WisdomTree broad commodity ETF reports 0.06% daily divergence, details roll yield

WisdomTree's Tokyo-listed broad commodity ETF reported 8,319,023 units outstanding, total assets of ¥19.66bn and a per-unit asset value of ¥2,364 in a June 24 disclosure, with a 0.06% divergence between the day-to-day move in that per-unit value and the move in the specified indicator's closing value.

The document covers 14 Tokyo-listed commodity ETFs issued by WisdomTree Commodity Securities Limited and managed by WisdomTree Management Jersey Limited, spanning products linked to energy, metals and crops. For the broad commodity fund, the filing says the per-unit asset value is calculated as of 4pm London time after trading on the London Stock Exchange ends, using index values fixed after the relevant US futures market closes. The yen figure is then converted at Bloomberg's dollar-yen rate of ¥161.58, taken at 6am Japan time on June 24.

It also sets out, at length, how futures rolls can help or hurt returns. The filing says the gap between a near-dated contract and a later contract is called roll yield, and that it can be either positive or negative. In backwardation, later contracts are cheaper than nearer ones, which can create a gain when positions are rolled. In contango, later contracts are more expensive, and the filing says roll yield can turn negative and weigh on the value of the commodity index and the ETF that tracks it.

The disclosure therefore presents two separate pieces of information in one place: a one-day divergence figure, 0.06% for this fund on the reported date, and an explanation of how contract rolls can affect returns in futures-linked products. The filing adds that potential roll yield is not determined by the presence of contango or backwardation alone, but by the shape of the futures curve across maturities. For a fund listed in Tokyo, the valuation chain in this document runs through London trading time, US futures-market closes and dollar-yen conversion.