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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549





FORM 10-K







|x | Annual report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
|- | ------------------------------------------------------------------------------------

For the fiscal year ended December 31, 2010



| ̈ | Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
|- | ----------------------------------------------------------------------------------------

For the transition period from  to

Commission file number: 001-34537





iShares® Diversified Alternatives Trust

(Exact name of registrant as specified in its charter)







|                                                               |  |                                     
|-------------------------------------------------------------- |  | ------------------------------------
|Delaware                                                       |  | 26-4632352                          
|(State or other jurisdiction of
incorporation or organization) |  | (I.R.S. Employer Identification No.)

c/o BlackRock Asset Management
International Inc.

400 Howard Street

San Francisco, California 94105

Attn: Product Management Team

iShares® Product Research & Development

(Address of principal executive offices)

(415) 670-2000

(Registrants telephone number, including area code)





Securities registered pursuant to Section 12(b) of the Act:



|                 |  |                                       
|---------------- |  | --------------------------------------
|Shares           |  | NYSE Arca, Inc.                       
|(Title of class) |  | (Name of exchange on which registered)

Securities registered pursuant to Section 12(g) of the Act: None





Indicate by check mark if the
registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities
Act.    Yes   ̈    No  x

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act.    Yes   ̈    No  x

Indicate
by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required
to file such reports), and (2) has been subject to such filing requirements for the past 90 days.    Yes  x    No   ̈

Indicate by check mark whether the registrant has submitted electronically and posted on its
corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was
required to submit and post such files).    Yes   ̈    No   ̈

Indicate by check mark if disclosure of delinquent filers pursuant to Item 405 of Regulation S-K (§229.405 of this chapter) is not contained
herein, and will not be contained, to the best of registrants knowledge, in definitive proxy or information statements incorporated by reference in Part III of this Form 10-K or any amendment to this Form 10-K.  x

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer,
a non-accelerated filer, or a smaller reporting company. See the definitions of large accelerated filer, accelerated filer and smaller reporting company in Rule 12b-2 of the Exchange Act.



|                                              |  |   |  |                           |  |   |  | 
|--------------------------------------------- |  | - |  | ------------------------- |  | - |  | 
|Large accelerated filer                       |  |  ̈ |  | Accelerated filer         |  |  ̈ |  | 
|                                              |  |   |  |                          
|Non-accelerated filer                         |  | x |  | Smaller reporting company |  |  ̈ |  | 
|(Do not check if a smaller reporting company) |  |   |  |                           |  |  

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Act).
    Yes   ̈     No  x

As of June 30, 2010, the aggregate market value of the shares held by non-affiliates was $69,650,000.

DOCUMENTS INCORPORATED BY REFERENCE:

None.

THE FINANCIAL STATEMENTS AND FINANCIAL STATEMENT SCHEDULE CONTAINED IN PART IV OF THIS FORM 10-K CONSTITUTE THE TRUSTS ANNUAL REPORT FOR PURPOSES
OF CFTC RULE 4.22(C) (THE CFTC ANNUAL REPORT).









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Table of Contents



|         |  |                                                                                                              |  |      |    | 
|-------- |  | ------------------------------------------------------------------------------------------------------------ |  | ---- | -- | 
|         |  |                                                                                                              |  | Page |   
|PART I   |  |                                                                                                              |  |      |    | 
|         |  |                                                                                                             
|Item 1.  |  | Business                                                                                                     |  |      | 1  | 
|         |  |                                                                                                             
|Item 1A. |  | Risk Factors                                                                                                 |  |      | 5  | 
|         |  |                                                                                                             
|Item 1B. |  | Unresolved Staff Comments                                                                                    |  |      | 23 | 
|         |  |                                                                                                             
|Item 2.  |  | Properties                                                                                                   |  |      | 23 | 
|         |  |                                                                                                             
|Item 3.  |  | Legal Proceedings                                                                                            |  |      | 23 | 
|         |  |                                                                                                             
|PART II  |  |                                                                                                              |  |      |    | 
|         |  |                                                                                                             
|Item 5.  |  | Market for Registrants Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities |  |      | 24 | 
|         |  |                                                                                                             
|Item 6.  |  | Selected Financial Data                                                                                      |  |      | 24 | 
|         |  |                                                                                                             
|Item 7.  |  | Managements Discussion and Analysis of Financial Condition and Results of Operations                        |  |      | 25 | 
|         |  |                                                                                                             
|Item 7A. |  | Quantitative and Qualitative Disclosures About Market Risk                                                   |  |      | 29 | 
|         |  |                                                                                                             
|Item 8.  |  | Financial Statements and Supplementary Data                                                                  |  |      | 30 | 
|         |  |                                                                                                             
|Item 9.  |  | Changes in and Disagreements with Accountants on Accounting and Financial Disclosure                         |  |      | 31 | 
|         |  |                                                                                                             
|Item 9A. |  | Controls and Procedures                                                                                      |  |      | 31 | 
|         |  |                                                                                                             
|Item 9B. |  | Other Information                                                                                            |  |      | 32 | 
|         |  |                                                                                                             
|PART III |  |                                                                                                              |  |      |    | 
|         |  |                                                                                                             
|Item 10. |  | Directors, Executive Officers and Corporate Governance                                                       |  |      | 33 | 
|         |  |                                                                                                             
|Item 11. |  | Executive Compensation                                                                                       |  |      | 33 | 
|         |  |                                                                                                             
|Item 12. |  | Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters               |  |      | 33 | 
|         |  |                                                                                                             
|Item 13. |  | Certain Relationships and Related Transactions, and Director Independence                                    |  |      | 33 | 
|         |  |                                                                                                             
|Item 14. |  | Principal Accounting Fees and Services                                                                       |  |      | 33 | 
|         |  |                                                                                                             
|PART IV  |  |                                                                                                              |  |      |    | 
|         |  |                                                                                                             
|Item 15. |  | Exhibits, Financial Statement Schedules                                                                      |  |      | 34 | 



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PART I

Item 1. Business.

Summary

The iShares® Diversified Alternatives Trust (the Trust) is a Delaware statutory trust formed on July 30, 2009. The Trust issues units of beneficial interest
(Shares) representing fractional undivided beneficial interests in its net assets. The Trust holds long and/or short positions in foreign currency forward contracts and exchange-traded futures contracts involving assets such as
commodities, currencies, interest rates or certain eligible stock and/or bond indices. Investments for the Trusts portfolio are selected by BlackRock Fund Advisors (the Advisor), following investment strategies that utilize
quantitative methodologies to identify potentially profitable discrepancies in the relative values or market prices of one or more assets.

iShares® Delaware Trust Sponsor LLC, a Delaware limited liability
company, is the Sponsor of the Trust. BlackRock Institutional Trust Company, N.A. is the Trustee of the Trust. The Trust is a commodity pool, as defined in the Commodity Exchange Act (the CEA) and the applicable
regulations of the Commodity Futures Trading Commission (the CFTC) and is operated by the Sponsor, a commodity pool operator registered with the CFTC. The Advisor serves as the commodity trading advisor of the Trust and is registered
under the CEA. The Trust has delegated some of the administration of the Trust to State Street Bank and Trust Company (the Trust Administrator). Wilmington Trust Company, a Delaware banking corporation, serves as the Delaware
Trustee of the Trust.

The Trust offers Shares on a continuous basis. The Trust issues and redeems Shares only in one or more blocks of
100,000 Shares (Baskets). These transactions take place only with certain broker-dealers with whom the Trust has entered into written arrangements regarding the issuance and redemption of Shares (we refer to these broker-dealers as
Authorized Participants), in each case in exchange for a consideration per Share equal to the net asset value per Share announced by the Trust on the first Business Day after the purchase or redemption order is received by the Trust. A
Business Day is defined as any day other than: (a) a Saturday or a Sunday; or (b) a day on which NYSE Arca, Inc. (NYSE Arca) is closed for regular trading. Only institutions that enter into an agreement with the
Trust to become Authorized Participants may purchase or redeem Baskets. The Trust has delegated the processing of creation and redemption orders of Baskets to SEI Investments Distribution Co. (the Processing Agent).

The activities of the Trust are limited to:



| | (1) | issuing Baskets in exchange for cash
| | --- | ------------------------------------



| | (2) | paying out of Trust assets any Trust expenses and liabilities not assumed by the Sponsor
| | --- | ----------------------------------------------------------------------------------------



| | (3) | delivering proceeds consisting of cash in exchange for Baskets surrendered for redemption
| | --- | -----------------------------------------------------------------------------------------



| | (4) | depositing any required margin in the form of cash or other eligible assets with domestic futures commission merchants, foreign futures brokers or other financial
intermediaries or dealers and
| | --- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | (5) | investing its cash, at the direction of the Advisor, in a portfolio of foreign currency forward contracts and exchange-traded futures contracts that may involve
commodities, currencies, interest rates and certain eligible stock or bond indices.
| | --- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

The Trust is a passive investor in the cash
or U.S. Treasury securities and other short-term securities (Short-Term Securities) posted as margin to collateralize the portfolio of futures and/or forward contracts, cash and other investments held by the Trust (the
Portfolio). The Trust does not engage in any activities designed to obtain a profit from, or to ameliorate losses caused by, changes in the value of Short-Term Securities posted as margin.

The Sponsor maintains an Internet website at www.ishares.com, through which monthly account statements and the registrants annual reports on Form
10-K, quarterly reports on Form 10-Q, current reports on 8-K and amendments to those reports filed or furnished pursuant to Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended (Exchange Act), can be accessed
free of charge, as soon as reasonably practicable after such material is electronically filed with, or furnished to, the Securities and Exchange Commission (SEC). Additional information regarding the Trust may also be found on the
SECs EDGAR database at www.sec.gov.



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Investment Objective of the Trust

The investment objective of the Trust is to maximize absolute returns from its investments in certain futures and/or forward contracts that the Advisor selects, following strategies that utilize
quantitative methodologies to identify potentially profitable discrepancies in the relative values or market prices of one or more commodities, currencies, interest rates or certain eligible stock and/or bond indices, and seek to reduce the risks
and volatility inherent in these investments by taking long and short positions in historically correlated assets. The Trust also expects to earn interest on some or all of the assets used to collateralize its trading positions. The return on assets
in the Trust, if any, is not intended to track the performance of any index or other benchmark.

Secondary Market Trading

While it is anticipated that the price of the Shares will fluctuate in a manner that reflects changes in the Trusts net asset value over time, at
any given time the Shares may trade at, above or below their NAV (as defined below). The NAV will fluctuate with changes in the market value of the Portfolio. The trading price of the Shares will fluctuate in accordance with changes in their NAV,
intraday changes in the value of the Portfolio, market supply and demand and other factors. The amount of the discount or premium in the trading price relative to the NAV may be influenced by non-concurrent trading hours between NYSE Arca, on which
the Shares trade, and the principal markets on which the futures and forward contracts in the Portfolio trade. For example, while the Shares trade on NYSE Arca until 4:15 p.m. (New York time), liquidity in the markets for the derivative instruments
or the assets underlying the instruments held by the Trust may be reduced after the close of the principal markets for these instruments or underlying assets. As a result, trading spreads, and the resulting premium or discount on the Shares, may
widen during this gap in market trading hours.

Computation of Trusts Net Asset Value

On each Business Day, as soon as practicable after the close of regular trading of the Shares on NYSE Arca (normally 4:15 p.m., New York time), the
Trustee determines the net asset value of the Trust, the NAV and the amount equal to the product of the NAV and the number of Shares constituting a Basket (Basket Amount) as of that date. The NAV is the net asset value of the
Trust divided by the number of outstanding Shares.

Net asset value of the Trust means the total assets of the Trust including all
cash and cash equivalents or other debt securities less total liabilities of the Trust, each determined on the basis of generally accepted accounting principles in the United States of America, consistently applied under the accrual method of
accounting. In particular, net asset value of the Trust includes any unrealized profit or loss on open forward contracts and futures contracts, and any other credit or debit accruing to the Trust but unpaid or not received by the Trust.

On each day on which the Trustee must determine the net asset value of the Trust and the NAV, the Trust Administrator must value all futures and forward
trading positions and other Short-Term Securities and non-cash assets in the Portfolio and communicate such valuation to the Trustee for use by the Trustee in the determination of the Trusts net asset value.

The current market value of all open futures contracts, whether traded on a United States exchange or a non-United States exchange, is determined by the
Trust Administrator based upon the settlement price for that particular futures contract traded on the applicable exchange on the date with respect to which net asset value is being determined; provided, that if a futures contract could not be
liquidated on such day, due to the operation of daily limits (if applicable) or other rules, procedures or actions of the exchange upon which that position is traded or otherwise, the settlement price on the most recent day on which the position
could have been liquidated may be the basis for determining the market value of the position for that day.

The current market value of all
open forward contracts is based upon the prices determined by the Trust Administrator utilizing data from an internationally recognized valuation service for those types of assets.

The Trustee may in its discretion (and, under extraordinary circumstances, will) value any asset of the Trust pursuant to other principles that it deems fair and equitable so long as those principles are
consistent with industry standards. In this context, extraordinary circumstances includes, for example, periods during which a valuation price for a forward contract or a settlement price of a futures contract is not available due to
events such as systems failure, natural or man-made disaster, act of God, armed



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conflict, act of terrorism, riot or labor disruption or any similar intervening circumstance or due to a trading or other restriction imposed by a relevant futures exchange.

On each Business Day, the Trustee subtracts the Trusts accrued fees (other than fees computed by reference to the value of the Trust or its
assets), expenses and other liabilities on that day from the value of the Trusts assets as of the close of trading on that day. The difference is the Trusts Adjusted Net Asset Value. Fees computed by reference to the value of
the Trust or its assets are calculated based on the Adjusted Net Asset Value. The Trustee subtracts the fees of the Trust calculated on an Adjusted Net Asset Value basis to determine the Trusts net asset value.

The Trust Administrator may be replaced if, in the judgment of the Trustee, it ceases to provide regular or accurate valuations.

Trust Expenses

The Sponsor is obligated
under the trust agreement to pay the following administrative, operational and marketing expenses:



| | (1) | the fees of the Trustee, the Advisor, the Delaware Trustee, the Trust Administrator and the Processing Agent
| | --- | ------------------------------------------------------------------------------------------------------------



| | (2) | NYSE Arca listing fees
| | --- | ----------------------



| | (3) | printing and mailing costs
| | --- | --------------------------



| | (4) | audit fees
| | --- | ----------



| | (5) | fees for registration of the Shares with the SEC
| | --- | ------------------------------------------------



| | (6) | tax reporting costs and
| | --- | -----------------------



| | (7) | legal expenses up to $100,000 annually.
| | --- | ---------------------------------------

The
Trust is not expected to have other ordinary recurring administrative, operational or marketing expenses.

In recognition of it paying these
expenses, the Sponsor is entitled to receive as the Sponsors Fee an allocation that accrues daily at an annualized rate equal to 0.95% of the Adjusted Net Asset Value of the Trust and is payable by the Trust monthly in arrears.

The Sponsor and the Trustee may amend or terminate the Sponsors obligation to pay certain expenses of the Trust pursuant to the trust
agreement.

The Trust is responsible for paying any applicable brokerage commissions and similar transaction fees out of its assets.

The following expenses are also paid out of the assets of the Trust:



| |  | the Sponsors Fee;
| | - | ------------------



| |  | any expenses of the Trust that are not assumed by the Sponsor;
| | - | --------------------------------------------------------------



| |  | any taxes and other governmental charges that may fall on the Trust or its property;
| | - | ------------------------------------------------------------------------------------



| |  | any expenses of any extraordinary services performed by the Trustee or the Sponsor on behalf of the Trust or expenses of any action taken by the Trustee or the Sponsor
to protect the Trust or the rights and interests of holders of the Shares; and
| | - | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  | any indemnification of the Sponsor or the Advisor.
| | - | --------------------------------------------------

The Trustee is also entitled to charge the Trust for all expenses and disbursements incurred by the Trustee, with the consent of the Sponsor, in connection with actions it deems necessary or desirable to
protect the Trust or the rights and interests of holders of the Shares, including fees and disbursements of its legal counsel; provided that the Trustee is not entitled to charge the Trust for (1) expenses and disbursements by it prior
to the commencement of the trading of Shares on NYSE Arca and (2) fees of agents for performing services that the Trustee is required to perform under the trust agreement.



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The Trustee, at the direction of the Sponsor, may liquidate the Trusts property from time to time as
necessary to permit payment of the fees and expenses that the Trust is required to pay. The Trustee is not responsible for any depreciation or loss incurred by reason of the liquidation of Trust property made in compliance with the trust
agreement.

Creation of Baskets

The Trust offers Baskets on a continuous basis to Authorized Participants. To order the issuance of a new Basket, an Authorized Participant must submit a
purchase order to the Processing Agent prior to 4:00 p.m. (New York time) on a Business Day which does not immediately precede two or more days on which there is no scheduled exchange trading session for one or more of the futures contracts
purchased or sold, or that may be purchased or sold, by the Trust on such day (Eligible Business Day). Purchase orders received after 4:00 p.m. (New York time) on an Eligible Business Day, or on a day that is not an Eligible Business Day
will be treated as received on the next following Eligible Business Day. A purchase order received on an Eligible Business Day that immediately precedes a day on which there is no scheduled exchange trading session for one or more of the futures
contracts purchased or sold, or that may be purchased or sold, by the Trust on such day is referred to as a Special Purchase Order.

After submitting a purchase order on an Eligible Business Day, the purchasing Authorized Participant must deposit with the Settlement Agent, by 6:00 p.m.
(New York time) on the same day, an amount equal to 105% (110% in the case of a Special Purchase Order) of the Basket Amount announced by the Trust on the immediately preceding Business Day (the Deposit Amount). If the Settlement Agent
does not receive the deposit, the purchase order is automatically cancelled.

To receive the Shares comprising a new Basket, the purchasing
Authorized Participant must pay to the Trust the sum of (i) the Basket Amount announced by the Trust on the first Business Day immediately following the day when the purchase order was received by the Processing Agent, as purchase price of such
new Shares, plus (ii) a transaction fee of $800 per purchase order, plus (iii) in the case of a Special Purchase Order, any extraordinary losses, costs or expenses incurred in connection with the execution of trades related to such Special
Purchase Order (such sum, the Purchase Order Execution Price).

If the Deposit Amount received from the purchasing Authorized
Participant is equal to, or greater than, the Purchase Order Execution Price, the Trust issues the new Basket on the second Business Day (the third Business Day, in the case of a Special Purchase Order) following the day when the purchase order was
received by the Processing Agent and returns to the purchasing Authorized Participant the excess (if any) of the Deposit Amount over the Purchase Order Execution Price (without any interest thereon). In all other cases, the Trust only issues the new
Shares when the purchasing Authorized Participant has deposited with the Settlement Agent immediately available funds in an amount equal to the difference between (i) the Purchase Order Execution Price and (ii) the Deposit Amount.

Only Authorized Participants are able to transfer the required consideration and receive Baskets in exchange. Authorized Participants may act
for their own accounts or as agents for broker-dealers, custodians and other securities market participants that wish to create or redeem Baskets. An Authorized Participant has no obligation to create or redeem Baskets for itself or on behalf of
other persons. An order for one or more Baskets may be placed by an Authorized Participant on behalf of multiple clients. The Sponsor and the Trustee maintain a current list of Authorized Participants.

The Trust has the absolute right to reject any creation order, including, without limitation, (1) creation orders that the Trust determines are not
in proper form, (2) creation orders that the Trust determines would have adverse tax or other consequences to the Trust or its shareholders, (3) creation orders the acceptance of which would, in the opinion of counsel to the Trust or the
Sponsor, result in a violation of law, (4) creation orders in respect of which the Settlement Agent has not received the corresponding Deposit Amount by 5 p.m. on the date the creation order was received, or (5) during any period in which
circumstances make transactions in, or settlement or delivery of, Shares or components of the Portfolio impossible or impractical. Neither the Trustee nor the Sponsor nor any of their agents will be liable to any person for the Trusts
rejection of a creation order.

Redemption of Baskets

The Trust redeems Baskets on a continuous basis from Authorized Participants. To redeem a Basket, an Authorized Participant must submit its redemption order to the Processing Agent prior to 4:00 p.m. (New
York time) on a day that is an Eligible Business Day. Redemption orders received after 4:00 p.m. (New York time) on an Eligible Business Day, or on a day that is not an Eligible Business



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Day will be treated as received on the next following Eligible Business Day. A redemption order received on an Eligible Business Day that immediately precedes a day on which there is no scheduled
exchange trading session for one or more of the futures contracts purchased or sold, or that may be purchased or sold, by the Trust on such day is referred to as a Special Redemption Order.

After submitting a redemption order on an Eligible Business Day, the redeeming Authorized Participant must, not later than 6:00 p.m. (New York time) on
the same day, either:

(i) confirm in writing to the Settlement Agent that the Shares comprising the Baskets to be redeemed have been
transferred by the redeeming Authorized Participant from its account at the Depository Trust Company (DTC) to the Settlement Agents account at DTC, or

(ii) deposit with the Settlement Agent an amount per Basket to be redeemed equal to 105% (110% in the case of a Special Redemption Order) of the Basket Amount announced by the Trust on the immediately
preceding Business Day (the Deposit Amount).

If such confirmation or deposit is not received, the redemption order is
automatically cancelled.

The amount of cash that a redeeming Authorized Participant is entitled to receive from the Trust in exchange for a
Basket surrendered to the Trust for redemption is an amount equal to (i) the Basket Amount announced by the Trust on the first Business Day immediately following the day when the redemption order was received by the Processing Agent, minus
(ii) a transaction fee of $800 per redemption order, minus (iii) in the case of a Special Redemption Order, any extraordinary losses, costs or expenses incurred in connection with the execution of trades related to such Special Redemption
Order (such amount, the Redemption Order Execution Price).

Once the redeeming Authorized Participant has transferred to the
Settlement Agents account at DTC the total number of Shares comprising the Baskets to be redeemed, the Trust will credit the redeeming Authorized Participants account at DTC with an amount equal to the sum of (i) the Redemption
Order Execution Price and (ii) the Deposit Amount (if any) deposited by the redeeming Authorized Participant; the payment to the redeeming Authorized Participant will take place not earlier than on the second Business Day (the third Business
Day, in the case of a Special Redemption Order), and (in the discretion of the Trust) not later than the fourth Business Day, following the date when the redemption order was received by the Processing Agent.

The Trust has the absolute right to reject any redemption order, including, without limitation, (1) redemption orders that the Trust has determined
are not in proper form, (2) redemption orders the acceptance of which would, in the opinion of counsel to the Trust or the Sponsor, result in a violation of law, or (3) during any period in which circumstances make transactions in, or
settlement or delivery of, Shares or components of the Portfolio impossible or impractical. Neither the Trustee nor the Sponsor nor any of their agents will be liable to any person for the Trusts rejection of a redemption order.

Custody of Certain Trust Assets

The
creation and redemption of Baskets is effected through cash transactions, which involve contemporaneous transfers. To the extent the Trust has property that requires a custodian, the Trustee will appoint an agent qualified to maintain the property
of the Trust.

The Trust has entered into a futures customer account agreement with a futures commission merchant (the Clearing
FCM) that provides for the execution and clearing of transactions in futures, payment of commissions, custody of assets and other standard provisions. Barclays Capital Inc. is the Clearing FCM of the Trust. The Trust may employ other futures
commission merchants or foreign brokers for the execution of futures transactions.

Item 1A. Risk Factors.

Risks Relating to Regulatory Requirements

Changes to the regulatory regime applicable to futures contracts may have an adverse effect on the ability of the Trust to pursue its strategies and, therefore, may result in a decreasing value of the
Shares.

The U.S. futures markets are subject to comprehensive regulation, not only by the CFTC but also by self-regulatory organizations,
including the National Futures Association (the NFA) and the exchanges on which the futures contracts are traded. As with any regulated activity, changes in the regulations applicable to the U.S. futures markets may have unexpected
results. For example, changes in the amount or quality of the collateral that traders in futures contracts are required to provide to secure their open positions, or in the limits on the number or size of positions that a trader may have open at a
given time, may adversely affect the ability of the Trust to enter into certain transactions that could otherwise present lucrative opportunities.



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A number of bills have been introduced to the U.S. Congress in response to high energy and commodity prices.
These bills generally target perceived excessive speculation in commodities and commodity indices, including by institutional index funds, on regulated futures markets and in the over-the-counter derivatives markets. These bills include
a broad range of measures intended to limit speculation, including possible increases in the margin levels required for regulated futures contracts; imposing, or tightening existing speculative position limits applicable to regulated futures and
over-the-counter derivatives positions; providing the CFTC authority to establish certain speculative position limits; imposing aggregate speculative position limits across regulated U.S. futures, over-the-counter positions and certain futures
contracts traded on non-U.S. exchanges; eliminating or narrowing existing exemptions from speculative position limits; restricting the access of certain classes of investors to futures markets and over-the-counter derivatives markets; and imposing
additional reporting requirements on market participants, such as the Trust.

Certain of these measures could increase the costs of the Trust,
could result in significant direct limitations on the maximum permitted size of the Trusts futures positions and therefore on the size of the Trust or the number or type of strategies available to the Trust; and could also affect liquidity in
the market for the Shares and the correlation between the price of the Shares and the net asset value of the Trust.

Some of these measures
have been addressed in the Dodd-Frank Wall Street Reform and Consumer Protection Act (the Dodd-Frank Act), which was signed into law on July 21, 2010. Pursuant to the mandate under the Dodd-Frank Act, the CFTC has proposed rules
that will set speculative position limits on futures and options on physical commodities (including energy) and economically equivalent over-the-counter derivatives. As authorized by the Dodd-Frank Act, the CFTC has also proposed to establish
aggregate position limits for contracts based on the same underlying commodity, including certain contracts traded on non-U.S. exchanges. The Dodd-Frank Act also significantly narrows the availability of the bona fide hedging exemptions to certain
market participants. Although the CFTC may exempt persons, contracts or transactions or classes thereof from the speculative position limit requirements, regulatory action pursuant to the Dodd-Frank Act may impose new limitations on the size of
futures positions that may be carried by the Trust.

Similarly, non-U.S. futures exchanges may also be subject to regulation by foreign
governments and self-regulatory organizations, which may impose further limitations on the Trusts trading activities and adversely affect the ability of the Trust to pursue its strategies, which may result in a decrease in the value of the
Shares.

Recently enacted regulatory reform applicable to over-the-counter derivatives may have a material adverse effect on the ability of
the Trust to pursue its strategies and, therefore, result in a decreasing value of the Shares.

The Dodd-Frank Act provides for
significant reforms of the over-the-counter derivatives markets and grants significant authority to the SEC and the CFTC to regulate the over-the-counter derivatives and market participants. For example, the Dodd-Frank Act provides that within one
year of its enactment, any person who maintains a substantial position in certain swaps (other than for hedging or mitigating its own commercial risks) will be required to register with the CFTC as a major swap participant. It is yet
unclear whether forward contracts owned by the Trust will be treated as swaps for purposes of the Dodd-Frank Act registration requirements. This is to be determined at a later date by the Department of Treasury. Further, the CFTC has not yet
finalized any guidance as to what would constitute a substantial position in the relevant swap category for purposes of the Dodd-Frank Act. Until the relevant guidance is finalized, it is unclear if the Trust will be subject to registration
requirements applicable to major swap participants under the Dodd-Frank Act. Should the registration be required, the Trust would incur additional administrative costs relating to recordkeeping and reporting requirements.

In addition, in the event that forward contracts traded by the Trust were to be treated as swaps for Dodd-Frank Act purposes, the Trust may be required
to execute its forward transactions on a CFTC regulated market and to clear each forward transaction through a CFTC regulated central clearing organization with the possible effect of decreasing general market liquidity, thereby adversely affecting
available forward contract prices. In the event the Trust becomes subject to the clearing requirements in connection with its over-the-counter derivatives positions, any amounts of margin posted by the Trust to collateralize its positions with the
CFTC regulated central clearing organization would decrease amounts available to fund other Trust investments and otherwise increase the Trusts need for liquidity.



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Regulatory and exchange position limits may restrict the creation of Baskets and the operation of the
Trust.

Many U.S. commodities exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a
single trading day by regulations referred to as daily price fluctuation limits or daily limits. Once the daily limit has been reached in a particular futures contract, no trades may be made that day at a price beyond that
limit or trading may be suspended for specified periods during the trading day. Futures contract prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures
positions and potentially subjecting the Trust to substantial losses.

In addition, the CFTC and the U.S. futures exchanges and certain
non-U.S. exchanges have established limits referred to as speculative position limits or accountability levels on the maximum net long or short futures positions that any person may hold or control in derivatives traded on
such exchanges. All accounts owned or managed by commodity trading advisors, such as the Advisor, their principals and their affiliates are typically combined for position limit purposes. Further, the Dodd-Frank Act would require each swap execution
facility to establish position limits with respect to swaps subject to clearing requirements. The Advisor may in the future reduce the size of positions that would otherwise be taken for the Trust or not trade in certain markets on behalf of the
Trust in order to avoid exceeding such limits. Modification of trades that would otherwise be made by the Trust, if required, could adversely affect the Trusts operations and profitability. A violation of position limits by the Advisor could
lead to regulatory action resulting in mandatory liquidation of certain positions held by the Advisor on behalf of its accounts. There can be no assurance that the Advisor will liquidate positions held on behalf of all the Advisors accounts in
a proportionate manner. In the event the Advisor chooses to liquidate a disproportionate number of positions held on behalf of the Trust at unfavorable prices, the Trust may incur substantial losses.

The Trust may apply to the CFTC or to the relevant exchange or swap execution facility (if any of the forward contracts owned by the Trust would be
treated as swaps for Dodd-Frank Act purposes), as appropriate, for relief from certain position limits. If the Trust applies and is unable to obtain such relief, the Trusts ability to issue new Baskets, or the Trusts ability to reinvest
income in additional futures contracts, may be limited to the extent these activities would cause the Trust to exceed applicable position limits. Limiting the size of the Trust may affect the correlation between the price of the Shares, as traded on
NYSE Arca and the NAV. Accordingly, the inability to create additional Baskets or add to existing positions in the desired amount could result in Shares trading at a premium or discount to NAV. See Risk FactorsRisks Relating to the Trust
and Investment in the SharesThe NAV may not always correspond to the market price of the Shares and, as a result, Baskets may be created or redeemed at a value that differs from the market price of the Shares.

It is possible that in the future, the CFTC or other regulators may change the rules concerning position limits in a manner that is either detrimental or
favorable to the Trust. If the changes are detrimental to the Trust, the Trusts ability to issue new Baskets, or the Advisors ability to reinvest income in additional commodity futures contracts, may be limited to the extent these
activities would cause the Advisor or the Trust to exceed the applicable position limits.

Changes in the margin requirements set by the
relevant futures exchanges and over-the-counter market participants may limit the Trusts ability to meet its investment objectives.

The Trust is required to deposit margin securing its exposure to one or more positions in the Portfolio. Futures contracts are customarily bought and
sold on margins that represent a very small percentage (ranging upward from less than 2% to 5%) of the purchase price of the contract being traded. The exchanges or futures commission merchants, however, may raise the margin requirements at any time
at their own discretion, particularly during the periods of perceived market volatility, and the Trust may be required to deposit additional funds in order to satisfy the additional margin requirements with respect to its open futures contract
positions. Commercial banks participating in trading over-the-counter derivative contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In
recent years, however, many over-the-counter market participants in foreign exchange trading have begun to require that their counterparties post margin.

If any of the relevant futures exchanges or over-the-counter market participants imposes substantially higher margin requirements, the Trust may be unable to either realize expected returns or to fully
implement its trading strategies as a result of substantially greater margin obligations.



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Risks Relating to Commodities Markets

The price of the Shares fluctuates as a result of fluctuations in the prices of any commodities underlying the futures contracts owned by the Trust. Commodity prices may be volatile, thereby creating
the potential for losses, regardless of the length of time you intend to hold your Shares.

The price of the Shares depends on the value
of the investments in the Portfolio. To the extent that the Portfolio includes long or short positions in futures contracts the value of which is linked to the price of an underlying commodity, the Trust, and therefore the Shares, are exposed to
fluctuations in the price of one or more underlying commodities. The prices of certain physical commodities have been extremely volatile at times during the past several years. Depending on the level and type of fluctuation of these commodities, and
whether the Portfolio includes long or short positions with respect to those assets, the value of commodity futures contracts that may be held by the Trust, and consequently the value of the Shares, may be adversely affected. Commodities prices are
affected by, among other factors, the cost of producing, transporting and storing commodities, changes in consumer or commercial demand for commodities, the hedging and trading strategies of producers and consumers of commodities, speculative
trading in commodities by commodity pools and other market participants, disruptions in commodity supply, weather, political and other global events, global macroeconomic factors, and government regulation of commodities or commodity futures
markets. These factors cannot be controlled by the Trust, the Sponsor or the Advisor. Accordingly, the price of the Shares could change substantially and in a rapid and unpredictable manner. This exposes you to a potential loss if you need to sell
your Shares when the value of the commodity futures contracts held by the Trust is lower than it was when you made your investment. These fluctuations can affect your investment, regardless of the length of time you intend to hold your Shares.

The following events would generally result in a decline in the price of any underlying commodities represented in the Portfolio:



| |  |  | A significant increase in hedging activity by producers of the underlying commodities.Should producers of the underlying commodities
represented in the Portfolio increase their hedging of their future production through forward sales or other short positions, this increased selling pressure could depress the price of one or more of the underlying commodities, which could
adversely affect the price of the Shares.
| | - |  | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | A significant change in the attitude of speculators and investors toward the underlying commodities.Should the speculative or investment
community take a negative view towards one or more of the underlying commodities, it could cause a decline in the value of commodity-linked derivative contracts held by the Trust, which could reduce the price of the Shares.
| | - |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

Conversely, several factors may trigger a temporary increase in the price of the underlying commodities. The price of a
commodity underlying a commodity-linked futures contract held by the Trust may be affected by several other factors, including:



| |  |  | Large purchases or sales of physical commodities by the official sector.Governments and large institutions have large commodities holdings or
may establish major commodities positions. For example, a significant portion of the aggregate world gold holdings is owned by governments, central banks and other institutions of the official sector. Similarly, nations with centralized or
nationalized oil production and organizations such as OPEC control large physical quantities of crude oil. If one or more of these or similar institutions decides to buy or sell any commodity in amounts large enough to cause a change in world
prices, the value of any trading positions held by the Trust and the price of the Shares could be adversely affected.
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | Other political factors. In addition to the organized political and institutional trading-related activities described above, peaceful political
activity such as imposition of regulations or entry into trade treaties, as well as political disruptions caused by societal breakdown, insurrection or war may greatly influence commodities prices.
| | - |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | Significant increases or decreases in the available supply of a physical commodity due to natural or technological factors. Natural factors
would include depletion of known cost-effective sources for a commodity or the impact of severe weather on the ability to produce or distribute the commodity. Technological factors, such as increases in availability created by new or improved
production, extraction, refining and processing equipment and methods or decreases caused by failure or unavailability of major production, refining and processing equipment (for example, shutting down or constructing oil refineries), also
materially influence the supply of commodities.
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | Significant increases or decreases in the demand for a physical commodity due to natural or technological factors.Natural factors would include
such events as unusual climate conditions impacting the demand for energy commodities. Technological factors may include such developments as substitutes for energy or other commodities.
| | - |  | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



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Prospective investors in the Shares should also keep in mind that the change in the price of the Shares that
follows a change in the price of a commodity underlying futures contracts owned by the Trust will not always be in the same direction as the change in the price of that underlying commodity. Depending upon the nature of the Trusts position
with respect to the underlying commodity, it may be the case that a decrease in the price of the underlying commodity has a positive impact on the price of the Shares, or that an increase in the price of the underlying commodity has a negative
impact on the price of the Shares. The Trusts use of leverage has the potential to magnify the impact of fluctuations in the price of underlying commodities on the value of the Trusts assets. See Risk FactorsRisks Relating to
Derivative ContractsThe Trusts use of leverage and/or short positions involves certain risks, including potentially high volatility and magnified losses in the underlying assets, and should be considered to be speculative.

Historical performance of specific commodities or commodity indices is no guide to their future performance or to the future performance
of the Shares.

At any given time, the Trust may be exposed to changes in the prices of one or more commodities. Even at a time when the
prices of some or most commodities are increasing, it is possible for the price of the Shares to decrease as a result of lack of exposure to such commodities, mistaken anticipation by the Advisor of the direction in which the price of the commodity
would move or many other factors. Therefore, there are no external indicators of how the Shares will perform. Because the Trust does not track or seek to replicate any commodity index or other similar benchmark, the past performance of any commodity
index is not necessarily indicative of the future performance of the Shares. You may lose some or all of your investment in the Shares, even during times when commodities indices are showing positive returns.

Commodity futures trading may be illiquid. In addition, suspensions or disruptions of market trading in the commodities markets and related
derivatives markets may adversely affect the value of your Shares.

The commodity, commodity futures and commodity derivatives markets are
subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity, congestion, disorderly markets, limitations on deliverable supplies, the participation of speculators, government regulation and
intervention, technical and operational or system failures, nuclear accident, terrorism, riots and acts of God. In addition, forward contracts may entail breakage costs if terminated prior to their final maturity and futures positions cannot always
be liquidated at the desired prices.

Further, U.S. futures exchanges and some foreign exchanges have regulations that limit position, size
and/or the amount of fluctuation in futures contract prices that may occur during a single business day. These limits are generally referred to as daily price fluctuation limits, and the maximum or minimum price of a contract on any
given day as a result of these limits is referred to as a limit price. Once the limit price has been reached in a particular contract, no trades may be made at a different price. It is not certain how long these price limits may remain
in effect. Limit prices may have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at disadvantageous times or prices, and possibly having a negative effect on the investment strategies of the Trust
and/or the value of commodity-linked futures contracts held by the Trust. These circumstances could thereby adversely affect the price of your Shares. In addition, these circumstances could limit trading in commodity-linked futures contracts, which
could affect the investment strategies of the Trust and/or the calculation of the NAV and the trading price of the Shares. Accordingly, these limits may result in an NAV that differs, and may differ significantly, from the NAV that would prevail in
the absence of these limits. If Baskets are created or redeemed at a time when these price limits are in effect, the creation or redemption price will reflect the price limits as well.

Furthermore, exchanges may take steps, such as requiring liquidation of open positions, in the case of disorderly markets, market congestion and other market disruptions. These actions could require the
Trust to limit or forego a desired investment strategy. This could adversely affect the NAV and the Trusts performance.

In addition,
during periods of reduced market liquidity or in the absence of readily available market quotations for a particular commodity-linked futures contract in the Portfolio, the ability of the Trust Administrator to assign an accurate daily value to
these investments may be diminished and the Trust Administrator may be required to value these investments at prices other than market prices.



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During a period when commodity prices are fairly stationary, backwardation or
contango in the prices of the commodity-linked futures contracts held by the Trust may cause the price of your Shares to decrease.

As the futures contracts that are held by the Trust near expiration, the Trust may replace them with contracts that have a later expiration. For example, a contract purchased and held in March may specify
a June expiration. As that contract nears expiration, the Trust may replace it by selling the June contract and purchasing the contract expiring in September. This process is referred to as rolling. Historically, the prices of some
futures contracts (generally those relating to physical commodities that are typically consumed immediately rather than stored) have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations,
which is referred to as backwardation. In these circumstances, absent other factors, the sale of the June contract would take place at a price that is higher than the price at which the Trust would have purchased the September contract,
thereby allowing the Trust to purchase a greater quantity of the September contract.

Some of the commodities underlying the commodity-linked
futures contracts held by the Trust may historically exhibit contango markets rather than backwardation. Contango markets are those in which the prices of contracts are higher in the distant delivery months than in the nearer delivery
months due to the costs of long-term storage of a physical commodity prior to delivery or other factors. In addition, the forward price of a commodity may fluctuate between backwardation and contango. In the case of a contango market, the purchase
price of the underlying asset of the futures contract being traded by a trader upon the sale of futures contracts about to expire will be higher than the amount realized in the sale.

The presence or absence of backwardation, or the existence or non-existence of contango in the commodity markets could result in losses, which could adversely affect the investment strategies of the Trust
and/or the value of the commodity-linked futures contracts held by the Trust and, accordingly, decrease the price of your Shares.

Furthermore, when the Trust rolls futures contracts close to their expiration into futures contracts expiring at a later date, it is possible that the
Trust may incur significant costs in connection with the roll, whether due to actions of market participants or otherwise. This adverse effect may be increased due to the actions of the market participants who are aware of the composition of the
Trusts Portfolio, which is published daily on the Trusts website.

Risks Relating to Currency Markets

The price of the Shares fluctuates as a result of fluctuations in the exchange rates of currencies underlying any currency-linked futures or forward
contracts owned by the Trust. Exchange rates may be volatile, thereby creating the potential for losses, regardless of the length of time you intend to hold your Shares.

The price of the Shares depends on the value of the investments in the Portfolio. To the extent that the Portfolio includes forward or other derivative contracts linked to or affected by the price of a
foreign currency, the Trust, and therefore the Shares, are exposed to fluctuations in the price of that foreign currency. The prices of various foreign currencies have been extremely volatile at times during the past several years. Some foreign
currency prices have recently experienced sharp fluctuations and there is no certainty that these prices will remain at their current levels. If they move in directions that the Advisor does not anticipate, the investment strategies of the Trust
and/or the value of the Shares may be adversely affected.

The value of the foreign currencies and, in turn, the currency-linked instruments
held by the Trust, may be affected by several factors, including, but not limited to:



| |  |  | debt level and trade deficit of the United States and/or the relevant non-U.S. countries;
| | - |  | -----------------------------------------------------------------------------------------



| |  |  | inflation or deflation rates of the United States and the relevant non-U.S. countries and investors expectations concerning inflation or
deflation rates generally;
| | - |  | --------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | interest rates of the United States and the relevant non-U.S. countries and investors expectations concerning interest rates generally;
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------



| |  |  | investment and trading activities of mutual funds, hedge funds and currency funds;
| | - |  | ----------------------------------------------------------------------------------



| |  |  | global or regional political, economic or financial events and situations; and
| | - |  | ------------------------------------------------------------------------------



| |  |  | sovereign action to set or restrict currency conversion.
| | - |  | --------------------------------------------------------

These factors cannot be controlled by the Trust, the Sponsor or the Advisor. Accordingly, the price of the Shares could change substantially and in a rapid and unpredictable manner. This exposes you to a
potential loss if you need to sell your Shares when



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the value of the currency-linked instruments held by the Trust is lower than it was when you made your investment. These fluctuations can affect your investment regardless of the length of time
you intend to hold your Shares.

Substantial transactions in a currency by any official sector market participant could adversely affect an
investment in the Shares.

The official sector consists of central banks, other governmental agencies and/or other multi-lateral
institutions that buy, sell or hold foreign currencies as part of their reserve assets. The official sector holds a significant amount of foreign currencies that can be traded in the open market. In the event that future economic, political or
social conditions or pressures require members of the official sector to sell their currency simultaneously or in an uncoordinated manner, the demand for the currency might not be sufficient to accommodate the sudden increase in the supply of the
currency to the market. Consequently, the price of the currency could decline, which would adversely affect an investment in the Shares.

Conversely, unusual purchases of a currency by members of the official sector may have the effect of increasing the price of that currency, which could
adversely affect the value of Trust investments linked to that currency and, consequently, the performance of the Shares.

A countrys
decision to abandon its current currency and adopt a new one could have adverse consequences for the value of any positions related to the old currency that the Trust may hold at the time.

A countrys decision to abandon its currency at a time when the Trust has investments in futures and/or forward contracts, the value of which depend
on the value of such currency, could have adverse effects for the value of the Trusts contracts and, therefore, for the Trusts investment strategy and/or the price of the Shares. For example, as members of the European Union, the United
Kingdom and Sweden have the option to adopt the euro as their currency in lieu of the British Pound Sterling and the Swedish Krona, respectively. Similarly, although Switzerland is not currently a member of the European Union, it may in the
future decide to join. If Switzerland joins the European Union, it will have the option to adopt the euro as its currency in lieu of the Swiss Franc. If any of the United Kingdom, Sweden or Switzerland adopt the euro as its currency by official act,
the value of its currency could depreciate, depending on, among other things, the relative value of its currency and the euro, the conversion ratio of its currency per euro and the timing of the adoption of the euro. If the British
Pound Sterling, the Swedish Krona or the Swiss Franc declines in value at a time when the Trust has investments linked to that currency, the value of the currencies-linked derivative instruments held by the Trust and, in turn, the price of the
Shares may be adversely affected.

Risks Relating to U.S. Government and Sovereign Debt Markets

Investing in debt obligations of the U.S. government creates exposure to credit and interest rate risk.

The Trust may invest in U.S. government debt instruments, which are U.S. Treasury bills, notes and bonds of varying maturities that are backed by the
full faith and credit of the United States government. The U.S. government debt instruments in which the Trust invests may be subject to credit risk and interest rate risk. Credit risk refers to the possibility that the issuer of a security will be
unable to make interest payments and/or repay the principal on its debt. Interest rate risk refers to the fluctuations in the value of a fixed-income security resulting from fluctuations in the general level of interest rates. While the credit risk
associated with U.S. government securities generally is considered to be minimal, the interest rate risk can be substantial, and such risks may vary unpredictably over time. U.S. government securities generally offer lower yields than other
fixed-income securities, making them more susceptible to changes in interest rates. Thus, a rise in the general level of interest rates may cause the value of the Portfolios U.S. government securities or U.S. government securities-linked
derivative contracts to fall substantially. In addition, recent historically high deficit spending by the U.S. government has necessitated additional issuances of U.S. government securities, which may result in a significant decline in yields. A
continuing rise in the level of the U.S. government deficit may lead to a further increase in the U.S. government borrowings and could be associated with an increase in the interest rates paid on U.S. government securities. Any such increase would
adversely affect the value of U.S. government securities held by the Trust and, therefore, the value of the Shares. In addition, the Trust may become exposed to a greater credit risk with respect to U.S. government securities, which may cause a
considerable decline in the value of the Portfolio.



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Investing in futures and/or forward contracts linked to sovereign debt instruments creates exposure to
the direct or indirect consequences of political, social or economic changes in the countries in which the issuers are located and the creditworthiness of the sovereign.

The Trust may trade in futures and forward contracts involving debt instruments issued or guaranteed by non-U.S. governments and their political subdivisions (such instruments, sovereign debt
instruments). An investment in sovereign debt instruments involves special risks and creates exposure to the direct and indirect consequences of political, social or economic changes in the countries in which the issuing governments are located. The
ability and willingness of the non-U.S. issuers of the sovereign debt or the non-U.S. governmental authorities that control repayment of their external debt to pay principal and interest on that debt when due may vary unpredictably and may depend on
general economic and political conditions within the relevant country.

The non-U.S. issuer of the sovereign debt or the non-U.S. governmental
authorities that control the repayment of the debt may be unable or unwilling to repay principal or interest when due, and the Trust may have limited recourse in the event of a default. During periods of economic uncertainty, the market prices of
non-U.S. sovereign debt instruments may be more volatile than prices of debt obligations of the U.S. government or other obligations. In the past, certain non-U.S. issuers of sovereign debt have encountered difficulties in servicing their debt
obligations, withheld payments of principal and interest and declared moratoria on the payment of principal and interest on their sovereign debt. In some cases, remedies must be pursued in the courts of the defaulting party itself, and the ability
of the holder of sovereign debt instruments to obtain recourse may be subject to the political climate in the relevant country and other unpredictable factors.

While the Trust is not directly exposed to these risks because it does not invest directly in sovereign debt instruments, the value and/or liquidity of the positions taken by the Trust that involve
sovereign debt instruments may be adversely affected by the occurrence of any of the events discussed above.

Investing in futures and/or
forward contracts linked to non-U.S. sovereign debt instruments creates exposure to non-U.S. interest rate fluctuations.

Interest rate
movements directly affect the price of the sovereign bond-related positions held by the Trust and indirectly the value of the Portfolio. Interest rate movements in one country as well as relative interest rate movements between countries may
materially impact the Trusts profitability. The Trusts primary interest rate exposure is expected to be to interest rate fluctuations in the United States and other major industrialized, or Group of Seven countries (Canada, France,
Germany, Italy, Japan, United Kingdom and United States, collectively, G-7). However, the Trust also may take positions in futures contracts on the government debt of other nations.

Risks Relating to Interest Rate Derivatives Markets

Investing in interest rate futures contracts creates exposure to interest rate fluctuations in one country as well as relative interest rate movements between countries.

Interest rate movements directly affect the price of the interest rate futures positions held by the Trust and indirectly the value of its security index
futures and currency forward positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Trusts profitability. Because interest rates move up and down, interest rate
futures contracts held by the Trust may trade at a premium some of the time and at a discount at other times. The Trusts primary interest rate exposure is to interest rate fluctuations in the United States and other G-7 countries. However, the
Trust may also take futures positions in the interest rates and currencies of other nations.

Risks Relating to Security Index Futures
Markets

Investing in security index futures contracts creates exposure to the performance of the underlying index.

The Trust may trade in certain stock or bond index futures that are designed to track the value of broader market indices (such as the Dow Jones
Industrial Average, the NASDAQ 100 Index or the Barclays Aggregate Bond Index). The value of the stock and bond index futures contracts and the underlying broader market index may vary due to disruptions in the markets for the relevant index assets,
the imposition of speculative position limits (as discussed in Risk FactorsRisks Relating to Regulatory RequirementsRegulatory and exchange position limits may restrict the creation of Baskets and the operation of the
Trust.), or due to other extraordinary circumstances. Further, some or a significant part of the securities (stocks or bonds) in the underlying index may in turn be subject to specific risks that may affect the performance of the index and,
consequently, the value of the Shares. In particular, to the extent that some or a significant part of the securities (stocks or bonds) in the index are subject to risks associated with emerging markets (either because their issuers are from, or are
located or have extensive operations in emerging market countries), the



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performance of the index may be subject to the uncertainties that characterize an investment in an emerging market economy (such as political risks, lack of transparency, and different regulatory
and legal systems). These risks may have an adverse effect on the index and the price of the Shares.

In addition, stock index futures
products are typically traded on electronic trading platforms and are subject to risks related to system access, varying response time, security and system or component failure.

Risks Relating to Derivative Contracts

The Trusts use of leverage and/or short
positions involves certain risks, including potentially high volatility and magnified losses in the underlying assets, and should be considered to be speculative.

The Trust uses leveraged investment techniques in seeking to achieve its investment objectives. Leverage may cause the value of the Shares to be more volatile than if the Trust did not use leverage. The
more the Trust invests in leveraged instruments, the more this leverage will magnify any losses on those investments. In addition, derivatives contracts have a high degree of price variability and are subject to occasional rapid and substantial
changes, which will be magnified by the leveraged positions of the Trust. Certain types of leveraging transactions, such as short sales, could theoretically be subject to unlimited losses in cases where the Trust, for any reason, is unable to close
out the transaction. Consequently, you could lose all or substantially all of your investment in the Trust.

The Trust is subject to credit
risks and other risks associated with U.S. exchange-traded futures contracts.

The Trust may trade in U.S. exchange-traded futures
contracts as a means to achieve its investment objectives. Futures exchanges in the United States are subject to regulation under the CEA by the CFTC, the governmental agency currently responsible for regulation of futures exchanges and trading on
those exchanges.

The risks associated with the Trusts use of U.S. exchange-traded futures contracts include:



| |  |  | Due to market conditions there may not always be a liquid secondary market for a futures contract. As a result, the Trust may be unable to close out
its futures contracts at a desired price and at a time which is advantageous.
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| |  |  | Trading restrictions or limitations may be imposed by an exchange, and government regulations may restrict trading in futures contracts.
| | - |  | ----------------------------------------------------------------------------------------------------------------------------------------

Further, the counterparty to a U.S. exchange-traded futures contract is generally a clearing organization backed by a group
of financial institutions. Each futures exchange in the United States has an associated clearing house. Once trades between members of an exchange have been confirmed, the clearing house becomes substituted for each buyer and each seller
of contracts traded on the exchange and, in effect, becomes the other party to each traders open position in the market. Thereafter, each party to a trade looks only to the clearing house for performance. However, the obligations of the
clearing house with respect to any open positions do not run to customers. There can be no assurance that the clearing house, or its members, will satisfy its obligations to the Trust. In addition, in the event of a bankruptcy or insolvency of any
exchange or a clearing house, the Trust could experience a loss of the funds deposited through its U.S. futures commission merchant as margin with the exchange or clearing house, a loss of any profits on its open positions on the exchange, and the
loss of unrealized profits on its closed positions on the exchange.

In addition, U.S. futures exchanges have rules that limit position, size
and/or the amount of fluctuation in futures contract prices that may occur during a single business day. These limits are generally referred to as daily price fluctuation limits, and the maximum or minimum price of a contract on any
given day as a result of these limits is referred to as a limit price. Once the limit price has been reached in a particular contract, no trades may be made at a different price. It is not certain how long any such price limits may
remain in effect. Limit prices may have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at disadvantageous times or prices, possibly having a negative effect on the investment strategies of the Trust
and/or the value of the futures contracts held by the Trust. These circumstances could thereby adversely affect the price of your Shares. In addition, these circumstances could also limit trading in futures contracts, which could affect the
investment strategy of the Trust and/or the calculation of the NAV and the trading price of the Shares. Accordingly, these limits may result in an NAV that differs, and may differ significantly, from the NAV that would prevail in the absence of
these limits. If Baskets are created or redeemed at a time when these price limits are in effect, the creation or redemption price will reflect the price limits.



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Furthermore, exchanges may take steps, such as requiring liquidation of open positions, in the case of
disorderly markets, market congestion or other market disruptions. These actions could require the Trust to limit or forego a desired investment strategy. This could adversely affect the NAV and the Trusts performance.

In addition, during periods of reduced market liquidity or in the absence of readily available market quotations for particular futures contracts in the
Portfolio, the ability of the Trust Administrator to assign an accurate daily value to these investments may be diminished and the Trust Administrator may be required to value these investments at prices other than market prices.

Trading on futures exchanges outside the United States is not subject to U.S. regulation.

The Trust may conduct trading on futures exchanges located outside of the United States. In that event, trading on those exchanges is not regulated by
any United States governmental agency and may involve certain risks not applicable to trading on United States exchanges, including different or diminished investor protections. In trading contracts denominated in currencies other than U.S. dollars,
Shares are subject to the risk of adverse exchange-rate movements between the dollar and the functional currencies of those contracts. You could incur substantial losses from trading on non-U.S. exchanges to which you would not otherwise have been
subject had the Trusts trading been limited to U.S. markets.

When entering into foreign currency forward contracts, the Trust
assumes the risk that its counterparties may become unable or unwilling to pay any amounts owed to the Trust.

Certain foreign currencies
markets in which the Trust effects its transactions are over-the-counter or interdealer markets. Unlike exchange-traded futures contracts, the counterparty to an over-the-counter forward contract is generally a single bank or other
financial institution, rather than a clearing organization backed by a group of financial institutions. Participants in over-the-counter markets are typically not subject to the same credit evaluation and regulatory oversight as are members of
exchange-based markets. To the extent that the Trust trades in over-the-counter transactions, the Trust may take a credit risk with regard to parties with which it trades and also may bear the risk of settlement default. These risks may
differ materially from those involved in exchange-traded futures transactions, which generally are characterized by clearing organization guaranties, daily marking-to-market and settlement, and segregation and minimum capital requirements applicable
to intermediaries. Transactions entered into directly between two counterparties generally do not benefit from these protections, which in turn may subject the Trust to the risk that a counterparty will not settle a transaction in accordance with
agreed terms and conditions because of a dispute over the terms of the contract or because of a credit or liquidity problem. This counterparty risk is increased for contracts with longer maturities when events may intervene to prevent settlement.
The ability of the Trust to transact business with any one or any number of counterparties, the lack of any independent evaluation of the counterparties or their financial capabilities, and the absence of a regulated market to facilitate settlement
may increase the potential for losses by the Trust.

Further, if a counterparty becomes bankrupt or otherwise fails to perform its obligations
due to financial difficulties, the Trust may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding. The Trust may obtain only limited recovery or may obtain no recovery in such circumstances. In
addition, the Trust may enter into agreements with a limited number of counterparties, which may increase the Trusts exposure to counterparty credit risk. Recent events in the financial markets have had an adverse impact on the credit markets,
which have experienced high volatility and disruption since 2007, resulting in a significantly increased counterparty credit risk.

Over-the-counter derivatives contracts have terms that make them less marketable than futures contracts. They are less marketable because they are not
traded on an exchange, do not have uniform terms and conditions, and are entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent
of the counterparty.

The Advisor, on behalf of the Trust, trades in forward contracts that are not traded on regulated exchanges and,
therefore, offer different or lower levels of protections to investors.

As a means to achieve its investment objectives, the Trust may
from time to time enter into forward contracts. These investment vehicles are typically traded on a principal-to-principal basis through dealer markets that are dominated by major money center and investment banks and other institutions and are
subject to lesser degrees of regulation or, in some cases, no substantive regulation. With respect to these contracts, the Trust and investors in the Shares do not receive the protections of the regulatory and statutory



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scheme of the CEA. The forward markets rely upon the integrity of market participants in lieu of the additional regulation imposed by the exchanges or the CFTC on participants in the futures
markets. The lack of regulation in these markets could expose investors to significant losses under certain circumstances including in the event of trading abuses or financial failure by participants.

In addition, the Trust may trade in forward contracts traded on electronic trading facilities rather than in the over-the-counter market. Many electronic
trading facilities have only recently initiated trading and do not have significant trading histories. As a result, the trading of contracts on these facilities and inclusion of these contracts in the Portfolio may be subject to risks not presented
by most exchange-traded futures contracts, including risks related to the liquidity and price histories of the relevant contracts.

Failure
of the Clearing FCM to segregate assets or the insolvency of the Trusts prime broker may increase losses.

The CEA requires a
futures commission merchant, such as the Clearing FCM, to segregate all funds received from customers with respect to any orders for the purchase or sale of U.S. domestic futures contracts from its proprietary assets. Similarly, the CEA requires
each futures commission merchant to hold in a separate secure account all funds received from customers with respect to any orders for the purchase or sale of foreign futures contracts and segregate any such funds from the funds received with
respect to domestic futures contracts. If the Clearing FCM fails to do so, there is a risk that assets deposited by the Trust with the Clearing FCM as margin for the purchase of domestic or foreign futures contracts may, in certain circumstances, be
used to satisfy losses of other clients of the Clearing FCM. In addition, if the Clearing FCM fails to segregate the funds received from the Trust with respect to domestic futures contracts, the assets of the Trust might not be fully protected in
the event of the Clearing FCMs bankruptcy, as the Trust could be limited to recovering only a pro rata share of all available funds segregated on behalf of the Clearing FCMs combined domestic customer accounts.

In addition, the Trust will depend on the services of one or more prime brokers to carry out certain foreign currency forward transactions. At any time,
a substantial portion, or all, of the Trusts cash and securities may be held as collateral by the prime broker against margin obligations or deposited with the prime broker for safekeeping. Unlike futures commission merchants, prime brokers
are not required to segregate all funds received from customers from prime brokers proprietary assets. In addition, the prime brokerage agreements permit the prime broker to pledge or otherwise hypothecate the Trusts investment
securities subject to certain limitations. As such, in the event of the insolvency of a prime broker, the Trust might not be able to recover equivalent assets in full, as the Trust may rank among the prime brokers unsecured creditors in
relation to assets which the prime broker owns, borrows, lends or otherwise uses.

Risks Relating to the Advisor and its Trading Strategies

The lack of experience of the Advisor and its principals in actively managing an entity like the Trust and applying quantitative
investment strategies similar to those that are used in the selection of investments for the Trust may result in substantial trading losses for the Trust and, as a result, you could lose some or all of the value of your Shares.

Although the Advisor has been registered under the CEA as a commodity trading advisor since April 5, 1993, it has never been
responsible for an actively managed commodity pool other than the Trust. To date, the Advisors only experience as a commodity trading advisor to a registered commodity pool other than the Trust has been as advisor to the iShares® S&P GSCICommodity-Indexed Investment Pool LLC, a company that seeks to track the performance of the iShares® S&P GSCI Total Return Index by investing in one specified futures contract the performance of which is
intended to correspond to changes in such index. When directing investments for the iShares® S&P GSCI
Commodity-Indexed Investment Pool LLC, the Advisor does not exercise the type of discretion, or apply the types of strategies that are necessary for the success of the investments in the Trusts Portfolio; to the contrary, its responsibilities
are limited to directing the acquisition of a single futures contract on the same terms that are available to any other investor purchasing the same futures contract at the same time.

In contrast, with respect to the Trust, the Advisor does not have the same limited role; as explained elsewhere in this report, the Advisor is responsible for the application of quantitative methodologies
in connection with the selection of investments for the Trust and for all determinations regarding which Trust positions are held to maturity and which positions are liquidated early (either in response to market conditions or in order to meet the
liquidity needs of the Trust).

In addition, neither of Messrs. Alan Mason and Ryan Braniff, the two individuals that are primarily
responsible for Portfolio management decisions with respect to the Trust, have ever managed an investment vehicle other than the Trust or applied



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strategies similar to those used by the Trust. Accordingly, they may not be relied upon to compensate for the Advisors institutional lack of experience with investment vehicles like the
Trust.

To the extent that the Advisors, and the Advisors principals, lack of prior experience in the application of the
methodologies used by the Trust and the making of investment decisions similar to those required to generate Trust profits, produce losses to the Trust, the value of your Shares will be adversely affected and you will sustain a loss in your
investment in the Shares.

The Advisor makes decisions regarding investments for the Trust relying on quantitative models that may be
defective or not adequate to analyze market conditions at the time the investment decisions are made; as a result, the returns expected from those investments may not materialize.

The Advisor identifies and evaluates potential investment opportunities for the Trust using proprietary analytical and business models that have been built and are updated on the basis of historical data
collected or derived from several sources that track the performance of different variables across markets deemed relevant to its investment decisions by the Advisor. In the process of building these models, the Advisor has relied and will rely on
assumptions that the Advisor deems reasonable under the circumstances. Although the Advisor is expected to take reasonable care to ensure the reliability of the sources used, the accuracy of the information derived from such sources and the
reasonableness of its assumptions, the possibility for error remains. In addition, even in circumstances in which the sources are reliable, the information is accurate and the assumptions are reasonable, it is possible for a model to fail to perform
as expected in the face of new market conditions, changing economic or regulatory environments or other unanticipated circumstances not built into the model. Investors in the Shares should be aware that, if the models used by the Advisor in its
investment decisions prove to be defective or become inadequate in light of the circumstances prevailing at the time they are used in connection with investment decisions for the Trust, the returns anticipated by the Advisor may fail to materialize,
substantial losses may occur and as a result, the price of the Shares could be adversely affected. Consequently, you could lose all or substantially all of your investment in the Trust.

The strategies used by the Advisor to identify investment opportunities for the Trust may fail to deliver the desired returns.

The Advisor utilizes specialized investment strategies, follows allocation methodologies, applies investment models and assumptions, and enters into other strategies intended, among other things, to
affect the Trusts performance while targeting risk levels. There can be no assurance that the Advisor will succeed in achieving any goal related to these practices. The Advisor may be unable or may choose in its judgment not to seek to achieve
these goals. Consequently, you could lose all or substantially all of your investment in the Trust.

Relative value strategies used by the
Advisor to identify investment opportunities for the Trust are subject to certain risks.

The Advisor utilizes, among others, relative
value trading strategies which are composed of positions in contracts relating to two or more assets the prices of which are expected to either converge or diverge and, in theory, mitigate the absolute price risk associated with taking an outright,
unhedged position in respect of a single asset, and may be based upon historical price relationships and intended to neutralize the adverse (and positive) price effects of macro-economic events and trends. However, relative value strategies are
subject to certain risks. The success of the Advisors trading activities depends, among other things, on the Advisors ability to identify unjustified or temporary discrepancies between the fundamental value and the market price of an
asset or between the market prices of two or more assets whose prices are expected to move in relation to each other and to exploit those discrepancies to derive a profit to the extent that the Advisor is able to anticipate in which direction the
relative values or prices will move to eliminate the identified discrepancy. For example, a relative value strategy may fail to profit fully or at all or may suffer a loss or a greater loss due to a failure of the component contract prices to
converge or diverge as anticipated. This may occur with respect to prices relating to all or only certain contract maturities and may result from an unanticipated backwardation or contango of contract prices or other reversal of historic or expected
relationships. See Risk FactorsRisks Relating to Commodities MarketsDuring a period when commodity prices are fairly stationary, backwardation or contango in the prices of the commodity-linked futures
contracts held by the Trust may cause the price of your Shares to decrease.

Identification and exploitation of the investment
opportunities to be pursued by the Advisor involve a high degree of uncertainty. If what the Advisor perceives to be an unjustified or temporary price or value discrepancy posing an investment opportunity is nothing more than a price differential
due to reasons not likely to disappear within the time horizon of an investment made by the Trust, if the Advisor fails to anticipate the direction in which the relative prices or values will move to eliminate a discrepancy, or if the Advisor has
incorrectly evaluated the extent of the expected spread relationships, so that, for example, the value of the Trusts long positions appreciates at a slower rate than the value of the Trusts short positions in related assets, then the
expected returns for the Trust will not materialize, and the Trust may sustain a loss that will adversely affect the price of the Shares.



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The discrepancies that the Advisor seeks to identify and turn into profit opportunities for the Trust may
arise due to a variety of circumstances. Some may be due to uneven flows of information to the relevant markets, with the market for one asset reflecting the impact of specified items of information before or after the same information has an impact
on the market for a related asset. Others may be the result of regulatory or legal restrictions applicable to one type of asset, but not to a functionally equivalent asset (which occurs, for example, when regulated financial institutions are
prohibited from investing in a particular type of asset, but are free to take, via derivative arrangements, positions that leave them exposed to the performance of the same asset). A reduction in the volatility and market inefficiencies that create
the opportunities in which the Advisor may seek to invest, as well as other market factors, will reduce the scope for the Advisors investment strategies, limit the Trusts opportunities for profit and adversely affect the price of the
Shares.

Various actual and potential conflicts of interest involving the Advisor may be detrimental to Shareholders.

The Trust is subject to actual and potential conflicts of interest involving the Sponsor, the Clearing FCM, the Trustee and the Advisor. The Advisor, the
Trustee and the Sponsor are affiliates, and the Clearing FCMs ultimate parent entity has an interest in the Sponsor, the Trustee and the Advisors ultimate parent entity. Because of these relationships, the Sponsor may have a disincentive
to replace the Clearing FCM, the Trustee or the Advisor, regardless of their performance.

A conflict of interest may also arise where the
Advisor finds that futures positions established for the benefit of the Trust, when aggregated with the Advisors positions in other accounts of the Advisor (or the proprietary or other positions of its principals or affiliates), approach or
exceed the position limits set by the CFTC or the relevant futures exchange in a particular asset. All futures contracts managed by the Advisor and its affiliates in respect of a particular futures contract may be combined for position limit
purposes. It is possible that the Advisor will approach or reach position limits and, if so, will have a conflict of interest among the various accounts it manages as to which accounts are allocated the limited contracts available. The Trust may be
forced to forego certain opportunities as a result of those limitations. In addition, if in the opinion of the CFTC or other regulating body, exchange or board of trade the Advisor (or its principals or affiliates) exceed position limits, the
Advisor may be forced to liquidate certain positions in order to comply with the aggregate applicable position limit requirements. In liquidating positions held on behalf of its accounts, however, the Advisor may choose not to liquidate positions
held on behalf of the Trust in proportion to other accounts under its management. The result to the Trust would be a reduction in the potential for profit and/or potentially substantial losses should the exit of positions be at unfavorable prices by
virtue of position limits.

In addition, the Sponsor and the Advisor may, from time to time, have conflicting demands in respect of their
obligations to the Trust and, in the future, to other commodity pools and accounts. The Advisor may be effecting trades for its own accounts and for others (including other commodity pools in competition with the Trust) on a discretionary basis. It
is possible that positions taken by the Advisor for other accounts may be taken ahead of or opposite positions taken on behalf of the Trust. In addition, the Advisor and certain of its affiliates may currently or in the future offer products or
pursue investment strategies that may utilize or include some or all of the strategies and/or exposures targeted by the Trust, or which may compete or conflict with the Trusts activities. Further, a conflict of interest may also arise where
the Advisor receives an incentive-based fee in lieu of, or in addition to, an asset-based fee for its advisory services in respect of certain accounts, other than the Trust, and may choose to devote greater resources and allocate more investment
opportunities to those accounts. In the event the Sponsor or the Advisor trades for its own account, neither of them would make those trading records available for inspection. The result to the Trust would be, among others, a reduction in the
potential for profit should the entry of positions be at unfavorable prices by virtue of entry of other trades in front of the Trusts trades.

The Trust is exposed to the Clearing FCMs creditworthiness, as well as to its ability to provide services in a competent and cost-efficient manner. While the Sponsor believes that the selection of
Barclays Capital Inc. as Clearing FCM has been made without regards to its relationship to the Sponsor, the Trustee and the Advisor, and that Barclays Capital Inc.s services have been retained on competitive terms, there is no assurance that
the situation will not change in the future and that, if it does, the Trustee or the Sponsor will be prepared to replace the Clearing FCM with another entity that could provide better services to the Trust or similar services on a more competitive
basis.

The Sponsor has not established any formal procedure to resolve conflicts of interest. Consequently, investors are dependent on the
good faith of the respective parties subject to such conflicts to resolve them equitably. Although the Sponsor attempts to monitor these conflicts, it is extremely difficult, if not impossible, for the Sponsor to ensure that these conflicts do not,
in fact, result in adverse consequences to the owners of beneficial interests in the Shares (Shareholders).



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Risks Relating to the Trust and Investment in the Shares

The Trust is subject to the risks associated with being newly organized.

The Trust was organized relatively recently and does not have a long record of performance. The success of the Trust will depend on a number of conditions that are beyond its control. These conditions
include the level of acceptance by the investor community of an investment vehicle such as the Trust, which has not been offered to retail investors before, the Trusts ability to raise sufficient funds to be able to efficiently engage in
derivatives trading and the Advisors ability to identify profitable trading opportunities for the Trust. There is a substantial risk that the investment objectives of the Trust will not be met. Neither the Sponsor nor the Advisor has been
responsible for an actively managed, publicly offered commodity fund other than the Trust. If the experience of the Sponsor and the Advisor and their principals is not adequate or suitable to manage investment vehicles such as the Trust, the
operations of the Trust may be adversely affected.

The lack of an active trading market for the Shares may result in losses on your
investment at the time of disposition of your Shares.

Although the Shares are listed for trading on NYSE Arca, there can be no guarantee
that an active trading market for the Shares will develop or be maintained. If you need to sell your Shares at a time when no active market for them exists, the price you receive for your Shares, assuming that you are able to sell them, will likely
be lower than that you would receive if an active market did exist.

The Shares of the Trust are new securities products and their value
could decrease if unanticipated operational or trading problems arise.

The mechanisms and procedures governing the creation, redemption
and offering of the Shares have been developed specifically for these securities products. Consequently, there may be unanticipated problems or issues with respect to the mechanics of the operations of the Trust and the trading of the Shares that
could have a material adverse effect on an investment in the Shares. In addition, because the Trust is actively managed, to the extent that unanticipated operational or trading problems or issues arise, the Sponsors or the Advisors past
experience and qualifications may not be suitable for solving these problems or issues.

You may not rely on past performance in deciding
whether to buy the Shares.

The Trust commenced trading on November 16, 2009; consequently, there is only a limited performance
history you can use to evaluate your investment in the Trust. Although past performance is not necessarily indicative of future results, if the Trust had a longer performance history, that history might provide you with more information on which to
evaluate an investment in the Trust. As the Trust has not developed any meaningful performance history, you will have to make your decision to invest in the Trust based upon other factors.

The Trust is subject to the costs and risks associated with being actively managed. These costs and risks may cause your investment in the Shares to result in losses that you might have avoided if you
had invested in products not exposed to those costs and risks.

There is limited market history for actively-managed exchange-traded
funds, and it is not known how well the Trust will perform in the marketplace. Until recently, most exchange-traded funds, including exchange-traded commodity funds, have attempted to replicate or track an index. There is no index that the Trust
attempts to replicate or track. Instead, the Advisor has discretion to select the Trusts investments, and the ability of the Trust to meet its investment objectives is directly related to the Advisors portfolio allocation of the
Trusts assets. The Advisors judgments, based on its investment strategy, about the attractiveness and potential appreciation of the particular investments in which the Trust invests may prove to be incorrect and the value of your Shares
may be adversely affected.

The price you receive upon the sale of your Shares may be less than their NAV.

Shares may trade at, above or below their NAV. The NAV fluctuates with changes in the market value of the Trusts assets. The trading prices of
Shares are expected to fluctuate in accordance with changes in the NAV, intraday changes in the value of the investment portfolio held by the Trust and market supply and demand. The amount of the discount or premium in the trading



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price of the Shares relative to their NAV may be influenced by non-concurrent trading hours between NYSE Arca, on which the Shares trade, and markets for the instruments, or the assets underlying
the instruments, held by the Trust. While the Shares trade on NYSE Arca until 4:15 p.m. (New York time), liquidity in the markets for the derivative instruments, or the assets underlying the instruments, held by the Trust and trading on certain
other exchanges or trading facilities during different time frames may be reduced after the close of the principal markets for those instruments or underlying assets. Consequently, liquidity in the instruments held by the Trust may be reduced at the
close of trading at the applicable underlying market. As a result, trading spreads, and the resulting premium or discount on Shares, may widen during the time when NYSE Arca is open and certain other applicable markets are closed.

The NAV may not always correspond to the market price of the Shares and, as a result, Baskets may be created or redeemed at a value that differs from
the market price of the Shares.

The NAV of the Shares of the Trust changes as fluctuations occur in the market value of its Portfolio.
You should be aware that the public trading price of a number of Shares of the Trust otherwise amounting to a Basket may be different from the NAV of an actual Basket (i.e., 100,000 individual Shares may trade at a premium over, or a discount
to, net asset value of a Basket) and similarly the public trading price per Share of the Trust may be different from the NAV per Share of the Trust. Consequently, an Authorized Participant may be able to create or redeem a Basket at a discount or a
premium to the public trading price per Share of the Trust. This price difference may be due, in large part, to the fact that supply and demand forces at work in the secondary trading market for Shares of the Trust are closely related, but not
identical, to the same forces influencing the price of an underlying commodity at any point in time. You also should note that the size of the Trust in terms of total assets and positions held may change substantially over time and from time to time
as Baskets are created and redeemed.

Authorized Participants or their clients or customers may have an opportunity to realize a profit if
they can purchase a Basket at a discount to the public trading price of the Shares or can redeem a Basket at a premium over the public trading price of the Shares of the Trust. To the extent that Authorized Participants and their clients and
customers may be able to exploit such arbitrage opportunities, the public trading price of the Shares should track the NAV over time. Market participants that are not Authorized Participants may not be able to exploit any such arbitrage opportunity
to the same degree, if at all.

None of the Sponsor, the Advisor or the Trustee can assure you that it will continue in its respective
role. If any of them was no longer to act in those roles, the Trust and the value of the Shares may suffer.

None of the Sponsor, the
Advisor or the Trustee can assure you that it will be willing or able to continue to service the Trust for any length of time. If any of them discontinues its activities on behalf of the Trust, the Trust may be adversely affected. For example,
following the resignation of the Sponsor, the Advisor or the Trustee, the Trust may not be able to secure the services of a substitute sponsor, advisor or trustee on terms as favorable (including in respect of compensation) as those in effect with
the departing party, or on any terms at all. If the Trust is unable to secure the services of a new sponsor, advisor or trustee, it may be forced to terminate its activities at a time that is disadvantageous for its Shareholders. If the
Sponsors or the Advisors registrations under the CEA or memberships in the NFA were revoked or suspended, they would no longer be able to provide services to the Trust.

The Trust may incur additional transactional costs because the Portfolio is actively managed, and actively managed portfolios may have higher turnover rates.

The Trust may engage in investment activity without regard to the effect on portfolio turnover. Portfolio turnover refers to the rate at which the
instruments held by the Trust are replaced. The higher the rate, the higher the transactional and brokerage costs associated with the turnover, which may adversely affect the Trusts net asset value and, in turn, the value of your Shares. The
Trusts expected annual turnover rates range is 150% to 350%, although it may vary and be considerably higher under certain market conditions or due to other factors including the term of a relevant futures contract. Transaction costs
incurred by the Trust include commissions, futures exchange, futures regulatory and futures clearing fees, transaction fees of the prime broker and other fees or costs associated with trading. Actively managed portfolios (like the Trust) may have
higher transaction costs or fees than products that are passive, or products that do not transact based on events and factors that influence market prices. For example, an active manager may trade more often during periods of high market volatility
in an attempt to take advantage of price movements.

Several variables, and expectations or announcements related to such variables, may lead
to increased trading by the Trust, which in turn increases transaction costs. These variables potentially include changes in interest rates, changes in supply and demand for the futures or currencies traded by the Trust, and macro economic factors,
such as economic performance, inflation and growth. More frequent reallocation of investments across the Trusts strategies also may increase both Portfolio turnover and transaction costs for the Trust.



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Fees and expenses payable by the Trust are charged regardless of profitability and may result in a
depletion of its assets.

The Trust is subject to the fees and expenses described in this annual report, which are payable irrespective of
profitability. These fees and expenses include an allocation to the Sponsor, or Sponsors Fee, that accrues daily at an annualized rate equal to 0.95% of the adjusted net asset value of the Trust and is payable by the Trust monthly in arrears.
Additional charges may apply to the Trust. The Trust is expected to earn interest income. If interest income falls below the amount required to cover the Trusts fees and expenses, the Trust needs to have positive performance in order to break
even net of fees and expenses. Consequently, depending upon the interest rate environments, the expenses of the Trust could, over time, result in losses to your investment therein. You may never achieve any gains, significant or otherwise, on your
investment in the Shares.

It is not expected that the Trust will make any periodic distributions or dividend payments to its Shareholders.

Other than in connection with the redemption of Baskets or with the liquidation of the Trust, or as determined by the Sponsor in its
absolute discretion, it is not expected that the Trust will make any distributions or pay any dividends to its Shareholders. Consequently, any gain from an investment in the Shares would result from an increase in the price of the Shares realized
upon the sale of Shares by the Shareholder.

The Trust could be liquidated at a time when the disposition of its interests will result in
losses to investors in the Shares.

Under certain circumstances, the Trustee or the Shareholders could dissolve the Trust. Upon
dissolution, the Trust would liquidate its holdings and use the proceeds to pay all expenses of liquidation and any outstanding liabilities. Any remaining cash will be distributed among investors surrendering Shares. Any assets of the Trust
remaining in the possession of the Trustee after 90 days may be sold by the Trustee and the proceeds held uninvested and in a non-interest bearing account until claimed by any remaining Shareholders. Sales of derivative investment instruments in
connection with the liquidation of the Trust at a time of low prices will likely result in losses, or adversely affect your gains, on your investment in the Shares.

The Sponsor has broad discretion to liquidate the Trust at any time.

The trust agreement
provides the Sponsor with broad discretion to liquidate the Trust at any time the Sponsor determines that liquidation is advisable. It cannot be predicted when or under what circumstances, if any, the Sponsor would exercise its discretion to
liquidate the Trust. A liquidation could cause you to suffer a loss on your investment in the Shares.

The Shares may not provide
anticipated benefits of diversification from other asset classes.

Generally, the performance of physical commodity or currency markets
has not been correlated with the performance of financial asset classes, such as stocks and bonds. Non-correlation means that there is no statistically significant relationship, positive or negative, between the past performance of derivative
contracts on physical commodities or currencies on the one hand, and stocks or bonds on the other hand. Because of this lack of correlation, the Shares cannot be expected to be profitable during unfavorable periods for the stock or bond market, or
vice-versa. The commodity and currency markets are fundamentally different from the securities markets in that for every gain in commodity or currency derivatives trading, there is an equal and offsetting loss. If the performance of the Shares
reflects positive or negative correlation to one or more financial asset classes, however, investing in Shares for purposes of diversification of the investment risk from such other financial asset classes may be unsuccessful.

The liquidity of the Shares may be affected by the withdrawal from participation of Authorized Participants or by the suspension of issuance,
transfers or redemptions of Shares by the Trust.

If one or more Authorized Participants withdraw from participation, creating or
redeeming Baskets may become more difficult, which may reduce the liquidity of the Shares. If creating or redeeming Baskets becomes more difficult, the correlation between the price of the Shares and the NAV may be affected, which may adversely
affect the trading market for the Shares. Having fewer participants in the market for the Shares could also adversely affect the ability to arbitrage any price difference between the derivative instruments held by the Trust and the Shares, which may
affect the trading market and liquidity of the Shares.

In addition, the Trust may, at any time, suspend the delivery of Shares, the
registration of transfers of the Shares, or the surrender of the Shares for the purpose of withdrawing Trust property generally, or refuse a particular deposit, transfer or withdrawal if it determines that it is advisable for any reason. If any of
these events were to occur, the liquidity of the Shares may be adversely affected.



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Creation and redemption of Baskets may be delayed when one or more of the exchanges where the Trust may
need to trade, either to establish new positions or to liquidate existing ones, are scheduled to be closed, and may be subject to postponement, suspension or rejection under certain circumstances, all of which may reduce the liquidity of the Shares.

Generally, upon the receipt of a request for the creation of one or more Baskets, the Trust has to establish one or more new positions
for its Portfolio. Similarly, upon the receipt of a request for the redemption of one or more Baskets, the Trust usually has to liquidate one or more of its existing positions to raise the funds required to pay the amounts due to the redeeming
Authorized Participant in respect of that redemption.

Because creation and redemption orders can be placed at any time before 4:00 p.m. (New
York time), it is possible that, by the time a creation or redemption order is received by the Trust, one or more of the futures exchanges on which the Trust would need to trade to establish new or to liquidate one or more existing positions may be
closed or about to close and that the Trust may need to wait until the following trading day. For this reason, if a creation or redemption order is communicated to the Trust on a Business Day that precedes two consecutive days when there is no
scheduled trading session in one or more of the futures exchanges that the Trust may need to trade on to establish new or liquidate existing positions, that creation or redemption order is not considered received by the Trust (and,
therefore, the time to deliver the Shares or to pay the redemption price to the Authorized Participant placing the order does not begin to run) until the first Eligible Business Day thereafter. This may result in the Trust settling creation or
redemption orders later than an Authorized Participant might have expected, and this delay may reduce the liquidity of the Shares. The Portfolio is expected to hold numerous futures contracts from time to time, potentially including those that trade
on the following exchanges: Chicago Board of Trade, Chicago Mercantile Exchange, Commodity Exchange, Inc., Eurex, Hong Kong Futures Exchange, ICE Futures US Softs, Intercontinental Exchange, Kansas City Board of Trade, Korea Exchange, London Metal
Exchange, Meff Renta Variable (Madrid), Montreal Exchange, New York Mercantile Exchange, NYSE LIFFE Amsterdam, NYSE LIFFELondon, NYSE LIFFEParis, NASDAQ OMX Nordic Exchange, Optivas Market Sweden, Singapore Exchange, South Africa
Futures Exchange, Sydney Futures Exchange, Tokyo Financial Exchange, and Tokyo Stock Exchange. These exchanges holiday schedules should therefore limit the ability to create and redeem Shares.

The Trust may suspend the creation or redemption of Baskets for as long as it considers necessary for any reason. In addition, the Trust has the absolute
right to reject any creation or redemption order, including (1) orders not in proper form, (2) orders received during any period in which circumstances make transactions in, or delivery of, Shares or any of the futures or forward contracts
in the Trusts portfolio impossible or impractical, and (3) if the acceptance of the creation or redemption order would, in the opinion of counsel to the Trust, result in a violation of law.

Any such postponement, suspension or rejection could adversely affect a redeeming Authorized Participant. For example, the resulting delay may adversely
affect the value of the redemption proceeds if the NAV declines during the period of the delay or may make the creation of Baskets more expensive if the NAV increases during the delay. Under each Authorized Participant Agreement, the Trust has
disclaimed any liability that may result from any suspension, postponement or rejection.

Competition from other commodities- and
currencies-related investments could limit the market for, and reduce the liquidity of, the Shares.

Demand for the Shares may be affected
by the attractiveness of an investment in the Shares relative to other investment vehicles, including other commodity or currency pools, hedge funds, traditional debt and equity securities issued by companies in the commodities or currencies
industry, other securities backed by or linked to commodities or currencies and direct investments in commodities or currencies or commodity or currency derivative contracts. Market, financial and other conditions or factors may make it more
attractive to invest or trade in other investment vehicles or to invest in such commodities or currencies directly, which could limit the market for, and reduce the liquidity of, the Shares.

As a Shareholder, you will not have the rights normally associated with ownership of common shares.

Shareholders are not entitled to the same rights as owners of shares issued by a corporation. By acquiring Shares, you are not acquiring the right to elect directors, to receive dividends, to vote on
certain matters regarding the Trust or to take other actions normally associated with the ownership of common shares.



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As a Shareholder, you will not have the protections normally associated with the ownership of shares in
an investment company registered under the Investment Company Act.

The Trust is not registered as an investment
company for purposes of United States federal securities laws, and is not subject to regulation by the SEC as an investment company. Consequently, Shareholders do not have the regulatory protections provided to investors in investment companies
registered under the Investment Company Act of 1940, as amended (the Investment Company Act). For example, the provisions of the Investment Company Act that limit leverage and transactions with affiliates, prohibit the suspension of
redemptions (except under limited circumstances) and limit sales loads do not apply to the Trust. While iShares®
Delaware Trust Sponsor LLC, as the Sponsor, is registered under the CEA as a commodity pool operator, and BlackRock Fund Advisors, as the Advisor, is registered under the CEA as a commodity trading advisor, the nature and degree of the regulation to
which they are subject differ from the regulatory scheme imposed under the Investment Company Act.

Competing claims over ownership of
relevant intellectual property rights could adversely affect the Trust or an investment in the Shares.

While the Sponsor and the Advisor
believe that they have all the intellectual property rights needed to operate the Trust and make investments for the Portfolio in the manner described in this prospectus, third parties may allege or assert ownership of intellectual property rights
that may be related to the design, structure and operation of the Trust or to the computer models, processes or methodologies used by the Advisor for the selection of assets for the Portfolio. To the extent any claims of such ownership are brought
or any proceedings are instituted to assert such claims, the negotiation, litigation or settlement of such claims, the issuance of any restraining orders or injunctions, or the ultimate disposition of such claims in a court of law, may adversely
affect the Trust and the value of the Shares.

The value of the Shares will be adversely affected if the Trust is required to indemnify the
Sponsor or the Advisor or if the Sponsor is required to indemnify the Trustee.

Under the trust agreement, the Sponsor has the right to be
indemnified by the Trust for any liability or expense the Sponsor incurs without negligence, bad faith or willful misconduct on its part and the Trustee, in turn, has the right to be indemnified by the Sponsor for any losses it incurs that are not
the result of the Trustees negligence, bad faith or material breach of the trust agreement. Similarly, under the advisory agreement the Advisor is entitled to indemnification from the Trust in certain events. That means that the assets of the
Trust may have to be sold in order to cover losses or liability suffered by the Sponsor or the Advisor for which the Trust is responsible, which would reduce the net asset value of the Trust and the value of the Shares.

NYSE Arca may halt trading in the Shares, which would adversely impact your ability to sell your Shares.

The Shares have are listed for trading on NYSE Arca under the symbol ALT. Trading in the Shares may be halted due to market conditions or, in light of
NYSE Arca rules and procedures, for reasons that, in the view of NYSE Arca, make trading in the Shares inadvisable, or in the event certain information about the value of the Shares and the NAV is not made available as required by NYSE Arca. In
addition, trading generally on NYSE Arca is subject to trading halts caused by extraordinary market volatility pursuant to circuit breaker rules that require trading to be halted for a specified period based on a specified market
decline. There can be no assurance that the requirements necessary to maintain the listing of the Shares will continue to be met or will remain unchanged.

Risks Relating to Taxes

The Trusts classification as a publicly traded
partnership not taxable as a corporation is not free from doubt, and if the Trust were to fail to qualify as a partnership for U.S. federal income tax purposes, the Trusts income and items of deduction would not pass through to the
Shareholders, the Trust would be required to pay tax at corporate rates on any portion of the Trusts net income that does not constitute tax-exempt income, and distributions by the Trust to the Trusts Shareholders would be taxable
dividends to the extent of the Trusts earnings and profits.

It is expected that the Trust will operate and be classified as a
partnership for U.S. federal income tax purposes. So long as the Trust qualifies as a partnership, it will be able to pass through its income, including the Trusts federally tax-exempt income, and deductions to the Shareholders. The
Trusts qualification as a partnership for U.S. federal income tax purposes involves the application of numerous technical provisions under which there is a lack of direct authority. In general, if a partnership is



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publicly traded (as defined in the Internal Revenue Code, the Code) it will be treated as a corporation for U.S. federal income tax purposes. It is expected that the Trust
will be treated as a publicly traded partnership. A publicly traded partnership will, however, be taxed as a partnership, and not as a corporation for U.S. federal income tax purposes, so long as 90% or more of its gross income for each taxable year
constitutes qualifying income within the meaning of Section 7704(d) of the Code and the partnership is not required to register under the Investment Company Act. This exception is referred to as the qualifying income
exception. Qualifying income generally includes interest (other than certain contingent interest), gains from futures and/or forward contracts derived from investing in foreign currencies and income from certain commodities transactions. In
addition, qualifying income generally also includes income from a notional principal contract (such as a credit default swap) if the income from the reference obligation would be qualifying income. In determining whether interest is treated as
qualifying income for purposes of these rules, interest income derived from a financial business and income and gains derived by a dealer in securities are not treated as qualifying income. The Trust takes the position that
for purposes of determining whether the Trust is engaged in a financial business, portfolio investing activities that the Trust engages in do not and will not cause the Trust to be engaged in a financial business or to be considered a
dealer in securities.

If less than 90% of the Trusts gross income constitutes qualifying income, for any reason, other than
a failure that is determined to be inadvertent and that is cured within a reasonable time after discovery, or if the Trust is required to register under the Investment Company Act, the Trusts items of income and deduction would not pass
through to the Trusts Shareholders and the Trusts Shareholders would be treated for U.S. federal income tax purposes as stockholders in a corporation. The Trust would be required to pay income tax at corporate rates on any portion of its
net income that did not constitute tax-exempt income. Distributions by the Trust to its Shareholders would constitute dividend income taxable to such holders to the extent of the Trusts earnings and profits and the payment of these
distributions would not be deductible by the Trust. These consequences would have a material adverse effect on the Trust its Shareholders and the value of the Shares.

Shareholders tax liability could exceed cash distributions on the Shares.

You will
be required to pay U.S. federal income taxes on your allocable share of the Trusts income, without regard to the receipt of cash distributions on the Shares. There is no obligation to make distributions on the Shares and no such distribution
is anticipated. Accordingly, you may not receive cash distributions sufficient to cover your allocable share of such taxable income or even the tax liability resulting from that income.

The IRS could adjust or reallocate items of income, gain, deduction, loss and credit with respect to the Shares if the IRS does not accept the assumptions or conventions utilized by the Trust.

The U.S. tax rules that apply to partnerships are complex and their application is not always clear. Moreover, the rules generally were
not written for, and in some respects are difficult to apply to, publicly traded interests in partnerships. The Trust applies certain assumptions and conventions intended to comply with the intent of the rules and to report income, gain, deduction,
loss and credit to investors in a manner that reflects the investors economic gains and losses, but these assumptions and conventions may not comply with all aspects of the applicable Treasury regulations. It is possible therefore that the IRS
will successfully assert that these assumptions or conventions do not satisfy the technical requirements of the Code or the Treasury regulations and will require that items of income, gain, deduction, loss and credit be adjusted or reallocated in a
manner that could be adverse to you.

Item 1B. Unresolved Staff Comments.

None.

Item 2. Properties.

Not applicable.

Item 3. Legal Proceedings.

None.



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PART II

Item 5. Market for Registrants Common Equity, Related Stockholder Matters and Issuer Purchases of Equity
Securities.

a) On November 16, 2009, the Shares commenced trading on NYSE Arca under the symbol ALT. For each of the
quarters during the fiscal year ended December 31, 2010 and the period from November 16, 2009 through December 31, 2009, the high and low sale prices of the Shares as reported for transactions on the NYSE Arca were as follows:



|                                                        |  |      |       |  |     |   |       | 
|------------------------------------------------------- |  | ---- | ----- |  | --- | - | ----- | 
|Year Ended December 31, 2010                            |  | High |       |  | Low |  
|First Quarter                                           |  | $    | 49.98 |  |     | $ | 49.17 | 
|Second Quarter                                          |  | $    | 50.72 |  |     | $ | 49.58 | 
|Third Quarter                                           |  | $    | 50.66 |  |     | $ | 49.38 | 
|Fourth Quarter                                          |  | $    | 51.20 |  |     | $ | 50.21 | 
|                                                        |  |     
|Period from November 16, 2009 through December 31, 2009 |  | High |       |  | Low |  
|Fourth Quarter                                          |  | $    | 50.71 |  |     | $ | 49.23 | 

The number of Shareholders of record
of the registrant as of February 28, 2011 was approximately 16,501.

The Trust made no distributions to Shareholders during the fiscal
year ended December 31, 2010 and the period from October 6, 2009 (commencement of operations) through December 31, 2009. The Trust has no obligation to make periodic distributions to Shareholders.

b) Not applicable.

c) No redemptions of
Shares occurred during the fourth quarter of the year ended December 31, 2010.

Item 6. Selected
Financial Data.

Financial Highlights (for the years ended December 31, 2010 and 2009*)

(Dollar amounts in 000s, except for per Share amounts)



|                                                                                                |  |              |           |  |       |   |         |  
|----------------------------------------------------------------------------------------------- |  | ------------ | --------- |  | ----- | - | ------- | -
|                                                                                                |  | December 31, |          
|                                                                                                |  | 2010         |           |  | 2009* |  
|Total assets                                                                                    |  | $            | 116,816   |  |       | $ | 15,143  |  
|Total gain (loss) on sales of short-term investments and forward currency and futures contracts |  | $            | 3,746     |  |       | $ | (67     | )
|Net gain (loss)                                                                                 |  | $            | 1,190     |  |       | $ | (172    | )
|Weighted-average Shares outstanding                                                             |  |              | 1,346,575 |  |       |   | 232,184 |  
|Net gain (loss) per Share                                                                       |  | $            | 0.88      |  |       | $ | (0.74   | )
|Net cash flows                                                                                  |  | $            | 3,310     |  |       | $ | 167     |  



|* | For the period from October 6, 2009 (commencement of operations) through December 31, 2009.
|- | -------------------------------------------------------------------------------------------



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Item 7. Managements Discussion and Analysis of Financial Condition
and Results of Operations.

This information should be read in conjunction with the financial statements and notes to financial
statements included with this report. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as
may, should, expect, plan, anticipate, believe, estimate, predict, potential or the negative of these terms or other comparable terminology.
None of the Trust, the Sponsor, the Trustee or the Delaware Trustee assumes responsibility for the accuracy or completeness of any forward-looking statements. None of the Trust, the Sponsor, the Trustee or the Delaware Trustee is under a duty to
update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.

Overall Performance

The Trust returned
1.84%, net of fees and transaction costs, for the year ended December 31, 2010 (the reporting period). Positive performance was largely driven by the currency and the long-term fixed income market investments. However, the equity and
short-term fixed income market investments detracted from the overall performance.

Market Environment/Background

The markets were relatively volatile during the reporting period. Uncertainty about the global recovery, its sustainability, and fear of a double dip
recession were some of the important elements that shaped markets across the world. These concerns were fueled by mixed global economic data, persistent high unemployment in the U.S., European Union sovereign credit risk distress, and the fear of
the contagion effect. These issues left the markets with a weak sentiment for the first half of the year and made investors cautious about taking risks. However, some optimism took hold in the second half of the year as more encouraging economic
news was released.

Equity and currency markets struggled in the first half of the year as mounting pressure on sovereign debt was back in the
limelight. Greeces fiscal situation was the main concern and other European countries, such as Spain, Portugal, and Ireland, took center stage later. These concerns jolted the currency market and the euro fell below U.S. $1.20, a four-year
low. The ramification of these kinds of concerns also forced some typical hedge fund currency strategies to unwind their positions between May and July 2010. However, the results of the European Union area stress tests for financial institutions,
released mid-year, had some calming effects on the markets and the added transparency helped reduce the potential contagion effect.

Despite
the concerns over the jobless recovery in the U.S., the steady gross domestic product (GDP) growth, positive earnings from blue chip companies, a second quantitative easing policy in the U.S. put forward by the Federal Reserve, and the extension of
the Bush-era tax cuts provided a strong rally in the U.S. equity markets in the second half of the year.

Trusts Strategies
Performance

Trusts investments in futures on long-term bonds (bonds with maturities of more than one year) delivered a 2.51% return
for the reporting period (see figure 1). Uncertainty in the global market recovery and relatively volatile markets attracted investors to safer assets and encouraged a flight to quality. On average, large long positions in U.S. Treasury bonds and
United Kingdom gilts combined with the overall average large short position in the Australian bond markets added a positive contribution to the Trusts performance. However, the overall short positions in the Canadian and Japanese government
bonds detracted from performance.

Trusts investments in futures on short-term bonds (bonds with maturities of less than one year)
underperformed and delivered (0.90)% for 2010 (see figure 1). The short-term end of the yield curve was volatile and did not allow for the markets to establish a sizeable trend that momentum strategies could take advantage of. Performance from the
overall large long euro-sterling asset was the largest positive contributor, while the short position in Euribor underperformed and pushed the strategys performance into the negative territory.

The Trusts investments in equity markets delivered a negative performance of (0.49)% during the reporting period (see figure 1). In general, equity
markets had a poor performance in early 2010 and tumbled for the first half of the year. Uncertainty about the global recovery and European Union sovereign debt default risk were frequently brought into the spotlight. The underperformance in the
Trusts equity market investments was driven by the short positions in Hong Kong and Canadian equity markets. Meanwhile, on average, the long positions in the German and Japanese equity markets contributed positively to the performance of this
asset class during the reporting period.

The Trusts investments in currency markets performed well during the reporting period and
delivered a 1.51% return (see figure 1). The main contributors to the performance were the overall large long positions in the Australian dollar, Swedish krona, and Norwegian krone. Meanwhile, the large short positions in the euro and Swiss franc
contributed negatively to the performance of the currency portfolio in 2010.



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The Trust exploited three strategies (namely, relative value, momentum, and yield curve arbitrage or carry)
across three different asset classes during the reporting period. Of these three strategies, the carry and relative value strategies delivered positive returns of 5.29% and 0.86%, respectively. The momentum strategy, on the other hand, had a
negative contribution of (3.31)%. The underperformance in the momentum strategy was the result of highly volatile and range bound markets, which do not allow for the establishment of sizeable trends that market neutral long/short momentum techniques
could benefit from. See figure 2 for the performance of each strategy during the reporting period.

The Trust realized portfolio return
volatility of 4.7% for the reporting period, based on the daily performance of the Trust. This low return volatility, relative to the Trusts stated target, is partly due to higher than usual correlations among assets within each asset class
and low or negative correlations among the three strategies employed by the Trust. The Trust continues to maintain an expected annualized portfolio return volatility of 6% to 8%. The proprietary risk model uses more than 19 years of historical
return data to calculate the expected annualized portfolio return volatility.

The realized Sharpe ratio of the Trust portfolio was 0.35 for
the reporting period. This lower Sharpe ratio, compared to the stated target of 0.50, is partly due to lower realized volatility of the portfolio. As mentioned above, the relatively higher volatility in different markets could lead to higher than
usual correlations among assets within each asset class which, in turn, would lower the Trusts realized volatility. However, the Trust continues to target a long-term Sharpe ratio between 0.50 and 0.75.

LOGO

Figure 1: Asset class total return during the reporting period



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LOGO

Figure 2: Strategy total return during the reporting period

Results of Operations

The Trust invested in three broad asset classes:
currency, equity, and fixed income through investments in forward and futures contracts and Short-Term Securities posted as margin to collateralize the portfolio of futures and/or forward contracts. The fixed income asset class includes bond futures
with duration greater than one year and short-term interest rates futures less than or equal to one year. See below for a discussion on the performance of the Trust for the year ended December 31, 2010 and the period from October 6, 2009
(commencement of operations) through December 31, 2009.

The Year Ended December 31, 2010

The Trusts net asset value increased from $14,855,197 at December 31, 2009 to $110,938,681 at December 31, 2010. The increase in the
Trusts net asset value resulted primarily from an increase in outstanding Shares, which rose from 300,000 at December 31, 2009 to 2,200,000 at December 31, 2010, due to 1,900,000 Shares (19 Baskets) being created and zero Shares
being redeemed during the year.

Net gain for the year was $1,189,545, resulting from a net investment loss of $564,823 and a net realized and
unrealized gain of $1,754,368. For the year ended December 31, 2010, the Trust had a net gain of $199 from short-term investments, a net gain of $524,090 from forward currency contracts, a net gain of $527,954 from equity index futures, a net
gain of $558,549 from fixed income futures, and a net gain of $102,402 from foreign currency translations. Net gain and loss for the year from futures contracts noted above is exclusive of $41,174 in brokerage commissions and fees.

The Period from October 6, 2009 (Commencement of Operations) through December 31, 2009

The Trusts net asset value increased from $9,998,145 at October 6, 2009 (commencement of operations) to $14,855,197 at December 31, 2009.
The increase in the Trusts net asset value resulted primarily from an increase in outstanding Shares, which rose from 200,000 at October 6, 2009 to 300,000 at December 31, 2009, due to 100,000 Shares (1 Basket) being created and zero
Shares being redeemed during the period.

Net loss for the period was $172,003, resulting from a net investment loss of $25,508 and a net
realized and unrealized loss of $146,495. For the period from October 6, 2009 (commencement of operations) through December 31, 2009, the Trust had a net gain of $52,368 from forward currency contracts, a net loss of $16,999 from equity
index futures, a net loss of $177,755 from fixed income futures, and a net loss of $6,245 from foreign currency translations. Net gain and loss for the period from futures contracts noted above is exclusive of $1,933 in brokerage commissions and
fees.



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Liquidity and Capital Resources

A significant portion of the assets of the Trust are held in cash, U.S. Treasury bills and other Short-Term Securities which are used, as needed, to
secure the Trusts trading obligations in respect of a portfolio of futures and/or forward contracts as described elsewhere in this report. The percentage that cash, U.S. Treasury bills and Short-Term Securities given as collateral bears to the
total assets of the Trust varies from day to day, depending on the changes in the market values of the contracts held in the Portfolio.

The
Trusts liquidity needs arise in connection with payment of (1) mark-to-market and termination costs of futures and forward contracts with respect to which the Trust is out of the money, (2) redemption of Baskets,
(3) the Sponsors Fee, (4) trading fees and commissions, and (5) any expenses not assumed by the Sponsor. The Sponsor is not aware of any trends, demands, conditions or events that are reasonably likely to result in material
changes to the Trusts liquidity needs. See, however, Risk FactorsRisks Relating to Regulatory RequirementsRecently enacted regulatory reform applicable to over-the-counter derivatives may have a material adverse effect on the
ability of the Trust to pursue its strategies and, therefore, result in a decreasing value of the Shares.

The Trust is expected to
generate liquidity from (1) mark-to-market and termination payments received with respect to futures and forward contracts with respect to which the Trust is in the money, (2) the sale of Baskets, (3) any interest on its
cash and other instruments (including, when and to the extent they become available to the Trust, securities held as collateral for the Trusts trading obligations), and (4) the disposition of its assets. Pursuant to the trust agreement,
the Trust is prohibited from incurring any indebtedness for borrowed money.

The Trusts futures contracts may from time to time be
subject to periods of illiquidity due to market conditions, regulatory limits or other reasons. Futures exchanges limit the fluctuations during a single day of prices of the contracts traded on such exchanges by regulations known as daily
limits. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in that contract can not be taken or liquidated unless the parties are willing to affect the trade at a price equal to or
within the daily limit. See Risk FactorsRisks Relating to Regulatory RequirementsRegulatory and exchange position limits may restrict the creation of Baskets and the operation of the Trust for a further description of how
such limits operate.

The Trusts Portfolio or one or more of its futures or forward contract positions may prove to be illiquid. Such
illiquidity could cause or exacerbate losses to the Trust.

Because the Portfolio may include a variety of trading positions, the Trusts
capital is at risk due to changes in the value of such positions or other assets (market risk) or the inability of counterparties to perform (credit risk).

Market Risk

The Portfolio consists of positions in certain futures and/or forward
contracts and cash and financial instruments which may be used, as needed, to secure the Trusts trading obligations with respect to those trading positions. Depending upon the level of diversification of the Portfolio at any given time,
fluctuations in the value of one or more trading positions of the Trust may have a significant impact on the value of the Shares. The value of any futures and/or forward contracts in the Portfolio at any time is expected to reflect the market value
of the underlying asset, although this correlation may not be exact. The market risk associated with the trading positions in the Portfolio may, potentially, be the entire Portfolio. The Trusts exposure to market risk is also influenced by a
number of factors, including the liquidity of the assets in the Portfolio, market conditions in U.S. and non-U.S. markets, market volatility and activities of other market participants.

Credit Risk

In respect of each trading position in the Portfolio, the Trust is exposed to
the credit risk of a default by the counterparties to over-the-counter trades and, with respect to exchange-traded contracts, of a default by relevant brokers or the clearing institutions or exchanges through which such trades settle. In the case of
such a default, the Trust could be unable to recover amounts due to it on its trading positions and assets posted as margin. The Portfolio is also exposed to the credit risk of the obligors of any Short-Term Securities posted as margin. See also
Risk FactorsRisks Relating to Derivative ContractsWhen entering into foreign currency forward contracts, the Trust assumes the risk that its counterparties may become unable or unwilling to pay any amounts owed to the Trust
and Risk FactorsRisks Relating to Derivative ContractsThe Trust is subject to credit risks and other risks associated with U.S. exchange-traded futures contracts.



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Off-Balance Sheet Arrangements and Contractual Obligations

The Trust does not use and is not expected to use special purpose entities to facilitate off-balance sheet financing arrangements. The Trust does not have
and is not expected to have loan guarantee arrangements or other off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks
service providers undertake in performing services that are in the interest of the Trust. While the Trusts exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a
material impact on the Trusts financial position. The Trust is contractually obligated to maintain margin with its clearing futures commission merchant and its prime broker. Under extreme circumstances, such contractual obligations could
demand substantially all of the assets of the Trust.

Critical Accounting Policies

The financial statements of the Trust and accompanying notes are prepared in accordance with accounting principles generally accepted in the United States
of America. The preparation of these financial statements relies on estimates and assumptions that impact the Trusts financial positions and results of operations. These estimates and assumptions affect the Trusts application of
accounting policies. Please refer to Note 2 to the financial statements of the Trust for a further discussion of the Trusts accounting policies.

Item 7A. Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

Please refer to the Schedule of Investments in the financial
statements for quantitative disclosure for open forward currency contracts and open futures contracts held by the Trust as of December 31, 2010.

Qualitative Disclosure

The investment objective of the Trust is to maximize absolute
returns from a portfolio of foreign currency forward contracts and exchange-traded futures contracts that may involve commodities, currencies, interest rates and certain eligible stock or bond indices while seeking to reduce the risks and volatility
inherent in those investments by taking long and short positions in historically correlated assets. As a result, at any time the Trust may have substantial exposure to interest rate risk, foreign currency exchange rate risk, commodity price risk and
equity price risk.

Item 1A. Risk Factors of this Form 10-K discussed these risks in detail. Specifically, please refer to
Risks Relating to U.S. Government and Sovereign Debt Markets and Risks Relating to Interest Rate Derivatives Markets for further discussion of interest rate risk, Risks Relating to Currency Markets for further
discussion of foreign currency exchange rate risk, Risks Relating to Commodities Markets for further discussion of commodity price risk and Risks Relating to Security Index Futures Markets for further discussion of equity
price risk.

In addition, the Advisor utilizes a portfolio construction process in which each potential strategy and underlying asset is
ranked in terms of expected return, volatility and trading cost. This portfolio construction process is quantitative and relies on the use of computer models developed by affiliates of the Advisor for the computation of expected return, volatility
and trading cost and the determination of optimal positions and consequent leverage in accordance with the risk and return targets of the Portfolio. These risk and return targets take into account certain financial measurements known as annualized
portfolio return volatility and Sharpe ratio. Annualized portfolio return volatility is a quantitative measure used to assess a portfolios deviation above or below its average returns over a one year period. The Portfolios construction
targets an allocation of annualized portfolio return volatility of 6-8%, which is allocated equally across the investment strategies of the Trust.

The Advisor expects a Sharpe ratio of 0.50 to 0.75 for the Portfolio. A Sharpe ratio is a quantitative measure of the excess return per unit of risk in an investment asset or a trading strategy. The
Advisor measures excess returns as the realized portfolio return minus a one-month Treasury bill benchmark return for the same period being measured. The Advisor measures risk as the annualized portfolio return volatility described above. For
example, a 0.50 Sharpe ratio indicates that for each one percent of excess return, an investor may expect 2% of annualized portfolio return volatility (0.50 = 1%/2%). Also, a 0.75 Sharpe ratio indicates that for each one percent of excess return, an
investor may expect approximately 1.33% of annualized portfolio return volatility (0.75 = 1%/1.33%). Some or all of the Advisors expectations or targets may not be realized by the Trust.

The principals of the Advisor determine the asset allocation for the Portfolio which seeks to achieve a target excess return at a targeted risk level.
The Advisor expects to allocate Trust investments periodically among yield and futures curve arbitrage strategies, technical strategies and fundamental relative value strategies such as those listed above using a mean variance
optimization. Mean variance optimization is a method used to determine portfolio allocations by considering risk and return metrics. The goal of mean variance optimization is to diversify risk based on quantitative analysis of historical
relationships without reducing expected return. There is no guarantee that the Advisor will be able to achieve this goal for the Trust.



29



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##### Table of Contents

Item 8. Financial Statements and Supplementary Data.

Quarterly Income Statements*

(Dollar
amounts in 000s, except for per Share amounts)



|                                                       |  |                                |         |   |                            |   |           |                   |  |   |                  |   |  |   |           |   |  |   |           |  
|------------------------------------------------------ |  | ------------------------------ | ------- | - | -------------------------- | - | --------- | ----------------- |  | - | ---------------- | - |  | - | --------- | - |  | - | --------- | -
|                                                       |  | Three Months Ended (Unaudited) |         |   | Year
EndedDecember 31,2010 |  
|                                                       |  | March 31,2010                  |         |   | June 30,2010               |   |           | September 30,2010 |  |   | December 31,2010 |   | 
|Investment Income                                      |  |                                |         |   |                            |   |           |                   |  |   |                  |   |  |   |           |   |  |   |           |  
|Interest                                               |  | $                              | 7       |   |                            | $ | 23        |                   |  | $ | 34               |   |  | $ | 47        |   |  | $ | 111       |  
|                                                       |  |                                |         |   |                            |   |           |                   |  |   |                  |   |  |   |           |   |  |   |           |  
|Total investment income                                |  |                                | 7       |   |                            |   | 23        |                   |  |   | 34               |   |  |   | 47        |   |  |   | 111       |  
|                                                       |  |                                |         |   |                            |   |           |                   |  |   |                  |   |  |   |           |   |  |   |           |  
|Expenses                                               |  |                                |         |   |                            |   |           |                   |  |   |                  |   |  |   |           |   |  |   |           |  
|Sponsors fees                                         |  |                                | 59      |   |                            |   | 127       |                   |  |   | 195              |   |  |   | 253       |   |  |   | 635       |  
|Brokerage commissions and fees                         |  |                                | 4       |   |                            |   | 10        |                   |  |   | 13               |   |  |   | 14        |   |  |   | 41        |  
|                                                       |  |                                |         |   |                            |   |           |                   |  |   |                  |   |  |   |           |   |  |   |           |  
|Total expenses                                         |  |                                | 64      |   |                            |   | 137       |                   |  |   | 208              |   |  |   | 267       |   |  |   | 676       |  
|                                                       |  |                                |         |   |                            |   |           |                   |  |   |                  |   |  |   |           |   |  |   |           |  
|Net investment loss                                    |  |                                | (57     | ) |                            |   | (114      | )                 |  |   | (174             | ) |  |   | (220      | ) |  |   | (565      | )
|                                                       |  |                                |         |   |                            |   |           |                   |  |   |                  |   |  |   |           |   |  |   |           |  
|Realized and Unrealized Gain (Loss)                    |  |                                |         |   |                            |   |           |                   |  |   |                  |   |  |   |           |   |  |   |           |  
|Net realized gain (loss) on:                           |  |                                |         |   |                            |   |           |                   |  |   |                  |   |  |   |           |   |  |   |           |  
|Short-term investments                                 |  |                                |        |   |                            |   |          |                   |  |   | 0                |   |  |   |          |   |  |   | 0         |  
|Forward currency contracts                             |  |                                | 18      |   |                            |   | 177       |                   |  |   | (154             | ) |  |   | 659       |   |  |   | 700       |  
|Futures contracts                                      |  |                                | (479    | ) |                            |   | 892       |                   |  |   | (52              | ) |  |   | 2,685     |   |  |   | 3,045     |  
|Net change in unrealized appreciation/depreciation on: |  |                                |         |   |                            |   |           |                   |  |   |                  |   |  |   |           |   |  |   |           |  
|Foreign currency translations                          |  |                                | 3       |   |                            |   | (22       | )                 |  |   | 198              |   |  |   | (77       | ) |  |   | 102       |  
|Forward currency contracts                             |  |                                | 164     |   |                            |   | (613      | )                 |  |   | 719              |   |  |   | (445      | ) |  |   | (176      | )
|Futures contracts                                      |  |                                | 304     |   |                            |   | (292      | )                 |  |   | 791              |   |  |   | (2,720    | ) |  |   | (1,918    | )
|                                                       |  |                                |         |   |                            |   |           |                   |  |   |                  |   |  |   |           |   |  |   |           |  
|Net realized and unrealized gain                       |  |                                | 10      |   |                            |   | 141       |                   |  |   | 1,501            |   |  |   | 102       |   |  |   | 1,754     |  
|                                                       |  |                                |         |   |                            |   |           |                   |  |   |                  |   |  |   |           |   |  |   |           |  
|Net gain (loss)                                        |  | $                              | (47     | ) |                            | $ | 28        |                   |  | $ | 1,327            |   |  | $ | (118      | ) |  | $ | 1,190     |  
|                                                       |  |                                |         |   |                            |   |           |                   |  |   |                  |   |  |   |           |   |  |   |           |  
|Net gain (loss) per Share                              |  | $                              | (0.09   | ) |                            | $ | 0.03      |                   |  | $ | 0.81             |   |  | $ | (0.06     | ) |  | $ | 0.88      |  
|Weighted-average Shares outstanding                    |  |                                | 521,111 |   |                            |   | 1,097,802 |                   |  |   | 1,644,565        |   |  |   | 2,093,478 |   |  |   | 1,346,575 |  



30



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##### Table of Contents

|                                                       |  |                                  |         |  
|------------------------------------------------------ |  | -------------------------------- | ------- | -
|                                                       |  | Period EndedDecember 31, 
2009** |        
|Investment Income                                      |  |                                  |         |  
|Interest                                               |  | $                                | 2       |  
|                                                       |  |                                  |         |  
|Total investment income                                |  |                                  | 2       |  
|                                                       |  |                                  |         |  
|Expenses                                               |  |                                  |         |  
|Sponsors fees                                         |  |                                  | 26      |  
|Brokerage commissions and fees                         |  |                                  | 2       |  
|                                                       |  |                                  |         |  
|Total expenses                                         |  |                                  | 28      |  
|                                                       |  |                                  |         |  
|Net investment loss                                    |  |                                  | (26     | )
|                                                       |  |                                  |         |  
|Realized and Unrealized Gain (Loss)                    |  |                                  |         |  
|Net realized gain (loss) on:                           |  |                                  |         |  
|Forward currency contracts                             |  |                                  | 0       |  
|Futures contracts                                      |  |                                  | (67     | )
|Net change in unrealized appreciation/depreciation on: |  |                                  |         |  
|Foreign currency translations                          |  |                                  | (6      | )
|Forward currency contracts                             |  |                                  | 52      |  
|Futures contracts                                      |  |                                  | (126    | )
|                                                       |  |                                  |         |  
|Net realized and unrealized loss                       |  |                                  | (147    | )
|                                                       |  |                                  |         |  
|Net loss                                               |  | $                                | (172    | )
|                                                       |  |                                  |         |  
|Net loss per Share                                     |  | $                                | (0.74   | )
|Weighted-average Shares outstanding                    |  |                                  | 232,184 |  



|* | Certain totals may not sum due to rounding.
|- | -------------------------------------------

|** | Commencement of operations was October 6, 2009.
|-- | -----------------------------------------------

See Index to Financial Statements on page F-1 for a list of the financial statements being filed herein.

Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.

There have been no changes in accountants and no disagreements with accountants during the year ended December 31, 2010.

Item 9A. Controls and Procedures.

The duly authorized
officers of the Sponsor performing functions equivalent to those a principal executive officer and principal financial officer of the Trust would perform if the Trust had any officers, and with the participation of the Trustee, have evaluated the
effectiveness of the Trusts disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust were effective as of the end of the period covered by this report to provide reasonable assurance that
information required to be disclosed in the reports that the Trust file or submit under the Exchange Act is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that it is accumulated
and communicated to the duly authorized officers of the Sponsor performing functions equivalent to those a principal executive officer and principal financial officer of the Trust would perform if the Trust had any officers, as appropriate to allow
timely decisions regarding required disclosure.

There are inherent limitations to the effectiveness of any system of disclosure controls and
procedures, including the possibility of human error and the circumvention or overriding of the controls and procedures.



31



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##### Table of Contents

Managements Report on Internal Control over Financial Reporting

The Sponsors management is responsible for establishing and maintaining adequate internal control over financial reporting, as defined in Exchange
Act Rules 13a-15(f) and 15d-15(f). The Trusts internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for
external purposes in accordance with accounting principles generally accepted in the United States of America. Internal control over financial reporting includes those policies and procedures that: (1) pertain to the maintenance of records
that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the Trusts assets; (2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements
in accordance with generally accepted accounting principles, and that the Trusts receipts and expenditures are being made only in accordance with appropriate authorizations; and (3) provide reasonable assurance regarding prevention or
timely detection of unauthorized acquisition, use, or disposition of the Trusts assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject
to the risk that controls may become ineffective because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

The principal executive officer and principal financial officer of the Sponsor assessed the effectiveness of the Trusts internal control over financial reporting as of December 31, 2010. Their
assessment included an evaluation of the design of the Trusts internal control over financial reporting and testing of the operational effectiveness of their internal control over financial reporting. In making its assessment, the
Sponsors management has utilized the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in its report entitled Internal Control  Integrated Framework.Based on their assessment and
those criteria, the principal executive officer and principal financial officer of the Sponsor conclude that the Trust maintained effective internal control over financial reporting as of December 31, 2010.

The effectiveness of the Trusts internal control over financial reporting as of December 31, 2010 has been audited by PricewaterhouseCoopers
LLP, the independent registered public accounting firm that audited and reported on the financial statements included in this annual report, as stated in their reports which are included herein.

Changes in Internal Control over Financial Reporting

There were no changes in the Trusts internal control over financial reporting that occurred during the Trusts fourth fiscal quarter of the period covered by this report that have materially
affected, or are reasonably likely to materially affect, the Trusts internal control over financial reporting.

Item 
9B. Other Information.

Not applicable.



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##### Table of Contents

PART III

Item 10. Directors, Executive Officers and Corporate Governance.

Not applicable.

Item 11. Executive Compensation.

Not applicable.

Item 12. Security Ownership of Certain
Beneficial Owners and Management and Related Stockholder Matters.

Securities Authorized for Issuance under Equity Compensation Plans

Not applicable.

Security
Ownership of Certain Beneficial Owners and Management

Not applicable.

Item 13. Certain Relationships and Related Transactions, and Director Independence.

Not applicable.

Item 14. Principal Accounting Fees and
Services.

(1) to (4). Fees for services performed by PricewaterhouseCoopers LLP for the year ended December 31, 2010 and the period
from October 6, 2009 (commencement of operations) through December 31, 2009 were:



|                   |  |      |         |  |      |   |        | 
|------------------ |  | ---- | ------- |  | ---- | - | ------ | 
|                   |  | 2010 |         |  | 2009 |  
|Audit fees         |  | $    | 63,001  |  |      | $ | 10,000 | 
|Audit-related fees |  |      |        |  |      |   |       | 
|Tax fees           |  |      | 376,741 |  |      |   | 28,000 | 
|All other fees     |  |      |        |  |      |   |       | 
|                   |  |      |         |  |      |   |        | 
|                   |  | $    | 439,742 |  |      | $ | 38,000 | 
|                   |  |      |         |  |      |   |        | 

PricewaterhouseCoopers LLP provides certain tax compliance and reporting services to the Trust, including processing
beneficial ownership information as it relates to the preparation of tax reporting packages and the subsequent delivery of related information to the IRS. Services also include assistance with tax reporting and related information using a web-based
tax package product developed by PricewaterhouseCoopers LLP and a toll-free tax package support help line.

(5) The Audit Committee of the
Board of Directors of the Sponsor approved, prior to the commencement of the engagement, the engagement of, and compensation to be paid to, PricewaterhouseCoopers LLP as auditors of the registrant.

(6) None of the hours expended on PricewaterhouseCoopers LLPs engagement to audit the registrants financial statements for the year ended
December 31, 2010 were attributable to work performed by persons other than the principal accountants full-time, permanent employees.



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##### Table of Contents

PART IV

Item 15. Exhibits, Financial Statement Schedules.

a)(1) See Index to Financial Statements on Page F-1 for a list of the financial statements being filed as part of this report.

a)(2) Schedules may have been omitted since they are either not required, not applicable, or the information has otherwise been included.

a)(3)



|            |  |                                                                                                                                                                                                
|----------- |  | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|Exhibit No. |  | Description                                                                                                                                                                                    
|4.1         |  | First Amended and Restated Trust Agreement incorporated by reference to Exhibit 4.1 filed with Amendment No. 5 to Registration Statement No. 333-153099 on October 13,
2009                    
|            | 
|4.2         |  | Creation and Redemption Procedures incorporated by reference to Exhibit 4.2 filed with Amendment No. 5 to Registration Statement No. 333-153099 on October 13,
2009                            
|            | 
|4.3         |  | Standard Terms of Authorized Participant Agreement incorporated by reference to Exhibit 4.3 filed with Amendment No. 5 to Registration Statement No. 333-153099 on October 13,
2009            
|            | 
|10.1        |  | Investment Advisory Agreement incorporated by reference to Exhibit 10.1 filed with Amendment No. 5 to Registration Statement No. 333-153099 on October 13, 2009                                
|            | 
|10.2        |  | Futures Commission Merchant Agreement incorporated by reference to Exhibit 10.2 filed with Amendment No. 5 to Registration Statement No. 333-153099 on October 13,
2009                        
|            | 
|10.3        |  | Foreign Exchange Prime Brokerage Agency Agreement incorporated by reference to Exhibit 10.3 filed with Post Effective Amendment No. 2 to Registration Statement 333-153099 on
October 12, 2010*
|            | 
|31.1        |  | Certification by Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002                                                                                         
|            | 
|31.2        |  | Certification by Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002                                                                                         
|            | 
|32.1        |  | Certification by Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002                                          
|            | 
|32.2        |  | Certification by Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, As Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002                                          



|* | Confidential portions of this document have been filed separately with the Securities and Exchange Commission pursuant to a request for confidential treatment.
|- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------



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##### Table of Contents

iShares® Diversified Alternatives Trust

Financial Statements

Index



|                                                                                                                                                                                |  |      |     | 
|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | ---- | --- | 
|                                                                                                                                                                                |  | Page |    
|Report of Independent Registered Public Accounting Firm                                                                                                                         |  |      | F-2 | 
|                                                                                                                                                                                | 
|Statements of Financial Condition at December 31, 2010 and 2009                                                                                                                 |  |      | F-3 | 
|                                                                                                                                                                                | 
|Statements of Operations for the year ended December 31, 2010 and the period from October 6, 2009 (commencement of operations) through December 
31, 2009                       |  |      | F-4 | 
|                                                                                                                                                                                | 
|Statements of Changes in Shareholders Capital for the year ended December 31, 2010 and the period from October 
6, 2009 (commencement of operations) through December 31, 2009 |  |      | F-5 | 
|                                                                                                                                                                                | 
|Statements of Cash Flows for the year ended December 31, 2010 and the period from October 6, 2009 (commencement of operations) through December 
31, 2009                       |  |      | F-6 | 
|                                                                                                                                                                                | 
|Schedule of Investments at December 31, 2010                                                                                                                                    |  |      | F-7 | 
|                                                                                                                                                                                | 
|Notes to Financial Statements                                                                                                                                                   |  |      | F-9 | 



F-1



---

##### Table of Contents

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Sponsor, Trustee and Shareholders of

iShares® Diversified Alternatives Trust:

In our opinion, the financial statements listed in the accompanying index present fairly, in all material respects, the financial
position of iShares® Diversified Alternatives Trust (the Trust) at December 31, 2010 and 2009,
and the results of its operations and its cash flows for the year ended December 31, 2010 and the period from October 6, 2009 (commencement of operations) through December 31, 2009, in conformity with accounting principles generally
accepted in the United States of America. Also in our opinion, the Trust maintained, in all material respects, effective internal control over financial reporting as of December 31, 2010, based on criteria established in Internal Control -
Integrated Framework issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO). The Sponsors management is responsible for these financial statements, for maintaining effective internal control over financial
reporting and for its assessment of the effectiveness of internal control over financial reporting, included in Managements Report on Internal Control over Financial Reporting appearing under Item 9A. Our responsibility is to express
opinions on these financial statements and on the Trusts internal control over financial reporting based on our integrated audits. We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board
(United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatement and whether effective internal control over financial reporting was
maintained in all material respects. Our audits of the financial statements included examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant
estimates made by management, and evaluating the overall financial statement presentation. Our audit of internal control over financial reporting included obtaining an understanding of internal control over financial reporting, assessing the risk
that a material weakness exists, and testing and evaluating the design and operating effectiveness of internal control based on the assessed risk. Our audits also included performing such other procedures as we considered necessary in the
circumstances. We believe that our audits provide a reasonable basis for our opinions.

A trusts internal control over financial
reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles. A
trusts internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the
assets of the trust; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of
the trust are being made only in accordance with authorizations of management and directors of the trust; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the
trusts assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over
financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of
compliance with the policies or procedures may deteriorate.

/s/ PricewaterhouseCoopers LLP

San Francisco, California

March 24, 2011



F-2



---

##### Table of Contents

iShares® Diversified Alternatives Trust

Statements of Financial Condition

At December 31, 2010 and 2009



|                                                                                                                                                                                                          |  |              |             |  |      |   |            | 
|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | ------------ | ----------- |  | ---- | - | ---------- | 
|                                                                                                                                                                                                          |  | December 31, |            
|                                                                                                                                                                                                          |  | 2010         |             |  | 2009 |  
|Assets                                                                                                                                                                                                    |  |              |             |  |      |   |            | 
|Current Assets                                                                                                                                                                                            |  |              |             |  |      |   |            | 
|Cash and cash equivalents                                                                                                                                                                                 |  | $            | 3,309,973   |  |      | $ | 166,599    | 
|Cash and cash equivalents held at brokers (restricted)                                                                                                                                                    |  |              | 2,695,461   |  |      |   | 717,390    | 
|Foreign currencies held at brokersa(restricted)                                                                                                                                                           |  |              | 6,926,407   |  |      |   | 557,927    | 
|Short-term investments                                                                                                                                                                                    |  |              | 100,261,940 |  |      |   | 13,497,674 | 
|Interest receivable                                                                                                                                                                                       |  |              | 1,834       |  |      |   | 1,005      | 
|Unrealized appreciation on forward currency contracts                                                                                                                                                     |  |              | 3,620,413   |  |      |   | 202,759    | 
|                                                                                                                                                                                                          |  |              |             |  |      |   |            | 
|Total Assets                                                                                                                                                                                              |  | $            | 116,816,028 |  |      | $ | 15,143,354 | 
|                                                                                                                                                                                                          |  |              |             |  |      |   |            | 
|Liabilities and Shareholders Capital                                                                                                                                                                     |  |              |             |  |      |   |            | 
|Current Liabilities                                                                                                                                                                                       |  |              |             |  |      |   |            | 
|Net unrealized depreciation on futures contracts (Note 9)                                                                                                                                                 |  | $            | 2,043,296   |  |      | $ | 125,679    | 
|Sponsors fees payable                                                                                                                                                                                    |  |              | 89,735      |  |      |   | 11,652     | 
|Unrealized depreciation on forward currency contracts                                                                                                                                                     |  |              | 3,744,316   |  |      |   | 150,826    | 
|                                                                                                                                                                                                          |  |              |             |  |      |   |            | 
|Total Liabilities                                                                                                                                                                                         |  |              | 5,877,347   |  |      |   | 288,157    | 
|                                                                                                                                                                                                          |  |              |             |  |      |   |            | 
|Commitments and Contingent Liabilities (Notes 6 and 7)                                                                                                                                                    |  |              |            |  |      |   |           | 
|Shareholders Capital                                                                                                                                                                                     |  |              |             |  |      |   |            | 
|Redeemable capital Shares, no par value, unlimited amount authorized(at redemption value) - 2,200,000 issued and outstanding
at December 31, 2010 and 300,000 issued and outstanding at December 31, 2009 |  |              | 110,931,481 |  |      |   | 14,854,397 | 
|Additional paid-in capital                                                                                                                                                                                |  |              | 7,200       |  |      |   | 800        | 
|                                                                                                                                                                                                          |  |              |             |  |      |   |            | 
|Total Shareholders Capital                                                                                                                                                                               |  |              | 110,938,681 |  |      |   | 14,855,197 | 
|                                                                                                                                                                                                          |  |              |             |  |      |   |            | 
|Total Liabilities and Shareholders Capital                                                                                                                                                               |  | $            | 116,816,028 |  |      | $ | 15,143,354 | 
|                                                                                                                                                                                                          |  |              |             |  |      |   |            | 



|a | Cost of foreign currencies at December 31, 2010 and 2009: $6,830,250 and $564,172, respectively.
|- | ------------------------------------------------------------------------------------------------

See notes to financial statements.



F-3



---

##### Table of Contents

iShares® Diversified Alternatives Trust

Statements of Operations

For the year ended December 31, 2010 and the
period from October 6, 2009

(commencement of operations) through December 31, 2009



|                                                       |  |                             |            |   |                                                                                  |   |          |  
|------------------------------------------------------ |  | --------------------------- | ---------- | - | -------------------------------------------------------------------------------- | - | -------- | -
|                                                       |  | Year EndedDecember 31, 2010 |            |   | Period from October 6,2009 (Commencement ofOperations) 
throughDecember 31, 2009 |  
|Investment Income                                      |  |                             |            |   |                                                                                  |   |          |  
|Interest                                               |  | $                           | 111,049    |   |                                                                                  | $ | 2,444    |  
|                                                       |  |                             |            |   |                                                                                  |   |          |  
|Total investment income                                |  |                             | 111,049    |   |                                                                                  |   | 2,444    |  
|                                                       |  |                             |            |   |                                                                                  |   |          |  
|Expenses                                               |  |                             |            |   |                                                                                  |   |          |  
|Sponsors fees                                         |  |                             | 634,698    |   |                                                                                  |   | 26,019   |  
|Brokerage commissions and fees                         |  |                             | 41,174     |   |                                                                                  |   | 1,933    |  
|                                                       |  |                             |            |   |                                                                                  |   |          |  
|Total expenses                                         |  |                             | 675,872    |   |                                                                                  |   | 27,952   |  
|                                                       |  |                             |            |   |                                                                                  |   |          |  
|Net investment loss                                    |  |                             | (564,823   | ) |                                                                                  |   | (25,508  | )
|                                                       |  |                             |            |   |                                                                                  |   |          |  
|Realized and Unrealized Gain (Loss)                    |  |                             |            |   |                                                                                  |   |          |  
|Net realized gain (loss) on:                           |  |                             |            |   |                                                                                  |   |          |  
|Short-term investments                                 |  |                             | 199        |   |                                                                                  |   |         |  
|Forward currency contracts                             |  |                             | 699,926    |   |                                                                                  |   | 435      |  
|Futures contracts                                      |  |                             | 3,045,389  |   |                                                                                  |   | (67,036  | )
|Net change in unrealized appreciation/depreciation on: |  |                             |            |   |                                                                                  |   |          |  
|Foreign currency translations                          |  |                             | 102,402    |   |                                                                                  |   | (6,245   | )
|Forward currency contracts                             |  |                             | (175,836   | ) |                                                                                  |   | 51,933   |  
|Futures contracts                                      |  |                             | (1,917,712 | ) |                                                                                  |   | (125,582 | )
|                                                       |  |                             |            |   |                                                                                  |   |          |  
|Net realized and unrealized gain (loss)                |  |                             | 1,754,368  |   |                                                                                  |   | (146,495 | )
|                                                       |  |                             |            |   |                                                                                  |   |          |  
|Net gain (loss)                                        |  | $                           | 1,189,545  |   |                                                                                  | $ | (172,003 | )
|                                                       |  |                             |            |   |                                                                                  |   |          |  
|Net gain (loss) per Share                              |  | $                           | 0.88       |   |                                                                                  | $ | (0.74    | )
|Weighted-average Shares outstanding                    |  |                             | 1,346,575  |   |                                                                                  |   | 232,184  |  

See notes to financial statements.



F-4



---

##### Table of Contents

iShares® Diversified Alternatives Trust

Statements of Changes in Shareholders Capital

For the year ended
December 31, 2010 and the period from October 6, 2009

(commencement of operations) through December 31, 2009



|                                                       |  |                             |             |   |                                                                                  |   |            |  
|------------------------------------------------------ |  | --------------------------- | ----------- | - | -------------------------------------------------------------------------------- | - | ---------- | -
|                                                       |  | Year EndedDecember 31, 2010 |             |   | Period from October 6,2009 (Commencement ofOperations) 
throughDecember 31, 2009 |  
|Shareholders Capital, Beginning of Period             |  | $                           | 14,855,197  |   |                                                                                  | $ |           |  
|Contributions                                          |  |                             | 94,893,939  |   |                                                                                  |   | 15,027,200 |  
|Net investment loss                                    |  |                             | (564,823    | ) |                                                                                  |   | (25,508    | )
|Net realized gain (loss) on:                           |  |                             |             |   |                                                                                  |   |            |  
|Short-term investments                                 |  |                             | 199         |   |                                                                                  |   |           |  
|Forward currency contracts                             |  |                             | 699,926     |   |                                                                                  |   | 435        |  
|Futures contracts                                      |  |                             | 3,045,389   |   |                                                                                  |   | (67,036    | )
|Net change in unrealized appreciation/depreciation on: |  |                             |             |   |                                                                                  |   |            |  
|Foreign currency translations                          |  |                             | 102,402     |   |                                                                                  |   | (6,245     | )
|Forward currency contracts                             |  |                             | (175,836    | ) |                                                                                  |   | 51,933     |  
|Futures contracts                                      |  |                             | (1,917,712  | ) |                                                                                  |   | (125,582   | )
|                                                       |  |                             |             |   |                                                                                  |   |            |  
|Shareholders Capital, End of Period                   |  | $                           | 110,938,681 |   |                                                                                  | $ | 14,855,197 |  
|                                                       |  |                             |             |   |                                                                                  |   |            |  
|Net Asset Value per Share, End of Period               |  | $                           | 50.43       |   |                                                                                  | $ | 49.52      |  

See notes to financial statements.



F-5



---

##### Table of Contents

iShares® Diversified Alternatives Trust

Statements of Cash Flows

For the year ended December 31, 2010 and the
period from October 6, 2009

(commencement of operations) through December 31, 2009



|                                                                                   |  |                             |              |   |                                                                                  |   |             |  
|---------------------------------------------------------------------------------- |  | --------------------------- | ------------ | - | -------------------------------------------------------------------------------- | - | ----------- | -
|                                                                                   |  | Year EndedDecember 31, 2010 |              |   | Period from October 6,2009 (Commencement ofOperations) 
throughDecember 31, 2009 |  
|Cash Flows from Operating Activities                                               |  |                             |              |   |                                                                                  |   |             |  
|Net gain (loss)                                                                    |  | $                           | 1,189,545    |   |                                                                                  | $ | (172,003    | )
|Adjustments to reconcile net gain (loss) to net cash used in operating activities: |  |                             |              |   |                                                                                  |   |             |  
|Purchases of short-term investments                                                |  |                             | (188,417,529 | ) |                                                                                  |   | (22,496,236 | )
|Sales/maturities of short-term investments                                         |  |                             | 101,756,444  |   |                                                                                  |   | 9,000,000   |  
|Accretion of discount                                                              |  |                             | (102,982     | ) |                                                                                  |   | (1,438      | )
|Net realized gain on short-term investments                                        |  |                             | (199         | ) |                                                                                  |   |            |  
|Net change in unrealized depreciation on futures contracts                         |  |                             | 1,906,344    |   |                                                                                  |   | 123,565     |  
|Change in operating assets and liabilities:                                        |  |                             |              |   |                                                                                  |   |             |  
|Cash and cash equivalents held at brokers (restricted)                             |  |                             | (1,978,071   | ) |                                                                                  |   | (717,390    | )
|Foreign currencies held at brokers (restricted)                                    |  |                             | (6,266,078   | ) |                                                                                  |   | (564,172    | )
|Interest receivable                                                                |  |                             | (829         | ) |                                                                                  |   | (1,005      | )
|Sponsors fees payable                                                             |  |                             | 78,083       |   |                                                                                  |   | 11,652      |  
|                                                                                   |  |                             |              |   |                                                                                  |   |             |  
|Net cash used in operating activities                                              |  |                             | (91,835,272  | ) |                                                                                  |   | (14,817,027 | )
|                                                                                   |  |                             |              |   |                                                                                  |   |             |  
|Cash Flows from Financing Activities                                               |  |                             |              |   |                                                                                  |   |             |  
|Contributions                                                                      |  |                             | 94,893,939   |   |                                                                                  |   | 15,027,200  |  
|                                                                                   |  |                             |              |   |                                                                                  |   |             |  
|Net cash provided by financing activities                                          |  |                             | 94,893,939   |   |                                                                                  |   | 15,027,200  |  
|                                                                                   |  |                             |              |   |                                                                                  |   |             |  
|Effect of exchange rate changes on cash                                            |  |                             | 84,707       |   |                                                                                  |   | (43,574     | )
|                                                                                   |  |                             |              |   |                                                                                  |   |             |  
|Net increase in cash and cash equivalents                                          |  |                             | 3,143,374    |   |                                                                                  |   | 166,599     |  
|                                                                                   |  |                             |              |   |                                                                                  |   |             |  
|Cash and Cash Equivalents                                                          |  |                             |              |   |                                                                                  |   |             |  
|Beginning of period                                                                |  |                             | 166,599      |   |                                                                                  |   |            |  
|                                                                                   |  |                             |              |   |                                                                                  |   |             |  
|End of period                                                                      |  | $                           | 3,309,973    |   |                                                                                  | $ | 166,599     |  
|                                                                                   |  |                             |              |   |                                                                                  |   |             |  

See notes to financial statements.



F-6



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##### Table of Contents

iShares® Diversified Alternatives Trust

Schedule of Investments

At December 31, 2010



|            |                |  |                      |                                              |            |   |             | 
|----------- | -------------- |  | -------------------- | -------------------------------------------- | ---------- | - | ----------- | 
|Face Amount |                |  | Security Description |                                              | Fair Value |  
|            |                |  |                      | United States Treasury Bills                 |            |   |             | 
|            | $    8,800,000 |  |                      | 0.19% due 1/20/11                            |            | $ | 8,799,097   | 
|            | 5,500,000      |  |                      | 0.13% - 0.18% due 2/10/11                    |            |   | 5,499,146   | 
|            | 8,900,000      |  |                      | 0.18% due 2/17/11                            |            |   | 8,897,879   | 
|            | 9,000,000      |  |                      | 0.18% due 3/03/11                            |            |   | 8,997,293   | 
|            | 8,000,000      |  |                      | 0.18% due 3/10/11                            |            |   | 7,997,288   | 
|            | 5,600,000      |  |                      | 0.16% - 0.19% due 3/17/11                    |            |   | 5,598,126   | 
|            | 19,500,000     |  |                      | 0.15% due 4/07/11                            |            |   | 19,492,174  | 
|            | 26,500,000     |  |                      | 0.17% due 4/14/11                            |            |   | 26,487,452  | 
|            | 8,500,000      |  |                      | 0.19% - 0.20% due 5/26/11                    |            |   | 8,493,485   | 
|            |                |  |                      |                                              |            |   |             | 
|            |                |  |                      | Total United States Treasury Bills  90.38%* |            | $ | 100,261,940 | 
|            |                |  |                      |                                              |            |   |             | 



|* | Percentage is based on shareholders capital.
|- | ---------------------------------------------



| |  | As of December 31, 2010, open forward currency contracts held by the Trust were as follows:
|- |  | -------------------------------------------------------------------------------------------



|                            |  |                         |     |          |                       |  |             |                        |  |  |                      |  |  |                                      |             |  |  |   |            |  
|--------------------------- |  | ----------------------- | --- | -------- | --------------------- |  | ----------- | ---------------------- |  |  | -------------------- |  |  | ------------------------------------ | ----------- |  |  | - | ---------- | -
|Settlement
Date             |  | Currency to beDelivered |     |          | Amount to beDelivered |  |             | Currency to beReceived |  |  | Amount to beReceived |  |  | UnrealizedAppreciation(Depreciation) |            
|1/7/2011                    |  |                         | EUR |          |                       |  | 24,261,513  |                        |  |  | USD                  |  |  |                                      | 33,199,363  |  |  | $ | 651,452    |  
|1/7/2011                    |  |                         | GBP |          |                       |  | 1,479,000   |                        |  |  | USD                  |  |  |                                      | 2,329,280   |  |  |   | 13,716     |  
|1/7/2011                    |  |                         | USD |          |                       |  | 22,352,994  |                        |  |  | AUD                  |  |  |                                      | 23,117,071  |  |  |   | 1,337,284  |  
|1/7/2011                    |  |                         | USD |          |                       |  | 13,665,412  |                        |  |  | CAD                  |  |  |                                      | 13,708,411  |  |  |   | 129,758    |  
|1/7/2011                    |  |                         | USD |          |                       |  | 27,364,645  |                        |  |  | CHF                  |  |  |                                      | 25,820,507  |  |  |   | 337,767    |  
|1/7/2011                    |  |                         | USD |          |                       |  | 32,137,983  |                        |  |  | EUR                  |  |  |                                      | 24,194,823  |  |  |   | 320,460    |  
|1/7/2011                    |  |                         | USD |          |                       |  | 262,439     |                        |  |  | GBP                  |  |  |                                      | 168,774     |  |  |   | 1,798      |  
|1/7/2011                    |  |                         | USD |          |                       |  | 7,944,283   |                        |  |  | JPY                  |  |  |                                      | 650,969,523 |  |  |   | 82,139     |  
|1/7/2011                    |  |                         | USD |          |                       |  | 5,154,191   |                        |  |  | NOK                  |  |  |                                      | 30,371,000  |  |  |   | 70,161     |  
|1/7/2011                    |  |                         | USD |          |                       |  | 14,873,443  |                        |  |  | SEK                  |  |  |                                      | 100,784,682 |  |  |   | 116,440    |  
|4/5/2011                    |  |                         | USD |          |                       |  | 21,243,334  |                        |  |  | AUD                  |  |  |                                      | 21,228,071  |  |  |   | 271,320    |  
|4/5/2011                    |  |                         | USD |          |                       |  | 7,065,289   |                        |  |  | GBP                  |  |  |                                      | 4,594,040   |  |  |   | 122,183    |  
|4/5/2011                    |  |                         | USD |          |                       |  | 27,580,527  |                        |  |  | SEK                  |  |  |                                      | 187,172,654 |  |  |   | 165,935    |  
|                            |  |                         |     |          |                       |  |             |                        |  |  |                      |  |  |                                      |             |  |  |   |            |  
|                            |  |                         |     |          |                       |  |             |                        |  |  |                      |  |  |                                      |             |  |  |   | 3,620,413  |  
|                            |  |                         |     |          |                       |  |             |                        |  |  |                      |  |  |                                      |             |  |  |   |            |  
|                            |  |                         |     |          |                      
|1/7/2011                    |  |                         | AUD |          |                       |  | 23,117,071  |                        |  |  | USD                  |  |  |                                      | 23,302,989  |  |  |   | (387,290   | )
|1/7/2011                    |  |                         | CAD |          |                       |  | 13,708,411  |                        |  |  | USD                  |  |  |                                      | 13,356,636  |  |  |   | (438,533   | )
|1/7/2011                    |  |                         | CHF |          |                       |  | 25,820,507  |                        |  |  | USD                  |  |  |                                      | 26,572,675  |  |  |   | (1,129,737 | )
|1/7/2011                    |  |                         | EUR |          |                       |  | 4,637,310   |                        |  |  | USD                  |  |  |                                      | 6,184,768   |  |  |   | (36,392    | )
|1/7/2011                    |  |                         | GBP |          |                       |  | 4,594,040   |                        |  |  | USD                  |  |  |                                      | 7,070,228   |  |  |   | (122,329   | )
|1/7/2011                    |  |                         | JPY |          |                       |  | 849,291,000 |                        |  |  | USD                  |  |  |                                      | 10,267,084  |  |  |   | (204,633   | )
|1/7/2011                    |  |                         | NOK |          |                       |  | 37,676,000  |                        |  |  | USD                  |  |  |                                      | 6,376,589   |  |  |   | (104,353   | )
|1/7/2011                    |  |                         | SEK |          |                       |  | 187,172,654 |                        |  |  | USD                  |  |  |                                      | 27,669,639  |  |  |   | (168,878   | )
|1/7/2011                    |  |                         | USD |          |                       |  | 6,494,477   |                        |  |  | EUR                  |  |  |                                      | 4,704,000   |  |  |   | (183,850   | )
|1/7/2011                    |  |                         | USD |          |                       |  | 9,373,374   |                        |  |  | GBP                  |  |  |                                      | 5,904,266   |  |  |   | (129,491   | )
|1/7/2011                    |  |                         | USD |          |                       |  | 2,461,135   |                        |  |  | JPY                  |  |  |                                      | 198,321,477 |  |  |   | (15,841    | )
|1/7/2011                    |  |                         | USD |          |                       |  | 1,270,601   |                        |  |  | NOK                  |  |  |                                      | 7,305,000   |  |  |   | (14,011    | )
|1/7/2011                    |  |                         | USD |          |                       |  | 13,106,353  |                        |  |  | SEK                  |  |  |                                      | 86,387,972  |  |  |   | (257,718   | )
|4/5/2011                    |  |                         | CAD |          |                       |  | 12,297,411  |                        |  |  | USD                  |  |  |                                      | 12,275,487  |  |  |   | (74,810    | )
|4/5/2011                    |  |                         | CHF |          |                       |  | 20,322,507  |                        |  |  | USD                  |  |  |                                      | 21,715,630  |  |  |   | (111,515   | )
|4/5/2011                    |  |                         | EUR |          |                       |  | 24,194,823  |                        |  |  | USD                  |  |  |                                      | 32,126,999  |  |  |   | (321,510   | )
|4/5/2011                    |  |                         | JPY |          |                       |  | 335,141,131 |                        |  |  | USD                  |  |  |                                      | 4,103,546   |  |  |   | (32,656    | )
|4/5/2011                    |  |                         | NOK |          |                       |  | 4,770,538   |                        |  |  | USD                  |  |  |                                      | 806,193     |  |  |   | (10,769    | )
|                            |  |                         |     |          |                       |  |             |                        |  |  |                      |  |  |                                      |             |  |  |   |            |  
|                            |  |                         |     |          |                       |  |             |                        |  |  |                      |  |  |                                      |             |  |  |   | (3,744,316 | )
|                            |  |                         |     |          |                       |  |             |                        |  |  |                      |  |  |                                      |             |  |  |   |            |  
|Net Unrealized Depreciation |  |                         | $   | (123,903 | )                    
|                            |  |                         |     |          |                       |  |             |                        |  |  |                      |  |  |                                      |             |  |  |   |            |  



F-7



---

##### Table of Contents

| |  | As of December 31, 2010, open futures contracts held by the Trust were as follows:
|- |  | ----------------------------------------------------------------------------------



|                            |  |                    |      |            |                 |  |            |                 |  |  |                                      |   |  |   |            |  
|--------------------------- |  | ------------------ | ---- | ---------- | --------------- |  | ---------- | --------------- |  |  | ------------------------------------ | - |  | - | ---------- | -
|Contract Type               |  | Number ofContracts |      |            | Expiration Date |  |            | Notional Amount |  |  | UnrealizedAppreciation(Depreciation) |  
|Equity Contracts            |  |                    |      |            |                 |  |            |                 |  |  |                                      |   |  |   |            |  
|MSCI Taiwan Index           |  |                    | (11  | )          |                 |  | 1/28/2011  |                 |  |  | (351,230                             | ) |  | $ | (4,950     | )
|TOPIX Index                 |  |                    | 28   |            |                 |  | 3/11/2011  |                 |  |  | 3,093,274                            |   |  |   | 61,451     |  
|S&P/TSX 60 Index            |  |                    | (12  | )          |                 |  | 3/17/2011  |                 |  |  | (1,852,805                           | ) |  |   | (30,622    | )
|SPI 200 Index               |  |                    | (131 | )          |                 |  | 3/17/2011  |                 |  |  | (15,878,796                          | ) |  |   | 100,711    |  
|AEX Index                   |  |                    | 1    |            |                 |  | 3/18/2011  |                 |  |  | 94,995                               |   |  |   | 939        |  
|CAC 40 10-Year Euro         |  |                    | 132  |            |                 |  | 3/18/2011  |                 |  |  | 6,752,240                            |   |  |   | (152,293   | )
|DAX Index                   |  |                    | 54   |            |                 |  | 3/18/2011  |                 |  |  | 12,545,445                           |   |  |   | (219,142   | )
|FTSE 100 Index              |  |                    | 55   |            |                 |  | 3/18/2011  |                 |  |  | 5,074,509                            |   |  |   | 64,153     |  
|S&P 500 E-mini Index        |  |                    | (91  | )          |                 |  | 3/18/2011  |                 |  |  | (5,701,150                           | ) |  |   | (77,805    | )
|Hang Seng Index             |  |                    | (26  | )          |                 |  | 3/30/2011  |                 |  |  | (3,847,999                           | ) |  |   | (70,739    | )
|                            |  |                    |      |            |                 |  |            |                 |  |  |                                      |   |  |   |            |  
|                            |  |                    |      |            |                 |  |            |                 |  |  |                                      |   |  |   | (328,297   | )
|                            |  |                    |      |            |                 |  |            |                 |  |  |                                      |   |  |   |            |  
|Interest Rate Contracts     |  |                    |      |            |                 |  |            |                 |  |  |                                      |   |  |   |            |  
|Euro Bund                   |  |                    | 45   |            |                 |  | 3/8/2011   |                 |  |  | 7,564,938                            |   |  |   | (39,804    | )
|10-Year Mini JGB            |  |                    | (6   | )          |                 |  | 3/9/2011   |                 |  |  | (1,040,207                           | ) |  |   | 148        |  
|Japan 10-Year Bond          |  |                    | (10  | )          |                 |  | 3/10/2011  |                 |  |  | (17,336,786                          | ) |  |   | 2,466      |  
|3-Month Euribor             |  |                    | (239 | )          |                 |  | 3/14/2011  |                 |  |  | (79,332,035                          | ) |  |   | (60,085    | )
|90-Day Eurodollar           |  |                    | 50   |            |                 |  | 3/14/2011  |                 |  |  | 12,454,375                           |   |  |   | 5,463      |  
|Australian 10-Year Bond     |  |                    | (353 | )          |                 |  | 3/15/2011  |                 |  |  | (37,379,036                          | ) |  |   | (417,440   | )
|3-Month Sterling            |  |                    | 336  |            |                 |  | 3/16/2011  |                 |  |  | 65,231,278                           |   |  |   | 18,240     |  
|Canada 10-Year Bond         |  |                    | (88  | )          |                 |  | 3/22/2011  |                 |  |  | (10,854,204                          | ) |  |   | (72,631    | )
|US 10-Year Note             |  |                    | 212  |            |                 |  | 3/22/2011  |                 |  |  | 25,532,750                           |   |  |   | (779,375   | )
|Long Gilt                   |  |                    | 163  |            |                 |  | 3/29/2011  |                 |  |  | 30,493,979                           |   |  |   | (144,056   | )
|3-Month Euribor             |  |                    | (240 | )          |                 |  | 6/13/2011  |                 |  |  | (79,599,574                          | ) |  |   | (57,553    | )
|90-Day Eurodollar           |  |                    | 50   |            |                 |  | 6/13/2011  |                 |  |  | 12,445,000                           |   |  |   | 3,488      |  
|3-Month Sterling            |  |                    | 336  |            |                 |  | 6/15/2011  |                 |  |  | 65,165,521                           |   |  |   | 1,859      |  
|3-Month Euribor             |  |                    | (239 | )          |                 |  | 9/19/2011  |                 |  |  | (79,195,767                          | ) |  |   | (32,549    | )
|90-Day Eurodollar           |  |                    | 50   |            |                 |  | 9/19/2011  |                 |  |  | 12,430,625                           |   |  |   | (1,088     | )
|3-Month Sterling            |  |                    | 336  |            |                 |  | 9/21/2011  |                 |  |  | 65,066,885                           |   |  |   | (24,170    | )
|3-Month Euribor             |  |                    | (239 | )          |                 |  | 12/19/2011 |                 |  |  | (79,091,562                          | ) |  |   | (172,054   | )
|90-Day Eurodollar           |  |                    | 50   |            |                 |  | 12/19/2011 |                 |  |  | 12,408,750                           |   |  |   | 14,688     |  
|3-Month Sterling            |  |                    | 336  |            |                 |  | 12/21/2011 |                 |  |  | 64,935,370                           |   |  |   | 39,454     |  
|                            |  |                    |      |            |                 |  |            |                 |  |  |                                      |   |  |   |            |  
|                            |  |                    |      |            |                 |  |            |                 |  |  |                                      |   |  |   | (1,714,999 | )
|                            |  |                    |      |            |                 |  |            |                 |  |  |                                      |   |  |   |            |  
|Net Unrealized Depreciation |  |                    | $    | (2,043,296 | )              
|                            |  |                    |      |            |                 |  |            |                 |  |  |                                      |   |  |   |            |  

See notes to financial statements.



F-8



---

##### Table of Contents

iShares® Diversified Alternatives Trust

Notes to Financial Statements

December 31, 2010

1 - Organization

The
iShares® Diversified Alternatives Trust (the Trust) is a Delaware statutory trust organized under
the laws of the State of Delaware on July 30, 2009 and commenced operations on October 6, 2009.
iShares® Delaware Trust Sponsor LLC is the sponsor of the Trust (the Sponsor). The sole member and
manager of the Sponsor is BlackRock Asset Management International Inc., a Delaware corporation. BlackRock Institutional Trust Company, N.A. is the Trustee of the Trust. The Trust holds long and/or short positions in foreign currency
forward contracts and exchange-traded futures contracts involving assets such as currencies, interest rates and certain eligible stock and/or bond indices. Investments for the Trusts portfolio are selected by BlackRock Fund Advisors (the
Advisor), following investment strategies that utilize quantitative methodologies to identify potentially profitable discrepancies in the relative values or market prices of one or more assets.

The Trust is a commodity pool, as defined in the Commodity Exchange Act (the CEA) and the applicable regulations of the Commodity Futures
Trading Commission (the CFTC) and is operated by the Sponsor, a commodity pool operator registered with the CFTC. The Sponsor is an indirect subsidiary of BlackRock Inc. The Advisor, an indirect subsidiary of BlackRock Inc., serves as
the commodity trading advisor of the Trust and is registered under the CEA.

The Trust is not an investment company registered under the
Investment Company Act of 1940, as amended.

2 - Summary of Significant Accounting Policies



|A. | Basis of Accounting
|-- | -------------------

The following is a
summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The
preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the
date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates and these differences could be material.

Certain amounts in the financial statements for the prior year have been revised to conform to the current financial statement presentation.



|B. | Investment in Forward and Futures Contracts
|-- | -------------------------------------------

A forward contract is an agreement between two parties, one of whom undertakes to purchase from or sell to the other, on a specified future date, a specified quantity of a specified asset at a specified
location in exchange for a specified purchase price. The types of assets involved may vary from foreign currencies to physical commodities and financial assets such as bonds or interest rates. Unlike futures contracts, forward contracts are usually
the subject of negotiation between the parties involved. As a result, forward contracts may have a variety of maturities and involve different amounts of the specified asset.

Futures contracts are standardized forward contracts traded on an exchange. As such, futures contracts and the parties to a futures contract are subject to the regulations of the exchange where the
contracts trade. Each exchange may impose certain margin requirements, setting forth the minimum amount of funds that must be deposited by a futures trader with the futures commission merchant in order to initiate futures trading or to maintain an
open position in futures contracts.



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Forward and futures contracts are derivative instruments and are valued at fair value. The Trusts
derivatives are not designated as hedges, and all changes in the fair value are reflected in the Statements of Operations. The current market value of all open futures contracts, whether traded on a United States exchange or a non-United States
exchange, is determined by State Street Bank and Trust Company (the Trust Administrator). Such current market value is based upon the settlement price for that particular futures contract traded on the applicable exchange on the
date with respect to which net asset value is being determined; provided, that if a futures contract could not be liquidated on such day, due to the operation of daily limits (if applicable) or other rules, procedures or actions of the exchange upon
which that position is traded or otherwise, the settlement price on the most recent day on which the position could have been liquidated is the primary basis for determining the market value of such position for such day.

The current market value of all open forward contracts is based upon the prices determined by the Trust Administrator utilizing data from an
internationally recognized valuation service for assets of that nature. The Trustee periodically assesses the appropriateness of the methodologies used by the valuation service provider in determining the price of forward contracts.

The Trustee may in its discretion (and, under extraordinary circumstances, will) value any asset of the Trust pursuant to other principles that it deems
fair and equitable. In this context, extraordinary circumstances includes, for example, periods during which a valuation price for a forward contract or a settlement price of a futures contract is not available due to events such as
systems failure, natural or man-made disaster, act of God, armed conflict, act of terrorism, riot or labor disruption or any similar intervening circumstance or due to a trading or other restriction imposed by a relevant futures exchange.

The investment objective of the Trust is to maximize absolute returns from its investments in certain futures and/or forward contracts
selected by the Advisor following strategies that utilize quantitative methodologies to identify potentially profitable discrepancies in the relative values or market prices of one or more commodities, currencies, interest rates or certain eligible
stock or bond indices, and seek to reduce the risks and volatility inherent in these investments by taking long and short positions in historically correlated assets. In pursuing its investment objectives, the Trust is subject to equity price risk,
interest rate risk and foreign currency exchange rate risk. The return on assets in the Trust, if any, is not intended to track the performance of any index or other benchmark.

For futures contracts, counterparty credit risk is minimized because futures contracts are exchange-traded and the exchanges clearing house acts as a central counterparty to all exchange-traded
futures contracts (although customers continue to have credit exposure to the clearing member who holds their account). Forward contracts are not exchange-traded, and are therefore subject to counterparty credit risk of The Royal Bank of Scotland
plc, the prime broker of the Trust.

Please refer to Note 9 for additional disclosures regarding the Trusts investments in forward and
futures contracts.



|C. | Cash and Cash Equivalents
|-- | -------------------------

The Trust
defines cash and cash equivalents to be highly liquid investments with original maturities of three months or less.

As of December 31, 2010
and 2009, the Trust had cash and cash equivalents held at brokers of $2,695,461 and $717,390, respectively, which were restricted and held as collateral against margin obligations for open forward and/or futures contracts.



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##### Table of Contents

|D. | Foreign Currencies
|-- | ------------------

The Trust may hold
foreign currencies as collateral for futures contracts traded on exchanges located outside the United States. Foreign currencies are translated into U.S. dollars at the prevailing spot exchange rate. Net realized gain or loss on foreign currencies
on the Statements of Operations arises from the sale of such foreign currencies. Net change in unrealized gain or loss on foreign currency translation on the Statements of Operations arises from changes in foreign currency values resulting from
changes in exchange rates during the period.

The Trust does not isolate the effect of fluctuations in foreign exchange rates from the effect
of fluctuations in the market prices of securities. Such fluctuations are reflected by the Trust as a component of realized and unrealized gains and losses from investments for financial reporting purposes.

As of December 31, 2010 and 2009, the Trust had foreign currencies held at brokers of $6,926,407 and $557,927, respectively, which were restricted and
held as collateral against margin obligations for open futures contracts.



|E. | Short-Term Investments
|-- | ----------------------

Short-term
investments on the Statements of Financial Condition consist principally of short-term fixed income securities with original maturities of one year or less. These investments are valued at fair value.



|F. | Securities Transactions, Income and Expense Recognition
|-- | -------------------------------------------------------

Securities transactions are accounted for on the trade date. Realized gains and losses on investment transactions are determined using the specific identification method. Other income and expenses are
recognized on the accrual basis.



|G. | Income Taxes
|-- | ------------

The Trust is not an
association taxable as a corporation and is treated as a partnership for federal, state and local income tax purposes.

No provision for
federal, state, and local income taxes has been made in the accompanying financial statements because the Trust is not subject to income taxes. Shareholders are individually responsible for their own tax payments on their proportionate share of
income, gain, loss, deduction, expense and credit.



|H. | Calculation of Net Asset Value
|-- | ------------------------------

On each
business day on which NYSE Arca, Inc. (NYSE Arca) is open for regular trading, as soon as practicable after the close of regular trading of the Shares on NYSE Arca (normally 4:15 p.m., New York time), the Trustee determines the net asset
value of the Trust. Net asset value of the Trust means the total assets of the Trust including all cash and cash equivalents or other debt securities less total liabilities of the Trust, each determined on the basis of U.S. GAAP, consistently
applied under the accrual method of accounting. In particular, net asset value of the Trust includes any unrealized profit or loss on open forward contracts and futures contracts, and any other credit or debit accruing to the Trust but unpaid or not
received by the Trust.

3 - Offering of the Shares

The Trust offers Shares on a continuous basis. The Trust issues and redeems Shares only in one or more blocks of 100,000 Shares (Baskets) for a consideration in cash equal to the net asset
value per Basket announced by the Trust on the first business day after the purchase or redemption order is received by the Trust. These transactions take place only with certain broker-dealers with whom the Trust has entered into written
arrangements regarding the issuance and redemption of Shares (such authorized broker-dealers are the Authorized Participants). Only institutions that enter into an agreement with the Trust to become Authorized Participants may purchase
or redeem Baskets. The Trust will not redeem individual Shares or Baskets held by parties who are not Authorized Participants.

Redemptions of
Shares in exchange for a consideration in cash are treated as sales for financial statement purposes.



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##### Table of Contents

4 - Trust Expenses

The Trust incurs all brokerage commissions and other transaction related fees and expenses in connection with the trading activities of the Trust. These expenses are recorded as brokerage commissions and
fees in the Statements of Operations as incurred.

The Sponsor pays the amounts that would otherwise be considered the ordinary operating
expenses, if any, of the Trust. In return, the Sponsor receives an allocation from the Trust that accrues daily at an annualized rate equal to 0.95% of the adjusted net asset value of the Trust.

The Sponsor is obligated under the trust agreement to pay the following administrative, operational and marketing expenses: (1) the fees of the
Trustee, the Advisor, Wilmington Trust Company (the Delaware Trustee), the Trust Administrator and SEI Investments Distribution Co. (the Processing Agent), (2) NYSE Arca listing fees, (3) printing and mailing costs,
(4) audit fees, (5) fees for registration of the Shares with the Securities and Exchange Commission (SEC), (6) tax reporting costs and (7) legal expenses up to $100,000 annually.

5 - Related Parties

iShares® Delaware Trust Sponsor LLC, is the Sponsor of the Trust, and BlackRock Fund Advisors is the Advisor of the Trust. The Sponsor and the Advisor are considered to be related parties to the Trust.

6 - Indemnification

The trust agreement
provides that the Sponsor and its shareholders, directors, officers, employees, affiliates (as such term is defined under the United States Securities Act of 1933, as amended) and subsidiaries shall be indemnified from the Trust and held harmless
against any loss, liability, cost, expense or judgment arising out of or in connection with the performance of their obligations under the trust agreement or any actions taken in accordance with the provisions of the trust agreement incurred without
their (1) negligence, bad faith, willful misconduct or willful malfeasance or (2) reckless disregard of their obligations and duties under the trust agreement.

7 - Commitments and Contingent Liabilities

In the normal course of business, the Trust may
enter into contracts with service providers that contain general indemnification clauses. The Trusts maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet
occurred.



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8 - Financial Highlights

The Trust is presenting the following financial highlights related to investment performance and operations for the year ended December 31, 2010 and the period from October 6, 2009 (commencement
of operations) through December 31, 2009. The net investment income (loss) and total expense ratios are calculated using average net assets. The net investment income (loss) and expense ratios for the period from October 6, 2009 through
December 31, 2009 have been annualized. The total return is based on the change in the net asset value of a Share during the period.



|                                                      |  |                             |       |    |                                                                                  |   |       |   
|----------------------------------------------------- |  | --------------------------- | ----- | -- | -------------------------------------------------------------------------------- | - | ----- | --
|                                                      |  | Year EndedDecember 31, 2010 |       |    | Period from October 6, 2009(Commencement of Operations)through
December 31, 2009 |  
|Net asset value per Share, beginning of period        |  | $                           | 49.52 |    |                                                                                  | $ | 50.00 |   
|                                                      |  |                            
|Net investment loss                                   |  |                             | (0.42 | )  |                                                                                  |   | (0.11 | ) 
|Net realized and unrealized gain (loss)               |  |                             | 1.33  |    |                                                                                  |   | (0.37 | ) 
|                                                      |  |                             |       |    |                                                                                  |   |       |   
|Net increase (decrease) in net assets from operations |  |                             | 0.91  |    |                                                                                  |   | (0.48 | ) 
|                                                      |  |                             |       |    |                                                                                  |   |       |   
|Net asset value per Share, end of period              |  | $                           | 50.43 |    |                                                                                  | $ | 49.52 |   
|                                                      |  |                             |       |    |                                                                                  |   |       |   
|                                                      |  |                            
|Ratio to average net assets:                          |  |                             |       |    |                                                                                  |   |       |   
|Net investment loss                                   |  |                             | (0.84 | )% |                                                                                  |   | (0.92 | )%
|Expenses                                              |  |                             | 1.01  | %  |                                                                                  |   | 1.01  | % 
|Total return                                          |  |                             | 1.84  | %  |                                                                                  |   | (0.96 | )%

9 - Investing in Forward and Futures
Contracts

Substantially all of the Trusts assets are invested in forward and/or futures contracts. The return on assets in the
portfolio, if any, is not intended to track the performance of any index or other benchmark. There is no assurance the Trust will achieve its investment objectives.

For the year ended December 31, 2010 and the period from October 6, 2009 (commencement of operations) through December 31, 2009, the average month-end notional amounts of open forward
currency contracts were $133,811,286 and $11,078,712, respectively. For the year ended December 31, 2010 and the period from October 6, 2009 (commencement of operations) through December 31, 2009, the average month-end notional
amounts of open futures contracts were $405,818,327 and $45,142,603, respectively.

The following table shows the fair values of the open
forward currency and futures contracts, by risk exposure category, on the Statements of Financial Condition as of December 31, 2010 and 2009:



|                           |  |                                                       |  |            |           |  |                       |                                                       |            |   |           | 
|-------------------------- |  | ----------------------------------------------------- |  | ---------- | --------- |  | --------------------- | ----------------------------------------------------- | ---------- | - | --------- | 
|                           |  | Asset Derivatives                                     |  | Fair Value |           |  | Liability Derivatives |                                                       | Fair Value |  
|December 31, 2010          |  |                                                       |  |            |           |  |                       |                                                       |            |  
|Foreign exchange contracts |  | Unrealized appreciation on forward currency contracts |  | $          | 3,620,413 |  |                       | Unrealized depreciation on forward currency contracts |            | $ | 3,744,316 | 
|Equity contracts           |  | Unrealized appreciation on futures contracts          |  |            | 227,254   |  |                       | Unrealized depreciation on futures contracts          |            |   | 555,551   | 
|Interest rate contracts    |  | Unrealized appreciation on futures contracts          |  |            | 85,806    |  |                       | Unrealized depreciation on futures contracts          |            |   | 1,800,805 | 
|                           |  |                                                       |  |           
|December 31, 2009          |  |                                                       |  |            |           |  |                       |                                                       |            |  
|Foreign exchange contracts |  | Unrealized appreciation on forward currency contracts |  | $          | 202,759   |  |                       | Unrealized depreciation on forward currency contracts |            | $ | 150,826   | 
|Equity contracts           |  | Unrealized appreciation on futures contracts          |  |            | 111,279   |  |                       | Unrealized depreciation on futures contracts          |            |   | 93,696    | 
|Interest rate contracts    |  | Unrealized appreciation on futures contracts          |  |            | 51,819    |  |                       | Unrealized depreciation on futures contracts          |            |   | 195,081   | 



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##### Table of Contents

The following table shows the effect of the forward currency and futures contracts, by risk exposure
category, on the Statements of Operations for the year ended December 31, 2010 and for the period from October 6, 2009 (commencement of operations) through December 31, 2009:



|                                                                                 |  |                                                                                  |  |                     |           |    |                                               |   |            |   
|-------------------------------------------------------------------------------- |  | -------------------------------------------------------------------------------- |  | ------------------- | --------- | -- | --------------------------------------------- | - | ---------- | --
|                                                                                 |  | Statements of
Operations Location                                                |  | RealizedGain (Loss) |           |    | Change in UnrealizedAppreciation/Depreciation |  
|December 31, 2010                                                                |  |                                                                                  |  |                     |           |    |                                               |  
|Foreign exchange contracts                                                       |  | Net realized gain (loss) on forward currency contracts                           |  | $                   | 699,926   |    |                                               | $ |           |   
|                                                                                 |  | Net change in unrealized appreciation/depreciation on forward currency contracts |  |                     |          |    |                                               |   | (175,836   | ) 
|Equity contracts                                                                 |  | Net realized gain (loss) on futures contracts                                    |  |                     | 873,834   | a  |                                               |   |           |   
|                                                                                 |  | Net change in unrealized appreciation/depreciation on futures contracts          |  |                     |          |    |                                               |   | (345,880   | )b
|Interest rate contracts                                                          |  | Net realized gain (loss) on futures contracts                                    |  |                     | 2,130,286 | a  |                                               |   |           |   
|                                                                                 |  | Net change in unrealized appreciation/depreciation on futures contracts          |  |                     |          |    |                                               |   | (1,571,737 | )b
|                                                                                 |  |                                                                                  | 
|Period from October 6, 2009(Commencement of Operations)through December 31,
2009 |  |                                                                                  |  |                     |           |    |                                               |  
|Foreign exchange contracts                                                       |  | Net realized gain (loss) on forward currency contracts                           |  | $                   | 435       |    |                                               | $ |           |   
|                                                                                 |  | Net change in unrealized appreciation/depreciation on forward currency contracts |  |                     |          |    |                                               |   | 51,933     |   
|Equity contracts                                                                 |  | Net realized gain (loss) on futures contracts                                    |  |                     | (34,582   | )c |                                               |   |           |   
|                                                                                 |  | Net change in unrealized appreciation/depreciation on futures contracts          |  |                     |          |    |                                               |   | 17,583     | d 
|Interest rate contracts                                                          |  | Net realized gain (loss) on futures contracts                                    |  | $                   | (34,493   | )c |                                               | $ |           |   
|                                                                                 |  | Net change in unrealized appreciation/depreciation on futures contracts          |  |                     |          |    |                                               |   | (143,262   | )d



|a | Net realized gain (loss) recognized on futures contracts is exclusive of
$41,269 in brokerage commissions and fees.
|- | -------------------------------------------------------------------------------------------------------------------

|b | Net unrealized appreciation/depreciation on futures contracts is inclusive
of $95 in brokerage commissions and fees.
|- | --------------------------------------------------------------------------------------------------------------------

|c | Net realized gain (loss) recognized on futures contracts is exclusive of
$1,836 in brokerage commissions and fees.
|- | ------------------------------------------------------------------------------------------------------------------

|d | Net unrealized appreciation/depreciation on futures contracts is exclusive
of $97 in brokerage commissions and fees.
|- | --------------------------------------------------------------------------------------------------------------------

10 - Investment Valuation

In accordance with Financial Accounting Standards Board Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, the
Trust values investments using a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. Inputs may be based on independent market data (observable inputs) or they may be internally developed
(unobservable inputs). The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1



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##### Table of Contents

measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The three levels of the fair value hierarchy are as follows:



|        |  |   |  |                                                                                                                                                                                                            
|------- |  | - |  | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
|Level 1 |  |  |  | Inputs that reflect unadjusted quoted prices in active markets for identical assets or liabilities that the Trust has the ability to access as of the measurement
date;                                    
|        |  |  
|Level 2 |  |  |  | Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including inputs in markets that are not
considered to be active; and
|        |  |  
|Level 3 |  |  |  | Inputs that are unobservable for the asset or liability.                                                                                                                                                   

U.S. Treasury bills are classified as Level 2 investments, as these trade in markets that are not considered active, but whose values are based on inputs
such as quoted market prices, dealer quotations or valuations provided by alternative pricing sources that are supported by observable inputs.

Forward currency contracts are not exchange-traded and do not have quoted prices for identical assets in active markets. These contracts are valued using
pricing information obtained from third-party pricing vendors who derive the value of these contracts from observable market inputs such as expiration dates of forward contracts, forward rates and spot exchange rates. Therefore, forward currency
contracts are classified as Level 2 investments.

Futures contracts are valued using settlement prices for the particular futures contract
traded on the applicable exchanges. Futures contracts are classified as Level 1 investments, as quoted prices for identical assets in active markets are available.

The following table summarizes the valuation of the Trusts investments by the fair value hierarchy levels as of December 31, 2010 and 2009:



|                           |  |         |            |   |         |   |             |         |  |   |       |  |  |   |             |  
|-------------------------- |  | ------- | ---------- | - | ------- | - | ----------- | ------- |  | - | ----- |  |  | - | ----------- | -
|                           |  | Level 1 |            |   | Level 2 |   |             | Level 3 |  |   | Total | 
|December 31, 2010          |  |         |            |   |         |   |             |         |  |   |       | 
|U.S. Treasury bills        |  | $       |           |   |         | $ | 100,261,940 |         |  | $ |      |  |  | $ | 100,261,940 |  
|Forward currency contracts |  |         |           |   |         |   | (123,903    | )       |  |   |      |  |  |   | (123,903    | )
|Futures contracts          |  |         |            |   |         |   |             |         |  |   |       |  |  |   |             |  
|Equity contracts           |  |         | (328,297   | ) |         |   |            |         |  |   |      |  |  |   | (328,297    | )
|Interest rate contracts    |  |         | (1,714,999 | ) |         |   |            |         |  |   |      |  |  |   | (1,714,999  | )
|                           |  |         |            |   |         |   |             |         |  |   |       |  |  |   |             |  
|Total futures contracts    |  |         | (2,043,296 | ) |         |   |            |         |  |   |      |  |  |   | (2,043,296  | )
|                           |  |         |            |   |         |   |             |         |  |   |       |  |  |   |             |  
|                           |  |         |            |  
|December 31, 2009          |  |         |            |   |         |   |             |         |  |   |       | 
|U.S. Treasury bills        |  | $       |           |   |         | $ | 13,497,674  |         |  | $ |      |  |  | $ | 13,497,674  |  
|Forward currency contracts |  |         |           |   |         |   | 51,933      |         |  |   |      |  |  |   | 51,933      |  
|Futures contracts          |  |         |            |   |         |   |             |         |  |   |       |  |  |   |             |  
|Equity contracts           |  |         | 17,583     |   |         |   |            |         |  |   |      |  |  |   | 17,583      |  
|Interest rate contracts    |  |         | (143,262   | ) |         |   |            |         |  |   |      |  |  |   | (143,262    | )
|                           |  |         |            |   |         |   |             |         |  |   |       |  |  |   |             |  
|Total futures contracts    |  |         | (125,679   | ) |         |   |            |         |  |   |      |  |  |   | (125,679    | )
|                           |  |         |            |   |         |   |             |         |  |   |       |  |  |   |             |  

11 - Subsequent Events

In connection with the preparation of the financial statements of the Trust as of and for the year ended December 31, 2010, management has evaluated the impact of all subsequent events on the Trust
through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.



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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned in the capacities* indicated, thereunto duly
authorized.

For purposes of CFTC Rule 4.22(h), to the best of the knowledge and belief of the undersigned, the information contained in
the CFTC Annual Report set forth herein is accurate and complete.

iShares® Delaware Trust Sponsor LLC

Sponsor of the iShares® Diversified Alternatives Trust (Registrant)



|                                               
|-----------------------------------------------
|                                               
|/s/ Michael A. Latham                          
|Michael A. Latham                              
|Director, President and Chief Executive Officer
|(Principal executive officer)                  
|                                               
|Date: March 24, 2011                           



|                                                             
|-------------------------------------------------------------
|                                                             
|/s/ Geoffrey D. Flynn                                        
|Geoffrey D. Flynn                                            
|Director, Chief operating officer and Chief Financial Officer
|(Principal financial and accounting officer)                 
|                                                             
|Date: March 24, 2011                                         



|                    
|--------------------
|                    
|/s/ Philip J. Jensen
|Philip J. Jensen    
|Director            
|                    
|Date: March 24, 2011



|                    
|--------------------
|                    
|/s/ Peter F. Landini
|Peter F. Landini    
|Director            
|                    
|Date: March 24, 2011



|                    
|--------------------
|                    
|/s/ Kimun Lee       
|Kimun Lee           
|Director            
|                    
|Date: March 24, 2011



|* | The Registrant is a trust and the persons are signing in their respective capacities as officers or directors of iShares® Delaware Trust Sponsor LLC, the Sponsor of the Registrant.
|- | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------