10-Q 1 cft10q_sep2020.htm FORM 10-Q

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, 2020

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 or other jurisdiction of incorporation or 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)
 

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

Title of each class
Trading Symbol(s)
Name of each exchange on which registered
Not applicable.
Not applicable.
Not applicable.

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

Indicate by check mark whether the registrant has submitted electronically every Interactive data File required to be submitted pursuant to Rule 405 of regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).  Yes ☑ No ☐

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

 Large accelerated filer ☐
Accelerated filer ☐
Non-accelerated filer ☑
Smaller reporting company ☐
 


Emerging growth company ☐




If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Securities Act. ☐

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

The Registrant has no voting stock. As of September 30, 2020, there were 88,379.280 Series A Units, 11,973.383 Series B Units, 5,010.803 Series D Units, and 8,752.772 Series W Units of Beneficial Interest issued and outstanding.
 


TABLE OF CONTENTS

 
Page
PART I — FINANCIAL INFORMATION
 
       
 
Item 1.
Financial Statements.
 
       
   
1-4
       
   
5
       
   
6
       
   
7
       
   
8-9
       
   
10-13
       
   
14-28
       
 
Item 2.
29-38
       
 
Item 3.
38-44
       
 
Item 4.
44
       
PART II — OTHER INFORMATION
 
       
 
Item 1.
45
       
 
Item 1A.
45
       
 
Item 2.
45
     
 
Item 3.
45
       
 
Item 4.
45
       
 
Item 5.
45
       
 
Item 6.
46-47
       
 
48

THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2020 (Unaudited)

FIXED INCOME SECURITIES

Maturity
Face Value
  Description  
Fair
Value ($)
   
% of Net
Asset Value
 

   
Asset Backed Securities
           
     
United States
           
     
Auto Loans
 
$
11,543,668
     
4.24
%
     
Credit Cards
   
1,036,645
     
0.38
%
     
Equipment Loans
   
2,449,705
     
0.90
%
     
Utility Rate Reduction Bonds
   
17,284
     
0.01
%
     
Total Asset Backed Securities (cost $14,947,861)
   
15,047,302
     
5.53
%
     
 
               
     
Bank Deposits
               
     
United States
               
     
Financials
   
3,126,104
     
1.15
%
     
Total Bank Deposits (cost $3,125,294)
   
3,126,104
     
1.15
%
     
 
               
     
Commercial Paper
               
     
Australia
               
     
Financials (cost $399,685)
   
399,953
     
0.15
%
     
Norway
               
     
Financials (cost $1,339,302)
   
1,339,526
     
0.49
%
     
United Kingdom
               
     
Financials (cost $1,363,162)
   
1,363,112
     
0.50
%
     
United States
               
     
Communications
   
5,601,715
     
2.06
%
     
Consumer Discretionary
   
6,517,579
     
2.40
%
     
Consumer Staples
   
2,374,292
     
0.87
%
     
Energy
   
8,102,539
     
2.98
%
     
Financials
   
34,456,178
     
12.67
%
     
Industrials
   
2,278,992
     
0.84
%
     
Utilities
   
12,568,954
     
4.62
%
     
Total United States (cost $71,865,587)
   
71,900,249
     
26.44
%
     
Total Commercial Paper (cost $74,967,736)
   
75,002,840
     
27.58
%
     
 
               
     
Corporate Bonds
               
     
Australia
               
     
Financials (cost $3,585,000)
   
3,598,849
     
1.32
%
     
Canada
               
     
Financials (cost $7,599,938)
   
7,616,962
     
2.80
%
     
Germany
               
     
Consumer Discretionary (cost $3,814,278)
   
3,836,865
     
1.41
%
     
Switzerland
               
     
Financials (cost $2,449,461)
   
2,484,933
     
0.91
%
     
United Kingdom
               
     
Financials (cost $3,860,000)
   
3,871,169
     
1.42
%
     
United States
               
     
Communications
   
966,606
     
0.36
%
     
Consumer Discretionary
   
10,782,568
     
3.96
%
     
Energy
   
4,495,111
     
1.65
%
     
Financials
   
18,564,627
     
6.83
%
     
Health Care
   
1,599,609
     
0.59
%
     
Industrials
   
4,895,487
     
1.80
%
     
Materials
   
875,610
     
0.32
%
     
Technology
   
5,862,540
     
2.16
%
     
Total United States (cost $47,748,676)
   
48,042,158
     
17.67
%
     
Total Corporate Bonds (cost $69,057,353)
 
$
69,450,936
     
25.53
%

See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2020 (Unaudited)
 FIXED INCOME SECURITIES

Maturity
Face Value
 
Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
   
Government and Agency Obligations
           
   
United States
           
   
U.S. Treasury Bills
           
$
4,660,000
 
U.S. Treasury Bills * Due 10/15/2020
 
$
4,659,860
     
1.71
%
$
25,125,000
 
U.S. Treasury Bills * Due 11/12/2020
   
25,122,337
     
9.24
%
$
14,092,500
 
U.S. Treasury Bills * Due 12/17/2020
   
14,089,710
     
5.18
%
     
Total Government and Agency Obligations (cost $43,871,616)
   
43,871,907
     
16.13
%
     
Total Fixed Income Securities **
               
     
(cost $205,969,860)
 
$
206,499,089
     
75.92
%

LONG FUTURES CONTRACTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Agriculture
 
$
1,379,894
     
0.51
%
Energy
   
(9,120
)
   
0.00
%
Metals
   
451,282
     
0.16
%
Stock indices
   
(514,745
)
   
(0.19
)%
Short-term interest rates
   
72,431
     
0.03
%
Long-term interest rates
   
1,159,312
     
0.43
%
Net unrealized gain (loss) on long futures contracts
   
2,539,054
     
0.94
%

SHORT FUTURES CONTRACTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Agriculture
   
(149,188
)
   
(0.06
)%
Energy
   
1,692,435
     
0.62
%
Metals
   
565,611
     
0.21
%
Stock indices
   
(143,834
)
   
(0.05
)%
Short-term interest rates
   
69,424
     
0.03
%
Long-term interest rates
   
(93,919
)
   
(0.04
)%
Net unrealized gain (loss) on short futures contracts
   
1,940,529
     
0.71
%
Net unrealized gain (loss) on open futures contracts
 
$
4,479,583
     
1.65
%

FORWARD CURRENCY CONTRACTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Various long forward currency contracts
 
$
(9,748,120
)
   
(3.58
)%
Various short forward currency contracts
   
8,328,331

   
3.06
%
Net unrealized gain (loss) on open forward currency contracts
 
$
(1,419,789
)
   
(0.52
)%

CREDIT DEFAULT SWAPS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Centrally cleared credit default index swaps - Sell protection (net cost $988,242)
 
$
828,546
     
0.30
%
Total credit default swaps (net cost $988,242)
 
$
828,546
     
0.30
%

INTEREST RATES SWAPS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Centrally cleared interest rate swaps - Receive fixed (net cost $561,006)
 
$
911,130
     
0.33
%
Centrally cleared interest rate swaps - Pay fixed (net cost $4,695)
   
(2,962
)
   
0.00
%
Total interest rate swaps (net cost $565,701)
 
$
908,168
     
0.33
%


*
Pledged as collateral for the trading of futures positions.
**
Included in fixed income securities are U.S. Treasury Bills with a fair value of $43,871,907 deposited with the futures brokers.

See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2019 (Unaudited)

FIXED INCOME SECURITIES

Maturity
Face Value
 
Description
 
Fair
Value ($)
   
% of Net
Asset Value
 

   
Asset Backed Securities
           
     
United States
           
     
Auto Loans
 
$
15,837,798
     
5.12
%
     
Credit Cards
   
2,675,309
     
0.86
%
     
Equipment Loans
   
618,295
     
0.20
%
     
Utility Rate Reduction Bond
   
544,640
     
0.18
%
     
Total Asset Backed Securities (cost $19,601,083)
   
19,676,042
     
6.36
%
     
 
               
     
Bank Deposits
               
     
Singapore
               
     
Financials ($2,837,086)
   
2,837,107
     
0.92
%
     
United States
               
     
Financials ($2,392,198)
   
2,393,483
     
0.77
%
     
Total Bank Deposits (cost $5,229,284)
   
5,230,590
     
1.69
%
     
 
               
     
Commercial Paper
               
     
Australia
               
     
Financials (cost $2,486,462)
   
2,485,923
     
0.80
%
     
Canada
               
     
Financials (cost $999,632)
   
999,620
     
0.32
%
     
Sweden
               
     
Financials (cost $2,990,273)
   
2,990,613
     
0.97
%
     
Switzerland
               
     
Financials (cost $4,296,981)
   
4,297,185
     
1.39
%
     
United States
               
     
Communications
   
2,995,139
     
0.97
%
     
Consumer Discretionary
   
26,514,040
     
8.57
%
     
Consumer Staples
   
4,537,769
     
1.47
%
     
Financials
   
23,493,503
     
7.59
%
     
Industrials
   
1,997,585
     
0.64
%
     
Utilities
   
24,091,267
     
7.78
%
     
Total United States (cost $83,630,421)
   
83,629,303
     
27.02
%
     
Total Commercial Paper (cost $94,403,769)
   
94,402,644
     
30.50
%
     
 
               
     
Corporate Bonds
               
     
Canada
               
     
Financials
   
5,910,253
     
1.91
%
     
Industrials
   
1,595,400
     
0.52
%
     
Total Canada (cost $7,494,451)
   
7,505,653
     
2.43
%
     
Germany
               
     
Consumer Discretionary (cost $5,147,253)
   
5,166,625
     
1.67
%
     
Japan
               
     
Financials (cost $2,020,000)
   
2,020,373
     
0.65
%
     
United Kingdom
               
     
Energy
   
2,120,364
     
0.69
%
     
Financials
   
3,873,831
     
1.25
%
     
Total United Kingdom (cost $5,979,474)
   
5,994,195
     
1.94
%
     
United States
               
     
Communications
   
3,078,403
     
0.99
%
     
Consumer Discretionary
   
14,140,035
     
4.57
%
     
Consumer Staples
   
3,547,193
     
1.14
%
     
Energy
   
6,047,117
     
1.95
%
     
Financials
   
23,371,727
     
7.55
%
     
Industrials
   
5,427,486
     
1.75
%
     
Materials
   
884,220
     
0.29
%
     
Technology
   
5,066,126
     
1.64
%
     
Utilities
   
2,348,096
     
0.76
%
     
Total United States (cost $63,778,285)
   
63,910,403
     
20.64
%
     
Total Corporate Bonds (cost $84,419,463)
  $
84,597,249
     
27.33
%

See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2019 (Unaudited)

FIXED INCOME SECURITIES

Maturity
Face Value
 
Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
   
Government and Agency Obligations
           
   
United States
           
   
U.S. Treasury Bills
           
$
4,160,000
 
U.S. Treasury Bills * Due 01/02/2020
  $
4,160,000
     
1.34
%
$
4,500,000
 
U.S. Treasury Bills * Due 01/16/2020
   
4,497,563
     
1.45
%
$
27,690,000
 
U.S. Treasury Bills * Due 02/13/2020
   
27,642,108
     
8.93
%
$
17,392,500
 
U.S. Treasury Bills * Due 03/12/2020
   
17,341,856
     
5.60
%
     
Total Government And Agency Obligations (cost $53,635,500)
   
53,641,527
     
17.32
%
     
Total Fixed Income Securities ** (cost $257,289,099)
 
$
257,548,052
     
83.20
%

SHORT TERM INVESTMENTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Money Market Funds
               
United States
               
Money Market Funds (cost $4,780)
 
$
4,780
     
0.00
%
Total Short Term Investments (cost $4,780)
  $
4,780
      0.00
%

LONG FUTURES CONTRACTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Agriculture
 
$
111,797
     
0.04
%
Energy
   
897,502
     
0.29
%
Metals
   
2,205,166
     
0.71
%
Stock indices
   
91,738
     
0.03
%
Short-term interest rates
   
(765,294
)
   
(0.25
)%
Long-term interest rates
   
(4,935,840
)
   
(1.59
)%
Net unrealized gain (loss) on long futures contracts
   
(2,394,931
)
   
(0.77
)%

SHORT FUTURES CONTRACTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Agriculture
   
(2,850,079
)
   
(0.92
)%
Energy
   
588,691
     
0.19
%
Metals
   
(4,618,405
)
   
(1.49
)%
Stock indices
   
79,410
     
0.03
%
Short-term interest rates
   
(412
)
   
0.00
%
Long-term interest rates
   
1,055,789
     
0.34
%
Net unrealized gain (loss) on short futures contracts
   
(5,745,006
)
   
(1.85
)%
Net unrealized gain (loss) on open futures contracts
 
$
(8,139,937
)
   
(2.62
)%

FORWARD CURRENCY CONTRACTS

Description
 
Fair
Value ($)
   
% of Net
Asset Value
 
Various long forward currency contracts
 
$
22,090,636
     
7.14
%
Various short forward currency contracts
   
(24,754,313
)
   
(8.00
)%
Net unrealized gain (loss) on open forward currency contracts
 
$
(2,663,677
)
   
(0.86
)%


*
Pledged as collateral for the trading of futures positions.
**
Included in fixed income securities are U.S. Treasury Bills with a fair value of $53,641,527 deposited with the futures brokers.

See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
STATEMENTS OF FINANCIAL CONDITION
SEPTEMBER 30, 2020 AND DECEMBER 31, 2019 (Unaudited)
 
    September 30, 2019    
December 31, 2019
 
ASSETS
 
     
   
Equity in futures brokers trading accounts
               
Cash
 
$
16,137,322
   
$
15,751,729
 
Restricted cash
   
566,829
     
4,648,990
 
Fixed income securities (cost $43,871,616 and $53,635,500, respectively)
   
43,871,907
     
53,641,527
 
Net unrealized gain (loss) on open futures contracts
   
4,479,583
     
(8,139,937
)
Total equity in futures brokers trading accounts
   
65,055,641
     
65,902,309
 
                 
Cash and cash equivalents
   
1,151,191
     
1,118,945
 
Cash at interbank market maker
   
11,910,603
     
14,851,807
 
Restricted cash at interbank market maker
   
23,420,947
     
29,815,239
 
Cash at swaps broker
   
3,592,697
     
0
 
Restricted cash at swaps broker
   
9,338,134
     
0
 
Short term investments (cost $0 and $4,780, respectively)
   
0
     
4,780
 
Fixed income securities (cost $162,098,244 and $203,653,599, respectively)
   
162,627,182
     
203,906,525
 
Credit default index swaps (cost $988,242 and $0, respectively)
   
828,546
     
0
 
Interest rate swaps (cost $565,701 and $0, respectively)
   
908,168
     
0
 
Due from swaps broker
   
32,839
     
0
 
Interest receivable
   
278,900
     
635,953
 
Total assets
 
$
279,144,848
   
$
316,235,558
 
                 
LIABILITIES
               
Accounts payable
 
$
195,062
   
$
327,900
 
Management fee payable
   
461,939
     
995,719
 
Net unrealized loss on forward currency contracts
   
1,419,789
     
2,663,677
 
Accrued commissions and other trading fees on open contracts
   
60,309
     
183,841
 
Offering costs payable
   
102,095
     
114,869
 
Sales commission payable
   
404,029
     
0
 
Redemptions payable
   
4,521,281
     
2,442,931
 
Total liabilities
   
7,164,504
     
6,728,937
 
UNITHOLDERS’ CAPITAL (Net Asset Value)
               
Series A Units - Redeemable
               
Other Unitholders - 88,379.280 and 95,005.038 units outstanding at September 30, 2020 and December 31, 2019
   
210,687,834
     
243,974,281
 
Series B Units - Redeemable
               
Other Unitholders - 11,973.383 and 13,005.349 units outstanding at September 30, 2020 and December 31, 2019
   
31,356,539
     
36,551,654
 
Series D Units - Redeemable
               
Other Unitholders - 5,010.803 and 3,366.350 units outstanding at September 30, 2020 and December 31, 2019
   
4,892,124
     
3,507,300
 
Series W Units - Redeemable
               
Other Unitholders - 8,752.772 and 8,389.889 units outstanding at September 30, 2020 and December 31, 2019
   
25,043,847
     
25,473,386
 
Total unitholders’ capital (Net Asset Value)
   
271,980,344
     
309,506,621
 
Total liabilities and unitholders’ capital (Net Asset Value)
 
$
279,144,848
   
$
316,235,558
 

See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
STATEMENTS OF OPERATIONS
FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (Unaudited)

   
Three Months Ended September 30,
   
Nine Months Ended September 30,
 

 
2020
   
2019
   
2020
   
2019
 
TRADING GAINS (LOSSES)
                       
Futures trading gains (losses)
                       
Realized
 
$
(14,195,388
)
 
$
30,127,764
   
$
(31,779,232
)
 
$
68,472,848
 
Change in unrealized
   
2,984,104
     
(10,072,681
)
   
12,619,520
     
(5,644,585
)
Brokerage commissions
   
(631,218
)
   
(470,721
)
   
(1,683,521
)
   
(1,491,863
)
Net gain (loss) from futures trading
   
(11,842,502
)
   
19,584,362
     
(20,843,233
)
   
61,336,400
 
                                 
Forward currency trading gains (losses)
                               
Realized
   
(6,854,797
)
   
(573,244
)
   
5,916,594
     
3,800,316
 
Change in unrealized
   
2,286,601
     
5,440,788
     
1,243,888
     
(5,569,805
)
Brokerage commissions
   
(56,133
)
   
(56,975
)
   
(144,436
)
   
(208,988
)
Net gain (loss) from forward currency trading
   
(4,624,329
)
   
4,810,569
     
7,016,046
     
(1,978,477
)
                                 
Swap trading gains (losses)
                               
Realized
   
525,424
     
0
     
525,424
     
0
 
Change in unrealized
   
182,771
     
0
     
182,771
     
0
 
Net gain (loss) from swap trading
   
708,195
     
0
     
708,195
     
0
 
Total net trading gain (loss)
   
(15,758,636
)
   
24,394,931
     
(13,118,992
)
   
59,357,923
 
                                 
NET INVESTMENT INCOME (LOSS)
                               
Investment income
                               
Interest income
   
438,509
     
1,963,269
     
2,770,031
     
6,063,413
 
Realized gain (loss) on fixed income securities
   
37,264
     
10,418
     
65,675
     
14,468
 
Change in unrealized gain (loss) on fixed income securities
   
(91,915
)
   
39,047
     
270,276
     
709,628
 
Total investment income
   
383,858
     
2,012,734
     
3,105,982
     
6,787,509
 
                                 
Expenses
                               
Management fee
   
1,428,214
     
3,359,726
     
7,077,889
     
9,695,861
 
Performance fee
   
0
     
21,165
     
0
     
21,165
 
Operating expenses
   
239,824
     
273,180
     
706,390
     
800,984
 
Sales commission
   
1,285,066
     
0
     
1,738,565
     
0
 
Total expenses
   
2,953,104
     
3,654,071
     
9,522,844
     
10,518,010
 
Net investment income (loss)
   
(2,569,246
)
   
(1,641,337
)
   
(6,416,862
)
   
(3,730,501
)
NET INCOME (LOSS)
 
$
(18,327,882
)
 
$
22,753,594
   
$
(19,535,854
)
 
$
55,627,422
 
                                 
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
                               
(based on weighted average number of units outstanding during the period)
                               
Series A
 
$
(158.43
)
 
$
182.38
   
$
(166.55
)
 
$
425.47
 
Series B
 
$
(173.13
)
 
$
201.33
   
$
(181.64
)
 
$
463.18
 
Series D
 
$
(62.26
)
 
$
54.96
   
$
(83.13
)
 
$
164.08
 
Series W
 
$
(175.47
)
 
$
230.00
   
$
(172.20
)
 
$
544.22
 
                                 
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
                               
Series A
 
$
(161.64
)
 
$
178.01
   
$
(184.10
)
 
$
424.18
 
Series B
 
$
(174.07
)
 
$
198.18
   
$
(191.66
)
 
$
473.43
 
Series D
 
$
(62.93
)
 
$
62.39
   
$
(65.55
)
 
$
168.93
 
Series W
 
$
(178.73
)
 
$
224.89
   
$
(174.95
)
 
$
540.86
 
                                 
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
                               
Series A
   
90,597.713
     
98,909.779
     
92,561.559
     
103,422.686
 
Series B
   
12,370.216
     
13,322.219
     
12,672.240
     
14,214.142
 
Series D
   
4,754.203
     
1,724.770
     
4,146.531
     
1,609.926
 
Series W
   
8,757.813
     
8,422.307
     
8,556.163
     
8,776.466
 

See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
STATEMENTS OF CASH FLOWS
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (Unaudited)
 
   
Nine Months Ended September 30,
 
   
2020
   
2019
 
Cash flows from (for) operating activities
           
Net income (loss)
 
$
(19,535,854
)
 
$
55,627,422
 
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
               
Net change in unrealized on futures, forwards, swaps and investments
   
(14,316,455
)
   
10,504,762
 
(Increase) decrease in interest receivable
   
357,053
     
267,540
 
(Increase) decrease in due from swaps broker
   
(32,839
)
   
0
 
Increase (decrease) in accounts payable and accrued expenses
   
(386,121
)
   
50,756
 
Payments for swap contracts
   
(11,120,872
)
   
0
 
Proceeds from swap contracts
   
9,566,929
     
0
 
Purchases of investments
   
(1,912,501,506
)
   
(1,287,177,662
)
Sales/maturities of investments
   
1,963,825,525
     
1,284,874,509
 
Net cash from (for) operating activities
   
15,855,860
     
64,147,327
 
                 
Cash flows from (for) financing activities
               
Addition of units
   
8,610,446
     
11,853,876
 
Redemption of units
   
(23,501,498
)
   
(64,014,197
)
Offering costs paid
   
(1,033,795
)
   
(1,111,234
)
Net cash from (for) financing activities
   
(15,924,847
)
   
(53,271,555
)
                 
Net increase (decrease) in cash, cash equivalents and restricted cash
   
(68,987
)
   
10,875,772
 
                 
Cash, cash equivalents and restricted cash at beginning of period
   
66,186,710
     
67,746,528
 
Cash, cash equivalents and restricted cash at end of period
 
$
66,117,723
   
$
78,622,300
 

The following table provides a reconciliation of cash, cash equivalents and restricted cash reported within the Statements of Financial Condition that sum to the total of the same such amounts shown in the Statements of Cash Flows.

   
September 30, 2020
   
December 31, 2019
 
Cash, cash equivalents and restricted cash at end of period consists of:
           
Equity in futures brokers trading accounts:
           
Cash
 
$
16,137,322
   
$
15,751,729
 
Restricted cash
   
566,829
     
4,648,990
 
Cash and cash equivalents
   
1,151,191
     
1,118,945
 
Cash at interbank market maker
   
11,910,603
     
14,851,807
 
Restricted cash at interbank market maker
   
23,420,947
     
29,815,239
 
Cash at swaps broker
   
3,592,697
     
0
 
Restricted cash at swaps broker
   
9,338,134
     
0
 
Total cash, cash equivalents and restricted cash at end of period
 
$
66,117,723
   
$
66,186,710
 

See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (Unaudited)
 
   
Series A - Other Unitholders
   
Series B - Other Unitholders
 
   
Units
   
Amount
   
Units
   
Amount
 
Nine Months Ended September 30, 2020
                       
                         
Balances at December 31, 2019
   
95,005.038
   
$
243,974,281
     
13,005.349
   
$
36,551,654
 
Net income (loss) for the three months ended March 31, 2020
           
13,283,425
             
1,992,123
 
Additions
   
380.679
     
1,036,884
     
0.000
     
0
 
Redemptions
   
(2,307.266
)
   
(6,263,995
)
   
(239.509
)
   
(714,415
)
Offering costs
           
(322,990
)
           
0
 
Balances at March 31, 2020
   
93,078.451
   
$
251,707,605
     
12,765.840
   
$
37,829,362
 
                                 
Net income (loss) for the three months ended June 30, 2020
           
(14,345,960
)
           
(2,152,270
)
Additions
   
783.671
     
2,071,421
     
2.349
     
6,564
 
Redemptions
   
(2,458.985
)
   
(6,456,980
)
   
(184.065
)
   
(537,159
)
Offering costs
           
(304,760
)
           
0
 
Balances at June 30, 2020
   
91,403.137
   
$
232,671,326
     
12,584.124
   
$
35,146,497
 
                                 
Net income (loss) for the three months ended September 30, 2020
           
(14,353,400
)
           
(2,141,697
)
Additions
   
159.755
     
390,582
     
6.992
     
18,750
 
Redemptions
   
(3,183.612
)
   
(7,743,225
)
   
(617.733
)
   
(1,667,011
)
Offering costs
           
(277,449
)
           
0
 
Balances at September 30, 2020
   
88,379.280
   
$
210,687,834
     
11,973.383
   
$
31,356,539
 
                                 
Nine Months Ended September 30, 2019
                               
                                 
Balances at December 31, 2018
   
111,488.756
   
$
265,715,642
     
15,779.825
   
$
40,954,227
 
Net income (loss) for the three months ended March 31, 2019
           
10,959,406
             
1,636,947
 
Additions
   
402.786
     
966,271
     
29.109
     
78,844
 
Redemptions
   
(8,230.105
)
   
(19,795,854
)
   
(1,684.043
)
   
(4,411,610
)
Offering costs
           
(376,105
)
           
0
 
Balances at March 31, 2019
   
103,661.437
   
$
257,469,360
     
14,124.891
   
$
38,258,408
 
                                 
Net income (loss) for the three months ended June 30, 2019
           
15,004,346
             
2,264,553
 
Additions
   
2,299.229
     
5,873,079
     
0.000
     
0
 
Redemptions
   
(6,398.768
)
   
(16,266,862
)
   
(643.330
)
   
(1,822,852
)
Offering costs
           
(281,414
)
           
0
 
Balances at June 30, 2019
   
99,561.898
   
$
261,798,509
     
13,481.561
   
$
38,700,109
 
                                 
Net income (loss) for the three months ended September 30, 2019
           
18,039,515
             
2,682,188
 
Additions
   
1,804.464
     
5,154,277
     
0.000
     
0
 
Redemptions
   
(3,331.196
)
   
(9,407,495
)
   
(369.314
)
   
(1,143,746
)
Offering costs
           
(349,413
)
           
0
 
Balances at September 30, 2019
   
98,035.166
   
$
275,235,393
     
13,112.247
   
$
40,238,551
 
 
Net Asset Value per Other Unitholders’ Unit - Series A
 
 
September 30, 2020
   
June 30, 2020
   
March 31, 2020
     
December 31, 2019
 
$
2,383.91
   
$
2,545.55
   
$
2,704.25
   
$
2,568.01
 
                             
 
September 30, 2019
   
June 30, 2019
   
March 31, 2019
     
December 31, 2018
 
$
2,807.52
   
$
2,629.51
   
$
2,483.75
   
$
2,383.34
 
                             
Net Asset Value per Other Unitholders’ Unit - Series B
 
 
September 30, 2020
   
June 30, 2020
   
March 31, 2020
     
December 31, 2019
 
$
2,618.85
   
$
2,792.92
   
$
2,963.33
   
$
2,810.51
 
                             
 
September 30, 2019
   
June 30, 2019
   
March 31, 2019
     
December 31, 2018
 
$
3,068.78
   
$
2,870.60
   
$
2,708.58
   
$
2,595.35
 

See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (Unaudited)
 
   
Series D - Other Unitholders
   
Series W - Other Unitholders
   
Trust
 
   
Units
   
Amount
   
Units
   
Amount
   
Total Amount
 
Nine Months Ended September 30, 2020
                             
                               
Balances at December 31, 2019
   
3,366.350
   
$
3,507,300
     
8,389.889
   
$
25,473,386
   
$
309,506,621
 
Net income (loss) for the three months ended March 31, 2020
           
199,390
             
1,512,515
     
16,987,453
 
Additions
   
645.496
     
713,740
     
454.565
     
1,469,957
     
3,220,581
 
Redemptions
   
(94.688
)
   
(104,213
)
   
(394.076
)
   
(1,267,863
)
   
(8,350,486
)
Offering costs
           
(5,038
)
           
(33,974
)
   
(362,002
)
Balances at March 31, 2020
   
3,917.158
   
$
4,311,179
     
8,450.378
   
$
27,154,021
   
$
321,002,167
 
                                         
Net income (loss) for the three months ended June 30, 2020
           
(248,077
)
           
(1,449,118
)
   
(18,195,425
)
Additions
   
815.382
     
866,454
     
308.715
     
969,559
     
3,913,998
 
Redemptions
   
(99.350
)
   
(109,065
)
   
(81.679
)
   
(261,959
)
   
(7,365,163
)
Offering costs
           
(5,435
)
           
(33,359
)
   
(343,554
)
Balances at June 30, 2020
   
4,633.190
   
$
4,815,056
     
8,677.414
   
$
26,379,144
   
$
299,012,023
 
                                         
Net income (loss) for the three months ended September 30, 2020
           
(296,012
)
           
(1,536,773
)
   
(18,327,882
)
Additions
   
377.613
     
379,026
     
231.505
     
687,509
     
1,475,867
 
Redemptions
   
0.000
     
0
     
(156.147
)
   
(453,963
)
   
(9,864,199
)
Offering costs
           
(5,946
)
           
(32,070
)
   
(315,465
)
Balances at September 30, 2020
   
5,010.803
   
$
4,892,124
     
8,752.772
   
$
25,043,847
   
$
271,980,344
 
                                         
Nine Months Ended September 30, 2019
                                       
                                         
Balances at December 31, 2018
   
1,569.589
   
$
1,517,078
     
9,306.953
   
$
25,704,987
   
$
333,891,934
 
Net income (loss) for the three months ended March 31, 2019
           
71,088
             
1,230,838
     
13,898,279
 
Additions
   
0.000
     
0
     
16.012
     
43,708
     
1,088,823
 
Redemptions
   
0.000
     
0
     
(521.852
)
   
(1,483,217
)
   
(25,690,681
)
Offering costs
           
(1,923
)
           
(32,369
)
   
(410,397
)
Balances at March 31, 2019
   
1,569.589
   
$
1,586,243
     
8,801.113
   
$
25,463,947
   
$
322,777,958
 
                                         
Net income (loss) for the three months ended June 30, 2019
           
98,275
             
1,608,375
     
18,975,549
 
Additions
   
45.684
     
49,023
     
63.879
     
190,008
     
6,112,110
 
Redemptions
   
(51.255
)
   
(53,220
)
   
(431.580
)
   
(1,272,851
)
   
(19,415,785
)
Offering costs
           
(2,009
)
           
(32,463
)
   
(315,886
)
Balances at June 30, 2019
   
1,564.018
   
$
1,678,312
     
8,433.412
   
$
25,957,016
   
$
328,133,946
 
                                         
Net income (loss) for the three months ended September 30, 2019
           
94,797
             
1,937,094
     
22,753,594
 
Additions
   
819.067
     
935,309
     
61.448
     
202,023
     
6,291,609
 
Redemptions
   
0.000
     
0
     
(154.739
)
   
(515,786
)
   
(11,067,027
)
Offering costs
           
(2,487
)
           
(34,887
)
   
(386,787
)
Balances at September 30, 2019
   
2,383.085
   
$
2,705,931
     
8,340.121
   
$
27,545,460
   
$
345,725,335
 
 
Net Asset Value per Other Unitholders’ Unit - Series D
 
 
September 30, 2020
   
June 30, 2020
   
March 31, 2020
     
December 31, 2019
 
$
976.32
   
$
1,039.25
   
$
1,100.59
   
$
1,041.87
 
                             
 
September 30, 2019
   
June 30, 2019
   
March 31, 2019
     
December 31, 2018
 
$
1,135.47
   
$
1,073.08
   
$
1,010.61
   
$
966.54
 
                             
Net Asset Value per Other Unitholders’ Unit - Series W
 
 
September 30, 2020
   
June 30, 2020
   
March 31, 2020
     
December 31, 2019
 
$
2,861.25
   
$
3,039.98
   
$
3,213.35
   
$
3,036.20
 
                             
 
September 30, 2019
   
June 30, 2019
   
March 31, 2019
     
December 31, 2018
 
$
3,302.77
   
$
3,077.88
   
$
2,893.26
   
$
2,761.91
 

See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series A units the three months and nine months ended September 30, 2020 and 2019. This information has been derived from information presented in the financial statements.
 
   
Series A
 
   
Three Months Ended September 30,
   
Nine Months Ended September 30,
 
   
2020
   
2019
   
2020
   
2019
 
Per Unit Performance
                       
(for a unit outstanding throughout the entire period)
                       
Net asset value per unit at beginning of period
 
$
2,545.55
   
$
2,629.51
   
$
2,568.01
   
$
2,383.34
 
                                 
Income (loss) from operations:
                               
Total net trading gains (losses) (1)
   
(135.32
)
   
195.78
     
(116.40
)
   
465.70
 
Net investment income (loss) (1)
   
(23.26
)
   
(14.24
)
   
(57.92
)
   
(31.78
)
Total net income (loss) from operations
   
(158.58
)
   
181.54
     
(174.32
)
   
433.92
 
Offering costs (1)
   
(3.06
)
   
(3.53
)
   
(9.78
)
   
(9.74
)
Net asset value per unit at end of period
 
$
2,383.91
   
$
2,807.52
   
$
2,383.91
   
$
2,807.52
 
Total Return (4)
   
(6.35
)%
   
6.77
%
   
(7.17
)%
   
17.80
%
                                 
Supplemental Data
                               
Ratios to average net asset value:
                               
Expenses prior to performance fee (3)
   
4.31
%
   
4.41
%
   
4.34
%
   
4.39
%
Performance fee (4)
   
0.00
%
   
0.00
%
   
0.00
%
   
0.00
%
Total expenses
   
4.31
%
   
4.41
%
   
4.34
%
   
4.39
%
Net investment income (loss) (2),(3)
   
(3.78
)%
   
(2.06
)%
   
(2.98
)%
   
(1.66
)%

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 transfers and redemptions.



(1)
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the 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.
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series B units the three months and nine months ended September 30, 2020 and 2019. This information has been derived from information presented in the financial statements.
 
   
Series B
 
   
Three Months Ended September 30,
   
Nine Months Ended September 30,
 
   
2020
   
2019
   
2020
   
2019
 
Per Unit Performance
                       
(for a unit outstanding throughout the entire period)
                       
Net asset value per unit at beginning of period
 
$
2,792.92
   
$
2,870.60
   
$
2,810.51
   
$
2,595.35
 
                                 
Income (loss) from operations:
                               
Total net trading gains (losses) (1)
   
(148.54
)
   
213.72
     
(128.19
)
   
507.92
 
Net investment income (loss) (1)
   
(25.53
)
   
(15.54
)
   
(63.47
)
   
(34.49
)
Total net income (loss) from operations
   
(174.07
)
   
198.18
     
(191.66
)
   
473.43
 
Net asset value per unit at end of period
 
$
2,618.85
   
$
3,068.78
   
$
2,618.85
   
$
3,068.78
 
Total Return (4)
   
(6.23
)%
   
6.90
%
   
(6.82
)%
   
18.24
%
                                 
Supplemental Data
                               
Ratios to average net asset value:
                               
Expenses prior to performance fee (3)
   
4.32
%
   
4.42
%
   
4.34
%
   
4.40
%
Performance fee (4)
   
0.00
%
   
0.00
%
   
0.00
%
   
0.00
%
Total expenses
   
4.32
%
   
4.42
%
   
4.34
%
   
4.40
%
Net investment income (loss) (2),(3)
   
(3.78
)%
   
(2.06
)%
   
(2.98
)%
   
(1.66
)%

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 transfers and redemptions.



(1)
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the 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.
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series D units the three months and nine months ended September 30, 2020 and 2019. This information has been derived from information presented in the financial statements.
 
   
Series D
 
   
Three Months Ended September 30,
   
Nine Months Ended September 30,
 
   
2020
   
2019
   
2020
   
2019
 
Per Unit Performance
                       
(for a unit outstanding throughout the entire period)