Amplify Commodity Trust 10-K

Item 5. Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities. Shares of RISE have traded on the NYSE Arca under the symbol “RISE” since February 19, 2015. As of June 30, 2020, RISE had approximately 100 holders of its shares. Shares of BDRY have traded on the NYSE Arca under the symbol “BDRY” since March 22, 2018. As of June 30, 2020, BDRY had approximately 1,325 holders of its shares. Dividends The Funds have not made and do not currently intend to make cash distributions to their shareholders. Issuer Purchases of Equity Securities The Funds do not purchase shares directly from their shareholders. 18 Authorized Participant redemption activity for each Fund during the period from April 1, 2020 through June 30, 2020 and the period from April 1, 2019 through June 30, 2019 was as follows: RISE Period of Redemption Total Number of Shares Redeemed Average Price Paid per Share Period from April 1, 2020 through June 30, 2020 — $ — Period from April 1, 2019 through June 30, 2019 750,000 $ 23.69 BDRY Period of Redemption Total Number of Shares Redeemed Average Price Paid per Share Period from April 1, 2020 through June 30, 2020 200,000 $ 7.63 Period from April 1, 2019 through June 30, 2019 — $ — Item 6. Selected Financial Data. Not required for small reporting companies. Item 7 . Management’s Discussion and Analysis of Financial Condition and Results of Operations. The following discussion should be read in conjunction with the financial statements and the notes thereto of the Trust and the Fund included elsewhere in this annual report on Form 10-K. This information should be read in conjunction with the financial statements and notes included in Item 8 of this Annual Report (the “Report”). The discussion and analysis which follows may contain trend analysis and other forward-looking statements within the meaning of Section 21E of the Securities Exchange Act of 1934 which reflect our current views with respect to future events and financial results. Words such as “anticipate,” “expect,” “intend,” “plan,” “believe,” “seek,” “outlook” and “estimate,” as well as similar words and phrases, signify forward-looking statements. ETF Managers Group Commodity Trust I’s forward-looking statements are not guarantees of future results and conditions, and important factors, risks and uncertainties may cause our actual results to differ materially from those expressed in our forward-looking statements. You should not place undue reliance on any forward-looking statements. Except as expressly required by the Federal securities laws, ETF Managers Capital, LLC undertakes no obligation to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Report, as a result of new information, future events or changed circumstances or for any other reason after the date of this Report. Overview The Trust is a Delaware statutory trust formed on July 23, 2014. It is a series trust currently consisting of two publicly listed series: Sit Rising Rate ETF (“RISE”) and Breakwave Dry Bulk Shipping ETF (“BDRY”). All of the series of the Trust are collectively referred to as the “Funds” and singularly as the “Fund.” Each Fund issues common units, called the “Shares,” representing fractional undivided beneficial interests in the respective Fund. The Trust and the Funds operate pursuant to the Trust’s Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”). The Sponsor has the power and authority to establish and designate one or more series and to issue shares thereof, from time to time as it deems necessary or desirable. The Sponsor has exclusive power to fix and determine the relative rights and preferences as between the shares of any series as to the right of redemption, special and relative rights as to dividends and other distributions and on liquidation, conversion rights, and conditions under which the series shall have separate voting rights or no voting rights. The term for which the Trust is to exist commenced on the date of the filing of the Certificate of Trust, and the Trust, the Funds, and any additional series created in the future will exist in perpetuity, unless earlier terminated in accordance with the provisions of the Trust Agreement. Separate and distinct records shall be maintained for each Fund and the assets associated with a Fund shall be held in such separate and distinct records (directly or indirectly, including a nominee or otherwise) and accounted for in such separate and distinct records separately from the assets of any other series. The Funds and each future series will be separate from all such series in respect of the assets and liabilities allocated to a Fund and each separate series and will represent a separate investment portfolio of the Trust. The sole Trustee of the Trust is Wilmington Trust, N.A. (the “Trustee”), and the Trustee serves as the Trust’s corporate trustee as required under the Delaware Statutory Trust Act (“DSTA”). The Trustee’s principal offices are located at 1100 North Market Street, Wilmington, Delaware 19890. The Trustee is unaffiliated with the Sponsor. The rights and duties of the Trustee and the Sponsor with respect to the offering of the Shares and Fund management and the shareholders are governed by the provisions of the DSTA and by the Trust Agreement. 19 On January 29, 2015, the initial Form S-1 for the Fund was declared effective by the U.S. Securities and Exchange Commission (“SEC”). On January 8, 2015, 4 Creation Baskets for the Fund were issued representing 200,000 shares and $5,000,000. The Fund began trading on the New York Stock Exchange (“NYSE”) Arca on February 19, 2015. On March 9, 2018, the initial Forms S-1 for BDRY was declared effective by the SEC. On March 21, 2018, two Creation Baskets were issued for the Fund, representing 100,000 shares and $2,500,000. The Fund began trading on the New York Stock Exchange (“NYSE”) Arca on March 22, 2018. Each Fund is designed and managed to track the performance of a portfolio (a “Benchmark Portfolio”) consisting of futures contracts and options on futures contracts (the “Benchmark Component Instruments”). Results of Operations RISE commenced investment operations on February 19, 2015 at $25.00 per Share. The Shares have been trading on the NYSE Arca since February 19, 2015 under the symbol “RISE”. BDRY commenced investment operations on March 22, 2018 at $25.00 per Share. The Shares have been trading on the NYSE Arca since March 22, 2018 under the symbol “BDRY.” Each Fund seeks to track the daily return of the applicable Benchmark Portfolio, over time, plus the excess, if any, of the Fund’s interest income from its holdings of United States Treasury Obligations, options and futures, and, if applicable, other high credit quality short-term fixed income securities over the expenses of the Fund. The following graphs illustrate changes in (i) the price of each Fund’s Shares (reflected, as applicable, by the graphs “Comparison of Per Share RISE NAV to RISE Market Value for the Three Months Ended June 30, 2020 and 2019” and “Comparison of Per Share RISE NAV to RISE Market Value for the Year Ended June 30, 2020 and 2019 and (ii) the Fund’s NAV (as reflected by the graphs “Comparison of RISE NAV to Benchmark Index for the Three Months Ended June 30, 2020 and 2019” and “Comparison of RISE NAV to Benchmark Index for the Year Ended June 30, 2020 and 2019”). Each Benchmark Portfolio is frictionless, in that it does not take into account fees or expenses associated with investing in the applicable Fund. The performance of the Funds involves friction, in that fees and expenses impose a drag on performance. Sit Rising Rate ETF During the year ended June 30, 2020, interest rates went from being stable to declining sharply due to a flight to quality sparked by the COVID-19 pandemic. RISE is particularly sensitive to the impact of changes in the Fed funds rate which declined from 1.50% to nearly zero in March 2020. As a result, this decline in the Fed funds rate drove up treasury bond prices. Since the RISE portfolio is short bond futures, this caused the net asset value per share of RISE to decline. The Federal Reserve reduced interest rates drastically to try to help off-set some of the economic decline from the economy shutting down in an attempt to slow the spread of the virus. The Fed also pursued other policies in an attempt to stabilize financial markets. While financial markets have stabilized, interest rates remain low as investors expect the Fed to keep interest rates low until economic activity returns to a more normalized level, which could be sometime in 2021 once a vaccine has been widely distributed. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE. The per Share market value of RISE and its NAV tracked closely for the three months ended June 30, 2020. 20 NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE. The per Share market value of RISE and its NAV tracked closely for the year ended June 30, 2020. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE. The per Share market value of RISE and its NAV tracked closely for the three months ended June 30, 2019. 21 NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE. The per Share market value of RISE and its NAV tracked closely for the year ended June 30, 2019. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE. The graph above compares the return of RISE with the benchmark portfolio returns for the three months ended June 30, 2020. The difference in the NAV price and the benchmark value often results in the appearance of a NAV premium or discount to the benchmark. The difference is related to the cumulative impact on NAV of the Fund’s income and expenses during the period presented in the chart above. 22 NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE. The graph above compares the return of RISE with the benchmark portfolio returns for the year ended June 30, 2020. The difference in the NAV price and the benchmark value often results in the appearance of a NAV discount to the benchmark. The difference is related to the cumulative impact on NAV of the Fund’s expenses during the period presented in the chart above. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE. The graph above compares the return of RISE with the benchmark portfolio returns for the three months ended June 30, 2019. The difference in the NAV price and the benchmark value often results in the appearance of a NAV discount to the benchmark. The difference is related to the cumulative impact on NAV of the Fund’s expenses during the period presented in the chart above. 23 NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE. The graph above compares the return of RISE with the benchmark portfolio returns for the year ended June 30, 2019. The difference in the NAV price and the benchmark value often results in the appearance of a NAV discount to the benchmark. The difference is related to the cumulative impact on NAV of the Fund’s expenses. FOR THE YEAR ENDED JUNE 30, 2020 Fund Share Price Performance During the year ended June 30, 2020, the NYSE Arca market value of each share decreased (-10.87%) from $22.73 per share, representing the closing price on June 28, 2019, to $20.26 per share, representing the closing price on June 30, 2020. The share price high and low for the year ended June 30, 2020 and related change from the closing share price on June 30, 2019 was as follows: shares traded from a high of $23.10 per share (+1.63%) on December 18, 2019 to a low of $19.93 per share (-12.32%) on April 16, 2020. Fund Share Net Asset Value Performance For the year ended June 30, 2020, the net asset value of each share decreased (-10.70%) from $22.70 per share to $20.27 per share. Net losses in the futures and options contracts more than offset Fund net investment income resulting in the overall decrease in the NAV per share during the year ended June 30, 2020. Net loss for the year ended June 30, 2020, was $520,302, resulting from net realized losses on investments, futures and options contracts of $903,915, net unrealized gains on investments, futures and options contracts of $336,740, and the net investment income of $46,873. FOR THE YEAR ENDED JUNE 30, 2019 Fund Share Price Performance During the year ended June 30, 2019, the NYSE Arca market value of each share decreased (-7.83%) from $24.66 per share, representing the closing price on June 29, 2018, to $22.73 per share, representing the closing price on June 28, 2019. The share price high and low for the year ended June 30, 2019 and related change from the closing share price on June 29, 2018 was as follows: shares traded from a high of $25.50 per share (+3.41%) on October 5, 2018 and November 8, 2018 to a low of $22.635 per share (-8.21%) on June 25, 2019. Fund Share Net Asset Value Performance For the year ended June 30, 2019, the net asset value of each share decreased (-7.91%) from $24.65 per share to $22.70 per share. Net losses in the futures and options contracts more than offset Fund net investment income resulting in the overall decrease in the NAV per share during the year ended June 30, 2019. Net loss for the year ended June 30, 2019, was $2,753,749, resulting from net realized losses on investments, futures and options contracts of $3,673,921, net unrealized gains on investments, futures and options contracts of $443,911, and the net investment income of $476,261. 24 FOR THE THREE MONTHS ENDED JUNE 30, 2020 Fund Share Price Performance During the three months ended June 30, 2020, the NYSE Arca market value of each Share decreased (-1.32%) from $20.53 per Share, representing the closing price on March 31, 2020, to $20.26 per Share, representing the closing price on June 30, 2020. The Share price high and low for the three months ended June 30, 2020 and related change from the closing Share price on March 31, 2020 was as follows: Shares traded from a high of $20.75 per Share (+1.07%) on June 5, 2020 to a low of $19.93 per Share (-2.92%) on April 16, 2020. Fund Share Net Asset Performance For the three months ended June 30, 2020, the net asset value of each Share decreased (-1.27%) from $20.53 per Share to $20.27 per Share. For the three months ended June 30, 2020, losses in the investments, futures and options contracts more than offset Fund net investment income resulting in the overall decrease in the NAV per Share during the period. Net loss for the three months ended June 30, 2020, was $65,490, resulting from net realized losses on investments, futures and options contracts of $483,292, net unrealized gains on investments, futures and options contracts of $413,306, and the net investment income of $4,496. FOR THE THREE MONTHS ENDED JUNE 30, 2019 Fund Share Price Performance During the three months ended June 30, 2019, the NYSE Arca market value of each Share decreased (-3.65%) from $23.59 per Share, representing the closing price on March 29, 2019, to $22.73 per Share, representing the closing price on June 28, 2019. The Share price high and low for the three months ended June 30, 2019 and related change from the closing Share price on March 29, 2019 was as follows: Shares traded from a high of $24.045 per Share (+1.93%) on April 17, 2019 to a low of $22.635 per Share (-4.05%) on June 25, 2019. Fund Share Net Asset Performance For the three months ended June 30, 2019, the net asset value of each Share decreased (-4.02%) from $23.65 per Share to $22.70 per Share. For the three months ended June 30, 2019, losses in the investments, futures and options contracts more than offset Fund net investment income resulting in the overall decrease in the NAV per Share during the period. Net loss for the three months ended June 30, 2019, was $439,961, resulting from net realized losses on investments, futures and options contracts of $759,399, net unrealized gains on investments, futures and options contracts of $276,630, and the net investment income of $42,808. Breakwave Dry Bulk Shipping ETF During the year ended June 30, 2020, dry bulk spot rates experienced considerable volatility for the second year in a row, as the disruption of iron ore exports out of Brazil following the 2019 Brumadinho dam rupture combined with the extreme economic and trade disruption caused by the COVID-19 virus outbreak, dominated shipping market fundamentals. Brazil iron ore exports, a major commodity shipped by dry bulk vessels, ended the 2019 calendar year lower by about 10% as Vale’s exports were severely impacted by the rupture of the aforementioned tailings dam in January of 2019. Although freight rates enjoyed a strong summer and autumn due to imbalances in ship supply between the Atlantic and the Pacific regions, once such imbalances normalized, rates declined towards the end of 2019 as trade volumes remained weak. In early 2020, the COVID-19 outbreak caused a severe disruption in trade and global economies came to a virtual halt leading to a collapse in demand for commodities. China was the first major economy to see some gradual recovery toward the second calendar quarter of 2020, which led to a slight uptick in dry bulk freight rates. An ongoing economic recovery and considerable stimulus efforts by the major economies around the globe because of COVID-19 should benefit the shipping markets, which was also evident by strong realized freight rates during the summer of 2020. Although the global economic recovery seems strong, it is also highly fragile as the persistence of the COVID-19 virus remains a major risk globally. If the global economy remains on the path of growth, then shipping should benefit as trade flows should continue to increase. Dry bulk should also see increasing demand due to high iron ore flows into China, as local steel demand remains robust supporting strong imports. Differences in the benchmark return and BDRY net asset value per share are due primarily to the following factors: ● Benchmark portfolio uses settlement prices of freight futures vs. closing share price for BDRY. ● Benchmark portfolio roll methodology assumes rolls that happen even at fractions of lots vs. BDRY that transacts at real minimum lot size available pursuant to market practice (5 lots minimum) ● Benchmark portfolio assumes rolls that are happening at settlement prices vs. BDRY that transacts at prevailing prices during the day that might or might not be equal to settlement prices. ● Benchmark portfolio assumes no trading commissions vs. BDRY that pays 10bps of nominal value in commissions per transaction. ● Benchmark portfolio assumes no clearing fees vs BDRY that pays approximately $10 per lot in clearing fees per transaction. ● Benchmark portfolio assumes no management fees vs. BDRY fee structure. ● Creations and redemptions that lead to transactions in the freight futures market might occur at prices that might be different versus the settlement prices of that day. There are no known competitors. BDRY is the only freight futures ETF globally. 25 NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE. The per Share market value of BDRY and its NAV tracked closely for the three months ended June 30, 2020. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE. The per Share market value of BDRY and its NAV tracked closely for the year ended June 30, 2020. 26 NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE. The per Share market value of BDRY and its NAV tracked closely for the three months ended June 30, 2019. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE. The per Share market value of BDRY and its NAV tracked closely for the year ended June 30, 2019. 27 NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE. The graph above compares the return of BDRY with the benchmark portfolio returns for the three months ended June 30, 2020. The difference in the NAV price and the benchmark value often results in the appearance of a NAV premium or discount to the benchmark. The difference is related to the cumulative impact on NAV of the Fund’s income and expenses during the period presented in the chart above. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE. The graph above compares the return of BDRY with the benchmark portfolio returns for the year ended June 30, 2020. The difference in the NAV price and the benchmark value often results in the appearance of a NAV discount to the benchmark. The difference is related to the cumulative impact on NAV of the Fund’s expenses during the period presented in the chart above. 28 NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE. The graph above compares the return of BDRY with the benchmark portfolio returns for the three months ended June 30, 2019. The difference in the NAV price and the benchmark value often results in the appearance of a NAV premium or discount to the benchmark. The difference is related to the cumulative impact on NAV of the Fund’s income and expenses during the period presented in the chart above. NEITHER THE PAST PERFORMANCE OF THE FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE. The graph above compares the return of BDRY with the benchmark portfolio returns for the year ended June 30, 2019. The difference in the NAV price and the benchmark value often results in the appearance of a NAV premium or discount to the benchmark. The difference is related to the cumulative impact on NAV of the Fund’s income and expenses during the period presented in the chart above. 29 FOR THE YEAR ENDED JUNE 30, 2020 Fund Share Price Performance During the year ended June 30, 2020, the NYSE Arca market value of each share decreased (-43.80%) from $13.15 per share, representing the closing price on June 28, 2019, to $7.39 per share, representing the closing price on June 30, 2020. The share price high and low for the year ended June 30, 2020 and related change from the closing share price on June 28, 2019 was as follows: shares traded from a high of $22.19 per share (+68.75%) on October 9, 2019 to a low of $3.75 per share (-71.48%) on May 13, 2020. Fund Share Net Asset Value Performance For the year ended June 30, 2020, the net asset value of each share decreased (-41.89%) from $13.25 per share to $7.70 per share. Net gains in the futures and options contracts, the impact of the timing of Fund share purchases in the fourth quarter of the year, and Fund expenses resulted in the overall decrease in the NAV per share during the year ended June 30, 2020. Net income for the year ended June 30, 2020, was $6,159,382, resulting from net realized losses on investments and futures contracts of $1,565,921, net unrealized gains on investments and futures contracts of $8,190,140, and the net investment loss of $464,837. FOR THE YEAR ENDED JUNE 30, 2019 Fund Share Price Performance During the year ended June 30, 2019, the NYSE Arca market value of each share decreased (-40.34%) from $22.04 per share, representing the closing price on June 29, 2018, to $13.15 per share, representing the closing price on June 28, 2019. The share price high and low for the year ended June 30, 2019 and related change from the closing share price on June 29, 2018 was as follows: shares traded from a high of $25.60 per share (+16.15%) on August 21, 2018 and August 22, 2018 to a low of $9.20 per share (-58.26%) on April 11, 2019. Fund Share Net Asset Value Performance For the year ended June 30, 2019, the net asset value of each share decreased (-39.72%) from $21.98 per share to $13.25 per share. Net losses in the futures and options contracts and Fund expenses resulted in the overall decrease in the NAV per share during the year ended June 30, 2019. Net loss for the year ended June 30, 2019, was $785,330, resulting from net realized losses on investments, futures and options contracts of $1,006,844, net unrealized gains on investments, futures and options contracts of $309,735, and the net investment loss of $88,221. FOR THE THREE MONTHS ENDED JUNE 30, 2020 Fund Share Price Performance During the three months ended June 30, 2020, the NYSE Arca market value of each Share increased (+15.65%) from $6.39 per Share, representing the closing price on March 31, 2020, to $7.39 per Share, representing the closing price on June 30, 2020. The Share price high and low for the three months ended June 30, 2020 and related change from the closing Share price on March 31, 2020 was as follows: Shares traded from a high of $8.24 per Share (+28.95%) on June 25, 2020 to a low of $3.75 per Share (-41.31%) on April 8, 2020. Fund Share Net Asset Performance For the three months ended June 30, 2020, the net asset value of each Share increased (+18.46%) from $6.50 per Share to $7.70 per Share. For the three months ended June 30, 2020, gains in the investments, futures and options contracts more than offset Fund expenses resulting in the overall increase in the NAV per Share during the period. Net income for the three months ended June 30, 2020, was $9,894,451, resulting from net realized losses on investments and futures contracts of $340,186, net unrealized gains on investments and futures contracts of $10,557,850, and the net investment loss of $323,213. FOR THE THREE MONTHS ENDED JUNE 30, 2019 Fund Share Price Performance During the three months ended June 30, 2019, the NYSE Arca market value of each Share increased (+40.49%) from $9.36 per Share, representing the closing price on March 29, 2019, to $13.15 per Share, representing the closing price on June 28, 2019. The Share price high and low for the three months ended June 30, 2019 and related change from the closing Share price on March 29, 2019 was as follows: Shares traded from a high of $13.15 per Share (+40.49%) on June 28, 2019 to a low of $9.20 per Share (-1.71%) on April 11, 2019. Fund Share Net Asset Performance For the three months ended June 30, 2019, the net asset value of each Share increased (+39.18%) from $9.52 per Share to $13.25 per Share. For the three months ended June 30, 2019, gains in the investments, futures and options contracts more than offset Fund expenses resulting in the overall increase in the NAV per Share during the period. Net income for the three months ended June 30, 2019, was $1,214,187, resulting from net realized gains on investments, futures and options contracts of $854,695, net unrealized gains on investments, futures and options contracts of $384,282, and the net investment loss of $24,790. 30 Critical Accounting Policies Each Fund’s critical accounting policies are as follows: Preparation of the financial statements and related disclosures in accordance with U.S. generally accepted accounting principles requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Funds’ application of these policies involves judgments and the use of estimates. Actual results may differ from the estimates used and such differences could be material. Each Fund holds a significant portion of its assets in futures contracts and money market funds, which are held at fair value. Each Fund calculates its net asset value as of the NAV Calculation Time as described above. The values which are used by the Funds for their Treasury Instruments and Freight Futures, as applicable, are provided by the applicable Fund’s commodity broker, which uses market prices when available. In addition, the Funds estimate interest income on a daily basis using prevailing rates earned on their cash and cash equivalents. These estimates are adjusted to the actual amount received on a monthly basis and the difference, if any, is not considered material. Credit Risk When a Fund enters into Benchmark Component Instruments, it will be exposed to the credit risk that the counterparty will not be able to meet its obligations. For purposes of credit risk, the counterparty for the Benchmark Component Instruments traded on or cleared by the CME and other futures exchanges is the clearinghouse associated with those exchanges. In general, clearinghouses are backed by their members who may be required to share in the financial burden resulting from the nonperformance of one of their members, which should significantly reduce credit risk. There can be no assurance that any counterparty, clearinghouse, or their financial backers will satisfy their obligations to the Funds. The Sponsor will attempt to minimize certain of these market and credit risks by normally: ● executing and clearing trades with creditworthy counterparties, as determined by the Sponsor; ● limiting the outstanding amounts due from counterparties of the Funds; ● not posting margin directly with a counterparty; ● limiting the amount of margin or premium posted at the FCM; and ● ensuring that deliverable contracts are not held to such a date when delivery of an underlying asset could be called for. The Commodity Exchange Act (“CEA”) requires all FCMs, such as the Fund’s clearing brokers, to meet and maintain specified fitness and financial requirements, to segregate customer funds from proprietary funds and account separately for all customers’ funds and positions, and to maintain specified books and records open to inspection by the staff of the CFTC. The CFTC has similar authority over introducing brokers, or persons who solicit or accept orders for commodity interest trades but who do not accept margin deposits for the execution of trades. The CEA authorizes the CFTC to regulate trading by FCMs and by their officers and directors, permits the CFTC to require action by exchanges in the event of market emergencies, and establishes an administrative procedure under which customers may institute complaints for damages arising from alleged violations of the CEA. The CEA also gives the states powers to enforce its provisions and the regulations of the CFTC. On November 14, 2013, the CFTC published final regulations that require enhanced customer protections, risk management programs, internal monitoring and controls, capital and liquidity standards, customer disclosures and auditing and examination programs for FCMs. The rules are intended to afford greater assurances to market participants that customer segregated funds and secured amounts are protected, customers are provided with appropriate notice of the risks of futures trading and of the FCMs with which they may choose to do business, FCMs are monitoring and managing risks in a robust manner, the capital and liquidity of FCMs are strengthened to safeguard the continued operations and the auditing and examination programs of the CFTC and the self-regulatory organizations are monitoring the activities of FCMs in a thorough manner. Liquidity and Capital Resources The Funds do not anticipate making use of borrowings or other lines of credit to meet their obligations. The Funds meets their liquidity needs in the normal course of business from the proceeds of the sale of their investments or from the cash, cash equivalents and/or the collateralizing Treasury Securities that they hold. The Funds’ liquidity needs include: redeeming their shares, providing margin deposits for existing Benchmark Component Instruments, the purchase of additional Benchmark Component Instruments, and paying expenses. The Funds generate cash primarily from (i) the sale of Creation Baskets and (ii) interest earned on cash, cash equivalents and their investments in collateralizing Treasury Securities. Generally, all of the net assets of the Funds are allocated to trading in Benchmark Component Instruments. Most of the assets of the Funds are held in Treasury Instruments, cash and/or cash equivalents that could or are used as margin or collateral for trading in Benchmark Component Instruments. The percentage that such assets bear to the total net assets will vary from period to period as the market values of the Benchmark Component Instruments change. Interests earned on interest-bearing assets of the Funds are paid to the Funds. Due to the economic uncertainty due to the impact of the COVID-19 pandemic, the Funds have experienced a significant decrease in interest rates, and as such the Funds are experiencing a higher breakeven year over year. The investments of the Funds in Benchmark Component Instruments could be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. Such conditions could prevent the Funds from promptly liquidating a position in Benchmark Component Instruments. 31 Market Risk Trading in Benchmark Component Instruments such as futures contracts will involve the Funds entering into contractual commitments to purchase or sell specific amounts of instruments at a specified date in the future. The gross or face amount of the contracts is expected to significantly exceed the future cash requirements of the Funds as the Funds intend to close out any open positions prior to the contractual expiration date. As a result, the Funds’ market risk is the risk of loss arising from the decline in value of the contracts, not from the need to make delivery under the contracts. The Funds consider the “fair value” of derivative instruments to be the unrealized gain or loss on the contracts. The market risk associated with the commitment by the Funds to purchase a specific contract will be limited to the aggregate face amount of the contracts held. The exposure of the Funds to market risk will depend on a number of factors including the markets for the specific instrument, the volatility of interest rates and foreign exchange rates, the liquidity of the instrument-specific market and the relationships among the contracts held by the Funds. Off Balance Sheet Financing As of June 30, 2020, neither the Trust nor the Funds have any loan guarantees, credit support or other off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions relating to certain risks service providers undertake in performing services which are in the best interests of the Funds. While the exposure of the Funds under these indemnification provisions cannot be estimated, they are not expected to have a material impact on the financial position of the Funds. Redemption Basket Obligation Other than as necessary to meet the investment objective of the Funds and pay the contractual obligations described below, the Funds will require liquidity to redeem Redemption Baskets. The Funds intend to satisfy this obligation through the transfer of cash of a Fund (generated, if necessary, through the sale of Treasury Instruments or Freight Futures, as applicable) in an amount proportionate to the number of Shares being redeemed. Contractual Obligations The primary contractual obligations of each Fund will be with the Sponsor and certain other service providers. Sit Rising Rate ETF RISE pays the Sponsor a management fee (the “Sponsor Fee”), monthly in arrears, in an amount equal to the greater of 0.15% per annum of the value of the Fund’s average daily net assets or $75,000. The Sponsor Fee is paid in consideration of the Sponsor’s management services to the Fund. RISE also pays Sit a license and service fee (the “CTA Fee”) monthly in arrears, for the use of RISE’s Benchmark Portfolio in an amount equal to 0.20% per annum of the Fund’s average daily net assets. The Sponsor has contractually agreed to waive the Sponsor Fee and/or assume RISE’s remaining expenses so that the Fund’s expenses do not exceed an annual rate of 1.00%, excluding brokerage commissions, interest expense, and extraordinary expenses, of the value of the Fund’s average daily net assets (the “Expense Cap”). The assumption of expenses and waiver of the Sponsor fee are contractual on the part of the Sponsor, through September 30, 2021. If after that date, the Sponsor no longer assumed expenses or waived the Sponsor Fee, RISE could be adversely impacted, including in its ability to achieve its investment objective. The Fund currently accrues its daily expenses up to the Expense Cap. At the end of each month, the accrued amount is remitted to the Sponsor as the Sponsor has assumed, and is responsible for the payment of, the routine operational, administrative and other ordinary expenses of the Fund which aggregated $105,143 and $121,296, of which $91,188 and $82,026 was absorbed by the Sponsor, for the three months ended June 30, 2020 and 2019, respectively. The Fund’s ongoing fees, costs and expenses of its operation, not subject to the Expense Cap include brokerage and other fees and commissions incurred in connection with the trading activities of the Fund, and extraordinary expenses (including, but not limited to, legal claims and liabilities and litigation costs and any indemnification related thereto). Expenses subject to the Expense Cap include (i) expenses incurred in connection with registering additional Shares of the Fund or offering Shares of the Fund; (ii) the routine expenses associated with the preparation and, if required, the printing and mailing of monthly, quarterly, annual and other reports required by applicable U.S. federal and state regulatory authorities, Trust meetings and preparing, printing and mailing proxy statements to Shareholders; (iii) the routine services of the Trustee, legal counsel and independent accountants; (iv) routine accounting, bookkeeping, custodial and transfer agency services, whether performed by an outside service provider or by affiliates of the Sponsor; (v) postage and insurance; (vi) costs and expenses associated with client relations and services; (vii) costs of preparation of all federal, state, local and foreign tax returns and any taxes payable on the income, assets or operations of the Fund. 32 While the Sponsor has agreed to pay registration fees to the SEC and any other regulatory agency in connection with the offer and sale of the Shares offered through the Fund’s prospectus, the legal, printing, accounting and other expenses associated with such registration, and the initial fee of $7,500 for listing the Shares on the NYSE Arca, the Fund will be responsible for any registration fees and related expenses incurred in connection with any future offer and sale of Shares of the Fund in excess of those offered through its prospectus. Any general expenses of the Trust will be allocated among the Fund and any other series of the Trust as determined by the Sponsor in its sole and absolute discretion. The Trust is also responsible for extraordinary expenses, including, but not limited to, legal claims and liabilities and litigation costs and any indemnification related thereto. The Trust and/or the Sponsor may be required to indemnify the Trustee, Distributor or Administrator under certain circumstances. The parties cannot anticipate the amount of payments that will be required under these arrangements for future periods as the NAV and trading levels to meet investment objectives for the Fund will not be known until a future date. These agreements are effective for a specific term agreed upon by the parties with an option to renew, or, in some cases, are in effect for the duration of the Fund’s existence. The parties may terminate these agreements earlier for certain reasons listed in the agreements. Breakwave Dry Bulk Shipping ETF BDRY pays a Sponsor Fee, monthly in arrears, in an amount equal to the greater of (i) 0.15% per year of the Fund’s average daily net assets; or (ii) $125,000. The Sponsor Fee is paid in consideration of the Sponsor’s management services to the Fund. BDRY also pays Breakwave a license and service fee (the “CTA Fee”) monthly in arrears, for the use of BDRY’s Benchmark Portfolio in an amount equal to 1.45% per annum of the Fund’s average daily net assets. Breakwave has agreed to waive its license and services fee and the Sponsor has agreed to correspondingly assume the remaining expenses of the Fund so that Fund expenses do not exceed an annual rate of 3.50%, excluding brokerage commissions, interest expense, and extraordinary expenses, of the value of the Fund’s average daily net assets (the “Expense Cap”). The assumption of expenses and waiver of the license and services fee are contractual on the part of the Sponsor and Breakwave, respectively, through September 30, 2021. If after that date, the Sponsor and/or Breakwave no longer assumed expenses or waived the CTA Fee, respectively, BDRY could be adversely impacted, including in its ability to achieve its investment objective. The Fund currently accrues its daily expenses based on accrued expense amounts established and monitored by the Sponsor, subject to the Expense Cap. At the end of each month, the accrued amount is remitted to the Sponsor as the Sponsor has assumed, and is responsible for the payment of, the routine operational, administrative and other ordinary expenses of the Fund which aggregated $344,625 and $151,627, of which $19,366 and $13,534 was waived by Breakwave for the three months ended June 30, 2020 and 2019, respectively. No absorption of expenses was required by the Sponsor for the three months ended June 30, 2020 and $95,357 was absorbed by the Sponsor for the three months ended June 30, 2019. Both Funds Each Fund’s ongoing fees, costs and expenses of its operation, not subject to the applicable Expense Cap include brokerage and other fees and commissions incurred in connection with the trading activities of the Fund, and extraordinary expenses (including, but not limited to, legal claims and liabilities and litigation costs and any indemnification related thereto). Expenses subject to an Expense Cap include (i) expenses incurred in connection with registering additional Shares of a Fund or offering Shares of a Fund; (ii) the routine expenses associated with the preparation and, if required, the printing and mailing of monthly, quarterly, annual and other reports required by applicable U.S. federal and state regulatory authorities, Trust meetings and preparing, printing and mailing proxy statements to Shareholders; (iii) the routine services of the Trustee, legal counsel and independent accountants; (iv) routine accounting, bookkeeping, custodial and transfer agency services, whether performed by an outside service provider or by affiliates of the Sponsor; (v) postage and insurance; (vi) costs and expenses associated with client relations and services; (vii) costs of preparation of all federal, state, local and foreign tax returns and any taxes payable on the income, assets or operations of a Fund. While the Sponsor has agreed to pay registration fees to the SEC and any other regulatory agency in connection with the offer and sale of the Shares offered through each Fund’s prospectus, the legal, printing, accounting and other expenses associated with such registration, and the initial fee of $7,500 for listing the Shares on the NYSE Arca, each Fund will be responsible for any registration fees and related expenses incurred in connection with any future offer and sale of Shares of the Fund in excess of those offered through its prospectus. Any general expenses of the Trust will be allocated among the Funds and any other series of the Trust as determined by the Sponsor in its sole and absolute discretion. The Trust is also responsible for extraordinary expenses, including, but not limited to, legal claims and liabilities and litigation costs and any indemnification related thereto. The Trust and/or the Sponsor may be required to indemnify the Trustee, Distributor or Administrator under certain circumstances. The parties cannot anticipate the amount of payments that will be required under these arrangements for future periods as the NAV and trading levels to meet investment objectives for the Funds will not be known until a future date. These agreements are effective for a specific term agreed upon by the parties with an option to renew, or, in some cases, are in effect for the duration of a Fund’s existence. The parties may terminate these agreements earlier for certain reasons listed in the agreements. Item 7A. Quantitative and Qualitative Disclosures About Market Risk. Not applicable to Smaller Reporting Companies. 33