What changed in this filing

/stocks — the workspaceLOADING

Item 8. Financial Statements and Supplementary Data

2021-09-10 compared with 2020-09-28 · 725 added, 970 removed, 263 unchanged (87% of the section changed)

Financial Statements and Supplemental Data.

MANAGERS GROUP COMMODITY TRUST I

Financial Statements and Supplemental

ETF MANAGERS GROUP COMMODITY TRUST I

Statements of Assets and Liabilities

June 30, 2021

BREAKWAVE DRY BULK

MANAGERS GROUP

COMMODITY TRUST I

Investment in securities, at fair value (cost $ 42,654,058 )

Segregated cash held by broker

Receivable on open futures contracts

Prepaid expenses

Interest receivable

Due to Sponsor

Other accrued expenses

Total liabilities

$ 114,077,152

Shares outstanding (unlimited authorized)

Net asset value per share

Market value per share

See accompanying notes to combined financial statements.

ETF MANAGERS GROUP COMMODITY TRUST I

Combined Statements of Assets and Liabilities

June 30, 2020

BREAKWAVE DRY BULK

SIT RISING RATE ETF

BREAKWAVE DRY BULK SHIPPING

Investment in securities, at fair value (cost $4,883,666 and

$7,986,862, respectively)

Investment in securities, at fair value (cost

$7,986,862 and $4,879,769, respectively)

Interest receivable

10 unchanged sentences

Market value per share

accompanying notes to combined financial statements.

MANAGERS GROUP COMMODITY TRUST I

Statements of Assets and Liabilities

SIT RISING RATE ETF

DRY BULK SHIPPING

in securities, at fair value (cost $11,928,143 and $1,095,625, respectively)

cash held by broker

on open futures contracts

written, at fair value (premiums received $16,128 and $-0-, respectively)

on open futures contracts

outstanding (unlimited authorized)

asset value per share

value per share

accompanying notes to combined financial statements.

See accompanying notes to combined financial statements.

MANAGERS GROUP COMMODITY TRUST I

Schedule of Investments

SIT RISING RATE ETF

BREAKWAVE DRY BULK SHIPPING ETF

PURCHASED PUT OPTIONS - 0.3% and 0.0%, respectively

US Treasury 10 Year Note, Strike Price $139.50 Expiring 08/21/20 (15 contracts)

TOTAL PURCHASED PUT OPTIONS (Cost $22,316)

SHORT-TERM INVESTMENTS - 95.7% and 0.0%, respectively

US TREASURY BILLS - 95.7% and 0.0%, respectively

United States Treasury Bills 0.1200%, 07/23/2020 ($4,850,000 principal amount) (a)

TOTAL US TREASURY BILLS (Cost $4,845,544)

MONEY MARKET FUNDS - 0.3% and 18.0%, respectively

First American US Treasury Money Market Fund, Class Z, 0.04% (b) (15,806 shares)

First American US Treasury Obligations Fund, Class X, 0.08% (b) (7,986,862 shares)

TOTAL MONEY MARKET FUNDS (Cost $15,806 and $7,986,862, respectively

Total Investments (Cost $4,883,666 and $7,986,862, respectively) - 96.3% and 18.0%, respectively

Other Assets in Excess of Liabilities - 3.7% and 82.0%, respectively (a)

TOTAL NET ASSETS - 100.0% and 100.0%, respectively

(a) $4,849,667

and $27,827,859, respectively, of cash is pledged as collateral for futures contracts

and written options

(b) Annualized

seven-day yield as of June 30, 2020

of Investments

June 30, 2021

BREAKWAVE DRY BULK

COMMODITY TRUST I*

MONEY MARKET FUNDS - 37.4%

First American US Treasury Obligations Fund, Class X, 0.01% (a) ( 42,654,058 shares)

TOTAL MONEY MARKET FUNDS (Cost $ 42,654,058 )

Total Investments (Cost $ 42,654,058 ) - 37.4 %

Other Assets in Excess of Liabilities - 62.6 % (b)

TOTAL NET ASSETS - 100.0 %

$ 114,077,152

(a) Annualized seven-day yield as of June 30, 2021.

(b) $50,040,588 of cash is pledged as collateral

for futures contracts.

BREAKWAVE DRY BULK SHIPPING ETF

ETF MANAGERS GROUP

Futures Contracts

Appreciation/

June 30, 2020

(Depreciation)

Baltic Exchange Panamax T/C Average Shipping Route Index Expiring July 30, 2021 (Underlying Face Amount at Market Value - $ 16,372,965 (435 contracts)

7 unchanged sentences

Baltic Capesize Time Charter Expiring September 24, 2021(Underlying Face Amount at Market Value - $ 17,442,220 ) (445 contracts)

SIT RISING RATE ETF

Written Call Option Contracts

* SIT Rising Rate ETF, which had been a series of the

Trust, liquidated as of November 18, 2020.

accompanying notes to combined financial statements.

ETF MANAGERS GROUP COMMODITY TRUST I

Combined Schedule of Investments

June 30, 2020

US 5 Year Note, Strike Price

$125.50 Expiring 08/21/2020 (9 contracts) (Premiums received $3,204)

BREAKWAVE DRY BULK

SIT RISING RATE ETF

Short Futures Contracts

June 30, 2020

US Treasury 5 Year Note Expiring September 2020 (Underlying Face Amount at Market Value - $4,652,461) (37 contracts)

US Treasury 2 Year Note Expiring September 2020 (Underlying Face Amount at Market Value - $10,158,094) (46 contracts)

See accompanying notes to combined financial statements.

MANAGERS GROUP COMMODITY TRUST I

Schedule of Investments

BREAKWAVE DRY BULK SHIPPING ETF

PURCHASED OPTIONS - 0.3% and 0.0%, respectively

PURCHASED PUT OPTIONS - 0.0% and 0.3%, respectively

US Treasury 10 Year Note, Strike Price $ 139.50 Expiring 08/21/20 (15 contracts)

TOTAL PURCHASED OPTIONS (Cost $58,883)

SHORT-TERM INVESTMENTS - 97.2% and 0.0%, respectively

US TREASURY BILLS - 97.2% and 0.0%, respectively

United States Treasury Bills 2.082%, 12/12/2019 ($11,700,000 principal amount) (a)

TOTAL PURCHASED PUT OPTIONS (Cost $ 22,316 )

SHORT-TERM INVESTMENTS - 0.0% and 95.7%,

US TREASURY BILLS - 0.0 % and 95.7 %, respectively United States Treasury Bills 0.1200%, 07/23/2020 ($ 4,850,000 principal amount) (a)

TOTAL US TREASURY BILLS (Cost $ 4,845,544 )

MONEY MARKET FUNDS - 1.4% and 25.4%, respectively

MONEY MARKET FUNDS - 18.0% and 0.02%,

First American US Treasury Money Market Fund, Class Z, 0.04 % (b) ( 15,806 shares)

4 unchanged sentences

TOTAL NET ASSETS - 100.0 % and 100.0%, respectively

or a portion of this security is held as collateral for futures contracts and written options.

seven-day yield as of June 30, 2019.

(a) $27,827,859 and $4,849,667, respectively, of cash

is pledged as collateral for futures contracts and written options.

(b) Annualized seven-day yield as of June 30, 2020.

BREAKWAVE DRY BULK SHIPPING ETF

17 unchanged sentences

SIT RISING RATE ETF

Written Option Contracts

Written Call Option Contracts

June 30, 2020

5 unchanged sentences

US Treasury 2 Year Note Expiring September 2020 (Underlying Face Amount at Market Value - $ 10,158,094 ) (46 contracts)

accompanying notes to combined financial statements.

MANAGERS GROUP COMMODITY TRUST I

Statements of Operations

Ended Ended June 30, 2020

See accompanying notes to

combined financial statements.

ETF MANAGERS GROUP COMMODITY TRUST I

Combined Statements of Operations

Year Ended Ended June 30, 2021

BREAKWAVE DRY BULK

SIT RISING RATE ETF*

BREAKWAVE DRY BULK SHIPPING

Investment Income

Tax preparation fees

Tax State Filing fees

Admin/accounting/custodian/transfer agent fees

Printing and postage expenses

Chief Compliance Officer fees

6 unchanged sentences

Other expenses

Website Support and Marketing Materials

Printing and postage

Wholesale support fees

Amortization of Offering expenses

Interest expense

3 unchanged sentences

Net Investment Income (Loss)

( 1,845,919 )

( 1,897,188 )

Net Realized and Unrealized Gain (Loss) on Investment Activity

5 unchanged sentences

Net income (loss)

* Period from July 1, 2020 to October 30, 2020 - Sit

Rising Rate ETF liquidated as of November 18, 2020.

See accompanying notes to combined financial statements.

MANAGERS GROUP COMMODITY TRUST I

Statements of Operations

Ended June 30, 2019

BREAKWAVE DRY BULK SHIPPING

ETF MANAGERS GROUP COMMODITY TRUST I

Combined Statements of Operations

Year Ended June 30, 2020

BREAKWAVE DRY BULK

SIT RISING RATE ETF

Investment Income

11 unchanged sentences

Wholesale support fees

Interest expense

Total Expenses

5 unchanged sentences

Investments, futures and options contracts

( 1,565,921 )

( 2,469,836 )

Change in Unrealized Gain (Loss) on

3 unchanged sentences

$ ( 520,302 )

$ (3,539,079 )

accompanying notes to combined financial statements.

MANAGERS GROUP COMMODITY TRUST I

Statements of Changes in Net Assets

Ended June 30, 2020

See accompanying notes to combined financial statements.

ETF MANAGERS GROUP COMMODITY

Combined Statements of

Changes in Net Assets

Year Ended June 30, 2021

SIT RISING RATE ETF*

BREAKWAVE DRY BULK SHIPPING

Net Assets at Beginning of Year

3 unchanged sentences

( 85,383,922 )

( 4,998,233 )

( 90,382,155 )

Net Increase (decrease) in Net Assets from share transactions

( 4,998,233 )

Increase (decrease) in Net Assets from operations

Net investment income (loss)

( 1,845,919 )

( 1,897,188 )

Net realized gain (loss)

2 unchanged sentences

Net Assets at End of Year

accompanying notes to combined financial statements.

MANAGERS GROUP COMMODITY TRUST I

Statements of Changes in Net Assets

Ended June 30, 2019

BREAKWAVE DRY BULK SHIPPING

$ 114,077,152

* Period from July 1, 2020 to

October 30, 2020 - Sit Rising Rate ETF liquidated as of November 18, 2020.

See accompanying notes to combined financial

ETF MANAGERS GROUP COMMODITY

Combined Statements of

Changes in Net Assets

Year Ended June 30, 2020

Net Assets at Beginning of Year

4 unchanged sentences

( 6,331,666 )

Net Increase (decrease) in Net Assets from share transactions

( 12,675,293 )

Net Increase (decrease) in Net Assets from share transactions

( 6,331,666 )

2 unchanged sentences

Net realized gain (loss)

( 1,565,921 )

( 2,469,836 )

Change in net unrealized gain (loss)

1 unchanged sentence

Net Assets at End of Year

accompanying notes to combined financial statements.

ETF MANAGERS GROUP COMMODITY TRUST I

Combined Statements of Cash Flows

Year Ended June 30, 2020

BREAKWAVE DRY BULK

See accompanying notes to combined financial

MANAGERS GROUP COMMODITY TRUST I

Statements of Cash Flows

Ended June 30, 2021

Cash flows provided by/used in operating activities

Net income (loss)

Adjustments to reconcile net income (loss) to net cash provided by/used in operating activities:

Net realized loss (gain) on investments

Change in net unrealized loss (gain) on investments

Adjustments to reconcile net income (loss) to net cash

provided by/used in operating activities:

Net realized gain (loss) on investments

( 48,115,213 )

( 48,086,075 )

Change in net unrealized gain (loss) on investments

( 13,142,015 )

( 13,152,474 )

Change in operating assets and liabilities:

1 unchanged sentence

Decrease in interest receivable

Decrease (Increase) in receivable on open futures contracts

Increase in payable for Fund shares sold

Increase in receivable on open futures contracts

( 13,142,015 )

Increase in prepaid expenses

Decrease in payable for Fund shares redeemed

Decrease in options written, at fair value

Increase in payable on open futures contracts

Decrease in payable on open futures contracts

Increase (decrease) in due to Sponsor

Increase in other accrued expenses

Net cash provided by/used in operating activities

Net cash used in operating activities

Cash flows from financing activities

2 unchanged sentences

( 85,383,922 )

Net cash provided by/used in

financing activities

( 4,998,233 )

( 90,382,155 )

Net cash provided by/used in financing activities

( 4,998,233 )

Net increase (decrease) in cash and restricted cash

Cash and restricted cash, beginning of the year

Cash and restricted cash, end of the year

Cash and restricted cash, beginning of year

Cash and restricted cash, end of year

The following table provides a reconciliation of cash and restricted cash reported within

the Combined Statement of Assets and Liabilities that sum to the total of such amounts shown on the Combined Statement of

the Combined Statement of Assets and Liabilities that sum to the total of such amounts shown on the Combined Statement of cash Flows.

Segregated cash held by broker

Total cash and restricted cash as shown on the statement of cash flows.

See accompanying notes to combined financial

ETF MANAGERS GROUP COMMODITY TRUST I

Combined Statements of Cash Flows

Year Ended June 30, 2019

BREAKWAVE DRY BULK

* Period from July 1, 2020

to October 30, 2020 - Sit Rising Rate ETF liquidated as of November 18, 2020.

accompanying notes to combined financial statements.

MANAGERS GROUP COMMODITY TRUST I

Statements of Cash Flows

Ended June 30, 2020

Cash flows provided by/used in operating activities

1 unchanged sentence

$ ( 520,302 )

$ (3,539,079 )

Adjustments to

reconcile net income (loss) to net cash provided by/used in operating activities:

Net realized loss on investments

Adjustments to reconcile net income (loss) to net cash

provided by/used in operating activities:

Net realized loss (gain) on investments

Change in net unrealized loss (gain) on investments

( 8,190,140 )

( 8,526,880 )

Change in operating assets and liabilities:

Sale of investments - net

Decrease (increase) in interest receivable

Sale (Purchase) of investments - net

Decrease in interest receivable

Decrease (increase) in receivable on open futures contracts

Decrease (Increase) in options written, at fair value

Decrease in payable on open futures contracts

( 8,190,140 )

Increase in payable for Fund shares redeemed

Decrease in options written, at fair value

Increase in payable on open futures contracts

Increase (decrease) in due to Sponsor

Increase in other accrued expenses

Net cash provided by/used in

operating activities

Net cash used in operating activities

( 8,619,018 )

( 2,450,929 )

Cash flows from financing activities

3 unchanged sentences

( 6,331,666 )

provided by/used in financing activities

( 12,675,293 )

Net cash provided by/used in financing activities

( 6,331,666 )

Net increase (decrease) in cash

and restricted cash

Cash and restricted cash,

beginning of the year

Cash and restricted cash, end of

Net increase (decrease) in cash and restricted cash

Cash and restricted cash, beginning of year

Cash and restricted cash, end of year

The following table provides a reconciliation of cash and restricted cash reported within

the Combined Statement of Assets and Liabilities that sum to the total of such amounts shown on the Combined Statement of

the Combined Statement of Assets and Liabilities that sum to the total of such amounts shown on the Combined Statement of cash Flows.

Segregated cash held by broker

Total cash and restricted cash as shown on the statement of cash flows.

See accompanying notes to combined financial statements.

ETF Managers Group Commodity Trust I

Notes to Combined Financial Statements

June 30, 2020 and 2019

(1) Organization

ETF Managers Group Commodity Trust I (the

“Trust”) was organized as a Delaware statutory trust on July 23, 2014.

The Trust is a series trust formed pursuant

to the Delaware Statutory Trust Act and currently includes two separate series.

SIT RISING RATE ETF (“RISE”) is the

first series of the Trust and is a commodity pool that continuously issues common shares of beneficial interest that may be purchased

and sold on the NYSE Arca, Inc.

stock exchange (“NYSE Arca”).

The second series of the Trust, Breakwave Dry Bulk Shipping

ETF (“BDRY,”

and together with RISE, the “Funds”), is also a commodity pool that continuously issues shares

of beneficial interest that may be purchased and sold on NYSE Arca.

The Funds are managed and controlled by ETF Managers Capital

LLC (the “Sponsor”), a Delaware limited liability company.

The Sponsor is registered with the Commodity Futures Trading

Commission (“CFTC”) as a “commodity pool operator”

(“CPO”) and is a member of the National

Futures Trading Association (“NFA”).

Sit Fixed Income Advisors II, LLC (“Sit”), a subsidiary of Sit Investment

Associates, Inc., is registered as a “commodity trading advisor”

(“CTA”) with the CFTC and serves as RISE’s

commodity trading advisor.

Breakwave Advisors, LLC (“Breakwave”) is registered as a CTA with the CFTC and serves as

BDRY’s commodity trading advisor.

RISE commenced investment operations on

February 19, 2015.

RISE commenced trading on NYSE Arca on February 19, 2015 and trades under the symbol “RISE.”

accompanying notes to combined financial statements.

Managers Group Commodity Trust I

to Combined Financial Statements

30, 2021 and 2020

Managers Group Commodity Trust I (the “Trust”) was organized as a Delaware statutory trust on July 23, 2014.

a series trust formed pursuant to the Delaware Statutory Trust Act and currently consists of one separate series.

BREAKWAVE DRY BULK

SHIPPING ETF (“BDRY,” the “Fund”), is a commodity pool that continuously issues shares of beneficial interest

that may be purchased and sold on NYSE Arca.

As described below, SIT RISING RATE ETF (“RISE”) also operated as a series of

the Trust, but was closed and liquidated prior to June 30, 2021.

The Fund is managed and controlled by ETF Managers Capital LLC (the

“Sponsor”), a Delaware limited liability company.

The Sponsor is registered with the Commodity Futures Trading Commission

(“CFTC”) as a “commodity pool operator” (“CPO”) and is a member of the National Futures Trading Association

Breakwave Advisors, LLC (“Breakwave”) is registered as a “commodity trading advisor” (“CTA”)

with the CFTC and serves as BDRY’s commodity trading advisor.

Closure and Liquidation

October 16, 2020, the Sponsor announced that it would close and liquidate RISE because of the then current market conditions and the

Fund’s asset size.

The last day the liquidated fund accepted creation orders was on October 30, 2020.

Trading in RISE was suspended

after the close of the NYSE Arca on October 30, 2020.

Proceeds of the liquidation were sent to shareholders on November 18, 2020 (the

“Distribution Date”).

From October 30, 2020 through the distribution date, shares of RISE did not trade on the NYSE Arca

nor was there a secondary market for the shares.

Any shareholders that remained in RISE on the Distribution Date automatically had their

shares redeemed for cash at the current net asset value on November 18, 2020.

commenced investment operations on March 22, 2018.

BDRY commenced trading on NYSE Arca on March 22, 2018 and trades under the symbol

“BDRY.”

For the years ended June 30, 2020 and 2019,

RISE paid Sit a fee equal to 0.20% per annum of the value of RISE’s average daily net assets for Sit’s services as

the commodity trading advisor to RISE.

RISE’s investment objective is to

profit from rising interest rates by tracking the performance of a portfolio (the “RISE Benchmark Portfolio”) consisting

of exchange traded futures contracts and options on futures on 2, 5 and 10 year U.S.

Treasury securities (“Treasury Instruments”)

weighted to achieve a targeted negative 10-year average effective portfolio duration (the “Benchmark Component Instruments”).

RISE seeks to achieve its investment objective by investing in the Benchmark Component Instruments currently constituting the RISE

Benchmark Portfolio.

The RISE Benchmark Portfolio is maintained by Sit and will be rebalanced, reconstituted, or both, monthly

(typically on the 15 th of each month and on the next business day if the 15 th is a holiday, weekend, or other

day on which the national exchanges are closed) to maintain a negative 10-year average effective duration.

The RISE Benchmark Portfolio

and RISE will each maintain a short position in Treasury Instruments.

RISE does not use futures contracts or options to obtain

leveraged investment results.

RISE will not invest in swaps or other over the counter derivative instruments.

The weighting of the Treasury Instruments

constituting the Benchmark Component Instruments will be based on each maturity’s duration contribution.

The expected range

for the duration weighted percentage of the 2 year and 5 year maturity Treasury Instruments will be from 30% to 70%.

range for the duration weighted percentage of the 10-year maturity Treasury Instruments will be from 5% to 25%.

The relative weightings

of the Benchmark Component Instruments will be shifted between maturities when there are material changes in the shape of the yield

curve, for example, if the Federal Reserve began raising short term interest rates more than long term interest rates.

an instance, Sit, which maintains the RISE Benchmark Portfolio, will elect to increase the weightings of the 2 year and reduce

the weighting in the 10-year maturity.

Conversely, Sit will do the opposite if the Federal Reserve began raising long term interest

rates more than short term interest rates.

Reconstitution and rebalancing each will occur monthly, on the 15th, except for as noted

above or if there are radical changes in the yield curve such that effective duration is outside of a range from negative nine

to negative 11-year average effective duration, in which case Sit will adjust the maturities of the Treasury Instruments before

the next expected monthly reconstitution.

The Sponsor anticipates that approximately

5% to 15% of RISE’s assets will be used as payment for or collateral for Treasury Instruments.

In order to collateralize

its Treasury Instrument positions, RISE will hold such assets, from which it will post margin to its futures commission merchant

(“FCM”), SG Americas Securities, LLC, in an amount equal to the margin required by the relevant exchange, and transfer

to its FCM any additional amounts that may be separately required by the FCM.

When establishing positions in Treasury Instruments,

RISE will be required to deposit initial margin with a value of approximately 3% to 10% of the value of each Treasury Instrument

position at the time it is established.

These margin requirements are subject to change from time to time by the exchange or the

On a daily basis, RISE will be obligated to pay, or entitled to receive, variation margin in an amount equal to the change

in the daily settlement level of its Treasury Instruments positions.

Any assets not required to be posted as margin with the FCM

will be held at RISE’s custodian in cash or cash equivalents, as discussed below.

The RISE Benchmark Portfolio will be invested

in Benchmark Component Instruments and rebalanced, as noted above to maintain a negative average effective portfolio duration of

approximately 10 years.

Duration is a measure of estimated price sensitivity relative to changes in interest rates.

with longer durations are typically more sensitive to changes in interest rates.

For example, if interest rates rise by 1%, the

market value of a security with an effective duration of 5 years would decrease by 5%, with all other factors being constant, and

likewise the market value of a security with an effective duration of negative 5 years would increase by 5%, with all other factors

being constant.

The correlation between duration and price sensitivity is greater for securities rated investment-grade than it

is for securities rated below investment-grade.

Duration estimates are based on assumptions

by Sit and are subject to a number of limitations.

Effective duration is calculated based on historical price changes of U.S.

and Treasury Instruments held by the RISE Benchmark Portfolio, and therefore is a more accurate estimate of price sensitivity provided

interest rates remain within their historical range.

Investments in debt securities typically decrease in value when interest rates

The risk is usually greater for longer-term debt securities.

When RISE purchases an option that expires

“out of the money,”

RISE will realize a loss.

RISE may not be able to invest its assets in futures and options contracts

having an aggregate notional amount exactly equal to that which is required to achieve a negative 10-year average effective duration.

For example, as standardized contracts, U.S.

Treasury futures contracts are denominated in specific dollar amounts, and RISE’s

NAV and the proceeds from the sale of a Creation Basket are unlikely to be an exact multiple of the amounts of those contracts.

As a result, in such circumstances, RISE may be better able to achieve the exact amount of exposure desired through the use of

other investments.

BDRY’s investment objective is to

provide investors with exposure to the daily change in the price of dry bulk freight futures, before expenses and liabilities of

BDRY, by tracking the performance of a portfolio (the “BDRY Benchmark Portfolio”, and together with the RISE Benchmark

Portfolio, the “Benchmark Portfolios”) consisting of a three-month strip of the nearest calendar quarter of futures

contracts on specified indexes (each a “Reference Index”) that measure rates for shipping dry bulk freight (“Freight

Futures”).

Each Reference Index is published each United Kingdom business day by the London-based Baltic Exchange Ltd.

“Baltic Exchange”) and measures the charter rate for shipping dry bulk freight in a specific size category of cargo

Capesize, Panamax or Supramax.

investment objective is to provide investors with exposure to the daily change in the price of dry bulk freight futures, before expenses

and liabilities of BDRY, by tracking the performance of a portfolio (the “BDRY Benchmark Portfolio”) consisting of a three-month

strip of the nearest calendar quarter of futures contracts on specified indexes (each a “Reference Index”) that measure rates

for shipping dry bulk freight (“Freight Futures”).

Each Reference Index is published each United Kingdom business day by

the London-based Baltic Exchange Ltd.

(the “Baltic Exchange”) and measures the charter rate for shipping dry bulk freight

in a specific size category of cargo ship – Capesize, Panamax or Supramax.

The three Reference Indexes are as follows:

2 unchanged sentences

the Supramax 6TC Index.

The value of the Capesize 5TC Index is

disseminated at 11:00 a.m., London Time and the value of the Panamax 4TC Index and the Supramax 6TC Index each is disseminated

at 1:00 p.m., London Time.

The Reference Index information disseminated by the Baltic Exchange also includes the components and

value of each component in each Reference Index.

Such Reference Index information also is widely disseminated by Reuters and/or

other major market data vendors.

BDRY seeks to achieve its investment objective

by investing substantially all of its assets in the Freight Futures currently constituting the BDRY Benchmark Portfolio.

Benchmark Portfolio includes all existing positions to maturity and settles them in cash.

During any given calendar quarter, the

BDRY Benchmark Portfolio progressively increases its positions to the next calendar quarter three-month strip, thus maintaining

constant exposure to the Freight Futures market as positions mature.

The BDRY Benchmark Portfolio maintains

long-only positions in Freight Futures.

The BDRY Benchmark Portfolio includes a combination of Capesize, Panamax and Supramax Freight

More specifically, the BDRY Benchmark Portfolio includes 50% exposure in Capesize Freight Futures contracts, 40% exposure

in Panamax Freight Futures contracts and 10% exposure in Supramax Freight Futures contracts.

The BDRY Benchmark Portfolio does

not include and BDRY does not invest in swaps, non-cleared dry bulk freight forwards or other over-the-counter derivative instruments

that are not cleared through exchanges or clearing houses.

BDRY may hold exchange-traded options on Freight Futures.

value of the Capesize 5TC Index is disseminated at 11:00 a.m., London Time and the value of the Panamax 4TC Index and the Supramax 6TC

Index each is disseminated at 1:00 p.m., London Time.

The Reference Index information disseminated by the Baltic Exchange also includes

the components and value of each component in each Reference Index.

Such Reference Index information also is widely disseminated by Reuters

and/or other major market data vendors.

seeks to achieve its investment objective by investing substantially all of its assets in the Freight Futures currently constituting

the BDRY Benchmark Portfolio.

The BDRY Benchmark Portfolio includes all existing positions to maturity and settles them in cash.

any given calendar quarter, the BDRY Benchmark Portfolio progressively increases its positions to the next calendar quarter three-month

strip, thus maintaining constant exposure to the Freight Futures market as positions mature.

BDRY Benchmark Portfolio maintains long-only positions in Freight Futures.

The BDRY Benchmark Portfolio includes a combination of Capesize,

Panamax and Supramax Freight Futures.

More specifically, the BDRY Benchmark Portfolio includes 50 % exposure in Capesize Freight Futures

contracts, 40 % exposure in Panamax Freight Futures contracts and 10 % exposure in Supramax Freight Futures contracts.

The BDRY Benchmark

Portfolio is maintained by Breakwave and will be rebalanced annually.

The Freight Futures currently constituting the BDRY Benchmark

Portfolio, as well as the daily holdings of BDRY are available on BDRY’s website at www.drybulketf.com.

When establishing positions in Freight

Futures, BDRY will be required to deposit initial margin with a value of approximately 10% to 40% of the notional value of each

Freight Futures position at the time it is established.

These margin requirements are established and subject to change from time

to time by the relevant exchanges, clearing houses or BDRY’s FCM, MacQuarie Futures USA LLC.

On a daily basis, BDRY is obligated

to pay, or entitled to receive, variation margin in an amount equal to the change in the daily settlement level of its Freight

Futures positions.

Any assets not required to be posted as margin with the FCM may be held at BDRY’s custodian or remain

with the FCM in cash or cash equivalents, as discussed below.

BDRY was created to provide investors with

a cost-effective and convenient way to gain exposure to daily changes in the price of Freight Futures.

BDRY is intended to be used

as a diversification opportunity as part of a complete portfolio, not a complete investment program.

The Funds will incur certain expenses in

connection with their operations.

The Funds will hold cash or cash equivalents such as U.S.

Treasuries or other high credit quality,

short-term fixed-income or similar securities for direct investment or as collateral for the Treasury Instruments and for other

liquidity purposes and to meet redemptions that may be necessary on an ongoing basis.

These expenses and income from the cash and

cash equivalent holdings may cause imperfect correlation between changes in the Funds’

net asset value (“NAV”)

and changes in the Benchmark Portfolios, because the Benchmark Portfolios do not reflect expenses or income.

The Funds seek to trade their positions

prior to maturity;

accordingly, natural market forces may cost the Funds while rebalancing.

Each time the Funds seek to reconstitute

their positions, barring movement in the underlying securities, the futures and option prices may be higher or lower.

Such differences

in price, barring a movement in the price of the underlying security, will constitute “roll yield”

and may inhibit

the Funds’

ability to achieve their respective investment objective.

Several factors determine the total return

from investing in a futures contract position.

One factor that impacts the total return that will result from investing in near

month futures contracts and “rolling”

those contracts forward each month is the price relationship between the current

near month contract and the next month contract.

The CTA will close existing positions when

it determines it would be appropriate to do so and reinvest the proceeds in other positions.

Positions may also be closed out to

meet orders for redemption baskets.

Portfolio does not include and BDRY does not invest in swaps, non-cleared dry bulk freight forwards or other over-the-counter derivative

instruments that are not cleared through exchanges or clearing houses.

BDRY may hold exchange-traded options on Freight Futures.

BDRY Benchmark Portfolio is maintained by Breakwave and will be rebalanced annually.

The Freight Futures currently constituting the BDRY

Benchmark Portfolio, as well as the daily holdings of BDRY are available on BDRY’s website at www.drybulketf.com.

establishing positions in Freight Futures, BDRY will be required to deposit initial margin with a value of approximately 10 % to 40 % of

the notional value of each Freight Futures position at the time it is established.

These margin requirements are established and subject

to change from time to time by the relevant exchanges, clearing houses or BDRY’s FCM, ED & F Man Capital Markets, Inc.

daily basis, BDRY is obligated to pay, or entitled to receive, variation margin in an amount equal to the change in the daily settlement

level of its Freight Futures positions.

Any assets not required to be posted as margin with the FCM may be held at BDRY’s custodian

or remain with the FCM in cash or cash equivalents, as discussed below.

was created to provide investors with a cost-effective and convenient way to gain exposure to daily changes in the price of Freight Futures.

BDRY is intended to be used as a diversification opportunity as part of a complete portfolio, not a complete investment program.

Fund will incur certain expenses in connection with its operations.

The Fund will hold cash or cash equivalents such as U.S.

or other high credit quality, short-term fixed-income or similar securities for direct investment or as collateral for the Treasury Instruments

and for other liquidity purposes and to meet redemptions that may be necessary on an ongoing basis.

These expenses and income from the

cash and cash equivalent holdings may cause imperfect correlation between changes in the Fund’s net asset value (“NAV”)

and changes in the Benchmark Portfolio, because the Benchmark Portfolio does not reflect expenses or income.

Fund seeks to trade its positions prior to maturity;

accordingly, natural market forces may cost the Fund while rebalancing.

the Fund seeks to reconstitute its positions, barring movement in the underlying securities, the futures and option prices may be higher

Such differences in price, barring a movement in the price of the underlying security, will constitute “roll yield”

and may inhibit the Fund’s ability to achieve its investment objective.

factors determine the total return from investing in a futures contract position.

One factor that impacts the total return that will

result from investing in near month futures contracts and “rolling” those contracts forward each month is the price relationship

between the current near month contract and the next month contract.

CTA will close existing positions when it determines it would be appropriate to do so and reinvest the proceeds in other positions.

may also be closed out to meet orders for redemption baskets.

Summary of Significant Accounting Policies

(a) Basis of Accounting

The accompanying combined financial statements

of the Funds have been prepared in conformity with U.S.

generally accepted accounting principles (“U.S.

GAAP”).

Fund qualifies as an investment company for financial reporting purposes under Topic 946 of the Accounting Standard Codification

(b) Use of Estimates

The preparation of the combined

financial statements in conformity with U.S.

GAAP requires management to make estimates and assumptions that affect the reported

amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the combined financial statements

and accompanying notes.

Basis of Accounting

accompanying combined financial statements of the Fund have been prepared in conformity with U.S.

generally accepted accounting principles

The Fund qualifies as an investment company for financial reporting purposes under Topic 946 of the Accounting

Standard Codification of U.S.

Use of Estimates

preparation of the combined financial statements in conformity with U.S.

GAAP requires management to make estimates and assumptions that

affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the combined

financial statements and accompanying notes.

Actual results could differ from those estimates.

There were no significant estimates used in the preparation

of the combined financial statements.

Cash, when shown in the Combined

Statements of Assets and Liabilities, represents non-segregated cash with the custodian and does not include short-term investments.

(d) Cash Held by Broker

Sit is registered as a “commodity

trading advisor”

and acts as such for RISE.

Breakwave is registered as a “commodity trading advisor”

as such for BDRY.

Each Fund’s arrangement with its respective FCM requires the Fund to meet its variation margin requirement

related to the price movements, both positive and negative, on futures contracts held by the Fund by keeping cash on deposit with

the Commodity Brokers (as defined below).

These amounts are shown as Segregated cash held by broker in the Statements of Assets

and Liabilities.

The Funds deposit cash or United States Treasury Obligations, as applicable, with their respective FCM subject

to the CFTC regulations and various exchange and broker requirements.

The combination of the Funds’

deposits with their respective

FCM of cash and United States Treasury Obligations, as applicable, and the unrealized gain or loss on open futures contracts (variation

margin) represents the Funds’

overall equity in their respective brokerage trading account.

The Funds use their cash held

by their respective FCM to satisfy variation margin requirements.

The Funds earn interest on their cash deposited with their respective

FCM and interest income is recorded on the accrual basis.

(e) Final Net Asset Value for Fiscal

The calculation time of each Fund’s

final net asset value for creation and redemption of Fund shares for the years ended June 30, 2020 and 2019 was at 4:00 p.m.

Time on June 30, 2020 and June 28, 2019, respectively.

Although the Funds’

shares may continue

to trade on secondary markets subsequent to the calculation of the final NAV, the 4:00 p.m.

Eastern Time represented the final

opportunity to transact in creation or redemption baskets for the years ended June 30, 2020 and 2019.

Fair value per share is determined at the

close of the NYSE Arca.

For financial reporting purposes, each

Fund values its investment positions based upon the final closing price in their primary markets.

Accordingly, the investment valuations

in these combined financial statements differ from those used in the calculations of the Funds’

final creation/redemption

NAVs at June 30, 2020 and June 30, 2019.

(f) Investment Valuation

Short-term investments, excluding U.S.

There were no significant estimates used

in the preparation of the combined financial statements.

when shown in the Combined Statements of Assets and Liabilities, represents non-segregated cash with the custodian and does not include

short-term investments.

Cash Held by Broker

is registered as a “commodity trading advisor” and acts as such for BDRY.

The Fund’s arrangement with its FCM requires

the Fund to meet its variation margin requirement related to the price movements, both positive and negative, on futures contracts held

by the Fund by keeping cash on deposit with the Commodity Broker (as defined below).

These amounts are shown as Segregated cash held

by broker in the Combined Statements of Assets and Liabilities.

The Fund deposits cash or United States Treasury Obligations, as applicable,

with its FCM subject to the CFTC regulations and various exchange and broker requirements.

The combination of the Fund’s deposits

with its FCM of cash and United States Treasury Obligations, as applicable, and the unrealized gain or loss on open futures contracts

(variation margin) represents the Fund’s overall equity in its brokerage trading account.

The Fund uses its cash held by its FCM

to satisfy variation margin requirements.

The Fund earns interest on its cash deposited with its FCM and interest income is recorded

on the accrual basis.

Final Net Asset Value for Fiscal Period

calculation time of the Fund’s final net asset value for creation and redemption of Fund shares for the years ended June 30, 2021

and June 30, 2020 was at 4:00 p.m.

Eastern Time on June 30, 2021 and June 30, 2020, respectively.

RISE was liquidated on November 18,

2020 at its final net asset value as of that date.

the Fund’s shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, the 4:00 p.m.

Time represented the final opportunity to transact in creation or redemption baskets for the years ended June 30, 2021 and June 30, 2020.

value per share is determined at the close of the NYSE Arca.

financial reporting purposes, the Fund values its investment positions based upon the final closing price in their primary markets.

the investment valuations in these combined financial statements differ from those used in the calculations of the Fund’s final

creation/redemption NAVs at June 30, 2021 and 2020.

Investment Valuation

investments, excluding U.S.

Treasury Bills, are carried at amortized cost, which approximates fair value.

Treasury Bills are valued as determined by an

independent pricing service based on methods which include consideration of yields or prices of securities of comparable quality,

coupon, maturity and type;

Treasury Bills are valued

as determined by an independent pricing service based on methods which include consideration of:

yields or prices of securities of comparable

quality, coupon, maturity and type;

indications as to values from dealers;

and general market conditions.

Futures and options contracts are valued

at the last settled price on the applicable exchange on which that futures and/or options contract trades.

(g) Financial Instruments and Fair Value

Each Fund discloses the fair value of its

investments in accordance with the Financial Accounting Standards Board (“FASB”) fair value measurement and disclosure

guidance which requires a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value.

and options contracts are valued at the last settled price on the applicable exchange on which that futures and/or options contract trades.

Financial Instruments and Fair Value

Fund discloses the fair value of its investments in accordance with the Financial Accounting Standards Board (“FASB”) fair

value measurement and disclosure guidance which requires a fair value hierarchy that prioritizes the inputs to valuation techniques used

to measure fair value.

The disclosure requirements establish a fair value hierarchy that distinguishes between:

(1) market participant assumptions developed

based on market data obtained from sources independent to the Fund (observable inputs);

and (2) the Fund’s own assumptions

about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs).

(1) market participant

assumptions developed based on market data obtained from sources independent to the Fund (observable inputs);

and (2) the Fund’s

own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable

The three levels defined by the disclosure requirements hierarchy are as follows:

Quoted prices (unadjusted) in

active markets for identical assets and liabilities that the reporting entity has the ability to access at the measurement date.

Inputs other than quoted prices

included within Level I that are observable for the asset or liability, either directly or indirectly.

Level II inputs include

the following:

quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets

or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or liability,

and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated

Unobservable pricing input at

the measurement date for the asset or liability.

Unobservable inputs shall be used to measure fair value to the extent that observable

inputs are not available.

In some instances, the inputs used to measure

fair value might fall in different levels of the fair value hierarchy.

The level in the fair value hierarchy within which the fair

value measurement in its entirety falls shall be determined based on the lowest input level that is significant to the fair value

measurement in its entirety.

Fair value measurements also require additional

disclosure when the volume and level of activity for the asset or liability have significantly decreased, as well as when circumstances

indicate that a transaction is not orderly.

The following tables summarize RISE’s

valuation of investments at June 30, 2020 and at June 30, 2019 using the fair value hierarchy:

June 30, 2020

Short-Term Investments

Purchased Options Contracts

Written Options Contracts

Futures Contracts

Level I –

Quoted Prices

$ 4,849,667 a

Included in Investments in securities in the Combined

Statements of Assets and Liabilities.

Included in Options Written, at fair value in the

Combined Statements of Assets and Liabilities.

Included in Payable on open futures contracts in the

Combined Statements of Assets and Liabilities.

June 30, 2019

Level I –

Quoted Prices

Included in Investments in securities in the Combined

Statements of Assets and Liabilities.

Included in Options Written, at fair value in the

Combined Statements of Assets and Liabilities.

Included in Payable on open futures contracts in the

Combined Statements of Assets and Liabilities.

Transfers between levels are recognized

at the end of the reporting period.

During the years ended June 30, 2020 and 2019, RISE recognized no transfers from Level 1, Level

2 or Level 3.

The following tables summarize BDRY’s

valuation of investments at June 30, 2020 and at June 30, 2019 using the fair value hierarchy:

June 30, 2020

Short-Term Investments

Futures Contracts

Level I –

Quoted Prices

$ 7,986,862 a

$ 8,581,555 b

Included in Investments in securities in the Combined

Statements of Assets and Liabilities.

Included in Receivable on open futures contracts in

the Combined Statements of Assets and Liabilities.

June 30, 2019

Short-Term Investments

Futures Contracts

Quoted Prices

$ 1,095,625 a

Included in Investments in securities

in the Combined Statements of Assets and Liabilities.

Included in Receivable on open futures contracts in

the Combined Statements of Assets and Liabilities.

Transfers between levels are recognized

at the end of the reporting period.

During the years ended June 30, 2020 and 2019, BDRY recognized no transfers from Level 1, Level

2 or Level 3.

The inputs or methodology used for valuing

investments are not necessarily an indication of the risk associated with investing in those securities.

(h) Investment Transactions and Related

Investment transactions are recorded on

the trade date.

Quoted prices (unadjusted) in active markets for identical assets and liabilities that the reporting entity has the ability to access

at the measurement date.

Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly.

Level II inputs include the following:

quoted prices for similar assets or liabilities in active markets, quoted prices for identical

or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the asset or

liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means (market-corroborated

Unobservable pricing input at the measurement date for the asset or liability.

Unobservable inputs shall be used to measure fair

value to the extent that observable inputs are not available.

some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy.

The level in the fair

value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest input level that

is significant to the fair value measurement in its entirety.

value measurements also require additional disclosure when the volume and level of activity for the asset or liability have significantly

decreased, as well as when circumstances indicate that a transaction is not orderly.

following tables summarize BDRY’s valuation of investments at June 30, 2021 and June 30, 2020 using the fair value hierarchy:

I – Quoted Prices

– Included in Investments in securities in the Statements of Assets and Liabilities.

– Included in Receivable on open futures contracts in the Statements of Assets and Liabilities.

I – Quoted Prices

– Included in Investments in securities in the Combined Statements of Assets and Liabilities.

– Included in Receivable on open futures contracts in the Combined Statements of Assets and Liabilities.

between levels are recognized at the end of the reporting period.

During the years ended June 30, 2021 and 2020, BDRY recognized no transfers

from Level 1, Level 2 or Level 3.

inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

following table summarizes RISE’s valuation of investments at June 30, 2020 using the fair value hierarchy:

I – Quoted Prices

– Included in Investments in securities in the Combined Statements of Assets and Liabilities.

– Included in Options written, at fair value in the Combined Statements of Assets and Liabilities.

– Included in Payable on open futures contracts in the Combined Statements of Assets and Liabilities.

between levels are recognized at the end of the reporting period.

During the year ended June 30, 2020, RISE recognized no transfers from

Level 1, Level 2 or Level 3.

Investment Transactions and Related Income

transactions are recorded on the trade date.

All such transactions are recorded on the identified cost basis, and marked to market daily.

Unrealized gain/loss

on open futures contracts is reflected in Receivable/Payable on open futures contracts in the Combined Statements of Assets and

Liabilities and the change in the unrealized gain/loss between periods is reflected in the Combined Statements of Operations.

discounts on short-term securities purchased are accreted daily and reflected as Interest Income, when applicable, in the Combined

Statements of Operations.

BDRY’s interest earned on short-term securities and on cash deposited with MacQuarie Futures USA

LLC are accrued daily and reflected as Interest Income, when applicable, in the Combined Statements of Operations.

(i) Federal Income Taxes

Each Fund is registered as a Delaware statutory

trust and is treated as a partnership for U.S.

Unrealized gain/loss on open futures contracts is reflected in Receivable/Payable on open futures contracts in the Statements

of Assets and Liabilities and the change in the unrealized gain/loss between periods is reflected in the Combined Statements of Operations.

BDRY’s interest earned on short-term securities and on cash deposited with ED & F Man Capital Markets Inc.

is accrued daily

and reflected as Interest Income, when applicable, in the Combined Statements of Operations.

Federal Income Taxes

Fund is registered as a Delaware statutory trust and is treated as a partnership for U.S.

federal income tax purposes.

Accordingly, the Funds do not expect to incur U.S.

Accordingly, the

Fund does not expect to incur U.S.

federal income tax liability;

rather, each beneficial owner is required to take into account their allocable share of the Funds’

income, gain, loss, deductions and other items for the Funds’

taxable year ending with or within the beneficial owner’s

taxable year.

Management of the Funds has reviewed the

open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized tax benefits relating

to uncertain income tax positions taken or expected to be taken in future tax returns at June 30, 2020 and June 30, 2019.

are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits

will significantly change in the next twelve months.

On an ongoing basis, management will monitor its tax positions taken to determine

if adjustments to its conclusions are necessary based on factors including, but not limited to, further implementation of guidance

expected from the FASB and on-going analysis of tax law, regulation, and interpretations thereof.

The Funds’

rather, each beneficial owner is required to take into account their

allocable share of the Fund’s income, gain, loss, deductions and other items for the Fund’s taxable year ending with or within

the beneficial owner’s taxable year.

of the Fund has reviewed the open tax years and major jurisdictions and concluded that there is no tax liability resulting from unrecognized

tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns at June 30, 2021 and June

The Fund is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized

tax benefits will significantly change in the next twelve months.

On an ongoing basis, management will monitor its tax positions taken

to determine if adjustments to its conclusions are necessary based on factors including, but not limited to, further implementation of

guidance expected from the FASB and on-going analysis of tax law, regulation, and interpretations thereof.

The Fund’s federal tax

returns are subject to examination by the Internal Revenue Service for a period of three years after they are filed.

(j) Reclassification

Certain reclassifications have been

made to the prior consolidated financial statements to conform with the current year presentation.

(3) Investments

(a) Short-Term Investments

The Funds may purchase U.S.

Treasury Bills,

agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one

year or less.

A portion of these investments may be used as margin for the Funds’

trading in futures contracts.

(b) Accounting for Derivative Instruments

In seeking to achieve each Fund’s

investment objective, the applicable commodity trading advisor uses a mathematical approach to investing.

Using this approach,

the applicable commodity trading advisor determines the type, quantity and mix of investment positions that it believes in combination

should produce returns consistent with the Fund’s objective.

All open derivative positions at June 30,

2020 and at June 30, 2019, as applicable, are disclosed in the Combined Schedules of Investments and the notional value of these

open positions relative to the shareholders’

capital of the Funds is generally representative of the notional value of open

positions to shareholders’

capital throughout the reporting periods for the Funds.

The volume associated with derivative

positions varies on a daily basis as the Funds transact in derivative contracts in order to achieve the appropriate exposure, as

expressed in notional value, in comparison to shareholders’

capital consistent with the applicable Fund’s investment

Following is a description of the derivative

instruments used by the Funds during the reporting period, including the primary underlying risk exposures.

The Funds enter into futures contracts

to gain exposure to changes in the value of the Benchmark Portfolios.

A futures contract obligates the seller to deliver (and the

purchaser to accept) the future cash settlement of a specified quantity and type of a treasury futures contract at a specified

time and place.

The contractual obligations of a buyer or seller of a treasury futures contract may generally be satisfied by making

an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery.

Upon entering into a futures contract,

the Funds are required to deposit and maintain as collateral at least such initial margin as required by the exchange on which

the transaction is affected.

The initial margin is segregated as Cash held by broker, as disclosed in the Combined Statements of

Assets and Liabilities, and is restricted as to its use.

Pursuant to the futures contract, the Funds agree to receive from or pay

to the broker an amount of cash equal to the daily fluctuation in value of the futures contract.

Short-Term Investments

Fund may purchase U.S.

Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities

with original maturities of one year or less.

A portion of these investments may be used as margin for the Fund’s trading in futures

Accounting for Derivative Instruments

seeking to achieve the Fund’s investment objective, the commodity trading advisor uses a mathematical approach to investing.

this approach, the applicable commodity trading advisor determines the type, quantity and mix of investment positions that it believes

in combination should produce returns consistent with the Fund’s objective.

open derivative positions at June 30, 2021 and at June 30, 2020, as applicable, are disclosed in the Combined Schedules of Investments

and the notional value of these open positions relative to the shareholders’ capital of the Fund is generally representative of

the notional value of open positions to shareholders’ capital throughout the reporting periods for the Fund.

The volume associated

with derivative positions varies on a daily basis as the Fund transacts in derivative contracts in order to achieve the appropriate exposure,

as expressed in notional value, in comparison to shareholders’ capital consistent with the Fund’s investment objective.

is a description of the derivative instruments used by the Fund during the reporting period, including the primary underlying risk exposures.

Futures Contracts

Fund enters into futures contracts to gain exposure to changes in the value of the Benchmark Portfolio.

A futures contract obligates

the seller to deliver (and the purchaser to accept) the future cash settlement of a specified quantity and type of a freight futures

or treasury futures contract at a specified time and place.

The contractual obligations of a buyer or seller of a treasury futures contract

may generally be satisfied by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before

the designated date of delivery.

entering into a futures contract, the Fund is required to deposit and maintain as collateral at least such initial margin as required

by the exchange on which the transaction is affected.

The initial margin is segregated as Cash held by broker, as disclosed in the Combined

Statements of Assets and Liabilities, and is restricted as to its use.

Pursuant to the futures contract, the Fund agrees to receive from

or pay to the broker an amount of cash equal to the daily fluctuation in value of the futures contract.

Such receipts or payments are

known as variation margin and are recorded by the Funds as unrealized gains or losses.

The Funds will realize a gain or loss upon

closing a futures transaction.

Futures contracts involve, to varying degrees,

elements of market risk (specifically treasury price risk) and exposure to loss in excess of the amount of variation margin.

face or contract amounts reflect the extent of the total exposure the Funds have in the particular classes of instruments.

risks associated with the use of futures contracts include imperfect correlation between movements in the price of the futures

contracts and the market value of the underlying securities and the possibility of an illiquid market for a futures contract.

futures contracts, there is minimal counterparty risk to the Funds since futures contracts are exchange-traded and the exchange’s

clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default.

of Derivative Instruments, as of June 30, 2020

Asset Derivatives

Liability Derivatives

Combined Statements of

Assets and Liabilities

known as variation margin and are recorded by the Fund as unrealized gains or losses.

The Fund will realize a gain or loss upon closing

a futures transaction.

contracts involve, to varying degrees, elements of market risk (specifically freight futures or treasury price risk) and exposure to

loss in excess of the amount of variation margin.

The face or contract amounts reflect the extent of the total exposure the Fund has

in the particular classes of instruments.

Additional risks associated with the use of futures contracts include imperfect correlation

between movements in the price of the futures contracts and the market value of the underlying securities and the possibility of an illiquid

market for a futures contract.

With futures contracts, there is minimal counterparty risk to the Fund since futures contracts are exchange-traded

and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against

DRY BULK SHIPPING ETF

Value of Derivative Instruments, as of June 30, 2021

Statements of

Assets and Liabilities

Interest Rate Risk

Purchased options

Payable on open futures contracts

Interest Rate Risk

Written options, at fair value

Represents fair value of options contracts as reported in the Combined Statements of Assets and Liabilities.

Represents cumulative depreciation of futures contracts as reported in the Combined Statements of Assets and Liabilities.

SIT RISING RATE ETF

Fair Value of Derivative Instruments, as

of June 30, 2019

Asset Derivatives

Liability Derivatives

Combined Statements of

Assets and Liabilities

Combined Statements of

Assets and Liabilities

Interest Rate Risk

Purchased options

Payable on open futures contracts

Interest Rate Risk

Written options, at fair value

Represents fair value of options contracts as reported in the Combined Statements of Assets and Liabilities.

Represents cumulative depreciation of futures contracts as reported in the Combined Statements of Assets and Liabilities.

SIT RISING RATE ETF

The Effect of Derivative Instruments on

the Combined Statements of Operations

For the Year Ended June 30, 2020

Location of Gain (Loss) on Derivatives

Recognized in

Interest Rate Risk

Net realized gain (loss) on investments, futures and options contracts and/or Change in unrealized gain (loss) on investments, futures and options contracts

The futures and options contracts open

at June 30, 2020 are indicative of the activity for the year ended June 30, 2020.

SIT RISING RATE ETF

The Effect of Derivative Instruments on

the Combined Statements of Operations

Ended June 30, 2019

Location of Gain (Loss) on Derivatives

Recognized in

Interest Rate Risk

Net realized gain (loss) on investments, futures and options contracts and/or Change in unrealized gain (loss) on investments, futures and options contracts

$ (3,673,921 )

The futures and options contracts open

at June 30, 2019 are indicative of the activity for the year ended June 30, 2019.

BREAKWAVE DRY BULK SHIPPING ETF

Fair Value of Derivative Instruments, as

of June 30, 2020

Asset Derivatives

Liability Derivatives

Combined Statements of

Assets and Liabilities

Combined Statements of

Statements of

Assets and Liabilities

Interest Rate Risk

Receivable on open futures contracts

Represents cumulative appreciation of futures contracts as reported in the Combined Statements of Assets and Liabilities.

BREAKWAVE DRY BULK SHIPPING ETF

Fair Value of Derivative Instruments, as

of June 30, 2019

Asset Derivatives

Liability Derivatives

Combined Statements of

* Represents cumulative appreciation of futures contracts as reported in the Statements of Assets and Liabilities.

DRY BULK SHIPPING ETF

Value of Derivative Instruments, as of June 30, 2020

Statements of

Assets and Liabilities

Combined Statements of

Statements of

Assets and Liabilities

Interest Rate Risk

Receivable on open futures contracts

3 unchanged sentences

the Year Ended June 30, 2021

Location of Gain (Loss) on Derivatives

Recognized in

on Derivatives Recognized in

Interest Rate Risk

Net realized loss on futures and options contracts and/or Change in unrealized gain (loss) on futures and options contracts

$ (1,565,921 )

futures contracts open at June 30, 2020 are indicative of the activity for the year ended to June 30, 2020.

of Gain (Loss) on Derivatives

Gain (Loss) on Derivatives Recognized

Net realized gain on futures and options contracts and/or Change in unrealized gain (loss) on futures and options contracts

futures and options contracts open at June 30, 2021 are indicative of the activity for the year ended June 30, 2021.

DRY BULK SHIPPING ETF

1 unchanged sentence

the Year Ended June 30, 2020

Location of Gain (Loss) on Derivatives

Recognized in

Interest Rate Risk

of Gain (Loss) on Derivatives

Gain (Loss) on Derivatives Recognized

Net realized loss on futures and options contracts and/or Change in unrealized gain (loss) on futures and options contracts

$ (1,006,844 )

futures contracts open at June 30, 2019 are indicative of the activity for the year ended June 30, 2019.

futures and options contracts open at June 30, 2020 are indicative of the activity for the year ended June 30, 2020.

RISING RATE ETF

Value of Derivative Instruments, as of June 30, 2020

Statements of

Assets and Liabilities

Statements of

Assets and Liabilities

on open futures contracts

options, at fair value

* Represents fair value of options contracts as reported in the Combined Statements of Assets and Liabilities.

** Represents cumulative depreciation of futures contracts as reported in the Combined Statements of Assets and Liabilities.

RISING RATE ETF

Effect of Derivative Instruments on the Combined Statements of Operations

the Year Ended June 30, 2020

of Gain (Loss) on Derivatives

Gain (Loss) on

Net realized gain (loss) on investments, futures and options contracts and/or Change in unrealized gain (loss) on investments, futures and options contracts

futures and options contracts open at June 30, 2020 are indicative of the activity for the year ended June 30, 2020.

Management Fee

Fund pays the Sponsor a sponsor fee (the “Sponsor Fee”) in consideration of the Sponsor’s advisory services

to the Funds.

Additionally, each Fund pays its respective commodity trading advisor a license and service fee (the “CTA

Sponsor has agreed to waive receipt of the Sponsor Fee for RISE and/or assume RISE’s expenses (excluding brokerage fees,

interest expense, and extraordinary expenses) so that RISE’s total annual expenses do not exceed 1.00% (the “RISE

Expense Cap”) of average net assets per annum through September 30, 2021.

CTA fee, calculated daily and paid monthly in arrears, is 0.20% per annum of average daily net assets.

Sponsor Fee, calculated daily and paid monthly, is the greater of 0.15% of its average daily net assets, or $75,000, and

the fees for Principal Financial Officer and Chief Compliance Officer services provided to RISE by the Sponsor are $25,000 per

April 1, 2019, the fee paid to the Sponsor for tax return preparation was reduced from $100,000 per year to $50,000 per year.

pays the Sponsor an annual Sponsor Fee, monthly in arrears, in an amount calculated as the greater of 0.15% of its average

daily net assets, or $125,000.

BDRY also paid an annual fee to Breakwave, monthly in arrears, in an amount equal to 1.45% of

BDRY’s average daily net assets.

Breakwave has agreed to waive its CTA fee to the extent necessary, and the Sponsor has

voluntarily agreed to correspondingly assume the remaining expenses of BDRY such that Fund expenses do not exceed an annual

rate of 3.50%, excluding brokerage commissions and interest expense, of the value of BDRY’s average daily net assets

through September 30, 2021 (the “BDRY Expense Cap,”

and together with the RISE Expense Cap, the “Expense

Caps”).

The assumption of expenses by the Sponsor and waiver of BDRY’s CTA fee are contractual on the part of the

Sponsor and Breakwave, respectively.

waiver of BDRY’s CTA fees, pursuant to the undertaking, amounted to $60,769 and $45,460 for the years ended June 30, 2020

and 2019, respectively, as disclosed in the Combined Statements of Operations.

Funds currently accrue their daily expenses up to the applicable Expense Cap, or, if less, up accrual estimates established by

Fund pays the Sponsor a sponsor fee (the “Sponsor Fee”) in consideration of the Sponsor’s advisory services to the

Additionally, the Fund pays its commodity trading advisor a license and service fee (the “CTA fee”).

pays the Sponsor an annual Sponsor Fee, monthly in arrears, in an amount calculated as the greater of 0.15 % of its average daily net

assets, or $ 125,000 .

BDRY also pays an annual fee to Breakwave, monthly in arrears, in an amount equal to 1.45 % of BDRY’s average

daily net assets.

Breakwave has agreed to waive its CTA fee to the extent necessary, and the Sponsor has voluntarily agreed to correspondingly

assume the remaining expenses of BDRY such that Fund expenses do not exceed an annual rate of 3.50 %, excluding brokerage commissions, interest expense, and extraordinary expenses, if any, of the value of BDRY’s average daily net

assets through September 30, 2022 (the “BDRY Expense Cap”.

The assumption of expenses by the Sponsor and waiver of BDRY’s

CTA fee are contractual on the part of the Sponsor and Breakwave, respectively.

waiver of BDRY’s CTA fees, pursuant to the undertaking, amounted to $ 39,184 and $ 60,769 for the years ended June 30, 2021 and 2020,

respectively, as disclosed in the Combined Statements of Operations.

(and, prior to its liquidation, RISE) currently accrues its daily expenses up to the Expense Cap, or, if less, at accrual estimates established

by the Sponsor.

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 Funds in excess of the Fund’s

respective Expense Cap, which in the case of RISE, aggregated $389,041 and $184,268 for the years ended June 30, 2020 and 2019,

respectively, and in the case of BDRY, aggregated $284,850 and $477,429 for the years ended June 30, 2020 and 2019, respectively,

as disclosed in the Combined Statements of Operations.

for the payment of the routine operational, administrative and other ordinary expenses of the Fund in excess of the Fund’s Expense

Cap, which in the case of RISE, aggregated $ 136,902 and $ 389,041 for the years ended June 30, 2021 and 2020, respectively, as disclosed

in the Combined Statements of Operations.

In the case of BDRY, expenses absorbed by the Sponsor aggregated $- 0 - and $ 284,850 for the

years ended June 30, 2021 and 2020, respectively, as disclosed in the Combined Statements of Operations.

The Administrator, Custodian, Fund Accountant and Transfer Agent

Fund has appointed U.S.

Bank, a national banking association, with its principal office in Milwaukee, Wisconsin, as the custodian

(the “Custodian”).

Bank, a national banking association, with its principal office in Milwaukee, Wisconsin, as the custodian (the

“Custodian”).

Its affiliate, U.S.

Bancorp Fund Services, is the Fund accountant (“the Fund accountant”)

of the Funds, transfer agent (the “Transfer Agent”) for Fund shares and administrator for the Funds (the “Administrator”).

It performs certain administrative and accounting services for the Funds and prepares certain SEC, NFA and CFTC reports on behalf

of the Funds.

Bancorp Fund Services, is the Fund accountant (“the Fund accountant”) of the

Fund, transfer agent (the “Transfer Agent”) for Fund shares and administrator for the Fund (the “Administrator”).

It performs certain administrative and accounting services for the Fund and prepares certain SEC, NFA and CFTC reports on behalf of the

Bank and U.S.

Bancorp Fund Services are referred to collectively hereinafter as “U.S.

Bank”).

has agreed to pay U.S.

Bank 0.05% of assets under management (“AUM”), with a $50,000 minimum annual fee payable for

its administrative, accounting and transfer agent services and 0.01% of AUM, with an annual minimum of $4,800 for custody services.

RISE paid U.S.

Bank $57,601 and $56,301 for the years ended June 30, 2020 and 2019, respectively, as disclosed in the Combined

Statements of Operations.

Bancorp Fund Services are referred to collectively hereinafter as “U.S.

has agreed to pay U.S.

Bank 0.05% of AUM, with a $45,000 minimum annual fee payable for its administrative, accounting and transfer

agent services and 0.01% of AUM, with an annual minimum of $4,800 for custody services.

Bank 0.05 % of AUM, with a $ 45,000 minimum annual fee payable for its administrative, accounting and transfer agent

services and 0.01 % of AUM, with an annual minimum of $ 4,800 for custody services.

BDRY paid U.S.

Bank $61,854 and $61,399

for the years ended June 30, 2020 and 2019, respectively, as disclosed in the Combined Statements of Operations.

Bank $ 63,796 and $ 61,854 for the years

ended June 30, 2021 and 2020, respectively, as disclosed in the Combined Statements of Operations.

to its liquidation RISE paid U.S.

Bank $ 19,486 and $ 57,601 for the years ended June 30, 2021 and 2020, respectively, as disclosed in

the Combined Statements of Operations.

The Distributor

Funds pay ETFMG Financial LLC.

(the “Distributor”), an affiliate of the Sponsor, an annual fee for statutory and wholesaling

distribution services and related administrative services equal to the greater of $15,000 or 0.02% of the Funds’

daily net assets, payable monthly.

Pursuant to the respective Marketing Agent Agreement between the Sponsor, each Fund and the

Distributor, the Distributor assists the Sponsor and the applicable Fund with certain functions and duties relating to distribution

and marketing services to the applicable Fund, including reviewing and approving marketing materials and certain regulatory compliance

The Distributor also assists with the processing of creation and redemption orders.

Fund pays ETFMG Financial LLC.

(the “Distributor”), an affiliate of the Sponsor, an annual fee for statutory and wholesaling

distribution services and related administrative services equal to the greater of $ 15,000 or 0.02 % of the Fund’s average daily

net assets, payable monthly.

Pursuant to the Marketing Agent Agreement between the Sponsor, the Fund and the Distributor, the Distributor

assists the Sponsor and the Fund with certain functions and duties relating to distribution and marketing services to the Fund, including

reviewing and approving marketing materials and certain regulatory compliance matters.

The Distributor also assists with the processing

of creation and redemption orders.

incurred $ 15,707 and $ 15,821 in distribution and related administrative services for the years ended June 30, 2021 and 2020, respectively,

BDRY incurred $15,821 and $16,497 in distribution and related administrative services for the years ended June 30, 2020 and 2019,

respectively, as disclosed in the Combined Statements of Operations.

also pays the Sponsor an annual fee for wholesale support services equal to 0.1% of RISE’s average daily net assets, payable

BDRY pays the Sponsor an annual fee for wholesale support services of $25,000 plus 0.12% of BDRY’s average daily

as disclosed in the Combined Statements of Operations.

to its liquidation, RISE incurred $ 5,116 and $ 15,539 in distribution and related administrative services for the years ended June 30,

2021 and 2020, respectively, as disclosed in the Combined Statements of Operations.

pays the Sponsor an annual fee for wholesale support services of $25,000 plus 0.12% of BDRY’s average daily net assets, payable

to its liquidation, RISE also paid the Sponsor an annual fee for wholesale support services equal to 0.1% of RISE’s average daily

net assets, payable monthly .

incurred $6,223 and $45,717 in wholesale support fees for the years ended June 30, 2020 and 2019, respectively.

BDRY incurred

$35,622 and $28,762 in wholesale support fees for the years ended June 30, 2020 and 2019, respectively, as disclosed in the Combined

Statements of Operations.

incurred $ 78,874 and $ 35,622 in wholesale support fees for the years ended June 30, 2021 and 2020, respectively, as disclosed in the

Combined Statements of Operations.

to its liquidation, RISE incurred $ 1,522 and $ 6,223 in wholesale support fees for the years ended June 30, 2021 and 2020, respectively,

as disclosed in the Combined Statements of Operations.

The Commodity Broker

Americas Securities, LLC, a Delaware limited liability company, serves as RISE’s clearing broker.

MacQuarie Futures USA

LLC, a Delaware limited liability company, serves as BDRY’s clearing broker (such clearing broker, together with SG Americas

Securities, LLC, the “Commodity Brokers”).

In their capacity as clearing broker, the Commodity Brokers execute and

clear the Funds’

futures transactions and perform certain administrative services for the Funds.

Funds pay respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”)

fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities

in CFTC regulated investments.

& F Man Capital Inc., a Delaware limited liability company, serves as BDRY’s clearing broker , (the “Commodity Broker”).

In its capacity as clearing broker, the Commodity Broker executes and clear the Fund’s futures transactions and perform certain

administrative services for the Fund.

Fund pays brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees,

pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities in CFTC regulated investments.

Brokerage commissions on futures contracts are recognized on a half-turn basis.

Sponsor does not expect annual brokerage commissions and fees to exceed 0.08% for

RISE, and approximately 0.40% (excluding the impact on the Fund of creation and/or redemption activity) for BDRY, of the

net asset value of the applicable Fund for execution and clearing services on behalf of the applicable Fund, although the actual

Sponsor does not expect annual brokerage commissions and fees to exceed 0.40 % (excluding the impact on the Fund of creation and/or redemption

activity) for BDRY, of the net asset value of the Fund for execution and clearing services on behalf of the Fund, although the actual

amount of brokerage commissions and fees in any year or any part of any year may be greater.

1 unchanged sentence

costs associated with financial instruments, and costs relating to the purchase of U.S.

Treasury Securities or similar high credit

quality short-term fixed-income or similar securities are not included in the foregoing analysis.

RISE incurred $4,961 and $52,348

in brokerage commissions and fees for the years ended June 30, 2020 and 2019, respectively.

BDRY incurred $208,650 and $34,610

in brokerage commissions and fees for the years ended June 30, 2020 and 2019, respectively, as disclosed in the Combined Statements

of Operations.

the respective Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”) for each Fund,

Wilmington Trust Company, the Trustee of each of the Funds (the “Trustee”) serves as the sole trustee of each Fund

in the State of Delaware.

The Trustee will accept service of legal process on the Funds in the State of Delaware and will make

certain filings under the Delaware Statutory Trust Act.

Under the respective Trust Agreement for each Fund, the Sponsor has the

exclusive management and control of all aspects of the business of the Fund.

The Trustee does not owe any other duties to the

Fund, the Sponsor or the Shareholders of the Fund.

The Trustee has no duty or liability to supervise or monitor the performance

of the Sponsor, nor does the Trustee have any liability for the acts or omissions of the Sponsor.

RISE and BDRY each incurred

$2,500, in trustee fees for each of the two years in the period ended June 30, 2020, which is included in Other Expenses in the

Combined Statements of Operations.

Treasury Securities or similar high credit quality

short-term fixed-income or similar securities are not included in the foregoing analysis.

BDRY incurred $ 518,616 and $ 208,650 in brokerage

commissions and fees for the years ended June 30, 2021 and 2020, respectively, as disclosed in the Combined Statements of Operations.

to its liquidation, RISE incurred $ 1,424 and $ 4,961 in brokerage commissions and fees for the years ended June 30, 2021 and 2020, respectively,

as disclosed in the Combined Statements of Operations.

the Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”) for the Fund, Wilmington Trust

Company, the Trustee of the Fund (the “Trustee”) serves as the sole trustee of the Fund in the State of Delaware.

will accept service of legal process on the Fund in the State of Delaware and will make certain filings under the Delaware Statutory

Under the Trust Agreement for the Fund, the Sponsor has the exclusive management and control of all aspects of the business

The Trustee does not owe any other duties to the Fund, the Sponsor or the Shareholders of the Fund.

The Trustee has no duty

or liability to supervise or monitor the performance of the Sponsor, nor does the Trustee have any liability for the acts or omissions

of the Sponsor.

BDRY incurred $ 3,122 and $ 2,500 , respectively, in trustee fees for years ended June 30, 2021 and 2020, which is included

in Other Expenses in the Combined Statements of Operations.

to its liquidation, RISE incurred $ 1,878 and $ 2,500 in trustee fees, respectively, for years ended June 30, 2021 and 2020, which is included

in Other Expenses in the Combined Statements of Operations.

Routine Offering, Operational, Administrative and Other Ordinary Expenses

Sponsor, in accordance with the RISE Expense Cap limitation, paid all of the routine offering, operational, administrative and

other ordinary expenses of RISE in excess of 1.00% (excluding brokerage commissions and interest expense) of RISE’s average

daily net assets, including, but not limited to, accounting and computer services, the fees and expenses of the Trustee, Administrator,

Custodian, Transfer Agent and Distributor, legal and accounting fees and expenses, tax return preparation expenses, filing fees,

and printing, mailing and duplication costs.

RISE incurred $456,460 and $693,783 for the years ended June 30, 2020 and 2019, respectively,

in routine offering, operational, administrative or other ordinary expenses.

assumption of Fund expenses above the RISE Expense Cap by the Sponsor, pursuant to the undertaking (as discussed in Note 4a),

amounted to $389,041 and $184,268, respectively, for the years ended June 30, 2020 and 2019, respectively.

Sponsor, in accordance with the BDRY Expense Cap limitation paid, after the waiver of the CTA fee for BDRY by Breakwave, all of

the routine offering, operational, administrative and other ordinary expenses of BDRY in excess of 3.50% (excluding brokerage

commissions and interest expense) of BDRY’s average daily net assets, including, but not limited to, accounting and computer

services, the fees and expenses of the Trustee, Administrator, Custodian, Transfer Agent and Distributor, legal and accounting

fees and expenses, tax return preparation expenses, filing fees, and printing, mailing and duplication costs.

BDRY incurred $847,729

and $667,238 during the years ended June 30, 2020 and 2019, respectively, in routine offering, operational, administrative or

other ordinary expenses.

CTA fee waiver for BDRY by Breakwave was $60,769 and $45,460 for the years ended June 30, 2020 and 2019, respectively.

addition, the assumption of Fund expenses above the BDRY Expense Cap by the Sponsor, pursuant to the undertaking (as discussed

in Note 4a), amounted to $284,850 and $477,429 for the years ended June 30, 2020 and June 30, 2019, respectively.

Sponsor, in accordance with the BDRY Expense Cap limitation paid, after the waiver of a portion of the CTA fee for BDRY by Breakwave,

all of the routine offering, operational, administrative and other ordinary expenses of BDRY in excess of 3.50 % (excluding brokerage

commissions and interest expense) of BDRY’s average daily net assets, including, but not limited

to, accounting and computer services, the fees and expenses of the Trustee, Administrator, Custodian, Transfer Agent and Distributor,

legal and accounting fees and expenses, tax return preparation expenses, filing fees, and printing, mailing and duplication costs.

incurred $ 1,888,152 and $ 847,729 , respectively, during the years ended June 30, 2021 and 2020 in routine offering, operational, administrative

or other ordinary expenses.

CTA fee waiver for BDRY by Breakwave was $ 39,184 and $ 60,759 , respectively, for the years ended June 30, 2021 and 2020.

addition, the assumption of Fund expenses above the BDRY Expense Cap by the Sponsor, pursuant to the undertaking (as discussed in Note

4a), amounted to $- 0 - and $ 284,850 , respectively, for the years ended June 30, 2021 and 2020.

to its liquidation, RISE incurred $ 193,779 and $ 456,460 , respectively, in routine offering, operational, administrative or other ordinary

expenses for the years ended June 30, 2021 and 2020.

to its liquidation, the assumption of Fund expenses above the RISE Expense Cap by the Sponsor pursuant to the undertaking (as discussed

in Note 4a) amounted to $ 136,902 and $ 389,041 , respectively, for the years ended June 30, 2021 and 2020.

Organizational and Offering Costs

incurred in connection with organizing RISE and up to the offering of its Shares upon commencement of its investment operations

on February 19, 2015, were paid by the Sponsor and Sit without reimbursement.

Expenses incurred in connection with organizing

BDRY and up to the offering of its Shares upon commencement of its investment operations on March 22, 2018, were paid by the Sponsor

and Breakwave without reimbursement.

all such expenses are not reflected in the Statements of Operations.

The Fund will bear the costs of its continuous offering of

Shares and ongoing offering expenses.

incurred in connection with organizing BDRY and up to the offering of its Shares upon commencement of its investment operations on March

22, 2018, were paid by the Sponsor and Breakwave without reimbursement.

all such expenses are not reflected in the Combined Statements of Operations.

The Fund will bear the costs of its continuous offering

of Shares and ongoing offering expenses.

Such ongoing offering costs will be included as a portion of the Routine Offering, Operational,

Administrative and Other Ordinary Expenses.

These costs will include registration fees for regulatory agencies and all legal,

accounting, printing and other expenses associated therewith.

These costs will be accounted for as a deferred charge and thereafter

amortized to expense over twelve months on a straight-line basis or a shorter period if warranted.

For the years ended June 30,

2020 and 2019, respectively, RISE and BDRY did not incur such expenses.

These costs will include registration fees for regulatory agencies and all legal, accounting,

printing and other expenses associated therewith.

These costs will be accounted for as a deferred charge and thereafter amortized to

expense over twelve months on a straight-line basis or a shorter period if warranted.

the year ended June 30, 2021 the Sponsor, in order to maintain the continuous offering of Shares undertook to register additional shares

of the Fund, the costs of which were borne by the Fund and aggregated $ 28,997 , of which $ 4,926 was amortized to expense at June 30, 2021.

The remaining $ 24,071 in prepaid expenses is included in the Statements of Assets and Liabilities at June 30, 2021.

year ended June 30, 2020 BDRY did not incur such expenses.

Extraordinary Fees and Expenses

2 unchanged sentences

and unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other unanticipated expenses.

Such extraordinary fees and expenses, by their nature, are unpredictable in terms of timing and amount.

extraordinary fees and expenses, by their nature, are unpredictable in terms of timing and amount.

For the years ended June 30, 2021

30, 2020 and 2019, respectively, RISE and BDRY did not incur such expenses.

and 2020, respectively, BDRY did not incur such expenses.

Creations and Redemptions

Fund issues and redeems Shares from time to time, but only in one or more Creation or Redemption Baskets.

A Creation or Redemption

Basket is a block of 25,000 shares (50,000 shares prior to August 17, 2018) of each Fund.

Baskets may be created or redeemed only

by Authorized Participants.

A Creation or Redemption Basket

is a block of 25,000 shares of the Fund.

Baskets may be created or redeemed only by Authorized Participants.

when aggregated in Creation or Redemption Baskets, the shares are not redeemable securities.

Retail investors, therefore, generally

will not be able to purchase or redeem shares directly from or with each Fund.

Rather, most retail investors will purchase or

sell shares in the secondary market with the assistance of a broker.

Thus, some of the information contained in these Notes to

Financial Statements –

such as references to the Transaction Fee imposed on creations and redemptions –

is not relevant

to retail investors.

Retail investors, therefore, generally will

not be able to purchase or redeem shares directly from or with the Fund.

Rather, most retail investors will purchase or sell shares in

the secondary market with the assistance of a broker.

Thus, some of the information contained in these Notes to Combined Financial Statements

– such as references to the Transaction Fee imposed on creations and redemptions – is not relevant to retail investors.

Transaction Fees on Creation and Redemption Transactions

connection with orders to create and redeem one or more Creation or Redemption Baskets, an Authorized Participant is required

to pay a transaction fee, or AP Transaction Fee, of $250 ($500 prior to May 18, 2020) per order, which goes directly to the Custodian.

The AP Transaction Fees are paid by the Authorized Participants and not by the Funds.

connection with orders to create and redeem one or more Creation or Redemption Baskets, an Authorized Participant is required to pay

a transaction fee, or AP Transaction Fee, of $ 250 ($ 500 prior to May 18, 2020) per order, which goes directly to the Custodian.

Transaction Fees are paid by the Authorized Participants and not by the Fund.

Share Transactions

RISING RATE ETF

Summary of Share Transactions for the Year Ended June 30, 2020

Net Assets Increase

Shares Redeemed

$ (6,331,666 )

Summary of Share Transactions for the Year Ended June 30, 2019

Net Assets Increase

Shares Redeemed

(62,562,010 )

$ (37,101,090 )

DRY BULK SHIPPING ETF

Summary of Share Transactions for the Year Ended June 30, 2020

Net Assets Increase

Shares Redeemed

of Share Transactions for the Year Ended June 30, 2021

Assets Increase

Increase (Decrease)

DRY BULK SHIPPING ETF

Summary of Share Transactions for the Year Ended June 30, 2019

Net Assets Increase

Shares Redeemed

Investment Related Risk

NAV of RISE’s shares relates directly to the value of the U.S.

treasuries, cash and cash equivalents held by RISE and the

portfolio’s negative effective duration established and maintained through RISE’s investment in Treasury Instruments.

Fluctuations in the prices of these assets could materially adversely affect the value and performance of an investment in RISE’s

Past performance is not necessarily indicative of future results;

all or substantially all of an investment in RISE could

in debt securities typically decrease in value when interest rates rise, however, RISE attempts to maintain a portfolio with a

negative effective duration and therefore anticipates that an increase in interest rates may increase RISE’s value, and

a decrease in rates may lower RISE’s value.

The NAV of RISE’s shares relates directly to the value of U.S.

and Treasury Instruments held by RISE which are materially impacted by interest rate movements.

The magnitude of the impact on

value from a change in interest rates is often greater for longer-term fixed income than shorter-term securities.

Interest rates

have remained near historic lows since the market events of 2008 and may remain low.

rate movements are heavily influenced by the action of the Board of Governors of the Federal Reserve System and other central

Their actions are based on judgments and policies which involve numerous political and economic factors which are unpredictable.

Recent interest rate and monetary policies have been unprecedented and may continue to be so.

attempts to track a portfolio benchmark.

The performance of RISE may not closely track the performance of the RISE Benchmark Portfolio

for a variety of reasons.

For example, RISE incurs operating expenses and portfolio transaction costs not incurred by the benchmark.

RISE is also required to manage cash flows and may experience operational inefficiencies the benchmark does not.

RISE may not be fully invested in the contents of its benchmark at all times or may hold securities not included in its benchmark.

invests in Treasury Instruments and U.S.

treasuries with exposure to different maturity dates.

Generally, RISE’s exposure

to securities with maturities of 2 and 5 years will be greater than its exposure to securities with maturities of 10 years.

rates do not change uniformly for U.S.

Treasuries of different maturities and therefore if interest rates rise, the investment

performance of RISE will be impacted by RISE’s current maturity exposure which may be different from the expectations of

the Sponsor and investors in RISE.

At any time, RISE’s maturity exposure may not be optimal with respect to a movement in

interest rates which would negatively impact performance.

NAV of BDRY’s shares relates directly to the value of the futures portfolio, cash and cash equivalents held by BDRY.

in the prices of these assets could materially adversely affect the value and performance of an investment in BDRY’s shares.

Past performance is not necessarily indicative of future results;

of Share Transactions for the Year Ended June 30, 2020

Assets Increase

RISING RATE ETF (PRIOR TO LIQUIDATION ON NOVEMBER 18, 2020

of Share Transactions for the Year Ended June 30, 2021

Assets Increase

Redeemed (Including in Liquidation)

of Share Transactions for the Year Ended June 30, 2020

Assets Increase

(a) Investment Related Risk

The NAV of BDRY’s shares relates directly

to the value of the futures portfolio, cash and cash equivalents held by BDRY.

Fluctuations in the prices of these assets could materially

adversely affect the value and performance of an investment in BDRY’s shares.

Past performance is not necessarily indicative of

future results;

all or substantially all of an investment in BDRY could be lost.

NAV of BDRY’s shares relates directly to the value of futures investments held by BDRY which are materially impacted by

fluctuations in changes in spot charter rates.

Charter rates for dry bulk vessels are volatile and have declined significantly

since their historic highs and may remain at low levels or decrease further in the future.

and options contracts have expiration dates.

Before or upon the expiration of a contract, BDRY may be required to enter into a

replacement contract that is priced higher or that have less favorable terms than the contract being replaced (see “Negative

Roll Risk,”

The Freight Futures market settles in cash against published indices, so there is no physical delivery

against the futures contracts.

to other futures contracts, the Freight Futures curve shape could be either in “contango”

(where the futures curve

is upward sloping with next futures price higher than the current one) or “backwardation”

(where each the next futures

price is lower than the current one).

Contango curves are generally characterized by negative roll cost, as the expiring contract

value is lower that the next prompt contract value, assuming the same lot size.

That means there could be losses incurred when

the contracts are rolled each period (“Negative Roll Risk”) and such losses are independent of the Freight Futures

Liquidity Risk

certain circumstances, such as the disruption of the orderly markets for the futures contracts or Financial Instruments in which

the Funds invest, the Funds might not be able to dispose of certain holdings quickly or at prices that represent what the market

value may have been in an orderly market.

Futures and option positions cannot always be liquidated at the desired price.

difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market.

market disruption can also make it difficult to liquidate a position.

The large size of the positions that the Funds may acquire

increases the risk of illiquidity both by making its positions more difficult to liquidate and by potentially increasing losses

while trying to do so.

Such a situation may prevent the Funds from limiting losses, realizing gains or achieving a high correlation

with the applicable Benchmark Portfolio.

The NAV of BDRY’s shares relates directly

to the value of futures investments held by BDRY which are materially impacted by fluctuations in changes in spot charter rates.

rates for dry bulk vessels are volatile and have declined significantly since their historic highs and may remain at low levels or decrease

further in the future.

Futures and options contracts have expiration

Before or upon the expiration of a contract, BDRY may be required to enter into a replacement contract that is priced higher or

that have less favorable terms than the contract being replaced (see “Negative Roll Risk,” below).

The Freight Futures market

settles in cash against published indices, so there is no physical delivery against the futures contracts.

Similar to other futures contracts, the Freight

Futures curve shape could be either in “contango” (where the futures curve is upward sloping with next futures price higher

than the current one) or “backwardation” (where each the next futures price is lower than the current one).

Contango curves

are generally characterized by negative roll cost, as the expiring contract value is lower that the next prompt contract value, assuming

the same lot size.

That means there could be losses incurred when the contracts are rolled each period (“Negative Roll Risk”)

and such losses are independent of the Freight Futures price level.

(b) Liquidity Risk

In certain circumstances, such as the disruption

of the orderly markets for the futures contracts or Financial Instruments in which the Fund invests, the Fund might not be able to dispose

of certain holdings quickly or at prices that represent what the market value may have been in an orderly market.

Futures and option

positions cannot always be liquidated at the desired price.

It is difficult to execute a trade at a specific price when there is a relatively

small volume of buy and sell orders in a market.

A market disruption can also make it difficult to liquidate a position.

The large size

of the positions that the Fund may acquire increases the risk of illiquidity both by making its positions more difficult to liquidate

and by potentially increasing losses while trying to do so.

Such a situation may prevent the Fund from limiting losses, realizing gains

or achieving a high correlation with the Benchmark Portfolio.

Natural or environmental disasters, such as earthquakes, fires,

floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics

and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and

have recently led, and may continue to lead, to increased market volatility and significant market losses.

Such natural disaster

and health crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns,

delays, shutdowns, social isolation, and other disruptions to important global, local and regional supply chains affected, with

potential corresponding results on the operating performance of the Funds and their investments.

A climate of uncertainty and panic,

including the contagion of infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce

the availability of potential investment opportunities, and increases the difficulty of performing due diligence and modeling market

conditions, potentially reducing the accuracy of financial projections.

Under these circumstances, the Funds may have difficulty

achieving their investment objectives which may adversely impact performance.

Further, such events can be highly disruptive to

economies and markets, significantly disrupt the operations of individual companies (including, but not limited to, the Funds'

Sponsor and third party service providers), sectors, industries, markets, securities and commodity exchanges, currencies, interest

and inflation rates, credit ratings, investor sentiment, and other factors affecting the value of the Funds' investments.

factors can cause substantial market volatility.

exchange trading suspensions and closures and can impact the ability of the Funds

to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary market.

A widespread crisis may

also affect the global economy in ways that cannot necessarily be foreseen at the current time.

How long such events will last

and whether they will continue or recur cannot be predicted.

Impacts from these events could have significant impact on a Fund's

performance, resulting in losses to the Funds.

(d) Risk that Current Assumptions and Expectations Could

Become Outdated As a Result of Global Economic Shocks

The onset of the novel coronavirus

(COVID-19) has caused significant shocks to global financial markets and economies, with many governments taking extreme

actions to slow and contain the spread of COVID-19.

These actions have had, and likely will continue to have, a severe

economic impact on global economies as economic activity in some instances has essentially ceased at times.

Financial markets

across the globe are experiencing severe distress at least equal to what was experienced during the global financial crisis

The global economic shocks being experienced as of the date hereof may cause the underlying assumptions and

expectations of the Funds to become outdated quickly or inaccurate, resulting in significant losses.

Natural or environmental disasters, such as earthquakes,

fires, floods, hurricanes, tsunamis and other severe weather-related phenomena generally, and widespread disease, including pandemics

and epidemics (for example, the novel coronavirus COVID-19), have been and can be highly disruptive to economies and markets and have

recently led, and may continue to lead, to increased market volatility and significant market losses.

Such natural disaster and health

crises could exacerbate political, social, and economic risks previously mentioned, and result in significant breakdowns, delays, shutdowns,

social isolation, and other disruptions to important global, local and regional supply chains affected, with potential corresponding

results on the operating performance of the Fund and its investments.

A climate of uncertainty and panic, including the contagion of

infectious viruses or diseases, may adversely affect global, regional, and local economies and reduce the availability of potential investment

opportunities, and increases the difficulty of performing due diligence and modeling market conditions, potentially reducing the accuracy

of financial projections.

Under these circumstances, the Fund may have difficulty achieving its investment objective which may adversely

impact performance.

Further, such events can be highly disruptive to economies and markets, significantly disrupt the operations of individual

companies (including, but not limited to, the Fund’s Sponsor and third party service providers), sectors, industries, markets,

securities and commodity exchanges, currencies, interest and inflation rates, credit ratings, investor sentiment, and other factors affecting

the value of the Fund’s investments.

These factors can cause substantial market volatility.

exchange trading suspensions and closures

and can impact the ability of the Fund to complete redemptions and otherwise affect Fund performance and Fund trading in the secondary

A widespread crisis may also affect the global economy in ways that cannot necessarily be foreseen at the current time.

such events will last and whether they will continue or recur cannot be predicted.

Impacts from these events could have significant impact

on the Fund's performance, resulting in losses to the Fund.

(d) Risk that Current Assumptions and Expectations Could Become

Outdated As a Result of Global Economic Shocks

The onset of the novel coronavirus (COVID-19)

has caused significant shocks to global financial markets and economies, with many governments taking extreme actions to slow and contain

the spread of COVID-19.

These actions have had, and likely will continue to have, a severe economic impact on global economies as economic

activity in some instances has essentially ceased at times.

Financial markets across the globe are experiencing severe distress at least

equal to what was experienced during the global financial crisis in 2008.

The global economic shocks being experienced as of the date

hereof may cause the underlying assumptions and expectations of the Fund to become outdated quickly or inaccurate, resulting in significant

(7) Profit and Loss Allocations and Distributions

to the Trust Agreement, income and expenses are allocated pro rata among the Shareholders monthly based on their respective

percentage interests as of the close of the last trading day of the preceding month.

Any losses allocated to the Sponsor which

are in excess of the Sponsor’s capital balance are allocated to the Shareholders in accordance with their respective interest

in the Funds as a percentage of total Shareholders’

Distributions (other than redemption of units) may be made

at the sole discretion of the Sponsor on a pro rata basis in accordance with the respective interests of the Shareholders.

Pursuant to the Trust Agreement, income and expenses

are allocated pro rata among the Shareholders monthly based on their respective percentage interests as of the close of the last

trading day of the preceding month.

Any losses allocated to the Sponsor which are in excess of the Sponsor’s capital balance are

allocated to the Shareholders in accordance with their respective interest in the Fund as a percentage of total Shareholders’ capital.

Distributions (other than redemption of units) may be made at the sole discretion of the Sponsor on a pro rata basis in accordance

with the respective interests of the Shareholders.

(8) Indemnifications

Sponsor, either in its own capacity or in its capacity as the Sponsor and on behalf of the Funds, has entered into various service

agreements that contain a variety of representations, or provide indemnification provisions related to certain risks service providers

undertake in performing services which are in the best interests of the Funds.

As of June 30, 2020, the Funds had not received

any claims or incurred any losses pursuant to these agreements and expects the risk of such losses to be remote.

term of each Fund is perpetual unless terminated earlier in certain circumstances as described in the applicable Prospectus.

The Sponsor, either in its own capacity or in

its capacity as the Sponsor and on behalf of the Fund, has entered into various service agreements that contain a variety of representations,

or provide indemnification provisions related to certain risks service providers undertake in performing services which are in the best

interests of the Fund.

As of June 30, 2021, the Fund had not received any claims or incurred any losses pursuant to these agreements

and expects the risk of such losses to be remote.

(9) Termination

The term of the Fund is perpetual unless terminated

earlier in certain circumstances as described in the Prospectus.

On October 16, 2020, the Sponsor announced that

it would close and liquidate the SIT RISING RATE ETF (“RISE”) because of current market conditions and the Fund’s asset

The last day the liquidated fund accepted creation orders was on October 30, 2020.

Trading in RISE was suspended after the close

of the NYSE Arca on October 30, 2020.

Proceeds of the liquidation were sent to shareholders on November 18, 2020 (the “Distribution

From October 30, 2020 through the distribution date, shares of RISE did not trade on the NYSE Arca nor was there a secondary

market for the shares.

Any shareholders that remained in RISE on the Distribution Date automatically had their shares redeemed for cash

at the current net asset value on November 18, 2020.

(10) Net Asset Value and Financial Highlights

Funds are presenting, as applicable, the following net asset value and financial highlights related to investment performance

for a Share outstanding throughout the years ended June 30, 2020 and 2019, respectively.

The net investment income and total expense

ratios are calculated using average net assets.

The net asset value presentation is calculated by dividing each Fund’s net

assets by the average daily number of Shares outstanding.

The Funds are presenting, as applicable, the

following net asset value and financial highlights related to investment performance for a Share outstanding throughout the years ended

June 30, 2021 and 2020, respectively.

The net investment income and total expense ratios are calculated using average net assets.

net asset value presentation is calculated by dividing each Fund’s net assets by the average daily number of Shares outstanding.

The net investment income (loss) and expense ratios have been annualized.

The total return is based on the change in net asset value and market value of the Shares during the period.

An individual investor’s

return and ratios may vary based on the timing of their transactions in Fund Shares.

SIT RISING RATE ETF

BREAKWAVE DRY BULK SHIPPING ETF

For the Year Ended June 30,

The total return is based on the change in net asset value

and market value of the Shares during the period.

An individual investor’s return and ratios may vary based on the timing of their

transactions in Fund Shares.

BREAKWAVE DRY

BULK SHIPPING ETF

Ended June 30,

Net Asset Value

11 unchanged sentences

Total Return, at Market Value**

are annualized.

are not annualized.

Sit Rising Rate ETF, Fund expenses have been capped at 1.00% of average daily net assets, plus brokerage commissions and interest

For Breakwave Dry Bulk Shipping ETF, Fund expenses have been capped at 3.50% of average daily net assets, plus brokerage

commissions and interest expense.

of Independent Registered Public Accounting Firm

the Sponsor and Shareholders of

Managers Group Commodity Trust I

on the financial statements

have audited the accompanying statements of assets and liabilities of SIT Rising Rate ETF and Breakwave Dry Bulk Shipping ETF

(the “Funds”) and the combined statement of assets and liabilities of ETF Managers Group Commodity Trust I (the “Trust”),

including the schedules of investments of the Funds and the combined schedules of investments of the Trust, as of June 30, 2020

and 2019, and the related statements of operations, changes in net assets and cash flows of the Funds;

combined statements of

operations, changes in net assets, and cash flows of the Trust for the years then ended, and the related notes (collectively referred

to as the “financial statements”).

In our opinion, the financial statements present fairly, in all material respects,

the financial position of the Funds and the Trust as of June 30, 2020 and 2019, and the results of their operations and their

cash flows for the years then ended, in conformity with accounting principles generally accepted in the United States of America.

financial statements are the responsibility of the Funds’

and the Trust’s management.

Our responsibility is to express

an opinion on the Funds’

and Trust’s financial statements based on our audits.

We are a public accounting firm registered

with the PCAOB and are required to be independent with respect to the Funds and the Trust in accordance with the U.S.

securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

conducted our audits in accordance with the standards of the PCAOB.

Those standards require that we plan and perform the

audits to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due

to error or fraud.

The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over

financial reporting.

As part of our audits we are required to obtain an understanding of internal control over financial

reporting but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control over

financial reporting.

* Percentages are annualized.

** Percentages are not annualized.

*** For Breakwave Dry Bulk Shipping ETF, Fund expenses have been capped at 3.50 % of average daily net assets, plus brokerage commissions, interest expense, and extraordinary expenses, if any.

Prior to the liquidation of Sit Rising Rate ETF, Fund expenses had been capped at 1.00 % of average daily net assets, plus brokerage commissions, interest expense, and extraordinary expenses.

Report of Independent Registered Public Accounting

To the Sponsor and Shareholders of

ETF Managers Group Commodity Trust I

Opinion on the financial statements

We have audited the following:

● accompanying

statements of assets and liabilities of Breakwave Dry Bulk Shipping ETF (“BDRY”) (a series of ETF Managers Group Commodity

Trust I (the “Trust”), including the schedules of investments, as of June 30, 2021 and 2020, the related statements of operations,

changes in net assets and cash flows of the Fund for the years then ended, and the related notes;

accompanying statement of assets and liabilities of SIT Rising Rate ETF (“RISE”, formerly a series of the Trust and collectively

with BDRY the “Funds”) as of June 30, 2020, including the schedule of investments, the related statement of operations, changes

in net assets and cash flows for the year then ended and for the period from July 1, 2020 to October 30, 2020 (date on which RISE terminated

operations) and the related notes;

combined statement of assets and liabilities of the Trust as of June 30, 2020, including the combined schedule of investments of the

Trust, the combined statements of operations, changes in net assets and cash flows of the Trust for the year then ended and for the period

from July 1, 2020 to October 30, 2020 (date on which RISE terminated operations), and the related notes

above are collectively referred to as the “financial statements”.

In our opinion, the financial statements present

fairly, in all material respects, the financial position of the Funds and the Trust as of June 30, 2021 and June 30, 2020, and the results

of their operations and their cash flows for the years then ended, in conformity with accounting principles generally accepted in the

United States of America.

Basis for opinion

These financial statements are the responsibility

of the Funds’ and the Trust’s management.

Our responsibility is to express an opinion on the Funds’ and Trust’s

financial statements based on our audits.

We are a public accounting firm registered with the PCAOB and are required to be independent

with respect to the Funds and the Trust in accordance with the U.S.

federal securities laws and the applicable rules and regulations of

the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the

standards of the PCAOB.

Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial

statements are free of material misstatement, whether due to error or fraud.

The Company is not required to have, nor were we engaged

to perform, an audit of its internal control over financial reporting.

As part of our audits we are required to obtain an understanding

of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal

control over financial reporting.

Accordingly, we express no such opinion.

audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to

error or fraud, and performing procedures that respond to those risks.

Such procedures included examining, on a test basis, evidence

supporting the amounts and disclosures in the financial statements.

Our audits also included evaluating the accounting principles

used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements.

Our audits included performing procedures to assess

the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond

to those risks.

Such procedures included examining, on a test basis, evidence supporting the amounts and disclosures in the financial

Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as

evaluating the overall presentation of the financial statements.

We believe that our audits provide a reasonable basis for our opinion.

WithumSmith+Brown, PC

have served as the Trust’s and Funds’

auditor since 2014.

Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.

/s/ WithumSmith+Brown, PC

We have served as the Trust’s and Funds’ auditor

September 10, 2021

Changes in and

Disagreements with Accountants on Accounting and Financial Disclosure.

Not applicable.

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-K

Item 8. Financial Statements and Supplementary Data