Edgar Filing: WisdomTree Trust

WisdomTree Trust

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-21864

WisdomTree Trust

(Exact name of Registrant as specified in charter)

380 Madison Avenue, 21^st Floor New York, NY 10017

(Address of principal executive offices) (Zip code)

The Corporation Trust Company

1209 Orange Street

Wilmington, DE 19801

(Name and address of agent for service)

Registrant’s telephone number, including area code: (866) 909-9473

Date of fiscal year end: August 31

Date of reporting period: May 31, 2012

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1.

Schedule of Investments.

Schedule of Investments (unaudited)

WisdomTree Dreyfus Brazilian Real Fund (BZF)

May 31, 2012


Investments	Principal Amount		Value
U.S. GOVERNMENT OBLIGATIONS - 91.4%

Treasury Bills - 91.4%
U.S. Treasury Bills
0.06%, 6/07/12*	$	32,450,000	$	32,449,619
0.06%, 6/14/12*		7,000,000		6,999,851
0.07%, 7/12/12*		25,000,000		24,998,031

TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $64,447,612)				64,447,501

MONEY MARKET FUND - 0.1%
Invesco Treasury Fund Private Class, 0.02%^(a) (Cost: $51,575)		51,575		51,575

REPURCHASE AGREEMENT - 14.5%
Citigroup, Inc. tri-party repurchase agreement dated 5/31/12, 0.20% due 6/01/12; Proceeds at maturity - $10,234,688 (fully collateralized by Ginnie Mae, 5.00% due 7/20/41; Market value - $10,746,363) (Cost: $10,234,631)		10,234,631		10,234,631

TOTAL INVESTMENTS IN SECURITIES - 106.0% (Cost: $74,733,818)^(b)				74,733,707
Liabilities in Excess of Other Assets - (6.0)%				(4,244,304	)

NET ASSETS - 100.0%			$	70,489,403

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

^(a)	Rate shown represents annualized 7-day yield as of May 31, 2012.

^(b)	Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

See Notes to Schedule of Investments.

Schedule of Investments (unaudited)

WisdomTree Dreyfus Chinese Yuan Fund (CYB)

May 31, 2012


Investments	Principal Amount		Value
U.S. GOVERNMENT OBLIGATIONS - 57.9%

Treasury Bills - 57.9%
U.S. Treasury Bills
0.06%, 6/07/12*	$	95,000,000	$	94,998,887
0.06%, 6/14/12*		1,400,000		1,399,970
0.05%, 7/05/12*		47,117,000		47,114,597
0.07%, 7/12/12*		66,000,000		65,994,802

TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $209,508,604)				209,508,256

TIME DEPOSITS - 22.7%
Banks - 22.7%
Barclays Bank PLC
1.08%, 6/08/12		104,143,143 CNH		16,346,436
Deutsche Bank AG
1.60%, 6/08/12		104,180,587 CNH		16,352,313
JPMorgan Chase & Co.
0.60%, 6/08/12		106,111,218 CNH		16,655,347
Royal Bank of Scotland PLC
0.65%, 6/08/12		104,087,910 CNH		16,337,766
Standard Chartered Bank
2.05%, 6/08/12		104,232,415 CNH		16,360,448

TOTAL TIME DEPOSITS (Cost: $82,786,487)				82,052,310

MONEY MARKET FUND - 0.5%
Invesco Treasury Fund Private Class, 0.02%^(a) (Cost: $1,861,425)	$	1,861,425		1,861,425

REPURCHASE AGREEMENT - 19.5%
Citigroup, Inc. tri-party repurchase agreement dated 5/31/12, 0.20% due 6/01/12; Proceeds at maturity - $70,766,570 (fully collateralized by Fannie Mae, 5.00% due 5/01/33 and Ginnie Mae, 5.00% due 12/20/34; Market value - $74,304,485) (Cost: $70,766,177)		70,766,177		70,766,177

TOTAL INVESTMENTS IN SECURITIES - 100.6% (Cost: $364,922,693)^(b)				364,188,168
Liabilities in Excess of Foreign Currency and Other Assets - (0.6)%				(2,189,576	)

NET ASSETS - 100.0%			$	361,998,592

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


CNH		-		Offshore Chinese renminbi

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

^(a)	Rate shown represents annualized 7-day yield as of May 31, 2012.

^(b)	Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

See Notes to Schedule of Investments.

Schedule of Investments (unaudited)

WisdomTree Dreyfus Commodity Currency Fund (CCX)

May 31, 2012


Investments	Principal Amount		Value
U.S. GOVERNMENT OBLIGATIONS - 91.4%

Treasury Bills - 91.4%
U.S. Treasury Bills
0.05%, 7/05/12*	$	13,750,000	$	13,749,299
0.07%, 7/12/12*		9,800,000		9,799,228

TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $23,548,565)				23,548,527

MONEY MARKET FUND - 0.6%
Invesco Treasury Fund Private Class, 0.02%^(a) (Cost: $172,477)		172,477		172,477

REPURCHASE AGREEMENT - 23.0%
Citigroup, Inc. tri-party repurchase agreement dated 5/31/12, 0.20% due 6/01/12; Proceeds at maturity - $5,927,720 (fully collateralized by Ginnie Mae, 5.50% due 4/15/24; Market value - $6,224,072) (Cost: $5,927,688)		5,927,688		5,927,688

TOTAL INVESTMENTS IN SECURITIES - 115.0% (Cost: $29,648,730)^(b)				29,648,692
Liabilities in Excess of Cash and Other Assets - (15.0)%				(3,875,822	)

NET ASSETS - 100.0%			$	25,772,870

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

^(a)	Rate shown represents annualized 7-day yield as of May 31, 2012.

^(b)	Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

See Notes to Schedule of Investments.

Schedule of Investments (unaudited)

WisdomTree Dreyfus Emerging Currency Fund (CEW)

May 31, 2012


Investments	Principal Amount		Value
U.S. GOVERNMENT OBLIGATIONS - 80.3%

Treasury Bills - 80.3%
U.S. Treasury Bills
0.06%, 6/28/12*	$	73,774,000	$	73,770,559
0.07%, 7/12/12*		120,524,000		120,514,509
0.07%, 7/26/12*		50,000,000		49,995,547

TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $244,280,449)				244,280,615

MONEY MARKET FUND - 0.3%
Invesco Treasury Fund Private Class, 0.02%^(a) (Cost: $993,234)		993,234		993,234

REPURCHASE AGREEMENT - 24.7%
Citigroup, Inc. tri-party repurchase agreement dated 5/31/12, 0.20% due 6/01/12; Proceeds at maturity - $75,055,737 (fully collateralized by Fannie Mae, 3.50% - 4.50% due 7/01/39 - 11/01/41; Market value - $78,808,087) (Cost: $75,055,320)		75,055,320		75,055,320

TOTAL INVESTMENTS IN SECURITIES - 105.3% (Cost: $320,329,003)^(b)				320,329,169
Liabilities in Excess of Cash and Other Assets - (5.3)%				(15,997,663	)

NET ASSETS - 100.0%			$	304,331,506

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

^(a)	Rate shown represents annualized 7-day yield as of May 31, 2012.

^(b)	Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

See Notes to Schedule of Investments.

Schedule of Investments (unaudited)

WisdomTree Dreyfus Indian Rupee Fund (ICN)

May 31, 2012


Investments	Principal Amount		Value
U.S. GOVERNMENT OBLIGATIONS - 77.6%

Treasury Bills - 77.6%
U.S. Treasury Bills
0.05%, 6/14/12*	$	1,850,000	$	1,849,963
0.05%, 7/05/12*		5,897,000		5,896,699
0.07%, 7/12/12*		5,000,000		4,999,606
0.09%, 8/09/12*		1,000,000		999,904

TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $13,746,113)				13,746,172

MONEY MARKET FUND - 0.8%
Invesco Treasury Fund Private Class, 0.02%^(a) (Cost: $138,459)		138,459		138,459

REPURCHASE AGREEMENT - 25.0%
Citigroup, Inc. tri-party repurchase agreement dated 5/31/12, 0.20% due 6/01/12; Proceeds at maturity - $4,426,228 (fully collateralized by Ginnie Mae, 5.50% due 4/15/24; Market value - $4,647,514) (Cost: $4,426,203)		4,426,203		4,426,203

TOTAL INVESTMENTS IN SECURITIES - 103.4% (Cost: $18,310,775)^(b)				18,310,834
Liabilities in Excess of Other Assets - (3.4)%				(609,584	)

NET ASSETS - 100.0%			$	17,701,250

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

^(a)	Rate shown represents annualized 7-day yield as of May 31, 2012.

^(b)	Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

See Notes to Schedule of Investments.

Schedule of Investments (unaudited)

WisdomTree Dreyfus Japanese Yen Fund (JYF)

May 31, 2012


Investments	Principal Amount		Value
TIME DEPOSITS - 96.9%

Banks - 96.9%
Barclays Bank PLC
0.02%, 6/01/12		202,019,529 JPY	$	2,576,287
0.01%, 6/08/12		202,020,315 JPY		2,576,297
Mizuho International PLC
0.05%, 6/01/12		202,072,818 JPY		2,576,966
0.05%, 6/08/12		202,074,783 JPY		2,576,992
UBS AG
0.00%^(b) , 6/01/12		100,000,778 JPY		1,275,276
0.01%, 6/08/12		100,000,797 JPY		1,275,276

TOTAL TIME DEPOSITS (Cost: $12,747,404)				12,857,094

FOREIGN GOVERNMENT OBLIGATIONS - 25.0%

Sovereign - 25.0%
Japan Treasury Bills
0.10%, 6/25/12, Series 268^*		50,000,000 JPY		637,596
0.10%, 8/20/12, Series 281^*		210,000,000 JPY		2,677,462

TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $3,218,899)				3,315,058

REPURCHASE AGREEMENT - 24.6%
Repurchase agreement dated 5/31/12, 0.10% due 6/01/12 with Royal Bank of Scotland; Proceeds at maturity - 256,088,661 JPY (fully collateralized by Japan Government Bond, 0.70% due 3/20/13; Market value - $3,321,316) (Cost: $3,265,803)		256,087,950 JPY		3,265,803

TOTAL INVESTMENTS IN SECURITIES - 146.5% (Cost: $19,232,106)^(a)				19,437,955
Liabilities in Excess of Cash, Foreign Currency and Other Assets - (46.5)%				(6,168,230	)

NET ASSETS - 100.0%			$	13,269,725

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


JPY		-		Japanese yen

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

^(a)	Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

^(b)	Amount is less than 0.01%.

See Notes to Schedule of Investments.

Schedule of Investments (unaudited)

WisdomTree Dreyfus South African Rand Fund (SZR)

May 31, 2012


Investments	Principal Amount		Value
U.S. GOVERNMENT OBLIGATIONS - 81.2%

Treasury Bills - 81.2%
U.S. Treasury Bills
0.06%, 6/28/12*	$	450,000	$	449,979
0.07%, 7/12/12*		3,200,000		3,199,748

TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $3,649,734)				3,649,727

MONEY MARKET FUND - 0.9%
Invesco Treasury Fund Private Class, 0.02%^(a) (Cost: $42,631)		42,631		42,631

REPURCHASE AGREEMENT - 27.4%
Citigroup, Inc. tri-party repurchase agreement dated 5/31/12, 0.20% due 6/01/12; Proceeds at maturity - $1,231,939 (fully collateralized by Ginnie Mae, 5.50% due 4/15/24; Market value - $1,293,530) (Cost: $1,231,933)		1,231,933		1,231,933

TOTAL INVESTMENTS IN SECURITIES - 109.5% (Cost: $4,924,298)^(b)				4,924,291
Liabilities in Excess of Other Assets - (9.5)%				(428,903	)

NET ASSETS - 100.0%			$	4,495,388

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

^(a)	Rate shown represents annualized 7-day yield as of May 31, 2012.

^(b)	Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

See Notes to Schedule of Investments.

Schedule of Investments (unaudited)

WisdomTree Asia Local Debt Fund (ALD)

May 31, 2012


Investments	Principal Amount			Value
FOREIGN GOVERNMENT AGENCIES & OBLIGATIONS - 72.3%

Sovereign Agency - 6.3%
New South Wales Treasury Corp.
6.00%, 4/01/16, Series 16		5,112,000	AUD	$	5,448,015
Queensland Treasury Corp.
7.13%, 9/18/17 6.00%,		3,320,000	NZD		2,887,061
7/21/22, Series 22		13,580,000	AUD		14,880,227
Western Australian Treasury Corp.
7.00%, 4/15/15, Series 15		1,470,000	AUD		1,579,003

Total Sovereign Agency					24,794,306

Sovereign Bonds - 66.0%
Australian Government Bond
6.25%, 4/15/15, Series 119		1,430,000	AUD		1,545,795
China Government Bond
1.00%, 12/01/13		31,500,000	CNY		4,913,431
3.30%, 10/27/14		17,220,000	CNY		2,802,722
1.80%, 12/01/15		27,000,000	CNY		4,197,934
2.48%, 12/01/20		33,500,000	CNY		5,084,870
2.36%, 8/18/21		15,000,000	CNY		2,242,711
Hong Kong Government Bond
1.69%, 12/22/14		46,000,000	HKD		6,139,806
1.65%, 6/15/15		46,350,000	HKD		6,216,867
1.51%, 2/24/27		42,500,000	HKD		5,798,703
Indonesia Government
11.00%, 12/15/12, Series FR23		96,405,000,000	IDR		10,603,309
11.25%, 5/15/14, Series FR51		45,196,000,000	IDR		5,363,602
7.38%, 9/15/16, Series FR55		144,451,000,000	IDR		16,521,983
12.80%, 6/15/21, Series FR34		26,179,000,000	IDR		3,967,879
Korea Treasury Bond
3.75%, 6/10/13, Series 1306		17,469,900,000	KRW		14,872,040
4.50%, 3/10/15, Series 1503		17,870,000,000	KRW		15,616,328
4.00%, 9/10/15, Series 1509		13,370,000,000	KRW		11,558,635
4.25%, 6/10/21, Series 2106		1,890,000,000	KRW		1,675,910
Malaysian Government
3.21%, 5/31/13, Series 0509		42,530,000	MYR		13,434,103
3.43%, 8/15/14, Series 0211		23,360,000	MYR		7,418,872
3.84%, 8/12/15, Series 0110		27,240,000	MYR		8,760,815
4.01%, 9/15/17, Series 0210		44,580,000	MYR		14,534,324
New Zealand Government
6.50%, 4/15/13, Series 413		3,270,000	NZD		2,546,454
6.00%, 4/15/15, Series 415		12,379,000	NZD		10,270,955
6.00%, 12/15/17, Series 1217		310,000	NZD		271,332
Republic of Philippines
6.25%, 1/27/14, Series 5-67		69,970,000	PHP		1,695,331
7.00%, 1/27/16, Series 7-48		56,820,000	PHP		1,434,280
4.95%, 1/15/21		619,000,000	PHP		14,842,583
8.00%, 7/19/31, Series 2017		150,000,000	PHP		4,220,470
Singapore Government Bond
1.63%, 4/01/13		1,922,000	SGD		1,508,081
2.25%, 6/01/21		10,690,000	SGD		8,865,678
3.00%, 9/01/24		10,000,000	SGD		8,685,230
Thailand Government Bond
5.25%, 7/13/13		366,800,000	THB		11,785,642
5.25%, 5/12/14		350,000,000	THB		11,401,650
3.13%, 12/11/15		194,699,000	THB		6,058,043
4.13%, 11/18/16		128,060,000	THB		4,130,854
2.80%, 10/10/17		317,595,000	THB		9,621,676

Total Sovereign Bonds					260,608,898

TOTAL FOREIGN GOVERNMENT AGENCIES & OBLIGATIONS (Cost: $298,219,179)					285,403,204

SUPRANATIONAL BONDS - 14.1%

Banks - 14.1%
Asian Development Bank
5.50%, 2/15/16		6,540,000	AUD		6,809,972
2.85%, 10/21/20		14,500,000	CNY		2,285,647
Eurofima
5.63%, 10/24/16		2,270,000	AUD		2,299,797
European Bank for Reconstruction & Development
5.25%, 8/15/12		192,100,000	INR		3,394,910
6.75%, 2/19/13		61,130,000,000	IDR		6,419,300
5.25%, 6/06/14		185,950,000	INR		3,259,187
Inter-American Development Bank
2.50%, 3/11/13		293,000,000	INR		5,033,292
4.75%, 1/10/14		574,650,000	INR		9,955,518
6.25%, 6/22/16		1,360,000	NZD		1,145,788
International Bank for Reconstruction & Development
5.38%, 12/15/14		5,010,000	NZD		4,011,150
International Finance Corp.
5.75%, 6/24/14		5,256,000	AUD		5,371,971
1.80%, 1/27/16		5,000,000	CNY		771,183
Nordic Investment Bank
6.00%, 4/06/15		4,900,000	AUD		5,056,033

TOTAL SUPRANATIONAL BONDS (Cost: $63,723,263)					55,813,748

MONEY MARKET FUND - 0.8%
Dreyfus Institutional Preferred Money Market Fund, 0.18%^(a) (Cost: $3,073,025)		3,073,025			3,073,025

REPURCHASE AGREEMENT - 10.8%
Citigroup, Inc. tri-party repurchase agreement dated 5/31/12, 0.20% due 6/01/12; Proceeds at maturity - $42,494,929 (fully collateralized by Ginnie Mae, 5.00% due 9/20/40; Market value - $44,619,428) (Cost: $42,494,693)		42,494,693			42,494,693

TOTAL INVESTMENTS IN SECURITIES - 98.0% (Cost: $407,510,160)^(b)					386,784,670
Cash, Foreign Currency and Other Assets in Excess of Liabilities - 2.0%					7,891,637

NET ASSETS - 100.0%				$	394,676,307

See Notes to Schedule of Investments.

Schedule of Investments (unaudited) (concluded)

WisdomTree Asia Local Debt Fund (ALD)

May 31, 2012

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


AUD	-	Australia dollar
CNY	-	Chinese yuan
HKD	-	Hong Kong dollar
IDR	-	Indonesia rupiah
INR	-	India rupee
KRW	-	South Korean won
MYR	-	Malaysian ringgit
NZD	-	New Zealand dollar
PHP	-	Philippines peso
SGD	-	Singapore dollar
THB	-	Thai baht

^(a)	Rate shown represents annualized 7-day yield as of May 31, 2012.

^(b)	Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

See Notes to Schedule of Investments.

Schedule of Investments (unaudited)

WisdomTree Australia & New Zealand Debt Fund (AUNZ)

May 31, 2012


Investments	Principal Amount			Value
FOREIGN GOVERNMENT AGENCIES & OBLIGATIONS - 70.1%

Municipal - 1.5%
Australian Capital Territory
5.50%, 6/07/18		550,000	AUD	$	579,462

Sovereign Agency - 35.2%
Export Development Canada
5.75%, 2/11/14		800,000	AUD		808,853
5.25%, 8/10/15		690,000	AUD		707,914
New South Wales Treasury Corp.
5.50%, 8/01/14, Series 14		690,000	AUD		708,302
6.00%, 4/01/15, Series 15		150,000	AUD		156,876
5.50%, 3/01/17, Series 17		690,000	AUD		739,394
6.00%, 2/01/18, Series 18		120,000	AUD		130,632
Northern Territory Treasury Corp.
5.75%, 7/14/14		500,000	AUD		509,277
6.25%, 10/20/15		500,000	AUD		528,833
Queensland Treasury Corp.
6.00%, 8/14/13, Series 13		150,000	AUD		150,884
5.75%, 11/21/14, Series 14		250,000	AUD		256,940
6.00%, 10/21/15, Series 15		200,000	AUD		210,070
6.00%, 4/21/16, Series 16		800,000	AUD		845,322
6.00%, 9/14/17, Series 17		640,000	AUD		700,807
South Australian Government Financing Authority
6.00%, 5/15/13, Series 13		575,000	AUD		573,758
5.75%, 4/20/15, Series 15		1,350,000	AUD		1,397,559
Tasmanian Public Finance
6.50%, 5/15/13, Series 13		575,000	AUD		576,045
5.50%, 6/23/14, Series 14		720,000	AUD		730,882
6.50%, 4/15/15, Series 15		500,000	AUD		526,967
Treasury Corp. of Victoria
5.75%, 11/15/16, Series 1116		890,000	AUD		951,452
5.50%, 11/15/18, Series 1118		540,000	AUD		579,688
Western Australia Treasury Corp.
5.50%, 4/23/14, Series 14		800,000	AUD		811,582
7.00%, 4/15/15, Series 15		540,000	AUD		580,042
6.00%, 10/16/23, Series 23		200,000	AUD		228,144

Total Sovereign Agency					13,410,223

Sovereign Bonds - 33.4%
Australian Government Bond
4.75%, 6/15/16, Series 130		700,000	AUD		745,419
4.25%, 7/21/17, Series 135		1,675,000	AUD		1,770,373
5.50%, 1/21/18, Series 132		1,600,000	AUD		1,797,587
5.25%, 3/15/19, Series 122		800,000	AUD		904,223
4.50%, 4/15/20, Series 126		1,025,000	AUD		1,119,033
5.75%, 5/15/21, Series 124		1,050,000	AUD		1,253,392
5.50%, 4/21/23, Series 133		950,000	AUD		1,132,652
New Zealand Government Bond
6.00%, 4/15/15, Series 415		520,000	NZD		431,448
6.00%, 12/15/17, Series 1217		1,730,000	NZD		1,514,206
5.00%, 3/15/19, Series 319		890,000	NZD		749,244
6.00%, 5/15/21, Series 521		710,000	NZD		644,622
5.50%, 4/15/23, Series 423		750,000	NZD		667,537

Total Sovereign Bonds					12,729,736

TOTAL FOREIGN GOVERNMENT AGENCIES & OBLIGATIONS (Cost: $27,227,482)					26,719,421

SUPRANATIONAL BONDS - 27.9%

Banks - 27.9%
Asian Development Bank
5.25%, 5/13/14		650,000	AUD		657,107
6.00%, 1/20/15		700,000	AUD		728,303
5.50%, 2/15/16		200,000	AUD		208,256
6.00%, 2/22/18		200,000	AUD		217,400
Council of Europe Development Bank
5.75%, 9/16/14		550,000	AUD		555,022
5.63%, 12/14/15		300,000	AUD		304,529
European Investment Bank
5.38%, 5/20/14		840,000	AUD		838,273
6.50%, 9/10/14		182,000	NZD		145,955
6.13%, 1/23/17		240,000	AUD		246,226
Inter-American Development Bank
5.50%, 5/29/13		870,000	AUD		864,888
6.00%, 5/25/16		760,000	AUD		807,035
International Bank for Reconstruction & Development
5.50%, 10/21/14		810,000	AUD		829,426
International Finance Corp.
5.75%, 6/24/14		640,000	AUD		654,121
5.75%, 3/16/15		350,000	AUD		362,848
Kreditanstalt Fuer Wiederaufbau
6.00%, 1/29/15		380,000	AUD		392,817
6.38%, 2/17/15		400,000	NZD		327,201
5.75%, 5/13/15		150,000	AUD		154,746
6.25%, 12/04/19		300,000	AUD		325,522
Landwirtschaftliche Rentenbank
6.00%, 7/15/14		220,000	AUD		224,290
5.75%, 7/15/15		250,000	AUD		256,581
6.50%, 4/12/17		150,000	AUD		160,402
Nordic Investment Bank
6.00%, 8/20/14		600,000	AUD		613,886
6.00%, 4/06/15		740,000	AUD		763,564

TOTAL SUPRANATIONAL BONDS (Cost: $11,173,744)					10,638,398

MONEY MARKET FUND - 0.0%^†
Invesco Treasury Fund Private Class, 0.02%^(a) (Cost: $13,629)		13,629			13,629

TOTAL INVESTMENTS IN SECURITIES - 98.0% (Cost: $38,414,855)^(b)					37,371,448
Foreign Currency and Other Assets in Excess of Liabilities - 2.0%					761,372

NET ASSETS - 100.0%				$	38,132,820

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


AUD	-	Australia dollar
NZD	-	New Zealand dollar

^†	Less than 0.05%.

^(a)	Rate shown represents annualized 7-day yield as of May 31, 2012.

^(b)	Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

See Notes to Schedule of Investments.

Schedule of Investments (unaudited)

WisdomTree Emerging Markets Corporate Bond Fund (EMCB)

May 31, 2012


Investments	Principal Amount		Value
FOREIGN CORPORATE BONDS - 94.8%

Banks - 3.3%
Shinhan Bank, Private Placement
4.38%, 7/27/17^(e)	$	1,827,000	$	1,906,202

Building Materials - 2.5%
Cemex Finance LLC
9.50%, 12/14/16		1,572,000		1,446,240

Cellular Telecommunications - 2.4%
Digicel Group Ltd.
8.88%, 1/15/15		1,414,000		1,398,093

Electric - 6.5%
Centrais Eletricas Brasileiras SA
5.75%, 10/27/21		1,859,000		1,979,835
Empresa de Energia de Bogota SA ESP
6.13%, 11/10/21		1,782,000		1,853,280

Total Electric				3,833,115

Engineering & Construction - 3.2%
Odebrecht Finance Ltd.
6.00%, 4/05/23		1,830,000		1,891,762

Food - 2.5%
Grupo Bimbo SAB de CV
4.50%, 1/25/22		1,408,000		1,486,271

Holding Companies-Diversified - 7.5%
Hutchison Whampoa International 11 Ltd.
4.63%, 1/13/22		3,155,000		3,252,440
Noble Group Ltd.
6.75%, 1/29/20		1,203,000		1,145,858

Total Holding Companies - Diversified				4,398,298

Iron/Steel - 10.1%
CSN Resources S.A.
6.50%, 7/21/20		1,059,000		1,122,540
Evraz Group SA
6.75%, 4/27/18		1,976,000		1,840,150
POSCO
5.25%, 4/14/21		1,779,000		1,939,555
Severstal OAO Via Steel Capital S.A.
6.70%, 10/25/17		1,062,000		1,038,105

Total Iron/Steel				5,940,350

Metal-Diversified - 2.8%
Vedanta Resources PLC
8.25%, 6/07/21		1,878,000		1,629,165

Mining - 6.2%
Vale Overseas Ltd.
4.38%, 1/11/22		2,484,000		2,488,695
Volcan Compania Minera S.A.A., Private Placement
5.38%, 2/02/22^(e)		1,126,000		1,145,705

Total Mining				3,634,400

Oil & Gas - 34.8%
Ecopetrol S.A.
7.63%, 7/23/19		1,425,000		1,767,000
Gazprom OAO Via GAZ Capital S.A.
4.95%, 5/23/16		1,731,000		1,781,363
KazMunayGas National Co.
6.38%, 4/09/21		1,827,000		1,938,904
LUKOIL International Finance B.V.
6.13%, 11/09/20		1,798,000		1,847,445
Petrobras International Finance Co.
5.38%, 1/27/21		3,697,000		3,964,570
Petroleos de Venezuela S.A.
8.50%, 11/02/17		1,668,200		1,324,134
Petroleos Mexicanos
5.50%, 1/21/21		3,729,000		4,120,545
PT Pertamina (Persero)
5.25%, 5/23/21		1,910,000		1,890,900
TNK-BP Finance S.A.
7.25%, 2/02/20		1,558,000		1,731,328

Total Oil & Gas				20,366,189

Specialty Chemicals - 3.1%
Braskem Finance Ltd.
5.75%, 4/15/21		1,798,000		1,800,247

Telecommunication - 9.9%
Oi SA, Private Placement
5.75%, 2/10/22^(e)		1,846,000		1,809,080
Qtel International Finance Ltd.
4.75%, 2/16/21^(a)		2,006,000		2,101,285
VimpelCom Holdings B.V.
7.50%, 3/01/22^(a)		2,102,000		1,891,800

Total Telecommunication				5,802,165

TOTAL FOREIGN CORPORATE BONDS (Cost: $57,061,721)				55,532,497

FOREIGN GOVERNMENT AGENCIES & OBLIGATIONS - 3.3%

Sovereign Agency - 3.3%
MDC-Gmtn B.V.
5.50%, 4/20/21		1,776,000		1,929,180

(Cost: $1,880,174)
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 6.9%
Dreyfus Institutional Preferred Money Market Fund 0.18%^(b) (Cost: $4,067,200)^(c)		4,067,200		4,067,200

TOTAL INVESTMENTS IN SECURITIES - 105.0% (Cost: $63,009,095)^(d)				61,528,877
Liabilities in Excess of Cash and Other Assets - (5.0)%				(2,954,242	)

NET ASSETS - 100.0%			$	58,574,635

^(a)	Security, or portion thereof, was on loan at May 31, 2012.

^(b)	Rate shown represents annualized 7-day yield as of May 31, 2012.

^(c)	At May 31, 2012, the total market value of the Fund’s securities on loan was $3,895,000 and the total market value of the collateral held by the Fund was $4,067,200.

^(d)	Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

^(e)	This security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers.

See Notes to Schedule of Investments.

Schedule of Investments (unaudited)

WisdomTree Emerging Markets Local Debt Fund (ELD)

May 31, 2012


Investments	Principal Amount			Value
FOREIGN GOVERNMENT OBLIGATIONS - 81.7%

Sovereign Bonds - 81.7%
China Government Bond
1.00%, 12/01/13		43,000,000	CNY	$	6,707,224
3.30%, 10/27/14		25,740,000	CNY		4,189,434
1.80%, 12/01/15		109,000,000	CNY		16,947,216
2.48%, 12/01/20		50,500,000	CNY		7,665,252
2.36%, 8/18/21		21,000,000	CNY		3,139,795
Federal Republic of Brazil
12.50%, 1/05/16^(a)		61,489,000	BRL		36,310,308
12.50%, 1/05/22		27,130,000	BRL		18,098,733
10.25%, 1/10/28		55,779,000	BRL		33,696,453
Indonesia Government
12.50%, 3/15/13, Series FR33		34,167,000,000	IDR		3,848,429
11.00%, 10/15/14, Series FR26		75,811,000,000	IDR		9,116,386
9.50%, 6/15/15, Series FR27		148,891,000,000	IDR		17,678,510
10.75%, 5/15/16, Series FR30		53,118,000,000	IDR		6,697,632
7.38%, 9/15/16, Series FR55		143,000,000,000	IDR		16,356,021
10.00%, 7/15/17, Series FR28		50,000,000,000	IDR		6,321,053
11.00%, 11/15/20, Series FR31		105,372,000,000	IDR		14,499,613
8.25%, 7/15/21, Series FR53		103,330,000,000	IDR		12,287,432
8.38%, 9/15/26, Series FR56		196,988,000,000	IDR		23,720,561
8.25%, 6/15/32, Series FR58		62,207,000,000	IDR		7,321,354
Korea Treasury Bond
3.75%, 6/10/13, Series 1306		17,030,000,000	KRW		14,497,555
4.50%, 3/10/15, Series 1503		18,322,260,000	KRW		16,011,552
5.00%, 6/10/20, Series 2006		24,039,220,000	KRW		22,341,392
Malaysian Government
3.43%, 8/15/14, Series 0211		72,403,000	MYR		22,994,376
3.84%, 8/12/15, Series 0110		71,163,000	MYR		22,887,147
3.81%, 2/15/17, Series 0207		41,190,000	MYR		13,303,873
4.01%, 9/15/17, Series 0210		90,070,000	MYR		29,365,333
4.38%, 11/29/19, Series 0902		92,242,000	MYR		30,793,632
Mexican Bonos Desarr
9.50%, 12/18/14, Series MI10		256,349,000	MXN		19,921,189
7.75%, 12/14/17, Series M10		242,147,000	MXN		18,962,742
8.50%, 12/13/18, Series M10		248,964,000	MXN		20,381,533
6.50%, 6/10/21, Series M		67,140,000	MXN		4,867,815
Nota do Tesouro Nacional
10.00%, 1/01/13		6,390,000	BRL		3,192,456
10.00%, 1/01/21		800,000	BRL		394,997
Poland Government Bond
5.75%, 4/25/14, Series 0414		80,790,000	PLN		23,089,616
5.50%, 10/25/19, Series 1019		52,228,000	PLN		14,890,248
5.25%, 10/25/20, Series 1020		69,539,000	PLN		19,385,293
5.75%, 9/23/22, Series 0922		65,208,000	PLN		18,729,439
Republic of Chile
5.50%, 8/05/20		19,046,500,000	CLP		38,875,558
Republic of Colombia
12.00%, 10/22/15		27,189,000,000	COP		18,202,485
7.75%, 4/14/21		33,664,000,000	COP		22,170,786
Republic of Peru
9.91%, 5/05/15		28,820,000	PEN		12,413,133
8.60%, 8/12/17		8,822,000	PEN		3,876,763
7.84%, 8/12/20		36,210,000	PEN		15,621,494
8.20%, 8/12/26		6,490,000	PEN		3,001,954
6.95%, 8/12/31		15,060,000	PEN		6,097,382
Republic of Philippines
7.88%, 2/19/19, Series 1048		260,400,000	PHP		6,923,420
4.95%, 1/15/21		1,099,000,000	PHP		26,352,178
7.63%, 9/29/36, Series 25-9		319,500,000	PHP		8,629,291
Republic of South Africa
8.25%, 9/15/17, Series R203		109,310,000	ZAR		13,476,872
7.25%, 1/15/20, Series R207		120,601,000	ZAR		13,795,237
10.50%, 12/21/26, Series R186		175,400,000	ZAR		24,156,985
Russian Foreign Bond
7.85%, 3/10/18^(a)		1,440,000,000	RUB		44,305,376
Thailand Government Bond
5.25%, 5/12/14		343,730,000	THB		11,197,398
3.13%, 12/11/15		351,770,000	THB		10,945,293
4.13%, 11/18/16		421,430,000	THB		13,594,141
2.80%, 10/10/17		387,840,000	THB		11,749,778
5.13%, 3/13/18		667,385,000	THB		22,646,661
Turkey Government Bond
10.00%, 6/17/15		35,772,000	TRY		19,684,053
9.00%, 1/27/16		14,666,000	TRY		7,873,438
10.50%, 1/15/20		40,322,000	TRY		23,383,147

TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $1,013,943,819)					939,584,417

SUPRANATIONAL BONDS - 13.5%

Banks - 13.5%
Asian Development Bank
9.25%, 4/30/13		14,180,000	BRL		7,227,165
6.55%, 1/28/15		43,850,000	MXN		3,208,473
European Bank for Reconstruction & Development
8.00%, 2/18/13		51,060,000	ZAR		6,055,608
6.50%, 2/09/15		59,610,000	RUB		1,753,689
6.75%, 5/12/17		236,850,000	RUB		6,770,124
European Investment Bank
6.25%, 3/11/13		151,900,000	RUB		4,493,872
10.00%, 9/10/13		2,325,000	TRY		1,273,127
8.00%, 10/21/13		38,630,000	ZAR		4,634,729
8.50%, 11/04/14		77,155,000	ZAR		9,485,551
9.63%, 4/01/15		10,085,000	TRY		5,643,163
6.50%, 12/15/15		88,150,000	RUB		2,572,739
14.00%, 7/05/16		5,210,000	TRY		3,321,160
6.50%, 9/30/16		147,900,000	RUB		4,307,542
Inter-American Development Bank
9.50%, 1/06/14		5,980,000	BRL		3,131,473
8.00%, 1/26/16		21,632,000	MXN		1,693,907
7.50%, 12/05/24		167,197,000	MXN		12,592,614
International Bank for Reconstruction & Development
3.25%, 1/24/13		758,000,000	CLP		1,444,413
5.00%, 7/01/13		77,475,000	MXN		5,472,619
6.50%, 9/11/13		180,025,000	MXN		13,002,092
4.88%, 9/16/13		41,650,000	RUB		1,208,440
6.25%, 12/11/13		262,550,000	RUB		7,789,896
5.25%, 11/24/14		41,550,000	RUB		1,187,840
8.75%, 3/01/17		30,680,000	ZAR		3,942,369
7.50%, 3/05/20		48,295,000	MXN		3,782,007
International Finance Corp.
11.25%, 7/17/12		29,280,000	TRY		15,761,947
9.25%, 9/16/13		12,965,000	BRL		6,691,200
8.25%, 1/15/14		8,210,000	BRL		4,201,577
7.38%, 3/04/15		11,490,000	ZAR		1,422,484
6.00%, 1/28/16		128,810,000	MXN		9,476,768
Nordic Investment Bank
10.00%, 5/14/13		4,085,000	BRL		2,101,393

TOTAL SUPRANATIONAL BONDS (Cost: $181,603,591)					155,649,981

See Notes to Schedule of Investments.

Schedule of Investments (unaudited) (concluded)

WisdomTree Emerging Markets Local Debt Fund (ELD)

May 31, 2012


Investments	Principal Amount		Value
MONEY MARKET FUND - 0.4%
Invesco Treasury Fund Private Class, 0.02%^(b) (Cost: $5,230,497)	$	5,230,497	$	5,230,497

REPURCHASE AGREEMENT - 2.3%
Citigroup, Inc. tri-party repurchase agreement dated 5/31/12, 0.20% due 6/01/12; Proceeds at maturity - $26,028,444 (fully collateralized by Ginnie Mae, 5.00% due 7/20/41; Marketvalue - $27,329,715) (Cost: $26,028,300)		26,028,300		26,028,300

INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED - 4.5%
Dreyfus Institutional Preferred Money Market Fund, 0.18%^(b) (Cost: $51,979,020)^(c)		51,979,020		51,979,020

TOTAL INVESTMENTS IN SECURITIES - 102.4% (Cost: $1,278,785,227)^(d)				1,178,472,215
Liabilities in Excess of Cash, Foreign Currency and Other Assets - (2.4)%				(27,972,819	)

NET ASSETS - 100.0%			$	1,150,499,396

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


BRL	-	Brazilian real
CLP	-	Chilean peso
CNY	-	Chinese yuan
COP	-	Colombian peso
IDR	-	Indonesia rupiah
KRW	-	South Korean won
MXN	-	Mexican peso
MYR	-	Malaysian ringgit
PEN	-	Peruvian nuevo sol
PHP	-	Philippines peso
PLN	-	Polish zloty
RUB	-	Russian ruble
THB	-	Thai baht
TRY	-	Turkish new lira
ZAR	-	South African rand

^(a)	Security, or portion thereof, was on loan at May 31, 2012.

^(b)	Rate shown represents annualized 7-day yield as of May 31, 2012.

^(c)	At May 31, 2012, the total market value of the Fund’s securities on loan was $43,938,920 and the total market value of the collateral held by the Fund was $51,979,020.

^(d)	Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

See Notes to Schedule of Investments.

Schedule of Investments (unaudited)

WisdomTree Euro Debt Fund (EU)

May 31, 2012


Investments	Principal Amount			Value
FOREIGN GOVERNMENT AGENCIES & OBLIGATIONS - 69.3%

Sovereign Agency - 4.6%
European Financial Stability Facility
2.75%, 7/18/16		145,000	EUR	$	190,312

Sovereign Bonds - 64.7%
Belgium Kingdom
3.50%, 6/28/17, Series 63		50,000	EUR		66,026
4.00%, 3/28/19, Series 55		37,000	EUR		50,129
3.75%, 9/28/20, Series 58		50,000	EUR		66,739
Bundesrepublik Deutschland
6.00%, 6/20/16, Series 86		15,000	EUR		22,806
2.25%, 9/04/20		90,000	EUR		122,732
3.25%, 7/04/21		90,000	EUR		132,611
4.75%, 7/04/28, Series 98		135,000	EUR		236,254
European Union
3.38%, 5/10/19		145,000	EUR		199,069
Finnish Government Bond
3.38%, 4/15/20		45,000	EUR		63,964
3.50%, 4/15/21		45,000	EUR		64,757
4.00%, 7/04/25		40,000	EUR		61,586
France Government Bond OAT
4.00%, 4/25/18		165,000	EUR		232,819
4.25%, 4/25/19		150,000	EUR		215,295
3.50%, 4/25/20		65,000	EUR		89,199
Kingdom of Denmark
3.13%, 3/17/14		70,000	EUR		90,743
1.75%, 10/05/15		70,000	EUR		89,873
Kingdom of Sweden
0.88%, 9/02/13		70,000	EUR		87,349
3.13%, 5/07/14		70,000	EUR		91,377
Luxembourg Government Bond
3.75%, 12/04/13		60,000	EUR		77,759
3.38%, 5/18/20		65,000	EUR		91,521
Netherlands Government Bond
4.50%, 7/15/17		130,000	EUR		189,282
4.00%, 7/15/18		60,000	EUR		86,809
3.50%, 7/15/20		20,000	EUR		28,742
5.50%, 1/15/28		40,000	EUR		72,988
Republic of Austria
3.50%, 7/15/15		40,000	EUR		53,705
4.65%, 1/15/18, Series 2		45,000	EUR		65,104
3.90%, 7/15/20		45,000	EUR		63,870

Total Sovereign Bonds					2,713,108

TOTAL FOREIGN GOVERNMENT AGENCIES & OBLIGATIONS (Cost: $3,033,877)					2,903,420

SUPRANATIONAL BONDS - 27.4%

Banks - 27.4%
Council of Europe Development Bank
3.00%, 7/13/20		130,000	EUR		172,096
Eurofima
4.00%, 10/27/21		95,000	EUR		135,152
European Investment Bank
3.63%, 10/15/13		130,000	EUR		167,808
International Bank for Reconstruction & Development
3.88%, 5/20/19		132,000	EUR		191,100
Kreditanstalt Fuer Wiederaufbau
4.13%, 7/04/17		30,000	EUR		43,121
5.50%, 1/22/18, Series 213		45,000	EUR		68,686
Landwirtschaftliche Rentenbank
3.75%, 2/11/16		135,000	EUR		184,552
Nordic Investment Bank
3.00%, 4/08/14		145,000	EUR		187,892

TOTAL SUPRANATIONAL BONDS (Cost: $1,236,339)					1,150,407

TOTAL INVESTMENTS IN SECURITIES - 96.7% (Cost: $4,270,216)^(a)					4,053,827
Cash, Foreign Currency and Other Assets in Excess of Liabilities - 3.3%					139,342

NET ASSETS - 100.0%				$	4,193,169

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


EUR		-		Euro

^(a)	Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

See Notes to Schedule of Investments.

Schedule of Investments (unaudited)

WisdomTree Global Real Return Fund (RRF) (consolidated)

May 31, 2012


Investments	Principal Amount			Value
U.S. GOVERNMENT OBLIGATIONS - 46.1%

Treasury Bills - 21.6%
0.10%, 6/21/12*^(a)	$	11,000		$	11,000
0.05%, 7/05/12*		600,000			599,969
0.07%, 7/12/12*		400,000			399,969

Total Treasury Bills					1,010,938


Treasury Bond - 6.3%
U.S. Treasury Inflation Indexed Bond
2.38%, 1/15/25		180,000			292,502


Treasury Notes - 18.2%
U.S. Treasury Inflation Indexed Notes
2.13%, 1/15/19		210,000			271,944
1.38%, 1/15/20		230,000			286,716
1.13%, 1/15/21		240,000			292,433

Total Treasury Notes					851,093

TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $2,044,978)					2,154,533

FOREIGN GOVERNMENT OBLIGATIONS - 35.8%

Sovereign Bonds - 35.8%
Australian Index Linked Bond
4.00%, 8/20/20, Series 20CI		120,000	AUD		227,958
Canadian Government Real Return Index Linked Bond
4.25%, 12/01/26, Series VS05		76,214	CAD		119,694
3.00%, 12/01/36		59,082	CAD		94,734
France Government Index Linked Bond
1.60%, 7/25/15, Series OATe		55,000	EUR		84,721
2.10%, 7/25/23, Series OATi		70,000	EUR		106,628
Mexican Udibonos
4.00%, 6/13/19		1,232,724	MXN		99,494
4.50%, 12/04/25		1,185,312	MXN		102,659
Republic of South Africa Index Linked Bond
2.50%, 1/31/17, Series R211		823,750	ZAR		103,986
5.50%, 12/07/23, Series R197		708,589	ZAR		112,956
Swedish Government Index Linked Bond
4.00%, 12/01/20, Series 3102		840,000	SEK		198,953
Turkey Government Index Linked Bond
4.50%, 2/11/15		179,411	TRY		100,649
4.00%, 4/01/20		186,305	TRY		104,466
U.K. Treasury Index Linked Gilt
1.25%, 11/22/27		50,000	GBP		120,122
1.25%, 11/22/32		45,000	GBP		99,208

TOTAL FOREIGN GOVERNMENT OBLIGATIONS (Cost: $1,734,127)					1,676,228

SUPRANATIONAL BOND - 3.9%

Bank - 3.9%
Morgan Stanley, Inflation Linked, Private Placement 5.40%, 5/15/15^(b) (Cost: $220,992)		350,000	BRL		185,181

MONEY MARKET FUND - 12.6%
Dreyfus Institutional Preferred Money Market Fund, 0.18%^(c) (Cost: $587,876)		587,876			587,876

TOTAL INVESTMENTS IN SECURITIES - 98.4% (Cost: $4,587,973)^(d)					4,603,818
Cash, Foreign Currency and Other Assets in Excess of Liabilities - 1.6%					73,752

NET ASSETS - 100.0%				$	4,677,570

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


AUD	-	Australian dollar
BRL	-	Brazilian real
CAD	-	Canadian dollar
EUR	-	Euro
GBP	-	British pound
MXN	-	Mexican peso
SEK	-	Swedish krona
TRY	-	Turkish new lira
ZAR	-	South African rand

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

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

^(b)	This security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions that are exempt from registration, normally to qualified institutional buyers.

^(c)	Rate shown represents annualized 7-day yield as of May 31, 2012.

^(d)	Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

See Notes to Schedule of Investments.

Schedule of Investments (unaudited)

WisdomTree Managed Futures Strategy Fund (WDTI) (consolidated)

May 31, 2012


Investments	Principal Amount		Value
U.S. GOVERNMENT OBLIGATIONS - 86.9%

Treasury Bills - 86.9%
U.S. Treasury Bills
0.09%, 6/14/12*	$	6,000,000	$	5,999,852
0.09%, 6/21/12*^(a)		4,755,000		4,754,847
0.06%, 7/05/12*		166,500,000		166,491,403

TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost: $177,245,983)				177,246,102

MONEY MARKET FUND -11.5%
Dreyfus Institutional Preferred Money Market Fund, 0.18%^(b) (Cost: $23,391,617)		23,391,617		23,391,617

TOTAL INVESTMENTS IN SECURITIES - 98.4% (Cost: $200,637,600)^(c)				200,637,719
Cash, Foreign Currency and Other Assets in Excess of Liabilities - 1.6%				3,336,053

NET ASSETS - 100.0%			$	203,973,772

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

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

^(b)	Rate shown represents annualized 7-day yield as of May 31, 2012.

^(c)	Aggregate cost for Federal income tax purposes is substantially the same as for book purposes.

See Notes to Schedule of Investments.

Notes to Schedule of Investments (unaudited)

1. ORGANIZATION

WisdomTree Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Delaware statutory trust pursuant to a Trust Instrument dated December 15, 2005. As of May 31, 2012, the Trust offered 48 investment funds (each a “Fund”, collectively, the “Funds”). These notes relate only to Funds listed in the table below:


Fund Name		Commencement of Operations
WisdomTree Dreyfus Brazilian Real Fund (“Brazilian Real Fund”)		May 14, 2008
WisdomTree Dreyfus Chinese Yuan Fund (“Chinese Yuan Fund”)		May 14, 2008
WisdomTree Dreyfus Commodity Currency Fund (“Commodity Currency Fund”)		September 24, 2010
WisdomTree Dreyfus Emerging Currency Fund (“Emerging Currency Fund”)		May 6, 2009
WisdomTree Dreyfus Indian Rupee Fund (“Indian Rupee Fund”)		May 14, 2008
WisdomTree Dreyfus Japanese Yen Fund (“Japanese Yen Fund”)		May 21, 2008
WisdomTree Dreyfus South African Rand Fund (“South African Rand Fund”)		June 25, 2008
WisdomTree Asia Local Debt Fund (“Asia Local Debt Fund”)		March 17, 2011
WisdomTree Australia & New Zealand Debt Fund (“Australia & New Zealand Debt Fund”)		June 25, 2008
WisdomTree Emerging Markets Corporate Bond Fund (“Emerging Markets Corporate Bond Fund”)		March 8, 2012
WisdomTree Emerging Markets Local Debt Fund (“Emerging Markets Local Debt Fund”)		August 9, 2010
WisdomTree Euro Debt Fund (“Euro Debt Fund”)		May 14, 2008
WisdomTree Global Real Return Fund (“Global Real Return Fund”) (consolidated)		July 14, 2011
WisdomTree Managed Futures Strategy Fund (“Managed Futures Strategy Fund”) (consolidated)		January 5, 2011

CONSOLIDATION OF SUBSIDIARIES

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

2. SIGNIFICANT ACCOUNTING POLICIES

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

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

Investment Valuation - The net asset value (“NAV”) of each Fund’s shares is calculated each day the national securities exchanges are open for trading as of the close of regular trading on the New York Stock Exchange, generally 4:00 p.m. New York time. NAV per share is calculated by dividing a Fund’s net assets by the number of Fund shares outstanding. In calculating each Fund’s NAV, investments are valued under policies approved by the Board of Trustees. Fixed income securities generally are valued at current market quotations or mean prices obtained from dealers or independent pricing services. Dealers or independent pricing services, in determining the value of securities may consider such factors as recent transactions, indications from dealers, yields and prices on

Notes to Schedule of Investments (unaudited)(continued)

similar securities, and market sentiment for the type of security. Futures contracts generally are valued at settlement price on the primary exchange on which they trade. Swaps are generally valued on the basis of broker dealer quotations or independent pricing services. Short-term debt securities with remaining maturities of 60 days or less generally are valued on the basis of amortized cost, which approximates fair value. U.S. fixed income assets may be valued as of the announced closing time for such securities on any day that the Securities Industry and Financial Markets Association announces an early closing time.

Forward foreign currency contracts generally are valued daily using WM/Reuters closing spot and forward rates as of 4:00 p.m. London time for Europe and the Americas, and Tullett Prebon closing spot and forward rates as of 2:00 p.m. Singapore time for Asia. In certain instances, such as when reliable market valuations are not readily available or are not deemed to reflect current market values, a Fund’s investments will be valued in accordance with the Fund’s pricing policy and procedures approved by the Board of Trustees. For these purposes, a price based on amortized cost is considered a market valuation. In addition, securities may be valued using “fair value” pricing and may include, but are not limited to, securities for which there are no current market quotations, securities whose issuer is in default or bankruptcy, securities subject to corporate actions (such as mergers or reorganizations), securities subject to non-U.S. investment limits or currency controls, and securities affected by “significant events.” An example of a significant event is an event occurring after the close of the market in which a security trades but before a Fund’s next NAV calculation time that may materially affect the value of a Fund’s investment (e.g., government action, natural disaster, or significant market fluctuation). When fair value pricing is employed, the prices of securities used by a Fund to calculate its NAV may differ from quoted or published prices for the same securities. Each Fund may invest in money market funds which are valued at such money market fund’s NAV per share.

Fair Value Measurement - In accordance with Codification Topic 820 (“ASC 820”), Fair Value Measurements and Disclosures, fair value is defined as the price that each Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. ASC 820 established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classifications of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk - for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below:

Level 1

– quoted prices in active markets for identical securities

Level 2

– other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Level 3

– significant unobservable inputs (including each Fund’s assumptions in determining the fair value of investments)

Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which a Fund’s NAV is computed and that may materially affect the value of the Fund’s investments).

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

Notes to Schedule of Investments (unaudited)(continued)

The valuation techniques and significant inputs used in determining the fair market values of financial instruments are as follows:

Financial instruments are valued by pricing service providers that use broker dealer quotations, reported trades or valuation estimates from their internal pricing models. Depending on the type of financial instrument, the service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy. Over-the-counter financial derivative instruments, such as forward foreign currency contracts or swaps agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or pricing service providers. Depending on the product and the terms of the transaction, the value of the financial derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Financial derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

In the event that a financial instrument cannot be valued based upon a price from a national securities exchange, pricing service provider or broker quotation, or such prices are deemed to not reflect current market value, WTAM may value the financial instrument in good faith under the policies and procedures approved by the Board of Trustees based on current facts and circumstances. Determination of this value may include significant unobservable inputs and therefore would be reflected as Level 3 of the fair value hierarchy.

The following is a summary of the inputs used as of May 31, 2012 in valuing each Fund’s assets carried at fair value:


Brazilian Real Fund	Level 1		Level 2			Level 3
Investments in Securities
Money Market Fund	$	—	$	51,575		$	—
Repurchase Agreement		—		10,234,631			—
U.S. Government Obligations		—		64,447,501			—

Total		—		74,733,707			—

Unrealized Appreciation on Forward Foreign Currency Contracts		—		344,430			—
Unrealized Depreciation on Forward Foreign Currency Contracts		—		(6,530,826	)		—

Total - Net	$	—	$	68,547,311		$	—


Chinese Yuan Fund	Level 1		Level 2			Level 3
Investments in Securities
Money Market Fund	$	—	$	1,861,425		$	—
Repurchase Agreement		—		70,766,177			—
Time Deposits		—		82,052,310			—
U.S. Government Obligations		—		209,508,256			—

Total		—		364,188,168			—

Unrealized Appreciation on Forward Foreign Currency Contracts		—		657,925			—
Unrealized Depreciation on Forward Foreign Currency Contracts		—		(3,063,693	)		—

Total - Net	$	—	$	361,782,400		$	—


Commodity Currency Fund	Level 1		Level 2			Level 3
Investments in Securities
Money Market Fund	$	—	$	172,477		$	—
Repurchase Agreement		—		5,927,688			—
U.S. Government Obligations		—		23,548,527			—

Total		—		29,648,692			—

Unrealized Appreciation on Forward Foreign Currency Contracts		—		478,508			—
Unrealized Depreciation on Forward Foreign Currency Contracts		—		(2,994,449	)		—

Total - Net	$	—	$	27,132,751		$	—


Emerging Currency Fund	Level 1		Level 2			Level 3
Investments in Securities
Money Market Fund	$	—	$	993,234		$	—
Repurchase Agreement		—		75,055,320			—
U.S. Government Obligations		—		244,280,615			—

Total		—		320,329,169			—

Unrealized Appreciation on Forward Foreign Currency Contracts		—		474,520			—
Unrealized Depreciation on Forward Foreign Currency Contracts		—		(20,016,827	)		—

Total - Net	$	—	$	300,786,862		$	—


Indian Rupee Fund	Level 1		Level 2			Level 3
Investments in Securities
Money Market Fund	$	—	$	138,459		$	—
Repurchase Agreement		—		4,426,203			—
U.S. Government Obligations		—		13,746,172			—

Total		—		18,310,834			—

Unrealized Appreciation on Forward Foreign Currency Contracts		—		796			—
Unrealized Depreciation on Forward Foreign Currency Contracts		—		(1,173,417	)		—

Total - Net	$	—	$	17,138,213		$	—

Notes to Schedule of Investments (unaudited)(continued)


Japanese Yen Fund	Level 1		Level 2			Level 3
Investments in Securities
Foreign Government Obligations	$	—	$	3,315,058		$	—
Repurchase Agreement		—		3,265,803			—
Time Deposits		—		12,857,094			—

Total	$	—	$	19,437,955		$	—


South African Rand Fund	Level 1		Level 2			Level 3
Investments in Securities
Money Market Fund	$	—	$	42,631		$	—
Repurchase Agreement		—		1,231,933			—
U.S. Government Obligations		—		3,649,727			—

Total		—		4,924,291			—

Unrealized Depreciation on Forward Foreign Currency Contracts		—		(427,089	)		—

Total - Net	$	—	$	4,497,202		$	—


Asia Local Debt Fund	Level 1		Level 2			Level 3
Investments in Securities
Foreign Government Agencies & Obligations	$	—	$	285,403,204		$	—
Money Market Fund		—		3,073,025			—
Repurchase Agreement		—		42,494,693			—
Supranational Bonds		—		55,813,748			—

Total		—		386,784,670			—

Unrealized Appreciation on Forward Foreign Currency Contracts		—		258,309			—
Unrealized Depreciation on Forward Foreign Currency Contracts		—		(1,220,575	)		—

Total - Net	$	—	$	385,822,404		$	—


Australia & New Zealand Debt Fund	Level 1		Level 2			Level 3
Investments in Securities
Foreign Government Agencies & Obligations	$	—	$	26,719,421		$	—
Money Market Fund		—		13,629			—
Supranational Bonds		—		10,638,398			—

Total	$	—	$	37,371,448		$	—


Emerging Markets Corporate Bond Fund	Level 1		Level 2			Level 3
Investments in Securities
Foreign Corporate Bonds	$	—	$	55,532,497		$	—
Foreign Government Agencies & Obligations		—		1,929,180			—
Money Market Fund		—		4,067,200			—

Total	$	—	$	61,528,877		$	—

Notes to Schedule of Investments (unaudited)(continued)


Emerging Markets Local Debt Fund	Level 1			Level 2			Level 3
Investments in Securities
Foreign Government Obligations	$	—		$	939,584,417		$	—
Money Market Funds		—			57,209,517			—
Repurchase Agreement		—			26,028,300			—
Supranational Bonds		—			155,649,981			—

Total		—			1,178,472,215			—

Unrealized Appreciation on Forward Foreign Currency Contracts		—			145,172			—
Unrealized Depreciation on Forward Foreign Currency Contracts		—			(1,736,198	)		—

Total - Net	$	—		$	1,176,881,189		$	—


Euro Debt Fund	Level 1			Level 2			Level 3
Investments in Securities
Foreign Government Agencies & Obligations	$	—		$	2,903,420		$	—
Supranational Bonds		—			1,150,407			—

Total	$	—		$	4,053,827		$	—


Global Real Return Fund (consolidated)	Level 1			Level 2			Level 3
Investments in Securities
Foreign Government Obligations	$	—		$	1,676,228		$	—
Money Market Fund		—			587,876			—
Supranational Bond		—			185,181			—
U.S. Government Obligations		—			2,154,533			—

Total		—			4,603,818			—

Unrealized Depreciation on Swap Contracts		—			(22,685	)		—
Unrealized Appreciation on Futures Contracts		427			—			—

Total - Net	$	427		$	4,581,133		$	—


Managed Futures Strategy Fund (consolidated)	Level 1			Level 2			Level 3
Investments in Securities
Money Market Fund	$	—		$	23,391,617		$	—
U.S. Government Obligations		—			177,246,102			—

Total		—			200,637,719			—

Unrealized Appreciation on Forward Foreign Currency Contracts		—			244,146			—
Unrealized Depreciation on Forward Foreign Currency Contracts		—			(1,427,971	)		—
Unrealized Depreciation on Swap Contracts		—			(1,274,383	)		—
Unrealized Appreciation on Futures Contracts		1,308,326			—			—
Unrealized Depreciation on Futures Contracts		(8,576,549	)		—			—

Total - Net	$	(7,268,223	)	$	198,179,511		$	—

Notes to Schedule of Investments (unaudited)(continued)

No transfers between Level 1 and Level 2 fair value measurements occurred during the period ended May 31, 2012.

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value. All transfers in or out of Level 3 are done using the beginning of period method.


Asia Local Debt Fund	Supranational Bonds
Balance as of September 1, 2011	$	12,365,842
Premium/discount amortization (accretion)		(2,501	)
Realized gain (loss)		(357,988	)
Change in unrealized appreciation (depreciation)		(353,476	)
Sales		(7,414,622	)
Transfers into Level 3¹		—
Transfers out of Level 3²		(4,237,255	)

Balance as of May 31, 2012	$	—


Emerging Markets Local Debt Fund	Supranational Bonds
Balance as of September 1, 2011	$	2,241,272
Premium/discount amortization (accretion)		(3,295	)
Realized gain (loss)		(114,888	)
Change in unrealized appreciation (depreciation)		(67,999	)
Sales		(2,055,090	)
Transfers into Level 3¹		—
Transfers out of Level 3²		—

Balance as of May 31, 2012	$	—

¹	Transfers into Level 3 are as a result of the unavailability of a quoted price in an active market for an identical investment or the unavailability of other significant observable inputs.

²	Transfers out of Level 3 are as a result of the availability of a quoted price in an active market for an identical investment or the availability of other significant observable inputs.

Derivatives and Hedging Disclosure - Codification Topic 815 (“ASC 815”), Derivatives and Hedging, requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. The Funds have invested in derivatives, specifically forward foreign currency contracts, swaps contracts and futures contracts during the period ended May 31, 2012 which are detailed in the tables herein. The Funds’ derivative agreements contain credit-risk related contingent features which include, but are not limited to, a percentage decline in the Funds’ NAV or net assets over a specified time period. If an event occurred that triggered a contingent feature, the counterparty to the agreement may require the Funds to post additional collateral or terminate the derivative positions and demand payment. Any collateral posted with respect to the derivative positions would be used to offset or reduce the payment. The maximum exposure to derivatives agreements with credit-risk related contingent features would be the total value of derivatives in net liability positions for each Fund.

As of May 31, 2012, the following Funds posted securities and/or cash as collateral for derivative agreements as follows:


Fund	Value of Collateral Posted
Brazilian Real Fund	$	1,970,000
Chinese Yuan Fund		670,000
Commodity Currency Fund		650,000
Emerging Currency Fund		6,510,000
Indian Rupee Fund		570,000
Asia Local Debt Fund		380,000
Global Real Return Fund		11,000
Managed Futures Strategy Fund		4,754,847

Notes to Schedule of Investments (unaudited)(continued)

Investment Transactions - Investment transactions are recorded as of the date that the securities are purchased or sold (trade date).

Foreign Currency Translation - The accounting records of the Funds are maintained in U.S. dollars. Foreign currencies, as well as investment securities and other assets and liabilities denominated in foreign currencies, are translated into U.S. dollars using exchange rates prevailing on the respective dates of such transactions that are deemed appropriate by WTAM.

Repurchase Agreements - Each Fund’s custodian or a third party custodian under tri-party repurchase agreements may take possession of the collateral pledged for investments in repurchase agreements. The underlying collateral is valued on a daily basis at fair value to ensure that the value, including accrued interest, is at least equal to the repurchase price. In the event of default of the obligation to repurchase, a Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligations. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.

Forward Foreign Currency Contracts - A forward foreign currency contract (“Forward Contract”) involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. These contracts are principally traded in the inter-bank market conducted directly between currency traders (usually large, commercial banks) and their customers. A Forward Contract generally has no margin deposit requirement, and no commissions are charged at any stage for trades.

Risks may arise upon entering into Forward Contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currencies relative to the U.S. dollar or each other.

Fluctuations in the value of open Forward Contracts are recorded for book purposes as unrealized gains or losses on Forward Contracts by the Funds. Realized gains and losses on Forward Contracts include net gains or losses recognized by the Funds on contracts which have matured. Each Fund may enter into Forward Contracts to manage its foreign currency exposure or to facilitate settlement of foreign currency denominated portfolio transactions. A Fund may invest in both Forward Contracts and U.S. dollar denominated money market securities in an attempt to create a “synthetic” investment in a foreign currency denominated instrument.

Notes to Schedule of Investments (unaudited)(continued)

The following Forward Contracts were open at May 31, 2012:


Fund Name	Settlement Date			Contracts To Deliver			In Exchange For		Unrealized Gain (Loss)
Brazilian Real Fund		6/4/2012	BRL		38,064,510	USD		18,899,955	$	90,127
		6/4/2012	BRL		38,064,509	USD		18,899,955		90,127
		6/4/2012	BRL		7,517,448	USD		3,878,972		164,176
		6/4/2012	USD		22,763,297	BRL		41,823,233		(2,096,070	)
		6/4/2012	USD		22,744,852	BRL		41,823,234		(2,077,625	)
		7/3/2012	USD		17,555,985	BRL		33,524,031		(1,086,275	)
		7/3/2012	USD		17,554,422	BRL		33,524,031		(1,084,712	)
		8/2/2012	USD		18,897,501	BRL		38,471,722		(93,026	)
		8/2/2012	USD		18,897,595	BRL		38,471,723		(93,118	)

									$	(6,186,396	)


Chinese Yuan Fund		10/22/2012	CNY		16,163,287	USD		2,545,400	$	17,134
		10/22/2012	CNY		16,152,543	USD		2,548,122		21,537
		10/22/2012	USD		127,802,164	CNY		809,435,003		(1,190,132	)
		12/10/2012	USD		27,927,531	CNY		176,948,835		(294,602	)
		1/11/2013	CNH		32,345,601	USD		5,098,613		74,964
		1/11/2013	CNH		32,309,818	USD		5,077,765		59,674
		1/11/2013	CNH		32,293,777	USD		5,081,233		65,633
		1/11/2013	CNH		32,256,454	USD		5,054,286		44,483
		1/11/2013	CNH		16,172,576	USD		2,545,660		33,870
		1/11/2013	CNH		16,145,223	USD		2,545,160		37,619
		1/11/2013	CNH		16,137,469	USD		2,532,957		26,620
		1/11/2013	CNH		16,135,718	USD		2,542,660		36,595
		1/11/2013	CNH		16,135,718	USD		2,542,660		36,595
		1/11/2013	CNH		16,132,114	USD		2,528,545		23,039
		1/11/2013	CNH		16,130,441	USD		2,528,282		23,037
		1/11/2013	CNH		16,130,255	USD		2,541,398		36,182
		1/11/2013	CNH		16,125,140	USD		2,542,395		37,973
		1/11/2013	CNH		16,116,764	USD		2,524,833		21,711
		1/11/2013	CNH		16,100,991	USD		2,532,200		31,528
		1/11/2013	CNH		16,097,607	USD		2,529,877		29,731
		1/11/2013	USD		155,101,143	CNH		990,475,901		(1,268,692	)
		3/18/2013	USD		27,689,221	CNY		175,793,325		(310,267	)

									$	(2,405,768	)


Commodity Currency Fund		6/4/2012	AUD		3,338,158	USD		3,249,697	$	11,851
		6/4/2012	AUD		258,761	USD		262,813		11,828
		6/4/2012	AUD		257,964	USD		250,882		669
		6/4/2012	AUD		256,784	USD		268,134		19,066
		6/4/2012	BRL		6,144,910	USD		3,051,097		14,550
		6/4/2012	BRL		471,122	USD		234,284		1,476

Notes to Schedule of Investments (unaudited)(continued)


Fund Name	Settlement Date			Contracts To Deliver			In Exchange For		Unrealized Gain (Loss)
		6/4/2012	BRL		465,410	USD		240,112		10,127
		6/4/2012	CAD		3,515,330	USD		3,417,587		23,756
		6/4/2012	CAD		273,557	USD		265,639		1,537
		6/4/2012	CAD		273,135	USD		274,081		10,386
		6/4/2012	CAD		271,838	USD		273,770		11,328
		6/4/2012	CLP		1,721,384,130	USD		3,318,011		13,059
		6/4/2012	CLP		132,224,993	USD		269,517		15,653
		6/4/2012	CLP		131,977,234	USD		271,642		18,254
		6/4/2012	CLP		131,216,013	USD		252,947		1,020
		6/4/2012	NOK		19,961,864	USD		3,283,525		17,540
		6/4/2012	NOK		1,539,731	USD		269,765		17,848
		6/4/2012	NOK		1,538,966	USD		253,487		1,694
		6/4/2012	NOK		1,538,455	USD		265,004		13,296
		6/4/2012	RUB		105,846,475	USD		3,234,363		72,573
		6/4/2012	RUB		8,125,654	USD		277,421		34,695
		6/4/2012	RUB		8,097,201	USD		269,144		27,269
		6/4/2012	RUB		8,060,548	USD		245,898		5,118
		6/4/2012	USD		4,362,972	AUD		4,111,667		(374,861	)
		6/4/2012	USD		3,734,741	BRL		7,081,442		(235,399	)
		6/4/2012	USD		4,323,872	CAD		4,333,860		(139,802	)
		6/4/2012	USD		4,359,148	CLP		2,116,802,370		(295,018	)
		6/4/2012	USD		4,372,712	NOK		24,579,016		(351,309	)
		6/4/2012	USD		4,429,094	RUB		130,129,878		(541,922	)
		6/4/2012	USD		4,399,022	ZAR		33,840,357		(446,310	)
		6/4/2012	ZAR		27,551,521	USD		3,237,547		19,400
		6/4/2012	ZAR		2,110,024	USD		275,163		28,702
		6/4/2012	ZAR		2,097,436	USD		266,895		21,905
		6/4/2012	ZAR		2,081,376	USD		244,759		1,644
		6/5/2012	NZD		4,259,340	USD		3,215,802		15,333
		6/5/2012	NZD		330,831	USD		249,857		1,271
		6/5/2012	NZD		330,482	USD		262,082		13,758
		6/5/2012	NZD		328,548	USD		268,773		21,902
		6/5/2012	USD		4,365,970	NZD		5,249,201		(421,721	)
		7/3/2012	USD		3,259,252	BRL		6,599,007		(17,287	)
		8/24/2012	USD		3,247,824	AUD		3,359,633		(11,458	)
		8/24/2012	USD		3,269,703	CAD		3,369,331		(22,516	)
		8/24/2012	USD		3,246,843	CLP		1,701,832,878		(10,057	)
		8/24/2012	USD		3,251,809	NOK		19,830,834		(17,280	)
		8/24/2012	USD		3,256,304	NZD		4,335,207		(15,103	)
		8/24/2012	USD		3,235,642	RUB		107,457,602		(75,788	)
		8/24/2012	USD		3,208,436	ZAR		27,632,655		(18,618	)

									$	(2,515,941	)

Notes to Schedule of Investments (unaudited)(continued)


Fund Name	Settlement Date			Contracts To Deliver			In Exchange For		Unrealized Gain (Loss)
Emerging Currency Fund		6/4/2012	BRL		51,255,084	USD		25,500,042	$	172,004
		6/4/2012	BRL		654,648	USD		319,434		(4,065	)
		6/4/2012	BRL		327,835	USD		163,590		1,588
		6/4/2012	BRL		327,794	USD		163,492		1,511
		6/4/2012	BRL		327,324	USD		159,826		(1,923	)
		6/4/2012	BRL		326,835	USD		162,532		1,024
		6/4/2012	USD		1,212,201	BRL		2,299,605		(75,836	)
		6/4/2012	USD		26,850,831	BRL		50,919,915		(1,688,419	)
		7/3/2012	USD		25,509,877	BRL		51,545,257		(186,685	)
		8/2/2012	CLP		170,953,621	USD		334,908		8,951
		8/2/2012	CLP		85,580,651	USD		170,140		6,964
		8/2/2012	CLP		85,540,478	USD		168,986		5,886
		8/2/2012	CLP		85,476,810	USD		167,470		4,492
		8/2/2012	CLP		85,369,640	USD		163,293		519
		8/2/2012	CNH		2,207,489	USD		347,554		2,357
		8/2/2012	CNH		1,104,764	USD		173,174		416
		8/2/2012	CNH		1,103,744	USD		173,791		1,192
		8/2/2012	CNH		1,103,416	USD		173,616		1,069
		8/2/2012	CNH		1,103,039	USD		173,721		1,233
		8/2/2012	IDR		3,248,044,120	USD		342,079		9,649
		8/2/2012	IDR		1,638,186,497	USD		166,482		(1,183	)
		8/2/2012	IDR		1,624,022,060	USD		171,040		4,824
		8/2/2012	IDR		1,621,698,673	USD		169,457		3,479
		8/2/2012	IDR		1,619,558,904	USD		171,928		6,169
		8/2/2012	INR		18,414,580	USD		330,366		8,592
		8/2/2012	INR		9,207,290	USD		164,857		3,971
		8/2/2012	INR		9,206,396	USD		166,632		5,761
		8/2/2012	INR		9,203,319	USD		167,974		7,157
		8/2/2012	INR		9,186,678	USD		161,340		813
		8/2/2012	KRW		398,609,272	USD		341,129		4,735
		8/2/2012	KRW		199,481,600	USD		168,838		491
		8/2/2012	KRW		199,350,780	USD		170,240		2,004
		8/2/2012	KRW		199,305,948	USD		171,875		3,677
		8/2/2012	KRW		199,304,636	USD		170,579		2,382
		8/2/2012	MXN		4,561,310	USD		330,677		14,296
		8/2/2012	MXN		2,281,833	USD		164,355		6,083
		8/2/2012	MXN		2,281,198	USD		164,903		6,675
		8/2/2012	MXN		2,280,778	USD		161,017		2,818
		8/2/2012	MXN		2,280,655	USD		165,348		7,157
		8/2/2012	MYR		1,072,002	USD		342,165		5,961
		8/2/2012	MYR		536,044	USD		171,014		2,899
		8/2/2012	MYR		536,001	USD		171,137		3,035
		8/2/2012	MYR		535,924	USD		168,981		904
		8/2/2012	MYR		535,850	USD		173,022		4,968

Notes to Schedule of Investments (unaudited)(continued)


Fund Name	Settlement Date			Contracts To Deliver			In Exchange For		Unrealized Gain (Loss)
		8/2/2012	PLN		1,109,662	USD		324,128		14,737
		8/2/2012	PLN		554,918	USD		161,513		6,793
		8/2/2012	PLN		554,872	USD		161,639		6,932
		8/2/2012	PLN		554,831	USD		162,073		7,377
		8/2/2012	PLN		554,629	USD		155,231		592
		8/2/2012	RUB		10,362,383	USD		328,652		22,692
		8/2/2012	RUB		5,181,585	USD		167,364		14,372
		8/2/2012	RUB		5,181,293	USD		165,325		12,342
		8/2/2012	RUB		5,181,191	USD		164,417		11,437
		8/2/2012	RUB		5,175,054	USD		156,204		3,406
		8/2/2012	TRY		631,461	USD		339,872		6,041
		8/2/2012	TRY		316,275	USD		171,035		3,832
		8/2/2012	TRY		316,268	USD		170,705		3,506
		8/2/2012	TRY		315,730	USD		169,994		3,079
		8/2/2012	TRY		315,067	USD		167,656		1,091
		8/2/2012	USD		1,223,037	CLP		597,698,247		(83,407	)
		8/2/2012	USD		26,682,860	CLP		13,242,703,451		(1,433,024	)
		8/2/2012	USD		1,214,764	CNH		7,705,246		(9,854	)
		8/2/2012	USD		26,908,035	CNH		170,516,216		(243,511	)
		8/2/2012	USD		1,216,436	IDR		11,252,034,488		(64,813	)
		8/2/2012	USD		26,867,057	IDR		248,923,279,355		(1,390,257	)
		8/2/2012	USD		1,201,374	INR		64,549,800		(73,441	)
		8/2/2012	USD		26,865,816	INR		1,430,067,372		(1,877,056	)
		8/2/2012	USD		1,220,262	KRW		1,393,538,847		(44,229	)
		8/2/2012	USD		26,920,308	KRW		30,841,251,175		(892,821	)
		8/2/2012	USD		1,224,862	MXN		16,074,643		(109,896	)
		8/2/2012	USD		26,687,496	MXN		355,868,425		(2,003,834	)
		8/2/2012	USD		1,222,073	MYR		3,749,319		(46,203	)
		8/2/2012	USD		26,927,810	MYR		82,967,275		(907,425	)
		8/2/2012	USD		1,225,119	PLN		3,894,979		(139,135	)
		8/2/2012	USD		26,586,460	PLN		86,271,732		(2,532,487	)
		8/2/2012	USD		1,220,495	RUB		36,242,594		(150,395	)
		8/2/2012	USD		26,782,951	RUB		802,939,470		(3,075,346	)
		8/2/2012	USD		1,238,306	TRY		2,223,113		(63,027	)
		8/2/2012	USD		26,821,309	TRY		49,269,404		(774,352	)
		8/2/2012	USD		1,222,626	ZAR		9,600,887		(110,869	)
		8/2/2012	USD		26,668,644	ZAR		212,745,110		(2,033,334	)
		8/2/2012	ZAR		2,735,555	USD		328,652		11,882
		8/2/2012	ZAR		1,368,760	USD		163,071		4,572
		8/2/2012	ZAR		1,368,729	USD		163,632		5,137
		8/2/2012	ZAR		1,367,777	USD		164,329		5,944
		8/2/2012	ZAR		1,366,641	USD		159,303		1,050

									$	(19,542,307	)

Notes to Schedule of Investments (unaudited)(continued)


Fund Name	Settlement Date			Contracts To Deliver			In Exchange For		Unrealized Gain (Loss)

Indian Rupee Fund		8/2/2012	INR		756,910	USD		14,022	$	796
		8/2/2012	USD		2,086,341	INR		112,620,709		(118,426	)
		8/2/2012	USD		5,546,374	INR		297,590,691		(346,324	)
		8/2/2012	USD		5,540,694	INR		297,590,692		(340,644	)
		8/2/2012	USD		5,725,651	INR		306,608,590		(368,023	)

									$	(1,172,621	)


South African Rand Fund		8/2/2012	USD		1,641,511	ZAR		12,939,864	$	(143,109	)
		8/2/2012	USD		1,640,782	ZAR		12,939,864		(142,381	)
		8/2/2012	USD		1,644,500	ZAR		12,978,723		(141,599	)

									$	(427,089	)


Asia Local Debt Fund		6/20/2012	CNY		13,000,000	USD		2,060,875	$	14,274
		6/20/2012	IDR		14,872,203,000	USD		1,598,818		59,441
		6/20/2012	PHP		189,377,000	USD		4,475,939		144,537
		6/20/2012	PHP		61,666,000	USD		1,431,430		21,014
		6/20/2012	TWD		19,000,000	USD		651,578		15,360
		6/20/2012	TWD		8,217,000	USD		278,831		3,683
		6/20/2012	USD		9,770,932	SGD		12,100,000		(366,910	)
		6/20/2012	USD		2,048,535	CNY		13,000,000		(1,933	)
		6/20/2012	USD		15,658,915	SGD		19,695,000		(352,119	)
		6/20/2012	USD		4,990,137	HKD		38,706,000		(2,560	)
		6/20/2012	USD		5,855,367	PHP		251,043,000		(113,549	)
		6/20/2012	USD		22,741,065	TWD		669,610,662		(319,063	)
		6/20/2012	USD		1,603,818	IDR		14,872,203,000		(64,441	)

									$	(962,266	)


Emerging Markets Local Debt Fund		6/1/2012	BRL		1,022,142	USD		512,223	$	7,125
		6/1/2012	CNH		856,696	USD		135,019		551
		6/1/2012	COP		308,823,595	USD		170,151		2,006
		6/1/2012	MXN		7,112,973	USD		511,357		14,859
		6/1/2012	MYR		1,595,099	USD		506,059		3,151
		6/1/2012	PEN		448,901	USD		166,321		614
		6/1/2012	PHP		7,410,900	USD		171,390		1,044
		6/1/2012	TRY		1,247,597	USD		680,891		11,454
		6/1/2012	ZAR		2,842,595	USD		342,246		10,218
		6/5/2012	BRL		1,005,428	USD		496,839		—
		6/5/2012	CLP		85,815,677	USD		164,761		—
		6/5/2012	CNH		857,827	USD		134,667		21
		6/5/2012	COP		305,301,725	USD		166,227		—
		6/5/2012	IDR		4,754,130,138	USD		488,857		(16,902	)
		6/5/2012	MXN		7,099,348	USD		495,546		—
		6/5/2012	MYR		1,594,933	USD		501,394		(1,462	)
		6/5/2012	PEN		450,055	USD		166,133		—
		6/5/2012	PHP		7,414,750	USD		170,102		(332	)
		6/5/2012	TRY		620,820	USD		332,773		(348	)

Notes to Schedule of Investments (unaudited)(continued)


Fund Name	Settlement Date			Contracts To Deliver			In Exchange For		Unrealized Gain (Loss)
		6/5/2012	ZAR		2,865,418	USD		334,698		4
		6/20/2012	IDR		4,751,000,000	USD		491,822		60
		6/20/2012	KRW		399,000,000	USD		339,055		1,386
		6/20/2012	KRW		394,000,000	USD		333,362		(76	)
		6/20/2012	PHP		305,165,000	USD		7,070,551		90,863
		6/20/2012	THB		10,687,000	USD		334,701		(131	)
		6/20/2012	THB		10,668,000	USD		336,053		1,816
		6/20/2012	USD		120,875	CLP		59,434,000		(6,989	)
		6/20/2012	USD		512,348	IDR		4,751,000,000		(20,586	)
		6/20/2012	USD		28,548,465	KRW		32,324,000,000		(1,193,052	)
		6/20/2012	USD		7,117,717	PHP		305,165,000		(138,028	)
		6/20/2012	USD		10,564,380	THB		325,752,642		(358,292	)

									$	(1,591,026	)


Euro Debt Fund		6/5/2012	EUR		423,912	USD		524,146	$	—


Managed Futures Strategy Fund (consolidated)		6/20/2012	JPY		1,216,140,500	USD		14,990,484	$	(520,872	)
		6/20/2012	JPY		1,216,140,500	USD		14,999,636		(511,720	)
		6/20/2012	JPY		457,173,000	USD		5,523,147		(307,900	)
		6/20/2012	JPY		33,399,000	USD		406,394		(19,596	)
		6/20/2012	JPY		19,846,000	USD		238,935		(14,193	)
		6/20/2012	USD		1,246,488	JPY		99,436,000		21,776
		6/20/2012	USD		1,351,082	JPY		106,799,000		11,094
		6/20/2012	USD		1,644,445	JPY		135,336,000		81,708
		6/20/2012	USD		7,394,663	JPY		589,924,000		129,568
		6/20/2012	USD		25,673,579	JPY		2,011,204,000		(21,525	)
		9/19/2012	USD		29,421,075	JPY		2,301,493,000		(32,165	)

									$	(1,183,825	)

Currency Legend:

AUD - Australian dollar

BRL - Brazilian real

CAD - Canadian dollar

CLP - Chilean peso

CNH - Offshore Chinese renminbi

CNY - Chinese yuan

COP - Colombian peso

EUR - Euro

HKD - Hong Kong dollar

IDR - Indonesian rupiah

INR - Indian rupee

JPY - Japanese yen

KRW - South Korean won

MXN - Mexican peso

MYR - Malaysian ringgit

NOK - Norwegian krone

NZD - New Zealand dollar

PEN - Peruvian nuevo sol

PHP - Philippines peso

PLN - Polish zloty

RUB - Russian ruble

SGD - Singapore dollar

THB - Thai baht

TRY - Turkish new lira

TWD - New Taiwan dollar

USD - U.S. dollar

ZAR - South African rand

Notes to Schedule of Investments (unaudited)(continued)

Currency, Interest Rate and Total Return Swaps - Each Fund may enter into swap agreements, including interest rate swaps, currency swaps and total return swaps. A typical interest rate swap involves the exchange of a floating interest rate payment for a fixed interest rate payment. A typical foreign currency swap involves the exchange of cash flows based on the notional difference among two or more currencies (e.g., the U.S. dollar and the Brazilian real). A typical total return swap involves the payment of the total return on a reference asset in return for payments equal to a rate of interest on another reference asset. The total return typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments. Swap agreements may be used to achieve exposure to, for example, currencies, interest rates, indexes and money market securities without actually purchasing such currencies or securities. The Managed Futures Strategy Fund and the Global Real Return Fund may enter into swaps transactions based on commodities or commodity indexes. Each Fund may use swap agreements to invest in a market without owning or taking physical custody of the underlying securities in circumstances in which direct investment is restricted for legal reasons or is otherwise impracticable. Swap agreements will tend to shift a Fund’s investment exposure from one type of investment to another or from one payment stream to another. Depending on their structure, swap agreements may increase or decrease a Fund’s exposure to long or short-term interest rates (in the United States or abroad), foreign currencies, corporate borrowing rates, or other factors, and may increase or decrease the overall volatility of a Fund’s investments and its share price.

Detailed below is the interest rate swap agreement outstanding as of May 31, 2012:

Fund

Counterparty

Termination
Date

Notional
Amount
(000)

Fund Receives
Fixed Rate
(per annum)

Fund Pays Floating Rate
(per annum)

Unrealized
Depreciation

Global Real Return Fund (consolidated)

UBS

7/14/16

220

1.89

6-Month LIBOR

(4,932

)

Detailed below are total return swap agreements outstanding as of May 31, 2012:

Fund

Counterparty

Termination
Date

Notional
Amount
(000)

Fund Pays
Fixed Rate (per
annum)

Fund Receives Total Return of
Reference Entity

Unrealized
Depreciation

Global Real Return Fund
(consolidated)

JPMorgan
Chase
Bank,
N.A.

7/16/12

416

0.30

Credit
Suisse
Commodity
Benchmark
Excess
Return
Index

—

UBS AG

12/14/12

754

3-Month
U.S.
Treasury
Bill
Index +
0.80%

AFT CTI
Modified
Index

(17,753

)

Managed Futures Strategy Fund (consolidated)

UBS AG

12/14/12

54,520

3-Month
U.S.
Treasury
Bill
Index +
0.45%

AFT CTI
Modified
Index

(1,274,383

)

Abbreviations:

AFT CTI - The Alpha Financial Technologies Commodity Trends Indicator

LIBOR - London Interbank Offered Rate

Futures Contracts - Each Fund may transact in currency futures contracts and U.S. Treasury futures contracts. The Managed Futures Strategy Fund and Global Real Return Fund may transact in commodity, currency and U.S. Treasury futures contracts. When a Fund purchases a listed futures contract, it agrees to purchase a specified reference asset (e.g., commodity, currency or Treasury security) at a specified future date. When a Fund sells a listed futures contract, it agrees to sell a specified reference asset (e.g., commodity, currency or Treasury security) at a specified future date. The price at which the purchase and sale will take place is fixed when the Fund enters into the contract. The exchange clearing corporation is the ultimate counterparty for all exchange-listed contracts, so credit risk is limited to the creditworthiness of the exchange’s clearing corporation. Margin deposits are posted as performance bonds with the clearing broker and, in turn, with the exchange clearing corporation.

Each Fund may buy and sell index futures contracts. An index futures contract is a bilateral agreement pursuant to which two parties agree to take or make delivery of an amount of cash equal to a specified dollar amount times the difference between the index value at the close of trading of the contract and the price at which the futures contract is originally struck. No physical delivery of the securities comprising the index is made. Instead, settlement in cash must occur upon the termination of the contract, with the settlement being the difference between the contract price, and the actual level of the index at the expiration of the contract. Generally, contracts are closed out prior to the expiration date of the contract.

When a Fund purchases or sells a futures contract, the Fund is required to “cover” its position in order to limit the risk associated with the use of leverage and other related risks. To cover its position, the Fund will segregate assets consisting of cash or liquid securities that, when added to any amounts deposited with a futures commission merchant as margin, are equal to the market value of the futures contract or otherwise “cover” its position in a manner consistent with the 1940 Act or the rules and SEC interpretations thereunder. If the Fund continues to engage in the described securities trading practices and properly segregates assets, the segregated assets will function as a practical limit on the amount of leverage which the Fund may undertake and on the potential increase in the speculative character of the Fund’s outstanding portfolio securities. Additionally, such segregated assets will generally ensure the availability of adequate funds to meet the obligations of the Fund arising from such investment activities.

Notes to Schedule of Investments (unaudited)(continued)

The following futures contracts were open at May 31, 2012:


Fund	Futures Contracts Long	Number of Contracts		Notional Value			Expiration Date		Unrealized Appreciation/ (Depreciation)
Global Real Return Fund (consolidated)	Gold 100 Ounce Futures		1	$	156,420			Aug-12	$	427


	Futures Contracts Short
Managed Futures Strategy Fund (consolidated)	Australian Dollar Currency Futures		50		(4,828,000	)		Sep-12		(77,000	)
	British Pound Currency Futures		124		(11,938,100	)		Sep-12		(100,325	)
	Canadian Dollar Currency Futures		25		(2,414,750	)		Sep-12		(36,500	)
	Cocoa Futures		42		(876,960	)		Sep-12		(158	)
	Coffee Futures		21		(1,283,231	)		Sep-12		(7,875	)
	Copper Futures		52		(4,385,550	)		Sep-12		(18,200	)
	Corn Futures		115		(3,021,625	)		Sep-12		(40,250	)
	Cotton Futures		25		(879,375	)		Dec-12		(9,375	)
	Euro Foreign Exchange Currency Futures		202		(31,256,975	)		Sep-12		25,832
	Gold 100 Ounce Futures		20		(3,128,400	)		Aug-12		112,313
	Lean Hogs Futures		49		(1,782,620	)		Aug-12		(4,171,640	)
	Live Cattle Futures		56		(2,663,360	)		Aug-12		(3,908,160	)
	Natural Gas Futures		149		(3,771,190	)		Sep-12		(21,462	)
	Silver Futures		11		(1,529,660	)		Sep-12		(79	)
	Soybean Futures		77		(4,890,463	)		Nov-12		(42,025	)
	Sugar #11 (World) Futures		40		(886,144	)		Oct-12		(15,000	)
	Swiss Franc Currency Futures		37		(4,773,925	)		Sep-12		(79,850	)
	Wheat Futures (CBT)		64		(2,114,400	)		Sep-12		(48,650	)

										(8,438,404	)


	Futures Contracts Long
	U.S. Long Bond (CBT) Futures		121		18,115,969			Sep-12		840,465
	U.S. Treasury Notes 10yr Futures		135		18,081,563			Sep-12		329,716

										1,170,181

	Total								$	(7,268,223	)

Securities Lending - Each Fund may lend portfolio securities to certain creditworthy borrowers, including the Funds’ securities lending agent. It is the Funds’ policy that, at origination, all loans are secured by collateral of at least 102% of the value of U.S. securities loaned and 105% of the value of foreign securities loaned. Collateral in the form of cash and/or high-grade debt obligations, equivalent to at least 100% of the market value of securities, is maintained at all times. The collateral can be invested in certain money market mutual funds which also have exposure to the fluctuations of the market. Each Fund receives compensation for lending its securities from interest or dividends earned on the cash or U.S. government securities held as collateral, net of fee rebates paid to the borrower plus reasonable administrative and custody fees. The dividend and interest income earned on the securities loaned is accounted for in the same manner as other dividend and interest income. The borrower pays to the Funds an amount equal to any dividends or interest received on loaned securities. The Funds retain all or a portion of the interest received on investment of cash collateral or receive a fee from the borrower. Lending portfolio securities could result in a loss or delay in recovering each Fund’s securities if the borrower defaults.

Short-Term Investments - Each Fund may invest a portion of its assets in high-quality money market instruments on an ongoing basis to provide liquidity or for other reasons. The instruments include short-term obligations issued by the U.S. Government, its agencies, non-U.S. Government agencies, negotiable certificates of deposit (“CDs”), fixed time deposits and bankers’ acceptances of U.S. and foreign banks and similar institutions, commercial papers, repurchase agreements and money market funds. CDs are short-term negotiable obligations of commercial banks. Time deposits are non-negotiable deposits maintained in banking institutions for specified periods of time at stated interest rates. Banker’s acceptances are time drafts drawn on commercial banks by borrowers, usually in connection with international transactions.

Notes to Schedule of Investments (unaudited)(continued)

3. FEDERAL INCOME TAXES

At May 31, 2012, the cost of investments for Federal income tax purposes was substantially the same, as for book purposes, as indicated below:


Fund	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciaton			Net Unrealized Appreciation (Depreciation)
Brazilian Real Fund	$	74,733,818	$	—	$	(111	)	$	(111	)
Chinese Yuan Fund		364,922,693		—		(734,525	)		(734,525	)
Commodity Currency Fund		29,648,730		—		(38	)		(38	)
Emerging Currency Fund		320,329,003		513		(347	)		166
Indian Rupee Fund		18,310,775		80		(21	)		59
Japanese Yen Fund		19,232,106		205,849		—			205,849
South African Rand Fund		4,924,298		—		(7	)		(7	)
Asia Local Debt Fund		407,510,160		379,532		(21,105,022	)		(20,725,490	)
Australia & New Zealand Debt Fund		38,414,855		188,230		(1,231,637	)		(1,043,407	)
Emerging Markets Corporate Bond Fund		63,009,095		213,281		(1,693,499	)		(1,480,218	)
Emerging Markets Local Debt Fund		1,278,785,227		757,730		(101,070,742	)		(100,313,012	)
Euro Debt Fund		4,270,216		2,123		(218,512	)		(216,389	)
Global Real Return Fund (consolidated)		4,587,973		160,881		(145,036	)		15,845
Managed Futures Strategy Fund (consolidated)		200,637,600		144		(25	)		119

4. LEGAL MATTER

On December 1, 2011, Research Affiliates, LLC filed a complaint in the United States District Court for the Central District of California, naming the Trust, its adviser, WisdomTree Asset Management, Inc. and its affiliates, along with other parties, as defendants. The complaint alleges that the fundamentally weighted investment methodology developed by WisdomTree Investments, Inc. (“WisdomTree Investments”) and employed by the Trust infringes three of plaintiff’s patents. The complaint seeks both unspecified monetary damages to be determined and an injunction to prevent further infringement. The Trust filed its answer to the complaint on January 17, 2012. The Trust believes it has strong defenses to this lawsuit based on its belief that (i) the Trust’s Funds do not practice the indexing methods as claimed in the asserted patents; and (ii) the patents should be declared invalid because, among other reasons, there is ample evidence that the concept of fundamentals based indexing was widely known and in commercial use by asset managers and index providers well before the patent applications at issue were filed by plaintiff. Specifically, the Currency income, Fixed Income and Alternative Funds described herein, do not infringe upon plaintiff’s patents since they are not managed using a fundamentally weighted investment methodology.

Notes to Schedule of Investments (unaudited)(continued)

While at this early stage of the proceedings it is not possible to determine the probability of any outcome or the probability or amount of any loss, the Trust is confident in the merits of its position. WisdomTree Asset Management and WisdomTree Investments have contractually agreed to indemnify the Trust and pay any losses, claims and damages (including legal fees) incurred by the Trust or a Fund in connection with the complaint. The Trust intends to vigorously defend against plaintiff’s claims.

Item 2.

Controls and Procedures.

(a)

Based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3 (c) under the Investment Company Act of 1940) as of a date within 90 days prior to the filing date of this report, the President and Treasurer of the Registrant have concluded that such disclosure controls and procedures are reasonably designed and effective to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to them by others within those entities.

(b)

There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3 (d) under the Investment Company Act of 1940) that occurred during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 3.

Exhibits.

(i)

Certification of each principal executive officer and principal financial officer the Registrant as required by Rule 30a-2 (a) under the Investment Company Act of 1940 (17 CFR 270.30a-2) is attached hereto as a part of EX-99. CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


(Registrant) WisdomTree Trust

By:		/s/ Jonathan L. Steinberg
		Jonathan L. Steinberg
		President

Date:		July 20, 2012

By:		/s/ Amit Muni
		Amit Muni
		Treasurer

Date:		July 20, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.


By:		/s/ Jonathan L. Steinberg
		Jonathan L. Steinberg
		President

Date:		July 20, 2012

By:		/s/ Amit Muni
		Amit Muni
		Treasurer

Date:		July 20, 2012