UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-K
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ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934
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For the Fiscal Year ended December 31, 2024
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934
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For the transition period from __________ to __________
Commission File number: 000-50264
THE CAMPBELL FUND TRUST
(Exact name of Registrant as specified in charter)
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(State of Organization)
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(IRS Employer Identification Number)
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(Address of principal executive offices, including zip code)
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(
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(Registrant’s telephone number, including area code)
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Securities registered pursuant to Section 12(b) of the Act:
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Title of each class
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Trading Symbol(s)
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Name of each exchange on which registered
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Not applicable.
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Not applicable.
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Not applicable.
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Securities registered pursuant to Section 12 (g) of the Act:
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Units of Beneficial Interest
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(Title of Class)
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Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes ☐ No ☑
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 ☑
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 ☑ No ☐
Indicate by check mark whether the registrant has submitted electronically every Interactive data File required to be submitted 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 such files). Yes ☑ No ☐
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting
company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act. (Check one):
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Large accelerated filer ☐
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Accelerated filer ☐
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Smaller reporting company
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Emerging growth company
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If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transitions period for complying with
any new or revised financial accounting standards provided pursuant to Section 7(a)(2)(B) of the Securities Act. ☐
Indicate by check mark whether the registrant has filed a report on and attestation to its management’s assessment of the effectiveness of internal
control over financial reporting under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C. 762(b)) by the registered public accounting firm that prepared or issued its audit report. ☐
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☑
If securities are registered pursuant to Section 12(b) of the Act, indicate by
check mark whether the financial statements of the registrant included in the filing reflect the correction of an error to previously issued financial statements. Yes ☐ No ☑
Indicate by check mark whether any of those error corrections are restatements
that required a recovery analysis of incentive-based compensation received by any of the registrant’s executive officers during the relevant recovery period pursuant to §240.10D-1(b). Yes ☐ No ☑
The Registrant has no voting stock. As of February 28, 2025, there were 101,639.902 Series A Units, 8,440.720 Series B Units, 23,904.709 Series D Units and 11,312.455
Series W Units of Beneficial Interest issued and outstanding.
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Page
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PART I
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Item 1.
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1-6
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Item 1A.
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7-23
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Item 1B.
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23
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Item 1C.
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24
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Item 2.
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24
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Item 3.
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24
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Item 4.
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24
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PART II
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Item 5.
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25
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Item 6.
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25
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Item 7.
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25-41
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Item 7A.
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42-47
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Item 8.
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47
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Item 9.
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47
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Item 9A.
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48
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Item 9B.
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48
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Item 9C.
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48
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PART III
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Item 10.
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49-50
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Item 11.
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50
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Item 12.
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51
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Item 13.
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51
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Item 14.
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51
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PART IV
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Item 15.
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52
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Item 16.
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53
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54
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PART I
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Business.
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General development of business
The Campbell Fund Trust (the “Registrant” or the “Trust”) is a business trust organized on January 2, 1996 under the Delaware Business Trust Act, which was replaced by the Delaware Statutory Trust Act
as of September 1, 2002. The Trust is a successor to the Campbell Fund Limited Partnership (formerly known as the Commodity Trend Fund) and began trading operations in January 1972. The Trust currently trades in the U.S. and international
futures, forward and centrally cleared swaps markets under the sole direction of Campbell & Company, LP (“Campbell & Company” or the “managing operator”). Specifically, the Trust trades in a diverse array of global assets, including global
interest rates, stock indices, currencies, credit, and commodities. The Trust is an actively managed account with speculative trading profits as its objective.
As a registrant with the Securities and Exchange Commission (the “SEC”), the Trust is subject to the regulatory requirements under the Securities Act of 1934. As a commodity investment pool, the
Trust is subject to the provisions of the Commodity Exchange Act, regulations of the Commodity Futures Trading Commission (the “CFTC”), an agency of the United States government which regulates most aspects of the commodity futures industry; rules
of the National Futures Association (the “NFA”), an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Trust executes transactions. Additionally, the Trust is subject to the requirements of
futures commission merchants, interbank market makers, and centrally cleared swaps brokers through which the Trust trades.
U.S. Bank National Association, a national banking corporation, (the “Trustee”), is the sole trustee of the Trust. The Trustee is unaffiliated with the managing operator and the Trust’s selling
agents, and its duties and liabilities with respect to the offering of the Units of Beneficial Interest (the “Units”) are limited to its express obligations under the Declaration of Trust and Trust Agreement.
Under the Amended and Restated Declaration of Trust and Trust Agreement, the Trustee has delegated the exclusive management of all aspects of the business and administration of the Trust to Campbell
& Company. Campbell & Company is registered with the CFTC as a commodity pool operator and a commodity trading advisor, and is a member of the NFA in such capacities. In addition to managing all aspects of business and administration,
Campbell & Company makes all trading decisions for the Trust. Campbell & Company uses a systematic trading approach combined with quantitative portfolio management analysis and seeks to identify and profit from price movements in the
future, forward and swaps markets. Multiple trading models are utilized across most markets traded. Each model analyzes market movements and internal market and price configurations in order to generate signals to be executed through a variety of
execution platforms.
Campbell is pleased to announce that effective November 7, 2024, as part of the long-planned transition of majority ownership of Campbell &
Company, LP, majority ownership transitioned from its founder, D. Keith Campbell to its senior executives and employees. Nothing will change in the day-to-day operation of the business. We believe this transaction will put the company in a
position to continue its 52-year track record of providing lowly correlated risk-adjusted returns to our investors.
Pursuant to the terms of the Amended and Restated Declaration of Trust and
Trust Agreement, the Registrant is scheduled to be terminated and dissolved promptly thereafter upon the happening of the earlier of: (a) the expiration of the Trust’s stated term on December 3l, 2025; (b) an election to terminate the
Trust at any time by Unitholders owning more than 50% of the Units then outstanding; (c) the trading in commodity futures is terminated, suspended or for any reason becomes impossible or economically unfeasible in the sole judgment of the
managing operator; or (d) the date upon which the Trust is dissolved by operation of law or judicial decree. The managing operator of the Registrant plans to undertake
the process of amending the Registrant’s Amended and Restated Declaration of Trust and Trust Agreement to extend the term in perpetuity, subject to the other events that would cause the Registrant’s term to end as set forth in sections (b),
(c), or (d) above.
Effective August 31, 2008, the Trust began offering Series A, Series B, and Series W Units. The units in the Trust prior to that date became Series B Units. Series B Units are only available for
additional investment by existing holders of Series B Units. Effective August 1, 2017, the Trust began offering Series D Units.
As of December 31, 2024, the aggregate capitalization of the Trust was $576,092,525 with Series A, Series B, Series D and Series W comprising $433,255,243, $41,199,604, $40,071,644 and $61,566,034,
respectively, of the total. The Net Asset Value per Unit was $4,385.15 for Series A, $4,872.95 for Series B, $1,790.74 for Series D and $5,559.08 for Series W.
Financial information about segments
The Trust’s business constitutes only one segment for financial reporting purposes, i.e., a speculative “commodity pool.” The Trust does not engage in the sale of goods or services.
The Chief Operating Officer of Campbell & Company acts as the Trust’s Chief Operating Decision Maker (CODM) and is responsible for assessing
performance and allocating resources with respect to the Trust. The financial information provided to and reviewed by the CODM is presented herein and within the Trust’s accompanying financial statements.
Narrative description of business
General
The purpose of the Trust is to engage in the speculative trading, buying, selling, or otherwise acquiring, holding or disposing of commodities, including futures contracts, forward currency contracts,
centrally cleared swap contracts and any other rights pertaining thereto, and for such other purposes as may be incidental or related thereto. The Trust has no employees.
The Trust trades pursuant to a version of the Campbell Managed Futures Portfolio (the “CMF Portfolio”). The CMF Portfolio seeks to generate attractive risk-adjusted returns across a broad range of
market conditions through systematic investments in a diversified portfolio that may include futures, forward, and swaps contracts in a diverse array of global investments, including global interest rates, stock indices, currencies and commodities.
The CMF Portfolio consists of underlying investment strategies, including trend following, systematic macro, and short-term in nature, that aim for low correlation and are diversified by investment style, information source, investment holding
period and instrument.
The CMF Portfolio combines a number of quantitative investment strategies and incorporates unique alpha sources across trend following, systematic macro, and short-term strategies. Trend following
strategies use statistical methods to discover and capitalize on market inefficiencies. Diversification across time horizons and model specifications is key to capturing these alpha opportunities. Systematic macro strategies recognize that
macroeconomic drivers exert substantial influence on asset pricing and return potential exists for those able to identify and exploit these relationships. These strategies use price and exogenous information (such as fundamental data) including
term structure information and economic linkages among markets. Short- term strategies seek to identify market dislocations which are driven by a diverse set of nontraditional factors to capture short-term profits. The strategies utilize both
momentum and mean reversion methods: momentum strategies seek to identify situations when traders may be chasing recent price movements, while mean reversion strategies attempt to detect when these movements have exhausted. Additional parameters,
models, markets, and/or over-the-counter contracts may be included in or eliminated from the CMF Portfolio at Campbell & Company’s sole discretion.
The average sector allocation for each sector as of the previous six-month ends through December 31, 2024 is as follows: 15% to credit, 24% to interest rates, 21% to foreign exchange, 20% to
commodities, and 20% to equity indices. Sector allocation for each sector is calculated using the dollar value of margin posted as collateral to support trading in each sector as a percentage of the total dollar value of margin posted to support
trading in all sectors.
Use of Proceeds
Subscription Proceeds and Available Assets
The entire offering proceeds, without deductions, will be credited to the Trust’s bank, brokerage and/or cash management accounts to engage in trading activities and as reserves for that trading. The
Trust meets its margin requirements by depositing cash and U.S. government securities with the futures broker, centrally cleared, and the over-the-counter counterparties. In this way, substantially all (i.e., 95% or more) of the Trust’s assets,
whether used as margin for trading purposes or as reserves for such trading, may be invested in U.S. government securities and time deposits with U.S. banks. Investors should note that maintenance of the Trust’s assets in U.S. government securities
and banks does not reduce the risk of loss from trading futures, forward, and swap contracts. The Trust receives all interest earned on its assets. No other person shall receive any interest or other economic benefits from the deposit of Trust
assets.
Approximately 10% to 30% of the Trust’s assets normally are committed as required margin for futures contracts and held by the futures brokers, although the amount committed may vary significantly.
Such assets are maintained in the form of cash or U.S. Treasury Bills in segregated accounts with the futures brokers pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 5% to 15% of the Trust’s assets are deposited
with the over-the-counter counterparty or centrally cleared in order to initiate and maintain currency forward or swap contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such
over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in cash, U.S. government securities or short-term time deposits with U.S. regulated bank affiliates of the over-the-counter counterparty.
The Trust occasionally receives margin calls (requests to post more collateral) from its futures brokers, over-the-counter, or centrally cleared counterparties, which are met by moving the required
portion of the assets held in the custody accounts at Northern Trust Company to the margin accounts. In the past three years, the Trust has not needed to liquidate any position as a result of a margin call.
The Trust deposits its assets which are not required to be deposited as margin with the futures brokers and over-the-counter counterparties in a custodial account with Northern Trust Company (the
“Custodian”). The assets deposited in the custodial account with the Custodian are segregated. Such custodial account constitutes approximately 40% to 80% of the Trust’s assets and is invested directly by PNC Capital Advisors, LLC (the “Cash
Manager”). The Cash Manager is registered with the Securities and Exchange Commission as an investment adviser under the Investment Advisers Act of 1940. The Cash Manager does not guarantee any interest or profits will accrue on the Trust’s assets
in the custodial account. The Cash Manager will invest in accordance with the agreed upon investment guidelines. The Cash Manager may invest the Trust assets in: (i) U.S. government, agency, or municipal securities; (ii) banker acceptances or
certificates of deposits; (iii) commercial paper or money market securities; (iv) short-term, investment-grade corporate debt securities; or (v) investment-grade, asset-backed securities.
The Trust’s assets are not and will not be, directly or indirectly, commingled with the property of any other person in violation of law or invested with or loaned to Campbell & Company or any
affiliated entities. Funds may be deposited and held in the Trust’s account at PNC Financial Services Group, Inc., Baltimore, Maryland, U.S.A., prior to the transfer to the Trust’s trading accounts.
In the event net asset value per unit as of the end of any business day declines by 50% or more from either the prior year-end or the prior month-end unit value, Campbell & Company will suspend
trading activities, notify all unitholders of the relevant facts within seven business days and declare a special redemption period.
Cash Manager and Custodian
The Trust has engaged the Cash Manager, a wholly owned subsidiary of PNC Bank National Association, as cash manager to manage and control the liquid assets of the Trust. The Cash Manager is
incorporated in the State of Delaware, U.S.A., and is registered as an investment adviser with the Securities and Exchange Commission of the United States under the Investment Advisers Act of 1940.
The Trust opened a custodial account at The Northern Trust Company (the “Custodian”), and has granted the Cash Manager a limited power of attorney over such accounts. Such power of attorney gives the
Cash Manager authority to make certain investments on behalf of the Trust provided such investments are consistent with agreed upon investment guidelines. Such investments include, but are not limited to, U.S. government agency or municipal
securities, banker acceptances, certificates of deposits, commercial paper, money market securities, short term investment-grade corporate debt securities or investment-grade asset-backed securities. All securities purchased by the Cash Manager on
behalf of the Trust or other liquid funds of the Trust will be held in its custody account at the Custodian. The Cash Manager will have no beneficial or other interest in the securities and cash in such custody account.
Market Sectors
Campbell & Company’s CMF Portfolio trades in a fully diversified portfolio of futures, forward and swaps markets, including energy products, precious and base metals, interest rates, equity
indices, foreign exchange, credit default and interest rate swaps detailed below.
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Commodities
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Interest Rates
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Equity Indices
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Foreign Exchange (1)
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Credit Default Swaps
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Interest Rate Swaps (5-Year)
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Interest Rate Swaps (2-Year)
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Aluminum
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3M Corra
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CAC 40 Stock Index
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Australian Dollar (2)
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CDX Emerging Markets
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Czech Koruna
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Canadian Dollar
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Canola
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3-Month SOFR
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DAX Index
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Brazilian Real (3)
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CDX High Yield North American Index
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Hong Kong Dollar
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Czech Koruna
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China Iron Ore 62%
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3MTH SONIA
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DJ Euro Stoxx 50
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British Pound (2)
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CDX Investment Grade North American Index
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Mexican Peso
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Hong Kong Dollar
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Cocoa
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Australian 3-Year Bond
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DJ Index
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Canadian Dollar (2)
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iTraxx Crossover Europe Index
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New Zealand Dollar
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Japanese Yen
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Coffee
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Australian 10-Year Bond
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FTSE 100 Index
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Chilean Peso (3)
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iTraxx Investment Grade Europe Index
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Norwegian Krone
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Mexican Peso
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Copper
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Australian 90-Day Bill
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FTSE China A50
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Chinese Yuan (3)
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iTraxx Senior Financials Europe Index
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Polish Zloty
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New Zealand Dollar
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Corn
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Canadian 10-Year Bond
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FTSE JSE Top 40
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Colombian Peso
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Singapore Dollar
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Norwegian Krone
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Cotton
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Canadian 90-Day Bill
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FTSE MIB Index
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Czech Koruna
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South African Rand
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Polish Zloty
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Crude Oil
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Euro-BOBL
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FTSE Taiwan Index
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Euro (2)
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Swedish Krona
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Singapore Dollar
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ECX Emissions Allowance
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Euro-BTP Italian Gov Bond
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Hang Seng China Enterprises Index
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Hungarian Forint
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Swiss Franc
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South African Rand
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Feeder Cattle
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Euribor
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Hang Seng Index
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Indian Rupee (3)
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Swedish Krona
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Gold
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Eurodollar
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IBEX35 Stock Index
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Indonesian Rupiah
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Swiss Franc
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Heating Oil
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Euro-Bono Spanish Gov. Bond
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IFSC Nifty 50 Index
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Japanese Yen (2)
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High Grade Copper
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Euro-BUND
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Mini MSCI EAFE Index
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Mexican Peso
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KC Hard Red-Winter Wheat
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Euro-Buxl 30-Year Bond
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Mini MSCI Emerging Markets
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New Zealand Dollar
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Lead
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Euro-OAT French 10-Year Bond
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MSCI Singapore
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Norwegian Krone
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Lean Hogs
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Euro-Schatz
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NASDAQ 100 Index
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Philippine Peso (3)
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Live Cattle
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Japanese 10-Year Bond
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Nikkei
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Polish Zloty
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London Brent Crude
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Long Gilt
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OMX Stock Index
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Singapore Dollar
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London Gas Oil
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Short Term Euro-BTP
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Russell 2000 Index
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South African Rand
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Natural Gas
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Treasury Notes/2-Year
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S&P 400 Index
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South Korean Won (3)
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Natural Gas (Dutch)
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Treasury Notes/5-Year
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S&P 500 Index
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Swedish Krona
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Natural Gas (UK)
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Treasury Notes/10-Year
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S&P Canada 60 Index
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Swiss Franc (2)
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Nickel
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Treasury Notes/30-Year
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SGX Nifty 50 Index
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Taiwan Dollar (3)
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NY Gasoline RBOB
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Treasury Ultra Long Bond
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SPI 200 Index
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Palladium
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TOPIX
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Phelix DE Base Month
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Platinum
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Robusta Coffee Future
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Silver
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Soybean Meal
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Soybean Oil
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Soybeans
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Sugar #11 (World)
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Wheat
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Zinc
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Traded as forward contracts, not futures
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Also may be traded as cross rates
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Traded as non-deliverable forward
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Market Types
The Trust trades on a variety of United States and foreign futures exchanges, and in the off-exchange highly liquid, institutionally-based currency forward and swaps markets. As in the case of its
market sector allocations, the Trust’s commitments to different types of markets — U.S. and non-U.S., regulated and non-regulated — differ substantially from time to time, as well as over time, and may change at any time if Campbell & Company
determines such change to be in the best interests of the Trust.
Charges
The following is a description of current charges to the Trust.
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RECIPIENT
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NATURE OF PAYMENT
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AMOUNT OF PAYMENT
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Campbell & Company
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Management Fee
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Series A units, Series B units, Series D units and Series W units pay the managing operator a monthly management fee equal to 1/12 of 2% (2% annually) of the Net Assets (as defined) of Series
A units, Series B units, Series D units and Series W units as of the end of each month.
Series A units and Series B units paid the managing operator a monthly management fee equal to 1/12 of 4% (4% annually of which half, or 2%, was used to compensate selling agents for ongoing
services) of the Net Assets (as defined) of Series A units and Series B units, respectively, as of the end of each month. Series D units paid the managing operator a monthly management fee equal to 1/12 of 2.75% (2.75% annually of which
0.75% was used to compensate selling agents) of the Net Assets (as defined) of Series D units as of the end of each month. Series W units paid the managing operator a monthly management fee equal to 1/12 of 2% (2% annually) of the Net
Assets (as defined) of Series W units as of the end of each month.
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Campbell & Company
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Sales Commissions
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The managing operator pays an upfront sales commission based on Series A units sold by selling agents who have executed selling agreements with the Trust. The Trust pays commissions based
on Series A, Series B, and Series D units.
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For Series A, there is an upfront sales commission paid by the managing operator of 2% of the subscription amount of each subscription for units. For up to twelve months after the sale of
units, the managing operator will receive from the Trust a monthly reimbursement of 1/12 of 2% (2% annually) of the current net asset value of the units the selling agent has sold and which are outstanding at the end of such month. In the
event that the units are redeemed before the twelfth month, the managing operator will receive the redemption fee the Trust deducts from the redemption proceeds. In addition, commencing thirteen months after the sale of units and in return
for providing ongoing services to the unitholder, the Trust will pay the selling agent (or its assignees) a monthly trail commission of 1/12 of 2% (2% annually) of the current net asset value of the units it has sold and which are
outstanding at the end of such month in respect of which the selling agent provides ongoing services.
Series B and Series D units pay a monthly trail commission of 1/12 of 2% (2% annually) and 1/12 of 0.75%, respectively, of the current net asset value of the units the selling agent has sold
and which are outstanding at the end of such month in respect of which the selling agent provides ongoing services. Such ongoing compensation shall commence the first full month after the sale of the units.
Any monthly trail commission which is not paid to a selling agent pursuant to an executed selling or servicing agreement with the Trust will be rebated to unitholders in the form of a capital
addition and is reported as such in the financial statements.
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Campbell & Company
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Performance Fee
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A quarterly performance fee of 20% of the aggregate cumulative appreciation (if any) in the net asset value per Unit of the Series A Units, Series B Units, Series D Units and Series W
Units at the end of each quarter, exclusive of appreciation attributable to interest income or gains or losses derived from the Trust’s fixed income securities.
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Campbell & Company
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Offering Costs
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The Series A Units, Series D Units and Series W Units each bear offering costs incurred in relation to the offering of the Series A Units, Series D Units and Series W Units, respectively,
up to an amount equal to approximately 1/12 of 0.50% of the month-end net assets of each of the Series A Units, Series D Units and Series W Units, totaling a maximum of 0.50% of average month-end net assets per year each of the Series A
Units, Series D Units and Series W Units. Such offering costs of the Trust include all fees and expenses in connection with the distribution of the Units, including legal, accounting, printing, mailing, filing fees, escrow fees, salaries
and bonuses of employees while engaged in sales activities, and marketing expenses of Campbell & Company and the selling agents which are paid by the Trust.
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UBS Securities, LLC and Goldman Sachs & Co.
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Brokerage Commissions
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The Trust pays clearing and brokerage commissions and fees at a rate of approximately $4 for each round-turn trade, or approximately 0.60% of average month-end net assets per year of each
Series of Units. This estimated amount includes futures clearing and execution commissions and other related fees, such as exchange, regulatory and transfer fees.
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NatWest Markets plc
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Over-the-Counter Counterparty Execution and Clearing Costs
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The Trust pays the over-the-counter counterparty prime brokerage fees of approximately $4 per $1 million of over-the-counter contracts it facilitates on behalf of the Trust, plus any
additional electronic trading platform fees. These prime brokerage and electronic trading platform fees will equal approximately 0.10% of the Trust’s average month-end net assets per year of each Series of Units. The Trust also incurs
implicit costs included in the spread between the bid and ask prices of foreign exchange contracts purchased or sold by the Trust.
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Goldman Sachs & Co.
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Swap Trading Fees
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With regard to the trading of certain swap contracts, the Trust pays swap execution fees, central clearing counterparty fees, broker fees, and initial margin charges which equal approximately
0.05% of the Trust’s average month-end net assets per year of each Series of Units.
These swap trading fees, combined with the prime brokerage fees and the futures brokers’ charges, will equal approximately 0.70% of the Trust’s month-end average net assets.
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Cash Manager and Custodian
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Cash Management and Custody Fees
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The Trust pays a combined annualized fee of approximately 0.10% per annum of the funds managed by the Cash Manager for cash management services, custodian fees, and fees associated with
monitoring the Trust’s cash management portfolio.
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Other
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Operating Expenses
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The Trust pays operating expenses (other than the cost of the Units), including, but not limited to, administrative, transfer agency, legal and accounting fees, insurance, and any taxes
or extraordinary expenses payable by the Trust. These expenses are estimated at approximately 0.25% of the Trust’s net assets annually, although there is no limit on the amount of such expenses.
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Regulation
The U.S. futures and swaps markets are regulated under the Commodity Exchange Act, which is administered by the CFTC, a federal agency created in 1974. The CFTC licenses and regulates futures and
swaps market participants, including commodity exchanges, commodity pool operators, commodity trading advisors, swap dealers and clearing firms which are referred to in the futures industry as “futures commission merchants.” Campbell & Company
and certain of its affiliates are registered with the CFTC in the capacity of a commodity pool operator and/or commodity trading advisor, as applicable. Futures and swaps professionals are also regulated by the NFA, a self-regulatory organization
for the futures and swaps industry that supervises the dealings between futures professionals and their customers. If its pertinent CFTC licenses or NFA memberships were to lapse, be suspended or be revoked, Campbell & Company would be unable
to act as the Trust’s commodity pool operator and/or commodity trading advisor, as applicable.
Under existing CFTC and NFA guidance, foreign exchange forward contracts that Campbell & Company trades on behalf of its clients with the client’s OTC counterparty may be characterized as swap
transactions. A swap transaction is an agreement between two parties to exchange cash flows measured by different interest rates, exchange rates or prices, with payments calculated by reference to a principal (“notional”) amount or quantity.
The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Reform Act”) established a comprehensive framework for the regulation of markets, market participants and financial instruments that
were previously unregulated, including provisions that comprehensively regulate swap transactions. Under Title VII of Dodd-Frank, a substantial portion of OTC derivatives are required to be executed in regulated markets and submitted for clearing
to regulated clearing houses. OTC trades submitted for clearing are subject to minimum initial and variation margin requirements set by the relevant clearing house, as well as margin requirements mandated by the U.S. federal regulators. OTC
derivatives dealers acting as clearing members typically demand the unilateral ability to increase collateral requirements for cleared OTC trades beyond any regulatory and clearing house minimums. The CFTC, as well as U.S. prudential regulators,
have also imposed margin requirements on non-cleared OTC derivatives and requirements on the holding of customer collateral. The SEC has also adopted requirements imposing margin and segregation requirements with respect to the categories of
non-cleared OTC derivatives subject to its jurisdiction, which requirements came into effect in late 2021. These requirements may increase the amount of collateral that the Trust is required to provide and the costs associated with providing it. As
OTC derivatives dealers are required under these requirements to post margin to their counterparties and to the clearing houses through which they clear their trades instead of using such margin in their operations as they have historically been
allowed to do, the costs of swap dealer have increased and may continue to increase. These costs are likely to be passed through to other swap market participants (including the Trust) in the form of higher fees and less favorable dealer marks.
The SEC and the CFTC under Dodd-Frank require that certain categories of swaps (in the case of the CFTC) and security-based swaps (in the case of the SEC) be traded and executed on trading facilities
and cleared through central clearing counterparties. Using such a trading to an exchange-type system may increase market transparency and liquidity, but may require the Trust to incur increased expenses to access the same types of instruments and
may make it more difficult and costly for investment fund, including the Trust, to enter into highly tailored or customized transactions.
Rules adopted by the CFTC in 2012 require centralized reporting of detailed information about cleared and uncleared swaps. This information is available to regulators and, to a more limited extent and
on an anonymous basis, to the public. The SEC has adopted similar reporting requirements, which have been in effect since 2021. Reporting of swap data may result in greater market transparency, which may be beneficial to funds that use swaps to
implement trading strategies. However, the safeguards established to protect anonymity may not function as expected.
Many of the OTC derivatives dealers that the Trust is facing are required to register with the CFTF as swap dealers and with the SEC as security-based swap dealers. Registered dealers are subject to
various regulatory burdens that have and will continue to increase the overall costs for OTC derivatives dealers, which may be passed along to the Trust.
The full impact of Dodd-Frank on the Trust and Campbell & Company remains uncertain.
Available Information
The Trust files quarterly, annual and current reports with the SEC. These reports are available to read and copy at the SEC’s Public Reference Facilities in Washington, D.C. at 100 F Street, N.E.,
Washington, D.C. 20549. Please call the SEC’s toll free number, 1-800-SEC-0330, for further information. The Trust does not maintain a website where these reports are posted. However, the Trust’s filings are posted on the SEC’s website at http://www.sec.gov.
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Risk Factors.
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General Investment Related Risks
There are certain general market conditions in which any given investment strategy is unlikely to be profitable. Campbell & Company does not have any ability to control or predict such market
conditions. The Trust is subject to certain general risks relating to its investment strategies, including, but not limited to, the following:
Potential Loss of Investment
There is a risk that an investment in the Trust will be lost entirely or in part. The Trust is not a complete investment program and should represent only a portion of an investor’s portfolio
management strategy.
Short Sales May Lead to Potentially Unlimited Losses
The Trust may establish short positions in a number of investment instruments. A futures trader that is obligated to make delivery is “short” the contract or has “sold” the contract. A futures trader
who establishes a short position in a futures contract would initially sell an interest at the current price and then would buy an interest at market price in order to offset such obligation. The short futures trader hopes to sell high and buy
low. Short selling allows the short seller to profit from declines in market prices to the extent such declines exceed the transaction and any other related costs. A short sale creates the risk of an unlimited loss, in that the price of the
underlying commodity could theoretically increase without limit, thus increasing the cost of buying those futures to offset the short position. There can be no assurance that the futures necessary to cover a short position will be available for
“purchase”. Establishing a long position in futures contracts to close out the short position can itself cause the price of the futures to rise further, thereby exacerbating the loss. The use of leverage combined with short selling may increase the
amount of losses that the Trust experiences.
Investing Globally Subjects the Trust to International Risks
Issuers are generally subject to different accounting, auditing and financial reporting standards in different countries throughout the world. The volume of trading, the volatility of prices and the
liquidity of issuers may vary in the markets of different countries. Hours of business, customs and access to these markets by outside investors may also vary. In addition, the level of government supervision and regulation of the financial
markets, securities and futures exchanges, securities dealers, futures commission merchants and listed and unlisted companies is different throughout the world. There may also be a lack of adequate legal recourse for the redress of disputes and, in
some countries, the pursuit of such disputes may be subject to a highly prejudiced legal system.
Different markets also have different clearance and settlement procedures. Delays in settlement could result in temporary periods when a portion of the assets of the Trust are uninvested and no return
is earned thereon. The inability of the Trust to make intended investments due to settlement problems could cause the Trust to miss attractive investment opportunities. The inability to dispose of portfolio instruments due to settlement problems
could result either in losses due to subsequent declines in value of the portfolio instruments or, if the Trust has entered into a contract to sell the instrument, could result in possible liability to the purchaser.
The price of any foreign investment instrument and, therefore, the potential profit and loss thereon, may be affected by any variance in the foreign exchange rate between the time a position is
established and the time it is liquidated, offset or exercised.
Certain foreign exchanges may also be in a more or less developmental stage so that prior price histories may not be indicative of current price dynamics. In addition, the Trust may not have the same
access to certain financial investment instruments on foreign exchanges as do local traders, and the historical market data on which Campbell & Company bases its strategies may not be as reliable or accessible as it is in the United States. The
rights of clients (such as the Trust) in the event of the insolvency or bankruptcy of a non-U.S. market or broker are also likely to be more limited than in the case of U.S. markets or brokers.
With respect to different countries, there is a possibility of expropriation or confiscatory taxation, imposition of withholding taxes on dividend or interest payments, limitations on the removal of
funds or other assets, managed or manipulated exchange rates and other issues affecting currency conversion, political or social instability or diplomatic developments that could adversely affect investments in those countries. The Trust may invest
in instruments that may be domiciled in a country other than the country in whose currency the instrument is denominated. The values and relative yields of such investments in the financial markets of different countries, and their associated
risks, are expected to change independently of each other. These risks may be greater in emerging markets.
Exchange-Rate Risk
The Trust may invest in international financial instruments such as securities of non-U.S. issuers or non-U.S. futures contracts, which are denominated in currencies other than the U.S. dollar.
Consequently, the Trust is subject to the exchange-rate risk of the dollar increasing or decreasing in value against the functional currency of such investments.
Changes in Financing Policies or the Imposition of Other Credit Limitations or Restrictions Could Compel the Trust to Liquidate Positions at Disadvantageous Prices
The Trust may utilize leverage and may depend on the availability of credit in order to finance its portfolio. There can be no assurance that the Trust will be able to maintain adequate financing
arrangements under all market circumstances. As a general matter, the dealers that provide financing to the Trust can apply essentially discretionary margin, haircut, financing, security and collateral valuation policies. Changes by dealers in such
financing policies, or the imposition of other credit limitations or restrictions, whether due to market circumstances disruptions or governmental, regulatory or judicial action, may result in large margin calls, loss of financing, forced
liquidation of positions at disadvantageous prices, termination of swap and repurchase agreements and cross-defaults to agreements with other dealers. Any such adverse effects may be exacerbated in the event that such limitations or restrictions
are imposed suddenly and/or by multiple market participants at or about the same time. The imposition of such limitations or restrictions could compel the Trust to liquidate all or part of its portfolio at disadvantageous prices. From time to
time, banks and dealers have substantially curtailed financing activities and increased collateral requirements, forcing many hedge funds to liquidate.
The Trust’s Investments Could be Illiquid
Futures and forward positions cannot always be liquidated at the desired price; this can occur when the market is thinly traded (i.e., a relatively small volume of buy and sell orders) or in the event
of disrupted markets and other extraordinary events in which historical pricing relationships become materially distorted. The Trust may incur material losses and the risk of loss from pricing distortions is compounded by the fact that in disrupted
markets many positions become illiquid making it difficult or impossible to close out positions against which the markets are moving. The financing available to the Trust from banks, dealers and other counterparties is likely to be restricted in
disrupted markets. For example, in 1994, 1998 and again from 2007-2009, there was a sudden restriction of credit by the dealer community that resulted in forced liquidations and major losses for a number of private investment funds. It is possible
that in the future, in such situations, Campbell & Company may be unable for some time to liquidate certain unprofitable positions, thereby increasing the loss of the Trust from the trade. Additionally, foreign governments may take or be
subject to political actions which disrupt the markets in their currency or major exports, such as energy products or metals. Market disruptions caused by unexpected political, military and terrorist events may from time to time cause dramatic
losses for the Trust, and such events can result in otherwise historically low-risk strategies performing with unprecedented volatility and risk. Any of these actions could also result in losses to the Trust. Units should be owned only by persons
financially able to maintain their investment and who can afford the loss of all or substantially all of such investment.
Your Investment in the Trust Could Be Illiquid; Suspension of Trading
There is no secondary market for the Units and none is expected to develop. While the Units have redemption rights, there are restrictions. For example, redemptions can occur only at the end of a
month. If a large number of redemption requests were to be received at one time, the Trust might have to liquidate positions to satisfy the requests. Such a forced liquidation could adversely affect the Trust and consequently your investment.
Transfers of interest in the Units are subject to limitations, such as 30 days’ advance notice of any intent to transfer. Also, Campbell & Company may deny a request to transfer if it determines
that the transfer may result in adverse legal or tax consequences for the Trust.
Reduced Market Exposure in Times of High Volatility May Limit Profit Potential
During periods of high volatility in the markets, the Trust may reduce its market exposure. While the purpose of such reductions is to attempt to limit potential losses to the Trust, such reductions
may also have the effect of limiting potential profits for such time as the Trust’s market exposure remains in a reduced state.
An Investment in the Trust May Not Diversify an Overall Portfolio
Historically, alternative investments such as managed futures funds have been generally lowly correlated to the performance of other asset classes such as stocks and bonds. Low correlation means that
there is no statistically valid relationship between the past performance of futures and forward contracts, on the one hand, and stocks or bonds, on the other hand. Low correlation should not be confused with negative correlation, where the
performance of two asset classes would be exactly opposite.
Because of low correlation, the Trust cannot be expected to be automatically profitable during unfavorable periods for the stock market or vice versa. The futures and forward markets are fundamentally
different from the securities markets in that for every gain made in futures and forward trading, there is an equal and offsetting loss.
Low correlation also does not mean that the Trust will not always move in the same direction as stocks and bonds. There may be times when the Trust gains during the same periods when stock and bonds
gain and there also may be times when the Trust loses during periods when stock and bonds lose. If the Trust performs in a manner that is correlated with the general financial markets or does not perform successfully, you will obtain no
diversification benefits by investing in the Units and the Trust may have no gains to offset your losses from other investments.
The Current Markets are Subject to Market Disruptions That May be Detrimental to Your Investment
The Trust may incur major losses in the event of disrupted markets and other extraordinary events in which historical pricing relationships become materially distorted. The risk of loss from pricing
distortions is potentially compounded by the fact that in disrupted markets many positions become illiquid, making it difficult or impossible to close out positions against which the markets are moving. The financing available to the Trust from its
banks, dealers and other counterparties is typically reduced in disrupted markets and may result in substantial losses to the Trust. Market disruptions may from time to time cause dramatic losses for the Trust, and such events can result in
otherwise historically low-risk strategies performing with unprecedented volatility and risk.
Risk of Natural Disasters, Epidemics, Terrorist Attacks and War
Countries and regions in which the Trust invests, where Campbell & Company has offices or where the Trust or Campbell & Company otherwise do business are susceptible to natural disasters
(e.g., fire, flood, earthquake, storm and hurricane) and epidemics, pandemics (e.g., COVID-19) or other outbreaks of serious contagious diseases. The occurrence of a natural disaster, epidemic or pandemic could adversely affect and severely
disrupt the business operations, economies and financial markets of many countries (even beyond the site of the natural disaster or epidemic) and could adversely affect the Trust’s investment programs or Campbell & Company’s ability to do
business. The impact of infectious diseases on the health of Campbell & Company’s employees could materially disrupt Campbell & Company’s business activities and negatively affect Campbell & Company’s ability to effectively monitor and
manage the Fund’s portfolio and operate the Fund in general. Infectious diseases or other public health crises can result in volatility in financial markets, which may disrupt historical pricing relationships or trends that Campbell &
Company’s strategies and models are based on, resulting in substantial and sudden losses to the Fund. This risk of loss can be compounded by the fact that in disrupted markets positions may become illiquid and financing might become unavailable.
Volatility may also make it more difficult or costly to rebalance portfolios or keep them within investment guidelines or targets.
In addition, terrorist attacks, or the fear of or the precautions taken in anticipation of such attacks, could, directly or indirectly, materially and adversely affect certain industries in which the
Trust invests or could affect the countries and regions in which the Trust invests, where Campbell & Company has offices or where the Trust or Campbell & Company otherwise do business. Other acts of war (e.g., war, actual or threatened
invasion, acts of foreign enemies, hostilities and insurrection, regardless of whether war is declared) could also have a material adverse impact on the financial condition of industries or countries in which the Trust invests.
Fixed-Income Investments Risks
The value of fixed-income securities in which the Trust may invest will change in response to fluctuations in interest rates. Except to the extent that values are independently affected by currency
exchange rate fluctuations, when interest rates decline, the value of fixed-income securities generally can be expected to rise. Conversely, when interest rates rise, the value of fixed-income securities generally can be expected to decline.
In addition, the fixed-income securities in which the Trust may invest may be subject to income risk, call risk, prepayment risk, extension risk, and/or credit risk, each of which could affect the
fixed-income securities’ value. Investments in lower rated or unrated fixed-income securities, while generally providing greater opportunity for gain and income than investments in higher rated securities, usually entail greater risk (including the
possibility of default or bankruptcy of the issuers of such securities).
Trading Risks
There are Disadvantages to Making Trading Decisions Based Primarily on Technical Market Data
The trading systems used by Campbell & Company for the Trust are primarily technical. The profitability of trading under these systems depends on, among other things, the occurrence of significant
price movements, up or down, in futures and forward prices. Such price movements may not develop; there have been periods in the past without such price movements.
The likelihood of the Units being profitable could be materially diminished during periods when events external to the markets themselves have an important impact on prices. During such periods,
Campbell & Company’s historic price analysis could establish positions on the wrong side of the price movements caused by such events.
Increased Competition in Alternative Asset Investments
There has been a marked increase in the number of, and flow of capital into, investment vehicles established in order to implement alternative asset investment strategies, including the strategies to
be implemented by the Trust. While the precise effect cannot be determined, such an increase may result in greater competition for investment opportunities, or may result under certain circumstances in increased price volatility or decreased
liquidity with respect to certain positions. Prospective investors should understand that the Trust may compete with other investment vehicles, as well as investment and commercial banking firms, which may have substantially greater resources, in
terms of financial resources and research staffs, than may be available to the Trust.
Increase in Assets Under Management May Make Profitable Trading More Difficult
Campbell & Company believes that it is virtually impossible to define or quantify the capacity of a portfolio with any degree of certainty. Campbell & Company has continued to introduce new
strategies designed to deliver returns which have low correlation to returns from existing strategies. Campbell & Company and its affiliates have not agreed to limit the amount of additional assets they may manage, and are actively engaged in
raising assets for existing and new accounts, including the Trust. However, Campbell & Company acknowledges that there may come a time when the combination of available markets and new strategies may not be sufficient for it to add new assets
without detriment to diversification. If this were to occur, Campbell & Company would expect its risk-adjusted returns to begin to degrade. Should Campbell & Company ever conclude that its ability to deliver attractive risk-adjusted returns
has been unduly compromised by its growth in assets, it would not hesitate to restrict or halt the flow of new assets, and, if necessary, begin to repatriate market gains.
Should the amount of assets that Campbell & Company and its affiliates manage increase, it may be more difficult for them to trade profitably because of the difficulty of trading larger positions
without adversely affecting prices and performance. Accordingly, such increases in equity under management may require Campbell & Company to modify its trading decisions for the Trust, which could have a detrimental effect on your investment.
Such considerations may also cause Campbell & Company to eliminate smaller markets from consideration for inclusion in certain trading programs, reducing the range of markets in which trading opportunities may be pursued. Campbell & Company
reserves the right to make distributions of profits to Limited Partners in an effort to control asset growth. In addition, Campbell & Company may have an incentive to favor other accounts because the compensation received from some other
accounts exceeds the compensation it receives from managing the Trust’s account. Because records with respect to other accounts are not accessible to Investors, the Investors will not be able to determine if Campbell & Company is favoring other
accounts.
Investors Will Not be Able to Review the Trust’s Holdings on a Daily Basis
Campbell & Company makes the Trust’s trading decisions. While Campbell & Company receives daily trade confirmations from the futures brokers and over-the-counter counterparties, the Trust’s
trading results are reported to Investors monthly. Accordingly, an investment in the Trust does not offer Investors the same transparency, i.e., an ability to review all investment positions daily, that a personal trading account offers.
Portfolio Turnover
The Trust may dispose of its investment instruments without regard to the length of time they have been held when such actions appear advisable based on the models included in its portfolio. Since
Campbell & Company trades the Trust’s investment instruments based on the models included in the portfolio, it is impossible to predict, with any degree of certainty, the portfolio turnover rate for the Trust. A high portfolio turnover rate
bears certain tax consequences and results in greater transaction costs, which are borne directly by the Trust.
Inadequate Models Could Negatively Affect the Trust’s Investment Portfolio
Campbell & Company’s trading is highly model driven, and is subject to possibly material flaws in the models. As market dynamics (for example, due to changed market conditions and participants)
shift over time, a previously highly successful model may become outdated or inaccurate, possibly without Campbell & Company recognizing that fact before losses are incurred. In particular, the Trust may incur losses in the event of disrupted
markets and other extraordinary events that cause Campbell & Company’s pricing models to generate prices which deviate from the market. The risk of loss to the Trust in the case of disrupted markets is compounded by the number of different
investment models of pricing, each of which may independently become wholly unpredictable during market disruptions. In addition, in disrupted derivatives markets, many positions may become illiquid, making it difficult or impossible to close out
positions against which the markets are moving.
Even if the basic concepts of our models are sound, Campbell & Company may make errors in developing algorithms for integrating the numerous factors and variables into them or in programming the
algorithms. Those errors may cause the model to generate results different from those intended. They may be difficult to detect in many market conditions, possibly influencing outcomes only in periods of stress or change in market conditions.
Campbell & Company anticipates the continued modification, enhancement and development of models. Each new generation of models (including incremental improvements to current models) exposes the
Trust to the possibility of unforeseen losses from a variety of factors, including conceptual failures and implementation failures. There can be no assurance that the models used by Campbell & Company will be effective or that they will be
effectively utilized by Campbell & Company. Moreover, there can be no assurance that Campbell & Company will be able to continue to develop, maintain and update the models so as to effectively implement its trading strategy.
Investors Must Not Rely on the Past Performance of Campbell & Company or the Trust in Deciding Whether to Buy Units
The future performance of the Trust is not predictable, and no assurance can be given that the Trust and Campbell & Company will perform successfully in the future in as much as past performance
is not necessarily indicative of future results. Campbell & Company’s trading systems are continually evolving and the fact that the Trust and Campbell & Company may have traded successfully in the past does not mean that they will do so
in the future. Additionally, the markets in which the Trust operates have been recently severely disrupted (for periods of one year or more), so results observed in periods prior to these disruptions may have little relevance to the results
observable during and after these disruptions.
Reliance on the Campbell & Company’s Discretion and Trading Models
The Trust’s success depends on the ability of Campbell & Company to develop and employ proprietary models across debt instruments, futures-related interests and/or derivative instruments.
Campbell & Company can provide no assurance that its efforts or the proprietary trading models that it employs will be successful, that it will always recognize each situation in which the models’
signals should or should not be used, or that such use or non-use of such signals will increase the Trust’s profits or minimize its losses. The discretionary authority of Campbell & Company may have a significant actual effect on the Trust’s
performance (positive or negative).
Use of the models is unlikely to be successful unless the algorithms underlying the models are correct and remain correct in the future. Because the algorithms are based on perceived relationships
between changes in technical and quantitative variables and prices or other fundamental factors, they will likely be unsuccessful in generating profitable trading signals to the extent that such perceptions are inaccurate.
To the extent that the algorithms do not reflect certain factors that may influence prices of the underlying instruments, major losses may result. For example (one of many possible examples, a number
of which are unknown), a pending political event not accounted for in the algorithms of the models may be very likely to cause a major and adverse price movement, but the Trust might well continue to maintain positions that would incur major losses
as a result of such movement because the models failed to reflect the pending political event.
The models may be more effective with certain underlying instruments than with others, or may not work at all with respect to certain instruments. To the extent that the models generate signals for
instruments for which it does not provide optimal analysis, diminished returns or increased losses may result.
The data used in developing the models may not reflect the changing dynamics of the markets. An influx of new market participants, changes in market regulation, international political developments,
demographic changes and numerous other factors can contribute to once successful strategies becoming outdated. Not all of these factors can be identified, much less quantified.
In the past, there have been periods without discernible trends in the markets in which the Trust trades and, presumably, such periods will continue to occur in the future. Any factor which would
lessen the prospect of major trends occurring in the future (such as increased governmental control of, or participation in, the markets) may reduce the prospect that certain models utilized by Campbell & Company will be profitable in the
future.
Moreover, any factor which would make it more difficult to execute trades at desired prices in accordance with the signals of the models (such as a significant lessening of liquidity in a particular
market) would also be detrimental to profitability. Further, many advisers’ trading methods utilize similar analyses in making trading decisions. Therefore, bunching of buy and sell orders can occur, which makes it more difficult for a position to
be taken or liquidated. No assurance can be given that the strategies utilized by Campbell & Company will be successful under all or any market conditions.
Campbell & Company continues to test and evaluate the models, as a result of which the models may be modified from time to time. As a result of such periodic modifications, it is possible that the
trading strategies used by Campbell & Company in the future may be different from the strategies presently in use, or that which were used in the past. Any modification of the models will not be subject to any requirement that Limited Partners
receive notice of the change or consent to it. There can be no assurance as to the effects (positive or negative) of any modification on the Trust’s performance. No assurance can be given that the trading strategy used or to be used by Campbell
& Company will be successful under all or any market conditions.
Market Factors May Adversely Influence the Models
Often, the most unprofitable market conditions for the Trust are those in which prices “whipsaw,” moving quickly upward, then reversing, then moving upward again, then reversing again. In such
conditions, Campbell & Company may, on the basis of its models, establish positions based on incorrectly identifying both the brief upward or downward price movements as trends, whereas in fact no trends sufficient to generate profits develop.
Overall market, industry or economic conditions, which neither the Trust nor Campbell & Company can predict or control, will have a material effect on performance.
Availability of Investment Opportunities
The business of identifying and structuring investments of the types contemplated by the Trust is specialized, and involves a high degree of uncertainty. The availability of investment opportunities
generally is subject to market conditions as well as, in some cases, the prevailing regulatory or political climate. No assurance can be given that the Trust will be able to identify and complete attractive investments in the future or that it will
be able to invest fully its subscriptions. Similarly, identification of attractive investment opportunities by Campbell & Company is difficult and involves a high degree of uncertainty. Even if attractive investment opportunities are identified
by Campbell & Company, it may not be permitted to take advantage of the opportunity to the fullest extent desired. Investment funds sponsored, managed or advised by Campbell & Company or its affiliates may seek investment opportunities
similar to those the Trust may be seeking, and none of these parties has an obligation to offer any opportunities it may identify to the Trust.
Holding Period of Investment Positions
Campbell & Company typically does not know the maximum – or, often, even the expected (as opposed to optimal) – duration of any particular position at the time of initiation (except in the case of
certain options or derivatives positions, which have pre-established expiration dates). The length of time for which a position is maintained varies significantly, based on Campbell & Company’s subjective judgment of the appropriate point at
which to liquidate a position so as to augment gains of reduce losses. There can be no assurance that the Trust will be able to maintain any particular position, or group of related positions, for the duration required to realize the expected
gains, or avoid losses, from such positions.
Futures, Forwards and Swaps
Futures, Forwards and Swaps Trading Can be Highly Volatile
Futures, forwards and other derivative prices are highly volatile and increase the amount of volatility in contrast to a direct investment in the underlying physical commodities or financial products.
Price movements of futures, forwards and other derivative contracts are influenced by such factors as: changes in overall market movements due to fluctuating supply and demand relationships; weather; government agricultural, trade, fiscal, monetary
and exchange control programs and policies; and national and international political and economic events. In addition, governments from time to time intervene in certain markets, particularly the currency and interest-rate markets.
Futures, Forwards and Swaps Trading is Highly Speculative and Volatile
Futures, forwards and swaps trading is speculative, and is not intended to be a complete investment program. Futures, forwards and swaps have a high degree of price variability and are subject to
occasional rapid and substantial changes. Thus, significant amounts can be lost in a brief period of time. Futures, forwards and swaps trading is designed only for sophisticated investors who are able to bear the risk of capital loss. There can be
no assurance that your account will achieve its investment objectives. Prospective investors are cautioned that they could lose all or substantially all of their investment. Prospective investors should understand that their account’s performance
can be volatile.
Futures, Forwards and Swaps Trading Involves Substantial Leverage
The low margin deposits normally required in futures, forwards and swaps contracts trading permit an extremely high degree of leverage; margin requirements for futures, forwards and swaps contracts
trading being in some cases as little as 2% of the face value of the contracts traded. Accordingly, the Trust is able to hold positions with face values equal to several times its net assets; therefore, a relatively small price movement in a
futures, forwards or swaps contract may result in immediate and substantial losses to the investor. For example, if at the time of purchase, 10% of the price of the futures, forwards, or swaps contract is deposited as margin, a 10% decrease in the
price of the futures, forwards or swaps contract would, if the contract were then closed out, result in a total loss of the margin deposit before any deduction for brokerage commissions. The Trust’s ratio of margin to equity is typically 15% to
40%. As a result of this leveraging, even a small movement in the price of a contract can cause major losses.
Futures, Forwards and Swaps Trading May Be Illiquid
Most United States commodity exchanges limit fluctuations in futures contract prices during a single day by regulations referred to as “daily limits.” During a single trading day no trades may be
executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased to the limit point, positions can be neither taken nor liquidated. Futures interest prices have occasionally moved the daily limit for
several consecutive days with little or no trading. Similar occurrences could prevent the Trust from promptly liquidating unfavorable positions and subject the Trust to substantial losses. Also, the CFTC or exchanges may suspend or limit trading.
While daily limits reduce liquidity, they do not reduce ultimate losses, and may in fact substantially increase losses because they may prevent the liquidation of unfavorable positions. There is no limitation on daily price moves in trading
currency forward contracts.
In addition, the Trust may not be able to execute trades at favorable prices if little trading in the futures, forwards, swaps or other derivatives involved is taking place. It also is possible that
an exchange or the CFTC might suspend trading in a particular contract, order immediate liquidation and settlement of a particular futures interest, or order that trading in a particular futures interest be conducted for liquidation only. During
periods in October 1987, for example, trading in certain stock index futures was too illiquid for markets to function efficiently and was at one point actually suspended.
Forwards Trading and its Counterparty, Regulatory and Related Risks
The Trust may, but is not limited to, trade forward contracts in currencies. A forward contract is a contractual obligation to purchase or sell a specified quantity of a commodity or currency at a
specified date in the future at a specified price and, therefore, is similar to a futures contract.
Forward contracts are not traded on exchanges; rather, banks (e.g., major money center investment banks) and dealers act as principals in these over-the-counter markets. Foreign exchange swaps and
foreign exchange forwards, as well as bona fide spot foreign exchange transactions, are not subject to full regulation by the CFTC (including the clearing and platform execution mandates). Therefore, the Trust will not receive any benefit of CFTC
regulation of its trading activities in excluded foreign exchange swaps and forward transactions. The Trust faces the risk of non-performance by its counterparties to forward contracts and such non-performance may cause some or all of its gains to
remain unrealized.
Certain markets in which the Trust effects transaction may be in over-the-counter or “interdealer” markets, and also include unregulated private markets. Unlike futures contracts, the counterparty to
forward contracts is generally a single bank or other financial institution, rather than a clearing organization backed by a group of financial institutions. Furthermore, the participants in such markets are typically not subject to the same level
of credit evaluation and regulatory oversight as are members of the “exchange based” markets. This exposes investors to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over
the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Trust to suffer a loss. Such “counterparty risk” is accentuated for contracts with longer maturities where events may intervene to
prevent settlement, or where Campbell & Company has concentrated the Trust’s transactions with a single or small group of counterparties. Campbell & Company is not restricted from dealing with any particular counterparty or from
concentrating any or all transactions with one counterparty. However, Campbell & Company seeks to minimize credit risk primarily by dealing with counterparties that it believes are creditworthy. The ability of Campbell & Company and the
Trust to transact business with any one or number of counterparties, the lack of any meaningful and independent evaluation of such counterparties’ financial capabilities and the absence of a regulated market to facilitate settlement may increase
the potential for losses by the Trust.
The Trust may trade deliverable forward contracts in the inter-bank currency market. Such deliverable forward contracts are not currently traded on exchanges; rather, banks and dealers act as
principals in these markets. As a result of Dodd-Frank, the CFTC now regulates non-deliverable forwards (including deliverable forwards where the parties do not intend to make or take delivery). Changes in the forward markets may entail increased
costs and result in burdensome reporting requirements. Principals in the forward markets have no obligation to continue to make markets in the forward contracts traded. The imposition of credit controls by governmental authorities or the
implementation of regulations pursuant to Dodd-Frank might limit such forward trading to less than that which Campbell & Company would otherwise recommend, to the possible detriment of the Trust.
In addition, there is currently no limitation on the daily price movements of forward contracts. Principals in the forward markets have no obligation to continue to make markets in the forward
contracts traded. There have been periods during which certain banks or dealers have refused to quote prices for forward contracts or have quoted prices with an unusually wide spread between the price at which they are prepared to buy and that at
which they are prepared to sell. The imposition of credit controls by governmental authorities might limit such forward trading to less than that which Campbell & Company and its affiliates would otherwise recommend, to the possible detriment
of the Trust.
The Trust is a Party to Financial Instruments with Elements of Off-Balance Sheet Risk, Which May Cause the Trust to Lose All of Its Assets
The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Trust trades in
futures, forward, swaps and other derivatives and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Trust, market risk, that such
contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Trust at the same
time, and if the Trust’s trading advisor was unable to offset futures interest positions of the Trust, the Trust could lose all of its assets and the limited partners would realize a 100% loss. Campbell & Company attempts to minimize potential
market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 40%; however, these precautions may not be effective in limiting the risk of loss.
Currency/Cross Rates Trading
The Trust may trade currencies through cross rates trading, which is the off-exchange trading of the exchange rate between two retail currency pairs. This may include cross rates trading of the
exchange rate between two currency pairs other than the U.S. Dollar. The risk of loss in cross rates trading can be substantial. Investors should be aware that cross rates transactions are not traded on an exchange, and those funds deposited with
the counterparty for cross rates transactions may not receive the same protections as funds used to margin or guarantee exchange-traded futures contracts.
Swap Agreements
The Trust may enter into swap agreements. Swap agreements are privately negotiated OTC derivative products in which two parties agree to exchange payment streams that may be calculated in relation to
a rate, index, instrument or certain securities, and a particular “notional amount”.
While there are many benefits to trading via swap, there are also costs. In some markets, including the U.S. where directed orders are not permitted via swaps, there may be more latency associated
with trading equity securities via swap since the Fund cannot directly access certain trading venues when trading via swap. In such cases, the reference price for a swap may be less favorable than it would have been had the Fund been able to access
the trading venue directly. In addition, because swap counterparties may be unwilling to provide exposure to specific securities when unable to hedge their resulting exposure, the Fund may not be able to gain exposure to certain issuers when
trading via swap. Further, in many markets, swap counterparties will not accept “give up” hedges executed by other counterparties. In those markets (which include the United States), the Fund will not be able to execute positions with a different
broker than the broker that provides financing to the Fund.
Swaps may be subject to various types of risks, including market risk, liquidity risk, structuring risk, tax risk, and the risk of non-performance by the counterparty, including risks relating to the
financial soundness and creditworthiness of the counterparty. Swaps can be individually negotiated and structured to include exposure to a variety of different types of investments or market factors. Depending on their structure, swaps may increase
or decrease the Trust’s exposure to equity securities, long-term or short-term interest rates, non-U.S. currency values, corporate borrowing rates, or other factors such as security prices, baskets of securities, or inflation rates and may increase
or decrease the overall volatility of the Trust’s portfolio. Swap agreements can take many different forms and are known by a variety of names. The Trust will not be limited to any particular form of swap agreement if Campbell & Company
determines that other forms are consistent with the Trust’s investment objective and policies. The most significant factor in the performance of swaps is the change in individual equity values, specific interest rate, currency or other factors that
determine the amounts of payments due to and from the counterparties. If a swap calls for payments by the Trust, the Trust must have sufficient cash availability to make such payments when due.
Credit Default Swaps
The Trust may invest in credit default swaps (“CDS”). CDS can be used to implement a trader’s view that a particular credit, or group of credits, will experience credit improvement or deterioration.
The typical CDS requires the seller to pay to the buyer, in the event that a particular reference entity experiences specified credit events, the difference between the notional amount of the contract and the value of a portfolio of securities
issued by the reference entity that the buyer delivers to the seller. In return, the buyer agrees to make periodic and/or upfront payments equal to a fixed percentage of the notional amount of the contract. The Trust may also purchase or sell CDS
on a basket of reference entities or an index. In circumstances in which the Trust is the credit default swap buyer and does not own the debt securities that are deliverable under a credit default swap, the Trust is exposed to the risk that
deliverable securities will not be available in the market, or will be available only at unfavorable prices, as would be the case in a so-called “short squeeze.” While the credit default swap market auction protocols reduce this risk, it is still
possible that an auction will not be organized or will not be successful. In certain instances of issuer defaults or restructurings (for those CDS for which restructuring is specified as a credit event), it has been unclear under the standard
industry documentation for CDS whether or not a “credit event” triggering the seller’s payment obligation had occurred. The creation of the CDS Determinations Committee in April 2009 was intended to reduce this uncertainty and create uniformity
across the market, although it is possible that the efforts of the CDS Determinations Committee will not fully meet these goals. In either of these cases, the Trust would not be able to realize the full value of the credit default swap upon a
default by the reference entity. As a seller of CDS, the Trust incurs leveraged exposure to the credit of the reference entity and is subject to many of the same risks it would incur if it were holding debt securities issued by the reference
entity. However, the Trust will not have any legal recourse against the reference entity and will not benefit from any collateral securing the reference entity’s debt obligations. In addition, in the event the CDS Determinations Committee does not
establish a cash settlement auction and identify the relevant deliverable securities, the credit default swap buyer will have broad discretion to select which of the reference entity’s debt obligations to deliver to the Trust following a credit
event and will likely choose the obligations with the lowest market value in order to maximize the payment obligations of the Trust. Given the recent sharp increases in volume of CDS trading in the market, settlement of CDS may also be delayed
beyond the time frame originally anticipated by counterparties. Such delays may adversely impact the Trust’s ability to otherwise productively deploy any capital that is committed with respect to such contracts.
Interest Rate Swaps
An interest rate swap is an agreement between two parties to exchange one stream of interest payments for another over a set period of time. Although there are a number of types of interest rate
swaps, the most commonly traded and most liquid interest rate swaps, “plain vanilla swaps,” which exchange fixed-rate payments for floating-rate payments based on an established reference rate, usually set daily.
Interest-rate swaps involve two primary risks: interest rate risk and credit risk/counterparty risk. Because actual interest rate movements do not always match expectations, interest rate swaps
entail interest-rate risk. For example, in a plain vanilla swap, the receiver (the counterparty receiving a fixed-rate payment stream) profits if interest rates fall and loses if interest rates rise. Conversely, the payer (the counterparty paying
a fixed-rate payment stream) profits if rates rise and loses if rates fall. Interest rate swaps are also subject to the counterparty’s credit risk; that is, the chance that the other party to the contract will default on its obligations. This
risk has been partially mitigated by CFTC mandated, central counterparty, clearing for a significant number of interest rate swaps. However, the risk is still higher than that of investing in a “risk-free” U.S. Treasury bond.
Regulatory
The Current Markets are Subject to Governmental Intervention That May Be a Detriment to Your Investment
The legal and regulatory environment worldwide for the financial services industry (such as Campbell & Company and the Fund) and is subject to change. Changes in the regulation of investment
funds, their managers, and their trading and investing activities may have a material adverse effect on the ability of the Fund to pursue its investment program and on the value of investments held by the Fund.
There has been an increase in regulatory scrutiny of the financial markets and the investment fund industry, resulting in an unprecedented amount of legislation that impacts the Fund and Campbell
& Company: principally, the Dodd-Frank Act and the JOBS Act. Such regulatory changes have impacted the investment fund industry through, among other things: (i) establishing minimum amounts of initial margin that must be posted for certain
financial instruments; (ii) requiring certain derivatives to be cleared through central clearing houses; (iii) changing pre- and post-trade transparency obligations applicable to financial instruments admitted to trading on certain trading venues;
and (iv) introducing a new focus on regulation of algorithmic and high frequency trading. In addition, Campbell & Company may, in its sole discretion, cause the Fund to be subject to certain laws and regulations if it believes that an
investment or business activity is in the Fund’s interest, even if such laws and regulations may have a detrimental effect on one or more investors. These reforms and any other new laws and regulations or actions taken by regulators that restrict
or impair the ability of the Fund to pursue its investment program or employ brokers and other counterparties could have a material adverse effect on the Trust.
In addition, increased regulation (whether promulgated under securities laws or any other applicable law) and regulatory oversight of and changes in law applicable to investment funds and their
managers may impose administrative burdens on Campbell & Company, including responding to examinations and other regulatory inquiries and implementing policies and procedures. Such administrative burdens may divert Campbell & Company’s
time, attention and resources from portfolio management activities to responding to inquiries, examinations and enforcement actions (or threats thereof).
Speculative Position Limits
The CFTC and certain exchanges have established position limits on the maximum net long or net short speculative positions that any person or group of persons acting in concert may hold or control in
any particular futures contracts and the CFTC imposes similar limits on certain economically equivalent OTC derivatives. All accounts owned or managed by Campbell & Company are likely to be combined for speculative position limit purposes. The
Trust could be required to liquidate positions it holds in order to comply with such limits, or may not be able to fully implement trading instructions generated by its trading models, in order to comply with such limits. Any such liquidation or
limited implementation could result in substantial costs to the Trust.
Over-the-Counter Derivatives Markets
Dodd-Frank includes provisions that comprehensively regulate the OTC derivatives markets. Dodd-Frank mandates that a substantial portion of OTC derivatives be executed in regulated markets and be
submitted for clearing to regulated clearing houses, gives the CFTC and the SEC the authority to limit and/or suspend trading in such instruments, and imposes certain reporting and recordkeeping requirements relating to transactions in connection
with such instruments. OTC trades submitted for clearing will be subject to minimum initial and variation margin requirements set by the relevant clearing house, as well as margin requirements mandated by the CFTC, the SEC and/or federal prudential
regulators. OTC derivative dealers also typically demand the unilateral ability to increase the Trust’s collateral requirements for cleared OTC trades beyond any regulatory and clearing house minimums. The regulators also have broad discretion to
impose margin requirements on non-cleared OTC derivatives and have imposed requirements that require OTC derivative dealers to hold customer collateral in connection with many types of derivatives transactions. These requirements may increase the
amount of collateral the Trust is required to provide and the costs associated with providing it. OTC derivative dealers also are required to post margin to the clearing houses through which they clear their customers’ trades instead of using such
margin in their operations, as was widely permitted before the Dodd-Frank Act. This has increased and will continue to increase the OTC derivative dealers’ costs, and these increased costs are generally passed through to other market participants
in the form of higher upfront and mark-to-market margin, less favorable trade pricing, and the imposition of new or increased fees, including clearing account maintenance fees.
With respect to cleared OTC derivatives, the Trust will not face a clearing house directly but rather will do so through an OTC derivative dealer that is registered with the CFTC or SEC and that acts
as a clearing member. The Trust may face the indirect risk of the failure of another clearing member customer to meet its obligations to its clearing member. Such scenario could arise due to a default by the clearing member on its obligations to
the clearing house, triggered by a customer’s failure to meet its obligations to the clearing member.
The CFTC also now requires certain derivative transactions that were previously executed on a bilateral basis in the OTC markets to be executed through a regulated futures or swap exchange or
execution facility. Many CFTC-regulated derivatives trades are now subject to these rules, and it is expected that additional types of derivatives transactions will be subject to clearing mandates in the future. The SEC may impose similar
requirements on certain security-based derivatives in the future, though it is not yet clear when parallel SEC requirements may go into effect. Such requirements may make it more difficult and costly for investment funds, including the Trust, to
enter into highly tailored or customized transactions. They may also render certain strategies in which the Trust might otherwise engage impossible or so costly that they will no longer be economical to implement. If the Trust decides to execute
derivatives transactions through such exchanges or execution facilities—and especially if it decides to become a direct member of one or more of these exchanges or execution facilities, the Trust would be subject to the rules of the exchange or
execution facility, which would bring additional risks and liabilities, and potential requirements under applicable regulations and under rules of the relevant exchange or execution facility.
OTC derivatives dealers are now required to register with the CFTC as swap dealers and, since late 2021, many have been required to register with the SEC as security-based swap dealers. Registered
dealers are (or will be) subject to various regulatory requirements, including capital and margin requirements, business conduct standards, disclosure requirements, reporting and recordkeeping requirements, transparency requirements, position
limits, limitations on conflicts of interest, and other regulatory burdens. These requirements have and will continue to increase the overall costs for OTC derivative dealers, which costs may be passed along to market participants including the
Trust. The full impact of Dodd-Frank on the Trust remains uncertain, as well as the impact of additional, sometimes overlapping, regulatory requirements imposed by non-U.S. regulators.
Major OTC derivatives market participants are now also required to register with the CFTC in various capacities and may ultimately be required to register with the SEC. Campbell & Company is
registered as a Swap Firm with the National Futures Association and could potentially be required to register as a major swap participant for trading in the OTC derivatives markets. Major swap participants are also subject to new minimum capital
and margin requirements, business conduct standards, disclosure requirements, reporting and recordkeeping requirements, transparency requirements, position limits, limitations on conflicts of interest, and other regulatory burdens. These
requirements may further increase the overall costs for major swap participants. The overall impact of Dodd-Frank on Campbell & Company remains uncertain.
Although Dodd-Frank requires many OTC derivative transactions previously entered into on a principal-to-principal basis to be submitted for clearing by a regulated clearing house, certain derivatives
that may be traded by the Trust may remain principal-to-principal or OTC contracts between the Trust and third parties entered into privately. The risk of counterparty nonperformance can be significant in the case of these over-the-counter
instruments, and “bid-ask” spreads may be unusually wide in these heretofore substantially unregulated markets. While Dodd-Frank is intended in part to reduce these risks, its success in this respect may not be evident for some time after
Dodd-Frank is fully implemented, a process that may take several more years. To the extent not mitigated by implementation of Dodd-Frank, if at all, the risks posed by such instruments and techniques, which can be extremely complex, include: (1)
credit risks (the exposure to the possibility of loss resulting from a counterparty’s failure to meet its financial obligations); (2) market risk (adverse movements in the price of a financial asset or commodity); (3) legal risks (the
characterization of a transaction or a party’s legal capacity to enter into it could render the financial contract unenforceable, and the insolvency or bankruptcy of a counterparty could preempt otherwise enforceable contract rights); (4)
operational risk (inadequate controls, deficient procedures, human error, system failure or fraud); (5) documentation risk (exposure to losses resulting from inadequate documentation); (6) liquidity risk (exposure to losses created by inability to
prematurely terminate the derivative); (7) system risk (the risk that financial difficulties in one institution or a major market disruption will cause uncontrollable financial harm to the financial system); (8) concentration risk (exposure to
losses from the concentration of closely related risks such as exposure to a particular industry or exposure linked to a particular entity); and (9) settlement risk (the risk faced when one party to a transaction has performed its obligations under
a contract but has not yet received value from its counterparty).
Institutions, such as brokerage firms, banks and broker-dealers, generally have custody of the Trust’s portfolio assets and may hold such assets in “street name.” The Trust is subject to the risk that
these firms and other brokers, counterparties, clearing houses or exchanges with which the Trust deals may default on their obligations to the Trust. Any default by any of such parties could result in material losses to the Trust. Bankruptcy or
fraud at one of these institutions could also impair the operational capabilities or the capital position of the Trust. In addition, securities and other assets deposited with custodians or brokers may not be clearly identified as being assets of
the Trust, causing the Trust to be exposed to a credit risk with regard to such parties. The Trust generally will only be an unsecured creditor of its trading counterparties in the event of bankruptcy or administration of such counterparties. In
some jurisdictions, the Trust may also only be an unsecured creditor of its brokers in the event of bankruptcy or administration of such brokers. The Trust attempts to limit its brokerage and custody transactions to well capitalized and established
banks and brokerage firms in an effort to mitigate such risks, but the collapse in 2008 of the seemingly well capitalized and established Bear Stearns and Lehman Brothers demonstrates the limits on the effectiveness of this approach in avoiding
counterparty losses.
The Trust may affect transactions in “over-the-counter” or “interdealer” markets. The participants in such markets are typically not subject to the same level of credit evaluation and regulatory
oversight as are members of “exchange-based” markets. This exposes the Trust to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or
not bona fide) or because of a credit or liquidity problem, thus causing the Trust to suffer a loss. Such “counterparty risk” is accentuated for contracts with longer maturities where events may intervene to prevent settlement, or where the Trust
has concentrated its transactions with a single or small group of counterparties. The Trust is not restricted from dealing with any particular counterparty or in the size of the exposure which the Trust may provide to a given counterparty. The
inability to make complete and “foolproof” evaluations of the financial capabilities of the Trust’s counterparties and the absence of a regulated market to facilitate settlement increases the risk to the Trust.
While Dodd-Frank is intended to bring more stability and lower counterparty risk to derivatives market by requiring exchange clearing of derivatives trades, not all of the Trust’s trades will be
subject to the clearing requirements once they generally become effective, either because the trades are grandfathered or because they are bespoke. Furthermore, it is yet to be seen whether Dodd-Frank will be effective in reducing counterparty risk
or if such risk may actually increase as a result of market uncertainty, mutuality of loss to clearing house members, or other reasons.
Regulatory Changes or Additional Government or Market Regulation or Actions May Alter the Operations and Profitability of the Trust
The global financial markets have gone through periods of pervasive and fundamental disruptions, which have led, to extensive and unprecedented government intervention. Such intervention was in
certain cases implemented on an “emergency” basis, suddenly and substantially eliminating market participants’ ability to continue to implement certain strategies or manage the risk of their outstanding positions. In addition, as one would expect
given the complexities of the financial markets and the limited time frame within which governments have felt compelled to take action, these interventions have at times been unclear in scope and application, resulting in confusion and uncertainty
which in itself has been materially detrimental to the efficient functioning of the markets as well as previously successful investment strategies.
Considerable regulatory attention has been focused on non-traditional investment pools. Market disruptions and the dramatic increase in the capital allocated to alternative investment strategies have
led to increased governmental as well as self-regulatory scrutiny of the “hedge fund” industry in general. Certain legislation proposing greater regulation of the industry periodically is considered by Congress, the SEC, the CFTC and the governing
bodies of non-U.S. jurisdictions. It is impossible to predict what, if any, changes in the regulations applicable to the Trust, Campbell & Company, the markets in which they trade and invest or the counterparties with which they do business may
be instituted in the future. Any such regulation could have a material adverse impact on the profit potential of the Trust or the ability of the Trust to continue to implement its investment strategies, as well as require increased transparency as
to the identity of the Limited Partners.
The Trust, in particular, is dependent upon the use of leverage in implementing its investment strategy across the markets and instruments described herein. Any
regulatory limitations may have a materially adverse impact on the Trust
The futures markets are subject to comprehensive statutes, regulations and margin requirements. In addition, the CFTC and the exchanges are authorized to take extraordinary actions in the event of a
market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily price limits and the suspension of trading. The regulation of swaps and futures
transactions in the United States is a rapidly changing area of law and is subject to modification by government and judicial action. The effect of any future regulatory change on the Trust is impossible to predict, but could be substantial and
adverse.
Daily Price Fluctuation Limits Imposed by Futures Exchanges May Alter Trading Decisions for the Trust
Most U.S. futures exchanges have established “daily price fluctuation limits” which preclude the execution of trades at prices outside of the limit. Contract prices have occasionally moved the daily
limit for several consecutive days with little or no trading. If prices were to approach the level of the daily limits, these limits could cause a modification of Campbell & Company’s trading decisions for the Trust or force the liquidation of
certain futures positions. Either of these actions may not be in the best interests of the investors. From time to time, the CFTC or the exchanges may suspend trading in market disruption circumstances. In these cases, it is possible that
Campbell & Company, as trading manager, could be required to maintain a losing position that it otherwise would exit and incur significant losses or be unable to establish a position and miss a profit opportunity.
The Trust is Subject to Foreign Market Credit and Regulatory Risk
A substantial portion of Campbell & Company’s trades takes place on markets or exchanges outside the United States. From time to time, over 50% of the Trust’s overall market exposure could
involve positions taken on foreign markets. The risk of loss in trading foreign futures contracts can be substantial. Participation in foreign futures contracts transactions involves the execution and clearing of trades on, or subject to the
rules of, a foreign board of trade. Non-U.S. markets may not be subject to the same degree of regulation as their U.S. counterparts. None of the CFTC, NFA or any domestic exchange regulates activities of any foreign boards of trade, including the
execution, delivery and clearing of transactions, nor do they have the power to compel enforcement of the rules of a foreign board of trade or any applicable foreign laws. Trading on foreign exchanges also presents the risks of exchange controls,
expropriation, taxation and government disruptions.
Membership in a Swap Execution Facility
In an effort to facilitate the investment strategies employed by the Campbell & Company on behalf of the Trust, the Trust and/or Campbell & Company may become members of exchanges and/or swap
execution facilities (“SEFs”). Such membership may subject the Trust and/or Campbell & Company to a wide range of regulation and other obligations, together with associated costs. Like any other self-regulatory organization, SEFs are expected
to regularly revise and interpret their rules, and such revisions and interpretations could adversely impact the Trust. Even if the Trust opts not to trade on a SEF directly but instead through a broker, such trading may nevertheless require the
Trust to consent to the SEF’s jurisdiction as a self-regulatory organization and to be subject to the SEF’s rulebook, which could adversely impact the Trust.
The Trust is Not a Regulated Investment Company and is Therefore Subject to Different Protections Than a Regulated Investment Company
Although the Trust and Campbell & Company are subject to regulation by the CFTC, the Trust is not an investment company subject to the Investment Company Act of 1940. Accordingly, you do not have
the protections afforded by that statute which, for example, requires investment companies to have a majority of disinterested directors and regulates the relationship between the adviser and the investment company.
Tax Risks
Investors are Taxed Based on Their Share of Trust Income and Gain
Investors are taxed each year on their share of the Trust’s income and gain, if any, irrespective of whether they redeem any Units or receive any cash distribution from the Trust. Campbell &
Company has the authority to make such distributions at any time in its sole discretion.
All performance information included in this Form 10K is presented on a pre-tax basis; the investors (other than tax-exempt investors) who experienced such performance had to pay the related taxes
from other sources.
Tax Could be Due from Investors on Their Share of the Trust’s Ordinary Income Despite Overall Losses
Investors may be required to pay tax on their allocable share of the Trust’s ordinary income, which in the case of the Trust is the Trust’s interest income, gain on some foreign futures contracts, and
certain other investment assets, even though the Trust incurs overall losses. Capital losses of individual taxpayers can be used only to offset capital gains and, in the case of non-corporate investors, $3,000 of ordinary income each year.
Consequently, if an individual investor were allocated $5,000 of ordinary income and $10,000 of capital losses, the investor would owe tax on $2,000 of ordinary income even though the investor would have a $5,000 economic loss for the year. The
remaining $7,000 capital loss could be used in subsequent years to offset capital gain and ordinary income, but subject to the same annual limitation on its deductibility against ordinary income.
Deductibility of Management and Performance Fees
Although the Trust treats the management and performance fees paid to Campbell & Company as ordinary and necessary business expenses, upon an IRS audit, the Trust may be required to treat such
fees as “investment advisory fees” if the Trust’s trading activities did not constitute a trade or business for tax purposes. If the Investor’s share of expenses were deemed to be investment advisory fees, a non-corporate Investor’s tax liability
would likely increase. In addition, upon audit, a portion of the management fees might be treated as a non-deductible syndication cost or might be treated as a reduction in the Trust’s capital gain or as an increase in the Trust’s capital loss. If
the management fees were so treated, an Investor’s tax liability would likely increase.
Partnership Audit Rules
Absent an election, any audit adjustment to items of income, gain, loss, deduction, or credit of a partnership (and any partner’s distributive share thereof) is determined, and taxes, interest, or
penalties attributable thereto are assessed and collected, at the partnership level. Consult with your tax advisor with respect to these changes and their potential impact on your investment in the Trust.
Other Risks
Fees and Commissions are Charged Regardless of Profitability and are Subject to Change
The Trust is subject to substantial charges payable irrespective of profitability, in addition to performance fees which are payable based on the Trust’s profitability. Included in these charges are
brokerage fees and operating expenses. On the Trust’s forward trading, “bid-ask” spreads are incorporated into the pricing of forward contracts by the counterparties in addition to the brokerage fees paid by the Trust. It is not possible to
quantify the “bid-ask” spreads paid by the Trust because the Trust cannot determine the profit its counterparty is making on the forward transactions. Such spreads can at times be significant.
The Trust’s Service Providers Could Fail
The institutions with which the Trust trades or invests may encounter financial difficulties that impair the operational capabilities or the capital position of the Trust. A futures broker is
generally required by U.S. law to segregate all funds received from such broker’s customers from such broker’s proprietary assets. If the futures broker did not do so to the full extent required by law, the assets of the Trust might not be fully
protected in the event of the bankruptcy of the futures broker. Furthermore, in the event of the futures broker’s bankruptcies, the Trust could be limited to recovering only a pro rata share of all
available funds segregated on behalf of the futures broker’s combined customer accounts, even though certain property specifically traceable to the Trust (for example, Treasury bills deposited by the Trust with the futures broker as margin) was
held by the futures broker. The futures brokers have been the subject of regulatory and private causes of action, as described under “The Futures Broker” section of the Prospectus.
Although Campbell & Company regularly monitors the financial condition of the counterparties it uses, if the Trust’s counterparties were to become insolvent or the subject of liquidation
proceedings in the United States (either under the Securities Investor Protection Act of the United States Bankruptcy Code), there exists the risk that the recovery of the Trust’s assets from such counterparty will be delayed or be a value less
than the value of the assets originally entrusted to such counterparty.
Risks due to Redemption or Credit Restriction
The Trust is subject to the risk that its major institutional investors may be compelled to redeem or that the Trust’s counterparties or brokers will be required to restrict the amount of credit
previously granted to the Trust due to their own financial difficulties, resulting in forced liquidation of substantial portions of the Trust’s trading program.
There are No Independent Experts Representing Investors
Campbell & Company has consulted with counsel, accountants and other experts regarding the formation and operation of the Trust. No counsel has been appointed to represent the Investors in
connection with the offering of the Units. Accordingly, each prospective investor should consult his own legal, tax and financial advisers regarding the desirability of an investment in the Trust.
The Trust Places Significant Reliance on Campbell & Company and the Incapacity of its Principals Could Adversely Affect the Trust
Investors are not entitled to participate in the management of the Trust or the conduct of its business. Rather, the Trust is wholly dependent upon the services of the managing operator. There can be
no assurance that such services will be available for any length of time following the term of the Advisory Agreement. Furthermore, the incapacity of the managing operator’s principals could have a material and adverse effect on the managing
operator’s ability to discharge its obligations under the Advisory Agreement. However, there is no individual principal at Campbell & Company whose absence would result in a material adverse effect on Campbell & Company’s ability to
adequately carry out its advisory responsibilities.
The Trust Could Terminate Before You Achieve Your Investment Objective Causing Potential Loss of Your Investment or Disruption of Your Investment Portfolio
Campbell & Company may withdraw from the Trust upon 90 days’ notice, which would cause the Trust to terminate. Other events, such as a long-term substantial loss suffered by the Trust, could also
cause the Trust to terminate before the expiration of its stated term. This could cause you to liquidate your investments and disrupt the overall maturity and timing of your investment portfolio. If the registrations with the CFTC or memberships in
the National Futures Association of Campbell & Company or the futures broker were revoked or suspended, such entity would no longer be able to provide services to the Trust.
Transfers Could Be Restricted
Investors may transfer or assign Units only upon 30 days’ prior written notice to Campbell & Company and only if Campbell & Company is satisfied that the transfer complies with applicable laws
and would not result in adverse legal or tax consequences for the Trust. A transferee shall not become a substituted Investor without the written consent of the Managing Operator. See “Appendix A - Fifth Amended and Restated Declaration of Trust
and Trust Agreement” in the Prospectus.
Restrictions on Investment by ERISA Plans, Employee Retirement Income Security Act of 1974
Campbell & Company anticipates that the underlying assets of the Trust may be considered for purposes of Title I of the Employee Retirement Income Security Act, as amended (“ERISA”), and Section
4975 of the Internal Revenue Code of 1986, as amended (the “Code”), to be assets of certain employee benefit plans and other Plans that purchase Units. Under such circumstances, the investments of the Trust and the activities of Campbell &
Company will be subject to and, in certain cases, limited by, ERISA and the Code. Accordingly, all investors should carefully read “Investment by Employee Benefit Plans” in Part One of the Prospectus.
When considering an investment in the Trust of the assets of an employment benefit plan subject to Title I of ERISA, a fiduciary with respect to such plan should consider, among other things: (i) the
definition of “Plan assets” under section 3(42) of ERISA and the regulations issued by the Department of Labor (“DOL”) regarding the definition of Plan assets; (ii) whether the investment satisfies the diversification requirements of Section
404(a)(1) of ERISA; (iii) whether the investment satisfies the prudence requirements of Section 404(a)(1) of ERISA; and (iv) that there will be no secondary market in which such fiduciary can sell or otherwise dispose of the Units.
A Single-Advisor Trust May be More Volatile Than a Multi-Advisor Trust
The Trust is a single-advisor managed futures fund. Potential investors should understand that many managed futures funds are structured as multi-advisor funds in order to attempt to control risk and
reduce volatility through combining advisors whose historical performance records have exhibited a significant degree of non-correlation with each other. As a single-advisor managed futures fund, the Trust may have increased performance volatility
and a higher risk of loss than investment vehicles employing multiple advisors.
The Performance Fee Could Be an Incentive to Make Riskier Investments
Campbell & Company employs a speculative strategy for the Trust, and receives performance fees based on the trading profits earned by it for the Trust. Campbell & Company would not agree to
manage the Trust’s account in the absence of such a performance fee arrangement. Accordingly, Campbell & Company may make investments that are riskier than might be made if the Trust’s assets were managed by Campbell & Company that did not
require performance-based compensation.
The Trust May Distribute Profits to Investors at Inopportune Times
Campbell & Company reserves the right to make distributions of profits of the Trust to the Investors at any time in its sole discretion in order to control the growth of the assets under Campbell
& Company’s management. Investors will have no choice in receiving these distributions as income, and may receive little notice that these distributions are being made. Distributions may be made at an inopportune time for the Investors.
Potential Inability to Trade or Report Due to Systems Failure Could Adversely Affect the Trust
Campbell & Company’s strategies are dependent to a significant degree on the proper functioning of its internal computer systems. Accordingly, systems failures, whether due to third party failures
upon which such systems are dependent or the failure of Campbell & Company’s hardware or software, could disrupt trading or make trading impossible until such failure is remedied. Any such failure, and consequential inability to trade (even for
a short time), could, in certain market conditions, cause the Trust to experience significant trading losses or to miss opportunities for profitable trading. Additionally, any such failures could cause a temporary delay in reports to investors.
Failure to Receive Timely and Accurate Market Data from Third Party Vendors Could Cause Disruptions or the Inability to Trade
Campbell & Company’s strategies are dependent to a significant degree on the receipt of timely and accurate market data from third party vendors. Accordingly, the failure to receive such data in a
timely manner or the receipt of inaccurate data, whether due to the acts or omissions of such third party vendors or otherwise, could disrupt trading to the detriment of the Trust or make trading impossible until such failure or inaccuracy is
remedied. Any such failure or inaccuracy could, in certain market conditions, cause the Trust to experience significant trading losses, effect trades in a manner which it otherwise would not have done, or miss opportunities for profitable trading.
For example, the receipt of inaccurate market data may cause Campbell & Company to establish (or exit) a position which it otherwise would not have established (or exited), or fail to establish (or exit) a position which it otherwise would have
established (or exited), and any subsequent correction of such inaccurate data may cause Campbell & Company to reverse such action or inaction, all of which may ultimately be to the detriment of the Trust.
Cybersecurity Issues
With the increased use of technologies such as the Internet to conduct business, Campbell & Company is susceptible to operational, information security and related risks. In general, cyber
incidents can result from deliberate attacks or unintentional events. Cyber-attacks include, but are not limited to, gaining unauthorized access to digital systems (e.g., through “hacking” or malicious software coding) for purposes of
misappropriating assets or sensitive information, corrupting data, or causing operational disruption. Cyber-attacks may also be carried out in a manner that does not require gaining unauthorized access, such as causing denial-of-service attacks on
websites (i.e., efforts to make network services unavailable to intended users). Cybersecurity failures or breaches by Campbell & Company, and other service providers (including, but not limited to custodians), and the issuers of securities in
which Campbell & Company invests, have the ability to cause disruptions and impact business operations, potentially resulting in financial losses, interference with Campbell & Company’s ability to calculate its net asset value, impediments
to trading, violations of applicable privacy and other laws, regulatory fines, penalties, reputational damage, reimbursement or other compensation costs, or additional compliance costs. In addition, substantial costs may be incurred in order to
prevent any cyber incidents in the future. While Campbell & Company has established business continuity plans in the event of, and risk management systems to prevent, such cyber-attacks, there are inherent limitations in such plans and systems
including the possibility that certain risks have not been identified. Furthermore, Campbell & Company cannot control the cybersecurity plans and systems put in place by service providers to Campbell & Company and issuers in which Campbell
& Company invests. Campbell & Company and its clients could be negatively impacted as a result.
Conflicts of Interest Exist in the Structure and Operation of the Trust
The Trust is subject to actual and potential conflicts of interest. Investors are dependent on the good faith of the respective parties subject to such conflicts to resolve them equitably. Although
Campbell & Company attempts to monitor these conflicts, it is extremely difficult, if not impossible, for Campbell & Company to ensure that these conflicts do not, in fact, result in adverse consequences to the Investors.
Campbell & Company has a conflict of interest because it acts as the Managing Operator and sole trading advisor for the Trust. Since Campbell & Company acts as both trading advisor and
Managing Operator for the Trust, it is very unlikely that its advisory contract will be terminated by the Trust. The fees payable to Campbell & Company were established by it and were not, the subject of arm’s-length negotiation. Campbell &
Company, as Managing Operator, determines whether or not distributions are made and it receives increased fees to the extent distributions are not made. Campbell & Company has the authority to make such distributions at any time in fact, its
sole discretion.
Selling agents will be entitled to ongoing compensation as a result of their clients remaining in the Trust, so a conflict exists between the selling agent’s interest in maximizing compensation and in
advising its clients to make investment decisions in the client’s best interests.
The Value of the Units Will Be Adversely Affected If the Trust is Required to Make Indemnification Payments
Under the Trust’s constituent document and pursuant to the service contracts, Campbell & Company and the service providers have the right to be indemnified for any liability or expense they incur,
assuming that they have satisfied their standard of care and have not materially breached the applicable agreement(s). That means an indemnitee may require the assets of the Trust to be sold in order to cover losses or liability suffered by it
with respect to the Trust. Any sale of that kind would reduce the value of the Units of the Trust.
Reliance on Corporate Management and Financial Reporting
Certain of the strategies which may be implemented on behalf of the Trust rely on the financial information made available by the issuers in which the Trust invests. Campbell & Company has no
ability to independently verify the financial information disseminated by the thousands of issuers in which the Trust may invest and is dependent upon the integrity of both the management of these issuers and the financial reporting process in
general. Recent events have demonstrated the material losses which investors such as the Trust can incur as a result of corporate mismanagement, fraud and accounting irregularities.
The Trust’s Fees and Expenses
The Trust is required to make substantial profits in order to avoid depletion or exhaustion of its assets from fees and expenses. In addition, the performance fee paid to Campbell & Company by
each Series of the Trust is based on both realized and unrealized gains and losses as of the end of the applicable period. Consequently, performance fees could be paid on unrealized gains that may never be realized by any of the Trust’s Series of
Units.
Compulsory Redemption of Units
Campbell & Company has the right to redeem all or any portion of the Units of any Investor, for any reason or no reason, upon not less than 10 days’ prior written notice to the Investor; provided, however, that the Trust may require a redemption of all or any portion of any Investor’s Units as of any date without providing any prior notice to avoid causing the assets of the Trust to be “plan
assets” within the meaning of ERISA or Section 4975 of the Code. Amounts so redeemed will be calculated and paid as provided above for voluntary redemptions.
| Item 1B. |
Unresolved Staff Comments.
|
None.
| Item 1C. |
Cybersecurity.
|
Risk Management and Strategy
We rely on technology to conduct our business operations and engage with our clients, business partners and
employees. The technology that we, our clients, business partners and employees rely upon becomes more complex over time as do threats to our business operations from cyber intrusions, denial of service attacks, manipulation and other cyber
misconduct.
Risks from cybersecurity threats include potential interference with critical computer network systems, third party hosted
services, communication systems, hardware and software, critical data, including confidential information that is proprietary, strategic, and competitive in nature, as well as any personally identifiable information relating to Campbell’s clients
and employees. For additional information about these risks, see “Item 1A. Risk Factors.”
Information Security is an ongoing process of exercising the due care necessary to protect corporate, client
and employee information and systems from unauthorized access, destruction, disclosure, disruption and modification of use.
Through a combination of security, risk and compliance resources, Campbell & Company implements
Information Security through a dedicated Information Security Program (“ISP”) that is intended to identify, assess and manage material
risks from cybersecurity threats and which includes a focus on safeguarding information and assets from cyber threats, engaging in cyber threat monitoring and responding to actual or potential cyber incidents.
The ISP employs a defense-in-depth strategy: an information assurance concept in which multiple layers of
security controls are distributed throughout an operating environment. The concept manages risk with diverse defensive strategies, so that if one layer of defense fails, another layer of defense will attempt to compensate. Our ISP features
cybersecurity policies, standards and guidelines, committee governance, training, access controls and data controls.
Governance
Our Information Security Committee
(“ISC”), with assistance from internal and external resources, is responsible for implementing and providing oversight of our ISP. Our ISC includes our Chief Compliance Officer (“CCO”), Chief Technology Officer (“CTO”), Director, Technology &
Information Security (“DTIS”) Principal IT Security Analyst, (“PITSA”) and Principal Legal & Compliance Analyst. Our ISC members have expertise in information technology and information security.
Our CTO has over 20 years’ experience in information technology. Our DTIS has 4 years’ experience in information security. Our PITSA has over 20 years’ experience in information technology, with 12 years in an official security capacity.
| Item 2. |
Properties.
|
The Registrant does not use any physical properties in the conduct of its business. Its assets currently consist of futures and other contracts, cash, short-term time deposits and other fixed income
securities.
| Item 3. |
Legal Proceedings.
|
Campbell & Company is not aware of any material legal proceedings to which the Registrant or Campbell & Company is a party or to which any of their assets are subject.
| Item 4. |
Mine Safety Disclosures.
|
Not Applicable.
PART II
| Item 5. |
Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.
|
Units of Beneficial Interest are not publicly traded. Units may be transferred or redeemed subject to the conditions imposed by the Amended and Restated Declaration of Trust and Trust Agreement. As of
December 31, 2024, there were 2,180 Unitholders and 98,800.557 Units of Beneficial Interest outstanding in Series A, 99 Unitholders and 8,454.757 Units of Beneficial Interest outstanding in Series B, 322 Unitholders and 22,377.137 Units of
Beneficial Interest outstanding in Series D, and 449 Unitholders and 11,074.860 Units of Beneficial Interest outstanding in Series W of the Registrant.
Campbell & Company has sole discretion in determining what distributions, if any, the Registrant will make to its Unitholders. Campbell & Company has not made any distributions as of the date
hereof.
The Registrant has no securities authorized for issuance under equity compensation plans.
| Item 6. |
[Reserved]
|
| Item 7. |
Management’s Discussion and Analysis of Financial Condition and Results of Operations.
|
Introduction
The Campbell Fund Trust (the “Trust”) is a business trust organized on January 2, 1996 under the Delaware Business Trust Act, which was replaced by the Delaware Statutory Trust Act as of September 1,
2002. The Trust is a successor to the Campbell Fund Limited Partnership (formerly known as the Commodity Trend Fund) which began trading operations in January 1972. The Trust currently trades in the U.S. and international futures, forward and
centrally cleared swap markets under the sole direction of Campbell & Company, LP, the managing operator of the Trust. Specifically, the Trust trades in a diverse array of global assets, including global interest rates, stock indices,
currencies, credit and commodities. The Trust is an actively managed account with speculative trading profits as its objective.
Effective August 31, 2008, the Trust began offering Series A, Series B, and Series W Units. The units in the Trust prior to that date became Series B Units. Series B Units are only available for
additional investment by existing holders of Series B Units. Effective August 1, 2017, the Trust began offering Series D units.
As of December 31, 2024, the aggregate capitalization of the Trust was $576,092,525 with Series A, Series B, Series D and Series W comprising $433,255,243, $41,199,604, $40,071,644 and $61,566,034,
respectively, of the total. The Net Asset Value per Unit was $4,385.15 for Series A, $4,872.95 for Series B, $1,790.74 for Series D and $5,559.08 for Series W.
Critical Accounting Policies
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect
the reported amounts of assets and liabilities and disclosures of assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates
utilized in preparing the financial statements are reasonable and prudent; however, actual results could differ from those estimates. The Trust’s significant accounting policies are described in detail in Note 1 of the Financial Statements.
The Trust records all investments at fair value in its financial statements, with changes in fair value reported as a component of realized and change in unrealized trading gain (loss) in the
Statements of Operations. Generally, fair values are based on market prices; however, in certain circumstances, estimates are involved in determining fair value in the absence of an active market closing price (i.e., forward contracts which are
traded in the inter-bank market).
Capital Resources
The Trust will raise additional capital only through the sale of Units offered pursuant to the continuing offering, and does not intend to raise any capital through borrowing. Due to the nature of the
Trust’s business, it will make no capital expenditures and will have no capital assets which are not operating capital or assets.
The Trust generally maintains 60% to 75% of its net asset value in cash, cash equivalents or other liquid positions in its cash management program over and above that needed to post as collateral for
trading. These funds are available to meet redemptions each month. After redemptions and additions are taken into account each month, the trade levels of the Trust are adjusted and positions in the instruments the Trust trades are added or
liquidated on a pro-rata basis to meet those increases or decreases in trade levels.
Liquidity
Most United States futures exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During a
single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have
occasionally moved to the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Trust from promptly liquidating unfavorable positions and subject the Trust to substantial losses which could exceed
the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Trust may not be able to execute futures trades at favorable prices, if little trading in such contracts is taking place. Other
than these limitations on liquidity, which are inherent in the Trust’s futures trading operations, the Trust’s assets are expected to be highly liquid.
The entire offering proceeds, without deductions, will be credited to the Trust’s bank, custodial and/or cash management accounts. The Trust meets margin requirements for its trading activities by
depositing cash and U.S. government securities with the futures broker and the over-the-counter counterparty. This does not reduce the risk of loss from trading futures, forward and swap contracts. The Trust receives all interest earned on its
assets. No other person shall receive any interest or other economic benefits from the deposit of Trust assets.
Approximately 10% to 30% of the Trust’s assets normally are committed as required margin for futures contracts and held by the futures brokers, although the amount committed may vary significantly.
Such assets are maintained in the form of cash or U.S. Treasury Bills in segregated accounts with the futures brokers pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 5% to 15% of the Trust’s assets are deposited
with the over-the-counter counterparty or centrally cleared in order to initiate and maintain forward contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter
counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparty.
The managing operator deposits the majority of those assets of the Trust that are not required to be deposited as margin with the futures brokers and over-the-counter counterparties in a custodial
account with Northern Trust Company. The assets deposited in the custodial account with Northern Trust Company are segregated. Such custodial account constitutes approximately 60% to 75% of the Trust’s assets and are invested directly by PNC
Capital Advisors, LLC (“PNC”). PNC is registered with the SEC as an investment adviser under the Investment Advisers Act of 1940. PNC does not guarantee any interest or profits will accrue on the Trust’s assets in the custodial account. PNC invest
the assets according to agreed upon investment guidelines that first preserve capital, second allow for sufficient liquidity, and third provide a yield beyond the risk-free rate. Investments can include, but are not limited to, (i) U.S. Government
Securities, Government Agency Securities, Municipal Securities, banker acceptances and certificates of deposits; (ii) commercial paper; (iii) short-term investment grade corporate debt; and (iv) Asset Backed Securities.
The Trust occasionally receives margin calls (requests to post more collateral) from its futures brokers or over-the-counter counterparty, which are met by moving the required portion of the assets
held in the custody account at Northern Trust Company to the margin accounts. In the past three years, the Trust has not needed to liquidate any position as a result of a margin call.
The Trust’s assets are not and will not be, directly or indirectly, commingled with the property of any other person in violation of law or invested in or loaned to Campbell & Company or any
affiliated entities.
Off-Balance Sheet Risk
The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Trust trades in
futures, forward and swap contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Trust, market risk, that such contracts may
be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Trust at the same time, and if the
Trust’s trading advisor was unable to offset futures interests positions of the Trust, the Trust could lose all of its assets and the Unitholders would realize a 100% loss. Campbell & Company, the managing operator (who also acts as trading
advisor), minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30% however, these precautions may not be effective in limiting the
risk of loss.
In addition to market risk, in entering into futures, forward and swap contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Trust. The counterparty for
futures contracts and centrally cleared swap contracts traded in the United States and on most foreign exchanges is the clearing house associated with such exchange. In general, clearing houses are backed by the corporate members of the clearing
house who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members,
like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.
In the case of forward contracts, which are traded on the interbank market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a group of
financial institutions; thus there may be a greater counterparty credit risk. Campbell & Company trades for the Trust only with those counterparties which it believes to be creditworthy. All positions of the Trust are valued each day at fair
value. There can be no assurance that any clearing member, clearing house or other counterparty will be able to meet its obligations to the Trust.
Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts Accounted for at Fair Value
The Trust invests in futures, forward currency, and centrally cleared swap contracts. The market value of futures (exchange-traded) contracts is determined by the various futures exchanges, and
reflects the settlement price for each contract as of the close of the last business day of the reporting period. The fair value of forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 3:00
P.M. (E.T.) of the last business day of the reporting period. The fair value of centrally cleared swap contracts is determined by using currency market quotations provided by an independent external pricing source.
Results of Operations
The returns for the years ended December 31, 2024, 2023 and 2022 for Series A were 16.85%, (4.95)% and 36.01%, Series B were 17.22%, (4.62)% and 35.82%, Series D were 18.10%, (3.90)% and 31.93% and
Series W were 18.99%, (3.17)% and 35.05% respectively.
During the years ended December 31, 2024, 2023 and 2022, the Trust accrued management fees in the amounts of $10,625,991, $10,061,215, and $8,539,297, respectively, and paid management fees in the
amounts of $10,471,652, $10,057,263, and $8,243,954, respectively. During the years ended December 31, 2024, 2023 and 2022, the Trust accrued sales commissions in the amounts of $9,066,311, $8,567,703, and $7,327,108, respectively, and paid sales
commissions in the amounts of $8,956,073, $8,548,679, and $7,108,300, respectively. During the years ended December 31, 2024, 2023 and 2022, the Trust accrued performance fees in the amounts of $0, $122, and $20,446,581, respectively, and paid
performance fees in the amounts of $0, $122, and $20,446,581, respectively.
2024 (For the Year Ended December 31)
Of the 16.85% return for the year ended December 31, 2024 for Series A, approximately 16.58% was due to trading gains (before commissions) and approximately 4.96% due to investment income, offset by
approximately (4.69)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series A.
Of the 17.22% return for year ended December 31, 2024 for Series B, approximately 16.58% was due to trading gains (before commissions) and approximately 4.96% due to investment income, offset by
approximately (4.32)% due to brokerage fees, management fees, performance fees, sales commissions and operating costs borne by Series B.
Of the 18.10% return for the year ended December 31, 2024 for Series D, approximately 16.58% was due to trading gains (before commissions) and approximately 4.96% due to investment income, offset by
approximately (3.44)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series D.
Of the 18.99% return for the year ended December 31, 2024 for Series W, approximately 16.58% was due to trading gains (before commissions) and approximately 4.96% due to investment income, offset by
approximately (2.55)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series W.
An analysis of the 16.58% gross trading gains for the Trust for the year by sector is as follows:
|
Sector
|
% Gain (Loss)
|
|||
|
Credit
|
0.24
|
%
|
||
|
Commodities
|
0.25
|
|||
|
Foreign Exchange
|
1.87
|
|||
|
Interest Rates
|
4.73
|
|||
|
Equity Indices
|
9.49
|
|||
|
16.58
|
%
|
|||
The Trust realized a profit in January. Gains came from equity index and interest rates holdings, while trading in foreign exchange (FX), commodities, and credit produced partially offsetting losses
during the month. Global stock indexes generated profits for the Trust. Net long positioning on a variety of equity indices benefitted as most major global stock indexes finished the month in positive territory. The general risk-on sentiment was
fueled by goldilocks data releases, ongoing disinflationary traction, some positive earnings takeaways, and Chinese stimulus measures. Fixed income markets contributed additional gains during the month. January’s overarching theme was the unwinding
of expectations for early rate cuts across the world. In the US, bond prices fell (yields rose) as solid economic data cast doubts on how quickly the Fed will begin cutting rates, benefiting short positioning in US 30yr Treasuries. Additional gains
were realized in payer positions (which benefit from higher rates) in Scandinavian instruments. Hotter-than-expected Swedish inflation spurred traders to look for less easing by the Riksbank, while a moderately hawkish tilt by Norges Bank took
Norwegian yields higher. In the credit indices, partially offsetting losses were realized in short protection positions as most credit spreads widened. FX trading generated partially offsetting losses with short positions in the developed market
currencies (versus long USD) suffering the most. The dominant theme was the aforementioned improving data out of the US, which caused a correction in the USD after the dovish Fed expectations in the prior months. Gains in short NOK (versus long the
USD) were more than offset by losses in long positions in markets like NZD. Commodity trading also provided losses for the Trust. Energies were the worst performing commodity sub-sector with most energy markets posting negative returns. A short
holding in natural gas, one of the big winners for the Trust in 2023, faltered as models covered much of their position during a rally in the first half of the month, consequently missing much of the move lower in the latter half of the month.
Short grain holdings provided some offsetting gains, as the agricultural complex weakened on expectations for widening inventories and weaker demand.
The Trust produced a gain in February. Gains came from equity index, interest rates, and credit holdings, while trading in foreign exchange (FX) and commodities produced some partially offsetting
losses during the month. Long global stock index positioning generated the best sector returns for the Trust. Many equity markets around the globe were bolstered to all-time highs amid the artificial-intelligence euphoria as well as stronger US
economic data. Concentration concerns, stretched positioning, and a hawkish Fed remain the key overhangs. Fixed income markets contributed additional gains during the month. Global bond prices fell (yields rose) as expectations for imminent rate
cuts continued to fade, with central bank officials pushing back on early spring cuts. Short positioning in German 5yr and 10yr bonds benefited after the ECB minutes confirmed that policymakers still believe it is too soon to cut rates, prompting
traders to reduce rate cut bets to <100 bps for this year. In the US, exceptionally strong labor market data and hotter-than-expected inflation pushed the SOFR lower, helping short positioning. Payer positions (which benefit from higher rates)
in New Zealand and Sweden IRS added to gains. Short protection positions on the credit indices generated additional gains as spreads narrowed on the month amid the broader rally in risk assets. FX trading generated partially offsetting losses with
the Developed Market (DM) currencies, versus long the USD, suffering the most. While the US dollar index continued its strengthening trend on back of the aforementioned stronger US data and fewer 2024 rate cuts expected from the Fed, certain DM
currency pairs traded in a more range-bound fashion. Gains in short NOK (versus long the USD) were more than offset by Trust losses in currencies like the GBP and CAD, which suffered amid choppy trading. Commodity positions detracted modestly from
P&L in February. Soft commodities generated the largest sub-sector losses during the month. However, short grain holdings provided partially offsetting gains as the grain complex weakened on ample world supplies.
The Trust produced a gain in March. Gains came from equity index, foreign exchange (FX), credit, and commodity holdings, while trading interest rates produced some partially offsetting losses during
the month. Global stock indexes generated the best profits for the Trust. Net long positioning on a variety of equity indices benefitted as equities posted another month of gains as the US economy remained resilient, the Fed signaled it is still
willing to cut interest rates this year, and AI optimism continued to be a key tailwind for the market. Foreign exchange trading experienced additional gains for the Trust in March. Long positions on the US dollar benefited as the USD strengthened
on back of rate differential expectations. That is, the market is still pricing in the Fed to cut rates this year, but not as early as other central banks. The Scandinavian central banks were particularly dovish in March and their currencies
weakened; a short position on the Norwegian krone (versus long the USD) was a standout performer for the Trust. Short protection positions on the credit indices generated additional gains as spreads narrowed on the month amid the broader rally in
risk assets. Commodity trading was modestly additive in March. Positive performance came from nearly all markets in the energy sub-sector, as efforts from OPEC+ to curb supply and continued geopolitical risks in the Middle East were favorable to
net long holdings. Underperformance in short grain positioning capped sector gains. Fixed income markets contributed offsetting losses during the month. Global bonds rallied (yields fell) as many of the major central banks turned more dovish after
two months of pushing back against rate cuts. The BOE delivered a more dovish split to its voting pattern and UK gilts advanced, generating losses on short positioning. In the wake of dovish-leaning ECB meetings/commentary, short positioning on
German bonds incurred additional losses. Meanwhile, guidance from the Czech National Bank was an exception on the month and delivered a hawkish bias. Receiver positions in Czech Interest Rate Swaps (lower rates desired) suffered losses as a result.
The Trust produced a gain in April. Gains came from interest rates trading while, equity index, foreign exchange (FX), credit, and commodity holdings produced some partially offsetting losses during
the month. Fixed income markets generated the best sector returns for the Trust. April saw bonds swing between the competing narratives of persistent inflation prompting calls for yields to be “higher for longer” and geopolitical risks prompting
safe haven bids. Ultimately, the former prevailed which pushed global bond prices lower (yields higher). Short positioning in US Treasuries across all tenors profited after the hot US CPI caused a hawkish repricing of the Fed’s policy outlook. By
month end, traders had pushed back the timing of the first rate cut to December, dramatically changing the base case for 2024 from six cuts to a single year-end cut. The sell-off in Treasuries spilled over into global markets, to the benefit of
short positioning in German bonds. In IRS markets, payer positions (desires rates higher) in Norway and Sweden added to gains as rates in Scandinavian countries rose in tandem with the US. Largely long positioning in global equity indices had a
negative impact on Trust performance for the month with risk markets facing a reckoning of the likelihood of higher for longer yields in conjunction with heightened geopolitical tensions in the Middle East. In the credit indices, additional losses
were realized in short protection positions as credit spreads widened amid the broader move lower in risk. FX trading generated additional losses during the month with the Developed Market (DM) currencies suffering the most. While the USD index
continued its strengthening trend on back of the aforementioned stronger US CPI and fewer 2024 rate cuts expected from the Fed, certain DM currency pairs traded in a more choppy fashion. Gains in short NOK (versus long the USD) were more than
offset by Trust losses in currencies like the AUD and GBP, which suffered amid the mid-month reversals. Commodity holdings detracted modestly from P&L in April. The energy sub-sector produced small losses, with a short natural gas position the
underperformer as natural gas futures rallied into month-end amid forecasts for warming temps for much of the US. Grains and industrial metals holdings produced some partially offsetting gains.
The Trust produced a loss during May. Losses came from foreign exchange (FX), commodity, and interest rate positions, while stocks and credit index trading created some partially offsetting gains. FX
trading generated Trust losses during the month with the Developed Market currencies suffering the worst. May proved to be a difficult month for some FX strategies to navigate given the abrupt shift in the trend of the US dollar. After four
straight months of gains for the USD index, the greenback slipped in May on back of several “goldilocks” economic data points. While our models reacted quickly in certain markets like the GBP and benefited from the strength in the pound, they were
more than offset by short positions in the NOK and EUR. Commodity positions also detracted from the Trust during the month. The dominant losses were found in the energy sub-sector, led by a short natural gas holding. Futures prices in natural gas
rose as tightening supplies spurred a rally. Short grain holdings produced additional losses as the grain complex rallied amid crop concerns. Precious metals produced some offsetting gains as silver prices rose to the highest in more than a decade.
Fixed income instruments generated additional losses. Global bonds ended the month mixed with US Treasuries outperforming their peers. The aforementioned goldilocks US data put Fed rate cuts back in play, sending 10yr and 5yr Treasuries higher
(yields lower) to the detriment of short positioning. Conversely, rate cut speculation in mainland Europe was dialed back on signs of persistent services sector inflation and elevated wage growth, creating losses in long positioning in short-dated
Eurozone bonds. A strong GDP print coupled with a small upside inflation surprise in Switzerland pushed rates higher, hurting receiver (desire rates lower) Swiss IRS positioning. Long positioning in global equity indices provided some partially
offsetting gains for the Trust in May. Stock markets advanced on the back of renewed traction surrounding the soft-landing narrative and on optimism for the Fed to begin cutting rates later this year. In the credit indices, additional gains were
realized in short protection positions as credit spreads tightened amid the broader move higher in risk.
The Trust produced a gain during June. Profits came from commodity and stock index holdings, while interest rate, foreign exchange (FX), and credit positions created some partially offsetting losses.
Commodity holdings produced the best Trust profits during June. The dominant gains were found from short positioning in the grain markets. The grain complex weakened on ample supplies and sluggish demand with prices plunging into month-end after
the USDA acreage report showed higher-than-expected plantings. Holdings in meats, softs, and energies produced additional gains. Stocks trading was also additive for the Trust in June. Long Asian and US stock positions proved beneficial as indexes
in those regions advanced on AI enthusiasm as well as soft landing optimism after the US CPI and PPI figures added to the disinflation narrative. Meanwhile, long holdings on European indices produced some offsetting losses as those markets weakened
on the back of political uncertainty. Fixed income instruments generated partially offsetting losses for the Trust in June, dominated by short positioning in long-dated bonds. Prices rallied (yields fell) as the first of the G-7 central banks began
to cut rates. German 10-year bonds headlined losses after the ECB cut 25bps, its first move lower since 2016. While the US Fed held rates unchanged, short positioning in US 10-year Treasuries added to losses after a soft inflation print cleared the
path for future Fed interest rate cuts. In the credit indices, additional losses were realized in short protection positions. Credit spreads widened on the month, dominated by Europe and political uncertainty after the EU elections. FX trading
provided additional losses during the month with the Developed Market currencies suffering the worst. The US dollar may have strengthened on the month, but it wasn’t a smooth ride given the mixed economic data. The hotter US employment report early
in June caused a sharp move higher in the USD only to revert lower with the softer US CPI report one week later. The USD eventually made new monthly highs with global election concerns helping the flight-to-quality move, but the choppiness proved
difficult for certain strategies.
The Trust produced a gain during July. Profits came from all traded asset classes; stock index, foreign exchange (FX), interest rate markets, credit, and commodities all benefited the Trust. Long
positioning in equity indices produced the best gains for the Trust in July amid a broader pickup in volatility. US equities posted strong gains to start the month as cooling economic data helped to fuel soft-landing expectations and rate cut bets.
Though there was a large rotation out of tech mega-cap names and into value/cyclical/small-cap shares, the P&L gains realized in the first half of the month more than offset the rotation-driven losses. Foreign exchange trading generated
additional profits with gains in Developed Market currencies dominating the sector. FX markets experienced some volatility-driving events during the month, and there were some notable divergences across countries. The Japanese yen strengthened
sharply on back of a more hawkish approach from the Bank of Japan, carry trades were unwound, and commodity currencies were sold. While the choppiness in AUDUSD was a pain-point for the Trust the month prior, the Australian dollar trended lower in
the second half of July, benefiting the Trust. Fixed income instruments provided further gains as easing cycles from some countries pushed yields lower. Canadian bonds rallied (yields fell) after the Bank of Canada cut rates for a second straight
meeting, benefiting a long CGB position. A receiver Czech IRS position (desire lower yields) added to gains after a weaker-than-expected CPI print boosted the scope for further monetary easing. Long positioning in short-term European bonds
benefited after the ECB held interest rates steady and signaled the September meeting will be “wide open.” In the credit indices, additional gains were experienced in short protection positions as credit spreads tightened over the month. Commodity
holdings produced additional Trust profits during the month. The dominant gains were found in short grain positioning as ample crops from the US amid a lack of Chinese demand sent the agricultural complex lower. Long oil holdings led to some
partially offsetting P&L losses as petroleum markets weakened on the back of the aforementioned weaker expectations of China’s commodity consumption.
The Trust produced a loss during August. Losses came from stock indices, commodities, and credit holdings. Fixed income markets provided partially offsetting gains while foreign exchange (FX)
positions had minimal impact. Long positioning on global stock indexes generated Trust losses. Equity markets started the month severely under pressure after a more hawkish-than-expected Bank of Japan meeting. Japanese stocks saw their worst single
day of losses since 1987 with the volatility bleeding into other risk assets. A dramatic miss from US employment figures further contributed to the downturn in sentiment as market appetite turned towards the need for drastic rate cuts from the
Federal Reserve. Though equity markets experienced a significant bounce into month-end, losses realized in the first few days of August were unable to be fully recovered. Commodities also detracted from P&L in August. Energies generated the
largest sub-sector losses during the month, led by long positioning across Brent and WTI crude oil, as prices fell alongside global equities at the start of the month. A long cocoa holding provided some partially offsetting gains as cocoa futures
advanced on West African supply concerns. Fixed income instruments generated gains during the month. Global bonds rallied (yields fell) as most major central banks turned decisively more dovish. Long positioning in US 5Y and 10Y Treasuries led
gains with the weaker US data triggering a reassessment of the Fed outlook. Canadian 10Y bonds advanced on the back of a mixed jobs report and softer inflation, to the benefit of long positioning. Short Japanese 10Y positioning delivered partially
offsetting losses as Japanese bond prices followed peers higher despite the Bank of Japan bucking the broader easing trend. In the credit indices, mixed positioning and a choppy month of price action led to losses. FX trading had minimal impact on
P&L with gains in Developed Market currencies offsetting the losses experienced in the Emerging Markets. While Trust positioning was mixed, the dominant theme was US dollar weakness with Fed Chair Powell saying “the time has come for policy to
adjust” which led markets to price in a cut for September.
The Trust produced a gain in September. Profits during the month came from interest rate, foreign exchange (FX), stock index, and credit holdings. Commodities had a more muted impact on P&L. Fixed
income instruments generated gains during the month. Global bond prices rallied (yields fell) as increasing bets the Fed would start its easing cycle with a 50bp cut became a reality. Long positioning in short-dated instruments profited as the
jumbo-sized cut by the Fed was accentuated at the more interest-rate sensitive portion of the curve. Longs on Canadian 10yr bonds produced gains after the BOC shaved 25bps off their benchmark rate for the third consecutive month amid weakening
inflation data. Receiver Sweden and Czech IRS positions (desire lower rates) also profited as their respective policy makers cut rates amid weaker growth and receding inflation. FX trading also had a positive impact on P&L with gains coming
from long positions in both the Developed and Emerging Market currencies (versus short the USD). Softer US inflation and slower growth from the labor market was the catalyst for the weaker dollar and the expectations for the larger cut from the
Federal Reserve. Other central banks around the world did not have as much of a dovish surprise as the Fed during the month, so US policy and the dollar were the biggest impetus for shifts in FX positioning. Long stock index positioning provided
additional gains for the Trust in September. Most global stock indices rallied during the month after the jumbo 50bps Fed rate cut propelled stocks to new all-time highs. Continued AI optimism and more aggressive-than-expected Chinese stimulus
further supported equities globally. In the credit indices, short protection positions benefited with the major credit spreads tightening on the month. Commodity holdings had minimal P&L impact on the month. The meat sub-sector was profitable
for the Trust, led by a long live cattle position. Cattle futures rallied during the month amid an increase in beef demand expectations. Soft commodities provided additional gains for the Trust, while short grain complex positions generated some
partially offsetting losses.
The Trust realized a loss in October. Losses came from commodity, stock, foreign exchange (FX), and interest rate holdings. Credit had a muted impact on Trust performance. Commodity markets detracted
from P&L in October. Energies had the largest sub-sector impact, as short holdings across most oil contracts were unable to recover from early to mid-month losses as the complex rallied amid the flare-up in Israel-Iran tensions. Soft
commodities incurred additional losses, led by long coffee and cocoa positions. Global stock indexes were also a negative contributor to the Trust. Long holdings in Europe and the APAC regions produced the bulk of the monthly losses amid a variety
of market dynamics. Throughout the month, investors weighed the soft-/no-landing narrative, lowered Fed rate cut expectations, mixed Q3 earnings, heightened tensions in the Middle East, and skepticism over the scale and impact of Chinese stimulus.
Further, the upcoming US election was an overhang on risk sentiment. FX trading added to Trust losses this month as the US dollar rallied across our universe of tradable currencies. Gains in short developed market currencies (versus long the USD)
were overshadowed by losses experienced in long positioning in emerging markets (versus short the USD). The dollar appreciated on back of October’s run of strong US economic data releases and was further supported by the broader bid for safe-haven
assets ahead of November’s US election. Fixed income instruments generated losses in October as global bond prices fell (yields rose). Long positioning in US 2-year and SOFR suffered after strong US economic data, higher-than-expected inflation,
and a shift in Fed rate cut probabilities away from 50bps to 25bps at the November meeting. Despite a BOC 50bp cut, Canadian 10-year bonds also slid to the detriment of long positioning. Partially offsetting gains were found in short UK and US
10-year positions. UK 10-year bond prices fell in the month-long lead up to the Labour party’s budget, then gained more downside momentum when it became reality at month-end. Credit trading had little impact on the Trust during October.
The Trust showed a gain in November. Profits came from commodity, foreign exchange (FX), credit, and fixed income positions, while stock index holdings produced some partially offsetting losses. The
commodity sector was additive for the Trust during the month. A long cocoa holding provided the best gains as prices rallied in response to reduced production forecasts from West Africa. A long coffee position also generated gains as prices surged
on supply concerns from top growers. Energy holdings generated partially offsetting losses amid choppy trading as the market reacted to various geopolitical developments in the Middle East. Foreign exchange trading contributed additional gains
during the month. Short positions in the Developed Market currencies (versus long the USD) benefited as the US dollar strengthened on back of Trump’s presidential victory. Specifically, a short position on EURUSD was profitable as the potential for
US tariffs and French budget concerns drove strength in the dollar relative to a weaker euro. Fixed income instruments generated moderate gains as the complex ultimately moved higher (yields fell) after a whippy month of trading. Receiver positions
(desire yields lower) in Czech and Mexico 5-year IRS benefited, with Mexico’s move lower in yields accelerated by tariff threats which would create headwinds for growth. Weak economic data out of Germany pushed German 2-year bonds higher, helping
long positioning. Partially offsetting losses came from short UK Gilt positioning, where softer economic data amplified the bond rally. In the credit indices, short protection positions benefited with US credit spreads tightening on the month.
Stock index positioning generated partially offsetting losses. Long positioning in European indexes were the most impactful, underperforming on back of concerns that future trade policies could negatively affect the already-muted European
economies. Heightened geopolitical tensions, weak flash PMI readings, and the aforementioned French budget concerns added to the negative sentiment. A long holding in the Nasdaq also suffered as the index saw heavy mid-month selling in response to
fading post-US election optimism and the paring back of bets on FOMC rate cuts. Effective November 7, 2024, as part of the long-planned transition of majority ownership of Campbell & Company, LP, majority ownership transitioned from its
founder, D. Keith Campbell to its senior executives and employees. Nothing will change in the day-to-day operation of the business. We believe this transaction will put the company in a position to continue its 52-year track record of providing
lowly correlated risk-adjusted returns to our investors.
The Trust realized a gain in December. Profits came from foreign exchange (FX), interest rate, and commodity holdings, while stock index and credit positions produced some partially offsetting losses.
Foreign exchange trading led Trust gains during the month. The primary theme in FX to close out the year was US dollar strength and short positions in the Developed Market currencies (versus long the USD) benefited. In addition to the Trump tariff
story that has dominated since the election results, the US dollar experienced additional strength after the hawkish December FOMC meeting. A short position in the Kiwi dollar was among the most profitable FX positions on the month following a
weaker-than-expected GDP result out of New Zealand. Fixed income instruments generated additional gains in December as bond prices fell (yields rose). Short UK 10-year positioning was the biggest contributor with gilt prices tumbling in reaction to
UK inflation hitting an 8-month high, adding to fears the economy will enter 2025 burdened by stagflation. Despite the Fed cutting interest rates for a third consecutive time, US Treasuries slid as Fed officials signaled a slower pace of easing
than their previous quarterly projections implied, benefiting short positioning in long-dated tenors. Commodity trading was also additive for the Trust. Soft commodities generated the largest sub-sector returns by way of a long cocoa holding, which
benefitted as prices surged on West African supply concerns. Industrial metal positions produced additional gains for the Trust as the complex weakened amid the robust USD, expectations the Fed will cut less-than-expected, and disappointment over
Chinese stimulus. Largely long positioning in global equities resulted in partially offsetting losses as stock indices were pressured lowered following the hawkish takeaways from the FOMC meeting and the reduction of cuts in the Fed’s 2025 dot
plot. Despite the December weakness, stock had a very strong year with the S&P logging its second-straight 20%+ annual gain since 1998. In the credit indices, short protection positions incurred additional losses with the major credit spreads
widening on back of the move lower in risk assets.
2023 (For the Year Ended December 31)
Of the (4.95)% return for the year ended December 31, 2023 for Series A, approximately (4.91)% was due to trading losses (before commissions) and approximately 5.25% due to investment income, offset
by approximately (5.29)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series A.
Of the (4.62)% return for year ended December 31, 2023 for Series B, approximately (4.91)% was due to trading losses (before commissions) and approximately 5.25% due to investment income, offset by
approximately (4.96)% due to brokerage fees, management fees, performance fees, sales commissions and operating costs borne by Series B.
Of the (3.90)% return for the year ended December 31, 2023 for Series D, approximately (4.91)% was due to trading losses (before commissions) and approximately 5.25% due to investment income, offset
by approximately (4.24)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series D.
Of the (3.17)% return for the year ended December 31, 2023 for Series W, approximately (4.91)% was due to trading losses (before commissions) and approximately 5.25% due to investment income, offset
by approximately (3.51)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series W.
An analysis of the (4.91)% gross trading losses for the Trust for the year by sector is as follows:
|
Sector
|
% Gain (Loss)
|
|||
|
Credit
|
(0.22
|
)%
|
||
|
Commodities
|
0.10
|
|||
|
Foreign Exchange
|
(2.02
|
)
|
||
|
Interest Rates
|
(3.51
|
)
|
||
|
Equity Indices
|
0.74
|
|||
|
(4.91
|
)%
|
|||
The Trust showed a profit in January. Gains came from stock index, commodity, foreign exchange (FX), and credit positions, while interest rate holdings produced some partially offsetting losses.
Global stock indexes generated the largest gains for the Trust in January. Net long positioning on a variety of equity holdings gained as most major global stock indexes finished the month in the green. The general risk-on sentiment was fueled by
China reopening optimism and the hopes that the world’s Central Banks ease off their aggressive rate-hike cycle. A slew of mixed Q4 earnings reports and continued layoff announcements were largely ignored as money flowed into riskier assets.
Commodity trading also provided gains for the Trust to start the year. Long coffee and sugar holdings generated the biggest wins within the softs sub-sector as those prices rallied on supply concerns. Industrial metals generated additional gains
for the Trust spearheaded by a long LME copper position. The base metals complex experienced a significant monthly rally on back of the weak US dollar, ongoing China reopening optimism, and increasing concern over dwindling stockpiles. Foreign
exchange trading produced additional Trust profits. The US dollar experienced a sell-off in January and the gains on long Emerging Market (EM) positions, versus short the USD, more than offset the losses incurred in the short Developed Market (DM)
currencies. Longs in Latin American currencies were the main EM gainers as risky assets and carry trades were bought in the risk-on environment. Interest rate positions generated partially offsetting losses on the month. US Treasuries advanced
(yields fell) after easing US inflation data strengthened the case for the Fed to turn less aggressive, hurting short positioning along the curve. In Europe, short positioning on German bonds added to Trust losses as prices followed Treasuries
higher despite hawkish rhetoric from Lagarde and other European Central Bankers. Long positioning on UK gilts and the Aussie 10-year bond generated partially offsetting gains. Short protection positions in the credit indices which narrowed sharply
alongside the broader rally in risk assets generated gains for the Trust.
The Trust showed a robust profit in February. Gains came from fixed income, foreign exchange (FX), and commodity positions, while stock indices produced some partially offsetting losses. Credit
holdings had limited P&L impact on the month. Interest rate positions dominated Trust gains in February with long-dated and short-dated instruments equally contributing to profits. US Treasury prices fell (yields rose) as hotter-than-expected
inflation data and an extraordinary jump in payrolls elicited increasingly hawkish commentary from Fed members throughout the month, benefiting short positioning. Euro-area core inflation accelerated to a record, prompting money markets to price in
a higher ECB terminal rate, which created gains for short German bond positioning. Interest rate swap holdings were also additive, led by a payer position in Mexican rates as yields moved higher after a larger-than-expected rate hike from Mexico’s
Central Bank. Foreign exchange trading produced additional Trust returns. The US dollar rallied over the course of the month and the Trust’s short positions in the Developed Market (DM), versus long the US dollar, drove sector gains. A short
Norwegian krone holding (against long USD) was a major P&L contributor in the FX sector as the krone continued to be susceptible to weakness in energies, ultimately ending the month as the worst performing G-10 currency in 2023. Commodities
provided additional profits for the Trust in February. Short holdings across the industrial and precious metal sub-sectors profited as increasing expectations for further Fed policy tightening and a stronger US dollar weighed on metals prices. Net
long global stock index positioning generated some offsetting losses during the month. After a strong start to the year, February saw equity markets retrace in North America and Asia. In the US, stronger-than-expected economic releases, which
included labor and inflation data, spurred a meaningful repricing of FOMC rate expectations. In the APAC region, strained US-China geopolitical relations and weaker near-term demand outlooks for China further weighed on risk sentiment. Long
positioning on European equities provided some offsetting gains as markets proved more resilient to higher rates in the region.
The Trust realized a loss in March. Losses came from interest rate, stock, commodity, and credit holdings, while foreign exchange (FX) produced some partially offsetting gains during the month.
Interest rate positions dominated Trust losses on the month, with both long-dated and short-dated instruments suffering in the wake of the banking crisis that drove global bond prices higher (yields lower). The negative impact on the financial
sector from the US Fed’s policy tightening campaign prompted traders to scale back rate hike bets, hurting short US Treasury positioning across most tenors. Partially offsetting gains came from long UK Gilt and Aussie 10-year bond positioning, both
of which benefited from the rapid shift to less risky assets. Stock holdings also weighed on Trust performance amid a volatile month of trading. Predominantly long stock positioning was negatively impacted after the collapse of Silicon Valley Bank
and the ensuing fears of contagion. Some stock P&L losses were recovered with prices rallying off mid-month lows as the banking sector stabilized and investors weighed the possibility of the Fed pausing its rate increases. Commodity positions
added to Trust losses in March. Short precious metal holdings generated the largest sub-sector losses as bullion prices rose amid the banking sector turmoil, diminished expectations for further Fed tightening, and a softer US dollar. Credit trading
generated additional losses as a short protection position in the iTraxx Senior Financial index suffered after credit spreads widened sharply in the wake of the Silicon Valley Bank and Credit Suisse fiascos. Foreign exchange trading provided some
partially offsetting Trust gains. While the DXY index traded lower during the month on back of the shift to a more dovish outlook on the US Federal Reserve, a few of the so-called commodity currencies were the exceptions. The Trust profited from
short-positions on the Aussie dollar and Norwegian krone, which both traded softer on back of weakness in oil markets.
The Trust was close to unchanged in April. Commodity and foreign exchange (FX) positions produced gains, while fixed income holdings generated offsetting losses. Credit and stock holdings had little
effect on the Trust. The commodity sector was additive for the Trust during the month. A long sugar holding produced a significant gain as the soft commodity rallied to an 11-year high on Brazilian supply concerns following above-average rainfall
in the region. Some long energy holdings generated partially offsetting losses amid a mid-month sector-wide selloff that was spurred by recession worries and potentially tighter financial conditions which clouded the outlook for fuel demand. FX
trading contributed modest gains in April. Varied performance in the global FX markets (versus the dollar), coupled with mixed positioning led to negligible sector P&L. Short positions on the Norwegian krone and Australian dollar, which
continued their 2023 weakening trends, resulted in gains for the Trust. Partially offsetting losses were realized in certain emerging market currencies, where long positioning was a detractor in the risk-off environment. Mixed credit positions
produced de minimis gains for the Trust as credit spreads widened alongside the sell-off in other risky assets. Interest rate positions added modest losses to the Trust over the month. UK Gilts underperformed after data showed inflation remained
in the double digits, prompting traders to raise bets on the peak BOE rate, hurting long positioning. Aussie bonds also contributed to losses after minutes showed the RBA discussed a quarter-point hike before deciding on a pause in April. Short
US Treasury positions generated some partially offsetting gains. Stocks indexes trading was flat for the Trust in April. Gains were seen from Asian and European stock holdings while US index positions generated offsetting losses as markets weighed
the potential higher-for-longer dynamic, the debt ceiling stalemate, renewed banking sector turmoil, and a pickup in growth worries with better than feared earnings and guidance.
The Trust produced a gain during May. Profits came from commodity and foreign exchange (FX) positions, while stock index and interest rates produced some partially offsetting losses. Credit holdings
had little impact on the Trust. The commodity sector led Trust gains during the month of May. Short copper positions generated the best sector gains with prices falling to 6-month lows as sentiment soured on the back of China’s disappointing
economic recovery and on the stronger US dollar. Additionally, copper stockpiles rebounded from multi-year lows. A short natural gas position also provided gains as the energy dropped amid ample supplies following persistent milder weather in the
US. Foreign exchange trading generated additional Trust profits. Despite debt-ceiling concerns in the United States, the US dollar rallied during the month and the Trust’s gains on short Developed Market (DM) positions (versus long the USD)
marginally offset the losses incurred in some long Emerging Market (EM) currencies. Shorts in commodity-linked currencies like the Norwegian krone and Australian dollar were the big DM gainers with those FX markets depreciating as oil prices sold
off and as China growth concerns increased. Global stock index trading resulted in losses to the Trust. Net-long positioning for much of the month generated losses as recession fears, a ‘higher-for-longer’ stance from many Central Banks, US debt
ceiling concerns, and China’s lackluster recovery weighed on sentiment. A strong AI-driven rally following Nvidia’s upbeat earnings and blow-out guidance at month-end capped losses. Interest rate positions were also a negative contributor in May.
Long positioning on the UK Gilt led losses as a higher-than-expected UK inflation print put pressure on the Bank of England to continue hiking and caused Gilts to weaken (yields higher). Partially offsetting gains came from Canadian and New Zealand
interest rate instruments. Canada’s inflation also came in hotter-than-expected which proved beneficial to short CGB positioning as prices declined. Payer NZD IRS positioning (which is profitable with higher yields) experienced monthly gains as
Kiwi yields pushed higher prior to the late May RBNZ meeting.
The Trust produced a loss in June. Losses came from commodity and foreign exchange holdings while interest rate, stock index, and credit positions produced some partially offsetting gains during the
month. The commodity sector led Trust losses during the month of June. Energy positions generated the largest sub-sector loss, namely from a short natural gas holding. Futures on natural gas rallied throughout the month as warmer temperatures
continued to drive up cooling demand. A short on cocoa futures added to monthly losses as the soft commodity surged on fears heavy rains in major producing countries will disrupt harvests. Foreign exchange trading generated additional Trust losses
as short positions in the Developed Market currencies (versus long the USD) more than offset the gains experienced in the Emerging Markets. The dominant story for the USD and monetary policy was that the Fed “skipped” a rate hike at its June
meeting while other central banks like the ECB remained focused on tightening. This divergence resulted in the dollar index trading weaker on the month, hurting our net long USD position. Interest rate positions resulted in some offsetting gains in
June with the positive P&L being led by short-dated instruments. With the exception of the Federal Reserve, major central banks continued raising rates with several delivering larger-than-expected hikes against a backdrop of
better-than-expected economic data and persistent inflation. Short positioning on Euribor and German 2-year bonds benefited as yields rallied (prices fell) in the wake of a 25bps ECB hike and ongoing hawkish commentary from ECB President Lagarde.
Short protection positions on the credit indices generated additional gains for the Trust. Credit spreads narrowed amid the broader rally in risk and the Trust benefited as a result. Global stock indexes generated profits for the Trust. Net long
positioning on a variety of equity holdings benefited as most major indices finished the month in positive territory. Despite aggressive monetary policy tightening and geopolitical tensions, risk-on sentiment prevailed on optimistic soft-landing
expectations and AI sector growth tailwinds.
The Trust produced a loss in July. Losses came from foreign exchange (FX) and interest rate holdings while credit and commodity positions produced some partially offsetting gains during the month.
Stock indexes had little impact. Foreign exchange trading generated Trust losses with short positions in the Developed Market currencies (versus long USD) dominating FX P&L. The main story around US policy was that while the Fed hiked 25bps in
July, the market is pricing in a terminal rate that is close to its peak, which caused weakness in the greenback relative to its peers. The biggest Trust loss came from a short on the Norwegian krone, which saw additional appreciation on back of
the continued strength in crude prices. Interest rate positions were also a negative contributor in July. Mixed fixed income positions generated losses as yields traded choppy as the markets weighed cooling inflation trends, “peak Fed”
expectations, sticky employment, and strong economic data. Offsetting gains were experienced in a payer position on the NOK as yields continued their move higher with Norway’s economy seen as more resilient than neighboring Sweden. Short protection
positions on the credit indices generated partially offsetting gains for the Trust. Credit spreads narrowed amid the broader rally in risk and the Trust benefited as a result. The commodity sector added further gains for the Trust in July. Long
energy positions were the largest sector contributor as the complex rallied amid signs of tightening global supply and an improving demand outlook. Industrial and precious metals posted partially offsetting losses with short positions suffering as
prices rallied on the weaker USD and positive US macroeconomic trends. Stock index holdings had little impact on the Trust in the month of July amid mixed positioning across the global indices. Stock markets advanced during the month on soft
landing expectations and disinflation traction. Positive earnings takeaways provided additional support for stocks.
The Trust produced a gain in August. Gains came from foreign exchange (FX) and commodity holdings while stock indexes, interest rate, and credit positions produced some partially offsetting losses
during the month. Foreign exchange trading led Trust gains in August. Shorts in the developed market currencies (versus long USD) benefited as the USD rallied sharply, following US Treasury yields which hit a 15-year high. The dollar bloc (AUD,
NZD, CAD) and the Scandis (NOK and SEK) were the major underperformers on the month, with short AUDUSD leading Trust gains on weaker Chinese data and a rate hold from the RBA. Commodity trading was also additive for the Trust in August. Grains
generated the largest sub-sector returns by way of a short wheat holding, which benefitted as prices fell on weak demand for US exports. Short industrial metal positions produced additional gains for the Trust as the base metals complex weakened on
concerns about China’s economy. Mixed positioning across the global stock indexes generated partially offsetting losses for the Trust. Equity indices weakened during the month as the hard vs soft landing debate continued, fueled by persistent
inflation concerns and some weak US data that supported the peak-Fed narrative. Further, equity markets reacted to the steep rise in US yields along with an unexpected Fitch downgrade of the US. Fixed income instruments also detracted on the month.
August kicked off with Fitch downgrading the US credit rating, which pushed Treasuries yields lower (prices higher), but weak auctions and hawkish Fed minutes sharply reversed that trend in the back half of August. US Treasuries ultimately ended
the month lower, leaving gains in short US 30yr positioning evenly matched with losses on mixed positioning in the US 10yr note. A dismal Eurozone PMI print sparked a rally in German bonds as investors pared bets on another ECB hike, hurting short
positioning. Short protection positions on the credit indices generated additional offsetting losses for the Trust. Credit spreads widened amid the broader sell-off in risk and the Trust suffered as a result.
The Trust produced a gain in September. Profits came from interest rate, commodities, and foreign exchange (FX) holdings, while stock and credit index positions produced some partially offsetting
losses during the month. Fixed income instruments led Trust gains with short positioning profiting as global bond prices tumbled (yield jumped). US Treasuries sold off sharply as investors responded to the Fed’s messaging that rates are set to stay
higher for longer than previously expected. Adding to the retreat in the global bond markets, the Fed revised down their forecast for the number of 2024 interest rate cuts and the ECB signaled rates will be held higher for a “sufficiently long”
period of time to quell inflation. Commodity trading also provided gains during the month. Precious metals generated the best sub-sector commodity returns for the Trust. Shorts held across the sector performed positively as continued strength in
the US dollar and upward pressure on yields weighed on precious metal prices. Long positioning on the petroleum complex also generated gains as those energy markets advanced on tight supplies with OPEC+ leaders Saudi Arabia and Russia constricting
output. The foreign exchange markets contributed additional gains for the Trust. Shorts in the developed market currencies (versus long the US dollar) benefited as the USD rallied sharply on back of Treasury yields, which made new highs not seen
since before the Global Financial Crisis. While yields moved higher across many of the developed markets, US rates experienced a divergence higher during the month on back of the hawkish Fed, driving the relative strength in the greenback. Stock
indices had a negative P&L impact in September, with losses concentrated in long European holdings. Nearly all major benchmarks logged losses for the month with the risk-off trading fueled by the higher-for-longer Fed and accompanying upward
pressure on yields. The pickup in consumer headwinds with higher energy prices and the resumption of student loans, as well as the UAW strike and looming government shutdown, also pressured equity markets lower. Short protection positions on the
credit indices generated additional offsetting losses for the Trust as credit spreads widened amid the broader sell-off in risk.
The Trust realized a loss in October. Losses came from commodity, interest rates, and credit holdings, while foreign exchange (FX) and stock positions produced some partially offsetting gains during
the month. Commodity trading led Trust losses in October. Net long positions across the petroleum complex generated the largest commodity sub-sector declines as energy markets generally weakened. Energy prices came under pressure amid the lack of
any immediate supply disruptions in the Middle East, as the Israel-Hamas conflict remained largely contained. Precious metals also had a negative impact on the Trust. Short positioning, particularly in gold, suffered as geopolitical concerns
prompted demand for safe haven assets. Fixed income instruments generated additional losses amid mixed positioning and heightened volatility. Long positioning on Aussie 10yr bonds suffered as prices slipped (yields rose) after Australian inflation
came in hotter-than-expected while the Reserve Bank of Australia held rates steady but retained their tightening bias. Short positioning in short-dated European government bonds added to losses after the European Central Bank kept interest rates
unchanged for the first time in more than a year and indicated the hiking cycle may be nearing an end. Short protection positions on the credit indices contributed additional losses as spreads widened amid the weakness in risk assets, and the Trust
suffered as a result. The foreign exchange markets provided partially offsetting gains for the Trust. Shorts in the developed market currencies (versus long the USD) were additive as the US dollar rallied amid demand for flight-to-quality assets,
benefiting markets like the greenback and Swiss franc. The biggest gains came from the short on the Canadian dollar, which declined on a weaker CPI print and a rate hold from the Bank of Canada. Stock indices added further gains in October. Short
holdings in the United States and Europe produced the bulk of the monthly gains. Equity markets declined on risk-off trading amid higher-for-longer Fed expectations, elevated bond market volatility, and heightened geopolitical tensions following
the eruption of the Israel-Hamas conflict.
The Trust realized a loss in November. Losses came from foreign exchange (FX) and interest rates, while credit index and commodity positions produced some partially offsetting gains during the month.
Stock indexes had little impact. Foreign exchange trading led Trust losses during the month with short positions in the developed currencies (versus long the USD) suffering while emerging market long positions produced some partially offsetting
gains. The flight-to-quality trade that dominated the start of the fourth quarter sharply reversed in November on the back of easing financial conditions around the globe, and especially in the United States. The weaker US CPI reading mid-month
provided a strong catalyst to sell the greenback as the market started to price in Fed rate cuts sooner than previously expected. Fixed income instruments also detracted from P&L with net short positions producing losses as global bonds soared
at the fastest monthly pace since 2008. Softer-than-expected US inflation and increasingly dovish-leaning Fed commentary heightened expectations that the Fed is done with policy tightening. In response, US Treasuries rallied sharply (yields
plummeted) hurting short US long-bond and SOFR positions. European government bond prices advanced after EU CPI decelerated for the 8th straight month, to the detriment of short holdings in German 10-year bonds. Short protection positions on the
credit indices generated partially offsetting gains as spreads narrowed significantly on the month amid a broader rally in risk assets. Commodity markets also provided partially offsetting gains for the Trust. Energy positions generated the largest
sub-sector gain, led by a short natural gas position. Natural gas futures fell as unseasonably warm weather and high inventories continued to depress prices. Short cattle holdings were also additive as meat markets weakened in November after the
USDA increased its forecast for 2024 beef production. Stock indices had little impact on the Trust during the month as mixed positioning led to muted P&L. Global stock markets advanced as easing financial conditions and soft-landing momentum
supported equities throughout the month.
The Trust realized in a loss in December. Losses came from interest rates, commodities, and foreign exchange (FX) positions, while trading in the credit and equity indices produced partially
offsetting gains during the month. Fixed income instruments led Trust losses. Bonds rallied (yields fell) across tenors as the ongoing global disinflation trend intensified bets that many central banks will begin cutting rates in 2024. The Fed
delivered its first concrete sign of a pivot as the dot plot revealed policymakers penciled in no further hikes for the first time since March 2021, hurting short US long bond positioning. The Fed’s actions had a strong knock-on effect around the
globe. Traders also increased bets on ECB rate cuts next year, creating losses in short Euribor and German Bund positioning. Partially offsetting gains came courtesy of scattered long positioning, such as Aussie 10-year bonds. Within commodities,
short industrial metals positions contributed the largest sub-sector loss for the Trust. The complex rallied across the board as the US dollar weakened, making the USD-backed metals more attractive to buyers using other currencies. Grain holdings
also generated losses, dominated by a short wheat position which rallied amid supply concerns. FX trading added to Trust losses with short positions in the developed currencies (versus long the USD) suffering while emerging market long positions
produced partially offsetting gains. While the US dollar experienced broad strength to start December, it reversed sharply after the mid-month Fed meeting and on the back of easing financial conditions around the globe. Short positioning in the
Norwegian krone (versus long USD) was the main detractor as the Norges Bank shocked markets by hiking interest rates at their final meeting of the year, causing a rally in the NOK. Short protection positions on the credit indices generated
partially offsetting gains as spreads narrowed significantly on the month amid the broader rally in risk assets. Predominantly long positioning in global stock indices also produced partially offsetting gains for the Trust in December. Most major
benchmarks posted gains to close out the year as the Fed’s dovish pivot and soft landing momentum fueled risk-on trading.
2022 (For the Year Ended December 31)
Of the 36.01% return for the year ended December 31, 2022 for Series A, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by
approximately (9.78)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series A.
Of the 35.82% return for year ended December 31, 2022 for Series B, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by
approximately (9.97)% due to brokerage fees, management fees, performance fees, sales commissions and operating costs borne by Series B.
Of the 31.93% return for the year ended December 31, 2022 for Series D, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by
approximately (13.86)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series D.
Of the 35.05% return for the year ended December 31, 2022 for Series W, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by
approximately (10.74)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series W.
An analysis of the 44.33% gross trading gains for the Trust for the year by sector is as follows:
|
Sector
|
% Gain (Loss)
|
|||
|
Credit
|
1.25
|
%
|
||
|
Commodities
|
8.88
|
|||
|
Foreign Exchange
|
16.83
|
|||
|
Interest Rates
|
16.26
|
|||
|
Equity Indices
|
1.11
|
|||
|
44.33
|
%
|
|||
The Trust showed a gain in January with gains coming from interest rate, commodity, and foreign exchange (FX) positions, while stock index and credit holdings produced some partially offsetting
losses. Interest rate positions produced the largest gains for the Trust during January, with profits most pronounced in long-dated instruments. Global yields jumped (prices fell) as persistent, rising inflation prompted central banks to increase
efforts in tightening monetary policy. Short UK gilt positioning contributed the most sizable gains after UK inflation hit its highest reading since 1992 on surging demand, higher energy costs, and supply chain disruptions. Commodity trading
provided additional profits for the Trust during the month. Long positioning on the petroleum complex generated the best sector gains. Energy markets advanced as supply constraints and heightened geopolitical tensions coincided with a recovery in
demand amid easing concerns surrounding the severity of the Omicron variant. Longs on soy products also produced gains as soy markets advanced on tight supply expectations amid persistent South American weather concerns. Foreign exchange trading
produced additional gains for the Trust with long US dollar positions (versus short foreign currency) benefiting. The greenback rallied during the second half of January with the DXY dollar index reaching a multi-year high on back of the decidedly
hawkish approach from the Federal Reserve. At the January FOMC meeting, the Fed signaled they intend to raise interest rates as early as March and the market subsequently priced in five hikes during 2022. Largely long positioning on global stock
indices produced losses for the Trust in January, with most major benchmarks posting large losses for the month. Investor worries about inflation, persistent supply chain issues, and the upcoming rate hikes from the Federal Reserve fueled the
risk-off trading. In credit trading, short protection positions generated further offsetting losses as US and European credit spreads widened sharply alongside the unwind of risky assets.
The Trust showed a modest loss in February with losses came from foreign exchange, credit, fixed income, and stock index positions as commodity holdings produced some partially offsetting gains.
Foreign exchange trading produced losses for the Trust. Short positions in developed market currencies (against long USD) were overwhelmed as the recent strength in the greenback was countered by this month’s demand for commodity currencies like
the Australian and New Zealand dollars. Short positions in some Eastern European currencies (against long USD) provided partially offsetting gains as Russian contagion fears drove weakness in Polish and Hungarian assets. In credit trading, short
protection positions generated further losses as US and European credit spreads widened sharply alongside the unwind of risky assets. Interest rate positions caused additional losses in February. A late month flight-to-safety rally sparked by the
intensifying Russia/Ukraine conflict reversed earlier weakness. Losses in German and Australian 10-year bonds overwhelmed gains made in UK Gilts and US Treasuries. Global stock indices also detracted from the Trust amid mixed positioning during the
month. February began with most major indexes fluctuating as investors focused on hotter than expected inflation and assessed prospects for rate hikes and quantitative tightening. By mid-month sentiment turned negative as the focus shifted from
monetary policy to geopolitical concerns and the unprecedented Russian sanctions. Commodity trading provided positive returns for the Trust during the month. Long positioning on the petroleum complex generated the best sector gains as energy
markets advanced amid continued supply constraints and elevated risk premiums stemming from geopolitical tensions between Russia and Ukraine. Some long grain holdings also generated gains as grain markets rallied sharply across the board on supply
concerns following Russia’s attack on Ukraine.
The Trust showed a strong gain in March with gains coming from commodity, foreign exchange, fixed income, stock index, and credit positions. Commodity trading provided the strongest returns for the
Trust during the month. Long positioning across the energy complex resulted in the best sub-sector gains as global demand continued to recover from the pandemic while the war in Europe further squeezed an already tight market. Base metal holdings
also contributed gains as long positioning profited from a sharp rally across the complex as Russia’s invasion of Ukraine coincided with a historic supply shortage. Nickel dominated industrial metal returns following outperformance on the back of a
short-squeeze that saw prices leap 85% over two days, a move that ultimately resulted in an unprecedented 6-day trading halt on the LME. Foreign exchange trading produced additional profits for the Trust with both the developed market (DM) and
emerging market (EM) currencies contributing. A short position on the Japanese yen drove the largest DM gains as the JPY weakened on the continued ultra-loose monetary policy in Japan relative to rising yields in the US. A long position on the
Brazilian real was also profitable as the BRL benefited from price increases in Brazilian exports as well as general demand for higher yielding currencies. Interest rate positions also contributed gains with short positioning on Treasuries leading
profits. The Federal Reserve’s policy normalization began in March and leaned more hawkish than expected which proved profitable for short 2-year and 10-year UST positions. Global stock indices further added to profits as momentum and short-term
strategies were able to navigate the significant mid-month reversal in equities. Short positions to start the month were profitable as stocks traded lower on geopolitical concerns, an FOMC rate hike, and hawkish Fed commentary. However, risk
sentiment turned positive on war de-escalation prospects during the latter half of the month and a shift in model positioning captured additional gains. In credit trading, short protection positions generated nominal gains as US and European credit
spreads tightened alongside stock indices and other risky assets.
The Trust produced a gain during April. Profits came from foreign exchange, interest rate, and commodity holdings, while credit positions and stock index trading had little P&L impact. Foreign
exchange trading produced the largest Trust returns in April. Long US dollar exposure proved profitable as the greenback saw a sharp rally over the month. The USD gained on the increasingly aggressive US monetary policy and the significant rise in
longer dated interest rate yields. The greenback also benefited from global growth concerns as Europe continues to struggle with the fallout from Russia’s invasion of Ukraine, and China enacted lockdowns in a bid to curtail the spread of the latest
COVID-19 variant. Interest rate positions produced additional profits during April, with gains concentrated in long-dated instruments. Short positioning on US Treasuries produced the greatest profits for the sector as the Fed prepared the double
act of rate hikes with quantitative tightening. The prospect of tighter monetary policy coupled with concerns over surging inflation around the world sent bond prices lower and real yields higher. Commodity positions also generated gains during the
month. Long holdings on the energy complex generated the best commodity sub-sector returns as energy markets advanced on continued supply concerns, although gains were capped as China’s extended coronavirus lockdowns curbed demand for energies.
Grain holdings provided additional returns for the Trust as the war in Ukraine, drought concerns, and increased biofuel demand lifted prices higher. Credit trading was relatively flat as short protection positions generated additional offsetting
losses as US and European credit spreads widened amid the risk-off environment. Mixed positioning in global stock indices had little impact on the Trust in April, with nearly all major benchmarks logging losses for the month. The risk-off trading
was fueled by the hawkish shift in global monetary policy, demand destruction from China’s Covid lockdowns, and continued geopolitical uncertainty centered on Ukraine.
The Trust produced a loss during May. Losses came from foreign exchange, stock index, and commodity positions. Fixed income and credit index trading had little P&L impact on the month. Foreign
exchange trading produced the largest losses for the Trust during May. Long US dollar positions (versus short the foreign currency) experienced losses amid the broader weakness in the USD. While the greenback remains stronger on the year, the DXY
dollar index experienced a reversal during May. The foreign exchange market is reconsidering whether US policy makers might slow or potentially pause the tightening cycle in the latter half of 2022, which limited the demand for the US currency.
Additionally, data over the course of the month showed the potential of a weaker US consumer which also contributed to the weakness in the buck. Stock index positioning generated additional losses over the course of the month. Global equity returns
were mixed during May amid volatility across the global indices as markets weighed accelerating inflation concerns in Europe with easing Covid restrictions in China and some investor expectations of a possible slowdown in US monetary tightening.
Commodity holdings generated modest losses during the month. Net long positioning on the grain complex incurred losses for the Trust as grain markets plummeted into month-end on the possibility that Russia will allow exports of Ukrainian grain
through the Black Sea. Long holdings on energies generated partially offsetting gains as those markets advanced on continued fallout from the war in Ukraine, in addition to easing Covid restrictions in Asia, a busy travel season, and low
inventories. Mixed positioning in fixed income had little impact on the Trust in May. Longs on European interest rate instruments produced losses as those markets declined (yields rose) as record inflation prints increased bets the BoE and ECB will
have to quicken the pace of rate hikes to quell surging prices. Canadian Government Bonds produced some offsetting gains amid a hawkish approach from the BoC. Finally in credit trading, short protection positions also had little impact on the Trust
during the month.
The Trust produced a gain during June. Profits came from foreign exchange (FX), interest rate, and stock index holdings. The commodity sector and credit positions had little P&L impact. Foreign
exchange trading generated the largest gains for the Trust during the month. Long USD positions (versus short the foreign currency) benefited from the broad-based rally in the greenback. Dominating the market narrative, inflation remains stubbornly
high and the Federal Reserve continues to lead the hawkish charge. Following the hotter US CPI print early in the month, the Fed indicated that slowing inflation is more important than the possibility of slower economic growth as a result of higher
rates, which helped drive the wide-reaching appreciation in the dollar. Fixed income positions produced additional returns with gains concentrated in long-dated instruments. Persistent inflation prompted central banks to take more aggressive action
in their hiking cycles, leading to several greater-than-expected rate increases. Short positioning on Australia and US 10-year instruments profited as yields rose (prices fell) in reaction to the RBA and Fed both delivering rate hikes that exceeded
expectations. A fifth consecutive rate hike from the Bank of England, accompanied by hawkish guidance, pushed UK yields higher (prices lower) to the benefit of short Gilt positioning. Net short stock index positioning provided additional gains
during the month. Global stock indices sold-off sharply as investors became increasingly convinced that the pace of rising interest rates will trigger a recession. Comments from global central bank speakers throughout the month remained hawkish and
Fed Chair Powell even conceded that a soft landing could be “very challenging.” In credit trading, short protection positions were relative flat as US and European credit spreads widened sharply alongside the selloff in risky assets. The models
flipped to long protection at the end of June and recovered some of their earlier losses. Commodity trading had little impact on the Trust during the month as gains made from short wheat holdings were offset by losses generated from energy
positions.
The Trust produced a loss in July. Losses came from interest rate and foreign exchange (FX) holdings, while commodity positions produced some partially offsetting gains. The stock and credit sectors
had little P&L impact. Interest rate positions produced the largest losses for the Trust with declines most notable in long-dated instruments. Bonds rallied (yields fell) amid ongoing fears that tightening monetary policy will drag leading
economies into recession. Net short positioning on US Treasuries produced losses as prices jumped after two consecutive quarters of negative GDP confirmed the US economy is in technical recession. Despite a surprise full percentage point rate hike
from the Bank of Canada, short positioning in Canada 10-year bonds added to losses after a softer inflation print blunted the case for another 100bps hike, which sent bond prices higher. Foreign exchange trading produced additional losses for the
Trust. A short position on the Japanese yen was a detractor for the Trust as the JPY experienced strong gains versus the dollar following the weaker US data and the prospects of a less aggressive Fed. Partially offsetting gains were experienced in
the euro as EURUSD reached parity for the first time since 2002 on back of the energy crisis in Europe and a series of poor European data. Commodity trading generated profits for the Trust during the month. Short wheat positioning provided the best
sub-sector gains as the grain traded lower on strong US crop expectations, which could help relieve global supply shortfalls caused by turmoil in the Black Sea region. A short sugar position also produced gains as prices fell amid lingering global
demand uncertainty and healthy supply expectations from Brazil. Global stock index trading had little P&L impact as gains made on European and Asian stock holdings were overwhelmed by losses sustained from the North American region. Stock
indices advanced in July as easing rate rise expectations and generally strong big tech earnings sparked a broad-based rally.
The Trust produced a gain in August. Profits came from interest rate and foreign exchange (FX) holdings, while commodities and credit index positions produced some partially offsetting losses during
the month. The stock index sector had little P&L impact. Interest rate positions produced the largest gains for the Trust in August. Bond yields surged (prices fell) as hawkish commentary from policymakers heightened fears of aggressive
monetary policy action aimed at curtailing inflation, despite the risk of dragging economies into recession. Short positioning on Canadian bonds, US Treasuries, and UK gilts led gains. Canadian bonds fell after core inflation rose to a record 5.3%
while US Treasury prices declined after a chorus of Fed officials reiterated their resolve to keep hiking rates and to maintain a restrictive stance “for some time.” Foreign exchange trading produced additional gains. August saw a steady rally in
the greenback throughout the month and the Trust’s long US dollar positions benefited, especially against the developed market currencies. A short position on the Japanese yen was the largest FX contributor as a hawkish approach from the Fed,
coupled with the continued easing policy from the Bank of Japan, caused the yen to resume its weakening trend versus the USD. Commodity holdings produced some offsetting losses for the Trust. Long energy positions generated the largest sector
losses as energy markets came under pressure on global recession worries. Short precious metal positioning created some of the best offsetting profits within the commodities sector as a continually hawkish Fed, the stronger US dollar, and rising
Treasury yields weighed on metal prices. Credit trading was unprofitable as short protection positions generated losses as US and European credit spreads widened amid the risk-off environment. Stock index trading had little P&L impact as gains
made on North American stock index holdings were overwhelmed by losses sustained from the Asian region; European positions had a negligible impact. The global equities markets sold-off in the latter half of the month on expectations of tighter
global monetary policy conditions.
The Trust, which consists of momentum, macro, and short-term strategies, produced a gain in September. Profits came from foreign exchange (FX), interest rate, and stock holdings, while commodities
and credit index positions produced some partially offsetting losses during the month. FX positions produced the largest gains for the Trust in September. The US dollar experienced a sharp rally during the month and the Trust’s long USD positions
benefited, especially against shorts in the developed market currencies. The narrative in FX was dominated by the US Federal Reserve hiking rates and the greenback serving as a high yielding safe-haven asset. The largest gains came from shorts on
the Norwegian krone (versus long USD), which weakened amid the worsening European oil and gas crisis. Interest rate positions generated additional profits. Aggressive monetary policy around the globe, elevated inflation, and the European energy
crisis pressured bond prices and produced gains for short positioning on fixed income instruments. Partially offsetting losses came from long Gilt positioning. UK yields surged (prices fell) after British policy makers announced sweeping tax
reform and the market braced for an onslaught of bond supply and aggressive rate hikes. Short stock index positioning also produced gains for the Trust during the month. Investors shed risk assets, sending benchmarks lower across the globe, amid
the tightening of financial conditions driven by unrelenting global rate hikes aimed at containing inflation. Commodity holdings detracted from the Trust during September. Some long positioning, namely in cotton, energies, and industrial metals,
produced losses as commodities generally underperformed on the back of the weakening demand outlook, heightened global recession fears, and the rapidly strengthening US dollar. Wheat prices were an exception and rose during the month as supply
worries amid war risks outweighed the stronger dollar, and hurt our short positioning. Credit trading was unprofitable as short protection positions generated losses as US and European credit spreads widened amid the risk-off environment.
The Trust produced a gain in October. Profits came from interest rate, commodity, and credit holdings, while stock and foreign exchange (FX) positions produced some partially offsetting losses during
the month. Interest rate positions, in both listed and interest rate swap products, generated profits in October. With a few notable exceptions, bond prices broadly fell (yields rose) after inflation releases around the globe continued to exceed
forecasts. Short positioning on 5yr and 10yr Treasuries profited after a hotter-than-expected CPI print. While US yields pushed above 4% across the curve early in the month, in the latter half of October yields fell from their multi-year highs on
hopes of a slowdown in rate hikes. Elsewhere, UK Gilts experienced a volatile month due to political turmoil though Gilts ultimately ended October higher to the benefit of long positioning. Commodity trading provided additional profits for the
Trust with energies being the best performing commodity sub-sector in October. Long positioning across the complex benefitted as energy markets were boosted at the start of month after OPEC+ opted to lower their output targets. Trust gains were
maintained with prices rallying into month-end as US fuel stockpiles dropped and exports rose to a record, which signaled strong demand despite some recent bearish economic indicators. Grain holdings provided additional gains for the Trust during
the month. In credit trading, short protection positions also generated gains as US and European credit spreads widened sharply alongside the broader rally in risky assets. Stock indices detracted from P&L in October with losses stemming from
European and US positions. Global stock markets rebounded in October on hopes that the Fed may soon ‘pivot’ from its series of aggressive rate hikes to fight high inflation. FX positions also had a negative impact on the Trust during the month. The
Trust’s largest losses came in the Norwegian krone (versus long USD), which experienced a significant price correction during October after its sell-off for most of 2022. In the Emerging Market currencies, the continuation of trends like the
weakness in the Hungarian forint helped drive some offsetting gains.
The Trust realized a loss in November. Losses came from foreign exchange (FX), interest rate, and commodity holdings, while stock and credit positions produced some partially offsetting gains during
the month. Foreign exchange trading generated the largest losses for the Trust. The US dollar experienced a sharp sell-off and the Trust’s long USD positions suffered, most notably against short positions in the developed market currencies.
Lower-than-expected US CPI at the start of November caused a downshift in Fed hike expectations, taking the wind out of recent USD strength. Furthermore, risk assets outside of the United States outperformed which added to the weakness in the
greenback. Interest rate positions contributed to Trust losses as global bond prices ended the month higher (yields lower). Short German bund positioning suffered after Eurozone inflation showed signs of stabilizing, with the market paring back
European Central Bank tightening bets. Partially offsetting gains came from long Australian 10 yr bond holdings. Aussie yields fell after the Reserve Bank of Australia raised their cash target rate less than analysts expected, despite the committee
raising inflation forecasts. Commodities also detracted from the Trust during November. Long positioning on the petroleum complex suffered as China’s commitment to zero-COVID continued to derail a global demand recovery and stressed an already
volatile sector. In precious metals, short gold positioning generated some losses as bullion prices rose on signs the Federal Reserve is preparing to slow the pace of interest rate hikes. Net long positioning in stock index futures generated some
partially offsetting gains in November as the softer US CPI report propelled equity prices higher across the globe. Support for the surge in risk assets was bolstered by a dovish tilt from some ECB and Fed members who reiterated the need to slow
the pace of rate hikes soon citing concerns around risks to growth and the lagged effects of policy. In credit trading, short protection positions also generated gains as US and European credit spreads widened sharply alongside the broader rally in
risk assets.
The Trust produced a loss during December. Losses came from stock index, commodity, foreign exchange, and credit index holdings, while interest rate positions contributed partially offsetting gains.
Global stock index trading was the biggest drag on the Trust during the month. Net-long positioning for the first-half of the month generated losses on recession fears, rate hikes, and the higher-for-longer stance from many Central Banks.
Furthermore, equity sentiment dampened amid a gloomier outlook for corporate earnings in 2023. Commodities also detracted from the Trust in December. Energies were the worst performing commodity sub-sector as net-long positioning suffered with
energy markets trading lower on economic slowdown concerns as Central Banks continue to tighten policy in order to fight inflation. Additionally, while China relaxed its zero-Covid measures during the month, a recent surge in Covid cases dimmed
hopes of an immediate demand boost. A long soybean oil position generated additional losses for the Trust as prices tumbled early in the month after the EPA surprised markets with a smaller-than-expected proposed Renewable Fuels Standard. Foreign
exchange trading produced additional Trust losses. The US dollar experienced a sell-off in December and the Trust’s long USD positions suffered, most notably against short holdings in the developed market currencies. A hawkish approach from the
European Central Bank, and a potential regime shift in Japan away from Governor Kuroda’s commitment to ultra-loose policy, caused broad-based strengthening in the major currencies relative to the greenback. Interest rate positions provided
partially offsetting gains. Global bond prices ended the month lower (yields higher) as persistently high inflation kept pressure on Central Banks to continue tightening policy. Short positioning across the US Treasury curve benefited after the Fed
delivered a hawkish tilt by upwardly revising its peak rate. Similarly, short German bond positioning profited in the wake of hawkish ECB comments coupled with a 50bps hike. In credit trading, short protection positions detracted as US and European
credit spreads widened alongside the weakness in risk assets.
| Item 7A. |
Quantitative and Qualitative Disclosures About Market Risk.
|
Introduction
Past Results Not Necessarily Indicative of Future Performance
The Trust is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or a substantial amount of the Trust’s assets are subject
to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Trust’s main line of business.
Market movements result in frequent changes in the fair market value of the Trust’s open positions and, consequently, in its earnings and cash flow. The Trust’s market risk is influenced by a wide
variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Trust’s open positions and the liquidity
of the markets in which it trades.
The Trust rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will
affect performance, and the Trust’s past performance is not necessarily indicative of its future results.
Standard of Materiality
Materiality as used in this section, “Quantitative and Qualitative Disclosures About Market Risk,” is based on an assessment of reasonably possible market movements and the potential losses caused by
such movements, taking into account the leverage and multiplier features of the Trust’s market sensitive instruments.
Quantifying the Trust’s Trading Value at Risk
Quantitative Forward-Looking Statements
The following quantitative disclosures regarding the Trust’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability
provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are
deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact (such as the dollar amount of maintenance margin required for market risk sensitive instruments held at the end of the reporting
period).
The Trust’s risk exposure in the various market sectors traded is estimated in terms of Value at Risk (VaR). The Trust estimates VaR using a model based upon historical simulation (with a confidence
level of 97.5%) which involves constructing a distribution of hypothetical daily changes in the value of a trading portfolio. The VaR model takes into account linear exposures to risks, including equity and commodity prices, interest rates, foreign
exchange rates, credit, and correlation among these variables. The hypothetical changes in portfolio value are based on daily percentage changes observed in key market indices or other market factors to which the portfolio is sensitive. The Trust’s
VaR at a one day 97.5% confidence level corresponds to the negative change in portfolio value that, based on observed market risk factors, would have been exceeded once in 40 trading days or one day in 40. VaR typically does not represent the worst
case outcome.
The Trust uses approximately one quarter of daily market data and revalues its portfolio for each of the historical market moves that occurred over this time period. This generates a probability
distribution of daily “simulated profit and loss” outcomes. The VaR is the 2.5 percentile of this distribution.
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The current methodology used to calculate the aggregate VaR represents the
VaR of the Trust’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
The Trust’s VaR computations are based on the risk representation of the underlying benchmark for each instrument or contract and does not distinguish between exchange and non-exchange dealer-based
instruments. It is also not based on exchange and/or dealer-based maintenance margin requirements.
VaR models, including the Trust’s, are continually evolving as trading portfolios become more diverse and modeling techniques and systems capabilities improve. Please note that the VaR model is used
to numerically quantify market risk for historic reporting purposes only and is not utilized by the Trust in its daily risk management activities. Please further note that VaR as described above may not be comparable to similarly titled measures
used by other entities.
Because the business of the Trust is the speculative trading of futures, forwards, and swaps, the composition of the Trust’s trading portfolio can change significantly over any given time period, or
even within a single trading day, which could positively or negatively materially impact market risk as measured by VaR.
The Trust’s Trading Value at Risk in Different Market Sectors
The following tables indicate the trading Value at Risk associated with the Trust’s open positions by market category as of December 31, 2024, 2023 and 2022 and the trading gains/losses by market
category for the years then ended.
|
December 31, 2024
|
||||||||
|
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
|
Credit
|
0.22
|
%
|
0.24
|
%
|
||||
|
Commodities
|
0.73
|
%
|
0.25
|
%
|
||||
|
Foreign Exchange
|
0.70
|
%
|
1.87
|
%
|
||||
|
Interest Rates
|
0.55
|
%
|
4.73
|
%
|
||||
|
Stock Indices
|
0.80
|
%
|
9.49
|
%
|
||||
|
Aggregate/Total
|
1.71
|
%
|
16.58
|
%
|
||||
| * |
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Trust’s open positions across all
market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
|
| ** |
Represents the gross trading for the Trust for the year ended December 31, 2024.
|
Of the 16.85% return for the year ended December 31, 2024 for Series A, approximately 16.58% was due to trading gains (before commissions) and approximately 4.96% due to investment income, offset by
approximately (4.69)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series A.
Of the 17.22% return for year ended December 31, 2024 for Series B, approximately 16.58% was due to trading gains (before commissions) and approximately 4.96% due to investment income, offset by
approximately (4.32)% due to brokerage fees, management fees, performance fees, sales commissions and operating costs borne by Series B.
Of the 18.10% return for the year ended December 31, 2024 for Series D, approximately 16.58% was due to trading gains (before commissions) and approximately 4.96% due to investment income, offset by
approximately (3.44)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series D.
Of the 18.99% return for the year ended December 31, 2024 for Series W, approximately 16.58% was due to trading gains (before commissions) and approximately 4.96% due to investment income, offset by
approximately (2.55)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series W.
|
December 31, 2023
|
||||||||
|
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
|
Credit
|
0.20
|
%
|
(0.22
|
)%
|
||||
|
Commodities
|
0.73
|
%
|
0.10
|
%
|
||||
|
Foreign Exchange
|
0.73
|
%
|
(2.02
|
)%
|
||||
|
Interest Rates
|
0.72
|
%
|
(3.51
|
)%
|
||||
|
Stock Indices
|
0.44
|
%
|
0.74
|
%
|
||||
|
Aggregate/Total
|
1.59
|
%
|
(4.91
|
)%
|
||||
| * |
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Trust’s open positions across all
market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
|
| ** |
Represents the gross trading for the Trust for the year ended December 31, 2023.
|
Of the (4.95)% return for the year ended December 31, 2023 for Series A, approximately (4.91)% was due to trading losses (before commissions) and approximately 5.25% due to investment income, offset
by approximately (5.29)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series A.
Of the (4.62)% return for year ended December 31, 2023 for Series B, approximately (4.91)% was due to trading losses (before commissions) and approximately 5.25% due to investment income, offset by
approximately (4.96)% due to brokerage fees, management fees, performance fees, sales commissions and operating costs borne by Series B.
Of the (3.90)% return for the year ended December 31, 2023 for Series D, approximately (4.91)% was due to trading losses (before commissions) and approximately 5.25% due to investment income, offset
by approximately (4.24)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series D.
Of the (3.17)% return for the year ended December 31, 2023 for Series W, approximately (4.91)% was due to trading losses (before commissions) and approximately 5.25% due to investment income, offset
by approximately (3.51)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series W.
|
December 31, 2022
|
||||||||
|
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
|
Credit
|
0.09
|
%
|
1.25
|
%
|
||||
|
Commodities
|
0.54
|
%
|
8.88
|
%
|
||||
|
Foreign Exchange
|
1.15
|
%
|
16.83
|
%
|
||||
|
Interest Rates
|
0.98
|
%
|
16.26
|
%
|
||||
|
Stock Indices
|
0.53
|
%
|
1.11
|
%
|
||||
|
Aggregate/Total
|
1.66
|
%
|
44.33
|
%
|
||||
| * |
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Trust’s open positions across all
market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
|
| ** |
Represents the gross trading for the Trust for the year ended December 31, 2022.
|
Of the 36.01% return for the year ended December 31, 2022 for Series A, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by
approximately (9.78)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series A.
Of the 35.82% return for year ended December 31, 2022 for Series B, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by
approximately (9.97)% due to brokerage fees, management fees, performance fees, sales commissions and operating costs borne by Series B.
Of the 31.93% return for the year ended December 31, 2022 for Series D, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by
approximately (13.86)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series D.
Of the 35.05% return for the year ended December 31, 2022 for Series W, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by
approximately (10.74)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series W.
Material Limitations of Value at Risk as an Assessment of Market Risk
The following limitations of VaR as an assessment of market risk should be noted:
| 1) |
Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;
|
| 2) |
Changes in portfolio value caused by market movements may differ from those of the VaR model;
|
| 3) |
VaR results reflect past trading positions while future risk depends on future positions;
|
| 4) |
VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and
|
| 5) |
The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.
|
VaR is not necessarily representative of historic risk nor should it be used to predict the Trust’s future financial performance or its ability to manage and monitor risk. There can be no assurance
that the Trust’s actual losses on a particular day will not exceed the VaR amounts indicated or that such losses will not occur more than once in 40 trading days.
Non-Trading Risk
The Trust has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Trust also has
non-trading market risk as a result of investing a portion of its available assets in U.S. Treasury Bills held at the broker and over-the-counter counterparty. The market risk represented by these investments is minimal. Finally, the Trust has
non-trading market risk on fixed income securities held as part of its cash management program. The cash manager will use its best endeavors in the management of the assets of the Trust but provide no guarantee that any profit or interest will
accrue to the Trust as a result of such management.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Trust’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the
descriptions of how the Trust manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Trust’s primary market risk
exposures as well as the strategies used and to be used by Campbell & Company for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Trust’s risk
controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price
relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Trust. There can be no
assurance that the Trust’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially
all of their investment in the Trust.
The following represent the primary trading risk exposures of the Trust as of December 31, 2024 by market sector.
Foreign Exchange
The Trust’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These
fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Trust trades in a large number of currencies, including cross-rates — i.e., positions between two currencies other than the U.S. Dollar.
Campbell & Company does not anticipate that the risk profile of the Trust’s currency sector will change significantly in the future.
Interest Rates
Interest rate movements directly affect the price of the sovereign bond positions and interest rate swap contracts held by the Trust and indirectly the value of its stock index and currency positions.
Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Trust’s profitability. Campbell & Company does not anticipate that the risk profile of the Trust’s interest rate sector
will change significantly in the future.
Equity Indices
The Trust’s primary equity exposure is to equity price risk in the G-7 countries as well as Australia, Hong Kong, Singapore, Spain, Taiwan, Netherlands, India, South Africa and Sweden. The stock index
futures traded by the Trust are by law limited to futures on broadly based indices. The Trust is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices. Markets that trade in a
narrow range could result in the Trust’s positions being “whipsawed” into numerous small losses.
Credit
The Trust’s primary credit exposure is through fluctuations in the credit worthiness of a particular reference entity, basket of reference entities, or an index.
Energy
The Trust’s primary energy market exposure is to natural gas, crude oil and derivative product price movements often resulting from international political developments and ongoing conflicts in the
Middle East and the perceived outcome. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.
Metals
The Trust’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, palladium, platinum, silver and zinc.
Agricultural
The Trust’s agricultural exposure is to fluctuations of the price of cattle, cocoa, coffee, corn, cotton, hogs, soy, sugar and wheat.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the primary non-trading risk exposures of the Trust as of December 31, 2023.
Foreign Currency Balances
The Trust’s primary foreign currency balances are in Australian Dollar, British Pounds, Canadian Dollar, Euros, Hong Kong Dollar, Japanese Yen, Singapore Dollar, South African Rand and Swedish Krona.
The Trust controls the non-trading risk of these balances by regularly converting these balances back into dollars (no less frequently than twice a month, and more frequently if a particular foreign currency balance becomes unusually large).
Fixed Income Securities and Short Term Investments
The Trust’s primary market exposure in instruments (other than treasury positions described in the subsequent section) held other than for trading is in its fixed income portfolio. The cash manager,
PNC, has authority to make certain investments on behalf of the Trust. All securities purchased by the cash manager on behalf of the Trust will be held in the Trust’s custody account at the custodian. The cash manager will use its best endeavors in
the management of the assets of the Trust but provides no guarantee that any profit or interest will accrue to the Trust as a result of such management.
U.S. Treasury Bill Positions Held for Margin Purposes
The Trust also has market exposure in its U.S. Treasury Bill portfolio. The Trust holds U.S. Treasury Bills with maturities no longer than six months. Violent fluctuations in prevailing interest rates
could cause minimal mark-to-market losses on the Trust’s U.S. Treasury Bills, although substantially all of these short-term investments are held to maturity.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The means by which the Trust and Campbell & Company, severally, attempt to manage the risk of the Trust’s open positions is essentially the same in all market categories traded. Campbell &
Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated
in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses.
General
The Trust is unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or
uncertainties that will have a material effect on operations. From time to time, certain regulatory agencies have proposed increased margin requirements on futures contracts. Because the Trust generally will use a small percentage of assets as
margin, the Trust does not believe that any increase in margin requirements, as proposed, will have a material effect on the Trust’s operations.
| Item 8. |
Financial Statements and Supplementary Data.
|
Financial statements meeting the requirements of Regulation S-X appear beginning on Page 55 of this report.
| Item 9. |
Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.
|
None.
| Item 9A. |
Controls and Procedures.
|
Campbell & Company, the managing operator of the Trust, with the participation of the managing operator’s chief executive officer and managing director, operations and finance, has evaluated the
effectiveness of the design and operation of its disclosure controls and procedures (as defined in the Securities Exchange Act of 1934 Rules 13a-15(e) or 15d-15(e)) with respect to the Trust as of the end of the period covered by this annual
report. Based on their evaluation, the chief executive officer and managing director, operations and finance have concluded that these disclosure controls and procedures are effective. There were no changes in the managing operator’s internal
control over financial reporting applicable to the Trust identified in connection with the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or 15d-15 that occurred during the last fiscal quarter that have materially affected, or is
reasonably likely to materially affect, internal control over financial reporting applicable to the Trust.
Management’s Annual Report on Internal Control over Financial Reporting
Campbell & Company, LP (“Campbell & Company”), the managing operator of the Trust, is responsible for the management of the Trust. Management of Campbell & Company (“Management”) is
responsible for establishing and maintaining adequate internal control over financial reporting. The internal control over financial reporting is 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.
The Trust’s internal control over financial reporting includes those policies and procedures that:
| • |
Pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Trust;
|
| • |
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
transactions are being made only in accordance with authorizations of Management and;
|
| • |
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.
Management assessed the effectiveness of the Trust’s internal control over financial reporting as of December 31, 2024. In making this assessment, Management used the framework established in Internal
Control – Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission (“COSO”). As a result of this assessment and based on the criteria in the COSO framework, management has concluded that, as of
December 31, 2024, the Trust’s internal control over financial reporting was effective.
Management’s report was not subject to attestation by the Trust’s independent registered public accounting firm pursuant to rules of the Securities and Exchange Commission that permit the company to
provide only management’s report in this annual report.
| Item 9B. |
Other Information.
|
| Item 9C. |
Disclosure Regarding Foreign Jurisdictions that Prevent Inspections.
|
Not applicable.
PART III
| Item 10. |
Directors, Executive Officers and Corporate Governance.
|
The Registrant has no directors or executive officers. The Registrant has no employees. It is managed by Campbell & Company in its capacity as managing operator. Campbell & Company has been
registered as a commodity pool operator (CPO) since September 1982. Its main business address is 2850 Quarry Lake Drive, Baltimore, Maryland, 21209, (410) 413-2600. Campbell & Company’s directors and executive officers are as follows:
Dr. Kevin D. Cole, born in 1972, joined Campbell & Company in October 2003, served as Chief Investment Officer of
both Campbell & Company and Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor and an SEC-registered investment adviser, since June 2017, and assumed the
combined role of Chief Executive Officer & Chief Investment Officer (CEO, CIO) in January of 2022. In his role as CEO, CIO, he is responsible for leading the firm’s overall strategic direction while also establishing and managing the firm’s
investment research agenda. Dr. Cole has served on the Board of Directors and as an officer of Campbell & Company, LLC, the general partner of Campbell & Company, since January 2019. Since August 2018 Dr. Cole has served on the firm’s
Executive Committee. Dr. Cole was appointed to the firm’s Investment Committee in January 2016. Dr. Cole formerly served as Deputy Chief Research Officer from January 2016 to June 2017; Director, Investment Strategies from October 2013 to December
2015; Research Manager from October 2006 to September 2013; and Senior Researcher from October 2003 to September 2006. Dr. Cole holds a B.A. in Economics from Georgetown University, and received a Ph.D. in Economics with a concentration in Finance
from the University of California, Berkeley. Dr. Cole was listed as a Principal of Campbell & Company and Campbell & Company Investment Adviser LLC effective March 20, 2017.
D. Keith Campbell served as Chairman of the Board of Campbell & Company, LLC, the general partner of Campbell & Company LP, from the firm’s inception through November 11, 2024. Effective
November 11, 2024, pursuant to the long-planned transition of majority ownership of Campbell & Company, LP to its senior executives, Mr. Campbell retired as Chairman. Effective November 11, 2024, Dr. Kevin D. Cole was appointed Chairman. Dr.
Cole continues to serve as the CEO/CIO of Campbell & Company, LP.
Thomas P. Lloyd, born in 1959, joined Campbell & Company in September 2005 as General Counsel and Executive Vice President-Legal and Compliance. Since December 2018, Mr. Lloyd has served as
General Counsel, Chief Compliance Officer, and Secretary of both Campbell & Company and Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor, and an
SEC-registered investment adviser. In this capacity, he is involved in all aspects of legal affairs, compliance and regulatory oversight, including, between April 2007 and August 2018, overseeing Campbell & Company’s fund administration
function. Since January 2019, Mr. Lloyd has served on the Board of Directors of Campbell & Company, LLC, the general partner of Campbell & Company. Between August and December 2018, Mr. Lloyd served as Co-General Counsel of Campbell &
Company, LP. Mr. Lloyd served as the Secretary of Campbell & Company between October 2011 and August 2018. Since August 2017, Mr. Lloyd has served as an officer of Campbell & Company Delaware, LLC, the general partner of the Campbell
Equity Alpha Onshore Fund, LP, a limited partnership formed in Delaware, and the Campbell Equity Alpha Cayman, LP and the Campbell Equity Alpha Master Fund LP, each an exempted limited partnership registered in the Cayman Islands. Since November
2014, Mr. Lloyd has served as an officer of Campbell & Company, LLC, which is the general partner of Campbell & Company. Mr. Lloyd is a member of the Board of Directors of Campbell Core Offshore Limited and Campbell Advantage Offshore
Limited, each an international business company incorporated in the Cayman Islands. Mr. Lloyd served as the Secretary and Assistant Treasurer, between September 2005 and August 2018, and as the General Counsel, between September 2013 and August
2018, of Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor and an SEC-registered investment adviser. Mr. Lloyd served as a Director, Vice President, and
Secretary of Campbell Financial Services, LLC, an SEC-registered broker-dealer and FINRA member, between October 2009 and August 2018. Mr. Lloyd also served as Chief Compliance Officer of Campbell Financial Services, LLC between October 2009 and
September 2013. In November 2012 Mr. Lloyd was appointed as President of Campbell Financial Services, LLC and held the position until April 2014. Mr. Lloyd was the General Counsel of Campbell Financial Services, LLC between April 2014 and August
2018. From July 1999 to September 2005, Mr. Lloyd was employed by Deutsche Bank Securities Inc., a broker/dealer subsidiary of a global investment bank, in several positions, including Managing Director and head of the legal group for Deutsche Bank
Alex. Brown, the Private Client Division of Deutsche Bank Securities Inc. Mr. Lloyd holds a B.A. in Economics from the University of Maryland and a J.D. from the University of Baltimore School of Law. Mr. Lloyd is a member of the Bars of the
State of Maryland and the United States Supreme Court. Mr. Lloyd has been listed as a Principal of Campbell & Company and Campbell & Company Investment Adviser LLC since January 2, 2019. Mr. Lloyd was previously listed as a Principal of
Campbell & Company and Campbell & Company Investment Adviser LLC from October 20, 2005 to August 1, 2018 and December 12, 2005 to August 15, 2018, respectively. Mr. Lloyd became registered as a NFA Associate Member and an Associated Person
of Campbell & Company effective August 30, 2010. Mr. Lloyd became registered as a NFA Associate Member Person of Campbell & Company Investment Adviser, LLC effective December 12, 2022. Mr. Lloyd was designated as a Branch Manager of
Campbell & Company, LP from January 15, 2020 until December 28, 2020.
John R. Radle, born in 1967, joined Campbell & Company in June 2005, and in January 2022 was appointed Chief Operating Officer of both Campbell & Company, LP and Campbell & Company
Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, LP, a registered commodity trading advisor and an SEC-registered investment adviser. In this capacity, Mr. Radle is responsible for overseeing the firm’s middle office,
back office, and corporate finance functions. Mr. Radle was appointed to the Board of Directors and as an officer of Campbell & Company, LLC, the general partner of Campbell & Company, LP in January 2022. Mr. Radle has been a member of the
Investment Committee and the Best Execution Committee since April 2013 and November 2006, respectively. Mr. Radle also served as the Equity Trading Manager from June 2005 to December 2010, Manager - Equity & Rule-Based Execution from December
2010 to October 2012, and Managing Director, Global Head of Trading from October 2012 to January 2022. In this capacity Mr. Radle provided oversight of all aspects of the firm’s trade activities and assessed trade algorithms. Mr. Radle holds a BBA
in Finance from Texas Christian University. He also holds an MBA from Johns Hopkins University. Mr. Radle was listed as a principal of Campbell & Company, LP and Campbell & Company Investment Adviser LLC from June 2013 to September 2018.
Mr. Radle became listed as a principal of Campbell & Company, LP and Campbell & Company Investment Adviser, LLC in January 2022. Mr. Radle became registered as a NFA Associate Member and an Associated Person of Campbell & Company, LP
effective November 5, 2007 and November 15, 2007, respectively.
There has never been a material administrative, civil or criminal action brought against Campbell & Company or any of its directors, executive officers, promoters or control persons.
Audit Committee Financial Expert
No individual is named as the “audit committee expert’ because no member of the Audit Committee (“Committee”) individually meets all five qualifications in the SEC definition of an “audit committee
financial expert”; however, management has determined that the members of the Committee collectively possess the attributes necessary to perform this function.
Code of Ethics
Campbell & Company has adopted a code of ethics for its Chief Executive Officer, Chief Operating Officer, Accounting Managers, and persons performing similar functions. A copy of the code of
ethics may be obtained at no charge by written request to Campbell & Company’s corporate secretary, 2850 Quarry Lake Drive, Baltimore, Maryland 21209 or by calling 1-800-698-7235.
| Item 11. |
Executive Compensation.
|
The Trust does not itself have any officers, directors or employees. The Trust pays management fees and performance fees to Campbell & Company. The directors and managing officers of Campbell
& Company are remunerated by Campbell & Company in their respective positions. The directors and managing officers receive no “other compensation” from the Trust. There are no compensation plans or arrangements relating to a change in
control of either the Trust or Campbell & Company.
Campbell & Company receives (i) a monthly management fee of 1/12 of 2% of the month-end net assets of the Series A Units, Series B Units, Series D Units and Series W Units without reductions for
distributions, redemptions or withdrawals during said month, totaling approximately 2% of the average month-end net assets per year of the Series A Units, Series B Units, Series D Units and Series W Units; (ii) a monthly sales fee of 1/12 of 2% of
the month-end net assets of the Series A Units and Series B Units without reductions for distributions, redemptions or withdrawals during said month, totaling approximately 2% of average month-end net assets per year of the Series A Units and
Series B Units; (iii) a monthly sales fee of 1/12 of 0.75% of the month-end net assets of the Series D Units without reductions for distributions, redemptions or withdrawals during said month, totaling approximately 0.75% of average month-end net
assets per year of the Series D Units; and (iv) a quarterly performance fee of 20% of the aggregate cumulative appreciation (if any) in the net asset value per unit of the Series A Units, Series B Units, Series D Units and Series W Units at the end
of each quarter, exclusive of appreciation attributable to interest income, allocable to such Series of Units, and as adjusted for subscriptions and redemptions, on a cumulative high water mark basis, charged quarterly. In determining the fees in
this paragraph, net assets shall not be reduced by the performance fees being calculated for such current period. In respect of each Series of Units, “aggregate cumulative appreciation” means the total increase in Unit value of such Series of Units
from the commencement of trading, minus the total increase in Unit value of such Series of Units for all prior quarters, multiplied by the number of Units of such Series outstanding. The performance fee is paid only on profits attributable to each
Series of Units outstanding. The performance fee is accrued monthly and paid quarterly.
| Item 12. |
Security Ownership of Certain Beneficial Owners and Management and Related Shareholder Matters.
|
| (a) |
Security Ownership of Certain Beneficial Owners. As of December 31, 2024, no Units of Beneficial Interest are owned or held by an officer of Campbell & Company.
|
| (b) |
Security Ownership of Management. As of December 31, 2024, Campbell & Company did not own any Series A, Series B, Series D or Series W Units.
|
| Item 13. |
Certain Relationships and Related Transactions, and Director Independence.
|
See Item 11 – Executive Compensation and Item 12 – Security Ownership of Certain Beneficial Owners and Management and Related Shareholder Matters.
| Item 14. |
Principal Accounting Fees and Services.
|
The principal accountant for the years ended December 31, 2024 and 2023 was Deloitte & Touche LLP.
| (a) |
Audit Fees
|
The aggregate fees billed for professional services rendered by the principal accountant for the audit of the Trust’s annual financial statements, for review of financial statements included in the
Trust’s Forms 10-Q and other services normally provided in connection with regulatory filings for the years ended December 31, 2024 and 2023 were $270,000 and $300,000, respectively.
| (b) |
Audit Related Fees
|
None.
| (c) |
Tax Fees
|
None.
| (d) |
All Other Fees
|
None.
| (e) |
The Board of Directors of Campbell & Company approved all of the services described above. The Board of Directors has determined that the payments made to its independent accountants for these services
are compatible with maintaining such auditors’ independence. The Board of Directors explicitly pre-approves all audit and non-audit services and all engagement fees and terms.
|
PART IV
| Item 15. |
Exhibit and Financial Statement Schedules.
|
| (a) |
The Following documents are filed as part of this report:
|
| (1) |
See Financial Statements beginning on page 58 thereof.
|
| (2) |
Schedules:
|
Financial statement schedules have been omitted because they are not included in the financial statements or notes hereto applicable or because equivalent information has been included in the financial statements or notes
thereto.
| (3) |
Exhibits
|
|
Exhibit Number
|
Description of Document
|
|
|
3.01
|
||
|
3.02
|
||
|
10.01
|
||
|
10.02
|
||
|
10.03
|
||
|
Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
|
Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
|
Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
|
Certification of John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
|
101
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of December 31, 2024 and 2023, (ii) Statements of Financial Condition as of
December 31, 2024 and 2023, (iii) Statements of Operations For the Years Ended December 31, 2024, 2023 and 2022, (iv) Statements of Cash Flows For the Years Ended December 31, 2024, 2023 and 2022, (v) Statements of Changes in Unitholders’
Capital (Net Asset Value) For the Years Ended December 31, 2024, 2023 and 2022, (vi) Financial Highlights For the Years Ended December 31, 2024, 2023 and 2022, (vii) Notes to Financial Statements.
|
|
|
104
|
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).
|
| (1) |
Incorporated by reference to the respective exhibit to the Registrant’s Form 10 filed on April 30, 2003.
|
|
(2)
|
Incorporated by reference to the respective exhibit to the Registrant’s Quarterly Report on Form 10-Q filed on August 13, 2024.
|
| (3) |
Incorporated by reference to the respective exhibit to the Registrant’s Quarterly Report on Form 10-Q filed on August 15, 2011.
|
| (4) |
Incorporated by reference to the respective exhibit to the Registrant’s Quarterly Report on Form 10-Q filed on May 15, 2014.
|
| Item 16. |
Form 10-K Summary.
|
None.
EXHIBIT INDEX
|
Certification of Kevin D. Cole, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
|
Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
|
Certification of Kevin D. Cole, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
|
Certification of John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
|
101
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of December 31, 2024 and 2023, (ii) Statements of Financial Condition as of
December 31, 2024 and 2023, (iii) Statements of Operations For the Years Ended December 31, 2024, 2023 and 2022, (iv) Statements of Cash Flows For the Years Ended December 31, 2024, 2023 and 2022, (v) Statements of Changes in Unitholders’
Capital (Net Asset Value) For the Years Ended December 31, 2024, 2023 and 2022, (vi) Financial Highlights For the Years Ended December 31, 2024, 2023 and 2022, (vii) Notes to Financial Statements.
|
|
|
104
|
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).
|
Pursuant to the requirements of Section 13 or 15 (d) of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly
authorized on March 21, 2025.
|
THE CAMPBELL FUND TRUST
|
|||
|
By:
|
CAMPBELL & COMPANY, LP
|
||
|
Managing Operator
|
|||
|
By:
|
/s/ Kevin D. Cole
|
||
|
Kevin D. Cole
|
|||
|
Chief Executive Officer
|
|||
Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the Registrant in the capacities of Campbell & Company,
LP, the Managing Operator of the Registrant, indicated on March 21, 2025.
|
Signature
|
Capacity
|
|
|
/s/ Kevin D. Cole
|
Chief Executive Officer
|
|
|
Kevin D. Cole
|
||
|
/s/ Thomas P. Lloyd
|
General Counsel and Chief Compliance Officer
|
|
|
Thomas P. Lloyd
|
||
|
/s/ John R Radle
|
Chief Operating Officer
|
|
|
John R. Radle
|
||
THE CAMPBELL FUND TRUST
ANNUAL REPORT
December 31, 2024
THE CAMPBELL FUND TRUST
INDEX
|
PAGES
|
|
|
Report of Independent Registered Public Accounting Firm (PCAOB ID )
|
57
|
|
Financial Statements
|
|
|
58-63
|
|
|
64
|
|
|
65
|
|
|
66
|
|
|
67-68
|
|
|
69-72
|
|
|
73-84
|
To the Unitholders of The Campbell Fund Trust
Opinion on the Financial Statements
We have audited the accompanying statements of financial condition of The Campbell Fund Trust (the "Trust"), including the condensed schedules of
investments, as of December 31, 2024 and 2023, the related statements of operations, cash flows, changes in unitholders' capital (net asset value), and financial highlights, for each of the three years in the period ended December 31, 2024, and
the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Trust as of December 31, 2024 and 2023, and the results
of its operations, its cash flows, changes in its unitholders' capital (net asset value), and the financial highlights for each of the three years in the period ended December 31, 2024, in conformity with accounting principles generally
accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Trust's management. Our responsibility is to express an opinion on the Trust's financial
statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Trust in accordance with the U.S.
federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial
reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial
reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud,
and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting
principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
Critical Audit Matters
Critical audit matters are matters arising from the current-period audit of the financial statements that were communicated or required to be
communicated to the audit committee and that (1) relate to accounts or disclosures that are material to the financial statements and (2) involved our especially challenging, subjective, or complex judgments. We determined that there are no
critical audit matters.
/s/ Deloitte & Touche LLP
March 21, 2025
We have served as the Trust's auditor since 2005.
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2024
FIXED INCOME SECURITIES
|
Maturity
|
Fair
|
% of Net
|
|||||||||
|
Face Value
|
Description
|
Value ($)
|
Asset Value
|
||||||||
|
Asset Backed Securities
|
|||||||||||
|
United States
|
|||||||||||
|
Auto Loans
|
$
|
|
|
%
|
|||||||
|
Equipment Loans
|
|
|
%
|
||||||||
|
Total Asset Backed Securities (cost $
|
|
|
%
|
||||||||
|
Bank Deposits
|
|||||||||||
|
France
|
|||||||||||
|
Financials (cost $
|
|
|
%
|
||||||||
|
United States
|
|||||||||||
|
Financials (cost $
|
|
|
%
|
||||||||
|
Total Bank Deposits (cost $
|
|
|
%
|
||||||||
|
Commercial Paper
|
|||||||||||
|
Canada
|
|||||||||||
|
Financials (cost $
|
|
|
%
|
||||||||
|
United Kingdom
|
|||||||||||
|
Financials (cost $
|
|
|
%
|
||||||||
|
United States
|
|||||||||||
|
Consumer Discretionary
|
|
|
%
|
||||||||
|
Consumer Staples
|
|
|
%
|
||||||||
|
Financials
|
|
|
%
|
||||||||
|
Industrials
|
|
|
%
|
||||||||
|
Materials
|
|
|
%
|
||||||||
|
Real Estate
|
|
|
%
|
||||||||
|
Utilities
|
|
|
%
|
||||||||
|
Total United States (cost $
|
|
|
%
|
||||||||
|
Total Commercial Paper (cost $
|
|
|
%
|
||||||||
|
Corporate Bonds
|
|||||||||||
|
Australia
|
|||||||||||
|
Financials (cost $
|
|
|
%
|
||||||||
|
Canada
|
|||||||||||
|
Energy
|
|
|
%
|
||||||||
|
Financials
|
|
|
%
|
||||||||
|
Total Canada (cost $
|
|
|
%
|
||||||||
|
Germany
|
|||||||||||
|
Consumer Discretionary (cost $
|
|
|
%
|
||||||||
|
Japan
|
|||||||||||
|
Financials (cost $
|
|
|
%
|
||||||||
|
Netherlands
|
|||||||||||
|
Financials (cost $
|
|
|
%
|
||||||||
|
Switzerland
|
|||||||||||
|
Financials (cost $
|
|
|
%
|
||||||||
|
United Kingdom
|
|||||||||||
|
Financials (cost $
|
$
|
|
|
%
|
|||||||
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2024
FIXED INCOME SECURITIES
|
Maturity
|
|
Fair
|
% of Net
|
||||||||
|
Face Value
|
Description
|
Value ($)
|
Asset Value
|
||||||||
|
Corporate Bonds (continued)
|
|||||||||||
|
United States
|
|||||||||||
|
Communications
|
$
|
|
|
%
|
|||||||
|
Consumer Discretionary
|
|
|
%
|
||||||||
|
Consumer Staples
|
|
|
%
|
||||||||
|
Energy
|
|
|
%
|
||||||||
|
Financials
|
|
|
%
|
||||||||
|
Health Care
|
|
|
%
|
||||||||
|
Industrials
|
|
|
%
|
||||||||
|
Real Estate
|
|
|
%
|
||||||||
|
Technology
|
|
|
%
|
||||||||
|
Utilities
|
|
|
%
|
||||||||
|
Total United States (cost $
|
|
|
%
|
||||||||
|
Total Corporate Bonds (cost $
|
|
|
%
|
||||||||
|
|
|||||||||||
|
Government and Agency Obligations
|
|||||||||||
|
United States
|
|||||||||||
|
U.S. Treasury Bills
|
|||||||||||
|
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
|
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
|
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
|
Total Government And Agency Obligations (cost $
|
|
|
%
|
||||||||
|
Total Fixed Income Securities (cost $
|
$
|
|
|
%
|
|||||||
|
(1)
|
Pledged as collateral for the trading of futures positions.
|
|
(2)
|
|
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2024
SHORT TERM INVESTMENTS
|
Fair
|
% of Net
|
|||||||
|
Description
|
Value ($)
|
Asset Value
|
||||||
|
Money Market Funds
|
||||||||
|
United States
|
||||||||
|
Money Market Funds (cost $
|
$
|
|
|
%
|
||||
|
Total Short Term Investments (cost $
|
$
|
|
|
%
|
||||
LONG FUTURES CONTRACTS
|
Fair
|
% of Net
|
|||||||
|
Description
|
Value ($)
|
Asset Value
|
||||||
|
Agriculture
|
$
|
|
|
%
|
||||
|
Energy
|
|
|
%
|
|||||
|
Metals
|
(
|
)
|
(
|
)%
|
||||
|
Stock indices
|
(
|
)
|
(
|
)%
|
||||
|
Short-term interest rates
|
(
|
)
|
(
|
)%
|
||||
|
Long-term interest rates
|
(
|
)
|
(
|
)%
|
||||
|
Net unrealized gain (loss) on long futures contracts
|
(
|
)
|
(
|
)%
|
||||
SHORT FUTURES CONTRACTS
|
Fair
|
% of Net
|
|||||||
|
Description
|
Value ($)
|
Asset Value
|
||||||
|
Agriculture
|
(
|
)
|
(
|
)%
|
||||
|
Energy
|
(
|
)
|
(
|
)%
|
||||
|
Metals
|
|
|
%
|
|||||
|
Stock indices
|
|
|
%
|
|||||
|
Short-term interest rates
|
(
|
)
|
(
|
)%
|
||||
|
Long-term interest rates
|
|
|
%
|
|||||
|
Net unrealized gain (loss) on short futures contracts
|
|
|
%
|
|||||
|
Net unrealized gain (loss) on open futures contracts
|
$
|
|
|
%
|
||||
FORWARD CURRENCY CONTRACTS
|
Fair
|
% of Net
|
|||||||
|
Description
|
Value ($)
|
Asset Value
|
||||||
|
Various long forward currency contracts
|
$
|
(
|
)
|
(
|
)%
|
|||
|
Various short forward currency contracts
|
|
|
%
|
|||||
|
Net unrealized gain (loss) on open forward currency contracts
|
$
|
|
|
%
|
||||
CREDIT DEFAULT INDEX SWAPS
|
Fair
|
% of Net
|
|||||||
|
Description
|
Value ($)
|
Asset Value
|
||||||
|
Centrally cleared credit default index swaps - sell protection (net cost $
|
$
|
|
|
%
|
||||
INTEREST RATE SWAPS
|
Fair
|
% of Net
|
|||||||
|
Description
|
Value ($)
|
Asset Value
|
||||||
|
Centrally cleared interest rate swaps - receive fixed (net cost $
|
$
|
|
|
%
|
||||
|
(3)
|
|
|
(4)
|
|
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2023
FIXED INCOME SECURITIES
| Maturity | Fair | % of Net | |||||||||
|
Face Value
|
Description |
Value ($)
|
Asset Value
|
||||||||
|
Asset Backed Securities
|
|||||||||||
|
United States
|
|||||||||||
|
Auto Loans
|
$ | % | |||||||||
|
Equipment Loans
|
% | ||||||||||
|
Total Asset Backed Securities (cost $
|
% | ||||||||||
|
Bank Deposits
|
|||||||||||
|
France
|
|||||||||||
|
Financials (cost $
|
% | ||||||||||
|
United States
|
|||||||||||
|
Financials (cost $
|
% | ||||||||||
|
Total Bank Deposits (cost $
|
% | ||||||||||
|
Commercial Paper
|
|||||||||||
|
Canada
|
|||||||||||
|
Materials (cost $
|
% | ||||||||||
|
United Kingdom
|
|||||||||||
|
Financials (cost $
|
% | ||||||||||
|
United States
|
|||||||||||
|
Communications
|
% | ||||||||||
|
Consumer Discretionary
|
% | ||||||||||
|
Financials
|
% | ||||||||||
|
Health Care
|
% | ||||||||||
|
Real Estate
|
% | ||||||||||
|
Utilities
|
% | ||||||||||
|
Total United States (cost $
|
% | ||||||||||
|
Total Commercial Paper (cost $
|
% | ||||||||||
|
Corporate Bonds
|
|||||||||||
|
Australia
|
|||||||||||
|
Financials (cost $
|
% | ||||||||||
|
Canada
|
|||||||||||
|
Energy
|
% | ||||||||||
|
Financials
|
% | ||||||||||
|
Total Canada (cost $
|
% | ||||||||||
|
Germany
|
|||||||||||
|
Consumer Discretionary
|
% | ||||||||||
|
Industrials
|
% | ||||||||||
|
Total Germany (cost $
|
% | ||||||||||
|
Japan
|
|||||||||||
|
Financials (cost $
|
% | ||||||||||
|
Netherlands
|
|||||||||||
|
Financials (cost $
|
% | ||||||||||
|
Spain
|
|||||||||||
|
Financials (cost $
|
% | ||||||||||
|
Switzerland
|
|||||||||||
|
Financials (cost $
|
$ | % | |||||||||
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2023
FIXED INCOME SECURITIES
| Maturity | Fair |
% of Net
|
|||||||||
|
Face Value
|
Description
|
Value ($)
|
Asset Value
|
||||||||
|
Corporate Bonds (continued)
|
|||||||||||
|
United States
|
|||||||||||
|
Consumer Discretionary
|
$ | % | |||||||||
|
Consumer Staples
|
% | ||||||||||
|
Energy
|
% | ||||||||||
|
Financials
|
% | ||||||||||
|
Health Care
|
% | ||||||||||
|
Industrials
|
% | ||||||||||
|
Materials
|
% | ||||||||||
|
Real Estate
|
% | ||||||||||
|
Technology
|
% | ||||||||||
|
Utilities
|
% | ||||||||||
|
Total United States (cost $
|
% | ||||||||||
|
Total Corporate Bonds (cost $
|
% | ||||||||||
|
Government and Agency Obligations
|
|||||||||||
|
United States
|
|||||||||||
|
U.S. Treasury Bills
|
|||||||||||
| $ |
U.S. Treasury Bills Due
|
% | |||||||||
| $ |
U.S. Treasury Bills Due
|
% | |||||||||
| $ |
U.S. Treasury Bills Due
|
% | |||||||||
|
Total Government And Agency Obligations (cost $
|
% | ||||||||||
|
Total Fixed Income Securities (cost $
|
$ | % | |||||||||
| (1) |
| (2) |
|
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2023
SHORT TERM INVESTMENTS
|
Fair
|
% of Net
|
|||||||
|
Description
|
Value ($)
|
Asset Value
|
||||||
|
Money Market Funds
|
||||||||
|
United States
|
||||||||
|
Money Market Funds (cost $
|
$ | % | ||||||
|
Total Short Term Investments (cost $
|
$ | % | ||||||
LONG FUTURES CONTRACTS
|
Fair
|
% of Net
|
|||||||
|
Description
|
Value ($)
|
Asset Value
|
||||||
|
Agriculture
|
$ | ( |
) | ( |
)% | |||
|
Energy
|
( |
) | ( |
)% | ||||
|
Metals
|
% | |||||||
|
Stock indices
|
% | |||||||
|
Short-term interest rates
|
% | |||||||
|
Long-term interest rates
|
% | |||||||
|
Net unrealized gain (loss) on long futures contracts
|
% | |||||||
SHORT FUTURES CONTRACTS
|
|
Fair
|
% of Net
|
||||||
|
Description
|
Value ($)
|
Asset Value
|
||||||
|
Agriculture
|
( |
) | ( |
)% | ||||
|
Energy
|
( |
) | ( |
)% | ||||
|
Metals
|
( |
) | ( |
)% | ||||
|
Stock indices
|
( |
) | ( |
)% | ||||
|
Short-term interest rates
|
( |
) | ( |
)% | ||||
|
Long-term interest rates
|
( |
) | ( |
)% | ||||
|
Net unrealized gain (loss) on short futures contracts
|
( |
) | ( |
)% | ||||
|
Net unrealized gain (loss) on open futures contracts
|
$ | ( |
) | ( |
)% | |||
FORWARD CURRENCY CONTRACTS
|
Fair
|
% of Net
|
|||||||
|
Description
|
Value ($)
|
Asset Value
|
||||||
|
Various long forward currency contracts
|
$ | % | ||||||
|
Various short forward currency contracts
|
( |
) | ( |
)% | ||||
|
Net unrealized gain (loss) on open forward currency contracts
|
$ | ( |
) | ( |
)% | |||
CREDIT DEFAULT INDEX SWAPS
|
Fair
|
% of Net
|
|||||||
|
Description
|
Value ($)
|
Asset Value
|
||||||
|
Centrally cleared credit default index swaps - sell protection (net cost $
|
$ | % | ||||||
INTEREST RATE SWAPS
|
Fair
|
% of Net
|
|||||||
|
Description
|
Value ($)
|
Asset Value
|
||||||
|
Centrally cleared interest rate swaps - pay fixed (net proceeds $
|
$ |
( |
) | % | ||||
|
(3)
|
|
|
(4)
|
|
See Accompanying Notes to Financial Statements.
STATEMENTS OF
FINANCIAL CONDITION
DECEMBER 31, 2024
AND 2023
|
2024
|
2023
|
|||||||
|
ASSETS
|
||||||||
|
Equity in futures brokers trading accounts
|
||||||||
|
Cash
|
$
|
|
$
|
|
||||
|
Restricted cash
|
|
|
||||||
|
Fixed income securities (cost $
|
|
|
||||||
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|||||
|
Total equity in futures brokers trading accounts
|
|
|
||||||
|
Cash and cash equivalents
|
|
|
||||||
|
Cash at interbank market maker
|
|
|
||||||
|
Restricted cash at interbank market maker
|
|
|
||||||
|
Short term investments (cost $
|
|
|
||||||
|
Cash at swaps broker
|
|
|
||||||
|
Restricted cash at swaps broker
|
|
|
||||||
|
Fixed income securities (cost $
|
|
|
||||||
|
Credit default index swaps
|
|
|
||||||
| Interest rate swaps | ||||||||
|
Due from swaps broker
|
|
|
||||||
|
Net unrealized gain on open forward currency contracts
|
|
|
||||||
|
Interest receivable
|
|
|
||||||
|
Subscriptions receivable
|
|
|
||||||
|
Total assets
|
$
|
|
$
|
|
||||
|
LIABILITIES
|
||||||||
|
Redemptions payable
|
$ | $ | ||||||
|
Management fee payable
|
|
|
||||||
|
Payable to custodian
|
||||||||
|
Sales commission payable
|
|
|
||||||
| Accounts payable | ||||||||
| Net unrealized loss on open forward currency contracts | ||||||||
|
Credit default index swaps
|
|
|
||||||
|
Offering costs payable
|
|
|
||||||
|
Interest rate swaps
|
|
|
||||||
|
Accrued commissions and other trading fees on open contracts
|
|
|
||||||
|
Total liabilities
|
|
|
||||||
|
UNITHOLDERS’ CAPITAL (Net Asset Value)
|
||||||||
|
Series A Units - Redeemable
|
||||||||
|
Other Unitholders -
|
|
|
||||||
|
Series B Units – Redeemable
|
||||||||
|
Other Unitholders -
|
|
|
||||||
|
Series D Units – Redeemable
|
||||||||
|
Other Unitholders -
|
|
|
||||||
|
Series W Units – Redeemable
|
||||||||
|
Other Unitholders -
|
|
|
||||||
|
Total unitholders’ capital (Net Asset Value)
|
|
|
||||||
|
Total liabilities and unitholders’ capital (Net Asset Value)
|
$
|
|
$
|
|
||||
See Accompanying Notes to Financial Statements.
STATEMENTS OF OPERATIONS
FOR THE YEARS ENDED DECEMBER 31, 2024,
2023 AND 2022
|
2024
|
2023
|
2022
|
||||||||||
|
TRADING GAINS (LOSSES)
|
||||||||||||
|
Futures trading gains (losses)
|
||||||||||||
|
Realized
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
|
Change in unrealized
|
|
(
|
)
|
|
||||||||
|
Brokerage commissions
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
|
Net gain (loss) from futures trading
|
|
(
|
)
|
|
||||||||
|
Forward currency trading gains (losses)
|
||||||||||||
|
Realized
|
(
|
)
|
(
|
)
|
|
|||||||
|
Change in unrealized
|
|
(
|
)
|
|
||||||||
|
Brokerage commissions
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
|
Net gain (loss) from forward currency trading
|
|
(
|
)
|
|
||||||||
|
Swap trading gains (losses)
|
||||||||||||
|
Realized
|
|
|
|
|||||||||
|
Change in unrealized
|
(
|
)
|
|
|
||||||||
|
Net gain (loss) from swap trading
|
|
|
|
|||||||||
|
Total net trading gain (loss)
|
|
(
|
)
|
|
||||||||
|
NET INVESTMENT INCOME (LOSS)
|
||||||||||||
|
Investment income
|
||||||||||||
|
Interest income
|
|
|
|
|||||||||
|
Realized gain (loss) on fixed income securities
|
|
(
|
)
|
|
||||||||
|
Change in unrealized gain (loss) on fixed income securities
|
|
|
(
|
)
|
||||||||
|
Total investment income (loss)
|
|
|
|
|||||||||
|
Expenses
|
||||||||||||
|
Management fee
|
|
|
|
|||||||||
|
Performance fee
|
|
|
|
|||||||||
|
Operating expenses
|
|
|
|
|||||||||
|
Sales commission
|
|
|
|
|||||||||
|
Total expenses
|
|
|
|
|||||||||
|
Net investment income (loss)
|
|
|
(
|
)
|
||||||||
|
NET INCOME (LOSS)
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
|
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
|
||||||||||||
|
(based on weighted average number of units outstanding during the year)
|
||||||||||||
|
Series A
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
|
Series B
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
|
Series D
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
|
Series W
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
|
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
|
||||||||||||
|
Series A
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
|
Series B
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
|
Series D
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
|
Series W
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
|
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE YEAR
|
||||||||||||
|
Series A
|
||||||||||||
|
Series B
|
|
|
|
|||||||||
|
Series D
|
|
|
|
|||||||||
|
Series W
|
|
|
|
|||||||||
See Accompanying Notes to Financial Statements.
STATEMENTS OF CASH FLOWS
FOR THE YEARS ENDED DECEMBER 31, 2024,
2023 AND 2022
|
2024
|
2023
|
2022
|
||||||||||
|
Cash flows from (for) operating activities
|
||||||||||||
|
Net income (loss)
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
|
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
|
||||||||||||
|
Net change in unrealized on futures, forwards, swaps and investments
|
(
|
)
|
|
(
|
)
|
|||||||
|
(Increase) decrease in interest receivable
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
|
(Increase) decrease in due from swaps broker
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
|
Increase (decrease) in payable to custodian
|
||||||||||||
|
Increase (decrease) in accounts payable and accrued expenses
|
|
|
|
|||||||||
|
Net purchases from swaps broker
|
(
|
)
|
|
|
||||||||
|
Purchases of investments
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
|
Sales/maturities of investments
|
|
|
|
|||||||||
|
Net cash from (for) operating activities
|
(
|
)
|
|
(
|
)
|
|||||||
|
Cash flows from (for) financing activities
|
||||||||||||
|
Addition of units
|
|
|
|
|||||||||
|
Redemption of units
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
|
Offering costs paid
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
|
Net cash from (for) financing activities
|
|
|
|
|||||||||
|
Net increase (decrease) in cash, cash equivalents and restricted cash
|
(
|
)
|
|
|
||||||||
|
Cash, cash equivalents and restricted cash at beginning of year
|
|
|
|
|||||||||
|
Cash, cash equivalents and restricted cash at end of year
|
$
|
|
$
|
|
$
|
|
||||||
The following table provides a reconciliation of cash, cash equivalents and restricted cash reported within the Statements of Financial
Condition that sum to the total of the same such amounts shown in the Statements of Cash Flows.
|
2024
|
2023
|
2022
|
||||||||||
|
Cash, cash equivalents and restricted cash at end of year consists of:
|
||||||||||||
|
Equity in futures brokers trading accounts:
|
||||||||||||
|
Cash
|
$
|
|
$
|
|
$
|
|
||||||
|
Restricted cash
|
|
|
|
|||||||||
|
Cash and cash equivalents
|
|
|
|
|||||||||
|
Cash at interbank market maker
|
|
|
|
|||||||||
|
Restricted cash at interbank market maker
|
|
|
|
|||||||||
|
Cash at swaps broker
|
|
|
|
|||||||||
|
Restricted cash at swaps broker
|
|
|
|
|||||||||
|
Total cash, cash equivalents and restricted cash at end of year
|
$
|
|
$
|
|
$
|
|
||||||
See Accompanying Notes to Financial Statements.
STATEMENTS OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)
FOR THE YEARS ENDED DECEMBER 31, 2024, 2023 AND 2022
|
|
Series A - Other Unitholders
|
Series B - Other Unitholders
|
||||||||||||||
|
|
Units
|
Amount
|
Units
|
Amount
|
||||||||||||
|
Balances at December 31, 2021
|
|
$
|
|
|
$
|
|
||||||||||
|
Net income (loss)
|
|
|
||||||||||||||
|
Additions
|
|
|
|
|
||||||||||||
|
Redemptions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
|
Offering costs
|
(
|
)
|
|
|||||||||||||
|
Balances at December 31, 2022
|
|
$
|
|
|
$
|
|
||||||||||
|
|
||||||||||||||||
|
Net income (loss)
|
(
|
)
|
(
|
)
|
||||||||||||
|
Additions
|
|
|
|
|
||||||||||||
|
Redemptions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
|
Offering costs
|
(
|
)
|
|
|||||||||||||
|
Balances at December 31, 2023
|
|
$
|
|
|
$
|
|
||||||||||
|
|
||||||||||||||||
|
Net income (loss)
|
|
|
||||||||||||||
|
Additions
|
|
|
|
|
||||||||||||
|
Redemptions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
|
Offering costs
|
(
|
)
|
|
|||||||||||||
|
Balances at December 31, 2024
|
|
$
|
|
|
$
|
|
||||||||||
|
Net Asset Value per Other Unitholders’ Unit - Series A
|
||||||||||
|
December 31, 2024
|
December 31, 2023
|
December 31, 2022
|
||||||||
|
$
|
|
$
|
|
$
|
|
|||||
|
Net Asset Value per Other Unitholders’ Unit - Series B
|
||||||||||
|
December 31, 2024
|
December 31, 2023
|
December 31, 2022
|
||||||||
|
$
|
|
$
|
|
$
|
|
|||||
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)
FOR THE YEARS ENDED DECEMBER 31, 2024,
2023 AND 2022
|
Series D - Other Unitholders
|
Series W - Other Unitholders
|
Trust
|
||||||||||||||||||
|
Units
|
Amount
|
Units
|
Amount
|
Total Amount
|
||||||||||||||||
|
Balances at December 31, 2021
|
|
$
|
|
|
$
|
|
$
|
|
||||||||||||
|
Net income (loss)
|
|
|
|
|||||||||||||||||
|
Additions
|
|
|
|
|
|
|||||||||||||||
|
Redemptions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||
|
Offering costs
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
|
Balances at December 31, 2022
|
|
$
|
|
|
$
|
|
$
|
|
||||||||||||
|
Net income (loss)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
|
Additions
|
|
|
|
|
|
|||||||||||||||
|
Redemptions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||
|
Offering costs
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
|
Balances at December 31, 2023
|
|
$
|
|
|
$
|
|
$
|
|
||||||||||||
|
Net income (loss)
|
|
|
|
|||||||||||||||||
|
Additions
|
|
|
|
|
|
|||||||||||||||
|
Redemptions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||
|
Offering costs
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
|
Balances at December 31, 2024
|
|
$
|
|
|
$
|
|
$
|
|
||||||||||||
|
Net Asset Value per Other Unitholders’ Unit - Series D
|
||||||||||
|
December 31, 2024
|
December 31, 2023
|
December 31, 2022
|
||||||||
|
$
|
|
$
|
|
$
|
|
|||||
|
Net Asset Value per Other Unitholders’ Unit - Series W
|
||||||||||
|
December 31, 2024
|
December 31, 2023
|
December 31, 2022
|
||||||||
|
$
|
|
$
|
|
$
|
|
|||||
See Accompanying Notes to Financial Statements.
FINANCIAL HIGHLIGHTS
FOR THE YEARS ENDED DECEMBER 31, 2024,
2023 AND 2022
The following information presents per unit operating performance data and other supplemental financial data for Series A units for the years ended December 31,
2024, 2023 and
2022. This information has been derived from information presented in the financial statements.
|
Series A
|
||||||||||||
|
|
2024
|
2023
|
2022
|
|||||||||
|
Per Unit Performance
|
||||||||||||
|
(for a unit outstanding throughout the entire year)
|
||||||||||||
|
Net asset value per unit at beginning of year
|
$
|
|
$
|
|
$
|
|
||||||
|
|
||||||||||||
|
Income (loss) from operations:
|
||||||||||||
|
Total net trading gains (losses) (1)
|
|
(
|
)
|
|
||||||||
|
Net investment income (loss) (1)
|
|
|
(
|
)
|
||||||||
|
Total net income (loss) from operations
|
|
(
|
)
|
|
||||||||
|
Offering costs (1)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
|
Net asset value per unit at end of year
|
$
|
|
$
|
|
$
|
|
||||||
|
Total Return
|
|
%
|
(
|
)%
|
|
%
|
||||||
|
|
||||||||||||
|
Supplemental Data
|
||||||||||||
|
Ratios to average net asset value:
|
||||||||||||
|
Expenses prior to performance fee
|
|
%
|
|
%
|
|
%
|
||||||
|
Performance fee
|
|
%
|
|
%
|
|
%
|
||||||
|
Total expenses
|
|
%
|
|
%
|
|
%
|
||||||
|
Net investment income (loss) (2)
|
|
%
|
|
%
|
(
|
)%
|
||||||
Total returns are calculated based on the change in value of a unit during the year. An individual unitholder’s total returns and ratios may
vary from the above total returns and ratios based on the timing of additions and redemptions.
| (1) |
|
| (2) |
|
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE YEARS ENDED DECEMBER 31, 2024,
2023 AND 2022
The following information presents per unit operating performance data and other supplemental financial data for Series B units for the years ended December 31,
2024, 2023 and
2022. This information has been derived from information presented in the financial statements.
|
Series B
|
||||||||||||
|
2024
|
2023
|
2022
|
||||||||||
|
Per Unit Performance
|
||||||||||||
|
(for a unit outstanding throughout the entire year)
|
||||||||||||
|
Net asset value per unit at beginning of year
|
$
|
|
$
|
|
$
|
|
||||||
|
Income (loss) from operations:
|
||||||||||||
|
Total net trading gains (losses) (1)
|
|
(
|
)
|
|
||||||||
|
Net investment income (loss) (1)
|
|
|
(
|
)
|
||||||||
|
Total net income (loss) from operations
|
|
(
|
)
|
|
||||||||
|
Net asset value per unit at end of year
|
$
|
|
$
|
|
$
|
|
||||||
|
Total Return
|
|
%
|
(
|
)%
|
|
%
|
||||||
|
Supplemental Data
|
||||||||||||
|
Ratios to average net asset value:
|
||||||||||||
|
Expenses prior to performance fee
|
|
%
|
|
%
|
|
%
|
||||||
|
Performance fee
|
|
%
|
|
%
|
|
%
|
||||||
|
Total expenses
|
|
%
|
|
%
|
|
%
|
||||||
|
Net investment income (loss) (2)
|
|
%
|
|
%
|
(
|
)%
|
||||||
Total returns are calculated based on the change in value of a unit during the year. An individual unitholder’s total returns and ratios may
vary from the above total returns and ratios based on the timing of additions and redemptions.
| (1) |
|
| (2) |
Excludes performance fee.
|
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE YEARS ENDED DECEMBER 31, 2024,
2023 AND 2022
The following information presents per unit operating performance data and other supplemental financial data for Series D units for the years ended December 31,
2024, 2023 and
2022. This information has been derived from information presented in the financial statements.
|
Series D
|
||||||||||||
|
2024
|
2023
|
2022
|
||||||||||
|
Per Unit Performance
|
||||||||||||
|
(for a unit outstanding throughout the entire year)
|
||||||||||||
|
Net asset value per unit at beginning of year
|
$
|
|
$
|
|
$
|
|
||||||
|
Income (loss) from operations:
|
||||||||||||
|
Total net trading gains (losses) (1)
|
|
(
|
)
|
|
||||||||
|
Net investment income (loss) (1)
|
|
|
(
|
)
|
||||||||
|
Total net income (loss) from operations
|
|
(
|
)
|
|
||||||||
|
Offering costs (1)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
|
Net asset value per unit at end of year
|
$
|
|
$
|
|
$
|
|
||||||
|
Total Return
|
|
%
|
(
|
)%
|
|
%
|
||||||
|
Supplemental Data
|
||||||||||||
|
Ratios to average net asset value:
|
||||||||||||
|
Expenses prior to performance fee
|
|
%
|
|
%
|
|
%
|
||||||
|
Performance fee
|
|
%
|
|
%
|
|
%
|
||||||
|
Total expenses
|
|
%
|
|
%
|
|
%
|
||||||
|
Net investment income (loss) (2)
|
|
%
|
|
%
|
(
|
)%
|
||||||
Total returns are calculated based on the change in value of a unit during the year. An individual unitholder’s total returns and ratios may
vary from the above total returns and ratios based on the timing of additions and redemptions.
| (1) |
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment
income (loss) and offering costs by the average number of units outstanding during the year. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per
unit information.
|
| (2) |
Excludes performance fee.
|
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE YEARS ENDED DECEMBER 31, 2024, 2023 AND 2022
The following information presents per unit operating performance data and other supplemental financial data for Series W units for the years ended December 31,
2024, 2023 and
2022. This information has been derived from information presented in the financial statements.
|
Series W
|
||||||||||||
|
2024
|
2023
|
2022
|
||||||||||
|
Per Unit Performance
|
||||||||||||
|
(for a unit outstanding throughout the entire year)
|
||||||||||||
|
Net asset value per unit at beginning of year
|
$
|
|
$
|
|
$
|
|
||||||
|
Income (loss) from operations:
|
||||||||||||
|
Total net trading gains (losses) (1)
|
|
(
|
)
|
|
||||||||
|
Net investment income (loss) (1)
|
|
|
(
|
)
|
||||||||
|
Total net income (loss) from operations
|
|
(
|
)
|
|
||||||||
|
Offering costs (1)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
|
Net asset value per unit at end of year
|
$
|
|
$
|
|
$
|
|
||||||
|
Total Return
|
|
%
|
(
|
)%
|
|
%
|
||||||
|
Supplemental Data
|
||||||||||||
|
Ratios to average net asset value:
|
||||||||||||
|
Expenses prior to performance fee
|
|
%
|
|
%
|
|
%
|
||||||
|
Performance fee
|
% |
|
%
|
|
%
|
|||||||
|
Total expenses
|
|
%
|
|
%
|
|
%
|
||||||
|
Net investment income (loss) (2)
|
|
%
|
|
%
|
(
|
)%
|
||||||
Total returns are calculated based on the change in value of a unit during the year. An individual unitholder’s total returns and ratios may
vary from the above total returns and ratios based on the timing of additions and redemptions.
| (1) |
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the
year. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
|
| (2) |
Excludes performance fee.
|
See Accompanying Notes to Financial Statements.
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. General Description of the Trust
The Campbell Fund Trust (the “Trust”) is a Delaware statutory trust which operates as a commodity investment pool. The Trust engages in the speculative trading of
futures contracts, forward currency contracts, and centrally cleared swap contracts.
Effective August 31, 2008, the Trust began offering units of beneficial interest classified into Series A units, Series B units and Series W units. Effective July
1, 2017, the Trust began offering units of beneficial interest classified into Series D units. The rights of the Series A units, Series B units, Series D units and Series W units are identical, except that the fees and commissions vary on a
Series-by-Series basis. Series A, Series D and Series W commenced trading on October 1, 2008, October 1, 2017 and March 1, 2009, respectively. The initial minimum subscription for Series A units, Series D units and Series W units is $25,000
B. Regulation
As a registrant with the Securities and Exchange Commission (the “SEC”), the Trust is subject to the regulatory requirements under the Securities and Exchange Act
of 1934. As a commodity investment pool, the Trust is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules
of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Trust executes transactions. Additionally, the Trust is subject to the requirements of futures
commission merchants (the “futures brokers”) and interbank market maker through which the Trust trades.
C. Method of Reporting
The Trust’s financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which may require the
use of certain estimates made by the Trust’s management. Actual results may differ from these estimates.
The Trust meets the definition of an investment company according to the provisions of Financial Accounting Standards Board (“FASB”) Accounting Standards
Codification (“ASC”) 946-10, Financial Services – Investment Companies.
Investment transactions, including futures, forwards and fixed income securities are accounted for on the trade date. Gains or losses are realized when contracts
are liquidated. Realized gains or losses on spot trades associated with forward currency contract trading are included in realized gains or losses from forward currency trading. Unrealized gains and losses on open contracts (the difference
between contract trade value and fair value) are reported in the Statements of Financial Condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with ASC 210-20, Offsetting - Balance Sheet.
The fair value of futures (exchange-traded) contracts is based on various futures exchanges, and reflects the settlement price for each contract as of the close on the last business day of the reporting period. The fair value of forward
currency (non- exchange traded) contracts was extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period.
The daily exchange of variation margin associated with a Central Counterparty Clearing House derivative instrument is legally characterized as the daily settlement
of the derivative instrument itself. Accordingly, the Trust accounts for the daily receipt or payment of variation margin associated with its centrally cleared swaps and futures as a direct reduction to the carrying value of the centrally
cleared swaps and futures derivative asset or liability, respectively. The carrying amount of centrally cleared swaps and futures reflected in the Trust’s Statements of Financial Condition is equal to the unsettled fair value of such
instruments, which generally represents the change in fair value that occurred on the last day of the reporting period.
Centrally cleared credit default index swaps and interest rate swap transactions are recorded on the trade date. Realized gains or losses are determined using the
identified cost method. The fair value of centrally cleared swap contracts is determined by using current market quotations provided by an independent external pricing source. Valuation using an external pricing source involves the use of
observable inputs in accordance with the fair value hierarchy. Any change in net unrealized gain or loss from the prior period is reported in Swap trading gains (losses) - Change in Unrealized in the Statements of Operations. Period payments
received or paid on swap contracts, commissions and fees associated with trading the swap contracts and cash payments received or made due to the underlying obligation in the event of a credit event are recorded as part of “Swap trading gains
(losses) – Realized” in the Statements of Operations.
The fixed income investments are marked to market on the last business day of the reporting period using a third party vendor hierarchy of pricing providers who
specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Premiums and
discounts on fixed income securities are amortized and accreted for financial reporting purposes.
The short term investments represent cash held at the custodian and invested overnight in a money market fund.
For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value by the number of
outstanding units.
D. Fair Value
The Trust follows the provisions of ASC 820, “Fair Value Measurements and Disclosures” (“ASC 820”). ASC 820 provides guidance for determining fair value and
requires increased disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction
between market participants at the measurement date.
ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The fair value
hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).
Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Trust has the ability to access at
the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of the
Trust’s exchange-traded futures contracts and short term investments fall into this category.
Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or
indirectly. This category includes forward currency contracts that the Trust values using models or other valuation methodologies derived from observable market data. For centrally cleared swap contracts, the Trust uses current market
quotations provided by an independent external pricing source to determine fair value. This category also includes fixed income investments.
Level 3 inputs are unobservable inputs for an asset or liability (including the Trust’s own assumptions used in determining the fair value of
investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the
measurement date. As of and for the years ended December 31, 2024 and December 31, 2023 the Trust did not have any Level 3 assets or liabilities.
The following tables set forth by level within the fair value hierarchy the Trust’s investments accounted for at fair value on a recurring basis as of December 31,
2024 and December 31, 2023.
|
Fair Value at December 31, 2024
|
||||||||||||||||
|
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
Investments
|
||||||||||||||||
|
Short term investments
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
|
Fixed income securities
|
|
|
|
|
||||||||||||
|
Other Financial Instruments
|
||||||||||||||||
|
Exchange-traded futures contracts
|
|
|
|
|
||||||||||||
|
Forward currency contracts
|
|
|
|
|
||||||||||||
|
Credit default index swap contracts
|
|
|
|
|
||||||||||||
|
Interest rate swap contracts
|
||||||||||||||||
|
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
|
Fair Value at December 31, 2023
|
||||||||||||||||
|
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
Investments
|
||||||||||||||||
|
Short term investments
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
|
Fixed income securities
|
|
|
|
|
||||||||||||
|
Other Financial Instruments
|
||||||||||||||||
|
Exchange-traded futures contracts
|
(
|
)
|
|
|
(
|
)
|
||||||||||
| Forward currency contracts | ( |
) | ( |
) | ||||||||||||
| Credit default index swap contracts | ||||||||||||||||
| Interest rate swap contracts | ( |
) | ( |
) | ||||||||||||
|
Total
|
$
|
(
|
)
|
$
|
|
$
|
|
$
|
|
|||||||
The gross presentation of the fair value of the Trust’s derivatives by instrument type is shown in Note 12. See Condensed Schedules of Investments for additional
detail categorization.
E. Cash and Cash Equivalents
Cash and cash equivalents includes cash and overnight money market investments at financial institutions.
F. Income Taxes
The Trust prepares calendar year U.S. federal and applicable state tax returns and reports to the unitholders their allocable shares of the Trust’s income,
expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each unitholder is individually responsible for reporting income or loss based on such unitholder’s respective share
of the Trust’s income and expenses as reported for income tax purposes.
Management has continued to evaluate the application of ASC 740, Income Taxes, to the Trust, and has determined that no reserves for uncertain tax positions were required. There are no
G. Offering Costs
Campbell & Company, LP (“Campbell & Company”) has incurred all costs in connection with the initial and continuous offering of units of the Trust
(“offering costs”). Series A units, Series D units and Series W units will each bear the offering costs incurred in relation to the offering of Series A units, Series D units and Series W units, respectively. Offering costs are charged to
Series A, Series D and Series W at a monthly rate of (0.5
If the Trust terminates prior to completion of payment to Campbell & Company for the unreimbursed offering costs incurred through the date of such termination,
Campbell & Company will not be entitled to any additional payments, and Series A units, Series D units and Series W units will have no further obligation to Campbell & Company. At December 31, 2024 and December 31, 2023, the amount of unreimbursed
offering costs incurred by Campbell & Company is $99,820 and $91,015 for Series A units, $218,854 and $128,000 for Series D units and $285,236
and $199,065 for Series W units, respectively.
H. Foreign Currency Transactions
The Trust’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in
currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated
into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income.
I. Allocations
Income or loss (prior to calculation of the management fee, offering costs and performance fee) is allocated pro rata to each Series of units. Each Series of units
is then charged the management fee, offering costs and performance fee applicable to such Series of units.
J. Recently Issued Accounting Pronouncements
In November 2023, the FASB issued ASU 2023-07, Segment Reporting (Topic 280). The ASU applies to all public entities that are required to report
segment information in accordance with Accounting Standards Codification Topic 280 (ASC 280). ASU 2023-07 improves reportable segment disclosure requirements, primarily through the enhanced disclosures about significant segment expenses. An
operating segment is defined as a component of a public entity that engages in business activities from which it may recognize revenues and incur expense, has operating results that are regularly reviewed by the chief operating decision
maker, and for which discrete financial information is available. Management has evaluated the ASU and adopted it as of December 31, 2024, with no material impact on the Trust’s financial statements and did not affect the Trust’s financial
position or results of operations.
K. Segment Reporting
The Chief Operating Officer of Campbell & Company acts as the Trust’s Chief Operating Decision Maker (CODM) and is responsible for assessing
performance and allocating resources with respect to the Trust. Management has concluded that the Trust operates as a single operating segment since the Trust has a single investment strategy as disclosed in its Offering Memorandum, against
which the CODM assesses performance. As the Trust’s operations comprise a operating segment, the financial information
provided to and reviewed by the CODM is presented within the Trust’s financial statements.
Note 2. MANAGING OPERATOR AND COMMODITY TRADING ADVISOR
The managing operator of the Trust is Campbell & Company which conducts and manages the business of the Trust. Campbell & Company is also the commodity
trading advisor of the Trust.
Series A units, Series B units, Series D units and Series W units pay the managing operator a monthly management fee equal to (2
Each Series of units will pay the managing operator a quarterly performance fee equal to 20
Note 3. SALES COMMISSION
The managing operator pays an upfront sales commission based on Series A units sold by selling agents who have executed selling agreements with the Trust. The
Trust pays commissions based on Series A, Series B, and Series D units.
For Series A, there is an upfront sales commission paid by the managing operator of 2 % of the subscription amount of each subscription for units. For up to twelve months after the sale of units, the managing operator will receive from the Trust a monthly reimbursement of
(2 % annually) of the current net asset value of the units the selling agent has sold and which are outstanding at the end of such
month. In the event that the units are redeemed before the twelfth month, the managing operator will receive the redemption fee the Trust deducts from the redemption proceeds. In addition, commencing thirteen months after the sale of units and in return for providing ongoing services to the unitholder, the Trust will pay the selling agent (or its assignees) a monthly
trail commission of (2 %
annually) of the current net asset value of the units it has sold and which are outstanding at the end of such month in respect of which the selling agent provides ongoing services.
Series B and Series D units pay a monthly trail commission of (2 % annually) and (0.75 % annually), respectively, of the current net asset value of the units the
selling agent has sold and which are outstanding at the end of such month in respect of which the selling agent provides ongoing services. Such ongoing compensation shall commence the first full month after the sale of the units.
Any monthly trail commission which is not paid to a selling agent pursuant to an executed selling or servicing agreement with the Trust will be rebated to
unitholders in the form of a capital addition and is reported as such in the financial statements.
Note 4. TRUSTEE
The trustee of the Trust is U.S. Bank National Association, a national banking corporation. The trustee has delegated to the managing operator the duty and
authority to manage the business and affairs of the Trust and has only nominal duties and liabilities with respect to the Trust.
Note 5. ADMINISTRATOR AND TRANSFER AGENT
NAV Consulting, Inc. serves as the Administrator of the Trust. The Administrator receives fees at rates agreed upon between the Trust and the Administrator and
is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties. The Administrator’s primary responsibilities are portfolio accounting and fund accounting services.
NAV Consulting, Inc. serves as the Transfer Agent of the Trust. The Transfer Agent receives fees at rates agreed upon between the Trust and the Transfer Agent
and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties.
Note 6. CASH MANAGER AND CUSTODIAN
PNC Capital Advisors, LLC serves as the cash manager under the Investment Advisory Agreement to manage and control the liquid assets of the Trust. PNC Capital
Advisors, LLC is registered as an investment adviser with the SEC of the United States under the Investment Advisers Act of 1940.
The Trust opened a custodial account at the Northern Trust Company (the “custodian”) and has granted the cash manager authority to make certain investments on
behalf of the Trust provided such investments are consistent with the investment guidelines created by the managing operator. All securities purchased by the cash manager on behalf of the Trust will be held in the Trust’s custody account at
the custodian. The cash manager will have no beneficial or other interest in the securities and cash in such custody account.
Note 7. DEPOSITS WITH FUTURES BROKERS
The Trust deposits assets with UBS Securities LLC and Goldman, Sachs & Co., subject to Commodity Futures Trading Commission regulations and various exchange
and futures broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with such futures brokers. The Trust typically earns interest income on its assets deposited with the futures brokers.
Note 8. DEPOSITS WITH INTERBANK MARKET MAKER
The Trust’s counterparty with regard to its forward currency transactions is NatWest Markets Plc (“NatWest”). The Trust has entered into an International Swap
and Derivatives Association, Inc. agreement (“ISDA Agreement”) with NatWest which governs these transactions. The credit ratings reported by the three
major rating agencies for NatWest were considered investment grade as of December 31, 2024. Margin requirements are satisfied by
the deposit of cash with NatWest. The Trust typically earns interest income on its assets deposited with NatWest.
Note 9. DEPOSITS WITH SWAPS BROKER
The Trust deposits cash with Goldman, Sachs & Co. to act as swaps broker for its centrally cleared swap contracts, subject to Commodity Futures Trading
Commission regulations and central counterparty and broker requirements. Margin requirements are satisfied by the deposit of cash with such swaps broker. Accordingly, assets used to meet margin and other broker or regulatory requirements are
partially restricted. The Trust typically earns interest on its credit balances and pays interest on debit balances with the swaps broker.
The Trust pays commissions to the swaps broker on a transaction basis at rates agreed upon between the Trust and the swaps broker.
Note 10. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
Investments in the Trust are made by subscription agreement, subject to acceptance by Campbell & Company.
The Trust is not required to make distributions, but may do so at the sole discretion of Campbell & Company. A unitholder may request and receive redemption
of units owned, subject to restrictions in the Declaration of Trust and Trust Agreement. Units are transferable, but no market exists for their sale and none is expected to develop. Monthly redemptions are permitted upon ten (10 ) business days advance written notice to Campbell & Company.
Redemption fees, which are paid to Campbell & Company, apply to Series A units through the first twelve month -ends following purchase (the month-end as of which the unit is purchased is counted as the first month-end) as follows: 1.833 % of Net Asset Value per unit redeemed through the second month-end, 1.666 % of Net Asset Value per unit redeemed through the third month- end, 1.500 %
of Net Asset Value per unit redeemed through the fourth month-end, 1.333 % of Net Asset Value per unit redeemed through the fifth
month-end, 1.167 % of Net Asset Value per unit redeemed through the sixth month-end, 1.000 % of Net Asset Value per unit redeemed through the seventh month-end, 0.833 %
of Net Asset Value per unit redeemed through the eighth month-end, 0.667 % of Net Asset Value per unit redeemed through the ninth
month-end, 0.500 % of Net Asset Value per unit redeemed through the tenth month-end, 0.333 % of Net Asset Value per unit redeemed through the eleventh month-end and 0.167 % of Net Asset Value per unit redeemed through the twelfth month end. For the years ended December 31, 2024
and 2023, Campbell & Company received redemption fees of $5,410 and $0 , respectively.
Note 11. CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES
Credit derivatives generally require the seller to make a payment to the buyer in the event the underlying referenced security or index to the contract defaults
or another triggering event, as defined in the applicable derivative contract, occurs. The Trust sells credit derivative contracts for speculative investment purposes. The following table summarizes the notional
amounts of credit derivative contracts sold by the Trust by their maturity for contracts which are outstanding at December 31, 2024
and December 31, 2023. Notional amounts are disclosed as they represent the maximum potential payout, however, management
believes that the carrying value of these contracts is a more relevant measure of these obligations. At December 31, 2024 and
December 31, 2023, the carrying value of such credit derivative contracts purchased was $18,218,751 and $11,078,458 ,
respectively.
|
|
December 31, 2024
|
December 31, 2023
|
||||||
|
|
Maturity Date:
|
Maturity Date:
|
||||||
|
Credit Default Index Swaps
|
||||||||
|
Investment grade
|
$ |
$ |
||||||
|
Non-investment grade
|
||||||||
|
Total
|
$ |
$ |
||||||
The Trust does not monitor its exposure to credit derivatives based on the notional amounts because that measure does not take into consideration the probability
of a credit default event, the legal right to offset assets and liabilities by a counterparty, or collateral posted. However, the notional value of these credit derivative contracts has been included to provide information about the magnitude
of involvement with these types of contracts.
Note 12. TRADING ACTIVITIES AND RELATED RISKS
The Trust engages in the speculative trading of U.S. and foreign futures contracts, forward currency contracts and centrally cleared swap contracts
(collectively, “derivatives”). Specifically, the Trust trades a portfolio focused on futures, forward, credit default index swap and interest rate swap contracts, which are instruments designed to hedge changes in interest rates, currency
exchange rates, stock index values, metals, energy, agriculture values, and credit risks. The Trust is exposed to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of failure by
another party to perform according to the terms of a contract.
Market Risk
For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the fair value of the Trust’s open
positions and, consequently, in its earnings and cash flow. The Trust’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the fair value of
financial instruments and contracts, the diversification effects among the Trust’s open positions and the liquidity of the markets in which it trades. Theoretically, the Trust is exposed to a market risk equal to the notional contract value
of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. The value of an interest rate swap will change as market interest rates rise and fall in conjunction with whether the contract is to
receive or pay a fixed interest rate. As a purchaser of credit default index swaps, the Trust’s risk of loss is limited to any cash payments required under the swap contracts. Written credit default contracts (i.e., sell protection) expose
the Trust to a market risk equal to the notional value of such swap contracts and any cash payments required under the swap contracts. See Note 1.C. for an explanation of how the Trust determines its valuation for derivatives as well as the
netting of derivatives.
The following tables summarize quantitative information required by ASC 815, Derivatives and Hedging, (“ASC 815”). ASC 815 provides enhanced disclosures about
how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity’s financial position, financial performance and cash flows. The fair value of the Trust’s
derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of December 31, 2024
and December 31, 2023 are as follows:
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
December 31, 2024
Fair Value
|
Liability
Derivatives at
December 31, 2024
Fair Value
|
Net
|
|||||||||
|
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
|
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
|
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
|||||||
|
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
|||||||
|
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
|||||||
|
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
|
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
|
(
|
)
|
|
||||||||
|
Credit Default Index Swap Contracts**
|
Credit default index swaps
|
|
(
|
)
|
|
||||||||
| Interest Rate Swap Contracts** | Interest rate swaps | ( |
) | ||||||||||
|
Totals
|
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
|
*
|
Derivatives not designated as hedging instruments under ASC 815.
|
|
**
|
|
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
December 31, 2023
Fair Value
|
Liability
Derivatives at
December 31, 2023
Fair Value
|
Net
|
|||||||||
|
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
|
$
|
(
|
)
|
$
|
(
|
)
|
||||
|
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
|||||||
|
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
|||||||
|
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
|
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
|||||||
|
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
|||||||
|
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
|
(
|
)
|
(
|
)
|
|||||||
| Credit Default Index Swap Contracts** | Credit default index swaps | ( |
) | ||||||||||
| Interest Rate Swap Contracts** | Interest rate swaps | ( |
) | ( |
) | ||||||||
|
Totals
|
|
$
|
|
$
|
(
|
)
|
$
|
(
|
)
|
||||
|
*
|
Derivatives not designated as hedging instruments under ASC 815.
|
|
**
|
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition. |
The trading gains and losses of the Trust’s derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations,
for the years ended December 31, 2024, 2023 and 2022 are as follows:
|
Type of Instrument
|
Trading Gains (Losses)
for the Year Ended
December 31, 2024
|
Trading Gains (Losses)
for the Year Ended
December 31, 2023
|
Trading Gains (Losses)
for the Year Ended
December 31, 2022
|
|||||||||
|
Agriculture Contracts
|
$
|
|
$
|
|
$
|
|
||||||
|
Energy Contracts
|
(
|
)
|
|
|
||||||||
|
Metal Contracts
|
|
(
|
)
|
|
||||||||
|
Stock Indices Contracts
|
|
|
|
|||||||||
|
Short-Term Interest Rate Contracts
|
|
(
|
)
|
|
||||||||
|
Long-Term Interest Rate Contracts
|
|
(
|
)
|
|
||||||||
|
Forward Currency Contracts
|
|
(
|
)
|
|
||||||||
|
Credit default index swap contracts
|
|
|
(
|
)
|
||||||||
|
Interest rate swap contracts
|
|
(
|
)
|
|
||||||||
|
Total
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
|
Line Item in the Statements of Operations
|
Trading Gains (Losses)
for the Year Ended
December 31, 2024
|
Trading Gains (Losses)
for the Year Ended
December 31, 2023
|
Trading Gains (Losses)
for the Year Ended
December 31, 2022
|
|||||||||
|
Futures trading gains (losses):
|
||||||||||||
|
Realized***
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
|
Change in unrealized
|
|
(
|
)
|
|
||||||||
|
Forward currency trading gains (losses):
|
||||||||||||
|
Realized***
|
(
|
)
|
(
|
)
|
|
|||||||
|
Change in unrealized
|
|
(
|
)
|
|
||||||||
|
Swap trading gains (losses):
|
||||||||||||
|
Realized***
|
|
|
|
|||||||||
| Change in unrealized |
(
|
)
|
|
|
||||||||
|
Total
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
| *** |
|
For the years ended December 31, 2024, 2023 and 2022, the monthly
average of futures contracts bought and sold was approximately 73,000 , 62,400 and 34,200 , respectively; the monthly average of notional value
of centrally cleared swap contracts was approximately $12,530,800,000 , $5,335,200,000 and $2,620,600,000 , respectively; and the
monthly average of notional value of forward currency contracts was $5,047,600,000 , $5,168,800,000 and $3,091,400,000 , respectively.
Open contracts generally mature within three months ;
as of December 31, 2024, the latest maturity date for open futures contracts is and the latest maturity date for open forward currency contracts is . However, the Trust intends to close all futures and offset all forward currency contracts prior to maturity. The latest termination date for centrally cleared swap
contracts is .
Credit Risk
The Trust trades futures contracts on exchanges that require margin deposits with the futures brokers and centrally cleared swap contracts that require margin
deposits with the swaps broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a futures broker or swaps broker to segregate all customer transactions and assets from such futures
broker’s or swaps broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury Bills) deposited with a futures broker or swaps broker are considered commingled with all other customer funds subject to the
futures broker’s or swaps broker’s segregation requirements. In the event of a futures broker’s or swaps broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount
could be less than total cash and other property deposited.
The Trust trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly,
the risks associated with forward currency contracts are generally greater than those associated with exchange traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency contracts
typically involves delayed cash settlement.
The Trust has a portion of its assets on deposit with PNC Bank. In the event of a financial institution’s insolvency, recovery of the Trust’s assets on deposit
may be limited to account insurance or other protection afforded such deposits.
The Trust has entered into ISDA Agreements with NatWest. Under the terms of the ISDA Agreement, upon the designation of an Event of Default, as defined in the
ISDA Agreement, the non-defaulting party may set-off any sum or obligation owed by the defaulting party to the non-defaulting party against any sum or obligation owed by the non-defaulting party to the defaulting party. If any sum or
obligation is unascertained, the non-defaulting party may in good faith estimate that sum or obligation and set-off in respect to that estimate, accounting to the other party when such sum or obligation is ascertained.
Under the terms of each master netting agreement with UBS Securities LLC and Goldman, Sachs & Co., upon occurrence of a default by the Trust, as defined in
respective account documents, UBS Securities LLC and Goldman, Sachs & Co. have the right to close out any or all open contracts held in the Trust’s account; sell any or all of the securities held; and borrow or buy any securities,
contracts or other property for the Trust’s account. The Trust would be liable for any deficiency in its account resulting from such transactions.
The amount of required margin and good faith deposits with the futures brokers, swaps broker, and interbank market maker usually range from 10 % to 30 % of Net Asset Value. The
fair value of securities held to satisfy such requirements at December 31, 2024 and December 31, 2023 was $86,292,284 and $55,103,441 , respectively, which equals approximately 15 %
and 11 % of Net Asset Value, respectively. Included in cash deposits with the futures brokers, swaps broker and interbank market
maker at December 31, 2024 and December 31, 2023 was restricted cash for margin requirements of $66,692,813 and $92,277,574 , respectively, which equals approximately 12 %
and 19 % of Net Asset Value, respectively.
Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the Statements of
Financial Condition and instruments and transactions that are subject to a master netting agreement as well as amounts related to financial collateral (including U.S. Treasury Bills and cash collateral) held at clearing brokers and
counterparties. Margin reflected in the collateral tables is limited to the net amount of unrealized loss at each counterparty. Actual margin amounts required at each counterparty are based on the notional amounts or the number of contracts
outstanding and may exceed the margin presented in the collateral tables.
|
Offsetting of Derivative Assets by Counterparty
|
|
As of December 31, 2024
|
|
Type of Instrument
|
Counterparty
|
Gross
Amounts of
Recognized Assets
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
|
||||||||||
|
Futures contracts
|
UBS Securities LLC
|
$
|
|
$
|
(
|
)
|
$
|
|
||||||
|
Futures contracts
|
Goldman, Sachs & Co.
|
|
(
|
)
|
|
|||||||||
|
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
|||||||||
|
Centrally cleared swap contracts*
|
Centrally Cleared
|
|
(
|
)
|
|
|||||||||
|
Total derivatives
|
|
$
|
|
$
|
(
|
)
|
$
|
|
||||||
| * |
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial
condition.
|
|
Derivative Assets and Collateral Received by Counterparty
|
|
|
As of December 31, 2024
|
|
|
Net Amounts of
Unrealized Gain
Presented in the
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|||||||||||||||
|
Statements of
|
Financial
|
Cash Collateral
|
|
|||||||||||||
|
Counterparty
|
Financial Condition
|
Instruments
|
Received
|
Net Amount
|
||||||||||||
|
UBS Securities LLC
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
|
Goldman, Sachs & Co.
|
|
|
|
|
||||||||||||
|
NatWest Markets plc
|
|
|
|
|
||||||||||||
|
Centrally Cleared
|
|
|
|
|
||||||||||||
|
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
|
Offsetting of Derivative Liabilities by Counterparty
|
|
As of December 31, 2024
|
|
Type of Instrument
|
Counterparty
|
Gross Amounts
of Recognized
Liabilities
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
|
||||||||||
|
Futures contracts
|
UBS Securities LLC
|
$
|
|
$
|
(
|
)
|
$
|
|
||||||
|
Futures contracts
|
Goldman, Sachs & Co.
|
|
(
|
)
|
|
|||||||||
|
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
|||||||||
|
Centrally cleared swap contracts
|
Centrally Cleared
|
|
(
|
)
|
|
|||||||||
|
Total derivatives
|
|
$
|
|
$
|
(
|
)
|
$
|
|
||||||
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
|
As of December 31, 2024
|
|
Net Amounts of
Unrealized Loss
Presented in the
|
Gross Amounts Not Offset in the
Statements of Financial Condition |
|||||||||||||||
|
|
Statements of
|
Financial
|
Cash Collateral
|
|||||||||||||
|
Counterparty
|
Financial Condition
|
Instruments
|
Pledged
|
Net Amount
|
||||||||||||
|
UBS Securities LLC
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
|
Goldman, Sachs & Co.
|
|
|
|
|
||||||||||||
|
NatWest Markets Plc
|
|
|
|
|
||||||||||||
|
Centrally Cleared
|
|
|
|
|
||||||||||||
|
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
|
Offsetting of Derivative Assets by Counterparty
|
|
As of December 31, 2023
|
|
|
|
Gross
Amounts of
|
Gross
Amounts
Offset in the
Statements of
|
Net Amounts of
Unrealized Gain
Presented in the
Statements of
|
||||||||||
|
Type of Instrument
|
Counterparty
|
Recognized Assets
|
Financial Condition
|
Financial Condition
|
||||||||||
|
Futures contracts
|
UBS Securities LLC
|
$
|
|
$
|
(
|
)
|
$
|
|
||||||
|
Futures contracts
|
Goldman, Sachs & Co.
|
|
(
|
)
|
|
|||||||||
|
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
|||||||||
| Centrally cleared swap contracts* | Centrally Cleared | ( |
) | |||||||||||
|
Total derivatives
|
|
$
|
|
$
|
(
|
)
|
$
|
|
||||||
| * |
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of
financial condition.
|
|
Derivative Assets and Collateral Received by Counterparty
|
|
As of December 31, 2023
|
|
Net Amounts of
Unrealized Gain
|
Gross Amounts Not Offset in the
|
|||||||||||||||
|
Presented in the
|
Statements of Financial Condition
|
|||||||||||||||
|
Statements of
|
Financial
|
Cash Collateral
|
|
|||||||||||||
|
Counterparty
|
Financial Condition
|
Instruments
|
Received
|
Net Amount
|
||||||||||||
|
UBS Securities LLC
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
|
Goldman, Sachs & Co.
|
|
|
|
|
||||||||||||
|
NatWest Markets Plc
|
|
|
|
|
||||||||||||
| Centrally Cleared | ||||||||||||||||
|
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
|
Offsetting of Derivative Liabilities by Counterparty
|
|
As of December 31, 2023
|
|
|
|
Gross Amounts
of Recognized
|
Gross
Amounts
Offset in the
Statements of
|
Net Amounts of
Unrealized Loss
Presented in the
Statements of
|
||||||||||
|
Type of Instrument
|
Counterparty
|
Liabilities
|
Financial Condition
|
Financial Condition
|
||||||||||
|
Futures contracts
|
UBS Securities LLC
|
$
|
|
$
|
(
|
)
|
$
|
|
||||||
|
Futures contracts
|
Goldman, Sachs & Co.
|
|
(
|
)
|
|
|||||||||
|
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
|||||||||
| Centrally cleared swap contracts | Centrally Cleared | ( |
) | |||||||||||
|
Total derivatives
|
|
$
|
|
$
|
(
|
)
|
$
|
|
||||||
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
|
As of December 31, 2023
|
|
Net Amounts of
Unrealized Loss
|
Gross Amounts Not Offset in the
|
|||||||||||||||
|
Presented in the
|
Statements of Financial Condition
|
|||||||||||||||
|
Statements of
|
Financial
|
Cash Collateral
|
||||||||||||||
|
Counterparty
|
Financial Condition
|
Instruments
|
Pledged
|
Net Amount
|
||||||||||||
|
UBS Securities LLC
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||||
|
Goldman, Sachs & Co. LLC
|
|
|
(
|
)
|
|
|||||||||||
|
NatWest Markets Plc
|
|
|
(
|
)
|
|
|||||||||||
| Centrally Cleared | ||||||||||||||||
|
Total
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||||
Campbell & Company has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in
fact, succeed in doing so. Campbell & Company’s basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30 %. Campbell & Company’s attempt to manage the risk of the Trust’s open positions is essentially the same in all market categories traded.
Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification
guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses. Campbell & Company controls the risk of the Trust’s
non- trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments.
Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Trust’s assets at financial institutions and brokers which
Campbell & Company believes to be credit worthy. The unitholder bears the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.
Note 13. INDEMNIFICATIONS
In the normal course of business, the Trust enters into contracts and agreements that contain a variety of representations and warranties which provide general
indemnifications. 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. The Trust expects the risk of any future obligation under
these indemnifications to be remote.
Note 14. SUBSEQUENT EVENTS
Management of the Trust has evaluated subsequent events through the date the financial statements were filed. There are no subsequent events to disclose or
record.
84