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Item 7. Management’s Discussion and Analysis

2024-09-27 compared with 2023-09-27 · 316 added, 232 removed, 257 unchanged (68% of the section changed)

Management’s Discussion and Analysis of Financial

Condition and Results of Operations.

Management’s Discussion and Analysis

of Financial Condition and Results of Operations.

The following discussion should be read in conjunction

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as well as similar words and phrases, signify forward-looking statements.

ETF Managers Group Commodity Trust I’s forward-looking

statements are not guarantees of future results and conditions, and important factors, risks and uncertainties may cause our actual results

to differ materially from those expressed in our forward-looking statements.

Amplify Commodity Trust’s forward-looking statements are

not guarantees of future results and conditions, and important factors, risks and uncertainties may cause our actual results to differ

materially from those expressed in our forward-looking statements.

You should not place undue reliance on any

forward-looking statements.

Except as expressly required by the Federal securities laws, ETF Managers Capital, LLC undertakes no obligation

Except as expressly required by the Federal securities laws, Amplify Investments LLC undertakes no obligation

to publicly update or revise any forward-looking statements or the risks, uncertainties or other factors described in this Report, as

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The Trust is a series trust currently consisting of two publicly listed series:

Breakwave Dry Bulk Shipping ETF (“BDRY”)

and Breakwave Tanker Shipping ETF (“BWET”).

All of the series of the Trust are collectively referred to as the “Funds”

and singularly as the “Fund.” Each Fund issues common units, called the “Shares,” representing fractional undivided

beneficial interests in the respective Fund.

The Trust and the Funds operate pursuant to the Trust’s Amended and Restated Declaration

of Trust and Trust Agreement (the “Trust Agreement”).

Breakwave Dry Bulk Shipping ETF

(“BDRY”) and Breakwave Tanker Shipping ETF (“BWET”).

All of the series of the Trust are collectively referred

to as the “Funds” and singularly as the “Fund.” Each Fund issues common units, called the “Shares,”

representing fractional undivided beneficial interests in the respective Fund.

The Trust and the Funds operate pursuant to the Trust’s

Amended and Restated Declaration of Trust and Trust Agreement (the “Trust Agreement”).

The Sponsor has the power and authority to establish

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Shares and Fund management and the shareholders are governed by the provisions of the DSTA and by the Trust Agreement.

On March 9, 2018, the initial Form S-1 for BDRY

was declared effective by the SEC.

On March 21, 2018, two Creation Baskets were issued for the Fund, representing 100,000 shares and $2,500,000.

The Fund began trading on the New York Stock Exchange (“NYSE”) Arca on March 22, 2018.

On April 28, 2023, the form S-1 for BWET was declared

effective by the SEC.

On May 1, 2023, eight Creation Baskets were issued for the Fund, representing

On March 9, 2018, the initial Form S-1

for BDRY was declared effective by the SEC.

On March 21, 2018, two Creation Baskets were issued for the Fund, representing 100,000

shares and $2,500,000.

The Fund began trading on the New York Stock Exchange (“NYSE”) Arca on March 22, 2018.

On April 28, 2023, the form S-1 for BWET

was declared effective by the SEC.

On May 1, 2023, eight Creation Baskets were issued for the Fund, representing 200,000 shares and

The Fund began trading on the NYSE Arca on May 3, 2023.

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2023 at $15.00 per Share.

The Shares have been trading on the NYSE Arca since May 3, 2023

under the symbol “BWET.”

The Shares have been trading on the NYSE Arca since May 3, 2023 under the symbol “BWET.”

Each Fund seeks to track the daily return of the

Benchmark Portfolio, over time, plus the excess, if any, of the Funds’ interest income from its holdings over the expenses of the

The following graphs illustrate changes in (i)

the price of each Fund’s Shares (reflected, as applicable, by the graphs “Comparison of Per Share BDRY NAV to BDRY Market

Value for the Three Months Ended June 30, 2023 and 2022”, “Comparison of Per Share BDRY NAV to BDRY Market Value for the Year

Ended June 30, 2023 and 2022” and “Comparison of Per Share BWET NAV to BWET Market Value for the Period From May 3, 2023 (Commencement

of Operations) to June 30, 2023” and (ii) each Fund’s NAV (as reflected by the graphs “Comparison of BDRY NAV to Benchmark

Index for the Three Months Ended June 30, 2023 and 2022”, “Comparison of BDRY NAV to Benchmark Index for the Year Ended June

30, 2023 and 2022” and “Comparison of BWET NAV to Benchmark Index for the Period From May 3, 2023 (Commencement of Operations)

to June 30, 2023”).

BWET commenced operations on May 3, 2023, and as such, there is no prior period to compare to.

The following graphs illustrate changes in (i) the

price of each Fund’s Shares (reflected, as applicable, by the graphs “Comparison of Per Share BDRY NAV to BDRY Market Value

for the Three Months Ended June 30, 2024 and 2023”, “Comparison of Per Share BDRY NAV to BDRY Market Value for the Year

Ended June 30, 2024 and 2023” and “Comparison of Per Share BWET NAV to BWET Market Value for the Three Months Ended June 30,

2024”, “Comparison of Per Share BWET NAV to BWET Market Value for the Year Ended June 30, 2024 and for the Period From May 3,

2023 (Commencement of Operations) to June 30, 2023” and (ii) each Fund’s NAV (as reflected by the graphs “Comparison

of BDRY NAV to Benchmark Index for the Three Months Ended June 30, 2024 and 2023”, “Comparison of BDRY NAV to Benchmark

Index for the Year Ended June 30, 2024 and 2023” and “Comparison of BWET NAV to Benchmark Index for the Three Months

Ended June 30, 2024”, “Comparison of BWET NAV to Benchmark Index for the Year Ended June 30, 2024, and for the Period

From May 3, 2023 (Commencement of Operations) to June 30, 2023”).

Each Benchmark Portfolio is frictionless, in that

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Breakwave Dry Bulk Shipping ETF

During the year ended June 30, 2023, dry bulk

spot rates eased versus the previous year, with the benchmark Baltic Dry Index declining steadily, reaching its lowest point in February

2023 at approximately the same levels as those of the early pandemic period before recovering a bit towards the end of the year.

main reasons for the relatively poor performance versus the previous year reflect relatively flat demand for bulk commodity goods from

China combined with better fleet supply as a result of the unwinding of port congestion and fleet inefficiencies resulting from the COVID-19

Year over year growth in bulk trading globally was strong, but such a performance reflected mainly base effects due to the very

low absolute levels of 2022.

During the year, freight rates returned back

to their historical ranges following two years of unexpectedly strong freight rates.

The pattern of weak rates during the summer months

followed by increasing demand for iron ore and coal transportation towards the end of the calendar year, was once again evident during

The first quarter of 2023 experienced seasonally weak rates, in line with expectations, but an initially expected strong recovery

in the spring months failed to materialize, leading to a repricing of the futures curve as market participants begun to realize that a

return to historical patterns was indeed materializing.

At the same time, the Chinese economy continued

to show significant weakness versus recent years, especially when it comes to the real estate market, which is the main source for iron

ore demand and thus dry bulk freight.

Some early signs of recovery during the first quarter of 2023 provided some hope, but such a recovery

was short lived with most real estate and construction indicators failing to provide sustainable signs of recovery as the first half of

the year progressed.

During the pandemic years, congestion in major

ports increased materially leading to a lower effective fleet supply.

In addition, fleet inefficiencies resulting from various port policies

as it relates to COVID-19 also added to such reduction in effective fleet supply.

Such congestion and inefficiencies have now been gradually

unwound, leading to an increase in effective fleet supply.

The combination of stable Chinese bulk commodity

demand and higher effective fleet supply put pressure on spot freight rates leading to the relative underperformance year-over-year.

Differences in the benchmark return and BDRY net asset value per share

are due primarily to the following factors:

Benchmark portfolio uses settlement prices of freight futures vs.

During the year ended June 30, 2024, dry

bulk spot rates improved versus the previous year, with the benchmark Baltic Dry Index rising steadily, reaching its highest point in

December 2023 before declining and trading in a tight range for the remainder of the period.

Geopolitical turmoil has greatly affected shipping,

as the Israel-Hamas conflict and the resulting ship attacks in the Red Sea passage have rearranged shipping routes in the process lengthening

the average trip and leading to significant disruptions across all shipping segments.

For dry bulk, longer sailing distances have also

increased demand for ships while bulk commodity flows have also seen increases versus the previous year.

Although dry bulk has not been

affected as much as other shipping segments from the ongoing conflict, spot rates have remained elevated during the second half of the

In addition, low water levels in the main lake

that feeds the Panama Canal locks led to a decrease in the daily vessel transits of the Canal for most of the year, further pressuring

the global supply of ships.

However, increasing rains during the spring and early summer months led to a gradual increase in the daily

transits which by the end of the period were approaching normal levels.

During the year ended June 2024, iron ore trade

volumes have experienced a significant increase versus the previous year, as China continued to import record amount of the steelmaking

At the same time, portside inventories of iron ore have increased in tandem, as steel demand in China remains subdued due to

weak domestic demand for new construction.

Although various stimulus programs have been introduced during the period, the Chinese real

estate sector remained in a relatively fragile state for the third year in a row, and while steel demand for manufacturing has increased,

such improvement has been more than offset by weaker demand for construction.

Iron ore prices continued to decline throughout the period,

due to the aforementioned soft steel fundamentals.

Coal volumes have remained relatively flat versus last year, on a slower pace in growth

from China and India offset by weakening flows into Europe.

Grains trade has experienced growth on improved US and Ukrainian exports.

The combination of relatively strong Chinese bulk

commodity demand combined with global disruptions due to geopolitical conflicts and the weather-related disruptions in the Panama Canal

pushed spot rates for dry bulk shipping higher, leading to the relative outperformance for average spot rates year-over-year.

The dry bulk orderbook increased marginally throughout

the period from record low levels as period rates increased, incentivizing owners to place new orders.

Differences in the benchmark return and BDRY net

asset value per share are due primarily to the following factors:

● Benchmark portfolio uses settlement prices of freight futures

BDRY closing share price for BDRY.

Benchmark portfolio roll methodology assumes rolls that happen evenly at fractions of lots vs.

● Benchmark portfolio roll methodology assumes rolls that happen

evenly at fractions of lots vs.

BDRY that transacts at real minimum lot size available pursuant to market practice (5 lots minimum).

Benchmark portfolio assumes rolls that are happening at daily settlement prices vs.

● Benchmark portfolio assumes rolls that are happening at daily

settlement prices vs.

BDRY that transacts at prevailing prices during the day that might or might not be equal to settlement prices.

● Benchmark portfolio assumes no trading commissions vs.

BDRY that pays 10bps of nominal value in commissions per transaction.

Benchmark portfolio assumes no clearing fees vs BDRY that pays approximately $12 per lot in clearing fees per transaction.

that pays 10bps of nominal value in commissions per transaction.

● Benchmark portfolio assumes no clearing fees vs BDRY that

pays approximately $12 per lot in clearing fees per transaction.

● Benchmark portfolio assumes no management fees vs.

BDRY fee structure.

Creations and redemptions that lead to transactions in the freight futures market might occur at prices that might be different versus the settlement prices.

● Creations and redemptions that lead to transactions in the

freight futures market might occur at prices that might be different versus the settlement prices.

NEITHER THE PAST PERFORMANCE OF THE FUND

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NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE PERFORMANCE.

The per Share market value of BDRY and its NAV

tracked closely for the year ended June 30, 2022.

per Share market value of BDRY and its NAV tracked closely for the year ended June 30, 2023.

NEITHER THE PAST PERFORMANCE OF THE FUND

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the benchmark portfolio returns for the three months ended June 30, 2024.

The difference in the NAV price and the benchmark value often

results in the appearance of a NAV premium or discount to the benchmark.

The difference is related to the cumulative impact on NAV of

the Fund’s income and expenses during the period presented in the chart above.

The difference in the NAV price and the benchmark value

often results in the appearance of a NAV premium or discount to the benchmark.

The difference is related to the cumulative impact on NAV

of the Fund’s income and expenses during the period presented in the chart above.

NEITHER THE PAST PERFORMANCE OF THE FUND

NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE

The graph above compares the return of BDRY

with the benchmark portfolio returns for the year ended June 30, 2023.

The difference in the NAV price and the benchmark value often

results in the appearance of a NAV premium or discount to the benchmark.

The difference is related to the cumulative impact on NAV

of the Fund’s expenses during the period presented in the chart above.

The graph above compares the return of BDRY with the benchmark portfolio

returns for the year ended June 30, 2024.

The difference in the NAV price and the benchmark value often results in the appearance

of a NAV premium or discount to the benchmark.

The difference is related to the cumulative impact on NAV of the Fund’s income and

expenses during the period presented in the chart above

NEITHER THE PAST PERFORMANCE OF THE FUND

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the benchmark portfolio returns for the three months ended June 30, 2023.

The difference in the NAV price and the benchmark value often

results in the appearance of a NAV premium or discount to the benchmark.

The difference is related to the cumulative impact on NAV of

the Fund’s income and expenses during the period presented in the chart above.

The difference in the NAV price and the benchmark value

often results in the appearance of a NAV premium or discount to the benchmark.

The difference is related to the cumulative impact on NAV

of the Fund’s income and expenses during the period presented in the chart above.

NEITHER THE PAST PERFORMANCE OF THE FUND

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The difference is related to the cumulative impact on NAV of the Fund’s

income and expenses during the period presented in the chart above.

expenses during the period presented in the chart above.

FOR THE YEAR ENDED JUNE 30, 2024

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During the year ended June 30, 2024, the

NYSE Arca market value of each share decreased (-67.68%) from $17.17 per share, representing the closing price on June 30, 2022, to

NYSE Arca market value of each share increased (120.54%) from $5.55 per share, representing the closing price on June 30, 2023, to

$12.24 per share, representing the closing price on June 30, 2024.

The share price high and low for the year ended June 30, 2023 and

related change from the closing share price on June 30, 2022 was as follows:

The share price high and low for the year ended June 30,

2024 and related change from the closing share price on June 30, 2023 was as follows:

shares traded from a high of $16.84 per share

on July 1, 2022 to a low of $5.48 per share (-68.08%) on June 28, 2023.

(203.42%) on March 8, 2024 to a low of $4.50 per share (-18.92%) on July 19, 2023.

Fund Share Net Asset Value Performance

For the year ended June 30, 2023, the net asset

value of each share decreased (-67.6%) from $17.06 per share to $5.53 per share.

Net losses in the futures contracts and Fund expenses

resulted in the overall decrease in the NAV per share during the year ended June 30, 2023.

Net loss for the year ended June 30, 2023,

For the year ended June 30, 2024, the net

asset value of each share increased (-119.75%) from $5.52 per share to $12.13 per share.

Net gains in the futures contracts and Fund expenses

resulted in the overall increase in the NAV per share during the year ended June 30, 2024.

Net income for the year ended June 30, 2024,

was $46,770,200, resulting from net realized losses on investments and futures contracts of $34,476,191, net unrealized losses on investments

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Fund Share Price Performance

During the year ended June 30, 2022, the NYSE

Arca market value of each share decreased (-41.50%) from $29.35 per share, representing the closing price on June 30, 2021, to $17.17

per share, representing the closing price on June 30, 2022.

The share price high and low for the year ended June 30, 2022 and related

change from the closing share price on June 30, 2021 was as follows:

shares traded from a high of $42.22 per share (+43.85%) on October

6, 2021 to a low of $19.12 per share (-34.86%) on November 16, 2021.

During the year ended June 30, 2023, the

NYSE Arca market value of each share decreased (-67.68%) from $17.17 per share, representing the closing price on June 30, 2022,

to $5.55 per share, representing the closing price on June 30, 2023.

The share price high and low for the year ended June 30,

2023 and related change from the closing share price on June 30, 2022 was as follows:

shares traded from a high of $17.16 per share

(-0.06%) on July 1, 2022 to a low of $5.48 per share (-68.08%) on June 28, 2023.

Fund Share Net Asset Value Performance

For the year ended June 30, 2022, the net asset

value of each share decreased (-40.93%) from $28.88 per share to $17.06 per share.

For the year ended June 30, 2023, the net

asset value of each share decreased (-67.6%) from $17.06 per share to $5.53 per share.

Net losses in the futures contracts and Fund expenses

resulted in the overall decrease in the NAV per share during the year ended June 30, 2023.

Net loss for the year ended June 30, 2022, was

$33,398,736, resulting from net realized gains on investments and futures contracts of $836,968, net unrealized losses on investments

Net loss for the year ended June 30, 2023,

was $36,530,822, resulting from net realized losses on investments and futures contracts of $30,983,820, net unrealized losses on investments

and futures contracts of $4,404,570, and the net investment loss of $1,142,432.

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During the three months ended June 30, 2024,

the NYSE Arca market value of each Share decreased (-45.05%) from $10.10 per Share, representing the closing price on March 31, 2023, to

$5.55 per Share, representing the closing price on June 30, 2023.

the NYSE Arca market value of each Share decreased (-11.69%) from $13.86 per Share, representing the closing price on March 31, 2024,

to $12.24 per Share, representing the closing price on June 30, 2024.

The Share price high and low for the three months ended June 30,

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Shares traded from a high of $14.60 per Share

on April 4, 2023 to a low of $5.48 per Share (-45.73%) on June 28, 2023.

(+5.34%) on May 7, 2024 to a low of $11.40 per Share (-17.75%) on June 25, 2024.

Fund Share Net Asset Performance

For the three months ended June 30, 2023, the

net asset value of each Share decreased (-44.76%) from $10.01 per Share to $5.53 per Share.

For the three months ended June 30, 2024,

losses in the investments and futures contracts and Fund expenses resulted in the overall decrease in the NAV per Share during the period.

Net loss for the three months ended June 30,

2023, was $42,142,612, resulting from net realized losses on investments and futures contracts of $8,182,777, net unrealized losses on

investments and futures contracts of $33,858,687, and the net investment loss of $101,148.

the net asset value of each Share decreased (-13.30%) from $13.99 per Share to $12.13 per Share.

For the three months ended June 30,

2024, losses in the investments and futures contracts and Fund expenses resulted in the overall decrease in the NAV per Share during the

Net loss for the three months ended June 30,

2024, was $8,985,451, resulting from net realized gains on investments and futures contracts of $6,149,798, net unrealized gains on investments

and futures contracts of $1,657,900, and the net investment loss of $1,177,753.

FOR THE PERIOD FROM MAY 3, 2023 TO JUNE 30,

Fund Share Price Performance

During the three months ended June 30, 2022, the

NYSE Arca market value of each Share decreased (-28.99%) from $24.18 per Share, representing the closing price on March 31, 2022, to $17.17

per Share, representing the closing price on June 30, 2022.

The Share price high and low for the three months ended June 30, 2022 and

related change from the closing Share price on March 31, 2022 was as follows:

Shares traded from a high of $26.07 per Share (+7.82%) on

May 18, 2022 to a low of $15.60 per Share (-35.48%) on June 28, 2022.

During the three months ended June 30, 2023,

the NYSE Arca market value of each Share decreased (-45.05%) from $10.10 per Share, representing the closing price on March 31, 2023,

to $5.55 per Share, representing the closing price on June 30, 2023.

The Share price high and low for the three months ended June 30,

2023 and related change from the closing Share price on March 31, 2023 was as follows:

Shares traded from a high of $10.35 per Share

(+2.48%) on April 4, 2023 to a low of $5.48 per Share (-45.73%) on June 28, 2023.

Fund Share Net Asset Performance

For the three months ended June 30, 2022, the

net asset value of each Share decreased (-21.01%) from $24.03 per Share to $17.06 per Share.

For the three months ended June 30, 2023,

losses in the investments and futures contracts more than offset Fund expenses resulting in the overall decrease in the NAV per Share

during the period.

the net asset value of each Share decreased (-44.76%) from $10.01 per Share to $5.53 per Share.

For the three months ended June 30,

2023, losses in the investments and futures contracts and Fund expenses resulted in the overall decrease in the NAV per Share during the

Net loss for the three months ended June 30,

was $20,741,430, resulting from net realized losses on investments and futures contracts of $7,373,153, net unrealized losses on investments

and futures contracts of $12,614,155, and the net investment loss of $754,122.

2023, was $42,142,612, resulting from net realized losses on investments and futures contracts of $8,182,777, net unrealized losses on

investments and futures contracts of $33,858,687, and the net investment loss of $101,148.

Breakwave Tanker Shipping ETF

During the period starting on May 3, 2023 and

ending on June 30, 2023, crude tanker spot rates experienced high volatility, with spot rates for Very Large Crude Carriers (VLCC) increasing

sharply in early June, before correcting down to their previous level by the end of the month.

The main reason for such a volatile performance

was weather, with some unexpected vessel delays due to a typhoon that had developed in the Indian ocean causing charterers to seek alternative

vessels thus pushing VLCC freight rates higher in the process.

In addition, strong demand for VLCC in the Atlantic basin also contributed

to a tighter market and thus supported spot freight rates.

The softening of the Chinese economy remains

a major worry for the tanker market as the great majority of incremental crude oil is destined for Asia and mainly China.

So far in 2023,

the slowdown in growth in China has not had a major impact in oil demand as transportation fuels have seen significant growth in demand

versus last year as a result of the lifting of the Covid-19 restrictions late in 2022.

However, if the Chinese economy deteriorates further,

and consumption growth slows down further, then demand for oil should also be negatively affected and thus demand for oil tankers will

decline which could have a negative impact on spot freight rates for VLCCs.

Differences in the benchmark return and BWET net asset value per share

are due primarily to the following factors:

Benchmark portfolio uses settlement prices of freight futures vs.

During the period ended June 30, 2024, crude

tanker spot rates experienced low volatility, with average spot rates for Very Large Crude Carriers (VLCC) steadily declining throughout

Geopolitical turmoil has greatly affected global

shipping, as the Israel-Hamas conflict and the resulting ship attacks in the Red Sea passage have rearranged shipping routes in the process

lengthening the average trip and leading to significant disruptions across all shipping segments.

For crude tanker shipping the impact

has been relatively small, as most of the crude shipped in Very Large Crude Carriers (VLCCs) do not use the Suez Canal.

Although the disruption

initially did also have a knock-on effect on crude tanker rates, fundamentally this sub sector of the broader tanker market has not been

affected by the conflict.

China remains the main region of demand growth

for crude oil and, as a result, for crude tanker demand.

However, slower oil import growth and weaker domestic demand in China remains

a major concern for tanker rates.

The Chinese economy has experienced a deceleration in economic growth, and although import activity

has been relatively stable, during the first half of 2024 oil imports declined marginally.

With OPEC+ maintaining its existing production

quota throughout the period, there has been little room for tanker demand growth, and although longer sailing distances associated with

Brazilian and US oil exports have aided overall tanker demand, such an increase has not been sufficient to push spot tanker rates higher.

Towards the end of the period, OPEC+ announced its intention to gradually increase oil production starting in the fall of 2024, which,

all else equal, should increase demand for crude tankers.

The crude tanker orderbook for the next few years

remains historically low, with very few new vessel deliveries during the period aiding the overall projected market balance.

the orderbook marginally increased during the period from the record low levels of summer 2023.

Differences in the benchmark return and BWET net

asset value per share are due primarily to the following factors:

● Benchmark portfolio uses settlement prices of freight futures

BWET closing share price for BWET.

Benchmark portfolio roll methodology assumes rolls that happen evenly at fractions of lots vs.

● Benchmark portfolio roll methodology assumes rolls that happen

evenly at fractions of lots vs.

BWET that transacts at real minimum lot size available pursuant to market practice (5 lots minimum).

Benchmark portfolio assumes rolls that are happening at daily settlement prices vs.

● Benchmark portfolio assumes rolls that are happening at daily

settlement prices vs.

BWET that transacts at prevailing prices during the day that might or might not be equal to settlement prices.

● Benchmark portfolio assumes no trading commissions vs.

BWET that pays $0.04 per ton in commissions per transaction.

Benchmark portfolio assumes no clearing fees vs BWET that pays approximately $7 per lot in clearing fees per transaction.

that pays $0.04 per ton in commissions per transaction.

● Benchmark portfolio assumes no clearing fees vs BWET that

pays approximately $7 per lot in clearing fees per transaction.

● Benchmark portfolio assumes no management fees vs.

BWET fee structure.

Creations and redemptions that lead to transactions in the freight futures market might occur at prices that might be different versus the settlement prices.

● Creations and redemptions that lead to transactions in the

freight futures market might occur at prices that might be different versus the settlement prices.

NEITHER THE PAST PERFORMANCE

OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE

PERFORMANCE .

The per Share market value of

BWET and its NAV tracked closely for the three months ended June 30, 2024.

NEITHER THE PAST PERFORMANCE

OF THE FUND NOR THE PRIOR INDEX LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE

PERFORMANCE .

The per Share market value of

BWET and its NAV tracked closely for the year ended June 30, 2024.

NEITHER THE PAST PERFORMANCE OF THE FUND

2 unchanged sentences

tracked closely for period from May 3, 2023 (commencement of operations) to June 30, 2023.

NEITHER THE PAST PERFORMANCE OF THE

FUND NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S

FUTURE PERFORMANCE .

The graph above compares the return of BWET with the benchmark portfolio returns for the three months ended June 30,

The difference in the NAV price and the benchmark value often results in the appearance of a NAV premium or discount to the benchmark.

The difference is related to the cumulative impact on NAV of the Fund’s income and expenses during the period presented in the

NEITHER THE PAST PERFORMANCE OF THE FUND

NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE

The graph above compares the return of BWET

with the benchmark portfolio returns for the period from May 3, 2023 (commencement of operations) to June 30, 2023.

PERFORMANCE .

The graph above compares the return of BWET with

the benchmark portfolio returns for the year ended June 30, 2024.

The difference in the NAV price and the benchmark value often results

in the appearance of a NAV premium or discount to the benchmark.

The difference is related to the cumulative impact on NAV of the Fund’s

income and expenses during the period presented in the chart above.

NEITHER THE PAST PERFORMANCE OF THE FUND

NOR THE PRIOR BENCHMARK PORTFOLIO LEVELS AND CHANGES, POSITIVE OR NEGATIVE, SHOULD BE TAKEN AS AN INDICATION OF THE FUND’S FUTURE

The graph above compares the return of BWET with

the benchmark portfolio returns for the period from May 3, 2023 (commencement of operations) to June 30, 2023.

The difference

in the NAV price and the benchmark value often results in the appearance of a NAV premium or discount to the benchmark.

difference is related to the cumulative impact on NAV of the Fund’s expenses during the period presented in the chart

The difference

is related to the cumulative impact on NAV of the Fund’s expenses during the period presented in the chart above.

FOR THE YEAR ENDED JUNE 30, 2024

Fund Share Price Performance

During the year ended June 30, 2024, the

NYSE Arca market value of each share decreased (-19.59%) from $20.88 per share, representing the closing price on June 30, 2023,

to $16.79 per share, representing the closing price on June 30, 2024.

The share price high and low for the year ended June 30,

2024 and related change from the closing share price on June 30, 2023 was as follows:

shares traded from a high of $20.98 per share

(+0.48%) on February 16, 2024 to a low of $13.96 per share (-33.14%) on October 5, 2023.

Fund Share Net Asset Value Performance

For the year ended June 30, 2024, the net

asset value of each share decreased (-19.88%) from $20.83per share to $16.69 per share.

Net losses in the futures contracts and Fund expenses

resulted in the overall decrease in the NAV per share during the year ended June 30, 2024.

Net loss for the year ended June 30, 2024,

was $318,928, resulting from net realized losses on investments and futures contracts of $827,253, net unrealized gains on investments

and futures contracts of $941,167, and the net investment loss of $205,014.

FOR THE THREE MONTHS ENDED JUNE 30, 2024

Fund Share Price Performance

During the period from May 3, 2023 (commencement of operations)

to June 30, 2023, the NYSE Arca market value of each Share increased (+45.51%) from $14.35 per Share, representing the initial trade

on May 3, 2023, to $20.88 per Share, representing the closing price on June 30, 2023.

The Share price high and low for the period from

May 3, 2023 (commencement of operations) to June 30, 2023 and related change from the opening Share price on May 3, 2023 was as follows:

Shares traded

from a high of $22.92 per Share (+59.72%) on June 15, 2023 to a low of $12.47 per Share (-13.10%) on May 8, 2023.

During the three months ended June 30, 2024,

the NYSE Arca market value of each Share decreased (-9.88%) from $18.63 per Share, representing the closing price on March 31, 2024,

to $16.79 per Share, representing the closing price on June 30, 2024.

The Share price high and low for the three months ended June 30,

2024 and related change from the closing Share price on March 31, 2024 was as follows:

Shares traded from a high of $19.80 per Share

(+6.28%) on April 12, 2024 to a low of $16.18 per Share (-13.15%) on June 18, 2024.

Fund Share Net Asset Performance

period from May 3, 2023 (commencement of operations) to June 30, 2023, the net asset value of each Share increased (+38.87%) from $15.00 per Share to $20.83

For the period from May 3, 2023 (commencement of operations) to June 30, 2023, gains in the investments and futures contracts more than offset

Fund expenses resulting in the overall increase in the NAV per Share during the period.

for the period from May 3, 2023 (commencement of operations) to June 30, 2023, was $1,167,252, resulting from net realized gains on investments and futures

contracts of $375,516, net unrealized gains on investments and futures contracts of $825,287, and the net investment loss of $33,551.

For the three months ended June 30, 2024,

the net asset value of each Share decreased (-10.51%) from $18.65 per Share to $16.69 per Share.

For the three months ended June 30,

2024, losses in the investments and futures contracts and Fund expenses resulted in the overall decrease in the NAV per Share during the

Net loss for the three months ended June 30,

2024, was $658,305, resulting from net realized gains on investments and futures contracts of $164,816, net unrealized gains on investments

and futures contracts of $121,364, and the net investment loss of $372,125.

FOR THE PERIOD FROM MAY 3, 2023 TO JUNE 30, 2023

Fund Share Price Performance

During the period from May 3, 2023 (commencement

of operations) to June 30, 2023, the NYSE Arca market value of each Share increased (+45.51%) from $14.35 per Share, representing

the initial trade on May 3, 2023, to $20.88 per Share, representing the closing price on June 30, 2023.

The Share price high

and low for the period from May 3, 2023 (commencement of operations) to June 30, 2023 and related change from the opening Share

price on May 3, 2023 was as follows:

Shares traded from a high of $22.92 per Share (+59.72%) on June 15, 2023 to a low of $12.47

per Share (-13.10%) on May 8, 2023.

Fund Share Net Asset Performance

For the period from May 3, 2023 (commencement

of operations) to June 30, 2023, the net asset value of each Share increased (+38.87%) from $15.00 per Share to $20.83 per Share.

For the period from May 3, 2023 (commencement of operations) to June 30, 2023, gains in the investments and futures contracts

more than offset Fund expenses resulting in the overall increase in the NAV per Share during the period.

Net income for the period from May 3, 2023

(commencement of operations) to June 30, 2023, was $1,167,252, resulting from net realized gains on investments and futures contracts

of $375,516, net unrealized gains on investments and futures contracts of $825,287, and the net investment loss of $33,551.

Critical Accounting Estimates

Preparation of the combined financial

statements and related disclosures in accordance with U.S.

generally accepted accounting principles requires the application of

appropriate accounting rules and guidance, as well as the use of estimates.

Each Fund’s application of these policies involves

judgments and the use of estimates.

Preparation of the combined financial statements

and related disclosures in accordance with U.S.

generally accepted accounting principles requires the application of appropriate

accounting rules and guidance, as well as the use of estimates.

Each Fund’s application of these policies involves judgments and

the use of estimates.

Actual results may differ from the estimates used and such differences could be material.

Funds hold a significant portion of their assets in futures contracts and money market funds, which are held at fair value.

The Funds hold a significant

portion of their assets in futures contracts and money market funds, which are held at fair value.

There were no material estimates, which involve

a significant level of estimation uncertainty and had or are reasonably likely to have had a material impact on the Funds’ financial condition,

used in the preparation of these combined financial statements.

a significant level of estimation uncertainty and had or are reasonably likely to have had a material impact on the Funds’ financial

condition, used in the preparation of these combined financial statements.

Liquidity and Capital Resources

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and paying expenses.

The Funds generate cash primarily from (i)

the sale of Creation Baskets and (ii) interest earned on cash, and cash equivalents.

Generally, all of the net assets of the Funds

are allocated to trading in Benchmark Component Instruments.

Most of the assets of the Funds are held in Freight Futures, cash

and/or cash equivalents that could or are used as margin or collateral for trading in Benchmark Component Instruments.

percentage that such assets bear to the total net assets will vary from period to period as the market values of the Benchmark

Component Instruments change.

Interest earned on interest-bearing assets of the Funds is paid to the Funds.

During the years ended

June 30, 2023 and 2022, BDRY earned $1,255,773 and $33,040, respectively, in interest income.

BWET earned $4,478 in interest income

The Funds generate cash primarily from (i) the

sale of Creation Baskets and (ii) interest earned on cash, and cash equivalents.

Generally, all of the net assets of the Funds are

allocated to trading in Benchmark Component Instruments.

Most of the assets of the Funds are held in Freight Futures, cash and/or cash

equivalents that could or are used as margin or collateral for trading in Benchmark Component Instruments.

The percentage that such assets

bear to the total net assets will vary from period to period as the market values of the Benchmark Component Instruments change.

earned on interest-bearing assets of the Funds is paid to the Funds.

During the years ended June 30, 2024 and 2023, BDRY earned $1,816,833

and $1,255,773, respectively, in interest income.

BWET earned $42,508 for the year ending June 30, 2024 and $4,478 in interest income

for the period from May 3, 2023 (commencement of operations) to June 30, 2023.

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Such market conditions could prevent the Funds from promptly liquidating their futures positions.

Because the Funds trade futures contracts,

their capital is at risk due to changes in the value of these contracts (market risk) or the inability of counter-parties to perform under

the terms of the contracts (credit risk).

Because the Funds trade futures contracts, their

capital is at risk due to changes in the value of these contracts (market risk) or the inability of counter-parties to perform under the

terms of the contracts (credit risk).

Trading in Benchmark Component Instruments such

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these market and credit risks by normally:

executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;

limiting the outstanding amounts due from counterparties of the Funds;

● executing and clearing trades with creditworthy counterparties,

as determined by the Sponsor;

● limiting the outstanding amounts due from counterparties

of the Funds;

● not posting margin directly with a counterparty;

11 unchanged sentences

The CEA also gives the states powers to enforce its provisions and the regulations of the CFTC.

On November 14, 2013, the CFTC published final

regulations that require enhanced customer protections, risk management programs, internal monitoring and controls, capital and liquidity

standards, customer disclosures and auditing and examination programs for FCMs.

The rules are intended to afford greater assurances to

market participants that customer segregated funds and secured amounts are protected, customers are provided with appropriate notice of

the risks of futures trading and of the FCMs with which they may choose to do business, FCMs are monitoring and managing risks in a robust

manner, the capital and liquidity of FCMs are strengthened to safeguard the continued operations and the auditing and examination programs

of the CFTC and the self-regulatory organizations are monitoring the activities of FCMs in a thorough manner.

On November 14, 2013, the CFTC published

final regulations that require enhanced customer protections, risk management programs, internal monitoring and controls, capital and

liquidity standards, customer disclosures and auditing and examination programs for FCMs.

The rules are intended to afford greater assurances

to market participants that customer segregated funds and secured amounts are protected, customers are provided with appropriate notice

of the risks of futures trading and of the FCMs with which they may choose to do business, FCMs are monitoring and managing risks in a

robust manner, the capital and liquidity of FCMs are strengthened to safeguard the continued operations and the auditing and examination

programs of the CFTC and the self-regulatory organizations are monitoring the activities of FCMs in a thorough manner.

Off Balance Sheet Financing

As of June 30, 2023, neither the Trust nor the

Funds have any loan guarantees, credit support or other off-balance sheet arrangements of any kind other than agreements entered into

As of June 30, 2024, neither the Trust nor

the Funds have any loan guarantees, credit support or other off-balance sheet arrangements of any kind other than agreements entered into

in the normal course of business, which may include indemnification provisions relating to certain risks service providers undertake in

14 unchanged sentences

or (ii) $125,000.

The Sponsor Fee is

paid in consideration of the Sponsor’s management services to the Fund.

BDRY also pays Breakwave a license and service fee (the

“CTA Fee”) monthly in arrears, for the use of BDRY’s Benchmark Portfolio in an amount equal to 1.45% per annum of the

Fund’s average daily net assets.

Fee is paid in consideration of the Sponsor’s management services to the Fund.

BDRY also pays Breakwave a license and service fee

(the “CTA Fee”) monthly in arrears, for the use of BDRY’s Benchmark Portfolio in an amount equal to 1.45% per annum

of the Fund’s average daily net assets.

Breakwave Tanker Shipping ETF

2 unchanged sentences

or (ii) $50,000.

The Sponsor Fee is

paid in consideration of the Sponsor’s management services to the Fund.

BWET also pays Breakwave a license and service fee (the

“CTA Fee”) monthly in arrears, for the use of BWET’s Benchmark Portfolio in an amount equal to 1.45% per annum of the

Fund’s average daily net assets.

Fee is paid in consideration of the Sponsor’s management services to the Fund.

BWET also pays Breakwave a license and service fee

(the “CTA Fee”) monthly in arrears, for the use of BWET’s Benchmark Portfolio in an amount equal to 1.45% per annum

of the Fund’s average daily net assets.

Breakwave has agreed to waive its license and

3 unchanged sentences

The assumption of expenses and waiver of the license and services

fee are contractual on the part of the Sponsor and Breakwave, respectively, through March 31, 2025.

If after that date, the Sponsor and/or

Breakwave no longer assumed expenses or waived the CTA Fee, respectively, the Funds could be adversely impacted, including in their ability

to achieve their investment objectives.

fee are contractual on the part of the Sponsor and Breakwave, respectively, through December 31, 2024.

If after that date, the Sponsor

and/or Breakwave no longer assumed expenses or waived the CTA Fee, respectively, the Funds could be adversely impacted, including in their

ability to achieve their investment objectives.

The Funds currently accrue their daily expenses

3 unchanged sentences

administrative and other ordinary expenses of the Funds.

BDRY aggregated $734,699 and $783,914, of which $ -0-

and $-0- was waived by Breakwave for the three months ended June 30, 2023 and 2022, respectively.

BWET aggregated $123,053, of

which $7,574 was waived by Breakwave for the period from May 3, 2023 (commencement of operations) to June 30, 2023.

In addition, expenses

assumed by the Sponsor for BDRY aggregated $-0- and $-0- for the three months ended June 30, 2023 and 2022, respectively.

BWET, the Sponsor assumed $77,450 of expenses for the period from May 3, 2023 (commencement of operations) to June 30, 2023.

BDRY aggregated $435,119 and $734,699, of which $23,879 and $-0- was waived

by Breakwave for the three months ended June 30, 2024 and 2023, respectively.

BWET aggregated $116,064 and $123,053, of which $90,114

and $7,574 was waived by Breakwave for the three months ended June 30, 2024, and for the period from May 3, 2023 (commencement of

operations) to June 30, 2023.

In addition, expenses assumed by the Sponsor for BDRY aggregated $-0-and $-0- for the three months

ended June 30, 2024 and 2023, respectively.

For BWET, the Sponsor assumed $-0-and $77,450 of expenses for the three months ended June

30, 2024, and for the period from May 3, 2023 (commencement of operations) to June 30, 2023.

Note that the expenses assumed

for the period from May 3, 2023 (commencement of operations) to June 30, 2023 were assumed by the Former Sponsor.

Each Funds’ ongoing fees, costs and expenses

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(i) expenses incurred in connection with registering additional Shares of the Funds or offering Shares of the Funds;

(ii) the routine

expenses associated with the preparation and, if required, the printing and mailing of monthly, quarterly, annual and other reports required

by applicable U.S.

federal and state regulatory authorities, Trust meetings and preparing, printing and mailing proxy statements to Shareholders;

routine expenses associated with the preparation and, if required, the printing and mailing of monthly, quarterly, annual and other reports

required by applicable U.S.

federal and state regulatory authorities, Trust meetings and preparing, printing and mailing proxy statements

to Shareholders;

(iii) the routine services of the Trustee, legal counsel and independent accountants;

(iv) routine accounting, bookkeeping, custodial

and transfer agency services, whether performed by an outside service provider or by affiliates of the Sponsor;

(iv) routine accounting,

bookkeeping, custodial and transfer agency services, whether performed by an outside service provider or by affiliates of the Sponsor;

(v) postage and insurance;

(vi) costs and expenses associated with client relations and services;

(vii) costs of preparation of all federal, state, local and foreign

tax returns and any taxes payable on the income, assets or operations of the Funds.

(vii) costs of preparation

of all federal, state, local and foreign tax returns and any taxes payable on the income, assets or operations of the Funds.

While the Sponsor has agreed to pay registration

20 unchanged sentences

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 7. Management’s Discussion and Analysis