WisdomTree Currency, Fixed Income and Alternative Funds

 

 

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)

380 Madison Avenue, 21st Floor

                                         New York, NY 10017                                        

(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:     August 31, 2013    

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.

 

 

 


Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.


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WisdomTree Trust

Currency, Fixed Income and Alternative Funds

 

Annual Report

August 31, 2013

Currency Funds:

WisdomTree Brazilian Real Fund (BZF)

(formerly, WisdomTree Dreyfus Brazilian Real Fund)

WisdomTree Chinese Yuan Fund (CYB)

(formerly, WisdomTree Dreyfus Chinese Yuan Fund)

WisdomTree Commodity Currency Fund (CCX)

(formerly, WisdomTree Dreyfus Commodity Currency Fund)

WisdomTree Emerging Currency Fund (CEW)

(formerly, WisdomTree Dreyfus Emerging Currency Fund)

WisdomTree Indian Rupee Fund (ICN)

(formerly, WisdomTree Dreyfus Indian Rupee Fund)

Fixed Income Funds:

WisdomTree Asia Local Debt Fund (ALD)

WisdomTree Australia & New Zealand Debt Fund (AUNZ)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

WisdomTree Emerging Markets Local Debt Fund (ELD)

WisdomTree Euro Debt Fund (EU)

WisdomTree Global Corporate Bond Fund (GLCB)

Alternative Funds:

WisdomTree Global Real Return Fund (RRF)

WisdomTree Managed Futures Strategy Fund (WDTI)


Table of Contents

 

Management’s Discussion of Funds’ Performance (unaudited)

       1   

Performance Summaries (unaudited)

       5   

Description of Terms and Indexes (unaudited)

       18   

Shareholder Expense Examples (unaudited)

       23   
Schedules of Investments     

WisdomTree Brazilian Real Fund

       25   

WisdomTree Chinese Yuan Fund

       26   

WisdomTree Commodity Currency Fund

       27   

WisdomTree Emerging Currency Fund

       28   

WisdomTree Indian Rupee Fund

       29   

WisdomTree Asia Local Debt Fund

       30   

WisdomTree Australia & New Zealand Debt Fund

       32   

WisdomTree Emerging Markets Corporate Bond Fund

       33   

WisdomTree Emerging Markets Local Debt Fund

       35   

WisdomTree Euro Debt Fund

       38   

WisdomTree Global Corporate Bond Fund

       39   

WisdomTree Global Real Return Fund (consolidated)

       41   

WisdomTree Managed Futures Strategy Fund (consolidated)

       42   

Statements of Assets and Liabilities

       43   

Statements of Operations

       46   

Statements of Changes in Net Assets

       49   

Financial Highlights

       53   

Notes to Financial Statements

       60   

Report of Independent Registered Public Accounting Firm

       82   

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

       83   

Trustees and Officers Information (unaudited)

       84   

Supplemental Information (unaudited)

       86   

General Information (unaudited)

       87   

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


Management’s Discussion of Funds’ Performance (unaudited)

 

Economic Environment

Over the year ended August 31, 2013, the global economy expanded, but growth remained uneven. Developed market growth accelerated, but remained at low levels. Emerging markets continued to grow at a faster rate than developed markets, but their pace moderated and disappointed relative to expectations. As a result of earlier stimulus efforts enacted by the European Central Bank (ECB), Bank of England (BoE), and Federal Reserve (Fed), economic projections continued to be revised upward. Unemployment data in the United States generally continued to improve, albeit below Fed targets. In December, Shinzo Abe’s Liberal Democratic Party won a landslide victory in Japan on an economic reform agenda. Their efforts to stimulate the economy through quantitative easing had significant impacts not only on their domestic economy, but exchange rates around the world (particularly in Asia). The confluence of a moderation in the pace of Chinese economic growth, positive economic momentum within the U.S., and the potential for reduction in quantitative easing by the Federal Reserve dominated investor perceptions regarding the global economy. In early March, Chinese officials announced that they would be revising the official state growth target from 8% to 7.5%. Concerns about this moderation in growth from China cast a cloud over investor sentiment for the broader emerging markets. At the same time, investors were encouraged by better than expected economic and earnings data from the United States. In late March, a €10 billion bailout was announced for Cyprus to help recapitalize their banking system. Markets were concerned that allowing even a small country like Cyprus to exit the monetary union would set a potentially destabilizing precedent for a dissolution of the Eurozone. Economic data released in April showed that Chinese economic growth had slowed to 7.7%. In May, the ECB cut interest rates to help stimulate the European economy. Also in May, Fed Chairman Ben Bernanke announced that it may be necessary for the Federal Open Market Committee to reduce the pace of asset purchases in the coming months. With the possibility that the United States could be the first major economy to reduce economic stimulus, investors grappled with what impact this could have on emerging markets. Countries that were perceived to have higher levels of external vulnerability came under scrutiny. From May onward, U.S. interest rates grinded higher and the U.S. dollar strengthened against a majority of its trading partners. In response, central banks in Brazil, India, and Indonesia raised interest rates in an effort to combat weakening currencies and reduce inflationary pressures. Better than expected gross domestic product (GDP) growth in August from Germany and France lifted the Eurozone out of recession for the first time in one and a half years. Even so, broad-based economic growth in Europe is still proving difficult. The fiscal year closed with markets focusing on upcoming central bank announcements in the U.S., Britain, and Europe in September.

Foreign Exchange and Fixed Income Markets

Investors with broad based exposures to emerging market currencies and fixed income and similar investments tied to commodity-producing countries faced a difficult market environment during the fiscal year ended August 31, 2013. Performance through the end of 2012 was fairly strong as markets focused on stimulus from developed market central banks and an improving outlook for global growth. Markets that were notable underperformers during the previous year rebounded sharply to start 2013 on improving sentiment. Market participants cheered the election of Shinzo Abe on his bold economic reform agenda. As a result of quantitative easing measures initiated by the Bank of Japan, the yen weakened significantly relative to the U.S. dollar peaking at over 103 on May 17, 2013. With investors seeking income around the world, yields in both developed and emerging markets bottomed in early May. As economic data from developed markets continued to beat expectations, a marked gap continued to develop between emerging market and developed market returns. Near the end of May, the unintended impact of Chairman Bernanke’s “tapering” comments sparked a pronounced rise in interest rates in the United States as well as in emerging markets. The United States 10-year bond went from a yield of 1.62% to a high of 2.89% in approximately three months. Emerging

 

WisdomTree Currency, Fixed Income and Alternative Funds      1   


Management’s Discussion of Funds’ Performance (unaudited) (continued)

 

markets were not immune to this move. Through a combination of yield curve steepening and central bank interest rate hikes, yields on emerging market fixed income rose in excess of the backup in domestic yields to levels not seen since early 2011. In addition to rising interest rates, foreign currency denominated fixed income was negatively impacted by a broad-based appreciation of the U.S. dollar relative to foreign currencies. Credit spreads in emerging market fixed income widened during this period as the perception of risk increased along with the rise in nominal yields. Over the course of the fiscal year, the Chinese yuan, Polish zloty, and South Korean won were the only emerging currencies to appreciate against the U.S. dollar. Markets focused on selling currencies with greater perceived external vulnerabilities. Notable underperformers included the South African rand, Indian rupee, Indonesian rupiah, and Brazilian real. The euro gained over 5% during this period whereas the Japanese yen depreciated by roughly 20% against the U.S. dollar. While many emerging market central banks cut interest rates early in the fiscal year, many central banks in emerging markets raised interest rates to quell concerns about inflation and also to stem losses from their currencies. Central banks that increased rates over the period were Brazil, Indonesia, and India. As central bankers increased short-term interest rates, the value of longer dated bonds declined leading to losses for investors. Interest rates around the world approached multi-year highs to close the fiscal year ended August 31, 2013.

Fixed Income and Currency Funds’ Performance

For the fiscal year ended August 31, 2013, 2 out of 11 Currency and Fixed Income Funds outperformed their respective performance benchmarks based on net asset value (NAV) or, in the case of the Global Corporate Bond Fund, since its inception on January 31, 2013.

Fixed Income Funds

Income was significantly offset by currency weakness and principal losses for the Emerging Markets Local Debt Fund’s return of -6.41% based on NAV for the fiscal year. Over the year, rising bond yields across most emerging market countries caused a drag on overall Fund performance. The losses accelerated in May through the end of the fiscal year due to comments made by Federal Reserve Chairman Ben Bernanke regarding the future “tapering” of asset purchases. Among the country exposures, currency losses in South Africa, Brazil, Indonesia, and Turkey significantly detracted from performance. Bonds denominated in Chinese yuan, Polish zloty, and South Korean won were the only positive contributor to Fund performance. The Fund underperformed its industry reference benchmark, the JP Morgan GBI-EM Global Diversified Index, which returned -5.38% versus the Fund’s return of -6.41% based on NAV for the fiscal year. The Fund’s underperformance can be attributed to an overweight to Asia that decreased income potential relative to the index.

Interest rate cuts in Australia were unable to counterbalance losses from currency declines that contributed to the Asia Local Debt Fund’s return of -5.14% based on NAV for the fiscal year. The Indian rupee accounted for the greatest currency decline whereas the Chinese yuan appreciated over 3% as the Fund’s strongest performer. Concerns about slowing growth in China weighed on market sentiment and asset returns in the region. Aggressive interest rate cuts in Australia boosted bond returns, but also weakened the Australian dollar. The Indian rupee depreciated to all-time lows over the period causing a drag on Fund returns. The Fund underperformed its industry reference benchmark, the HSBC Asian Local Bond Index, which declined -3.82% versus the Fund’s return of -5.14% based on NAV for the fiscal year. The Fund’s underperformance can be attributed to the Fund’s exposure to Australia. The shorter duration of the Fund relative to the index also produced a lower yield. As central banks cut interest rates in Asia, longer duration securities outperformed shorter duration securities given their greater sensitivity to interest rates (as interest rates decline, bond prices increase).

 

2   WisdomTree Currency, Fixed Income and Alternative Funds


Management’s Discussion of Funds’ Performance (unaudited) (continued)

 

The Euro Debt Fund seeks to achieve a high level of total return consisting of both income and capital appreciation through investments in debt securities denominated in euros. The Fund is actively managed and it utilizes the BofA Merrill Lynch Euro Government Index as its benchmark. The BofA Merrill Lynch Euro Government Index is a market capitalization weighted index that tracks the performance of euro-denominated sovereign debt publicly issued by Euro member countries. The Fund underperformed its reference benchmark, which returned 9.55% versus the Fund’s return of 4.37% based on NAV for the fiscal year. The Fund’s underperformance can be attributed to a lack of exposure to Portugal, Italy, Ireland, and Spain, which performed well over the period.

The Australia & New Zealand Debt Fund seeks to achieve a high level of total return consisting of both income and capital appreciation through investments in debt securities denominated in Australian or New Zealand dollars. The Fund employs a structured approach in balancing its investments between debt of sovereign and semi-government issuers (local, state, and territory governments of Australia) within the two countries and the debt of supranational and other agencies (for example, developmental organizations such as the World Bank or International Monetary Fund) in these countries. Country and sector exposures are rebalanced back to target weighting quarterly. The Fund is actively managed and it utilizes the Citigroup Australian Broad Investment-Grade Bond Index as its benchmark. The Citigroup Australian Broad Investment-Grade Index is a market capitalization weighted index designed to represent the Australian fixed-coupon bond market, including government, semi-government, and investment grade credit markets (including supranational issuers). The Fund outperformed its reference benchmark, which returned -11.87% versus the Fund’s return of -11.42% based on NAV for the fiscal year. This was the result of the Fund’s larger investments in New Zealand dollar denominated bonds than the industry benchmark.

The Emerging Markets Corporate Bond Fund seeks to achieve a high level of total return consisting of both income and capital appreciation through investments in the debt of emerging markets corporate issuers. While the Fund is actively managed, it utilizes the JP Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad as a guideline for investment performance. 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). It is a commonly used benchmark by many mutual funds and separate accounts investing in the asset class. The Fund underperformed its reference benchmark, which returned -0.51% versus the Fund’s return of -2.00% based on NAV for the fiscal year. This was the result of the Fund’s investments in Metals & Mining and Oil & Gas sectors that underperformed.

On January 31, 2013, the Global Corporate Bond Fund was launched. The Fund seeks to achieve a high level of total return consisting of both income and capital appreciation through investments in the debt of corporate entities that are organized in or maintain their principal place of business in countries throughout the world, including the U.S. While the Fund is actively managed, it utilizes the Barclays Global Credit Index (Hedged) as its benchmark. The Barclays Global Credit Index (Hedged) contains investment-grade and high-yield credit securities from the Barclays Multiverse Index, which is a broad-based measure of the global fixed-income bond market. The Barclays Multiverse Index is the union of the Barclays Global Aggregate Index and the Barclays Global High Yield Index and captures investment grade and high yield securities in all eligible currencies. The Barclays Multiverse Index family includes a wide range of standard and customized subindices by sector, quality, maturity, and country. For the period January 31, 2013 through August 31, 2013, the Fund underperformed its reference benchmark, which returned -0.93% versus the Fund’s return of -0.98% based on NAV. This was the result of the Fund’s overweight in investments in global high yield bonds.

 

WisdomTree Currency, Fixed Income and Alternative Funds      3   


Management’s Discussion of Funds’ Performance (unaudited) (concluded)

 

Currency Funds

Income return was a strong driver of fund performance over the last year. Many countries’ currencies depreciated versus the U.S. dollar as risk aversion dominated much of the fiscal year. During periods of risk aversion, many investors seek the safety of developed market currencies such as the U.S. dollar. Among the single currency funds for the fiscal year, all three funds produced total returns based on NAV which exceeded the change in value of the underlying currency by more than 1.5% (see pages 5 to 9 herein for a discussion of standardized performance for each Fund). Of the weakest performing single currency funds, the Brazilian Real Fund and the Indian Rupee Fund, generated total returns for the fiscal year that were significantly greater than the underlying change in the spot return of the currency. Spot currency returns represent the change in foreign exchange rates versus the U.S. dollar available for immediate delivery. The Brazilian Real Fund fell -10.53% for the fiscal year based on NAV, outperforming the -14.65% depreciation in the Brazilian real versus the U.S. dollar. The Indian Rupee Fund declined -11.77% in value for the fiscal year based on NAV, while the Indian rupee declined by -16.64%. The Chinese Yuan Fund, which returned 4.78% for the fiscal year based on NAV, boosted relative performance versus the Chinese yuan through investments made in Chinese time deposits and forwards, outperforming the spot return of 2.87%. The Emerging Currency Fund posted a -3.30% return over the fiscal year, underperforming its industry benchmark, the JP Morgan Emerging Local Markets Index Plus which returned -2.55%. The currencies of South Africa, India, Brazil, Indonesia, and Turkey depreciated by more than 10% against the U.S. dollar over the period. Index allocations to Hong Kong, Taiwan, and Singapore (which did not depreciate as much against the U.S. dollar), helped dampen index losses. The Commodity Currency Fund declined by -5.97% over the fiscal year, outperforming its industry benchmark, the Barclays Commodity Producers Currency Index (CPCI-6) which returned -7.61%. This outperformance was largely the result of the Fund’s allocation to the Chilean peso and New Zealand dollar. All commodity currencies depreciated against the U.S. dollar as concerns about commodity demand weighed on prices. The currencies of Brazil, Australia, and South Africa depreciated by more than 10% against the U.S. dollar over the period.

Alternative Funds

The Managed Futures Strategy Fund posted a 1.09% return based on NAV over the fiscal year, underperforming its industry benchmark, the Diversified Trends Indicator, by 1.19%. This was primarily due to deductions for Fund expenses and transaction costs. As the Fund uses a trend-following strategy, volatility and lack of sustained market trends dampened Fund performance through the beginning of December. However, two notable periods of sustained trends from December through mid-February and mid-June to early July contributed to overall positive Fund performance. Currency markets, particularly in Japan, accounted for a substantial portion of Fund returns for the fiscal year. Shinzo Abe’s Liberal Democratic Party won elections in Japan on the back of an economic reform agenda that began a sustained, albeit volatile, depreciation of the Japanese yen against the U.S. dollar. Many commodity futures declined by a significant amount during the fiscal year. After a year marked by reduced supplies on account of a broad-based drought across much of the United States, more normal conditions resulted in a decline of approximately 25% in futures prices for corn and wheat for the fiscal year ended August 31, 2013. Precious metals such as silver and gold also corrected sharply as the perception of risk declined in a majority of markets around the world. Energy futures such as crude oil and gasoline ended the fiscal year higher by approximately 10% on account of continued unrest in the Middle East. Lack of a clear trend in natural gas futures resulted in the largest drag on overall fund performance for the fiscal year. The announcement by Federal Reserve (Fed) Chairman Ben Bernanke that the Fed may begin to reduce the pace of its asset purchase program also caused a sharp decline in Treasury futures that also weighed on Fund performance. The Global Real Return Fund posted a -5.25% return over the fiscal year, underperforming its industry benchmark, the BofA Merrill Lynch Global Diversified Inflation-Linked Index, which returned -4.12%. This underperformance is largely due to losses from the Fund’s positions in commodity strategies which underperformed in volatile markets.

 

4   WisdomTree Currency, Fixed Income and Alternative Funds


Performance Summary (unaudited)

WisdomTree Brazilian Real Fund (BZF)

(formerly, WisdomTree Dreyfus Brazilian Real Fund)

 

Investment Breakdown

as of 8/31/13

 

Investment Type   % of
Net Assets
 

U.S. Government Obligations

    92.6%   

Repurchase Agreement

    9.7%   

Other Assets less Liabilities

    -2.3%   

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 8/31/13

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.03%, 10/03/13

    49.3%   

U.S. Treasury Bill,
0.01%, 9/12/13

    38.4%   

Citigroup, Inc., tri-party repurchase agreement,
0.05%, 9/03/13††

    9.7%  

U.S. Treasury Bill,
0.02%, 9/05/13

    4.9%   
* The holdings are subject to change and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

 

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

The WisdomTree Brazilian Real Fund (the “Fund”) seeks to achieve total returns reflective of both money market rates in Brazil available to foreign investors and changes in value of the Brazilian real relative to the U.S. dollar. The Brazilian real is a developing market currency, which can experience periods of significant volatility. Although the Fund invests in very short-term, investment grade instruments, the Fund is not a “money market” fund and it is not the objective of the Fund to maintain a constant share price.

The Fund returned -10.53% on net asset value (“NAV”) for the fiscal year ended August 31, 2013 (for more complete performance information please see below). The Fund outperformed the change in the spot currency rate by 4.12% based on NAV for the fiscal year. This was largely due to the Fund’s investments in U.S. money market instruments and forward currency contracts.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for fund shares and investors’ assessments of the underlying value of a fund’s portfolio securities.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore index returns do not reflect deductions for fees or expenses and are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2013, the Fund’s annual expense ratio was 0.45%.

Performance as of 8/31/13

 

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

Fund NAV Returns

       -10.53      -3.98      -0.57      0.39

Fund Market Price Returns

       -10.66      -4.05      -0.62      0.11

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

       -10.19      -3.29      0.59      1.63

Brazilian real

       -14.65      -9.64      -7.23      -6.58
1 

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

LOGO

Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.

 

WisdomTree Currency, Fixed Income and Alternative Funds      5   


Performance Summary (unaudited)

WisdomTree Chinese Yuan Fund (CYB)

(formerly, WisdomTree Dreyfus Chinese Yuan Fund)

 

Investment Breakdown

as of 8/31/13

 

Investment Type   % of
Net Assets
 

U.S. Government Obligations

    69.3%   

Time Deposits

    18.4%   

Repurchase Agreement

    12.8%   

Other Assets less Liabilities

    -0.5%   

Total

    100.0%   

 

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

 

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

Top Holdings* as of 8/31/13

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.01%, 9/12/13

    40.0%   

U.S. Treasury Bill,
0.03%, 10/03/13

    20.9%   

Citigroup, Inc., tri-party repurchase agreement,
0.05%, 9/03/13††

    12.8%  

U.S. Treasury Bill,
0.02%, 9/05/13

    8.4%   

Deutsche Bank AG,
2.15%, 9/27/13

    4.6%   

Standard Chartered Bank,
2.45%, 9/27/13

    4.6%   

JPMorgan Chase & Co.,
1.80%, 9/27/13

    4.6%   

Barclays Bank PLC,
2.00%, 9/27/13

    4.6%   
* The holdings are subject to change and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

 

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

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

The Fund returned 4.78% on net asset value (“NAV”) for the fiscal year ended August 31, 2013 (for more complete performance information please see below). The Fund outperformed the change in the spot currency rate by 1.91% based on NAV for the fiscal year. This outperformance was largely the result of the Fund’s investments in U.S. money market instruments, forward currency contracts, and locally-denominated time deposits.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for fund shares and investors’ assessments of the underlying value of a fund’s portfolio securities.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore index returns do not reflect deductions for fees or expenses and are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2013, the Fund’s annual expense ratio was 0.45%.

Performance as of 8/31/13

 

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

Fund NAV Returns

       4.78      3.02      1.74      2.04

Fund Market Price Returns

       4.62      2.98      1.69      1.81

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

       4.97      3.74      2.91      3.16

Chinese yuan

       2.87      3.33      2.08      2.40
1 

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

 

LOGO

Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.

 

6   WisdomTree Currency, Fixed Income and Alternative Funds


Performance Summary (unaudited)

WisdomTree Commodity Currency Fund (CCX)

(formerly, WisdomTree Dreyfus Commodity Currency Fund)

 

Investment Breakdown as of 8/31/13

 

Investment Type   % of
Net Assets
 

U.S. Government Obligations

    97.8%   

Repurchase Agreement

    0.3%   

Other Assets less Liabilities

    1.9%   

Total

    100.0%   

 

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

 

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

Top Holdings* as of 8/31/13

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.01%, 9/12/13

    50.2%   

U.S. Treasury Bill,
0.03%, 10/03/13

    47.6%   

Citigroup, Inc. tri-party repurchase agreement,
0.05%, 9/03/13††

    0.3%  
* The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

 

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

The WisdomTree Commodity Currency Fund (the “Fund”) seeks to achieve total returns reflective of money market rates in selected commodity-producing countries and changes in value of such countries’ currencies relative to the U.S. dollar. The term “commodity currency” generally is used to describe the currency of a country whose economic success is commonly identified with the production and export of commodities (such as precious metals, oil, agricultural products or other raw materials) and whose value is closely linked to the value of such commodities. The Fund intends to invest in commodity-producing countries, such as Australia, Brazil, Canada, Chile, Colombia, Indonesia, Malaysia, New Zealand, Norway, Peru, Russia and South Africa. This list may change based on market developments. Although this Fund invests in very short-term, investment grade instruments, the Fund is not a “money market” fund and it is not the objective of the Fund to maintain a constant share price.

The Fund returned -5.97% on net asset value (“NAV”) for the year ended August 31, 2013 (for more complete performance information please see below). The Fund outperformed its benchmark, the Barclays Commodity Producers Currency Index, by 1.64% based on NAV for the fiscal year. This outperformance was largely the result of the Fund’s allocation to the Chilean peso and New Zealand dollar.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for fund shares and investors’ assessments of the underlying value of a fund’s portfolio securities.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore index returns do not reflect deductions for fees or expenses and are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2013, the Fund’s annual expense ratio was 0.55%.

Performance as of 8/31/13

 

        Average Annual Total Return  
        1 Year      Since
Inception1
 

Fund NAV Returns

       -5.97      -0.54

Fund Market Price Returns

       -6.31      -0.66

Barclays Commodity Producers Currency Index

       -7.61      -2.00

Equal-Weighted Commodity Currency Composite

       -5.31      0.21
1 

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

 

LOGO

Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.

 

WisdomTree Currency, Fixed Income and Alternative Funds      7   


Performance Summary (unaudited)

WisdomTree Emerging Currency Fund (CEW)

(formerly, WisdomTree Dreyfus Emerging Currency Fund)

 

Investment Breakdown as of 8/31/13

 

Investment Type   % of
Net Assets
 

U.S. Government Obligations

    100.4%   

Repurchase Agreement

    1.4%   

Other Assets less Liabilities

    -1.8%   

Total

    100.0%   

 

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

 

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

Top Holdings* as of 8/31/13

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.01%, 9/19/13

    37.1%   

U.S. Treasury Bill,
0.03%, 10/03/13

    26.6%   

U.S. Treasury Bill,
0.02%, 9/05/13

    26.0%   

U.S. Treasury Bill,
0.01%, 9/12/13

    10.7%   

Citigroup, Inc., tri-party repurchase agreement,
0.05%, 9/03/13††

    1.4%   
* The holdings are subject to change and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

 

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

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

The Fund returned -3.30% on net asset value (“NAV”) for the fiscal year ended August 31, 2013 (for more complete performance information please see below). The Fund underperformed its industry benchmark, the JP Morgan Emerging Local Markets Index Plus, by 0.75% based on NAV for the fiscal year. This was largely due to the Fund’s underweight in Hong Kong and Singapore relative to the benchmark.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for fund shares and investors’ assessments of the underlying value of a fund’s portfolio securities.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore index returns do not reflect deductions for fees or expenses and are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2013, the Fund’s annual expense ratio was 0.55%.

Performance as of 8/31/2013

 

        Average Annual Total Return  
        1 Year      3 Year      Since
Inception1
 

Fund NAV Returns

       -3.30      -0.60      1.90

Fund Market Price Returns

       -3.63      -0.62      1.63

JP Morgan Emerging Local Markets Index Plus (ELMI+)

       -2.55      0.27      2.79

Equal-Weighted Emerging Currency Composite

       -0.79      1.06      3.03
1 

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

 

LOGO

Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.

 

8   WisdomTree Currency, Fixed Income and Alternative Funds


Performance Summary (unaudited)

WisdomTree Indian Rupee Fund (ICN)

(formerly, WisdomTree Dreyfus Indian Rupee Fund)

 

Investment Breakdown as of 8/31/13

 

Investment Type   % of
Net Assets
 

U.S. Government Obligations

    68.5%   

Repurchase Agreement

    22.6%   

Other Assets less Liabilities

    8.9%   

Total

    100.0%   

 

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

 

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

Top Holdings* as of 8/31/13

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.03%, 10/03/13

    32.1%   

Citigroup, Inc., tri-party, repurchase agreement,
0.05%, 9/03/13††

    22.6%   

U.S. Treasury Bill,
0.01%, 9/12/13

    18.3%   

U.S. Treasury Bill,
0.02%, 9/05/13

    11.9%   

U.S. Treasury Bill,
0.01%, 9/19/13

    6.2%   
* The holdings are subject to change and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

 

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

The WisdomTree Indian Rupee Fund (the “Fund”) seeks to achieve total returns reflective of both money market rates in India available to foreign investors and changes in value of the Indian rupee relative to the U.S. dollar. The Indian rupee is a developing market currency, which can experience periods of significant volatility. Although the Fund invests in very short-term, investment grade instruments, the Fund is not a “money market” fund and it is not the objective of the Fund to maintain a constant share price.

The Fund returned -11.77% on net asset value (“NAV”) for the fiscal year ended August 31, 2013 (for more complete performance information please see below). The Fund outperformed the change in the spot currency rate by 4.87% based on NAV for the fiscal year. This was the result of the Fund’s investments in U.S. money market instruments and forward currency contracts.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for fund shares and investors’ assessments of the underlying value of a fund’s portfolio securities.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore index returns do not reflect deductions for fees or expenses and are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2013, the Fund’s annual expense ratio was 0.45%.

Performance as of 8/31/13

 

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

Fund NAV Returns

       -11.77      -5.72      -2.82      -2.82

Fund Market Price Returns

       -11.60      -5.47      -2.63      -2.78

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

       -10.61      -4.80      -1.38      -1.56

Indian rupee

       -16.64      -11.04      -8.08      -8.20
1 

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

 

LOGO

Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.

 

WisdomTree Currency, Fixed Income and Alternative Funds      9   


Performance Summary (unaudited)

WisdomTree Asia Local Debt Fund (ALD)

 

Country Breakdown† as of 8/31/13

 

Country   % of
Net Assets
 

Malaysia

    11.1%   

South Korea

    11.0%   

Thailand

    10.9%   

Australia

    10.8%   

Indonesia

    10.1%   

United States

    9.9%   

Hong Kong

    5.7%   

New Zealand

    5.6%   

Philippines

    5.2%   

China

    5.1%   

Singapore

    4.8%   

India

    4.4%   

Taiwan

    0.4%   

Other Assets less Liabilities

    5.0%   

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 8/31/13

 

Description   % of Net Assets  

Citigroup, Inc.,
tri-party repurchase agreement,
0.05%, 9/03/13

    9.9%  

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

    4.0%   

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

    3.4%   

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

    3.2%   

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

    3.1%   

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

    3.1%   

Indonesia Government,
7.38%, 9/15/16,
Series FR55

    3.0%   

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

    2.8%   

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

    2.8%   

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

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

 

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

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

The Fund returned -5.14% on net asset value (“NAV”) for the fiscal year ended August 31, 2013 (for more complete performance information please see below). The Fund underperformed its industry benchmark, the HSBC Asian Local Bond Index, by 1.32% based on NAV for the fiscal year. This was the result of the Fund’s investments in Australian dollar denominated bonds that significantly underperformed during the fiscal year.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for fund shares and investors’ assessments of the underlying value of a fund’s portfolio securities.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore index returns do not reflect deductions for fees or expenses and are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2013, the Fund’s annual expense ratio was 0.55%.

Performance as of 8/31/13

 

        Average Annual Total Return  
        1 Year      Since
Inception1
 

Fund NAV Returns

       -5.14      0.03

Fund Market Price Returns

       -5.96      -0.36

HSBC Asian Local Bond Index

       -3.82      1.86
1 

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

LOGO

Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.

 

10   WisdomTree Currency, Fixed Income and Alternative Funds


Performance Summary (unaudited)

WisdomTree Australia & New Zealand Debt Fund (AUNZ)

 

Country Breakdown† as of 8/31/13

 

Country   % of
Net Assets
 

Australia

    86.1%   

New Zealand

    11.6%   

Other Assets less Liabilities

    2.3%   

Total

    100.0%   

 

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

 

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

Top Ten Holdings* as of 8/31/13

 

Description   % of Net Assets  

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

    5.3%   

Australian Government Bond, 5.50%, 4/21/23, Series 133

    4.8%   

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

    4.1%   

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

    3.7%   

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

    3.6%   

Queensland Treasury Corp., 6.00%, 9/14/17,
Series 17

    3.6%   

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

    3.5%   

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

    3.5%   

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

    3.3%   

New Zealand Government Bond,
5.50%, 4/15/23, Series 423

    3.2%   
* The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

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

The Fund returned -11.42% on net asset value (“NAV”) for the fiscal year ended August 31, 2013 (for more complete performance information please see below). The Fund outperformed its industry benchmark, the Citigroup Australian Broad Investment-Grade Bond Index, by 0.45% based on NAV for the fiscal year. This was the result of the Fund’s larger investments in New Zealand dollar denominated bonds than the industry benchmark.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for fund shares and investors’ assessments of the underlying value of a fund’s portfolio securities.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore index returns do not reflect deductions for fees or expenses and are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2013, the Fund’s annual expense ratio was 0.45%.

Performance as of 8/31/13

 

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

Fund NAV Returns2

     -11.42      3.67      3.32      2.06

Fund Market Price Returns2

     -11.77      3.63      8.09      1.83

Citigroup Australian Broad Investment-Grade Bond Index3

     -11.87      6.46      5.11      6.58

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

     -1.24      6.13      5.11      3.76

Spliced Australia & New Zealand Debt Composite

     -10.59      4.96      4.42      3.05
1 

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

2 

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

3 

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

LOGO

Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.

 

WisdomTree Currency, Fixed Income and Alternative Funds      11   


Performance Summary (unaudited)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

 

Country Breakdown† as of 8/31/13

 

Country   % of
Net Assets
 

Russia

    28.9%   

Brazil

    23.9%   

Mexico

    11.6%   

Jamaica

    4.3%   

Colombia

    4.2%   

Hong Kong

    3.6%   

United Arab Emirates

    3.2%   

Indonesia

    3.0%   

India

    3.0%   

Kazakhstan

    2.9%   

Qatar

    2.8%   

Venezuela

    2.5%   

South Africa

    2.0%   

Peru

    1.8%   

China

    0.2%   

Other Assets less Liabilities

    2.1%   

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 8/31/13

 

Description   % of Net Assets  

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

    4.8%   

Digicel Group Ltd.,
8.25%, 9/30/20

    4.3%   

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

    4.0%   

Centrais Eletricas Brasileiras S.A., 5.75%, 10/27/21

    3.9%   

Vale Overseas Ltd.,
4.38%, 1/11/22

    3.6%   

Mexichem SAB de CV,
4.88%, 9/19/22

    3.4%   

Braskem Finance Ltd.,
5.75%, 4/15/21

    3.4%   

LUKOIL International Finance B.V., 6.13%, 11/09/20

    3.2%   

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

    3.2%   

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

    3.2%   
* The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

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

The Fund returned -2.00% on net asset value (“NAV”) for the fiscal year ended August 31, 2013 (for more complete performance information please see below). The Fund underperformed its industry benchmark, the JP Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad, by 1.49% based on NAV for the fiscal year. This was the result of the Fund’s overweight to investments in emerging market corporate bonds in the Metals & Mining and Oil & Gas sectors.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for fund shares and investors’ assessments of the underlying value of a fund’s portfolio securities.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore index returns do not reflect deductions for fees or expenses and are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2013, the Fund’s annual expense ratio was 0.60%.

Performance as of 8/31/13

 

        Average Annual Total Return  
        1 Year      Since
Inception1
 

Fund NAV Returns

       -2.00      2.36

Fund Market Price Returns

       -2.85      2.03

JP Morgan Corporate Emerging Markets Bond Index (CEMBI) Broad

       -0.51      2.91
1 

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

 

LOGO

Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.

 

12   WisdomTree Currency, Fixed Income and Alternative Funds


Performance Summary (unaudited)

WisdomTree Emerging Markets Local Debt Fund (ELD)

 

Country Breakdown† as of 8/31/13

 

Country   % of
Net Assets
 

Malaysia

    10.5%   

Indonesia

    10.0%   

Brazil

    9.8%   

Mexico

    9.7%   

Russia

    7.2%   

Poland

    6.9%   

South Africa

    6.7%   

Turkey

    6.5%   

South Korea

    4.9%   

Thailand

    4.8%   

Chile

    3.6%   

Philippines

    3.6%   

China

    3.5%   

Peru

    3.5%   

Colombia

    3.4%   

United States

    2.1%   

Other Assets less Liabilities

    3.3%   

Total

    100.0%   

 

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

 

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

Top Ten Holdings* as of 8/31/13

 

Description   % of Net Assets  

Poland Government Bond, 4.75%, 4/25/17,
Series 0417

    2.8%   

Republic of Chile,
5.50%, 8/05/20

    2.6%   

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

    2.1%   

Mexican Bonos Desarr,
6.50%, 6/10/21,
Series M

    2.1%   

Citigroup, Inc., tri-party repurchase agreement, 0.05%, 9/3/13††

    2.1%  

Turkey Government Bond, 10.00%, 6/17/15

    2.0%   

International Finance Corp., 5.00%, 12/21/15

    1.8%   

Russian Foreign Bond,
7.85%, 3/10/18

    1.8%   

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

    1.8%   

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

    1.8%   
* The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

 

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

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

The Fund returned -6.41% on net asset value (“NAV”) for the fiscal year ended August 31, 2013 (for more complete performance information please see below). The Fund underperformed its industry benchmark, the JP Morgan Government Bond Index — Emerging Markets (GBI-EM) Global Diversified Index, by 1.03% based on NAV for the fiscal year. This was the result of the Fund’s overweight to investments in Asia relative to the index.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for fund shares and investors’ assessments of the underlying value of a fund’s portfolio securities.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore index returns do not reflect deductions for fees or expenses and are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2013, the Fund’s annual expense ratio was 0.55%.

Performance as of 8/31/13

 

        Average Annual Total Return  
        1 Year      3 Year     

Since

Inception1

 

Fund NAV Returns

       -6.41      1.28      1.16

Fund Market Price Returns

       -7.51      0.76      0.67

JP Morgan GBI-EM Global Diversified Index

       -5.38      2.28      1.91
1 

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

LOGO

Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.

 

WisdomTree Currency, Fixed Income and Alternative Funds      13   


Performance Summary (unaudited)

WisdomTree Euro Debt Fund (EU)

 

Country Breakdown as of 8/31/13

 

Country   % of
Net Assets
 

Germany

    19.3%   

Luxembourg

    18.6%   

France

    18.2%   

Belgium

    10.1%   

Netherlands

    9.7%   

Finland

    8.6%   

Sweden

    4.8%   

Austria

    4.7%   

Denmark

    4.2%   

Other Assets less Liabilities

    1.8%   

Total

    100.0%   

 

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

 

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

Top Ten Holdings* as of 8/31/13

 

Description   % of Net Assets  

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

    6.8%   

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

    6.2%   

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

    5.2%   

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

    4.7%   

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

    4.7%   

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

    4.7%   

European Union,
3.38%, 5/10/19

    4.7%   

Landwirtschaftliche Rentenbank,
3.75%, 2/11/16

    4.4%   

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

    3.8%   

KFW,
4.13%, 7/04/17

    3.7%   
* The ten largest holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

The WisdomTree Euro Debt Fund (the “Fund”) seeks a high level of total return consisting of both income and capital appreciation. The Fund attempts to achieve its objective through investments in fixed income instruments denominated in euros.

The Fund returned 4.37% on net asset value (“NAV”) for the fiscal year ended August 31, 2013 (for more complete performance information please see below). The Fund underperformed its industry benchmark, the BofA Merrill Lynch Euro Government Index, by 5.18% based on NAV for the fiscal year. This was a result of the Fund’s lack of exposure to debt from Portugal, Italy, Ireland, and Spain.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for fund shares and investors’ assessments of the underlying value of a fund’s portfolio securities.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore index returns do not reflect deductions for fees or expenses and are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2013, the Fund’s annual expense ratio was 0.35%.

Performance as of 8/31/13

 

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

Fund NAV Returns2

    4.37     3.89     -0.36     -1.08

Fund Market Price Returns2

    1.51     2.89     -0.92     -1.66

BofA Merrill Lynch Euro Government Index3

    9.55     4.46     3.02     2.11

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

    4.67     1.77     -1.34     -1.94

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

    4.24     4.32     0.13     -0.58

Spliced Euro Debt Composite

    9.54     5.77     0.97     0.20
1 

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

2 

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

3 

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

 

LOGO

Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.

 

14   WisdomTree Currency, Fixed Income and Alternative Funds


Performance Summary (unaudited)

WisdomTree Global Corporate Bond Fund (GLCB)

 

Country Breakdown as of 8/31/13

 

Country   % of
Net Assets
 

United States

    50.1%   

United Kingdom

    9.5%   

Italy

    4.5%   

Russia

    4.4%   

France

    3.2%   

Germany

    3.0%   

Spain

    3.0%   

Hong Kong

    3.0%   

Brazil

    2.8%   

Netherlands

    2.7%   

Australia

    2.5%   

Belgium

    2.2%   

Canada

    1.5%   

Mexico

    1.5%   

Colombia

    0.9%   

Luxembourg

    0.4%   

Other Assets less Liabilities

    4.8%   

Total

    100.0%   

 

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

 

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

Top Ten Holdings* as of 8/31/13

 

Description   % of Net Assets  

HSBC Bank PLC,
3.88%, 10/24/18

    3.2%   

Bank of America Corp.,
3.30%, 1/11/23

    3.2%   

Intesa Sanpaolo SpA,
3.88%, 1/16/18

    3.1%   

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

    3.0%   

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

    3.0%   

Citigroup, Inc.,
4.50%, 1/14/22

    3.0%   

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

    3.0%   

Wells Fargo & Co.,
2.10%, 5/08/17

    2.9%   

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

    2.9%   

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

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

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

The Fund returned -0.98% on net asset value (“NAV”) since its inception on January 31, 2013 through August 31, 2013 (for more complete performance information please see below). The Fund underperformed its industry benchmark, the Barclays Global Credit Index (Hedged), by 0.05% based on NAV for the period. This was the result of the Fund’s overweight in investments in global high yield bonds.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for fund shares and investors’ assessments of the underlying value of a fund’s portfolio securities.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore index returns do not reflect deductions for fees or expenses and are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 11, 2013, the Fund’s net and gross annual expense ratios were 0.45% and 0.50%, respectively. WisdomTree Asset Management, Inc. has contractually agreed to limit the Management Fee to 0.45% through January 10, 2014.

Performance as of 8/31/13

 

        Cumulative Total Return  
        Since Inception1  

Fund NAV Returns

       -0.98

Fund Market Price Returns

       -1.61

Barclays Global Credit Index (Hedged)

       -0.93

Global Corporate Composite (Hedged)

       -0.44
1 

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

 

LOGO

Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.

 

WisdomTree Currency, Fixed Income and Alternative Funds      15   


Performance Summary (unaudited)

WisdomTree Global Real Return Fund (RRF) (consolidated)

 

Country Breakdown as of 8/31/13

 

Country   % of
Net Assets
 

United States

    52.1%   

Mexico

    5.0%   

United Kingdom

    4.8%   

France

    4.5%   

Sweden

    4.4%   

South Africa

    4.2%   

Canada

    4.1%   

Turkey

    3.7%   

Brazil

    3.7%   

Australia

    3.7%   

Other Assets less Liabilities

    9.8%   

Total

    100.0%   

 

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

 

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

Top Ten Holdings* as of 8/31/13

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.05%, 9/19/13

    22.0%   

U.S. Treasury Bill,
0.05%, 9/12/13

    9.2%   

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

    6.0%   

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

    5.9%   

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

    5.8%   

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

    4.4%   

Morgan Stanley, Inflation Linked,
5.40%, 5/15/15

    3.7%   

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

    3.7%   

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

    3.2%   

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

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

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

The Fund returned -5.25% on net asset value (“NAV”) for the fiscal year ended August 31, 2013 (for more complete performance information please see below). The Fund underperformed its industry benchmark, the BofA Merrill Lynch Global Diversified Inflation-Linked Index by 1.13% based on NAV for the fiscal year. This underperformance is largely due to losses from the Fund’s positions in commodity strategies which underperformed in volatile markets.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for fund shares and investors’ assessments of the underlying value of a fund’s portfolio securities.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore index returns do not reflect deductions for fees or expenses and are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2013, and as supplemented September 26, 2013, the Fund’s annual expense ratio was 0.66%.

Performance as of 8/31/13

 

        Average Annual Total Return  
        1 Year      Since
Inception1
 

Fund NAV Returns

       -5.25      -3.05

Fund Market Price Returns

       -9.26      -5.64

BofA Merrill Lynch Global Diversified Inflation-Linked Index

       -4.12      0.68
1 

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

LOGO

Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.

 

16   WisdomTree Currency, Fixed Income and Alternative Funds


Performance Summary (unaudited)

WisdomTree Managed Futures Strategy Fund (WDTI) (consolidated)

 

Investment Breakdown as of 8/31/13

 

Investment Type   % of
Net Assets
 

U.S. Government Obligations

    85.6%   

Other Assets less Liabilities

    14.4%   

Total

    100.0%   

 

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

 

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

Top Holdings* as of 8/31/13

 

Description   % of Net Assets  

U.S. Treasury Bill,
0.03%, 10/03/13

    80.7%   

U.S. Treasury Bill,
0.01%, 9/19/13

    3.3%   

U.S. Treasury Bill,
0.04%, 9/12/13

    1.6%   
* The holdings are subject to change, and there are no guarantees the Fund will remain invested in any particular security. Excludes investment of cash collateral for securities on loan (if any).

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

The Fund returned 1.09% on net asset value (“NAV”) for the fiscal year ended August 31, 2013 (for more complete performance information please see below). The Fund underperformed its industry benchmark, the Diversified Trends Indicator by 1.19% based on NAV for the fiscal year. This was primarily due to deductions for Fund expenses and transaction costs.

The following performance chart is provided for comparative purposes and represents the period noted. The Fund’s per share NAV is the value of one share of the Fund and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Fund and the market price return is based on the market price per share of the Fund. The price used to calculate market price returns is the mid-point of the highest bid and lowest offer for Fund shares as of the close of trading on the exchange where Fund shares are listed. NAV and market price returns assume that dividends and capital gain distributions have been reinvested in the Fund at NAV and market price, respectively. As with other ETFs, NAV returns and market price returns may differ because of factors such as the supply and demand for fund shares and investors’ assessments of the underlying value of a fund’s portfolio securities.

An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities, incur expenses or pay any transaction costs. Therefore index returns do not reflect deductions for fees or expenses and are not available for direct investment. In comparison, the Fund’s performance is negatively impacted by these deductions. Fund returns also do not reflect brokerage commissions or taxes a shareholder would pay on the sale of Fund shares or on Fund distributions. As of the Fund’s current prospectus dated January 1, 2013, the Fund’s annual expense ratio was 0.96%.

Performance as of 8/31/13

 

        Average Annual Total Return  
        1 Year      Since
Inception1
 

Fund NAV Returns

       1.09      -5.95

Fund Market Price Returns

       1.28      -5.97

Diversified Trends Indicator Index

       2.28      -5.01
1 

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

LOGO

Alpha Financial Technologies, LLC (“AFT”) has developed, maintained and owns rights to the methodology that is employed in connection with the Diversified Trends Indicator™ (“DTI”). DTI® is a registered mark of AFT. The Fund is not sponsored, endorsed, sold or promoted by AFT. The DTI was created, compiled, maintained and is owned by AFT without regard to the Fund. The DTI is licensed on an “as is” basis without warranties or guarantees or other terms concerning merchantability, absence of defects, fitness or use for a particular purpose, timeliness, accuracy, completeness, currentness or quality. Neither AFT nor its affiliates make any warranties or guarantees as to the results to be obtained in connection with the use of the DTI or an investment in the Fund, and AFT and its affiliates shall have no liability in connection with any Fund investment.

Performance is historical and does not guarantee future results. Current performance may be lower or higher than quoted. Investment returns and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Performance data for the most recent month-end is available at www.wisdomtree.com. WisdomTree shares are bought and sold at market price (not NAV) and are not individually redeemed from the Fund. Fund NAV returns are calculated using the Fund’s daily 4:00 p.m. NAV. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where Fund shares are listed. Market price returns do not represent the returns you would receive if you traded shares at other times. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Total returns for a period of less than one year are cumulative.

 

WisdomTree Currency, Fixed Income and Alternative Funds      17   


Description of Terms and Indexes (unaudited)

 

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

Barclays Commodity Producers Currency Index:

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

Barclays Global Credit Index (Hedged):

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

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

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

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

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

BofA Merrill Lynch Euro Government Index:

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

BofA Merrill Lynch Global Diversified Inflation-Linked Index:

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

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

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

 

 

18   WisdomTree Currency, Fixed Income and Alternative Funds


Description of Terms and Indexes (unaudited) (continued)

 

Citigroup Australian Broad Investment-Grade Bond Index:

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

Diversified Trends Indicator:

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

Equal-Weighted Commodity Currency Composite:

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

Equal-Weighted Emerging Currency Composite:

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

Euro Zone Area:

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

 

 

WisdomTree Currency, Fixed Income and Alternative Funds      19   


Description of Terms and Indexes (unaudited) (continued)

 

Forward Currency Contracts:

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

Global Corporate Composite (Hedged):

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

Gross Domestic Product (GDP)

Gross domestic product is the value of all final goods and services produced in a specific country. It is the broadest measure of economic activity and the principal indicator of economic performance.

HSBC Asian Local Bond Index:

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

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

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

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

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

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

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

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

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

 

 

20   WisdomTree Currency, Fixed Income and Alternative Funds


Description of Terms and Indexes (unaudited) (continued)

 

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

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

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

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

JP Morgan New Zealand Government Bond Index:

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

LIBID:

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

Sovereign Debt:

Debt that is the direct obligation of a government issuer.

Spliced Australia & New Zealand Debt Composite:

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

Spliced Euro Debt Composite:

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

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

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

 

 

WisdomTree Currency, Fixed Income and Alternative Funds      21   


Description of Terms and Indexes (unaudited) (concluded)

 

Spot Rate:

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

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.

 

22   WisdomTree Currency, Fixed Income and Alternative Funds


Shareholder Expense Examples (unaudited)

 

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

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from March 1, 2013 to August 31, 2013.

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 3/1/13 to 8/31/13” to estimate the expenses you paid on your account during this period.

Hypothetical example for comparison purposes

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

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

 

WisdomTree Currency, Fixed Income and Alternative Funds      23   


Shareholder Expense Examples (unaudited) (concluded)

 

     Beginning
Account Value
3/1/13
    Ending
Account Value
8/31/13
    Annualized
Expense Ratio
Based on the
Period
3/1/13 to
8/31/13
    Expenses Paid
During the
Period†
3/1/13 to
8/31/13
 

WisdomTree Brazilian Real Fund

       

Actual

  $ 1,000.00      $ 852.20        0.45   $ 2.10   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.94        0.45   $ 2.29   

WisdomTree Chinese Yuan Fund

       

Actual

  $ 1,000.00      $ 1,022.60        0.45   $ 2.29   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.94        0.45   $ 2.29   

WisdomTree Commodity Currency Fund

       

Actual

  $ 1,000.00      $ 922.20        0.55   $ 2.66   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.43        0.55   $ 2.80   

WisdomTree Emerging Currency Fund

       

Actual

  $ 1,000.00      $ 929.60        0.55   $ 2.68   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.43        0.55   $ 2.80   

WisdomTree Indian Rupee Fund

       

Actual

  $ 1,000.00      $ 828.40        0.45   $ 2.07   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.94        0.45   $ 2.29   

WisdomTree Asia Local Debt Fund

       

Actual

  $ 1,000.00      $ 916.00        0.55   $ 2.66   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.43        0.55   $ 2.80   

WisdomTree Australia & New Zealand Debt Fund

       

Actual

  $ 1,000.00      $ 880.70        0.45   $ 2.13   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.94        0.45   $ 2.29   

WisdomTree Emerging Markets Corporate Bond Fund

       

Actual

  $ 1,000.00      $ 938.30        0.60   $ 2.93   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.18        0.60   $ 3.06   

WisdomTree Emerging Markets Local Debt Fund

       

Actual

  $ 1,000.00      $ 881.10        0.55   $ 2.61   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.43        0.55   $ 2.80   

WisdomTree Euro Debt Fund

       

Actual

  $ 1,000.00      $ 998.90        0.35   $ 1.76   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,023.44        0.35   $ 1.79   

WisdomTree Global Corporate Bond Fund

       

Actual

  $ 1,000.00      $ 980.40        0.45   $ 2.25   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.94        0.45   $ 2.29   

WisdomTree Global Real Return Fund (consolidated)

       

Actual

  $ 1,000.00      $ 944.10        0.60   $ 2.94   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,022.18        0.60   $ 3.06   

WisdomTree Managed Futures Strategy Fund (consolidated)

       

Actual

  $ 1,000.00      $ 1,025.40        0.95   $ 4.85   

Hypothetical (5% return before expenses)

  $ 1,000.00      $ 1,020.42        0.95   $ 4.84   
Expenses are calculated using each Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 184/365 (to reflect the one-half year period)

 

24   WisdomTree Currency, Fixed Income and Alternative Funds


Schedule of Investments

WisdomTree Brazilian Real Fund (BZF)

August 31, 2013

 

  

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 92.6%   
Treasury Bills – 92.6%      

U.S. Treasury Bills

     

0.02%, 9/05/13*

   $ 2,000,000       $ 1,999,995   

0.01%, 9/12/13*

     15,500,000         15,499,975   

0.03%, 10/03/13*

     19,900,000         19,899,452   

 

 
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost: $37,399,442)
              37,399,422   
REPURCHASE AGREEMENT – 9.7%      
United States – 9.7%      

Citigroup, Inc., tri-party repurchase agreement dated 8/30/13, 0.05% due 9/03/13; Proceeds at maturity – $3,940,051 (fully collateralized by Fannie Mae,
2.50% –5.00% due
12/01/27–10/01/40;
Market value – $4,137,031)

     
(Cost: $3,940,029)      3,940,029         3,940,029   
TOTAL INVESTMENTS IN SECURITIES – 102.3%
(Cost: $41,339,471)
         41,339,451   

Liabilities in Excess of Cash and Other Assets – (2.3)%

  

     (942,621
     

 

 

 
NET ASSETS – 100.0%             $ 40,396,830   
* 

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

 

See Notes to Financial Statements.

 

WisdomTree Currency, Fixed Income and Alternative Funds      25   


Schedule of Investments

WisdomTree Chinese Yuan Fund (CYB)

August 31, 2013

 

  

 

 

Investments    Principal
Amount
    Value  
U.S. GOVERNMENT OBLIGATIONS – 69.3%   
Treasury Bills – 69.3%     

U.S. Treasury Bills

    

0.02%, 9/05/13*

   $ 18,000,000      $ 17,999,956   

0.01%, 9/12/13*

     86,117,000        86,116,861   

0.03%, 10/03/13*

     45,000,000        44,998,760   

 

 

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $149,115,634)

  

  

    149,115,577   
TIME DEPOSITS – 18.4%   
China – 18.4%     

Barclays Bank PLC
2.00%, 9/27/13

     60,409,938  CNH      9,876,473   

Deutsche Bank AG
2.15%, 9/27/13

     60,479,375  CNH      9,887,825   

JPMorgan Chase & Co.
1.80%, 9/27/13

     60,421,628  CNH      9,878,384   

Standard Chartered Bank
2.45%, 9/27/13

     60,469,762  CNH      9,886,253   

 

 
TOTAL TIME DEPOSITS
(Cost: $39,552,860)
             39,528,935   
REPURCHASE AGREEMENT – 12.8%   
United States – 12.8%     

Citigroup, Inc., tri-party repurchase agreement dated 8/30/13, 0.05% due 9/03/13; Proceeds at maturity – $27,444,245 (fully collateralized by Fannie Mae, 3.00% – 4.50% due 11/01/24 – 6/01/41 and Freddie Mac, 3.00% – 4.50% due 4/01/28–4/01/43; Market value – $28,816,297)

    
(Cost: $27,444,092)    $ 27,444,092        27,444,092   

TOTAL INVESTMENTS IN SECURITIES – 100.5%

(Cost: $216,112,586)

  

  

    216,088,604   

Liabilities in Excess of Cash, Foreign Currency and Other Assets – (0.5)%

       (1,073,705
    

 

 

 
NET ASSETS – 100.0%            $ 215,014,899   

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

CNH – Offshore Chinese renminbi

 

* 

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

 

See Notes to Financial Statements.

 

26   WisdomTree Currency, Fixed Income and Alternative Funds


Schedule of Investments

WisdomTree Commodity Currency Fund (CCX)

August 31, 2013

 

  

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 97.8%   
Treasury Bills – 97.8%      

U.S. Treasury Bills

     

0.01%, 9/12/13*

   $ 7,900,000       $ 7,899,987   

0.03%, 10/03/13*

     7,500,000         7,499,794   

 

 

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $15,399,788)

  

  

     15,399,781   
REPURCHASE AGREEMENT – 0.3%   
United States – 0.3%      

Citigroup, Inc., tri-party repurchase agreement dated 8/30/13, 0.05% due 9/03/13; Proceeds at maturity – $50,846 (fully collateralized by Fannie Mae, 5.00% due 10/01/40; Market Value – $53,389)

     
(Cost: $50,845)      50,845         50,845   

TOTAL INVESTMENTS IN SECURITIES – 98.1%

(Cost: $15,450,633)

  

  

     15,450,626   

Cash and Other Assets in Excess of Liabilities – 1.9%

  

     296,628   
     

 

 

 
NET ASSETS – 100.0%             $ 15,747,254   
* 

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

 

See Notes to Financial Statements.

 

WisdomTree Currency, Fixed Income and Alternative Funds      27   


Schedule of Investments

WisdomTree Emerging Currency Fund (CEW)

August 31, 2013

 

  

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 100.4%   
Treasury Bills – 100.4%      

U.S. Treasury Bills

     

0.02%, 9/05/13*

   $ 50,000,000       $ 49,999,879   

0.01%, 9/12/13*

     20,524,000         20,523,967   

0.01%, 9/19/13*

     71,500,000         71,499,599   

0.03%, 10/03/13*

     51,274,000         51,272,587   

 

 

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $193,296,129)

  

  

     193,296,032   
REPURCHASE AGREEMENT – 1.4%   
United States – 1.4%      

Citigroup, Inc., tri-party repurchase agreement dated 8/30/13, 0.05% due 9/03/13; Proceeds at maturity – $2,720,170 (fully collateralized by Fannie Mae, 5.00% due 10/01/40; Market value – $2,856,163)

     

(Cost: $2,720,155)

     2,720,155         2,720,155   

TOTAL INVESTMENTS IN SECURITIES – 101.8%

(Cost: $196,016,284)

  

  

     196,016,187   

Liabilities in Excess of Cash and Other Assets – (1.8)%

  

     (3,387,985
     

 

 

 
NET ASSETS – 100.0%             $ 192,628,202   

 

* 

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

 

See Notes to Financial Statements.

 

28   WisdomTree Currency, Fixed Income and Alternative Funds


Schedule of Investments

WisdomTree Indian Rupee Fund (ICN)

August 31, 2013

 

  

 

 

Investments    Principal
Amount
     Value  
U.S. GOVERNMENT OBLIGATIONS – 68.5%   
Treasury Bills – 68.5%      

U.S. Treasury Bills

     

0.02%, 9/05/13*

   $ 3,850,000       $ 3,849,991   

0.01%, 9/12/13*

     5,897,000         5,896,990   

0.01%, 9/19/13*

     2,000,000         1,999,989   

0.03%, 10/03/13*

     10,350,000         10,349,715   

 

 

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $22,096,697)

  

  

     22,096,685   
REPURCHASE AGREEMENT – 22.6%   
United States – 22.6%      

Citigroup, Inc., tri-party repurchase agreement dated 8/30/13, 0.05% due 9/03/13; Proceeds at maturity – $7,274,996 (fully collateralized by Fannie Mae, 3.50% due 1/01/26 and Freddie Mac, 3.50% due 8/01/28; Market value – $7,638,704)

     
(Cost: $7,274,956)      7,274,956         7,274,956   

TOTAL INVESTMENTS IN SECURITIES – 91.1%

(Cost: $29,371,653)

  

  

     29,371,641   

Cash and Other Assets in Excess of Liabilities – 8.9%

  

     2,858,533   
     

 

 

 
NET ASSETS – 100.0%             $ 32,230,174   
* 

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

 

See Notes to Financial Statements.

 

WisdomTree Currency, Fixed Income and Alternative Funds      29   


Schedule of Investments

WisdomTree Asia Local Debt Fund (ALD)

August 31, 2013

 

  

 

 

Investments   

Principal

Amount

    Value  
    
FOREIGN GOVERNMENT AGENCIES – 6.9%     
Australia – 6.3%     

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

     9,946,000  AUD    $ 9,518,591   

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

     13,320,000  AUD      13,040,734   

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

     9,060,000  AUD      8,609,750   
    

 

 

 
Total Australia              31,169,075   
New Zealand – 0.6%     

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

     3,320,000  NZD      2,813,880   
TOTAL FOREIGN GOVERNMENT AGENCIES
(Cost: $39,179,259)
        33,982,955   
FOREIGN GOVERNMENT OBLIGATIONS – 67.6%     
Australia – 1.4%     

Australian Government Bond

    

6.25%, 4/15/15, Series 119

     3,266,000  AUD      3,084,714   

4.25%, 7/21/17, Series 135

     1,659,000  AUD      1,547,321   

Eurofima

    

5.63%, 10/24/16

     2,270,000  AUD      2,139,739   
    

 

 

 
Total Australia              6,771,774   
China – 4.5%     

China Government Bond

    

1.00%, 12/01/13

     17,500,000  CNY      2,847,963   

3.30%, 10/27/14

     17,220,000  CNY      2,835,755   

1.80%, 12/01/15

     27,000,000  CNY      4,315,957   

1.40%, 8/18/16

     8,000,000  CNY      1,252,743   

2.48%, 12/01/20

     33,500,000  CNY      5,255,472   

2.36%, 8/18/21

     19,000,000  CNY      2,935,736   

3.10%, 6/29/22

     17,000,000  CNY      2,730,945   
    

 

 

 
Total China              22,174,571   
Hong Kong – 4.7%     

Hong Kong Government Bond

    

1.69%, 12/22/14

     46,000,000  HKD      6,043,029   

1.65%, 6/15/15

     89,650,000  HKD      11,832,692   

1.51%, 2/24/27

     45,700,000  HKD      5,201,734   
    

 

 

 
Total Hong Kong              23,077,455   
Indonesia – 10.1%     

Indonesia Government

    

11.25%, 5/15/14, Series FR51

     45,196,000,000  IDR      4,250,634   

7.38%, 9/15/16, Series FR55

     164,646,000,000  IDR      14,904,866   

5.25%, 5/15/18, Series FR66

     145,823,000,000  IDR      12,059,522   

12.80%, 6/15/21, Series FR34

     65,405,000,000  IDR      7,511,315   

7.00%, 5/15/22, Series FR61

     134,135,000,000  IDR      11,265,203   
    

 

 

 
Total Indonesia              49,991,540   
Malaysia – 11.1%     

Malaysian Government

    

3.43%, 8/15/14, Series 0211

     23,360,000  MYR      7,135,896   

3.84%, 8/12/15, Series 0110

     64,050,000  MYR      19,732,314   

4.01%, 9/15/17, Series 0210

     51,685,000  MYR      15,939,357   

3.26%, 3/01/18, Series 0213

     40,861,000  MYR    $ 12,216,179   
    

 

 

 
Total Malaysia              55,023,746   
    
New Zealand – 3.9%     

New Zealand Government Bond

    

6.00%, 4/15/15, Series 415

     13,005,000  NZD      10,543,132   

6.00%, 12/15/17, Series 1217

     10,202,000  NZD      8,572,920   
    

 

 

 
Total New Zealand              19,116,052   
Philippines – 5.2%     

Republic of Philippines

    

4.95%, 1/15/21

     656,000,000  PHP      15,526,682   

3.90%, 11/26/22

     228,000,000  PHP      5,086,547   

6.25%, 1/14/36

     200,000,000  PHP      4,932,735   
    

 

 

 
Total Philippines              25,545,964   
Singapore – 4.8%     

Singapore Government Bond

    

2.25%, 6/01/21

     17,554,000  SGD      13,661,996   

3.00%, 9/01/24

     12,718,000  SGD      10,076,292   
    

 

 

 
Total Singapore              23,738,288   
South Korea – 11.0%     

Korea Treasury Bond

    

4.50%, 3/10/15, Series 1503

     16,707,020,000  KRW      15,447,623   

4.00%, 9/10/15, Series 1509

     14,000,000,000  KRW      12,913,195   

2.75%, 9/10/17, Series 1709

     19,059,000,000  KRW      16,957,333   

4.25%, 6/10/21, Series 2106

     9,531,000,000  KRW      9,062,096   
    

 

 

 
Total South Korea              54,380,247   
Thailand – 10.9%     

Thailand Government Bond

    

5.25%, 5/12/14

     367,646,000  THB      11,628,966   

3.13%, 12/11/15

     228,259,000  THB      7,103,911   

4.13%, 11/18/16

     214,690,000  THB      6,844,850   

3.25%, 6/16/17

     120,440,000  THB      3,724,301   

2.80%, 10/10/17

     463,685,000  THB      14,049,497   

3.63%, 6/16/23

     349,972,000  THB      10,321,945   
    

 

 

 
Total Thailand              53,673,470   
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost: $370,383,765)
        333,493,107   
SUPRANATIONAL BONDS – 10.6%   
Australia – 3.1%     

Asian Development Bank
5.50%, 2/15/16

     6,540,000  AUD      6,166,575   

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

     5,206,000  AUD      4,750,034   

Nordic Investment Bank
6.00%, 4/06/15

     4,900,000  AUD      4,572,887   
    

 

 

 
Total Australia              15,489,496   
China – 0.6%     

Asian Development Bank
2.85%, 10/21/20

     14,500,000  CNY      2,302,239   

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

     5,000,000  CNY      790,234   
    

 

 

 
Total China              3,092,473   

 

See Notes to Financial Statements.

 

30   WisdomTree Currency, Fixed Income and Alternative Funds


Schedule of Investments (concluded)

WisdomTree Asia Local Debt Fund (ALD)

August 31, 2013

 

  

 

 

Investments   

Principal

Amount

    Value  
    
Hong Kong – 1.0%     

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

     39,000,000  HKD    $ 5,109,275   
India – 4.4%     

European Bank for Reconstruction & Development
5.25%, 6/06/14

     286,450,000  INR      4,208,738   

Inter-American Development Bank

    

4.75%, 1/10/14

     727,700,000  INR      10,782,726   

5.00%, 7/24/15

     80,250,000  INR      1,153,040   

4.75%, 10/25/15

     368,200,000  INR      5,275,564   
    

 

 

 
Total India              21,420,068   
New Zealand – 1.1%     

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

     1,616,000  NZD      1,323,139   

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

     4,840,000  NZD      3,847,092   
    

 

 

 
Total New Zealand              5,170,231   
Taiwan – 0.4%     

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

     58,000,000  TWD      1,912,142   
TOTAL SUPRANATIONAL BONDS
(Cost: $62,976,354)
             52,193,685   
REPURCHASE AGREEMENT – 9.9%     
United States – 9.9%     

Citigroup, Inc., tri-party repurchase agreement dated 8/30/13, 0.05% due 9/03/13; Proceeds at maturity – $48,582,349 (fully collateralized by Ginnie Mae, 3.50% – 4.50% due 11/20/26 – 7/20/40; Market value – $51,011,184)

    
(Cost: $48,582,079)      48,582,079        48,582,079   
TOTAL INVESTMENTS IN SECURITIES – 95.0%
(Cost: $521,121,457)
        468,251,826   

Cash, Foreign Currency and Other Assets
in Excess of Liabilities – 5.0%

   

    24,837,181   
    

 

 

 
NET ASSETS – 100.0%            $ 493,089,007   

 

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

AUD — Australian dollar

CNY — Chinese yuan

HKD — Hong Kong dollar

IDR — Indonesian rupiah

INR — Indian rupee

KRW — South Korean won

MYR — Malaysian ringgit

NZD — New Zealand dollar

PHP — Philippines peso

SGD — Singapore dollar

THB — Thai baht

TWD — Taiwan new dollar

 

See Notes to Financial Statements.

 

WisdomTree Currency, Fixed Income and Alternative Funds      31   


Schedule of Investments

WisdomTree Australia & New Zealand Debt Fund (AUNZ)

August 31, 2013

 

  

 

 

Investments    Principal
Amount
    Value  
FOREIGN GOVERNMENT AGENCIES – 37.6%     
Australia – 37.6%     

Australian Capital Territory

    

5.50%, 6/07/18

     850,000  AUD    $ 816,123   

Export Development Canada

    

5.25%, 8/10/15

     2,341,000  AUD      2,177,712   

New South Wales Treasury Corp.

    

5.50%, 3/01/17, Series 17

     639,000  AUD      612,817   

6.00%, 2/01/18, Series 18

     1,121,600  AUD      1,099,291   

6.00%, 5/01/20, Series 520

     240,000  AUD      238,023   

Northern Territory Treasury Corp.

    

5.75%, 7/14/14

     500,000  AUD      457,049   

6.25%, 10/20/15

     500,000  AUD      476,330   

4.75%, 9/20/18

     600,000  AUD      559,313   

Queensland Treasury Corp.

    

6.00%, 4/21/16, Series 16

     454,000  AUD      434,592   

6.00%, 9/14/17, Series 17

     1,496,000  AUD      1,464,393   

South Australian Government Financing Authority

    

5.75%, 4/20/15, Series 15

     712,000  AUD      664,450   

5.75%, 9/20/17, Series 17

     1,575,000  AUD      1,520,421   

Tasmanian Public Finance

    

5.50%, 6/23/14, Series 14

     377,000  AUD      343,810   

6.50%, 4/15/15, Series 15

     1,528,000  AUD      1,440,991   

Treasury Corp. of Victoria

    

5.75%, 11/15/16, Series 1116

     227,000  AUD      218,086   

5.50%, 11/15/18, Series 1118

     1,534,000  AUD      1,482,226   

Western Australian Treasury Corp.

    

7.00%, 4/15/15, Series 15

     625,000  AUD      593,940   

6.00%, 10/16/23, Series 23

     787,800  AUD      773,227   

 

 
TOTAL FOREIGN GOVERNMENT AGENCIES
(Cost: $17,803,854)
             15,372,794   
FOREIGN GOVERNMENT OBLIGATIONS – 32.7%     
Australia – 21.3%     

Australian Government Bond

    

4.25%, 7/21/17, Series 135

     786,000  AUD      733,089   

5.50%, 1/21/18, Series 132

     1,308,000  AUD      1,279,894   

5.25%, 3/15/19, Series 122

     1,386,000  AUD      1,355,613   

4.50%, 4/15/20, Series 126

     1,325,000  AUD      1,248,551   

5.75%, 5/15/21, Series 124

     1,234,000  AUD      1,250,972   

5.50%, 4/21/23, Series 133

     1,960,000  AUD      1,969,252   

4.75%, 4/21/27, Series 136

     900,000  AUD      843,162   
    

 

 

 
Total Australia              8,680,533   
New Zealand – 11.4%     

New Zealand Government Bond

    

6.00%, 4/15/15, Series 415

     434,000  NZD      351,843   

6.00%, 12/15/17, Series 1217

     1,394,000  NZD      1,171,403   

5.00%, 3/15/19, Series 319

     835,000  NZD      675,605   

6.00%, 5/15/21, Series 521

     1,365,000  NZD      1,168,165   

5.50%, 4/15/23, Series 423

     1,555,000  NZD      1,291,558   
    

 

 

 
Total New Zealand              4,658,574   
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost: $15,503,252)
             13,339,107   
SUPRANATIONAL BONDS – 27.4%     
Australia – 27.2%     

Asian Development Bank

    

6.00%, 1/20/15

     360,000  AUD    $ 334,792   

5.50%, 2/15/16

     280,000  AUD      264,012   

6.00%, 2/22/18

     1,170,000  AUD      1,141,386   

Council of Europe Development Bank

    

5.75%, 9/16/14

     324,000  AUD      296,930   

5.63%, 12/14/15

     178,000  AUD      166,794   

European Investment Bank

    

5.38%, 5/20/14

     416,000  AUD      377,451   

6.13%, 1/23/17

     1,077,000  AUD      1,035,760   

Inter-American Development Bank

    

6.00%, 5/25/16

     1,497,000  AUD      1,433,160   

6.50%, 8/20/19

     462,000  AUD      462,418   

International Bank For Reconstruction & Development

    

5.50%, 10/21/14

     340,000  AUD      312,363   

International Finance Corp.

    

5.75%, 3/16/15

     880,000  AUD      818,692   

5.75%, 7/28/20

     671,000  AUD      648,027   

KFW

    

5.75%, 5/13/15

     638,000  AUD      595,902   

6.25%, 12/04/19

     802,000  AUD      790,164   

Landwirtschaftliche Rentenbank

    

6.50%, 4/12/17

     312,000  AUD      305,202   

Nordic Investment Bank

    

6.00%, 8/20/14

     477,000  AUD      438,004   

6.00%, 4/06/15

     1,810,000  AUD      1,689,168   
    

 

 

 
Total Australia              11,110,225   
New Zealand – 0.2%     

KFW

    

6.38%, 2/17/15

     94,000  NZD      75,648   
TOTAL SUPRANATIONAL BONDS
(Cost: $13,005,471)
             11,185,873   
TOTAL INVESTMENTS IN SECURITIES – 97.7%
(Cost: $46,312,577)(a)
       39,897,774   

Cash, Foreign Currency and Other Assets in Excess
of Liabilities – 2.3%

   

    933,123   
    

 

 

 
NET ASSETS — 100.0%            $ 40,830,897   

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

 

AUD – Australian dollar

 

NZD – New Zealand dollar

 

See Notes to Financial Statements.

 

32   WisdomTree Currency, Fixed Income and Alternative Funds


Schedule of Investments

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

August 31, 2013

 

  

 

 

Investments    Principal
Amount
     Value  
     
FOREIGN CORPORATE BONDS – 94.7%      
Brazil – 23.9%      

Braskem Finance Ltd.

     

5.75%, 4/15/21

   $ 4,138,000       $ 3,912,996   

Centrais Eletricas Brasileiras S.A.

     

5.75%, 10/27/21

     4,849,000         4,520,117   

CSN Resources S.A.

     

6.50%, 7/21/20(a)

     2,139,000         2,050,606   

Fibria Overseas Finance Ltd.

     

7.50%, 5/04/20

     445,000         475,037   

6.75%, 3/03/21

     1,200,000         1,278,000   

Odebrecht Finance Ltd.

     

4.38%, 4/25/25(b)

     2,950,000         2,507,500   

Oi S.A.

     

5.75%, 2/10/22

     3,726,000         3,302,168   

Petrobras International Finance Co.

     

5.38%, 1/27/21

     5,767,000         5,647,335   

Vale Overseas Ltd.

     

4.38%, 1/11/22

     4,469,000         4,189,933   
     

 

 

 
Total Brazil               27,883,692   
China – 0.2%      

MCE Finance Ltd.

     

5.00%, 2/15/21(b)

     300,000         279,000   
Colombia – 4.2%      

Ecopetrol S.A.

     

7.63%, 7/23/19

     2,825,000         3,248,750   

Pacific Rubiales Energy Corp.

     

5.13%, 3/28/23

     1,830,000         1,631,216   
     

 

 

 
Total Colombia               4,879,966   
Hong Kong – 3.6%      

Hutchison Whampoa International 11 Ltd.

     

4.63%, 1/13/22

     1,765,000         1,800,265   

Noble Group Ltd.

     

6.75%, 1/29/20

     2,403,000         2,415,015   
     

 

 

 
Total Hong Kong               4,215,280   
India – 3.0%      

Vedanta Resources PLC

     

8.25%, 6/07/21(a)

     3,718,000         3,522,805   
Indonesia – 3.0%      

PT Pertamina (Persero)

     

5.25%, 5/23/21

     3,870,000         3,531,375   
Jamaica – 4.3%      

Digicel Group Ltd.

     

8.25%, 9/30/20

     4,650,000         4,960,969   
Kazakhstan – 2.9%      

KazMunayGaz National Co.

     

6.38%, 4/09/21(a)

     3,167,000         3,349,102   
Mexico – 11.6%      

Cemex Finance LLC

     

9.50%, 12/14/16

     1,848,000         1,966,965   

Cemex SAB de CV

     

6.50%, 12/10/19(b)

     1,200,000         1,167,000   
     

Grupo Bimbo SAB de CV

     

4.50%, 1/25/22

   $ 2,848,000       $ 2,863,878   

Mexichem SAB de CV

     

4.88%, 9/19/22(a)

     4,150,000         3,958,062   

Southern Copper Corp.

     

5.25%, 11/08/42

     4,500,000         3,534,188   
     

 

 

 
Total Mexico               13,490,093   
Peru – 1.8%      

Volcan Cia Minera S.A.A.

     

5.38%, 2/02/22

     2,246,000         2,100,010   
Qatar – 2.8%      

Qtel International Finance Ltd.

     

4.75%, 2/16/21(a)

     3,156,000         3,277,506   
Russia – 28.9%      

Alliance Oil Co. Ltd.

     

7.00%, 5/04/20(b)

     1,400,000         1,389,500   

EDC Finance Ltd.

     

4.88%, 4/17/20(b)

     1,200,000         1,104,000   

EuroChem Mineral & Chemical Co. OJSC

     

5.13%, 12/12/17(a)

     3,200,000         3,132,000   

Evraz Group S.A.

     

6.75%, 4/27/18(a)

     3,776,000         3,634,400   

Gazprom OAO Via Gaz Capital S.A.

     

4.95%, 5/23/16(a)

     3,491,000         3,687,369   

LUKOIL International Finance B.V.

     

6.13%, 11/09/20

     3,598,000         3,789,144   

Rosneft Oil Co. Via Rosneft International Finance Ltd.

     

3.15%, 3/06/17(a)

     3,520,000         3,484,800   

Severstal OAO Via Steel Capital S.A.

     

6.70%, 10/25/17(a)

     2,142,000         2,283,907   

Sibur Securities Ltd.

     

3.91%, 1/31/18(a)

     3,200,000         3,028,000   

TNK-BP Finance S.A.

     

7.25%, 2/02/20

     3,118,000         3,484,365   

VimpelCom Holdings B.V.

     

7.50%, 3/01/22

     4,642,000         4,711,630   
     

 

 

 
Total Russia               33,729,115   
South Africa – 2.0%      

AngloGold Ashanti Holdings PLC

     

8.50%, 7/30/20

     2,350,000         2,339,719   
Venezuela – 2.5%      

Petroleos de Venezuela S.A.

     

8.50%, 11/02/17

     3,268,200         2,944,239   
TOTAL FOREIGN CORPORATE BONDS
(Cost: $119,039,585)
              110,502,871   
FOREIGN GOVERNMENT AGENCIES – 3.2%      
United Arab Emirates – 3.2%      

MDC-GMTM B.V.

     

5.50%, 4/20/21

     
(Cost: $3,840,385)      3,456,000         3,788,640   

 

See Notes to Financial Statements.

 

WisdomTree Currency, Fixed Income and Alternative Funds      33   


Schedule of Investments (concluded)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

August 31, 2013

 

  

 

 

Investments   

Shares

     Value  
     
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 26.4%      
United States – 26.4%      

Dreyfus Institutional Preferred Money Market Fund, 0.06%(c)

     
(Cost: $30,772,606)(d)      30,772,606       $ 30,772,606   
TOTAL INVESTMENTS IN SECURITIES – 124.3%      

(Cost: $153,652,576)

        145,064,117   

Liabilities in Excess of Cash and Other
Assets – (24.3)%

        (28,318,533
     

 

 

 
NET ASSETS – 100.0%             $ 116,745,584   
(a) 

Security, or portion thereof, was on loan at August 31, 2013.

 

(b) 

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

 

(c) 

Rate shown represents annualized 7-day yield as of August 31, 2013.

 

(d) 

At August 31, 2013, the total market value of the Fund’s securities on loan was $30,847,939 and the total market value of the collateral held by the Fund was $31,709,520. The total market value of the collateral includes non-cash U.S. Treasury securities collateral having a value of $936,914.

 

See Notes to Financial Statements.

 

34   WisdomTree Currency, Fixed Income and Alternative Funds


Schedule of Investments

WisdomTree Emerging Markets Local Debt Fund (ELD)

August 31, 2013

 

  

 

 

Investments    Principal
Amount
    Value  
    
FOREIGN GOVERNMENT OBLIGATIONS – 83.9%     
Brazil – 5.9%     

Federal Republic of Brazil

    

12.50%, 1/05/16(a)

     19,199,000  BRL    $ 8,629,535   

12.50%, 1/05/22

     39,426,000  BRL      18,658,190   

10.25%, 1/10/28

     10,974,000  BRL      4,593,274   

Letra Tesouro Nacional

    

9.69%, 1/01/15(b)

     8,595,000  BRL      3,159,910   

9.86%, 7/01/16(b)

     41,391,000  BRL      12,720,141   

Nota do Tesouro Nacional

    

10.00%, 1/01/17

     13,422,000  BRL      5,379,720   

10.00%, 1/01/21

     44,935,000  BRL      17,163,624   

10.00%, 1/01/23

     40,296,000  BRL      15,090,957   
    

 

 

 
Total Brazil              85,395,351   
Chile – 3.6%     

Bonos del Banco Central de Chile en Pesos

    

6.00%, 1/01/17

     4,355,000,000  CLP      8,792,403   

6.00%, 3/01/23

     1,525,000,000  CLP      3,166,325   

Republic of Chile

    

6.00%, 3/01/18

     1,420,000,000  CLP      2,813,742   

5.50%, 8/05/20(a)

     18,751,500,000  CLP      37,625,107   
    

 

 

 
Total Chile              52,397,577   
China – 3.5%     

China Government Bond

    

2.38%, 7/19/14

     9,400,000  CNY      1,532,631   

3.30%, 10/27/14

     1,460,000  CNY      240,430   

1.80%, 12/01/15

     62,000,000  CNY      9,910,715   

1.40%, 8/18/16

     38,000,000  CNY      5,950,528   

2.56%, 6/29/17

     61,000,000  CNY      9,855,192   

2.48%, 12/01/20

     56,000,000  CNY      8,785,267   

2.36%, 8/18/21

     54,500,000  CNY      8,420,927   

3.10%, 6/29/22

     31,500,000  CNY      5,060,281   
    

 

 

 
Total China              49,755,971   
Colombia – 3.4%     

Republic of Colombia

    

12.00%, 10/22/15

     30,401,000,000  COP      17,844,850   

7.75%, 4/14/21

     35,116,000,000  COP      20,562,607   

4.38%, 3/21/23

     677,000,000  COP      312,911   

9.85%, 6/28/27

     15,474,000,000  COP      10,323,458   
    

 

 

 
Total Colombia              49,043,826   
Indonesia – 9.8%     

Indonesia Government

    

11.00%, 10/15/14,
Series FR26

     75,811,000,000  IDR      7,198,192   

9.50%, 6/15/15, Series FR27

     148,891,000,000  IDR      14,056,292   

10.75%, 5/15/16, Series FR30

     49,065,000,000  IDR      4,818,497   

7.38%, 9/15/16, Series FR55

     178,000,000,000  IDR      16,113,760   

6.25%, 4/15/17, Series FR60

     69,517,000,000  IDR      6,081,439   

10.00%, 7/15/17, Series FR28

     50,000,000,000  IDR      4,912,775   

5.25%, 5/15/18, Series FR66

     198,735,000,000  IDR      16,435,330   

11.00%, 11/15/20,
Series FR31

     139,526,000,000  IDR      14,673,586   

8.25%, 7/15/21, Series FR53

     103,330,000,000  IDR      9,426,601   

7.00%, 5/15/22, Series FR61

     226,164,000,000  IDR      18,994,172   
    

8.38%, 9/15/26, Series FR56

     159,398,000,000  IDR    $ 14,189,619   

8.25%, 6/15/32, Series FR58

     166,909,000,000  IDR      14,470,506   
    

 

 

 
Total Indonesia              141,370,769   
Malaysia – 10.5%     

Malaysian Government

    

3.43%, 8/15/14, Series 0211

     79,121,000  MYR      24,169,487   

3.84%, 8/12/15, Series 0110

     65,163,000  MYR      20,075,203   

3.81%, 2/15/17, Series 0207

     35,326,000  MYR      10,808,439   

4.01%, 9/15/17, Series 0210

     38,808,000  MYR      11,968,164   

3.31%, 10/31/17,
Series 0512

     42,609,000  MYR      12,805,803   

4.38%, 11/29/19,
Series 0902

     98,452,000  MYR      30,807,391   

3.42%, 8/15/22, Series 0112

     79,151,000  MYR      22,871,127   

4.39%, 4/15/26, Series 0311

     58,070,000  MYR      18,025,168   
    

 

 

 
Total Malaysia              151,530,782   
Mexico – 6.9%     

Mexican Bonos Desarr

    

9.50%, 12/18/14,
Series MI10

     174,575,000  MXN      13,971,452   

8.00%, 12/17/15, Series M10

     110,000,000  MXN      8,891,076   

7.75%, 12/14/17, Series M10

     238,920,000  MXN      19,587,790   

8.50%, 12/13/18, Series M10

     243,388,000  MXN      20,731,984   

6.50%, 6/10/21, Series M

     396,552,000  MXN      30,515,763   

7.75%, 5/29/31, Series M

     69,563,000  MXN      5,525,877   
    

 

 

 
Total Mexico              99,223,942   
Peru – 3.5%     

Republic of Peru

    

9.91%, 5/05/15

     9,052,000  PEN      3,508,206   

8.60%, 8/12/17

     25,208,000  PEN      10,168,453   

7.84%, 8/12/20

     43,564,000  PEN      17,438,937   

8.20%, 8/12/26

     13,675,000  PEN      5,807,080   

6.95%, 8/12/31

     19,481,000  PEN      6,938,052   

6.90%, 8/12/37

     16,279,000  PEN      5,696,491   
    

 

 

 
Total Peru              49,557,219   
Philippines – 3.6%     

Republic of Philippines

    

7.88%, 2/19/19, Series 1048

     260,400,000  PHP      7,234,694   

4.95%, 1/15/21

     1,073,000,000  PHP      25,396,539   

3.90%, 11/26/22

     206,000,000  PHP      4,595,740   

6.25%, 1/14/36

     201,000,000  PHP      4,957,399   

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

     322,950,000  PHP      9,767,145   
    

 

 

 
Total Philippines              51,951,517   
Poland – 6.9%     

Poland Government Bond

    

5.75%, 4/25/14, Series 0414

     70,586,000  PLN      22,237,571   

4.75%, 4/25/17, Series 0417

     123,975,000  PLN      39,861,002   

5.50%, 10/25/19,
Series 1019

     59,727,000  PLN      19,928,646   

5.25%, 10/25/20,
Series 1020

     16,901,000  PLN      5,560,994   

5.75%, 9/23/22, Series 0922

     36,598,000  PLN      12,412,800   
    

 

 

 
Total Poland              100,001,013   

 

See Notes to Financial Statements.

 

WisdomTree Currency, Fixed Income and Alternative Funds      35   


Schedule of Investments (continued)

WisdomTree Emerging Markets Local Debt Fund (ELD)

August 31, 2013

 

  

 

 

Investments    Principal
Amount
    Value  
    
Russia – 6.1%     

Russian Agricultural Bank OJSC Via RSHB Capital SA

    

8.70%, 3/17/16

     235,300,000  RUB    $ 7,145,975   

Russian Foreign Bond

    

7.85%, 3/10/18

     835,000,000  RUB      25,981,706   

Russian Government Bond — OFZ

    

6.88%, 7/15/15, Series 5075

     86,620,000  RUB      2,633,999   

7.35%, 1/20/16, Series 5077

     586,650,000  RUB      18,050,898   

6.80%, 12/11/19, Series 6210

     466,760,000  RUB      13,882,406   

7.60%, 7/20/22, Series 6209

     422,790,000  RUB      12,841,248   

Russian Railways Via Rzd Capital PLC

    

8.30%, 4/02/19

     227,800,000  RUB      6,877,641   
    

 

 

 
Total Russia              87,413,873   
South Africa – 4.8%     

Republic of South Africa

    

8.25%, 9/15/17, Series R203

     227,103,000  ZAR      22,880,389   

7.25%, 1/15/20, Series R207

     221,452,000  ZAR      21,000,206   

10.50%, 12/21/26,
Series R186(a)

     137,980,000  ZAR      15,667,797   

6.25%, 3/31/36, Series R209

     143,138,600  ZAR      10,128,164   
    

 

 

 
Total South Africa              69,676,556   
South Korea – 4.9%     

Korea Treasury Bond

    

4.50%, 3/10/15, Series 1503

     26,818,410,000  KRW      24,796,804   

2.75%, 9/10/17, Series 1709

     28,870,000,000  KRW      25,686,459   

5.00%, 6/10/20, Series 2006

     2,812,280,000  KRW      2,781,605   

3.75%, 6/10/22, Series 2206

     18,500,000,000  KRW      17,000,118   
    

 

 

 
Total South Korea              70,264,986   
Thailand – 4.8%     

Thailand Government Bond

    

3.13%, 12/11/15

     463,106,000  THB      14,412,854   

4.13%, 11/18/16

     381,920,000  THB      12,176,556   

2.80%, 10/10/17

     352,366,000  THB      10,676,569   

5.13%, 3/13/18

     445,205,000  THB      14,678,584   

3.65%, 12/17/21

     391,458,000  THB      11,775,115   

3.58%, 12/17/27

     200,167,000  THB      5,691,409   
    

 

 

 
Total Thailand              69,411,087   
Turkey – 5.7%     

Turkey Government Bond

    

10.00%, 6/17/15

     59,313,000  TRY      29,303,663   

9.00%, 1/27/16

     46,388,000  TRY      22,440,117   

10.50%, 1/15/20

     32,004,000  TRY      16,243,414   

9.50%, 1/12/22

     30,827,000  TRY      14,693,208   
    

 

 

 
Total Turkey              82,680,402   
TOTAL FOREIGN GOVERNMENT OBLIGATIONS
(Cost: $1,415,139,950)
        1,209,674,871   
SUPRANATIONAL BONDS – 10.7%     
Brazil – 3.9%     

European Investment Bank

    

6.00%, 1/25/16

     27,398,000  BRL      10,670,145   
    

International Bank for Reconstruction & Development

    

10.00%, 1/21/15

     13,145,000  BRL    $ 5,566,110   

7.00%, 4/13/15

     19,545,000  BRL      7,923,404   

International Finance Corp.

    

5.00%, 12/21/15

     69,910,000  BRL      26,567,682   

Nordic Investment Bank

    

8.01%, 5/21/15

     13,000,000  BRL      5,293,131   
    

 

 

 
Total Brazil              56,020,472   
Indonesia – 0.2%     

Inter-American Development Bank

    

4.50%, 2/04/16

     26,400,000,000  IDR      2,174,531   
Mexico – 2.8%     

Inter-American Development Bank

    

8.00%, 1/26/16

     21,632,000  MXN      1,775,502   

7.50%, 12/05/24

     128,268,000  MXN      10,435,705   

International Bank for Reconstruction & Development

    

6.50%, 9/11/13

     78,939,000  MXN      5,922,169   

4.63%, 11/17/15

     69,711,000  MXN      5,337,444   

7.50%, 3/05/20

     76,245,000  MXN      6,435,028   

International Finance Corp.

    

6.00%, 1/28/16

     140,450,000  MXN      11,009,210   
    

 

 

 
Total Mexico              40,915,058   
Russia – 1.1%     

European Bank for Reconstruction & Development

    

6.50%, 2/09/15

     59,610,000  RUB      1,814,093   

6.75%, 5/12/17

     111,150,000  RUB      3,374,584   

European Investment Bank

    

6.50%, 12/15/15

     122,700,000  RUB      3,703,696   

6.50%, 9/30/16

     62,300,000  RUB      1,883,610   

6.75%, 6/13/17

     115,470,000  RUB      3,483,399   

International Bank for Reconstruction & Development

    

5.25%, 11/24/14

     41,550,000  RUB      1,239,526   
    

 

 

 
Total Russia              15,498,908   
South Africa – 1.9%     

European Investment Bank

    

8.50%, 11/04/14

     75,260,000  ZAR      7,551,199   

7.50%, 6/01/16

     57,055,000  ZAR      5,626,778   

9.00%, 12/21/18

     60,335,000  ZAR      6,170,360   

6.00%, 10/21/19

     72,940,000  ZAR      6,452,138   

International Bank for Reconstruction & Development

    

8.75%, 3/01/17

     18,440,000  ZAR      1,881,454   
    

 

 

 
Total South Africa              27,681,929   
Turkey – 0.8%     

European Investment Bank

    

9.63%, 4/01/15

     15,000,000  TRY      7,456,566   

7.25%, 1/25/16

     3,245,000  TRY      1,544,927   

14.00%, 7/05/16

     4,510,000  TRY      2,472,451   

 

See Notes to Financial Statements.

 

36   WisdomTree Currency, Fixed Income and Alternative Funds


Schedule of Investments (concluded)

WisdomTree Emerging Markets Local Debt Fund (ELD)

August 31, 2013

 

  

 

 

Investments    Principal
Amount
    Value  
    

KFW

    

7.75%, 12/16/13

     780,000  TRY    $ 383,326   
    

 

 

 
Total Turkey              11,857,270   

TOTAL SUPRANATIONAL BONDS

(Cost: $178,916,980)

             154,148,168   
REPURCHASE AGREEMENT – 2.1%     
United States – 2.1%     

Citigroup, Inc., tri-party repurchase agreement dated 8/30/13, 0.05% due 9/03/13; Proceeds at maturity – $30,000,233 (fully collateralized by Ginnie Mae, 3.00% due 9/20/42; Market value – $31,500,070)

    
(Cost: $30,000,067)      30,000,067        30,000,067   
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 1.4%      
United States – 1.4%     

Dreyfus Institutional Preferred Money Market Fund, 0.06%(c)

    
(Cost: $20,338,525)(d)      20,338,525        20,338,525   

TOTAL INVESTMENTS IN SECURITIES – 98.1%

(Cost: $1,644,395,522)

  

  

    1,414,161,631   

Cash, Foreign Currency and Other Assets in Excess of Liabilities – 1.9%

   

    28,047,487   
    

 

 

 
NET ASSETS – 100.0%            $ 1,442,209,118   

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

BRL – Brazilian real

CLP – Chilean peso

CNY – Chinese yuan

COP – Colombian peso

IDR – Indonesian rupiah

KRW – South Korean won

MXN – Mexican peso

MYR – Malaysian ringgit

PEN – Peruvian nuevo sol

PHP – Philippines peso

PLN – Polish zloty

RUB – Russian ruble

THB – Thai baht

TRY – Turkish new lira

ZAR – South African rand

 

(a) 

Security, or portion thereof, was on loan at August 31, 2013.

(b) 

Represents a zero coupon bond. Rate shown reflects the effective yield as of August 31, 2013.

(c) 

Rate shown represents annualized 7-day yield as of August 31, 2013.

(d) 

At August 31, 2013, the total market value of the Fund’s securities on loan was $18,833,532 and the total market value of the collateral held by the Fund was $20,338,525.

 

See Notes to Financial Statements.

 

WisdomTree Currency, Fixed Income and Alternative Funds      37   


Schedule of Investments

WisdomTree Euro Debt Fund (EU)

August 31, 2013

 

  

 

 

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

European Financial Stability Facility

    

2.75%, 7/18/16

     105,000  EUR   $ 146,764   

3.38%, 7/05/21

     45,000  EUR      65,297   

 

 
TOTAL FOREIGN GOVERNMENT AGENCIES     
(Cost: $207,833)        212,061   
FOREIGN GOVERNMENT OBLIGATIONS – 64.9%   
Austria – 4.7%     

Republic of Austria

    

3.50%, 7/15/15

     30,000  EUR      41,965   

4.65%, 1/15/18, Series 2

     45,000  EUR      68,505   

3.90%, 7/15/20

     65,000  EUR      98,158   
    

 

 

 
Total Austria              208,628   
Belgium – 10.1%     

Belgium Kingdom

    

3.50%, 6/28/17, Series 63

     50,000  EUR      71,858   

3.75%, 9/28/20, Series 58

     115,000  EUR      168,539   

European Union

    

3.38%, 5/10/19

     140,000  EUR      205,544   
    

 

 

 
Total Belgium              445,941   
Denmark – 4.2%     

Kingdom of Denmark

    

1.75%, 10/05/15

     70,000  EUR      95,049   

2.75%, 3/16/16

     65,000  EUR      90,778   
    

 

 

 
Total Denmark              185,827   
Finland – 3.9%     

Finnish Government Bond

    

3.50%, 4/15/21

     70,000  EUR      103,748   

4.00%, 7/04/25

     45,000  EUR      69,184   
    

 

 

 
Total Finland              172,932   
France – 13.5%     

France Government Bond OAT

    

4.00%, 4/25/18

     65,000  EUR      96,770   

4.25%, 4/25/19

     150,000  EUR      228,101   

3.50%, 4/25/20

     185,000  EUR      271,843   
    

 

 

 
Total France              596,714   
Germany – 9.6%     

Bundesrepublik Deutschland

    

3.25%, 7/04/21

     80,000  EUR      119,618   

4.75%, 7/04/28, Series 98

     176,000  EUR      301,649   
    

 

 

 
Total Germany              421,267   
Luxembourg – 4.4%     

Luxembourg Government Bond

    

3.75%, 12/04/13

     35,000  EUR      46,562   

3.38%, 5/18/20

     100,000  EUR      146,282   
    

 

 

 
Total Luxembourg              192,844   
    
Netherlands – 9.7%     

Netherlands Government Bond

    

4.50%, 7/15/17

     70,000  EUR    $ 104,921   

4.00%, 7/15/18

     60,000  EUR      89,741   

3.50%, 7/15/20

     55,000  EUR      81,248   

5.50%, 1/15/28

     85,000  EUR      150,183   
    

 

 

 
Total Netherlands              426,093   
Sweden – 4.8%     

Kingdom of Sweden

    

0.88%, 9/02/13

     20,000  EUR      26,373   

3.13%, 5/07/14

     70,000  EUR      94,156   

0.63%, 2/20/15

     70,000  EUR      92,853   
    

 

 

 
Total Sweden              213,382   
TOTAL FOREIGN GOVERNMENT OBLIGATIONS     
(Cost: $2,821,629)        2,863,628   
SUPRANATIONAL BONDS – 28.5%     
Finland – 4.7%     

Nordic Investment Bank

    

3.00%, 4/08/14

     155,000  EUR      207,930   
France – 4.7%     

Council of Europe Development Bank

    

3.00%, 7/13/20

     145,000  EUR      206,497   
Germany – 9.7%     

KFW

    

4.13%, 7/04/17

     110,000  EUR      163,070   

5.50%, 1/22/18, Series 213

     45,000  EUR      70,630   

Landwirtschaftliche Rentenbank

    

3.75%, 2/11/16

     135,000  EUR      192,220   
    

 

 

 
Total Germany              425,920   
Luxembourg – 9.4%     

European Investment Bank

    

3.63%, 10/15/13

     80,000  EUR      105,917   

2.88%, 7/15/16

     75,000  EUR      105,291   

International Bank for Reconstruction & Development

    

3.88%, 5/20/19

     137,000  EUR      205,805   
    

 

 

 
Total Luxembourg              417,013   
TOTAL SUPRANATIONAL BONDS     
(Cost: $1,258,922)              1,257,360   
TOTAL INVESTMENTS IN SECURITIES – 98.2% (Cost: $4,288,384)        4,333,049   

Cash, Foreign Currency and Other Assets in Excess of
Liabilities – 1.8%

   

    78,272   
    

 

 

 
NET ASSETS – 100.0%            $ 4,411,321   

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

EUR – Euro

 

See Notes to Financial Statements.

 

38   WisdomTree Currency, Fixed Income and Alternative Funds


Schedule of Investments

WisdomTree Global Corporate Bond Fund (GLCB)

August 31, 2013

 

  

 

 

Investments    Principal
Amount
       Value  
       
U.S. GOVERNMENT OBLIGATIONS – 0.5%        
Treasury Note – 0.5%        

U.S. Treasury Note

       

1.38%, 7/31/18

       
(Cost: $79,638)    $ 80,000         $ 79,244   
CORPORATE BONDS – 47.1%        
United States – 47.1%        

AbbVie, Inc.

       

1.75%, 11/06/17

     120,000           118,413   

American International Group, Inc.

       

5.85%, 1/16/18

     220,000           248,654   

AT&T, Inc.

       

5.50%, 2/01/18

     100,000           113,635   

Bank of America Corp.

       

3.30%, 1/11/23

     500,000           463,129   

Caterpillar, Inc.

       

3.90%, 5/27/21

     360,000           374,012   

CCO Holdings LLC

       

6.63%, 1/31/22

     60,000           61,200   

Citigroup, Inc.

       

4.50%, 1/14/22

     420,000           437,684   

Comcast Corp.

       

3.13%, 7/15/22

     220,000           213,361   

Daimler Chrysler Group LLC

       

8.25%, 6/15/21

     400,000           441,000   

Denbury Resources, Inc.

       

8.25%, 2/15/20

     100,000           110,500   

DPL, Inc.

       

7.25%, 10/15/21

     60,000           61,500   

Energy Future Intermediate Holding
Co. LLC

       

10.00%, 12/01/20

     100,000           105,875   

Foresight Energy LLC

       

7.88%, 8/15/21(a)

     80,000           79,800   

Freeport-McMoRan Copper & Gold, Inc.

       

2.15%, 3/01/17

     380,000           372,433   

General Electric Capital Corp.

       

6.88%, 1/10/39

     280,000           340,637   

Goldman Sachs Group, Inc. (The)

       

5.75%, 1/24/22

     380,000           418,035   

Kraft Foods Group, Inc.

       

5.00%, 6/04/42

     100,000           98,493   

Kratos Defense & Security Solutions, Inc.

       

10.00%, 6/01/17

     160,000           173,600   

Pacific Gas & Electric Co.

       

6.05%, 3/01/34

     240,000           273,412   

PepsiCo, Inc.

       

5.00%, 6/01/18

     120,000           135,024   

Reynolds Group Issuer, Inc.

       

9.00%, 4/15/19

     200,000           207,500   

Ryerson, Inc.

       

9.00%, 10/15/17(a)

     200,000           208,500   

Samson Investment Co.

       

10.25%, 2/15/20(a)(c)

     100,000           105,000   
    

Sprint Nextel Corp.

    

7.00%, 8/15/20

   $ 60,000      $ 62,250   

Taylor Morrison Communities, Inc.

    

7.75%, 4/15/20(a)

     172,000        188,770   

Tenet Healthcare Corp.

    

8.00%, 8/01/20

     100,000        104,125   

Time Warner Cable, Inc.

    

5.85%, 5/01/17

     200,000        217,903   

United Technologies Corp.

    

3.10%, 6/01/22

     360,000        351,506   

Verizon Communications, Inc.

    

5.50%, 2/15/18

     240,000        271,156   

Wells Fargo & Co.

    

2.10%, 5/08/17

     420,000        425,468   

Zayo Group LLC

    

8.13%, 1/01/20

     60,000        65,400   

 

 

TOTAL CORPORATE BONDS

(Cost: $7,074,105)

             6,847,975   
FOREIGN CORPORATE BONDS – 45.1%     
Australia – 2.5%     

BHP Billiton Finance USA Ltd.

    

1.63%, 2/24/17

     220,000        219,206   

FMG Resources August 2006 Pty Ltd.

    

6.00%, 4/01/17(a)

     140,000        143,150   
    

 

 

 
Total Australia              362,356   
Belgium – 2.2%     

Anheuser-Busch InBev Worldwide, Inc.

    

5.38%, 1/15/20

     280,000        320,434   
Brazil – 2.8%     

Petrobras International Finance Co.

    

5.38%, 1/27/21

     200,000        195,850   

Vale Overseas Ltd.

    

4.38%, 1/11/22

     220,000        206,262   
    

 

 

 
Total Brazil              402,112   
Canada – 1.5%     

Royal Bank of Canada

    

1.50%, 1/16/18

     100,000        97,827   

Xstrata Finance Canada Ltd.

    

3.60%, 1/15/17(a)

     120,000        122,042   
    

 

 

 
Total Canada              219,869   
Colombia – 0.9%     

Ecopetrol S.A.

    

7.63%, 7/23/19

     120,000        138,000   
France – 3.2%     

Electricite de France S.A.

    

4.63%, 9/11/24

     100,000  EUR      152,951   

Pernod-Ricard S.A.

    

4.45%, 1/15/22

     300,000        306,841   
    

 

 

 
Total France              459,792   
Germany – 3.0%     

E.ON International Finance B.V.

    

5.50%, 10/02/17

     100,000  EUR      154,097   

 

See Notes to Financial Statements.

 

WisdomTree Currency, Fixed Income and Alternative Funds      39   


Schedule of Investments (concluded)

WisdomTree Global Corporate Bond Fund (GLCB)

August 31, 2013

 

  

 

 

Investments   

Principal

Amount

    Value  
    

Volkswagen Leasing GmbH

    

3.25%, 5/10/18

     200,000  EUR    $ 285,047   
    

 

 

 
Total Germany              439,144   
Hong Kong – 3.0%     

Hutchison Whampoa International 12 II Ltd.

    

2.00%, 11/08/17(a)

   $ 440,000        430,243   
Italy – 4.5%     

Intesa Sanpaolo SpA

    

3.88%, 1/16/18

     460,000        447,741   

Wind Acquisition Finance S.A.

    

11.75%, 7/15/17(a)

     200,000        210,000   
    

 

 

 
Total Italy              657,741   
Luxembourg – 0.4%     

Intelsat Jackson Holdings S.A.

    

7.25%, 10/15/20

     60,000        64,350   
Mexico – 1.5%     

Petroleos Mexicanos

    

5.50%, 1/21/21

     200,000        212,800   
Netherlands – 2.7%     

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA

    

4.75%, 1/15/18

     260,000  EUR      389,359   
Russia – 4.4%     

Gazprom OAO Via Gaz Capital S.A.

    

4.95%, 5/23/16(b)

     400,000        422,500   

TNK-BP Finance S.A.

    

7.25%, 2/02/20

     200,000        223,500   
    

 

 

 
Total Russia              646,000   
Spain – 3.0%     

Nara Cable Funding Ltd.

    

8.88%, 12/01/18(a)

     420,000        437,850   
United Kingdom – 9.5%     

BP Capital Markets PLC

    

1.38%, 11/06/17

     300,000        292,503   

HSBC Bank PLC

    

3.88%, 10/24/18

     320,000  EUR      467,433   

Royal Bank of Scotland Group PLC

    

6.13%, 12/15/22

     420,000        405,730   

Tesco PLC

    

6.13%, 2/24/22

     120,000  GBP      215,885   
    

 

 

 
Total United Kingdom              1,381,551   
TOTAL FOREIGN CORPORATE BONDS (Cost: $6,749,617)              6,561,601   
      Shares         
PREFERRED STOCK – 2.5%     
United States – 2.5%     

GMAC Capital Trust I

    

8.13%, 2/15/40(c)

    
(Cost: $366,987)      13,880        367,959   
       
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED – 3.0%        
United States – 3.0%        

Dreyfus Institutional Preferred Money Market Fund, 0.06%(d)

       
(Cost: $432,680)(e)      432,680         $ 432,680   

TOTAL INVESTMENTS IN SECURITIES – 98.2%

(Cost: $14,703,027)

  

  

       14,289,459   

Cash, Foreign Currency and Other Assets in Excess of Liabilities -1.8%

          265,702   
       

 

 

 
NET ASSETS – 100.0%               $ 14,555,161   

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

EUR – Euro

GBP – British pound

 

(a) 

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

 

(b) 

Security, or portion thereof, was on loan at August 31, 2013.

 

(c) 

Rate shown reflects the current rate on securities with variable or step rates.

 

(d) 

Rate shown represents annualized 7-day yield as of August 31, 2013.

 

(e) 

At August 31, 2013, the total market value of the Fund’s security on loan was $425,335 and the total market value of the collateral held by the Fund was $432,680.

 

See Notes to Financial Statements.

 

40   WisdomTree Currency, Fixed Income and Alternative Funds


Schedule of Investments

WisdomTree Global Real Return Fund (RRF) (consolidated)

August 31, 2013

 

  

 

 

Investments    Principal
Amount
    Value  
U.S. GOVERNMENT OBLIGATIONS – 52.1%   
Treasury Bills – 31.2%     

U.S. Treasury Bills

    

0.05%, 9/12/13*(a)

   $ 419,000      $ 418,997   

0.05%, 9/19/13*

     1,000,000        999,994   
    

 

 

 
Total Treasury Bills              1,418,991   
Treasury Bond – 5.8%     

U.S. Treasury Inflation Indexed Bond

    

2.38%, 1/15/25

     180,000        261,669   
    

 

 

 
Treasury Notes – 15.1%     

U.S. Treasury Inflation Indexed Notes

    

2.13%, 1/15/19

     120,000        146,466   

1.38%, 1/15/20

     230,000        268,390   

1.13%, 1/15/21

     240,000        271,094   
    

 

 

 
Total Treasury Notes              685,950   

TOTAL U.S. GOVERNMENT OBLIGATIONS

(Cost: $2,351,296)

  

  

    2,366,610   
FOREIGN GOVERNMENT OBLIGATIONS – 34.4%   
Australia – 3.7%     

Australian Index Linked Bond

    

4.00%, 8/20/20, Series 20CI

     102,000  AUD      166,197   
Canada – 4.1%     

Canadian Government Real Return Index Linked Bond

    

4.25%, 12/01/26, Series VS05

     77,032  CAD      104,693   

3.00%, 12/01/36

     59,717  CAD      79,327   
    

 

 

 
Total Canada              184,020   
France – 4.5%     

France Government Index Linked Bond

    

1.60%, 7/25/15, Series OATe

     55,000  EUR      90,843   

2.10%, 7/25/23, Series OATi

     70,000  EUR      115,079   
    

 

 

 
Total France              205,922   
Mexico – 5.0%     

Mexican Udibonos

    

4.00%, 6/13/19

     1,288,085  MXN      108,415   

4.50%, 12/04/25

     1,238,543  MXN      117,270   
    

 

 

 
Total Mexico              225,685   
South Africa – 4.2%     

Republic of South Africa Index Linked Bond

    

2.50%, 1/31/17, Series R211

     882,965  ZAR      92,973   

5.50%, 12/07/23, Series R197

     759,526  ZAR      99,886   
    

 

 

 
Total South Africa              192,859   
Sweden – 4.4%     

Swedish Government Index Linked Bond

    

4.00%, 12/01/20, Series 3102

     840,000  SEK      201,024   
Turkey – 3.7%     

Turkey Government Index Linked Bond

    

4.50%, 2/11/15

     136,570  TRY      68,444   

4.00%, 4/01/20

     202,597  TRY      100,789   
    

 

 

 
Total Turkey              169,233   
United Kingdom – 4.8%     

U.K. Treasury Index Linked Gilt

    

1.25%, 11/22/27

     50,000  GBP    $ 118,357   

1.25%, 11/22/32

     45,000  GBP      99,152   
    

 

 

 
Total United Kingdom              217,509   

TOTAL FOREIGN GOVERNMENT OBLIGATIONS

(Cost: $1,701,398)

  

  

    1,562,449   
SUPRANATIONAL BOND – 3.7%     
Brazil – 3.7%     

Morgan Stanley, Inflation Linked
5.40%, 5/15/15(b)

    
(Cost: $220,992)      350,000  BRL      167,084   

TOTAL INVESTMENTS IN SECURITIES – 90.2%

(Cost: $4,273,686)

  

  

    4,096,143   

Cash, Foreign Currency and Other Assets in Excess of Liabilities – 9.8%

       442,862   
    

 

 

 
NET ASSETS – 100.0%            $ 4,539,005   

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

AUD – Australian dollar

BRL – Brazilian real

CAD – Canadian dollar

EUR – Euro

GBP – British pound

MXN – Mexican peso

SEK – Swedish krona

TRY – Turkish new lira

ZAR – South African rand

 

* 

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

(a) 

All or a portion of this security is held by the broker as collateral for open futures contracts.

(b) 

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.

 

See Notes to Financial Statements.

 

WisdomTree Currency, Fixed Income and Alternative Funds      41   


Schedule of Investments

WisdomTree Managed Futures Strategy Fund (WDTI) (consolidated)

August 31, 2013

 

  

 

 

Investments   

Principal

Amount

     Value  
U.S. GOVERNMENT OBLIGATIONS – 85.6%      
Treasury Bills – 85.6%      

U.S. Treasury Bills

     

0.04%, 9/12/13*(a)

   $ 2,250,000       $ 2,249,984   

0.01%, 9/19/13*

     4,700,000         4,699,974   

0.03%, 10/03/13*

     115,000,000         114,996,792   
TOTAL INVESTMENTS IN SECURITIES – 85.6%
(Cost: $121,946,837)
         121,946,750   

Cash and Other Assets in Excess of Liabilities – 14.4%

  

     20,584,508   
     

 

 

 
NET ASSETS – 100.0%             $ 142,531,258   
* 

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.

 

See Notes to Financial Statements.

 

42   WisdomTree Currency, Fixed Income and Alternative Funds


Statements of Assets and Liabilities

WisdomTree Currency, Fixed Income and Alternative Funds

August 31, 2013

 

  

 

 

     

WisdomTree
Brazilian

Real Fund

    

WisdomTree

Chinese

Yuan Fund

     WisdomTree
Commodity
Currency Fund
    

WisdomTree
Emerging

Currency Fund

    

WisdomTree

Indian

Rupee Fund

 

ASSETS:

              

Investments, at cost

   $ 41,339,471       $ 216,112,586       $ 15,450,633       $ 196,016,284       $ 29,371,653   

Foreign currency, at cost

             10,978                           

Investments in securities, at value (including repurchase agreements of $3,940,029, $27,444,092, $50,845, $2,720,155 and $7,274,956, respectively) (Note 2)

     41,339,451         216,088,604         15,450,626         196,016,187         29,371,641   

Cash

     213,494         1,101,016         124,476         1,000,832         143,396   

Deposits at broker for forward foreign currency contracts

     1,150,000         20,000         280,000         4,070,000         2,350,000   

Foreign currency, at value

             11,069                           

Unrealized appreciation on forward foreign currency contracts

     391,052         3,155,454         12,210         409,429         3,093   

Receivables:

              

Interest

     11         20,830                 8         20   

Capital shares sold

                                     3,581,130   

Total Assets

     43,094,008         220,396,973         15,867,312         201,496,456         35,449,280   

LIABILITIES:

              

Unrealized depreciation on forward foreign currency contracts

     2,682,282         56,956         112,535         6,810,237         3,207,667   

Payables:

              

Capital shares purchased

             5,239,351                 1,964,152           

Advisory fees (Note 3)

     14,752         84,936         7,464         93,120         11,328   

Service fees (Note 2)

     144         831         59         745         111   

Total Liabilities

     2,697,178         5,382,074         120,058         8,868,254         3,219,106   

NET ASSETS

   $ 40,396,830       $ 215,014,899       $ 15,747,254       $ 192,628,202       $ 32,230,174   

NET ASSETS:

              

Paid-in capital

   $ 103,775,516       $ 206,305,778       $ 22,505,752       $ 237,688,113       $ 40,063,276   

Accumulated net investment loss

     (139,745              (68,128      (908,669      (61,635

Undistributed net investment income

             1,801,655                           

Accumulated net realized gain (loss) on investments, forward foreign currency contracts and foreign currency related transactions

     (60,947,690      3,832,864         (6,590,038      (37,750,337      (4,566,881

Net unrealized appreciation (depreciation) on investments, forward foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

     (2,291,251      3,074,602         (100,332      (6,400,905      (3,204,586

NET ASSETS

   $ 40,396,830       $ 215,014,899       $ 15,747,254       $ 192,628,202       $ 32,230,174   

Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)

     2,400,000         8,200,000         800,000         9,800,000         1,800,000   

Net asset value per share

   $ 16.83       $ 26.22       $ 19.68       $ 19.66       $ 17.91   

 

See Notes to Financial Statements.

 

WisdomTree Currency, Fixed Income and Alternative Funds      43   


Statements of Assets and Liabilities (continued)

WisdomTree Currency, Fixed Income and Alternative Funds

August 31, 2013

 

  

 

 

    

WisdomTree

Asia Local

Debt Fund

   

WisdomTree
Australia &

New Zealand
Debt Fund

    WisdomTree
Emerging
Markets
Corporate
Bond Fund
   

WisdomTree

Emerging
Markets Local
Debt Fund

   

WisdomTree

Euro

Debt Fund

 

ASSETS:

         

Investments, at cost

  $ 521,121,457      $ 46,312,577      $ 153,652,576      $ 1,644,395,522      $ 4,288,384   

Foreign currency, at cost

    796,969        721,550               3,450,489        92,375   

Investments in securities, at value (including repurchase agreements of $48,582,079, $0, $0, $30,000,067 and $0, respectively and securities on loan) (Note 2)1

    468,251,826        39,897,774        145,064,117        1,414,161,631        4,333,049   

Cash

    17,297,693        4,418        4,507,826        24,885,378        3,813   

Deposits at broker for forward foreign currency contracts

                         1,510,000          

Foreign currency, at value

    797,132        710,678               3,346,725        93,816   

Unrealized appreciation on forward foreign currency contracts

    46,581                      2,247,210          

Receivables:

         

Interest

    5,471,890        614,471        1,846,602        25,959,021        49,298   

Investment securities sold

    2,435,042                      4,113,490          

Foreign tax reclaims

    20,763                      10,724          

Total Assets

    494,320,927        41,227,341        151,418,545        1,476,234,179        4,479,976   

LIABILITIES:

         

Unrealized depreciation on forward foreign currency contracts

    995,221        7               3,662,762          

Payables:

         

Forward foreign currency contract

                         139,455          

Investment of cash collateral for securities loan (Note 2)

                  30,772,606        20,338,525          

Investment securities purchased

           379,770        3,838,535               67,308   

Capital shares purchased

                         9,157,305          

Advisory fees (Note 3)

    234,821        16,506        61,370        721,244        1,330   

Service fees (Note 2)

    1,878        161        450        5,770        17   

Total Liabilities

    1,231,920        396,444        34,672,961        34,025,061        68,655   

NET ASSETS

  $ 493,089,007      $ 40,830,897      $ 116,745,584      $ 1,442,209,118      $ 4,411,321   

NET ASSETS:

         

Paid-in capital

  $ 547,053,069      $ 50,704,194      $ 124,178,393      $ 1,674,177,815      $ 4,328,562   

Undistributed (Distributions in excess of) net investment income

    417,677        (13,008     79,608        (313,476     3,700   

Accumulated net realized gain (loss) on investments, forward foreign currency contracts and foreign currency related transactions

    (260,619     (3,401,629     1,076,042        1,426,982        32,601   

Net unrealized appreciation (depreciation) on investments, forward foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

    (54,121,120     (6,458,660     (8,588,459     (233,082,203     46,458   

NET ASSETS

  $ 493,089,007      $ 40,830,897      $ 116,745,584      $ 1,442,209,118      $ 4,411,321   

Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)

    10,400,000        2,100,000        1,600,000        31,400,000        200,000   

Net asset value per share

  $ 47.41      $ 19.44      $ 72.97      $ 45.93      $ 22.06   
1 

Market value of securities out on loan were as follows: $0, $0, $30,847,939, $18,833,532 and $0, respectively.

 

See Notes to Financial Statements.

 

44   WisdomTree Currency, Fixed Income and Alternative Funds


Statements of Assets and Liabilities (concluded)

WisdomTree Currency, Fixed Income and Alternative Funds

August 31, 2013

 

  

 

 

      WisdomTree
Global
Corporate
Bond Fund
     WisdomTree
Global Real
Return Fund1
     WisdomTree
Managed
Futures
Strategy Fund1
 

ASSETS:

        

Investments, at cost

   $ 14,703,027       $ 4,273,686       $ 121,946,837   

Foreign currency, at cost

     9,827         1,718         —     

Investments in securities, at value (including securities on loan) (Note 2)2

     14,289,459         4,096,143         121,946,750   

Cash

     515,267         312,625         16,757,059   

Deposits at broker for swap contracts

             110,000         3,930,000   

Deposits at broker for forward foreign currency contracts

                     700,000   

Foreign currency, at value

     9,972         1,675         —     

Unrealized appreciation on forward foreign currency contracts

     11,218                 29,253   

Receivables:

        

Interest

     169,081         16,123           

Swap contracts

             15,736           

Variation margin on futures contracts

                     141,862   

Total Assets

     14,994,997         4,552,302         143,504,924   

LIABILITIES:

        

Unrealized depreciation on swap contracts

             9,264         156,261   

Unrealized depreciation on forward foreign currency contracts

     1,518                 554,560   

Payables:

        

Investment of cash collateral for securities loan (Note 2)

     432,680                   

Advisory fees (Note 3)

     5,583         2,336         113,843   

Service fees (Note 2)

     55         17         527   

Variation margin on futures contracts

             1,680         148,475   

Total Liabilities

     439,836         13,297         973,666   

NET ASSETS

   $ 14,555,161       $ 4,539,005       $ 142,531,258   

NET ASSETS:

        

Paid-in capital

   $ 14,930,303       $ 4,681,932       $ 155,168,044   

Accumulated net investment loss

                     (644,907

Undistributed net investment income

     4,545         23,849           

Accumulated net realized gain (loss) on investments, swap contracts, futures contracts, forward foreign currency contracts and foreign currency related transactions

     24,274         13,896         (11,691,877

Net unrealized depreciation on investments, swap contracts, futures contracts, forward foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

     (403,961      (180,672      (300,002

NET ASSETS

   $ 14,555,161       $ 4,539,005       $ 142,531,258   

Outstanding beneficial interest shares of $0.001 par value (unlimited number of shares authorized)

     200,000         100,000         3,400,000   

Net asset value per share

   $ 72.78       $ 45.39       $ 41.92   
1

Consolidated.

 

2 

Market value of securities out on loan were as follows: $425,335, $0, and $0, respectively.

 

See Notes to Financial Statements.

 

WisdomTree Currency, Fixed Income and Alternative Funds      45   


Statements of Operations

WisdomTree Currency, Fixed Income and Alternative Funds

For the Year Ended August 31, 2013

 

  

 

 

      WisdomTree
Brazilian
Real Fund
     WisdomTree
Chinese
Yuan Fund
     WisdomTree
Commodity
Currency Fund
     WisdomTree
Emerging
Currency Fund
     WisdomTree
Indian
Rupee Fund
 

INVESTMENT INCOME:

              

Interest

   $ 35,780       $ 1,091,429       $ 15,359       $ 214,015       $ 14,144   

Total investment income

     35,780         1,091,429         15,359         214,015         14,144   

EXPENSES:

              

Advisory fees (Note 3)

     244,748         1,045,069         120,081         1,529,057         93,180   

Service fees (Note 2)

     2,393         10,218         961         12,232         911   

Total expenses

     247,141         1,055,287         121,042         1,541,289         94,091   

Net investment income (loss)

     (211,361      36,142         (105,683      (1,327,274      (79,947

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

              

Net realized gain (loss) from:

              

Investment transactions

     20         1,900,537         11         204         (135

Forward foreign currency contracts and foreign currency related transactions

     (854,052      4,691,447         (988,815      380,176         (710,266

Net realized gain (loss)

     (854,032      6,591,984         (988,804      380,380         (710,401

Net change in unrealized appreciation (depreciation) from:

              

Investment transactions

     (1,894      (146,876      53         (4,510      (29

Forward foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

     (3,435,331      4,401,250         56,302         (6,685,408      (3,254,332

Net change in unrealized appreciation (depreciation)

     (3,437,225      4,254,374         56,355         (6,689,918      (3,254,361

Net realized and unrealized gain (loss) on investments

     (4,291,257      10,846,358         (932,449      (6,309,538      (3,964,762

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ (4,502,618    $ 10,882,500       $ (1,038,132    $ (7,636,812    $ (4,044,709

 

See Notes to Financial Statements.

 

46   WisdomTree Currency, Fixed Income and Alternative Funds


Statements of Operations (continued)

WisdomTree Currency, Fixed Income and Alternative Funds

For the Year Ended August 31, 2013

 

  

 

 

      WisdomTree
Asia Local
Debt Fund
     WisdomTree
Australia &
New Zealand
Debt Fund
     WisdomTree
Emerging
Markets
Corporate
Bond Fund
     WisdomTree
Emerging
Markets Local
Debt Fund
     WisdomTree
Euro
Debt Fund
 

INVESTMENT INCOME:

              

Interest1

   $ 14,166,770       $ 2,146,474       $ 5,282,295       $ 80,322,131       $ 83,791   

Securities lending income (Note 2)

     1,560                 43,358         73,270           

Total investment income

     14,168,330         2,146,474         5,325,653         80,395,401         83,791   

EXPENSES:

              

Advisory fees (Note 3)

     2,695,955         257,805         662,216         9,084,773         15,716   

Service fees (Note 2)

     21,568         2,521         4,856         72,678         198   

Total expenses

     2,717,523         260,326         667,072         9,157,451         15,914   

Net investment income

     11,450,807         1,886,148         4,658,581         71,237,950         67,877   

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

              

Net realized gain (loss) from:

              

Investment transactions2

     3,249,168         (337,830      1,153,208         3,786,080         (27,166

In-kind redemptions

     (2,440,819      (1,540,765      (157,116      (37,219,486        

Forward foreign currency contracts and foreign currency related transactions

     (112,702      (108,078              (3,265,993      4,322   

Net realized gain (loss)

     695,647         (1,986,673      996,092         (36,699,399      (22,844

Net change in unrealized appreciation (depreciation) from:

              

Investment transactions

     (42,061,954      (7,574,637      (10,701,358      (183,589,011      134,897   

Forward foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

     (1,703,830      (47,558              (3,426,675      5   

Net change in unrealized appreciation (depreciation)

     (43,765,784      (7,622,195      (10,701,358      (187,015,686      134,902   

Net realized and unrealized gain (loss) on investments

     (43,070,137      (9,608,868      (9,705,266      (223,715,085      112,058   

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ (31,619,330    $ (7,722,720    $ (5,046,685    $ (152,477,135    $ 179,935   
1 

Net of foreign withholding tax of $536,131, $7,884, $0, $1,868,099 and $0, respectively.

 

2 

Net foreign capital gains tax withheld of $4,725, $0, $0, $43,001 and $0, respectively.

 

See Notes to Financial Statements.

 

WisdomTree Currency, Fixed Income and Alternative Funds      47   


Statements of Operations (concluded)

WisdomTree Currency, Fixed Income and Alternative Funds

For the Year or Period Ended August 31, 2013

 

  

 

 

     

WisdomTree
Global
Corporate

Bond Fund1

    

WisdomTree

Global Real
Return Fund2

    

WisdomTree
Managed
Futures

Strategy Fund2

 

INVESTMENT INCOME:

        

Dividends

   $ 14,097       $       $   

Interest

     197,774         102,232         69,250   

Securities lending income (Note 2)

     560                   

Total investment income

     212,431         102,232         69,250   

EXPENSES:

        

Advisory fees (Note 3)

     29,188         28,714         1,221,703   

Service fees (Note 2)

     257         211         5,659   

Total expenses

     29,445         28,925         1,227,362   

Expense waivers (Note 3)

     (2,919                

Net expenses

     26,526         28,925         1,227,362   

Net investment income (loss)

     185,905         73,307         (1,158,112

NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:

        

Net realized gain (loss) from:

        

Investment transactions

     3,321         12,202         139   

Swap contracts

             14,862         773,575   

Futures contracts

             (29,085      (1,364,729

Forward foreign currency contracts and foreign currency related transactions

     25,595         (468      3,114,839   

Net realized gain (loss)

     28,916         (2,489      2,523,824   

Net change in unrealized appreciation (depreciation) from:

        

Investment transactions

     (413,568      (303,654      109   

Swap contracts

             (17,609      (242,334

Futures contracts

             (839      (551,878

Forward foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

     9,607         (1,193      (400,287

Net change in unrealized depreciation

     (403,961      (323,295      (1,194,390

Net realized and unrealized gain (loss) on investments

     (375,045      (325,784      1,329,434   

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

   $ (189,140    $ (252,477    $ 171,322   
1 

The Fund commenced operations on January 31, 2013.

 

2 

Consolidated.

 

See Notes to Financial Statements.

 

48   WisdomTree Currency, Fixed Income and Alternative Funds


Statements of Changes in Net Assets

WisdomTree Currency, Fixed Income and Alternative Funds

 

 

  

 

 

    

WisdomTree

Brazilian Real Fund

   

WisdomTree

Chinese Yuan Fund

   

WisdomTree

Commodity Currency Fund

 
     For the
Year Ended
August 31, 2013
    For the
Year Ended
August 31, 2012
    For the
Year Ended
August 31, 2013
    For the
Year Ended
August 31, 2012
    For the
Year Ended
August 31, 2013
    For the
Year Ended
August 31, 2012
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

   

         

Net investment income (loss)

  $ (211,361   $ (450,950   $ 36,142      $ (920,872   $ (105,683   $ (195,386

Net realized gain (loss) on investments, forward foreign currency contracts and foreign currency related transactions

    (854,032     (65,202,439     6,591,984        7,128,056        (988,804     (4,293,548

Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

    (3,437,225     6,206,104        4,254,374        (7,300,448     56,355        (1,601,460

Net increase (decrease) in net assets resulting from operations

    (4,502,618     (59,447,285     10,882,500        (1,093,264     (1,038,132     (6,090,394

DISTRIBUTIONS:

           

Capital gains

           (25,195,148     (1,872,010     (10,040,030            (9,617,534

CAPITAL SHARE TRANSACTIONS:

           

Net proceeds from sale of shares

    3,332,185        4,311,095        26,086,170        35,880,965               2,764,841   

Cost of shares redeemed

    (22,374,520     (336,980,034     (87,464,328     (325,247,645     (8,331,087     (42,500,144

Net decrease in net assets resulting from capital share transactions

    (19,042,335     (332,668,939     (61,378,158     (289,366,680     (8,331,087     (39,735,303

Net Decrease in Net Assets

    (23,544,953     (417,311,372     (52,367,668     (300,499,974     (9,369,219     (55,443,231

NET ASSETS:

           

Beginning of year

  $ 63,941,783      $ 481,253,155      $ 267,382,567      $ 567,882,541      $ 25,116,473      $ 80,559,704   

End of year

  $ 40,396,830      $ 63,941,783      $ 215,014,899      $ 267,382,567      $ 15,747,254      $ 25,116,473   

Accumulated net investment loss included in net assets at end of year

  $ (139,745   $ (194,379   $      $      $ (68,128   $ (102,383

Undistributed net investment income included in net assets at end of year

  $      $      $ 1,801,655      $      $      $   

SHARES CREATED AND REDEEMED:

           

Shares outstanding, beginning of year

    3,400,000        16,600,000        10,600,000        22,000,000        1,200,000        2,900,004   

Shares created

    200,000        200,000        1,000,000        1,400,000               100,000   

Shares redeemed

    (1,200,000     (13,400,000     (3,400,000     (12,800,000     (400,000     (1,800,004

Shares outstanding, end of year

    2,400,000        3,400,000        8,200,000        10,600,000        800,000        1,200,000   

 

See Notes to Financial Statements.

 

WisdomTree Currency, Fixed Income and Alternative Funds      49   


Statements of Changes in Net Assets (continued)

WisdomTree Currency, Fixed Income and Alternative Funds

 

 

  

 

 

    

WisdomTree

Emerging Currency Fund

   

WisdomTree

Indian Rupee Fund

   

WisdomTree

Asia Local Debt Fund

 
     For the
Year Ended
August 31, 2013
    For the
Year Ended
August 31, 2012
    For the
Year Ended
August 31, 2013
    For the
Year Ended
August 31, 2012
    For the
Year Ended
August 31, 2013
    For the
Year Ended
August 31, 2012
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

   

         

Net investment income (loss)

  $ (1,327,274   $ (1,644,529   $ (79,947   $ (68,208   $ 11,450,807      $ 10,815,908   

Net realized gain (loss) on investments, forward foreign currency contracts and foreign currency related transactions

    380,380        (47,039,558     (710,401     (3,856,466     695,647        (6,431,727

Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

    (6,689,918     13,138,967        (3,254,361     962,627        (43,765,784     (29,030,849

Net decrease in net assets resulting from operations

    (7,636,812     (35,545,120     (4,044,709     (2,962,047     (31,619,330     (24,646,668

DIVIDENDS AND DISTRIBUTIONS:

  

         

Net investment income

                                (12,592,858     (5,252,991

Capital gains

           (18,712,971            (2,624,184     (2,461,230       

Total dividends and distributions

           (18,712,971            (2,624,184     (15,054,088     (5,252,991

CAPITAL SHARE TRANSACTIONS:

  

         

Net proceeds from sale of shares

    65,386,888        44,287,261        22,409,574        6,835,909        152,469,967        63,870,347   

Cost of shares redeemed

    (139,643,101     (300,918,511     (4,407,770     (7,080,979     (35,578,600     (271,185,914

Net increase (decrease) in net assets resulting from capital share transactions

    (74,256,213     (256,631,250     18,001,804        (245,070     116,891,367        (207,315,567

Net Increase (Decrease) in Net Assets

    (81,893,025     (310,889,341     13,957,095        (5,831,301     70,217,949        (237,215,226

NET ASSETS:

           

Beginning of year

  $ 274,521,227      $ 585,410,568      $ 18,273,079      $ 24,104,380      $ 422,871,058      $ 660,086,284   

End of year

  $ 192,628,202      $ 274,521,227      $ 32,230,174      $ 18,273,079      $ 493,089,007      $ 422,871,058   

Accumulated net investment loss included in net assets at end of year

  $ (908,669   $ (550,111   $ (61,635   $ (41,995   $      $   

Undistributed net investment income included in net assets at end of year

  $      $      $      $      $ 417,677      $ 626,963   

SHARES CREATED AND REDEEMED:

  

         

Shares outstanding, beginning of year

    13,500,000        25,600,000        900,000        900,000        8,200,000        12,400,002   

Shares created

    3,100,000        2,100,000        1,100,000        300,000        2,900,000        1,200,000   

Shares redeemed

    (6,800,000     (14,200,000     (200,000     (300,000     (700,000     (5,400,002

Shares outstanding, end of year

    9,800,000        13,500,000        1,800,000        900,000        10,400,000        8,200,000   

 

See Notes to Financial Statements.

 

50   WisdomTree Currency, Fixed Income and Alternative Funds


Statements of Changes in Net Assets (continued)

WisdomTree Currency, Fixed Income and Alternative Funds

 

 

  

 

 

     

WisdomTree

Australia & New Zealand Debt Fund

    

WisdomTree

Emerging Markets Corporate Bond Fund

    

WisdomTree

Emerging Markets Local Debt Fund

 
      For the
Year Ended
August 31, 2013
     For the
Year Ended
August 31, 20121
     For the
Year Ended
August 31, 2013
     For the Period
March 8, 2012*
through
August 31, 2012
     For the
Year Ended
August 31, 2013
     For the
Year Ended
August 31, 2012
 

INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:

   

              

Net investment income

   $ 1,886,148       $ 1,025,474       $ 4,658,581       $ 1,286,423       $ 71,237,950       $ 56,316,074   

Net realized gain (loss) on investments, forward foreign currency contracts and foreign currency related transactions

     (1,986,673      (2,060,374      996,092                 (36,699,399      (20,572,567

Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts and translation of assets and liabilities denominated in foreign currencies

     (7,622,195      (411,047      (10,701,358      2,112,899         (187,015,686      (83,736,883

Net increase (decrease) in net assets resulting from operations

     (7,722,720      (1,445,947      (5,046,685      3,399,322         (152,477,135      (47,993,376

DIVIDENDS AND DISTRIBUTIONS:

  

              

Net investment income

     (1,246,070      (1,008,547      (4,619,285      (1,255,521      (63,721,656      (41,647,949

Capital gains

             (3,657,564                      (4,207,599      (1,076,270

Return of capital

     (331,926                                        

Total dividends and distributions

     (1,577,996      (4,666,111      (4,619,285      (1,255,521      (67,929,255      (42,724,219

CAPITAL SHARE TRANSACTIONS:

  

              

Net proceeds from sale of shares

     36,428,309         20,079,540         71,767,998         59,959,360         979,158,008         230,110,323   

Cost of shares redeemed

     (31,376,097      (21,502,070      (7,459,755              (513,626,313      (358,014,383

Net increase (decrease) in net assets resulting from capital share transactions

     5,052,212         (1,422,530      64,308,243         59,959,360         465,531,695         (127,904,060

Net Increase (Decrease) in Net Assets

     (4,248,504      (7,534,588      54,642,273         62,103,161         245,125,305         (218,621,655

NET ASSETS:

                 

Beginning of period

   $ 45,079,401       $ 52,613,989       $ 62,103,311       $ 150       $ 1,197,083,813       $ 1,415,705,468   

End of period

   $ 40,830,897       $ 45,079,401       $ 116,745,584       $ 62,103,311       $ 1,442,209,118       $ 1,197,083,813   

Undistributed (Distributions in excess of) net investment income included in net assets at end of period

   $ (13,008    $ 18,823       $ 79,608       $ 30,902       $ (313,476    $ 1,227,624   

SHARES CREATED AND REDEEMED:

                 

Shares outstanding, beginning of period

     2,000,000         2,000,000         800,002         2         23,400,000         26,300,002   

Shares created

     1,600,000         900,000         900,000         800,000         18,600,000         4,400,000   

Shares redeemed

     (1,500,000      (900,000      (100,002              (10,600,000      (7,300,002

Shares outstanding, end of period

     2,100,000         2,000,000         1,600,000         800,002         31,400,000         23,400,000   
* Commencement of operations.

 

1 

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

 

See Notes to Financial Statements.

 

WisdomTree Currency, Fixed Income and Alternative Funds      51   


Statements of Changes in Net Assets (concluded)

WisdomTree Currency, Fixed Income and Alternative Funds

 

 

  

 

 

    

WisdomTree

Euro Debt Fund

    WisdomTree
Global Corporate Bond Fund
   

WisdomTree

Global Real Return Fund1

   

WisdomTree

Managed Futures Strategy Fund1

 
     For the Year
Ended
August 31, 2013
    For the Year
Ended
August 31, 20122
    For the Period
January 31, 2013* through

August 31, 2013
    For the
Year Ended
August 31, 2013
    For the
Year Ended
August 31, 2012
    For the
Year Ended
August 31, 2013
    For the
Year Ended
August 31, 2012
 
INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS:                

Net investment income (loss)

  $ 67,877      $ 76,508      $ 185,905      $ 73,307      $ 79,289      $ (1,158,112   $ (2,047,491

Net realized gain (loss) on investments, forward foreign currency contracts, swap contracts, futures contracts and foreign currency related transactions

    (22,844     (284,034     28,916        (2,489     (257,260     2,523,824        (35,644,324

Net change in unrealized appreciation (depreciation) on investments, forward foreign currency contracts, swap contracts, futures contracts and translation of assets and liabilities denominated in foreign currencies

    134,902        (86,338     (403,961     (323,295     47,134        (1,194,390     (3,147,533

Net increase (decrease) in net assets resulting from operations

    179,935        (293,864     (189,140     (252,477     (130,837     171,322        (40,839,348
DIVIDENDS AND DISTRIBUTIONS:               

Net investment income

    (62,340     (98,414     (186,002     (76,709     (62,328              

Capital gains

    (39,094                          (4,620            (4,681,860

Total dividends and distributions

    (101,434     (98,414     (186,002     (76,709     (66,948            (4,681,860
CAPITAL SHARE TRANSACTIONS:               

Net proceeds from sale of shares

           2,156,571        14,930,298                      37,358,600        97,249,988   

Cost of shares redeemed

    (2,153,464     (524,146     (145            (96     (44,287,158     (131,992,847

Net increase (decrease) in net assets resulting from capital share transactions

    (2,153,464     1,632,425        14,930,153               (96     (6,928,558     (34,742,859

Net Increase (Decrease) in Net Assets

    (2,074,963     1,240,147        14,555,011        (329,186     (197,881     (6,757,236     (80,264,067
NET ASSETS:              

Beginning of period

  $ 6,486,284      $ 5,246,137      $ 150      $ 4,868,191      $ 5,066,072      $ 149,288,494      $ 229,552,561   

End of period

  $ 4,411,321      $ 6,486,284      $ 14,555,161      $ 4,539,005      $ 4,868,191      $ 142,531,258      $ 149,288,494   

Accumulated net investment loss included in net assets at end of period

  $      $      $      $      $      $ (644,907   $ (1,043,020

Undistributed net investment income included in net assets at end of period

  $ 3,700      $      $ 4,545      $ 23,849      $ 23,012      $      $   
SHARES CREATED AND REDEEMED:               

Shares outstanding, beginning of period

    300,000        225,000        2        100,000        100,002        3,600,000        4,600,002   

Shares created

           100,000        200,000                      900,000        2,100,000   

Shares redeemed

    (100,000     (25,000     (2            (2     (1,100,000     (3,100,002

Shares outstanding, end of period

    200,000        300,000        200,000        100,000        100,000        3,400,000        3,600,000   
* Commencement of operations.

 

1 

Consolidated.

 

2

This information reflects the investment objective and strategy of the WisdomTree Dreyfus Euro Fund through October 18, 2011 and the investment objective of the WisdomTree Euro Debt Fund thereafter.

 

See Notes to Financial Statements.

 

52   WisdomTree Currency, Fixed Income and Alternative Funds


Financial Highlights

WisdomTree Currency, Fixed Income and Alternative Funds

Selected data for a share of beneficial interest outstanding throughout the year is presented below:

 

  

 

 

WisdomTree Brazilian Real Fund    For the
Year Ended
August 31, 2013
     For the
Year Ended
August 31, 2012
     For the
Year Ended
August 31, 2011
     For the
Year Ended
August 31, 2010
     For the
Year Ended
August 31, 2009
 

Net asset value, beginning of year

   $ 18.81       $ 28.99       $ 27.65       $ 24.47       $ 26.47   

Investment operations:

              

Net investment income (loss)1

     (0.07      (0.09      (0.10      (0.07      0.04   

Net realized and unrealized gain (loss)

     (1.91      (4.36      4.68         3.53         (1.34

Total from investment operations

     (1.98      (4.45      4.58         3.46         (1.30

Dividends and distributions to shareholders:

              

Net investment income

                             (0.02      (0.17

Capital gains

             (5.73      (3.24      (0.26      (0.53

Total dividends and distributions to shareholders

             (5.73      (3.24      (0.28      (0.70

Net asset value, end of year

   $ 16.83       $ 18.81       $ 28.99       $ 27.65       $ 24.47   

TOTAL RETURN2

     (10.53 )%       (16.14 )%       17.98      14.24      (3.92 )% 

RATIOS/SUPPLEMENTAL DATA:

              

Net assets, end of year (000’s omitted)

   $ 40,397       $ 63,942       $ 481,253       $ 221,177       $ 112,573   

Ratios to average net assets of:

              

Expenses

     0.45      0.45      0.45      0.45      0.45

Net investment income (loss)

     (0.39 )%       (0.38 )%       (0.36 )%       (0.28 )%       0.19

Portfolio turnover rate3

     N/A 4       N/A 4       0      0      0

 

           
WisdomTree Chinese Yuan Fund    For the
Year Ended
August 31, 2013
     For the
Year Ended
August 31, 2012
     For the
Year Ended
August 31, 2011
     For the
Year Ended
August 31, 2010
     For the
Year Ended
August 31, 2009
 

Net asset value, beginning of year

   $ 25.22       $ 25.81       $ 24.84       $ 25.31       $ 25.39   

Investment operations:

              

Net investment income (loss)1

     0.00 5       (0.06      (0.09      (0.07      0.08   

Net realized and unrealized gain (loss)

     1.20         0.02         1.21         (0.40      0.32   

Total from investment operations

     1.20         (0.04      1.12         (0.47      0.40   

Dividends and distributions to shareholders:

              

Net investment income

                                     (0.48

Capital gains

     (0.20      (0.55      (0.15                

Total dividends and distributions to shareholders

     (0.20      (0.55      (0.15              (0.48

Net asset value, end of year

   $ 26.22       $ 25.22       $ 25.81       $ 24.84       $ 25.31   

TOTAL RETURN2

     4.78      (0.15 )%       4.50      (1.86 )%       1.58

RATIOS/SUPPLEMENTAL DATA:

              

Net assets, end of year (000’s omitted)

   $ 215,015       $ 267,383       $ 567,883       $ 586,278       $ 136,660   

Ratios to average net assets of:

              

Expenses

     0.45      0.45      0.45      0.45      0.45

Net investment income (loss)

     0.02      (0.22 )%       (0.34 )%       (0.28 )%       (0.36 )% 

Portfolio turnover rate3

     N/A 4       N/A 4       0      8      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.

 

3 

Portfolio turnover rate is not annualized.

 

4 

The Fund invested in short-term securities with maturities less than or equal to 365 days. SEC rules exclude such securities from portfolio turnover calculations.

 

5 

Amount represents less than $0.005.

 

See Notes to Financial Statements.

 

WisdomTree Currency, Fixed Income and Alternative Funds      53   


Financial Highlights (continued)

WisdomTree Currency, Fixed Income and Alternative Funds

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

 

WisdomTree Commodity Currency Fund    For the
Year Ended
August 31, 2013
     For the
Year Ended
August 31, 2012
     For the Period
September 24, 2010*
through
August 31, 2011
 

Net asset value, beginning of period

   $ 20.93       $ 27.78       $ 25.10   

Investment operations:

        

Net investment loss1

     (0.10      (0.11      (0.13

Net realized and unrealized gain (loss)

     (1.15      (1.68      2.90   

Total from investment operations

     (1.25      (1.79      2.77   

Distributions to shareholders:

        

Capital gains

             (5.06      (0.09

Net asset value, end of period

   $ 19.68       $ 20.93       $ 27.78   

TOTAL RETURN2

     (5.97 )%       (5.75 )%       11.06

RATIOS/SUPPLEMENTAL DATA:

        

Net assets, end of period (000’s omitted)

   $ 15,747       $ 25,116       $ 80,560   

Ratios to average net assets of:

        

Expenses

     0.55      0.55      0.55 %3 

Net investment loss

     (0.48 )%       (0.48 )%       (0.46 )%3 

Portfolio turnover rate4

     N/A 5       N/A 5       N/A 5 

 

           
WisdomTree Emerging Currency
Fund
   For the
Year Ended
August 31, 2013
     For the
Year Ended
August 31, 2012
     For the
Year Ended
August 31, 2011
     For the
Year Ended
August 31, 2010
     For the Period
May 6, 2009*
through
August 31, 2009
 

Net asset value, beginning of period

   $ 20.33       $ 22.87       $ 21.89       $ 21.22       $ 19.98   

Investment operations:

              

Net investment loss1

     (0.10      (0.10      (0.10      (0.09      (0.02

Net realized and unrealized gain (loss)

     (0.57      (1.38      1.92         0.94         1.26   

Total from investment operations

     (0.67      (1.48      1.82         0.85         1.24   

Distributions to shareholders:

              

Capital gains

             (1.06      (0.84      (0.18        

Net asset value, end of period

   $ 19.66       $ 20.33       $ 22.87       $ 21.89       $ 21.22   

TOTAL RETURN2

     (3.30 )%       (6.36 )%       8.44      4.01      6.21

RATIOS/SUPPLEMENTAL DATA:

              

Net assets, end of period (000’s omitted)

   $ 192,628       $ 274,521       $ 585,411       $ 337,106       $ 38,200   

Ratios to average net assets of:

              

Expenses

     0.55      0.55      0.55      0.55      0.55 %3 

Net investment loss

     (0.48 )%       (0.47 )%       (0.46 )%       (0.39 )%       (0.33 )%3 

Portfolio turnover rate4

     N/A 5       N/A 5       0      0      0
* Commencement of investment operations.

 

1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized.

 

3 

Annualized.

 

4 

Portfolio turnover rate is not annualized.

 

5 

The Fund invested in short-term securities with maturities less than or equal to 365 days. SEC rules exclude such securities from portfolio turnover calculations.

 

See Notes to Financial Statements.

 

54   WisdomTree Currency, Fixed Income and Alternative Funds


Financial Highlights (continued)

WisdomTree Currency, Fixed Income and Alternative Funds

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

 

WisdomTree Indian Rupee Fund    For the
Year Ended
August 31, 2013
     For the
Year Ended
August 31, 2012
     For the
Year Ended
August 31, 2011
     For the
Year Ended
August 31, 2010
     For the
Year Ended
August 31, 2009
 

Net asset value, beginning of year

   $ 20.30       $ 26.78       $ 25.10       $ 23.79       $ 24.47   

Investment operations:

              

Net investment income (loss)1

     (0.08      (0.08      (0.09      (0.08      0.02   

Net realized and unrealized gain (loss)

     (2.31      (3.12      2.06         1.39         (0.51

Total from investment operations

     (2.39      (3.20      1.97         1.31         (0.49

Dividends and distributions to shareholders:

              

Net investment income

                                     (0.19

Capital gains

             (3.28      (0.29                

Total dividends and distributions to shareholders

             (3.28      (0.29              (0.19

Net asset value, end of year

   $ 17.91       $ 20.30       $ 26.78       $ 25.10       $ 23.79   

TOTAL RETURN2

     (11.77 )%       (11.93 )%       7.86      5.51      (1.97 )% 

RATIOS/SUPPLEMENTAL DATA:

              

Net assets, end of year (000’s omitted)

   $ 32,230       $ 18,273       $ 24,104       $ 22,586       $ 11,893   

Ratios to average net assets of:

              

Expenses

     0.45      0.45      0.45      0.45      0.45

Net investment income (loss)

     (0.39 )%       (0.37 )%       (0.34 )%       (0.29 )%       0.09

Portfolio turnover rate3

     N/A 4       N/A 4       0      0      0

 

       
WisdomTree Asia Local Debt Fund    For the
Year Ended
August 31, 2013
     For the
Year Ended
August 31, 2012
     For the Period
March 17, 2011*
through
August 31, 2011
 

Net asset value, beginning of period

   $ 51.57       $ 53.23       $ 49.85   

Investment operations:

        

Net investment income1

     1.20         1.29         0.60   

Net realized and unrealized gain (loss)

     (3.74      (2.37      3.21   

Total from investment operations

     (2.54      (1.08      3.81   

Dividends and distributions to shareholders:

        

Net investment income

     (1.34      (0.58      (0.43

Capital gains

     (0.28                

Total dividends and distributions to shareholders

     (1.62      (0.58      (0.43

Net asset value, end of period

   $ 47.41       $ 51.57       $ 53.23   

TOTAL RETURN2

     (5.14 )%       (2.00 )%       7.66

RATIOS/SUPPLEMENTAL DATA:

        

Net assets, end of period (000’s omitted)

   $ 493,089       $ 422,871       $ 660,086   

Ratios to average net assets of:

        

Expenses

     0.55      0.55      0.55 %5 

Net investment income

     2.34      2.51      2.52 %5 

Portfolio turnover rate3

     52      62      0
* Commencement of investment operations.

 

1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized.

 

3

Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.

 

4

The Fund invested in short-term securities with maturities less than or equal to 365 days. SEC rules exclude such securities from portfolio turnover calculations.

 

5 

Annualized.

 

See Notes to Financial Statements.

 

WisdomTree Currency, Fixed Income and Alternative Funds      55   


Financial Highlights (continued)

WisdomTree Currency, Fixed Income and Alternative Funds

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

 

WisdomTree Australia & New
Zealand Debt Fund
   For the
Year Ended
August 31, 2013
     For the
Year Ended
August 31, 20121
     For the
Year Ended
August 31, 2011
     For the
Year Ended
August 31, 2010
     For the
Year Ended
August 31, 2009
 

Net asset value, beginning of year

   $ 22.54       $ 26.31       $ 22.24       $ 23.68       $ 23.53   

Investment operations:

              

Net investment income (loss)2

     0.72         0.67         (0.08      (0.07      (0.02

Net realized and unrealized gain (loss)

     (3.22      (0.70      5.40         1.08         0.30   

Total from investment operations

     (2.50      (0.03      5.32         1.01         0.28   

Dividends and distributions to shareholders:

              

Net investment income

     (0.47      (0.69                      (0.13

Capital gains

             (3.05      (1.25      (2.45        

Return of capital

     (0.13                                

Total dividends and distributions to shareholders

     (0.60      (3.74      (1.25      (2.45      (0.13

Net asset value, end of year

   $ 19.44       $ 22.54       $ 26.31       $ 22.24       $ 23.68   

TOTAL RETURN3

     (11.42 )%       0.76      24.85      4.32      1.30

RATIOS/SUPPLEMENTAL DATA:

              

Net assets, end of year (000’s omitted)

   $ 40,831       $ 45,079       $ 52,614       $ 17,790       $ 9,471   

Ratios to average net assets of:

              

Expenses

     0.45      0.45      0.45      0.45      0.45

Net investment income (loss)

     3.29      2.99      (0.35 )%       (0.30 )%       (0.11 )% 

Portfolio turnover rate5

     42      9      0      0      0

 

     
WisdomTree Emerging Markets Corporate Bond Fund    For the
Year Ended
August 31, 2013
     For the Period
March 8, 2012*
through
August 31, 2012
 

Net asset value, beginning of period

   $ 77.63       $ 75.03   

Investment operations:

     

Net investment income2

     3.29         1.63   

Net realized and unrealized gain (loss)

     (4.69      2.54   

Total from investment operations

     (1.40      4.17   

Dividends to shareholders:

     

Net investment income

     (3.26      (1.57

Net asset value, end of period

   $ 72.97       $ 77.63   

TOTAL RETURN3

     (2.00 )%       5.64

RATIOS/SUPPLEMENTAL DATA:

     

Net assets, end of period (000’s omitted)

   $ 116,746       $ 62,103   

Ratios to average net assets of:

     

Expenses

     0.60      0.60 %4 

Net investment income

     4.22      4.47 %4 

Portfolio turnover rate5

     37      0
* Commencement of investment operations.

 

1 

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

 

2 

Based on average shares outstanding.

 

3 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized.

 

4 

Annualized.

 

5 

Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.

 

See Notes to Financial Statements.

 

56   WisdomTree Currency, Fixed Income and Alternative Funds


Financial Highlights (continued)

WisdomTree Currency, Fixed Income and Alternative Funds

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

 

WisdomTree Emerging Markets Local Debt Fund    For the
Year Ended
August 31, 2013
     For the
Year Ended
August 31, 2012
     For the
Year Ended
August 31, 2011
     For the Period
August 9, 2010*
through
August 31, 2010
 

Net asset value, beginning of period

   $ 51.16       $ 53.83       $ 50.08       $ 50.23   

Investment operations:

           

Net investment income2

     2.22         2.41         2.40         0.10   

Net realized and unrealized gain (loss)

     (5.29      (3.26      3.79         (0.25

Total from investment operations

     (3.07      (0.85      6.19         (0.15

Dividends and distributions to shareholders:

           

Net investment income

     (2.01      (1.77      (2.44        

Capital gains

     (0.15      (0.05                

Total dividends and distributions to shareholders

     (2.16      (1.82      (2.44        

Net asset value, end of period

   $ 45.93       $ 51.16       $ 53.83       $ 50.08   

TOTAL RETURN3

     (6.41 )%       (1.45 )%       12.64      (0.30 )% 

RATIOS/SUPPLEMENTAL DATA:

           

Net assets, end of period (000’s omitted)

   $ 1,442,209       $ 1,197,084       $ 1,415,705       $ 195,319   

Ratios to average net assets of:

           

Expenses

     0.55      0.55      0.55      0.55 %4 

Net investment income

     4.31      4.76      4.65      3.31 %4 

Portfolio turnover rate5

     57      43      30      0

 

           
WisdomTree Euro Debt Fund    For the
Year Ended
August 31, 2013
     For the
Year Ended
August 31, 20121
     For the
Year Ended
August 31, 2011
     For the
Year Ended
August 31, 2010
     For the
Year Ended
August 31, 2009
 

Net asset value, beginning of year

   $ 21.62       $ 23.32       $ 20.54       $ 23.19       $ 24.07   

Investment operations:

              

Net investment income (loss)2

     0.34         0.35         0.05         (0.01      0.35   

Net realized and unrealized gain (loss)

     0.61         (1.61      2.73         (2.64      (0.63

Total from investment operations

     0.95         (1.26      2.78         (2.65      (0.28

Dividends and distributions to shareholders:

              

Net investment income

     (0.31      (0.44                      (0.60

Capital gains

     (0.20                                

Total dividends and distributions to shareholders

     (0.51      (0.44                      (0.60

Net asset value, end of year

   $ 22.06       $ 21.62       $ 23.32       $ 20.54       $ 23.19   

TOTAL RETURN3

     4.37      (5.37 )%       13.53      (11.43 )%       (1.13 )% 

RATIOS/SUPPLEMENTAL DATA:

              

Net assets, end of year (000’s omitted)

   $ 4,411       $ 6,486       $ 5,246       $ 12,836       $ 9,857   

Ratios to average net assets of:

              

Expenses

     0.35      0.35      0.35      0.35      0.35

Net investment income (loss)

     1.51      1.63      0.21      (0.03 )%       1.61

Portfolio turnover rate5

     3      26      N/A 6       N/A 6       N/A 6 
* Commencement of investment operations.

 

1 

This information reflects the investment objective and strategy of the WisdomTree Dreyfus Euro Fund through October 18, 2011 and the investment objective of the WisdomTree Euro Debt Fund thereafter.

 

2 

Based on average shares outstanding.

 

3 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized.

 

4 

Annualized.

 

5 

Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.

 

6 

The Fund invested in short-term securities with maturities less than or equal to 365 days. SEC rules exclude such securities from portfolio turnover calculations.

 

See Notes to Financial Statements.

 

WisdomTree Currency, Fixed Income and Alternative Funds      57   


Financial Highlights (continued)

WisdomTree Currency, Fixed Income and Alternative Funds

Selected data for a share of beneficial interest outstanding throughout the period is presented below:

 

 

 

WisdomTree Global Corporate Bond Fund    For the Period
January 31, 2013*
through
August 31, 2013
 

Net asset value, beginning of period

   $ 74.76   

Investment operations:

  

Net investment income 1

     1.37   

Net realized and unrealized loss

     (2.08

Total from investment operations

     (0.71

Dividends to shareholders:

  

Net investment income

     (1.27

Net asset value, end of period

   $ 72.78   

TOTAL RETURN2

     (0.98 )% 

RATIOS/SUPPLEMENTAL DATA:

  

Net assets, end of period (000’s omitted)

   $ 14,555   

Ratios to average net assets of:

  

Expenses, net of expense waivers

     0.45 %3 

Expenses, prior to expense waivers

     0.50 %3 

Net investment income

     3.18 %3 

Portfolio turnover rate4

     5

 

       
WisdomTree Global Real Return Fund (consolidated)    For the
Year Ended
August 31, 2013
     For the
Year Ended
August 31, 2012
     For the Period
July 14, 2011*
through
August 31, 2011
 

Net asset value, beginning of period

   $ 48.68       $ 50.66       $ 49.99   

Investment operations:

        

Net investment income1

     0.73         0.79         0.05   

Net realized and unrealized gain (loss)

     (3.25      (2.10      0.62   

Total from investment operations

     (2.52      (1.31      0.67   

Dividends and distributions to shareholders:

        

Net investment income

     (0.77      (0.62        

Capital gains

             (0.05        

Total dividends and distributions to shareholders

     (0.77      (0.67        

Net asset value, end of period

   $ 45.39       $ 48.68       $ 50.66   

TOTAL RETURN2

     (5.25 )%       (2.54 )%       1.34

RATIOS/SUPPLEMENTAL DATA:

        

Net assets, end of period (000’s omitted)

   $ 4,539       $ 4,868       $ 5,066   

Ratios to average net assets of:

        

Expenses

     0.60      0.60      0.60 %3 

Net investment income

     1.53      1.65      0.68 %3 

Portfolio turnover rate4

     1      3      0 %5 
* Commencement of investment operations.

 

1

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized. For the WisdomTree Global Corporate Bond Fund, the total return would have been lower if certain expenses had not been waived by the investment adviser (Note 2 and 3).

 

3

Annualized.

 

4

Portfolio turnover rate is not annualized and excludes the value of portfolio securities received or delivered as a result of in-kind creations or redemptions of the Fund’s capital shares.

5 

Amount represents less than 1%.

 

See Notes to Financial Statements.

 

58   WisdomTree Currency, Fixed Income and Alternative Funds


Financial Highlights (concluded)

WisdomTree Currency, 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
Year Ended
August 31, 2013
     For the
Year Ended
August 31, 2012
     For the Period
January 5, 2011*
through
August 31, 2011
 

Net asset value, beginning of period

   $ 41.47       $ 49.90       $ 50.18   

Investment operations:

        

Net investment loss1

     (0.37      (0.40      (0.27

Net realized and unrealized gain (loss)

     0.82         (7.25      (0.01

Total from investment operations

     0.45         (7.65      (0.28

Distributions to shareholders:

        

Capital gains

             (0.78        

Net asset value, end of period

   $ 41.92       $ 41.47       $ 49.90   

TOTAL RETURN2

     1.09      (15.47 )%       (0.56 )% 

RATIOS/SUPPLEMENTAL DATA:

        

Net assets, end of period (000’s omitted)

   $ 142,531       $ 149,288       $ 229,553   

Ratios to average net assets of:

        

Expenses

     0.95      0.95      0.95 %3 

Net investment loss

     (0.90 )%       (0.91 )%       (0.91 )%3 

Portfolio turnover rate4

     N/A 5       N/A 5       0
* Commencement of investment operations.

 

1 

Based on average shares outstanding.

 

2 

Total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period. Total return calculated for a period of less than one year is not annualized.

 

3 

Annualized.

 

4 

Portfolio turnover rate is not annualized.

 

5 

The Fund invested in short-term securities with maturities less than or equal to 365 days. SEC rules exclude such securities from portfolio turnover calculations.

 

See Notes to Financial Statements.

 

WisdomTree Currency, Fixed Income and Alternative Funds      59   


Notes to Financial Statements

 

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 August 31, 2013, the Trust offered 52 investment funds (each a “Fund”, collectively the “Funds”). These notes relate only to Funds listed in the table below.

 

Fund    Commencement of
Operations

WisdomTree Brazilian Real Fund (“Brazilian Real Fund”) (formerly, WisdomTree Dreyfus Brazilian Real Fund)

   May 14, 2008

WisdomTree Chinese Yuan Fund (“Chinese Yuan Fund”) (formerly, WisdomTree Dreyfus Chinese Yuan Fund)

   May 14, 2008

WisdomTree Commodity Currency Fund (“Commodity Currency Fund”) (formerly, WisdomTree Dreyfus Commodity Currency Fund)

   September 24, 2010

WisdomTree Emerging Currency Fund (“Emerging Currency Fund”) (formerly, WisdomTree Dreyfus Emerging Currency Fund)

   May 6, 2009

WisdomTree Indian Rupee Fund (“Indian Rupee Fund”) (formerly, WisdomTree Dreyfus Indian Rupee Fund)

   May 14, 2008

WisdomTree Asia Local Debt Fund (“Asia Local Debt Fund”)

   March 17, 2011

WisdomTree Australia & New Zealand Debt Fund (“Australia & New Zealand Debt Fund”)

   June 25, 2008

WisdomTree Emerging Markets Corporate Bond Fund (“Emerging Markets Corporate Bond Fund”)

   March 8, 2012

WisdomTree Emerging Markets Local Debt Fund (“Emerging Markets Local Debt Fund”)

   August 9, 2010

WisdomTree Euro Debt Fund (“Euro Debt Fund”)

   May 14, 2008

WisdomTree Global Corporate Bond Fund (“Global Corporate Bond Fund”)

   January 31, 2013

WisdomTree Global Real Return Fund (“Global Real Return Fund”) (consolidated)

   July 14, 2011

WisdomTree Managed Futures Strategy Fund (“Managed Futures Strategy Fund”) (consolidated)

   January 5, 2011

Consolidation of Subsidiaries

The financial statements of the Managed Futures Strategy Fund and Global Real Return Fund (each an “Alternative Fund”) includes the accounts of a wholly-owned and controlled Cayman Islands subsidiary (a “Subsidiary”). For each Alternative Fund, the accompanying financial statements reflect the financial position and results of operations on a consolidated basis with its respective Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation. Each Alternative Fund seeks to gain exposure to commodity markets, in whole or in part, through investments in its Subsidiary. Each Alternative Fund’s investment in its Subsidiary may not exceed 25% of the Alternative Fund’s total assets at the end of each fiscal quarter.

2. SIGNIFICANT ACCOUNTING POLICIES

The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (the “Codification”) is the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by nongovernmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants.

The following is a summary of significant accounting policies followed by the Funds.

Guarantees — In the normal course of business the Funds may enter into contracts that contain a variety of representations or that provide indemnification for certain liabilities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote. Therefore, no liabilities have been recorded in connection with these indemnifications.

Use of Estimates — The preparation of financial statements in conformity with GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in the net assets from operations during the reporting period. Actual results could differ from those estimates.

Investment Valuation — The net asset value (“NAV”) of each Fund’s shares is calculated each day the national securities exchanges are open for trading as of the close of regular trading on the New York Stock Exchange, generally 4:00 p.m. New York time. NAV per share is calculated by dividing a Fund’s net assets by the number of Fund shares outstanding. Transactions in Fund shares will be priced at NAV only if you purchase or redeem shares directly from a Fund in creation units, which are typically in blocks of 100,000 shares or more. Fund shares purchased or sold on a national securities exchange are based on market prices, which may be higher or lower than NAV. In calculating each Fund’s NAV, investments are valued under policies approved by the Board of Trustees. Fixed income securities generally are valued at current market quotations or mean prices obtained from broker-dealers or independent pricing service providers. Broker-dealers or independent pricing service providers, in determining the value of securities may

 

60   WisdomTree Currency, Fixed Income and Alternative Funds


Notes to Financial Statements (continued)

 

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. Forward foreign currency contracts generally are valued daily using WM/Reuters closing spot and forward rates as of 4:00 p.m. London time for Europe and the Americas and Tullett Prebon closing spot and forward rates as of 2:00 p.m. Singapore time for Asia. Futures contracts generally are valued at the settlement price on the primary exchange on which they trade. Swap contracts are generally marked to market daily based upon values from pricing service providers or quotations from broker-dealers to the extent available. Short-term debt securities with remaining maturities of 60 days or less generally are valued on the basis of amortized cost which approximates fair value. Each Fund may invest in money market funds which are valued at such money market fund’s NAV per share.

In certain instances, such as when reliable market valuations are not readily available or are not deemed to reflect current market values, a Fund’s investments and derivatives will be valued in accordance with the Fund’s pricing policy and procedures approved by the Board of Trustees. In addition, securities may be valued using fair value pricing and may include, but are not limited to, securities for which there are no current market quotations, securities whose issuer is in default or bankruptcy, securities subject to corporate actions (such as mergers or reorganizations), securities subject to non-U.S. investment limits or currency controls, and securities affected by “significant events.” An example of a significant event is an event occurring after the close of the market in which a security trades but before a Fund’s next NAV calculation time that may materially affect the value of a Fund’s investment (e.g., government action, natural disaster, or significant market fluctuation). When fair value pricing is employed, the prices of securities used by a Fund to calculate its NAV may differ from quoted or published prices for the same securities.

Fair Value Measurement — In accordance with Codification Topic 820 (“ASC 820”), Fair Value Measurements and Disclosures, fair value is defined as the price that each Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. ASC 820 established a three-tier hierarchy of inputs to be used when determining fair value measurements for disclosure purposes. 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

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 models may use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Financial instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy. Over-the-counter financial derivative contracts, such as forward foreign currency contracts or swaps agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker-dealer quotations or independent pricing

 

WisdomTree Currency, Fixed Income and Alternative Funds      61   


Notes to Financial Statements (continued)

 

service providers. Depending on the product and the terms of the transaction, the value of the financial derivative contracts can be estimated by a independent pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Derivative contracts that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

WisdomTree Asset Management, Inc. (“WTAM”), the investment adviser to each Fund and the Trust, has established a fair valuation committee (the “Valuation Committee”) which is comprised of senior representatives of 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 Valuation Committee may value the financial instrument in good faith under the policies and procedures approved by the Board of Trustees based on current facts and circumstances. Determination of this value may include significant unobservable inputs and therefore would be reflected as a Level 3 of the fair value hierarchy. The Valuation Committee may employ a market-based valuation approach which may use related or comparable securities, recent transactions, market multiples, book values, and other relevant information to determine fair value. The Valuation 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 Valuation 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 Valuation 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.

There were no Level 3 securities at or during the period ended August 31, 2013.

No transfers between Level 1 and Level 2 fair value measurements occurred during the period ended August 31, 2013.

The following is a summary of the fair valuations according to the inputs used as of August 31, 2013 in valuing each Fund’s assets:

 

Brazilian Real Fund    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $       $ 37,399,422       $   

Repurchase Agreement

             3,940,029           

Total

             41,339,451           

Unrealized Appreciation on Forward Foreign Currency Contracts

             391,052           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (2,682,282        

Total - Net

   $       $ 39,048,221       $   

 

Chinese Yuan Fund    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $       $ 149,115,577       $   

Time Deposits

             39,528,935           

Repurchase Agreement

             27,444,092           

Total

             216,088,604           

Unrealized Appreciation on Forward Foreign Currency Contracts

             3,155,454           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (56,956        

Total - Net

   $       $ 219,187,102       $   

 

Commodity Currency Fund    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $       $ 15,399,781       $   

Repurchase Agreement

             50,845           

Total

             15,450,626           

Unrealized Appreciation on Forward Foreign Currency Contracts

             12,210           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (112,535        

Total - Net

   $       $ 15,350,301       $   

 

62   WisdomTree Currency, Fixed Income and Alternative Funds


Notes to Financial Statements (continued)

 

 

Emerging Currency Fund    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $       $ 193,296,032       $   

Repurchase Agreement

             2,720,155           

Total

             196,016,187           

Unrealized Appreciation on Forward Foreign Currency Contracts

             409,429           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (6,810,237        

Total - Net

   $       $ 189,615,379       $   
        
Indian Rupee Fund    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $       $ 22,096,685       $   

Repurchase Agreement

             7,274,956           

Total

             29,371,641           

Unrealized Appreciation on Forward Foreign Currency Contracts

             3,093           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (3,207,667        

Total - Net

   $       $ 26,167,067       $   
        
Asia Local Debt Fund    Level 1      Level 2      Level 3  

Foreign Government Agencies

   $       $ 33,982,955       $   

Foreign Government Obligations

             333,493,107           

Supranational Bonds

             52,193,685           

Repurchase Agreement

             48,582,079           

Total

             468,251,826           

Unrealized Appreciation on Forward Foreign Currency Contracts

             46,581           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (995,221        

Total - Net

   $       $ 467,303,186       $   
        
Australia & New Zealand Debt Fund    Level 1      Level 2      Level 3  

Foreign Government Agencies

   $       $ 15,372,794       $   

Foreign Government Obligations

             13,339,107           

Supranational Bonds

             11,185,873           

Total

             39,897,774           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (7        

Total

   $       $ 39,897,767       $   
        
Emerging Markets Corporate Bond Fund    Level 1      Level 2      Level 3  

Foreign Corporate Bonds

   $       $ 110,502,871       $   

Foreign Government Agencies

             3,788,640           

Investment of Cash Collateral for Securities Loaned

             30,772,606           

Total

   $       $ 145,064,117       $   

 

WisdomTree Currency, Fixed Income and Alternative Funds      63   


Notes to Financial Statements (continued)

 

 

Emerging Markets Local Debt Fund    Level 1      Level 2      Level 3  

Foreign Government Obligations

     $—       $ 1,209,674,871       $   

Supranational Bonds

             154,148,168           

Repurchase Agreement

             30,000,067           

Investment of Cash Collateral for Securities Loaned

             20,338,525           

Total

             1,414,161,631           

Unrealized Appreciation on Forward Foreign Currency Contracts

             2,247,210           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (3,662,762        

Total - Net

     $—       $ 1,412,746,079       $   
        
Euro Debt Fund    Level 1      Level 2      Level 3  

Foreign Government Agencies

     $—       $ 212,061       $   

Foreign Government Obligations

             2,863,628           

Supranational Bonds

             1,257,360           

Total

     $—       $ 4,333,049       $   
        
Global Corporate Bond Fund    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $       $ 79,244       $   

Corporate Bonds

             6,847,975           

Foreign Corporate Bonds

             6,561,601           

Preferred Stock

     367,959                   

Investment of Cash Collateral for Securities Loaned

             432,680           

Total

     367,959         13,921,500           

Unrealized Appreciation on Forward Foreign Currency Contracts

             11,218           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (1,518        

Total - Net

   $ 367,959       $ 13,931,200       $   
        
Global Real Return Fund (consolidated)    Level 1      Level 2      Level 3  

U.S. Government Obligations

     $      —       $ 2,366,610       $   

Foreign Government Obligations

             1,562,449           

Supranational Bond

             167,084           

Total

             4,096,143           

Unrealized Depreciation on Swap Contracts

             (9,264        

Unrealized Appreciation on Futures Contracts

     6,637                   

Total - Net

     $6,637       $ 4,086,879       $   
        
Managed Futures Strategy Fund (consolidated)    Level 1      Level 2      Level 3  

U.S. Government Obligations

   $       $ 121,946,750       $   

Total

             121,946,750           

Unrealized Appreciation on Forward Foreign Currency Contracts

             29,253           

Unrealized Depreciation on Forward Foreign Currency Contracts

             (554,560        

Unrealized Depreciation on Swap Contracts

             (156,261        

Unrealized Appreciation on Futures Contracts

     482,136                   

Unrealized Depreciation on Futures Contracts

     (100,483                

Total - Net

   $ 381,653       $ 121,265,182       $   

 

64   WisdomTree Currency, Fixed Income and Alternative Funds


Notes to Financial Statements (continued)

 

Derivatives and Hedging Disclosure — Codification Topic 815 (“ASC 815”), Derivatives and Hedging, requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. The Funds have invested in derivatives, specifically forward foreign currency contracts, swaps contracts and futures contracts during the period ended August 31, 2013 which are detailed in the tables herein. All of the derivative instruments disclosed and described herein are subject to credit risk. Credit risk is where the financial condition of an issuer of a security or instrument may cause it to default or become unable to pay interest or principal due on the security or where the counterparty to a derivative contract might default on its obligations. The Funds’ derivative agreements contain credit-risk related contingent features which include, but are not limited to, a percentage decline in the Funds’ NAV or net assets over a specified time period. If an event occurred that triggered a contingent feature, the counterparty to the agreement may require the Funds to post additional collateral or terminate the derivative positions and demand payment. Any collateral posted with respect to the derivative positions would be used to offset or reduce the payment. The maximum exposure to derivative agreements with credit-risk related contingent features would be the total value of derivatives in net liability positions for each Fund. At August 31, 2013 or for the period ended August 31, 2013, no event occurred that triggered a credit-risk-related contingent feature.

As of August 31, 2013, the following Funds posted U.S. government securities and/or cash as collateral for derivative agreements as follows:

 

Fund    Value of
Collateral Posted
 

Brazilian Real Fund

   $ 1,150,000   

Chinese Yuan Fund

     20,000   

Commodity Currency Fund

     280,000   

Emerging Currency Fund

     4,070,000   

Indian Rupee Fund

     2,350,000   

Emerging Markets Local Debt Fund

     1,510,000   

Global Real Return Fund (consolidated)

     119,000   

Managed Futures Strategy Fund (consolidated)

     6,879,984   

The effect of derivative instruments on each Fund’s financial position as reflected in the Statements of Assets and Liabilities are presented in the summary below:

 

Fund    Asset Derivatives      Liability Derivatives  
   Balance Sheet Location    Value      Balance Sheet Location    Value  

Brazilian Real Fund

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts    $ 391,052       Unrealized depreciation on forward foreign currency contracts    $ 2,682,282   

Chinese Yuan Fund

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts      3,155,454       Unrealized depreciation on forward foreign currency contracts      56,956   

Commodity Currency Fund

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts      12,210       Unrealized depreciation on forward foreign currency contracts      112,535   

Emerging Currency Fund

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts      409,429       Unrealized depreciation on forward foreign currency contracts      6,810,237   

Indian Rupee Fund

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts      3,093      Unrealized depreciation on forward foreign currency contracts      3,207,667   

Asia Local Debt Fund

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts      46,581      Unrealized depreciation on forward foreign currency contracts      995,221   

Australia & New Zealand Debt Fund

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts            Unrealized depreciation on forward foreign currency contracts      7   

Emerging Markets Local Debt Fund

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts      2,247,210      Unrealized depreciation on forward foreign currency contracts      3,662,762   

Global Corporate Bond Fund

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts      11,218      Unrealized depreciation on forward foreign currency contracts      1,518   

 

WisdomTree Currency, Fixed Income and Alternative Funds      65   


Notes to Financial Statements (continued)

 

Fund    Asset Derivatives      Liability Derivatives  
   Balance Sheet Location    Value      Balance Sheet Location    Value  

Global Real Return Fund (consolidated)

           

Commodity contracts

   Unrealized appreciation on swap contracts    $       Unrealized depreciation on swap contracts    $ 2,643   
     Unrealized appreciation on futures contracts*      6,637       Unrealized depreciation on futures contracts*        

Interest rate contracts

   Unrealized appreciation on swap contracts            Unrealized depreciation on swap contracts      6,621   

Managed Futures Strategy Fund (consolidated)

           

Foreign exchange contracts

   Unrealized appreciation on forward foreign currency contracts      29,253      Unrealized depreciation on forward foreign currency contracts      554,560   
     Unrealized appreciation on futures contracts*      10,109       Unrealized depreciation on futures contracts*      50,467   

Commodity contracts

   Unrealized appreciation on swap contracts            Unrealized depreciation on swap contracts      156,261   
     Unrealized appreciation on futures contracts*      320,472       Unrealized depreciation on futures contracts*      50,016   

Interest rate contracts

   Unrealized appreciation on futures contracts*      151,555       Unrealized depreciation on futures contracts*        
  * Includes cumulative appreciation (depreciation) of futures contracts as reported in the futures table. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

The effect of derivative instruments on each Fund’s financial performance as reflected in the Statements of Operations are presented in the summary below:

 

Fund    Amount of Realized
Gain or (Loss) on Derivatives
Recognized1
    

Change in Unrealized
Appreciation or (Depreciation) on

Derivatives Recognized2

 

Brazilian Real Fund

     

Foreign exchange contracts

   $ (854,052    $ (3,435,331

Chinese Yuan Fund

     

Foreign exchange contracts

     4,815,903         4,401,261   

Commodity Currency Fund

     

Foreign exchange contracts

     (988,815      56,302   

Emerging Currency Fund

     

Foreign exchange contracts

     380,176         (6,685,408

Indian Rupee Fund

     

Foreign exchange contracts

     (710,266      (3,254,332

Asia Local Debt Fund

     

Foreign exchange contracts

     71,874         (1,431,165

Australia & New Zealand Debt Fund

     

Foreign exchange contracts

     65,173         (7

Emerging Markets Local Debt Fund

     

Foreign exchange contracts

     1,983,404         (2,400,693

Euro Debt Fund

     

Foreign exchange contracts

     (31,096        

Global Corporate Bond Fund*

     

Foreign exchange contracts

     13,307         9,700   

Global Real Return Fund (consolidated)

     

Commodity contracts

     (17,047      (4,601
  

 

 

 

Foreign exchange contracts

     218           
  

 

 

 

Interest rate contracts

     2,824         (13,847

Managed Futures Strategy Fund (consolidated)

     

Foreign exchange contracts

     1,319,028         (372,417
  

 

 

 

Commodity contracts

     1,878,526         (1,003,914
  

 

 

 

Interest rate contracts

     (673,869      181,832   
  * For the period January 31, 2013 through August 31, 2013.

 

66   WisdomTree Currency, Fixed Income and Alternative Funds


Notes to Financial Statements (continued)

 

 

  1

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

 

Foreign exchange contracts

   Net realized gain (loss) from forward foreign currency contracts, foreign
currency related transactions and futures contracts

Commodity contracts

   Net realized gain (loss) from futures contracts and swap contracts

Interest rate contracts

   Net realized gain (loss) from futures contracts and swap contracts

 

  2

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

 

Foreign exchange contracts

   Net change in unrealized appreciation (depreciation) from forward foreign
currency contracts, foreign currency related transactions and futures contracts

Commodity contracts

   Net change in unrealized appreciation (depreciation) from futures contracts
and swap contracts

Interest rate contracts

   Net change in unrealized appreciation (depreciation) from futures contracts
and swap contracts

During the fiscal year or period ended August 31, 2013, the volume of derivative activity was as follows:

 

      Average Notional            Average Market Value  
Fund    Forward foreign
currency
contracts
(to deliver)
     Forward foreign
currency
contracts
(to receive)
     Swap
contracts
           Futures
contracts
(long)
     Futures
contracts
(short)
 

Brazilian Real Fund

                 

Foreign exchange contracts

   $ 105,295,157       $ 36,723,314                                

Chinese Yuan Fund

                 

Foreign exchange contracts

     328,511,960         96,411,680                                

Commodity Currency Fund

                 

Foreign exchange contracts

     37,417,907         10,069,466                                

Emerging Currency Fund

                 

Foreign exchange contracts

     484,879,780         145,952,530                                

Indian Rupee Fund

                 

Foreign exchange contracts

     33,855,260         8,451,837                                

Asia Local Debt Fund

                 

Foreign exchange contracts

     84,335,732         1,605,146                                

Australia & New Zealand Debt Fund

                 

Foreign exchange contracts

     512,083         326,603                                

Emerging Markets Local Debt Fund

                 

Foreign exchange contracts

     106,262,561         12,326,912                                

Global Corporate Bond Fund*

                 

Foreign exchange contracts

     108,397         1,183,764                                

Euro Debt Fund

                 

Foreign exchange contracts

     88         174,022                                

Global Real Return Fund (consolidated)

                 

Interest rate contracts

                   $ 220,000                        

Foreign exchange contracts

     13         11,012                                

Commodity contracts

                     1,211,300            $ 155,406           

Managed Futures Strategy Fund (consolidated)

                 

Commodity contracts

                     42,411,299              9,247,279       $ 10,757,151   

Foreign exchange contracts

     19,982,834         32,577,155                      18,346,131         12,714,463   

Interest rate contracts

                                  8,459,236         11,819,625   
  * For the period January 31, 2013 through August 31, 2013.

Investment Transactions and Investment Income — Investment transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses on sales of portfolio securities are calculated using the identified-cost method. Interest income including amortization of premiums and discounts is accrued daily.

Foreign Currency Translation — The accounting records of the Funds are maintained in U.S. dollars. Foreign currencies, as well as investment securities and other assets and liabilities denominated in foreign currencies, are translated into U.S. dollars using exchange rates prevailing on the respective dates of such transactions that are deemed appropriate by WTAM. Realized and unrealized foreign exchange gains and losses on investments are included as a component of net realized gain (loss) from investment transactions and net change in unrealized appreciation (depreciation) from investment transactions, respectively, on the Statement of Operations. Net realized and unrealized foreign exchange gains or losses arising from sales of foreign currencies, including gains and losses of forward foreign currency contracts, currency gains or losses recognized between the trade and

 

WisdomTree Currency, Fixed Income and Alternative Funds      67   


Notes to Financial Statements (continued)

 

settlement dates on investment transactions, and the difference between the amounts of dividends/interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid are included in net realized gain (loss) from forward foreign currency contracts and foreign currency related transactions and/or net change in unrealized appreciation (depreciation) from forward foreign currency contracts and translation of assets and liabilities denominated in foreign currencies in the Statement of Operations. Certain foreign exchange gains and losses included in realized and unrealized gains or losses are included in, or are a reduction of ordinary income in accordance with U.S. Federal income tax regulations.

Expenses — Under the Investment Advisory Agreement for each Fund, WTAM has agreed to pay all expenses of the Funds, except for: (i) brokerage expenses and other expenses (such as stamp taxes) connected with the execution of portfolio transactions or in connection with creation and redemption transactions; (ii) legal fees or expenses in connection with any arbitration, litigation or pending or threatened arbitration or litigation, including any settlements in connection therewith; (iii) compensation and expenses of trustees who are not interested persons of the Funds (“Independent Trustees”); (iv) compensation and expenses of counsel to the Independent Trustees; (v) compensation and expenses of the Trust’s Chief Compliance Officer (“CCO”); (vi) extraordinary expenses; (vii) distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act; and (viii) the advisory fee payable to WTAM.

Pursuant to a separate contractual arrangement, WTAM arranges for the provision of CCO services with respect to each Fund, and is liable and responsible for, and administers, payments to the CCO, the Independent Trustees and counsel to the Independent Trustees. WTAM receives a fee, as shown on the Statements of Operations under “Service fees”, of up to 0.0044% of each Fund’s average daily net assets for providing such services and paying such expenses. WTAM provides CCO services to the Trust.

Repurchase Agreements — Each Fund’s custodian or a third party custodian under tri-party repurchase agreements may take possession of the collateral pledged for investments in repurchase agreements. The underlying collateral is valued on a daily basis at fair value to ensure that the value, including accrued interest, is at least equal to the repurchase price. In the event of default of the obligation to repurchase, a Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligations. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.

Forward Foreign Currency Contracts — A forward foreign currency contract (“Forward Contract”) involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. These contracts are principally traded in the inter-bank market conducted directly between currency traders (usually large, commercial banks) and their customers. A Forward Contract generally has no margin deposit requirement, and no commissions are charged at any stage for trades.

Risks may arise upon entering into Forward Contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currencies relative to the U.S. dollar or each other.

Fluctuations in the value of open Forward Contracts are recorded for book purposes as unrealized gains or losses on Forward Contracts by the Funds. Realized gains and losses on forward contracts include net gains or losses recognized by the Funds on contracts which have matured. Each Fund may enter into Forward Contracts to manage its foreign currency exposure or to facilitate settlement of foreign currency denominated portfolio transactions. A Fund may invest in both Forward Contracts and U.S. dollar denominated money market securities in an attempt to create a “synthetic” investment in a foreign currency denominated instrument.

The following Forward Contracts were open at August 31, 2013:

 

Fund    Settlement Date            Contracts
To Deliver
             In
Exchange For
     Unrealized
Gain (Loss)
 

Brazilian Real Fund

                                                 
   9/4/2013      BRL         8,013,157         USD         3,458,419       $ 87,581   
   9/4/2013      BRL         37,324         USD         15,532         (169
   9/4/2013      BRL         31,550,822         USD         13,408,764         136,502   
   9/4/2013      BRL         31,550,821         USD         13,403,068         130,805   
   9/4/2013      USD         14,188,636         BRL         31,572,552         (907,232
   9/4/2013      USD         14,182,262         BRL         31,572,551         (900,859
   9/4/2013      USD         3,332,094         BRL         8,007,021         36,164   
   10/2/2013      USD         7,234,268         BRL         16,599,029         (298,476
   10/2/2013      USD         7,235,845         BRL         16,599,029         (300,053
   11/4/2013      USD         13,414,233         BRL         31,984,897         (140,839
   11/4/2013      USD         13,408,047         BRL         31,984,897         (134,654
                                              $ (2,291,230

 

68   WisdomTree Currency, Fixed Income and Alternative Funds


Notes to Financial Statements (continued)

 

 

Fund    Settlement
Date
          Contracts
To Deliver
           

In

Exchange For

     Unrealized
Gain (Loss)
 

Chinese Yuan Fund

                                               
   10/15/2013      CNY        3,475,103         USD        553,404       $ (9,760
   10/15/2013      CNY        3,240,663         USD        524,125         (1,048
   10/15/2013      CNY        16,263,802         USD        2,633,388         (2,276
   10/15/2013      USD        68,773,362         CNY        439,633,716         2,472,380   
   10/15/2013      USD        35,190,390         CNY        218,620,295         238,571   
   11/13/2013      USD        12,434,587         CNY        76,932,789         26,253   
   11/13/2013      USD        12,396,356         CNY        76,702,451         27,176   
   11/13/2013      USD        12,397,358         CNY        76,702,451         26,174   
   12/6/2013      USD        10,293,859         CNY        63,888,838         49,368   
   1/13/2014      CNH        16,090,136         USD        2,592,256         (18,759
   1/13/2014      CNH        32,312,282         USD        5,221,765         (21,689
   1/13/2014      CNH        16,080,454         USD        2,606,021         (3,424
   1/13/2014      USD        35,164,397         CNH        218,641,674         315,532   
                                            $ 3,098,498   

Commodity Currency Fund

                                               
   10/2/2013      USD        2,008,149         BRL        4,812,731       $ 2,818   
   12/3/2013      USD        1,982,786         AUD        2,204,835         (30,435
   12/3/2013      USD        1,963,491         CAD        2,069,196         (6,257
   12/3/2013      USD        1,994,299         CLP        1,033,445,654         4,478   
   12/3/2013      USD        1,983,772         NOK        12,020,964         (28,814
   12/3/2013      USD        1,974,310         NZD        2,526,535         (31,976
   12/3/2013      USD        1,978,585         RUB        66,346,888         (15,053
   12/3/2013      USD        1,971,500         ZAR        20,519,963         4,914   
                                            $ (100,325

Emerging Currency Fund

                                               
   9/4/2013      BRL        305,540         USD        124,380       $ (4,149
   9/4/2013      BRL        30,377,326         USD        12,943,045         164,429   
   9/4/2013      USD        13,305,784         BRL        30,375,775         (527,821
   9/4/2013      USD        132,911         BRL        307,091         (3,729
   10/2/2013      BRL        307,163         USD        128,397         50   
   10/2/2013      USD        12,942,637         BRL        30,565,978         (170,849
   11/4/2013      CNH        838,083         USD        136,362         (192
   11/4/2013      CNH        838,885         USD        136,615         (70
   11/4/2013      IDR        1,466,301,988         USD        125,325         (1,478
   11/4/2013      IDR        1,443,240,348         USD        124,150         (659
   11/4/2013      KRW        152,335,451         USD        135,097         (1,755
   11/4/2013      KRW        152,639,178         USD        136,958         (168
   11/4/2013      MXN        1,726,247         USD        130,446         1,860   
   11/4/2013      MXN        1,728,009         USD        128,703         (14
   11/4/2013      MYR        436,415         USD        130,741         (1,314
   11/4/2013      MYR        437,017         USD        132,129         (108
   11/4/2013      PHP        5,944,767         USD        134,254         1,138   
   11/4/2013      PHP        5,921,425         USD        132,708         115   
   11/4/2013      PLN        437,475         USD        136,942         2,312   
   11/4/2013      PLN        438,069         USD        134,788         (24
   11/4/2013      THB        4,253,078         USD        130,503         (683
   11/4/2013      THB        4,272,821         USD        131,674         (120
   11/4/2013      TRY        265,288         USD        131,091         2,512   
   11/4/2013      TRY        264,599         USD        128,194         (50

 

WisdomTree Currency, Fixed Income and Alternative Funds      69   


Notes to Financial Statements (continued)

 

Fund    Settlement
Date
          Contracts
To Deliver
           

In

Exchange For

     Unrealized
Gain (Loss)
 

Emerging Currency Fund (continued)

                                               
   11/4/2013      USD        13,471,415         CNH        83,181,944       $ 81,947   
   11/4/2013      USD        136,308         CNH        839,290         443   
   11/4/2013      USD        13,532,767         IDR        144,760,005,642         (1,014,211
   11/4/2013      USD        136,170         IDR        1,442,041,160         (11,465
   11/4/2013      USD        13,534,171         KRW        15,129,172,564         57,303   
   11/4/2013      USD        136,155         KRW        152,452,751         803   
   11/4/2013      USD        13,337,407         MXN        171,492,375         (563,110
   11/4/2013      USD        135,537         MXN        1,729,865         (6,682
   11/4/2013      USD        13,314,617         MYR        43,257,859         (225,200
   11/4/2013      USD        134,486         MYR        436,797         (2,315
   11/4/2013      USD        13,517,965         PHP        583,570,542         (450,590
   11/4/2013      USD        135,750         PHP        5,900,394         (3,628
   11/4/2013      USD        13,535,210         PLN        43,212,510         (236,880
   11/4/2013      USD        137,802         PLN        437,935         (3,031
   11/4/2013      USD        13,444,098         THB        420,733,041         (466,638
   11/4/2013      USD        134,581         THB        4,245,545         (3,627
   11/4/2013      USD        13,400,983         TRY        26,245,825         (680,298
   11/4/2013      USD        135,755         TRY        265,957         (6,852
   11/4/2013      USD        13,405,098         ZAR        132,886,074         (549,433
   11/4/2013      USD        134,219         ZAR        1,347,280         (3,880
   11/4/2013      ZAR        1,343,380         USD        129,210         (752
   11/4/2013      ZAR        1,343,557         USD        129,946         (34
   11/5/2013      COP        257,832,270         USD        133,212         883   
   11/5/2013      COP        257,808,193         USD        132,311         (6
   11/5/2013      INR        8,141,296         USD        121,476         1,874   
   11/5/2013      INR        8,178,489         USD        119,972         (176
   11/5/2013      RUB        4,483,552         USD        134,037         750   
   11/5/2013      RUB        4,484,191         USD        133,181         (126
   11/5/2013      USD        13,505,520         COP        25,768,532,589         (280,156
   11/5/2013      USD        136,300         COP        258,561,449         (3,597
   11/5/2013      USD        13,378,054         INR        811,011,052         (1,463,707
   11/5/2013      USD        130,112         INR        8,173,009         (10,045
   11/5/2013      USD        13,284,506         RUB        443,210,968         (108,694
   11/5/2013      USD        134,657         RUB        4,500,245         (874
   11/6/2013      CLP        69,370,680         USD        133,727         (1,010
   11/6/2013      CLP        69,414,014         USD        134,784         (37
   11/6/2013      USD        13,288,003         CLP        6,888,500,809         91,353   
   11/6/2013      USD        133,550         CLP        69,613,183         1,657   
                                            $ (6,400,808

Indian Rupee Fund

                                               
   11/5/2013      INR        2,146,833         USD        34,632       $ 3,093   
   11/5/2013      USD        9,967,962         INR        609,640,577         (1,011,895
   11/5/2013      USD        9,967,962         INR        609,640,577         (1,011,895
   11/5/2013      USD        9,984,836         INR        611,471,331         (1,001,874
   11/5/2013      USD        1,966,371         INR        121,895,332         (175,639
   11/5/2013      USD        3,589,941         INR        243,936,503         (6,335
   11/5/2013      USD        16,326         INR        1,109,370         (29
                                            $ (3,204,574

 

70   WisdomTree Currency, Fixed Income and Alternative Funds


Notes to Financial Statements (continued)

 

Fund    Settlement
Date
         

Contracts

To Deliver

           

In

Exchange For

     Unrealized
Gain (Loss)
 

Asia Local Debt Fund

                                               
   9/18/2013      SGD        1,365,000         USD        1,080,230       $ 8,960   
   9/18/2013      TWD        47,205,000         USD        1,581,407         2,203   
   9/18/2013      TWD        7,850,000         USD        262,178         (437
   9/18/2013      USD        3,371,867         CNH        20,855,000         35,418   
   9/18/2013      USD        1,103,797         IDR        11,336,000,000         (96,254
   9/18/2013      USD        3,252,074         INR        192,100,000         (386,576
   9/18/2013      USD        32,916,955         SGD        41,346,000         (468,078
   9/18/2013      USD        28,114,815         TWD        839,086,662         (43,876
                                            $ (948,640

Australia & New Zealand Debt Fund

                                               
   9/4/2013      AUD        25,000         USD        22,259       $ (7

Emerging Markets Local Debt Fund

                                               
   9/3/2013      PLN        5,971,429         USD        1,843,716       $ (598
   9/4/2013      KRW        1,401,887,844         USD        1,262,962         58   
   9/18/2013      BRL        2,260,000         USD        982,459         34,936   
   9/18/2013      BRL        1,145,000         USD        500,875         20,825   
   9/18/2013      BRL        1,130,000         USD        486,775         13,014   
   9/18/2013      BRL        1,135,000         USD        470,681         (5,177
   9/18/2013      BRL        2,260,000         USD        955,461         7,938   
   9/18/2013      IDR        10,070,000,000         USD        978,620         83,598   
   9/18/2013      IDR        14,977,000,000         USD        1,436,643         105,487   
   9/18/2013      IDR        37,898,000,000         USD        3,602,471         234,097   
   9/18/2013      IDR        4,844,000,000         USD        462,876         32,342   
   9/18/2013      IDR        19,500,000,000         USD        1,877,377         144,217   
   9/18/2013      IDR        14,641,000,000         USD        1,431,883         130,591   
   9/18/2013      IDR        9,808,000,000         USD        955,356         83,621   
   9/18/2013      IDR        5,123,000,000         USD        441,258         (14,075
   9/18/2013      IDR        10,273,000,000         USD        902,724         (10,340
   9/18/2013      RUB        34,774,000         USD        1,047,792         5,991   
   9/18/2013      THB        20,665,000         USD        665,509         23,116   
   9/18/2013      THB        20,780,000         USD        669,459         23,490   
   9/18/2013      THB        10,305,000         USD        327,195         6,853   
   9/18/2013      THB        20,585,000         USD        656,200         16,294   
   9/18/2013      THB        10,405,000         USD        332,588         9,137   
   9/18/2013      THB        10,365,000         USD        331,097         8,890   
   9/18/2013      THB        10,045,000         USD        314,594         2,335   
   9/18/2013      THB        19,965,000         USD        616,775         (3,858
   9/18/2013      THB        30,070,000         USD        935,885         1,128   
   9/18/2013      THB        10,125,000         USD        312,500         (2,246
   9/18/2013      THB        20,195,000         USD        625,620         (2,163
   9/18/2013      TRY        635,000         USD        326,814         16,153   
   9/18/2013      TRY        6,245,000         USD        3,150,619         95,372   
   9/18/2013      TRY        6,150,000         USD        3,072,082         63,311   
   9/18/2013      TRY        4,660,000         USD        2,330,240         50,424   
   9/18/2013      USD        12,225,194         BRL        28,338,000         (344,265
   9/18/2013      USD        1,108,812         CNH        6,858,000         11,647   
   9/18/2013      USD        1,142,356         IDR        11,732,000,000         (99,616
   9/18/2013      USD        9,926,534         IDR        100,933,000,000         (955,609
   9/18/2013      USD        480,214         IDR        4,939,000,000         (41,236
   9/18/2013      USD        480,507         IDR        4,930,000,000         (42,328

 

WisdomTree Currency, Fixed Income and Alternative Funds      71   


Notes to Financial Statements (continued)

 

Fund    Settlement
Date
         

Contracts

To Deliver

           

In

Exchange For

     Unrealized
Gain (Loss)
 

Emerging Markets Local Debt Fund (continued)

                                               
   9/18/2013      USD        1,069,903         RUB        34,774,000       $ (28,103
   9/18/2013      USD        39,769,810         THB        1,232,426,642         (1,458,521
   9/18/2013      USD        7,779,253         TRY        15,238,000         (324,352
   9/18/2013      USD        2,178,921         ZAR        21,906,000         (44,369
   9/18/2013      USD        334,217         ZAR        3,355,000         (7,301
   9/18/2013      USD        330,196         ZAR        3,300,000         (8,640
   9/18/2013      USD        5,895,198         ZAR        58,231,000         (221,087
   9/18/2013      ZAR        6,765,000         USD        667,193         8,001   
   9/18/2013      ZAR        9,980,000         USD        992,730         20,264   
   9/18/2013      ZAR        3,290,000         USD        321,565         983   
   9/18/2013      ZAR        3,320,000         USD        326,771         3,266   
   9/18/2013      ZAR        58,231,000         USD        5,897,198         223,087   
   9/18/2013      ZAR        1,615,000         USD        154,608         (2,760
   9/18/2013      ZAR        3,270,000         USD        316,141         (2,493
   9/24/2013      CLP        249,000,000         USD        490,921         4,370   
   9/24/2013      CLP        244,000,000         USD        477,860         1,079   
   9/24/2013      CLP        81,000,000         USD        156,668         (1,587
   9/24/2013      KRW        732,000,000         USD        655,620         (3,508
   9/24/2013      KRW        371,000,000         USD        332,706         (1,361
   9/24/2013      KRW        370,000,000         USD        331,007         (2,159
   9/24/2013      KRW        358,000,000         USD        319,614         (2,746
   9/24/2013      KRW        708,000,000         USD        629,333         (8,185
   9/24/2013      KRW        178,000,000         USD        159,113         (1,167
   9/24/2013      KRW        351,000,000         USD        315,789         (270
   9/24/2013      USD        1,197,588         CLP        601,297,000         (22,642
   9/24/2013      USD        34,946,640         KRW        39,655,700,000         761,295   
                                            $ (1,415,552

Global Corporate Bond Fund

                                               
   11/15/2013      EUR        1,123,857         USD        1,493,525       $ 11,218   
   11/15/2013      GBP        147,568         USD        226,632         (1,518
                                            $ 9,700   

Managed Futures Strategy Fund (consolidated)

                                               
   9/18/2013      JPY        964,546,000         USD        9,581,266       $ (250,099
   9/18/2013      JPY        964,546,000         USD        9,580,219         (251,146
   9/18/2013      JPY        74,032,000         USD        752,916         (1,673
   9/18/2013      JPY        89,321,000         USD        888,289         (22,137
   9/18/2013      JPY        53,970,000         USD        554,297         4,195   
   9/18/2013      USD        2,589,097         JPY        252,090,000         (19,609
   9/18/2013      USD        1,000,000         JPY        99,142,900         10,538   
   9/18/2013      USD        636,396         JPY        63,094,100         6,706   
   9/18/2013      USD        198,067         JPY        19,350,000         (838
   9/18/2013      USD        17,318,065         JPY        1,699,820,000         7,755   
   9/18/2013      USD        131,611         JPY        12,918,000         59   
   12/18/2013      JPY        1,699,820,000         USD        17,325,655         (9,058
                                            $ (525,307

 

72   WisdomTree Currency, Fixed Income and Alternative Funds


Notes to Financial Statements (continued)

 

Currency Legend:

AUD — Australian dollar

BRL — Brazilian real

CAD — Canadian dollar

CLP — Chilean peso

CNH — Chinese renminbi

CNY — Chinese yuan

COP — Colombian peso

EUR — Euro

GBP — British pound

IDR — Indonesian rupiah

INR — Indian rupee

JPY — Japanese yen

KRW — South Korean won

MXN — Mexican peso

MYR — Malaysian ringgit

NOK — Norwegian krone

NZD — New Zealand dollar

PHP — Philippine peso

PLN — Polish zloty

RUB — Russian ruble

SGD — Singapore dollar

THB — Thai baht

TRY — Turkish new lira

TWD — New Taiwan dollar

USD — U.S. dollar

ZAR — South African rand

Currency, Interest Rate and Total Return Swaps — Each Fund may enter into swap agreements, including interest rate swaps, currency swaps and total return swaps. A typical interest rate swap involves the exchange of a floating interest rate payment for a fixed interest rate payment. A typical foreign cross-currency swap involves the exchange of cash flows based on the notional difference among two or more currencies (e.g., the U.S. dollar and the Brazilian real). A typical total return swap involves the payment of the total return on a reference asset in return for payments equal to a rate of interest on another reference asset. The total return typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments. Swap agreements may be used to achieve exposure to, for example, currencies, interest rates, indexes and money market securities without actually purchasing such currencies or securities. The Managed Futures Strategy Fund and the Global Real Return Fund may enter into swaps transactions based on commodities or commodity indexes. Each Fund may use swap agreements to invest in a market without owning or taking physical custody of the underlying securities in circumstances in which direct investment is restricted for legal reasons or is otherwise impracticable. Swap agreements will tend to shift a Fund’s investment exposure from one type of investment to another or from one payment stream to another. Depending on their structure, swap agreements may increase or decrease a Fund’s exposure to long- or short-term interest rates (in the United States or abroad), foreign currencies, corporate borrowing rates, or other factors, and may increase or decrease the overall volatility of a Fund’s investments and its share price.

Detailed below is the cross-currency interest rate swap agreement outstanding as of August 31, 2013:

 

Fund    Counterparty      Termination
Date
     Fixed Rate
Notional
Amount
(000)
     Fund Receives
Fixed Rate
(per annum)
     Floating Rate
Notional
Amount
(000)
     Fund Pays
Floating Rate
(per annum)
     Unrealized
Depreciation
 

Global Real Return Fund (consolidated)

     UBS AG         7/14/16         5 CLF         1.89    $ 220         6-Month LIBOR       $ (6,621

Detailed below are the total return swap agreements outstanding as of August 31, 2013:

 

Fund    Counterparty      Termination
Date
     Notional
Amount
(000)
    

Fund Pays
Fixed/Floating
Rate

(per annum)

     Fund Receives Total Return of
Reference  Entity
     Unrealized
Depreciation
 

Global Real Return Fund (consolidated)

    
 
JP Morgan Chase
Bank, N.A
  
  
     7/16/14       $ 490         0.30%        
 
Credit Suisse Commodity
Benchmark Excess Return Index
  
  
   $   
       UBS AG        12/13/13         768        
 
 
3-Month U.S.
Treasury Bill Index
+0.80%
  
  
  
     AFT CTI Modified Index         (2,643

Managed Futures Strategy Fund (consolidated)

     UBS AG         12/13/13         47,437        
 
 
3-Month U.S.
Treasury Bill Index
+0.45%
  
  
  
     AFT CTI Modified Index         (156,261

Abbreviations:

AFT CTI — The Alpha Financial Technologies Commodity Trends Indicator

CLF — Chilean Unidad de Fomento

LIBOR — London Interbank Offered Rate

 

WisdomTree Currency, Fixed Income and Alternative Funds      73   


Notes to Financial Statements (continued)

 

Futures Contracts — Each Fund may transact in currency futures contracts and U.S. Treasury futures contracts. The Managed Futures Strategy Fund and Global Real Return Fund may transact in commodity, currency and U.S. Treasury futures contracts. When a Fund purchases a listed futures contract, it agrees to purchase a specified reference asset (e.g., commodity, currency or Treasury security) at a specified future date. When a Fund sells a listed futures contract, it agrees to sell a specified reference asset (e.g., commodity, currency or Treasury security) at a specified future date. The price at which the purchase and sale will take place is fixed when the Fund enters into the contract. The exchange clearing corporation is the ultimate counterparty for all exchange-listed contracts, so credit risk is limited to the creditworthiness of the exchange’s clearing corporation. Margin deposits are posted as performance bonds with the clearing broker and, in turn, with the exchange clearing corporation.

Each Fund may buy and sell index futures contracts. An index futures contract is a bilateral agreement pursuant to which two parties agree to take or make delivery of an amount of cash equal to a specified dollar amount times the difference between the index value at the close of trading of the contract and the price at which the futures contract is originally struck. No physical delivery of the securities comprising the index is made. Instead, settlement in cash must occur upon the termination of the contract, with the settlement being the difference between the contract price, and the actual level of the index at the expiration of the contract. Generally, contracts are closed out prior to the expiration date of the contract.

Upon entering into a futures contract, a Fund is required to deliver to a broker an amount of cash and/or government securities equal to a certain percentage of the contract amount. This amount is known as the “initial margin”. Subsequent payments, known as “variation margin”, generally are made or received by the Fund each day depending on the fluctuations in the value of the underlying futures contracts, except that in the case of certain futures contracts payments may be made or received at settlement. Such variation margin is recorded for financial statement purposes on a daily basis as an unrealized gain or loss on futures until the financial futures contract is closed, at which time the net gain or loss is reclassified to realized gain or loss on futures. When a Fund purchases or sells a futures contract, the Fund is required to “cover” its position in order to limit the risk associated with the use of leverage and other related risks. To cover its position, a Fund will segregate assets consisting of cash or liquid securities that, when added to any amounts deposited with a futures commission merchant as margin, are equal to the market value of the futures contract or otherwise “cover” its position in a manner consistent with the 1940 Act or the rules and SEC interpretations thereunder. If a Fund continues to engage in the described securities trading practices and properly segregates assets, the segregated assets will function as a practical limit on the amount of leverage which a Fund may undertake and on the potential increase in the speculative character of a Fund’s outstanding portfolio securities. Additionally, such segregated assets will generally ensure the availability of adequate funds to meet the obligations of a Fund arising from such investment activities.

The following futures contracts were open at August 31, 2013:

 

Fund          Number of
Contracts
     Notional Value      Expiration
Date
     Unrealized
Appreciation/
(Depreciation)
 

Global Real Return Fund (consolidated)

   Futures Contracts Long                                    
   Gold 100 Ounce Futures      1       $ 139,610         Dec-13       $ 6,637   
                                          

Managed Futures Strategy Fund (consolidated)

   Futures Contracts Short                                    
   Australian Dollar Currency Futures      32         (2,828,800      Dec-13         10,109   
   Canadian Dollar Currency Futures      15         (1,420,650      Dec-13         (215
   Coffee Futures      17         (741,413      Dec-13         32,486   
   Cotton Futures      12         (500,940      Dec-13         153   
   Natural Gas Futures      54         (2,074,140      Dec-13         (49,359
   Sugar #11 (World) Futures      26         (491,546      Mar-14         (98
   U.S. 10yr Treasury Notes Futures      86         (10,688,188      Dec-13         101,655   
   U.S. Long Bond (CBT) Futures      81         (10,684,406      Dec-13         49,900   
                                     144,631   
   Futures Contracts Long                                    
   British Pound Currency Futures      74         7,160,888         Dec-13         (328
   Cocoa Futures      20         487,200         Dec-13         21,675   
   Copper Futures      30         2,424,750         Dec-13         (105
   Corn Futures      69         1,662,900         Dec-13         (30
   Euro Foreign Exchange Currency Futures      112         18,498,200         Dec-13         (49,336
   Gasoline RBOB Futures      12         1,423,649         Dec-13         31,038   
   Gold 100 Ounce Futures      12         1,675,320         Dec-13         (42

 

74   WisdomTree Currency, Fixed Income and Alternative Funds


Notes to Financial Statements (continued)

 

Fund          Number of
Contracts
     Notional
Value
     Expiration
Date
     Unrealized
Appreciation/
(Depreciation)
 

Managed Futures Strategy Fund (consolidated) (continued)

   Futures Contracts Long                                    
   Lean Hogs Futures      30         1,017,000         Dec-13       $ 24,392   
   Live Cattle Futures      27         1,409,130         Dec-13         26,393   
   NY Harbor ULSD Futures      10         1,313,508         Dec-13         31,558   
   Silver Futures      7         822,955         Dec-13         (25
   Soybean Futures      43         2,918,625         Nov-13         (357
   Swiss Franc Currency Futures      21         2,822,138         Dec-13         (588
   Wheat Futures (CBT)      32         1,046,400         Dec-13         127   
   WTI Crude Futures      40         4,228,400         Dec-13         152,650   
                                       237,022   
     Net                               $ 381,653   

Securities Lending — Each Fund may lend portfolio securities to certain creditworthy borrowers, including the Funds’ securities lending agent. It is the Funds’ policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral in the form of cash and/or high-grade debt obligations, equivalent to at least 100% of the market value of securities, is maintained at all times. The cash collateral can be invested in certain money market mutual funds which also have exposure to the fluctuations of the market. The value of the investment of cash collateral for securities on loan along with the obligation to return such collateral are included on the Statements of Assets and Liabilities. The value of securities received as collateral for securities on loan are not included on the Statements of Assets and Liabilities because the receiving Fund does not have the right to sell or repledge the securities received as collateral. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash or U.S. government securities held as collateral, net of fee rebates paid to the borrower plus reasonable administrative and custody fees. The securities lending income earned by the Funds is disclosed on the Statements of Operations. The dividend and interest income earned on the securities loaned is accounted for in the same manner as other dividend and interest income. The borrower pays to the Funds an amount equal to any dividends or interest received on loaned securities. The Funds retain all or a portion of the interest received on investment of cash collateral or receive a fee from the borrower. Lending portfolio securities could result in a loss or delay in recovering each Fund’s securities if the borrower defaults.

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.

Tax Information and Dividends and Distributions to Shareholders — It is each Fund’s policy to comply with all requirements of the Internal Revenue Code of 1986, as amended (the “Code”). Each Fund intends to qualify for and to elect treatment as a separate Regulated Investment Company (“RIC”) under Subchapter M of the Code. It is the policy of each Fund to pay out dividends, if any, to investors at least annually. There can be no guarantee that a Fund will pay dividends. Taxable net realized gains from investment transactions, reduced by capital loss carryforwards, if any, are declared and distributed to shareholders at least annually. The capital loss carryforward amount, if any, is available to offset future net capital gains. The Funds may occasionally be required to make supplemental distributions at some other time during the year. The Trust reserves the right to declare special distributions if, in its reasonable discretion, such action is necessary or advisable to preserve the status of each Fund as a RIC or to avoid imposition of income or excise taxes on undistributed income. Dividends and distributions to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with the requirements of the Code and the U.S. Treasury regulations which may differ from GAAP. These book/tax differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their Federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions that exceed earnings and profit for tax purposes are reported for tax purposes as a return of capital to the extent of a shareholder’s tax basis, and thereafter as capital gain.

 

WisdomTree Currency, Fixed Income and Alternative Funds      75   


Notes to Financial Statements (continued)

 

3. ADVISORY FEES AND TRANSACTIONS

WTAM has overall responsibility for the general management and administration of the Trust. WTAM provides an investment program for each Fund. WTAM has arranged for Mellon Capital Management Corporation (“MCM”) to provide sub-advisory services to the Currency, Fixed Income and Alternative Funds, except for Emerging Markets Corporate Bond Fund and Global Corporate Bond Fund which are sub-advised by Western Asset Management Company and certain affiliates (“WAMCO”). MCM and WAMCO are compensated by WTAM at no additional cost to the Funds. WTAM also arranges for transfer agency, custody, fund administration, securities lending, and all other non-distribution related services necessary for the Funds to operate, which are generally under separate agreements entered into between the Trust on behalf of the Funds and the applicable service provider. Under the Investment Advisory Agreement for each Fund, WTAM agrees to pay all expenses of the Funds except for certain expenses generally described in Note 2.

Pursuant to a separate contractual arrangement, also described in Note 2, WTAM arranges for the provision of CCO services with respect to each Fund and is liable and responsible for, and administers, payments to the CCO, the Independent Trustees and counsel to the Independent Trustees in exchange for a fee of up to 0.0044% of each Fund’s average daily net assets. WTAM expects to receive fees from each Fund, based on a percentage of the Fund’s average daily net assets, as shown in the following table.

 

Fund    Advisory
Fee Rate
 

Brazilian Real Fund

     0.45

Chinese Yuan Fund

     0.45

Commodity Currency Fund

     0.55

Emerging Currency Fund

     0.55

Indian Rupee Fund

     0.45

Asia Local Debt Fund

     0.55

Australia & New Zealand Debt Fund

     0.45

Emerging Markets Corporate Bond Fund

     0.60

Emerging Markets Local Debt Fund

     0.55

Euro Debt Fund

     0.35

Global Corporate Bond Fund

     0.50 %* 

Global Real Return Fund (consolidated)

     0.60

Managed Futures Strategy Fund (consolidated)

     0.95
  * For Global Corporate Bond Fund, WTAM has contractually agreed to limit its advisory fee to 0.45% through January 10, 2014. This agreement may be terminated by: (i) the Board of Trustees of the Trust, for any reason at any time, or (ii) by the Adviser, upon 90 days’ prior written notice to the Trust, effective as of the close of business on the last day of the then current one-year period. For Global Corporate Bond Fund, WTAM waived $2,919 of its advisory fee for the period ended August 31, 2013.

Each Fund may purchase shares of affiliated exchanged traded funds (“ETF”) in secondary market transactions. For the fiscal year or period ended August 31, 2013, there were no transactions in affiliated ETFs.

4. CAPITAL SHARE TRANSACTIONS

As of August 31, 2013, there was an unlimited number of $0.001 par value shares of beneficial interest authorized by the Trust. Shares are issued and redeemed by each Fund only in creation units or multiples thereof. Except when aggregated in creation units, shares of each Fund are not redeemable. Transactions in shares for each Fund are disclosed in detail in the Statements of Changes in Net Assets. Generally, Funds issue and redeem shares on a cash basis, however, shares may also be issued or redeemed in kind. Investors purchasing and redeeming creation units may be charged a purchase transaction fee and a redemption transaction fee to offset transfer and other transaction costs associated with the issuance and redemption of creation units.

 

76   WisdomTree Currency, Fixed Income and Alternative Funds


Notes to Financial Statements (continued)

 

5. INVESTMENT PORTFOLIO TRANSACTIONS

Purchases and sales of investments (excluding in-kind capital share transactions and short-term investments) for the fiscal year or period ended August 31, 2013 were as follows:

 

Fund    Purchases      Sales  

Brazilian Real Fund

   $      $   

Chinese Yuan Fund

              

Commodity Currency Fund

              

Emerging Currency Fund

              

Indian Rupee Fund

              

Asia Local Debt Fund

     316,551,947         216,575,122   

Australia & New Zealand Debt Fund

     38,132,467         23,037,036   

Emerging Markets Corporate Bond Fund

     47,258,374         38,871,943   

Emerging Markets Local Debt Fund

     1,393,513,651         857,896,134   

Euro Debt Fund

     141,471         2,143,795   

Global Corporate Bond Fund+

     8,284,260         488,616   

Global Real Return Fund (consolidated)

     36,045         191,627   

Managed Futures Strategy Fund (consolidated)

               
  + 

For the period January 31, 2013 through August 31, 2013.

For the fiscal year or period ended August 31, 2013, the cost of purchases and the proceeds from sales resulting from in-kind capital share transactions were as follows:

 

Fund    Purchases      Sales  

Asia Local Debt Fund

   $ 20,138,216      $ 14,635,343  

Australia & New Zealand Debt Fund

             9,326,440  

Emerging Markets Corporate Bond Fund

     62,389,935        6,956,842  

Emerging Markets Local Debt Fund

     114,061,791        174,418,822  

Global Corporate Bond Fund+

     6,543,812          
  + 

For the period January 31, 2013 through August 31, 2013.

Realized gains and losses on in-kind redemptions are not recognized by the Funds for tax purposes.

6. FEDERAL INCOME TAXES

At August 31, 2013, the cost of investments (including securities on loan) for Federal income tax purposes was as indicated below:

 

Fund    Tax Cost      Gross Unrealized
Appreciation
     Gross Unrealized
Depreciation
     Net Unrealized
Appreciation/
(Depreciation)
 

Brazilian Real Fund

   $ 41,339,471       $       $ (20    $ (20

Chinese Yuan Fund

     216,112,586                 (23,982      (23,982

Commodity Currency Fund

     15,450,633         1         (8      (7

Emerging Currency Fund

     196,016,284                 (97      (97

Indian Rupee Fund

     29,371,653                 (12      (12

Asia Local Debt Fund

     521,268,635         188,489         (53,205,298      (53,016,809

Australia & New Zealand Local Debt Fund

     46,334,142                 (6,436,368      (6,436,368

Emerging Markets Corporate Bond Fund

     153,675,853         174,231         (8,785,967      (8,611,736

Emerging Markets Local Debt Fund

     1,651,625,532         1,736,968         (239,200,869      (237,463,901

Euro Debt Fund

     4,288,384         74,283         (29,618      44,665   

Global Corporate Bond Fund

     14,702,400         5,959         (418,900      (412,941

Global Real Return Fund (consolidated)

     4,864,691         30,204         (521,735      (491,531

Managed Futures Strategy Fund (consolidated)

     163,897,202                 (36,397,047      (36,397,047

 

WisdomTree Currency, Fixed Income and Alternative Funds      77   


Notes to Financial Statements (continued)

 

At August 31, 2013, the components of accumulated earnings/(loss) on a tax-basis were as follows:

 

Fund    Undistributed
Ordinary Income
     Undistributed
Capital and Other
Gains/(Losses)
    

Net

Unrealized
Appreciation/
(Depreciation)

     Currency
Unrealized
Appreciation/
(Depreciation)
     Total Accumulated
Earnings
 

Brazilian Real Fund

   $         (63,378,666    $ (20    $       $ (63,378,686

Chinese Yuan Fund

     5,291,627         3,441,390         (23,982      86         8,709,121   

Commodity Currency Fund

             (6,762,969      (7      4,478         (6,758,498

Emerging Currency Fund

             (42,688,118      (97      (2,371,696      (45,059,911

Indian Rupee Fund

             (7,833,090      (12              (7,833,102

Asia Local Debt Fund

     512,767         (559,689      (53,016,809      (900,331      (53,964,062

Australia & New Zealand Debt Fund

             (3,393,072      (6,436,368      (43,857      (9,873,297

Emerging Markets Corporate Bond Fund

     695,338         483,589         (8,611,736              (7,432,809

Emerging Markets Local Debt Fund

     5,492,670         3,179,414         (237,463,901      (3,176,880      (231,968,697

Euro Debt Fund

     34,075         2,226         44,665         1,793         82,759   

Global Corporate Bond Fund

     19,500         18,392         (412,941      (93      (375,142

Global Real Return Fund (consolidated)

     17,228         13,896         (491,531      (502      (460,909

Managed Futures Strategy Fund (consolidated)

             (12,105,988      (36,397,047              (48,503,035

The tax character of distributions paid during the fiscal years or periods ended August 31, 2013 and August 31, 2012 was as follows:

 

      Fiscal Year Ended August 31, 2013      Fiscal Year Ended August 31, 2012  
Fund    Distributions Paid
from Ordinary
Income*
     Distributions Paid
from Long-Term
Capital Gains
     Distributions Paid
from Return of
Capital
     Distributions Paid
from Ordinary
Income*
     Distributions Paid
from Long-Term
Capital Gains
 

Brazilian Real Fund

   $       $       $       $ 10,217,882       $ 14,977,266   

Chinese Yuan Fund

             1,872,010                 3,873,870         6,166,160   

Commodity Currency Fund

                             4,188,840         5,428,694   

Emerging Currency Fund

                             15,875,484         2,837,487   

Indian Rupee Fund

                             2,624,184           

Asia Local Debt Fund

     14,382,012         672,076                 5,252,991           

Australia & New Zealand Debt Fund

     1,246,070                 331,926         2,443,718         2,222,393   

Emerging Markets Corporate Bond Fund

     4,619,285                         1,255,521          

Emerging Markets Local Debt Fund

     66,365,460         1,563,795                 42,450,424         273,795   

Euro Debt Fund

     101,434                         98,414           

Global Corporate Bond Fund

     186,002 ††                                 

Global Real Return Fund (consolidated)

     76,709                         66,948           

Managed Futures Strategy Fund (consolidated)

                             1,553,040         3,128,820   
  * Includes short-term capital gains if any.

 

   

For the period March 8, 2012 through August 31, 2012.

 

  ††

For the period January 31, 2013 through August 31, 2013.

 

78   WisdomTree Currency, Fixed Income and Alternative Funds


Notes to Financial Statements (continued)

 

At August 31, 2013, for Federal income tax purposes, the Funds have capital loss carryforwards available to offset future capital gains through the years indicated. To the extent that these loss carryforwards are utilized, capital gains so offset will not be distributed to shareholders.

 

Fund    Short-Term
Post Effective
No Expiration*
   Long-Term
Post Effective
No Expiration*
     Capital Loss
Available
Total
 

Brazilian Real Fund

   $23,346,650    $ 35,065,471       $ 58,412,121   

Chinese Yuan Fund

                  

Commodity Currency Fund

   2,477,566      3,083,036         5,560,602   

Emerging Currency Fund

   22,155,256      12,506,186         34,661,442   

Indian Rupee Fund

   3,856,618              3,856,618   

Asia Local Debt Fund

                  

Australia & New Zealand Debt Fund

   1,382,670      2,010,402         3,393,072   

Emerging Markets Corporate Bond Fund

                  

Emerging Markets Local Debt Fund

                  

Euro Debt Fund

                  

Global Corporate Bond Fund

                  

Global Real Return Fund (consolidated)

                  

Managed Futures Strategy Fund (consolidated)

   4,842,144      7,263,844         12,105,988   
  * Under the recently enacted Regulated Investment Company Modernization Act of 2010, a Fund is permitted to carry forward any new capital losses for an unlimited period. Additionally, such capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short—term as under previous law. The character of these losses are noted above.

During the fiscal year or period ended August 31, 2013, the following Funds incurred and will elect to defer net post-October capital losses and late-year ordinary losses as follows:

 

Fund    Late-Year
Ordinary
Losses
     Short-Term
Post-October
Capital  Losses
     Long-Term
Post-October
Capital  Losses
 

Brazilian Real Fund

   $ 139,745       $ 1,930,707       $ 2,896,093   

Chinese Yuan Fund

                       

Commodity Currency Fund

     68,128         441,868         692,371   

Emerging Currency Fund

     908,669         2,650,368         4,467,639   

Indian Rupee Fund

     61,635         648,323         3,266,514   

Asia Local Debt Fund

             559,689           

Australia & New Zealand Debt Fund

                       

Emerging Markets Corporate Bond Fund

                       

Emerging Markets Local Debt Fund

             519,675           

Euro Debt Fund

                       

Global Corporate Bond Fund

                       

Global Real Return Fund (consolidated)

             5           

Managed Futures Strategy Fund (consolidated)

                       

 

WisdomTree Currency, Fixed Income and Alternative Funds      79   


Notes to Financial Statements (continued)

 

During the fiscal year or period ended August 31, 2013, the following Funds utilized capital loss carryforwards of the noted amount to offset realized gains.

 

Fund    Utilized
Capital Loss
Carryforwards
 

Brazilian Real Fund

   $   

Chinese Yuan Fund

     74,475   

Commodity Currency Fund

       

Emerging Currency Fund

       

Indian Rupee Fund

       

Asia Local Debt Fund

       

Australia & New Zealand Debt Fund

     234,558   

Emerging Markets Corporate Bond Fund

       

Emerging Markets Local Debt Fund

     246,544   

Euro Debt Fund

       

Global Corporate Bond Fund

       

Global Real Return Fund (consolidated)

       

Managed Futures Strategy Fund (consolidated)

       

At August 31, 2013, the effect of permanent book/tax reclassifications resulted in increases (decreases) to the components of net assets as follows:

 

Fund    Undistributed Net
Investment
Income/(Loss)
     Accumulated Net
Realized
Gain/(Loss)
     Paid-in Capital  

Brazilian Real Fund

   $ 265,995       $       $ (265,995

Chinese Yuan Fund

     1,765,513         (2,115,398      349,885   

Commodity Currency Fund

     139,938                 (139,938

Emerging Currency Fund

     968,716                 (968,716

Indian Rupee Fund

     60,307                 (60,307

Asia Local Debt Fund

     932,765         1,479,836         (2,412,601

Australia & New Zealand Debt Fund

     (671,909      2,212,674         (1,540,765

Emerging Markets Corporate Bond Fund

     9,410         79,950         (89,360

Emerging Markets Local Debt Fund

     (9,057,394      45,917,368         (36,859,974

Euro Debt Fund

     (1,837      55,445         (53,608

Global Corporate Bond Fund

     4,642         (4,642        

Global Real Return Fund (consolidated)

     4,239         16,305         (20,544

Managed Futures Strategy Fund (consolidated)

     1,556,225         (1,878,688      322,463   

These differences are primarily due to the calculation of currency gains/losses, realized book income from wholly owned foreign subsidiaries, treatment of swap income, the realization for tax purposes of gain/(loss) on certain derivative instruments, non-deductible expenses, redemptions-in-kind, redesignation of dividends and the utilization of earnings and profits distributed to shareholders on redemption of shares.

GAAP provides guidance on tax provisions that prescribe a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Foreign taxes are provided for based on each Fund’s understanding of the tax rules and rates that exist in the foreign markets in which it invests. Taxes are accrued and applied to net investment income, net realized capital gains and net unrealized appreciation, as applicable, as the income is earned or capital gains are recorded. As of and during the fiscal year ended August 31, 2013, the Funds did not have any liabilities for unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in the future. If applicable, the Funds will recognize interest accrued related to unrecognized tax benefits in interest expense and penalties in “Other” expenses on the Statements of Operations. The Funds file tax returns with the Internal Revenue Service, the State of New York, and various other states. Generally, each of the tax years in the four-year period ended August 31, 2013, remains subject to examination by taxing authorities.

7. NEW ACCOUNTING PRONOUNCEMENTS

In December 2011, FASB issued Accounting Standards Update No. 2011-11 “Disclosures about Offsetting Assets and Liabilities” (“ASU 2011-11”). These disclosures are intended to help investors and other financial statement users to better assess the effect or potential effect of offsetting arrangements on a company’s financial position. They also improve transparency in the reporting of how companies mitigate credit risk, including disclosure of related collateral pledged or received. In addition, ASU 2011-11 facilitates

 

80   WisdomTree Currency, Fixed Income and Alternative Funds


Notes to Financial Statements (concluded)

 

comparisons between those entities that prepare their financial statements on the basis of US 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 effective for fiscal years beginning on or after January 1, 2013, and interim periods within those annual periods.

On January 31, 2013, FASB issued Accounting Standards Update No. 2013-01 “Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities” (“ASU 2013-01”). ASU 2013-01 limits the scope of the new balance sheet offsetting disclosures 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. The disclosures are required irrespective of whether the transactions are offset in the statement of assets and liabilities. The effective date and transition of the disclosure requirements in ASU 2011-11 remain unchanged.

At this time, management is evaluating the implications of ASU 2011-11 and ASU 2013-01 and their impact on the Trust’s financial statement disclosures.

8. LEGAL MATTER

On December 1, 2011, Research Affiliates, LLC (“Research Affiliates”) filed a complaint in the United States District Court for the Central District of California, naming the Trust, WTAM, and its parent company, WisdomTree Investments, along with other parties, as defendants. The complaint alleged that the fundamentally weighted investment methodology developed by WisdomTree Investments and employed by the Trust infringes three of plaintiff’s patents. The complaint sought both unspecified monetary damages to be determined and an injunction to prevent further infringement.

On November 7, 2012, Research Affiliates agreed to withdraw its suit and defendants agreed to withdraw their counterclaims and entered into a settlement agreement. Under the settlement, all parties exchanged releases for all existing claims. The other material terms of the settlement are as follows:

 

 

Research Affiliates agreed not to sue the Trust, WTAM and WisdomTree Investments (the “WisdomTree Parties”) for any future claims arising under any current patents held by Research Affiliates, as well as any future patents relating to fundamentally-weighted indexes and strategies that may issue under existing or future patent applications that may be filed by Research Affiliates within the next eight years, subject to reduction by up to three years if Research Affiliates is acquired. The covenant not to sue extends to service providers and customers of the WisdomTree Parties in connection with their products and services.

 

 

The WisdomTree Parties agreed not to sue Research Affiliates for any future claims arising under any current patents held by the WisdomTree Parties, as well as any future patents relating to fundamentally-weighted indexes and strategies that may issue under existing or future patent applications that may be filed by the WisdomTree Parties within the next eight years, subject to reduction by up to three years if any of the WisdomTree Parties are acquired. The covenant not to sue extends to service providers and customers of Research Affiliates in connection with Research Affiliates’ products and services.

 

 

Research Affiliates and the WisdomTree Parties agreed that the covenants not to sue do not include a right under each party’s patents to copy the other party’s methodologies. They have further agreed that it is not copying if Research Affiliates introduces an index or strategy that uses at least three fundamental factors to weight its indexes and they are not predominantly dividend-or earnings-weighted, or any of the WisdomTree Parties introduces an index or strategy that is weighted by less than three fundamental factors.

 

 

The parties also agreed not to challenge the other party’s patents or patent applications.

 

 

Research Affiliates agreed to a one-time payment of $0.7 million to WisdomTree Investments. The WisdomTree Parties and the other defendants were not required to make any current or future payments to Research Affiliates.

All other terms of the settlement are confidential and the settlement will not affect the current methodologies and fees for any of the Trust’s Funds.

WTAM and WisdomTree Investments had previously contractually agreed to indemnify the Trust and pay any losses, claims and damages (including legal fees) incurred by the Trust or a Fund in connection with the complaint so the Trust incurred no out-of-pocket expense in connection with this lawsuit.

9. SUBSEQUENT EVENTS

At a meeting held on June 12, 2013 of the Board of Trustees of the Trust, WTAM recommended the appointment of WAMCO to serve as a new investment sub-adviser for the Global Real Return Fund (the “Fund”), replacing MCM, the Fund’s then-current investment sub-adviser. WTAM’s recommendation of WAMCO was based on, among other factors, WAMCO’s prior experience with funds in the WisdomTree fund complex as well as WAMCO’s expertise in active management and its performance track record. Subsequent to the reporting period, on September 26, 2013, WAMCO’s appointment as the new investment sub-adviser for the Fund became effective.

In September 2013, WTAM entered into agreements to change fund administration and custody services from Bank of New York Mellon to State Street Bank and Trust Company, effective April 1, 2014.

 

WisdomTree Currency, Fixed Income and Alternative Funds      81   


Report of Independent Registered Public Accounting Firm

 

The Board of Trustees and Shareholders of WisdomTree Trust:

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of WisdomTree Brazilian Real Fund (formerly, WisdomTree Dreyfus Brazilian Real Fund), WisdomTree Chinese Yuan Fund (formerly, WisdomTree Dreyfus Chinese Yuan Fund), WisdomTree Commodity Currency Fund (formerly WisdomTree Dreyfus Commodity Currency Fund), WisdomTree Emerging Currency Fund (formerly, WisdomTree Dreyfus Emerging Currency Fund), WisdomTree Indian Rupee Fund (formerly, WisdomTree Dreyfus Indian Rupee Fund), Wisdom Tree Asia Local Debt Fund, WisdomTree Australia & New Zealand Debt Fund, WisdomTree Emerging Markets Corporate Bond Fund, WisdomTree Emerging Markets Local Debt Fund, WisdomTree Euro Debt Fund, WisdomTree Global Corporate Bond Fund, WisdomTree Global Real Return Fund and WisdomTree Managed Futures Strategy Fund (thirteen of the investment funds constituting the WisdomTree Trust (the “Trust”)) as of August 31, 2013, and the related statements of operations, statements of changes in net assets and financial highlights for the periods indicated therein. These financial statements and financial highlights are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Trust’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2013, by correspondence with the custodian and brokers or by other appropriate auditing procedures where replies from brokers were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of WisdomTree Brazilian Real Fund (formerly, WisdomTree Dreyfus Brazilian Real Fund), WisdomTree Chinese Yuan Fund (formerly, WisdomTree Dreyfus Chinese Yuan Fund), WisdomTree Commodity Currency Fund (formerly WisdomTree Dreyfus Commodity Currency Fund), WisdomTree Emerging Currency Fund (formerly, WisdomTree Dreyfus Emerging Currency Fund), WisdomTree Indian Rupee Fund (formerly, WisdomTree Dreyfus Indian Rupee Fund), Wisdom Tree Asia Local Debt Fund, WisdomTree Australia & New Zealand Debt Fund, WisdomTree Emerging Markets Corporate Bond Fund, WisdomTree Emerging Markets Local Debt Fund, WisdomTree Euro Debt Fund, WisdomTree Global Corporate Bond Fund, WisdomTree Global Real Return Fund and WisdomTree Managed Futures Strategy Fund of WisdomTree Trust at August 31, 2013, the results of their operations, the changes in their net assets and the financial highlights for each of the indicated periods, in conformity with U.S. generally accepted accounting principles.

 

LOGO

New York, New York

October 29, 2013

 

82   WisdomTree Currency, Fixed Income and Alternative Funds


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

 

At a meeting of Board of Trustees (the “Board”) of the WisdomTree Trust (the “Trust”) held on June 12, 2013 (the “Meeting”), WisdomTree Asset Management, Inc. (“WTAM”) recommended the appointment of Western Asset Management Company (“Western”) to serve as a new investment sub-adviser for WisdomTree Global Real Return Fund (the “Fund”), replacing Mellon Capital Management Corporation, the Fund’s then-current investment sub-adviser. WTAM’s recommendation of Western was based on, among other factors, Western’s prior experience with funds in the WisdomTree fund complex as well as Western’s expertise in active management and its performance track record.

At the Meeting, the Board, 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 Sub-Advisory Agreement (the “Agreement”) between WTAM and Western pursuant to which Western will coordinate the investment and reinvestment of the assets of the Fund.

In considering whether to approve the Agreement, the Board considered and discussed information and analysis provided by WTAM. The Board was assisted in its review by independent legal counsel. In considering the approval of the Agreement, the Board considered all factors that it deemed to be relevant, including those discussed below. The Board did not identify any particular factor as controlling, and each Trustee may have attributed different weights to the various factors.

Nature, Extent and Quality of Services to be Provided. The Board considered the nature, extent and quality of the services to be provided by Western, recognizing Western’s operational capabilities and resources. The Board considered Western’s organization, history and reputation and the qualifications of its personnel, as well as its expertise in providing portfolio management services to other similar investment portfolios. The Board also considered WTAM’s favorable assessment of the nature and quality of the investment sub-advisory services expected to be provided to the Fund by Western and WTAM’s recommendation to engage Western.

Investment Performance of Western. Because Western was a newly-appointed investment sub-adviser for the Fund, the Board could not consider Western’s investment performance in managing the Fund’s portfolio as a factor in evaluating the Agreement during the Meeting. The Board discussed with WTAM representatives the portfolio management personnel and the investment strategies to be employed in management of the Fund’s assets.

Costs of Services to be Provided, Profitability and Economies of Scale. The Board considered the proposed fees to be paid under the Agreement, noting that the fees would be paid by WTAM, and not the Fund, and thus would not impact the fees paid by the Fund. The Board concluded that the proposed fees payable to Western by WTAM were reasonable and appropriate. The Board recognized that, because Western’s fee would be paid by WTAM, and not the Fund, an analysis of profitability and economies of scale was more appropriate in the context of the Board’s consideration of the investment advisory agreement between the Trust and WTAM. Accordingly, the Board did not consider Western’s profitability to be relevant to its deliberations with respect to approval of the Agreement. The Board considered potential benefits to Western from acting as investment sub-adviser to the Fund.

Conclusion. After consideration of the factors discussed above, the Board, including a majority of the Independent Trustees, determined that the approval of the Agreement was in the best interests of the Fund and approved the Agreement for the Fund.

 

WisdomTree Currency, Fixed Income and Alternative Funds      83   


Trustees and Officers Information (unaudited)

 

The Board of Trustees has responsibility for the overall management and operations of the Funds, including general supervision of the duties performed by WTAM and other service providers. The Board of Trustees elects the officers of the Trust who are responsible for administering the Trust’s day-to-day operations. Each Trustee serves until his or her successor is duly elected or appointed and qualified.

The address of each Trustee and Officer is c/o WisdomTree Asset Management, Inc., 380 Madison Avenue, 21st Floor, New York, NY 10017.

The Fund’s 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.

Interested Trustee and Officers

 

Name
and Year of Birth
of Trustee/Officer

 

Position(s) Held with
the Trust, Term of
Office and Length
of Time Served

 

Principal Occupation(s)
During the Past 5 Years

  Number of Portfolios
in Fund Complex
Overseen by Trustee/
Officer+
    Other
Directorships
Held by Trustee
During Past
5 Years

Trustees Who Are Interested Persons of the Trust

Jonathan Steinberg
(1964)
  Trustee, 2005- present; President, 2005-present   President, WisdomTree Trust since 2005; President, WisdomTree. Investments, Inc. and WisdomTree Asset Management, Inc.; Chief Executive Officer, WisdomTree Investments, Inc. and WisdomTree Asset Management, Inc.     54      Director,
WisdomTree
Investments,
Inc. and
WisdomTree
Asset
Management,
Inc.

Trustees Who Are Not Interested Persons of the Trust

Joel Goldberg*
(1945)
  Trustee, 2012- present   Attorney, Partner at Strook & Strook & Lavan LLP, 2010 to present; Attorney, Partner at Willkie Farr & Gallagher LLP, 2006 to 2010    
 
54
 
  
  
  None
Toni Massaro**
(1955)
  Trustee, 2006- present   Dean Emerita at the University of Arizona James E. Rogers College of Law (“Rogers College of Law”) since 2009 (distinguished Emerita in July 2009); Dean at the Rogers College of Law from 1999 to 2009; Regents’ Professor since 2006; Milton O. Riepe Chair in Constitutional Law since 1997; Professor at the Rogers College of Law since 1990.     54      None
Victor Ugolyn
(1947)
  Trustee, 2006- present; Chairman of the Board of Trustees, 2006- present   Private Investor, 2005 to present; President and Chief Executive Officer of William D. Witter, Inc. from 2005 to 2006; Consultant to AXA Enterprise in 2004; Chairman, President and Chief Executive Officer of Enterprise Capital Management (subsidiary of The MONY Group, Inc.) and Enterprise Group of Funds, Chairman of MONY Securities Corporation, and Chairman of the Fund Board of Enterprise Group of Funds from 1991 to 2004.     54      Member of
the Board of
Governors of
Naismith
Memorial
Basketball
Hall of Fame

 

* Chair of the Governance and Nominating Committee.

 

** Chair of the Audit Committee.

 

+ As of October 25, 2013

 

84   WisdomTree Currency, Fixed Income and Alternative Funds


Trustees and Officers Information (unaudited) (concluded)

 

Name
and Year of Birth
of Trustee/Officer

 

Position(s) Held with
the Trust, Term of
Office and Length
of Time Served

 

Principal Occupation(s)
During the Past 5 Years

  Number of Portfolios
in Fund Complex
Overseen by Trustee/
Officer+
  Other
Directorships
Held by Trustee
During Past
5 Years

Officers of the Trust

Jonathan Steinberg***
(1964)
  President, 2005- present; President, 2005-present   President, WisdomTree Trust since 2005; President, WisdomTree. Investments, Inc. and WisdomTree Asset Management, Inc.; Chief Executive Officer, WisdomTree Investments, Inc. and WisdomTree Asset Management, Inc.   54  
David Castano***
(1971)
  Treasurer, 2013- Present   Director of Fund Accounting & Administration, WisdomTree Asset Management, Inc., since 2011; Vice President of Legg Mason & Co. and served as Treasurer from 2010 to 2011 and Controller from 2006 to 2010 of certain mutual funds associated with Legg Mason & Co.; Assistant Treasurer of Lord Abbett mutual funds from 2004 to 2006.   54  
Ryan Louvar***
(1972)
  Secretary and Chief Legal Officer, 2013-present   General Counsel, WisdomTree Asset Management, Inc. since 2013; Vice President and Senior Managing Counsel, State Street, 2005 to 2013.   54  
Sarah English***
(1977)
  Assistant Secretary 2013-present   Corporate Counsel, WisdomTree Asset Management, Inc. since 2010; Attorney, NYFIX, Inc. 2006 to 2009.   54  
Terry Jane Feld***
(1960)
  Chief Compliance Officer, 2012- present   Chief Compliance Officer WisdomTree Asset Management, Inc. since 2012; Senior Compliance Officer, WisdomTree Asset Management, Inc. since 2011; Senior Compliance Officer, TIAA-CREF, 2007 to 2010; Vice President/NASD- SEC Compliance, Mutual of America Life Insurance Co., 2004 to 2007.    

 

*** Elected by and serves at the pleasure of the Board.

 

+ As of October 25, 2013

 

WisdomTree Currency, Fixed Income and Alternative Funds      85   


Supplemental Information (unaudited)

 

Federal Income Tax Information

The following Federal tax information related to the Funds’ fiscal year ended August 31, 2013 is provided for information purposes only and should not be used for reporting to federal or state revenue agencies. Federal tax information for the calendar year will be reported to you on Form 1099-DIV in January 2014.

The Funds designate the following amount of ordinary income distributions paid during the fiscal year or period ended August 31, 2013 from qualified short-term gains and qualified interest income:

 

Fund    Qualified  Short-Term
Gains
     Qualified Interest
Income
 

Brazilian Real Fund

     0.00 %      0.00 %

Chinese Yuan Fund

     0.00 %      0.00 %

Commodity Currency Fund

     0.00 %      0.00 %

Emerging Currency Fund

     0.00 %      0.00 %

Indian Rupee Fund

     0.00 %      0.00 %

Asia Local Debt Fund

     100.00 %      0.38 %

Australia & New Zealand Debt Fund

     0.00 %      0.00 %

Emerging Markets Corporate Bond Fund

     0.00 %      2.34 %

Emerging Markets Local Debt Fund

     100.00 %      0.08 %

Euro Debt Fund

     100.00 %      0.00 %

Global Corporate Bond Fund

     0.00 %      35.49 %

Global Real Return Fund (consolidated)

     100.00 %      16.95 %

Managed Futures Strategy Fund (consolidated)

     0.00 %      0.00 %

The Funds intend to elect to pass through to shareholders the credit for taxes paid during the fiscal year or period ended August 31, 2013 to foreign countries. The gross foreign source income and foreign taxes paid are as follows:

 

Fund   

Gross Foreign

Income

    

Foreign

Taxes Paid

 

Brazilian Real Fund

   $       $   

Chinese Yuan Fund

               

Commodity Currency Fund

               

Emerging Currency Fund

               

Indian Rupee Fund

               

Asia Local Debt Fund

     14,636,363         540,856   

Australia & New Zealand Debt Fund

     2,154,357         7,884   

Emerging Markets Corporate Bond Fund

               

Emerging Markets Local Debt Fund

     73,834,769         1,911,100   

Euro Debt Fund

               

Global Corporate Bond Fund

               

Global Real Return Fund (consolidated)

               

Managed Futures Strategy Fund (consolidated)

               

 

86   WisdomTree Currency, Fixed Income and Alternative Funds


General Information (unaudited)

 

Proxy Voting Policies, Procedures and Record

A complete copy of the Proxy Voting Policy may be obtained by calling 1-866-909-WISE (9473) or writing to: WisdomTree Trust, c/o ALPS Distributors, Inc., 1290 Broadway, Suite 1100, Denver, Colorado 80203.

The Trust is required to disclose annually the Funds’ complete proxy voting record on Form N-PX covering the most recent 12-month period ended June 30 and to file Form N-PX with the Securities and Exchange Commission (“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 or 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.

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.

 

WisdomTree Currency, Fixed Income and Alternative Funds      87   


The WisdomTree Family of Funds

The following is a list of WisdomTree Funds being offered, along with their respective ticker symbols, as of August 31, 2013:

 

WisdomTree Domestic Dividend Funds

 

WisdomTree Total Dividend Fund (DTD)

 

WisdomTree Equity Income Fund (DHS)

 

WisdomTree LargeCap Dividend Fund (DLN)

 

WisdomTree Dividend ex-Financials Fund (DTN)

 

WisdomTree MidCap Dividend Fund (DON)

 

WisdomTree SmallCap Dividend Fund (DES)

 

WisdomTree U.S. Dividend Growth Fund (DGRW)

 

WisdomTree U.S. SmallCap Dividend Growth Fund (DGRS)

 

WisdomTree International Dividend Funds

 

WisdomTree DEFA Fund (DWM)

 

WisdomTree DEFA Equity Income Fund (DTH)

 

WisdomTree Global Equity Income Fund (DEW)

 

WisdomTree Europe SmallCap Dividend Fund (DFE)

 

WisdomTree Japan Hedged Equity Fund (DXJ)

 

WisdomTree Global ex-U.S. Growth Fund (DNL)

 

WisdomTree Japan SmallCap Dividend Fund (DFJ)

 

WisdomTree Asia Pacific ex-Japan Fund (AXJL)

 

WisdomTree Australia Dividend Fund (AUSE)

 

WisdomTree International LargeCap Dividend Fund (DOL)

 

WisdomTree International Dividend ex-Financials Fund (DOO)

 

WisdomTree International MidCap Dividend Fund (DIM)

 

WisdomTree International SmallCap Dividend Fund (DLS)

 

WisdomTree Emerging Markets Equity Income Fund (DEM)

 

WisdomTree Emerging Markets SmallCap Dividend Fund (DGS)

 

WisdomTree Middle East Dividend Fund (GULF)

 

WisdomTree Europe Hedged Equity Fund (HEDJ)

 

WisdomTree China Dividend ex-Financials Fund (CHXF)

 

WisdomTree United Kingdom Hedged Equity Fund (DXPS)

 

WisdomTree Japan Hedged SmallCap Equity Fund (DXJS)

 

WisdomTree Emerging Markets Dividend Growth Fund (DGRE)

 

  

WisdomTree International Dividend Sector Funds

 

WisdomTree Commodity Country Equity Fund (CCXE)

 

WisdomTree Global Natural Resources Fund (GNAT)

 

WisdomTree Global ex-U.S. Utilities Fund (DBU)

 

WisdomTree Global ex-U.S. Real Estate Fund (DRW)

 

WisdomTree Domestic and International Earnings Funds

 

WisdomTree Total Earnings Fund (EXT)

 

WisdomTree Earnings 500 Fund (EPS)

 

WisdomTree MidCap Earnings Fund (EZM)

 

WisdomTree SmallCap Earnings Fund (EES)

 

WisdomTree LargeCap Value Fund (EZY)

 

WisdomTree India Earnings Fund (EPI)

 

WisdomTree Currency Funds

 

WisdomTree Brazilian Real Fund (BZF)

 

WisdomTree Chinese Yuan Fund (CYB)

 

WisdomTree Commodity Currency Fund (CCX)

 

WisdomTree Emerging Currency Fund (CEW)

 

WisdomTree Indian Rupee Fund (ICN)

 

WisdomTree Fixed Income Funds

 

WisdomTree Asia Local Debt Fund (ALD)

 

WisdomTree Australia & New Zealand Debt Fund (AUNZ)

 

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

 

WisdomTree Emerging Markets Local Debt Fund (ELD)

 

WisdomTree Euro Debt Fund (EU)

 

WisdomTree Global Corporate Bond Fund (GLCB)

 

WisdomTree Alternative Funds

 

WisdomTree Global Real Return Fund (RRF)

 

WisdomTree Managed Futures Strategy Fund (WDTI)

The WisdomTree Funds are exchange traded funds (“ETFs”) registered with the United States Securities and Exchange Commission as separate series (“Funds”) of WisdomTree Trust (“Trust”). WisdomTree Asset Management, Inc., a wholly owned subsidiary of WisdomTree Investments, Inc., serves as the investment adviser to the Trust. None of the WisdomTree entities are affiliated with ALPS Distributors, Inc., the Funds’ distributor. WisdomTree Investments, its affiliates and their independent providers are not liable for any informational errors, incompleteness, delays, or for any actions taken in reliance on information contained herein.

Investors should consider the investment objectives, risks, charges and expenses of the Funds carefully before investing. A prospectus, containing this and other information, is available at www.wisdomtree.com, or by calling 1-866-909-WISE (9473). Investors should read the prospectus carefully before investing. There are risks associated with investing, including possible loss of principal. Past performance does not guarantee future results. Indexes are unmanaged and you cannot invest directly in an index.

There are risks associated with investing including possible loss of principal. Foreign investing involves special risks, such as risk of loss from currency fluctuation or political or economic uncertainty. Investments in real estate involve additional special risks, such as credit risk, interest rate fluctuations and the effect of varied economic conditions. Funds that focus their investments in one country or region may be significantly impacted by events and developments associated with the region which can adversely affect performance. Funds focusing on a single sector and/or smaller companies generally experience greater price volatility. Investments in emerging, offshore or frontier markets are generally less liquid and less efficient than investments in developed markets and are subject to additional risks, such as risks of adverse governmental regulation and intervention or political developments. Inflation protected securities do not eliminate risks associated with inflation or deflation. Investments in currency involve additional special risks, such as credit risk and interest rate fluctuations. Derivative investments can be volatile and these investments may be less liquid than other securities, and more sensitive to the effect of varied economic conditions. As these Funds can have a high concentration in some issuers the Funds can be adversely impacted by changes affecting such issuers.

Fixed income investments are subject to interest rate risk; their value will normally decline as interest rates rise. In addition when interest rates fall income may decline. Fixed income investments are also subject to credit risk, the risk that the issuer of a bond will fail to pay interest and principal in a timely manner, or that negative perceptions of the issuer’s ability to make such payments will cause the price of that bond to decline. One of the risks associated with the Managed Futures Strategy Fund (WDTI) and the Global Real Return Fund (RRF) is the complexity of the different factors which contribute to each Fund’s performance, as well as their correlation (or non-correlation) to other asset classes. These factors include use of long and short positions in commodity futures contracts, currency forward contracts, swaps and other derivatives. An investment in WDTI is speculative and involves a substantial degree of risk. WDTI should not be used as a proxy for taking long only (or short only) positions in commodities or currencies. In markets without sustained price trends or markets that quickly reverse or “whipsaw” WDTI may suffer significant losses. Unlike typical exchange-traded funds, there are no indexes that the Currency Funds, Fixed Income Funds, WDTI or RRF attempt to track or replicate. Thus, the ability of these Funds to achieve their objectives will depend on the effectiveness of the portfolio manager. Due to the investment strategy of certain Funds they may make higher capital gain distributions than other ETFs. Please read the Fund’s prospectus for specific details regarding the Fund’s risk profile.

Transactions in Fund shares will result in brokerage commissions and will generate tax consequences. Shares may be sold through brokerage accounts, but may be redeemed from the Funds only in large amounts of 50,000 shares or more.


WisdomTree Trust

380 Madison Avenue, 21st Floor

New York, NY 10017

 

LOGO

 

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Currency Funds

WisdomTree Brazilian Real Fund

(formerly, WisdomTree Dreyfus Brazilian Real Fund)

WisdomTree Chinese Yuan Fund

(formerly, WisdomTree Dreyfus Chinese Yuan Fund)

WisdomTree Commodity Currency Fund

(formerly, WisdomTree Dreyfus Commodity Currency Fund)

WisdomTree Emerging Currency Fund

(formerly, WisdomTree Dreyfus Emerging Currency Fund)

WisdomTree Indian Rupee Fund

(formerly, WisdomTree Dreyfus Indian Rupee Fund)

Fixed Income Funds

WisdomTree Asia Local Debt Fund

WisdomTree Australia & New Zealand Debt Fund

WisdomTree Emerging Markets Corporate Bond Fund

WisdomTree Emerging Markets Local Debt Fund

WisdomTree Euro Debt Fund

WisdomTree Global Corporate Bond Fund

Alternative Funds

WisdomTree Global Real Return Fund

WisdomTree Managed Futures Strategy Fund

WisdomTree Fund shares are distributed by ALPS Distributors, Inc.

WIS005783 10/2014


Item 2. Code of Ethics.

 

  (a) The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

 

  (c) There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description.

 

  (d) The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions.

 

  (f) The code of ethics is attached hereto as an exhibit.

Item 3. Audit Committee Financial Expert.

The registrant’s Board of Trustees has determined that the registrant has one audit committee financial expert, as that term is defined under Item 3(b) and 3(c), serving on its audit committee. The audit committee financial expert serving on the registrant’s audit committee is Victor Ugolyn, who is an independent Trustee of the Trust, as that term is defined under Item 3(a)(2).

Item 4. Principal Accountant Fees and Services.

Audit Fees

 

  (a) The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $298,677 for 2013 and $291,445 for 2012.

Audit-Related Fees

 

  (b) The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 for 2013 and $0 for 2012.


Tax Fees

 

  (c) The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $133,200 for 2013 and $116,000 for 2012.

All Other Fees

 

  (d) The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 for 2013 and $0 for 2012.

 

  (e)(1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

Per Rule 2-01(c) (7) (A), the registrant’s audit committee charter provides that the audit committee shall select and approve in advance the retention of independent accountants to annually audit and provide their opinion on the registrant’s financial statements. The audit committee must also approve prior to appointment the engagement of the principal accountant to provide other audit services to the registrant or to provide non-audit services to the registrant, its investment adviser, or any entity controlling, controlled by, or under common control with its investment adviser (“adviser/affiliate”) that provides ongoing services to the registrant, if the engagement by the investment adviser or adviser affiliate relates directly to the operations and financial reporting of the registrant. The audit committee must also, prior to appointment of the engagement of the principal accountant, review and approve the fees proposed to be charged to the registrant by the auditors for each audit and non-audit service. The audit committee must also consider whether non-audit services provided by the registrant’s principal accountant to the registrant’s investment adviser, or adviser/affiliate that provides ongoing services to the Trust are compatible with maintaining the auditor’s independence.

 

  (e)(2) The registrant’s Audit Committee has approved 100% of services described in each of Items 4(b) through (d) pursuant to paragraph (c) (7) (A) of Rule 2-01 of Regulation S-X.

 

  (f) The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.

 

  (g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $173,200 for 2013 and $116,000 for 2012.

 

  (h) Not applicable.

Item 5. Audit Committee of Listed registrants.

The registrant is an issuer as defined in Rule 10A-3 under the Exchange Act and has a separately-designated standing audit committee established in accordance with Section 3(a) (58)A of the Exchange Act. The registrant’s audit committee members are Toni Massaro and Victor Ugolyn.


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.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 11. Controls and Procedures.

 

  (a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).


  (b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

 

  (a)(1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.

 

  (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.

(12.other) Not applicable.


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  

November 11, 2013

  

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  

November 11, 2013

 
By (Signature and Title)*  

/s/ David Castano

David Castano, Treasurer

(principal financial officer)

 
Date  

November 11, 2013

 

 

*  Print the name and title of each signing officer under his or her signature.