulative.

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

Performance is historical and does not guarantee future results. 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. eastern time 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

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Table of Contents

Performance Summary (unaudited)

WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)

 

Investment Breakdown†

as of 2/28/18

 

Investment Type		% of Net Assets
U.S. Government Obligations			89.8%
Other Assets less Liabilities‡			10.2%
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 2/28/18

 

Description		% of Net Assets
U.S. Treasury Bill, 1.37%, 3/22/18			76.4%
U.S. Treasury Bill, 1.31%, 3/15/18			10.8%
U.S. Treasury Bill, 1.33%, 3/8/18			2.6%

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

 

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

The following performance table 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 the 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 the index is not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns 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, 2018, the Fund’s net and gross annual expense ratios were 0.65% and 0.75%, respectively. WisdomTree Asset Management, Inc. has contractually agreed to limit the management fee to 0.65% through December 31, 2018, unless earlier terminated by the Board of Trustees of the Trust for any reason at any time.

Performance as of 2/28/18

 

		Average Annual Total Return
		6-Month*				1 Year				3 Year				5 Year				Since Inception1
Fund NAV Returns			1.88	%			-2.30	%			-3.01	%			-0.65	%			-3.04	%
Fund Market Price Returns			1.96	%			-2.32	%			-3.09	%			-0.69	%			-3.08	%
Diversified Trends Indicator/WisdomTree Managed Futures Spliced Index2			2.44	%			-1.24	%			-2.03	%			0.41	%			-1.97	%
S&P Diversified Trends Indicator Index			2.30	%			-0.18	%			-0.97	%			1.32	%			-1.41	%

*	Returns of less than one year are cumulative.

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

2	Diversified Trends Indicator Index through June 30, 2016; WisdomTree Managed Futures Index thereafter.

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. eastern time 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

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Table of Contents

Description of Terms and Indexes (unaudited)

 

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

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

The Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Negative Five Duration combines long positions in the Bloomberg 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.

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

The Bloomberg Barclays Rate Hedged U.S. Aggregate Bond Index, Zero Duration combines long positions in the Bloomberg 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 Barclays U.S. Aggregate Enhanced Yield Index:

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

Bloomberg Barclays U.S. Short Aggregate Enhanced Yield Index:

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

Bloomberg Barclays U.S. Aggregate Index:

The Bloomberg Barclays U.S. Aggregate Index represents the investment-grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, as well as mortgage- and asset-backed securities.

Bloomberg Dollar Spot Index:

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

Bloomberg Dollar Total Return Index:

The Bloomberg Dollar Total Return Index is 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.

 

18		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Description of Terms and Indexes (unaudited) (continued)

 

CBOE^® Russell 2000 PutWrite Index:

The CBOE^® Russell 2000 PutWrite Index tracks the value of a cash-secured (i.e. collateralized) put option sales strategy, which consists of selling (or “writing”) Russell 2000^® Index put options and investing the sale proceeds in one-month Treasury bills.

CBOE^® S&P 500 PutWrite Index:

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

Diversified Trends Indicator Index:

The Diversified Trends Indicator (“DTI”) Index 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.

Equal-Weighted Emerging Currency Composite:

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

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 (“NDF”) 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.

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

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

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			19

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Table of Contents

Description of Terms and Indexes (unaudited) (continued)

 

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

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

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 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.

Markit iBoxx Asian Local Bond Index:

The Markit iBoxx 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: South Korea, Hong Kong, India, Singapore, Taiwan, Malaysia, Thailand, the Philippines, Indonesia and China.

S&P 500^® Index:

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

 

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Description of Terms and Indexes (unaudited) (continued)

 

S&P Diversified Trends Indicator Index:

The S&P Diversified Trends Indicator Index is a diversified composite of global commodity and financial futures that are highly liquid.

Spot Rate and NDF Rate Returns:

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

WisdomTree Managed Futures Index:

The WisdomTree Managed Futures Index is a long/short, rules-based index designed to provide exposure to a portfolio consisting of diversified futures contracts for commodities, currencies and interest rates. On a monthly basis, assets with lower realized volatility will be selected, and a determination to go long or short the futures contracts of the selected assets under a proprietary composite momentum framework will be made. The composite momentum framework incorporates multiple momentum signals to decide the direction and weight in the index.

*  *  *  *  *  *

BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”) or Bloomberg licensors own all proprietary rights in the BLOOMBERG BARCLAYS INDICES. Neither Bloomberg nor Barclays Bank Plc or Barclays Capital Inc. or their affiliates (collectively “Barclays”) guarantee the timeliness, accuracy or completeness of any data or information relating to BLOOMBERG BARCLAYS INDICES or make any warranty, express or implied, as to the BLOOMBERG BARCLAYS INDICES or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto. It is not possible to invest directly in an index. Back-tested performance is not actual performance. Past performance is not an indication of future results. To the maximum extent allowed by law, Bloomberg and its licensors, and their respective employees, contractors, agents, suppliers and vendors shall have no liability or responsibility whatsoever for any injury or damages — whether direct, indirect, consequential, incidental, punitive or otherwise — arising in connection with BLOOMBERG BARCLAYS INDICES or any data or values relating thereto — whether arising from their negligence or otherwise. This document constitutes the provision of factual information, rather than financial product advice. Nothing in the BLOOMBERG BARCLAYS INDICES shall constitute or be construed as an offering of financial instruments or as investment advice or investment recommendations (i.e., recommendations as to whether or not to “buy,” “sell,” “hold” or enter into any other transaction involving a specific interest) by Bloomberg or its affiliates or licensors or a recommendation as to an investment or other strategy. Data and other information available via the BLOOMBERG BARCLAYS INDICES should not be considered as information sufficient upon which to base an investment decision. All information provided by the BLOOMBERG BARCLAYS INDICES is impersonal and not tailored to the needs of any specific person, entity or group of persons. Bloomberg and its affiliates express no opinion on the future or expected value of any security or other interest and do not explicitly or implicitly recommend or suggest an investment strategy of any kind. In addition, Barclays is not the issuer or producer of the BLOOMBERG BARCLAYS

 

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Description of Terms and Indexes (unaudited) (continued)

 

 

INDICES and has no responsibilities, obligations or duties to investors in these indices. While Bloomberg may for itself execute transactions with Barclays in or relating to the BLOOMBERG BARCLAYS INDICES, investors in the BLOOMBERG BARCLAYS INDICES do not enter into any relationship with Barclays and Barclays does not sponsor, endorse, sell or promote, and Barclays makes no representation regarding the advisability or use of, the BLOOMBERG BARCLAYS INDICES or any data included therein. Investors should consider obtaining independent advice before making any financial decisions.

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

The CBOE Russell 2000 PutWrite Index (“Index”) is a trademark of Frank Russell Company (“Russell”) and has been licensed for use by WisdomTree. The WisdomTree CBOE Russell 2000 PutWrite Strategy Fund (the “Fund”) is not in any way sponsored, endorsed, sold or promoted by Russell or the London Stock Exchange Group companies (“LSEG”) (together, the “Licensor Parties”) and none of the Licensor Parties make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to (i) the results to be obtained from the use of the Index (upon which the Fund is based), (ii) the figure at which the Index is said to stand at any particular time on any particular day or otherwise, or (iii) the suitability of the Index for the purpose to which it is being put in connection with the Fund. None of the Licensor Parties have provided or will provide any financial or investment advice or recommendation in relation to the Index to WisdomTree or its clients. The Index is calculated by Russell or its agent. None of the Licensor Parties shall be (a) liable (whether in negligence or otherwise) to any person for any error in the Index or (b) under any obligation to advise any person of any error therein.

The CBOE S&P 500 PutWrite Index is a product of S&P Dow Jones Indices LLC or its affiliates (“SPDJI”) and CBOE^® and has been licensed for use by WisdomTree. Standard & Poor’s^® and S&P^® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones^® is registered trademark of Dow Jones Trademarks Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by WisdomTree. CBOE^® is a trademark of the Chicago Board Options Exchange, Incorporated, and has been licensed for use by SPDJI and WisdomTree. The WisdomTree CBOE S&P 500 PutWrite Strategy Fund is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates or the Chicago Board Options Exchange, Incorporated, and none of such parties make any representation regarding the advisability of investing in such product(s), nor do they have any liability for any errors, omissions or interruptions of the CBOE S&P 500 PutWrite Index.

WisdomTree Investments, Inc. and WisdomTree Asset Management, Inc. (together, “WisdomTree”) and the Funds make no representation or warranty, express or implied, to the owners of shares of the Funds or any member of the public regarding the advisability of investing in securities generally or in the Funds particularly or the ability of the underlying Indexes to track the performance of their underlying securities. WisdomTree Investments is the licensor of certain trademarks, service marks and trade names of the Funds. WisdomTree Investments has no obligation to take the needs of the Funds or the owners of shares of the Funds into consideration in determining, composing, or calculating the underlying WisdomTree Indexes of the applicable Funds.

 

22		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Description of Terms and Indexes (unaudited) (concluded)

 

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

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

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			23

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Table of Contents

Shareholder Expense Examples (unaudited)

 

As a shareholder of a WisdomTree Fund, you incur two types of cost: (1) transaction costs, including brokerage commissions on purchases and sales of your Fund shares and (2) ongoing costs, including management fees and other Fund expenses. The 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, 2017 to February 28, 2018.

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 9/1/17 to 2/28/18” to estimate the expenses you paid on your account during the 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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Shareholder Expense Examples (unaudited) (continued)

 

 

		Beginning Account Value 9/1/17				Ending Account Value 2/28/18				Annualized Expense Ratio Based on the Period 9/1/17 to 2/28/18				Expenses Paid During the Period† 9/1/17 to 2/28/18
WisdomTree Bloomberg U.S. Dollar Bullish Fund
Actual		$	1,000.00			$	989.90				0.50	%		$	2.47
Hypothetical (5% return before expenses)		$	1,000.00			$	1,022.32				0.50	%		$	2.51
WisdomTree Brazilian Real Strategy Fund
Actual		$	1,000.00			$	993.70				0.45	%		$	2.22
Hypothetical (5% return before expenses)		$	1,000.00			$	1,022.56				0.45	%		$	2.26
WisdomTree Chinese Yuan Strategy Fund
Actual		$	1,000.00			$	1,059.10				0.45	%		$	2.30
Hypothetical (5% return before expenses)		$	1,000.00			$	1,022.56				0.45	%		$	2.26
WisdomTree Emerging Currency Strategy Fund
Actual		$	1,000.00			$	1,035.50				0.55	%		$	2.78
Hypothetical (5% return before expenses)		$	1,000.00			$	1,022.07				0.55	%		$	2.76
WisdomTree Asia Local Debt Fund
Actual		$	1,000.00			$	1,013.90				0.55	%		$	2.75
Hypothetical (5% return before expenses)		$	1,000.00			$	1,022.07				0.55	%		$	2.76
WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund
Actual		$	1,000.00			$	1,016.50				0.23	%		$	1.15
Hypothetical (5% return before expenses)		$	1,000.00			$	1,023.65				0.23	%		$	1.15
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund
Actual		$	1,000.00			$	1,039.30				0.28	%		$	1.42
Hypothetical (5% return before expenses)		$	1,000.00			$	1,023.41				0.28	%		$	1.40
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund
Actual		$	1,000.00			$	979.20				0.12	%*		$	0.59
Hypothetical (5% return before expenses)		$	1,000.00			$	1,024.20				0.12	%*		$	0.60
WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund
Actual		$	1,000.00			$	986.10				0.12	%*		$	0.59
Hypothetical (5% return before expenses)		$	1,000.00			$	1,024.20				0.12	%*		$	0.60
WisdomTree Bloomberg Floating Rate Treasury Fund
Actual		$	1,000.00			$	1,006.50				0.15	%*		$	0.75
Hypothetical (5% return before expenses)		$	1,000.00			$	1,024.05				0.15	%*		$	0.75
WisdomTree Emerging Markets Corporate Bond Fund
Actual		$	1,000.00			$	1,004.40				0.60	%		$	2.98
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			$	1,031.90				0.55	%		$	2.77
Hypothetical (5% return before expenses)		$	1,000.00			$	1,022.07				0.55	%		$	2.76
WisdomTree Interest Rate Hedged High Yield Bond Fund
Actual		$	1,000.00			$	1,033.00				0.43	%		$	2.17
Hypothetical (5% return before expenses)		$	1,000.00			$	1,022.66				0.43	%		$	2.16
WisdomTree Negative Duration High Yield Bond Fund
Actual		$	1,000.00			$	1,074.30				0.48	%		$	2.47
Hypothetical (5% return before expenses)		$	1,000.00			$	1,022.41				0.48	%		$	2.41

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			25

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Shareholder Expense Examples (unaudited) (concluded)

 

		Beginning Account Value 9/1/17				Ending Account Value 2/28/18				Annualized Expense Ratio Based on the Period 9/1/17 to 2/28/18				Expenses Paid During the Period† 9/1/17 to 2/28/18
WisdomTree CBOE Russell 2000 PutWrite Strategy Fund
Actual1		$	1,000.00			$	970.70				0.43	%*		$	0.331
Hypothetical (5% return before expenses)		$	1,000.00			$	1,022.66				0.43	%*		$	2.161
WisdomTree CBOE S&P 500 PutWrite Strategy Fund
Actual		$	1,000.00			$	1,015.20				0.38	%*		$	1.90
Hypothetical (5% return before expenses)		$	1,000.00			$	1,022.91				0.38	%*		$	1.91
WisdomTree Managed Futures Strategy Fund (consolidated)
Actual		$	1,000.00			$	1,018.80				0.65	%*		$	3.25
Hypothetical (5% return before expenses)		$	1,000.00			$	1,021.57				0.65	%*		$	3.26

 

†	Unless otherwise indicated in the footnotes below, 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).

 

*

WisdomTree Asset Management, Inc. has contractually agreed to limit its management fee to 0.12%, 0.12%, 0.15%, 0.43%, 0.38%, and 0.65% for WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund, WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund, WisdomTree Bloomberg Floating Rate Treasury Fund, WisdomTree CBOE Russell 2000 PutWrite Strategy Fund, WisdomTree CBOE S&P 500 PutWrite Strategy Fund and WisdomTree Managed Futures Strategy Fund, respectively, through December 31, 2018, unless earlier terminated by the Board of Trustees of the WisdomTree Trust for any reason.

 

1	Fund commenced operations on February 1, 2018. Actual expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 28/365 (to reflect the period since commencement of operations).

 

26		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Schedule of Investments (unaudited)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
U.S. GOVERNMENT OBLIGATIONS – 96.7%
U.S. Treasury Bills – 96.7%
U.S. Treasury Bills 1.32%, 3/8/18*		$	24,528,000			$	24,522,396
1.56%, 4/19/18*			24,622,000				24,570,478
TOTAL INVESTMENTS IN SECURITIES – 96.7% (Cost: $49,092,319)							49,092,874
Other Assets less Liabilities – 3.3%							1,663,111
NET ASSETS – 100.0%						$	50,755,985

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

 

FINANCIAL DERIVATIVE INSTRUMENTS
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)
Counterparty		Settlement Date				Amount and Description of Currency to be Purchased								Amount and Description of Currency to be Sold								Unrealized Appreciation				Unrealized Depreciation
Bank of America N.A.			3/6/2018				792,000				AUD				619,432				USD			$	—			$	(4,285	)
Bank of America N.A.			3/6/2018				1,908,000				AUD				1,483,859				USD				—				(1,915	)
Bank of America N.A.			3/6/2018				237,000				AUD				185,672				USD				—				(1,594	)
Bank of America N.A.			3/6/2018				665,490				AUD				516,873				USD				13				—
Bank of America N.A.			3/6/2018				1,779,000				CAD				1,416,026				USD				—				(29,563	)
Bank of America N.A.			3/6/2018				4,286,000				CAD				3,400,173				USD				—				(59,881	)
Bank of America N.A.			3/6/2018				533,000				CAD				421,009				USD				—				(5,615	)
Bank of America N.A.			3/6/2018				1,494,990				CAD				1,165,091				USD				29				—
Bank of America N.A.			3/6/2018				512,000				CHF				543,368				USD				—				(1,064	)
Bank of America N.A.			3/6/2018				1,234,000				CHF				1,320,030				USD				—				(12,993	)
Bank of America N.A.			3/6/2018				154,000				CHF				164,472				USD				—				(1,357	)
Bank of America N.A.			3/6/2018				430,290				CHF				455,744				USD				14				—
Bank of America N.A.			3/6/2018				2,381,000				CNH				376,381				USD				—				(267	)
Bank of America N.A.			3/6/2018				5,735,000				CNH				898,875				USD				7,052				—
Bank of America N.A.			3/6/2018				714,000				CNH				112,845				USD				—				(59	)
Bank of America N.A.			3/6/2018				2,000,670				CNH				316,027				USD				8				—
Bank of America N.A.			3/6/2018				3,175,000				EUR				3,899,357				USD				—				(24,895	)
Bank of America N.A.			3/6/2018				7,647,000				EUR				9,376,453				USD				—				(44,796	)
Bank of America N.A.			3/6/2018				952,000				EUR				1,170,985				USD				—				(9,256	)
Bank of America N.A.			3/6/2018				2,667,840				EUR				3,255,472				USD				101				—
Bank of America N.A.			3/6/2018				937,000				GBP				1,301,781				USD				—				(11,658	)
Bank of America N.A.			3/6/2018				2,258,000				GBP				3,141,490				USD				—				(32,529	)
Bank of America N.A.			3/6/2018				281,000				GBP				392,556				USD				—				(5,657	)
Bank of America N.A.			3/6/2018				787,500				GBP				1,084,257				USD				24				—
Bank of America N.A.			3/6/2018				16,713,000				INR				259,277				USD				—				(2,855	)
Bank of America N.A.			3/6/2018				40,261,000				INR				621,599				USD				—				(3,888	)
Bank of America N.A.			3/6/2018				5,011,000				INR				77,140				USD				—				(258	)
Bank of America N.A.			3/6/2018				14,045,850				INR				215,295				USD				206				—
Bank of America N.A.			3/6/2018				243,755,000				JPY				2,227,171				USD				57,900				—
Bank of America N.A.			3/6/2018				587,200,000				JPY				5,406,082				USD				98,600				—
Bank of America N.A.			3/6/2018				73,078,000				JPY				683,995				USD				1,072				—
Bank of America N.A.			3/6/2018				204,854,580				JPY				1,920,340				USD				61				—
Bank of America N.A.			3/6/2018				511,608,000				KRW				470,942				USD				1,504				—
Bank of America N.A.			3/6/2018				1,232,452,000				KRW				1,122,656				USD				15,456				—
Bank of America N.A.			3/6/2018				153,380,000				KRW				142,480				USD				—				(841	)
Bank of America N.A.			3/6/2018				429,961,140				KRW				397,046				USD				3				—
Bank of America N.A.			3/6/2018				23,391,000				MXN				1,242,398				USD				—				(2,354	)
Bank of America N.A.			3/6/2018				56,349,000				MXN				2,969,353				USD				17,916				—
Bank of America N.A.			3/6/2018				7,013,000				MXN				377,285				USD				—				(5,500	)
Bank of America N.A.			3/6/2018				19,658,100				MXN				1,042,119				USD				30				—
Bank of America N.A.			3/6/2018				1,046,478				USD				1,298,850				AUD				37,661				—
Bank of America N.A.			3/6/2018				2,373,243				USD				2,917,950				CAD				99,140				—

 

See Notes to Financial Statements.

 

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Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Counterparty		Settlement Date				Amount and Description of Currency to be Purchased								Amount and Description of Currency to be Sold								Unrealized Appreciation				Unrealized Depreciation
Bank of America N.A.			3/6/2018				904,658				USD				840,000				CHF			$	14,940			$	—
Bank of America N.A.			3/6/2018				618,865				USD				3,904,950				CNH				2,021				—
Bank of America N.A.			3/6/2018				6,477,789				USD				5,206,950				EUR				123,733				—
Bank of America N.A.			3/6/2018				2,185,181				USD				1,537,200				GBP				68,664				—
Bank of America N.A.			3/6/2018				429,652				USD				27,413,400				INR				9,057				—
Bank of America N.A.			3/6/2018				3,668,590				USD				399,816,900				JPY				—				(79,477	)
Bank of America N.A.			3/6/2018				786,098				USD				839,160,000				KRW				11,173				—
Bank of America N.A.			3/6/2018				2,050,578				USD				38,367,000				MXN				16,601				—
Bank of America N.A.			4/5/2018				542,319				USD				698,250				AUD				—				(36	)
Bank of America N.A.			4/5/2018				1,222,452				USD				1,567,650				CAD				—				(69	)
Bank of America N.A.			4/5/2018				465,042				USD				437,850				CHF				—				(26	)
Bank of America N.A.			4/5/2018				3,350,840				USD				2,739,450				EUR				—				(131	)
Bank of America N.A.			4/5/2018				1,119,164				USD				811,650				GBP				—				(50	)
Bank of America N.A.			4/5/2018				1,926,014				USD				204,993,600				JPY				—				(76	)
Bank of America N.A.			4/5/2018				401,354				USD				434,505,750				KRW				—				(74	)
Bank of America N.A.			4/5/2018				1,059,040				USD				20,076,000				MXN				—				(89	)
Bank of America N.A.			4/6/2018				222,493				USD				14,585,550				INR				—				(499	)
Bank of America N.A.			4/9/2018				319,435				USD				2,026,500				CNH				—				(64	)
Citibank N.A.			3/6/2018				79,000				AUD				62,467				USD				—				(1,107	)
Citibank N.A.			3/6/2018				665,490				AUD				516,874				USD				12				—
Citibank N.A.			3/6/2018				178,000				CAD				141,818				USD				—				(3,094	)
Citibank N.A.			3/6/2018				1,494,990				CAD				1,165,088				USD				31				—
Citibank N.A.			3/6/2018				51,000				CHF				55,036				USD				—				(1,018	)
Citibank N.A.			3/6/2018				430,290				CHF				455,742				USD				15				—
Citibank N.A.			3/6/2018				238,000				CNH				37,768				USD				—				(172	)
Citibank N.A.			3/6/2018				2,000,670				CNH				316,023				USD				12				—
Citibank N.A.			3/6/2018				317,000				EUR				393,646				USD				—				(6,810	)
Citibank N.A.			3/6/2018				2,667,840				EUR				3,255,464				USD				109				—
Citibank N.A.			3/6/2018				94,000				GBP				131,820				USD				—				(2,395	)
Citibank N.A.			3/6/2018				787,500				GBP				1,084,243				USD				38				—
Citibank N.A.			3/6/2018				1,670,000				INR				26,020				USD				—				(398	)
Citibank N.A.			3/6/2018				14,045,850				INR				215,572				USD				—				(71	)
Citibank N.A.			3/6/2018				24,359,000				JPY				229,302				USD				—				(950	)
Citibank N.A.			3/6/2018				204,854,580				JPY				1,920,338				USD				62				—
Citibank N.A.			3/6/2018				51,126,000				KRW				47,484				USD				—				(271	)
Citibank N.A.			3/6/2018				429,961,140				KRW				397,075				USD				—				(26	)
Citibank N.A.			3/6/2018				2,337,000				MXN				126,011				USD				—				(2,118	)
Citibank N.A.			3/6/2018				19,658,100				MXN				1,042,119				USD				30				—
Citibank N.A.			3/6/2018				1,046,477				USD				1,298,850				AUD				37,660				—
Citibank N.A.			3/6/2018				2,373,220				USD				2,917,950				CAD				99,117				—
Citibank N.A.			3/6/2018				904,660				USD				840,000				CHF				14,942				—
Citibank N.A.			3/6/2018				618,819				USD				3,904,950				CNH				1,974				—
Citibank N.A.			3/6/2018				6,477,784				USD				5,206,950				EUR				123,728				—
Citibank N.A.			3/6/2018				2,185,170				USD				1,537,200				GBP				68,653				—
Citibank N.A.			3/6/2018				429,005				USD				27,413,400				INR				8,410				—
Citibank N.A.			3/6/2018				3,668,587				USD				399,816,900				JPY				—				(79,480	)
Citibank N.A.			3/6/2018				784,907				USD				839,160,000				KRW				9,982				—
Citibank N.A.			3/6/2018				2,050,602				USD				38,367,000				MXN				16,625				—
Citibank N.A.			4/5/2018				542,332				USD				698,250				AUD				—				(23	)
Citibank N.A.			4/5/2018				1,222,495				USD				1,567,650				CAD				—				(26	)
Citibank N.A.			4/5/2018				465,049				USD				437,850				CHF				—				(19	)
Citibank N.A.			4/5/2018				3,350,882				USD				2,739,450				EUR				—				(90	)
Citibank N.A.			4/5/2018				1,119,180				USD				811,650				GBP				—				(34	)
Citibank N.A.			4/5/2018				1,926,061				USD				204,993,600				JPY				—				(29	)
Citibank N.A.			4/5/2018				401,361				USD				434,505,750				KRW				—				(67	)
Citibank N.A.			4/5/2018				1,059,033				USD				20,076,000				MXN				—				(95	)
Citibank N.A.			4/6/2018				222,769				USD				14,585,550				INR				—				(224	)
Citibank N.A.			4/9/2018				319,450				USD				2,026,500				CNH				—				(49	)

 

See Notes to Financial Statements.

 

28		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

---

Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Counterparty		Settlement Date				Amount and Description of Currency to be Purchased								Amount and Description of Currency to be Sold								Unrealized Appreciation				Unrealized Depreciation
HSBC Holdings PLC			3/6/2018				665,490				AUD				516,889				USD			$	—			$	(3	)
HSBC Holdings PLC			3/6/2018				1,494,990				CAD				1,165,121				USD				—				(1	)
HSBC Holdings PLC			3/6/2018				430,290				CHF				455,758				USD				—				—
HSBC Holdings PLC			3/6/2018				2,000,670				CNH				316,037				USD				—				(1	)
HSBC Holdings PLC			3/6/2018				2,667,840				EUR				3,255,557				USD				16				—
HSBC Holdings PLC			3/6/2018				787,500				GBP				1,084,275				USD				6				—
HSBC Holdings PLC			3/6/2018				14,045,850				INR				215,288				USD				212				—
HSBC Holdings PLC			3/6/2018				204,854,580				JPY				1,920,398				USD				3				—
HSBC Holdings PLC			3/6/2018				429,961,140				KRW				396,764				USD				285				—
HSBC Holdings PLC			3/6/2018				19,658,100				MXN				1,042,160				USD				—				(11	)
HSBC Holdings PLC			3/6/2018				1,046,457				USD				1,298,850				AUD				37,640				—
HSBC Holdings PLC			3/6/2018				2,373,166				USD				2,917,950				CAD				99,063				—
HSBC Holdings PLC			3/6/2018				904,636				USD				840,000				CHF				14,919				—
HSBC Holdings PLC			3/6/2018				619,499				USD				3,904,950				CNH				2,655				—
HSBC Holdings PLC			3/6/2018				6,477,602				USD				5,206,950				EUR				123,545				—
HSBC Holdings PLC			3/6/2018				2,185,130				USD				1,537,200				GBP				68,613				—
HSBC Holdings PLC			3/6/2018				429,450				USD				27,413,400				INR				8,855				—
HSBC Holdings PLC			3/6/2018				3,668,567				USD				399,816,900				JPY				—				(79,500	)
HSBC Holdings PLC			3/6/2018				786,076				USD				839,160,000				KRW				11,151				—
HSBC Holdings PLC			3/6/2018				2,050,620				USD				38,367,000				MXN				16,644				—
HSBC Holdings PLC			4/5/2018				542,348				USD				698,250				AUD				—				(7	)
HSBC Holdings PLC			4/5/2018				1,222,531				USD				1,567,650				CAD				10				—
HSBC Holdings PLC			4/5/2018				465,056				USD				437,850				CHF				—				(12	)
HSBC Holdings PLC			4/5/2018				3,350,950				USD				2,739,450				EUR				—				(21	)
HSBC Holdings PLC			4/5/2018				1,119,201				USD				811,650				GBP				—				(13	)
HSBC Holdings PLC			4/5/2018				1,926,070				USD				204,993,600				JPY				—				(20	)
HSBC Holdings PLC			4/5/2018				401,043				USD				434,505,750				KRW				—				(385	)
HSBC Holdings PLC			4/5/2018				1,059,104				USD				20,076,000				MXN				—				(25	)
HSBC Holdings PLC			4/6/2018				222,456				USD				14,585,550				INR				—				(536	)
HSBC Holdings PLC			4/9/2018				319,501				USD				2,026,500				CNH				2				—
Morgan Stanley & Co. International			3/6/2018				507,040				AUD				393,809				USD				9				—
Morgan Stanley & Co. International			3/6/2018				1,139,040				CAD				887,688				USD				23				—
Morgan Stanley & Co. International			3/6/2018				327,840				CHF				347,233				USD				11				—
Morgan Stanley & Co. International			3/6/2018				1,524,320				CNH				240,782				USD				6				—
Morgan Stanley & Co. International			3/6/2018				2,032,640				EUR				2,480,368				USD				69				—
Morgan Stanley & Co. International			3/6/2018				600,000				GBP				826,092				USD				27				—
Morgan Stanley & Co. International			3/6/2018				10,701,600				INR				163,976				USD				215				—
Morgan Stanley & Co. International			3/6/2018				156,079,680				JPY				1,463,119				USD				44				—
Morgan Stanley & Co. International			3/6/2018				327,589,440				KRW				301,963				USD				550				—
Morgan Stanley & Co. International			3/6/2018				14,977,600				MXN				794,019				USD				—				(1	)
Morgan Stanley & Co. International			3/6/2018				1,046,495				USD				1,298,850				AUD				37,678				—
Morgan Stanley & Co. International			3/6/2018				2,373,218				USD				2,917,950				CAD				99,115				—
Morgan Stanley & Co. International			3/6/2018				904,618				USD				840,000				CHF				14,900				—
Morgan Stanley & Co. International			3/6/2018				618,889				USD				3,904,950				CNH				2,045				—
Morgan Stanley & Co. International			3/6/2018				6,477,763				USD				5,206,950				EUR				123,707				—
Morgan Stanley & Co. International			3/6/2018				2,185,168				USD				1,537,200				GBP				68,651				—
Morgan Stanley & Co. International			3/6/2018				428,884				USD				27,413,400				INR				8,289				—
Morgan Stanley & Co. International			3/6/2018				3,668,610				USD				399,816,900				JPY				—				(79,457	)
Morgan Stanley & Co. International			3/6/2018				784,686				USD				839,160,000				KRW				9,760				—
Morgan Stanley & Co. International			3/6/2018				2,050,709				USD				38,367,000				MXN				16,732				—
Morgan Stanley & Co. International			4/5/2018				413,204				USD				532,000				AUD				—				(19	)
Morgan Stanley & Co. International			4/5/2018				931,415				USD				1,194,400				CAD				—				(29	)
Morgan Stanley & Co. International			4/5/2018				354,318				USD				333,600				CHF				—				(19	)
Morgan Stanley & Co. International			4/5/2018				2,553,044				USD				2,087,200				EUR				—				(77	)
Morgan Stanley & Co. International			4/5/2018				852,707				USD				618,400				GBP				—				(27	)
Morgan Stanley & Co. International			4/5/2018				1,467,449				USD				156,185,600				JPY				—				(48	)
Morgan Stanley & Co. International			4/5/2018				305,121				USD				331,052,000				KRW				—				(729	)
Morgan Stanley & Co. International			4/5/2018				806,904				USD				15,296,000				MXN				—				(51	)

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			29

---

Table of Contents

Schedule of Investments (unaudited) (concluded)

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

February 28, 2018

 

  

 

 

Counterparty		Settlement Date				Amount and Description of Currency to be Purchased								Amount and Description of Currency to be Sold								Unrealized Appreciation				Unrealized Depreciation
Morgan Stanley & Co. International			4/6/2018				169,433				USD				11,112,800				INR			$	—			$	(465	)
Morgan Stanley & Co. International			4/9/2018				243,408				USD				1,544,000				CNH				—				(20	)
UBS AG			3/6/2018				665,490				AUD				516,881				USD				5				—
UBS AG			3/6/2018				1,494,990				CAD				1,165,097				USD				22				—
UBS AG			3/6/2018				430,290				CHF				455,747				USD				11				—
UBS AG			3/6/2018				2,000,670				CNH				316,023				USD				12				—
UBS AG			3/6/2018				2,667,840				EUR				3,255,498				USD				75				—
UBS AG			3/6/2018				787,500				GBP				1,084,254				USD				27				—
UBS AG			3/6/2018				14,045,850				INR				215,213				USD				288				—
UBS AG			3/6/2018				204,854,580				JPY				1,920,354				USD				46				—
UBS AG			3/6/2018				429,961,140				KRW				396,340				USD				709				—
UBS AG			3/6/2018				19,658,100				MXN				1,042,147				USD				2				—
UBS AG			3/6/2018				797,322				USD				989,600				AUD				28,699				—
UBS AG			3/6/2018				1,808,178				USD				2,223,200				CAD				75,528				—
UBS AG			3/6/2018				689,253				USD				640,000				CHF				11,373				—
UBS AG			3/6/2018				471,491				USD				2,975,200				CNH				1,515				—
UBS AG			3/6/2018				4,935,455				USD				3,967,200				EUR				94,269				—
UBS AG			3/6/2018				1,664,894				USD				1,171,200				GBP				52,309				—
UBS AG			3/6/2018				326,914				USD				20,886,400				INR				6,461				—
UBS AG			3/6/2018				2,795,134				USD				304,622,400				JPY				—				(60,536	)
UBS AG			3/6/2018				598,019				USD				639,360,000				KRW				7,599				—
UBS AG			3/6/2018				1,562,301				USD				29,232,000				MXN				12,604				—
UBS AG			4/5/2018				542,327				USD				698,250				AUD				—				(28	)
UBS AG			4/5/2018				1,222,482				USD				1,567,650				CAD				—				(38	)
UBS AG			4/5/2018				465,054				USD				437,850				CHF				—				(14	)
UBS AG			4/5/2018				3,350,893				USD				2,739,450				EUR				—				(79	)
UBS AG			4/5/2018				1,119,179				USD				811,650				GBP				—				(34	)
UBS AG			4/5/2018				1,926,079				USD				204,993,600				JPY				—				(11	)
UBS AG			4/5/2018				400,623				USD				434,505,750				KRW				—				(805	)
UBS AG			4/5/2018				1,059,006				USD				20,076,000				MXN				—				(122	)
UBS AG			4/6/2018				222,429				USD				14,585,550				INR				—				(563	)
UBS AG			4/9/2018				319,450				USD				2,026,500				CNH				—				(50	)
																						$	2,021,383			$	(665,994	)

 

CURRENCY LEGEND
AUD		Australian dollar
CAD		Canadian dollar
CHF		Swiss franc
CNH		Offshore Chinese renminbi
EUR		Euro
GBP		British pound
INR		Indian rupee
JPY		Japanese yen
KRW		South Korean won
MXN		Mexican peso
USD		U.S. dollar

 

See Notes to Financial Statements.

 

30		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

---

Table of Contents

Schedule of Investments (unaudited)

WisdomTree Brazilian Real Strategy Fund (BZF)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
U.S. GOVERNMENT OBLIGATIONS – 66.1%
U.S. Treasury Bill – 66.1%
U.S. Treasury Bill 1.28%, 3/8/18* (Cost: $9,947,560)		$	9,950,000			$	9,947,727
REPURCHASE AGREEMENT – 31.9%
United States – 31.9%
Citigroup, Inc., tri-party repurchase agreement dated 2/28/18 (tri-party custodian: The Bank of New York Mellon Corp.), 1.37% due 3/1/18; Proceeds at maturity – $4,800,183 (fully collateralized by U.S. Treasury Bond, 3.75% due 8/15/41 and U.S. Treasury Note, 1.88% due 2/28/22; Market value – $4,896,066)
(Cost: $4,800,000)			4,800,000				4,800,000
TOTAL INVESTMENTS IN SECURITIES – 98.0% (Cost: $14,747,560)							14,747,727
Other Assets less Liabilities – 2.0%							302,251
NET ASSETS – 100.0%						$	15,049,978

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

 

FINANCIAL DERIVATIVE INSTRUMENTS
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)
Counterparty		Settlement Date				Amount and Description of Currency to be Purchased								Amount and Description of Currency to be Sold								Unrealized Appreciation				Unrealized Depreciation
Bank of America N.A.			3/2/2018				5,799,994				BRL				1,786,317				USD			$	—			$	(1,017	)
Bank of America N.A.			3/2/2018				629,479				USD				2,029,000				BRL				4,931				—
Bank of America N.A.			3/2/2018				1,051,469				USD				3,406,760				BRL				2,832				—
Bank of America N.A.			4/4/2018				632,767				USD				2,047,000				BRL				4,813				—
Bank of America N.A.			5/3/2018				5,313,560				BRL				1,662,124				USD				—				(37,090	)
Bank of America N.A.			6/4/2018				3,413,029				BRL				1,043,612				USD				—				(3,023	)
Canadian Imperial Bank of Commerce			3/2/2018				5,799,994				BRL				1,785,987				USD				—				(687	)
Canadian Imperial Bank of Commerce			3/2/2018				1,051,794				USD				3,406,760				BRL				3,157				—
Canadian Imperial Bank of Commerce			6/4/2018				3,413,029				BRL				1,043,931				USD				—				(3,342	)
Citibank N.A.			3/2/2018				5,799,994				BRL				1,786,317				USD				—				(1,017	)
Citibank N.A.			3/2/2018				607,640				USD				2,028,000				BRL				—				(16,600	)
Citibank N.A.			3/2/2018				627,533				USD				2,028,000				BRL				3,293				—
Citibank N.A.			3/2/2018				1,051,469				USD				3,406,760				BRL				2,832				—
Citibank N.A.			4/4/2018				3,806,826				BRL				1,135,857				USD				31,955				—
Citibank N.A.			4/4/2018				4,952,728				BRL				1,477,765				USD				41,573				—
Citibank N.A.			4/4/2018				631,108				USD				2,047,000				BRL				3,154				—
Citibank N.A.			5/3/2018				5,645,655				BRL				1,766,006				USD				—				(39,408	)
Citibank N.A.			6/4/2018				3,413,029				BRL				1,043,548				USD				—				(2,959	)
Goldman Sachs			3/2/2018				1,051,599				USD				3,406,760				BRL				2,962				—
Goldman Sachs			5/3/2018				5,645,655				BRL				1,765,233				USD				—				(38,635	)
Goldman Sachs			6/4/2018				3,413,029				BRL				1,043,676				USD				—				(3,087	)
JP Morgan Chase Bank N.A.			3/2/2018				4,907,688				BRL				1,512,156				USD				—				(1,517	)
Morgan Stanley & Co. International			4/4/2018				5,853,223				BRL				1,747,492				USD				48,089				—
UBS AG			3/2/2018				801,106				USD				2,595,630				BRL				2,143				—
UBS AG			4/4/2018				5,853,223				BRL				1,750,104				USD				45,477				—
UBS AG			6/4/2018				2,600,404				BRL				795,085				USD				—				(2,254	)
																						$	197,211			$	(150,636	)

 

CURRENCY LEGEND
BRL		Brazilian real
USD		U.S. dollar

 

See Notes to Financial Statements.

 

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Schedule of Investments (unaudited)

WisdomTree Chinese Yuan Strategy Fund (CYB)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
U.S. GOVERNMENT OBLIGATIONS – 61.7%
U.S. Treasury Bills – 61.7%
U.S. Treasury Bills
1.32%, 3/8/18*		$	8,850,000			$	8,847,978
1.56%, 4/19/18*			16,242,000				16,208,013
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $25,055,817)							25,055,991
REPURCHASE AGREEMENT – 31.0%
United States – 31.0%
Citigroup, Inc., tri-party repurchase agreement dated 2/28/18 (tri-party custodian: The Bank of New York Mellon Corp.), 1.37% due 3/1/18; Proceeds at maturity – $12,560,478 (fully collateralized by Fannie Mae Pool, 3.50% – 6.50% due 3/1/32 – 4/1/47, U.S. Treasury Notes, 1.50% – 1.88% due 5/31/19 – 2/28/22; Market value – $12,811,757)
(Cost: $12,560,000)			12,560,000				12,560,000
TOTAL INVESTMENTS IN SECURITIES – 92.7% (Cost: $37,615,817)							37,615,991
Other Assets less Liabilities – 7.3%							2,964,875
NET ASSETS – 100.0%						$	40,580,866

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

 

FINANCIAL DERIVATIVE INSTRUMENTS
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)
Counterparty		Settlement Date				Amount and Description of Currency to be Purchased								Amount and Description of Currency to be Sold								Unrealized Appreciation				Unrealized Depreciation
Citibank N.A.			3/14/2018				5,097,576				USD				32,170,800				CNH			$	15,895			$	—
Citibank N.A.			5/15/2018				33,664,550				CNY				5,276,989				USD				15,171				—
Citibank N.A.			6/13/2018				32,318,700				CNH				5,093,971				USD				—				(15,514	)
Goldman Sachs			5/15/2018				32,344,372				CNY				5,073,627				USD				10,997				—
HSBC Holdings PLC			3/14/2018				30,909,200				CNH				4,644,857				USD				237,542				—
HSBC Holdings PLC			3/14/2018				4,896,895				USD				30,909,200				CNH				14,496				—
HSBC Holdings PLC			6/13/2018				31,051,300				CNH				4,893,783				USD				—				(14,482	)
JP Morgan Chase Bank N.A.†			4/17/2018				7,650,000				CNH				1,161,378				USD				44,588				—
JP Morgan Chase Bank N.A.†			4/17/2018				57,630,000				CNY				8,746,396				USD				330,982				—
UBS AG			3/14/2018				32,170,800				CNH				4,835,824				USD				245,857				—
UBS AG			4/17/2018				7,350,000				CNH				1,116,088				USD				42,586				—
UBS AG			4/17/2018				55,370,000				CNY				8,403,400				USD				318,002				—
																						$	1,276,116			$	(29,996	)

†	As of February 28, 2018, the Fund posted cash collateral of $1,490,000 with the counterparty, JP Morgan Chase Bank N.A., for foreign currency contracts.

 

CURRENCY LEGEND
CNH		Offshore Chinese renminbi
CNY		Chinese yuan
USD		U.S. dollar

 

See Notes to Financial Statements.

 

32		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited)

WisdomTree Emerging Currency Strategy Fund (CEW)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
U.S. GOVERNMENT OBLIGATIONS – 63.4%
U.S. Treasury Bills – 63.4%
U.S. Treasury Bills
1.32%, 3/8/18*		$	15,820,000			$	15,816,386
1.56%, 4/19/18*			13,086,000				13,058,617
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $28,874,647)							28,875,003
REPURCHASE AGREEMENT – 32.0%
United States – 32.0%
Citigroup, Inc., tri-party repurchase agreement dated 2/28/18 (tri-party custodian: The Bank of New York Mellon Corp.), 1.37% due 3/1/18; Proceeds at maturity – $14,600,556 (fully collateralized by U.S. Treasury Note, 1.50% due 5/31/19 and U.S. Treasury Bond Coupon STRIPS, 0.00% due 2/15/29 – 8/15/32; Market value – $14,892,000)
(Cost: $14,600,000)			14,600,000				14,600,000
TOTAL INVESTMENTS IN SECURITIES – 95.4% (Cost: $43,474,647)							43,475,003
Other Assets less Liabilities – 4.6%							2,112,185
NET ASSETS – 100.0%						$	45,587,188

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

STRIPS – Separate Trading of Registered Interest and Principal of Securities.

 

FINANCIAL DERIVATIVE INSTRUMENTS
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)
Counterparty		Settlement Date				Amount and Description of Currency to be Purchased								Amount and Description of Currency to be Sold								Unrealized Appreciation				Unrealized Depreciation
Bank of America N.A.			5/4/2018				1,750,320,000				CLP				2,882,727				USD			$	57,822			$	—
Bank of America N.A.			5/4/2018				35,110,000				ZAR				2,898,994				USD				48,686				—
Bank of Montreal			5/4/2018				8,272,915,000				COP				2,889,586				USD				—				(12,082	)
Citibank N.A.			5/4/2018				9,245,000				BRL				2,875,673				USD				—				(48,568	)
Citibank N.A.			5/4/2018				3,073,745,000				KRW				2,869,441				USD				—				(26,461	)
Citibank N.A.			5/4/2018				9,690,000				PLN				2,894,162				USD				—				(62,827	)
Goldman Sachs			5/4/2018				11,260,000				MYR				2,884,221				USD				—				(19,126	)
HSBC Holdings PLC			5/4/2018				18,450,000				CNH				2,892,439				USD				13,114				—
HSBC Holdings PLC			5/4/2018				54,765,000				MXN				2,887,345				USD				—				(13,881	)
HSBC Holdings PLC			5/4/2018				90,630,000				THB				2,888,145				USD				1,570				—
HSBC Holdings PLC			5/4/2018				83,820,000				TWD				2,885,370				USD				—				(3,438	)
JP Morgan Chase Bank N.A.†			5/4/2018				148,535,000				PHP				2,869,133				USD				—				(36,780	)
Societe Generale			5/4/2018				11,255,000				TRY				2,901,297				USD				1,140				—
State Street Bank and Trust			5/4/2018				185,835,000				INR				2,884,159				USD				—				(57,243	)
UBS AG			5/4/2018				38,904,245,000				IDR				2,885,643				USD				—				(62,224	)
UBS AG			5/4/2018				164,830,000				RUB				2,894,878				USD				12,088				—
																						$	134,420			$	(342,630	)

†	As of February 28, 2018, the Fund posted cash collateral of $580,000 with the counterparty, JP Morgan Chase Bank N.A., for foreign currency contracts.

 

CURRENCY LEGEND
BRL		Brazilian real		KRW		South Korean won		THB		Thai baht
CLP		Chilean peso		MXN		Mexican peso		TRY		Turkish New lira
CNH		Offshore Chinese renminbi		MYR		Malaysian ringgit		TWD		New Taiwan dollar
COP		Colombian peso		PHP		Philippine peso		USD		U.S. dollar
IDR		Indonesian rupiah		PLN		Polish zloty		ZAR		South African rand
INR		Indian rupee		RUB		Russian ruble

 

See Notes to Financial Statements.

 

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Table of Contents

Schedule of Investments (unaudited)

WisdomTree Asia Local Debt Fund (ALD)

February 28, 2018

 

  

 

 

Investments		Principal Amount†								Value
FOREIGN GOVERNMENT AGENCIES – 15.8%
Australia – 12.4%
Queensland Treasury Corp. 6.00%, 7/21/22, Series 22, Reg S			736,000				AUD			$	656,668
South Australian Government Financing Authority 5.00%, 5/20/21, Series 21			978,000				AUD				825,805
Treasury Corp. of Victoria 5.50%, 12/17/24, Series 1224			630,000				AUD				573,864
Western Australian Treasury Corp. 7.00%, 10/15/19, Series 19			327,000				AUD				275,012
5.00%, 7/23/25, Series 25, Reg S			580,000				AUD				511,402
Total Australia											2,842,751
New Zealand – 3.4%
New Zealand Local Government Funding Agency Bond
5.50%, 4/15/23			600,000				NZD				483,514
4.50%, 4/15/27			390,000				NZD				296,968
Total New Zealand											780,482
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $3,747,157)											3,623,233
FOREIGN GOVERNMENT OBLIGATIONS – 68.8%
China – 4.6%
China Government Bond
2.36%, 8/18/21, Reg S			4,000,000				CNY				597,292
3.10%, 6/29/22			2,000,000				CNY				302,576
3.48%, 6/29/27, Reg S			1,000,000				CNY				147,803
Total China											1,047,671
Hong Kong – 6.1%
Hong Kong Government Bond 1.51%, 2/24/27			650,000				HKD				80,293
Hong Kong Government Bond Programme
1.06%, 2/5/20			3,450,000				HKD				439,632
2.46%, 8/4/21			4,450,000				HKD				586,077
1.10%, 1/17/23			2,300,000				HKD				284,862
Total Hong Kong											1,390,864
India – 11.5%
India Government Bond
8.27%, 6/9/20			26,000,000				INR				409,957
7.80%, 4/11/21			70,000,000				INR				1,093,632
7.72%, 5/25/25			74,000,000				INR				1,135,338
Total India											2,638,927
Indonesia – 10.1%
Indonesia Treasury Bond
7.88%, 4/15/19, Series FR69			3,810,000,000				IDR				286,127
12.80%, 6/15/21, Series FR34			5,228,000,000				IDR				455,692
7.00%, 5/15/22, Series FR61			6,034,000,000				IDR				452,051
8.38%, 9/15/26, Series FR56			7,099,000,000				IDR				570,564
9.00%, 3/15/29, Series FR71			6,600,000,000				IDR				551,273
Total Indonesia											2,315,707
Malaysia – 6.4%
Malaysia Government Bond
4.38%, 11/29/19, Series 0902			346,000				MYR				89,930
4.16%, 7/15/21, Series 0111			850,000				MYR				221,532
3.88%, 3/10/22, Series 0117			910,000				MYR				234,579
3.48%, 3/15/23, Series 0313			782,000				MYR				196,997
3.96%, 9/15/25, Series 0115			1,745,000				MYR				444,027
Malaysia Government Investment Issue 4.26%, 7/26/27, Series 0117			1,075,000				MYR				274,994
Total Malaysia											1,462,059
New Zealand – 3.0%
New Zealand Government Bond
5.00%, 3/15/19, Series 319, Reg S			279,000				NZD				208,158
6.00%, 5/15/21, Series 521, Reg S			594,000				NZD				481,016
Total New Zealand											689,174
Philippines – 4.7%
Philippine Government Bond
3.50%, 3/20/21, Series 7-57			18,610,000				PHP				347,523
4.63%, 12/4/22, Series R511			15,015,000				PHP				280,758
3.63%, 9/9/25, Series 1060			16,166,000				PHP				270,500
Philippine Government International Bond 3.90%, 11/26/22			10,000,000				PHP				191,244
Total Philippines											1,090,025
Singapore – 4.8%
Singapore Government Bond
2.25%, 6/1/21			300,000				SGD				229,618
2.75%, 7/1/23			455,000				SGD				355,476
3.00%, 9/1/24			329,000				SGD				260,146
2.88%, 7/1/29			323,000				SGD				252,838
Total Singapore											1,098,078
South Korea – 4.9%
Korea Treasury Bond
3.75%, 6/10/22, Series 2206			444,870,000				KRW				431,500
3.50%, 3/10/24, Series 2403			437,090,000				KRW				423,123
2.25%, 6/10/25, Series 2506			295,610,000				KRW				265,626
Total South Korea											1,120,249
Thailand – 12.7%
Thailand Government Bond
2.55%, 6/26/20			11,969,000				THB				391,146
1.88%, 6/17/22			16,800,000				THB				537,640
3.63%, 6/16/23			19,113,000				THB				662,601
3.85%, 12/12/25			14,622,000				THB				518,599
4.88%, 6/22/29			10,952,000				THB				424,686
3.40%, 6/17/36			11,500,000				THB				382,830
Total Thailand											2,917,502
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $16,127,807)											15,770,256

 

See Notes to Financial Statements.

 

34		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Asia Local Debt Fund (ALD)

February 28, 2018

 

  

 

 

Investments		Principal Amount†								Value
SUPRANATIONAL BONDS – 3.3%
Asian Development Bank 2.85%, 10/21/20			2,500,000				CNY			$	383,388
European Investment Bank 7.20%, 7/9/19, Reg S			5,190,000,000				IDR				384,966
TOTAL SUPRANATIONAL BONDS (Cost: $827,013)											768,354
TOTAL INVESTMENTS IN SECURITIES – 87.9% (Cost: $20,701,977)											20,161,843
Other Assets less Liabilities – 12.1%											2,769,152
NET ASSETS – 100.0%										$	22,930,995

 

†	Principal amount is reported in U.S. dollars unless otherwise noted.

Reg S – Regulation S provides an exclusion from the registration requirements of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

 

FINANCIAL DERIVATIVE INSTRUMENTS
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)
Counterparty		Settlement Date				Amount and Description of Currency to be Purchased								Amount and Description of Currency to be Sold								Unrealized Appreciation				Unrealized Depreciation
Bank of America N.A.			3/1/2018				46,186				USD				61,126				SGD			$	—			$	(22	)
Bank of America N.A.			3/21/2018				8,000,000				PHP				158,072				USD				—				(4,866	)
Bank of America N.A.			3/21/2018				70,000				SGD				52,902				USD				—				(33	)
Citibank N.A.			3/22/2018				87,890,000				KRW				80,841				USD				384				—
Citibank N.A.			3/22/2018				11,582,665				TWD				388,811				USD				7,615				—
Citibank N.A.			3/22/2018				173,552				USD				11,296,500				INR				676				—
HSBC Holdings PLC			3/21/2018				5,500,000				PHP				108,449				USD				—				(3,121	)
JP Morgan Chase Bank N.A.			3/22/2018				37,000,000				INR				578,450				USD				—				(12,221	)
JP Morgan Chase Bank N.A.			3/22/2018				8,000,000				TWD				271,435				USD				2,371				—
Morgan Stanley & Co. International			3/22/2018				87,890,000				KRW				80,740				USD				485				—
Morgan Stanley & Co. International			3/22/2018				11,582,665				TWD				389,066				USD				7,359				—
Morgan Stanley & Co. International			3/22/2018				173,549				USD				11,296,500				INR				674				—
UBS AG			3/21/2018				360,000				SGD				267,925				USD				3,971				—
UBS AG			3/22/2018				82,720,000				KRW				75,970				USD				478				—
UBS AG			3/22/2018				10,901,332				TWD				366,195				USD				6,912				—
UBS AG			3/22/2018				163,357				USD				10,632,000				INR				650				—
																						$	31,575			$	(20,263	)

 

CURRENCY LEGEND

AUD

Australian dollar

NZD

New Zealand dollar

CNY

Chinese yuan

PHP

Philippine peso

HKD

Hong Kong dollar

SGD

Singapore dollar

IDR

Indonesian rupiah

THB

Thai baht

INR

Indian rupee

TWD

New Taiwan dollar

KRW

South Korean won

USD

U.S. dollar

MYR

Malaysian ringgit

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			35

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Table of Contents

Schedule of Investments (unaudited)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
U.S. GOVERNMENT AGENCIES – 28.2%
Federal Home Loan Bank – 0.7%
Federal Home Loan Bank 5.50%, 7/15/36		$	150,000			$	195,846
Federal Home Loan Mortgage Corporation – 8.3%
2.38%, 1/13/22			197,000				195,408
3.00%, 8/1/29			53,920				53,773
2.50%, 12/1/31			81,348				79,380
2.50%, 11/1/32			48,114				46,950
3.00%, 1/1/33			49,339				49,173
2.00%, 3/1/33(a)			25,000				23,769
2.50%, 3/1/33(a)			50,000				48,727
3.00%, 3/1/33(a)			25,000				24,885
3.50%, 3/1/33(a)			50,000				50,859
4.00%, 5/1/34			77,564				80,399
3.00%, 5/1/37			46,853				46,249
3.00%, 8/1/43			147,835				144,344
4.00%, 12/1/43			38,079				39,213
3.50%, 1/1/45			69,831				69,932
3.50%, 8/1/45			120,274				120,414
4.00%, 8/1/45			71,367				73,444
3.50%, 9/1/45			48,658				48,715
4.00%, 11/1/45			79,074				81,378
3.00%, 4/1/46			24,938				24,209
3.50%, 5/1/46			39,650				39,697
3.00%, 9/1/46			55,732				54,104
3.00%, 10/1/46			135,991				131,998
3.00%, 11/1/46			115,124				111,726
4.00%, 11/1/46			41,192				42,393
3.50%, 12/1/46			175,984				176,190
3.00%, 2/1/47			23,453				22,756
4.00%, 2/1/47			42,562				43,794
4.50%, 4/1/47			49,728				52,122
3.50%, 5/1/47			45,882				45,936
4.50%, 5/1/47			84,356				88,417
3.50%, 8/1/47			23,970				23,998
4.00%, 8/1/47			72,044				74,151
4.50%, 9/1/47			45,635				47,834
3.50%, 10/1/47			49,148				49,205
2.50%, 3/1/48(a)			25,000				23,366
3.50%, 3/1/48(a)			25,000				24,970
4.50%, 3/1/48(a)			25,000				26,181
5.00%, 3/1/48(a)			25,000				26,725
Total Federal Home Loan Mortgage Corporation							2,406,784
Federal National Mortgage Association – 11.5%
4.00%, 8/1/18			2,521				2,583
4.00%, 7/1/19			7,847				8,040
5.50%, 10/1/25			72,396				78,676
4.00%, 7/1/26			15,556				16,003
3.50%, 12/1/26			19,197				19,539
2.50%, 8/1/28			47,016				46,217
3.00%, 11/1/28			25,849				25,841
3.00%, 7/1/29			102,530				102,435
3.00%, 9/1/30			53,273				53,191
2.50%, 6/1/31			40,927				39,958
2.50%, 10/1/31			35,149				34,317
2.50%, 10/1/32			47,806				46,674
2.50%, 12/1/32			24,367				23,790
2.00%, 3/1/33(a)			25,000				23,779
2.50%, 3/1/33(a)			25,000				24,379
3.00%, 3/1/33(a)			25,000				24,890
3.50%, 3/1/33(a)			50,000				50,834
4.00%, 8/1/34			26,291				27,295
3.50%, 1/1/36			30,418				30,885
4.50%, 9/1/39			35,645				37,682
3.50%, 6/1/42			23,922				24,039
3.50%, 5/1/43			37,622				37,778
4.00%, 6/1/43			15,036				15,523
3.00%, 8/1/43			67,847				66,274
4.00%, 11/1/43			32,884				33,862
4.50%, 5/1/44			27,428				28,810
4.00%, 9/1/44			120,928				124,225
4.00%, 10/1/44			36,757				37,757
3.50%, 4/1/45			134,378				134,439
3.50%, 12/1/45			67,247				67,242
3.50%, 1/1/46			158,899				158,887
3.50%, 2/1/46			85,202				85,195
3.50%, 4/1/46			36,629				36,626
4.00%, 4/1/46			36,036				37,095
3.50%, 5/1/46			200,489				200,474
4.00%, 7/1/46			97,634				100,142
3.00%, 9/1/46			135,518				131,436
3.00%, 10/1/46			45,629				44,255
4.00%, 10/1/46			41,929				43,007
2.50%, 11/1/46			23,807				22,268
3.00%, 11/1/46			260,329				252,801
3.50%, 11/1/46			44,631				44,614
3.00%, 1/1/47			94,668				91,817
3.00%, 2/1/47			47,456				46,027
4.00%, 2/1/47			49,566				50,850
3.50%, 3/1/47			22,841				22,839
4.00%, 3/1/47			49,448				50,728
4.00%, 5/1/47			49,434				50,722
4.00%, 8/1/47			47,550				48,761
3.50%, 11/1/47			49,136				49,133
4.50%, 11/1/47			96,469				101,279
3.00%, 1/1/48			49,721				48,223
3.50%, 1/1/48			49,630				49,626
3.00%, 3/1/48(a)			25,000				24,217
4.00%, 3/1/48(a)			25,000				25,605
4.50%, 3/1/48(a)			50,000				52,349
5.00%, 3/1/48(a)			150,000				160,121
Total Federal National Mortgage Association							3,316,054
Government National Mortgage Association – 7.7%
5.00%, 2/20/43			64,288				68,566
5.00%, 4/20/44			142,227				149,785
3.50%, 7/20/44			213,866				215,916
4.00%, 7/20/44			42,067				43,555
5.00%, 7/20/44			26,008				27,367
3.50%, 8/20/44			265,449				267,904
5.00%, 8/20/44			24,577				25,943
3.00%, 1/20/45			49,524				48,505
3.00%, 12/20/45			274,667				268,820
3.00%, 5/20/46			47,807				46,848
3.50%, 9/20/46			244,157				245,901

 

See Notes to Financial Statements.

 

36		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
4.00%, 12/20/46		$	79,057			$	81,303
4.00%, 1/20/47			75,393				77,460
3.50%, 2/20/47			96,898				97,587
4.00%, 8/20/47			95,499				98,144
4.50%, 10/20/47			53,832				56,093
3.00%, 12/20/47			124,392				121,738
4.00%, 1/20/48			51,926				53,429
2.50%, 3/1/48(a)			25,000				23,647
3.00%, 3/1/48(a)			100,000				97,733
3.50%, 3/1/48(a)			25,000				25,140
4.00%, 3/1/48(a)			25,000				25,650
4.50%, 3/1/48(a)			50,000				51,984
Total Government National Mortgage Association							2,219,018
TOTAL U.S. GOVERNMENT AGENCIES (Cost: $8,254,812)							8,137,702
U.S. GOVERNMENT OBLIGATIONS – 35.3%
U.S. Treasury Bonds – 7.8%
U.S. Treasury Bond
7.63%, 11/15/22			200,000				244,566
6.88%, 8/15/25			401,000				511,197
5.38%, 2/15/31			25,000				31,628
5.00%, 5/15/37			25,000				32,285
4.38%, 2/15/38			80,000				96,277
4.50%, 5/15/38			25,000				30,602
3.50%, 2/15/39			150,000				160,714
4.25%, 5/15/39			150,000				178,227
3.63%, 8/15/43			15,000				16,344
2.50%, 5/15/46			960,000				846,188
2.25%, 8/15/46			30,000				25,021
2.75%, 11/15/47			100,000				92,670
Total U.S. Treasury Bonds							2,265,719
U.S. Treasury Notes – 27.5%
U.S. Treasury Note
1.13%, 2/28/19			100,000				99,057
1.75%, 9/30/19			100,000				99,289
1.13%, 12/31/19			300,000				294,059
1.63%, 12/31/19			1,900,000				1,878,811
1.88%, 12/31/19			200,000				198,680
1.38%, 5/31/20			200,000				195,828
2.63%, 8/15/20			200,000				201,270
2.63%, 11/15/20			300,000				301,898
3.63%, 2/15/21			300,000				310,271
1.13%, 8/31/21			200,000				190,703
1.75%, 5/15/22			30,000				29,011
1.63%, 8/15/22			200,000				191,762
1.63%, 8/31/22			200,000				191,590
1.88%, 8/31/22			200,000				193,750
1.75%, 9/30/22			200,000				192,437
1.88%, 9/30/22			200,000				193,504
1.63%, 11/15/22			522,000				498,846
1.75%, 5/15/23			750,000				716,294
2.50%, 8/15/23			500,000				495,088
2.00%, 2/15/25			250,000				237,222
2.00%, 8/15/25			200,000				188,941
1.50%, 8/15/26			725,000				650,603
2.38%, 5/15/27			250,000				239,814
2.25%, 8/15/27			25,000				23,687
2.25%, 11/15/27			125,000				118,281
Total U.S. Treasury Notes							7,930,696
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $10,359,035)							10,196,415
CORPORATE BONDS – 24.4%
United States – 24.4%
21st Century Fox America, Inc. 6.65%, 11/15/37			22,000				28,659
3M Co. 3.13%, 9/19/46			25,000				21,929
AbbVie, Inc. 3.60%, 5/14/25			61,000				60,423
Air Lease Corp. 3.63%, 4/1/27			25,000				23,924
Allergan Funding SCS 3.45%, 3/15/22			25,000				24,967
Altria Group, Inc. 2.85%, 8/9/22			75,000				73,774
Amazon.com, Inc. 4.05%, 8/22/47(b)			25,000				24,949
American Express Co. 4.05%, 12/3/42			20,000				19,978
American Honda Finance Corp. 1.95%, 7/20/20			25,000				24,539
American International Group, Inc. 2.30%, 7/16/19			25,000				24,833
American Tower Corp. 3.60%, 1/15/28			20,000				19,004
Amgen, Inc. 4.66%, 6/15/51			88,000				89,172
Anadarko Petroleum Corp. 5.55%, 3/15/26(c)			25,000				27,297
Anthem, Inc. 4.65%, 1/15/43			69,000				70,569
Apple, Inc.
1.55%, 2/7/20			70,000				68,760
2.00%, 5/6/20			70,000				69,235
3.00%, 6/20/27			25,000				23,967
4.38%, 5/13/45			20,000				21,008
AT&T, Inc.
5.80%, 2/15/19			25,000				25,732
2.30%, 3/11/19			50,000				49,917
2.80%, 2/17/21			25,000				24,804
4.45%, 5/15/21			25,000				25,938
3.00%, 2/15/22			25,000				24,723
4.30%, 2/15/30(b)			54,000				52,806
4.35%, 6/15/45			52,000				46,739
Bank of America Corp.
2.60%, 1/15/19, Series L			28,000				28,013
3.00%, 12/20/23, (3.004% fixed rate until 12/20/22; 3-month U.S. dollar London Interbank Offered Rate + 0.790% thereafter)(b)(d)			165,000				161,624
3.95%, 1/23/49, (3.946% fixed rate until 1/23/48; 3-month U.S. dollar London Interbank Offered Rate + 1.190% thereafter)(d)			20,000				19,215

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			37

---

Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
BB&T Corp.
5.25%, 11/1/19		$	25,000			$	25,977
2.45%, 1/15/20			25,000				24,855
Becton Dickinson and Co. 2.68%, 12/15/19			25,000				24,919
Boardwalk Pipelines L.P. 4.45%, 7/15/27			20,000				19,595
Boeing Co. (The) 5.88%, 2/15/40			10,000				12,709
Boston Scientific Corp. 6.00%, 1/15/20			25,000				26,392
Broadcom Corp. 3.88%, 1/15/27			25,000				24,015
Burlington Northern Santa Fe LLC
4.70%, 10/1/19			51,500				53,214
6.15%, 5/1/37			10,000				12,723
Caterpillar Financial Services Corp. 2.10%, 1/10/20			25,000				24,785
CBS Corp. 3.38%, 2/15/28			5,000				4,689
Celgene Corp. 3.45%, 11/15/27			30,000				28,583
Charter Communications Operating LLC 6.83%, 10/23/55			25,000				29,318
Cintas Corp. No 2 3.70%, 4/1/27			25,000				25,036
Cisco Systems, Inc. 5.90%, 2/15/39			15,000				19,558
Citigroup, Inc.
2.70%, 3/30/21			100,000				98,863
5.50%, 9/13/25			80,000				87,637
4.45%, 9/29/27			25,000				25,543
3.52%, 10/27/28, (3.520% fixed rate until 10/27/27; 3-month U.S. dollar London Interbank Offered Rate + 1.151% thereafter)(d)			25,000				24,197
Comcast Corp. 6.45%, 3/15/37			29,000				37,196
Concho Resources, Inc. 3.75%, 10/1/27			25,000				24,377
ConocoPhillips 6.50%, 2/1/39			20,000				26,239
Consolidated Edison Co. of New York, Inc. 4.00%, 11/15/57, Series C			20,000				19,511
CSX Corp. 4.50%, 8/1/54			20,000				19,655
CVS Health Corp. 4.88%, 7/20/35			50,000				52,089
Dell International LLC 8.35%, 7/15/46(b)			25,000				31,771
Dover Corp. 3.15%, 11/15/25			25,000				24,438
Dow Chemical Co. (The) 4.25%, 11/15/20			125,000				128,855
Duke Energy Corp. 3.15%, 8/15/27			25,000				23,713
Duke Energy Florida LLC 6.40%, 6/15/38			45,500				60,444
DXC Technology Co. 4.75%, 4/15/27			10,000				10,371
Eli Lilly & Co. 3.95%, 5/15/47			25,000				25,324
Energy Transfer Partners L.P.
4.65%, 6/1/21			100,000				103,702
6.63%, 10/15/36			20,000				22,608
Enterprise Products Operating LLC
3.35%, 3/15/23			87,000				86,906
6.88%, 3/1/33, Series D			20,000				25,157
Exelon Corp. 5.10%, 6/15/45			35,000				39,275
Exxon Mobil Corp.
3.04%, 3/1/26			25,000				24,458
3.57%, 3/6/45			25,000				23,821
FedEx Corp. 4.40%, 1/15/47			20,000				19,907
FirstEnergy Corp. 3.90%, 7/15/27, Series B			20,000				19,823
Ford Motor Co. 4.75%, 1/15/43			27,000				25,010
General Motors Financial Co., Inc. 4.00%, 1/15/25			80,000				79,417
Gilead Sciences, Inc. 3.65%, 3/1/26			100,000				99,919
Goldman Sachs Capital I 6.35%, 2/15/34			20,000				24,099
Goldman Sachs Group, Inc. (The)
7.50%, 2/15/19			133,000				138,905
6.00%, 6/15/20, Series D			100,000				106,642
5.95%, 1/15/27			25,000				28,228
3.85%, 1/26/27			25,000				24,682
3.69%, 6/5/28, (3.691% fixed rate until 6/5/27; 3-month U.S. dollar London Interbank Offered Rate + 1.510% thereafter)(d)			25,000				24,353
Home Depot, Inc. (The)
2.80%, 9/14/27			25,000				23,611
5.88%, 12/16/36			15,000				19,120
Hubbell, Inc. 3.15%, 8/15/27			25,000				23,847
Intel Corp. 4.10%, 5/11/47			20,000				20,513
International Business Machines Corp. 5.88%, 11/29/32			25,000				31,348
International Lease Finance Corp. 5.88%, 8/15/22			80,000				87,445
International Paper Co. 4.75%, 2/15/22			101,000				106,477
Jefferies Group LLC 6.45%, 6/8/27			25,000				28,251
John Deere Capital Corp.
1.95%, 6/22/20			14,000				13,773
2.80%, 3/6/23			25,000				24,561

 

See Notes to Financial Statements.

 

38		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
JPMorgan Chase & Co.
4.25%, 10/15/20		$	100,000			$	103,443
3.20%, 1/25/23			150,000				149,293
5.50%, 10/15/40			37,000				44,245
5.63%, 8/16/43			20,000				23,299
Kinder Morgan Energy Partners L.P. 5.50%, 3/1/44			99,000				102,517
Kraft Heinz Foods Co.
5.38%, 2/10/20			50,000				52,213
3.50%, 6/6/22			100,000				100,183
3.00%, 6/1/26			25,000				22,996
Laboratory Corp. of America Holdings 3.20%, 2/1/22			75,000				74,889
Lockheed Martin Corp.
6.15%, 9/1/36, Series B			25,000				31,479
4.09%, 9/15/52			25,000				24,425
LYB International Finance II B.V. 3.50%, 3/2/27			25,000				24,380
McDonald’s Corp. 2.20%, 5/26/20			25,000				24,765
MetLife, Inc. 3.60%, 11/13/25			100,000				100,302
Microsoft Corp.
3.50%, 11/15/42			25,000				23,888
4.25%, 2/6/47, Series 30Y			20,000				21,389
MidAmerican Energy Co. 4.80%, 9/15/43			15,000				17,021
Monsanto Co.
2.75%, 7/15/21			100,000				98,776
4.70%, 7/15/64			25,000				24,969
Moody’s Corp. 3.25%, 1/15/28(b)			20,000				19,064
Morgan Stanley
4.88%, 11/1/22			100,000				105,529
3.59%, 7/22/28, (3.591% fixed rate until 7/22/27; 3-month U.S. dollar London Interbank Offered Rate + 1.340% thereafter)(d)			25,000				24,166
3.97%, 7/22/38, (3.971% fixed rate until 7/22/37; 3-month U.S. dollar London Interbank Offered Rate + 1.455% thereafter)(d)			20,000				19,563
4.38%, 1/22/47			20,000				20,301
Mosaic Co. (The) 4.88%, 11/15/41			10,000				9,524
NiSource, Inc. 3.95%, 3/30/48			20,000				19,029
Norfolk Southern Corp. 3.15%, 6/1/27			25,000				24,012
Northrop Grumman Corp. 3.20%, 2/1/27			25,000				24,061
Omega Healthcare Investors, Inc. 4.75%, 1/15/28(c)			25,000				24,245
Oncor Electric Delivery Co. LLC 7.00%, 9/1/22			115,000				132,895
Oracle Corp.
5.00%, 7/8/19			70,000				72,295
4.50%, 7/8/44			25,000				26,930
Pacific Gas & Electric Co.
4.25%, 5/15/21			150,000				155,314
2.95%, 3/1/26			20,000				18,649
PepsiCo, Inc. 3.00%, 10/15/27			30,000				28,850
Pfizer, Inc. 7.20%, 3/15/39			95,000				138,175
Philip Morris International, Inc. 4.88%, 11/15/43			34,000				36,960
Plains All American Pipeline L.P. 3.65%, 6/1/22			122,500				121,036
Prudential Financial, Inc. 6.63%, 12/1/37, Series D			20,000				26,539
Public Service Electric & Gas Co. 2.38%, 5/15/23(c)			125,000				120,826
QUALCOMM, Inc. 2.90%, 5/20/24			30,000				28,391
Reynolds American, Inc. 7.25%, 6/15/37			25,000				33,051
Rockwell Collins, Inc.
2.80%, 3/15/22			20,000				19,557
4.80%, 12/15/43			10,000				10,722
Royal Caribbean Cruises Ltd. 7.50%, 10/15/27			10,000				12,470
Santander Holdings USA, Inc. 4.40%, 7/13/27(b)			25,000				25,027
Sempra Energy 3.25%, 6/15/27			25,000				23,933
Simon Property Group L.P. 4.38%, 3/1/21			100,000				103,865
Southern California Edison Co. 4.65%, 10/1/43			79,000				86,892
Target Corp. 2.90%, 1/15/22			25,000				25,039
Texas Instruments, Inc. 2.90%, 11/3/27			30,000				28,668
Time Warner Cable LLC 6.75%, 6/15/39			47,500				54,666
Time Warner, Inc. 3.80%, 2/15/27			25,000				24,238
United Technologies Corp. 1.95%, 11/1/21			25,000				24,068
UnitedHealth Group, Inc.
3.10%, 3/15/26			100,000				96,789
3.75%, 10/15/47			15,000				14,163
Ventas Realty L.P. 4.38%, 2/1/45			25,000				24,457
Verizon Communications, Inc.
5.15%, 9/15/23			120,000				130,147
6.55%, 9/15/43			20,000				24,969
5.01%, 4/15/49			25,000				25,470
Visa, Inc. 3.65%, 9/15/47			30,000				28,841
Walt Disney Co. (The) 3.00%, 7/30/46			50,000				42,583

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			39

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Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Wells Fargo & Co.
4.13%, 8/15/23		$	100,000			$	102,455
3.58%, 5/22/28, (3.584% fixed rate until 5/22/27; 3-month U.S. dollar London Interbank Offered Rate + 1.310% thereafter)(d)			25,000				24,450
Welltower, Inc. 4.25%, 4/1/26			25,000				25,582
Wyndham Worldwide Corp. 4.25%, 3/1/22			75,000				75,369
Xerox Corp. 4.07%, 3/17/22			71,000				71,582
Xilinx, Inc. 2.13%, 3/15/19			70,000				69,714
TOTAL CORPORATE BONDS (Cost: $7,158,961)							7,038,540
FOREIGN CORPORATE BONDS – 2.5%
Australia – 0.1%
Westpac Banking Corp. 3.35%, 3/8/27			25,000				24,303
Belgium – 0.1%
Anheuser-Busch InBev Worldwide, Inc. 4.44%, 10/6/48			20,000				20,177
Brazil – 0.1%
Vale Overseas Ltd. 6.25%, 8/10/26			25,000				28,255
Canada – 0.3%
Bank of Montreal
3.80%, 12/15/32, (3.803% fixed rate until 12/15/27; 5-year U.S. dollar Swap Rate + 1.432% thereafter)(d)			25,000				23,878
Methanex Corp. 4.25%, 12/1/24			25,000				24,964
Nexen Energy ULC 6.40%, 5/15/37			27,000				33,514
Total Canada							82,356
Colombia – 0.4%
Ecopetrol S.A. 5.88%, 9/18/23			100,000				108,625
Japan – 0.1%
Mitsubishi UFJ Financial Group, Inc. 3.68%, 2/22/27			20,000				19,784
Sumitomo Mitsui Financial Group, Inc. 3.35%, 10/18/27			25,000				24,020
Total Japan							43,804
Mexico – 0.4%
Petroleos Mexicanos
6.00%, 3/5/20			85,000				89,186
6.75%, 9/21/47			20,000				20,388
Total Mexico							109,574
Netherlands – 0.2%
Cooperatieve Rabobank UA 5.25%, 5/24/41			25,000				29,631
Shell International Finance B.V. 5.50%, 3/25/40			29,000				34,951
Total Netherlands							64,582
Norway – 0.2%
Statoil ASA 2.45%, 1/17/23			60,000				58,177
Peru – 0.1%
Southern Copper Corp. 5.25%, 11/8/42			25,000				26,756
Switzerland – 0.1%
Novartis Capital Corp. 3.70%, 9/21/42			15,000				14,539
United Kingdom – 0.4%
BP Capital Markets PLC 3.28%, 9/19/27			25,000				24,295
HSBC Holdings PLC 5.10%, 4/5/21			101,000				106,544
Total United Kingdom							130,839
TOTAL FOREIGN CORPORATE BONDS (Cost: $720,596)							711,987
FOREIGN GOVERNMENT OBLIGATIONS – 1.2%
Colombia – 0.4%
Colombia Government International Bond 11.75%, 2/25/20			100,000				117,050
Italy – 0.3%
Republic of Italy Government International Bond 5.38%, 6/15/33			86,000				98,798
Mexico – 0.5%
Mexico Government International Bond
4.00%, 10/2/23			113,000				115,359
5.75%, 10/12/2110			20,000				20,300
Total Mexico							135,659
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $356,268)							351,507
SUPRANATIONAL BOND – 0.1%
International Bank for Reconstruction & Development
2.50%, 11/22/27, Series GDIF (Cost: $24,165)			25,000				23,921
COMMERCIAL MORTGAGE-BACKED SECURITIES – 2.8%
United States – 2.8%
CFCRE Commercial Mortgage Trust
3.83%, 12/15/47, Series 2011-C2, Class A4			95,175				96,812
COMM Mortgage Trust
3.60%, 5/10/47, Series 2014-CR17, Class ASB			55,000				55,976
2.87%, 2/10/48, Series 2015-DC1, Class A2			80,000				80,123
JPMBB Commercial Mortgage Securities Trust
4.08%, 2/15/47, Series 2014-C18, Class A5			50,000				52,189

 

See Notes to Financial Statements.

 

40		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited) (concluded)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Morgan Stanley Bank of America Merrill Lynch Trust 3.10%, 5/15/46, Series 2013-C9, Class A4		$	105,000			$	104,620
UBS Commercial Mortgage Trust
3.00%, 5/10/45, Series 2012-C1, Class AAB			203,545				204,632
WFRBS Commercial Mortgage Trust
4.02%, 12/15/46, Series 2013-C17, Class A4			100,000				103,736
2.90%, 3/15/47, Series 2014-C19, Class A2			100,000				100,308
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost: $812,433)							798,396
MUNICIPAL BOND – 0.6%
United States – 0.6%
State of California 7.55%, 4/1/39 (Cost: $173,509)			120,000				181,131
ASSET-BACKED SECURITIES – 0.5%
United States – 0.5%
Citibank Credit Card Issuance Trust 1.92%, 4/7/22, Series 2017-A3, Class A3			100,000				98,458
GM Financial Automobile Leasing Trust 2.06%, 5/20/20, Series 2017-1, Class A3			45,000				44,752
TOTAL ASSET-BACKED SECURITIES (Cost: $143,809)							143,210
		Shares
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 0.5%
United States – 0.5%
State Street Navigator Securities Lending Government Money Market Portfolio, 1.38%(e) (Cost: $130,218)(f)			130,218				130,218
TOTAL INVESTMENTS IN SECURITIES – 96.1% (Cost: $28,133,806)							27,713,027
Other Assets less Liabilities – 3.9%							1,138,116
NET ASSETS – 100.0%						$	28,851,143

(a)	To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing.

 

(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)	Security, or portion thereof, was on loan at February 28, 2018 (See Note 2).

 

(d)	Rate shown reflects the accrual rate as of February 28, 2018 on securities with variable or step rates.

 

(e)	Rate shown represents annualized 7-day yield as of February 28, 2018.

 

(f)	At February 28, 2018, the total market value of the Fund’s securities on loan was $126,821 and the total market value of the collateral held by the Fund was $130,218.

FINANCIAL DERIVATIVE INSTRUMENTS
FUTURES CONTRACTS† (EXCHANGE-TRADED)
Short Exposure		Contracts				Expiration Date		Notional Amount1				Unrealized Appreciation/ (Depreciation)
2 Year U.S. Treasury Note			31			6/29/18		$	(6,586,531	)		$	4,844
5 Year U.S. Treasury Note			156			6/29/18			(17,773,032	)			35,301
U.S. Treasury Ultra Long Term Bond			15			6/20/18			(2,338,125	)			1,010
Ultra 10 Year U.S. Treasury Note			30			6/20/18			(3,841,875	)			7,964
								$	(30,539,563	)		$	49,119

 

†	As of February 28, 2018, cash collateral posted by the Fund with the broker for futures contracts was $254,391.

 

1	“Notional Amount” represents the current notional value of the futures contract.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			41

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Table of Contents

Schedule of Investments (unaudited)

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

February 28, 2018

 

  

 

 

Investments in Long Securities		Principal Amount				Value
U.S. GOVERNMENT AGENCIES – 27.8%
Federal Home Loan Bank – 0.2%
Federal Home Loan Bank 5.50%, 7/15/36		$	50,000			$	65,282
Federal Home Loan Mortgage Corporation – 8.7%
3.00%, 8/1/29			53,920				53,773
6.75%, 9/15/29, Series GDIF			25,000				33,463
2.50%, 2/1/30			51,036				49,801
2.50%, 4/1/30			25,654				25,125
3.00%, 12/1/30			49,689				49,522
2.50%, 11/1/32			48,114				46,950
3.00%, 1/1/33			49,339				49,172
2.50%, 3/1/33(a)			65,000				63,345
3.00%, 3/1/33(a)			25,000				24,885
3.50%, 3/1/33(a)			25,000				25,429
4.00%, 6/1/34			29,381				30,455
3.00%, 9/1/36			66,650				65,831
3.50%, 4/1/37			29,303				29,700
5.50%, 12/1/38			91,061				100,358
3.00%, 4/1/43			259,461				253,539
3.50%, 7/1/43			138,754				139,399
3.00%, 8/1/43			43,679				42,647
4.00%, 12/1/43			38,079				39,213
4.50%, 4/1/44			35,988				37,770
4.00%, 11/1/45			63,260				65,102
4.00%, 3/1/46			65,292				67,194
3.50%, 4/1/46			97,432				97,545
3.50%, 5/1/46			39,650				39,697
3.50%, 8/1/46			435,117				436,752
4.00%, 9/1/46			40,407				41,585
3.00%, 11/1/46			115,977				112,569
3.50%, 2/1/47			92,975				93,084
4.00%, 2/1/47			72,355				74,451
3.00%, 3/1/47			117,966				114,454
4.50%, 3/1/47			23,327				24,448
4.50%, 5/1/47			29,525				30,946
4.00%, 8/1/47			72,267				74,378
4.50%, 8/1/47			22,727				23,822
3.50%, 9/1/47			97,024				97,137
3.00%, 3/1/48(a)			25,000				24,214
4.00%, 3/1/48(a)			25,000				25,606
4.50%, 3/1/48(a)			25,000				26,181
5.00%, 3/1/48(a)			50,000				53,450
Total Federal Home Loan Mortgage Corporation							2,682,992
Federal National Mortgage Association – 11.7%
2.13%, 4/24/26			100,000				93,843
4.00%, 7/1/26			15,556				16,003
3.50%, 12/1/26			19,197				19,539
3.00%, 11/1/28			25,849				25,841
2.50%, 4/1/30			33,775				33,074
3.00%, 9/1/30			157,329				157,086
2.50%, 5/1/31			53,908				52,631
2.50%, 6/1/31			40,927				39,958
2.50%, 12/1/32			48,734				47,580
2.00%, 3/1/33(a)			25,000				23,779
2.50%, 3/1/33(a)			55,000				53,634
3.00%, 3/1/33(a)			75,000				74,669
3.50%, 3/1/33(a)			50,000				50,834
4.00%, 8/1/34			13,264				13,770
3.50%, 2/1/35			19,707				20,009
3.50%, 1/1/36			31,125				31,603
3.00%, 12/1/36			92,659				91,529
4.50%, 11/1/39			105,705				111,914
4.50%, 2/1/41			41,428				43,770
5.50%, 12/1/41			118,759				130,104
3.50%, 6/1/42			74,484				74,847
3.00%, 4/1/43			168,775				164,936
3.50%, 5/1/43			37,622				37,778
4.00%, 6/1/43			15,036				15,523
3.50%, 7/1/43			365,270				367,062
4.00%, 11/1/43			32,884				33,862
4.50%, 5/1/44			27,428				28,810
4.00%, 9/1/44			31,999				32,868
4.00%, 10/1/44			36,757				37,757
3.50%, 4/1/46			36,629				36,626
4.00%, 4/1/46			36,036				37,095
3.50%, 5/1/46			40,098				40,095
4.00%, 7/1/46			97,173				99,668
3.00%, 9/1/46			135,518				131,437
3.00%, 10/1/46			161,829				157,051
4.00%, 10/1/46			41,929				43,007
2.50%, 11/1/46			23,807				22,268
3.00%, 11/1/46			136,022				132,066
3.50%, 11/1/46			89,262				89,227
3.00%, 2/1/47			99,052				96,070
4.00%, 3/1/47			184,216				188,988
4.00%, 4/1/47			73,197				75,100
3.50%, 5/1/47			91,933				91,926
4.00%, 6/1/47			46,680				47,897
3.50%, 7/1/47			95,418				95,410
3.50%, 9/1/47			24,274				24,272
3.50%, 10/1/47			39,997				39,994
4.50%, 11/1/47			24,117				25,320
3.00%, 3/1/48(a)			50,000				48,433
4.00%, 3/1/48(a)			50,000				51,210
4.50%, 3/1/48(a)			25,000				26,174
5.00%, 3/1/48(a)			75,000				80,060
Total Federal National Mortgage Association							3,604,007
Government National Mortgage Association – 7.2%
3.50%, 6/20/42			108,299				109,689
3.00%, 12/20/42			96,095				94,437
3.50%, 3/20/43			75,168				75,928
3.50%, 4/20/43			267,272				270,458
5.00%, 8/20/44			51,913				54,799
4.50%, 12/20/44			72,182				75,917
3.50%, 7/20/45			46,410				46,777
3.50%, 9/20/45			42,409				42,745
3.00%, 12/20/45			151,888				148,655
4.00%, 12/20/45			34,587				35,809
4.00%, 4/20/46			52,823				54,620
3.00%, 5/20/46			23,903				23,424
4.00%, 8/20/46			22,482				23,176
3.00%, 12/15/46			174,399				171,027
4.00%, 12/20/46			24,953				25,662
3.00%, 1/20/47			91,641				89,688

 

See Notes to Financial Statements.

 

42		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

---

Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments in Long Securities		Principal Amount				Value
4.00%, 1/20/47		$	37,697			$	38,730
3.50%, 4/20/47			113,182				113,987
3.00%, 6/20/47			71,241				69,723
3.50%, 8/20/47			73,126				73,646
4.00%, 8/20/47			95,499				98,144
3.50%, 9/20/47			98,192				98,891
4.50%, 12/20/47			99,245				103,685
4.00%, 1/20/48			74,833				76,999
3.00%, 3/1/48(a)			25,000				24,433
3.50%, 3/1/48(a)			75,000				75,419
4.00%, 3/1/48(a)			75,000				76,999
4.50%, 3/1/48(a)			50,000				51,999
Total Government National Mortgage Association							2,245,466
TOTAL U.S. GOVERNMENT AGENCIES (Cost: $8,706,847)							8,597,747
U.S. GOVERNMENT OBLIGATIONS – 34.2%
U.S. Treasury Bonds – 7.1%
U.S. Treasury Bond
6.88%, 8/15/25			245,000				312,327
5.25%, 11/15/28			100,000				121,672
4.38%, 2/15/38			110,000				132,380
4.50%, 5/15/38			100,000				122,406
3.50%, 2/15/39			25,000				26,786
3.75%, 8/15/41			75,000				83,303
3.00%, 5/15/42			80,000				78,686
3.13%, 2/15/43			175,000				175,431
2.88%, 5/15/43			30,000				28,741
3.75%, 11/15/43			100,000				111,180
3.63%, 2/15/44			70,000				76,295
3.13%, 8/15/44			75,000				75,047
3.00%, 5/15/45			70,000				68,398
2.88%, 8/15/45			200,000				190,695
2.50%, 5/15/46			315,000				277,655
2.25%, 8/15/46			40,000				33,361
2.75%, 8/15/47			75,000				69,489
2.75%, 11/15/47			215,000				199,240
Total U.S. Treasury Bonds							2,183,092
U.S. Treasury Notes – 27.1%
U.S. Treasury Note
1.38%, 9/30/18			72,000				71,771
1.50%, 12/31/18			200,000				199,086
1.38%, 9/30/19			300,000				296,133
1.75%, 9/30/19			300,000				297,867
1.50%, 10/31/19			250,000				247,080
1.63%, 12/31/19			250,000				247,212
3.63%, 2/15/20			250,000				256,440
1.38%, 2/29/20			130,000				127,728
1.13%, 3/31/20			500,000				488,144
1.50%, 4/15/20			100,000				98,344
1.13%, 4/30/20			300,000				292,500
1.38%, 5/31/20			200,000				195,828
1.50%, 5/31/20			100,000				98,189
1.50%, 6/15/20			200,000				196,320
1.63%, 6/30/20			250,000				245,957
1.50%, 7/15/20			250,000				245,190
1.63%, 7/31/20			300,000				294,932
1.50%, 8/15/20			150,000				146,988
1.38%, 1/31/21			140,000				135,874
1.38%, 4/30/21			300,000				290,098
2.13%, 8/15/21			125,000				123,416
2.00%, 11/15/21			50,000				49,070
1.75%, 11/30/21			150,000				145,770
2.00%, 12/31/21			400,000				391,852
1.88%, 2/28/22			100,000				97,348
1.88%, 3/31/22			150,000				145,890
1.88%, 10/31/22			450,000				435,129
2.00%, 10/31/22			110,000				106,923
1.63%, 11/15/22			5,000				4,778
2.00%, 11/30/22			200,000				194,324
2.13%, 12/31/22			200,000				195,281
2.38%, 1/31/23			175,000				172,792
1.50%, 2/28/23			200,000				189,187
1.50%, 3/31/23			150,000				141,744
1.25%, 7/31/23			200,000				185,477
2.50%, 8/15/23			200,000				198,035
2.75%, 11/15/23			225,000				225,444
2.38%, 8/15/24			125,000				122,039
2.25%, 11/15/25			265,000				254,250
1.50%, 8/15/26			100,000				89,738
2.00%, 11/15/26			110,000				102,592
2.25%, 2/15/27			100,000				95,016
2.25%, 11/15/27			250,000				236,562
Total U.S. Treasury Notes							8,374,338
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $10,726,027)							10,557,430
CORPORATE BONDS – 24.6%
United States – 24.6%
21st Century Fox America, Inc.
6.90%, 3/1/19			20,000				20,846
6.65%, 11/15/37			21,000				27,356
Abbott Laboratories
2.90%, 11/30/21			35,000				34,721
3.40%, 11/30/23			20,000				19,949
4.75%, 11/30/36			25,000				26,817
AbbVie, Inc. 3.60%, 5/14/25			20,000				19,811
Adobe Systems, Inc. 4.75%, 2/1/20			25,000				25,989
AEP Texas, Inc. 3.80%, 10/1/47			25,000				24,069
Air Lease Corp. 3.63%, 4/1/27			20,000				19,140
Alexandria Real Estate Equities, Inc. 2.75%, 1/15/20			20,000				19,938
Allergan Funding SCS
3.80%, 3/15/25			30,000				29,647
4.85%, 6/15/44			10,000				10,107
Alphabet, Inc. 3.38%, 2/25/24			10,000				10,204
Altria Group, Inc.
4.75%, 5/5/21			24,000				25,274
2.85%, 8/9/22			10,000				9,837
4.00%, 1/31/24			10,000				10,296

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			43

---

Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments in Long Securities		Principal Amount				Value
Amazon.com, Inc.
2.50%, 11/29/22		$	20,000			$	19,549
4.05%, 8/22/47(b)			15,000				14,969
American Express Co.
2.65%, 12/2/22			20,000				19,444
3.00%, 10/30/24			25,000				24,137
American Express Credit Corp. 2.70%, 3/3/22			20,000				19,622
American Honda Finance Corp. 2.25%, 8/15/19			10,000				9,947
American International Group, Inc.
4.88%, 6/1/22			51,000				54,078
3.75%, 7/10/25			20,000				19,935
4.50%, 7/16/44			15,000				14,960
American Tower Corp. 3.55%, 7/15/27			20,000				19,119
Ameriprise Financial, Inc. 4.00%, 10/15/23			20,000				20,616
Amgen, Inc. 4.66%, 6/15/51			44,000				44,586
Anadarko Petroleum Corp.
5.55%, 3/15/26			20,000				21,837
6.45%, 9/15/36			25,000				29,866
Anthem, Inc.
3.50%, 8/15/24			10,000				9,945
4.65%, 1/15/43			20,000				20,455
Apache Corp. 4.25%, 1/15/44			10,000				9,236
Apple, Inc.
1.90%, 2/7/20			25,000				24,716
4.50%, 2/23/36			50,000				54,603
AT&T, Inc.
2.30%, 3/11/19			20,000				19,967
5.88%, 10/1/19			20,000				20,970
3.00%, 6/30/22			5,000				4,920
3.90%, 3/11/24			50,000				50,483
4.30%, 2/15/30(b)			20,000				19,558
4.50%, 5/15/35			5,000				4,847
5.25%, 3/1/37			20,000				20,701
4.80%, 6/15/44			5,000				4,804
4.35%, 6/15/45			23,000				20,673
5.45%, 3/1/47			5,000				5,228
4.55%, 3/9/49			15,000				13,759
Bank of America Corp.
2.60%, 1/15/19, Series L			21,000				21,010
5.70%, 1/24/22			15,000				16,369
3.00%, 12/20/23, (3.004% fixed rate until 12/20/22; 3-month U.S. dollar London Interbank Offered Rate + 0.790% thereafter)(b)(c)			62,000				60,732
3.88%, 8/1/25			10,000				10,145
3.09%, 10/1/25, (3.093% fixed rate until 10/1/24; 3-month U.S. dollar London Interbank Offered Rate + 1.090% thereafter)(c)			20,000				19,437
4.45%, 3/3/26			50,000				51,207
3.71%, 4/24/28, (3.705% fixed rate until 4/24/27; 3-month U.S. dollar London Interbank Offered Rate + 1.512% thereafter)(c)			20,000				19,712
4.88%, 4/1/44			15,000				16,527
BB&T Corp.
2.05%, 5/10/21			60,000				58,297
2.85%, 10/26/24			20,000				19,354
Berkshire Hathaway Finance Corp. 5.75%, 1/15/40			20,000				25,024
Berkshire Hathaway, Inc.
2.75%, 3/15/23			15,000				14,731
3.13%, 3/15/26			35,000				34,097
Biogen, Inc. 5.20%, 9/15/45			15,000				16,318
Boeing Co. (The)
6.00%, 3/15/19			25,000				25,872
5.88%, 2/15/40			10,000				12,709
Broadcom Corp.
3.00%, 1/15/22			40,000				39,126
3.63%, 1/15/24			30,000				29,278
Burlington Northern Santa Fe LLC
4.70%, 10/1/19			32,500				33,582
4.55%, 9/1/44			30,000				32,212
Capital One Financial Corp. 3.75%, 3/9/27			30,000				29,215
Cardinal Health, Inc. 3.41%, 6/15/27			20,000				18,836
Caterpillar Financial Services Corp. 1.70%, 8/9/21			10,000				9,593
Caterpillar, Inc. 3.80%, 8/15/42			10,000				9,975
CBS Corp. 7.88%, 7/30/30			20,000				26,264
Celgene Corp. 3.88%, 8/15/25			30,000				29,961
Charter Communications Operating LLC
4.46%, 7/23/22			20,000				20,482
6.48%, 10/23/45			20,000				22,606
Chevron Corp.
3.19%, 6/24/23			20,000				20,039
2.90%, 3/3/24			30,000				29,403
Cigna Corp. 3.25%, 4/15/25			25,000				24,082
Cisco Systems, Inc.
4.95%, 2/15/19			25,000				25,586
4.45%, 1/15/20			25,000				25,885
3.63%, 3/4/24			10,000				10,253
Citigroup, Inc.
2.65%, 10/26/20			30,000				29,704
4.45%, 9/29/27			30,000				30,651
4.75%, 5/18/46			26,000				26,701
CME Group, Inc.
3.00%, 9/15/22			20,000				19,961
3.00%, 3/15/25			20,000				19,530
Comcast Corp.
3.00%, 2/1/24			10,000				9,822
3.15%, 3/1/26			10,000				9,651
2.35%, 1/15/27			10,000				8,991
6.45%, 3/15/37			40,000				51,305
Commonwealth Edison Co. 2.95%, 8/15/27, Series 122			30,000				28,650

 

See Notes to Financial Statements.

 

44		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

---

Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments in Long Securities		Principal Amount				Value
Concho Resources, Inc. 3.75%, 10/1/27		$	20,000			$	19,502
ConocoPhillips 6.50%, 2/1/39			25,000				32,798
Costco Wholesale Corp. 3.00%, 5/18/27			25,000				24,212
Crown Castle International Corp. 4.88%, 4/15/22			20,000				21,032
CSX Corp.
3.25%, 6/1/27			60,000				57,461
4.50%, 8/1/54			15,000				14,741
CVS Health Corp. 3.38%, 8/12/24			32,000				31,176
Dell International LLC 6.02%, 6/15/26(b)			30,000				32,081
Digital Realty Trust L.P. 5.88%, 2/1/20			20,000				20,995
Discovery Communications LLC 3.95%, 3/20/28			30,000				28,853
Dominion Energy, Inc.
5.75%, 10/1/54, (5.750% fixed rate until 10/1/24; 3-month U.S. dollar London Interbank Offered Rate + 3.057% thereafter)(c)			20,000				21,350
Dow Chemical Co. (The)
4.25%, 11/15/20			25,000				25,771
3.00%, 11/15/22			25,000				24,650
4.38%, 11/15/42			15,000				15,115
Duke Energy Carolinas LLC 5.30%, 2/15/40			40,000				47,999
Duke Energy Florida LLC 6.40%, 6/15/38			33,500				44,502
DXC Technology Co. 4.75%, 4/15/27			10,000				10,371
Eastman Chemical Co. 4.65%, 10/15/44			20,000				20,791
Eaton Corp. 2.75%, 11/2/22			40,000				39,186
eBay, Inc.
3.80%, 3/9/22			20,000				20,390
2.75%, 1/30/23			20,000				19,374
EI du Pont de Nemours & Co. 4.15%, 2/15/43			10,000				9,865
Eli Lilly & Co. 2.35%, 5/15/22			10,000				9,742
Energy Transfer Partners L.P.
4.50%, 11/1/23			32,000				32,574
6.13%, 12/15/45			20,000				21,408
Enterprise Products Operating LLC
5.20%, 9/1/20			30,000				31,582
3.35%, 3/15/23			28,000				27,970
4.45%, 2/15/43			20,000				19,848
Exelon Corp.
3.95%, 6/15/25			25,000				25,319
4.45%, 4/15/46			20,000				20,361
Exelon Generation Co. LLC 6.25%, 10/1/39			10,000				11,244
Express Scripts Holding Co. 4.80%, 7/15/46			30,000				30,087
Exxon Mobil Corp. 2.71%, 3/6/25			30,000				28,850
FedEx Corp.
4.10%, 4/15/43			25,000				23,854
4.55%, 4/1/46			15,000				15,330
Florida Power & Light Co. 5.96%, 4/1/39			20,000				25,999
Ford Motor Co. 4.75%, 1/15/43			16,000				14,821
General Electric Co.
4.63%, 1/7/21			20,000				20,737
3.10%, 1/9/23			20,000				19,669
3.38%, 3/11/24			32,000				31,521
4.50%, 3/11/44			20,000				19,857
General Motors Financial Co., Inc.
3.70%, 11/24/20			30,000				30,336
4.30%, 7/13/25			28,000				28,114
Gilead Sciences, Inc.
4.50%, 4/1/21			50,000				52,334
3.65%, 3/1/26			20,000				19,984
5.65%, 12/1/41			15,000				17,792
Goldman Sachs Group, Inc. (The)
7.50%, 2/15/19			12,000				12,533
6.00%, 6/15/20, Series D			20,000				21,328
2.35%, 11/15/21			5,000				4,839
3.00%, 4/26/22			5,000				4,932
4.00%, 3/3/24			5,000				5,098
3.50%, 1/23/25			5,000				4,915
4.25%, 10/21/25			25,000				25,225
3.50%, 11/16/26			5,000				4,822
3.85%, 1/26/27			5,000				4,936
6.13%, 2/15/33			5,000				6,035
4.02%, 10/31/38, (4.017% fixed rate until 10/31/37; 3-month U.S. dollar London Interbank Offered Rate + 1.373% thereafter)(c)			5,000				4,841
6.25%, 2/1/41			25,000				31,731
Halliburton Co. 4.75%, 8/1/43			25,000				26,092
HCP, Inc. 2.63%, 2/1/20			20,000				19,889
Home Depot, Inc. (The)
2.00%, 6/15/19			10,000				9,951
5.88%, 12/16/36			10,000				12,747
3.90%, 6/15/47			10,000				9,876
Honeywell International, Inc. 2.50%, 11/1/26			40,000				37,001
HP, Inc. 4.65%, 12/9/21			20,000				20,938
Humana, Inc. 4.95%, 10/1/44			20,000				21,257
Intel Corp.
2.88%, 5/11/24			25,000				24,426
3.15%, 5/11/27			25,000				24,430
Intercontinental Exchange, Inc. 2.75%, 12/1/20			70,000				69,705

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			45

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Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments in Long Securities		Principal Amount				Value
International Business Machines Corp. 8.38%, 11/1/19		$	25,000			$	27,329
International Lease Finance Corp.
8.25%, 12/15/20			25,000				28,197
5.88%, 8/15/22			25,000				27,327
International Paper Co.
3.80%, 1/15/26			45,000				45,326
3.00%, 2/15/27			20,000				18,711
Invesco Finance PLC 5.38%, 11/30/43			10,000				11,634
John Deere Capital Corp. 1.25%, 10/9/19			25,000				24,481
Johnson & Johnson 3.63%, 3/3/37			20,000				19,940
Johnson Controls International PLC 3.63%, 7/2/24(c)			20,000				20,218
JPMorgan Chase & Co.
4.95%, 3/25/20			25,000				26,053
4.25%, 10/15/20			35,000				36,205
2.30%, 8/15/21			30,000				29,231
4.50%, 1/24/22			35,000				36,616
3.25%, 9/23/22			15,000				15,013
3.88%, 9/10/24			20,000				20,130
3.30%, 4/1/26			15,000				14,562
4.25%, 10/1/27			30,000				30,676
3.96%, 11/15/48, (3.964% fixed rate until 11/15/47; 3-month U.S. dollar London Interbank Offered Rate + 1.380% thereafter)(c)			25,000				23,934
Kellogg Co. 4.00%, 12/15/20			60,000				61,612
KeyCorp 5.10%, 3/24/21			50,000				52,992
Kinder Morgan Energy Partners L.P. 5.50%, 3/1/44			22,000				22,782
Kraft Heinz Foods Co. 3.50%, 6/6/22			32,000				32,059
Kroger Co. (The) 2.65%, 10/15/26			25,000				22,639
Laboratory Corp. of America Holdings 3.20%, 2/1/22			20,000				19,970
Lockheed Martin Corp.
2.50%, 11/23/20			20,000				19,823
3.35%, 9/15/21			40,000				40,557
4.09%, 9/15/52			10,000				9,770
Lowe’s Cos., Inc. 4.05%, 5/3/47			10,000				9,821
Macy’s Retail Holdings, Inc. 2.88%, 2/15/23(d)			5,000				4,679
Marathon Oil Corp. 6.60%, 10/1/37			10,000				12,125
Marathon Petroleum Corp. 4.75%, 9/15/44			10,000				9,812
Mastercard, Inc.
2.00%, 4/1/19			10,000				9,956
3.38%, 4/1/24			10,000				10,035
McDonald’s Corp.
2.63%, 1/15/22			20,000				19,691
4.70%, 12/9/35			20,000				21,527
Medtronic, Inc. 4.38%, 3/15/35			50,000				53,020
Merck & Co., Inc.
2.75%, 2/10/25			15,000				14,497
4.15%, 5/18/43			20,000				20,814
MetLife, Inc. 3.05%, 12/15/22			34,000				33,815
Microsoft Corp.
2.00%, 11/3/20			30,000				29,534
2.00%, 8/8/23			10,000				9,462
3.50%, 2/12/35			32,000				31,481
5.20%, 6/1/39			25,000				29,919
4.00%, 2/12/55			25,000				25,139
4.50%, 2/6/57			15,000				16,515
MidAmerican Energy Co. 3.10%, 5/1/27			30,000				29,046
Molson Coors Brewing Co. 2.10%, 7/15/21			50,000				48,208
Monsanto Co. 2.75%, 7/15/21			50,000				49,388
Morgan Stanley
2.80%, 6/16/20			25,000				24,935
5.50%, 7/28/21			20,000				21,466
7.25%, 4/1/32			25,000				33,190
4.38%, 1/22/47			20,000				20,301
Mosaic Co. (The) 4.88%, 11/15/41			10,000				9,524
Mylan N.V. 3.15%, 6/15/21			40,000				39,665
NextEra Energy Capital Holdings, Inc. 3.55%, 5/1/27			40,000				39,201
NIKE, Inc. 2.38%, 11/1/26			20,000				18,472
NiSource, Inc. 4.80%, 2/15/44			25,000				26,935
Noble Energy, Inc. 5.05%, 11/15/44			10,000				10,409
Norfolk Southern Corp. 3.15%, 6/1/27			20,000				19,209
Northrop Grumman Corp.
2.55%, 10/15/22			30,000				29,046
3.25%, 1/15/28			25,000				23,989
NVIDIA Corp. 2.20%, 9/16/21			15,000				14,609
Occidental Petroleum Corp. 4.63%, 6/15/45			15,000				15,827
Oncor Electric Delivery Co. LLC 7.00%, 9/1/22			20,000				23,112
Oracle Corp.
5.00%, 7/8/19			25,000				25,820
1.90%, 9/15/21			30,000				29,013
3.25%, 11/15/27			20,000				19,464
4.00%, 7/15/46			20,000				19,782

 

See Notes to Financial Statements.

 

46		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments in Long Securities		Principal Amount				Value
Pacific Gas & Electric Co. 4.25%, 5/15/21		$	50,000			$	51,771
PepsiCo, Inc.
3.60%, 3/1/24			25,000				25,504
2.38%, 10/6/26			15,000				13,833
3.45%, 10/6/46			10,000				9,088
Pfizer, Inc. 7.20%, 3/15/39			32,000				46,543
Philip Morris International, Inc. 4.88%, 11/15/43			28,000				30,438
Phillips 66 4.88%, 11/15/44			10,000				10,563
Pitney Bowes, Inc. 4.63%, 3/15/24(d)			25,000				23,312
Plains All American Pipeline L.P. 3.65%, 6/1/22			32,500				32,112
PNC Financial Services Group, Inc. (The)
6.70%, 6/10/19			25,000				26,267
3.90%, 4/29/24			25,000				25,492
3.15%, 5/19/27			20,000				19,243
Procter & Gamble Co. (The)
3.10%, 8/15/23			10,000				10,037
2.45%, 11/3/26			10,000				9,296
3.50%, 10/25/47			10,000				9,416
Prudential Financial, Inc. 3.91%, 12/7/47(b)			20,000				19,044
QUALCOMM, Inc.
2.60%, 1/30/23			25,000				23,841
3.25%, 5/20/27			25,000				23,405
Rockwell Collins, Inc.
3.20%, 3/15/24			20,000				19,592
3.50%, 3/15/27			20,000				19,495
4.80%, 12/15/43			10,000				10,722
Royal Caribbean Cruises Ltd. 7.50%, 10/15/27			10,000				12,470
Sabine Pass Liquefaction LLC 5.63%, 3/1/25			25,000				26,930
Santander Holdings USA, Inc. 4.40%, 7/13/27(b)			50,000				50,054
Schlumberger Investment S.A. 3.65%, 12/1/23			15,000				15,311
Scripps Networks Interactive, Inc. 2.75%, 11/15/19			20,000				19,923
Seagate HDD Cayman 4.25%, 3/1/22(b)			25,000				24,752
Select Income REIT 3.60%, 2/1/20			20,000				20,106
Sherwin-Williams Co. (The) 2.75%, 6/1/22			30,000				29,283
Shire Acquisitions Investments Ireland DAC 2.40%, 9/23/21			30,000				28,990
Simon Property Group L.P.
3.38%, 10/1/24			64,000				63,579
3.30%, 1/15/26			20,000				19,472
Southern California Edison Co.
4.65%, 10/1/43			22,000				24,198
4.00%, 4/1/47			20,000				20,014
Southern Co. (The)
2.35%, 7/1/21			40,000				38,915
2.95%, 7/1/23			40,000				38,908
3.25%, 7/1/26			30,000				28,612
Starbucks Corp. 2.00%, 12/5/18			8,000				7,985
State Street Corp. 2.65%, 5/19/26			40,000				37,341
SunTrust Banks, Inc. 2.70%, 1/27/22			60,000				58,870
Synchrony Financial 4.25%, 8/15/24			10,000				10,083
Target Corp.
2.30%, 6/26/19			10,000				9,981
3.90%, 11/15/47			15,000				14,380
TD Ameritrade Holding Corp. 3.30%, 4/1/27			20,000				19,533
Texas Instruments, Inc. 2.75%, 3/12/21			25,000				25,019
Thermo Fisher Scientific, Inc.
4.15%, 2/1/24			15,000				15,473
2.95%, 9/19/26			15,000				14,044
Time Warner Cable LLC
4.00%, 9/1/21			10,000				10,102
7.30%, 7/1/38			15,000				18,039
6.75%, 6/15/39			4,500				5,179
4.50%, 9/15/42			15,000				13,598
Time Warner, Inc. 6.25%, 3/29/41			35,000				41,446
TJX Cos., Inc. (The) 2.25%, 9/15/26			15,000				13,569
Toyota Motor Credit Corp.
2.60%, 1/11/22			40,000				39,440
3.20%, 1/11/27			20,000				19,719
Tyson Foods, Inc. 3.95%, 8/15/24			25,000				25,446
U.S. Bancorp 2.35%, 1/29/21			25,000				24,639
United Technologies Corp.
3.10%, 6/1/22			25,000				24,900
2.80%, 5/4/24			15,000				14,380
4.50%, 6/1/42			25,000				25,812
UnitedHealth Group, Inc.
2.75%, 2/15/23			32,000				31,384
3.10%, 3/15/26			20,000				19,358
4.25%, 3/15/43			10,000				10,338
US Bancorp 2.38%, 7/22/26, Series V			50,000				45,553
Ventas Realty L.P. 4.38%, 2/1/45			20,000				19,565
VEREIT Operating Partnership L.P. 3.95%, 8/15/27			20,000				18,991
Verizon Communications, Inc.
3.50%, 11/1/21			30,000				30,349
2.45%, 11/1/22			30,000				28,909
5.15%, 9/15/23			20,000				21,691

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			47

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Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments in Long Securities		Principal Amount				Value
4.52%, 9/15/48		$	25,000			$	23,721
5.01%, 8/21/54			25,000				24,727
Viacom, Inc. 4.38%, 3/15/43			10,000				9,000
Virginia Electric & Power Co. 3.50%, 3/15/27, Series A			15,000				14,916
Visa, Inc. 4.15%, 12/14/35			50,000				52,799
Walgreens Boots Alliance, Inc. 3.80%, 11/18/24			50,000				49,737
Walmart, Inc.
1.95%, 12/15/18			10,000				9,969
5.88%, 4/5/27			16,000				19,046
Walt Disney Co. (The)
5.50%, 3/15/19(d)			40,000				41,191
2.35%, 12/1/22			35,000				33,975
3.15%, 9/17/25			20,000				19,808
3.00%, 2/13/26			25,000				24,495
Waste Management, Inc.
3.90%, 3/1/35			20,000				20,008
4.10%, 3/1/45			10,000				9,989
Wells Fargo & Co.
2.55%, 12/7/20			20,000				19,763
3.00%, 1/22/21			10,000				9,989
3.50%, 3/8/22			10,000				10,075
4.13%, 8/15/23			76,000				77,866
3.00%, 2/19/25			5,000				4,801
4.30%, 7/22/27			5,000				5,076
4.90%, 11/17/45			20,000				21,170
Weyerhaeuser Co. 7.38%, 3/15/32			20,000				26,374
Williams Partners L.P. 4.90%, 1/15/45			15,000				15,117
Wyndham Worldwide Corp. 4.25%, 3/1/22			20,000				20,099
Xerox Corp. 4.07%, 3/17/22			43,000				43,352
Zoetis, Inc. 3.00%, 9/12/27			15,000				14,101
TOTAL CORPORATE BONDS (Cost: $7,708,231)							7,580,562
FOREIGN CORPORATE BONDS – 5.0%
Australia – 0.2%
Westpac Banking Corp.
2.25%, 1/17/19			20,000				19,949
2.15%, 3/6/20			25,000				24,681
Total Australia							44,630
Belgium – 0.4%
Anheuser-Busch InBev Finance, Inc.
2.65%, 2/1/21			20,000				19,826
3.30%, 2/1/23			25,000				24,959
3.65%, 2/1/26			20,000				19,830
4.70%, 2/1/36			20,000				21,080
4.90%, 2/1/46			20,000				21,411
Total Belgium							107,106
Brazil – 0.1%
Vale Overseas Ltd. 5.88%, 6/10/21			20,000				21,414
Canada – 1.0%
Bank of Montreal 1.90%, 8/27/21			30,000				28,854
Bank of Nova Scotia (The) 2.45%, 9/19/22			30,000				29,043
Barrick Gold Corp. 5.25%, 4/1/42			15,000				16,830
Cenovus Energy, Inc. 4.25%, 4/15/27			30,000				29,370
Manulife Financial Corp. 4.15%, 3/4/26			20,000				20,472
Nexen Energy ULC 6.40%, 5/15/37			13,000				16,136
Royal Bank of Canada
2.15%, 3/6/20			25,000				24,701
4.65%, 1/27/26			25,000				25,957
TELUS Corp. 3.70%, 9/15/27			20,000				19,697
Thomson Reuters Corp. 4.70%, 10/15/19			20,000				20,647
Toronto-Dominion Bank (The) 1.80%, 7/13/21			40,000				38,496
TransCanada PipeLines Ltd. 3.80%, 10/1/20			40,000				40,913
Total Canada							311,116
France – 0.3%
BNP Paribas S.A. 5.00%, 1/15/21			40,000				42,133
Orange S.A. 1.63%, 11/3/19			45,000				44,162
Total Capital International S.A. 3.70%, 1/15/24			15,000				15,341
Total France							101,636
Germany – 0.3%
Daimler Finance North America LLC 8.50%, 1/18/31			20,000				29,212
Deutsche Bank AG
3.70%, 5/30/24			25,000				24,403
4.10%, 1/13/26			25,000				24,510
Landwirtschaftliche Rentenbank 1.38%, 10/23/19, Series 29			20,000				19,681
Total Germany							97,806
Israel – 0.0%
Teva Pharmaceutical Finance Netherlands III B.V. 3.15%, 10/1/26			10,000				8,183
Japan – 0.4%
Mitsubishi UFJ Financial Group, Inc. 3.29%, 7/25/27			20,000				19,207

 

See Notes to Financial Statements.

 

48		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments in Long Securities		Principal Amount				Value
Sumitomo Mitsui Financial Group, Inc.
2.93%, 3/9/21		$	30,000			$	29,876
2.78%, 7/12/22			50,000				48,890
3.78%, 3/9/26			30,000				30,040
Total Japan							128,013
Mexico – 0.4%
Petroleos Mexicanos
6.00%, 3/5/20			40,000				41,970
6.50%, 3/13/27(b)			50,000				53,506
6.75%, 9/21/47(b)			25,000				25,484
Total Mexico							120,960
Netherlands – 0.6%
Cooperatieve Rabobank UA
4.50%, 1/11/21			20,000				20,806
3.88%, 2/8/22			45,000				46,020
5.25%, 5/24/41			20,000				23,705
Shell International Finance B.V.
4.38%, 3/25/20			50,000				51,679
3.25%, 5/11/25			20,000				19,770
2.88%, 5/10/26			20,000				19,179
4.38%, 5/11/45			15,000				15,960
Total Netherlands							197,119
Norway – 0.3%
Statoil ASA
2.45%, 1/17/23			65,000				63,025
3.95%, 5/15/43			15,000				14,889
Total Norway							77,914
Switzerland – 0.3%
Credit Suisse AG 5.40%, 1/14/20			25,000				26,006
Novartis Capital Corp.
3.00%, 11/20/25			30,000				29,368
3.10%, 5/17/27			25,000				24,479
Tyco Electronics Group S.A. 2.38%, 12/17/18			25,000				24,979
Total Switzerland							104,832
United Kingdom – 0.7%
AstraZeneca PLC
3.38%, 11/16/25			30,000				29,568
4.38%, 11/16/45			15,000				15,216
BAT Capital Corp.
3.56%, 8/15/27(b)			15,000				14,328
4.39%, 8/15/37(b)			15,000				14,817
BP Capital Markets PLC
3.12%, 5/4/26			30,000				29,062
3.02%, 1/16/27			20,000				19,086
Diageo Capital PLC 2.63%, 4/29/23			10,000				9,712
HSBC Holdings PLC 5.10%, 4/5/21			32,000				33,757
Mead Johnson Nutrition Co. 3.00%, 11/15/20			40,000				40,003
Vodafone Group PLC 4.38%, 2/19/43			10,000				9,559
Total United Kingdom							215,108
TOTAL FOREIGN CORPORATE BONDS (Cost: $1,559,491)							1,535,837
FOREIGN GOVERNMENT AGENCIES – 0.6%
Canada – 0.2%
Export Development Canada
1.63%, 12/3/19			20,000				19,751
1.63%, 1/17/20			20,000				19,724
Province of Ontario Canada 2.50%, 4/27/26			16,000				15,190
Province of Quebec Canada 2.38%, 1/31/22			25,000				24,526
Total Canada							79,191
Germany – 0.4%
Kreditanstalt fuer Wiederaufbau
4.88%, 6/17/19			100,000				103,286
1.75%, 10/15/19			20,000				19,805
Total Germany							123,091
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $205,020)							202,282
FOREIGN GOVERNMENT OBLIGATIONS – 0.8%
Colombia – 0.2%
Colombia Government International Bond
11.75%, 2/25/20			25,000				29,262
8.13%, 5/21/24			25,000				30,844
Total Colombia							60,106
Hungary – 0.2%
Hungary Government International Bond
5.75%, 11/22/23			26,000				28,848
7.63%, 3/29/41			26,000				37,733
Total Hungary							66,581
Italy – 0.1%
Republic of Italy Government International Bond 5.38%, 6/15/33			18,000				20,679
Mexico – 0.2%
Mexico Government International Bond
4.00%, 10/2/23			29,000				29,606
5.55%, 1/21/45			20,000				21,455
Total Mexico							51,061
Philippines – 0.1%
Philippine Government International Bond 9.50%, 2/2/30			26,000				39,207
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $244,249)							237,634
SUPRANATIONAL BONDS – 0.6%
Asian Development Bank
1.75%, 3/21/19			10,000				9,946
1.88%, 4/12/19			10,000				9,959
1.75%, 1/10/20			20,000				19,771
Corporacion Andina de Fomento 4.38%, 6/15/22			25,000				26,306

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			49

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Table of Contents

Schedule of Investments (unaudited) (concluded)

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

February 28, 2018

 

  

 

 

Investments in Long Securities		Principal Amount				Value
European Investment Bank
1.88%, 3/15/19		$	10,000			$	9,965
1.75%, 6/17/19			10,000				9,932
2.00%, 12/15/22			20,000				19,277
Inter-American Development Bank
3.88%, 9/17/19			10,000				10,233
1.75%, 9/14/22			20,000				19,154
International Bank for Reconstruction & Development
1.88%, 3/15/19, Series GDIF			10,000				9,970
1.13%, 11/27/19, Series GDIF			20,000				19,584
1.75%, 4/19/23			20,000				18,981
TOTAL SUPRANATIONAL BONDS (Cost: $185,568)							183,078
COMMERCIAL MORTGAGE-BACKED SECURITIES – 1.8%
United States – 1.8%
COMM Mortgage Trust
3.60%, 5/10/47, Series 2014-CR17, Class ASB			35,000				35,621
3.08%, 2/10/48, Series 2015-DC1, Class A4			50,000				48,845
Commercial Mortgage Pass Through Certificates 3.29%, 7/15/60, Series 2017-BNK6, Class ASB			50,000				49,721
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates
2.84%, 10/25/22, Series K029, Class A1			38,632				38,700
3.06%, 8/25/24, Series K728, Class A2^(c)			100,000				100,054
Federal National Mortgage Association Alternative Credit Enhancement Securities 2.90%, 1/25/25, Series 2015-M8, Class A2^(c)			72,000				71,058
Morgan Stanley Bank of America Merrill Lynch Trust
3.53%, 12/15/47, Series 2014-C19, Class A4			25,000				25,228
3.07%, 2/15/48, Series 2015-C20, Class ASB			40,000				39,842
Wells Fargo Commercial Mortgage Trust 3.10%, 6/15/49, Series 2016-C34, Class A4			95,000				92,366
WFRBS Commercial Mortgage Trust 4.02%, 12/15/46, Series 2013-C17, Class A4			45,000				46,681
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost: $559,090)							548,116
MUNICIPAL BONDS – 0.2%
United States – 0.2%
New Jersey Turnpike Authority 7.10%, 1/1/41			20,000				28,509
State of California 7.55%, 4/1/39			20,000				30,188
TOTAL MUNICIPAL BONDS (Cost: $56,780)							58,697
ASSET-BACKED SECURITIES – 0.7%
United States – 0.7%
Citibank Credit Card Issuance Trust 1.92%, 4/7/22, Series 2017-A3, Class A3, ABS			100,000				98,458
Ford Credit Auto Owner Trust 1.22%, 3/15/21, Series 2016-C, Class A3			50,000				49,236
Honda Auto Receivables Owner Trust 1.21%, 12/18/20, Series 2016-4, Class A3			40,000				39,495
World Financial Network Credit Card Master Trust 2.03%, 4/15/25, Series 2016-A, Class A			17,000				16,458
TOTAL ASSET-BACKED SECURITIES (Cost: $205,141)							203,647
		Shares
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 0.1%
United States – 0.1%
State Street Navigator Securities Lending Government Money Market Portfolio, 1.38%(e)
(Cost: $44,500)(f)			44,500				44,500
TOTAL INVESTMENTS IN LONG SECURITIES BEFORE SECURITIES SOLD SHORT – 96.4% (Cost: $30,200,944)							29,749,530
Securities Sold Short		Principal Amount
U.S. GOVERNMENT AGENCIES SOLD SHORT – (0.3)%
Federal Home Loan Mortgage Corporation – (0.3)%
3.50%, 3/1/48(a) (Proceeds: $100,480)		$	(100,000	)			(99,882	)
Other Assets less Liabilities – 3.9%							1,211,236
NET ASSETS – 100.0%						$	30,860,884

^	Variable coupon rate based on weighted average interest rate of underlying mortgage.

 

(a)	To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing.

 

(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 reflects the accrual rate as of February 28, 2018 on securities with variable or step rates.

 

(d)	Security, or portion thereof, was on loan at February 28, 2018 (See Note 2).

 

(e)	Rate shown represents annualized 7-day yield as of February 28, 2018.

 

(f)	At February 28, 2018, the total market value of the Fund’s securities on loan was $42,795 and the total market value of the collateral held by the Fund was $44,500.

 

FINANCIAL DERIVATIVE INSTRUMENTS
FUTURES CONTRACTS† (EXCHANGE-TRADED)
Short Exposure		Contracts				Expiration Date				Notional Amount1				Unrealized Appreciation/ (Depreciation)
5 Year U.S. Treasury Note			30				6/29/18			$	(3,417,891	)		$	7,518
U.S. Treasury Ultra Long Term Bond			40				6/20/18				(6,235,000	)			2,695
Ultra 10 Year U.S. Treasury Note			191				6/20/18				(24,459,937	)			48,580
										$	(34,112,828	)		$	58,793

†	As of February 28, 2018, cash collateral posted by the Fund with the broker for futures contracts was $379,015.

 

1	“Notional Amount” represents the current notional value of the futures contract.

 

See Notes to Financial Statements.

 

50		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
U.S. GOVERNMENT AGENCIES – 24.7%
Federal Home Loan Mortgage Corporation – 9.7%
5.00%, 6/1/37		$	3,916			$	4,232
5.50%, 2/1/40			14,812				16,260
4.00%, 11/1/40			27,799				28,738
5.50%, 6/1/41			441,365				484,417
5.00%, 7/1/41			13,352				14,425
3.50%, 6/1/42			92,812				93,244
3.50%, 8/1/42			868,170				872,209
3.50%, 7/1/43			548,689				551,241
3.00%, 8/1/43			121,628				118,756
3.50%, 1/1/44			253,727				254,907
3.00%, 2/1/44			288,831				281,937
3.50%, 5/1/44			125,545				125,839
4.50%, 5/1/44			25,022				26,262
3.50%, 7/1/44			130,068				130,522
4.50%, 7/1/44			286,276				300,410
4.00%, 8/1/44			939,002				973,062
3.50%, 10/1/44			44,339				44,442
3.50%, 12/1/44			636,292				637,404
3.50%, 1/1/45			127,789				127,975
4.00%, 3/1/45			26,176				26,939
3.00%, 4/1/45			37,422				36,431
3.00%, 5/1/45			152,068				147,999
3.50%, 6/1/45			132,759				132,914
4.00%, 6/1/45			117,935				121,373
3.00%, 7/1/45			39,138				38,059
3.00%, 8/1/45			158,585				154,169
3.50%, 8/1/45			1,514,608				1,518,570
3.50%, 9/1/45			786,010				786,929
4.00%, 9/1/45			232,000				238,751
4.00%, 10/1/45			261,816				269,442
3.50%, 11/1/45			141,725				141,891
4.00%, 11/1/45			192,450				198,055
3.00%, 12/1/45			158,436				153,809
4.50%, 12/1/45			423,022				443,902
4.00%, 2/1/46			281,878				290,078
3.50%, 3/1/46			323,103				323,481
4.00%, 3/1/46			241,608				248,640
3.00%, 4/1/46			829,590				805,363
3.50%, 4/1/46			428,699				429,199
4.50%, 4/1/46			742,009				786,114
3.50%, 5/1/46			463,311				463,853
3.00%, 6/1/46			174,860				169,753
3.50%, 6/1/46			469,558				470,107
3.00%, 9/1/46			1,739,472				1,695,859
3.50%, 9/1/46			358,382				358,801
2.50%, 10/1/46			148,120				138,611
3.50%, 10/1/46			132,733				132,888
3.00%, 11/1/46			1,658,196				1,609,593
3.50%, 11/1/46			46,779				46,833
4.00%, 11/1/46			82,383				84,785
3.00%, 12/1/46			612,203				594,190
3.50%, 12/1/46			913,249				914,317
3.00%, 1/1/47			1,816,626				1,762,743
4.00%, 1/1/47			360,964				371,464
3.00%, 2/1/47			1,465,487				1,422,119
4.00%, 2/1/47			340,496				350,356
4.50%, 3/1/47			681,377				714,120
3.00%, 4/1/47			286,074				277,582
3.50%, 4/1/47			924,397				925,475
4.00%, 4/1/47			361,975				372,389
3.50%, 5/1/47			481,764				482,325
4.00%, 5/1/47			312,448				321,428
4.50%, 5/1/47			84,356				88,416
4.00%, 6/1/47			483,001				496,897
3.00%, 7/1/47			290,679				281,975
3.50%, 7/1/47			496,519				497,100
4.00%, 7/1/47			462,830				476,410
3.50%, 8/1/47			498,582				499,166
4.00%, 8/1/47			2,174,934				2,238,141
4.50%, 8/1/47			395,456				414,506
3.50%, 9/1/47			1,115,978				1,117,283
4.50%, 9/1/47			479,164				502,260
3.00%, 10/1/47			392,983				381,255
3.50%, 10/1/47			786,367				787,287
4.00%, 10/1/47			679,984				699,418
3.00%, 11/1/47			424,078				411,422
3.50%, 12/1/47			665,062				665,840
5.00%, 3/1/48(a)			950,000				1,015,555
5.50%, 3/1/48(a)			500,000				542,168
Total Federal Home Loan Mortgage Corporation							37,173,080
Federal National Mortgage Association – 15.0%
4.00%, 1/1/42			316,575				327,099
3.50%, 8/1/45			547,125				551,570
5.50%, 3/1/48(a)			1,150,000				1,249,322
5.00%, 5/1/38			23,043				24,701
5.50%, 6/1/38			182,440				200,384
5.50%, 11/1/38			4,606				5,051
5.50%, 10/1/39			195,026				213,650
4.50%, 11/1/39			198,197				209,838
5.50%, 4/1/40			25,195				27,703
4.00%, 10/1/40			296,632				306,235
4.50%, 2/1/41			138,667				146,505
5.50%, 9/1/41			99,482				109,090
4.00%, 11/1/41			166,879				172,306
3.50%, 6/1/42			757,530				761,227
4.00%, 12/1/42			219,207				226,305
2.50%, 3/1/43			31,811				29,885
3.00%, 5/1/43			304,296				297,375
3.50%, 5/1/43			75,243				75,555
4.00%, 6/1/43			210,498				217,317
3.00%, 7/1/43			39,023				38,115
3.00%, 8/1/43			399,837				390,641
4.00%, 8/1/43			113,792				117,141
4.00%, 9/1/43			294,142				303,192
4.50%, 9/1/43			50,648				53,488
3.50%, 10/1/43			439,892				441,537
4.00%, 5/1/44			24,370				25,055
4.50%, 5/1/44			290,711				305,419
3.50%, 6/1/44			371,856				373,670
4.00%, 7/1/44			28,268				29,042
4.00%, 8/1/44			140,349				144,177
4.00%, 10/1/44			447,801				459,964
4.00%, 11/1/44			22,173				22,773
4.00%, 12/1/44			148,610				152,607

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			51

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Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
3.00%, 1/1/45		$	15,375			$	14,972
3.50%, 2/1/45			510,780				510,793
4.00%, 2/1/45			120,018				123,335
3.00%, 4/1/45			374,480				364,394
3.00%, 5/1/45			131,619				127,979
3.00%, 6/1/45			318,252				309,680
3.50%, 6/1/45			143,937				143,971
3.50%, 7/1/45			72,264				72,237
3.50%, 8/1/45			856,264				857,260
3.50%, 9/1/45			342,620				342,523
4.00%, 9/1/45			158,094				162,193
3.00%, 10/1/45			153,304				148,901
3.50%, 10/1/45			264,594				264,546
3.00%, 11/1/45			149,279				144,937
3.50%, 11/1/45			148,929				149,010
4.00%, 11/1/45			1,190,836				1,222,673
3.00%, 12/1/45			1,476,397				1,439,354
3.50%, 12/1/45			1,439,200				1,439,042
4.00%, 12/1/45			529,690				543,281
3.50%, 1/1/46			221,720				221,703
3.00%, 2/1/46			346,224				335,798
3.50%, 3/1/46			260,156				260,136
4.00%, 3/1/46			375,520				385,134
3.50%, 4/1/46			1,195,649				1,195,557
4.00%, 4/1/46			216,216				222,569
3.50%, 5/1/46			586,077				586,033
4.50%, 5/1/46			138,442				145,295
3.00%, 6/1/46			147,368				142,930
3.50%, 6/1/46			932,796				932,725
4.50%, 6/1/46			299,132				313,610
3.50%, 7/1/46			1,069,412				1,069,331
4.00%, 7/1/46			171,024				175,416
2.50%, 8/1/46			23,889				22,345
2.50%, 9/1/46			55,876				52,265
3.00%, 9/1/46			271,035				262,873
3.00%, 10/1/46			1,085,639				1,053,177
4.00%, 10/1/46			251,571				258,044
2.50%, 11/1/46			47,613				44,536
3.00%, 11/1/46			1,851,272				1,796,641
3.50%, 11/1/46			267,785				267,682
2.50%, 12/1/46			100,601				94,098
3.00%, 12/1/46			1,720,336				1,668,532
3.50%, 12/1/46			1,300,000				1,301,986
4.00%, 12/1/46			311,510				320,714
2.50%, 1/1/47			133,330				124,712
3.00%, 1/1/47			619,796				601,132
3.50%, 1/1/47			451,882				451,848
4.50%, 1/1/47			348,498				365,561
5.50%, 1/1/47			688,696				755,790
3.00%, 2/1/47			1,656,227				1,606,354
3.50%, 2/1/47			484,357				484,320
4.00%, 2/1/47			83,435				85,597
3.00%, 3/1/47			330,824				320,862
3.50%, 3/1/47			708,074				708,020
4.00%, 3/1/47			1,103,331				1,131,893
4.50%, 3/1/47			230,146				241,363
3.00%, 4/1/47			378,310				366,918
4.00%, 4/1/47			571,848				586,721
3.00%, 5/1/47			381,125				369,649
3.50%, 5/1/47			788,127				788,068
4.00%, 5/1/47			2,308,575				2,374,372
3.50%, 6/1/47			418,385				418,354
4.00%, 6/1/47			709,204				727,497
3.50%, 7/1/47			798,026				802,902
4.00%, 7/1/47			681,071				698,904
4.50%, 7/1/47			301,650				316,594
3.00%, 8/1/47			500,318				485,252
3.50%, 8/1/47			481,531				481,495
4.00%, 8/1/47			760,796				780,171
3.00%, 9/1/47			736,338				714,165
3.50%, 9/1/47			694,238				694,186
4.00%, 9/1/47			685,754				703,793
4.50%, 9/1/47			648,571				680,826
3.00%, 10/1/47			416,567				404,023
3.50%, 10/1/47			1,569,372				1,570,226
4.00%, 10/1/47			462,176				474,053
4.50%, 10/1/47			683,458				717,538
3.00%, 11/1/47			740,410				718,114
3.50%, 11/1/47			491,363				491,326
4.50%, 11/1/47			795,867				835,551
3.50%, 12/1/47			741,173				741,118
3.00%, 1/1/48			745,809				723,351
3.50%, 1/1/48			744,451				744,396
5.00%, 3/1/48(a)			1,625,000				1,734,643
Total Federal National Mortgage Association							57,539,808
TOTAL U.S. GOVERNMENT AGENCIES (Cost: $96,349,567)							94,712,888
U.S. GOVERNMENT OBLIGATIONS – 15.6%
U.S. Treasury Bonds – 2.6%
U.S. Treasury Bond 8.50%, 2/15/20			300,000				336,053
8.75%, 5/15/20			380,000				433,326
8.75%, 8/15/20			800,000				921,953
7.88%, 2/15/21			900,000				1,040,783
8.13%, 5/15/21			1,050,000				1,233,340
8.13%, 8/15/21			800,000				949,688
8.00%, 11/15/21			400,000				477,469
7.25%, 8/15/22			1,000,000				1,196,992
7.63%, 11/15/22			350,000				427,991
7.13%, 2/15/23			625,000				755,103
6.25%, 8/15/23			175,000				206,722
7.50%, 11/15/24			175,000				225,777
6.75%, 8/15/26			50,000				64,781
6.50%, 11/15/26			525,000				673,046
6.63%, 2/15/27			450,000				585,202
6.13%, 11/15/27			400,000				510,219
Total U.S. Treasury Bonds							10,038,445
U.S. Treasury Notes – 13.0%
U.S. Treasury Note 1.25%, 5/31/19			400,000				395,625
1.50%, 5/31/19			2,610,000				2,589,609
0.75%, 8/15/19			275,000				269,371
0.88%, 9/15/19			500,000				489,922
1.50%, 10/31/19			1,750,000				1,729,561
3.38%, 11/15/19			1,500,000				1,528,623
1.00%, 11/30/19			1,000,000				979,023

 

See Notes to Financial Statements.

 

52		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

---

Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
1.38%, 12/15/19		$	1,000,000			$	985,000
1.38%, 1/15/20			400,000				393,586
1.25%, 1/31/20			500,000				490,605
1.38%, 2/15/20			1,000,000				982,871
3.63%, 2/15/20			600,000				615,457
1.25%, 2/29/20			1,000,000				980,000
1.13%, 4/30/20			550,000				536,250
1.38%, 4/30/20			1,000,000				980,332
1.50%, 7/15/20			450,000				441,343
1.63%, 7/31/20			200,000				196,621
1.50%, 8/15/20			600,000				587,953
1.38%, 9/30/20			750,000				731,528
2.00%, 9/30/20			1,000,000				990,820
1.63%, 10/15/20			115,000				112,828
2.13%, 1/31/21			1,140,000				1,130,626
1.13%, 2/28/21			250,000				240,542
2.00%, 2/28/21			1,410,000				1,392,430
1.25%, 3/31/21			350,000				337,572
2.25%, 3/31/21			300,000				298,254
2.00%, 5/31/21			200,000				197,039
1.13%, 8/31/21			100,000				95,352
2.13%, 9/30/21			100,000				98,629
2.00%, 2/15/22			225,000				220,359
1.75%, 3/31/22			1,000,000				968,164
1.88%, 3/31/22			1,000,000				972,598
1.88%, 4/30/22			1,000,000				971,621
1.88%, 7/31/22			250,000				242,266
2.00%, 7/31/22			260,000				253,520
1.63%, 8/15/22			700,000				671,166
1.63%, 8/31/22			500,000				478,975
1.88%, 9/30/22			1,000,000				967,520
1.88%, 10/31/22			700,000				676,867
2.00%, 10/31/22			300,000				291,609
1.63%, 11/15/22			850,000				812,298
2.00%, 11/30/22			750,000				728,716
2.13%, 12/31/22			1,000,000				976,406
1.75%, 1/31/23			300,000				287,637
1.50%, 2/28/23			650,000				614,859
1.50%, 3/31/23			750,000				708,721
1.63%, 4/30/23			700,000				664,686
1.75%, 5/15/23			900,000				859,553
1.63%, 5/31/23			750,000				711,445
1.38%, 6/30/23			1,000,000				935,117
1.25%, 7/31/23			850,000				788,275
2.50%, 8/15/23			3,879,000				3,840,892
1.38%, 8/31/23			500,000				466,211
2.75%, 11/15/23			750,000				751,480
2.00%, 6/30/24			250,000				238,872
2.25%, 10/31/24			155,000				149,899
2.25%, 11/15/24			1,000,000				966,543
2.00%, 8/15/25			225,000				212,559
2.25%, 11/15/25			500,000				479,717
1.63%, 2/15/26			475,000				433,651
1.63%, 5/15/26			530,000				482,321
1.50%, 8/15/26			650,000				583,299
2.00%, 11/15/26			1,150,000				1,072,555
2.25%, 2/15/27			675,000				641,355
2.38%, 5/15/27			615,000				589,944
2.25%, 8/15/27			1,015,000				961,673
2.25%, 11/15/27			2,075,000				1,963,469
2.75%, 2/15/28			425,000				420,725
Total U.S. Treasury Notes							49,854,915
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $60,924,247)							59,893,360
CORPORATE BONDS – 40.8%
United States – 40.8%
21st Century Fox America, Inc. 3.70%, 9/15/24			50,000				50,345
6.55%, 3/15/33			20,000				25,712
6.20%, 12/15/34			100,000				124,229
6.15%, 2/15/41			1,000				1,265
4.75%, 9/15/44			120,000				128,717
4.95%, 10/15/45			450,000				503,768
3M Co. 2.25%, 9/19/26			280,000				256,529
Abbott Laboratories 2.00%, 3/15/20			15,000				14,778
4.13%, 5/27/20			35,000				35,965
3.40%, 11/30/23			241,000				240,390
3.75%, 11/30/26			70,000				69,438
4.75%, 11/30/36			350,000				375,432
6.15%, 11/30/37			150,000				182,436
5.30%, 5/27/40			250,000				283,346
4.90%, 11/30/46			100,000				107,961
AbbVie, Inc. 2.50%, 5/14/20			45,000				44,621
2.90%, 11/6/22			35,000				34,257
3.20%, 11/6/22			15,000				14,899
2.85%, 5/14/23			285,000				276,635
3.60%, 5/14/25			65,000				64,385
4.50%, 5/14/35			275,000				284,124
4.70%, 5/14/45			205,000				212,334
4.45%, 5/14/46			200,000				200,385
Actavis, Inc. 3.25%, 10/1/22			20,000				19,746
Adobe Systems, Inc. 3.25%, 2/1/25			30,000				29,757
AEP Transmission Co. LLC 4.00%, 12/1/46			75,000				75,392
3.75%, 12/1/47(b)			50,000				48,223
Aetna, Inc. 2.80%, 6/15/23			175,000				167,989
3.50%, 11/15/24			170,000				167,008
6.63%, 6/15/36			2,000				2,546
3.88%, 8/15/47			160,000				142,173
Aflac, Inc. 3.63%, 11/15/24			25,000				25,280
4.00%, 10/15/46			50,000				48,380
Air Lease Corp. 3.88%, 4/1/21			30,000				30,566
2.75%, 1/15/23			25,000				24,172
3.00%, 9/15/23			45,000				43,819
4.25%, 9/15/24			30,000				30,777
3.63%, 12/1/27			41,000				39,219

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			53

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Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Alabama Power Co. 3.75%, 3/1/45		$	257,000			$	250,472
4.30%, 1/2/46			15,000				15,859
Alexandria Real Estate Equities, Inc. 4.60%, 4/1/22			2,000				2,091
Allergan Funding SCS 3.45%, 3/15/22			35,000				34,954
3.80%, 3/15/25			500,000				494,110
4.55%, 3/15/35			265,000				265,199
4.85%, 6/15/44			25,000				25,267
4.75%, 3/15/45			100,000				99,565
Allergan, Inc. 2.80%, 3/15/23			170,000				163,980
Allstate Corp. (The) 3.28%, 12/15/26			8,000				7,842
Altria Group, Inc. 4.00%, 1/31/24			150,000				154,442
2.63%, 9/16/26			220,000				203,384
5.38%, 1/31/44			92,000				105,623
Amazon.com, Inc. 2.60%, 12/5/19			10,000				10,006
1.90%, 8/21/20(b)			10,000				9,805
2.40%, 2/22/23(b)			150,000				144,956
3.80%, 12/5/24			100,000				102,738
3.15%, 8/22/27(b)			100,000				96,583
4.80%, 12/5/34			150,000				166,595
3.88%, 8/22/37(b)			170,000				169,507
4.95%, 12/5/44			20,000				22,772
4.05%, 8/22/47(b)			175,000				174,642
4.25%, 8/22/57(b)			125,000				125,273
Ameren Corp. 3.65%, 2/15/26			50,000				49,671
American Airlines Pass Through Trust 3.38%, 11/1/28, Series 2015-1, Class A			64,142				63,154
American Campus Communities Operating Partnership L.P. 3.63%, 11/15/27			15,000				14,440
American Electric Power Co., Inc. 2.95%, 12/15/22, Series F			55,000				54,372
American Express Co. 4.05%, 12/3/42			25,000				24,972
American Express Credit Corp. 3.30%, 5/3/27			325,000				316,238
American Honda Finance Corp. 2.90%, 2/16/24			150,000				147,428
American International Group, Inc. 3.38%, 8/15/20			21,000				21,174
3.30%, 3/1/21			160,000				160,455
4.88%, 6/1/22			85,000				90,129
4.13%, 2/15/24			244,000				250,562
3.90%, 4/1/26			158,000				157,466
3.88%, 1/15/35			193,000				183,091
4.50%, 7/16/44			120,000				119,680
4.80%, 7/10/45			52,000				54,291
American Tower Corp. 3.30%, 2/15/21			125,000				125,410
4.70%, 3/15/22			40,000				41,827
3.50%, 1/31/23			350,000				350,453
3.00%, 6/15/23			16,000				15,623
3.38%, 10/15/26			150,000				142,626
3.13%, 1/15/27			133,000				123,471
3.55%, 7/15/27			595,000				568,780
American Water Capital Corp. 3.85%, 3/1/24			125,000				128,677
3.40%, 3/1/25			250,000				250,016
4.00%, 12/1/46			13,000				13,147
3.75%, 9/1/47			25,000				24,186
Ameriprise Financial, Inc. 4.00%, 10/15/23			302,000				311,299
3.70%, 10/15/24			125,000				126,671
2.88%, 9/15/26			170,000				161,010
AmerisourceBergen Corp. 3.45%, 12/15/27			75,000				71,488
4.30%, 12/15/47			25,000				23,533
Amgen, Inc. 1.85%, 8/19/21			10,000				9,597
3.88%, 11/15/21			112,000				114,756
2.65%, 5/11/22			275,000				269,078
3.63%, 5/15/22			150,000				152,358
2.25%, 8/19/23			110,000				103,965
3.63%, 5/22/24			159,000				160,359
3.13%, 5/1/25			145,000				140,770
3.20%, 11/2/27			300,000				285,156
4.40%, 5/1/45			295,000				293,831
4.66%, 6/15/51			100,000				101,332
Anadarko Petroleum Corp. 5.55%, 3/15/26(c)			235,000				256,590
6.45%, 9/15/36			130,000				155,306
7.95%, 6/15/39			100,000				136,227
6.60%, 3/15/46			127,000				159,082
Analog Devices, Inc. 2.88%, 6/1/23			28,000				27,250
3.50%, 12/5/26			215,000				210,329
Andeavor 4.50%, 4/1/48			25,000				22,860
Andeavor Logistics L.P. 5.25%, 1/15/25			305,000				313,403
5.20%, 12/1/47			25,000				24,309
Anthem, Inc. 3.13%, 5/15/22			80,000				79,463
3.50%, 8/15/24			40,000				39,778
3.65%, 12/1/27			175,000				169,874
4.63%, 5/15/42			125,000				127,340
4.65%, 1/15/43			110,000				112,501
4.65%, 8/15/44			200,000				205,307
Aon PLC 3.50%, 6/14/24			10,000				9,976
3.88%, 12/15/25			175,000				177,044
4.75%, 5/15/45			75,000				79,255
Apache Corp. 2.63%, 1/15/23			100,000				95,778
5.10%, 9/1/40			100,000				102,889
4.75%, 4/15/43			75,000				74,373

 

See Notes to Financial Statements.

 

54		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Appalachian Power Co. 7.00%, 4/1/38		$	80,000			$	109,758
Applied Materials, Inc. 3.30%, 4/1/27			100,000				98,021
4.35%, 4/1/47			35,000				36,605
Aptiv PLC 4.40%, 10/1/46			20,000				19,489
Archer-Daniels-Midland Co. 2.50%, 8/11/26			185,000				170,573
5.38%, 9/15/35			15,000				17,430
4.02%, 4/16/43			6,000				5,823
Ares Capital Corp. 3.63%, 1/19/22			25,000				24,654
Arizona Public Service Co. 4.50%, 4/1/42			115,000				123,647
AT&T, Inc. 2.30%, 3/11/19			25,000				24,958
2.45%, 6/30/20			375,000				371,177
3.20%, 3/1/22			20,000				19,894
2.63%, 12/1/22			125,000				120,818
3.95%, 1/15/25			310,000				310,322
3.40%, 5/15/25			455,000				437,615
4.13%, 2/17/26			70,000				70,050
4.25%, 3/1/27			100,000				100,519
3.90%, 8/14/27			450,000				447,765
4.30%, 2/15/30(b)			25,000				24,447
4.50%, 5/15/35			465,000				450,774
5.25%, 3/1/37			200,000				207,009
6.00%, 8/15/40			10,000				11,139
6.38%, 3/1/41			475,000				556,112
5.15%, 3/15/42			350,000				355,019
4.30%, 12/15/42			182,000				166,357
4.80%, 6/15/44			61,000				58,612
4.35%, 6/15/45			150,000				134,823
4.75%, 5/15/46			180,000				171,188
5.65%, 2/15/47			260,000				279,977
5.45%, 3/1/47			5,000				5,228
4.55%, 3/9/49			49,000				44,947
5.15%, 2/14/50			160,000				160,372
5.70%, 3/1/57			75,000				80,401
5.30%, 8/14/58			425,000				424,779
Atmos Energy Corp. 4.13%, 10/15/44			200,000				204,358
Autodesk, Inc. 4.38%, 6/15/25			25,000				25,626
AutoZone, Inc. 3.13%, 7/15/23			50,000				49,224
3.25%, 4/15/25			50,000				48,536
AvalonBay Communities, Inc. 2.90%, 10/15/26			50,000				47,298
3.35%, 5/15/27			8,000				7,832
3.20%, 1/15/28			25,000				24,030
Avangrid, Inc. 3.15%, 12/1/24			50,000				48,641
Baltimore Gas & Electric Co. 2.40%, 8/15/26			290,000				266,562
Bank of America Corp. 4.00%, 4/1/24			409,000				419,868
4.20%, 8/26/24			250,000				255,166
3.95%, 4/21/25, Series L			450,000				449,704
3.09%, 10/1/25, (3.093% fixed rate until 10/1/24; 3-month U.S. dollar London Interbank Offered Rate + 1.090% thereafter)(d)			8,000				7,775
3.37%, 1/23/26, (3.366% fixed rate until 1/23/25; 3-month U.S. dollar London Interbank Offered Rate + 0.810% thereafter)(d)			500,000				490,264
4.45%, 3/3/26			50,000				51,207
3.82%, 1/20/28, (3.824% fixed rate until 1/20/27; 3-month U.S. dollar London Interbank Offered Rate + 1.575% thereafter)(d)			100,000				99,299
3.71%, 4/24/28, (3.705% fixed rate until 4/24/27; 3-month U.S. dollar London Interbank Offered Rate + 1.512% thereafter)(d)			200,000				197,118
3.59%, 7/21/28, (3.593% fixed rate until 7/21/27; 3-month U.S. dollar London Interbank Offered Rate + 1.370% thereafter)(d)			480,000				468,053
3.42%, 12/20/28, (3.419% fixed rate until 12/20/27; 3-month U.S. dollar London Interbank Offered Rate + 1.040% thereafter)(b)(d)			500,000				479,529
6.11%, 1/29/37			467,000				563,582
4.24%, 4/24/38, (4.244% fixed rate until 4/24/37; 3-month U.S. dollar London Interbank Offered Rate + 1.814% thereafter)(d)			125,000				127,419
5.88%, 2/7/42			200,000				250,366
4.44%, 1/20/48, (4.443% fixed rate until 1/20/47; 3-month U.S. dollar London Interbank Offered Rate + 1.99% thereafter)(d)			25,000				26,024
3.95%, 1/23/49, (3.946% fixed rate until 1/23/48; 3-month U.S. dollar London Interbank Offered Rate + 1.190% thereafter)(d)			40,000				38,430
Bank One Corp. 7.63%, 10/15/26			17,000				21,201
8.00%, 4/29/27			1,000				1,288
Baxalta, Inc. 2.88%, 6/23/20			100,000				99,469
4.00%, 6/23/25			335,000				333,990
Baxter International, Inc. 2.60%, 8/15/26			240,000				219,975
3.50%, 8/15/46			12,000				10,408
Becton Dickinson and Co. 3.25%, 11/12/20			3,000				3,002
3.36%, 6/6/24			90,000				86,854
3.73%, 12/15/24			70,000				69,038
3.70%, 6/6/27			200,000				191,761

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			55

---

Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Bed Bath & Beyond, Inc. 4.92%, 8/1/34		$	100,000			$	87,495
5.17%, 8/1/44			75,000				63,359
Berkshire Hathaway Energy Co. 3.75%, 11/15/23			125,000				128,102
3.25%, 4/15/28(b)			20,000				19,387
4.50%, 2/1/45			100,000				106,116
3.80%, 7/15/48(b)			100,000				95,547
Biogen, Inc. 2.90%, 9/15/20			50,000				49,975
5.20%, 9/15/45			152,000				165,354
BlackRock, Inc. 3.50%, 3/18/24			25,000				25,440
Block Financial LLC 4.13%, 10/1/20			35,000				35,696
Boardwalk Pipelines L.P. 4.45%, 7/15/27			100,000				97,975
Boeing Co. (The) 2.85%, 10/30/24			35,000				34,241
2.25%, 6/15/26			50,000				46,183
6.88%, 3/15/39			50,000				71,478
5.88%, 2/15/40			202,000				256,719
BorgWarner, Inc. 4.38%, 3/15/45			128,000				125,460
Boston Properties L.P. 4.13%, 5/15/21			180,000				185,839
3.13%, 9/1/23			23,000				22,618
3.20%, 1/15/25			8,000				7,769
Boston Scientific Corp. 3.85%, 5/15/25			300,000				301,569
7.38%, 1/15/40			2,000				2,664
Branch Banking & Trust Co. 3.63%, 9/16/25			500,000				500,420
3.80%, 10/30/26			510,000				516,159
Brighthouse Financial, Inc. 3.70%, 6/22/27(b)			150,000				140,505
4.70%, 6/22/47(b)			131,000				122,635
Brixmor Operating Partnership L.P. 3.25%, 9/15/23			190,000				184,151
3.65%, 6/15/24			150,000				147,065
Broadcom Corp. 3.00%, 1/15/22			40,000				39,126
3.63%, 1/15/24			125,000				121,990
3.50%, 1/15/28			260,000				240,522
Broadridge Financial Solutions, Inc. 3.40%, 6/27/26			25,000				24,087
Brown & Brown, Inc. 4.20%, 9/15/24			20,000				20,414
Brown-Forman Corp. 4.50%, 7/15/45			28,000				29,498
Burlington Northern Santa Fe LLC 3.00%, 3/15/23			293,000				292,256
3.75%, 4/1/24			75,000				77,043
3.00%, 4/1/25			71,000				69,465
3.65%, 9/1/25			120,000				121,918
3.25%, 6/15/27			40,000				39,522
6.15%, 5/1/37			73,000				92,874
5.75%, 5/1/40			125,000				153,909
5.40%, 6/1/41			15,000				17,738
4.40%, 3/15/42			10,000				10,469
4.90%, 4/1/44			160,000				180,246
4.55%, 9/1/44			150,000				161,061
4.15%, 4/1/45			73,000				73,983
4.70%, 9/1/45			20,000				21,899
3.90%, 8/1/46			25,000				24,676
4.13%, 6/15/47			130,000				132,852
CA, Inc. 4.70%, 3/15/27			30,000				30,619
Capital One Financial Corp. 4.75%, 7/15/21			40,000				41,948
3.05%, 3/9/22			25,000				24,614
3.20%, 1/30/23			780,000				765,961
3.50%, 6/15/23			25,000				24,924
3.75%, 4/24/24			100,000				100,408
3.30%, 10/30/24			100,000				97,192
3.20%, 2/5/25			170,000				163,226
4.20%, 10/29/25			25,000				24,830
3.75%, 3/9/27			410,000				399,268
Cardinal Health, Inc. 3.41%, 6/15/27			184,000				173,292
4.50%, 11/15/44			75,000				72,268
4.37%, 6/15/47			155,000				145,717
Carlisle Cos., Inc. 3.50%, 12/1/24			100,000				98,803
3.75%, 12/1/27			25,000				24,659
Caterpillar Financial Services Corp. 2.40%, 8/9/26			190,000				175,947
Caterpillar, Inc. 3.80%, 8/15/42			501,000				499,729
CBL & Associates L.P. 5.25%, 12/1/23			6,000				5,107
CBOE Global Markets, Inc. 1.95%, 6/28/19			55,000				54,452
CBRE Services, Inc. 5.00%, 3/15/23			8,000				8,205
4.88%, 3/1/26			153,000				161,454
CBS Corp. 2.50%, 2/15/23			30,000				28,623
3.50%, 1/15/25			350,000				343,832
4.00%, 1/15/26			50,000				49,956
2.90%, 1/15/27			92,000				84,135
3.38%, 2/15/28			125,000				117,216
7.88%, 7/30/30			197,000				258,703
4.90%, 8/15/44			275,000				276,809
CC Holdings GS V LLC 3.85%, 4/15/23			620,000				625,313
Celgene Corp. 2.25%, 5/15/19			10,000				9,949
3.88%, 8/15/25			340,000				339,560
5.00%, 8/15/45			100,000				104,605
4.55%, 2/20/48			210,000				204,799
CenterPoint Energy Houston Electric LLC 2.40%, 9/1/26, Series Z			290,000				267,121
4.50%, 4/1/44			4,000				4,381

 

See Notes to Financial Statements.

 

56		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

---

Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Charter Communications Operating LLC 4.46%, 7/23/22		$	465,000			$	476,212
4.91%, 7/23/25			450,000				463,294
4.20%, 3/15/28			150,000				144,256
6.48%, 10/23/45			125,000				141,290
Chubb Corp. (The) 6.00%, 5/11/37			76,000				95,790
Chubb INA Holdings, Inc. 4.35%, 11/3/45			100,000				105,816
Church & Dwight Co., Inc. 2.45%, 8/1/22			100,000				97,008
3.15%, 8/1/27			145,000				136,805
Cigna Corp. 4.00%, 2/15/22			226,000				232,857
3.25%, 4/15/25			275,000				264,902
3.05%, 10/15/27			240,000				222,033
3.88%, 10/15/47			121,000				107,982
Cintas Corp. No 2 2.90%, 4/1/22			405,000				401,494
Cisco Systems, Inc. 2.20%, 9/20/23			125,000				119,411
3.63%, 3/4/24			272,000				278,885
2.95%, 2/28/26			225,000				218,958
2.50%, 9/20/26			40,000				37,443
5.90%, 2/15/39			70,000				91,271
Citigroup, Inc. 2.55%, 4/8/19			170,000				169,829
2.65%, 10/26/20			25,000				24,753
4.05%, 7/30/22			172,000				176,112
3.50%, 5/15/23			65,000				64,814
4.00%, 8/5/24			25,000				25,314
3.30%, 4/27/25			240,000				233,959
5.50%, 9/13/25			200,000				219,092
4.60%, 3/9/26			25,000				25,858
3.20%, 10/21/26			100,000				95,593
4.45%, 9/29/27			400,000				408,685
3.89%, 1/10/28, (3.887% fixed rate until 1/10/27; 3-month U.S. dollar London Interbank Offered Rate + 1.563% thereafter)(d)			200,000				199,824
3.67%, 7/24/28, (3.668% fixed rate until 7/24/27; 3-month U.S. dollar London Interbank Offered Rate + 1.390% thereafter)(d)			86,000				84,220
4.13%, 7/25/28			150,000				149,224
3.52%, 10/27/28, (3.520% fixed rate until 10/27/27; 3-month U.S. dollar London Interbank Offered Rate + 1.151% thereafter)(d)			300,000				290,364
3.88%, 1/24/39, (3.878% fixed rate until 1/24/38; 3-month U.S. dollar London Interbank Offered Rate + 1.168% thereafter)(d)			250,000				240,348
8.13%, 7/15/39			220,000				334,506
6.68%, 9/13/43			150,000				195,473
5.30%, 5/6/44			50,000				55,399
4.65%, 7/30/45			25,000				26,627
4.28%, 4/24/48, (4.281% fixed rate until 4/24/47; 3-month U.S. dollar London Interbank Offered Rate + 1.839% thereafter)(d)			275,000				277,992
Citizens Bank NA 2.55%, 5/13/21			500,000				490,401
Citrix Systems, Inc. 4.50%, 12/1/27			25,000				24,865
Clorox Co. (The) 3.10%, 10/1/27			240,000				230,848
CNA Financial Corp. 5.75%, 8/15/21			2,000				2,168
CNH Industrial Capital LLC 4.38%, 4/5/22			570,000				584,045
Columbia Property Trust Operating Partnership L.P. 4.15%, 4/1/25			150,000				148,751
Comcast Corp. 2.75%, 3/1/23			50,000				48,886
3.60%, 3/1/24			345,000				348,614
3.38%, 2/15/25			25,000				24,728
3.15%, 3/1/26			316,000				304,980
2.35%, 1/15/27			80,000				71,931
3.30%, 2/1/27			95,000				91,821
3.15%, 2/15/28			95,000				90,583
4.25%, 1/15/33			90,000				92,389
4.20%, 8/15/34			110,000				110,517
4.40%, 8/15/35			200,000				203,886
6.45%, 3/15/37			180,000				230,874
6.95%, 8/15/37			100,000				133,939
4.65%, 7/15/42			40,000				41,581
4.50%, 1/15/43			25,000				25,616
4.75%, 3/1/44			25,000				26,680
4.60%, 8/15/45			20,000				20,907
4.00%, 8/15/47			250,000				235,320
Commonwealth Edison Co. 3.75%, 8/15/47, Series 123			150,000				144,375
Concho Resources, Inc. 4.38%, 1/15/25			8,000				8,239
3.75%, 10/1/27			60,000				58,506
4.88%, 10/1/47			40,000				41,468
ConocoPhillips 6.50%, 2/1/39			230,000				301,745
ConocoPhillips Co. 3.35%, 11/15/24			140,000				139,369
4.95%, 3/15/26			155,000				168,555
4.15%, 11/15/34			5,000				5,073
4.30%, 11/15/44			25,000				25,854
Consolidated Edison Co. of New York, Inc. 6.75%, 4/1/38, Series 08-B			25,000				34,355
3.88%, 6/15/47, Series 2017			100,000				98,130
Constellation Brands, Inc. 3.70%, 12/6/26			235,000				233,300
Continental Airlines Pass Through Trust 4.00%, 4/29/26, Series 2012-2, Class A			27,910				28,605
Corning, Inc. 4.75%, 3/15/42			200,000				213,186

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			57

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Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Costco Wholesale Corp. 2.75%, 5/18/24		$	100,000			$	97,332
3.00%, 5/18/27			80,000				77,477
Crown Castle International Corp. 4.88%, 4/15/22			83,000				87,285
5.25%, 1/15/23			20,000				21,455
3.20%, 9/1/24			20,000				19,282
CSX Corp. 4.25%, 6/1/21			30,000				31,096
3.40%, 8/1/24			25,000				24,922
3.35%, 11/1/25			30,000				29,386
3.25%, 6/1/27			155,000				148,440
5.50%, 4/15/41			13,000				15,017
4.10%, 3/15/44			110,000				106,428
4.50%, 8/1/54			100,000				98,274
Cummins, Inc. 3.65%, 10/1/23			20,000				20,684
CVS Health Corp. 2.13%, 6/1/21			310,000				299,236
3.50%, 7/20/22			2,000				1,994
4.00%, 12/5/23			175,000				177,618
3.88%, 7/20/25			178,000				176,133
4.88%, 7/20/35			53,000				55,214
5.13%, 7/20/45			75,000				78,651
D.R. Horton, Inc. 3.75%, 3/1/19			10,000				10,084
DDR Corp. 3.63%, 2/1/25			100,000				96,706
Dell International LLC 3.48%, 6/1/19(b)			42,000				42,279
4.42%, 6/15/21(b)			50,000				51,088
5.45%, 6/15/23(b)			230,000				242,573
6.02%, 6/15/26(b)			180,000				192,485
8.35%, 7/15/46(b)			205,000				260,520
Delmarva Power & Light Co. 4.15%, 5/15/45			60,000				61,992
Delphi Corp. 4.15%, 3/15/24			25,000				25,626
Delta Air Lines, Inc. 2.88%, 3/13/20			15,000				14,970
2.60%, 12/4/20			5,000				4,938
Devon Energy Corp. 3.25%, 5/15/22			569,000				563,754
5.60%, 7/15/41			195,000				218,321
4.75%, 5/15/42			100,000				101,299
Discover Financial Services 3.95%, 11/6/24			71,000				70,982
3.75%, 3/4/25			210,000				206,526
Discovery Communications LLC 3.25%, 4/1/23			200,000				194,634
3.95%, 3/20/28			85,000				81,749
5.00%, 9/20/37			200,000				200,288
6.35%, 6/1/40			175,000				197,664
4.88%, 4/1/43			35,000				33,496
Dominion Energy, Inc. 3.90%, 10/1/25			40,000				40,522
7.00%, 6/15/38			25,000				32,948
4.70%, 12/1/44			100,000				105,337
Dow Chemical Co. (The) 4.25%, 11/15/20			226,000				232,969
3.00%, 11/15/22			15,000				14,790
3.50%, 10/1/24			385,000				383,506
7.38%, 11/1/29			135,000				174,293
5.25%, 11/15/41			30,000				32,957
4.38%, 11/15/42			75,000				75,574
4.63%, 10/1/44			80,000				82,517
Dr Pepper Snapple Group, Inc. 3.43%, 6/15/27			140,000				133,116
DTE Electric Co. 3.30%, 6/15/22, Series B			150,000				149,716
3.70%, 3/15/45			4,000				3,877
Duke Energy Carolinas LLC 2.95%, 12/1/26			20,000				19,220
6.00%, 1/15/38			75,000				96,310
6.05%, 4/15/38			20,000				25,584
5.30%, 2/15/40			150,000				179,997
4.00%, 9/30/42			25,000				25,437
Duke Energy Corp. 1.80%, 9/1/21			25,000				23,929
2.40%, 8/15/22			30,000				29,045
2.65%, 9/1/26			275,000				252,961
3.15%, 8/15/27			175,000				165,991
4.80%, 12/15/45			220,000				237,301
Duke Energy Florida LLC 3.20%, 1/15/27			55,000				53,704
3.40%, 10/1/46			159,000				143,669
Duke Energy Indiana LLC 6.12%, 10/15/35			10,000				12,666
Duke Energy Progress LLC 3.25%, 8/15/25			40,000				39,620
6.30%, 4/1/38			25,000				32,856
4.10%, 3/15/43			25,000				25,468
4.15%, 12/1/44			25,000				25,659
4.20%, 8/15/45			25,000				25,765
DXC Technology Co. 4.75%, 4/15/27			165,000				171,126
Eastman Chemical Co. 3.80%, 3/15/25			38,000				38,631
4.65%, 10/15/44			100,000				103,954
Eaton Corp. 3.10%, 9/15/27			200,000				190,472
Eaton Vance Corp. 3.50%, 4/6/27			118,000				116,608
eBay, Inc. 3.80%, 3/9/22			26,000				26,507
2.75%, 1/30/23			30,000				29,061
3.45%, 8/1/24			10,000				9,910
Ecolab, Inc. 4.35%, 12/8/21			21,000				21,953
2.70%, 11/1/26			175,000				163,287
3.25%, 12/1/27(b)			25,000				24,105
3.95%, 12/1/47(b)			100,000				96,325
EI du Pont de Nemours & Co. 5.60%, 12/15/36			13,000				15,131
4.15%, 2/15/43			25,000				24,662

 

See Notes to Financial Statements.

 

58		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Eli Lilly & Co. 2.75%, 6/1/25		$	170,000			$	164,208
5.55%, 3/15/37			112,000				137,581
3.70%, 3/1/45			125,000				120,980
Enable Midstream Partners L.P. 2.40%, 5/15/19			184,000				182,344
3.90%, 5/15/24			15,000				14,801
4.40%, 3/15/27			25,000				24,654
Enbridge Energy Partners L.P. 5.88%, 10/15/25			125,000				138,459
Energy Transfer Partners L.P. 4.65%, 6/1/21			10,000				10,370
4.75%, 1/15/26			200,000				203,446
7.50%, 7/1/38			40,000				48,644
5.15%, 3/15/45			125,000				118,258
6.13%, 12/15/45			180,000				192,674
5.30%, 4/15/47			25,000				24,147
EnLink Midstream Partners L.P. 5.45%, 6/1/47			75,000				75,792
Entergy Corp. 2.95%, 9/1/26			193,000				181,899
Entergy Louisiana LLC 4.05%, 9/1/23			175,000				182,749
4.95%, 1/15/45			72,000				73,245
Enterprise Products Operating LLC 2.55%, 10/15/19			40,000				39,830
3.90%, 2/15/24			100,000				101,552
5.95%, 2/1/41			100,000				118,472
4.85%, 8/15/42			200,000				209,168
4.90%, 5/15/46			101,000				106,412
4.95%, 10/15/54			50,000				51,744
5.25%, 8/16/77, Series E (5.250% fixed rate until 8/16/27; 3-month U.S. dollar London Interbank Offered Rate + 3.033% thereafter)(d)			433,000				418,927
EOG Resources, Inc. 2.45%, 4/1/20			5,000				4,954
2.63%, 3/15/23			80,000				77,413
EQT Corp. 3.90%, 10/1/27			101,000				96,593
EQT Midstream Partners L.P. 4.00%, 8/1/24			200,000				195,599
ERP Operating L.P. 3.25%, 8/1/27			308,000				298,342
4.50%, 7/1/44			100,000				105,000
Eversource Energy 2.90%, 10/1/24, Series L			50,000				48,094
Exelon Corp. 3.50%, 6/1/22			25,000				24,990
3.95%, 6/15/25			25,000				25,319
3.40%, 4/15/26			75,000				73,107
4.95%, 6/15/35			200,000				219,458
5.10%, 6/15/45			100,000				112,214
4.45%, 4/15/46			225,000				229,066
Exelon Generation Co. LLC 4.25%, 6/15/22			265,000				273,882
6.25%, 10/1/39			145,000				163,043
5.60%, 6/15/42			77,000				81,363
Expedia, Inc. 4.50%, 8/15/24			115,000				116,410
5.00%, 2/15/26			200,000				205,629
Express Scripts Holding Co. 2.25%, 6/15/19			62,000				61,549
4.75%, 11/15/21			16,000				16,770
3.05%, 11/30/22			25,000				24,580
3.00%, 7/15/23			80,000				77,274
3.40%, 3/1/27			110,000				104,412
6.13%, 11/15/41			21,000				24,837
4.80%, 7/15/46			125,000				125,362
Federal Realty Investment Trust 4.50%, 12/1/44			200,000				207,358
FedEx Corp. 2.63%, 8/1/22			100,000				98,169
4.00%, 1/15/24			20,000				20,675
3.25%, 4/1/26			306,000				298,913
3.88%, 8/1/42			220,000				206,064
4.10%, 4/15/43			100,000				95,414
4.55%, 4/1/46			90,000				91,980
4.40%, 1/15/47			120,000				119,444
Fidelity National Information Services, Inc. 5.00%, 10/15/25			341,000				366,089
3.00%, 8/15/26			70,000				65,644
4.50%, 8/15/46			25,000				24,660
Fifth Third Bancorp 2.88%, 7/27/20			25,000				24,965
4.30%, 1/16/24			225,000				232,823
8.25%, 3/1/38			100,000				145,667
FirstEnergy Corp. 2.85%, 7/15/22, Series A			280,000				272,412
3.90%, 7/15/27, Series B			100,000				99,115
7.38%, 11/15/31, Series C			100,000				132,147
4.85%, 7/15/47, Series C			210,000				221,597
Flowers Foods, Inc. 3.50%, 10/1/26			8,000				7,632
Ford Motor Co. 4.35%, 12/8/26			135,000				133,257
7.45%, 7/16/31			150,000				183,049
4.75%, 1/15/43			175,000				162,100
5.29%, 12/8/46			250,000				246,798
Ford Motor Credit Co. LLC 8.13%, 1/15/20			100,000				108,780
4.25%, 9/20/22			200,000				203,957
3.10%, 5/4/23			200,000				192,772
4.13%, 8/4/25			200,000				197,077
3.82%, 11/2/27			200,000				187,839
Fortive Corp. 1.80%, 6/15/19			70,000				69,273
3.15%, 6/15/26			200,000				193,750
Franklin Resources, Inc. 2.85%, 3/30/25			145,000				140,565
GATX Corp. 3.25%, 3/30/25			45,000				43,391
3.85%, 3/30/27			5,000				4,927
GE Capital International Funding Co. Unlimited Co. 4.42%, 11/15/35			800,000				785,015

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			59

---

Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
General Dynamics Corp. 2.13%, 8/15/26		$	225,000			$	202,826
General Electric Co. 6.75%, 3/15/32, Series A			215,000				267,654
5.88%, 1/14/38			50,000				58,647
4.13%, 10/9/42			25,000				23,415
4.50%, 3/11/44			225,000				223,393
General Mills, Inc. 3.65%, 2/15/24			2,000				2,029
General Motors Co. 4.00%, 4/1/25			85,000				84,078
4.20%, 10/1/27			100,000				98,603
5.15%, 4/1/38			250,000				247,656
5.20%, 4/1/45			75,000				74,247
6.75%, 4/1/46			275,000				325,915
General Motors Financial Co., Inc. 3.20%, 7/6/21			30,000				29,793
4.38%, 9/25/21			20,000				20,594
3.45%, 1/14/22			20,000				19,914
3.45%, 4/10/22			84,000				83,528
3.15%, 6/30/22			20,000				19,555
4.00%, 1/15/25			288,000				285,902
4.30%, 7/13/25			401,000				402,630
4.00%, 10/6/26			100,000				97,967
Genpact Luxembourg Sarl 3.70%, 4/1/22(b)			130,000				127,447
Georgia Power Co. 5.95%, 2/1/39			33,000				40,422
5.40%, 6/1/40			75,000				87,400
4.30%, 3/15/42			100,000				102,207
Georgia-Pacific LLC 8.00%, 1/15/24			30,000				37,310
7.75%, 11/15/29			100,000				136,499
Gilead Sciences, Inc. 3.65%, 3/1/26			260,000				259,789
2.95%, 3/1/27			300,000				282,707
4.60%, 9/1/35			100,000				105,991
5.65%, 12/1/41			100,000				118,612
4.75%, 3/1/46			75,000				78,710
4.15%, 3/1/47			135,000				129,782
Goldman Sachs Group, Inc. (The) 4.00%, 3/3/24			50,000				50,976
3.50%, 1/23/25			555,000				545,556
4.25%, 10/21/25			232,000				234,084
3.50%, 11/16/26			500,000				482,174
5.95%, 1/15/27			250,000				282,284
3.85%, 1/26/27			175,000				172,771
3.69%, 6/5/28, (3.691% fixed rate until 6/5/27; 3-month U.S. dollar London Interbank Offered Rate + 1.510% thereafter)(d)			500,000				487,065
3.81%, 4/23/29, (3.814% fixed rate until 4/23/28; 3-month U.S. dollar London Interbank Offered Rate + 1.158% thereafter)(d)			250,000				244,394
6.13%, 2/15/33			40,000				48,279
6.75%, 10/1/37			275,000				348,093
4.02%, 10/31/38, (4.017% fixed rate until 10/31/37; 3-month U.S. dollar London Interbank Offered Rate + 1.373% thereafter)(d)			75,000				72,620
6.25%, 2/1/41			125,000				158,654
4.80%, 7/8/44			25,000				26,832
5.15%, 5/22/45			100,000				108,117
Halliburton Co. 3.80%, 11/15/25			100,000				100,222
4.85%, 11/15/35			200,000				214,836
7.45%, 9/15/39			150,000				206,328
4.50%, 11/15/41			2,000				2,038
5.00%, 11/15/45			105,000				113,949
Harris Corp. 3.83%, 4/27/25			185,000				186,888
4.85%, 4/27/35			67,000				71,990
Hasbro, Inc. 6.35%, 3/15/40			156,000				177,311
HCP, Inc. 2.63%, 2/1/20			130,000				129,280
4.25%, 11/15/23			20,000				20,659
3.40%, 2/1/25			25,000				24,332
4.00%, 6/1/25			100,000				100,510
Healthcare Realty Trust, Inc. 3.63%, 1/15/28			25,000				24,095
Hershey Co. (The) 2.30%, 8/15/26			425,000				387,097
Hess Corp. 4.30%, 4/1/27			60,000				58,842
6.00%, 1/15/40			100,000				106,106
5.80%, 4/1/47			200,000				212,274
Hewlett Packard Enterprise Co. 4.90%, 10/15/25			380,000				394,506
6.35%, 10/15/45			160,000				169,505
Hexcel Corp. 4.70%, 8/15/25			8,000				8,326
3.95%, 2/15/27			150,000				149,295
Home Depot, Inc. (The) 3.35%, 9/15/25			105,000				104,554
3.00%, 4/1/26			80,000				77,673
2.80%, 9/14/27			175,000				165,274
5.88%, 12/16/36			150,000				191,204
4.20%, 4/1/43			25,000				25,660
4.40%, 3/15/45			35,000				36,818
4.25%, 4/1/46			55,000				57,085
3.90%, 6/15/47			155,000				153,081
3.50%, 9/15/56			25,000				22,135
Honeywell International, Inc. 2.50%, 11/1/26			395,000				365,386
Hospitality Properties Trust 4.50%, 3/15/25			110,000				111,658
3.95%, 1/15/28			15,000				14,144
4.38%, 2/15/30			180,000				173,540
Host Hotels & Resorts L.P. 4.00%, 6/15/25, Series E			20,000				19,879
HP, Inc. 4.65%, 12/9/21			2,000				2,094

 

See Notes to Financial Statements.

 

60		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

---

Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
HSBC Bank USA NA 5.88%, 11/1/34		$	250,000			$	304,184
Hubbell, Inc. 3.15%, 8/15/27			8,000				7,631
Hudson Pacific Properties L.P. 3.95%, 11/1/27			175,000				167,708
Humana, Inc. 3.15%, 12/1/22			15,000				14,884
4.95%, 10/1/44			225,000				239,141
Huntington Ingalls Industries, Inc. 3.48%, 12/1/27(b)			25,000				24,245
Illinois Tool Works, Inc. 3.50%, 3/1/24			35,000				35,626
2.65%, 11/15/26			99,000				93,047
4.88%, 9/15/41			2,000				2,294
Ingersoll-Rand Global Holding Co., Ltd. 4.25%, 6/15/23			132,000				137,671
Intel Corp. 2.88%, 5/11/24			100,000				97,705
3.70%, 7/29/25			178,000				181,750
2.60%, 5/19/26			300,000				282,798
4.10%, 5/19/46			95,000				97,291
Intercontinental Exchange, Inc. 4.00%, 10/15/23(c)			25,000				25,859
3.75%, 12/1/25			345,000				349,473
3.10%, 9/15/27			25,000				24,025
International Business Machines Corp. 3.38%, 8/1/23			115,000				115,923
7.00%, 10/30/25			230,000				285,536
3.45%, 2/19/26			100,000				100,337
3.30%, 1/27/27			150,000				147,907
4.00%, 6/20/42			110,000				110,880
4.70%, 2/19/46			170,000				191,459
International Flavors & Fragrances, Inc. 4.38%, 6/1/47			60,000				59,880
International Lease Finance Corp. 5.88%, 4/1/19			15,000				15,491
6.25%, 5/15/19			23,000				23,864
8.25%, 12/15/20			10,000				11,279
8.63%, 1/15/22			5,000				5,909
International Paper Co. 3.80%, 1/15/26			355,000				357,570
3.00%, 2/15/27			161,000				150,620
7.30%, 11/15/39			100,000				134,739
6.00%, 11/15/41			75,000				89,825
4.80%, 6/15/44			50,000				52,220
Invesco Finance PLC 4.00%, 1/30/24			537,000				554,016
Jefferies Group LLC 8.50%, 7/15/19			115,000				123,360
6.88%, 4/15/21			70,000				77,079
4.85%, 1/15/27			153,000				158,092
4.15%, 1/23/30			60,000				57,078
6.25%, 1/15/36			86,000				94,443
JM Smucker Co. (The) 4.25%, 3/15/35			75,000				75,848
John Deere Capital Corp. 2.80%, 3/6/23			360,000				353,677
3.05%, 1/6/28			25,000				24,127
Johnson Controls International PLC 3.90%, 2/14/26			25,000				25,361
5.13%, 9/14/45			117,000				132,197
JPMorgan Chase & Co. 3.38%, 5/1/23			260,000				258,177
3.88%, 2/1/24			147,000				150,054
3.63%, 5/13/24			50,000				50,203
3.88%, 9/10/24			50,000				50,325
3.13%, 1/23/25			180,000				174,961
3.22%, 3/1/25, (3.220% fixed rate until 3/1/24; 3-month U.S. dollar London Interbank Offered Rate + 1.155% thereafter)(d)			500,000				490,820
3.30%, 4/1/26			690,000				669,859
2.95%, 10/1/26			53,000				49,863
4.13%, 12/15/26			250,000				253,533
4.25%, 10/1/27			95,000				97,140
3.63%, 12/1/27			500,000				483,602
3.78%, 2/1/28, (3.782% fixed rate until 2/1/27; 3-month U.S. dollar London Interbank Offered Rate + 1.337% thereafter)(d)			150,000				149,532
3.54%, 5/1/28, (3.540% fixed rate until 5/1/27; 3-month U.S. dollar London Interbank Offered Rate + 1.380% thereafter)(d)			5,000				4,883
3.51%, 1/23/29, (3.509% fixed rate until 1/23/28; 3-month U.S. dollar London Interbank Offered Rate + 0.945% thereafter)(d)			500,000				485,625
6.40%, 5/15/38			80,000				104,826
5.63%, 8/16/43			100,000				116,494
4.26%, 2/22/48, (4.260% fixed rate until 2/22/47; 3-month U.S. dollar London Interbank Offered Rate + 1.580% thereafter)(d)			130,000				129,898
4.03%, 7/24/48, (4.032% fixed rate until 7/24/47; 3-month U.S. dollar London Interbank Offered Rate + 1.460% thereafter)(d)			205,000				198,922
3.90%, 1/23/49, (3.897% fixed rate until 1/23/48; 3-month U.S. dollar London Interbank Offered Rate + 1.220% thereafter)(d)			60,000				56,613
Juniper Networks, Inc. 3.13%, 2/26/19			5,000				5,015
4.50%, 3/15/24			25,000				25,764
Kaiser Foundation Hospitals 4.15%, 5/1/47			100,000				102,549
Kellogg Co. 4.00%, 12/15/20			180,000				184,837
2.65%, 12/1/23			16,000				15,567
3.25%, 4/1/26			105,000				100,307
4.50%, 4/1/46			60,000				59,740

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			61

---

Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Kemper Corp. 4.35%, 2/15/25		$	125,000			$	124,754
Kerr-McGee Corp. 6.95%, 7/1/24			40,000				46,458
7.88%, 9/15/31			4,000				5,268
KeyCorp 2.90%, 9/15/20			115,000				114,849
5.10%, 3/24/21			70,000				74,188
Kilroy Realty L.P. 3.45%, 12/15/24			60,000				58,497
4.38%, 10/1/25			160,000				163,434
4.25%, 8/15/29			50,000				49,671
Kimberly-Clark Corp. 3.20%, 7/30/46			15,000				13,166
Kimco Realty Corp. 3.30%, 2/1/25			132,000				127,294
2.80%, 10/1/26			197,000				179,559
Kinder Morgan Energy Partners L.P. 3.50%, 3/1/21			30,000				30,139
3.95%, 9/1/22			50,000				50,766
3.45%, 2/15/23			40,000				39,639
3.50%, 9/1/23			35,000				34,545
7.30%, 8/15/33			1,000				1,225
6.38%, 3/1/41			8,000				9,131
5.63%, 9/1/41			200,000				207,970
5.00%, 3/1/43			115,000				112,594
Kinder Morgan, Inc. 6.50%, 9/15/20			5,000				5,383
4.30%, 6/1/25			630,000				636,684
7.75%, 1/15/32			150,000				191,403
5.55%, 6/1/45			175,000				184,908
Kohl’s Corp. 4.25%, 7/17/25			35,000				35,613
Kraft Heinz Foods Co. 2.80%, 7/2/20			132,000				131,312
3.50%, 6/6/22			341,000				341,626
3.50%, 7/15/22			15,000				15,042
3.95%, 7/15/25			65,000				64,367
3.00%, 6/1/26			186,000				171,087
5.20%, 7/15/45			350,000				357,820
Kroger Co. (The) 4.45%, 2/1/47			365,000				344,774
4.65%, 1/15/48			125,000				121,159
L3 Technologies, Inc. 4.95%, 2/15/21			10,000				10,441
Laboratory Corp. of America Holdings 3.60%, 2/1/25			50,000				49,268
3.60%, 9/1/27			25,000				24,325
Lam Research Corp. 3.80%, 3/15/25			88,000				89,429
Lazard Group LLC 3.75%, 2/13/25			25,000				24,786
Leggett & Platt, Inc. 3.50%, 11/15/27			25,000				24,133
Life Storage L.P. 3.88%, 12/15/27			25,000				24,258
LifeStorage L.P. 3.50%, 7/1/26			60,000				57,247
Lockheed Martin Corp. 2.50%, 11/23/20			20,000				19,823
3.10%, 1/15/23			25,000				24,999
4.50%, 5/15/36			240,000				255,732
4.07%, 12/15/42			120,000				118,613
4.70%, 5/15/46			70,000				76,048
Loews Corp. 3.75%, 4/1/26			5,000				5,029
Lowe’s Cos., Inc. 3.38%, 9/15/25			260,000				256,075
2.50%, 4/15/26			25,000				23,091
3.10%, 5/3/27			125,000				119,742
4.05%, 5/3/47			190,000				186,606
LYB International Finance B.V. 4.00%, 7/15/23			45,000				46,037
5.25%, 7/15/43			45,000				49,732
4.88%, 3/15/44			245,000				257,372
LYB International Finance II B.V. 3.50%, 3/2/27			20,000				19,504
Macy’s Retail Holdings, Inc. 2.88%, 2/15/23(c)			30,000				28,076
4.38%, 9/1/23			100,000				99,900
3.63%, 6/1/24(c)			87,000				83,234
Magellan Midstream Partners L.P. 4.20%, 10/3/47			150,000				143,459
Marathon Oil Corp. 2.80%, 11/1/22			130,000				125,688
3.85%, 6/1/25			130,000				129,030
6.60%, 10/1/37			175,000				212,180
Marathon Petroleum Corp. 4.75%, 9/15/44			40,000				39,248
5.00%, 9/15/54			70,000				68,426
Markel Corp. 3.50%, 11/1/27			100,000				96,306
4.30%, 11/1/47			50,000				48,304
Marriott International, Inc. 3.00%, 3/1/19			10,000				10,027
2.30%, 1/15/22			10,000				9,665
3.13%, 6/15/26, Series R			100,000				95,307
Marsh & McLennan Cos., Inc. 3.50%, 3/10/25			80,000				79,675
3.75%, 3/14/26			47,000				47,368
Martin Marietta Materials, Inc. 4.25%, 12/15/47			180,000				167,827
Mastercard, Inc. 3.38%, 4/1/24			274,000				274,952
McCormick & Co., Inc. 3.40%, 8/15/27			50,000				48,702
McDonald’s Corp. 5.00%, 2/1/19			97,000				99,114
3.38%, 5/26/25			155,000				153,427
3.70%, 1/30/26			228,000				229,080
4.60%, 5/26/45			92,000				95,941
4.88%, 12/9/45			215,000				233,717
4.45%, 3/1/47			35,000				35,828

 

See Notes to Financial Statements.

 

62		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

---

Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
McKesson Corp. 3.80%, 3/15/24		$	40,000			$	40,513
4.88%, 3/15/44			100,000				108,613
Medtronic Global Holdings SCA 3.35%, 4/1/27			185,000				182,760
Medtronic, Inc. 3.50%, 3/15/25			372,000				371,896
4.38%, 3/15/35			95,000				100,737
4.63%, 3/15/44			79,000				86,441
4.63%, 3/15/45			122,000				132,639
Merck & Co., Inc. 2.75%, 2/10/25			345,000				333,427
3.70%, 2/10/45			25,000				24,328
Mercury General Corp. 4.40%, 3/15/27			70,000				69,740
MetLife, Inc. 4.37%, 9/15/23, Series D			71,000				74,666
3.60%, 4/10/24			220,000				220,819
6.50%, 12/15/32			20,000				25,350
6.38%, 6/15/34			30,000				38,103
5.70%, 6/15/35			48,000				57,528
4.13%, 8/13/42			100,000				99,399
4.88%, 11/13/43			35,000				38,185
6.40%, 12/15/66			100,000				113,000
Mid-America Apartments L.P. 3.75%, 6/15/24			12,000				12,094
MidAmerican Energy Co. 3.50%, 10/15/24			195,000				198,782
3.95%, 8/1/47			35,000				35,204
Molson Coors Brewing Co. 3.00%, 7/15/26			157,000				146,661
5.00%, 5/1/42			100,000				106,768
4.20%, 7/15/46			110,000				103,529
Monsanto Co. 3.38%, 7/15/24			100,000				99,228
4.40%, 7/15/44			20,000				19,836
3.95%, 4/15/45			12,000				11,282
4.70%, 7/15/64			25,000				24,969
Morgan Stanley 4.88%, 11/1/22			210,000				221,612
3.88%, 4/29/24, Series F			600,000				607,136
3.70%, 10/23/24			179,000				179,027
5.00%, 11/24/25			20,000				21,315
3.88%, 1/27/26			103,000				103,350
4.35%, 9/8/26			200,000				203,371
3.63%, 1/20/27			200,000				196,274
3.95%, 4/23/27			190,000				187,187
3.59%, 7/22/28, (3.591% fixed rate until 7/22/27; 3-month U.S. dollar London Interbank Offered Rate + 1.340% thereafter)(d)			500,000				483,318
3.77%, 1/24/29, (3.772% fixed rate until 1/24/28; 3-month U.S. dollar London Interbank Offered Rate + 1.140% thereafter)(d)			250,000				244,945
3.97%, 7/22/38, (3.971% fixed rate until 7/22/37; 3-month U.S. dollar London Interbank Offered Rate + 1.455% thereafter)(d)			265,000				259,204
4.30%, 1/27/45			100,000				100,217
4.38%, 1/22/47			100,000				101,505
Mosaic Co. (The) 3.25%, 11/15/22			25,000				24,548
4.25%, 11/15/23			100,000				102,920
4.88%, 11/15/41			62,000				59,050
5.63%, 11/15/43			38,000				39,929
Motorola Solutions, Inc. 5.50%, 9/1/44			100,000				100,043
MPLX L.P. 4.50%, 7/15/23			195,000				201,621
4.88%, 12/1/24			130,000				136,935
4.00%, 2/15/25			8,000				7,998
4.13%, 3/1/27			25,000				24,855
4.50%, 4/15/38			225,000				219,016
5.20%, 3/1/47			150,000				155,068
4.70%, 4/15/48			210,000				204,292
4.90%, 4/15/58			30,000				28,984
MUFG Americas Holdings Corp. 3.00%, 2/10/25			21,000				20,354
Mylan N.V. 3.15%, 6/15/21			92,000				91,229
3.95%, 6/15/26			100,000				96,886
5.25%, 6/15/46			150,000				152,041
Mylan, Inc. 4.20%, 11/29/23			225,000				227,375
Nasdaq, Inc. 5.55%, 1/15/20			50,000				52,305
National Retail Properties, Inc. 3.80%, 10/15/22			8,000				8,144
National Rural Utilities Cooperative Finance Corp. 2.85%, 1/27/25			155,000				149,800
NBCUniversal Media LLC 5.95%, 4/1/41			33,000				39,949
4.45%, 1/15/43			25,000				25,199
Newell Brands, Inc. 3.85%, 4/1/23			25,000				24,917
4.20%, 4/1/26			400,000				396,245
5.50%, 4/1/46			220,000				234,390
Newmont Mining Corp. 6.25%, 10/1/39			170,000				207,753
NextEra Energy Capital Holdings, Inc. 2.40%, 9/15/19			40,000				39,781
4.80%, 12/1/77, (4.800% fixed rate until 12/1/27; 3-month U.S. dollar London Interbank Offered Rate + 2.409% thereafter)(d)			33,000				32,890
NIKE, Inc. 2.25%, 5/1/23			25,000				24,189
2.38%, 11/1/26			160,000				147,774
3.63%, 5/1/43			190,000				182,642

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			63

---

Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
NiSource, Inc. 3.49%, 5/15/27		$	200,000			$	195,476
5.95%, 6/15/41			2,000				2,441
5.65%, 2/1/45			219,000				261,235
3.95%, 3/30/48			75,000				71,359
Noble Energy, Inc. 3.85%, 1/15/28			13,000				12,791
6.00%, 3/1/41			150,000				172,860
5.05%, 11/15/44			25,000				26,023
4.95%, 8/15/47			69,000				71,110
Nordstrom, Inc. 4.00%, 3/15/27			20,000				19,566
Norfolk Southern Corp. 3.25%, 12/1/21			210,000				211,728
2.90%, 6/15/26			8,000				7,579
3.15%, 6/1/27			100,000				96,046
4.05%, 8/15/52(b)			132,000				127,283
Northern States Power Co. 6.20%, 7/1/37			10,000				13,121
5.35%, 11/1/39			50,000				60,090
Northrop Grumman Corp. 3.50%, 3/15/21			117,000				118,703
2.55%, 10/15/22			25,000				24,205
3.25%, 8/1/23			336,000				333,725
3.20%, 2/1/27			75,000				72,183
3.25%, 1/15/28			100,000				95,955
3.85%, 4/15/45			250,000				235,641
4.03%, 10/15/47			50,000				48,216
Northwell Healthcare, Inc. 3.98%, 11/1/46			15,000				13,999
4.26%, 11/1/47			25,000				24,438
NSTAR Electric Co. 3.20%, 5/15/27			50,000				48,669
Nucor Corp. 6.40%, 12/1/37			27,000				34,668
Occidental Petroleum Corp. 3.00%, 2/15/27			135,000				129,133
4.40%, 4/15/46			25,000				25,536
4.10%, 2/15/47			25,000				24,432
Oglethorpe Power Corp. 5.38%, 11/1/40			15,000				16,841
Old Republic International Corp. 3.88%, 8/26/26			110,000				107,927
Omega Healthcare Investors, Inc. 4.50%, 4/1/27(c)			225,000				215,382
Omnicom Group, Inc. 3.63%, 5/1/22			80,000				80,973
Oncor Electric Delivery Co. LLC 2.95%, 4/1/25			169,000				164,204
3.75%, 4/1/45			105,000				101,091
ONEOK Partners L.P. 5.00%, 9/15/23			150,000				158,722
6.20%, 9/15/43			50,000				59,100
ONEOK, Inc. 4.00%, 7/13/27			180,000				177,675
Oracle Corp. 3.63%, 7/15/23			55,000				56,240
2.40%, 9/15/23			325,000				310,454
2.65%, 7/15/26			150,000				140,322
3.25%, 11/15/27			375,000				364,941
3.90%, 5/15/35			180,000				178,724
6.50%, 4/15/38			100,000				135,745
5.38%, 7/15/40			250,000				302,253
4.00%, 11/15/47			200,000				198,088
Owens Corning 3.40%, 8/15/26			200,000				191,873
7.00%, 12/1/36			13,000				16,489
Pacific Gas & Electric Co. 3.40%, 8/15/24			120,000				117,700
6.05%, 3/1/34			180,000				211,421
5.80%, 3/1/37			255,000				296,432
4.00%, 12/1/46			45,000				41,615
PacifiCorp 6.00%, 1/15/39			165,000				212,486
Packaging Corp. of America 3.65%, 9/15/24			25,000				25,190
Parker-Hannifin Corp. 4.45%, 11/21/44			50,000				53,404
PECO Energy Co. 4.15%, 10/1/44			4,000				4,158
PepsiCo, Inc. 2.75%, 4/30/25			145,000				139,545
4.00%, 3/5/42			172,000				174,692
4.60%, 7/17/45			2,000				2,171
4.45%, 4/14/46			200,000				214,359
3.45%, 10/6/46			45,000				40,896
Perrigo Finance Unlimited Co. 4.90%, 12/15/44			250,000				248,649
Pfizer, Inc. 5.80%, 8/12/23			100,000				113,514
3.40%, 5/15/24			282,000				285,161
2.75%, 6/3/26			100,000				95,454
7.20%, 3/15/39			130,000				189,081
4.13%, 12/15/46			189,000				194,996
Philip Morris International, Inc. 3.25%, 11/10/24			77,000				75,913
3.38%, 8/11/25			60,000				59,174
2.75%, 2/25/26			180,000				170,028
3.13%, 8/17/27			300,000				288,797
4.13%, 3/4/43			198,000				192,869
Phillips 66 4.88%, 11/15/44			210,000				221,819
Phillips 66 Partners L.P. 3.75%, 3/1/28			95,000				92,494
Physicians Realty L.P. 3.95%, 1/15/28			25,000				23,943
Pitney Bowes, Inc. 4.63%, 3/15/24(c)			20,000				18,650
Plains All American Pipeline L.P. 3.65%, 6/1/22			10,000				9,881
4.65%, 10/15/25			240,000				242,352
4.50%, 12/15/26			255,000				254,505
4.70%, 6/15/44			17,000				15,501
4.90%, 2/15/45			105,000				97,772

 

See Notes to Financial Statements.

 

64		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

---

Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
PNC Bank NA 3.25%, 1/22/28		$	375,000			$	362,898
PPL Capital Funding, Inc. 5.00%, 3/15/44			25,000				27,530
PPL Electric Utilities Corp. 3.95%, 6/1/47			100,000				101,264
Praxair, Inc. 3.20%, 1/30/26			200,000				199,830
Progress Energy, Inc. 4.40%, 1/15/21			25,000				25,835
3.15%, 4/1/22			185,000				184,791
Progressive Corp. (The) 6.63%, 3/1/29			75,000				93,492
4.13%, 4/15/47			150,000				151,567
Prologis L.P. 4.25%, 8/15/23			110,000				115,150
3.75%, 11/1/25			170,000				173,150
Prudential Financial, Inc. 3.50%, 5/15/24			50,000				50,414
5.63%, 6/15/43, (5.625% fixed rate until 6/15/23; 3-month U.S. dollar London Interbank Offered Rate + 3.920% thereafter)(d)			171,000				180,619
5.20%, 3/15/44, (5.200% fixed rate until 3/15/24; 3-month U.S. dollar London Interbank Offered Rate + 3.040% thereafter)(d)			180,000				187,875
5.38%, 5/15/45, (5.375% fixed rate until 5/15/25; 3-month U.S. dollar London Interbank Offered Rate + 3.031% thereafter)(d)			88,000				91,740
4.50%, 9/15/47, (4.500% fixed rate until 9/15/27; 3-month U.S. dollar London Interbank Offered Rate + 2.380% thereafter)(d)			108,000				106,164
Public Service Electric & Gas Co. 2.25%, 9/15/26			8,000				7,309
5.50%, 3/1/40			4,000				4,886
Public Service Enterprise Group, Inc. 2.65%, 11/15/22			200,000				194,652
Puget Energy, Inc. 3.65%, 5/15/25			65,000				64,744
Puget Sound Energy, Inc. 4.30%, 5/20/45			15,000				15,901
QUALCOMM, Inc. 2.90%, 5/20/24			115,000				108,833
3.45%, 5/20/25			635,000				615,828
3.25%, 5/20/27			155,000				145,108
4.65%, 5/20/35			60,000				61,352
4.80%, 5/20/45			25,000				25,038
4.30%, 5/20/47			50,000				46,785
QVC, Inc. 5.13%, 7/2/22			364,000				377,144
4.38%, 3/15/23			136,000				135,826
4.85%, 4/1/24			25,000				25,355
4.45%, 2/15/25			38,000				37,331
Raymond James Financial, Inc. 3.63%, 9/15/26			20,000				19,571
4.95%, 7/15/46			155,000				168,744
Raytheon Co. 4.88%, 10/15/40			180,000				206,175
Realty Income Corp. 3.25%, 10/15/22			100,000				99,442
4.13%, 10/15/26			95,000				96,676
3.65%, 1/15/28			25,000				24,423
4.65%, 3/15/47			175,000				182,361
Regency Centers L.P. 3.60%, 2/1/27			135,000				130,064
4.40%, 2/1/47			13,000				12,756
Regions Financial Corp. 3.20%, 2/8/21			45,000				45,176
Republic Services, Inc. 3.20%, 3/15/25			125,000				122,211
Reynolds American, Inc. 4.45%, 6/12/25			190,000				195,887
7.25%, 6/15/37			100,000				132,202
5.85%, 8/15/45			110,000				128,541
Rockwell Collins, Inc. 3.70%, 12/15/23			8,000				8,093
3.20%, 3/15/24			305,000				298,771
3.50%, 3/15/27			280,000				272,926
4.35%, 4/15/47			225,000				225,477
Roper Technologies, Inc. 3.00%, 12/15/20			100,000				100,241
3.80%, 12/15/26			90,000				90,120
Royal Caribbean Cruises Ltd. 7.50%, 10/15/27			50,000				62,349
3.70%, 3/15/28			25,000				23,938
Ryder System, Inc. 2.55%, 6/1/19			5,000				4,985
2.45%, 9/3/19			5,000				4,980
S&P Global, Inc. 4.00%, 6/15/25			49,000				50,225
2.95%, 1/22/27			5,000				4,757
Sabine Pass Liquefaction LLC 5.75%, 5/15/24			150,000				162,188
5.63%, 3/1/25			161,000				173,427
5.88%, 6/30/26			100,000				109,363
4.20%, 3/15/28			150,000				147,917
Santander Holdings USA, Inc. 2.70%, 5/24/19			44,000				43,943
4.40%, 7/13/27(b)			375,000				375,403
Schlumberger Investment S.A. 3.65%, 12/1/23			450,000				459,333
Seagate HDD Cayman 4.75%, 6/1/23			31,000				31,341
4.75%, 1/1/25			220,000				213,526
4.88%, 6/1/27			230,000				220,226
Sempra Energy 2.85%, 11/15/20			235,000				235,356
6.00%, 10/15/39			227,000				280,773
Sherwin-Williams Co. (The) 2.75%, 6/1/22			15,000				14,641

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			65

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Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
3.45%, 6/1/27		$	232,000			$	223,987
4.55%, 8/1/45			12,000				12,174
4.50%, 6/1/47			126,000				126,182
Shire Acquisitions Investments Ireland DAC 1.90%, 9/23/19			125,000				123,106
2.40%, 9/23/21			145,000				140,120
2.88%, 9/23/23			296,000				283,737
3.20%, 9/23/26			175,000				163,057
Simon Property Group L.P. 3.50%, 9/1/25			145,000				144,194
3.30%, 1/15/26			315,000				306,678
3.38%, 6/15/27			175,000				170,091
6.75%, 2/1/40			25,000				33,434
4.25%, 10/1/44			2,000				1,998
Snap-on, Inc. 3.25%, 3/1/27			140,000				136,966
Southern California Edison Co. 6.65%, 4/1/29			10,000				12,334
5.35%, 7/15/35, Series 05-E			10,000				11,737
5.63%, 2/1/36			200,000				240,053
3.90%, 3/15/43, Series 13-A			15,000				14,847
3.60%, 2/1/45, Series C			15,000				14,088
4.00%, 4/1/47			305,000				305,220
Southern Co. (The) 2.95%, 7/1/23			50,000				48,635
3.25%, 7/1/26			410,000				391,025
4.25%, 7/1/36			185,000				187,299
4.40%, 7/1/46			100,000				100,764
Southern Co. Gas Capital Corp. 2.45%, 10/1/23			25,000				23,797
Southern Natural Gas Co. LLC 4.40%, 6/15/21			5,000				5,184
Southwest Airlines Co. 2.75%, 11/6/19			170,000				170,058
2.65%, 11/5/20			77,000				76,505
2.75%, 11/16/22			129,000				126,993
3.45%, 11/16/27			500,000				487,769
Southwestern Electric Power Co. 2.75%, 10/1/26, Series K			5,000				4,678
3.90%, 4/1/45, Series J			100,000				96,327
Spectra Energy Partners L.P. 3.38%, 10/15/26			40,000				38,161
5.95%, 9/25/43			130,000				151,931
4.50%, 3/15/45			161,000				157,622
Stanley Black & Decker, Inc. 5.20%, 9/1/40			59,000				66,361
Starbucks Corp. 2.45%, 6/15/26			50,000				46,610
3.75%, 12/1/47			15,000				14,256
State Street Corp. 3.10%, 5/15/23			63,000				62,158
3.70%, 11/20/23			25,000				25,656
3.55%, 8/18/25			80,000				80,382
2.65%, 5/19/26			55,000				51,344
Stifel Financial Corp. 4.25%, 7/18/24			25,000				25,175
Stryker Corp. 3.50%, 3/15/26			40,000				39,995
4.10%, 4/1/43			2,000				1,958
Sunoco Logistics Partners Operations L.P. 4.95%, 1/15/43			4,000				3,729
5.35%, 5/15/45			100,000				97,388
5.40%, 10/1/47			225,000				220,531
SunTrust Banks, Inc. 2.50%, 5/1/19			110,000				109,823
2.70%, 1/27/22			418,000				410,128
SVB Financial Group 3.50%, 1/29/25			20,000				19,551
Synchrony Financial 3.75%, 8/15/21			25,000				25,332
4.25%, 8/15/24			11,000				11,092
4.50%, 7/23/25			25,000				25,440
3.70%, 8/4/26			70,000				66,945
3.95%, 12/1/27			128,000				123,255
Sysco Corp. 3.30%, 7/15/26			100,000				97,328
Tampa Electric Co. 4.10%, 6/15/42			25,000				24,948
Tanger Properties L.P. 3.13%, 9/1/26			90,000				82,631
Target Corp. 3.50%, 7/1/24			110,000				112,330
3.63%, 4/15/46			30,000				27,486
3.90%, 11/15/47			25,000				23,967
TD Ameritrade Holding Corp. 3.30%, 4/1/27			140,000				136,733
Texas Instruments, Inc. 2.90%, 11/3/27			65,000				62,115
Textron, Inc. 3.88%, 3/1/25			8,000				8,082
Thermo Fisher Scientific, Inc. 4.50%, 3/1/21			130,000				135,642
3.30%, 2/15/22			12,000				12,029
4.15%, 2/1/24			80,000				82,522
4.10%, 8/15/47			200,000				192,634
Time Warner Cable LLC 8.25%, 4/1/19			20,000				21,117
5.00%, 2/1/20			80,000				82,799
6.55%, 5/1/37			350,000				399,212
7.30%, 7/1/38			200,000				240,520
6.75%, 6/15/39			300,000				345,260
4.50%, 9/15/42			75,000				67,992
Time Warner, Inc. 4.88%, 3/15/20			15,000				15,576
4.70%, 1/15/21			7,000				7,310
3.55%, 6/1/24			350,000				347,129
3.60%, 7/15/25			210,000				204,400
3.88%, 1/15/26			100,000				98,668
3.80%, 2/15/27			67,000				64,957
5.35%, 12/15/43			103,000				110,048
4.85%, 7/15/45			150,000				151,933
TJX Cos., Inc. (The) 2.25%, 9/15/26			80,000				72,366

 

See Notes to Financial Statements.

 

66		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Total System Services, Inc. 4.80%, 4/1/26		$	125,000			$	131,319
Transatlantic Holdings, Inc. 8.00%, 11/30/39			8,000				11,004
Travelers Cos., Inc. (The) 6.25%, 6/15/37			75,000				97,446
3.75%, 5/15/46			60,000				57,505
4.00%, 5/30/47			200,000				199,413
Tucson Electric Power Co. 3.05%, 3/15/25			176,000				169,035
Tyson Foods, Inc. 3.95%, 8/15/24			400,000				407,130
UDR, Inc. 2.95%, 9/1/26			90,000				84,094
3.50%, 1/15/28			25,000				24,162
Union Electric Co. 3.90%, 9/15/42			15,000				14,963
Union Pacific Corp. 3.25%, 8/15/25			135,000				134,070
2.75%, 3/1/26			210,000				200,440
3.00%, 4/15/27			205,000				198,328
3.60%, 9/15/37			180,000				174,195
4.05%, 11/15/45			15,000				15,156
4.05%, 3/1/46			99,000				100,038
4.00%, 4/15/47			15,000				15,110
4.38%, 11/15/65			30,000				30,630
United Airlines Pass Through Trust 4.00%, 10/11/27, Series A			14,625				14,934
3.75%, 3/3/28, Series A			15,050				15,146
United Parcel Service, Inc. 2.50%, 4/1/23			35,000				33,963
2.80%, 11/15/24			235,000				228,493
3.05%, 11/15/27			49,000				46,989
3.75%, 11/15/47			40,000				38,366
United Technologies Corp. 2.80%, 5/4/24			147,000				140,927
3.13%, 5/4/27			75,000				71,386
4.50%, 6/1/42			150,000				154,870
4.15%, 5/15/45			50,000				48,889
3.75%, 11/1/46			50,000				46,081
4.05%, 5/4/47			60,000				57,854
UnitedHealth Group, Inc. 3.75%, 7/15/25			300,000				304,354
3.10%, 3/15/26			450,000				435,552
3.45%, 1/15/27			100,000				99,729
3.38%, 4/15/27			45,000				44,381
2.95%, 10/15/27			100,000				94,962
6.63%, 11/15/37			13,000				17,495
6.88%, 2/15/38			300,000				414,295
4.63%, 11/15/41			20,000				21,723
4.25%, 3/15/43			6,000				6,203
4.75%, 7/15/45			100,000				110,684
Unum Group 5.75%, 8/15/42			122,000				144,332
US Bancorp 3.60%, 9/11/24			468,000				473,599
3.10%, 4/27/26			25,000				23,913
Valero Energy Corp. 3.65%, 3/15/25			180,000				178,968
3.40%, 9/15/26			60,000				57,412
6.63%, 6/15/37			400,000				498,269
4.90%, 3/15/45			4,000				4,261
Ventas Realty L.P. 4.75%, 6/1/21			105,000				109,699
3.50%, 2/1/25			20,000				19,641
3.25%, 10/15/26			80,000				75,775
4.38%, 2/1/45			112,000				109,566
VEREIT Operating Partnership L.P. 3.95%, 8/15/27			195,000				185,164
Verisk Analytics, Inc. 4.00%, 6/15/25			55,000				55,530
Verizon Communications, Inc. 3.00%, 11/1/21			15,000				14,932
3.50%, 11/1/21			20,000				20,233
2.95%, 3/15/22			35,000				34,555
2.45%, 11/1/22			266,000				256,328
3.50%, 11/1/24			264,000				262,453
2.63%, 8/15/26			25,000				22,811
4.13%, 3/16/27			500,000				508,864
5.25%, 3/16/37			250,000				265,758
4.81%, 3/15/39			100,000				101,168
4.75%, 11/1/41			175,000				174,820
3.85%, 11/1/42			200,000				174,958
4.13%, 8/15/46			188,000				168,171
4.86%, 8/21/46			275,000				274,921
4.52%, 9/15/48			343,000				325,452
5.01%, 4/15/49			452,000				460,490
5.01%, 8/21/54			225,000				222,545
4.67%, 3/15/55			292,000				273,867
VF Corp. 6.45%, 11/1/37			53,000				67,441
Viacom, Inc. 4.25%, 9/1/23			100,000				102,697
3.88%, 4/1/24			101,000				100,978
6.88%, 4/30/36			235,000				280,702
4.38%, 3/15/43			180,000				161,993
5.85%, 9/1/43			150,000				164,379
5.25%, 4/1/44			30,000				30,608
Virginia Electric & Power Co. 3.50%, 3/15/27, Series A			150,000				149,156
6.00%, 5/15/37, Series A			400,000				501,730
6.35%, 11/30/37			50,000				65,773
Visa, Inc. 3.15%, 12/14/25			415,000				406,491
4.15%, 12/14/35			50,000				52,799
3.65%, 9/15/47			80,000				76,909
Voya Financial, Inc. 3.13%, 7/15/24			150,000				146,195
Wabtec Corp. 3.45%, 11/15/26			70,000				66,750
Walgreen Co. 3.10%, 9/15/22			42,000				41,317
Walgreens Boots Alliance, Inc. 2.70%, 11/18/19			90,000				89,704

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			67

---

Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
3.80%, 11/18/24		$	100,000			$	99,475
3.45%, 6/1/26			175,000				165,979
4.80%, 11/18/44			175,000				175,560
Walt Disney Co. (The) 3.00%, 2/13/26(c)			100,000				97,980
1.85%, 7/30/26			346,000				308,322
2.95%, 6/15/27(c)			145,000				139,933
4.13%, 12/1/41, Series E			4,000				4,143
3.70%, 12/1/42			15,000				14,646
3.00%, 7/30/46			25,000				21,292
Waste Management, Inc. 2.90%, 9/15/22			25,000				24,761
3.50%, 5/15/24			140,000				141,271
3.13%, 3/1/25			125,000				122,381
3.15%, 11/15/27			25,000				23,896
4.10%, 3/1/45			35,000				34,960
Wells Fargo & Co. 4.13%, 8/15/23			87,000				89,136
3.55%, 9/29/25			68,000				67,441
4.10%, 6/3/26			195,000				195,499
4.30%, 7/22/27			250,000				253,805
3.58%, 5/22/28, (3.584% fixed rate until 5/22/27; 3-month U.S. dollar London Interbank Offered Rate + 1.310% thereafter)(d)			250,000				244,499
5.61%, 1/15/44			220,000				254,112
4.65%, 11/4/44			140,000				142,865
3.90%, 5/1/45			50,000				48,196
4.75%, 12/7/46			200,000				207,376
Welltower, Inc. 4.13%, 4/1/19			325,000				328,652
4.00%, 6/1/25			270,000				272,710
4.25%, 4/1/26			120,000				122,792
6.50%, 3/15/41			6,000				7,602
Western Gas Partners L.P. 5.38%, 6/1/21(c)			73,000				76,451
5.45%, 4/1/44			50,000				51,200
Westlake Chemical Corp. 4.88%, 5/15/23			8,000				8,212
3.60%, 8/15/26			90,000				87,784
5.00%, 8/15/46			75,000				79,485
4.38%, 11/15/47			55,000				53,022
WestRock MWV LLC 8.20%, 1/15/30			10,000				13,592
WestRock RKT Co. 4.00%, 3/1/23			8,000				8,200
Weyerhaeuser Co. 3.25%, 3/15/23			8,000				7,953
6.95%, 10/1/27			75,000				91,171
7.38%, 3/15/32			65,000				85,715
Williams Partners L.P. 5.25%, 3/15/20			40,000				41,723
4.13%, 11/15/20			6,000				6,143
3.60%, 3/15/22			104,000				104,277
4.30%, 3/4/24			80,000				82,104
4.88%, 3/15/24			150,000				156,866
3.90%, 1/15/25			100,000				99,401
4.00%, 9/15/25			150,000				149,773
4.90%, 1/15/45			210,000				211,640
5.10%, 9/15/45			50,000				51,905
WR Berkley Corp. 4.75%, 8/1/44			8,000				8,273
WW Grainger, Inc. 4.20%, 5/15/47			150,000				151,856
Wyndham Worldwide Corp. 4.50%, 4/1/27			350,000				348,364
Xerox Corp. 3.80%, 5/15/24			2,000				1,976
6.75%, 12/15/39			113,000				121,700
Zimmer Biomet Holdings, Inc. 3.38%, 11/30/21			6,000				5,982
3.55%, 4/1/25			229,000				222,428
Zoetis, Inc. 3.00%, 9/12/27			45,000				42,303
4.70%, 2/1/43			25,000				26,646
3.95%, 9/12/47			25,000				23,789
TOTAL CORPORATE BONDS (Cost: $159,747,379)							156,370,131
FOREIGN CORPORATE BONDS – 7.7%
Australia – 0.1%
BHP Billiton Finance USA Ltd. 4.13%, 2/24/42			100,000				103,109
5.00%, 9/30/43			115,000				132,750
Total Australia							235,859
Belgium – 0.5%
Anheuser-Busch InBev Finance, Inc. 3.65%, 2/1/26			480,000				475,921
4.70%, 2/1/36			200,000				210,802
4.90%, 2/1/46			453,000				484,963
Anheuser-Busch InBev Worldwide, Inc. 8.20%, 1/15/39			150,000				225,858
4.44%, 10/6/48			36,000				36,320
Koninklijke Ahold Delhaize N.V. 5.70%, 10/1/40			310,000				350,814
Total Belgium							1,784,678
Brazil – 0.3%
Embraer Netherlands Finance B.V. 5.05%, 6/15/25			20,000				20,840
5.40%, 2/1/27			100,000				106,125
Embraer S.A. 5.15%, 6/15/22			80,000				84,160
Fibria Overseas Finance Ltd. 5.25%, 5/12/24			200,000				209,500
Vale Overseas Ltd. 6.25%, 8/10/26			90,000				101,718
6.88%, 11/21/36			200,000				241,500
6.88%, 11/10/39			105,000				127,838
Vale S.A. 5.63%, 9/11/42			100,000				108,100
Total Brazil							999,781

 

See Notes to Financial Statements.

 

68		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

---

Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Canada – 1.4%
Bank of Nova Scotia (The)
4.65%, 10/12/22, (4.650% fixed rate until 10/12/22; 3-month U.S. dollar London Interbank Offered Rate + 2.648% thereafter)(d)(e)		$	300,000			$	291,187
Barrick Gold Corp. 5.25%, 4/1/42			56,000				62,831
Barrick North America Finance LLC 5.70%, 5/30/41			100,000				116,734
5.75%, 5/1/43			70,000				83,601
Brookfield Asset Management, Inc. 4.00%, 1/15/25			110,000				110,300
Brookfield Finance, Inc. 4.70%, 9/20/47			55,000				53,512
Canadian National Railway Co. 2.95%, 11/21/24			40,000				39,424
Canadian Natural Resources Ltd. 3.45%, 11/15/21			15,000				15,150
2.95%, 1/15/23			25,000				24,458
3.90%, 2/1/25			60,000				59,771
3.85%, 6/1/27			325,000				320,140
6.50%, 2/15/37			4,000				4,904
6.25%, 3/15/38			177,000				213,995
4.95%, 6/1/47			35,000				36,445
Canadian Pacific Railway Co. 4.80%, 8/1/45			75,000				84,164
Cenovus Energy, Inc. 4.25%, 4/15/27			145,000				141,956
6.75%, 11/15/39			126,000				144,917
Enbridge, Inc. 2.90%, 7/15/22			130,000				126,149
4.00%, 10/1/23			50,000				51,110
3.70%, 7/15/27			220,000				212,646
4.50%, 6/10/44			8,000				7,846
Encana Corp. 3.90%, 11/15/21			30,000				30,550
6.50%, 8/15/34			120,000				142,918
Fortis, Inc. 3.06%, 10/4/26			170,000				158,291
Goldcorp, Inc. 3.70%, 3/15/23			128,000				128,975
5.45%, 6/9/44			25,000				28,439
Magna International, Inc. 4.15%, 10/1/25			100,000				102,904
Manulife Financial Corp. 4.15%, 3/4/26			340,000				348,014
Methanex Corp. 4.25%, 12/1/24			6,000				5,991
Nexen Energy ULC 6.40%, 5/15/37			75,000				93,094
Petro-Canada 6.80%, 5/15/38			150,000				199,374
Potash Corp. of Saskatchewan, Inc. 3.63%, 3/15/24			24,000				24,067
Rogers Communications, Inc. 5.00%, 3/15/44			100,000				109,866
4.30%, 2/15/48			200,000				198,629
Royal Bank of Canada 4.65%, 1/27/26			155,000				160,932
Suncor Energy, Inc. 3.60%, 12/1/24			50,000				49,862
6.50%, 6/15/38			250,000				321,657
6.85%, 6/1/39			100,000				135,159
TELUS Corp. 3.70%, 9/15/27			120,000				118,183
Thomson Reuters Corp. 5.65%, 11/23/43			25,000				28,139
Toronto-Dominion Bank (The)
3.63%, 9/15/31, (3.625% fixed rate until 9/15/26; 5-year U.S. dollar Swap Rate + 2.205% thereafter)(d)			80,000				76,982
TransAlta Corp. 6.50%, 3/15/40			150,000				149,684
TransCanada PipeLines Ltd. 3.75%, 10/16/23			170,000				174,171
5.85%, 3/15/36			125,000				149,719
Yamana Gold, Inc. 4.63%, 12/15/27(b)			25,000				24,557
Total Canada							5,161,397
China – 0.2%
Alibaba Group Holding Ltd. 3.60%, 11/28/24(c)			200,000				199,785
3.40%, 12/6/27			200,000				191,081
CNOOC Nexen Finance 2014 ULC 4.25%, 4/30/24			200,000				204,322
Total China							595,188
Colombia – 0.2%
Ecopetrol S.A. 5.88%, 9/18/23			125,000				135,781
4.13%, 1/16/25			150,000				147,150
5.38%, 6/26/26			100,000				105,850
7.38%, 9/18/43			100,000				119,345
5.88%, 5/28/45			100,000				100,675
Total Colombia							608,801
France – 0.0%
BNP Paribas 3.25%, 3/3/23			13,000				12,953
Orange S.A. 9.00%, 3/1/31			100,000				147,816
Total France							160,769
Germany – 0.2%
Daimler Finance North America LLC 8.50%, 1/18/31			80,000				116,848
Deutsche Bank AG 2.85%, 5/10/19			102,000				101,865
3.38%, 5/12/21			130,000				129,416
4.10%, 1/13/26			75,000				73,530

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			69

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Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Deutsche Telekom International Finance B.V. 8.75%, 6/15/30		$	211,000			$	301,430
Total Germany							723,089
Ireland – 0.0%
XLIT Ltd. 6.38%, 11/15/24			4,000				4,591
4.45%, 3/31/25			10,000				10,113
5.50%, 3/31/45			150,000				158,670
Total Ireland							173,374
Japan – 0.5%
Beam Suntory, Inc. 3.25%, 5/15/22			35,000				34,758
Mitsubishi UFJ Financial Group, Inc. 3.85%, 3/1/26			450,000				453,547
3.29%, 7/25/27			25,000				24,008
Nomura Holdings, Inc. 2.75%, 3/19/19			8,000				8,003
6.70%, 3/4/20			80,000				85,801
ORIX Corp. 3.25%, 12/4/24			330,000				320,946
3.70%, 7/18/27			80,000				78,116
Sumitomo Mitsui Banking Corp. 3.95%, 1/10/24			500,000				513,789
Sumitomo Mitsui Financial Group, Inc. 2.63%, 7/14/26			180,000				165,309
3.45%, 1/11/27			80,000				77,894
3.36%, 7/12/27			8,000				7,719
3.54%, 1/17/28			300,000				293,163
Total Japan							2,063,053
Mexico – 0.8%
America Movil S.A.B. de C.V. 6.38%, 3/1/35			100,000				121,539
6.13%, 11/15/37			10,000				11,991
Grupo Televisa S.A.B. 5.00%, 5/13/45			200,000				191,200
Petroleos Mexicanos 8.00%, 5/3/19			235,000				248,653
3.50%, 7/23/20			200,000				200,680
5.50%, 1/21/21			200,000				209,550
6.38%, 2/4/21			40,000				42,840
4.50%, 1/23/26(c)			300,000				291,000
6.88%, 8/4/26			175,000				192,483
6.50%, 3/13/27(b)			405,000				433,399
6.63%, 6/15/35			335,000				347,730
6.50%, 6/2/41			250,000				250,562
5.50%, 6/27/44			275,000				247,090
6.38%, 1/23/45			60,000				58,350
5.63%, 1/23/46			275,000				246,922
6.75%, 9/21/47			100,000				101,937
Total Mexico							3,195,926
Netherlands – 0.3%
AerCap Ireland Capital DAC 4.25%, 7/1/20			150,000				153,236
4.63%, 10/30/20			150,000				155,064
5.00%, 10/1/21			150,000				157,289
3.95%, 2/1/22			150,000				151,618
3.65%, 7/21/27			150,000				141,410
Cooperatieve Rabobank UA 4.63%, 12/1/23			250,000				261,271
ING Groep N.V. 3.95%, 3/29/27			200,000				199,879
Total Netherlands							1,219,767
Norway – 0.1%
Statoil ASA 2.65%, 1/15/24			26,000				25,235
7.25%, 9/23/27			75,000				97,160
5.10%, 8/17/40			100,000				115,601
3.95%, 5/15/43			45,000				44,665
4.80%, 11/8/43			125,000				141,069
Total Norway							423,730
Peru – 0.1%
Southern Copper Corp. 3.88%, 4/23/25			165,000				165,928
5.25%, 11/8/42			149,000				159,463
5.88%, 4/23/45			145,000				167,421
Total Peru							492,812
Spain – 0.4%
Banco Santander S.A. 4.25%, 4/11/27			800,000				800,344
Telefonica Emisiones SAU 5.88%, 7/15/19			51,000				53,095
5.46%, 2/16/21			10,000				10,655
4.57%, 4/27/23			470,000				497,897
7.05%, 6/20/36			100,000				127,331
Telefonica Europe B.V. 8.25%, 9/15/30			125,000				171,297
Total Spain							1,660,619
Switzerland – 0.2%
Credit Suisse AG 5.40%, 1/14/20			100,000				104,023
3.63%, 9/9/24			250,000				249,485
Credit Suisse Group Funding Guernsey Ltd. 3.75%, 3/26/25			300,000				296,593
4.88%, 5/15/45			250,000				265,355
Tyco Electronics Group S.A. 3.13%, 8/15/27			20,000				19,388
Total Switzerland							934,844
United Kingdom – 2.4%
AstraZeneca PLC 3.38%, 11/16/25			380,000				374,528
6.45%, 9/15/37			50,000				64,103
4.38%, 11/16/45			170,000				172,445
Barclays PLC 4.38%, 9/11/24			300,000				294,970
4.38%, 1/12/26			200,000				200,831
5.20%, 5/12/26			350,000				356,061
5.25%, 8/17/45			200,000				215,442

 

See Notes to Financial Statements.

 

70		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
BAT Capital Corp. 3.56%, 8/15/27(b)		$	175,000			$	167,157
4.39%, 8/15/37(b)			200,000				197,564
4.54%, 8/15/47(b)			125,000				122,064
BP Capital Markets PLC 3.22%, 11/28/23			193,000				192,068
3.22%, 4/14/24			25,000				24,818
3.54%, 11/4/24			160,000				160,928
3.51%, 3/17/25			275,000				274,872
3.12%, 5/4/26			125,000				121,093
3.02%, 1/16/27			300,000				286,296
3.59%, 4/14/27			135,000				134,513
3.72%, 11/28/28			210,000				211,269
British Telecommunications PLC 9.13%, 12/15/30			100,000				145,901
CNH Industrial N.V. 3.85%, 11/15/27			25,000				24,252
Diageo Capital PLC 2.63%, 4/29/23			105,000				101,975
Diageo Investment Corp. 4.25%, 5/11/42			200,000				207,163
GlaxoSmithKline Capital, Inc. 5.38%, 4/15/34			25,000				29,322
6.38%, 5/15/38			125,000				166,205
4.20%, 3/18/43			11,000				11,478
HSBC Holdings PLC 3.60%, 5/25/23			500,000				502,981
4.25%, 8/18/25			658,000				656,189
4.30%, 3/8/26			400,000				412,499
4.04%, 3/13/28, (4.041% fixed rate until 3/13/27; 3-month U.S. dollar London Interbank Offered Rate + 1.546% thereafter)(d)			250,000				251,147
6.50%, 9/15/37			200,000				250,125
Lloyds Banking Group PLC 4.65%, 3/24/26			200,000				203,719
3.57%, 11/7/28, (3.574% fixed rate until 11/7/27; 3-month U.S. dollar London Interbank Offered Rate + 1.205% thereafter)(d)			300,000				285,838
5.30%, 12/1/45			200,000				219,659
Mead Johnson Nutrition Co. 5.90%, 11/1/39			10,000				11,961
Reynolds American, Inc. 6.15%, 9/15/43			200,000				242,455
Rio Tinto Finance USA Ltd. 3.75%, 6/15/25			477,000				486,598
7.13%, 7/15/28			48,000				62,138
Rio Tinto Finance USA PLC 4.13%, 8/21/42			12,000				12,317
Santander UK Group Holdings PLC 3.13%, 1/8/21			55,000				54,775
Santander UK PLC 4.00%, 3/13/24			3,000				3,062
Unilever Capital Corp. 3.10%, 7/30/25			208,000				204,259
Vodafone Group PLC 5.45%, 6/10/19			165,000				170,596
2.50%, 9/26/22			40,000				38,815
2.95%, 2/19/23			285,000				279,766
6.25%, 11/30/32			125,000				147,754
6.15%, 2/27/37			150,000				179,764
4.38%, 2/19/43			125,000				119,482
WPP Finance PLC 3.63%, 9/7/22			6,000				6,061
3.75%, 9/19/24			125,000				125,197
5.63%, 11/15/43			12,000				13,362
Total United Kingdom							9,197,837
TOTAL FOREIGN CORPORATE BONDS (Cost: $29,923,636)							29,631,524
FOREIGN GOVERNMENT AGENCIES – 0.2%
Canada – 0.0%
Province of Manitoba Canada 3.05%, 5/14/24			25,000				24,867
Japan – 0.2%
Japan Bank for International Cooperation 2.13%, 2/10/25, Series DTC			200,000				187,059
2.88%, 6/1/27			350,000				340,570
Total Japan							527,629
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $573,193)							552,496
FOREIGN GOVERNMENT OBLIGATIONS – 3.1%
Chile – 0.3%
Chile Government International Bond 3.13%, 1/21/26			300,000				295,800
3.24%, 2/6/28			845,000				818,805
Total Chile							1,114,605
Colombia – 0.5%
Colombia Government International Bond 7.38%, 3/18/19			100,000				104,750
11.75%, 2/25/20			10,000				11,705
4.00%, 2/26/24			360,000				362,250
4.50%, 1/28/26			300,000				309,263
3.88%, 4/25/27			500,000				487,625
7.38%, 9/18/37			325,000				416,487
6.13%, 1/18/41			180,000				205,470
5.00%, 6/15/45			200,000				199,500
Total Colombia							2,097,050
Hungary – 0.1%
Hungary Government International Bond 5.38%, 2/21/23			36,000				38,992
5.38%, 3/25/24			200,000				218,872
Total Hungary							257,864
Israel – 0.1%
Israel Government International Bond 3.15%, 6/30/23			200,000				199,747

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			71

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Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Italy – 0.1%
Republic of Italy Government International Bond 6.88%, 9/27/23		$	260,000			$	303,394
5.38%, 6/15/33			150,000				172,323
Total Italy							475,717
Mexico – 0.6%
Mexico Government International Bond 3.63%, 3/15/22			210,000				213,465
4.00%, 10/2/23			182,000				185,799
3.60%, 1/30/25			425,000				416,925
4.15%, 3/28/27			200,000				199,950
7.50%, 4/8/33, Series MTNA			200,000				265,750
6.75%, 9/27/34, Series MTNA			40,000				50,020
6.05%, 1/11/40			308,000				347,655
4.75%, 3/8/44			272,000				262,480
5.55%, 1/21/45			185,000				198,459
5.75%, 10/12/2110			250,000				253,750
Total Mexico							2,394,253
Panama – 0.2%
Panama Government International Bond 8.88%, 9/30/27			185,000				259,925
4.50%, 5/15/47			300,000				306,150
4.30%, 4/29/53			200,000				197,700
Total Panama							763,775
Peru – 0.3%
Peruvian Government International Bond 7.13%, 3/30/19			455,000				477,977
7.35%, 7/21/25			110,000				137,390
4.13%, 8/25/27			75,000				77,888
8.75%, 11/21/33			135,000				204,187
6.55%, 3/14/37			60,000				77,730
5.63%, 11/18/50			290,000				347,275
Total Peru							1,322,447
Philippines – 0.5%
Philippine Government International Bond 4.20%, 1/21/24			200,000				208,912
10.63%, 3/16/25			127,000				182,984
3.00%, 2/1/28			400,000				375,971
9.50%, 2/2/30			157,000				236,752
6.38%, 1/15/32			100,000				124,219
3.95%, 1/20/40			200,000				195,847
3.70%, 3/1/41			500,000				471,422
Total Philippines							1,796,107
Poland – 0.2%
Republic of Poland Government International Bond 3.00%, 3/17/23			140,000				138,604
4.00%, 1/22/24			230,000				238,483
3.25%, 4/6/26			390,000				385,624
Total Poland							762,711
Uruguay – 0.2%
Uruguay Government International Bond 8.00%, 11/18/22			80,000				93,724
4.50%, 8/14/24			95,000				100,558
4.38%, 10/27/27			300,000				310,222
4.13%, 11/20/45			150,000				142,125
Total Uruguay							646,629
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $12,051,201)							11,830,905
COMMERCIAL MORTGAGE-BACKED SECURITIES – 6.9%
United States – 6.9%
Banc of America Commercial Mortgage Trust
3.12%, 2/15/50, Series 2017-BNK3, Class A2			200,000				200,094
3.37%, 2/15/50, Series 2017-BNK3, Class ASB			500,000				500,355
Citigroup Commercial Mortgage Trust
2.94%, 4/10/48, Series 2015-GC29, Class A3			65,000				63,142
3.76%, 6/10/48, Series 2015-GC31, Class A4			340,116				347,847
3.62%, 2/10/49, Series 2016-GC36, Class A5			500,000				504,481
3.46%, 12/10/49, Series 2016-P6, Class A4			500,000				499,165
3.52%, 9/10/58, Series 2015-GC33, Class AAB			300,000				303,922
Commercial Mortgage Pass Through Certificates
3.53%, 2/10/49, Series 2016-CR28, Class ASB			400,000				404,629
3.02%, 6/15/60, Series 2017-BNK5, Class A3			500,000				489,805
3.39%, 6/15/60, Series 2017-BNK5, Class A5			190,000				188,354
Commercial Mortgage Trust
3.92%, 8/10/46, Series 2013-CR10, Class A3			100,000				103,233
4.05%, 10/10/46, Series 2013-CR12, Class A4			500,000				518,177
4.19%, 11/10/46, Series 2013-CR13, Class A4^(d)			500,000				521,992
3.50%, 8/10/47, Series 2014-CR19, Class ASB			300,000				304,171
2.80%, 11/10/47, Series 2014-CR20, Class A2			375,000				376,034
3.59%, 11/10/47, Series 2014-CR20, Class A4			500,000				505,263
3.50%, 5/10/48, Series 2015-CR23, Class A4			50,000				50,176
CSAIL Commercial Mortgage Trust
3.76%, 11/15/48, Series 2016-C5, Class A5			500,000				509,609
3.81%, 11/15/48, Series 2015-C4, Class A4			750,000				766,854
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates
1.87%, 11/25/19, Series K712, Class A2			24,198				23,972
3.53%, 6/25/20, Series K008, Class A2			290,601				295,982
2.57%, 9/25/20, Series K504, Class A2^(d)			550,000				549,592

 

See Notes to Financial Statements.

 

72		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
3.03%, 10/25/20, Series K714, Class A2^(d)		$	200,000			$	201,322
4.33%, 10/25/20, Series K010, Class A2^(d)			150,000				155,530
4.18%, 12/25/20, Series K012, Class A2^(d)			50,000				51,903
2.86%, 1/25/21, Series K715, Class A2			60,000				60,109
3.97%, 1/25/21, Series K013, Class A2^(d)			200,000				206,563
2.87%, 12/25/21, Series K017, Class A2			50,000				50,080
2.51%, 11/25/22, Series K026, Class A2			250,000				245,580
2.62%, 3/25/23, Series K035, Class A1			160,699				160,142
3.30%, 4/25/23, Series K031, Class A2^(d)			370,000				375,918
3.06%, 8/25/24, Series K728, Class A2^(d)			500,000				500,271
2.67%, 12/25/24, Series K042, Class A2			160,000				156,147
3.06%, 12/25/24, Series K043, Class A2			199,000				199,588
3.02%, 1/25/25, Series K045, Class A2			55,000				54,821
3.16%, 5/25/25, Series KS03, Class A4^(d)			50,000				49,625
3.33%, 5/25/25, Series K047, Class A2^(d)			200,000				202,759
3.01%, 7/25/25, Series K049, Class A2			360,000				357,562
3.15%, 11/25/25, Series K052, Class A2			125,000				125,008
2.34%, 7/25/26, Series K058, Class A1			388,608				374,580
3.36%, 11/25/27, Series K071, Class AM^(d)			200,000				200,222
Federal National Mortgage Association Alternative Credit Enhancement Securities
2.17%, 9/25/19, Series 2014-M10, Class ASQ2^(d)			22,457				22,345
2.73%, 10/25/21, Series 2012-M1, Class A2			500,000				497,387
2.72%, 2/25/22, Series 2012-M2, Class A2			553,000				550,613
2.38%, 5/25/22, Series 2012-M13, Class A2			80,000				78,315
2.30%, 9/25/22, Series 2012-M14, Class A2^(d)			50,000				48,730
2.52%, 4/25/23, Series 2013-M14, Class APT^(d)			123,166				120,860
3.33%, 10/25/23, Series 2013-M14, Class A2^(d)			100,000				101,015
3.47%, 1/25/24, Series 2014-M3, Class A2^(d)			110,000				112,719
3.10%, 7/25/24, Series 2014-M9, Class A2^(d)			596,000				597,991
2.30%, 10/25/24, Series 2015-M3, Class A1			354,555				348,752
2.72%, 10/25/24, Series 2015-M3, Class A2			250,000				244,821
2.14%, 5/25/26, Series 2016-M6, Class A1			188,948				182,298
2.00%, 6/25/26, Series 2016-M9, Class A1			469,627				452,555
2.50%, 9/25/26, Series 2016-M7, Class A2			190,000				179,535
2.42%, 10/25/26, Series 2017-M1, Class A2^(d)			500,000				469,807
2.79%, 2/25/27, Series 2017-M2, Class A2^(d)			1,000,000				966,077
3.14%, 11/25/27, Series 2017-M15, Class ATS2^(d)			500,000				493,765
3.30%, 4/25/29, Series 2017-M5, Class A2			64,000				63,046
GS Mortgage Securities Trust
4.24%, 8/10/46, Series 2013-GC14, Class A5			85,000				89,140
3.68%, 4/10/47, Series 2014-GC20, Class A3			84,008				85,106
4.00%, 4/10/47, Series 2014-GC20, Class A5			250,000				258,847
3.86%, 6/10/47, Series 2014-GC22, Class A5			70,000				72,097
3.67%, 9/10/47, Series 2014-GC24, Class A4			300,000				305,824
2.85%, 10/10/49, Series 2016-GS3, Class A4			182,000				173,863
3.44%, 11/10/49, Series 2016-GS4, Class A4^(d)			265,000				264,589
2.73%, 5/10/50, Series 2015-GC30, Class A2			100,000				99,465
JP Morgan Chase Commercial Mortgage Securities Trust
3.41%, 1/15/46, Series 2013-C13, Class ASB			171,685				173,933
2.61%, 12/15/47, Series 2012-LC9, Class A4			100,000				98,860
3.46%, 3/15/50, Series 2017-JP5, Class A4			400,000				399,284
JPMBB Commercial Mortgage Securities Trust
3.66%, 7/15/45, Series 2013-C12, Class A5			100,000				102,105
4.13%, 8/15/46, Series 2013-C14, Class A4^(d)			95,000				99,107
3.93%, 1/15/47, Series 2013-C17, Class A3			250,000				257,916
4.00%, 4/15/47, Series 2014-C19, Class A4			200,000				207,937
3.29%, 1/15/48, Series 2014-C26, Class ASB			150,000				151,080
3.60%, 11/15/48, Series 2015-C32, Class A5			1,000,000				1,009,929
JPMDB Commercial Mortgage Securities Trust
3.41%, 3/15/50, Series 2017-C5, Class A4			550,000				547,948
Morgan Stanley Bank of America Merrill Lynch Trust
3.48%, 11/15/45, Series 2012-C6, Class AS			100,000				100,025
3.53%, 12/15/47, Series 2014-C19, Class A4			365,167				368,500
3.07%, 2/15/48, Series 2015-C20, Class ASB			250,000				249,013
3.25%, 2/15/48, Series 2015-C20, Class A4			200,000				198,033
3.31%, 4/15/48, Series 2015-C22, Class A4			95,000				94,560
3.72%, 7/15/50, Series 2015-C23, Class A4			175,000				177,764

 

See Notes to Financial Statements.

 

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Table of Contents

Schedule of Investments (unaudited) (concluded)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Morgan Stanley Capital I Trust
3.77%, 3/15/45, Series 2012-C4, Class AS		$	280,000			$	282,329
3.26%, 6/15/50, Series 2017-H1, Class A4			500,000				491,255
UBS Commercial Mortgage Trust 3.68%, 12/15/50, Series 2017-C7, Class A4			250,000				251,910
Wells Fargo Commercial Mortgage Trust
2.92%, 10/15/45, Series 2012-LC5, Class A3			199,847				197,813
3.64%, 6/15/48, Series 2015-C29, Class A4			250,000				253,259
3.70%, 11/15/48, Series 2015-C31, Class A4			100,000				101,633
2.92%, 11/15/49, Series 2016-NXS6, Class A4			265,000				254,039
3.82%, 8/15/50, Series 2014-LC16, Class A5			256,000				262,746
3.58%, 10/15/50, Series 2017-C40, Class A4			200,000				201,059
WFRBS Commercial Mortgage Trust
2.88%, 12/15/45, Series 2012-C10, Class A3			500,000				493,504
4.15%, 8/15/46, Series 2013-C15, Class A4^(d)			200,000				208,989
4.42%, 9/15/46, Series 2013-C16, Class A5			100,000				105,696
3.03%, 12/15/46, Series 2013-C18, Class A2			24,804				24,873
4.02%, 12/15/46, Series 2013-C17, Class A4			60,000				62,242
4.10%, 3/15/47, Series 2014-C19, Class A5			25,000				26,053
3.41%, 8/15/47, Series 2014-C21, Class A4			225,000				226,204
3.43%, 11/15/47, Series 2014-C25, Class A3			40,000				40,458
3.63%, 11/15/47, Series 2014-C25, Class A5			100,000				101,481
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost: $27,126,475)							26,455,678
MUNICIPAL BONDS – 0.3%
United States – 0.3%
Alameda Corridor Transportation Authority 6.60%, 10/1/29, Series C			50,000				60,415
Chicago O’Hare International Airport 6.40%, 1/1/40, Class B			35,000				46,541
Municipal Electric Authority of Georgia 6.64%, 4/1/57			70,000				85,954
6.66%, 4/1/57			65,000				79,210
Nashville Health and Educational Facilities Board 4.05%, 7/1/26			100,000				103,038
New Jersey Turnpike Authority 7.41%, 1/1/40			100,000				147,089
7.10%, 1/1/41			15,000				21,381
North Texas Tollway Authority 6.72%, 1/1/49			55,000				79,125
State of Illinois 4.95%, 6/1/23			310,000				319,886
5.10%, 6/1/33			220,000				207,777
TOTAL MUNICIPAL BONDS (Cost: $1,190,129)							1,150,416
		Shares
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 0.2%
United States – 0.2%
State Street Navigator Securities Lending Government Money Market Portfolio, 1.38%(f)
(Cost: $935,215)(g)			935,215				935,215
TOTAL INVESTMENTS IN SECURITIES – 99.5% (Cost: $388,821,042)							381,532,613
Other Assets less Liabilities – 0.5%							2,066,573
NET ASSETS – 100.0%						$	383,599,186

^	Variable coupon rate based on weighted average interest rate of underlying mortgage.

 

(a)	To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing.

 

(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)	Security, or portion thereof, was on loan at February 28, 2018 (See Note 2).

 

(d)	Rate shown reflects the accrual rate as of February 28, 2018 on securities with variable or step rates.

 

(e)	The security has a perpetual maturity; the date displayed is the next call date.

 

(f)	Rate shown represents annualized 7-day yield as of February 28, 2018.

 

(g)	At February 28, 2018, the total market value of the Fund’s securities on loan was $907,003 and the total market value of the collateral held by the Fund was $935,215.

 

See Notes to Financial Statements.

 

74		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
U.S. GOVERNMENT AGENCIES – 3.8%
Federal Home Loan Mortgage Corporation – 0.6%
Federal Home Loan Mortgage Corp. 3.50%, 3/1/33(a)		$	164,000			$	166,817
Federal National Mortgage Association – 3.2%
Federal National Mortgage Association 2.50%, 3/1/33(a)			968,000				943,951
TOTAL U.S. GOVERNMENT AGENCIES (Cost: $1,122,913)							1,110,768
U.S. GOVERNMENT OBLIGATIONS – 27.3%
U.S. Treasury Bills – 5.1%
U.S. Treasury Bills 1.21%, 3/8/18*			1,100,000				1,099,749
1.36%, 3/22/18*			400,000				399,686
Total U.S. Treasury Bills							1,499,435
U.S. Treasury Notes – 22.2%
U.S. Treasury Note 0.75%, 8/15/19			1,000,300				979,825
2.25%, 2/29/20			204,000				203,960
1.50%, 6/15/20			559,000				548,715
1.50%, 7/15/20			699,200				685,749
2.25%, 2/15/21			1,390,000				1,383,457
2.00%, 2/28/21			692,500				683,871
1.13%, 8/31/21			718,500				685,101
1.50%, 1/31/22			392,700				377,123
1.88%, 7/31/22			691,100				669,719
2.63%, 2/28/23			303,000				302,651
Total U.S. Treasury Notes							6,520,171
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $8,064,810)							8,019,606
CORPORATE BONDS – 51.1%
United States – 51.1%
AbbVie, Inc. 2.50%, 5/14/20			148,000				146,754
Air Lease Corp. 2.13%, 1/15/20			169,000				166,695
American Express Credit Corp. 2.60%, 9/14/20, Series F			24,000				23,787
2.25%, 5/5/21			76,000				74,196
American International Group, Inc. 4.88%, 6/1/22			160,000				169,655
Amgen, Inc. 2.20%, 5/22/19			47,000				46,784
3.88%, 11/15/21			49,000				50,206
Anthem, Inc. 2.25%, 8/15/19			206,000				204,543
Aon PLC 2.80%, 3/15/21			364,000				360,815
AT&T, Inc. 3.00%, 2/15/22			387,000				382,710
3.20%, 3/1/22			176,000				175,066
Bank of America Corp. 5.63%, 7/1/20			90,000				95,504
3.00%, 12/20/23, (3.004% fixed rate until 12/20/22; 3-month U.S. dollar London Interbank Offered Rate + 0.790% thereafter)(b)(c)			398,000				389,857
Bank of New York Mellon Corp. (The) 2.05%, 5/3/21			101,000				98,084
BB&T Corp. 2.05%, 5/10/21			41,000				39,836
Becton Dickinson and Co. 2.68%, 12/15/19			395,000				393,715
2.89%, 6/6/22			284,000				276,945
Berkshire Hathaway Finance Corp. 4.25%, 1/15/21			3,000				3,122
3.00%, 5/15/22			120,000				120,189
Capital One Financial Corp. 4.75%, 7/15/21			114,000				119,551
Celgene Corp. 2.88%, 8/15/20			93,000				92,814
3.25%, 8/15/22			209,000				208,148
Citigroup, Inc. 2.50%, 7/29/19			389,000				387,669
2.65%, 10/26/20			145,000				143,570
Coca-Cola Co. (The) 1.88%, 10/27/20			60,000				58,868
3.30%, 9/1/21			59,000				59,891
Comcast Corp. 3.13%, 7/15/22			18,000				17,999
Delta Air Lines, Inc. 2.60%, 12/4/20			397,000				392,098
Discovery Communications LLC 5.05%, 6/1/20			164,000				171,024
Dow Chemical Co. (The) 4.25%, 11/15/20			94,000				96,899
4.13%, 11/15/21			165,000				170,912
Ecolab, Inc. 4.35%, 12/8/21			104,000				108,720
Enterprise Products Operating LLC 2.55%, 10/15/19			98,000				97,583
Exelon Generation Co. LLC 4.00%, 10/1/20			167,000				170,606
Express Scripts Holding Co. 4.75%, 11/15/21			222,000				232,679
Exxon Mobil Corp. 2.40%, 3/6/22			36,000				35,269
FedEx Corp. 2.63%, 8/1/22			10,000				9,817
Fidelity National Information Services, Inc. 3.63%, 10/15/20			51,000				51,761
General Mills, Inc. 2.60%, 10/12/22			200,000				193,391
General Motors Financial Co., Inc. 3.45%, 4/10/22			154,000				153,134
3.15%, 6/30/22			36,000				35,198
Goldman Sachs Group, Inc. (The) 5.75%, 1/24/22			239,000				259,345
Hartford Financial Services Group, Inc. (The) 5.13%, 4/15/22			57,000				60,944

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			75

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Table of Contents

Schedule of Investments (unaudited) (continued)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Hewlett Packard Enterprise Co. 3.60%, 10/15/20		$	213,000			$	215,576
HP, Inc. 4.65%, 12/9/21			163,000				170,645
Huntington Bancshares, Inc. 3.15%, 3/14/21			80,000				80,292
Ingredion, Inc. 4.63%, 11/1/20			179,000				185,847
Intercontinental Exchange, Inc. 2.75%, 12/1/20			44,000				43,815
JPMorgan Chase & Co. 2.25%, 1/23/20			53,000				52,513
4.63%, 5/10/21			36,000				37,739
2.30%, 8/15/21			36,000				35,077
4.35%, 8/15/21			56,000				58,241
4.50%, 1/24/22			268,000				280,376
KeyCorp 2.90%, 9/15/20			67,000				66,912
Kraft Heinz Foods Co. 3.50%, 6/6/22			102,000				102,187
L3 Technologies, Inc. 5.20%, 10/15/19			93,000				96,348
Marsh & McLennan Cos., Inc. 2.75%, 1/30/22			200,000				196,886
McDonald’s Corp. 2.75%, 12/9/20			600,000				599,541
Medtronic, Inc. 3.15%, 3/15/22			79,000				79,153
Merck & Co., Inc. 3.88%, 1/15/21			200,000				206,411
Microsoft Corp. 3.00%, 10/1/20			60,000				60,711
2.00%, 11/3/20			60,000				59,067
2.38%, 2/12/22			250,000				245,141
Morgan Stanley 5.50%, 7/28/21			80,000				85,863
4.88%, 11/1/22			258,000				272,266
Motorola Solutions, Inc. 3.75%, 5/15/22			299,000				299,591
Mylan, Inc. 2.55%, 3/28/19			70,000				69,782
Newell Brands, Inc. 3.15%, 4/1/21			5,000				4,953
Oracle Corp. 2.80%, 7/8/21			69,000				68,893
Packaging Corp. of America 2.45%, 12/15/20			147,000				145,003
PepsiCo, Inc. 2.15%, 10/14/20			51,000				50,285
Plains All American Pipeline L.P. 2.60%, 12/15/19			224,000				221,779
Primerica, Inc. 4.75%, 7/15/22			120,000				126,008
Progress Energy, Inc. 7.05%, 3/15/19			367,000				383,448
Republic Services, Inc. 5.50%, 9/15/19			74,000				77,191
Royal Caribbean Cruises Ltd. 2.65%, 11/28/20			135,000				133,248
Ryder System, Inc. 2.80%, 3/1/22			269,000				264,429
Sabine Pass Liquefaction LLC 6.25%, 3/15/22			232,000				253,284
Sempra Energy 2.40%, 3/15/20			173,000				171,318
Sherwin-Williams Co. (The) 2.75%, 6/1/22			49,000				47,829
Southern California Edison Co. 1.85%, 2/1/22			77,714				76,405
Southwest Airlines Co. 2.75%, 11/16/22			11,000				10,829
State Street Corp. 2.55%, 8/18/20			33,000				32,801
SunTrust Banks, Inc. 2.90%, 3/3/21			188,000				187,241
Synchrony Financial 3.00%, 8/15/19			85,000				85,073
Synovus Financial Corp. 3.13%, 11/1/22			345,000				337,469
Sysco Corp. 1.90%, 4/1/19			496,000				492,266
Target Corp. 2.90%, 1/15/22			73,000				73,114
Time Warner Cable LLC 4.00%, 9/1/21			176,000				177,802
Time Warner, Inc. 4.88%, 3/15/20			93,000				96,571
Toyota Motor Credit Corp. 1.90%, 4/8/21			92,000				89,407
U.S. Bancorp 2.35%, 1/29/21			48,000				47,306
2.95%, 7/15/22			29,000				28,712
United Parcel Service, Inc. 2.05%, 4/1/21			100,000				98,159
UnitedHealth Group, Inc. 2.70%, 7/15/20			63,000				62,961
Verizon Communications, Inc. 2.95%, 3/15/22			392,000				387,021
2.45%, 11/1/22			44,000				42,400
VMware, Inc. 2.30%, 8/21/20			396,000				386,337
Walgreen Co. 3.10%, 9/15/22			23,000				22,626
Wells Fargo & Co. 2.50%, 3/4/21			84,000				82,561
Zimmer Biomet Holdings, Inc. 2.70%, 4/1/20			113,000				112,156
TOTAL CORPORATE BONDS (Cost: $15,212,660)							15,023,218

 

See Notes to Financial Statements.

 

76		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited) (concluded)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
FOREIGN CORPORATE BONDS – 9.3%
Australia – 0.4%
BHP Billiton Finance USA Ltd. 3.25%, 11/21/21		$	106,000			$	107,065
Canada – 2.5%
Barrick North America Finance LLC 4.40%, 5/30/21			272,000				283,952
Canadian Imperial Bank of Commerce 2.55%, 6/16/22			102,000				99,389
Fortis, Inc. 2.10%, 10/4/21			369,000				355,092
Royal Bank of Canada 2.50%, 1/19/21			1,000				990
TransCanada PipeLines Ltd. 2.50%, 8/1/22			1,000				973
Total Canada							740,396
Chile – 0.3%
Celulosa Arauco y Constitucion S.A. 7.25%, 7/29/19			86,000				90,914
Germany – 0.3%
Deutsche Bank AG 2.50%, 2/13/19			92,000				91,635
Israel – 0.3%
Teva Pharmaceutical Finance Netherlands III B.V. 1.40%, 7/20/18			100,000				99,758
Japan – 2.6%
Mitsubishi UFJ Financial Group, Inc. 3.00%, 2/22/22			391,000				385,282
Sumitomo Mitsui Financial Group, Inc. 2.44%, 10/19/21			398,000				387,843
Total Japan							773,125
Netherlands – 0.7%
Shell International Finance B.V. 1.75%, 9/12/21			200,000				191,703
Peru – 0.7%
Southern Copper Corp. 3.50%, 11/8/22			208,000				208,240
United Kingdom – 1.5%
BAT Capital Corp. 2.76%, 8/15/22(b)			392,000				381,163
WPP Finance PLC 3.63%, 9/7/22			70,000				70,712
Total United Kingdom							451,875
TOTAL FOREIGN CORPORATE BONDS (Cost: $2,798,545)							2,754,711
FOREIGN GOVERNMENT OBLIGATIONS – 2.1%
Hungary – 0.8%
Hungary Government International Bond 6.25%, 1/29/20			95,000				101,044
6.38%, 3/29/21			118,000				129,025
Total Hungary							230,069
Mexico – 1.2%
Mexico Government International Bond 8.13%, 12/30/19			62,000				68,975
3.63%, 3/15/22			284,000				288,686
Total Mexico							357,661
Poland – 0.1%
Republic of Poland Government International Bond 5.13%, 4/21/21			26,000				27,682
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $622,794)							615,412
COMMERCIAL MORTGAGE-BACKED SECURITIES – 9.2%
United States – 9.2%
COMM Mortgage Trust
3.80%, 8/10/46, Series 2013-CR10, Class ASB			80,000				81,778
2.93%, 2/10/47, Series 2014-CR15, Class A2			38,618				38,743
3.04%, 11/10/49, Series 2016-CD2, Class A2			686,000				686,450
CSAIL Commercial Mortgage Trust 2.99%, 6/15/50, Series 2017-C8, Class A2			344,000				341,908
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates 4.18%, 12/25/20, Series K012, Class A2^(c)			150,000				155,709
2.79%, 1/25/22, Series K718, Class A2			300,000				299,304
JPMCC Commercial Mortgage Securities Trust 3.24%, 3/15/50, Series 2017-JP5, Class A2			680,000				684,948
Morgan Stanley Bank of America Merrill Lynch Trust
2.79%, 2/15/48, Series 2015-C20, Class A2			200,000				200,271
2.70%, 12/15/48, Series 2013-C8, Class ASB			49,998				49,700
Wells Fargo Commercial Mortgage Trust
2.53%, 10/15/45, Series 2012-LC5, Class ASB			46,155				45,890
2.63%, 5/15/48, Series 2015-NXS1, Class A2			69,000				68,923
WFRBS Commercial Mortgage Trust
2.45%, 12/15/45, Series 2012-C10, Class ASB			48,567				48,138
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES (Cost: $2,738,250)							2,701,762
TOTAL INVESTMENTS IN SECURITIES – 102.8% (Cost: $30,559,972)							30,225,477
Other Assets less Liabilities – (2.8)%							(826,626	)
NET ASSETS – 100.0%						$	29,398,851

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

 

^	Variable coupon rate based on weighted average interest rate of underlying mortgage.

 

(a)	To-be-announced (“TBA”) security (See Note 2). TBA securities are non-income producing.

 

(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 reflects the accrual rate as of February 28, 2018 on securities with variable or step rates.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			77

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Table of Contents

Schedule of Investments (unaudited)

WisdomTree Bloomberg Floating Rate Treasury Fund (USFR)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
U.S. GOVERNMENT OBLIGATIONS – 99.8%
U.S. Treasury Notes – 99.8%
U.S. Treasury Floating Rate Notes
1.72%, 4/30/19, (3-month U.S. Treasury Bill Money Market Yield + 0.07%)*		$	1,004,000			$	1,005,190
1.71%, 7/31/19, (3-month U.S. Treasury Bill Money Market Yield + 0.06%)*			1,007,000				1,008,350
1.70%, 10/31/19, (3-month U.S. Treasury Bill Money Market Yield + 0.048%)*			1,001,000				1,001,878
1.65%, 1/31/20, (3-month U.S. Treasury Bill Money Market Yield)*			733,000				732,875
TOTAL INVESTMENTS IN SECURITIES – 99.8% (Cost: $3,747,956)							3,748,293
Other Assets less Liabilities – 0.2%							9,008
NET ASSETS – 100.0%						$	3,757,301

*	Floating rate note. Coupon shown is in effect at February 28, 2018. Date represents the ultimate maturity date.

 

See Notes to Financial Statements.

 

78		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
FOREIGN CORPORATE BONDS – 91.0%
Argentina – 2.9%
Banco Macro S.A.
6.75%, 11/4/26, Reg S, (6.75% fixed rate until 11/4/21; 5-year U.S. dollar Swap Rate + 5.463% thereafter)(a)		$	750,000			$	764,062
YPF S.A. 8.75%, 4/4/24(b)(c)			630,000				701,663
Total Argentina							1,465,725
Brazil – 10.5%
Banco do Brasil S.A. 4.63%, 1/15/25(c)			750,000				735,937
Banco Safra S.A. 4.13%, 2/8/23(c)			450,000				445,725
Braskem Finance Ltd. 6.45%, 2/3/24			300,000				330,000
Fibria Overseas Finance Ltd. 4.00%, 1/14/25			500,000				492,663
Klabin Finance S.A. 4.88%, 9/19/27(c)			300,000				290,625
Marfrig Holdings Europe B.V. 8.00%, 6/8/23(c)			340,000				352,580
Minerva Luxembourg S.A. 5.88%, 1/19/28(c)			400,000				376,540
Petrobras Global Finance B.V. 5.75%, 2/1/29			1,000,000				962,450
5.63%, 5/20/43			200,000				172,000
6.85%, 6/5/2115			160,000				151,920
Rede D’or Finance Sarl 4.95%, 1/17/28(c)			475,000				460,750
Rumo Luxembourg Sarl 5.88%, 1/18/25(b)(c)			500,000				496,875
Total Brazil							5,268,065
Chile – 6.4%
Celulosa Arauco y Constitucion S.A. 3.88%, 11/2/27(c)			325,000				313,625
5.50%, 11/2/47(c)			325,000				331,094
Cencosud S.A. 4.88%, 1/20/23, Reg S			551,000				568,219
Colbun S.A. 3.95%, 10/11/27(c)			325,000				316,062
Empresa Nacional del Petroleo 4.50%, 9/14/47(c)			250,000				233,125
Inversiones CMPC S.A. 4.75%, 9/15/24, Reg S			500,000				516,875
SACI Falabella 3.75%, 10/30/27(c)			500,000				473,125
Telefonica Chile S.A. 3.88%, 10/12/22, Reg S			450,000				455,625
Total Chile							3,207,750
China – 5.0%
Alibaba Group Holding Ltd. 3.40%, 12/6/27			500,000				476,399
Bank of China Ltd. 5.00%, 11/13/24, Reg S			350,000				364,011
China Overseas Finance Cayman V Ltd. 3.95%, 11/15/22, Series A, Reg S			380,000				382,833
China Overseas Finance Cayman VI Ltd. 4.25%, 5/8/19, Reg S			350,000				354,594
CNOOC Finance 2013 Ltd. 3.00%, 5/9/23			500,000				484,687
Tencent Holdings Ltd. 3.60%, 1/19/28(c)			450,000				435,621
Total China							2,498,145
Colombia – 2.2%
Banco Bilbao Vizcaya Argentaria Colombia S.A. 4.88%, 4/21/25(b)(c)			720,000				738,000
Ecopetrol S.A. 5.88%, 5/28/45			390,000				392,145
Total Colombia							1,130,145
Hong Kong – 1.4%
Melco Resorts Finance Ltd. 4.88%, 6/6/25, Reg S			700,000				685,530
India – 6.9%
Bharti Airtel Ltd. 4.38%, 6/10/25, Reg S			1,000,000				985,625
ICICI Bank Ltd. 3.25%, 9/9/22, Series EMTN, Reg S			500,000				486,875
Reliance Industries Ltd. 3.67%, 11/30/27(b)(c)			1,000,000				951,297
Vedanta Resources PLC 6.38%, 7/30/22, Reg S			500,000				515,625
7.13%, 5/31/23, Reg S			500,000				531,761
Total India							3,471,183
Indonesia – 0.7%
Perusahaan Listrik Negara PT 4.13%, 5/15/27(c)			380,000				368,668
Israel – 3.2%
Israel Electric Corp., Ltd. 6.88%, 6/21/23, Reg S			500,000				568,125
4.25%, 8/14/28, Series GMTN, Reg S(c)			600,000				592,500
Teva Pharmaceutical Finance Netherlands III B.V. 2.80%, 7/21/23			250,000				218,500
3.15%, 10/1/26(b)			250,000				203,750
Total Israel							1,582,875
Jamaica – 2.0%
Digicel Ltd. 6.00%, 4/15/21, Reg S			800,000				770,240
6.75%, 3/1/23, Reg S			250,000				235,000
Total Jamaica							1,005,240
Kazakhstan – 2.3%
KazMunayGas National Co. JSC 6.38%, 4/9/21, Reg S			1,067,000				1,147,025
Kuwait – 0.5%
Equate Petrochemical B.V. 3.00%, 3/3/22, Reg S			280,000				271,250

 

See Notes to Financial Statements.

 

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Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Luxembourg – 1.6%
Millicom International Cellular S.A. 6.00%, 3/15/25, Reg S		$	330,000			$	348,150
5.13%, 1/15/28(c)			475,000				463,125
Total Luxembourg							811,275
Mexico – 9.4%
Banco Mercantil del Norte S.A.
7.63%, 1/10/28, (7.625% fixed rate until 1/6/28; 10-year Constant Maturity Treasury Rate + 5.353% thereafter)(a)(c)(d)			490,000				532,973
BBVA Bancomer S.A. 6.75%, 9/30/22, Reg S			550,000				605,687
Cemex S.A.B. de C.V. 7.75%, 4/16/26, Reg S			1,200,000				1,337,100
Grupo Bimbo S.A.B. de C.V. 4.50%, 1/25/22, Reg S			588,000				610,050
Mexichem S.A.B. de C.V. 4.00%, 10/4/27(c)			320,000				307,600
5.50%, 1/15/48(c)			320,000				305,680
Petroleos Mexicanos 6.50%, 3/13/27, Reg S			500,000				534,225
6.50%, 6/2/41			500,000				499,875
Total Mexico							4,733,190
Morocco – 2.1%
OCP S.A. 5.63%, 4/25/24, Reg S			1,000,000				1,053,750
Panama – 1.0%
Multibank, Inc. 4.38%, 11/9/22(c)			500,000				499,375
Peru – 3.8%
Banco de Credito del Peru
6.13%, 4/24/27, Reg S, (6.125% fixed rate until 4/24/22; 3-month U.S. dollar London Interbank Offered Rate + 7.043% thereafter)(a)			600,000				643,350
Banco Internacional del Peru S.A.A. Interbank
6.63%, 3/19/29, Reg S, (6.625% fixed rate until 3/19/24; 3-month U.S. dollar London Interbank Offered Rate + 5.760% thereafter)(a)			500,000				551,875
Cerro del Aguila S.A. 4.13%, 8/16/27, Reg S			250,000				241,250
Southern Copper Corp. 5.25%, 11/8/42			460,000				489,325
Total Peru							1,925,800
Russia – 13.8%
Credit Bank of Moscow Via CBOM Finance PLC 5.55%, 2/14/23(c)			750,000				749,062
Evraz Group S.A. 8.25%, 1/28/21, Reg S			500,000				553,750
Gazprom Neft OAO Via GPN Capital S.A. 6.00%, 11/27/23, Reg S			1,100,000				1,193,500
Gazprom OAO Via Gaz Capital S.A. 6.00%, 1/23/21, Reg S			570,000				602,062
6.51%, 3/7/22, Reg S			450,000				489,375
Novolipetsk Steel via Steel Funding DAC 4.00%, 9/21/24(c)			250,000				247,813
4.00%, 9/21/24, Reg S			250,000				274,831
Phosagro OAO via Phosagro Bond Funding DAC 3.95%, 11/3/21(c)			250,000				251,225
Rosneft Oil Co. Via Rosneft International Finance DAC 4.20%, 3/6/22, Reg S			500,000				499,688
Sberbank of Russia Via SB Capital S.A.
5.50%, 2/26/24, Reg S, (5.50% fixed rate until 2/26/19; 5-year Constant Maturity Treasury Rate + 4.023% thereafter)(a)			500,000				508,125
VEON Holdings B.V. 7.50%, 3/1/22, Reg S			200,000				222,500
5.95%, 2/13/23, Reg S			600,000				633,000
VTB Bank OJSC Via VTB Capital S.A. 6.95%, 10/17/22, Reg S			700,000				756,000
Total Russia							6,953,913
Singapore – 2.2%
Oversea-Chinese Banking Corp., Ltd. 4.25%, 6/19/24, Reg S			1,080,000				1,092,774
South Africa – 0.4%
AngloGold Ashanti Holdings PLC 6.50%, 4/15/40			200,000				210,750
South Korea – 2.0%
Woori Bank 4.75%, 4/30/24, Reg S			1,000,000				1,026,008
Thailand – 1.2%
PTTEP Treasury Center Co., Ltd.
4.60%, 7/17/22, Reg S, (4.60% fixed rate until 7/17/22; 5-year Constant Maturity Treasury Rate + 2.724% until 7/17/27; 6-month U.S. dollar London Interbank Offered Rate + 2.900% until 7/17/42; 6-month U.S. dollar London Interbank Offered Rate + 3.650% thereafter)(a)(d)			600,000				598,010
Turkey – 5.7%
TC Ziraat Bankasi A/S 4.75%, 4/29/21, Reg S			300,000				297,375
Tupras Turkiye Petrol Rafinerileri A/S 4.50%, 10/18/24(c)			500,000				484,375
Turkiye Garanti Bankasi A/S 5.25%, 9/13/22, Reg S			500,000				503,125
Turkiye Is Bankasi A/S 5.38%, 10/6/21, Reg S			250,000				250,000
5.50%, 4/21/22, Reg S			300,000				298,688
Turkiye Vakiflar Bankasi TAO 5.75%, 1/30/23(c)			725,000				714,125
Yapi ve Kredi Bankasi A/S 5.75%, 2/24/22, Reg S			300,000				303,000
Total Turkey							2,850,688

 

See Notes to Financial Statements.

 

80		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
United Arab Emirates – 3.0%
Abu Dhabi National Energy Co. PJSC 4.38%, 6/22/26, Reg S		$	1,000,000			$	1,000,625
DP World Ltd. 6.85%, 7/2/37, Reg S			400,000				490,000
Total United Arab Emirates							1,490,625
Zambia – 0.8%
First Quantum Minerals Ltd. 6.88%, 3/1/26(b)(c)			400,000				399,500
TOTAL FOREIGN CORPORATE BONDS (Cost: $45,796,208)							45,747,259
FOREIGN GOVERNMENT AGENCIES – 3.9%
Argentina – 0.8%
Autonomous City of Buenos Aires Argentina 7.50%, 6/1/27(c)			350,000				370,125
Indonesia – 0.5%
Lembaga Pembiayaan Ekspor Indonesia 3.88%, 4/6/24, Series EMTN, Reg S			250,000				248,750
Peru – 1.2%
Corp. Financiera de Desarrollo S.A. 4.75%, 7/15/25, Reg S			600,000				618,750
United Arab Emirates – 1.4%
MDC-GMTN B.V. 5.50%, 4/20/21, Reg S			666,000				711,371
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $1,981,844)							1,948,996
FOREIGN GOVERNMENT OBLIGATIONS – 1.2%
Argentina – 0.8%
Argentine Republic Government International Bond 5.63%, 1/26/22			400,000				406,900
Nigeria – 0.4%
Nigeria Government International Bond 6.50%, 11/28/27, Reg S			200,000				203,000
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $608,885)							609,900
		Shares
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 4.4%
United States – 4.4%
State Street Navigator Securities Lending Government Money Market Portfolio, 1.38%(e)
(Cost: $2,220,845)(f)			2,220,845				2,220,845
TOTAL INVESTMENTS IN SECURITIES – 100.5% (Cost: $50,607,782)							50,527,000
Other Assets less Liabilities – (0.5)%							(275,729	)
NET ASSETS – 100.0%						$	50,251,271

(a)	Rate shown reflects the accrual rate as of February 28, 2018 on securities with variable or step rates.

 

(b)	Security, or portion thereof, was on loan at February 28, 2018 (See Note 2).

 

(c)	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.

 

(d)	The security has a perpetual maturity; the date displayed is the next call date.

 

(e)	Rate shown represents annualized 7-day yield as of February 28, 2018.

 

(f)

At February 28, 2018, the total market value of the Fund’s securities on loan was $1,979,785 and the total market value of the collateral held by the Fund was $2,220,845. Total securities on loan may not correspond with the amounts identified in the Schedule of Investments because pending sales of securities on loan may be in the process of recall from the borrower.

Reg S – Regulation S provides an exclusion from the registration requirements of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

 

FINANCIAL DERIVATIVE INSTRUMENTS
FUTURES CONTRACTS† (EXCHANGE-TRADED)
Short Exposure		Contracts				Expiration Date				Notional Amount1				Unrealized Appreciation/ (Depreciation)
10 Year U.S. Treasury Note			19				6/20/18			$	(2,280,891	)		$	4,016
U.S. Treasury Long Bond			2				6/20/18				(286,875	)			(766	)
Ultra 10 Year U.S. Treasury Note			51				6/20/18				(6,531,187	)			(3,187	)
										$	(9,098,953	)		$	63
Long Exposure
2 Year U.S. Treasury Note			7				06/29/18			$	1,487,281			$	(1,422	)
5 Year U.S. Treasury Note			55				06/29/18				6,266,133				(12,460	)
U.S. Treasury Ultra Long Term Bond			5				06/20/18				779,375				4,517
										$	8,532,789			$	(9,365	)
Total – Net										$	(566,164	)		$	(9,302	)

†	As of February 28, 2018, cash collateral posted by the Fund with the broker for futures contracts was $85,782.

 

1	“Notional Amount” represents the current notional value of the futures contract.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			81

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Table of Contents

Schedule of Investments (unaudited)

WisdomTree Emerging Markets Local Debt Fund (ELD)

February 28, 2018

 

  

 

 

Investments		Principal Amount†						Value
FOREIGN GOVERNMENT AGENCIES – 1.0%
South Africa – 0.5%
Landwirtschaftliche Rentenbank 8.25%, 5/23/22, Reg S			12,250,000			ZAR		$	1,059,704
Turkey – 0.5%
Kreditanstalt fuer Wiederaufbau 9.25%, 5/22/20, Reg S			5,100,000			TRY			1,265,363
TOTAL FOREIGN GOVERNMENT AGENCIES (Cost: $2,681,919)									2,325,067
FOREIGN GOVERNMENT OBLIGATIONS – 87.5%
Argentina – 2.5%
Argentine Bonos del Tesoro 18.20%, 10/3/21			32,000,000			ARS			1,606,860
16.00%, 10/17/23			35,143,000			ARS			1,724,971
15.50%, 10/17/26			49,555,000			ARS			2,459,129
Total Argentina									5,790,960
Brazil – 10.3%
Brazil Letras do Tesouro Nacional 9.23%, 7/1/19(a)			27,030,000			BRL			7,613,570
Brazil Notas do Tesouro Nacional 10.00%, 1/1/21, Series F			23,383,000			BRL			7,484,397
10.00%, 1/1/23, Series F			9,465,000			BRL			3,016,724
10.00%, 1/1/25, Series F			8,539,000			BRL			2,705,290
10.00%, 1/1/27, Series F			8,105,000			BRL			2,558,810
Brazilian Government International Bond 12.50%, 1/5/22			929,000			BRL			322,596
Total Brazil									23,701,387
Chile – 3.1%
Bonos de la Tesoreria de la Republica en pesos 4.50%, 2/28/21			500,000,000			CLP			862,915
4.50%, 3/1/21			785,000,000			CLP			1,354,249
4.50%, 3/1/26			1,645,000,000			CLP			2,765,687
5.00%, 3/1/35			1,295,000,000			CLP			2,165,266
Total Chile									7,148,117
China – 3.1%
China Government Bond 3.09%, 11/22/18			1,000,000			CNH			156,976
3.09%, 6/29/20, Reg S			9,500,000			CNY			1,471,939
2.48%, 12/1/20			9,000,000			CNY			1,363,157
3.25%, 7/4/21			7,000,000			CNH			1,077,565
2.36%, 8/18/21, Reg S			6,000,000			CNY			895,938
3.10%, 6/29/22			6,500,000			CNY			983,374
3.16%, 6/27/23			8,500,000			CNY			1,276,599
Total China									7,225,548
Colombia – 5.9%
Colombia Government International Bond 7.75%, 4/14/21			2,209,000,000			COP			820,873
Colombian TES 11.00%, 7/24/20, Series B			5,400,000,000			COP			2,127,460
7.00%, 5/4/22, Series B			6,661,700,000			COP			2,430,186
10.00%, 7/24/24, Series B			8,403,300,000			COP			3,504,319
6.00%, 4/28/28, Series B			10,755,400,000				COP				3,540,997
7.75%, 9/18/30, Series B			1,792,300,000				COP				670,528
7.00%, 6/30/32, Series B			1,626,500,000				COP				564,565
Total Colombia											13,658,928
Hungary – 3.0%
Hungary Government Bond 6.50%, 6/24/19, Series 19/A			197,000,000				HUF				829,878
7.50%, 11/12/20, Series 20/A			300,150,000				HUF				1,382,971
7.00%, 6/24/22, Series 22/A			226,560,000				HUF				1,090,001
6.00%, 11/24/23, Series 23/A			287,780,000				HUF				1,379,395
5.50%, 6/24/25, Series 25/B			444,240,000				HUF				2,120,387
3.00%, 10/27/27, Series 27/A			10,000,000				HUF				40,206
Total Hungary											6,842,838
India – 5.6%
India Government Bond 8.27%, 6/9/20			103,000,000				INR				1,624,063
7.80%, 4/11/21			100,000,000				INR				1,562,331
7.68%, 12/15/23			200,000,000				INR				3,082,603
8.40%, 7/28/24			134,000,000				INR				2,119,765
7.59%, 3/20/29			100,000,000				INR				1,491,966
7.88%, 3/19/30			100,000,000				INR				1,521,576
9.20%, 9/30/30			90,920,000				INR				1,533,226
Total India											12,935,530
Indonesia – 8.5%
Indonesia Treasury Bond 7.00%, 5/15/22, Series FR61			15,072,000,000				IDR				1,129,153
8.38%, 3/15/24, Series FR70			45,000,000,000				IDR				3,600,393
8.38%, 9/15/26, Series FR56			47,091,000,000				IDR				3,784,817
9.00%, 3/15/29, Series FR71			25,957,000,000				IDR				2,168,092
8.75%, 5/15/31, Series FR73			42,207,000,000				IDR				3,469,026
8.25%, 6/15/32, Series FR58			49,064,000,000				IDR				3,875,233
8.25%, 5/15/36, Series FR72			13,440,000,000				IDR				1,056,255
8.75%, 2/15/44, Series FR67			7,069,000,000				IDR				582,083
Total Indonesia											19,665,052
Malaysia – 3.1%
Malaysia Government Bond 4.38%, 11/29/19, Series 0902			4,862,000				MYR				1,263,703
3.49%, 3/31/20, Series 0612			2,954,000				MYR				755,375
4.16%, 7/15/21, Series 0111			2,088,000				MYR				544,187
3.42%, 8/15/22, Series 0112			5,218,000				MYR				1,313,476
4.18%, 7/15/24, Series 0114			5,325,000				MYR				1,378,600
4.39%, 4/15/26, Series 0311			3,144,000				MYR				820,776
3.90%, 11/16/27, Series 0417			1,000,000				MYR				252,418
4.50%, 4/15/30, Series 0310			2,333,000				MYR				598,298
4.25%, 5/31/35, Series 0415			1,100,000				MYR				270,246
Total Malaysia											7,197,079
Mexico – 3.2%
Mexican Bonos 5.00%, 12/11/19, Series M			11,059,000				MXN				560,939
8.00%, 6/11/20, Series M			2,500,000				MXN				133,789
6.50%, 6/10/21, Series M			12,355,000				MXN				635,346
6.50%, 6/9/22, Series M			13,487,000				MXN				687,918
10.00%, 12/5/24, Series M 20			37,448,000				MXN				2,240,906
7.75%, 5/29/31, Series M			10,133,000				MXN				537,634
7.75%, 11/23/34, Series M			5,719,000				MXN				301,752

 

See Notes to Financial Statements.

 

82		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Emerging Markets Local Debt Fund (ELD)

February 28, 2018

 

  

 

 

Investments		Principal Amount†						Value
10.00%, 11/20/36, Series M 30			10,452,000			MXN		$	671,411
8.50%, 11/18/38, Series M 30			4,854,000			MXN			273,876
7.75%, 11/13/42, Series M			14,142,000			MXN			739,069
8.00%, 11/7/47, Series M			10,000,000			MXN			535,682
Total Mexico									7,318,322
Peru – 3.0%
Peru Government Bond 6.15%, 8/12/32, Reg S(b)			1,000			PEN			337
Peruvian Government International Bond 7.84%, 8/12/20, Reg S			1,361,000			PEN			465,769
5.70%, 8/12/24, Reg S			2,225,000			PEN			744,837
8.20%, 8/12/26, Reg S			5,418,000			PEN			2,073,706
6.95%, 8/12/31, Reg S			7,181,000			PEN			2,584,213
6.90%, 8/12/37, Reg S			3,165,000			PEN			1,123,935
Total Peru									6,992,797
Philippines – 2.9%
Philippine Government International Bond 4.95%, 1/15/21			100,000,000			PHP			1,979,647
3.90%, 11/26/22			98,000,000			PHP			1,874,194
6.25%, 1/14/36			131,000,000			PHP			2,836,069
Total Philippines									6,689,910
Poland – 6.2%
Republic of Poland Government Bond 3.25%, 7/25/19, Series 0719			1,500,000			PLN			448,361
5.50%, 10/25/19, Series 1019			124,000			PLN			38,567
1.50%, 4/25/20, Series 0420			5,000,000			PLN			1,456,920
5.25%, 10/25/20, Series 1020			5,229,000			PLN			1,663,880
1.75%, 7/25/21, Series 0721			2,355,000			PLN			680,368
5.75%, 10/25/21, Series 1021			2,360,000			PLN			775,475
2.25%, 4/25/22, Series 0422			1,609,000			PLN			467,804
5.75%, 9/23/22, Series 0922			8,059,000			PLN			2,686,451
4.00%, 10/25/23, Series 1023			5,046,000			PLN			1,570,824
3.25%, 7/25/25, Series 0725			4,316,000			PLN			1,272,714
2.50%, 7/25/26, Series 0726			6,306,000			PLN			1,751,621
2.50%, 7/25/27, Series 0727			5,135,000			PLN			1,407,485
Total Poland									14,220,470
Romania – 3.0%
Romania Government Bond 2.50%, 4/29/19, Series 3Y			1,650,000			RON			432,769
2.25%, 2/26/20, Series 4Y			1,735,000			RON			450,158
5.75%, 4/29/20, Series 7Y			3,980,000			RON			1,103,812
3.25%, 3/22/21, Series 5Y			2,930,000			RON			761,548
5.95%, 6/11/21, Series 10Y			4,020,000			RON			1,129,018
5.85%, 4/26/23, Series 10Y			5,950,000			RON			1,676,480
4.75%, 2/24/25, Series 10Y			2,495,000			RON			669,778
5.80%, 7/26/27, Series 15Y			2,500,000			RON			717,813
Total Romania									6,941,376
Russia – 10.6%
Russian Federal Bond – OFZ 6.70%, 5/15/19, Series 6216			41,220,000			RUB			735,606
6.80%, 12/11/19, Series 6210			84,870,000			RUB			1,519,783
7.60%, 4/14/21, Series 6205			187,964,000			RUB			3,447,703
7.50%, 8/18/21, Series 6217			155,000,000				RUB				2,842,766
7.00%, 1/25/23, Series 6211			105,054,000				RUB				1,908,494
7.00%, 8/16/23, Series 6215			239,105,000				RUB				4,339,222
7.75%, 9/16/26, Series 6219			100,000,000				RUB				1,881,984
7.05%, 1/19/28, Series 6212			249,885,000				RUB				4,486,536
8.50%, 9/17/31, Series 6218			69,595,000				RUB				1,386,436
7.70%, 3/23/33, Series 6221			100,000,000				RUB				1,861,521
Total Russia											24,410,051
South Africa – 4.3%
Republic of South Africa Government Bond
10.50%, 12/21/26, Series R186			11,512,000				ZAR				1,119,040
7.00%, 2/28/31, Series R213			6,092,000				ZAR				450,445
6.25%, 3/31/36, Series R209			38,656,600				ZAR				2,499,931
9.00%, 1/31/40, Series 2040			33,000,000				ZAR				2,782,671
8.75%, 1/31/44, Series 2044			5,000,000				ZAR				409,716
8.75%, 2/28/48, Series 2048			33,120,000				ZAR				2,715,538
Total South Africa											9,977,341
Thailand – 4.9%
Thailand Government Bond 3.65%, 12/17/21			30,620,000				THB				1,046,827
1.88%, 6/17/22			60,095,000				THB				1,923,182
3.63%, 6/16/23			61,669,000				THB				2,137,912
3.85%, 12/12/25			57,480,000				THB				2,038,647
4.88%, 6/22/29			78,602,000				THB				3,047,950
3.40%, 6/17/36			37,500,000				THB				1,248,360
Total Thailand											11,442,878
Turkey – 4.3%
Turkey Government Bond 8.50%, 7/10/19			3,066,000				TRY				767,215
10.50%, 1/15/20			1,456,000				TRY				370,460
9.50%, 1/12/22			9,114,000				TRY				2,209,991
8.50%, 9/14/22			8,439,000				TRY				1,958,743
8.00%, 3/12/25			15,572,000				TRY				3,399,580
11.00%, 2/24/27			5,000,000				TRY				1,272,839
Total Turkey											9,978,828
TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $221,171,077)											202,137,412
SUPRANATIONAL BONDS – 4.3%
European Bank for Reconstruction & Development 6.45%, 12/13/22, Reg S			37,910,000,000				IDR				2,750,942
European Investment Bank 7.63%, 1/12/22			40,000,000				MXN				2,111,200
8.38%, 7/29/22, Reg S			12,620,000				ZAR				1,095,656
8.13%, 12/21/26			24,740,000				ZAR				2,091,648
International Finance Corp. 7.50%, 1/18/28			37,000,000				MXN				1,877,553
TOTAL SUPRANATIONAL BONDS (Cost: $9,789,777)											9,926,999
TOTAL INVESTMENTS IN SECURITIES – 92.8% (Cost: $233,642,773)											214,389,478
Other Assets less Liabilities – 7.2%											16,647,306
NET ASSETS – 100.0%										$	231,036,784

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			83

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Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Emerging Markets Local Debt Fund (ELD)

February 28, 2018

 

  

 

 

†	Principal amount is reported in U.S. dollars unless otherwise noted.

 

(a)	Represents a zero coupon bond. Rate shown reflects the effective yield as of February 28, 2018.

 

(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.

Reg S – Regulation S provides an exclusion from the registration requirements of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

 

FINANCIAL DERIVATIVE INSTRUMENTS
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)
Counterparty		Settlement Date				Amount and Description of Currency to be Purchased								Amount and Description of Currency to be Sold								Unrealized Appreciation				Unrealized Depreciation
Bank of America N.A.			3/21/2018				4,500,000				TRY				1,095,958				USD			$	79,293			$	—
Bank of America N.A.			3/22/2018				35,000,000				INR				541,293				USD				—				(5,671	)
Bank of America N.A.			3/22/2018				502,892				USD				1,500,000,000				COP				—				(19,772	)
Bank of America N.A.			3/22/2018				191,655				USD				3,700,000				MXN				—				(3,811	)
Canadian Imperial Bank of Commerce			3/22/2018				4,217,727,364				COP				1,385,360				USD				84,277				—
Citibank N.A.			3/22/2018				17,584,800				MXN				902,099				USD				26,882				—
Citibank N.A.			3/22/2018				380,362				USD				24,757,780				INR				1,482				—
Goldman Sachs			3/22/2018				797,930				USD				15,000,000				MXN				5,501				—
JP Morgan Chase Bank N.A.			3/22/2018				35,000,000				INR				542,552				USD				—				(6,930	)
JP Morgan Chase Bank N.A.			3/22/2018				90,000,000				THB				2,831,970				USD				33,567				—
JP Morgan Chase Bank N.A.			3/22/2018				707,527				USD				45,714,000				INR				7,943				—
Morgan Stanley & Co. International			3/22/2018				17,584,800				MXN				902,041				USD				26,940				—
Morgan Stanley & Co. International			3/22/2018				380,356				USD				24,757,780				INR				1,476				—
Royal Bank of Canada			3/22/2018				42,360,000				INR				656,337				USD				—				(8,082	)
State Street Bank and Trust			3/1/2018				140,692				USD				1,662,220				ZAR				—				(130	)
State Street Bank and Trust			3/22/2018				4,052,326,291				COP				1,331,907				USD				80,097				—
State Street Bank and Trust			3/22/2018				2,364,671				USD				6,770,053,655				COP				5,696				—
UBS AG			3/21/2018				5,800,000				TRY				1,483,120				USD				31,648				—
UBS AG			3/22/2018				16,550,400				MXN				848,985				USD				25,349				—
UBS AG			3/22/2018				2,000,000				MXN				105,324				USD				333				—
UBS AG			3/22/2018				358,018				USD				23,301,440				INR				1,425				—
																						$	411,909			$	(44,396	)

 

CURRENCY LEGEND

ARS

Argentine Peso

MYR

Malaysian ringgit

BRL

Brazilian real

PEN

Peruvian Nuevo sol

CLP

Chilean peso

PHP

Philippine peso

CNH

Offshore Chinese renminbi

PLN

Polish zloty

CNY

Chinese yuan

RON

Romanian leu

COP

Colombian peso

RUB

Russian ruble

HUF

Hungary forint

THB

Thai baht

IDR

Indonesian rupiah

TRY

Turkish New lira

INR

Indian rupee

USD

U.S. dollar

MXN

Mexican peso

ZAR

South African rand

 

See Notes to Financial Statements.

 

84		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
CORPORATE BONDS – 83.1%
United States – 83.1%
24 Hour Fitness Worldwide, Inc. 8.00%, 6/1/22(a)(b)		$	100,000			$	100,000
99 Cents Only Stores LLC 13.00%, 4/14/22, PIK(a)			50,000				46,688
Acadia Healthcare Co., Inc. 5.13%, 7/1/22			25,000				25,428
Acosta, Inc. 7.75%, 10/1/22(a)			256,000				184,320
Actuant Corp. 5.63%, 6/15/22			290,000				295,437
ADT Corp. (The) 6.25%, 10/15/21			793,000				846,032
Advanced Micro Devices, Inc. 7.50%, 8/15/22			288,000				317,520
AECOM 5.75%, 10/15/22			356,000				373,373
AES Corp. 7.38%, 7/1/21			260,000				287,300
AGCO Corp. 5.88%, 12/1/21			100,000				106,002
Aircastle Ltd. 4.63%, 12/15/18			50,000				50,500
5.13%, 3/15/21			370,000				381,562
AK Steel Corp. 7.63%, 10/1/21			25,000				25,938
Aleris International, Inc. 7.88%, 11/1/20			290,000				288,718
9.50%, 4/1/21(a)			125,000				131,719
Allegheny Technologies, Inc. 5.95%, 1/15/21			350,000				358,312
Allegiant Travel Co. 5.50%, 7/15/19			150,000				153,938
Alliance One International, Inc. 8.50%, 4/15/21(a)			150,000				156,375
9.88%, 7/15/21			199,000				192,781
Ally Financial, Inc. 4.75%, 9/10/18			150,000				151,697
8.00%, 12/31/18			50,000				52,188
3.50%, 1/27/19			601,000				604,636
3.75%, 11/18/19			100,000				100,800
7.50%, 9/15/20			700,000				763,000
4.25%, 4/15/21			200,000				203,000
AMC Entertainment Holdings, Inc. 5.88%, 2/15/22(b)			25,000				25,313
American Airlines Group, Inc. 5.50%, 10/1/19(a)			291,000				298,275
4.63%, 3/1/20(a)			350,000				354,812
American Axle & Manufacturing, Inc. 6.25%, 3/15/21(b)			25,000				25,425
6.63%, 10/15/22			200,000				207,000
American Midstream Partners L.P. 8.50%, 12/15/21(a)			173,000				176,460
American Tire Distributors, Inc. 10.25%, 3/1/22(a)			300,000				313,911
Amkor Technology, Inc. 6.38%, 10/1/22			351,000				362,407
Amsted Industries, Inc. 5.00%, 3/15/22(a)			88,000				89,980
Andeavor Logistics L.P. 5.50%, 10/15/19			203,000				209,608
Anixter, Inc. 5.13%, 10/1/21			250,000				258,125
Antero Resources Corp. 5.38%, 11/1/21			573,000				588,041
Apex Tool Group LLC 7.00%, 2/1/21(a)			72,000				73,400
APX Group, Inc. 8.75%, 12/1/20			200,000				202,000
7.88%, 12/1/22			300,000				316,875
Archrock Partners L.P. 6.00%, 4/1/21			125,000				125,938
6.00%, 10/1/22			25,000				25,188
Arconic, Inc. 6.15%, 8/15/20			295,000				313,387
5.40%, 4/15/21			200,000				208,750
5.87%, 2/23/22			538,000				572,970
Artesyn Embedded Technologies, Inc. 9.75%, 10/15/20(a)			82,000				79,540
Ascent Resources Utica Holdings LLC 10.00%, 4/1/22(a)			534,000				571,380
Ashland LLC 4.75%, 8/15/22			570,000				584,250
AV Homes, Inc. 6.63%, 5/15/22			160,000				165,400
Avis Budget Car Rental LLC 5.13%, 6/1/22(a)(b)			150,000				150,188
Avon Products, Inc. 6.60%, 3/15/20(b)			100,000				101,000
B&G Foods, Inc. 4.63%, 6/1/21			214,000				215,338
Ball Corp. 4.38%, 12/15/20			300,000				307,875
Beazer Homes USA, Inc. 8.75%, 3/15/22			220,000				238,150
Berry Global, Inc. 5.50%, 5/15/22			210,000				216,038
BI-LO LLC 9.25%, 2/15/19(a)(b)(h)			50,000				48,625
Bill Barrett Corp. 7.00%, 10/15/22			150,000				150,750
Blackboard, Inc. 9.75%, 10/15/21(a)(b)			100,000				91,000
Blue Racer Midstream LLC 6.13%, 11/15/22(a)			150,000				154,500
BMC Software Finance, Inc. 8.13%, 7/15/21(a)			765,000				771,694
Bon-Ton Department Stores, Inc. (The) 8.00%, 6/15/21(c)			50,000				9,250
Boxer Parent Co., Inc. 9.00%, 10/15/19, Toggle PIK (9.00% Cash or 9.75% PIK)(a)			12,000				12,030

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			85

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Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Bristow Group, Inc. 6.25%, 10/15/22(b)		$	150,000			$	129,000
Buckeye Partners L.P.
6.38%, 1/22/78, (6.375% fixed rate until 1/22/23; 3-month U.S. dollar London Interbank Offered Rate + 4.020% thereafter)(d)			25,000				25,050
CalAtlantic Group, Inc. 8.38%, 1/15/21(b)			250,000				285,937
California Resources Corp. 8.00%, 12/15/22(a)(b)			400,000				318,500
Calpine Corp. 6.00%, 1/15/22(a)			265,000				273,612
Calumet Specialty Products Partners L.P. 6.50%, 4/15/21(b)			395,000				387,100
Cardtronics, Inc. 5.13%, 8/1/22			25,000				24,438
Carpenter Technology Corp. 5.20%, 7/15/21(b)			250,000				257,342
Carrizo Oil & Gas, Inc. 7.50%, 9/15/20(b)			123,000				125,614
CCO Holdings LLC 5.25%, 9/30/22			250,000				255,000
CEC Entertainment, Inc. 8.00%, 2/15/22			220,000				214,500
Centene Corp. 5.63%, 2/15/21			100,000				102,625
4.75%, 5/15/22			648,000				662,175
Century Aluminum Co. 7.50%, 6/1/21(a)			258,000				265,740
Century Communities, Inc. 6.88%, 5/15/22			342,000				356,145
CenturyLink, Inc. 6.15%, 9/15/19, Series Q			25,000				25,938
5.63%, 4/1/20, Series V			700,000				713,090
5.80%, 3/15/22, Series T			250,000				247,812
Cenveo Corp. 6.00%, 8/1/19(a)(b)(c)			137,000				65,760
Cequel Communications Holdings I LLC 6.38%, 9/15/20(a)			155,000				157,131
5.13%, 12/15/21(a)			503,000				503,520
Ceridian HCM Holding, Inc. 11.00%, 3/15/21(a)			150,000				155,187
CF Industries, Inc. 7.13%, 5/1/20			421,000				449,944
Chesapeake Energy Corp. 6.63%, 8/15/20			140,000				144,858
6.13%, 2/15/21(b)			365,000				370,475
Choice Hotels International, Inc. 5.75%, 7/1/22			350,000				375,812
CIT Group, Inc. 3.88%, 2/19/19			699,000				704,242
5.00%, 8/15/22			200,000				206,750
Citgo Holding, Inc. 10.75%, 2/15/20(a)			350,000				377,125
CITGO Petroleum Corp. 6.25%, 8/15/22(a)			100,000				100,625
Claire’s Stores, Inc. 9.00%, 3/15/19(a)(c)			308,000				210,980
Clean Harbors, Inc. 5.13%, 6/1/21			320,000				322,800
Clear Channel International B.V. 8.75%, 12/15/20(a)			200,000				210,000
Clear Channel Worldwide Holdings, Inc. 7.63%, 3/15/20, Series B			700,000				701,750
6.50%, 11/15/22, Series A			753,000				775,966
Cloud Peak Energy Resources LLC 12.00%, 11/1/21			150,000				159,750
CNO Financial Group, Inc. 4.50%, 5/30/20			200,000				203,000
CNX Resources Corp. 5.88%, 4/15/22			499,000				503,054
Cogent Communications Group, Inc. 5.38%, 3/1/22(a)			200,000				209,250
CommScope, Inc. 5.00%, 6/15/21(a)			365,000				371,387
Community Health Systems, Inc. 8.00%, 11/15/19(b)			400,000				376,954
5.13%, 8/1/21(b)			498,000				461,895
6.88%, 2/1/22(b)			1,167,000				767,302
Comstock Resources, Inc. 10.00%, 3/15/20, Toggle PIK (10.00% Cash or 12.25% PIK)			208,000				216,320
Consolidated Communications, Inc. 6.50%, 10/1/22			148,000				130,240
Continental Resources, Inc. 5.00%, 9/15/22			790,000				803,825
Covanta Holding Corp. 6.38%, 10/1/22			200,000				204,750
Credit Acceptance Corp. 6.13%, 2/15/21			238,000				240,380
Crescent Communities LLC 8.88%, 10/15/21(a)			145,000				153,700
CSC Holdings LLC 6.75%, 11/15/21			565,000				595,722
CSI Compressco L.P. 7.25%, 8/15/22			100,000				97,750
CURO Financial Technologies Corp. 12.00%, 3/1/22(a)			151,000				167,233
CVR Refining LLC 6.50%, 11/1/22			250,000				257,187
Darling Ingredients, Inc. 5.38%, 1/15/22			200,000				205,500
DaVita, Inc. 5.75%, 8/15/22			350,000				360,500
DCP Midstream Operating L.P. 5.35%, 3/15/20(a)			155,000				159,650
4.75%, 9/30/21(a)			469,000				479,552
Dell, Inc. 5.65%, 4/15/18			312,000				314,106
5.88%, 6/15/19(b)			325,000				335,192
Denbury Resources, Inc. 9.00%, 5/15/21(a)			200,000				205,500
5.50%, 5/1/22			100,000				77,500

 

See Notes to Financial Statements.

 

86		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
DISH DBS Corp. 7.88%, 9/1/19		$	797,000			$	842,827
5.13%, 5/1/20			300,000				300,750
6.75%, 6/1/21			800,000				824,000
DJO Finco, Inc. 8.13%, 6/15/21(a)			238,000				232,050
DriveTime Automotive Group, Inc. 8.00%, 6/1/21(a)			50,000				49,750
Dun & Bradstreet Corp. (The) 4.25%, 6/15/20			40,000				40,617
DynCorp International, Inc. 11.88%, 11/30/20, (10.375% Cash + 1.50% PIK)			191,505				201,080
Dynegy, Inc. 7.38%, 11/1/22			490,000				517,562
Eagle Holding Co. II LLC 7.63%, 5/15/22, Toggle PIK (7.625% Cash or 8.375% PIK)(a)			108,000				108,271
Edgewell Personal Care Co. 4.70%, 5/19/21			50,000				50,500
EMC Corp. 2.65%, 6/1/20			677,000				658,909
Endo Finance LLC 5.75%, 1/15/22(a)			420,000				345,450
7.25%, 1/15/22(a)			155,000				130,200
Energen Corp. 4.63%, 9/1/21			274,000				272,630
Energy Transfer Equity L.P. 7.50%, 10/15/20			510,000				554,625
Enova International, Inc. 9.75%, 6/1/21			135,000				142,931
EnPro Industries, Inc. 5.88%, 9/15/22			285,000				296,842
Ensco PLC 4.70%, 3/15/21			60,000				60,000
Envision Healthcare Corp. 5.63%, 7/15/22			609,000				621,941
Enviva Partners L.P. 8.50%, 11/1/21			100,000				105,500
EP Energy LLC 9.38%, 5/1/24(a)			279,000				207,158
Equinix, Inc. 5.38%, 1/1/22			100,000				103,875
EV Energy Partners L.P. 8.00%, 4/15/19(h)			131,000				66,155
FBM Finance, Inc. 8.25%, 8/15/21(a)			50,000				53,000
Ferrellgas L.P. 6.50%, 5/1/21(b)			452,000				429,400
Ferroglobe PLC 9.38%, 3/1/22(a)			150,000				161,063
Fidelity & Guaranty Life Holdings, Inc. 6.38%, 4/1/21(a)			125,000				127,031
First Quality Finance Co., Inc. 4.63%, 5/15/21(a)			350,000				350,000
Fortress Transportation & Infrastructure Investors LLC 6.75%, 3/15/22(a)			256,000				264,640
Forum Energy Technologies, Inc. 6.25%, 10/1/21			300,000				299,625
Freeport-McMoRan, Inc. 3.10%, 3/15/20			435,000				432,281
4.00%, 11/14/21			873,000				873,000
6.75%, 2/1/22			100,000				103,375
Frontier Communications Corp. 8.13%, 10/1/18(b)			387,000				394,624
8.50%, 4/15/20(b)			169,000				166,254
9.25%, 7/1/21(b)			25,000				23,245
6.25%, 9/15/21			426,000				364,762
FTI Consulting, Inc. 6.00%, 11/15/22			200,000				206,000
GameStop Corp. 6.75%, 3/15/21(a)(b)			350,000				360,062
Gates Global LLC 6.00%, 7/15/22(a)			159,000				161,798
GCI, Inc. 6.75%, 6/1/21			200,000				203,250
General Cable Corp. 5.75%, 10/1/22			286,000				295,295
Genesis Energy L.P. 6.75%, 8/1/22			200,000				206,500
GenOn Energy, Inc. 7.88%, 6/15/17(c)			110,000				94,325
Genworth Holdings, Inc. 6.52%, 5/22/18(b)			375,000				376,406
7.20%, 2/15/21			257,000				252,502
7.63%, 9/24/21(b)			336,000				331,296
Global Partners L.P. 6.25%, 7/15/22			125,000				125,938
GLP Capital L.P. 4.88%, 11/1/20			290,000				297,250
Gogo Intermediate Holdings LLC 12.50%, 7/1/22(a)			100,000				112,011
Graphic Packaging International LLC 4.75%, 4/15/21			150,000				153,375
Great Lakes Dredge & Dock Corp. 8.00%, 5/15/22			210,000				218,925
Greif, Inc. 7.75%, 8/1/19			170,000				179,350
Griffon Corp. 5.25%, 3/1/22			413,000				415,581
Group 1 Automotive, Inc. 5.00%, 6/1/22			441,000				452,025
Guitar Center, Inc. 6.50%, 4/15/19(a)(b)			175,000				173,688
Harland Clarke Holdings Corp. 6.88%, 3/1/20(a)			75,000				76,313
9.25%, 3/1/21(a)			235,000				243,812
8.38%, 8/15/22(a)			250,000				259,375
HC2 Holdings, Inc. 11.00%, 12/1/19(a)			169,000				173,225

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			87

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Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
HCA Healthcare, Inc. 6.25%, 2/15/21		$	750,000			$	791,250
HCA, Inc. 3.75%, 3/15/19			484,000				488,250
6.50%, 2/15/20			737,000				779,377
7.50%, 2/15/22			159,000				176,291
5.88%, 3/15/22			526,000				558,875
Hearthside Group Holdings LLC 6.50%, 5/1/22(a)			50,000				50,625
Hecla Mining Co. 6.88%, 5/1/21			352,000				359,480
Herc Rentals, Inc. 7.50%, 6/1/22(a)			378,000				406,350
Hertz Corp. (The) 5.88%, 10/15/20(b)			100,000				100,125
7.38%, 1/15/21(b)			325,000				325,000
6.25%, 10/15/22(b)			100,000				95,219
Hexion Nova Scotia Finance ULC 9.00%, 11/15/20(b)			175,000				141,313
Hexion, Inc. 6.63%, 4/15/20			558,000				521,730
Hillman Group, Inc. (The) 6.38%, 7/15/22(a)(b)			160,000				156,800
Hornbeck Offshore Services, Inc. 5.88%, 4/1/20			165,000				114,675
5.00%, 3/1/21			238,000				141,610
HRG Group, Inc. 7.75%, 1/15/22			270,000				281,981
Hub Holdings LLC 8.13%, 7/15/19, Toggle PIK (8.125% Cash or 8.875% PIK)(a)			117,000				117,293
HUB International Ltd. 7.88%, 10/1/21(a)			200,000				206,500
Hughes Satellite Systems Corp. 7.63%, 6/15/21			450,000				486,000
Huntsman International LLC 4.88%, 11/15/20			455,000				467,071
Icahn Enterprises L.P. 6.00%, 8/1/20			600,000				612,075
5.88%, 2/1/22			200,000				200,750
6.25%, 2/1/22			100,000				101,750
iHeartCommunications, Inc. 9.00%, 12/15/19(c)			550,000				440,000
9.00%, 3/1/21(c)			1,104,000				883,200
Immucor, Inc. 11.13%, 2/15/22(a)			180,000				187,650
Infor Software Parent LLC 7.13%, 5/1/21, Toggle PIK (7.125% Cash or 7.875% PIK)(a)			290,000				296,162
Infor U.S., Inc. 5.75%, 8/15/20(a)			100,000				102,125
6.50%, 5/15/22			216,000				221,940
Ingram Micro, Inc. 5.00%, 8/10/22			25,000				25,094
International Game Technology PLC 6.25%, 2/15/22(a)			600,000				636,750
INVISTA Finance LLC 4.25%, 10/15/19(a)			285,000				287,850
Iron Mountain, Inc. 4.38%, 6/1/21(a)			100,000				101,400
iStar, Inc. 5.00%, 7/1/19			295,000				295,922
6.50%, 7/1/21			151,000				153,643
6.00%, 4/1/22			200,000				201,500
5.25%, 9/15/22			145,000				142,825
Jack Ohio Finance LLC 6.75%, 11/15/21(a)			210,000				219,339
10.25%, 11/15/22(a)			50,000				54,875
Jefferies Finance LLC 7.38%, 4/1/20(a)			200,000				203,402
7.50%, 4/15/21(a)			256,000				264,320
Joseph T Ryerson & Son, Inc. 11.00%, 5/15/22(a)			157,000				175,188
Jurassic Holdings III, Inc. 6.88%, 2/15/21(a)(b)			100,000				89,000
K Hovnanian Enterprises, Inc. 10.00%, 7/15/22(a)			182,000				199,518
KB Home 4.75%, 5/15/19			191,000				194,343
8.00%, 3/15/20			207,000				224,854
7.00%, 12/15/21			354,000				385,860
Kindred Healthcare, Inc. 8.00%, 1/15/20			286,000				307,092
6.38%, 4/15/22			50,000				50,875
Kinetic Concepts, Inc. 7.88%, 2/15/21(a)			180,000				186,525
12.50%, 11/1/21(a)			160,000				181,200
KLX, Inc. 5.88%, 12/1/22(a)			545,000				563,394
L Brands, Inc. 7.00%, 5/1/20			220,000				236,637
6.63%, 4/1/21			615,000				659,397
Ladder Capital Finance Holdings LLLP 5.25%, 3/15/22(a)			229,000				231,290
Laredo Petroleum, Inc. 5.63%, 1/15/22			264,000				262,680
Legacy Reserves L.P. 6.63%, 12/1/21			243,000				179,516
Leidos Holdings, Inc. 4.45%, 12/1/20			240,000				246,638
Lennar Corp. 8.38%, 5/15/18(a)			89,000				90,113
4.13%, 12/1/18			50,000				50,325
4.50%, 6/15/19			805,000				816,069
4.75%, 4/1/21(b)			210,000				215,250
6.25%, 12/15/21(a)			244,000				261,641
Level 3 Financing, Inc. 5.38%, 8/15/22			447,000				452,587
Level 3 Parent LLC 5.75%, 12/1/22			183,000				185,288
Lexmark International, Inc. 7.13%, 3/15/20			240,000				245,100

 

See Notes to Financial Statements.

 

88		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
LifePoint Health, Inc. 5.50%, 12/1/21		$	250,000			$	252,812
LIN Television Corp. 5.88%, 11/15/22			262,000				271,825
Live Nation Entertainment, Inc. 5.38%, 6/15/22(a)			135,000				139,556
LSB Industries, Inc. 8.50%, 8/1/19(b)(d)			203,000				203,508
M/I Homes, Inc. 6.75%, 1/15/21			324,000				335,340
Mallinckrodt International Finance S.A. 4.88%, 4/15/20(a)(b)			300,000				291,750
Manitowoc Co., Inc. (The) 12.75%, 8/15/21(a)			225,000				254,812
Martin Midstream Partners L.P. 7.25%, 2/15/21			140,000				140,700
Mattel, Inc. 4.35%, 10/1/20(b)			200,000				201,000
McClatchy Co. (The) 9.00%, 12/15/22			125,000				130,938
McDermott International, Inc. 8.00%, 5/1/21(a)			305,000				313,769
MDC Holdings, Inc. 5.63%, 2/1/20			186,000				193,440
Men’s Wearhouse, Inc. (The) 7.00%, 7/1/22			179,000				179,000
Meritage Homes Corp. 7.15%, 4/15/20			419,000				449,377
7.00%, 4/1/22			118,000				130,685
MGM Resorts International 6.75%, 10/1/20			772,000				826,040
6.63%, 12/15/21			506,000				548,023
MHGE Parent LLC 8.50%, 8/1/19, Toggle PIK (8.50% Cash or 9.25% PIK)(a)(b)			44,000				44,000
Midas Intermediate Holdco II LLC 7.88%, 10/1/22(a)			161,000				163,616
Midcontinent Express Pipeline LLC 6.70%, 9/15/19(a)			300,000				309,375
Molina Healthcare, Inc. 5.38%, 11/15/22			536,000				536,000
Momentive Performance Materials, Inc. 3.88%, 10/24/21			200,000				208,500
Monitronics International, Inc. 9.13%, 4/1/20(b)			200,000				175,000
Moog, Inc. 5.25%, 12/1/22(a)			175,000				180,688
Murphy Oil Corp. 4.00%, 6/1/22			150,000				146,625
4.45%, 12/1/22			100,000				99,000
Murray Energy Corp. 11.25%, 4/15/21(a)			250,000				111,250
Nabors Industries, Inc. 5.00%, 9/15/20			200,000				201,500
National CineMedia LLC 6.00%, 4/15/22			186,000				188,558
Nationstar Mortgage LLC 7.88%, 10/1/20			245,000				251,584
6.50%, 7/1/21			225,000				230,626
Natural Resource Partners L.P. 10.50%, 3/15/22			150,000				159,000
Navient Corp. 5.50%, 1/15/19			869,000				883,947
8.00%, 3/25/20			1,000,000				1,073,750
5.00%, 10/26/20			400,000				403,500
5.88%, 3/25/21			200,000				206,750
6.63%, 7/26/21			200,000				209,500
6.50%, 6/15/22			202,000				210,838
Navios Maritime Acquisition Corp. 8.13%, 11/15/21(a)			329,000				270,602
Navios Maritime Holdings, Inc. 7.38%, 1/15/22(a)			195,000				160,266
NCL Corp., Ltd. 4.75%, 12/15/21(a)			300,000				307,125
NCR Corp. 4.63%, 2/15/21			185,000				184,075
5.00%, 7/15/22			136,000				137,020
Neiman Marcus Group Ltd. LLC 8.00%, 10/15/21(a)(b)			280,000				170,800
8.75%, 10/15/21, Toggle PIK (8.75% Cash or 9.50% PIK)(a)(b)			150,000				86,250
Neovia Logistics Services LLC 8.88%, 8/1/20(a)			90,000				71,550
Netflix, Inc. 5.38%, 2/1/21			250,000				260,937
5.50%, 2/15/22			240,000				250,800
New Home Co., Inc. (The) 7.25%, 4/1/22			162,000				168,885
Newfield Exploration Co. 5.75%, 1/30/22			470,000				498,200
NGL Energy Partners L.P. 5.13%, 7/15/19			184,000				184,920
6.88%, 10/15/21			350,000				354,375
Nielsen Co. Luxembourg SARL (The) 5.50%, 10/1/21(a)			365,000				374,125
Nielsen Finance LLC 5.00%, 4/15/22(a)			500,000				506,875
Nine West Holdings, Inc. 8.25%, 3/15/19(a)(c)			98,000				6,370
Northern Oil and Gas, Inc. 8.00%, 6/1/20			221,000				202,768
Northwest Acquisitions ULC 7.13%, 11/1/22(a)			50,000				51,745
NRG Energy, Inc. 6.25%, 7/15/22			419,000				434,712
NuStar Logistics L.P. 4.80%, 9/1/20			451,000				456,637
Oasis Petroleum, Inc. 6.50%, 11/1/21(b)			150,000				153,375
6.88%, 3/15/22			450,000				462,094
Och-Ziff Finance Co. LLC 4.50%, 11/20/19(a)			310,000				304,575

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			89

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Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Omnimax International, Inc. 12.00%, 8/15/20(a)		$	134,000			$	144,385
OneMain Financial Holdings LLC 7.25%, 12/15/21(a)			150,000				155,925
Opal Acquisition, Inc. 10.00%, 10/1/24(a)			133,000				119,700
Orbital ATK, Inc. 5.25%, 10/1/21			300,000				307,875
Ortho-Clinical Diagnostics, Inc. 6.63%, 5/15/22(a)			250,000				249,375
Oshkosh Corp. 5.38%, 3/1/22			365,000				376,008
Outfront Media Capital LLC 5.25%, 2/15/22			100,000				102,500
Owens-Brockway Glass Container, Inc. 5.00%, 1/15/22(a)			150,000				153,563
Pacific Drilling S.A. 5.38%, 6/1/20(a)(b)(c)			100,000				41,750
Park Aerospace Holdings Ltd. 5.25%, 8/15/22(a)			671,000				674,355
Parker Drilling Co. 6.75%, 7/15/22			148,000				123,580
Peabody Energy Corp. 6.00%, 3/31/22(a)			200,000				205,750
Penske Automotive Group, Inc. 5.75%, 10/1/22			370,000				380,406
PHI, Inc. 5.25%, 3/15/19			100,000				98,625
Pinnacle Foods Finance LLC 4.88%, 5/1/21(b)			315,000				318,937
Pioneer Energy Services Corp. 6.13%, 3/15/22			150,000				136,313
Platform Specialty Products Corp. 6.50%, 2/1/22(a)			400,000				411,500
Ply Gem Industries, Inc. 6.50%, 2/1/22			100,000				104,158
Polaris Intermediate Corp. 8.50%, 12/1/22, Toggle PIK (8.500% Cash or 9.250% PIK)(a)			500,000				511,250
PQ Corp. 6.75%, 11/15/22(a)			50,000				52,938
Prestige Brands, Inc. 5.38%, 12/15/21(a)			100,000				100,500
PulteGroup, Inc. 4.25%, 3/1/21			465,000				474,300
QEP Resources, Inc. 5.38%, 10/1/22			467,000				476,340
Qwest Corp. 6.75%, 12/1/21			340,000				363,933
Range Resources Corp. 5.75%, 6/1/21			168,000				172,620
5.88%, 7/1/22			25,000				25,500
Regal Entertainment Group 5.75%, 3/15/22			250,000				257,500
Rent-A-Center, Inc. 6.63%, 11/15/20(b)			230,000				212,750
Resolute Energy Corp. 8.50%, 5/1/20			175,000				175,219
Revlon Consumer Products Corp. 5.75%, 2/15/21(b)			203,000				164,938
RHP Hotel Properties L.P. 5.00%, 4/15/21			292,000				294,555
Rite Aid Corp. 9.25%, 3/15/20			120,000				121,500
6.75%, 6/15/21			268,000				274,325
Rivers Pittsburgh Borrower LP 6.13%, 8/15/21(a)			50,000				47,500
Rockies Express Pipeline LLC 6.85%, 7/15/18(a)			221,000				224,315
Rowan Cos., Inc. 4.88%, 6/1/22			160,000				151,200
RSP Permian, Inc. 6.63%, 10/1/22			200,000				209,000
rue21, Inc. 9.00%, 10/15/21(a)(c)			50,000				602
Sable International Finance Ltd. 6.88%, 8/1/22(a)			200,000				212,500
Sable Permian Resources Land LLC 8.00%, 6/15/20(a)			160,000				162,000
7.13%, 11/1/20(a)			218,000				171,130
13.00%, 11/30/20(a)			150,000				173,438
Sabra Health Care L.P. 5.50%, 2/1/21			100,000				102,313
Safeway, Inc. 5.00%, 8/15/19			320,000				321,251
Sanchez Energy Corp. 7.75%, 6/15/21			245,000				235,200
SBA Communications Corp. 4.00%, 10/1/22(a)			650,000				640,250
Scientific Games International, Inc. 6.63%, 5/15/21			560,000				580,944
7.00%, 1/1/22(a)			133,000				139,983
10.00%, 12/1/22			150,000				163,313
Select Medical Corp. 6.38%, 6/1/21			424,000				434,028
SemGroup Corp. 5.63%, 7/15/22			235,000				233,825
SESI LLC 7.13%, 12/15/21			246,000				251,227
Signode Industrial Group Lux S.A. 6.38%, 5/1/22(a)			120,000				124,650
Silgan Holdings, Inc. 5.00%, 4/1/20			112,000				112,000
Sinclair Television Group, Inc. 6.13%, 10/1/22			300,000				310,500
SM Energy Co. 6.50%, 11/15/21(b)			260,000				265,200
6.50%, 1/1/23			125,000				125,625
Sotero Health Topco, Inc. 8.13%, 11/1/21, Toggle PIK (8.125% Cash or 8.875% PIK)(a)			100,000				101,125

 

See Notes to Financial Statements.

 

90		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

---

Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Southern Star Central Corp. 5.13%, 7/15/22(a)		$	50,000			$	51,250
Southwestern Energy Co. 4.10%, 3/15/22			100,000				94,250
Springleaf Finance Corp. 5.25%, 12/15/19			351,000				358,020
8.25%, 12/15/20			300,000				327,750
7.75%, 10/1/21			250,000				273,437
6.13%, 5/15/22			288,000				296,640
Springs Industries, Inc. 6.25%, 6/1/21			100,000				102,000
Sprint Capital Corp. 6.90%, 5/1/19			280,000				290,595
Sprint Communications, Inc. 9.00%, 11/15/18(a)			531,000				551,576
7.00%, 3/1/20(a)			350,000				370,562
7.00%, 8/15/20			460,000				482,425
Sprint Corp. 7.25%, 9/15/21			880,000				921,800
Starwood Property Trust, Inc. 5.00%, 12/15/21			266,000				272,650
Steel Dynamics, Inc. 5.13%, 10/1/21			375,000				380,625
Sungard Availability Services Capital, Inc. 8.75%, 4/1/22(a)			150,000				94,125
SUPERVALU, Inc. 6.75%, 6/1/21(b)			305,000				302,712
Surgery Center Holdings, Inc. 8.88%, 4/15/21(a)(b)			150,000				156,375
Symantec Corp. 4.20%, 9/15/20			250,000				255,359
Syniverse Foreign Holdings Corp. 9.13%, 1/15/22(a)			100,000				101,680
Synovus Financial Corp.
5.75%, 12/15/25, (5.75% fixed rate until 12/15/20; 3-month U.S. dollar London Interbank Offered Rate + 4.182% thereafter)(d)			250,000				264,375
Talen Energy Supply LLC 9.50%, 7/15/22(a)(b)			244,000				245,220
6.50%, 9/15/24(a)			250,000				193,125
Targa Resources Partners L.P. 4.13%, 11/15/19			5,000				5,050
TEGNA, Inc. 5.13%, 10/15/19			53,000				53,795
5.13%, 7/15/20			250,000				253,750
4.88%, 9/15/21(a)			100,000				101,625
Tenet Healthcare Corp. 6.75%, 2/1/20(b)			100,000				104,000
6.00%, 10/1/20			1,167,000				1,218,045
4.38%, 10/1/21			350,000				350,000
8.13%, 4/1/22			500,000				529,375
TIBCO Software, Inc. 11.38%, 12/1/21(a)			100,000				109,206
TMX Finance LLC 8.50%, 9/15/18(a)			60,000				57,750
Toll Brothers Finance Corp. 4.00%, 12/31/18			200,000				201,750
5.88%, 2/15/22			303,000				323,831
Tops Holding LLC 8.00%, 6/15/22(a)(b)(c)			50,000				26,500
TPC Group, Inc. 8.75%, 12/15/20(a)			281,000				283,810
TransDigm, Inc. 5.50%, 10/15/20			388,000				391,880
6.00%, 7/15/22			260,000				266,825
Transocean, Inc. 6.50%, 11/15/20			220,000				228,800
8.38%, 12/15/21			250,000				273,750
Transworld Systems, Inc. 9.50%, 8/15/21(a)(c)			50,000				13,750
TRI Pointe Group, Inc. 4.38%, 6/15/19			461,000				464,457
Tribune Media Co. 5.88%, 7/15/22			422,000				432,550
Triumph Group, Inc. 4.88%, 4/1/21			310,000				303,800
Tronox Finance LLC 7.50%, 3/15/22(a)			250,000				260,000
Ultra Resources, Inc. 6.88%, 4/15/22(a)(b)			250,000				227,813
Unit Corp. 6.63%, 5/15/21			400,000				399,000
United Continental Holdings, Inc. 6.00%, 12/1/20			335,000				356,775
4.25%, 10/1/22			50,000				49,906
United States Steel Corp. 7.38%, 4/1/20(b)			250,000				268,550
8.38%, 7/1/21(a)			299,000				320,677
Universal Hospital Services, Inc. 7.63%, 8/15/20			135,000				137,025
Urban One, Inc. 7.38%, 4/15/22(a)			25,000				25,188
Valeant Pharmaceuticals International 6.38%, 10/15/20(a)			400,000				403,500
Valeant Pharmaceuticals International, Inc. 5.38%, 3/15/20(a)(b)			973,000				974,216
5.63%, 12/1/21(a)			500,000				474,375
6.50%, 3/15/22(a)			400,000				417,500
Vertiv Intermediate Holding Corp. 12.00%, 2/15/22, Toggle PIK (12.00% Cash or 13.00% PIK)(a)			129,000				138,191
VFH Parent LLC 6.75%, 6/15/22(a)			240,000				252,144
Viacom, Inc.
5.88%, 2/28/57, (5.875% fixed rate until 2/28/22; 3-month U.S. dollar London Interbank Offered Rate + 3.895% thereafter)(d)			360,000				363,559
Weatherford International Ltd. 9.63%, 3/1/19(b)			110,000				117,920
5.13%, 9/15/20			200,000				201,500
4.50%, 4/15/22(b)			242,000				214,170

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			91

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Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
WESCO Distribution, Inc. 5.38%, 12/15/21		$	328,000			$	335,380
Whiting Petroleum Corp. 5.75%, 3/15/21(b)			350,000				358,750
William Carter Co. (The) 5.25%, 8/15/21			250,000				255,781
William Lyon Homes, Inc. 7.00%, 8/15/22			300,000				308,250
Williams Scotsman International, Inc. 7.88%, 12/15/22(a)			25,000				26,250
Windstream Services LLC 7.75%, 10/15/20(b)			253,000				218,845
8.63%, 10/31/25(a)(b)			75,000				70,500
WMG Acquisition Corp. 6.75%, 4/15/22(a)			100,000				104,000
WPX Energy, Inc. 7.50%, 8/1/20			194,000				208,550
6.00%, 1/15/22			300,000				312,750
WR Grace & Co-Conn 5.13%, 10/1/21(a)			260,000				269,750
Xerium Technologies, Inc. 9.50%, 8/15/21			150,000				151,500
XPO Logistics, Inc. 6.50%, 6/15/22(a)			520,000				542,100
York Risk Services Holding Corp. 8.50%, 10/1/22(a)			100,000				95,250
Yum! Brands, Inc. 3.88%, 11/1/20			125,000				126,250
TOTAL CORPORATE BONDS (Cost: $120,926,273)							120,162,891
FOREIGN CORPORATE BONDS – 12.7%
Argentina – 0.0%
Tecpetrol S.A. 4.88%, 12/12/22(a)			50,000				48,900
Australia – 0.5%
Barminco Finance Pty Ltd. 6.63%, 5/15/22(a)			25,000				24,750
BlueScope Steel Finance Ltd. 6.50%, 5/15/21(a)			125,000				130,000
FMG Resources August 2006 Pty Ltd. 4.75%, 5/15/22(a)			450,000				451,350
Virgin Australia Holdings Ltd. 8.50%, 11/15/19(a)			115,000				119,971
Total Australia							726,071
Bermuda – 0.2%
Teekay Corp. 8.50%, 1/15/20(b)			293,000				306,185
Canada – 3.6%
1011778 BC ULC 4.63%, 1/15/22(a)			200,000				201,750
Air Canada 7.75%, 4/15/21(a)(b)			367,000				406,911
Athabasca Oil Corp. 9.88%, 2/24/22(a)			150,000				150,750
Baffinland Iron Mines Corp. 12.00%, 2/1/22(a)			107,000				116,898
Baytex Energy Corp. 5.13%, 6/1/21(a)			150,000				141,750
Bombardier, Inc. 7.75%, 3/15/20(a)			302,000				323,517
8.75%, 12/1/21(a)			794,000				874,392
5.75%, 3/15/22(a)(b)			475,000				476,187
Brookfield Residential Properties, Inc. 6.50%, 12/15/20(a)(b)			155,000				158,209
6.13%, 7/1/22(a)			251,000				260,413
Calfrac Holdings L.P. 7.50%, 12/1/20(a)			294,000				293,353
Cascades, Inc. 5.50%, 7/15/22(a)			135,000				137,363
Cooke Omega Investments, Inc. 8.50%, 12/15/22(a)			25,000				25,375
Eldorado Gold Corp. 6.13%, 12/15/20(a)			100,000				97,500
GFL Environmental, Inc. 5.63%, 5/1/22(a)			228,000				233,700
goeasy Ltd. 7.88%, 11/1/22(a)			25,000				26,656
Imperial Metals Corp. 7.00%, 3/15/19(a)			100,000				94,500
Jupiter Resources, Inc. 8.50%, 10/1/22(a)			450,000				214,875
Kinross Gold Corp. 5.13%, 9/1/21			211,000				218,913
Kissner Holdings L.P. 8.38%, 12/1/22(a)			75,000				76,500
Mountain Province Diamonds, Inc. 8.00%, 12/15/22(a)			25,000				25,195
Taseko Mines Ltd. 8.75%, 6/15/22(a)			150,000				157,125
Videotron Ltd. 5.00%, 7/15/22			420,000				434,175
Total Canada							5,146,007
Finland – 0.2%
Nokia Oyj 5.38%, 5/15/19			255,000				261,768
France – 0.9%
Credit Agricole S.A.
8.38%, 10/13/19, (8.375% fixed rate until 10/13/19; 3-month U.S. dollar London Interbank Offered Rate + 6.982% thereafter)(a)(d)(e)			200,000				216,250
SFR Group S.A. 6.00%, 5/15/22(a)			1,171,000				1,138,798
Total France							1,355,048
Germany – 0.3%
Welltec A/S 9.50%, 12/1/22(a)			200,000				208,100
ZF North America Capital, Inc. 4.50%, 4/29/22(a)			191,000				196,491
Total Germany							404,591

 

See Notes to Financial Statements.

 

92		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Ireland – 0.3%
Ardagh Packaging Finance PLC 6.00%, 6/30/21(a)(b)		$	200,000			$	205,250
4.25%, 9/15/22(a)			258,000				257,678
Total Ireland							462,928
Japan – 0.4%
SoftBank Group Corp. 4.50%, 4/15/20(a)			600,000				606,750
Liberia – 0.0%
Eletson Holdings, Inc. 9.63%, 1/15/22(a)			50,000				26,250
Luxembourg – 2.3%
Altice Luxembourg S.A. 7.75%, 5/15/22(a)			855,000				800,494
ArcelorMittal 5.50%, 8/5/20(b)			677,000				706,788
Coveris Holdings S.A. 7.88%, 11/1/19(a)			236,000				235,316
Intelsat Connect Finance S.A. 12.50%, 4/1/22(a)(b)			150,000				121,313
Intelsat Jackson Holdings S.A. 7.25%, 10/15/20(b)			998,000				934,377
7.50%, 4/1/21			50,000				45,656
9.50%, 9/30/22(a)(b)			228,000				262,200
Intelsat Luxembourg S.A. 7.75%, 6/1/21(b)			250,000				143,750
Total Luxembourg							3,249,894
Netherlands – 1.1%
Fiat Chrysler Automobiles N.V. 4.50%, 4/15/20			300,000				305,250
Lincoln Finance Ltd. 7.38%, 4/15/21(a)			200,000				208,750
NXP B.V. 4.13%, 6/15/20(a)			355,000				362,100
4.13%, 6/1/21(a)			505,000				515,201
3.88%, 9/1/22(a)			249,000				250,170
Total Netherlands							1,641,471
New Zealand – 0.6%
Reynolds Group Issuer, Inc. 5.75%, 10/15/20			581,465				590,913
Trilogy International Partners LLC 8.88%, 5/1/22(a)(b)			220,000				226,050
Total New Zealand							816,963
Norway – 0.1%
Aker BP ASA 6.00%, 7/1/22(a)			200,000				208,500
Sweden – 0.5%
Perstorp Holding AB 11.00%, 9/30/21(a)(b)			200,000				220,000
Telefonaktiebolaget LM Ericsson 4.13%, 5/15/22			485,000				480,881
Total Sweden							700,881
United Kingdom – 1.7%
Avon International Operations, Inc. 7.88%, 8/15/22(a)			254,000				262,890
CEVA Group PLC 4.00%, 5/1/18(a)			150,000				149,993
7.00%, 3/1/21(a)(b)			150,000				148,500
Inmarsat Finance PLC 4.88%, 5/15/22(a)			300,000				298,590
Jaguar Land Rover Automotive PLC 4.25%, 11/15/19(a)			350,000				353,062
KCA Deutag UK Finance PLC 9.88%, 4/1/22(a)			228,000				241,110
Petrofac Ltd. 3.40%, 10/10/18(a)			50,000				49,750
Royal Bank of Scotland Group PLC 4.70%, 7/3/18(b)			281,000				282,742
6.13%, 12/15/22			600,000				640,458
Total United Kingdom							2,427,095
TOTAL FOREIGN CORPORATE BONDS (Cost: $18,658,633)							18,389,302
		Shares
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 7.7%
United States – 7.7%
State Street Navigator Securities Lending Government Money Market Portfolio, 1.38%(f)
(Cost: $11,130,435)(g)			11,130,435				11,130,435
TOTAL INVESTMENTS IN SECURITIES – 103.5% (Cost: $150,715,341)							149,682,628
Other Assets less Liabilities – (3.5)%							(5,047,146	)
NET ASSETS – 100.0%						$	144,635,482

(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, 2018 (See Note 2).

 

(c)	Security in default on interest payments.

 

(d)	Rate shown reflects the accrual rate as of February 28, 2018 on securities with variable or step rates.

 

(e)	The security has a perpetual maturity; the date displayed is the next call date.

 

(f)	Rate shown represents annualized 7-day yield as of February 28, 2018.

 

(g)	At February 28, 2018, the total market value of the Fund’s securities on loan was $10,915,536 and the total market value of the collateral held by the Fund was $11,309,973. The total market value of the collateral includes non-cash U.S. Government securities collateral having a value of $179,538.

(h)	Subsequent to February 28, 2018, the bond issuer filed for bankruptcy protection.

PIK – Payment In Kind.

 

FINANCIAL DERIVATIVE INSTRUMENTS
FUTURES CONTRACTS† (EXCHANGE-TRADED)
Short Exposure		Contracts				Expiration Date				Notional Amount1				Unrealized Appreciation/ (Depreciation)
2 Year U.S. Treasury Note			386				6/29/18			$	(82,012,938	)		$	58,594
5 Year U.S. Treasury Note			291				6/29/18				(33,153,539	)			65,339
										$	(115,166,477	)		$	123,933

†	As of February 28, 2018, cash collateral posted by the Fund with the broker for futures contracts was $305,399.

 

1	“Notional Amount” represents the current notional value of the futures contract.

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			93

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Table of Contents

Schedule of Investments (unaudited)

WisdomTree Negative Duration High Yield Bond Fund (HYND)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
CORPORATE BONDS – 87.3%
United States – 87.3%
24 Hour Fitness Worldwide, Inc. 8.00%, 6/1/22(a)		$	35,000			$	35,000
Acadia Healthcare Co., Inc. 5.13%, 7/1/22			50,000				50,855
ACI Worldwide, Inc. 6.38%, 8/15/20(a)			50,000				50,563
Actuant Corp. 5.63%, 6/15/22			50,000				50,937
ADT Corp. (The) 3.50%, 7/15/22			100,000				96,000
Advanced Micro Devices, Inc. 7.50%, 8/15/22			40,000				44,100
AECOM 5.75%, 10/15/22			50,000				52,440
AES Corp. 7.38%, 7/1/21			50,000				55,250
Aircastle Ltd. 5.13%, 3/15/21			100,000				103,125
Aleris International, Inc. 7.88%, 11/1/20			50,000				49,779
9.50%, 4/1/21(a)			50,000				52,687
Allegheny Technologies, Inc. 5.95%, 1/15/21			50,000				51,187
Allegiant Travel Co. 5.50%, 7/15/19			50,000				51,312
Alliance One International, Inc. 8.50%, 4/15/21(a)			25,000				26,063
9.88%, 7/15/21			50,000				48,438
Ally Financial, Inc. 3.75%, 11/18/19			50,000				50,400
7.50%, 9/15/20			200,000				218,000
4.25%, 4/15/21			50,000				50,750
American Airlines Group, Inc. 5.50%, 10/1/19(a)			75,000				76,875
American Axle & Manufacturing, Inc. 6.25%, 3/15/21(b)			50,000				50,849
American Midstream Partners L.P. 8.50%, 12/15/21(a)			50,000				51,000
American Tire Distributors, Inc. 10.25%, 3/1/22(a)			50,000				52,318
Amkor Technology, Inc. 6.63%, 6/1/21			25,000				25,250
Anixter, Inc. 5.63%, 5/1/19			36,000				36,900
Antero Resources Corp. 5.38%, 11/1/21			50,000				51,312
APX Group, Inc. 6.38%, 12/1/19			6,000				6,098
8.75%, 12/1/20			50,000				50,500
7.88%, 12/1/22			40,000				42,250
Archrock Partners L.P. 6.00%, 4/1/21			50,000				50,375
Arconic, Inc. 6.15%, 8/15/20			100,000				106,233
Artesyn Embedded Technologies, Inc. 9.75%, 10/15/20(a)			50,000				48,500
Ascent Resources Utica Holdings LLC 10.00%, 4/1/22(a)			65,000				69,550
Ashland LLC 4.75%, 8/15/22			75,000				76,875
AV Homes, Inc. 6.63%, 5/15/22			50,000				51,687
Avis Budget Car Rental LLC 5.13%, 6/1/22(a)(b)			50,000				50,063
Avon Products, Inc. 6.60%, 3/15/20(b)			50,000				50,500
B&G Foods, Inc. 4.63%, 6/1/21			40,000				40,250
Beazer Homes USA, Inc. 5.75%, 6/15/19			5,000				5,163
8.75%, 3/15/22			25,000				27,063
Bill Barrett Corp. 7.00%, 10/15/22			25,000				25,125
Blackboard, Inc. 9.75%, 10/15/21(a)(b)			25,000				22,750
Blue Racer Midstream LLC 6.13%, 11/15/22(a)			40,000				41,200
BMC Software Finance, Inc. 8.13%, 7/15/21(a)			75,000				75,656
Boxer Parent Co., Inc. 9.00%, 10/15/19, Toggle PIK (9.00% Cash or 9.75% PIK)(a)			13,000				13,033
Bristow Group, Inc. 6.25%, 10/15/22			50,000				43,000
Cablevision Systems Corp. 8.00%, 4/15/20			75,000				79,890
5.88%, 9/15/22			35,000				35,088
California Resources Corp. 8.00%, 12/15/22(a)(b)			50,000				39,813
Calpine Corp. 6.00%, 1/15/22(a)			40,000				41,300
5.38%, 1/15/23(b)			55,000				53,831
Calumet Specialty Products Partners L.P. 6.50%, 4/15/21(b)			70,000				68,600
CCO Holdings LLC 5.25%, 9/30/22			60,000				61,200
CEC Entertainment, Inc. 8.00%, 2/15/22			25,000				24,375
Centene Corp. 5.63%, 2/15/21			50,000				51,312
4.75%, 5/15/22			30,000				30,656
Century Aluminum Co. 7.50%, 6/1/21(a)			50,000				51,500
CenturyLink, Inc. 5.63%, 4/1/20, Series V			150,000				152,805
Cenveo Corp. 6.00%, 8/1/19(a)(c)			25,000				12,000
Cequel Communications Holdings I LLC 6.38%, 9/15/20(a)			93,000				94,279

 

See Notes to Financial Statements.

 

94		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Negative Duration High Yield Bond Fund (HYND)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Ceridian HCM Holding, Inc. 11.00%, 3/15/21(a)		$	50,000			$	51,729
CF Industries, Inc. 7.13%, 5/1/20			50,000				53,437
Chesapeake Energy Corp. 6.13%, 2/15/21			60,000				60,900
8.00%, 12/15/22(a)			50,000				53,375
Choice Hotels International, Inc. 5.75%, 7/1/22			50,000				53,687
Cinemark USA, Inc. 5.13%, 12/15/22			19,000				19,380
CIT Group, Inc. 5.38%, 5/15/20			30,000				31,088
5.00%, 8/15/22			100,000				103,375
Citgo Holding, Inc. 10.75%, 2/15/20(a)			50,000				53,875
Claire’s Stores, Inc. 9.00%, 3/15/19(a)(c)			50,000				34,250
Clean Harbors, Inc. 5.13%, 6/1/21			50,000				50,438
Clear Channel Worldwide Holdings, Inc. 7.63%, 3/15/20, Series A			50,000				49,750
6.50%, 11/15/22, Series A			38,000				39,159
6.50%, 11/15/22, Series B			55,000				56,650
Cloud Peak Energy Resources LLC 12.00%, 11/1/21			25,000				26,625
CNX Resources Corp. 5.88%, 4/15/22			75,000				75,609
Community Health Systems, Inc. 8.00%, 11/15/19(b)			100,000				94,238
5.13%, 8/1/21(b)			30,000				27,825
6.88%, 2/1/22(b)			50,000				32,875
Comstock Resources, Inc. 10.00%, 3/15/20, Toggle PIK (10.00% Cash or 12.25% PIK)			25,000				26,000
Continental Resources, Inc. 5.00%, 9/15/22			100,000				101,750
CoreCivic, Inc. 4.13%, 4/1/20			50,000				50,250
Credit Acceptance Corp. 6.13%, 2/15/21			50,000				50,500
Crescent Communities LLC 8.88%, 10/15/21(a)			25,000				26,500
Crown Americas LLC 4.50%, 1/15/23			45,000				45,563
CVR Refining LLC 6.50%, 11/1/22			50,000				51,437
Darling Ingredients, Inc. 5.38%, 1/15/22			50,000				51,375
DaVita, Inc. 5.75%, 8/15/22			50,000				51,500
DCP Midstream Operating L.P. 5.35%, 3/15/20(a)			72,000				74,160
Dell International LLC 5.88%, 6/15/21(a)			45,000				46,125
Dell, Inc. 5.65%, 4/15/18			150,000				151,012
5.88%, 6/15/19(b)			50,000				51,568
DISH DBS Corp. 4.25%, 4/1/18			140,000				140,525
5.13%, 5/1/20			50,000				50,125
6.75%, 6/1/21			80,000				82,400
5.88%, 7/15/22			50,000				48,938
DJO Finco, Inc. 8.13%, 6/15/21(a)			25,000				24,375
Dollar Tree, Inc. 5.25%, 3/1/20			75,000				75,984
DPL, Inc. 7.25%, 10/15/21			40,000				43,750
Dun & Bradstreet Corp. (The) 4.25%, 6/15/20			10,000				10,154
DynCorp International, Inc. 11.88%, 11/30/20, (10.375% Cash + 1.50% PIK)			25,375				26,644
Dynegy, Inc. 6.75%, 11/1/19			50,000				51,200
7.38%, 11/1/22			50,000				52,812
Eagle Holding Co. II LLC 7.63%, 5/15/22, Toggle PIK (7.625% Cash or 8.375% PIK)(a)			35,000				35,088
EMC Corp. 2.65%, 6/1/20			50,000				48,664
Endo Finance LLC 5.75%, 1/15/22(a)			100,000				82,250
Energen Corp. 4.63%, 9/1/21			25,000				24,875
Energy Transfer Equity L.P. 7.50%, 10/15/20			59,000				64,162
Enova International, Inc. 9.75%, 6/1/21			30,000				31,763
EnPro Industries, Inc. 5.88%, 9/15/22			50,000				52,077
Envision Healthcare Corp. 5.13%, 7/1/22(a)			50,000				50,625
EP Energy LLC 9.38%, 5/1/24(a)			45,000				33,413
Equinix, Inc. 5.38%, 1/1/22			50,000				51,937
EV Energy Partners L.P. 8.00%, 4/15/19(h)			25,000				12,625
FBM Finance, Inc. 8.25%, 8/15/21(a)			25,000				26,500
Ferrellgas L.P. 6.50%, 5/1/21			50,000				47,500
First Quality Finance Co., Inc. 4.63%, 5/15/21(a)			35,000				35,000
Fortress Transportation & Infrastructure Investors LLC 6.75%, 3/15/22(a)			40,000				41,350
Forum Energy Technologies, Inc. 6.25%, 10/1/21			50,000				49,938

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			95

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Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Negative Duration High Yield Bond Fund (HYND)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Freeport-McMoRan, Inc. 3.10%, 3/15/20		$	100,000			$	99,375
4.00%, 11/14/21			100,000				100,000
Frontier Communications Corp. 8.13%, 10/1/18			50,000				50,985
8.50%, 4/15/20(b)			50,000				49,188
6.25%, 9/15/21			50,000				42,813
FTI Consulting, Inc. 6.00%, 11/15/22			50,000				51,500
GameStop Corp. 6.75%, 3/15/21(a)			50,000				51,437
Gates Global LLC 6.00%, 7/15/22(a)			3,000				3,053
GCI, Inc. 6.75%, 6/1/21			30,000				30,488
General Cable Corp. 5.75%, 10/1/22			35,000				36,138
Genesis Energy L.P. 6.75%, 8/1/22			25,000				25,813
GenOn Energy, Inc. 7.88%, 6/15/17(c)			70,000				60,025
Genworth Holdings, Inc. 7.63%, 9/24/21(b)			75,000				73,950
GEO Group, Inc. (The) 5.88%, 1/15/22			50,000				51,562
Global Partners L.P. 6.25%, 7/15/22			50,000				50,375
GLP Capital L.P. 4.88%, 11/1/20			80,000				82,000
Great Lakes Dredge & Dock Corp. 8.00%, 5/15/22			25,000				26,063
Griffon Corp. 5.25%, 3/1/22			60,000				60,375
Group 1 Automotive, Inc. 5.00%, 6/1/22			50,000				51,250
Harland Clarke Holdings Corp. 6.88%, 3/1/20(a)			50,000				50,875
9.25%, 3/1/21(a)			30,000				31,125
HC2 Holdings, Inc. 11.00%, 12/1/19(a)			50,000				51,250
HCA Healthcare, Inc. 6.25%, 2/15/21			125,000				131,875
HCA, Inc. 3.75%, 3/15/19			100,000				100,878
6.50%, 2/15/20			85,000				89,887
5.88%, 3/15/22			30,000				31,875
Hertz Corp. (The) 7.38%, 1/15/21(b)			75,000				75,000
Hexion, Inc. 6.63%, 4/15/20			100,000				93,500
Hornbeck Offshore Services, Inc. 5.88%, 4/1/20			25,000				17,375
5.00%, 3/1/21			25,000				14,875
HRG Group, Inc. 7.75%, 1/15/22			20,000				20,888
Hub Holdings LLC 8.13%, 7/15/19, Toggle PIK (8.125% Cash or 8.875% PIK)(a)			50,000				50,125
Hughes Satellite Systems Corp. 6.50%, 6/15/19			30,000				31,125
7.63%, 6/15/21			50,000				54,000
Huntsman International LLC 4.88%, 11/15/20			75,000				76,990
Icahn Enterprises L.P. 6.00%, 8/1/20			100,000				102,012
5.88%, 2/1/22			50,000				50,188
iHeartCommunications, Inc. 9.00%, 12/15/19(c)			81,000				64,800
9.00%, 3/1/21(c)			50,000				40,000
Immucor, Inc. 11.13%, 2/15/22(a)			25,000				26,063
Infor Software Parent LLC 7.13%, 5/1/21, Toggle PIK (7.125% Cash or 7.875% PIK)(a)			25,000				25,531
Infor U.S., Inc. 6.50%, 5/15/22			70,000				71,925
iStar, Inc. 5.00%, 7/1/19			39,000				39,122
6.00%, 4/1/22			75,000				75,562
Jack Ohio Finance LLC 6.75%, 11/15/21(a)			35,000				36,556
10.25%, 11/15/22(a)			25,000				27,438
Joseph T Ryerson & Son, Inc. 11.00%, 5/15/22(a)			35,000				39,055
Jurassic Holdings III, Inc. 6.88%, 2/15/21(a)			30,000				26,700
KB Home 4.75%, 5/15/19			100,000				101,750
Kindred Healthcare, Inc. 8.00%, 1/15/20			50,000				53,687
Kinetic Concepts, Inc. 7.88%, 2/15/21(a)			25,000				25,906
12.50%, 11/1/21(a)			30,000				33,975
KLX, Inc. 5.88%, 12/1/22(a)			50,000				51,687
L Brands, Inc. 7.00%, 5/1/20			75,000				80,672
Ladder Capital Finance Holdings LLLP 5.25%, 3/15/22(a)			50,000				50,500
Lamar Media Corp. 5.88%, 2/1/22			50,000				51,170
Laredo Petroleum, Inc. 5.63%, 1/15/22			50,000				49,750
Lee Enterprises, Inc. 9.50%, 3/15/22(a)			30,000				31,575
Legacy Reserves L.P. 6.63%, 12/1/21			25,000				18,469
Lennar Corp. 8.38%, 5/15/18(a)			59,000				59,737
4.50%, 6/15/19			150,000				152,062
6.25%, 12/15/21(a)			50,000				53,615

 

See Notes to Financial Statements.

 

96		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Negative Duration High Yield Bond Fund (HYND)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Level 3 Financing, Inc. 5.38%, 8/15/22		$	100,000			$	101,250
Level 3 Parent LLC 5.75%, 12/1/22			35,000				35,438
Lexmark International, Inc. 7.13%, 3/15/20			50,000				51,062
LifePoint Health, Inc. 5.50%, 12/1/21			50,000				50,563
LIN Television Corp. 5.88%, 11/15/22			25,000				25,938
M/I Homes, Inc. 6.75%, 1/15/21			50,000				51,750
Mallinckrodt International Finance S.A. 5.75%, 8/1/22(a)(b)			50,000				44,500
Manitowoc Co., Inc. (The) 12.75%, 8/15/21(a)			50,000				56,625
Martin Midstream Partners L.P. 7.25%, 2/15/21			30,000				30,150
Mattel, Inc. 4.35%, 10/1/20(b)			30,000				30,150
McDermott International, Inc. 8.00%, 5/1/21(a)			50,000				51,437
Men’s Wearhouse, Inc. (The) 7.00%, 7/1/22			35,000				35,000
Meritage Homes Corp. 7.00%, 4/1/22			50,000				55,375
MGM Resorts International 6.75%, 10/1/20			100,000				107,000
6.63%, 12/15/21			55,000				59,568
Midcontinent Express Pipeline LLC 6.70%, 9/15/19(a)			50,000				51,562
Molina Healthcare, Inc. 5.38%, 11/15/22			25,000				25,000
Momentive Performance Materials, Inc. 3.88%, 10/24/21			50,000				52,125
Monitronics International, Inc. 9.13%, 4/1/20(b)			25,000				21,875
Murphy Oil Corp. 4.45%, 12/1/22			35,000				34,650
Nabors Industries, Inc. 5.00%, 9/15/20			50,000				50,375
4.63%, 9/15/21			50,000				49,000
National CineMedia LLC 6.00%, 4/15/22			30,000				30,413
Nationstar Mortgage LLC 7.88%, 10/1/20			25,000				25,672
Natural Resource Partners L.P. 10.50%, 3/15/22			30,000				31,800
Navient Corp. 8.45%, 6/15/18			160,000				162,400
8.00%, 3/25/20			100,000				107,375
6.50%, 6/15/22			100,000				104,375
Navios Maritime Acquisition Corp. 8.13%, 11/15/21(a)			25,000				20,563
NCL Corp., Ltd. 4.75%, 12/15/21(a)			50,000				51,187
NCR Corp. 4.63%, 2/15/21			50,000				49,750
Neiman Marcus Group Ltd. LLC 8.00%, 10/15/21(a)			50,000				30,500
Netflix, Inc. 5.38%, 2/1/21			50,000				52,187
5.50%, 2/15/22			25,000				26,125
New Home Co., Inc. (The) 7.25%, 4/1/22			50,000				52,125
Newfield Exploration Co. 5.75%, 1/30/22			50,000				53,000
NGL Energy Partners L.P. 6.88%, 10/15/21			40,000				40,500
Nielsen Co. Luxembourg SARL (The) 5.50%, 10/1/21(a)			100,000				102,500
Nielsen Finance LLC 5.00%, 4/15/22(a)			25,000				25,344
Nine West Holdings, Inc. 8.25%, 3/15/19(a)(c)			25,000				1,625
Northern Oil and Gas, Inc. 8.00%, 6/1/20			25,000				22,938
NRG Energy, Inc. 6.25%, 7/15/22			50,000				51,875
Nuance Communications, Inc. 5.38%, 8/15/20(a)			20,000				20,225
NuStar Logistics L.P. 4.80%, 9/1/20			75,000				75,937
Oasis Petroleum, Inc. 6.50%, 11/1/21			50,000				51,125
6.88%, 3/15/22(b)			50,000				51,344
Och-Ziff Finance Co. LLC 4.50%, 11/20/19(a)			50,000				49,125
OneMain Financial Holdings LLC 7.25%, 12/15/21(a)			40,000				41,580
Orbital ATK, Inc. 5.25%, 10/1/21			50,000				51,312
Ortho-Clinical Diagnostics, Inc. 6.63%, 5/15/22(a)			75,000				74,812
Oshkosh Corp. 5.38%, 3/1/22			40,000				41,206
Outfront Media Capital LLC 5.25%, 2/15/22			30,000				30,750
Park Aerospace Holdings Ltd. 5.25%, 8/15/22(a)			60,000				60,300
PHI, Inc. 5.25%, 3/15/19			25,000				24,656
Pinnacle Foods Finance LLC 4.88%, 5/1/21			50,000				50,625
Platform Specialty Products Corp. 6.50%, 2/1/22(a)			55,000				56,581
Polaris Intermediate Corp. 8.50%, 12/1/22, Toggle PIK (8.500% Cash or 9.250% PIK)(a)			50,000				51,125
PulteGroup, Inc. 4.25%, 3/1/21			75,000				76,500
QEP Resources, Inc. 5.38%, 10/1/22			40,000				40,800

 

See Notes to Financial Statements.

 

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Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Negative Duration High Yield Bond Fund (HYND)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
Qwest Corp. 6.75%, 12/1/21		$	30,000			$	32,112
Radian Group, Inc. 5.50%, 6/1/19			38,000				38,998
Realogy Group LLC 5.25%, 12/1/21(a)			30,000				30,413
Regal Entertainment Group 5.75%, 3/15/22			25,000				25,750
Rent-A-Center, Inc. 6.63%, 11/15/20(b)			50,000				46,250
Resolute Energy Corp. 8.50%, 5/1/20			25,000				25,031
Revlon Consumer Products Corp. 5.75%, 2/15/21			50,000				40,625
RHP Hotel Properties L.P. 5.00%, 4/15/21			50,000				50,438
Rite Aid Corp. 6.75%, 6/15/21			75,000				76,770
Rockies Express Pipeline LLC 5.63%, 4/15/20(a)			28,000				29,225
Rowan Cos., Inc. 4.88%, 6/1/22			50,000				47,250
RSP Permian, Inc. 6.63%, 10/1/22			25,000				26,125
rue21, Inc. 9.00%, 10/15/21(a)(c)			25,000				301
Sable Permian Resources Land LLC 7.13%, 11/1/20(a)			25,000				19,625
Safeway, Inc. 5.00%, 8/15/19(b)			50,000				50,196
SBA Communications Corp. 4.88%, 7/15/22			25,000				25,375
4.00%, 10/1/22(a)			50,000				49,250
Scientific Games International, Inc. 6.63%, 5/15/21			50,000				51,870
7.00%, 1/1/22(a)			33,000				34,733
Sealed Air Corp. 4.88%, 12/1/22(a)			30,000				31,013
Select Medical Corp. 6.38%, 6/1/21			50,000				51,182
SemGroup Corp. 5.63%, 7/15/22			25,000				24,875
SESI LLC 7.13%, 12/15/21			25,000				25,531
Silgan Holdings, Inc. 5.00%, 4/1/20			50,000				50,000
Sinclair Television Group, Inc. 5.38%, 4/1/21			30,000				30,450
6.13%, 10/1/22			30,000				31,050
Sirius XM Radio, Inc. 3.88%, 8/1/22(a)			50,000				49,250
SM Energy Co. 6.50%, 11/15/21(b)			25,000				25,500
6.50%, 1/1/23			25,000				25,125
Southwestern Energy Co. 4.10%, 3/15/22			50,000				47,125
Springleaf Finance Corp. 5.25%, 12/15/19			75,000				76,500
8.25%, 12/15/20			25,000				27,313
6.13%, 5/15/22			75,000				77,250
Springs Industries, Inc. 6.25%, 6/1/21			35,000				35,700
Sprint Capital Corp. 6.90%, 5/1/19			50,000				51,892
Sprint Communications, Inc. 9.00%, 11/15/18(a)			43,000				44,666
7.00%, 3/1/20(a)			50,000				52,937
7.00%, 8/15/20			100,000				104,875
Sprint Corp. 7.25%, 9/15/21			115,000				120,462
Starwood Property Trust, Inc. 5.00%, 12/15/21			50,000				51,250
Steel Dynamics, Inc. 5.13%, 10/1/21			50,000				50,750
Sungard Availability Services Capital, Inc. 8.75%, 4/1/22(a)			25,000				15,688
Sunoco L.P. 4.88%, 1/15/23(a)			50,000				49,870
SUPERVALU, Inc. 6.75%, 6/1/21(b)			25,000				24,813
Surgery Center Holdings, Inc. 8.88%, 4/15/21(a)			30,000				31,275
Symantec Corp. 4.20%, 9/15/20			50,000				51,072
Synovus Financial Corp.
5.75%, 12/15/25, (5.75% fixed rate until 12/15/20; 3-month U.S. dollar London Interbank Offered Rate + 4.182% thereafter)(d)			25,000				26,438
Talen Energy Supply LLC 9.50%, 7/15/22(a)(b)			50,000				50,250
6.50%, 9/15/24(a)			50,000				38,625
Taylor Morrison Communities, Inc. 5.25%, 4/15/21(a)			50,000				50,563
TEGNA, Inc. 4.88%, 9/15/21(a)			50,000				50,812
Tenet Healthcare Corp. 4.75%, 6/1/20			75,000				76,500
6.00%, 10/1/20			100,000				104,374
7.50%, 1/1/22(a)			50,000				52,937
8.13%, 4/1/22			110,000				116,462
TIBCO Software, Inc. 11.38%, 12/1/21(a)			50,000				54,603
Toll Brothers Finance Corp. 4.00%, 12/31/18			75,000				75,656
5.88%, 2/15/22			25,000				26,719
TPC Group, Inc. 8.75%, 12/15/20(a)			50,000				50,500
TransDigm, Inc. 6.00%, 7/15/22			60,000				61,575
Transocean, Inc. 8.38%, 12/15/21			60,000				65,700

 

See Notes to Financial Statements.

 

98		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited) (continued)

WisdomTree Negative Duration High Yield Bond Fund (HYND)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
TRI Pointe Group, Inc. 4.38%, 6/15/19		$	75,000			$	75,562
Tribune Media Co. 5.88%, 7/15/22			50,000				51,250
Triumph Group, Inc. 4.88%, 4/1/21			50,000				49,000
Tronox Finance LLC 7.50%, 3/15/22(a)			50,000				52,000
Ultra Resources, Inc. 6.88%, 4/15/22(a)(b)			50,000				45,563
Unit Corp. 6.63%, 5/15/21			50,000				49,875
United Continental Holdings, Inc. 6.38%, 6/1/18			51,000				51,446
4.25%, 10/1/22			25,000				24,953
United States Steel Corp. 7.38%, 4/1/20			30,000				32,226
8.38%, 7/1/21(a)			56,000				60,060
Universal Hospital Services, Inc. 7.63%, 8/15/20			25,000				25,375
Valeant Pharmaceuticals International, Inc. 5.38%, 3/15/20(a)(b)			200,000				200,250
6.50%, 3/15/22(a)			50,000				52,187
Weatherford International Ltd. 5.13%, 9/15/20			75,000				75,562
WESCO Distribution, Inc. 5.38%, 12/15/21			50,000				51,125
Whiting Petroleum Corp. 5.75%, 3/15/21			45,000				46,125
William Carter Co. (The) 5.25%, 8/15/21			50,000				51,156
Williams Cos., Inc. (The) 3.70%, 1/15/23			45,000				43,931
Windstream Services LLC 7.75%, 10/15/20(b)			9,000				7,785
8.63%, 10/31/25(a)(b)			18,000				16,920
WMG Acquisition Corp. 6.75%, 4/15/22(a)			35,000				36,400
WPX Energy, Inc. 7.50%, 8/1/20			51,000				54,825
WR Grace & Co-Conn 5.13%, 10/1/21(a)			50,000				51,875
Xerium Technologies, Inc. 9.50%, 8/15/21			25,000				25,250
XPO Logistics, Inc. 6.50%, 6/15/22(a)			100,000				104,250
Yum! Brands, Inc. 3.88%, 11/1/20			50,000				50,500
TOTAL CORPORATE BONDS (Cost: $16,845,804)							16,777,695
FOREIGN CORPORATE BONDS – 8.1%
Bermuda – 0.1%
Teekay Corp. 8.50%, 1/15/20(b)			25,000				26,125
Canada – 3.8%
1011778 BC ULC 4.63%, 1/15/22(a)			50,000				50,438
Air Canada 7.75%, 4/15/21(a)			50,000				55,437
Athabasca Oil Corp. 9.88%, 2/24/22(a)			50,000				50,250
Bombardier, Inc. 7.75%, 3/15/20(a)			100,000				107,125
8.75%, 12/1/21(a)			60,000				66,075
6.00%, 10/15/22(a)			50,000				50,125
Calfrac Holdings L.P. 7.50%, 12/1/20(a)			25,000				24,945
GFL Environmental, Inc. 5.63%, 5/1/22(a)			25,000				25,625
Hudbay Minerals, Inc. 7.25%, 1/15/23(a)			25,000				26,688
Imperial Metals Corp. 7.00%, 3/15/19(a)			25,000				23,625
Jupiter Resources, Inc. 8.50%, 10/1/22(a)			50,000				23,875
Open Text Corp. 5.63%, 1/15/23(a)			25,000				26,156
Precision Drilling Corp. 6.50%, 12/15/21			34,000				34,765
Quebecor Media, Inc. 5.75%, 1/15/23			40,000				41,700
Taseko Mines Ltd. 8.75%, 6/15/22(a)			50,000				52,375
Teck Resources Ltd. 4.75%, 1/15/22			50,000				51,000
Videotron Ltd. 5.00%, 7/15/22			25,000				25,844
Total Canada							736,048
Finland – 0.2%
Nokia Oyj 3.38%, 6/12/22			50,000				48,745
France – 0.4%
Credit Agricole S.A.
8.38%, 10/13/19, (8.375% fixed rate until 10/13/19; 3-month U.S. dollar London Interbank Offered Rate + 6.982% thereafter)(a)(d)(e)			71,000				76,769
Luxembourg – 1.3%
ArcelorMittal 5.50%, 8/5/20(b)			100,000				104,400
Intelsat Jackson Holdings S.A. 7.25%, 10/15/20(b)			125,000				117,031
Intelsat Luxembourg S.A. 7.75%, 6/1/21(b)			50,000				28,750
Total Luxembourg							250,181
Netherlands – 1.1%
NXP B.V. 4.13%, 6/1/21(a)			200,000				204,040

 

See Notes to Financial Statements.

 

WisdomTree Currency Strategy, Fixed Income and Alternative Funds			99

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Table of Contents

Schedule of Investments (unaudited) (concluded)

WisdomTree Negative Duration High Yield Bond Fund (HYND)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
New Zealand – 0.3%
Reynolds Group Issuer, Inc. 5.75%, 10/15/20		$	48,455			$	49,243
Sweden – 0.3%
Telefonaktiebolaget LM Ericsson 4.13%, 5/15/22			50,000				49,575
United Kingdom – 0.6%
Royal Bank of Scotland Group PLC 4.70%, 7/3/18(b)			68,000				68,422
6.13%, 12/15/22			50,000				53,371
Total United Kingdom							121,793
TOTAL FOREIGN CORPORATE BONDS (Cost: $1,566,691)							1,562,519
		Shares
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 7.2%
United States – 7.2%
State Street Navigator Securities Lending Government Money Market Portfolio, 1.38%(f)
(Cost: $1,376,358)(g)			1,376,358				1,376,358
TOTAL INVESTMENTS IN SECURITIES – 102.6% (Cost: $19,788,853)							19,716,572
Other Assets less Liabilities – (2.6)%							(493,285	)
NET ASSETS – 100.0%						$	19,223,287

(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, 2018 (See Note 2).

 

(c)	Security in default on interest payments.

 

(d)	Rate shown reflects the accrual rate as of February 28, 2018 on securities with variable or step rates.

 

(e)	The security has a perpetual maturity; the date displayed is the next call date.

 

(f)	Rate shown represents annualized 7-day yield as of February 28, 2018.

 

(g)	At February 28, 2018, the total market value of the Fund’s securities on loan was $1,327,842 and the total market value of the collateral held by the Fund was $1,376,358.

(h)	Subsequent to February 28, 2018, the bond issuer filed for bankruptcy protection.

PIK – Payment In Kind.

 

FINANCIAL DERIVATIVE INSTRUMENTS
FUTURES CONTRACTS† (EXCHANGE-TRADED)
Short Exposure		Contracts				Expiration Date				Notional Amount1				Unrealized Appreciation/ (Depreciation)
2 Year U.S. Treasury Note			5				6/29/18			$	(1,062,344	)		$	781
5 Year U.S. Treasury Note			50				6/29/18				(5,696,484	)			12,410
U.S. Treasury Ultra Long Term Bond			14				6/20/18				(2,182,250	)			152
Ultra 10 Year U.S. Treasury Note			100				6/20/18				(12,806,250	)			23,185
										$	(21,747,328	)		$	36,528

†	As of February 28, 2018, cash collateral posted by the Fund with the broker for futures contracts was $288,006.

 

1	“Notional Amount” represents the current notional value of the futures contract.

 

See Notes to Financial Statements.

 

100		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited)

WisdomTree CBOE Russell 2000 PutWrite Strategy Fund (RPUT)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
U.S. GOVERNMENT OBLIGATIONS – 62.0%
U.S. Treasury Bill – 62.0%
U.S. Treasury Bill 1.30%, 3/15/18*		$	1,500,000			$	1,499,245
TOTAL INVESTMENTS IN SECURITIES – 62.0% (Cost: $1,499,252)							1,499,245
Other Assets less Liabilities – 38.0%							920,344
NET ASSETS – 100.0%						$	2,419,589

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

 

FINANCIAL DERIVATIVE INSTRUMENTS
WRITTEN PUT OPTION CONTRACTS† (EXCHANGE-TRADED)
Description		Number of Contracts				Notional Amount1				Strike Price				Expiration Date				Premiums Paid/ (Received)				Value
Russell 2000 Index			(16	)		$	(2,464,000	)		$	1,540				3/16/2018			$	(41,600	)		$	(58,240	)

†	As of February 28, 2018, the Fund posted cash collateral of $825,000 with the broker for written put option contracts.

 

1	Notional amount is derived by multiplying the number of contracts, the contract size (typically 100), and the contract strike price.

 

See Notes to Financial Statements.

 

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Table of Contents

Schedule of Investments (unaudited)

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

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
U.S. GOVERNMENT OBLIGATIONS – 73.8%
U.S. Treasury Bill – 73.8%
U.S. Treasury Bill 1.57%, 5/17/18*		$	150,700,000			$	150,195,150
TOTAL INVESTMENTS IN SECURITIES – 73.8% (Cost: $150,201,677)							150,195,150
Other Assets less Liabilities – 26.2%							53,283,346
NET ASSETS – 100.0%						$	203,478,496

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

 

FINANCIAL DERIVATIVE INSTRUMENTS
WRITTEN PUT OPTION CONTRACTS† (EXCHANGE-TRADED)
Description		Number of Contracts				Notional Amount1				Strike Price				Expiration Date				Premiums Paid/ (Received)				Value
S&P 500 Index			(757	)		$	(207,039,500	)		$	2,735				3/16/2018			$	(2,818,625	)		$	(3,243,745	)

†	As of February 28, 2018, the Fund posted cash collateral of $35,450,000 with the broker for written put option contracts.

 

1	Notional amount is derived by multiplying the number of contracts, the contract size (typically 100), and the contract strike price.

 

See Notes to Financial Statements.

 

102		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Schedule of Investments (unaudited)

WisdomTree Managed Futures Strategy Fund (WTMF) (consolidated)

February 28, 2018

 

  

 

 

Investments		Principal Amount				Value
U.S. GOVERNMENT OBLIGATIONS – 89.8%
U.S. Treasury Bills – 89.8%
U.S. Treasury Bills 1.33%, 3/8/18*(a)		$	4,445,000			$	4,443,985
1.31%, 3/15/18*			18,420,000				18,410,732
1.37%, 3/22/18*			130,120,000				130,018,005
TOTAL INVESTMENTS IN SECURITIES – 89.8% (Cost: $152,872,383)							152,872,722
Other Assets less Liabilities – 10.2%							17,289,663
NET ASSETS – 100.0%						$	170,162,385

*	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. The securities collateral posted was comprised entirely of U.S. Treasury securities having a market value of $4,443,985 as of February 28, 2018.

 

FINANCIAL DERIVATIVE INSTRUMENTS
FOREIGN CURRENCY CONTRACTS (OTC – OVER THE COUNTER)
Counterparty		Settlement Date				Amount and Description of Currency to be Purchased								Amount and Description of Currency to be Sold								Unrealized Appreciation				Unrealized Depreciation
Bank of America N.A.			3/22/2018				304,433,000				JPY				2,712,784				USD			$	144,260			$	—
Bank of America N.A.			3/22/2018				2,985,912				USD				333,899,040				JPY				—				(147,665	)
Bank of America N.A.			3/22/2018				211,827				USD				23,441,000				JPY				—				(8,162	)
Canadian Imperial Bank of Commerce			3/22/2018				21,512,000				JPY				192,194				USD				9,692				—
Canadian Imperial Bank of Commerce			3/22/2018				74,853				USD				8,379,000				JPY				—				(3,782	)
Canadian Imperial Bank of Commerce			3/22/2018				79,611				USD				8,651,000				JPY				—				(1,577	)
Canadian Imperial Bank of Commerce			3/22/2018				221,418				USD				24,025,000				JPY				—				(4,052	)
Royal Bank of Canada			3/22/2018				2,986,094				USD				333,899,040				JPY				—				(147,483	)
State Street Bank and Trust			3/22/2018				1,768,647,000				JPY				16,254,318				USD				344,088				—
State Street Bank and Trust			3/22/2018				2,810,383				USD				314,257,920				JPY				—				(138,866	)
State Street Bank and Trust			3/22/2018				343,608				USD				37,487,000				JPY				—				(8,201	)
State Street Bank and Trust			3/22/2018				9,086,116				USD				968,540,000				JPY				—				(3,443	)
State Street Bank and Trust			3/22/2018				394,134				USD				42,013,000				JPY				—				(149	)
State Street Bank and Trust			6/20/2018				968,540,000				JPY				9,144,330				USD				1,317				—
																						$	499,357			$	(463,380	)

 

CURRENCY LEGEND

JPY     Japanese yen

USD   U.S. dollar

 

FUTURES CONTRACTS (EXCHANGE-TRADED)

 

 

Short Exposure		Contracts				Expiration Date				Notional Amount1				Unrealized Appreciation/ (Depreciation)
10 Year U.S. Treasury Note			75				6/20/18			$	(9,003,516	)		$	75,179
British Pound Currency			103				6/18/18				(8,904,994	)			81
Coffee “C”			195				7/19/18				(9,074,812	)			179,065
Silver			109				7/27/18				(8,991,955	)			(2,782	)
U.S. Treasury Long Bond			63				6/20/18				(9,036,562	)			139,576
										$	(45,011,839	)		$	391,119
Long Exposure		Contracts				Expiration Date				Notional Amount1				Unrealized Appreciation/ (Depreciation)
Australian Dollar Currency			77				06/18/18			$	5,991,370			$	(70	)
Canadian Dollar Currency			77				06/19/18				6,013,315				(570	)
Copper			114				05/29/18				8,927,625				(237,442	)
Corn			311				07/13/18				6,056,725				(2,988	)
Cotton No. 2			218				07/9/18				9,078,610				439,753
Euro Currency			59				06/18/18				9,072,725				(237	)
Gasoline RBOB			108				05/31/18				8,784,417				(549,674	)
Gold 100 Ounce			68				06/27/18				9,001,160				(10	)
Live Cattle			129				06/29/18				5,964,960				93,770
NY Harbor ULSD			110				05/31/18				8,793,246				(582,819	)
Soybean			114				07/13/18				6,066,225				(1,401	)
Swiss Franc Currency			67				06/18/18				8,956,225				675
WTI Crude Oil			144				05/22/18				8,804,160				(408,192	)
										$	101,510,763			$	(1,249,205	)
Total - Net										$	56,498,924			$	(858,086	)

1	“Notional Amount” represents the current notional value of the futures contract.

 

See Notes to Financial Statements.

 

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Table of Contents

Statements of Assets and Liabilities (unaudited)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

February 28, 2018

 

  

 

 

		WisdomTree Bloomberg U.S. Dollar Bullish Fund				WisdomTree Brazilian Real Strategy Fund				WisdomTree Chinese Yuan Strategy Fund				WisdomTree Emerging Currency Strategy Fund				WisdomTree Asia Local Debt Fund
ASSETS:
Investments, at cost		$	49,092,319			$	9,947,560			$	25,055,817			$	28,874,647			$	20,701,977
Repurchase agreements, at cost			—				4,800,000				12,560,000				14,600,000				—
Foreign currency, at cost			—				—				65				—				80,871
Investments in securities, at value (Note 2)			49,092,874				9,947,727				25,055,991				28,875,003				20,161,843
Repurchase agreements, at value (Note 2)			—				4,800,000				12,560,000				14,600,000				—
Cash			334,024				260,732				242,370				1,759,281				2,379,772
Cash collateral posted for foreign currency contracts			—				—				1,490,000				580,000				—
Foreign currency, at value			—				—				66				—				80,056
Unrealized appreciation on foreign currency contracts			2,021,383				197,211				1,276,116				134,420				31,575
Receivables:
Investment securities sold			—				—				—				—				46,208
Interest			—				183				479				556				267,570
Total Assets			51,448,281				15,205,853				40,625,022				45,949,260				22,967,024
LIABILITIES:
Unrealized depreciation on foreign currency contracts			665,994				150,636				29,996				342,630				20,263
Payables:
Advisory fees (Note 3)			26,073				5,188				14,023				19,287				9,755
Service fees (Note 2)			229				51				137				155				78
Foreign capital gains tax			—				—				—				—				5,933
Total Liabilities			692,296				155,875				44,156				362,072				36,029
NET ASSETS		$	50,755,985			$	15,049,978			$	40,580,866			$	45,587,188			$	22,930,995
NET ASSETS:
Paid-in capital		$	63,634,010			$	112,708,395			$	39,245,458			$	89,187,297			$	33,498,293
Undistributed (Distributions in excess of) net investment income			334,349				56,041				119,565				139,260				(762,957	)
Accumulated net realized loss on investments, payments by sub-advisor, foreign currency contracts and foreign currency related transactions			(14,568,318	)			(97,761,200	)			(30,452	)			(43,531,515	)			(9,267,392	)
Net unrealized appreciation (depreciation) on investments, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies			1,355,944				46,742				1,246,295				(207,854	)			(536,949	)
NET ASSETS		$	50,755,985			$	15,049,978			$	40,580,866			$	45,587,188			$	22,930,995
Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)			2,000,000				800,000				1,500,000				2,300,000				500,000
Net asset value per share		$	25.38			$	18.81			$	27.05			$	19.82			$	45.86

 

See Notes to Financial Statements.

 

104		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Statements of Assets and Liabilities (unaudited) (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

February 28, 2018

 

  

 

 

		WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund				WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund				WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund				WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund				WisdomTree Bloomberg Floating Rate Treasury Fund
ASSETS:
Investments, at cost		$	28,133,806			$	30,200,944			$	388,821,042			$	30,559,972			$	3,747,956
Investments in securities, at value1,3 (Note 2)			27,713,027				29,749,530				381,532,613				30,225,477				3,748,293
Cash			1,888,296				1,801,121				4,842,817				118,516				4,077
Deposits at broker for futures contracts			254,391				379,015				—				—				—
Receivables:
Investment securities sold			1,231,677				1,361,413				18,749,578				—				325,795
Securities lending income			187				127				823				—				—
Interest			164,011				176,085				2,905,390				180,586				4,803
Total Assets			31,251,589				33,467,291				408,031,221				30,524,579				4,082,968
LIABILITIES:
Securities sold short, at value2			—				99,882				—				—				—
Payables:
Cash collateral received for securities loaned (Note 2)			130,218				44,500				935,215				—				—
Investment securities purchased			2,216,886				2,319,981				23,462,493				1,122,913				325,349
Advisory fees (Note 3)			5,035				6,068				33,113				2,715				309
Service fees (Note 2)			96				95				1,214				100				9
Net variation margin on futures contracts			48,211				135,764				—				—				—
Interest on securities sold short			—				117				—				—				—
Total Liabilities			2,400,446				2,606,407				24,432,035				1,125,728				325,667
NET ASSETS		$	28,851,143			$	30,860,884			$	383,599,186			$	29,398,851			$	3,757,301
NET ASSETS:
Paid-in capital		$	31,473,229			$	33,387,187			$	391,812,798			$	29,789,236			$	3,755,981
Undistributed (Distributions in excess of) net investment income			(14,232	)			(3,996	)			(57,468	)			(6,085	)			231
Accumulated net realized gain (loss) on investments, futures contracts and securities sold short			(2,236,194	)			(2,130,284	)			(867,715	)			(49,805	)			752
Net unrealized appreciation (depreciation) on investments, futures contracts and securities sold short			(371,660	)			(392,023	)			(7,288,429	)			(334,495	)			337
NET ASSETS		$	28,851,143			$	30,860,884			$	383,599,186			$	29,398,851			$	3,757,301
Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)			600,000				700,000				7,800,000				600,000				150,000
Net asset value per share		$	48.09			$	44.09			$	49.18			$	49.00			$	25.05
1   Includes market value of securities out on loan of:		$	126,821			$	42,795			$	907,003				—				—
2   Proceeds received on securities sold short were as follows:			—			$	100,480				—				—				—
3   Investments in securities include investment of cash collateral for securities loaned (see Schedule of Investments for additional information).

 

See Notes to Financial Statements.

 

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Table of Contents

Statements of Assets and Liabilities (unaudited) (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

February 28, 2018

 

  

 

 

		WisdomTree Emerging Markets Corporate Bond Fund				WisdomTree Emerging Markets Local Debt Fund				WisdomTree Interest Rate Hedged High Yield Bond Fund				WisdomTree Negative Duration High Yield Bond Fund				WisdomTree CBOE Russell 2000 PutWrite Strategy Fund
ASSETS:
Investments, at cost		$	50,607,782			$	233,642,773			$	150,715,341			$	19,788,853			$	1,499,252
Foreign currency, at cost			—				2,037,066				—				—				—
Investments in securities, at value1,3 (Note 2)			50,527,000				214,389,478				149,682,628				19,716,572				1,499,245
Cash			1,229,601				7,469,660				1,119,287				597,773				154,448
Deposits at broker for futures contracts			85,782				—				305,399				288,006				—
Foreign currency, at value			—				1,965,545				—				—				—
Cash collateral segregated for written options			—				—				—				—				825,000
Unrealized appreciation on foreign currency contracts			—				411,909				—				—				—
Receivables:
Investment securities sold			—				2,740,397				226,920				—				—
Capital shares sold			—				—				2,410,591				—				—
Securities lending income			1,583				—				9,584				1,132				—
Interest			669,518				4,300,879				2,559,261				334,239				—
Total Assets			52,513,484				231,277,868				156,313,670				20,937,722				2,478,693
LIABILITIES:
Unrealized depreciation on foreign currency contracts			—				44,396				—				—				—
Written options, at value2			—				—				—				—				58,240
Payables:
Cash collateral received for securities loaned (Note 2)			2,220,845				—				11,130,435				1,376,358				—
Investment securities purchased			—				—				476,253				269,725				—
Advisory fees (Note 3)			23,241				96,851				46,263				5,864				855
Service fees (Note 2)			170				775				473				54				9
Net variation margin on futures contracts			17,957				—				24,764				62,434				—
Foreign capital gains tax			—				99,062				—				—				—
Total Liabilities			2,262,213				241,084				11,678,188				1,714,435				59,104
NET ASSETS		$	50,251,271			$	231,036,784			$	144,635,482			$	19,223,287			$	2,419,589
NET ASSETS:
Paid-in capital		$	58,851,477			$	272,043,114			$	145,324,528			$	20,624,851			$	2,516,564
Undistributed (Distributions in excess of) net investment income			8,020				452,894				99,153				(1,661	)			587
Accumulated net realized gain (loss) on investments, futures contracts, written options, foreign currency contracts and foreign currency related transactions			(8,518,142	)			(22,390,321	)			120,581				(1,364,150	)			(80,915	)
Net unrealized depreciation on investments, futures contracts, written options, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies			(90,084	)			(19,068,903	)			(908,780	)			(35,753	)			(16,647	)
NET ASSETS		$	50,251,271			$	231,036,784			$	144,635,482			$	19,223,287			$	2,419,589
Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)			700,000				5,900,000				6,000,000				900,000				100,004
Net asset value per share		$	71.79			$	39.16			$	24.11			$	21.36			$	24.19
1   Includes market value of securities out on loan of:		$	1,979,785				—			$	10,915,536			$	1,327,842				—
2   Premiums received on written options were as follows:			—				—				—				—			$	41,600
3   Investments in securities include investment of cash collateral for securities loaned (see Schedule of Investments for additional information).

 

See Notes to Financial Statements.

 

106		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Statements of Assets and Liabilities (unaudited) (concluded)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

February 28, 2018

 

  

 

 

		WisdomTree CBOE S&P 500 PutWrite Strategy Fund				WisdomTree Managed Futures Strategy  Fund (consolidated)
ASSETS:
Investments, at cost		$	150,201,677			$	152,872,383
Investments in securities, at value			150,195,150				152,872,722
Cash			21,146,384				14,202,713
Cash collateral segregated for written options			35,450,000				—
Unrealized appreciation on foreign currency contracts			—				499,357
Receivables:
Investment securities sold			—				8,493,406
Total Assets			206,791,534				176,068,198
LIABILITIES:
Unrealized depreciation on foreign currency contracts			—				463,380
Written options, at value1			3,243,745				—
Payables:
Capital shares redeemed			—				3,957,316
Advisory fees (Note 3)			68,500				88,008
Service fees (Note 2)			793				597
Net variation margin on futures contracts			—				1,396,512
Total Liabilities			3,313,038				5,905,813
NET ASSETS		$	203,478,496			$	170,162,385
NET ASSETS:
Paid-in capital		$	205,179,175			$	173,590,995
Undistributed net investment income (Accumulated net investment loss)			330,709				(2,461,308	)
Accumulated net realized loss on investments, futures contracts, written options and foreign currency contracts			(1,599,741	)			(145,532	)
Net unrealized depreciation on investments, futures contracts, written options and foreign currency contracts			(431,647	)			(821,770	)
NET ASSETS		$	203,478,496			$	170,162,385
Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)			7,100,000				4,300,000
Net asset value per share		$	28.66			$	39.57
1   Premiums received on written options were as follows:		$	2,818,625				—

 

See Notes to Financial Statements.

 

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Table of Contents

Statements of Operations (unaudited)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

For the Six Months Ended February 28, 2018

 

  

 

 

		WisdomTree Bloomberg U.S. Dollar Bullish Fund				WisdomTree Brazilian Real Strategy Fund				WisdomTree Chinese Yuan Strategy Fund				WisdomTree Emerging Currency Strategy Fund				WisdomTree Asia Local Debt Fund
INVESTMENT INCOME:
Interest1		$	621,101			$	99,708			$	207,507			$	279,475			$	327,879
Total investment income			621,101				99,708				207,507				279,475				327,879
EXPENSES:
Advisory fees (Note 3)			284,251				43,244				87,091				139,103				58,019
Service fees (Note 2)			2,501				423				851				1,112				464
Total expenses			286,752				43,667				87,942				140,215				58,483
Net investment income			334,349				56,041				119,565				139,260				269,396
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) from:
Investment transactions			(493	)			(388	)			—				(441	)			(299,352	)
Foreign currency contracts			(2,051,363	)			653,284				2,101,120				2,501,622				(21,311	)
Foreign currency related transactions			—				—				2				—				(11,076	)
Payment by sub-advisor (Note 3)			6,115				—				—				—				—
Net realized gain (loss)			(2,045,741	)			652,896				2,101,122				2,501,181				(331,739	)
Net increase (decrease) in unrealized appreciation/depreciation:
Investment transactions2			(2,945	)			2,688				(309	)			(496	)			216,512
Foreign currency contracts			1,277,698				(874,604	)			48,618				(730,077	)			12,692
Translation of assets and liabilities denominated in foreign currencies			—				—				(1	)			—				(3,762	)
Net increase (decrease) in unrealized appreciation/depreciation			1,274,753				(871,916	)			48,308				(730,573	)			225,442
Net realized and unrealized gain (loss) on investments			(770,988	)			(219,020	)			2,149,430				1,770,608				(106,297	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		$	(436,639	)		$	(162,979	)		$	2,268,995			$	1,909,868			$	163,099
1   Net of foreign withholding tax of:			—				—				—				—			$	23,693
2   Includes net increase (decrease) in accrued foreign capital gain taxes of:			—				—				—				—			$	(2,239	)

 

See Notes to Financial Statements.

 

108		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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Table of Contents

Statements of Operations (unaudited) (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

For the Six Months Ended February 28, 2018

 

  

 

 

		WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund				WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund				WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund				WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund				WisdomTree Bloomberg Floating Rate Treasury Fund
INVESTMENT INCOME:
Interest		$	298,797			$	258,279			$	3,681,688			$	133,680			$	10,912
Securities lending income (Note 2)			400				547				3,675				—				—
Total investment income			299,197				258,826				3,685,363				133,680				10,912
EXPENSES:
Advisory fees (Note 3)			27,597				29,361				244,362				11,712				1,572
Service fees (Note 2)			527				461				5,376				258				34
Total expenses			28,124				29,822				249,738				11,970				1,606
Expense waivers (Note 3)			—				—				(97,745	)			(4,685	)			(393	)
Net expenses			28,124				29,822				151,993				7,285				1,213
Net investment income			271,073				229,004				3,533,370				126,395				9,699
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) from:
Investment transactions			40,229				(1,948	)			(507,189	)			(49,805	)			483
In-kind redemptions			—				—				(44,994	)			—				829
Futures contracts			814,888				1,057,863				—				—				—
Securities sold short			1,635				—				4,559				—				—
Net realized gain (loss)			856,752				1,055,915				(547,624	)			(49,805	)			1,312
Net increase (decrease) in unrealized appreciation/depreciation:
Investment transactions			(879,248	)			(714,834	)			(10,224,971	)			(350,612	)			(830	)
Futures contracts			103,042				134,157				—				—				—
Securities sold short			752				598				—				—				—
Net decrease in unrealized appreciation/depreciation			(775,454	)			(580,079	)			(10,224,971	)			(350,612	)			(830	)
Net realized and unrealized gain (loss) on investments			81,298				475,836				(10,772,595	)			(400,417	)			482
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		$	352,371			$	704,840			$	(7,239,225	)		$	(274,022	)		$	10,181

 

See Notes to Financial Statements.

 

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Statements of Operations (unaudited) (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

For the Six Months or Period Ended February 28, 2018

 

  

 

 

		WisdomTree Emerging Markets Corporate Bond Fund				WisdomTree Emerging Markets Local Debt Fund				WisdomTree Interest Rate Hedged High Yield Bond Fund				WisdomTree Negative Duration High Yield Bond Fund				WisdomTree CBOE Russell 2000 PutWrite Strategy Fund1
INVESTMENT INCOME:
Interest2		$	1,138,614			$	6,935,853			$	2,394,687			$	430,142			$	1,451
Payment-in-kind interest			—				—				756				189				—
Securities lending income (Note 2)			11,086				—				41,640				7,406				—
Total investment income			1,149,700				6,935,853				2,437,083				437,737				1,451
EXPENSES:
Advisory fees (Note 3)			151,938				624,209				186,118				37,737				974
Service fees (Note 2)			1,114				4,994				1,903				346				9
Total expenses			153,052				629,203				188,021				38,083				983
Expense waivers (Note 3)			—				—				—				—				(119	)
Net expenses			153,052				629,203				188,021				38,083				864
Net investment income			996,648				6,306,650				2,249,062				399,654				587
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) from:
Investment transactions3			1,355,808				287,479				184,469				87,168				(235	)
In-kind redemptions			—				(2,179,547	)			—				—				—
Futures contracts			272,807				—				1,240,295				733,659				—
Written options			—				—				—				—				(80,680	)
Foreign currency contracts			—				(309,724	)			—				—				—
Foreign currency related transactions			—				63,398				—				—				—
Net realized gain (loss)			1,628,615				(2,138,394	)			1,424,764				820,827				(80,915	)
Net increase (decrease) in unrealized appreciation/depreciation:
Investment transactions4			(2,381,329	)			2,123,844				(1,354,672	)			(186,693	)			(7	)
Futures contracts			(12,849	)			—				162,958				97,375				—
Written options			—				—				—				—				(16,640	)
Foreign currency contracts			—				406,232				—				—				—
Translation of assets and liabilities denominated in foreign currencies			—				(116,650	)			—				—				—
Net increase (decrease) in unrealized appreciation/depreciation			(2,394,178	)			2,413,426				(1,191,714	)			(89,318	)			(16,647	)
Net realized and unrealized gain (loss) on investments			(765,563	)			275,032				233,050				731,509				(97,562	)
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS		$	231,085			$	6,581,682			$	2,482,112			$	1,131,163			$	(96,975	)
1   For the period February 1, 2018 (commencement of operations) through February 28, 2018.
2   Net of foreign withholding tax of:			—			$	211,082				—				—				—
3   Net of foreign capital gains tax withheld of:			—			$	62,984				—				—				—
4   Includes net increase (decrease) in accrued foreign capital gain taxes of:			—			$	(117,193	)			—				—				—

 

See Notes to Financial Statements.

 

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Table of Contents

Statements of Operations (unaudited) (concluded)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

For the Six Months Ended February 28, 2018

 

  

 

 

		WisdomTree CBOE S&P 500 PutWrite Strategy Fund				WisdomTree Managed Futures Strategy  Fund (consolidated)
INVESTMENT INCOME:
Interest		$	1,229,025			$	852,366
Total investment income			1,229,025				852,366
EXPENSES:
Advisory fees (Note 3)			560,385				625,689
Service fees (Note 2)			5,604				3,669
Total expenses			565,989				629,358
Expense waivers (Note 3)			(76,416	)			(83,425	)
Net expenses			489,573				545,933
Net investment income			739,452				306,433
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) from:
Investment transactions			165				125
Futures contracts			—				4,289,760
Written options			2,770,436				—
Foreign currency contracts			—				(405,634	)
Net realized gain			2,770,601				3,884,251
Net increase (decrease) in unrealized appreciation/depreciation:
Investment transactions			(24,792	)			(5,937	)
Futures contracts			—				(1,616,320	)
Written options			(2,291,104	)			—
Foreign currency contracts			—				318,235
Net decrease in unrealized appreciation/depreciation			(2,315,896	)			(1,304,022	)
Net realized and unrealized gain on investments			454,705				2,580,229
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		$	1,194,157			$	2,886,662

 

See Notes to Financial Statements.

 

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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 Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income		$	334,349			$	4,370			$	56,041			$	23,096			$	119,565			$	37,254
Net realized gain (loss) on investments, payments by sub-advisor, foreign currency contracts and foreign currency related transactions			(2,045,741	)			(1,397,777	)			652,896				2,154,437				2,101,122				(251,278	)
Net increase (decrease) in unrealized appreciation/depreciation on investments, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies			1,274,753				(1,376,123	)			(871,916	)			239,608				48,308				1,587,855
Net increase (decrease) in net assets resulting from operations			(436,639	)			(2,769,530	)			(162,979	)			2,417,141				2,268,995				1,373,831
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares			7,792,193				16,557,459				—				6,948,413				—				—
Cost of shares redeemed			(95,061,447	)			(112,385,250	)			(7,498,409	)			(10,102,207	)			—				(11,905,364	)
Net decrease in net assets resulting from capital share transactions			(87,269,254	)			(95,827,791	)			(7,498,409	)			(3,153,794	)			—				(11,905,364	)
Net Increase (Decrease) in Net Assets			(87,705,893	)			(98,597,321	)			(7,661,388	)			(736,653	)			2,268,995				(10,531,533	)
NET ASSETS:
Beginning of period		$	138,461,878			$	237,059,199			$	22,711,366			$	23,448,019			$	38,311,871			$	48,843,404
End of period		$	50,755,985			$	138,461,878			$	15,049,978			$	22,711,366			$	40,580,866			$	38,311,871
Undistributed net investment income included in net assets at end of period		$	334,349			$	—			$	56,041			$	—			$	119,565			$	—
SHARES CREATED AND REDEEMED:
Shares outstanding, beginning of period			5,400,000				9,000,000				1,200,000				1,400,000				1,500,000				2,000,000
Shares created			300,000				600,000				—				400,000				—				—
Shares redeemed			(3,700,000	)			(4,200,000	)			(400,000	)			(600,000	)			—				(500,000	)
Shares outstanding, end of period			2,000,000				5,400,000				800,000				1,200,000				1,500,000				1,500,000

 

See Notes to Financial Statements.

 

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Statements of Changes in Net Assets (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

 

 

 

		WisdomTree Emerging Currency Strategy Fund								WisdomTree Asia Local Debt Fund								WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund
		For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income		$	139,260			$	6,631			$	269,396			$	515,741			$	271,073			$	456,480
Net realized gain (loss) on investments, futures contracts, securities sold short, foreign currency contracts and foreign currency related transactions			2,501,181				2,812,111				(331,739	)			(1,519,970	)			856,752				329,914
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts, securities sold short, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies			(730,573	)			172,914				225,442				893,422				(775,454	)			(361,235	)
Net increase (decrease) in net assets resulting from operations			1,909,868				2,991,656				163,099				(110,807	)			352,371				425,159
DIVIDENDS AND DISTRIBUTIONS:
Net investment income			—				—				(65,000	)			(181,500	)			(289,306	)			(500,608	)
Return of capital			—				—				(117,000	)			(240,500	)			—				—
Total dividends and distributions			—				—				(182,000	)			(422,000	)			(289,306	)			(500,608	)
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares			5,698,047				10,807,537				4,652,849				8,985,602				9,655,573				4,815,282
Cost of shares redeemed			(11,775,708	)			(7,173,838	)			(4,513,654	)			(13,008,768	)			(4,812,054	)			(4,800,679	)
Net increase (decrease) in net assets resulting from capital share transactions			(6,077,661	)			3,633,699				139,195				(4,023,166	)			4,843,519				14,603
Net Increase (Decrease) in Net Assets			(4,167,793	)			6,625,355				120,294				(4,555,973	)			4,906,584				(60,846	)
NET ASSETS:
Beginning of period		$	49,754,981			$	43,129,626			$	22,810,701			$	27,366,674			$	23,944,559			$	24,005,405
End of period		$	45,587,188			$	49,754,981			$	22,930,995			$	22,810,701			$	28,851,143			$	23,944,559
Undistributed (Distributions in excess of) net investment income included in net assets at end of period		$	139,260			$	—			$	(762,957	)		$	(967,353	)		$	(14,232	)		$	4,001
SHARES CREATED AND REDEEMED:
Shares outstanding, beginning of period			2,600,000				2,400,000				500,000				600,000				500,000				500,000
Shares created			300,000				600,000				100,000				200,000				200,000				100,000
Shares redeemed			(600,000	)			(400,000	)			(100,000	)			(300,000	)			(100,000	)			(100,000	)
Shares outstanding, end of period			2,300,000				2,600,000				500,000				500,000				600,000				500,000

 

See Notes to Financial Statements.

 

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Statements of Changes in Net Assets (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

 

 

 

		WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund								WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund								WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund
		For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Six Months Ended February 28, 2018 (unaudited)				For the Period May 18, 2017* through August 31, 2017
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income		$	229,004			$	300,950			$	3,533,370			$	3,412,018			$	126,395			$	25,587
Net realized gain (loss) on investments, futures contracts and securities sold short			1,055,915				374,183				(547,624	)			(75,621	)			(49,805	)			6,373
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts and securities sold short			(580,079	)			(311,671	)			(10,224,971	)			(877,238	)			(350,612	)			16,117
Net increase (decrease) in net assets resulting from operations			704,840				363,462				(7,239,225	)			2,459,159				(274,022	)			48,077
DIVIDENDS AND DISTRIBUTIONS:
Net investment income			(233,000	)			(325,358	)			(3,647,500	)			(3,533,130	)			(134,067	)			(24,000	)
Capital gains			—				—				—				(502,964	)			(6,373	)			—
Return of capital			—				(222	)			—				—				—				—
Total dividends and distributions			(233,000	)			(325,580	)			(3,647,500	)			(4,036,094	)			(140,440	)			(24,000	)
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares			21,896,476				8,742,477				231,326,769				60,397,433				24,788,225				5,001,011
Cost of shares redeemed			(8,659,383	)			(4,307,011	)			(4,946,280	)			—				(100	)			—
Net increase in net assets resulting from capital share transactions			13,237,093				4,435,466				226,380,489				60,397,433				24,788,125				5,001,011
Net Increase in Net Assets			13,708,933				4,473,348				215,493,764				58,820,498				24,373,663				5,025,088
NET ASSETS:
Beginning of period		$	17,151,951			$	12,678,603			$	168,105,422			$	109,284,924			$	5,025,188			$	100
End of period		$	30,860,884			$	17,151,951			$	383,599,186			$	168,105,422			$	29,398,851			$	5,025,188
Undistributed (Distributions in excess of) net investment income included in net assets at end of period		$	(3,996	)		$	—			$	(57,468	)		$	56,662			$	(6,085	)		$	1,587
SHARES CREATED AND REDEEMED:
Shares outstanding, beginning of period			400,000				300,000				3,300,000				2,100,000				100,002				2
Shares created			500,000				200,000				4,600,000				1,200,000				500,000				100,000
Shares redeemed			(200,000	)			(100,000	)			(100,000	)			—				(2	)			—
Shares outstanding, end of period			700,000				400,000				7,800,000				3,300,000				600,000				100,002

*	Commencement of operations.

 

See Notes to Financial Statements.

 

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Statements of Changes in Net Assets (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

 

 

 

		WisdomTree Bloomberg Floating Rate Treasury Fund								WisdomTree Emerging Markets Corporate Bond Fund								WisdomTree Emerging Markets Local Debt Fund
		For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income		$	9,699			$	8,486			$	996,648			$	2,157,575			$	6,306,650			$	14,100,386
Net realized gain (loss) on investments, futures contracts, foreign currency contracts and foreign currency related transactions			1,312				2,761				1,628,615				(1,008,873	)			(2,138,394	)			(15,446,174	)
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts, foreign currency contracts and translation of assets and liabilities denominated in foreign currencies			(830	)			(396	)			(2,394,178	)			1,614,874				2,413,426				19,920,921
Net increase in net assets resulting from operations			10,181				10,851				231,085				2,763,576				6,581,682				18,575,133
DIVIDENDS AND DISTRIBUTIONS:
Net investment income			(9,705	)			(8,594	)			(1,015,000	)			(2,141,000	)			(5,640,500	)			(5,743,121	)
Capital gains			(3,093	)			—				—				—				—				—
Return of capital			—				—				—				—				—				(6,030,879	)
Total dividends and distributions			(12,798	)			(8,594	)			(1,015,000	)			(2,141,000	)			(5,640,500	)			(11,774,000	)
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares			3,759,647				—				—				—				34,858,683				40,579,290
Cost of shares redeemed			(1,253,318	)			—				—				(7,130,042	)			(61,613,653	)			(117,563,423	)
Net increase (decrease) in net assets resulting from capital share transactions			2,506,329				—				—				(7,130,042	)			(26,754,970	)			(76,984,133	)
Net Increase (Decrease) in Net Assets			2,503,712				2,257				(783,915	)			(6,507,466	)			(25,813,788	)			(70,183,000	)
NET ASSETS:
Beginning of period		$	1,253,589			$	1,251,332			$	51,035,186			$	57,542,652			$	256,850,572			$	327,033,572
End of period		$	3,757,301			$	1,253,589			$	50,251,271			$	51,035,186			$	231,036,784			$	256,850,572
Undistributed (Distributions in excess of) net investment income included in net assets at end of period		$	231			$	237			$	8,020			$	26,372			$	452,894			$	(213,256	)
SHARES CREATED AND REDEEMED:
Shares outstanding, beginning of period			50,000				50,000				700,000				800,000				6,600,000				8,700,000
Shares created			150,000				—				—				—				900,000				1,100,000
Shares redeemed			(50,000	)			—				—				(100,000	)			(1,600,000	)			(3,200,000	)
Shares outstanding, end of period			150,000				50,000				700,000				700,000				5,900,000				6,600,000

 

See Notes to Financial Statements.

 

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Statements of Changes in Net Assets (continued)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

 

 

 

		WisdomTree Interest Rate Hedged High Yield Bond Fund								WisdomTree Negative Duration High Yield Bond Fund								WisdomTree CBOE Russell 2000 PutWrite Strategy Fund
		For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Period February 1, 2018* through February 28, 2018 (unaudited)
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income		$	2,249,062			$	1,929,817			$	399,654			$	640,038			$	587
Net realized gain (loss) on investments, futures contracts and written options			1,424,764				134,363				820,827				131,245				(80,915	)
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts and written options			(1,191,714	)			103,767				(89,318	)			(25,652	)			(16,647	)
Net increase (decrease) in net assets resulting from operations			2,482,112				2,167,947				1,131,163				745,631				(96,975	)
DIVIDENDS:
Net investment income			(2,186,072	)			(1,900,500	)			(411,556	)			(632,232	)			—
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares			91,724,706				52,602,758				6,344,515				8,452,788				3,692,376
Cost of shares redeemed			(2,382,733	)			(11,909,712	)			(4,159,997	)			(1,959,249	)			(1,175,912	)
Net increase in net assets resulting from capital share transactions			89,341,973				40,693,046				2,184,518				6,493,539				2,516,464
Net Increase in Net Assets			89,638,013				40,960,493				2,904,125				6,606,938				2,419,489
NET ASSETS:
Beginning of period		$	54,997,469			$	14,036,976			$	16,319,162			$	9,712,224			$	100
End of period		$	144,635,482			$	54,997,469			$	19,223,287			$	16,319,162			$	2,419,589
Undistributed (Distributions in excess of) net investment income included in net assets at end of period		$	99,153			$	36,163			$	(1,661	)		$	10,241			$	587
SHARES CREATED AND REDEEMED:
Shares outstanding, beginning of period			2,300,000				600,000				800,000				500,000				4
Shares created			3,800,000				2,200,000				300,000				400,000				150,000
Shares redeemed			(100,000	)			(500,000	)			(200,000	)			(100,000	)			(50,000	)
Shares outstanding, end of period			6,000,000				2,300,000				900,000				800,000				100,004

*	Commencement of operations.

 

See Notes to Financial Statements.

 

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Statements of Changes in Net Assets (concluded)

WisdomTree Currency Strategy, Fixed Income and Alternative Funds

 

 

 

		WisdomTree CBOE S&P 500 PutWrite Strategy Fund								WisdomTree Managed Futures Strategy Fund (consolidated)
		For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)		$	739,452			$	168,332			$	306,433			$	(324,616	)
Net realized gain (loss) on investments, futures contracts, written options and foreign currency contracts			2,770,601				5,172,367				3,884,251				(11,765,588	)
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures contracts, written options and foreign currency contracts			(2,315,896	)			1,889,073				(1,304,022	)			1,329,156
Net increase (decrease) in net assets resulting from operations			1,194,157				7,229,772				2,886,662				(10,761,048	)
DIVIDENDS AND DISTRIBUTIONS:
Net investment income			(577,075	)			—				—				—
Capital gains			(9,339,270	)			(620,193	)			—				—
Total dividends and distributions			(9,916,345	)			(620,193	)			—				—
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares			110,495,340				188,624,261				16,055,628				56,978,008
Cost of shares redeemed			(102,929,342	)			(6,828,636	)			(19,659,016	)			(56,278,381	)
Net increase (decrease) in net assets resulting from capital share transactions			7,565,998				181,795,625				(3,603,388	)			699,627
Net Increase (Decrease) in Net Assets			(1,156,190	)			188,405,204				(716,726	)			(10,061,421	)
NET ASSETS:
Beginning of period		$	204,634,686			$	16,229,482			$	170,879,111			$	180,940,532
End of period		$	203,478,496			$	204,634,686			$	170,162,385			$	170,879,111
Undistributed net investment income (Accumulated net investment loss) included in net assets at end of period		$	330,709			$	168,332			$	(2,461,308	)		$	(2,767,741	)
SHARES CREATED AND REDEEMED:
Shares outstanding, beginning of period			7,000,004				600,004				4,400,000				4,400,000
Shares created			3,750,000				6,650,000				400,000				1,400,000
Shares redeemed			(3,650,004	)			(250,000	)			(500,000	)			(1,400,000	)
Shares outstanding, end of period			7,100,000				7,000,004				4,300,000				4,400,000

 

See Notes to Financial Statements.

 

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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 Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Year Ended August 31, 2016				For the Year Ended August 31, 2015				For the Period December 18, 2013* through August 31, 2014
Net asset value, beginning of period		$	25.64			$	26.34			$	28.63			$	25.11			$	25.12
Investment operations:
Net investment income (loss)1			0.08				0.00	2			(0.10	)			(0.13	)			(0.08	)
Net realized and unrealized gain (loss)			(0.34	)			(0.70	)			(0.42	)3			4.08				0.07
Total from investment operations			(0.26	)			(0.70	)			(0.52	)			3.95				(0.01	)
Distributions to shareholders:
Capital gains			—				—				(1.77	)			(0.43	)			—
Net asset value, end of period		$	25.38			$	25.64			$	26.34			$	28.63			$	25.11
TOTAL RETURN4			(1.01	)%5			(2.66	)%			(2.05	)%6			15.83	%			(0.04	)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000’s omitted)		$	50,756			$	138,462			$	237,059			$	340,684			$	55,245
Ratios to average net assets of:
Expenses			0.50	%7			0.50	%			0.50	%			0.50	%			0.51	%7,8
Net investment income (loss)			0.59	%7			0.00	%9			(0.35	)%			(0.48	)%			(0.48	)%7
Portfolio turnover rate10			0	%			0	%			0	%			0	%			0	%

 

WisdomTree Brazilian Real Strategy Fund		For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Year Ended August 31, 2016				For the Year Ended August 31, 2015				For the Year Ended August 31, 2014				For the Year Ended August 31, 2013
Net asset value, beginning of period		$	18.93			$	16.75			$	13.33			$	19.48			$	16.83			$	18.81
Investment operations:
Net investment income (loss)1			0.05				0.02				(0.04	)			(0.07	)			(0.07	)			(0.07	)
Net realized and unrealized gain (loss)			(0.17	)			2.16				3.46				(6.08	)			2.72				(1.91	)
Total from investment operations			(0.12	)			2.18				3.42				(6.15	)			2.65				(1.98	)
Net asset value, end of period		$	18.81			$	18.93			$	16.75			$	13.33			$	19.48			$	16.83
TOTAL RETURN4			(0.63	)%			13.01	%			25.66	%			(31.57	)%			15.75	%			(10.53	)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000’s omitted)		$	15,050			$	22,711			$	23,448			$	15,995			$	31,163			$	40,397
Ratios to average net assets of:
Expenses			0.45	%7			0.45	%			0.45	%			0.45	%			0.46	%11			0.45	%
Net investment income (loss)			0.58	%7			0.10	%			(0.26	)%			(0.40	)%			(0.40	)%			(0.39	)%
Portfolio turnover rate10			0	%			0	%			0	%			0	%			0	%			0	%

*	Commencement of operations.

 

1	Based on average shares outstanding.

 

2	Amount represents less than $0.005.

 

3	Includes a voluntary reimbursement from the sub-advisor of $0.01 per share for investment losses on certain foreign exchange transactions during the period.

 

4

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.

 

5	Includes a voluntary reimbursement from the sub-advisor for investment losses on certain foreign exchange transactions during the period. Excluding this voluntary reimbursement, total return would have been unchanged.

 

6	Includes a voluntary reimbursement from the sub-advisor for investment losses on certain foreign exchange transactions during the period. Excluding this voluntary reimbursement, total return would have been 0.04% lower.

 

7	Annualized.

 

8	Included in the expense ratio are proxy expenses (which are not annualized). Without these proxy expenses, the annualized expense ratio would have been 0.50%.

 

9	Amount represents less than 0.005%.

 

10	Portfolio turnover rate is not annualized. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

11	Included in the expense ratio are proxy expenses. Without these proxy expenses, the expense ratio would have been 0.45%.

 

See Notes to Financial Statements.

 

118		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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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, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Year Ended August 31, 2016				For the Year Ended August 31, 2015				For the Year Ended August 31, 2014				For the Year Ended August 31, 2013
Net asset value, beginning of period		$	25.54			$	24.42			$	24.67			$	25.35			$	26.22			$	25.22
Investment operations:
Net investment income (loss)1			0.08				0.02				0.06				0.06				(0.03	)			0.00	2
Net realized and unrealized gain (loss)			1.43				1.10				(0.31	)			(0.64	)			0.20				1.20
Total from investment operations			1.51				1.12				(0.25	)			(0.58	)			0.17				1.20
Dividends and distributions to shareholders:
Net investment income			—				—				—				—				(0.21	)			—
Capital gains			—				—				—				(0.10	)			(0.83	)			(0.20	)
Total dividends and distributions to shareholders			—				—				—				(0.10	)			(1.04	)			(0.20	)
Net asset value, end of period		$	27.05			$	25.54			$	24.42			$	24.67			$	25.35			$	26.22
TOTAL RETURN3			5.91	%			4.59	%			(1.01	)%			(2.30	)%			0.63	%			4.78	%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000’s omitted)		$	40,581			$	38,312			$	48,843			$	88,827			$	152,119			$	215,015
Ratios to average net assets of:
Expenses			0.45	%4			0.45	%			0.45	%			0.45	%			0.46	%5			0.45	%
Net investment income (loss)			0.62	%4			0.09	%			0.26	%			0.24	%			(0.11	)%			0.02	%
Portfolio turnover rate6			0	%			0	%			0	%			0	%			0	%			0	%

 

WisdomTree Emerging Currency Strategy Fund		For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Year Ended August 31, 2016				For the Year Ended August 31, 2015				For the Year Ended August 31, 2014				For the Year Ended August 31, 2013
Net asset value, beginning of period		$	19.14			$	17.97			$	17.01			$	20.43			$	19.66			$	20.33
Investment operations:
Net investment income (loss)1			0.05				0.00	2			(0.07	)			(0.10	)			(0.11	)			(0.10	)
Net realized and unrealized gain (loss)			0.63				1.17				1.03				(3.32	)			0.88				(0.57	)
Total from investment operations			0.68				1.17				0.96				(3.42	)			0.77				(0.67	)
Net asset value, end of period		$	19.82			$	19.14			$	17.97			$	17.01			$	20.43			$	19.66
TOTAL RETURN3			3.55	%			6.51	%			5.64	%			(16.74	)%			3.92	%			(3.30	)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000’s omitted)		$	45,587			$	49,755			$	43,130			$	52,719			$	102,148			$	192,628
Ratios to average net assets of:
Expenses			0.55	%4			0.55	%			0.55	%			0.55	%			0.56	%5			0.55	%
Net investment income (loss)			0.55	%4			0.01	%			(0.41	)%			(0.52	)%			(0.53	)%			(0.48	)%
Portfolio turnover rate6			0	%			0	%			0	%			0	%			0	%			0	%

1	Based on average shares outstanding.

 

2	Amount represents 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	Included in the expense ratio are proxy expenses. Without these proxy expenses, the expense ratio would have been 0.45% for the WisdomTree Chinese Yuan Strategy Fund and 0.55% for the WisdomTree Emerging Currency Strategy Fund.

 

6	Portfolio turnover rate is not annualized. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

See Notes to Financial Statements.

 

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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, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Year Ended August 31, 2016				For the Year Ended August 31, 2015				For the Year Ended August 31, 2014				For the Year Ended August 31, 2013
Net asset value, beginning of period		$	45.62			$	45.61			$	42.86			$	49.93			$	47.41			$	51.57
Investment operations:
Net investment income1			0.58				0.96				0.99				1.29				1.15				1.20
Net realized and unrealized gain (loss)			0.05				(0.16	)			2.74				(7.28	)			2.00				(3.74	)
Total from investment operations			0.63				0.80				3.73				(5.99	)			3.15				(2.54	)
Dividends and distributions to shareholders:
Net investment income			(0.13	)			(0.27	)			(0.36	)			(1.08	)			(0.47	)			(1.34	)
Capital gains			—				—				—				—				—				(0.28	)
Return of capital			(0.26	)			(0.52	)			(0.62	)			—				(0.16	)			—
Total dividends and distributions to shareholders			(0.39	)			(0.79	)			(0.98	)			(1.08	)			(0.63	)			(1.62	)
Net asset value, end of period		$	45.86			$	45.62			$	45.61			$	42.86			$	49.93			$	47.41
TOTAL RETURN2			1.39	%			1.81	%			8.81	%			(12.15	)%			6.69	%			(5.14	)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000’s omitted)		$	22,931			$	22,811			$	27,367			$	38,574			$	339,553			$	493,089
Ratios to average net assets of:
Expenses			0.55	%3			0.55	%			0.55	%			0.55	%			0.56	%4			0.55	%
Net investment income			2.55	%3			2.15	%			2.24	%			2.68	%			2.36	%			2.34	%
Portfolio turnover rate5			31	%			46	%			26	%			10	%			62	%			52	%

 

WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund		For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Year Ended August 31, 2016				For the Year Ended August 31, 2015				For the Period December 18, 2013* through August 31, 2014
Net asset value, beginning of period		$	47.89			$	48.01			$	48.21			$	49.78			$	49.98
Investment operations:
Net investment income1			0.54				0.95				0.77				0.68				0.54
Net realized and unrealized gain (loss)			0.25				(0.03	)			(0.13	)			(1.50	)			(0.11	)
Total from investment operations			0.79				0.92				0.64				(0.82	)			0.43
Dividends and distributions to shareholders:
Net investment income			(0.59	)			(1.04	)			(0.84	)			(0.75	)			(0.63	)
Return of capital			—				—				—				(0.00	)6			—
Total dividends and distributions to shareholders			(0.59	)			(1.04	)			(0.84	)			(0.75	)			(0.63	)
Net asset value, end of period		$	48.09			$	47.89			$	48.01			$	48.21			$	49.78
TOTAL RETURN2			1.65	%			1.93	%			1.35	%			(1.66	)%			0.85	%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000’s omitted)		$	28,851			$	23,945			$	24,005			$	28,923			$	4,978
Ratios to average net assets of:
Expenses			0.23	%3			0.23	%			0.23	%			0.23	%			0.24	%3,7
Net investment income			2.26	%3			1.99	%			1.60	%			1.39	%			1.52	%3
Portfolio turnover rate5,8			68	%			187	%			226	%			359	%			243	%

*	Commencement of 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	Included in the expense ratio are proxy expenses. Without these proxy expenses, the expense ratio would have been 0.55%.

 

5

Portfolio turnover rate is not annualized and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

6	Amount represents less than $0.005.

 

7	Included in the expense ratio are proxy expenses (which are not annualized). Without these proxy expenses, the annualized expense ratio would have been 0.23%.

 

8	The portfolio turnover rates excluding TBA roll transactions for the periods ended February 28, 2018, August 31, 2017, August 31, 2016, August 31, 2015 and August 31, 2014 were 26%, 45%, 33%, 95% and 87%, respectively.

 

See Notes to Financial Statements.

 

120		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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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 Negative Duration U.S. Aggregate Bond Fund		For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Year Ended August 31, 2016				For the Year Ended August 31, 2015				For the Period December 18, 2013* through August 31, 2014
Net asset value, beginning of period		$	42.88			$	42.26			$	44.42			$	46.65			$	50.05
Investment operations:
Net investment income1			0.47				0.83				0.70				0.62				0.51
Net realized and unrealized gain (loss)			1.21				0.67				(2.07	)			(2.18	)			(3.30	)
Total from investment operations			1.68				1.50				(1.37	)			(1.56	)			(2.79	)
Dividends and distributions to shareholders:
Net investment income			(0.47	)			(0.88	)			(0.79	)			(0.67	)			(0.61	)
Return of capital			—				(0.00	)2			—				—				—
Total dividends and distributions to shareholders			(0.47	)			(0.88	)			(0.79	)			(0.67	)			(0.61	)
Net asset value, end of period		$	44.09			$	42.88			$	42.26			$	44.42			$	46.65
TOTAL RETURN3			3.93	%			3.55	%			(3.11	)%			(3.36	)%			(5.61	)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000’s omitted)		$	30,861			$	17,152			$	12,679			$	17,767			$	4,665
Ratios to average net assets of:
Expenses			0.28	%4			0.28	%			0.28	%			0.28	%			0.29	%4,5
Net investment income			2.18	%4			1.91	%			1.61	%			1.38	%			1.48	%4
Portfolio turnover rate6,7			101	%			209	%			226	%			424	%			257	%

 

WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund		For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Year Ended August 31, 2016				For the Period July 9, 2015* through August 31, 2015
Net asset value, beginning of period		$	50.94			$	52.04			$	49.64			$	49.78
Investment operations:
Net investment income1			0.72				1.35				1.31				0.16
Net realized and unrealized gain (loss)			(1.77	)			(0.85	)			2.50				(0.18	)
Total from investment operations			(1.05	)			0.50				3.81				(0.02	)
Dividends and distributions to shareholders:
Net investment income			(0.71	)			(1.38	)			(1.41	)			(0.12	)
Capital gains			—				(0.22	)			—				—
Total dividends and distributions to shareholders			(0.71	)			(1.60	)			(1.41	)			(0.12	)
Net asset value, end of period		$	49.18			$	50.94			$	52.04			$	49.64
TOTAL RETURN3			(2.08	)%			1.05	%			7.81	%			(0.04	)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000’s omitted)		$	383,599			$	168,105			$	109,285			$	4,964
Ratios to average net assets of:
Expenses, net of expense waivers			0.12	%4			0.12	%			0.12	%			0.12	%4
Expenses, prior to expense waivers			0.20	%4			0.20	%			0.20	%			0.20	%4
Net investment income			2.89	%4			2.69	%			2.59	%			2.21	%4
Portfolio turnover rate6,8			68	%			134	%			141	%			51	%

*	Commencement of operations.

 

1	Based on average shares outstanding.

 

2	Amount represents 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 advisor for WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (Notes 2 and 3).

 

4	Annualized.

 

5	Included in the expense ratio are proxy expenses (which are not annualized). Without these proxy expenses, the annualized expense ratio would have been 0.28%.

 

6

Portfolio turnover rate is not annualized and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

7	The portfolio turnover rates excluding TBA roll transactions for the periods ended February 28, 2018, August 31, 2017, August 31, 2016, August 31, 2015 and August 31, 2014 were 63%, 94%, 56%, 163% and 96%, respectively.

 

8	The portfolio turnover rates excluding TBA roll transactions for the periods ended February 28, 2018, August 31, 2017, August 31, 2016 and August 31, 2015 were 24%, 59%, 51% and 6%, respectively.

 

See Notes to Financial Statements.

 

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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 Yield Enhanced U.S. Short-Term Aggregate Bond Fund		For the Six Months Ended February 28, 2018 (unaudited)				For the Period May 18, 2017* through August 31, 2017
Net asset value, beginning of period		$	50.25			$	50.06
Investment operations:
Net investment income1			0.52				0.26
Net realized and unrealized gain (loss)			(1.22	)			0.17
Total from investment operations			(0.70	)			0.43
Dividends and distributions to shareholders:
Net investment income			(0.49	)			(0.24	)
Capital gains			(0.06	)			—
Total dividends and distributions to shareholders			(0.55	)			(0.24	)
Net asset value, end of period		$	49.00			$	50.25
TOTAL RETURN2			(1.39	)%			0.86	%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000’s omitted)		$	29,399			$	5,025
Ratios to average net assets of:
Expenses, net of expense waivers			0.12	%3			0.12	%3
Expenses, prior to expense waivers			0.20	%3			0.20	%3
Net investment income			2.16	%3			1.76	%3
Portfolio turnover rate4,5			106	%			44	%

 

WisdomTree Bloomberg Floating Rate Treasury Fund		For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Year Ended August 31, 2016				For the Year Ended August 31, 2015				For the Period February 4, 2014* through August 31, 2014
Net asset value, beginning of period		$	25.07			$	25.03			$	24.99			$	24.99			$	25.00
Investment operations:
Net investment income (loss)1			0.15				0.17				0.05				(0.01	)			(0.01	)
Net realized and unrealized gain			0.01				0.04				0.02				0.01				0.00	6
Total from investment operations			0.16				0.21				0.07				(0.00	)6			(0.01	)
Dividends and distributions to shareholders:
Net investment income			(0.15	)			(0.17	)			(0.03	)			—				—
Capital gains			(0.03	)			—				—				—				—
Total dividends and distributions to shareholders			(0.18	)			(0.17	)			(0.03	)			—				—
Net asset value, end of period		$	25.05			$	25.07			$	25.03			$	24.99			$	24.99
TOTAL RETURN2			0.65	%			0.85	%			0.28	%			0.00	%			(0.04	)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000’s omitted)		$	3,757			$	1,254			$	1,251			$	1,250			$	2,499
Ratios to average net assets of:
Expenses, net of expense waivers			0.15	%3			0.15	%			0.15	%			0.15	%			0.15	%3
Expenses, prior to expense waivers			0.20	%3			0.20	%			0.20	%			0.20	%			0.20	%3
Net investment income (loss)			1.23	%3			0.68	%			0.20	%			(0.06	)%			(0.06	)%3
Portfolio turnover rate4			80	%			160	%			157	%			118	%			65	%

*	Commencement of 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. For the periods in which the investment advisor waived advisory fees, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

3	Annualized.

 

4

Portfolio turnover rate is not annualized and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

5	The portfolio turnover rates excluding TBA roll transactions for the periods ended February 28, 2018 and August 31, 2017 were 84% and 22%, respectively.

 

6	Amount represents less than $0.005.

 

See Notes to Financial Statements.

 

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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 Corporate Bond Fund		For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Year Ended August 31, 2016				For the Year Ended August 31, 2015				For the Year Ended August 31, 2014				For the Year Ended August 31, 2013
Net asset value, beginning of period		$	72.91			$	71.93			$	69.13			$	77.82			$	72.97			$	77.63
Investment operations:
Net investment income1			1.42				2.87				2.97				3.51				3.47				3.29
Net realized and unrealized gain (loss)			(1.09	)			0.98				2.82				(8.61	)			5.56				(4.69	)
Total from investment operations			0.33				3.85				5.79				(5.10	)			9.03				(1.40	)
Dividends and distributions to shareholders:
Net investment income			(1.45	)			(2.87	)			(2.99	)			(3.56	)			(3.45	)			(3.26	)
Capital gains			—				—				—				—				(0.73	)			—
Return of capital			—				—				—				(0.03	)			—				—
Total dividends and distributions to shareholders			(1.45	)			(2.87	)			(2.99	)			(3.59	)			(4.18	)			(3.26	)
Net asset value, end of period		$	71.79			$	72.91			$	71.93			$	69.13			$	77.82			$	72.97
TOTAL RETURN2			0.44	%			5.51	%			8.71	%			(6.69	)%			12.71	%			(2.00	)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000’s omitted)		$	50,251			$	51,035			$	57,543			$	82,956			$	116,737			$	116,746
Ratios to average net assets of:
Expenses			0.60	%3			0.60	%			0.60	%			0.60	%			0.61	%4			0.60	%
Net investment income			3.94	%3			4.03	%			4.35	%			4.79	%			4.59	%			4.22	%
Portfolio turnover rate5			82	%			36	%			21	%			25	%			40	%			37	%

 

WisdomTree Emerging Markets Local Debt Fund		For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Year Ended August 31, 2016				For the Year Ended August 31, 2015				For the Year Ended August 31, 2014				For the Year Ended August 31, 2013
Net asset value, beginning of period		$	38.92			$	37.59			$	35.77			$	47.13			$	45.93			$	51.16
Investment operations:
Net investment income1			1.07				2.07				2.00				2.17				2.26				2.22
Net realized and unrealized gain (loss)			0.15				1.00				1.57				(11.46	)			0.64				(5.29	)
Total from investment operations			1.22				3.07				3.57				(9.29	)			2.90				(3.07	)
Dividends and distributions to shareholders:
Net investment income			(0.98	)			(0.82	)			(0.59	)			(1.95	)			(1.02	)			(2.01	)
Capital gains			—				—				—				—				(0.14	)			(0.15	)
Return of capital			—				(0.92	)			(1.16	)			(0.12	)			(0.54	)			—
Total dividends and distributions to shareholders			(0.98	)			(1.74	)			(1.75	)			(2.07	)			(1.70	)			(2.16	)
Net asset value, end of period		$	39.16			$	38.92			$	37.59			$	35.77			$	47.13			$	45.93
TOTAL RETURN2			3.19	%			8.46	%			10.34	%			(20.19	)%			6.43	%			(6.41	)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000’s omitted)		$	231,037			$	256,851			$	327,034			$	479,267			$	838,859			$	1,442,209
Ratios to average net assets of:
Expenses			0.55	%3			0.55	%			0.55	%			0.55	%			0.56	%4			0.55	%
Net investment income			5.56	%3			5.51	%			5.59	%			5.22	%			4.84	%			4.31	%
Portfolio turnover rate5			22	%			39	%			46	%			22	%			78	%			57	%

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	Included in the expense ratio are proxy expenses. Without these proxy expenses, the expense ratio would have been 0.60% for the WisdomTree Emerging Markets Corporate Bond Fund and 0.55% for the WisdomTree Emerging Markets Local Debt Fund.

 

5

Portfolio turnover rate is not annualized and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

See Notes to Financial Statements.

 

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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 Interest Rate Hedged High Yield Bond Fund		For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Year Ended August 31, 2016				For the Year Ended August 31, 2015				For the Period December 18, 2013* through August 31, 2014
Net asset value, beginning of period		$	23.91			$	23.39			$	23.18			$	24.86			$	24.99
Investment operations:
Net investment income1			0.62				1.24				1.10				0.90				0.58
Net realized and unrealized gain (loss)			0.16				0.53				0.20				(1.67	)			(0.08	)
Total from investment operations			0.78				1.77				1.30				(0.77	)			0.50
Dividends to shareholders:
Net investment income			(0.58	)			(1.25	)			(1.09	)			(0.91	)			(0.63	)
Net asset value, end of period		$	24.11			$	23.91			$	23.39			$	23.18			$	24.86
TOTAL RETURN2			3.30	%			7.73	%			5.92	%			(3.15	)%			1.99	%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000’s omitted)		$	144,635			$	54,997			$	14,037			$	20,859			$	14,916
Ratios to average net assets of:
Expenses			0.43	%3			0.43	%			0.43	%			0.43	%			0.44	%3,4
Net investment income			5.20	%3			5.19	%			4.90	%			3.75	%			3.30	%3
Portfolio turnover rate5			17	%			57	%			44	%			55	%			131	%

 

WisdomTree Negative Duration High Yield Bond Fund		For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Year Ended August 31, 2016				For the Year Ended August 31, 2015				For the Period December 18, 2013* through August 31, 2014
Net asset value, beginning of period		$	20.40			$	19.42			$	20.83			$	22.99			$	25.02
Investment operations:
Net investment income1			0.52				1.04				0.93				0.83				0.56
Net realized and unrealized gain (loss)			0.98				0.97				(1.41	)			(2.17	)			(1.96	)
Total from investment operations			1.50				2.01				(0.48	)			(1.34	)			(1.40	)
Dividends to shareholders:
Net investment income			(0.54	)			(1.03	)			(0.93	)			(0.82	)			(0.63	)
Net asset value, end of period		$	21.36			$	20.40			$	19.42			$	20.83			$	22.99
TOTAL RETURN2			7.43	%			10.44	%			(2.22	)%			(5.91	)%			(5.69	)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000’s omitted)		$	19,223			$	16,319			$	9,712			$	12,499			$	4,597
Ratios to average net assets of:
Expenses			0.48	%3			0.48	%			0.48	%			0.48	%			0.49	%3,4
Net investment income			5.08	%3			5.03	%			4.78	%			3.82	%			3.28	%3
Portfolio turnover rate5			44	%			71	%			43	%			34	%			182	%

*	Commencement of 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	Included in the expense ratio are proxy expenses (which are not annualized). Without these proxy expenses, the annualized expense ratio would have been 0.43% for the WisdomTree Interest Rate Hedged High Yield Bond Fund and 0.48% for the WisdomTree Negative Duration High Yield Bond Fund.

 

5

Portfolio turnover rate is not annualized and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

See Notes to Financial Statements.

 

124		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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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 CBOE Russell 2000 PutWrite Strategy Fund		For the Period February 1, 2018* through February 28,  2018 (unaudited)
Net asset value, beginning of period		$	24.92
Investment operations:
Net investment income1			0.01
Net realized and unrealized loss			(0.74	)
Total from investment operations			(0.73	)
Net asset value, end of period		$	24.19
TOTAL RETURN2			(2.93	)%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000’s omitted)		$	2,420
Ratios to average net assets of:
Expenses, net of expense waivers			0.43	%3
Expenses, prior to expense waivers			0.49	%3
Net investment income			0.30	%3
Portfolio turnover rate4			0	%

 

WisdomTree CBOE S&P 500 PutWrite Strategy Fund		For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Period February 24, 2016* through August 31, 2016
Net asset value, beginning of period		$	29.23			$	27.05			$	25.10
Investment operations:
Net investment income (loss)1			0.08				0.06				(0.02	)
Net realized and unrealized gain			0.38				2.74				1.97
Total from investment operations			0.46				2.80				1.95
Dividends and distributions to shareholders:
Net investment income			(0.06	)			—				—
Capital gains			(0.97	)			(0.62	)			—
Total dividends and distributions to shareholders			(1.03	)			(0.62	)			—
Net asset value, end of period		$	28.66			$	29.23			$	27.05
TOTAL RETURN2			1.52	%			10.52	%			7.77	%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000’s omitted)		$	203,478			$	204,635			$	16,229
Ratios to average net assets of:
Expenses, net of expense waivers			0.38	%3			0.38	%			0.38	%3
Expenses, prior to expense waivers			0.44	%3			0.44	%			0.44	%3
Net investment income (loss)			0.58	%3			0.21	%			(0.18	)%3
Portfolio turnover rate4			0	%			0	%			0	%

*	Commencement of 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. For the periods in which the investment advisor waived advisory fees, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

3	Annualized.

 

4

Portfolio turnover rate is not annualized and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

See Notes to Financial Statements.

 

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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 Managed Futures Strategy Fund (consolidated)		For the Six Months Ended February 28, 2018 (unaudited)				For the Year Ended August 31, 2017				For the Year Ended August 31, 2016				For the Year Ended August 31, 2015				For the Year Ended August 31, 2014				For the Year Ended August 31, 2013
Net asset value, beginning of period		$	38.84			$	41.12			$	41.17			$	42.15			$	41.92			$	41.47
Investment operations:
Net investment income (loss)1			0.07				(0.07	)			(0.33	)			(0.40	)			(0.39	)			(0.37	)
Net realized and unrealized gain (loss)			0.66				(2.21	)			0.28				(0.58	)			0.62				0.82
Total from investment operations			0.73				(2.28	)			(0.05	)			(0.98	)			0.23				0.45
Net asset value, end of period		$	39.57			$	38.84			$	41.12			$	41.17			$	42.15			$	41.92
TOTAL RETURN2			1.88	%			(5.54	)%3			(0.12	)%			(2.33	)%			0.55	%			1.09	%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000’s omitted)		$	170,162			$	170,879			$	180,941			$	214,083			$	177,043			$	142,531
Ratios to average net assets of:
Expenses, net of expense waivers			0.65	%4			0.65	%			0.91	%			0.95	%			0.96	%5			0.95	%
Expenses, prior to expense waivers			0.75	%4			0.75	%			0.92	%			0.95	%			0.96	%5			0.95	%
Net investment income (loss)			0.37	%4			(0.18	)%			(0.80	)%			(0.93	)%			(0.94	)%			(0.90	)%
Portfolio turnover rate6			0	%			0	%			0	%			0	%			0	%			0	%

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. For the periods in which the investment advisor waived advisory fees, the total return would have been lower if certain expenses had not been waived (Notes 2 and 3).

 

3	Includes a voluntary reimbursement from the sub-advisor for investment losses on certain futures contract transactions during the period. Excluding this voluntary reimbursement, total return would have been 0.08% lower.

 

4	Annualized.

 

5	Included in the expense ratio are proxy expenses. Without these proxy expenses, the expense ratio (net of expense waivers) would have been 0.95% and the expense ratio (prior to expense waivers) would have been 0.95%.

 

6

Portfolio turnover rate is not annualized and excludes the value of the portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares. Short-term securities with maturities less than or equal to 365 days are excluded from the portfolio turnover calculation.

 

See Notes to Financial Statements.

 

126		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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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, 2018, the Trust consisted of 89 operational investment funds (each a “Fund”, collectively, the “Funds”). In accordance with Accounting Standards Update (“ASU”) 2013-08, Financial Services-Investment Companies, each Fund listed below qualifies as an investment company and is applying the accounting and reporting guidance for investment companies. These notes relate only to the Funds listed in the table below:

 

Fund		Commencement of Operations
WisdomTree Bloomberg U.S. Dollar Bullish Fund (“U.S. Dollar Bullish Fund” and also referred to herein as “Currency Strategy Funds”)			December 18, 2013
WisdomTree Brazilian Real Strategy Fund (“Brazilian Real Strategy Fund” and also referred to herein as “Currency Strategy Funds”)			May 14, 2008
WisdomTree Chinese Yuan Strategy Fund (“Chinese Yuan Strategy Fund” and also referred to herein as “Currency Strategy Funds”)			May 14, 2008
WisdomTree Emerging Currency Strategy Fund (“Emerging Currency Strategy Fund” and also referred to herein as “Currency Strategy Funds”)			May 6, 2009
WisdomTree Asia Local Debt Fund (“Asia Local Debt Fund”)			March 17, 2011
WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund (“Interest Rate Hedged U.S. Aggregate Bond Fund” and also referred to herein as “Duration Funds”)			December 18, 2013
WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund (“Negative Duration U.S. Aggregate Bond Fund” and also referred to herein as “Duration Funds”)			December 18, 2013
WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (“Yield Enhanced U.S. Aggregate Bond Fund”)			July 9, 2015
WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund (“Yield Enhanced U.S. Short-Term Aggregate Bond Fund”)			May 18, 2017
WisdomTree Bloomberg Floating Rate Treasury Fund (“Floating Rate Treasury Fund”)			February 4, 2014
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 Interest Rate Hedged High Yield Bond Fund (“Interest Rate Hedged High Yield Bond Fund” and also referred to herein as “Duration Funds”)			December 18, 2013
WisdomTree Negative Duration High Yield Bond Fund (“Negative Duration High Yield Bond Fund” and also referred to herein as “Duration Funds”)			December 18, 2013
WisdomTree CBOE Russell 2000 PutWrite Strategy Fund (“CBOE Russell 2000 PutWrite Strategy Fund”)			February 1, 2018
WisdomTree CBOE S&P 500 PutWrite Strategy Fund (“CBOE S&P 500 PutWrite Strategy Fund”)			February 24, 2016
WisdomTree Managed Futures Strategy Fund (“Managed Futures Strategy Fund”) (consolidated)			January 5, 2011

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 believes such exposure to be remote.

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:

Basis of Consolidation — The financial statements of the Managed Futures Strategy Fund (the “Parent Fund”), include the accounts of WisdomTree Managed Futures Portfolio I, a wholly-owned and controlled Cayman Islands subsidiary (the “Subsidiary”). For the Parent Fund, the accompanying financial statements reflect the financial position and results of operations on a consolidated basis with its Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation. The Parent Fund seeks to gain exposure to commodity markets, in whole or in part, through investments in its Subsidiary. The Parent Fund’s investment in its Subsidiary may not exceed 25% of the Parent Fund’s total assets at the end of each fiscal quarter in order to meet the requirements for qualification as a regulated investment company under the Internal Revenue Code of 1986, as amended.

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.

 

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Notes to Financial Statements (unaudited) (continued)

 

Investment Valuation — The net asset value (“NAV”) of each Fund’s shares is calculated each day a Fund is open for business as of the regularly scheduled close of regular trading on the New York Stock Exchange, normally 4:00 p.m. Eastern time (the “NAV Calculation 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 in the secondary market 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 of the Trust (the “Board of Trustees”). Fixed income securities (including short-term debt securities with remaining maturities of 60 days or less and to-be-announced (“TBA”) 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. Repurchase agreements are valued at par which represents their fair value. Except for U.S. Dollar Bullish Fund, foreign currency contracts are valued daily using WM/Reuters closing spot and forward rates as of 4:00 p.m. London time. U.S. Dollar Bullish Fund uses WM/Reuters closing spot and forward rates as of 4:00 p.m. Eastern time to value foreign currency contracts. For the Chinese Yuan Strategy Fund, Emerging Currency Strategy Fund, Asia Local Debt Fund, Emerging Markets Corporate Bond Fund and the Emerging Markets Local Debt Fund, WM/Reuters closing spot and forward rates as of 2:00 p.m. Singapore time are used to value forward foreign currency contracts in the following Asian currencies: Chinese renminbi, Chinese yuan, Hong Kong dollar, Indian rupee, Indonesian rupiah, Malaysian ringgit, Philippine peso, Singapore dollar, South Korean won, Taiwan dollar, and the Thai baht. Futures contracts generally are valued at the settlement price, the price at which a futures contract settles once a given trading day has ended, on the primary exchange on which they trade. Option contracts generally are valued at the mean of the closing bid/ask price on which they trade. Equity securities (including preferred stock) traded on any recognized U.S. or non-U.S. exchange are valued at the last sale price or official closing price on the exchange or system on which they are principally traded. Unlisted equity securities (including preferred stock) are valued at the last quoted sale price or, if no sale price is available, at the mean between the highest bid and lowest ask price. Each Fund may invest in money market funds which are valued at their NAV per share and exchange-traded funds (“ETFs” or “ETF”) or exchange-traded notes (“ETNs” or “ETN”) which are valued at their last sale or official closing price on the exchange on which they are principally traded or at their NAV per share in instances where the ETF or ETN has not traded on its principal exchange.

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, which include derivatives, will be fair valued in accordance with the Fund’s pricing policy. The Board of Trustees 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-dealer 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. Securities that may be valued using “fair value” pricing may include, but are not limited to, securities for which there are no current market quotations, 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. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, 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

 

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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 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 pricing 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 observable inputs as described above and have an appropriate level of market activity are categorized as Level 2 of the fair value hierarchy, otherwise a Level 3 fair value classification is appropriate. Over-the-counter financial derivative instruments derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These instruments are normally valued on the basis of broker-dealer quotations or prices obtained from independent pricing service providers. Depending on the product and the terms of the transaction, the value of the financial derivative instruments 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, credit risks/spreads, interest rates, yield curves, default and exchange rates. Derivative contracts that use valuation techniques and observable inputs as described above and have an appropriate level of market activity are categorized as Level 2 of the fair value hierarchy, otherwise a Level 3 fair value classification is appropriate.

Determination of a fair value by the Pricing Committee 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, 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, 2018 in valuing each Fund’s assets:

 

U.S. Dollar Bullish Fund		Level 1				Level 2				Level 3
U.S. Government Obligations		$	—			$	49,092,874			$	—
Total		$	—			$	49,092,874			$	—
Unrealized Appreciation on Foreign Currency Contracts			—				2,021,383				—
Unrealized Depreciation on Foreign Currency Contracts			—				(665,994	)			—
Total - Net		$	—			$	50,448,263			$	—

 

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Brazilian Real Strategy Fund		Level 1				Level 2				Level 3
U.S. Government Obligations		$	—			$	9,947,727			$	—
Repurchase Agreement			—				4,800,000				—
Total		$	—			$	14,747,727			$	—
Unrealized Appreciation on Foreign Currency Contracts			—				197,211				—
Unrealized Depreciation on Foreign Currency Contracts			—				(150,636	)			—
Total - Net		$	—			$	14,794,302			$	—
Chinese Yuan Strategy Fund		Level 1				Level 2				Level 3
U.S. Government Obligations		$	—			$	25,055,991			$	—
Repurchase Agreement			—				12,560,000				—
Total		$	—			$	37,615,991			$	—
Unrealized Appreciation on Foreign Currency Contracts			—				1,276,116				—
Unrealized Depreciation on Foreign Currency Contracts			—				(29,996	)			—
Total - Net		$	—			$	38,862,111			$	—
Emerging Currency Strategy Fund		Level 1				Level 2				Level 3
U.S. Government Obligations		$	—			$	28,875,003			$	—
Repurchase Agreement			—				14,600,000				—
Total		$	—			$	43,475,003			$	—
Unrealized Appreciation on Foreign Currency Contracts			—				134,420				—
Unrealized Depreciation on Foreign Currency Contracts			—				(342,630	)			—
Total - Net		$	—			$	43,266,793			$	—
Asia Local Debt Fund		Level 1				Level 2				Level 3
Foreign Government Agencies		$	—			$	3,623,233			$	—
Foreign Government Obligations			—				15,770,256				—
Supranational Bonds			—				768,354				—
Total		$	—			$	20,161,843			$	—
Unrealized Appreciation on Foreign Currency Contracts			—				31,575				—
Unrealized Depreciation on Foreign Currency Contracts			—				(20,263	)			—
Total - Net		$	—			$	20,173,155			$	—
Interest Rate Hedged U.S. Aggregate Bond Fund		Level 1				Level 2				Level 3
U.S. Government Agencies		$	—			$	8,137,702			$	—
U.S. Government Obligations			—				10,196,415				—
Corporate Bonds			—				7,038,540				—
Foreign Corporate Bonds			—				711,987				—
Foreign Government Obligations			—				351,507				—
Supranational Bond			—				23,921				—
Commercial Mortgage-Backed Securities			—				798,396				—
Municipal Bond			—				181,131				—
Asset-Backed Securities			—				143,210				—
Investment of Cash Collateral for Securities Loaned			—				130,218				—
Total		$	—			$	27,713,027			$	—
Unrealized Appreciation on Futures Contracts			49,119				—				—
Total - Net		$	49,119			$	27,713,027			$	—

 

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Negative Duration U.S. Aggregate Bond Fund		Level 1				Level 2				Level 3
U.S. Government Agencies		$	—			$	8,597,747			$	—
U.S. Government Obligations			—				10,557,430				—
Corporate Bonds			—				7,580,562				—
Foreign Corporate Bonds			—				1,535,837				—
Foreign Government Agencies			—				202,282				—
Foreign Government Obligations			—				237,634				—
Supranational Bonds			—				183,078				—
Commercial Mortgage-Backed Securities			—				548,116				—
Municipal Bonds			—				58,697				—
Asset-Backed Securities			—				203,647				—
Investment of Cash Collateral for Securities Loaned			—				44,500				—
Total		$	—			$	29,749,530			$	—
Unrealized Appreciation on Futures Contracts			58,793				—				—
U.S. Government Agencies Sold Short			—				(99,882	)			—
Total - Net		$	58,793			$	29,649,648			$	—
Yield Enhanced U.S. Aggregate Bond Fund		Level 1				Level 2				Level 3
U.S. Government Agencies		$	—			$	94,712,888			$	—
U.S. Government Obligations			—				59,893,360				—
Corporate Bonds			—				156,370,131				—
Foreign Corporate Bonds			—				29,631,524				—
Foreign Government Agencies			—				552,496				—
Foreign Government Obligations			—				11,830,905				—
Commercial Mortgage-Backed Securities			—				26,455,678				—
Municipal Bonds			—				1,150,416				—
Investment of Cash Collateral for Securities Loaned			—				935,215				—
Total		$	—			$	381,532,613			$	—
Yield Enhanced U.S. Short-Term Aggregate Bond Fund		Level 1				Level 2				Level 3
U.S. Government Agencies		$	—			$	1,110,768			$	—
U.S. Government Obligations			—				8,019,606				—
Corporate Bonds			—				15,023,218				—
Foreign Corporate Bonds			—				2,754,711				—
Foreign Government Obligations			—				615,412				—
Commercial Mortgage-Backed Securities			—				2,701,762				—
Total		$	—			$	30,225,477			$	—
Floating Rate Treasury Fund		Level 1				Level 2				Level 3
U.S. Government Obligations		$	—			$	3,748,293			$	—
Total		$	—			$	3,748,293			$	—

 

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Emerging Markets Corporate Bond Fund		Level 1				Level 2				Level 3
Foreign Corporate Bonds		$	—			$	45,747,259			$	—
Foreign Government Agencies			—				1,948,996				—
Foreign Government Obligations			—				609,900				—
Investment of Cash Collateral for Securities Loaned			—				2,220,845				—
Total		$	—			$	50,527,000			$	—
Unrealized Appreciation on Futures Contracts			8,533				—				—
Unrealized Depreciation on Futures Contracts			(17,835	)			—				—
Total - Net		$	(9,302	)		$	50,527,000			$	—
Emerging Markets Local Debt Fund		Level 1				Level 2				Level 3
Foreign Government Agencies		$	—			$	2,325,067			$	—
Foreign Government Obligations			—				202,137,412				—
Supranational Bonds			—				9,926,999				—
Total		$	—			$	214,389,478			$	—
Unrealized Appreciation on Foreign Currency Contracts			—				411,909				—
Unrealized Depreciation on Foreign Currency Contracts			—				(44,396	)			—
Total - Net		$	—			$	214,756,991			$	—
Interest Rate Hedged High Yield Bond Fund		Level 1				Level 2				Level 3
Corporate Bonds		$	—			$	120,162,891			$	—
Foreign Corporate Bonds			—				18,389,302				—
Investment of Cash Collateral for Securities Loaned			—				11,130,435				—
Total		$	—			$	149,682,628			$	—
Unrealized Appreciation on Futures Contracts			123,933				—				—
Total - Net		$	123,933			$	149,682,628			$	—
Negative Duration High Yield Bond Fund		Level 1				Level 2				Level 3
Corporate Bonds		$	—			$	16,777,695			$	—
Foreign Corporate Bonds			—				1,562,519				—
Investment of Cash Collateral for Securities Loaned			—				1,376,358				—
Total		$	—			$	19,716,572			$	—
Unrealized Appreciation on Futures Contracts			36,528				—				—
Total - Net		$	36,528			$	19,716,572			$	—
CBOE Russell 2000 PutWrite Strategy Fund		Level 1				Level 2				Level 3
U.S. Government Obligations		$	—			$	1,499,245			$	—
Total		$	—			$	1,499,245			$	—
Written Options			(58,240	)			—				—
Total - Net		$	(58,240	)		$	1,499,245			$	—
CBOE S&P 500 PutWrite Strategy Fund		Level 1				Level 2				Level 3
U.S. Government Obligations		$	—			$	150,195,150			$	—
Total		$	—			$	150,195,150			$	—
Written Options			(3,243,745	)			—				—
Total - Net		$	(3,243,745	)		$	150,195,150			$	—

 

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Managed Futures Strategy Fund (consolidated)		Level 1				Level 2				Level 3
U.S. Government Obligations		$	—			$	152,872,722			$	—
Total		$	—			$	152,872,722			$	—
Unrealized Appreciation on Foreign Currency Contracts			—				499,357				—
Unrealized Depreciation on Foreign Currency Contracts			—				(463,380	)			—
Unrealized Appreciation on Futures Contracts			928,099				—				—
Unrealized Depreciation on Futures Contracts			(1,786,185	)			—				—
Total - Net		$	(858,086	)		$	152,908,699			$	—

There were no Level 3 securities at or during the six months or period ended February 28, 2018.

The Funds have elected to use the beginning of period method for transfers between fair value measurement levels.

There were no transfers into or out of any fair value measurement levels during the six months or period ended February 28, 2018.

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 foreign currency contracts, futures contracts and options contracts during the period ended February 28, 2018 and open positions in such derivatives as of February 28, 2018 are detailed in each Fund’s Schedule of Investments. 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 also contain credit-risk related contingent features which include, but are not limited to, a percentage decline in the Funds’ NAV over a specified time period. If an event occurred at February 28, 2018 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 derivatives agreements with credit-risk related contingent features would be the total value of derivatives in net liability positions for each Fund, as disclosed on page 140. At February 28, 2018, no event occurred that triggered a credit-risk-related contingent feature. Information with respect to the amounts and types of collateral received and/or posted for derivative instruments as of February 28, 2018, if any, is reflected as a footnote below the respective derivatives tables on each Fund’s Schedule of Investments.

As of February 28, 2018, the effects of such 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 foreign currency contracts

$

2,021,383

Unrealized depreciation on foreign currency contracts

$

665,994

Brazilian Real Strategy Fund

Foreign exchange contracts

Unrealized appreciation on foreign currency contracts

197,211

Unrealized depreciation on foreign currency contracts

150,636

Chinese Yuan Strategy Fund

Foreign exchange contracts

Unrealized appreciation on foreign currency contracts

1,276,116

Unrealized depreciation on foreign currency contracts

29,996

Emerging Currency Strategy Fund

Foreign exchange contracts

Unrealized appreciation on foreign currency contracts

134,420

Unrealized depreciation on foreign currency contracts

342,630

Asia Local Debt Fund

Foreign exchange contracts

Unrealized appreciation on foreign currency contracts

31,575

Unrealized depreciation on foreign currency contracts

20,263

Interest Rate Hedged U.S. Aggregate Bond Fund

Interest rate contracts

Unrealized appreciation on futures contracts*

49,119

Unrealized depreciation on futures contracts*

—

Negative Duration U.S. Aggregate Bond Fund

Interest rate contracts

Unrealized appreciation on futures contracts*

58,793

Unrealized depreciation on futures contracts*

—

 

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Fund

Asset Derivatives

Liability Derivatives

Balance Sheet Location

Value

Balance Sheet Location

Value

Emerging Markets Corporate Bond Fund

Interest rate contracts

Unrealized appreciation on futures contracts*

$

8,533

Unrealized depreciation on futures contracts*

$

17,835

Emerging Markets Local Debt Fund

Foreign exchange contracts

Unrealized appreciation on foreign currency contracts

411,909

Unrealized depreciation on foreign currency contracts

44,396

Interest Rate Hedged High Yield Bond Fund

Interest rate contracts

Unrealized appreciation on futures contracts*

123,933

Unrealized depreciation on futures contracts*

—

Negative Duration High Yield Bond Fund

Interest rate contracts

Unrealized appreciation on futures contracts*

36,528

Unrealized depreciation on futures contracts*

—

CBOE Russell 2000 PutWrite Strategy Fund

Equity contracts

Written options, at value

58,240

CBOE S&P 500 PutWrite Strategy Fund

Equity contracts

Written options, at value

3,243,745

Managed Futures Strategy Fund (consolidated)

Foreign exchange contracts

Unrealized appreciation on foreign currency contracts

499,357

Unrealized depreciation on foreign currency contracts

463,380

Unrealized appreciation on futures contracts*

756

Unrealized depreciation on futures contracts*

877

Commodity contracts

Unrealized appreciation on futures contracts*

712,588

Unrealized depreciation on futures contracts*

1,785,308

Interest rate contracts

Unrealized appreciation on futures contracts*

214,755

Unrealized depreciation on futures contracts*

—

*

Includes cumulative appreciation (depreciation) of futures contracts as reported in each Fund’s Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. Please see Note 2 (Futures Contracts) on pages 137 and 138 for additional information regarding balance sheet location of balances associated with futures contracts.

For the six months or period ended February 28, 2018, the effects 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		$	(2,051,363	)		$	1,277,698
Brazilian Real Strategy Fund
Foreign exchange contracts			653,284				(874,604	)
Chinese Yuan Strategy Fund
Foreign exchange contracts			2,101,120				48,618
Emerging Currency Strategy Fund
Foreign exchange contracts			2,501,622				(730,077	)
Asia Local Debt Fund
Foreign exchange contracts			(21,311	)			12,692
Interest Rate Hedged U.S. Aggregate Bond Fund
Interest rate contracts			814,888				103,042
Negative Duration U.S. Aggregate Bond Fund
Interest rate contracts			1,057,863				134,157
Emerging Markets Corporate Bond Fund
Interest rate contracts			272,807				(12,849	)
Emerging Markets Local Debt Fund
Foreign exchange contracts			(309,724	)			406,232
Interest Rate Hedged High Yield Bond Fund
Interest rate contracts			1,240,295				162,958
Negative Duration High Yield Bond Fund
Interest rate contracts			733,659				97,375

 

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Fund		Amount of Realized Gain or (Loss) on Derivatives Recognized1				Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized2
CBOE Russell 2000 PutWrite Strategy Fund
Equity contracts		$	(80,680	)		$	(16,640	)
CBOE S&P 500 PutWrite Strategy Fund
Equity contracts			2,770,436				(2,291,104	)
Managed Futures Strategy Fund (consolidated)
Foreign exchange contracts			(1,297,969	)			318,219
Commodity contracts			5,222,231				(1,586,741	)
Interest rate contracts			(40,136	)			(29,563	)

1

Realized gains (losses) on derivatives are located on the Statements of Operations as follows:

 

Equity contracts		Net realized gain (loss) from written options
Foreign exchange contracts		Net realized gain (loss) from foreign currency contracts and futures contracts
Commodity contracts		Net realized gain (loss) from futures contracts
Interest rate contracts		Net realized gain (loss) from futures contracts

 

2

Change in unrealized appreciation (depreciation) is located on the Statements of Operations as follows:

 

Equity contracts		Net increase (decrease) in unrealized appreciation/depreciation from written options
Foreign exchange contracts		Net increase (decrease) in unrealized appreciation/depreciation from futures contracts and foreign currency contracts
Commodity contracts		Net increase (decrease) in unrealized appreciation/depreciation from futures contracts
Interest rate contracts		Net increase (decrease) in unrealized appreciation/depreciation from futures contracts

During the six months or period ended February 28, 2018, the volume of derivative activity (based on the average of month-end balances) for each Fund was as follows:

 

Fund		Average Notional
		Foreign currency contracts (to deliver)				Foreign currency contracts (to receive)				Futures contracts (long)				Futures contracts (short)				Written options
U.S. Dollar Bullish Fund
Foreign exchange contracts		$	128,352,706			$	242,094,763			$	—			$	—			$	—
Brazilian Real Strategy Fund
Foreign exchange contracts			32,476,887				13,574,657				—				—				—
Chinese Yuan Strategy Fund
Foreign exchange contracts			50,469,727				12,432,829				—				—				—
Emerging Currency Strategy Fund
Foreign exchange contracts			65,998,444				16,369,051				—				—				—
Asia Local Debt Fund
Foreign exchange contracts			3,309,162				1,063,034				—				—				—
Interest Rate Hedged U.S. Aggregate Bond Fund
Interest rate contracts			—				—				—				25,144,200				—
Negative Duration U.S. Aggregate Bond Fund
Interest rate contracts			—				—				—				20,110,460				—
Emerging Markets Corporate Bond Fund
Interest rate contracts			—				—				8,035,617				8,109,920				—
Emerging Markets Local Debt Fund
Foreign exchange contracts			11,910,288				6,307,570				—				—				—
Interest Rate Hedged High Yield Bond Fund
Interest rate contracts			—				—				—				70,156,295				—
Negative Duration High Yield Bond Fund
Interest rate contracts			—				—				—				17,079,489				—
CBOE Russell 2000 PutWrite Strategy Fund
Equity contracts			—				—				—				—				2,464,000
CBOE S&P 500 PutWrite Strategy Fund
Equity contracts			—				—				—				—				255,004,429

 

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Fund		Average Notional
		Foreign currency contracts (to deliver)				Foreign currency contracts (to receive)				Futures contracts (long)				Futures contracts (short)				Written options
Managed Futures Strategy Fund (consolidated)
Commodity contracts		$	—			$	—			$	56,004,424			$	30,752,343			$	—
Foreign exchange contracts			14,183,630				15,082,324				33,183,052				4,997,451				—
Interest rate contracts			—				—				3,912,625				10,249,473				—

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 accretion of discounts), net of any foreign taxes withheld, is accrued daily. Generally, amortization of premiums and accretion of discounts are recognized daily using the interest method (also known as scientific amortization method). Payment-in-kind (“PIK”) interest income is accrued daily and the increase in a security’s principal amount related to such PIK interest income is recorded on the coupon payment date. Dividend income is recognized on the ex-dividend date.

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 increase (decrease) in unrealized appreciation (depreciation) from investment transactions, respectively, on the Statements of Operations. Realized and unrealized foreign exchange gains or losses from foreign currency contracts are included in net realized gain (loss) from foreign currency contracts and net increase (decrease) in unrealized appreciation/depreciation from foreign currency contracts, respectively, on the Statements of Operations. Realized and unrealized foreign exchange gains or losses arising from sales of foreign currencies, 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 foreign currency related transactions and/or increase (decrease) in unrealized appreciation (depreciation) from translation of assets and liabilities denominated in foreign currencies in the Statements 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/Reimbursements — Under the investment advisory agreement for each Fund, except for Funds that commenced operations on or after March 26, 2013, WTAM has agreed to pay all expenses of the Trust, 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 Funds that commenced operations on or after March 26, 2013, WTAM has agreed to pay all expenses of the Trust, 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 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.

Acquired fund fees and expenses (which are fees and expenses incurred indirectly by a Fund through its investments in certain underlying investment companies) are not operating expenses of the Funds 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

 

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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 may enter into repurchase agreements with counterparties that are deemed to present acceptable credit risks. A repurchase agreement is a transaction in which a Fund acquires securities or other obligations as collateral from a commercial bank or securities broker-dealer and simultaneously commits to resell them to the counterparty at an agreed upon date or upon demand and at a price reflecting a market rate of interest unrelated to the coupon rate or maturity of the acquired obligations. This is designed to result in a fixed rate of return for the Fund insulated from market fluctuations during the holding period. Each Fund maintains custody of the acquired collateral prior to their repurchase, either through its regular custodian or through a special “tri-party” custodian or sub-custodian that maintains separate accounts for both the Fund and the counterparty. Because repurchase agreements are collateralized by securities, they are subject to market and credit risk on the acquired collateral in addition to counterparty credit risk. The acquired 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. If the acquired collateral declines in value and becomes less than the repurchase price, plus any agreed-upon additional amount, the counterparty must provide additional collateral so that at all times the collateral value is at least equal to the repurchase price plus any agreed-upon additional amount. 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 — The Currency Strategy Funds, except the U.S. Dollar Bullish Fund, utilized forward foreign currency contracts (“Forward Contract”) to obtain net long exposure to foreign currencies consistent with each Currency Strategy Fund’s investment objective. The U.S. Dollar Bullish Fund utilized Forward Contracts to obtain net short exposure to foreign currencies consistent with its investment objective. The Asia Local Debt Fund and the Emerging Markets Local Debt Fund utilized Forward Contracts to obtain long and short exposures to foreign currencies consistent with each Fund’s investment objective. The Managed Futures Strategy Fund utilized Forward Contracts to obtain long and short exposures to the Japanese Yen consistent with its investment objective. A 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 does not require an initial margin deposit and no commissions are charged at any stage for trades. However, if a Fund is in an unrealized loss position on a Forward Contract, it may be required to pledge collateral (or additional collateral) to the counterparty. If a Fund is in an unrealized gain position on a Forward Contract, it may receive collateral from the counterparty.

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 and included in net increase (decrease) in unrealized appreciation (depreciation) from foreign currency contracts on the Statements of Operations. Realized gains and losses on Forward Contracts include net gains or losses recognized by the Funds on contracts which have settled are included in net realized gain (loss) from foreign currency contracts on the Statements of Operations.

Futures Contracts — The Duration Funds utilized futures contracts to obtain short exposure to U.S. Treasury bonds to hedge against a rise in interest rates. The Emerging Markets Corporate Bond Fund utilized futures contracts on U.S. Treasury bonds to manage interest rate risk. The Managed Futures Strategy Fund utilized futures contracts to obtain long and short exposures to currencies, commodities and interest rates consistent with its investment objective. 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.

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 or at other agreed-upon time periods 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. The current one-day variation margin on open futures contracts is shown on the Statements of Assets and Liabilities as either a receivable or a payable for “Net variation margin on futures contracts”. The prior variation margins on both open and closed futures contracts are shown in the Statements of Assets and Liabilities, in whole or in part, as a component of, or an offset to,

 

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“Cash” and/or “Deposits at broker for futures contracts”. 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, or take other measures with respect to, cash or liquid securities that, when added to any amounts deposited with a futures commission merchant as margin, will “cover” its position in a manner consistent with the 1940 Act or the rules and SEC interpretations thereunder. This 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.

Options Contracts — The CBOE Russell 2000 PutWrite Strategy Fund and the CBOE S&P 500 PutWrite Strategy Fund (the “Funds”) utilized option contracts by writing put options on the Russell 2000 and S&P 500 Indexes, respectively, consistent with their investment objective. A put option gives the purchaser of the option the right to sell, and the writer of the option the obligation to buy, the underlying security or financial instrument. A call option gives the purchaser of the option the right to buy, and the writer of the option the obligation to sell, the underlying security or financial instrument. A premium is paid to the writer of an option as consideration for undertaking the obligation in the contract. The Funds may purchase and write options on an exchange or over the counter (“OTC”). OTC options differ from exchange-traded options in several respects. They are transacted directly with dealers and not with a clearing corporation, and therefore entail the risk of nonperformance by the dealer. OTC options are available for a greater variety of securities and for a wider range of expiration dates and exercise prices than are available for exchange-traded options. Because OTC options are not traded on an exchange, pricing is done normally by reference to information from a market maker.

When the Funds purchase an option, an amount equal to the premium paid by the Funds is recorded as an asset, the value of which is marked-to-market to reflect the current market value of the option purchased. If the purchased option expires, the Funds realize a loss equal to the amount of premium paid. When a security or financial instrument is purchased or sold through the exercise of an option, the related premium paid is added to the basis of the security or financial instrument acquired or deducted from the proceeds of the security or financial instrument sold.

When the Funds write an option, an amount equal to the premium received by the Funds is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the premium received is recorded as a realized gain. When a written call option is exercised, the difference between the premium received plus the option exercise price and the Funds’ basis in the underlying security (in the case of a covered written call option), or the cost to purchase the underlying security (in the case of an uncovered written call option), including brokerage commission, is recognized as a realized gain or loss. When a written put option is exercised, the amount of the premium received is subtracted from the cost of the security purchased by the Funds from the exercise of the written put option to form the Funds’ basis in the underlying security purchased.

The purchaser or writer of an option may close the position before the exercise of the option by entering into a closing transaction. In the case of a written option, the cost of a closing transaction is deducted from the original premium received resulting in a realized gain or loss to the Funds. With respect to a purchased option, the original premium paid is deducted from the proceeds received from a closing transaction resulting in a realized gain or loss to the Funds.

Written options may constitute a fair value guarantee on a financial asset under the provisions of FASB Codification Topic 460 —Guarantees. The Fund’s maximum payout for written put options is limited to the number of contracts written and the associated strike prices. At February 28, 2018, the CBOE Russell 2000 PutWrite Strategy Fund’s maximum payout for written put options was $2,464,000. At February 28, 2018, the CBOE S&P 500 PutWrite Strategy Fund’s maximum payout for written put options was $207,039,500. The maximum payout for written call options is potentially unlimited to the extent that the written call option is uncovered.

The Funds’ risk associated with purchasing put and call options is limited to the premiums paid. The risk in writing a covered call option is that the Funds may forego the opportunity of profit if the market price of the underlying security increases and the option is exercised. The risk in writing an uncovered call option is that the Funds are exposed to the risk of loss if the market price of the underlying security increases. The risk in writing a put option is that the Funds may incur a loss if the market price of the underlying security decreases and the option is exercised. In addition, there is the risk that the Funds may not be able to enter into a closing transaction because of an illiquid secondary market.

Other significant risks associated with the Funds’ use of options contracts may include the following: (1) the success of a strategy may depend on the Fund adviser’s ability to predict movements in the prices of individual commodities, currencies or securities, fluctuations in markets and movements in interest rates; (2) there may be an imperfect or no correlation between the changes in market value of the commodities, currencies or securities and the price of options; (3) although the Funds intend to enter into options contracts only if there is an active market for such contracts, there is no assurance that an active market will exist for the contracts at any particular time; (4) trading restrictions or limitations may be imposed by an exchange; and (5) government regulations may restrict trading in options contracts.

 

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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 values of the investments of cash collateral for securities on loan along with the obligations to return such collateral are included on the Statements of Assets and Liabilities. The total value of securities received as collateral for securities on loan is included in a footnote following each Schedule of Investments, but is not included within 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, all of which are included in the securities lending income earned by the Funds and 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. Dividends received while a security is out on loan are not considered Qualified Dividend Income (“QDI”) under the specific criteria issued by the Internal Revenue Service and are subject to taxation at the shareholder’s ordinary income tax rate instead of the lower long-term capital gains tax rate. Lending portfolio securities could result in a loss or delay in recovering each Fund’s securities if the borrower defaults.

Master Netting Arrangements — ASU 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 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 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 a counterparty’s non-performance.

Repurchase agreements are subject to the terms and conditions of a Master Repurchase Agreement (“Master Repurchase Agreement”) between a Fund and a counterparty. In the event of a default or failure by a party to perform an obligation with respect to a repurchase transaction, the Master Repurchase Agreement gives the non-defaulting party the right to set-off claims and to apply property held by it in connection with a repurchase transaction against obligations owed to the non-defaulting party.

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

 

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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.

The Funds’ futures contracts and option contracts are all exchange traded and are not subject to master netting arrangements. Therefore, all futures contracts and option contracts are excluded from the master netting table below.

For financial reporting purposes, the Funds elect to not offset assets and liabilities subject to an ISDA Master Agreement, Master Repurchase Agreement or Lending Agreement, if any, 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, 2018, the impact of netting of assets and liabilities and the offsetting of collateral pledged or received based on contractual netting/set-off provisions in the ISDA Master Agreement, Master Repurchase Agreement and the Lending Agreement are detailed in the following table:

 

		Assets																Liabilities
		Gross Amounts in the Statements of Assets and Liabilities				Gross Amounts Not Offset in the Statements of Assets and Liabilities								Net Amount				Gross Amounts in the Statements of Assets and Liabilities				Gross Amounts Not Offset in the Statements of Assets and Liabilities								Net Amount
Fund						Financial Instruments				Collateral Received												Financial Instruments				Collateral Posted
U.S. Dollar Bullish Fund
Foreign Currency Contracts		$	2,021,383			$	(665,994	)		$	—			$	1,355,389			$	665,994			$	(665,994	)		$	—			$	—
Brazilian Real Strategy Fund
Repurchase Agreements			4,800,000				—				(4,800,000	)1			—				—				—				—				—
Foreign Currency Contracts			197,211				(80,933	)			—				116,278				150,636				(80,933	)			—				69,703
Chinese Yuan Strategy Fund
Repurchase Agreements			12,560,000				—				(12,560,000	)1			—				—				—				—				—
Foreign Currency Contracts			1,276,116				(29,996	)			—				1,246,120				29,996				(29,996	)			—				—
Emerging Currency Strategy Fund
Repurchase Agreements			14,600,000				—				(14,600,000	)1			—				—				—				—				—
Foreign Currency Contracts			134,420				(26,772	)			—				107,648				342,630				(26,772	)			(36,780	)1			279,078
Asia Local Debt Fund
Foreign Currency Contracts			31,575				(2,371	)			—				29,204				20,263				(2,371	)			—				17,892
Interest Rate Hedged U.S. Aggregate Bond Fund
Securities Lending			126,821				—				(126,821	)1			—				—				—				—				—
Negative Duration U.S. Aggregate Bond Fund
Securities Lending			42,795				—				(42,795	)1			—				—				—				—				—
Yield Enhanced U.S. Aggregate Bond Fund
Securities Lending			907,003				—				(907,003	)1			—				—				—				—				—
Emerging Markets Corporate Bond Fund
Securities Lending			1,979,785				—				(1,979,785	)1			—				—				—				—				—
Emerging Markets Local Debt Fund
Foreign Currency Contracts			411,909				(36,314	)			—				375,595				44,396				(36,314	)			—				8,082
Interest Rate Hedged High Yield Bond Fund
Securities Lending			10,915,536				—				(10,915,536	)1			—				—				—				—				—
Negative Duration High Yield Bond Fund
Securities Lending			1,327,842				—				(1,327,842	)1			—				—				—				—				—
Managed Futures Strategy Fund (consolidated)
Foreign Currency Contracts			499,357				(304,330	)			—				195,027				463,380				(304,330	)			—				159,050

1

The amount of collateral presented has been limited such that the net amount by counterparty 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 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.

 

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To-be-announced Transactions — Interest Rate Hedged U.S. Aggregate Bond Fund, Negative Duration U.S. Aggregate Bond Fund, Yield Enhanced U.S. Aggregate Bond Fund and the Yield Enhanced U.S. Short-Term Aggregate Bond 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 Interest Rate Hedged U.S. Aggregate Bond Fund, Negative Duration U.S. Aggregate Bond Fund, Yield Enhanced U.S. Aggregate Bond Fund and the Yield Enhanced U.S. Short-Term Aggregate Bond 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.

Short Sale Transactions — Each Fund may enter into “short sale” transactions in which a Fund sells a security that it does not own in anticipation of a decline in the market price of that security. When a Fund enters into a short sale transaction, the Fund will borrow the security and deliver it to the counterparty to which the Fund sold the security short. An amount equal to the proceeds received by the Fund is reflected as an asset and an equivalent liability in the Statement of Assets and Liabilities. The amount of the liability is subsequently marked-to-market to reflect the current market value of the securities sold short. Any interest or dividends that accrue on the securities borrowed are shown as an interest expense or dividend expense in the Statement of Operations of the Fund. A realized gain, limited to the proceeds received at which the Fund sold the security short, or a realized loss, unlimited as to the dollar amount, will be recognized upon the termination of a short sale if the cost to close out the short sale transaction is either less than (in the case of a gain) or greater than (in the case of a loss) the proceeds received. The risk of loss on a short sale transaction is potentially unlimited unlike the risk of loss on a long position, which is limited to the amount paid for the investment plus transaction costs. Funds entering into short sale transactions are exposed to the risk that they may be unable to close out a short sale position at any particular time or at an acceptable price.

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. In order to qualify for the special tax treatment accorded RICs and their shareholders, each Fund must, among other things, distribute with respect to each taxable year an amount equal to or greater than the sum of 90% of its investment company taxable income and 90% of its net tax-exempt interest income. 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. 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.

3. ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES

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 BNY Mellon Asset Management North America Corporation (“MCM”) to provide sub-advisory services to the Funds, except for Yield Enhanced U.S. Short-Term Aggregate Bond Fund and Emerging Markets Corporate Bond Fund which are sub-advised by Voya Investment Management Co., LLC (“Voya IM”). MCM and Voya IM are compensated by WTAM at no additional cost to the Funds. WTAM also arranges for transfer agency, custody, fund accounting, 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 described in Note 2.

Pursuant to a separate contractual arrangement, as 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, accrued daily and paid monthly in arrears, of up to 0.0044% per annum

 

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of each Fund’s average daily net assets. WTAM expects to receive advisory 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 (before fee waiver)				Advisory Fee Waiver1				Advisory Fee Waiver Expiration Date
U.S. Dollar Bullish Fund			0.50	%			—				—
Brazilian Real Strategy Fund			0.45	%			—				—
Chinese Yuan Strategy Fund			0.45	%			—				—
Emerging Currency Strategy Fund			0.55	%			—				—
Asia Local Debt Fund			0.55	%			—				—
Interest Rate Hedged U.S. Aggregate Bond Fund			0.23	%			—				—
Negative Duration U.S. Aggregate Bond Fund			0.28	%			—				—
Yield Enhanced U.S. Aggregate Bond Fund			0.20	%			(0.08	)%			December 31, 2018
Yield Enhanced U.S. Short-Term Aggregate Bond Fund			0.20	%			(0.08	)%			December 31, 2018
Floating Rate Treasury Fund			0.20	%			(0.05	)%			December 31, 2018
Emerging Markets Corporate Bond Fund			0.60	%			—				—
Emerging Markets Local Debt Fund			0.55	%			—				—
Interest Rate Hedged High Yield Bond Fund			0.43	%			—				—
Negative Duration High Yield Bond Fund			0.48	%			—				—
CBOE Russell 2000 PutWrite Strategy Fund			0.49	%			(0.06	)%			December 31, 2018
CBOE S&P 500 PutWrite Strategy Fund			0.44	%			(0.06	)%			December 31, 2018
Managed Futures Strategy Fund (consolidated)			0.75	%			(0.10	)%			December 31, 2018

1

WTAM has contractually agreed to waive a portion of its advisory fee by the waiver amount listed per annum based on the average daily net assets through the expiration date listed, unless earlier terminated by the Board of Trustees of the Trust for any reason. The dollar amount of contractual fee waivers are included in “Expense waivers” on the Statements of Operations.

During the fiscal period ended February 28, 2018, the U.S. Dollar Bullish Fund received a voluntary reimbursement of $6,115 from MCM for investment losses on certain foreign exchange transactions.

Related Party Transactions — WTAM or its affiliates may from time to time own shares of a Fund. As of February 28, 2018, WTAM held shares of the following Funds which were purchased through an unaffiliated broker in ordinary brokerage transactions in the secondary market in which the Funds’ shares trade:

 

Fund		Fund Shares held by WTAM				Market Value of Fund Shares held by WTAM				Dividends paid to WTAM on Fund Shares held by  WTAM
Yield Enhanced U.S. Aggregate Bond Fund			1,523			$	74,825			$	986
Yield Enhanced U.S. Short-Term Aggregate Bond Fund			22				1,080				4
Floating Rate Treasury Fund			163				4,085				28
Emerging Markets Local Debt Fund			152				5,931				113
Interest Rate Hedged High Yield Bond Fund			585				14,093				303
CBOE S&P 500 PutWrite Strategy Fund			343				9,841				335

4. CAPITAL SHARE TRANSACTIONS

As of February 28, 2018, there were 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 purchases and sales resulting from in-kind capital share transactions and short-term investments) and the cost of purchases and the proceeds from sales resulting from in-kind capital share transactions (excluding short-term investments) for the six months or period ended February 28, 2018 are shown in the following table. Realized gains and

 

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losses on sales resulting from in-kind capital share redemptions, as shown on the Statements of Operations, are not recognized by the Funds for tax purposes.

 

		Non-U.S. Government Securities								U.S. Government Securities								In-kind Capital Share Transactions
Fund		Purchases				Sales				Purchases				Sales				Purchases				Sales
U.S. Dollar Bullish Fund		$	—			$	—			$	—			$	—			$	—			$	—
Brazilian Real Strategy Fund			—				—				—				—				—				—
Chinese Yuan Strategy Fund			—				—				—				—				—				—
Emerging Currency Strategy Fund			—				—				—				—				—				—
Asia Local Debt Fund			7,154,173				5,882,324				—				—				—				—
Interest Rate Hedged U.S. Aggregate Bond Fund			3,161,357				2,236,426				17,420,986				13,453,018				—				—
Negative Duration U.S. Aggregate Bond Fund			8,597,395				3,485,267				25,494,971				17,032,295				—				—
Yield Enhanced U.S. Aggregate Bond Fund			37,470,202				28,289,216				230,796,860				143,411,043				131,711,841				3,282,142
Yield Enhanced U.S. Short-Term Aggregate Bond Fund			3,718,592				3,139,172				12,258,318				10,773,894				22,290,495				—
Floating Rate Treasury Fund			—				—				4,478,253				1,358,147				624,630				1,247,157
Emerging Markets Corporate Bond Fund			40,474,188				39,438,283				—				—				—				—
Emerging Markets Local Debt Fund			48,898,670				73,430,534				—				—				10,460,670				17,491,805
Interest Rate Hedged High Yield Bond Fund			97,974,930				14,794,511				—				—				1,978,327				—
Negative Duration High Yield Bond Fund			9,742,292				6,719,372				—				—				—				—
CBOE Russell 2000 PutWrite Strategy Fund1			—				—				—				—				—				—
CBOE S&P 500 PutWrite Strategy Fund			—				—				—				—				—				—
Managed Futures Strategy Fund (consolidated)			—				—				—				—				—				—

1

For the period February 1, 2018 (commencement of operations) through February 28, 2018.

6. FEDERAL INCOME TAXES

At February 28, 2018, the cost of investments (including securities on loan, derivatives and securities sold short) for Federal income tax purposes was as follows:

 

Fund		Tax Cost				Gross Unrealized Appreciation				Gross Unrealized Depreciation				Net Unrealized Appreciation/ (Depreciation)
U.S. Dollar Bullish Fund		$	50,447,708			$	617			$	(62	)		$	555
Brazilian Real Strategy Fund			14,794,135				167				—				167
Chinese Yuan Strategy Fund			38,861,937				215				(41	)			174
Emerging Currency Strategy Fund			43,266,437				389				(33	)			356
Asia Local Debt Fund			20,724,574				451,184				(1,002,603	)			(551,419	)
Interest Rate Hedged U.S. Aggregate Bond Fund			28,184,093				35,253				(457,200	)			(421,947	)
Negative Duration U.S. Aggregate Bond Fund			30,175,397				22,402				(489,358	)			(466,956	)
Yield Enhanced U.S. Aggregate Bond Fund			388,824,150				1,084,538				(8,376,075	)			(7,291,537	)
Yield Enhanced U.S. Short-Term Aggregate Bond Fund			30,559,972				220				(334,715	)			(334,495	)
Floating Rate Treasury Fund			3,747,956				374				(37	)			337
Emerging Markets Corporate Bond Fund			50,608,517				605,142				(695,961	)			(90,819	)
Emerging Markets Local Debt Fund			234,393,643				6,496,835				(26,133,487	)			(19,636,652	)
Interest Rate Hedged High Yield Bond Fund			150,840,163				631,471				(1,665,073	)			(1,033,602	)
Negative Duration High Yield Bond Fund			19,830,148				142,484				(219,532	)			(77,048	)
CBOE Russell 2000 PutWrite Strategy Fund			1,482,612				—				(7	)			(7	)
CBOE S&P 500 PutWrite Strategy Fund			149,776,557				—				(6,527	)			(6,527	)
Managed Futures Strategy Fund (consolidated)			217,808,752				366				(65,758,505	)			(65,758,139	)

 

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Notes to Financial Statements (unaudited) (concluded)

 

7. RECENT ACCOUNTING PRONOUNCEMENT

In March 2017, the FASB issued ASU 2017-08 Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in ASU 2017-08 shorten the amortization period for certain callable debt securities held at a premium. Specifically, the amendments require the premium to be amortized to the earliest call date. ASU 2017-08 is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. WTAM is currently evaluating the impact that the adoption of this guidance will have on the Trust’s financial statements and related disclosures.

 

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

 

Consideration of the Renewal of Investment Advisory and Sub-Investment Advisory Agreements with respect to all Funds (except the WisdomTree CBOE Russell 2000 PutWrite Strategy Fund and the WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund)

At a meeting of the Board of Trustees (the “Board” or the “Trustees”) of the WisdomTree Trust (the “Trust”) held on September 26-27, 2017 (the “Meeting”), the Trustees, 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 renewal of the Investment Advisory Agreements between WisdomTree Asset Management, Inc. (“WTAM”) and the Trust, on behalf of each series included in this report (except, the WisdomTree CBOE Russell 2000 PutWrite Strategy Fund and the WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund) (each, a “Fund,” and, collectively, the “Funds”), pursuant to which WTAM provides the Funds with investment advisory services (the “Advisory Agreements”), the Sub-Advisory Agreement (the “MCM Sub-Advisory Agreement”), pursuant to which BNY Mellon Asset Management North America Corporation (“MCM”) coordinates the investment and reinvestment of the assets of the Funds, except WisdomTree Emerging Markets Corporate Bond Fund, and the Investment Sub-Advisory Agreement (together with the MCM Sub-Advisory Agreement, the “Sub-Advisory Agreements,” and, collectively with the Advisory Agreements and the MCM Sub-Advisory Agreement, the “Agreements”), pursuant to which Voya Investment Management Co. LLC (“Voya,” and, together with MCM, the “Sub-Advisers”) coordinates the investment and reinvestment of the assets of the WisdomTree Emerging Markets Corporate Bond Fund.

The Independent Trustees requested, and WTAM provided, such information as the Independent Trustees, with advice from independent legal counsel, deemed reasonably necessary to evaluate the Agreements. At a meeting of a committee of Independent Trustees (the “Contracts Review Committee”) held on August 3, 2017, representatives from WTAM presented preliminary information to the Trustees relating to the continuance of the Agreements, and the Trustees, including the Independent Trustees, reviewed and discussed such information. Further information was presented at the Board’s request at the Meeting.

The Independent Trustees were assisted in their review by independent legal counsel and met with counsel in executive session separate from WTAM representatives and the Sub-Advisers. In considering the renewal of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Trustee may have attributed different weights to the factors considered.

Analysis of Nature, Extent, and Quality of Services Provided to the Funds.

The Board considered information provided to them at the Meeting and in previous presentations throughout the year from WTAM representatives regarding the nature, extent, and quality of the services provided to the Funds, recognizing WTAM’s and the Sub-Advisers’ operational capabilities and resources. The Board also discussed the role of WisdomTree Investments, Inc. (“WTI”), the parent of WTAM, as index provider to certain Funds, which comprise the substantial majority of assets in the WisdomTree fund complex. The Board noted that the strategies represented by those Funds tracking affiliated WTI indexes are unique, based on WTI’s intellectual property and are only available for use by applicable Funds through WTAM. The Board noted WTAM’s belief that shareholders have invested in such Funds on the strength of WTI’s intellectual property and WTAM’s industry standing and reputation and with the expectation that WTAM will have a continuing role in providing advisory services to the Funds based on the WTI indexes. The Board also noted the extensive responsibilities that WTAM has as investment adviser to the Funds, including: the selection of, and supervisory responsibilities and activities over, the Sub-Advisers, including oversight of the Sub-Advisers’ adherence to each Fund’s investment strategy and restrictions, monitoring of the Sub-Advisers’ buying and selling of securities and derivatives transactions, review of Sub-Adviser performance, review of proxies voted by the Sub-Advisers and oversight of, and the provision of consultation to, the Sub-Advisers with respect to the creation of custom creation or redemption baskets for authorized participants; oversight of the daily valuation of the Funds’ portfolio holdings; oversight of general Fund compliance with federal and state laws; and implementation of Board directives as they relate to the Funds. The Board also considered research support available to, and management capabilities of, the Funds’ management personnel and that WTAM provides oversight of day-to-day Fund operations, including fund accounting, tax matters, administration and legal assistance in meeting disclosure and regulatory requirements. Based on management’s representations, the Board expected that there would be no reduction in the scope of services required by or provided by WTAM and the Sub-Advisers under the relevant Agreements. The Board noted that WTAM has continued to commit significant resources toward the fund complex and has made substantial investments to improve the services offered by WTAM, which benefit Fund shareholders.

Based on review of this information and the other factors considered at the Meeting, the Board concluded that the nature, extent and quality of services provided by WTAM and the Sub-Advisers under the Advisory Agreements and Sub-Advisory Agreements, respectively, are adequate and appropriate and supported the Board’s approval of the renewal of the Agreements.

Comparative Analysis of the Funds’ Performance and Management Fee and Expense Ratio.

The Board reviewed reports prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, which included information (1) measuring each index Fund’s performance by how well it tracked the

 

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relevant benchmark index (2) comparing, with respect to the actively-managed Funds, each Fund’s performance with the performance of a group of comparable funds (the “Performance Group”) for various periods ended May 31, 2017, and (3) comparing each Fund’s actual management fees and total expenses with those of a group of comparable funds (the “Expense Group”) and, with respect to total expenses, with a broader group of funds (the “Expense Universe”), the information for which was derived in part from fund financial statements available to Broadridge as of the date of its analysis. The Contracts Review Committee and the Independent Trustees previously had reviewed and discussed the methodology Broadridge used to select the Performance Groups, Expense Groups and Expense Universes. The Board noted that the Performance Groups, Expense Groups and Expense Universes included only pure-index and index-based exchange traded funds (“ETFs”) as comparison funds, except that the Performance Groups, Expense Groups and Expense Universes for the actively-managed Funds included either only actively-managed ETFs or a mix of actively-managed and passively-managed ETFs as comparison funds. The Board also noted that due to the special characteristics of certain Funds, there are limitations in providing comparable funds in the Performance Groups, Expense Groups and Expense Universes, and the information in the Broadridge reports may or may not provide meaningful direct comparisons to the Funds. The Board also reviewed reports prepared by WTAM presenting performance data for Funds with ten years of performance history and for WisdomTree indexes with at least three years of performance history that are tracked by an index Fund.

The Board discussed the index Funds’ performance, noting that the substantial majority of index Funds seek to track their own WisdomTree benchmark index. During the prior year, the Board received periodic reports on the Funds’ performance in comparison to their relevant benchmark indexes. The Board also discussed the performance of the actively-managed Funds and noted that total return performance of the Funds was variously above and below the relevant Performance Group medians for the time periods measured. In response to questions from the Independent Trustees, WTAM representatives discussed the relative performance of the Funds and the factors affecting such performance. On that basis, the Board determined to monitor carefully in the coming year disparities in performance — both positive and negative — but did not believe that the disparities in the past reflected any characteristics requiring immediate action by WTAM or a Sub-Adviser.

The Board also reviewed the range of actual management fees and total expenses of the Expense Group funds and, with respect to total expenses, Expense Universe funds, as well as the advisory fees and total expenses of certain funds not included in the Broadridge reports that WTAM considers to be significant competitors of the Funds, and discussed the results of the comparisons. With respect to comparisons of actual management fees, the Board noted the Funds’ unitary fee structure and that the Expense Groups and Expense Universes generally included both ETFs with and without a unitary fee structure. The Board also noted that certain comparison funds in certain Expense Groups and Expense Universes benefited from waivers of all or a portion of their management fees and reimbursement of certain operating expenses. The Board noted that the total expenses of many of the Funds were within five basis points of the median or average total expenses of the funds in the Funds’ respective Expense Groups. In those specific instances where a Fund’s total expenses departed more significantly from comparative funds, the Independent Trustees sought explanations from WTAM, which generally attributed the disparities to the limitations within peer data (including actively-managed Funds with a peer group that included index-based funds) and/or the unique attributes of a Fund.

The Board considered the fees to the Sub-Advisers in relation to the fees paid to WTAM by the Funds and the respective services provided by the Sub-Advisers and WTAM. The Board also noted that the Sub-Advisers’ fees are paid by WTAM (out of its fee paid by the relevant Funds) and not the Funds. The Board considered the meaningful differences in the services that WTAM provides to the Funds as compared to the Sub-Advisers, including that the role of a Sub-Adviser in making investment recommendations with respect to a Fund tracking an index is a rules-based function, with oversight by WTAM in seeking to ensure compliance with such rules. The Board also considered the entrepreneurial and expense risk borne by WTAM that is associated with the Funds’ unitary fee structure, which frequently includes minimum fees (such as those to a Sub-Adviser), regardless of whether the asset size of a Fund has grown to a sufficient size.

Based on this review and the other factors considered at the Meeting, the Board concluded that, with respect to each Fund, the Fund’s performance, the fees paid to WTAM and the relevant Sub-Adviser and the Fund’s total expenses supported the Board’s approval of the renewal of the relevant Agreements.

Analysis of Profitability and Economies of Scale.

WTAM representatives reviewed the expenses allocated and profit received by WTAM and the resulting profitability percentage for managing each Fund and the aggregate profitability percentage to WTAM for managing the WisdomTree fund complex, and the method used to determine the expenses and profit.

The Board considered the profitability analysis (1) as part of its evaluation of whether the fees under the Agreements bear a reasonable relationship to the mix of services provided by WTAM and the Sub-Advisers, including the nature, extent and quality of such services, and (2) in light of the relevant circumstances for each Fund and the extent to which economies of scale would be realized if the Fund grows and whether fee levels reflect these economies of scale for the benefit of Fund shareholders. WTAM representatives noted that a discussion of economies of scale is predicated on a Fund having achieved a substantial size and that, if a

 

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Fund’s assets had been decreasing, the possibility that WTAM may have realized any economies of scale would be less. WTAM representatives also noted that, as a result of shared and allocated costs among the WisdomTree funds, the extent of economies of scale could depend substantially on the level of assets in the fund complex as a whole. The Board noted that certain Funds had grown rapidly over a relatively short period of time after longer periods of slow or no growth, during which there were years of losses for WTAM in managing such Funds that had only recently turned profitable and years of substantial cumulative losses to WTAM in managing the fund complex as a whole. WTAM representatives stated that there has been significant volatility in the assets of individual Funds and in the fund complex as a whole over time (including volatility in profitability) and that it was not clear that current asset levels will be maintained. WTAM representatives noted that assets in certain Funds have diminished at times at a rapid rate (including during the last year) and could continue to do so. WTAM representatives also noted that economies of scale currently are shared with the Funds by way of the unitary fee structure of the Trust, as well as through additional investment in the WisdomTree business. The Board noted that the Contracts Review Committee had focused on the issue of economies of scale during its meetings. The Board also noted that it would continue to monitor the sharing of economies of scale, focusing in particular on Funds that have experienced significant asset growth, to determine the appropriateness of adding breakpoints in the future. The Board also considered potential benefits to WTAM and the Sub-Advisers from acting as investment adviser and sub-investment advisers, respectively, and noted that there were no soft dollar arrangements in effect for trading the Funds’ investments. Based on this review, the Board concluded that the profitability results were consistent with the services rendered and service levels provided by WTAM and the entrepreneurial risk WTAM has undertaken over time.

*    *    *    *    *    *

At the conclusion of these discussions, the Board agreed that it had been furnished with sufficient information to make an informed business decision with respect to the renewal of the Agreements. In evaluating the Agreements, the Board considered the conclusions and determinations discussed above and also relied on its previous knowledge, gained through meetings and other interactions with WTAM and the Sub-Advisers, of the Funds and the services provided to the Funds by WTAM and the Sub-Advisers. The Board also relied on information received on a routine and regular basis throughout the year relating to the operations of the Funds and the investment advisory and other services provided under the Agreements. In light of the foregoing, the Board, including a majority of the Independent Trustees, determined to approve the renewal of the Agreements.

Consideration of the Approval of Investment Advisory and Sub-Advisory Agreements for the WisdomTree CBOE Russell 2000 PutWrite Strategy Fund (the “Fund”)

At a meeting of the Board of Trustees (the “Board”) of the WisdomTree Trust (the “Trust”) held on September 26-27, 2017, the Trustees (the “Trustees”), 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 the Investment Advisory Agreement (the “Advisory Agreement”), pursuant to which WisdomTree Asset Management, Inc. (“WTAM”) will provide the Fund with investment advisory services, and the Sub-Advisory Agreement (together with the Advisory Agreement, the “Agreements”), pursuant to which BNY Mellon Asset Management North America Corporation (the “Sub-Adviser”) will coordinate the investment and reinvestment of the assets of the Fund.

In considering whether to approve the Agreements, the Trustees considered and discussed information and analysis provided by WTAM and Broadridge Financial Solutions, Inc., an independent provider of investment company data. The Trustees noted that representatives from WTAM presented preliminary information to the Trustees regarding the Fund’s proposed investment objective, index methodology and principal investment strategies and risks at a meeting of the Fund’s Investment Committee, a committee of Independent Trustees, held on June 13, 2017. The Trustees were assisted in their review by counsel to the Trust and independent legal counsel, and met with counsel in executive session separate from WTAM representatives and the Sub-Adviser. In considering the approval of the Agreements, the Board considered all factors that it believed to be relevant, including those discussed below. The Board did not identify any one factor as dispositive, and each Trustee may have attributed different weights to the factors considered.

Analysis of Nature, Extent, and Quality of Services to be Provided to the Fund.

The Board considered information provided to them at the meeting and in previous presentations throughout the year from WTAM representatives regarding the nature, extent, and quality of the services provided to the WisdomTree funds, recognizing WTAM’s and the Sub-Adviser’s operational capabilities and resources. The Board noted WTAM’s belief that shareholders will invest in the Fund on the strength of WTAM’s industry standing and reputation and with the expectation that WTAM will have a continuing role in providing advisory services to the Fund. The Board also noted the extensive responsibilities that WTAM will have as investment adviser to the Fund, including: the selection of, and supervisory responsibilities and activities over, the Sub-Adviser, including oversight of the Sub-Adviser’s adherence to the Fund’s investment strategy and restrictions, monitoring of the Sub-Adviser’s buying and selling of securities and derivatives transactions, review of Sub-Adviser performance, review of proxies voted by the Sub-Adviser and oversight of, and the provision of consultation to, the Sub-Adviser with respect to the creation of custom creation or redemption baskets for authorized participants; oversight of the daily valuation of the Fund’s portfolio holdings; oversight of general Fund

 

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

 

compliance with federal and state laws; and implementation of Board directives as they relate to the Fund. The Board also considered research support available to, and management capabilities of, the Fund’s management personnel and that WTAM will provide oversight of day-to-day Fund operations, including fund accounting, tax matters, administration, compliance and legal assistance in meeting disclosure and regulatory requirements.

Based on review of this information and the other factors considered at the meeting, the Board concluded that the nature, extent and quality of services to be provided by WTAM and the Sub-Adviser under the Advisory Agreement and Sub-Advisory Agreement, respectively, are adequate and appropriate and supported the Board’s approval of the Agreements.

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 team and the investment strategies to be employed in the management of the Fund’s assets. The Board noted the reputation and experience of WTAM and the Sub-Adviser.

The Board considered the fees 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 noted the proposed fee waiver arrangements. The Board also considered the fee to be paid to the Sub-Adviser in relation to the fee to be paid to WTAM by the Fund and the respective services to be provided by the Sub-Adviser and WTAM. The Board also noted the Sub-Adviser’s fee will be paid by WTAM (out of its fee paid by the Fund) and not the Fund. The Board considered the meaningful differences in the services that WTAM will provide to the Fund as compared to the Sub-Adviser, including that the role of the Sub-Adviser in making investment recommendations with respect to the Fund is a rules-based function, with oversight by WTAM in seeking to ensure compliance with such rules. The Board also considered the entrepreneurial and expense risk to be borne by WTAM that is associated with the Fund’s unitary fee structure, which includes minimum fees (such as those to the Sub-Adviser), regardless of whether the asset size of the Fund grows to a sufficient size. Based on this review, the Board concluded that the fees to be paid to WTAM and the Sub-Adviser supported the Board’s approval of the Agreements.

Analysis of Profitability and Economies of Scale.

As the Fund had not yet commenced operations, WTAM representatives were not able to review the dollar amount of expenses allocated and profit received by WTAM, or any economies of scale. The Board considered potential benefits to WTAM and the Sub-Adviser from acting as investment adviser and sub-adviser, respectively. The Board also considered the uncertainty of the estimated asset levels and the renewal requirements for advisory agreements and their ability to review the advisory fees annually after the initial term of the Agreements. The Board determined that because the Fund had not yet commenced operations, economies of scale were not a factor, but, to the extent in the future it were determined that material economies of scale had not been shared with the Fund, the Board would seek to have those economies of scale shared with the Fund in connection with future renewals.

*    *    *    *    *    *

In evaluating the Agreements, the Board considered the conclusions and determinations discussed above and also relied on its knowledge, gained through meetings and other interactions with WTAM and the Sub-Adviser, of other funds advised by WTAM and the Sub-Adviser. In light of the foregoing, the Board, including a majority of the Independent Trustees, determined to approve the Agreements.

 

148		WisdomTree Currency Strategy, Fixed Income and Alternative Funds

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General Information (unaudited)

 

Proxy Voting Policies, Procedures and Record

A complete copy of the Proxy Voting Policy may be obtained upon request, at no charge, by calling 1-866-909-WISE (9473) or writing to: WisdomTree Trust, c/o Foreside Fund Services, LLC, Three Canal Plaza Suite 100, Portland, ME, 04101.

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.

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, 2018:

 

WisdomTree Domestic Equity Funds   WisdomTree U.S. Dividend ex-Financials Fund (DTN)   WisdomTree U.S. Earnings 500 Fund (EPS)   WisdomTree U.S. High Dividend Fund (DHS)   WisdomTree U.S. LargeCap Dividend Fund (DLN)   WisdomTree U.S. MidCap Dividend Fund (DON)   WisdomTree U.S. MidCap Earnings Fund (EZM)   WisdomTree U.S. Multifactor Fund (USMF)   WisdomTree U.S. Quality Dividend Growth Fund (DGRW)   WisdomTree U.S. Quality Shareholder Yield Fund (QSY)   WisdomTree U.S. SmallCap Dividend Fund (DES)   WisdomTree U.S. SmallCap Earnings Fund (EES)   WisdomTree U.S. SmallCap Quality Dividend Growth Fund (DGRS)   WisdomTree U.S. Total Dividend Fund (DTD) WisdomTree U.S. Total Earnings Fund (EXT)   WisdomTree Developed World ex-U.S. and Currency Hedged Equity Funds     WisdomTree Australia Dividend Fund (AUSE)   WisdomTree Dynamic Currency Hedged Europe Equity Fund (DDEZ) WisdomTree Dynamic Currency Hedged International Equity Fund (DDWM)		WisdomTree China ex-State-Owned Enterprises Fund (CXSE)   WisdomTree Emerging Markets Consumer Growth Fund (EMCG)   WisdomTree Emerging Markets Dividend Fund (DVEM)   WisdomTree Emerging Markets ex-State-Owned Enterprises Fund (XSOE)   WisdomTree Emerging Markets High Dividend Fund (DEM)   WisdomTree Emerging Markets Quality Dividend Growth Fund (DGRE)   WisdomTree Emerging Markets SmallCap Dividend Fund (DGS)   WisdomTree Global ex-Mexico Equity Fund (XMX)   WisdomTree Global ex-U.S. Quality Dividend Growth Fund (DNL)   WisdomTree Global ex-U.S. Real Estate Fund (DRW)   WisdomTree Global High Dividend Fund (DEW)   WisdomTree Global SmallCap Dividend Fund (GSD)   WisdomTree India Earnings Fund (EPI)   WisdomTree ICBCCS S&P China 500 Fund (WCHN) WisdomTree Middle East Dividend Fund (GULF)     WisdomTree Dollar Sensitive Equity Funds   WisdomTree Strong Dollar Emerging Markets Equity Fund (EMSD)   WisdomTree U.S. Domestic Economy Fund (WUSA) WisdomTree U.S. Export and Multinational Fund (WEXP)

WisdomTree Dynamic Currency Hedged International Quality Dividend Growth Fund (DHDG)   WisdomTree Dynamic Currency Hedged International SmallCap Equity Fund (DDLS)     WisdomTree Dynamic Currency Hedged Japan Equity Fund (DDJP)   WisdomTree Europe Hedged Equity Fund (HEDJ)   WisdomTree Europe Hedged SmallCap Equity Fund (EUSC)   WisdomTree Europe Domestic Economy Fund (EDOM)   WisdomTree Europe Quality Dividend Growth Fund (EUDG)   WisdomTree Europe SmallCap Dividend Fund (DFE)   WisdomTree Germany Hedged Equity Fund (DXGE)   WisdomTree Global ex-U.S. Hedged Dividend Fund (DXUS)   WisdomTree Global ex-U.S. Hedged Real Estate Fund (HDRW)   WisdomTree Global Hedged SmallCap Dividend Fund (HGSD)   WisdomTree International Dividend ex-Financials Fund (DOO)   WisdomTree International Equity Fund (DWM)   WisdomTree International Hedged Quality Dividend Growth Fund (IHDG)   WisdomTree International High Dividend Fund (DTH)   WisdomTree International LargeCap Dividend Fund (DOL)   WisdomTree International MidCap Dividend Fund (DIM)   WisdomTree International Quality Dividend Growth Fund (IQDG)   WisdomTree International SmallCap Dividend Fund (DLS)   WisdomTree Japan Hedged Capital Goods Fund (DXJC)   WisdomTree Japan Hedged Equity Fund (DXJ)   WisdomTree Japan Hedged Financials Fund (DXJF)   WisdomTree Japan Hedged Health Care Fund (DXJH)   WisdomTree Japan Hedged Quality Dividend Growth Fund (JHDG)   WisdomTree Japan Hedged Real Estate Fund (DXJR)   WisdomTree Japan Hedged SmallCap Equity Fund (DXJS)   WisdomTree Japan SmallCap Dividend Fund (DFJ) WisdomTree United Kingdom Hedged Equity Fund (DXPS)   WisdomTree Global/Global ex-U.S. and Emerging/Frontier Markets   WisdomTree Asia Pacific ex-Japan Fund (AXJL)		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 Emerging Currency Strategy Fund (CEW)     WisdomTree Fixed Income Funds   WisdomTree Asia Local Debt Fund (ALD)   WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund (AGGY) WisdomTree Barclays Yield Enhanced U.S. Short-Term Aggregate Bond Fund (SHAG)     WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund (AGND)   WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund (AGZD)   WisdomTree Bloomberg Floating Rate Treasury Fund (USFR)   WisdomTree Negative Duration High Yield Bond Fund (HYND)   WisdomTree Interest Rate Hedged High Yield Bond Fund (HYZD)   WisdomTree Emerging Markets Corporate Bond Fund (EMCB)   WisdomTree Emerging Markets Local Debt Fund (ELD)   WisdomTree Fundamental U.S. Corporate Bond Fund (WFIG)   WisdomTree Fundamental U.S. High Yield Corporate Bond Fund (WFHY)   WisdomTree Fundamental U.S. Short-Term Corporate Bond Fund (SFIG) WisdomTree Fundamental U.S. Short-Term High Yield Corporate Bond Fund (SFHY)     WisdomTree Alternative Funds   WisdomTree CBOE Russell 2000 PutWrite Strategy Fund (RPUT)   WisdomTree CBOE S&P 500 PutWrite Strategy Fund (PUTW)   WisdomTree Continuous Commodity Index Fund (GCC)   WisdomTree Dynamic Bearish U.S. Equity Fund (DYB)   WisdomTree Dynamic Long/Short U.S. Equity Fund (DYLS) WisdomTree Managed Futures Strategy Fund (WTMF)     WisdomTree Asset Allocation Funds WisdomTree Balanced Income Fund (WBAL)

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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 Foreside Fund Services, LLC, 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.

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. 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. High-yield or “junk” bonds have lower credit ratings and involve a greater risk to principal. One of the risks associated with the Managed Futures Strategy Fund (WTMF) is the complexity of the different factors which contribute to the 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 WTMF is speculative and involves a substantial degree of risk. WTMF 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” WTMF may suffer significant losses. Unlike typical exchange-traded funds, there are no indexes that the actively managed Currency Strategy Funds, actively managed Fixed Income Funds or WTMF 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 by Authorized Participants in large creation unit sizes of shares.

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WisdomTree Trust

245 Park Avenue, 35th Floor

New York, NY 10167

 

 

 

Currency Strategy Funds

WisdomTree Bloomberg U.S. Dollar Bullish Fund

WisdomTree Brazilian Real Strategy Fund

WisdomTree Chinese Yuan Strategy Fund

WisdomTree Emerging Currency Strategy Fund

Fixed Income Funds

WisdomTree Asia Local Debt Fund

WisdomTree Barclays Interest Rate Hedged U.S. Aggregate Bond Fund

WisdomTree Barclays Negative Duration U.S. Aggregate Bond Fund

WisdomTree Barclays Yield Enhanced U.S. Aggregate Bond Fund

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

WisdomTree Bloomberg Floating Rate Treasury Fund

WisdomTree Emerging Markets Corporate Bond Fund

WisdomTree Emerging Markets Local Debt Fund

WisdomTree Interest Rate Hedged High Yield Bond Fund

WisdomTree Negative Duration High Yield Bond Fund

Alternative Funds

WisdomTree CBOE Russell 2000 PutWrite Strategy Fund

WisdomTree CBOE S&P 500 PutWrite Strategy Fund

WisdomTree Managed Futures Strategy Fund

WisdomTree Fund shares are distributed by Foreside Fund Services, LLC, in the U.S. only.

WTGM-0707

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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.

 

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.

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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.

Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable.

 

Item 13.

Exhibits.

 

(a)(1)

Not applicable.

 

(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 4, 2018

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 4, 2018
By (Signature and Title)		/s/ David Castano
		David Castano, Treasurer
		(principal financial officer)
Date: May 4, 2018