10-Q 1 cft10q_sep2016.htm FORM 10Q  

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM 10-Q

Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the quarterly period ended September 30, 2016

Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the transition period from                     to                    

or

Commission File number: 000-50264

THE CAMPBELL FUND TRUST

(Exact name of Registrant as specified in charter)

Delaware
 
94-6260018
  (State of Organization)
 
  (IRS Employer Identification Number

 
 2850 Quarry Lake Drive
 
 
 Baltimore, Maryland 21209
 
 
 (Address of principal executive offices, including zip code)
 
     
 
 (410) 413-2600
 
 
 (Registrant's telephone number, including area code)
 

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 and posted on its corporate Web site, if any, every Interactive data File required to be submitted and posted pursuant to Rule 405 of regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes No
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of "large accelerated filer," "accelerated filer" and "smaller reporting company" in Rule 12b-2 of the Exchange Act. (Check one):

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

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





 
Page
PART I — FINANCIAL INFORMATION
 
       
 
Item 1.
Financial Statements.
 
       
   
Condensed Schedules of Investments as of September 30, 2016 and December 31, 2015 (Unaudited)
1-4
       
   
Statements of Financial Condition as of September 30, 2016 and December 31, 2015 (Unaudited)
5
       
   
Statements of Operations for the Three and Nine Months Ended September 30, 2016 and 2015 (Unaudited)
6
       
   
Statements of Cash Flows for the Nine Months Ended September 30, 2016 and 2015 (Unaudited)
7
       
   
Statements of Changes in Unitholders' Capital (Net Asset Value) for the Nine Months Ended September 30, 2016 and 2015 (Unaudited)
8-10
       
   
Financial Highlights for the Three and Nine Months Ended September 30, 2016 and 2015 (Unaudited)
11-13
       
   
Notes to Financial Statements (Unaudited)
14-24
       
 
Item 2.
Management's Discussion and Analysis of Financial Condition and Results of Operations.
25-32
       
 
Item 3.
Quantitative and Qualitative Disclosure About Market Risk.
33-37
       
 
Item 4.
Controls and Procedures.
37
       
PARTII — OTHER INFORMATION
 
       
 
Item 1.
Legal Proceedings.
38
       
 
Item 1A.
Risk Factors.
38
       
 
Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds.
38
       
 
Item 3.
Defaults Upon Senior Securities.
38
       
 
Item 4.
Mine Safety Disclosures.
38
       
 
Item 5.
Other Information.
38
       
 
Item 6.
Exhibits.
38
       
SIGNATURES
 
39


THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2016 (Unaudited)

FIXED INCOME SECURITIES
 
   
Maturity
Face Value
 
Description
 
Fair
Values ($)
   
% of Net
Asset Value
 
 
 
 
Asset Backed Securities
           
     
United States
           
     
Auto Loans
 
$
24,626,117
     
2.93
%
     
Credit Cards
   
28,056,962
     
3.34
%
     
Equipment Loans
   
7,770,077
     
0.92
%
     
Utility Rate Reduction Bonds
   
1,109,345
     
0.13
%
     
Total Asset Backed Securities (cost $61,553,022)
   
61,562,501
     
7.32
%
                       
     
Bank Deposits
               
     
United States
               
     
Financials
   
24,047,962
     
2.86
%
     
Total Bank Deposits (cost $24,029,982)
   
24,047,962
     
2.86
%
                       
     
Commercial Paper
               
     
United States
               
     
Communications
   
23,184,933
     
2.76
%
     
Consumer Discretionary
   
28,753,312
     
3.42
%
     
Consumer Staples
   
29,469,438
     
3.51
%
     
Energy
   
20,740,104
     
2.47
%
     
Financials
   
57,297,612
     
6.82
%
     
Health Care
   
18,879,585
     
2.25
%
     
Industrials
   
33,662,874
     
4.01
%
     
Technology
   
21,212,636
     
2.52
%
     
Utilities
   
27,524,797
     
3.27
%
     
Total Commercial Paper (cost $260,705,546)
   
260,725,291
     
31.03
%
                       
     
Corporate Bonds
               
     
United States
               
     
Communications
   
22,906,230
     
2.73
%
     
Consumer Discretionary
   
42,628,985
     
5.07
%
     
Consumer Staples
   
16,583,163
     
1.97
%
     
Energy
   
6,562,322
     
0.78
%
     
Financials
   
140,016,353
     
16.66
%
     
Health Care
   
15,758,587
     
1.87
%
     
Industrials
   
9,809,115
     
1.17
%
     
Technology
   
25,704,146
     
3.06
%
     
Total Corporate Bonds (cost $279,705,311)
   
279,968,901
     
33.31
%
                       
     
Government And Agency Obligations
               
     
United States
               
     
U.S. Treasury Bills
               
$
15,200,000
 
U.S. Treasury Bills Due 10/13/2016*
   
15,199,392
     
1.81
%
$
9,775,000
 
U.S. Treasury Bills Due 10/20/2016*
   
9,774,267
     
1.16
%
$
21,667,500
 
U.S. Treasury Bills Due 10/27/2016*
   
21,664,835
     
2.58
%
$
66,790,000
 
U.S. Treasury Bills Due 11/25/2016*
   
66,776,709
     
7.94
%
$
34,067,500
 
U.S. Treasury Bills Due 12/22/2016*
   
34,049,989
     
4.05
%
$
21,450,000
 
U.S. Treasury Bills Due 02/02/2017*
   
21,426,920
     
2.55
%
     
Total Government And Agency Obligations (cost $168,870,759)
   
168,892,112
     
20.09
%
                       
     
Total Fixed Income Securities**  (cost $794,864,620)
 
$
795,196,767
     
94.61
%

SHORT TERM INVESTMENTS

Maturity
Face Value
 
Description
 
Fair
Values ($)
   
% of Net
Asset Value
 
 
 
 
Money Market Funds
           
     
United States
           
     
Money Market Funds (cost $3,325)
 
$
3,325
     
0.00
%
     
Total Short Term Investments (cost $3,325)
 
$
3,325
     
0.00
%

See Accompanying Notes to Financial Statements.

1

THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2016 (Unaudited)

LONG FUTURES CONTRACTS
 
Description
 
Fair
Values ($)
 
 
% of Net
Asset Value
 
Agriculture
 
$
5,716,177
     
0.68
%
Energy
   
508,730
     
0.06
%
Metals
   
6,096,187
     
0.72
%
Stock indices
   
807,609
     
0.10
%
Short-term interest rates
   
(155,724
)
   
(0.02
)%
Long-term interest rates
   
3,843,025
     
0.46
%
Net unrealized gain (loss) on long futures contracts
 
$
16,816,004
     
2.00
%
                 
SHORT FUTURES CONTRACTS
               
Description
 
Fair
Values ($)
 
 
% of Net
Asset Value
 
Agriculture
 
$
6,797,137
     
0.80
%
Energy
   
(2,594,919
)
   
(0.31
)%
Metals
   
(6,423,313
)
   
(0.76
)%
Stock indices
   
(5,807
)
   
0.00
%
Short-term interest rates
   
(24,738
)
   
0.00
%
Long-term interest rates
   
48,037
     
0.01
%
Net unrealized gain (loss) on short futures contracts
 
$
(2,203,603
)
   
(0.26
)%
                 
Net unrealized gain (loss) on open futures contracts
 
$
14,612,401
     
1.74
%
                 
FORWARD CURRENCY CONTRACTS
               
Description
 
Fair
Values ($)
 
 
% of Net
Asset Value
 
Various long forward currency contracts
 
$
(3,741,262
)
   
(0.44
)%
Various short forward currency contracts
   
1,022,941
     
0.12
%
Net unrealized gain (loss) on open forward currency contracts
 
$
(2,718,321
)
   
(0.32
)%

*
Pledged as collateral for the trading of futures or forward positions.
**
Included in fixed income securities are U.S. Treasury Bills with a fair value of $116,968,845 deposited with the futures brokers and $51,923,267 deposited with the interbank market maker.

See Accompanying Notes to Financial Statements.

2

THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2015 (Unaudited)

FIXED INCOME SECURITIES
 
   
Maturity
Face Value
 
Description
 
Fair
Values ($)
   
% of Net
Asset Value
 
 
 
 
Asset Backed Securities
           
     
United States
           
     
Auto Loans
 
$
32,296,389
     
3.48
%
     
Credit Cards
   
21,617,224
     
2.33
%
     
Equipment
   
3,276,502
     
0.35
%
     
Utility Rate Reduction Bonds
   
1,667,655
     
0.18
%
     
Total Asset Backed Securities (cost $58,983,770)
   
58,857,770
     
6.34
%
                       
     
Commercial Paper
               
     
United States
               
     
Communications
   
11,572,012
     
1.25
%
     
Consumer Discretionary
   
45,284,606
     
4.88
%
     
Consumer Staples
   
17,825,018
     
1.92
%
     
Energy
   
3,511,542
     
0.38
%
     
Financials
   
60,228,274
     
6.49
%
     
Health Care
   
25,701,714
     
2.77
%
     
Industrials
   
37,091,707
     
4.00
%
     
Technology
   
25,109,992
     
2.70
%
     
Utilities
   
54,997,140
     
5.92
%
     
Total Commercial Paper (cost $281,294,649)
   
281,322,005
     
30.31
%
                       
     
Corporate Bonds
               
     
Japan
               
     
Consumer Discretionary (cost $4,881,998)
   
4,857,419
     
0.52
%
     
United States
               
     
Communications
   
36,566,791
     
3.94
%
     
Consumer Discretionary
   
44,277,095
     
4.77
%
     
Consumer Staples
   
28,814,680
     
3.11
%
     
Financials
   
143,372,999
     
15.45
%
     
Health Care
   
12,187,502
     
1.31
%
     
Technology
   
16,967,118
     
1.83
%
     
Total United States (cost $282,663,892)
   
282,186,185
     
30.41
%
     
Total Corporate Bonds (cost $287,545,890)
   
287,043,604
     
30.93
%
                       
     
Government And Agency Obligations
               
     
United States
               
     
U.S. Treasury Bills
               
$
65,000,000
 
U.S. Treasury Bills Due 01/28/2016*
   
64,994,670
     
7.00
%
$
8,600,000
 
U.S. Treasury Bills Due 02/04/2016*
   
8,599,329
     
0.93
%
$
135,750,000
 
U.S. Treasury Bills Due 02/25/2016*
   
135,736,697
     
14.63
%
     
Total Government And Agency Obligations (cost $209,347,466)
   
209,330,696
     
22.56
%
                       
     
Total Fixed Income Securities** (cost $837,171,775)
 
$
836,554,075
     
90.14
%

SHORT TERM INVESTMENTS

Maturity
Face Value
 
Description
 
Fair
Values ($)
   
% of Net
Asset Value
 
 
 
 
Money Market Funds
           
     
United States
           
     
Money Market Funds (cost $2,104)
 
$
2,104
     
0.00
%
     
Total Short Term Investments (cost $2,104)
 
$
2,104
     
0.00
%

See Accompanying Notes to Financial Statements.

3

THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2015 (Unaudited)

LONG FUTURES CONTRACTS
 
Description
 
Fair
Values ($)
 
 
% of Net
Asset Value
 
Agriculture
 
$
51,896
     
0.00
%
Energy
   
70,405
     
0.01
%
Metals
   
459,326
     
0.05
%
Stock indices
   
(658,566
)
   
(0.07
)%
Short-term interest rates
   
(671,792
)
   
(0.07
)%
Long-term interest rates
   
808,960
     
0.09
%
Net unrealized gain (loss) on long futures contracts
 
$
60,229
     
0.01
%
                 
SHORT FUTURES CONTRACTS
               
Description
 
Fair
Values ($)
 
 
 
% of Net
Asset Value
 
Agriculture
 
$
1,008,869
     
0.11
%
Energy
   
(9,719,336
)
   
(1.05
)%
Metals
   
(4,592,137
)
   
(0.49
)%
Stock indices
   
(152,521
)
   
(0.02
)%
Short-term interest rates
   
(75,529
)
   
(0.01
)%
Long-term interest rates
   
(339,045
)
   
(0.04
)%
Net unrealized gain (loss) on short futures contracts
 
$
(13,869,699
)
   
(1.50
)%
                 
Net unrealized gain (loss) on open futures contracts
 
$
(13,809,470
)
   
(1.49
)%
                 
FORWARD CURRENCY CONTRACTS
               
Description
 
Fair
Values ($)
 
 
% of Net
Asset Value
 
Various long forward currency contracts
 
$
(11,389,490
)
   
(1.23
)%
Various short forward currency contracts
   
13,804,801
     
1.49
%
Net unrealized gain (loss) on open forward currency contracts
 
$
2,415,311
     
0.26
%

*
Pledged as collateral for the trading of futures or forward positions.

**
Included in fixed income securities are U.S. Treasury Bills with a fair value of $124,988,790 deposited with the futures brokers and $84,341,906 deposited with the interbank market maker.

See Accompanying Notes to Financial Statements.

4

THE CAMPBELL FUND TRUST
STATEMENTS OF FINANCIAL CONDITION
September 30, 2016 and December 31, 2015 (Unaudited)

   
September 30, 2016
   
December 31, 2015
 
ASSETS
           
Equity in futures broker trading accounts
           
Cash
 
$
39,144,247
   
$
99,353,162
 
Restricted cash
   
0
     
8,747,696
 
Fixed income securities (cost $116,949,392 and $124,998,065, respectively)
   
116,968,845
     
124,988,790
 
Net unrealized gain on open futures contracts
   
14,612,401
     
(13,809,470
)
Total equity in futures broker trading accounts
   
170,725,493
     
219,280,178
 
                 
Cash
   
5,068,479
     
5,183,930
 
Short term investments (cost $3,325 and $2,104, respectively)
   
3,325
     
2,104
 
Fixed income securities (cost $677,915,228 and $712,173,710, respectively)
   
678,227,922
     
711,565,285
 
Net unrealized gain (loss) on open forward currency contracts
   
(2,718,321
)
   
2,415,311
 
Interest receivable
   
680,327
     
1,061,401
 
Total assets
 
$
851,987,225
   
$
939,508,209
 
                 
LIABILITIES
               
Accounts payable
 
$
379,312
   
$
406,928
 
Management fee payable
   
2,701,973
     
2,981,991
 
Service fee payable
   
15,405
     
16,452
 
Accrued commissions and other trading fees on open contracts
   
131,169
     
160,693
 
Offering costs payable
   
304,999
     
332,313
 
Redemptions payable
   
7,939,188
     
7,528,426
 
Total liabilities
   
11,472,046
     
11,426,803
 
                 
UNITHOLDERS' CAPITAL (Net Asset Value)
               
                 
Series A Units - Redeemable
               
Other Unitholders - 243,793.492 and 243,788.567 units outstanding at September 30, 2016 and December 31, 2015
   
651,431,207
     
711,962,948
 
Series B Units - Redeemable
               
Other Unitholders - 39,788.582 and 43,230.672 units outstanding at September 30, 2016 and December 31, 2015
   
114,590,847
     
135,564,706
 
Series W Units - Redeemable
               
Other Unitholders - 25,118.394 and 25,184.916 units outstanding at September 30, 2016 and December 31, 2015
   
74,493,125
     
80,553,752
 
Total unitholders' capital (Net Asset Value)
   
840,515,179
     
928,081,406
 
                 
Total liabilities and unitholders' capital (Net Asset Value)
 
$
851,987,225
   
$
939,508,209
 

See Accompanying Notes to Financial Statements.

5

THE CAMPBELL FUND TRUST
STATEMENTS OF OPERATIONS
For the Three and Nine Months Ended September 30, 2016 and 2015 (Unaudited)

   
Three Months Ended
September 30,
   
Nine Months Ended
September 30,
 
   
2016
   
2015
   
2016
   
2015
 
TRADING GAINS (LOSSES)
                       
Futures trading gains (losses)
                       
Realized
 
$
(2,563,284
)
 
$
(10,419,882
)
 
$
(56,311,652
)
 
$
(33,024,076
)
Change in unrealized
   
(11,677,308
)
   
30,656,110
     
28,421,871
     
(12,721,274
)
Brokerage commissions
   
(1,033,567
)
   
(978,374
)
   
(3,527,551
)
   
(3,377,781
)
Net gain (loss) from futures trading
   
(15,274,159
)
   
19,257,854
     
(31,417,332
)
   
(49,123,131
)
                                 
Forward currency trading gains (losses)
                               
Realized
   
(6,752,196
)
   
8,664,461
     
(16,779,911
)
   
43,532,041
 
Change in unrealized
   
(8,288,792
)
   
11,313,799
     
(5,133,632
)
   
(13,097,179
)
Brokerage commissions
   
(90,258
)
   
(95,610
)
   
(261,250
)
   
(264,020
)
Net gain (loss) from forward currency trading
   
(15,131,246
)
   
19,882,650
     
(22,174,793
)
   
30,170,842
 
                                 
Total net trading gain (loss)
   
(30,405,405
)
   
39,140,504
     
(53,592,125
)
   
(18,952,289
)
                                 
NET INVESTMENT INCOME (LOSS)
                               
Investment income
                               
Interest income
   
1,702,389
     
1,050,083
     
4,699,257
     
2,514,223
 
Realized gain (loss) on fixed income securities
   
14,554
     
(24,715
)
   
38,828
     
(13,082
)
Change in unrealized gain (loss) on fixed income securities
   
(174,956
)
   
(415,739
)
   
949,847
     
(274,885
)
Total investment income
   
1,541,987
     
609,629
     
5,687,932
     
2,226,256
 
                                 
Expenses
                               
Management fee
   
8,456,874
     
9,015,695
     
26,035,552
     
24,908,089
 
Service fee
   
44,227
     
47,573
     
137,623
     
147,383
 
Performance fee
   
0
     
0
     
0
     
13,671,976
 
Operating expenses
   
416,243
     
456,395
     
1,304,566
     
1,183,265
 
Total expenses
   
8,917,344
     
9,519,663
     
27,477,741
     
39,910,713
 
                                 
Net investment income (loss)
   
(7,375,357
)
   
(8,910,034
)
   
(21,789,809
)
   
(37,684,457
)
                                 
NET INCOME (LOSS)
 
$
(37,780,762
)
 
$
30,230,470
   
$
(75,381,934
)
 
$
(56,636,746
)
                                 
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS UNIT
(based on weighted average units outstanding during the period)
                               
Series A
 
$
(120.46
)
 
$
93.48
   
$
(240.35
)
 
$
(219.22
)
Series B
 
$
(128.06
)
 
$
101.62
   
$
(253.00
)
 
$
(177.61
)
Series W
 
$
(120.19
)
 
$
116.15
   
$
(221.29
)
 
$
(148.50
)
                                 
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR
   AND OTHER UNITHOLDERS UNIT
                               
Series A
 
$
(124.00
)
 
$
90.47
   
$
(248.35
)
 
$
(180.32
)
Series B
 
$
(129.87
)
 
$
100.86
   
$
(255.86
)
 
$
(179.64
)
Series W
 
$
(123.88
)
 
$
112.37
   
$
(232.81
)
 
$
(153.39
)
                                 
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
                               
Series A
   
245,937.673
     
243,138.560
     
246,571.644
     
204,731.203
 
Series B
   
40,350.892
     
45,544.115
     
41,613.378
     
46,170.128
 
Series W
   
24,859.370
     
24,739.511
     
25,266.275
     
23,948.293
 

See Accompanying Notes to Financial Statements.

6

THE CAMPBELL FUND TRUST
STATEMENTS OF CASH FLOWS
For the Nine Months Ended September 30, 2016 and 2015 (Unaudited)

   
Nine Months Ended September 30,
 
   
2016
   
2015
 
Cash flows from (for) operating activities
     
Net income (loss)
 
$
(75,381,934
)
 
$
(56,636,746
)
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
               
Net change in unrealized on futures, forwards and investments
   
(24,238,086
)
   
26,093,338
 
(Increase) decrease in restricted cash
   
8,747,696
     
7,319,383
 
(Increase) decrease in interest receivable
   
381,074
     
92,194
 
Increase (decrease) in payable for securities purchased
   
0
     
12,643,696
 
Increase (decrease) in accounts payable and accrued expenses
   
(338,205
)
   
(16,137,255
)
Purchases of investments
   
(7,768,924,889
)
   
(9,246,524,160
)
Sales/maturities of investments
   
7,811,230,823
     
8,983,198,179
 
Net cash from (for) operating activities
   
(48,523,521
)
   
(289,951,371
)
                 
Cash flows from (for) financing activities
               
Addition of units
   
66,208,774
     
289,750,120
 
Redemption of units
   
(75,057,072
)
   
(33,381,861
)
Offering costs paid
   
(2,952,547
)
   
(2,597,023
)
Net cash from (for) financing activities
   
(11,800,845
)
   
253,771,236
 
                 
Net increase (decrease) in cash
   
(60,324,366
)
   
(36,180,135
)
                 
Unrestricted cash
               
Beginning of period
   
104,537,092
     
98,388,222
 
                 
End of period
 
$
44,212,726
   
$
62,208,087
 
                 
End of period cash consists of:
               
Cash in futures broker trading accounts
 
$
39,144,247
   
$
55,896,301
 
Cash
   
5,068,479
     
6,311,786
 
                 
Total end of period cash
 
$
44,212,726
   
$
62,208,087
 

See Accompanying Notes to Financial Statements.

7

THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE)
For the Nine Months Ended September 30, 2016 and 2015 (Unaudited)

   
Unitholders' Capital – Series A
 
   
Managing Operator
   
Other Unitholders
   
Total
 
   
Units
   
Amount
   
Units
   
Amount
   
Units
   
Amount
 
Nine Months Ended September 30, 2016
                                   
                                     
Balances at December 31, 2015
   
0.000
   
$
0
     
243,788.567
   
$
711,962,948
     
243,788.567
   
$
711,962,948
 
                                                 
Net income (loss) for the nine months ended September 30, 2016
           
0
             
(59,262,613
)
           
(59,262,613
)
Additions
   
0.000
     
0
     
20,063.270
     
57,673,457
     
20,063.270
     
57,673,457
 
Redemptions
   
0.000
     
0
     
(20,058.345
)
   
(56,314,105
)
   
(20,058.345
)
   
(56,314,105
)
Offering costs
                           
(2,628,480
)
           
(2,628,480
)
Balances at September 30, 2016
   
0.000
   
$
0
     
243,793.492
   
$
651,431,207
     
243,793.492
   
$
651,431,207
 
                                                 
Nine Months Ended September 30, 2015
                                               
                                                 
Balances at December 31, 2014
   
0.000
   
$
0
     
163,776.415
   
$
512,679,918
     
163,776.415
   
$
512,679,918
 
                                                 
Net income (loss) for the nine months ended September 30, 2015
           
(5,994
)
           
(44,874,203
)
           
(44,880,197
)
Additions
   
14.925
     
50,000
     
88,888.821
     
280,764,834
     
88,903.746
     
280,814,834
 
Redemptions
   
(14.925
)
   
(43,930
)
   
(7,505.161
)
   
(22,958,431
)
   
(7,520.086
)
   
(23,002,361
)
Offering costs
           
(76
)
           
(2,381,009
)
           
(2,381,085
)
Balances at September 30, 2015
   
0.000
   
$
0
     
245,160.075
   
$
723,231,109
     
245,160.075
   
$
723,231,109
 

Net Asset Value per Other Unitholders' Unit - Series A
 
   
September 30, 2016
 
December 31, 2015
 
September 30, 2015
 
December 31, 2014
 
$
 
2,672.06
 
$
 
2,920.41
 
$
 
2,950.04
 
$
 
3,130.36
 

 See Accompanying Notes to Financial Statements.

8


THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE)
For the Nine Months Ended September 30, 2016 and 2015 (Unaudited)

   
Unitholders' Capital – Series B
 
   
Managing Operator
   
Other Unitholders
   
Total
 
   
Units
   
Amount
   
Units
   
Amount
   
Units
   
Amount
 
Nine Months Ended September 30, 2016
                                   
                                     
Balances at December 31, 2015
   
0.000
   
$
0
     
43,230.672
   
$
135,564,706
     
43,230.672
   
$
135,564,706
 
                                                 
Net income (loss) for the nine months ended September 30, 2016
           
(915
)
           
(10,527,146
)
           
(10,528,061
)
Additions
   
0.000
     
0
     
104.514
     
314,572
     
104.514
     
314,572
 
Redemptions
   
(19.003
)
   
(55,085
)
   
(3,527.601
)
   
(10,705,285
)
   
(3,546.604
)
   
(10,760,370
)
Transfers
   
19.003
     
56,000
     
(19.003
)
   
(56,000
)
   
0.000
     
0
 
Balances at September 30, 2016
   
0.000
   
$
0
     
39,788.582
   
$
114,590,847
     
39,788.582
   
$
114,590,847
 
                                                 
Nine Months Ended September 30, 2015
                                               
                                                 
Balances at December 31, 2014
   
0.000
   
$
0
     
47,305.148
   
$
158,156,273
     
47,305.148
   
$
158,156,273
 
                                                 
Net income (loss) for the nine months ended September 30, 2015
           
0
             
(8,200,317
)
           
(8,200,317
)
Additions
   
0.000
     
0
     
470.653
     
1,593,531
     
470.653
     
1,593,531
 
Redemptions
   
0.000
     
0
     
(3,801.739
)
   
(12,429,432
)
   
(3,801.739
)
   
(12,429,432
)
Balances at September 30, 2015
   
0.000
   
$
0
     
43,974.062
   
$
139,120,055
     
43,974.062
   
$
139,120,055
 

Net Asset Value per Other Unitholders' Unit - Series B
 
   
September 30, 2016
 
December 31, 2015
 
September 30, 2015
 
December 31, 2014
 
$
 
2,879.99
 
$
 
$3,135.85
 
$
 
$3,163.68
 
$
 
$3,343.32
 

 See Accompanying Notes to Financial Statements.


9

THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE)
For the Nine Months Ended September 30, 2016 and 2015 (Unaudited)

   
Unitholders' Capital – Series W
       
   
Other Unitholders
   
Trust
 
   
Units
   
Amount
   
Total Amount
 
Nine Months Ended September 30, 2016
                 
                   
Balances at December 31, 2015
   
25,184.916
   
$
80,553,752
   
$
928,081,406
 
                         
Net income (loss) for the nine months ended September 30, 2016
           
(5,591,260
)
   
(75,381,934
)
Additions
   
2,617.248
     
8,220,745
     
66,208,774
 
Redemptions
   
(2,683.770
)
   
(8,393,359
)
   
(75,467,834
)
Offering costs
           
(296,753
)
   
(2,925,233
Balances at September 30, 2016
   
25,118.394
   
$
74,493,125
   
$
840,515,179
 
                         
Nine Months Ended September 30, 2015
                       
                         
Balances at December 31, 2014
   
22,899.655
   
$
77,173,828
   
$
748,010,019
 
                         
Net income (loss) for the nine months ended September 30, 2015
           
(3,556,232
)
   
(56,636,746
)
Additions
   
2,358.837
     
7,967,880
     
290,376,245
 
Redemptions
   
(927.881
)
   
(3,017,148
)
   
(38,448,941
)
Offering costs
            (303,963 )     (2,685,048
Balances at September 30, 2015
   
24,330.611
   
$
78,264,365
   
$
940,615,529
 


Net Asset Value per Other Unitholders' Unit - Series W
 
   
September 30, 2016
   
December 31, 2015
   
September 30, 2015
   
December 31, 2014
 
$
2,965.68    
$
3,198.49    
$
3,216.70    
$
3,370.09  

See Accompanying Notes to Financial Statements.
10

THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three and Nine Months Ended September 30, 2016 and 2015
(Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series A units for the three and nine months ended September 30, 2016 and 2015. This information has been derived from information presented in the unaudited financial statements.

   
Series A
 
   
Three Months Ended
September 30,
   
Nine Months Ended
September 30,
 
   
2016
   
2015
   
2016
   
2015
 
Per Unit Performance
                       
(for a unit outstanding throughout the entire period)
                       
                         
Net asset value per unit at beginning of period
 
$
2,796.06
   
$
2,859.57
   
$
2,920.41
   
$
3,130.36
 
                                 
Income (loss) from operations:
                               
Total net trading gains (losses) (1)
   
(96.17
)
   
123.20
     
(166.14
)
   
(33.07
Net investment income (loss) (1)
   
(24.34
)
   
(29.04
)
   
(71.55
)
   
(135.62
)
                                 
Total net income (loss) from operations
   
(120.51
)
   
94.16
     
(237.69
)
   
(168.69
                                 
Offering costs (1)
   
(3.49
)
   
(3.69
)
   
(10.66
)
   
(11.63
)
                                 
Net asset value per unit at end of period
 
$
2,672.06
   
$
2,950.04
   
$
2,672.06
   
$
2,950.04
 
                                 
Total Return (4)
   
(4.43
)%
   
3.16
%
   
(8.50
)%
   
(5.76)
%
                                 
Supplemental Data
                               
                                 
Ratios to average net asset value:
                               
Expenses prior to performance fee (3)
   
4.20
%
   
4.29
%
   
4.20
%
   
4.19
%
Performance fee (4)
   
0.00
%
   
0.00
%
   
0.00
%
   
1.49
%
                                 
Total expenses
   
4.20
%
   
4.29
%
   
4.20
%
   
5.68
%
                                 
Net investment income (loss) (2,3)
   
(3.50
)%
   
(4.03
)%
   
(3.36
)%
   
(3.86
)%

Total returns are calculated based on the change in value of a unit during the period. 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 is calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. 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.
(3)
Annualized.
(4)
Not annualized.

See Accompanying Notes to Financial Statements.

11

THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three and Nine Months Ended September 30, 2016 and 2015
(Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series B units for the three and nine months ended September 30, 2016 and 2015. This information has been derived from information presented in the unaudited financial statements.

   
Series B
 
   
Three Months Ended
September 30,
   
Nine Months Ended
September 30,
 
   
2016
   
2015
   
2016
   
2015
 
Per Unit Performance
                       
(for a unit outstanding throughout the entire period)
                       
                         
Net asset value per unit at beginning of period
 
$
3,009.86
   
$
3,062.82
   
$
3,135.85
   
$
3,343.32
 
                                 
Income (loss) from operations:
                               
Total net trading gains (losses) (1)
   
(103.65
)
   
132.00
     
(178.84
)
   
(23.36
)
Net investment income (loss) (1)
   
(26.22
)
   
(31.14
)
   
(77.02
)
   
(156.28
)
                                 
Total net income (loss) from operations
   
(129.87
)
   
100.86
     
(255.86
)
   
(179.64
)
                                 
Net asset value per unit at end of period
 
$
2,879.99
   
$
3,163.68
   
$
2,879.99
   
$
3,163.68
 
                                 
Total Return (4)
   
(4.31
)%
   
3.29
%
   
(8.16
)%
   
(5.37
)%
                                 
Supplemental Data
                               
                                 
Ratios to average net asset value:
                               
Expenses prior to performance fee (3)
   
4.21
%
   
4.26
%
   
4.21
%
   
4.22
%
Performance fee (4)
   
0.00
%
   
0.00
%
   
0.00
%
   
1.81
%
                                 
Total expenses
   
4.21
%
   
4.26
%
   
4.21
%
   
6.03
%
                                 
Net investment income (loss) (2,3)
   
(3.51
)%
   
(4.00
)%
   
(3.37
)%
   
(3.86
)%

Total returns are calculated based on the change in value of a unit during the period. 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 is calculated by dividing the net investment income (loss) by the average number of units outstanding during the period. 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.
(3)
Annualized.
(4)
Not annualized.
See Accompanying Notes to Financial Statements.

12

THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three and Nine Months Ended September 30, 2016 and 2015
(Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series W units for the three and nine months ended September 30, 2016 and 2015. This information has been derived from information presented in the unaudited financial statements.

   
Series W
 
   
Three Months Ended
September 30,
   
Nine Months Ended
September 30,
 
   
2016
   
2015
   
2016
   
2015
 
Per Unit Performance
                       
(for a unit outstanding throughout the entire period)
                       
                         
Net asset value per unit at beginning of period
 
$
3,089.56
   
$
3,104.33
   
$
3,198.49
   
$
3,370.09
 
                                 
Income (loss) from operations:
                               
Total net trading gains (losses) (1)
   
(106.74
)
   
133.83
     
(183.77
)
   
(27.79
)
Net investment income (loss) (1)
   
(13.28
)
   
(17.45
)
   
(37.29
)
   
(112.91
)
                                 
Total net income (loss) from operations
   
(120.02
)
   
116.38
     
(221.06
)
   
(140.70
)
                                 
Offering costs (1)
   
(3.86
)
   
(4.01
)
   
(11.75
)
   
(12.69
)
                                 
Net asset value per unit at end of period
 
$
2,965.68
   
$
3,216.70
   
$
2,965.68
   
$
3,216.70
 
                                 
Total Return (4)
   
(4.01
)%
   
3.62
%
   
(7.28
)%
   
(4.55
)%
                                 
Supplemental Data
                               
                                 
Ratios to average net asset value:
                               
Expenses prior to performance fee (3)
   
2.42
%
   
2.46
%
   
2.43
%
   
2.43
%
Performance fee (4)
   
0.00
%
   
0.00
%
   
0.00
%
   
1.79
%
                                 
Total expenses
   
2.42
%
   
2.46
%
   
2.43
%
   
4.22
%
                                 
Net investment income (loss) (2,3)
   
(1.72
)%
   
(2.20
)%
   
(1.59
)%
   
(2.08
)%

Total returns are calculated based on the change in value of a unit during the period. 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 is calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. 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.
(3)
Annualized.
(4)
Not annualized.

See Accompanying Notes to Financial Statements.

13

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2016 (Unaudited)

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 and forward currency 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. The rights of the Series A units, Series B units and Series W units are identical, except that the fees and commissions vary on a Series-by-Series basis. Series A and Series W commenced trading on October 1, 2008 and March 1, 2009, respectively. The initial minimum subscription for Series A units and Series W units is $25,000. Series B units are only available for additional investments by existing holders of Series B units. See Note 1F, Note 1H, Note 2 and Note 6 for an explanation of allocations and Series specific charges.

B.  Regulation

The Trust is a registrant with the Securities and Exchange Commission (the "SEC") pursuant to the Securities Exchange Act of 1934 (the "Act"). As a registrant, the Trust is subject to the regulations of the SEC and the informational requirements of the Act. 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 "brokers") and interbank market makers 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.

These financial statements should be read in conjunction with the financial statements and notes thereto included in the Trust's Annual Report on Form 10-K filed with the SEC for the year ended December 31, 2015. All adjustments of a normal recurring nature considered necessary for a fair presentation have been included.

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 are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. 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 the 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 fixed income investments are marked to market on the last business day of the reporting period by the Administrator 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.

14

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2016 (Unaudited)
D.  Fair Value

The Trust follows the provisions of ASC 820, "Fair Value Measurements and Disclosures." 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 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. 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 September 30, 2016 and December 31, 2015 and for the periods ended September 30, 2016 and 2015, 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 September 30, 2016 and December 31, 2015.

   
Fair Value at September 30, 2016
 
Description
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments
                       
Short term investments
 
$
3,325
   
$
0
   
$
0
   
$
3,325
 
Fixed income securities
   
0
     
795,196,767
     
0
     
795,196,767
 
                                 
Other Financial Instruments
                               
Exchange-traded futures contracts
   
14,612,401
     
0
     
0
     
14,612,401
 
Forward currency contracts
   
0
     
(2,718,321
)
   
0
     
(2,718,321
)
Total
 
$
14,615,726
   
$
792,478,446
   
$
0
   
$
807,094,172
 

   
Fair Value at December 31, 2015
 
Description
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments
                       
Short term investments
 
$
2,104
   
$
0
   
$
0
   
$
2,104
 
Fixed income securities
   
0
     
836,554,075
     
0
     
836,554,075
 
                                 
Other Financial Instruments
                               
Exchange-traded futures contracts
   
(13,809,470
)
   
0
     
0
     
(13,809,470
)
Forward currency contracts
   
0
     
2,415,311
     
0
     
2,415,311
 
Total
 
$
(13,807,366
)
 
$
838,969,386
   
$
0
   
$
825,162,020
 

The Trust recognizes transfers between fair value hierarchy levels at the beginning of the reporting period. There were no transfers to or from Level 1 to Level 2 for the period ended September 30, 2016 or the year ended December 31, 2015.

The gross presentation of the fair value of the Trust's derivatives by instrument type is shown in Note 10. See Condensed Schedules of Investments for additional detail categorization.

15

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2016 (Unaudited)
E.  Income Taxes

The Trust prepares calendar year U.S. federal and applicable state information 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 tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Trust files federal and state tax returns. The 2012 through 2015 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

F.  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 and Series W units will each bear the offering costs incurred in relation to the offering of Series A units and Series W units, respectively. Offering costs are charged to Series A and Series W at a monthly rate of 1/12 of 0.5% (0.5% annualized) of each Series' month-end net asset value (as defined in the Declaration of Trust and Trust Agreement) until such amounts are fully reimbursed. Such amounts are charged directly to unitholders' capital. Series A and Series W are only liable for payment of offering costs on a monthly basis. The offering costs allocable to the Series B units are borne by Campbell & Company.

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 and Series W units will have no further obligation to Campbell & Company. At September 30, 2016 and December 31, 2015, the amount of unreimbursed offering costs incurred by Campbell & Company is $1,590,782 and $2,643,803 for Series A units and $401,560 and $500,923 for Series W units, respectively.

G.  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.

H.  Allocations

Income or loss (prior to calculation of the management fee, service 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, service fee, offering costs and performance fee applicable to such Series of units.

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 and Series B units pay the managing operator a monthly management fee equal to 1/12 of 4% (4% annually) of the Net Assets (as defined) of Series A units and Series B units, respectively, as of the end of each month. 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 W units as of the end of each month. Each Series of units will pay the managing operator a quarterly performance fee equal to 20% of the aggregate cumulative appreciation in Net Asset Value per Unit (as defined) exclusive of appreciation attributable to interest income on a Series-by-Series basis.

The performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark). In determining the management fee and performance fee (the "fees"), adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The fees are typically paid in the month following the month in which they are earned. The fees are paid from the available cash at the Trust's bank, broker or cash management custody accounts.

16

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2016 (Unaudited)
Note 3.  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 4.  ADMINISTRATOR

Northern Trust Hedge Fund Services LLC became the Administrator of the Trust effective January 1, 2015. 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.

Note 5.  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 has 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 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.

Note 6.  SERVICE FEE

The selling firms who sell Series W units receive a monthly service fee equal to 1/12 of 0.25% of the month-end Net Asset Value (as defined) of the Series W units, totaling approximately 0.25% per year.

Note 7.  DEPOSITS WITH FUTURES BROKERS

The Trust deposits assets with UBS Securities LLC and Goldman, Sachs & Co. as the futures brokers, 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 the Royal Bank of Scotland PLC ("RBS"). The Trust has entered into an International Swaps and Derivatives Association Master Agreement ("ISDA Agreement") with RBS which governs these transactions. The credit ratings reported by the three major rating agencies for RBS were considered investment grade as of September 30, 2016. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with RBS. The Trust typically earns interest income on its assets deposited with RBS.

17

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2016 (Unaudited)
Note 9.  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 eight 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 nine months ended September 30, 2016 and 2015, Campbell & Company received redemption fees of $22,461 and $21,332, respectively.

Note 10.  TRADING ACTIVITIES AND RELATED RISKS

The Trust engages in the speculative trading of U.S. and foreign futures contracts and forward currency contracts (collectively, "derivatives"). Specifically, the Trust trades a portfolio focused on financial futures, which are instruments designed to hedge changes in interest rates, currency exchange rates, stock index values, metals, energy and agriculture values. 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. See Note 1. C. for an explanation of how the Trust determines its valuation for derivatives as well as the netting of derivatives.

The Trust adopted the provisions of 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.

18

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2016 (Unaudited)
 
The following tables summarize quantitative information required by ASC 815. 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 September 30, 2016 and December 31, 2015 is as follows:

Type of Instrument *
Statements of Financial
Condition Location
 
Asset
Derivatives at
September 30, 2016
Fair Value
   
Liability
Derivatives at
September 30, 2016
Fair Value
   
Net
 
Agriculture Contracts
Net unrealized gain (loss) on open futures contracts
 
$
15,396,589
   
$
(2,883,275
)
 
$
12,513,314
 
Energy Contracts
Net unrealized gain (loss) on open futures contracts
   
664,895
     
(2,751,084
)
   
(2,086,189
)
Metal Contracts
Net unrealized gain (loss) on open futures contracts
   
6,928,408
     
(7,255,534
)
   
(327,126
)
Stock Indices Contracts
Net unrealized gain (loss) on open futures contracts
   
3,748,382
     
(2,946,580
)
   
801,802
 
Short-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
   
97,461
     
(277,923
)
   
(180,462
)
Long-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
   
4,862,300
     
(971,238
)
   
3,891,062
 
Forward Currency Contracts
Net unrealized gain (loss) on open forward currency contracts
   
24,568,608
     
(27,286,929
)
   
(2,718,321
)
Totals
   
$
56,266,643
   
$
(44,372,563
)
 
$
11,894,080
 

*
Derivatives not designated as hedging instruments under ASC 815

Type of Instrument *
Statements of Financial
Condition Location
 
Asset
Derivatives at
December 31, 2015
Fair Value
   
Liability
Derivatives at
December 31, 2015
Fair Value
   
Net
 
Agriculture Contracts
Net unrealized gain (loss) on open futures contracts
 
$
4,246,840
   
$
(3,186,075
)
 
$
1,060,765
 
Energy Contracts
Net unrealized gain (loss) on open futures contracts
   
2,219,147
     
(11,868,078
)
   
(9,648,931
)
Metal Contracts
Net unrealized gain (loss) on open futures contracts
   
2,238,119
     
(6,370,930
)
   
(4,132,811
)
Stock Indices Contracts
Net unrealized gain (loss) on open futures contracts
   
974,091
     
(1,785,178
)
   
(811,087
)
Short-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
   
18,382
     
(765,703
)
   
(747,321
)
Long-Term Interest Rate Contracts
Net unrealized gain (loss) on open futures contracts
   
2,669,840
     
(2,199,925
)
   
469,915
 
Forward Currency Contracts
Net unrealized gain (loss) on open forward currency contracts
   
52,468,667
     
(50,053,356
)
   
2,415,311
 
Totals
   
$
64,835,086
   
$
(76,229,245
)
 
$
(11,394,159
)

*
Derivatives not designated as hedging instruments under ASC 815

19

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2016 (Unaudited)
 
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 periods ended September 30, 2016 and 2015 is as follows:

Type of Instrument
 
Trading Gains (Losses) for
the Three Months Ended
September 30, 2016
   
Trading Gains (Losses) for
the Three Months Ended
September 30, 2015
 
Agriculture Contracts
 
$
7,727,273
   
$
(5,623,833
)
Energy Contracts
   
(12,371,532
)
   
14,609,064
 
Metal Contracts
   
(5,845,334
)
   
26,982,442
 
Stock Indices Contracts
   
11,672,523
     
(11,594,034
)
Short-Term Interest Rate Contracts
   
(1,788,940
)
   
4,049,678
 
Long Term Interest Rate Contracts
   
(13,503,510
)
   
(8,394,913
)
Forward Currency Contracts
   
(15,040,988
)
   
19,978,260
 
Total
 
$
(29,150,508
)
 
$
40,006,664
 

Type of Instrument
 
Trading Gains (Losses) for
the Nine Months Ended
September 30, 2016
   
Trading Gains (Losses) for
the Nine Months Ended
September 30, 2015
 
Agriculture Contracts
 
$
(4,898,501
)
 
$
(25,812,905
)
Energy Contracts
   
(35,449,754
)
   
(8,652,903
)
Metal Contracts
   
(15,268,152
)
   
12,024,859
 
Stock Indices Contracts
   
(12,565,063
)
   
(6,453,029
)
Short-Term Interest Rate Contracts
   
(5,604,922
)
   
1,453,282
 
Long Term Interest Rate Contracts
   
46,001,412
     
(18,461,882
)
Forward Currency Contracts
   
(21,913,543
)
   
30,434,862
 
Total
 
$
(49,698,523
)
 
$
(15,467,716
)

Line Item in the Statement of Operations
 
Trading Gains (Losses) for
the Three Months Ended
September 30, 2016
   
Trading Gains (Losses) for
the Three Months Ended
September 30, 2015
 
Futures trading gains (losses):
           
Realized**
 
$
(2,432,212
)
 
$
(10,627,706
)
Change in unrealized
   
(11,677,308
)
   
30,656,110
 
Forward currency trading gains (losses):
               
Realized
   
(6,752,196
)
   
8,664,461
 
Change in unrealized
   
(8,288,792
)
   
11,313,799
 
Total
 
$
(29,150,508
)
 
$
40,006,664
 

Line Item in the Statement of Operations
 
Trading Gains (Losses) for
the Nine Months Ended
September 30, 2016
   
Trading Gains (Losses) for
the Nine Months Ended
September 30, 2015
 
Futures trading gains (losses):
           
Realized**
 
$
(56,206,851
)
 
$
(33,181,304
)
Change in unrealized
   
28,421,871
     
(12,721,274
)
Forward currency trading gains (losses):
               
Realized
   
(16,779,911
)
   
43,532,041
 
Change in unrealized
   
(5,133,632
)
   
(13,097,179
)
Total
 
$
(49,698,523
)
 
$
(15,467,716
)

** Amounts differ from the amounts on the Statements of Operations as the amounts above do not include gains and losses on foreign currency cash balances at the futures broker.

20

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2016 (Unaudited)
 
For the three months ended September 30, 2016 and 2015, the monthly average of futures contracts bought and sold was approximately 90,500 and 88,000, respectively, and the monthly average of notional value of forward currency contracts was $5,411,700,000 and $4,931,200,000, respectively.

For the nine months ended September 30, 2016 and 2015, the monthly average of futures contracts bought and sold was approximately 102,200 and 98,100, respectively, and the monthly average of notional value of forward currency contracts was $5,370,000,000 and $5,083,000,000, respectively.

Open contracts generally mature within three months; as of September 30, 2016, the latest maturity date for open futures contracts is December 2017 and the latest maturity date for open forward currency contracts is December 2016. However, the Trust intends to close all futures and forward currency contracts prior to maturity.

Credit Risk

The Trust trades futures contracts on exchanges that require margin deposits with the futures broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a futures broker to segregate all customer transactions and assets from such futures broker's proprietary activities. A customer's cash and other property (for example, U.S. Treasury Bills) deposited with a futures broker are considered commingled with all other customer funds subject to the futures broker's segregation requirements. In the event of a futures 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.

Under the terms of the ISDA Agreement with RBS, 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 of the master netting agreement with UBS Securities and Goldman Sachs, upon occurrence of a default by the Trust, as defined in respective account documents, UBS Securities and Goldman Sachs 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 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 September 30, 2016 and December 31, 2015 was $168,892,112 and $209,330,696, respectively, which equals 20% and 23% of Net Asset Value, respectively. The cash deposited with the interbank market maker at September 30, 2016 and December 31, 2015 was $79,610 and $147,386, respectively, which equals 0% and 0% of Net Asset Value, respectively. These amounts are included in cash. Included in cash deposits with the broker and interbroker market maker at September 30, 2016 and December 31, 2015 was restricted cash for margin requirements of $0 and $8,747,696, respectively, which equals 0% and 1 % of Net Asset Value, respectively.

21

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2016 (Unaudited)
 
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 an agreement similar 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
 
As of September 30, 2016
               
Type of Instrument
Counterparty
 
 
 
Gross Amount of Recognized Assets
 
Gross Amounts Offset in the Statements of Financial Condition
 
Net Amount of Unrealized Gain Presented in the
Statements of Financial Condition
 
Futures contracts
UBS Securities LLC
  $
 
15,876,796
 
$
 
(8,529,078
)
$
 
7,347,718
 
Futures contracts
Goldman Sachs
     
15,821,239
     
(8,556,556
)
   
7,264,683
 
Forward currency contracts
Royal Bank of Scotland
     
24,568,608
     
(24,568,608
)
   
0
 
Total derivatives
    $
 
56,266,643
 
$
 
(41,654,242
)
$
 
14,612,401
 

Derivatives Assets and Collateral Received by Counterparty
 
As of September 30, 2016
             
       
Gross Amounts Not Offset in the Statements of Financial Condition
     
Counterparty
 
Net Amount of Unrealized Gain in the Statements of Financial Condition
 
Financial Instruments
 
Cash Collateral Received
 
Net Amount
 
UBS Securities LLC
 
$
 
7,347,718
 
$
 
0
 
$
 
0
 
$
 
7,347,718
 
Goldman Sachs
     
7,264,683
     
0
     
0
     
7,264,683
 
Royal Bank of Scotland
     
0
     
0
     
0
     
0
 
Total
 
$
 
14,612,401
 
$
 
0
 
$
 
0
 
$
 
14,612,401
 

Offsetting of Derivative Liabilities
 
As of September 30, 2016
             
Type of Instrument
Counterparty
Gross Amount of Recognized Liabilities
 
Gross Amounts Offset in the Statements of Financial Condition
 
Net Amount of Unrealized Loss Presented in the
Statements of Financial Condition
 
Futures contracts
UBS Securities LLC
$
 
8,529,078
 
$
 
(8,529,078
)
$
 
0
 
Futures contracts
Goldman Sachs
   
8,556,556
     
(8,556,556
)
   
0
 
Forward currency contracts
Royal Bank of Scotland
   
27,286,929
     
(24,568,608
)
   
2,718,321
 
Total derivatives
 
$
 
44,372,563
 
$
 
(41,654,242
)
$
 
2,718,321
 
 
Derivatives Liabilities and Collateral Pledged by Counterparty
 
As of September 30, 2016
             
       
Gross Amounts Not Offset in the Statements of Financial Condition
     
Counterparty
 
Net Amount of Unrealized Loss in the Statements of Financial Condition
 
Financial Instruments
 
Cash Collateral Pledged
 
Net Amount
 
UBS Securities LLC
 
$
 
0
 
$
 
0
 
$
 
0
 
$
 
0
 
Goldman Sachs
     
0
     
0
     
0
     
0
 
Royal Bank of Scotland
     
2,718,321
     
(2,718,321
)*
   
0
     
0
 
Total
 
$
 
2,718,321
 
$
 
(2,718,321
)
$
 
0
 
$
 
0
 
*Represents a portion of the $51,923,267 fair value in U.S. Treasury Bills held at the interbank market maker.                 
22

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2016 (Unaudited)
 
Offsetting of Derivative Assets
 
As of December 31, 2015
               
Type of Instrument
Counterparty
 
Gross Amount of Recognized Assets
 
Gross Amounts Offset in the Statements of Financial Condition
 
Net Amount of Unrealized Gain Presented in the
Statements of Financial Condition
 
Futures contracts
UBS Securities LLC
 
$
 
6,203,954
 
$
 
(6,203,954
)
$
 
0
 
Futures contracts
Goldman Sachs
     
6,162,464
     
(6,162,464
)
   
0
 
Forward currency contracts
Royal Bank of Scotland
     
52,468,667
     
(50,053,356
)
   
2,415,311
 
Total derivatives
   
$
 
64,835,085
 
$
 
(62,419,774
)
$
 
2,415,311
 
 
Derivatives Assets and Collateral Received by Counterparty
 
As of December 31, 2015
             
       
Gross Amounts Not Offset in the Statements of Financial Condition
     
Counterparty
 
Net Amount of Unrealized Gain in the Statements of Financial Condition
 
Financial Instruments
 
Cash Collateral Received
 
Net Amount
 
UBS Securities LLC
 
$
 
0
 
$
 
0
 
$
 
0
 
$
 
0
 
Goldman Sachs
     
0
     
0
     
0
     
0
 
Royal Bank of Scotland
     
2,415,311
     
0
     
0
     
2,415,311
 
Total
 
$
 
2,415,311
 
$
 
0
 
$
 
0
 
$
 
2,415,311
 

Offsetting of Derivative Liabilities
 
As of December 31, 2015
               
Type of Instrument
Counterparty
 
Gross Amount of Recognized Liabilities
 
Gross Amounts Offset in the Statements of Financial Condition
 
Net Amount of Unrealized Loss Presented in the
Statements of Financial Condition
 
Futures contracts
UBS Securities LLC
 
$
 
13,056,095
 
$
 
(6,203,954
)
$
 
6,852,141
 
Futures contracts
Goldman Sachs
     
13,119,793
     
(6,162,464
)    
6,957,329
 
Forward currency contracts
Royal Bank of Scotland
     
50,053,356
     
(50,053,356
)
   
0
 
Total derivatives
   
$
 
76,229,244
 
$
 
(62,419,774
)
$
 
13,809,470
 

Derivatives Liabilities and Collateral Pledged by Counterparty
 
As of December 31, 2015
             
       
Gross Amounts Not Offset in the Statements of Financial Condition
     
Counterparty
 
Net Amount of Unrealized Loss in the Statements of Financial Condition
 
Financial Instruments
 
Cash Collateral Pledged
 
Net Amount
 
UBS Securities LLC
 
$
 
6,852,141
 
$
 
0
 
$
 
(6,852,141
)
$
 
0
 
Goldman Sachs
     
6,957,329
     
0
     
(6,957,329
)
   
0
 
Royal Bank of Scotland
     
0
     
0
     
0
     
0
 
Total
 
$
 
13,809,470
 
$
 
0
 
$
 
(13,809,470
)
$
 
0
 

23

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2016 (Unaudited)
 
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 11.  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 12.  INTERIM FINANCIAL STATEMENTS

The statements of financial condition, including the condensed schedules of investments, as of September 30, 2016 and December 31, 2015, the statements of operations and financial highlights for the three and nine months ended September 30, 2016 and 2015, and the statements of cash flows and changes in unitholders' capital (Net Asset Value) for the nine months ended September 30, 2016 and 2015 are unaudited. In the opinion of management, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of September 30, 2016 and December 31, 2015, the results of operations and financial highlights for the three and nine months ended September 30, 2016 and 2015, and cash flows and changes in unitholders' capital (Net Asset Value) for the nine months ended September 30, 2016 and 2015.

Note 13.  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.

24

Item 2.  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 and forward 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 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.

As of September 30, 2016, the aggregate capitalization of the Trust was $840,515,179 with Series A, Series B and Series W comprising $651,431,207, $114,590,847 and $74,493,125, respectively, of the total. The Net Asset Value per Unit was $2,672.06 for Series A, $2,879.99 for Series B, and $2,965.68 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 contingent 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 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.

25

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 activities. 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 broker, 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 broker 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 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 broker or over-the-counter counterparty, which are met by moving the required portion of the assets held in the custody account at Northern Trust 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 and forward 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 and forward 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 traded in the United States and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse 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 clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.

26

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 on a mark-to-market basis. There can be no assurance that any clearing member, clearinghouse 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 and forward currency 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 market value of swap and 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 or based on the market value of its exchange-traded equivalent.

Results of Operations

The returns for Series A for the nine months ended September 30, 2016 and 2015 were (8.50)% and (5.76)%. The returns for Series B for the nine months ended September 30, 2016 and 2015 were (8.16)% and (5.37)%, respectively. The returns for Series W for the nine months ended September 30, 2016 and 2015 were (7.28)% and (4.55)%, respectively.

2016 (For the Nine Months Ending September 30)

Of the (8.50)% year to date return for Series A, approximately (5.21)% was due to trading losses (before commissions) and approximately (3.92)% due to brokerage fees, management fees, operating costs and offering costs, offset by approximately 0.63% due to investment income earned by Series A.
 
Of the (8.16)% year to date return for Series B, approximately (5.21)% was due to trading losses (before commissions) and approximately (3.58)% due to brokerage fees, management fees and operating costs, offset by approximately 0.63% due to investment income earned by Series B.
 
Of the (7.28)% year to date return for Series W, approximately (5.21)% was due to trading losses (before commissions) and approximately (2.70)% due to brokerage fees, management fees, service fees, operating costs and offering costs, offset by approximately 0.63% due to investment income earned by Series W.
 
During the nine months ended September 30, 2016, the Trust accrued management fees in the amount of $26,035,552 and paid management fees in the amount of $26,315,570. No performance fees were accrued or paid during this period.
 
An analysis of the (5.21)% gross trading loss for the Trust for the nine months ended September 30, 2016 by sector is as follows:

Sector
% Gain (Loss)
Commodities
 
(5.93)%
Currencies
 
(2.49)    
Interest Rates
 
4.64     
Stock Indices
 
(1.43)    
   
(5.21)%

27

 
The Trust showed a gain during January as profits came from foreign exchange, interest rate, and commodity holdings while stock indexes provided small offsetting losses during the month. Foreign exchange positions from both trend following and non-trend strategies produced some of the best gains.  Long US dollar positioning versus short commodity currencies, such as the Mexican peso, Canadian dollar, and South African rand, showed gains as the commodity sell-off continued, especially within the energy complex.  Short positioning on the British pound versus the US dollar also benefitted as global growth concerns reduced the likelihood of a Bank of England interest rate hike and on heightened speculation of a UK exit from the European Union (the so-called "BREXIT"). Interest rate positions provided additional gains to the Trust during January, particularly from the non-trend systems.  Long positioning on both long-dated and short-dated instruments experienced profits.  The sharp sell-off in global stock indexes fueled safe-haven buying in interest rate products.  In addition, ongoing dovish commentary from global central banks added to the upward price pressure.  In fact, near month-end, the Bank of Japan adopted a new, and unexpected, negative interest rate policy that fueled additional buying of global interest rate markets. Some additional gains during the month came from commodity positions, with both trend and non-trend strategies contributing.  Short positioning within the energy complex, namely on WTI and Brent, produced some of the best gains.  Oil prices touched a 12-year low during the month as Iranian export sanctions were lifted which only added to the persistent oversupply within global markets as world demand continued to wane.  Short positioning on copper returned profits as that metal saw lower prices amid ongoing economic weakness within China.  A short position on gold produced some offsetting losses as risk-off sentiment produced safe-haven buying of the metal. Stock indexes showed losses as long positioning from the trend systems suffered amid the steep sell-off in equities as global growth concerns persisted to start the New Year.
February for the Trust comprised of profits from interest rate, commodity, and stock index holdings while foreign exchange positions provided some offsetting losses during the month. Interest rate positions provided some of the best gains to the Trust during February, particularly from the non-trend systems.  Long positioning on long-dated instruments experienced profits, while short-dated products saw small losses.  The best sector gains were found within Germany and the UK.  Concerns about European bank stocks were a major contributor to the risk-off sentiment during February which provided a tailwind to interest rate markets in the region.  Anxieties over a possible BREXIT also drove safe-haven buying. Additional gains during the month came from commodity positions, with both trend and non-trend strategies contributing.  Shorts within the energy complex, namely on natural gas, produced some of the best gains.  Natural gas prices fell to a 17-year low amid milder temperatures and abundant production.  Short positioning on the grains, especially corn and wheat, benefitted when prices dropped due to weaker export sales and healthy global supplies.  Short positions on gold and silver produced some offsetting sector losses as the risk-off environment produced safe-haven buying of those metals. Stock index holdings showed a very small gain.  A short position on the Hang Seng index in Hong Kong was one of the best performing trades as that index fell amid ongoing concerns over the health of the Chinese economy. Foreign exchange positions from both trend following and non-trend strategies produced losses for the Trust.  February saw some very choppy price action within the various currency pairs making for a difficult trading environment.  The Trust was short the Japanese yen versus the US dollar and experienced losses when the yen strengthened despite the Bank of Japan's recent negative interest rate policy announcement.  Trend following systems saw some offsetting gains from a short on the British pound as BREXIT concerns drove the currency to new multi-year lows.
The Trust declined in March due to losses driven by commodity positioning, while foreign exchange, interest rate and stock index holdings had only a slightly negative impact during the month. Commodity positions from both the trend and non-trend systems provided some of the biggest losses during March.  Short positioning across the petroleum complex suffered when those markets moved higher in response to an OPEC announcement that the organization had scheduled a mid-April meeting to discuss output levels.  Natural gas shorts hurt the Trust as well as that product rallied amid larger than expected inventory draws.  Short holdings on the grain markets also led to losses with soybeans being one of the worst performers.  Strong exports, political tensions in Brazil, and lower inventory projections were all behind the move higher.  Coffee shorts also suffered as the political tensions in Brazil drove prices up. Foreign exchange positions added small additional losses.  Long positioning on the Australian dollar produced profits as a dovish U.S. Federal Reserve and ultra-loose policies in Japan and Europe collectively boosted the appeal of higher yielding currencies.  A short on the British pound produced some offsetting losses as that currency experienced an oversold bounce fueled in part by a more dovish US Fed. Interest rate holdings had a slightly negative impact on the monthly P&L.  Price action during March was very choppy making it difficult for some systems to find and hold profitable trades.  The first half of the month saw fixed income prices chop lower as stock prices moved higher.  The second half of the month saw a sharp reversal higher as the US Fed took a more dovish than expected stance on interest rate policy. Stock index holdings also had only a slightly negative monthly P&L impact.  Global equity indexes generally moved higher during March as commodity prices bounced and global central banks continued to provide an accommodative backdrop for stocks.  The Trust held a mix of long and short holdings leading to offsetting gains and losses that left the sector nearly flat at month-end.
The Trust showed a decline in April as losses came from interest rate, commodity, stock index, and foreign exchange holdings. Interest rate holdings had the largest negative impact on the monthly P&L with both trend following and non-trend systems suffering.  Fixed income prices saw a sharp reversal lower during the month which hurt long positioning within the Trust.  Increasing inflation expectations amid a sharp bounce in crude oil prices, which have rallied over 60% from the decade-plus low seen in February, pushed interest rate yields higher and prices lower.  Tentative signs that Chinese economic activity was beginning to stabilize only added to the downward pressure as money rotated to riskier assets, such as stocks and commodities. Commodity positions from both the trend and non-trend systems also provided losses to the Trust during April.  Short positioning on the energies, industrial metals, soft commodities, and grain markets all contributed to the losses.  Many markets in each of these sub-sectors saw sharp intra-month reversals to the upside fueled by short covering amid a revived "risk-on" environment.  A weaker US dollar also contributed upward momentum to many of the dollar-denominated commodity markets.  Some offsetting gains came from long positioning on silver which benefitted from the weaker US dollar and low inventory levels and short holdings on the cattle complex as those markets retreated on the back of slow seasonal demand and oversupply concerns. Stock index holdings showed a negative monthly P&L impact, especially from the trend models.  Global equity indexes generally moved higher during April as commodity prices bounced and global central banks continued to provide an accommodative backdrop for stocks. Foreign exchange positions added additional losses.  Short positioning on the British pound versus the US dollar showed losses when the pound strengthened as fears began to subside that the United Kingdom might vote to exit the European Union at a planned referendum in June (the so-called BREXIT).
 
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Losses in commodities and foreign exchange leave the Trust with a decline in May, while interest rate and stock index holdings produced gains. Commodity positions from both the trend and non-trend models provided losses to the Trust.  Long holdings on gold and silver both suffered as the US dollar strengthened during the month.  Short positioning within the energy complex generated losses as the price of crude rallied on back of the supply and demand equilibrium showing tentative signs of rebalancing.  In the meats, short cattle positions suffered as those markets rose amid signs of increased demand.  Small offsetting profits were found within the grains sub-sector as a long soybean position profited due to strong US export sales and South American crop concerns. Foreign exchange positions from both the trend and non-trend systems also showed losses during May.  After weakening for several months in a row, the US dollar steadily strengthened throughout most of the month hurting the Trust's short dollar positions against a variety of currencies.  Front-end US yields repriced higher as the Fed reminded markets through multiple channels that all FOMC meetings going forward are "live" with respect to potential policy change, fueling US dollar strength. Interest rate holdings had one of the largest positive impacts on the monthly P&L with both trend following and non-trend systems showing gains.  Long positioning on long-dated markets in Europe, Australia, and the UK produced some of the best gains.  A mix of weaker economic data, dovish central bank actions, and concern over the late June UK referendum to leave the Euro-zone (i.e. "BREXIT") all helped to push prices higher in those regions during May. Stock index holdings showed a positive monthly P&L impact, especially from the non-trend models.  The faster-reacting non-trend systems were able to successfully navigate the choppy price action seen in many of the global stock indexes.  A short position on the S&P 500 volatility index benefitted from the general risk-on environment in the second half of the month which pushed that index sharply lower.
The Trust showed a profit in June as gains came from interest rate and commodity markets, while stock index and foreign exchange holdings produced some losses. Interest rate holdings had the largest positive impact on the monthly P&L with both trend following and non-trend systems showing gains.  Long positions across global interest rate markets showed strong profits, especially within Europe.  United Kingdom voters surprised and shocked markets worldwide with their decision to leave the European Union.  The so-called BREXIT sparked a risk-off reaction globally, with government bond futures among the largest beneficiaries, as investors accepted record low bond yields in multiple markets in exchange for the safety of government paper. Commodity positions from the trend models provided some additional gains.  Long positioning on the precious metals was one of the best performing sub-sectors.  The flight to safety triggered by the UK BREXIT vote along with dampened expectations of additional US FOMC interest rate hikes this year pushed gold and silver prices sharply higher.  The grains sub-sector contributed additional profits led by a long soybean holding which rose amid a bullish June crop report.  Short positioning on natural gas produced some offsetting losses as lower average inventories, as calculated by the US EIA, helped contribute to a short squeeze in that market. Stock index holdings produced some of the largest monthly losses with both the trend following and non-trend systems contributing.  Long global stock index exposure suffered from risk-off selling caused by the uncertainty that the UK BREXIT vote created.  In addition, a short position on the CBOE volatility index future produced losses amid the sharp spike in volatility due to the UK referendum. Foreign exchange positions showed some small losses during June.  Mixed FX positioning against the US dollar led to mostly offsetting gains and losses.  Profits were seen on a long Japanese yen position which strengthened in a flight-to safety trade.  Losses were produced by positioning on the Euro which saw choppy price action leading up to and after the surprising BREXIT decision.
The Trust showed a profit in July with gains from stock index, commodity, and interest rate markets, while foreign exchange holdings produced some small losses. Stock index holdings produced some of the largest monthly gains with both the trend following and non-trend systems contributing.  Global equity markets shook off the fear and uncertainty created by the UK's decision to leave the European Union and produced strong gains during July.  Long positioning within the Trust across global stock indexes benefitted from the higher prices with holdings in Australia, the UK, Canada, Germany, and Taiwan producing some of the best performance.  Generally better than expected Q2 earnings results, attractive dividend yields, and the expectation that global central banks will keep rates lower for longer all offset terror attacks, a coup attempt in Turkey, and uncertainty over the US presidential election. Commodity positions from both the trend and non-trend models provided some additional gains to the Trust.  Short positioning across the energy complex was profitable with both gasoline and WTI crude producing some of the best returns.  Inventory reports during the month showed that supply was plentiful leading to lower prices.  Precious metals added to gains within the sector as long positioning benefitted from a slightly weaker US dollar and ongoing accommodation from the US Federal Reserve.  Some offsetting losses were produced within the grain sub-sector.  A long position on soybeans suffered from weaker demand amid robust crop expectations. Interest rate holdings had a positive impact on the monthly P&L with trend following systems showing gains.  Long positioning on long-dated interest rate markets produced some of the best profits.  Holdings in Australia benefitted from an accommodative central bank that is grappling with persistently low inflation readings and uncertainty around the newly elected Prime Minister's effectiveness given his very narrow victory. Foreign exchange positioning produced small losses driven by non-trend following strategies.  Choppy price action and a mix of long and short positioning versus the US dollar led to the muted P&L within the FX sector overall.
Decline in August came from losses primarily in commodity, foreign exchange, and interest rate positions, while stock index positions closed the month flat. Commodity holdings from the trend models provided some of the largest losses to the Trust.  Positioning within the energy and precious metal sub-sectors caused a bulk of the damage.  Short positioning within the energy complex suffered from concerns that OPEC might try to rein in production at an informal meeting scheduled for September which helped fuel a short squeeze.  Long holdings on precious metals also caused losses as growing expectations for higher interest rates in the US led to a sell-off in both gold and silver.  The Trust did receive some offsetting gains from a short position on wheat which saw its price decline to a 10-year low on abundant supply. Foreign exchange positions from both trend following and non-trend following strategies also showed losses during August.  Some of the largest monthly losses were seen in the euro, Mexican peso, and Australian dollar (all versus the US dollar). Choppy price action in the euro and peso created a difficult environment for our systems to trade profitably.  A multi-month uptrend in the Aussie dollar produced losses when that currency experienced a price reversal beginning in the middle of the month. Interest rate holdings had a negative impact on the monthly P&L with trend following and non-trend systems both showing losses.  Long positioning, especially within the US, suffered from a better than expected July US employment report released early in the month.  A growing stream of comments from US Federal Reserve members signaling their willingness to potentially raise interest rates at one of three remaining 2016 FOMC meetings also pressured interest rate markets lower, sending yields higher. Stock index P&L was relatively flat as a long position within Australia was hurt by a sell-off in the financial, mining, and telecommunication sectors.  Some offsetting gains were found in a long position within Hong Kong which rose in value on better than expected earnings and amid the news that the long-planned stock-trading link between Hong Kong and China was officially approved.
Losses across all asset classes leave the Trust lower in September as interest rate holdings had a negative impact on the monthly P&L with trend following and non-trend systems both showing losses.  Uncertainty and nervousness over central bank interest rate decisions drove global fixed income prices lower in the first half of September as the US Federal Reserve, the Bank of Japan, and the European Central Bank all made intra-month policy announcements.  On balance, all three major central banks leaned more hawkish than expected, with the US FOMC indicating that one interest rate hike was likely before year-end.  The Trust was hurt by long positioning on long-dated markets, especially within Australia, the US, and the UK.  Commodity holdings from both non-trend and trend models provided additional losses.  A surprise announcement from OPEC that the cartel had agreed to some production cuts sent the crude complex sharply higher, hurting short positioning.  Oversold price bounces in corn and wheat hurt short positioning within the grains.  Some offsetting gains were seen in the softs and meats.  A continued trend higher in the price of sugar benefitted long positioning, while a drop in both hog and cattle prices was profitable for short holdings, as prices fell about 23% and 7%, respectively.  Stock index holdings added to the monthly losses as the non-trend systems struggled to successfully trade choppy global equity index markets. Global stocks sold off in the first half of the month following bond prices lower as yields rose.  Stocks then bounced once markets digested major central bank announcements, only to see prices fall on financial health concerns surrounding Deutsche Bank (DB).  Prices then rebounded when headlines turned more positive on the outlook for DB near month-end.  Foreign exchange positions from the non-trend following strategies showed small losses.  The non-trend systems failed to successfully navigate a very choppy environment for many major currencies.  Among the biggest P&L contributors, the Mexican peso produced gains, while the Canadian dollar and euro produced losses.

 

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2015 (For the Nine Months Ending September 30)
Of the 2015 year-to-date decrease of (5.76)% for Series A, approximately (0.24)% was due to trading losses (before commissions) and approximately (5.79)% due to brokerage fees, management fees, performance fees, operating costs and offering costs, offset by approximately 0.27% due to investment income earned by Series A.
Of the 2015 year-to-date decrease of (5.37)% for Series B, approximately (0.24)% was due to trading losses (before commissions) and approximately (5.40)% due to brokerage fees, management fees, performance fees and operating costs, offset by approximately 0.27% due to investment income earned by  Series B.
Of the 2015 year-to-date decrease of (4.55)% for Series W, approximately (0.24)% was due to trading losses (before commissions) and approximately (4.58)% due to brokerage fees, management fees, performance fees, service fees, operating costs and offering costs, offset by approximately 0.27% due to investment income earned by Series W.
During the nine months ended September 30, 2015, the Trust accrued management fees in the amount of $24,908,089 and paid management fees in the amount of $24,289,447. Performance fees were accrued in the amount of $13,671,976 and paid in the amount of $30,518,362.
An analysis of the (0.24)% gross trading losses for the Trust for the nine months ended September 30, 2015 by sector is as follows:
Sector
% Gain (Loss)
Commodities
 
(2.30)%
Currencies
 
3.47     
Interest Rates
 
(1.44)    
Stock Indices
 
0.03    
   
(0.24)%

The Trust had a strong start to 2015 with gains during January in all sectors - interest rates, commodities, foreign exchange, and stock indices. The largest gains for January came from long global interest rate positions driven by the trend-following strategies as interest rate products rallied during the month. Widespread deflationary concerns and slowing economic growth led to extraordinary central bank actions during the month. The European Central Bank (ECB) exceeded market expectations with their quantitative easing (QE) package and over ten other central banks eased financial conditions as well. Commodity positions were another source of profits during the month. Trend following strategies showed gains while non-trend programs produced some offsetting losses. Short energy exposure was one of the best performing sub-sectors as the sell-off across the energy complex continued unabated. Both WTI and Brent each lost more than 8% during the month. In the industrial metal sub-sector, short copper positioning was also a winner as slowing demand and growing inventories sent the price to a five year low. Precious metals produced the largest offsetting losses as shorts on silver and gold suffered from flight to safety buying during the month. Foreign exchange contributed additional gains, driven by the trend following systems. Long positioning in the U.S. dollar proved profitable, especially versus short the Canadian dollar and the euro. The Canadian central bank unexpectedly cut interest rates pushing their currency sharply lower. The ECB announced a larger than expected QE package that sent the euro down to levels not seen since 2003. Some offsetting losses were experienced in short Swiss franc positioning when the Swiss National Bank shocked global markets by suddenly removing its three-year old peg to the euro which sent the franc sharply higher. Stock index positioning from the trend following systems showed small additional gains during the month. Gains were found from long positioning in Europe and Canada where central bank easing provided a boost to equities in those regions.
 
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February for the Trust comprised of losses in commodities, interest rates, and foreign exchange offset gains from stock indices. The largest losses came from short commodity positions driven by both trend-following and non-trend following strategies. Short energy exposure was one of the worst performing sub-sectors as the crude complex experienced a significant bounce during the month after a sharp six-month sell-off. Signs of falling production, refinery disruptions, and cold weather helped to squeeze prices higher. Grain positions added to losses as short positions in corn and wheat were hurt by stronger export sales. Some offsetting gains were found in the soft commodities. A short position in coffee experienced profits as improving weather in Brazil boosted prospects for an abundant harvest which weighed heavily on the product. Interest rate positions were another source of losses during the month. Trend following strategies showed declines while non-trend programs produced some offsetting gains. Long positioning within the United States and the United Kingdom produced some of the largest losses as better economic data, improving inflation trends, and less dovish central bank comments pressured markets lower. Foreign exchange contributed small additional losses. Short positioning on the British pound versus the U.S. dollar suffered from hawkish U.K. central bank comments on the back of stronger than expected economic data. Some offsetting gains came from short euro and short yen positions, both versus the U.S. dollar, as diverging central bank policy paths continue to provide opportunity for our strategies. Stock index positioning from both trend following and non-trend following systems showed strong gains during the month. Global profits were found from long positioning in the U.S., Japan, Australia, Europe, and Canada as a bounce in oil prices alleviated some fears around a global growth slowdown. Pockets of stronger than expected economic data linked with a tentative resolution to the Greek geopolitical crisis fed the risk-on sentiment for stocks.

Gains in foreign exchange and commodities led to a profitable March for the Trust as profits from foreign exchange, commodity, and interest rate holdings all contributed while stock index positions produced some offsetting losses during the month. The largest profits for March were provided by foreign exchange positions from both trend following and non-trend strategies. Short euro positioning versus the U.S. dollar was one of the best performing holdings. The euro continued to trade lower as the European Central Bank's unprecedented monetary stimulus contrasted sharply with the U.S. Federal Reserve, which many expect to raise interest rates later this year. The euro was also pressured lower as Greece struggles to secure bailout funds and avert a default. Other gains came from short positioning on several commodity currencies as the price of oil resumed its downward trend pulling those markets lower. Commodities were another source of profits during the month. Short positioning across the energy complex proved profitable as the sell-off in those markets began again amid new signs of global oversupply. A potential political agreement with Iran also threatened to dump even more supply on the already saturated market if Western sanctions are scaled back. Soft commodities were another source of gains. Short positioning on sugar and coffee produced profits as favorable growing weather increased expectations for plentiful supplies of those commodities. Small additional gains came from interest rate positions. Long positioning across long-dated global instruments continues to be the theme for positioning within this sector. Losses in Japan and Germany were more than offset by gains experienced in the United States, Australia, the United Kingdom, and Canada. Global stock indexes showed losses from both trend and non-trend strategies. Global stocks were mixed during March as some gains in Europe, helped by the ECB's quantitative easing program, were offset by losses in the U.S., U.K., Canada, and Australia hampered by a stronger U.S. dollar and falling global commodity prices.
The Trust showed a decline in April as losses from foreign exchange, interest rate, and commodity holdings all contributed to the decline while stock index positions produced some offsetting gains during the month. Some of the largest losses for April were produced by foreign exchange positions from both trend following and non-trend following strategies.  Short euro positioning versus the U.S. dollar was one of the worst performing holdings.  The euro moved higher as weaker U.S. economic data suggested that the U.S. Fed will hold off on an interest rate hike longer than expected.  A calming of concern around the solvency of Greece also helped to boost the euro.  Faster reacting non-trend models showed some offsetting gains in the British pound as that currency reversed higher during the month on hawkish U.K. central bank comments and an improvement in sentiment around their upcoming elections. Interest rates were another source of losses during the month.  Long positioning across long-dated fixed income instruments provided most of the declines as global interest rate products sold-off.  Losses in Australia stemmed from hawkish central bank comments and some surprisingly strong economic data.  Concern over ultra-low interest rate yields in Germany linked with bearish comments from several prominent asset managers caused those bond prices to fall.  Additional declines came from commodity positions.  Short positioning across the energy complex was hurt by rising prices as supply concerns eased and the weaker U.S. dollar was supportive to prices.  Trading in soft commodities, namely sugar and coffee, also produced losses.  Non-trend strategies produced some offsetting gains within the industrial metals sub-sector.  Long metals positions benefitted from a weaker U.S. dollar and new Chinese stimulus measures which helped to push those markets higher.  Global stock indices showed gains from the trend strategies.  Long positioning on the Hang Seng index in Hong Kong was one of the best performing holdings during the month as the index rose almost 13%.  Hong Kong shares rose sharply when Chinese regulators allowed mutual funds to buy shares in companies included in the index.
 
The Trust showed a decline in May as losses from interest rate and commodity holdings were only partially offset by gains from foreign exchange and stock index positions, leaving the portfolio lower on the month.  Some of the largest losses were produced by interest rate positions from both trend following and non-trend strategies.  Long positioning across long-dated interest rate products suffered when well established trends sharply reversed during the month.  Some of the largest losses were seen in Germany and Australia.  The German sell-off, which spilled over into other global interest rate markets, was primarily driven by technical factors, including liquidity and positioning.  Australia saw some stronger than expected economic data, which put pressure on their interest rate markets.  Additional declines came from commodity positions within trend following as non-trend strategies showed some smaller offsetting gains in the sector.  One of the worst performing sub-sectors was industrial metals.  Long positioning on copper and zinc suffered from a strengthening U.S. dollar and additional signs of an economic slowdown in China.  Long positioning on precious metals also suffered from the stronger dollar.  Some offsetting gains came from the grain sub-sector. Shorts on both corn and soybeans profited from a drop in prices due to steady planting progress.  Some of the best gains during May were within foreign exchange holdings where both trend following and non-trend strategies showed profits.  Short positioning on the Japanese yen versus the U.S. dollar was one of the biggest gains.  The yen weakened to a 12-year low versus the dollar.  After a soft first quarter, data suggested that the U.S. economy was starting to accelerate leading to speculation that the U.S. Federal Reserve could raise interest rates later this year for the first time since 2006.  Global stock indices also showed gains with both the trend and non-trend strategies contributing.  Long positioning on the Japanese Nikkei 225 index produced some of the largest sector gains.  Japanese stocks rose steadily throughout the month as the falling yen provided a strong tailwind for stocks.
 
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The Trust showed a sharp decline in June as losses from commodity, stock index, foreign exchange, and interest rate holdings left the Trust lower on the month.  Some of the largest losses were produced by commodity positions from both trend following and non-trend strategies.  Short positioning on various grain markets proved unprofitable.  Corn, wheat, and soybean futures rose sharply due to crop concerns amid heavy rainfall in the Midwest.  These moves were exacerbated by significant short covering in the marketplace.  Energy markets also contributed to losses.  A short natural gas holding was hurt by signs of slowing production growth, stronger power burns, and a slowing pace of storage builds which sent the market higher.  Soft commodities showed losses as short positioning on coffee suffered from higher prices amid improved demand prospects and a lowered Brazilian output forecast.  Additional declines came from stock index positions within both trend following and non-trend following systems.  The Trust was generally positioned long global stocks during the month, with an emphasis on the U.S. and Japan.  A lack of positive progress on the Greek financial crisis near month-end caused a bout of "risk-off" selling which sent all global stock markets sharply lower leading to losses.  Foreign exchange positioning also detracted from performance as both trend and non-trend strategies saw declines.  A short New Zealand dollar position proved to be a profitable trade given the continued downtrend, but most of the other currencies in the Trust saw negative performance due to choppy, directionless trading.  In interest rate markets non-trend strategies provided some partially offsetting gains to the losses encountered by the trend systems.  Global bond markets experienced some very choppy price action that was difficult for the trend systems to navigate.  For example, in the U.S. interest rate markets were under pressure early in the month after some better than expected economic data.  These markets then sharply reversed to the upside later in June driven by safe haven buying amid the worsening Greek financial crisis and the uncertainty that it fueled.
The Trust showed a gain in July as profits from commodity and foreign exchange positions more than offset losses experienced on stock index and interest rate holdings.  Some of the largest gains were produced by commodity positions from both trend following and non-trend strategies.  Short positioning within precious metals was one of the most profitable trades during the month.  Gold and silver both fell sharply amid the ongoing strength of the US dollar.  Demand for gold by the Chinese government was shown to be much weaker than expected, sending the metal to its lowest level in five years.  Short holdings on the industrial metals, namely copper, also proved profitable.  Copper fell sharply amid growing concerns over the health of the Chinese economy.  The Trust experienced some offsetting losses in the grains.  A long position in wheat suffered as the commodity experienced a harsh sell-off due to healthy crop expectations and continued US export weakness.  Additional profits during the month came from foreign exchange positions, especially within the trend following systems.  Short positioning on the Australian dollar, Canadian dollar, and New Zealand dollar, commonly referred to as "commodity currencies," all proved profitable.  The global commodity weakness seen during July, as evidenced by a more than 14% decline in the S&P GSCI Index, a measure of a basket of 24 commodities, pressured all these currencies lower.  Stock index positioning detracted from performance as both trend and especially non-trend strategies saw declines.  Short-term non-trend models struggled to successfully navigate several risk-on / risk-off shifts in the equity markets.  The Greek financial crisis provided some of the market moving news as headlines shifted from dire to hopeful.  Interest rate positions showed a decline during the month as losses from trend following strategies overwhelmed gains from non-trend systems.  The Greek crisis proved to be a major driver of interest rate markets, in addition to ongoing expectations that the U.S. Federal Reserve is getting closer to its first interest rate hike in years.
The Trust had offsetting gains and losses in August as profits from commodity positions were offset by losses in interest rate positions.  Foreign exchange and stock index holdings had little positive or negative impact on the Trust.  Some of the largest gains were produced by commodity positions from trend following systems as non-trend strategies showed some losses in the sector.  Short holdings on the industrial metals, namely zinc, nickel, and aluminum, were some of the largest gainers amid growing concern that the Chinese economy is in worse shape than previously thought.  China is a huge consumer of these metals.  Short positions within the energy sub-sector also proved to be profitable trades during the month with Brent and WTI among the best gainers.  Chinese growth concerns coupled with ongoing abundant petroleum supplies conspired to put downward pressure on prices.  The Trust experienced some offsetting losses in the precious metals and soft commodities.  A short position from gold suffered from flight to safety buying amid a sharp decline in global equities.  A short holding on coffee was hurt in the first half of the month amid concerns surrounding smaller bean sizes in Brazil.  Foreign exchange was relatively flat for August.  Short positioning on the Canadian, New Zealand, and Australian dollars, commonly referred to as "commodity currencies," proved profitable.  The Chinese economic slowdown was the catalyst for the sell-off in these markets. Offsetting losses were incurred by positioning in the Euro, Japanese yen, and Swedish krona. Stock index positioning had little impact on monthly performance.  Shorter-term, faster reacting non-trend strategies showed gains in the sector while trend following systems with longer-term, slower indicators showed offsetting losses.  Poor Chinese economic data linked with their surprising currency devaluation sent global stocks sharply lower.  Interest rate positions showed a small decline during the month as losses from non-trend strategies overwhelmed gains from trend following systems.  Interest rate markets experienced choppy price action amid risk-off / risk-on buying and selling plus continued uncertainty over the timing of the first U.S. Federal Reserve rate hike in some nine years.
The Trust showed a gain in September as profits from commodity and foreign exchange positions were the primary drivers during the month, although both fixed income and stock index holdings also contributed positively to the month's profits.  The commodity sector produced gains during the month primarily driven by non-trend systems.  Some of the best gains were found in short positioning on natural gas, WTI, and Brent.  Natural gas sold off on inventory builds along with moderating power demand.  Both WTI and Brent resumed their sell-offs as supplies remained robust while demand, especially from China, continued to show signs of slowing.  A short position on live cattle was also a standout gainer as prices fell amid lower exports and increased supplies.  Some partially offsetting losses were experienced in the sector from the precious metal and grain markets.  Choppy price action for silver produced losses as the strategies failed to find successful trades.  Short positions on both corn and wheat produced losses as those prices rose amid a variety of more bullish news.  Additional gains were produced by foreign exchange positions from trend following systems as non-trend strategies showed some losses in the sector.  Short holdings on the Canadian dollar, Norwegian krone, and Australian dollar (all versus the US dollar) were some of the most profitable trades during the month.  A renewed sell-off in the energy complex linked with softness in commodity prices overall, helped to drag these currencies lower benefitting the Trust's short positioning.  Interest rate positions also added to profits as trend strategies overwhelmed losses from non-trend following systems.  Long positioning on German and Japanese long-dated fixed income produced some of the best gains.  Buying seen in these markets was driven by safe haven demand amidst the slump in stock prices.  Stock index positioning added a small gain to monthly performance.  Shorter-term, faster reacting non-trend strategies experienced gains in the sector while trend following systems produced small losses.  Global growth concerns plus several bearish, high-profile stock-specific news items, weighed on equities throughout the month.

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Item 3. 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, 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.

33

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 and forwards, 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 September 30, 2016 and December 31, 2015 and the trading gains/losses by market category for the nine months ended September 30, 2016 and the year ended December 31, 2015.

 
September 30, 2016
Market Sector
Value at Risk*
 
Trading
Gain/(Loss)**
Commodities
 
0.62%
   
(5.93)%
Currencies
 
0.38%
   
(2.49)%
Interest Rates
 
0.64%
   
4.64 %
Stock Indices
 
0.81%
   
(1.43)%
Aggregate/Total
 
1.62%
   
(5.21)%

*
– 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 nine months ended September 30, 2015.

Of the (8.50)% year to date return for Series A, approximately (5.21)% was due to trading losses (before commissions) and approximately (3.92)% due to brokerage fees, management fees, operating costs and offering costs, offset by approximately 0.63% due to investment income earned by Series A.
 
Of the (8.16)% year to date return for Series B, approximately (5.21)% was due to trading losses (before commissions) and approximately (3.58)% due to brokerage fees, management fees and operating costs, offset by approximately 0.63% due to investment income earned by Series B.
 
Of the (7.28)% year to date return for Series W, approximately (5.21)% was due to trading losses (before commissions) and approximately (2.70)% due to brokerage fees, management fees, service fees, operating costs and offering costs, offset by approximately 0.63% due to investment income earned by Series W.

34


 
December 31, 2015
Market Sector
Value at Risk*
 
Trading
Gain/(Loss)**
Commodities
 
0.91%
   
1.83 %
Currencies
 
0.61%
   
3.08 %
Interest Rates
 
0.66%
   
(4.01)%
Stock Indices
 
0.36%
   
(0.83)%
Aggregate/Total
 
1.82%
   
0.07 %

*
– 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, 2015.

Of the (6.71)% return for year ended 2015 for Series A, approximately (7.13)% was due to brokerage fees, management fees, performance fees, offering costs and operating costs borne by Series A, offset by approximately 0.07% due to trading gains (before commissions) and approximately 0.35% due to investment income.
 
Of the (6.21)% return for year ended 2015 for Series B, approximately (6.63)% due to brokerage fees, management fees, performance fees and operating costs borne by Series B, offset by approximately 0.07% due to trading gains (before commissions) and approximately 0.35% due to investment income.
 
Of the (5.09)% return for year ended 2015 for Series W, approximately (5.51)% due to brokerage fees, management fees, performance fees, service fees, offering costs and operating costs borne by Series W, offset by approximately 0.07% due to trading gains (before commissions) and approximately 0.35% due to investment income.

Material Limitations on 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.

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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 September 30, 2016 by market sector.

Currencies

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 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. The Trust's primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. Campbell & Company anticipates that G-7 interest rates will remain the primary rate exposure of the Trust for the foreseeable future. Changes in the interest rate environment will have the most impact on longer dated fixed income positions, at points of time throughout the year the majority of the speculative positions held by the Trust may be held in medium to long-term fixed income positions.

Stock 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.

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, 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.

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Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Trust as of September 30, 2016.

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 4.  Controls and Procedures

Campbell & Company, the managing operator of the Trust, with the participation of the managing operator's chief executive officer and chief financial officer, 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 chief financial officer have concluded that these disclosure controls and procedures are effective. Effective January 1, 2015, Northern Trust Hedge Fund Services LLC became the Administrator of the Trust. The Administrator's primary responsibilities are portfolio accounting and fund accounting services. The general partner maintains a full shadow set of books which are periodically reconciled to the Administrator. 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.

37

PART II - OTHER INFORMATION

Item 1.  Legal Proceedings.

None

Item 1A.  Risk Factors.

None

Item 2.  Unregistered Sales of Equity Securities and Use of Proceeds.

None

Item 3.  Defaults Upon Senior Securities.

Not applicable

Item 4.  Mine Safety Disclosures.

Not applicable

Item 5.  Other Information.

None

Item 6.  Exhibits.

Exhibit Number
 
Description of Document
     
3.01
 
Articles and Plan of Merger of the Campbell Fund Limited Partnership with and into the Registrant dated January 2, 1996 (1)
     
3.02
 
Amended and Restated Declaration of Trust and Trust Agreement of the Registrant dated February 3, 2010 (2)
     
10.01
 
Advisory Agreement between the Registrant and Campbell & Company, LP (1)
     
10.02
 
Global Institutional Master Custody Agreement (2)
     
31.01
 
Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
     
31.02
 
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
     
32.01
 
Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
     
32.02
 
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
     
101.01
 
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments September 30, 2016 and December 31, 2015, (ii) Statements of Financial Condition September 30, 2016 and December 31, 2015, (iii) Statements of Operations For the Three and Nine Months Ended September 30, 2016 and 2015, (iv) Statements of Cash Flows For the Nine Months Ended September 30, 2016 and 2015, (v) Statements of Changes in Partners' Capital (Net Asset Value) For the Nine Months Ended September 30, 2016 and 2015, (vi) Financial Highlights For the Three and Nine Months Ended September 30, 2016 and 2015, (vii) Notes to Financial Statements.

(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 Form 10-Q filed on August 15, 2011.
38

SIGNATURES

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

 
THE CAMPBELL FUND TRUST
(Registrant)
 
       
 
By:
Campbell & Company, LP
 
   
Managing Operator
 
       
Date: November 14, 2016
By:
/s/ G. William Andrews
 
   
G. William Andrews
Chief Executive Officer
 

39

EXHIBIT INDEX

Exhibit Number
 
Description of Document
31.01
 
Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
     
31.02
 
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
     
32.01
 
Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
     
32.02
 
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
     
101.01
 
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments September 30, 2016 and December 31, 2015, (ii) Statements of Financial Condition September 30, 2016 and December 31, 2015, (iii) Statements of Operations For the Three and Nine Months Ended September 30, 2016 and 2015, (iv) Statements of Cash Flows For the Nine Months Ended September 30, 2016 and 2015, (v) Statements of Changes in Partners' Capital (Net Asset Value) For the Nine Months Ended September 30, 2016 and 2015, (vi) Financial Highlights For the Three and Nine Months Ended September 30, 2016 and 2015, (vii) Notes to Financial Statements.