ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934
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(State of Organization)
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(IRS Employer Identification Number)
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(Address of principal executive offices, including zip code)
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(
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(Registrant’s telephone number, including area code)
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Title of each class
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Trading Symbol(s)
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Name of each exchange on which registered
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Not applicable.
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Not applicable.
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Not applicable.
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Units of Beneficial Interest
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(Title of Class)
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Large accelerated filer ☐
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Accelerated filer ☐
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Smaller reporting company
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Emerging growth company
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Page
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PART I
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Item 1.
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1-6
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Item 1A.
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7-23
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Item 1B.
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23
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Item 1C. |
Cybersecurity. |
24 |
Item 2.
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24
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Item 3.
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24
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Item 4.
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24
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PART II
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Item 5.
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25
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Item 6.
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25
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Item 7.
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25-41
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Item 7A.
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41-47
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Item 8.
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47
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Item 9.
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47
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Item 9A.
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47-48
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Item 9B.
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48
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Item 9C. |
Disclosure Regarding Foreign Jurisdictions that Prevent Inspections. |
48 |
PART III
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Item 10.
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49-51
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Item 11.
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51
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Item 12.
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51
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Item 13.
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51
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Item 14.
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52
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PART IV
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Item 15.
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53
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Item 16.
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54
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55
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Item 1. |
Business.
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Commodities
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Interest Rates
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Equity Indices
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Foreign Exchange (1)
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Credit Default Swaps
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Interest Rate Swaps (5-Year)
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||||||
Aluminum
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3-Month SOFR
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Amsterdam IDX
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Australian Dollar (2)
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CDX Emerging Markets
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Czech Koruna
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||||||
Canola
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3MTH SONIA
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CAC 40 Stock Index
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Brazilian Real (3)
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CDX High Yield North American Index
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Hong Kong Dollar
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||||||
China Iron Ore 62%
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Australian 3-Year Bond
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DAX Index
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British Pound (2)
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CDX Investment Grade North American Index
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Mexican Peso
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||||||
Cocoa
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Australian 10-Year Bond
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DJ Euro Stoxx 50
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Canadian Dollar (2)
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iTraxx Crossover Europe Index
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New Zealand Dollar
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||||||
Coffee
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Australian 90-Day Bill
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DJ Index
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Chilean Peso (3)
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iTraxx Investment Grade Europe Index
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Norwegian Krone
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||||||
Copper
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Canadian 10-Year Bond
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E-Mini S&P 500 ESG
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Chinese Yuan (3)
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iTraxx Senior Financials Europe Index
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Polish Zloty
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||||||
Corn
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Canadian 90-Day Bill
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FTSE 100 Index
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Colombian Peso
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Singapore Dollar
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Cotton
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Euro-BOBL
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FTSE China A50
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Czech Koruna
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South African Rand
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Crude Oil
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Euro-BTP Italian Gov Bond
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FTSE JSE Top 40
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Euro (2)
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Swedish Krona
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ECX Emissions Allowance
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Euribor |
FTSE MIB Index
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Hungarian Forint
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Swiss Franc
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|||||||
Feeder Cattle
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Eurodollar
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FTSE Taiwan Index
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|||||||||
Gold
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Euro-Bono Spanish Gov. Bond
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Hang Seng China Enterprises Index
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Indian Rupee (3)
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||||||||
Heating Oil
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Euro-BUND
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Hang Seng Index
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Indonesian Rupiah
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High Grade Copper
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Euro-Buxl 30-Year Bond
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IBEX35 Stock Index
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Japanese Yen (2)
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||||||||
KC Hard Red-Winter Wheat
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Euro-OAT French 10-Year Bond
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IFSC Nifty 50 Index
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Mexican Peso
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||||||||
Live Cattle
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Euro-Schatz
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Mini MSCI EAFE Index
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New Zealand Dollar
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||||||||
London Brent Crude
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Japanese 10-Year Bond
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Mini MSCI Emerging Markets
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Norwegian Krone
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London Gas Oil
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Long Gilt
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MSCI Singapore
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Philippine Peso (3)
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Natural Gas
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Short Term Euro-BTP
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NASDAQ 100 Index
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Singapore Dollar
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NY Gasoline RBOB
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Treasury Notes/2-Year
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Nikkei
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Polish Zloty
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||||||||
Palladium
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Treasury Notes/5-Year
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OMX Stock Index
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South African Rand
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||||||||
Platinum
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Treasury Notes/10-Year
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Russell 2000 Index
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South Korean Won (3)
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||||||||
Robusta Coffee Future
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Treasury Notes/30-Year
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S&P 400 Index
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Swedish Krona
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||||||||
Silver
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Treasury Ultra Long Bond
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S&P 500 Index
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Swiss Franc (2)
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Soybean Meal
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S&P Canada 60 Index
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Taiwan Dollar (3)
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Soybean Oil
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SGX Nifty 50 Index
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||||||||||
Soybeans
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SPI 200 Index
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Sugar #11 (World)
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STOXX Europe 600 ESG
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Wheat
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TOPIX
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||||||||||
Zinc
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(1) |
Traded as forward contracts, not futures
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(2) |
Also may be traded as cross rates
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(3) |
Traded as non-deliverable forward
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RECIPIENT
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NATURE OF PAYMENT
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AMOUNT OF PAYMENT
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Campbell & Company
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Management Fee
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Series A units, Series B units, Series D units and Series W units pay the managing operator a monthly management fee equal to 1/12 of 2% (2% annually) of the Net Assets (as defined) of
Series A units, Series B units, Series D units and Series W units as of the end of each month.
Series A units and Series B units paid the managing operator a monthly management fee equal to 1/12 of 4% (4% annually of which half, or 2%, was used to compensate selling agents for
ongoing services) of the Net Assets (as defined) of Series A units and Series B units, respectively, as of the end of each month. Series D units paid the managing operator a monthly management fee equal to 1/12 of 2.75% (2.75% annually of
which 0.75% was used to compensate selling agents) of the Net Assets (as defined) of Series D units as of the end of each month. Series W units paid the managing operator a monthly management fee equal to 1/12 of 2% (2% annually) of the Net
Assets (as defined) of Series W units as of the end of each month.
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Campbell & Company
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Sales Commissions
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The managing operator pays an upfront sales commission based on Series A units sold by selling agents who have executed selling agreements with the Trust. The Trust pays commissions based
on Series A, Series B, and Series D units.
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For Series A, there is an upfront sales commission paid by the managing operator of 2% of the subscription amount of each subscription for units. For up to twelve months after the sale of
units, the managing operator will receive from the Trust a monthly reimbursement of 1/12 of 2% (2% annually) of the current net asset value of the units the selling agent has sold and which are outstanding at the end of such month. In the
event that the units are redeemed before the twelfth month, the managing operator will receive the redemption fee the Trust deducts from the redemption proceeds. In addition, commencing thirteen months after the sale of units and in return
for providing ongoing services to the unitholder, the Trust will pay the selling agent (or its assignees) a monthly trail commission of 1/12 of 2% (2% annually) of the current net asset value of the units it has sold and which are
outstanding at the end of such month in respect of which the selling agent provides ongoing services.
Series B and Series D units pay a monthly trail commission of 1/12 of 2% (2% annually) and 1/12 of 0.75%, respectively, of the current net asset value of the units the selling agent has
sold and which are outstanding at the end of such month in respect of which the selling agent provides ongoing services. Such ongoing compensation shall commence the first full month after the sale of the units.
Any monthly trail commission which is not paid to a selling agent pursuant to an executed selling or servicing agreement with the Trust will be rebated to unitholders in the form of a
capital addition and is reported as such in the financial statements.
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Campbell & Company
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Performance Fee
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A quarterly performance fee of 20% of the aggregate cumulative appreciation (if any) in the net asset value per Unit of the Series A Units, Series B Units, Series D Units and Series W
Units at the end of each quarter, exclusive of appreciation attributable to interest income or gains or losses derived from the Trust’s fixed income securities.
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Campbell & Company
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Offering Costs
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The Series A Units, Series D Units and Series W Units each bear offering costs incurred in relation to the offering of the Series A Units, Series D Units and Series W Units, respectively,
up to an amount equal to approximately 1/12 of 0.50% of the month-end net assets of each of the Series A Units, Series D Units and Series W Units, totaling a maximum of 0.50% of average month-end net assets per year each of the Series A
Units, Series D Units and Series W Units. Such offering costs of the Trust include all fees and expenses in connection with the distribution of the Units, including legal, accounting, printing, mailing, filing fees, escrow fees, salaries
and bonuses of employees while engaged in sales activities, and marketing expenses of Campbell & Company and the selling agents which are paid by the Trust.
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UBS Securities, LLC and Goldman Sachs & Co.
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Brokerage Commissions
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The Trust pays clearing and brokerage commissions and fees at a rate of approximately $4 for each round-turn trade, or approximately 0.60% of
average month-end net assets per year of each Series of Units. This estimated amount includes futures clearing and execution commissions and other related fees, such as exchange, regulatory and transfer fees.
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NatWest Markets plc
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Over-the-Counter Counterparty Execution and Clearing Costs
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The Trust pays the over-the-counter counterparty prime brokerage fees of approximately $4 per $1 million of over-the-counter contracts it
facilitates on behalf of the Trust, plus any additional electronic trading platform fees. These prime brokerage and electronic trading platform fees will equal approximately 0.05% of the Trust’s average month-end net assets per year of
each Series of Units. The Trust also incurs implicit costs included in the spread between the bid and ask prices of foreign exchange contracts purchased or sold by the Trust.
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Goldman Sachs & Co. | Swap Trading Fees |
With regard to the trading of certain swap contracts, the Trust pays swap execution fees, central clearing counterparty fees, broker fees, and
initial margin charges which equal approximately 0.05% of the Trust’s average month-end net assets per year of each Series of Units.
These swap trading fees, combined with the prime brokerage fees and the futures brokers’ charges, will equal approximately 0.70% of the Trust’s
month-end average net assets.
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Cash Manager and Custodian
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Cash Management and Custody fees
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The Trust pays a combined annualized fee of approximately 0.10% per annum of the funds managed by the Cash Manager for cash management services, custodian fees, and fees associated with
monitoring the Trust’s cash management portfolio.
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Other
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Operating Expenses
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The Trust pays operating expenses (other than the cost of the Units), including, but not limited to, administrative, transfer agency, legal and accounting fees, insurance, and any taxes
or extraordinary expenses payable by the Trust. These expenses are estimated at approximately 0.25% of the Trust’s net assets annually, although there is no limit on the amount of such expenses.
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Item 1A. |
Risk Factors.
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Item 1B. |
Unresolved Staff Comments.
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Item 1C. |
Cybersecurity.
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Item 2. |
Properties.
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Item 3. |
Legal Proceedings.
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Item 4. |
Mine Safety Disclosures.
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Item 5. |
Market for Registrant’s Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.
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Item 6. |
[Reserved]
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Item 7. |
Management’s Discussion and Analysis of Financial Condition and Results of Operations.
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Sector
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% Gain (Loss)
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|||
Credit
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(0.22
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)%
|
||
Commodities
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0.10
|
|||
Foreign Exchange
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(2.02
|
)
|
||
Interest Rates
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(3.51
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)
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Equity Indices
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0.74
|
|||
(4.91
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)%
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Sector
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% Gain (Loss)
|
|||
Credit
|
1.25
|
%
|
||
Commodities
|
8.88
|
|||
Foreign Exchange
|
16.83
|
|||
Interest Rates
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16.26
|
|||
Equity Indices
|
1.11
|
|||
44.33
|
%
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Sector
|
% Gain (Loss)
|
|||
Credit
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(0.59
|
)%
|
||
Commodities
|
11.16
|
|||
Foreign Exchange
|
8.25
|
|||
Interest Rates
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(9.78
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)
|
||
Equity Indices
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8.89
|
|||
17.93
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%
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Item 7A. |
Quantitative and Qualitative Disclosures About Market Risk.
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December 31, 2023
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||||||||
Market Sector
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Value
at Risk*
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Trading
Gain/(Loss)**
|
||||||
Credit
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0.20
|
%
|
(0.22
|
)%
|
||||
Commodities
|
0.73
|
%
|
0.10
|
%
|
||||
Foreign Exchange
|
0.73
|
%
|
(2.02
|
)%
|
||||
Interest Rates
|
0.72
|
%
|
(3.51
|
)%
|
||||
Stock Indices
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0.44
|
%
|
0.74
|
%
|
||||
Aggregate/Total
|
1.59
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%
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(4.91
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)%
|
* |
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.
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** |
Represents the gross trading for the Trust for the year ended December 31, 2023.
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December 31, 2022
|
||||||||
Market Sector
|
Value
at Risk*
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Trading
Gain/(Loss)**
|
||||||
Credit
|
0.09
|
%
|
1.25
|
%
|
||||
Commodities
|
0.54
|
%
|
8.88
|
%
|
||||
Foreign Exchange
|
1.15
|
%
|
16.83
|
%
|
||||
Interest Rates
|
0.98
|
%
|
16.26
|
%
|
||||
Stock Indices
|
0.53
|
%
|
1.11
|
%
|
||||
Aggregate/Total
|
1.66
|
%
|
44.33
|
%
|
* |
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Trust’s open positions across all market
sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
|
** |
Represents the gross trading for the Trust for the year ended December 31, 2022.
|
December 31, 2021
|
||||||||
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Credit
|
0.07
|
%
|
(0.59
|
)%
|
||||
Commodities
|
0.91
|
%
|
11.16
|
%
|
||||
Foreign Exchange
|
0.90
|
%
|
8.25
|
%
|
||||
Interest Rates
|
0.58
|
%
|
(9.78
|
)%
|
||||
Stock Indices
|
0.92
|
%
|
8.89
|
%
|
||||
Aggregate/Total
|
2.09
|
%
|
17.93
|
%
|
* |
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, 2021.
|
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.
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Item 8. |
Financial Statements and Supplementary Data.
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Item 9. |
Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.
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Item 9A. |
Controls and Procedures.
|
• |
Pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Trust;
|
• |
Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and
that the Trust’s transactions are being made only in accordance with authorizations of Management and;
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• |
Provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Trust’s assets that could have a material effect on the
financial statements.
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Item 9B. |
Other Information.
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Item 10. |
Directors, Executive Officers and Corporate Governance.
|
Item 11. |
Executive Compensation.
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Item 12. |
Security Ownership of Certain Beneficial Owners and Management and Related Shareholder Matters.
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(a) |
Security Ownership of Certain Beneficial Owners. As of December 31, 2023, no Units of Beneficial Interest are owned or held by an officer of Campbell & Company.
|
(b) |
Security Ownership of Management. As of December 31, 2023, Campbell & Company did not own any Series A, Series B, Series D or Series W Units.
|
Item 13. |
Certain Relationships and Related Transactions, and Director Independence.
|
Item 14. |
Principal Accounting Fees and Services.
|
(a) |
Audit Fees
|
(b) |
Audit Related Fees
|
(c) |
Tax Fees
|
(d) |
All Other Fees
|
(e) |
The Board of Directors of Campbell & Company approved all of the services described above. The Board of Directors has determined that the payments made to its independent accountants for these services are
compatible with maintaining such auditors’ independence. The Board of Directors explicitly pre-approves all audit and non-audit services and all engagement fees and terms.
|
Item 15. |
Exhibit and Financial Statement Schedules.
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(a) |
The Following documents are filed as part of this report:
|
(1) |
See Financial Statements beginning on page 59 thereof.
|
(2) |
Schedules:
|
(3) |
Exhibits
|
Exhibit Number
|
Description of Document
|
|
3.01
|
||
3.02
|
||
10.01
|
||
10.02
|
||
10.03
|
||
Certification of Kevin D. Cole, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.
|
||
Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of Kevin D. Cole, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
Certification of John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
101.01
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of December 31, 2023 and 2022, (ii) Statements of Financial Condition as of December 31,
2023 and 2022, (iii) Statements of Operations For the Years Ended December 31, 2023, 2022 and 2021, (iv) Statements of Cash Flows For the Years Ended December 31, 2023, 2022 and 2021, (v) Statements of Changes in Unitholders’ Capital (Net
Asset Value) For the Years Ended December 31, 2023, 2022 and 2021, (vi) Financial Highlights For the Years Ended December 31, 2023, 2022 and 2021, (vii) Notes to Financial Statements.
|
|
104
|
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).
|
(1) |
Incorporated by reference to the respective exhibit to the Registrant’s Form 10 filed on April 30, 2003.
|
(2) |
Incorporated by reference to the respective exhibit to the Registrant’s Quarterly Report on Form 10-Q filed on August 15, 2011.
|
(3) |
Incorporated by reference to the respective exhibit to the Registrant’s Quarterly Report on Form 10-Q filed on May 15, 2014.
|
Item 16. |
Form 10-K Summary.
|
Certification of Kevin D. Cole, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of Kevin D. Cole, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
Certification of John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
101
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of December 31, 2023 and 2022, (ii) Statements of Financial Condition as of December 31,
2023 and 2022, (iii) Statements of Operations For the Years Ended December 31, 2023, 2022 and 2021, (iv) Statements of Cash Flows For the Years Ended December 31, 2023, 2022 and 2021, (v) Statements of Changes in Unitholders’ Capital (Net
Asset Value) For the Years Ended December 31, 2023, 2022 and 2021, (vi) Financial Highlights For the Years Ended December 31, 2023, 2022 and 2021, (vii) Notes to Financial Statements.
|
|
104
|
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).
|
THE CAMPBELL FUND TRUST
|
|||
By:
|
CAMPBELL & COMPANY, LP
|
||
Managing Operator
|
|||
By:
|
/s/ Kevin D. Cole
|
||
Kevin D. Cole
|
|||
Chief Executive Officer
|
Signature
|
Capacity
|
|
/s/ Kevin D. Cole
|
Chief Executive Officer
|
|
Kevin D. Cole
|
||
/s/ Thomas P. Lloyd
|
General Counsel and Chief Compliance Officer
|
|
Thomas P. Lloyd
|
||
/s/ John R Radle
|
Chief Operating Officer
|
|
John R. Radle
|
||
PAGES
|
|
58
|
|
Financial Statements
|
|
59-64
|
|
65
|
|
66
|
|
67
|
|
68-69
|
|
70-73
|
|
74-85
|
Maturity | Fair | % of Net | |||||||||
Face Value
|
Description |
Value ($)
|
Asset Value
|
||||||||
Asset Backed Securities
|
|||||||||||
United States
|
|||||||||||
Auto Loans
|
$ | % | |||||||||
Equipment Loans
|
% | ||||||||||
Total Asset Backed Securities (cost $
|
% | ||||||||||
Bank Deposits
|
|||||||||||
France
|
|||||||||||
Financials (cost $
|
% | ||||||||||
United States
|
|||||||||||
Financials (cost $
|
% | ||||||||||
Total Bank Deposits (cost $
|
% | ||||||||||
Commercial Paper
|
|||||||||||
Canada
|
|||||||||||
Materials (cost $
|
% | ||||||||||
United Kingdom
|
|||||||||||
Financials (cost $
|
% | ||||||||||
United States
|
|||||||||||
Communications
|
% | ||||||||||
Consumer Discretionary
|
% | ||||||||||
Financials
|
% | ||||||||||
Health Care
|
% | ||||||||||
Real Estate
|
% | ||||||||||
Utilities
|
% | ||||||||||
Total United States (cost $
|
% | ||||||||||
Total Commercial Paper (cost $
|
% | ||||||||||
Corporate Bonds
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $
|
% | ||||||||||
Canada
|
|||||||||||
Energy
|
% | ||||||||||
Financials
|
% | ||||||||||
Total Canada (cost $
|
% | ||||||||||
Germany
|
|||||||||||
Consumer Discretionary
|
% | ||||||||||
Industrials
|
% | ||||||||||
Total Germany (cost $
|
% | ||||||||||
Japan
|
|||||||||||
Financials (cost $
|
% | ||||||||||
Netherlands
|
|||||||||||
Financials (cost $
|
% | ||||||||||
Spain
|
|||||||||||
Financials (cost $
|
% | ||||||||||
Switzerland
|
|||||||||||
Financials (cost $
|
$ | % |
Maturity | Fair |
% of Net
|
|||||||||
Face Value
|
Description
|
Value ($)
|
Asset Value
|
||||||||
Corporate Bonds (continued)
|
|||||||||||
United States
|
|||||||||||
Consumer Discretionary
|
$ | % | |||||||||
Consumer Staples
|
% | ||||||||||
Energy
|
% | ||||||||||
Financials
|
% | ||||||||||
Health Care
|
% | ||||||||||
Industrials
|
% | ||||||||||
Materials
|
% | ||||||||||
Real Estate
|
% | ||||||||||
Technology
|
% | ||||||||||
Utilities
|
% | ||||||||||
Total United States (cost $
|
% | ||||||||||
Total Corporate Bonds (cost $
|
% | ||||||||||
Government and Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$ |
U.S. Treasury Bills Due
|
% | |||||||||
$ |
U.S. Treasury Bills Due
|
% | |||||||||
$ |
U.S. Treasury Bills Due
|
% | |||||||||
Total Government And Agency Obligations (cost $
|
% | ||||||||||
Total Fixed Income Securities (cost $
|
$ | % |
(1) |
(2) |
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $
|
$ | % | ||||||
Total Short Term Investments (cost $
|
$ | % |
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Agriculture
|
$ | ( |
) | ( |
)% | |||
Energy
|
( |
) | ( |
)% | ||||
Metals
|
% | |||||||
Stock indices
|
% | |||||||
Short-term interest rates
|
% | |||||||
Long-term interest rates
|
% | |||||||
Net unrealized gain (loss) on long futures contracts
|
% |
|
Fair
|
% of Net
|
||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Agriculture
|
( |
) | ( |
)% | ||||
Energy
|
( |
) | ( |
)% | ||||
Metals
|
( |
) | ( |
)% | ||||
Stock indices
|
( |
) | ( |
)% | ||||
Short-term interest rates
|
( |
) | ( |
)% | ||||
Long-term interest rates
|
( |
) | ( |
)% | ||||
Net unrealized gain (loss) on short futures contracts
|
( |
) | ( |
)% | ||||
Net unrealized gain (loss) on open futures contracts
|
$ | ( |
) | ( |
)% |
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Various long forward currency contracts
|
$ | % | ||||||
Various short forward currency contracts
|
( |
) | ( |
)% | ||||
Net unrealized gain (loss) on open forward currency contracts
|
$ | ( |
) | ( |
)% |
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Centrally cleared credit default index swaps - sell protection (net cost $
|
$ | % |
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Centrally cleared interest rate swaps - pay fixed (net proceeds $
|
$ |
( |
) | % |
(3)
|
|
(4)
|
|
FIXED INCOME SECURITIES
|
|||||||||||
Maturity
|
Fair
|
% of Net
|
|||||||||
Face Value
|
Description
|
Value ($)
|
Asset Value
|
||||||||
Asset Backed Securities
|
|||||||||||
United States
|
|||||||||||
Auto Loans
|
$
|
|
|
%
|
|||||||
Equipment Loans
|
|
|
%
|
||||||||
Total Asset Backed Securities (cost $
|
|
|
%
|
||||||||
Bank Deposits
|
|||||||||||
United States
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Total Bank Deposits (cost $
|
|
|
%
|
||||||||
Commercial Paper | |||||||||||
Ireland
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Sweden
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
|
|
%
|
||||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Consumer Staples
|
|
|
%
|
||||||||
Financials
|
|
|
%
|
||||||||
Industrials
|
|
|
%
|
||||||||
Materials
|
|
|
%
|
||||||||
Real Estate
|
|
|
%
|
||||||||
Technology
|
|
|
%
|
||||||||
Utilities
|
|
|
%
|
||||||||
Total United States (cost $
|
|
|
%
|
||||||||
Total Commercial Paper (cost $
|
|
|
%
|
||||||||
Corporate Bonds
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Canada
|
|||||||||||
Energy
|
|
|
%
|
||||||||
Financials
|
|
|
%
|
||||||||
Total Canada (cost $
|
|
|
%
|
||||||||
Germany
|
|||||||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Industrials
|
|
|
%
|
||||||||
Total Germany (cost $
|
|
|
%
|
||||||||
Spain
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Switzerland
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $
|
$
|
|
|
%
|
FIXED INCOME SECURITIES
|
|||||||||||
Maturity
|
Fair
|
% of Net
|
|||||||||
Face Value
|
Description
|
Value ($)
|
Asset Value
|
||||||||
Corporate Bonds (continued)
|
|||||||||||
United States
|
|||||||||||
Communications
|
$
|
|
|
%
|
|||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Consumer Staples
|
|
|
%
|
||||||||
Energy
|
|
|
%
|
||||||||
Financials
|
|
|
%
|
||||||||
Health Care
|
|
|
%
|
||||||||
Industrials
|
|
|
%
|
||||||||
Materials
|
|
|
%
|
||||||||
Real Estate
|
|
|
%
|
||||||||
Technology
|
|
|
%
|
||||||||
Utilities
|
|
|
%
|
||||||||
Total United States (cost $
|
|
|
%
|
||||||||
Total Corporate Bonds (cost $
|
|
|
%
|
||||||||
Government and Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
Total Government And Agency Obligations (cost $
|
|
|
%
|
||||||||
Total Fixed Income Securities (cost $
|
$
|
|
|
%
|
(1)
|
Pledged as collateral for the trading of futures positions.
|
(2)
|
|
SHORT TERM INVESTMENTS
|
||||||||
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $
|
$
|
|
|
%
|
||||
Total Short Term Investments (cost $
|
$
|
|
|
%
|
LONG FUTURES CONTRACTS
|
||||||||
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Agriculture
|
$
|
(
|
)
|
(
|
)%
|
|||
Energy
|
|
|
%
|
|||||
Metals
|
|
|
%
|
|||||
Stock indices
|
(
|
)
|
(
|
)%
|
||||
Long-term interest rates
|
(
|
)
|
(
|
)%
|
||||
Net unrealized gain (loss) on long futures contracts
|
(
|
)
|
(
|
)%
|
SHORT FUTURES CONTRACTS
|
||||||||
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Agriculture
|
(
|
)
|
(
|
)%
|
||||
Energy
|
(
|
)
|
(
|
)%
|
||||
Metals
|
(
|
)
|
(
|
)%
|
||||
Stock indices
|
|
|
%
|
|||||
Short-term interest rates
|
|
|
%
|
|||||
Long-term interest rates
|
|
|
%
|
|||||
Net unrealized gain (loss) on short futures contracts
|
|
|
%
|
|||||
Net unrealized gain (loss) on open futures contracts
|
$
|
|
|
%
|
FORWARD CURRENCY CONTRACTS
|
||||||||
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Various long forward currency contracts
|
$
|
|
|
%
|
||||
Various short forward currency contracts
|
(
|
)
|
(
|
)%
|
||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
|
|
%
|
CREDIT DEFAULT INDEX SWAPS
|
||||||||
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Centrally cleared credit default index swaps - sell protection (net proceeds $
|
$
|
|
|
%
|
INTEREST RATE SWAPS
|
||||||||
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Centrally cleared interest rate swaps - receive fixed (net cost $
|
$
|
|
|
%
|
(3)
|
|
(4)
|
|
2023
|
2022
|
|||||||
ASSETS
|
||||||||
Equity in futures brokers trading accounts
|
||||||||
Cash
|
$
|
|
$
|
|
||||
Restricted cash
|
|
|
||||||
Fixed income securities (cost $
|
|
|
||||||
Net unrealized gain (loss) on open futures contracts
|
(
|
)
|
|
|||||
Total equity in futures brokers trading accounts
|
|
|
||||||
Cash and cash equivalents
|
|
|
||||||
Cash at interbank market maker
|
|
|
||||||
Restricted cash at interbank market maker
|
|
|
||||||
Short term investments (cost $
|
|
|
||||||
Cash at swaps broker
|
|
|
||||||
Restricted cash at swaps broker
|
|
|
||||||
Fixed income securities (cost $
|
|
|
||||||
Credit default index swaps
|
|
|
||||||
Interest rate swaps | ||||||||
Due from swaps broker
|
|
|
||||||
Net unrealized gain on open forward currency contracts
|
|
|
||||||
Interest receivable
|
|
|
||||||
Subscriptions receivable
|
|
|
||||||
Total assets
|
$
|
|
$
|
|
||||
LIABILITIES
|
||||||||
Accounts payable
|
$
|
|
$
|
|
||||
Management fee payable
|
|
|
||||||
Net unrealized loss on open forward currency contracts
|
|
|
||||||
Credit default index swaps |
||||||||
Interest rate swaps |
||||||||
Accrued commissions and other trading fees on open contracts
|
|
|
||||||
Offering costs payable
|
|
|
||||||
Sales commission payable
|
|
|
||||||
Redemptions payable
|
|
|
||||||
Total liabilities
|
|
|
||||||
UNITHOLDERS’ CAPITAL (Net Asset Value)
|
||||||||
Series A Units - Redeemable
|
||||||||
Other Unitholders -
|
|
|
||||||
Series B Units – Redeemable
|
||||||||
Other Unitholders -
|
|
|
||||||
Series D Units – Redeemable
|
||||||||
Other Unitholders -
|
|
|
||||||
Series W Units – Redeemable
|
||||||||
Other Unitholders -
|
|
|
||||||
Total unitholders’ capital (Net Asset Value)
|
|
|
||||||
Total liabilities and unitholders’ capital (Net Asset Value)
|
$
|
|
$
|
|
2023
|
2022
|
2021
|
||||||||||
TRADING GAINS (LOSSES)
|
||||||||||||
Futures trading gains (losses)
|
||||||||||||
Realized
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||
Change in unrealized
|
(
|
)
|
|
(
|
)
|
|||||||
Brokerage commissions
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
Net gain (loss) from futures trading
|
(
|
)
|
|
|
||||||||
Forward currency trading gains (losses)
|
||||||||||||
Realized
|
(
|
)
|
|
|
||||||||
Change in unrealized
|
(
|
)
|
|
(
|
)
|
|||||||
Brokerage commissions
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
Net gain (loss) from forward currency trading
|
(
|
)
|
|
|
||||||||
Swap trading gains (losses)
|
||||||||||||
Realized
|
|
|
|
|||||||||
Change in unrealized
|
|
|
(
|
)
|
||||||||
Net gain (loss) from swap trading
|
|
|
(
|
)
|
||||||||
Total net trading gain (loss)
|
(
|
)
|
|
|
||||||||
NET INVESTMENT INCOME (LOSS)
|
||||||||||||
Investment income
|
||||||||||||
Interest income
|
|
|
|
|||||||||
Realized gain (loss) on fixed income securities
|
(
|
)
|
|
(
|
)
|
|||||||
Change in unrealized gain (loss) on fixed income securities
|
|
(
|
)
|
(
|
)
|
|||||||
Total investment income (loss)
|
|
|
|
|||||||||
Expenses
|
||||||||||||
Management fee
|
|
|
|
|||||||||
Performance fee
|
|
|
|
|||||||||
Operating expenses
|
|
|
|
|||||||||
Sales commission
|
|
|
|
|||||||||
Total expenses
|
|
|
|
|||||||||
Net investment income (loss)
|
|
(
|
)
|
(
|
)
|
|||||||
NET INCOME (LOSS)
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
|
||||||||||||
(based on weighted average number of units outstanding during the year)
|
||||||||||||
Series A
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||
Series B
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||
Series D
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||
Series W
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
|
||||||||||||
Series A
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||
Series B
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||
Series D
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||
Series W
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE YEAR
|
||||||||||||
Series A
|
|
|
|
|||||||||
Series B
|
|
|
|
|||||||||
Series D
|
|
|
|
|||||||||
Series W
|
|
|
|
2023
|
2022
|
2021
|
||||||||||
Cash flows from (for) operating activities
|
||||||||||||
Net income (loss)
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
|
||||||||||||
Net change in unrealized on futures, forwards, swaps and investments
|
|
(
|
)
|
|
||||||||
(Increase) decrease in interest receivable
|
(
|
)
|
(
|
)
|
|
|||||||
(Increase) decrease in due from swaps broker
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
Increase (decrease) in accounts payable and accrued expenses
|
|
|
(
|
)
|
||||||||
Net purchases from swap broker
|
|
|
(
|
)
|
||||||||
Purchases of investments
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
Sales/maturities of investments
|
|
|
|
|||||||||
Net cash from (for) operating activities
|
|
(
|
)
|
|
||||||||
Cash flows from (for) financing activities
|
||||||||||||
Addition of units
|
|
|
|
|||||||||
Redemption of units
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
Offering costs paid
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
Net cash from (for) financing activities
|
|
|
(
|
)
|
||||||||
Net increase (decrease) in cash, cash equivalents and restricted cash
|
|
|
|
|||||||||
Cash, cash equivalents and restricted cash at beginning of year
|
|
|
|
|||||||||
Cash, cash equivalents and restricted cash at end of year
|
$
|
|
$
|
|
$
|
|
2023
|
2022
|
2021
|
||||||||||
Cash, cash equivalents and restricted cash at end of year consists of:
|
||||||||||||
Equity in futures brokers trading accounts:
|
||||||||||||
Cash
|
$
|
|
$
|
|
$
|
|
||||||
Restricted cash
|
|
|
|
|||||||||
Cash and cash equivalents
|
|
|
|
|||||||||
Cash at interbank market maker
|
|
|
|
|||||||||
Restricted cash at interbank market maker
|
|
|
|
|||||||||
Cash at swaps broker
|
|
|
|
|||||||||
Restricted cash at swaps broker
|
|
|
|
|||||||||
Total cash, cash equivalents and restricted cash at end of year
|
$
|
|
$
|
|
$
|
|
|
Series A - Other Unitholders
|
Series B - Other Unitholders
|
||||||||||||||
|
Units
|
Amount
|
Units
|
Amount
|
||||||||||||
Balances at December 31, 2020
|
|
$
|
|
|
$
|
|
||||||||||
Net income (loss)
|
|
|
||||||||||||||
Additions
|
|
|
|
|
||||||||||||
Redemptions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Offering costs
|
(
|
)
|
|
|||||||||||||
Balances at December 31, 2021
|
|
$
|
|
|
$
|
|
||||||||||
|
||||||||||||||||
Net income (loss)
|
|
|
||||||||||||||
Additions
|
|
|
|
|
||||||||||||
Redemptions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Offering costs
|
(
|
)
|
|
|||||||||||||
Balances at December 31, 2022
|
|
$
|
|
|
$
|
|
||||||||||
|
||||||||||||||||
Net income (loss)
|
(
|
)
|
(
|
)
|
||||||||||||
Additions
|
|
|
|
|
||||||||||||
Redemptions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Offering costs
|
(
|
)
|
|
|||||||||||||
Balances at December 31, 2023
|
|
$
|
|
|
$
|
|
Net Asset Value per Other Unitholders’ Unit - Series A
|
||||||||||
December 31, 2023
|
December 31, 2022
|
December 31, 2021
|
||||||||
$
|
|
$
|
|
$
|
|
Net Asset Value per Other Unitholders’ Unit - Series B
|
||||||||||
December 31, 2023
|
December 31, 2022
|
December 31, 2021
|
||||||||
$
|
|
$
|
|
$
|
|
Series D - Other Unitholders
|
Series W - Other Unitholders
|
Trust
|
||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Total Amount
|
||||||||||||||||
Balances at December 31, 2020
|
|
$
|
|
|
$
|
|
$
|
|
||||||||||||
Net income (loss)
|
|
|
|
|||||||||||||||||
Additions
|
|
|
|
|
|
|||||||||||||||
Redemptions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||
Offering costs
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
Balances at December 31, 2021
|
|
$
|
|
|
$
|
|
$
|
|
||||||||||||
Net income (loss)
|
|
|
|
|||||||||||||||||
Additions
|
|
|
|
|
|
|||||||||||||||
Redemptions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||
Offering costs
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
Balances at December 31, 2022
|
|
$
|
|
|
$
|
|
$
|
|
||||||||||||
Net income (loss)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
Additions
|
|
|
|
|
|
|||||||||||||||
Redemptions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||
Offering costs
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
Balances at December 31, 2023
|
|
$
|
|
|
$
|
|
$
|
|
Net Asset Value per Other Unitholders’ Unit - Series D
|
||||||||||
December 31, 2023
|
December 31, 2022
|
December 31, 2021
|
||||||||
$
|
|
$
|
|
$
|
|
Net Asset Value per Other Unitholders’ Unit - Series W
|
||||||||||
December 31, 2023
|
December 31, 2022
|
December 31, 2021
|
||||||||
$
|
|
$
|
|
$
|
|
Series A
|
||||||||||||
|
2023
|
2022
|
2021
|
|||||||||
Per Unit Performance
|
||||||||||||
(for a unit outstanding throughout the entire year)
|
||||||||||||
Net asset value per unit at beginning of year
|
$
|
|
$
|
|
$
|
|
||||||
|
||||||||||||
Income (loss) from operations:
|
||||||||||||
Total net trading gains (losses) (1)
|
(
|
)
|
|
|
||||||||
Net investment income (loss) (1)
|
|
(
|
)
|
(
|
)
|
|||||||
Total net income (loss) from operations
|
(
|
)
|
|
|
||||||||
Offering costs (1)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
Net asset value per unit at end of year
|
$
|
|
$
|
|
$
|
|
||||||
Total Return (3)
|
(
|
)%
|
|
%
|
|
%
|
||||||
|
||||||||||||
Supplemental Data
|
||||||||||||
Ratios to average net asset value:
|
||||||||||||
Expenses prior to performance fee
|
|
%
|
|
%
|
|
%
|
||||||
Performance fee
|
|
%
|
|
%
|
|
%
|
||||||
Total expenses
|
|
%
|
|
%
|
|
%
|
||||||
Net investment income (loss) (2)
|
|
%
|
(
|
)%
|
(
|
)%
|
(1) |
|
(2) |
|
(3) | |
Series B
|
||||||||||||
2023
|
2022
|
2021
|
||||||||||
Per Unit Performance
|
||||||||||||
(for a unit outstanding throughout the entire year)
|
||||||||||||
Net asset value per unit at beginning of year
|
$
|
|
$
|
|
$
|
|
||||||
Income (loss) from operations:
|
||||||||||||
Total net trading gains (losses) (1)
|
(
|
)
|
|
|
||||||||
Net investment income (loss) (1)
|
|
(
|
)
|
(
|
)
|
|||||||
Total net income (loss) from operations
|
(
|
)
|
|
|
||||||||
Net asset value per unit at end of year
|
$
|
|
$
|
|
$
|
|
||||||
Total Return (3)
|
(
|
)%
|
|
%
|
|
%
|
||||||
Supplemental Data
|
||||||||||||
Ratios to average net asset value:
|
||||||||||||
Expenses prior to performance fee
|
|
%
|
|
%
|
|
%
|
||||||
Performance fee
|
|
%
|
|
%
|
|
%
|
||||||
Total expenses
|
|
%
|
|
%
|
|
%
|
||||||
Net investment income (loss) (2)
|
|
%
|
(
|
)%
|
(
|
)%
|
(1) |
|
(2) |
Excludes performance fee.
|
(3) |
|
Series D
|
||||||||||||
2023
|
2022
|
2021
|
||||||||||
Per Unit Performance
|
||||||||||||
(for a unit outstanding throughout the entire year)
|
||||||||||||
Net asset value per unit at beginning of year
|
$
|
|
$
|
|
$
|
|
||||||
Income (loss) from operations:
|
||||||||||||
Total net trading gains (losses) (1)
|
(
|
)
|
|
|
||||||||
Net investment income (loss) (1)
|
|
(
|
)
|
(
|
)
|
|||||||
Total net income (loss) from operations
|
(
|
)
|
|
|
||||||||
Offering costs (1)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
Net asset value per unit at end of year
|
$
|
|
$
|
|
$
|
|
||||||
Total Return (3)
|
(
|
)%
|
|
%
|
|
%
|
||||||
Supplemental Data
|
||||||||||||
Ratios to average net asset value:
|
||||||||||||
Expenses prior to performance fee
|
|
%
|
|
%
|
|
%
|
||||||
Performance fee
|
|
%
|
|
%
|
|
%
|
||||||
Total expenses
|
|
%
|
|
%
|
|
%
|
||||||
Net investment income (loss) (2)
|
|
%
|
(
|
)%
|
(
|
)%
|
(1) |
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment
income (loss) and offering costs by the average number of units outstanding during the year. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per
unit information.
|
(2) |
Excludes performance fee.
|
(3) |
|
Series W
|
||||||||||||
2023
|
2022
|
2021
|
||||||||||
Per Unit Performance
|
||||||||||||
(for a unit outstanding throughout the entire year)
|
||||||||||||
Net asset value per unit at beginning of year
|
$
|
|
$
|
|
$
|
|
||||||
Income (loss) from operations:
|
||||||||||||
Total net trading gains (losses) (1)
|
(
|
)
|
|
|
||||||||
Net investment income (loss) (1)
|
|
(
|
)
|
(
|
)
|
|||||||
Total net income (loss) from operations
|
(
|
)
|
|
|
||||||||
Offering costs (1)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||
Net asset value per unit at end of year
|
$
|
|
$
|
|
$
|
|
||||||
Total Return (3)
|
(
|
)%
|
|
%
|
|
%
|
||||||
Supplemental Data
|
||||||||||||
Ratios to average net asset value:
|
||||||||||||
Expenses prior to performance fee
|
|
%
|
|
%
|
|
%
|
||||||
Performance fee
|
% |
|
%
|
|
%
|
|||||||
Total expenses
|
|
%
|
|
%
|
|
%
|
||||||
Net investment income (loss) (2)
|
|
%
|
(
|
)%
|
(
|
)%
|
(1) |
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the
year. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
|
(2) |
Excludes performance fee.
|
(3) |
|
Fair Value at December 31, 2023
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Fixed income securities
|
|
|
|
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
(
|
)
|
|
|
(
|
)
|
||||||||||
Forward currency contracts
|
|
(
|
)
|
|
(
|
)
|
||||||||||
Credit default index swap contracts
|
|
|
|
|
||||||||||||
Interest rate swap contracts
|
( |
) | ( |
) | ||||||||||||
Total
|
$
|
(
|
)
|
$
|
|
$
|
|
$
|
|
Fair Value at December 31, 2022
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Fixed income securities
|
|
|
|
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
|
|
|
|
||||||||||||
Forward currency contracts | ||||||||||||||||
Credit default index swap contracts | ||||||||||||||||
Interest rate swap contracts | ||||||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
|
December 31, 2023
|
December 31, 2022
|
||||||
|
Maturity Date:
|
Maturity Date:
|
||||||
Credit Default Index Swaps
|
||||||||
Investment grade
|
$ |
$ |
||||||
Non-investment grade
|
||||||||
Total
|
$ |
$ |
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
December 31, 2023
Fair Value
|
Liability
Derivatives at
December 31, 2023
Fair Value
|
Net
|
||||||||||
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
|
$
|
(
|
)
|
$
|
(
|
)
|
|||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
||||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
||||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
|||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
||||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
||||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
|
(
|
)
|
(
|
)
|
||||||||
Credit Default Index Swap Contracts**
|
Credit default index swaps
|
|
(
|
)
|
|
|||||||||
Interest Rate Swap Contracts** | Interest rate swaps | ( |
) | ( |
) | |||||||||
Totals
|
|
$
|
|
$
|
(
|
)
|
$
|
(
|
)
|
*
|
Derivatives not designated as hedging instruments under ASC 815
|
**
|
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
December 31, 2022
Fair Value
|
Liability
Derivatives at
December 31, 2022
Fair Value
|
Net
|
||||||||||
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
|
$
|
(
|
)
|
$
|
(
|
||||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
|||||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
|||||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
|||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
|||||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
|||||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
|
(
|
)
|
|
|||||||||
Credit Default Index Swap Contracts** | Credit default index swaps | ( |
) | |||||||||||
Interest Rate Swap Contracts** | Interest rate swaps | ( |
) | |||||||||||
Totals
|
|
$
|
|
$
|
(
|
)
|
$
|
|
*
|
Derivatives not designated as hedging instruments under ASC 815
|
**
|
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition. |
Type of Instrument
|
Trading Gains (Losses)
for the Year Ended
December 31, 2023
|
Trading Gains (Losses)
for the Year Ended
December 31, 2022
|
Trading Gains (Losses)
for the Year Ended
December 31, 2021
|
|||||||||
Agriculture Contracts
|
$
|
|
$
|
|
$
|
|
||||||
Energy Contracts
|
|
|
|
|||||||||
Metal Contracts
|
(
|
)
|
|
|
||||||||
Stock Indices Contracts
|
|
|
|
|||||||||
Short-Term Interest Rate Contracts
|
(
|
)
|
|
(
|
)
|
|||||||
Long-Term Interest Rate Contracts
|
(
|
)
|
|
(
|
)
|
|||||||
Forward Currency Contracts
|
(
|
)
|
|
|
||||||||
Credit default index swap contracts
|
|
(
|
)
|
|
||||||||
Interest rate swap contracts
|
(
|
)
|
|
(
|
)
|
|||||||
Total
|
$
|
(
|
)
|
$
|
|
$
|
|
Line Item in the Statements of Operations
|
Trading Gains (Losses)
for the Year Ended
December 31, 2023
|
Trading Gains (Losses)
for the Year Ended
December 31, 2022
|
Trading Gains (Losses)
for the Year Ended
December 31, 2021
|
|||||||||
Futures trading gains (losses):
|
||||||||||||
Realized***
|
$
|
(
|
)
|
$
|
|
$
|
|
|||||
Change in unrealized
|
(
|
)
|
|
(
|
)
|
|||||||
Forward currency trading gains (losses):
|
||||||||||||
Realized***
|
(
|
)
|
|
|
||||||||
Change in unrealized
|
(
|
)
|
|
(
|
)
|
|||||||
Swap trading gains (losses):
|
||||||||||||
Realized***
|
|
|
|
|||||||||
Change in unrealized |
|
|
(
|
)
|
||||||||
Total
|
$
|
(
|
)
|
$
|
|
$
|
|
*** |
|
Offsetting of Derivative Assets by Counterparty
|
As of December 31, 2023
|
Type of Instrument
|
Counterparty
|
Gross
Amounts of
Recognized Assets
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
|
||||||||||
Futures contracts
|
UBS Securities LLC
|
$
|
|
$
|
(
|
)
|
$
|
|
||||||
Futures contracts
|
Goldman, Sachs & Co.
|
|
(
|
)
|
|
|||||||||
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
|||||||||
Centrally cleared swap contracts*
|
Centrally Cleared
|
|
(
|
)
|
|
|||||||||
Total derivatives
|
|
$
|
|
$
|
(
|
)
|
$
|
|
* |
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial
condition.
|
Derivative Assets and Collateral Received by Counterparty
|
|
As of December 31, 2023
|
|
Net Amounts of
Unrealized Gain
Presented in the
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|||||||||||||||
Statements of
|
Financial
|
Cash Collateral
|
|
|||||||||||||
Counterparty
|
Financial Condition
|
Instruments
|
Received
|
Net Amount
|
||||||||||||
UBS Securities LLC
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Goldman, Sachs & Co.
|
|
|
|
|
||||||||||||
NatWest Markets plc
|
|
|
|
|
||||||||||||
Centrally Cleared
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
Offsetting of Derivative Liabilities by Counterparty
|
As of December 31, 2023
|
Type of Instrument
|
Counterparty
|
Gross Amounts
of Recognized
Liabilities
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
|
||||||||||
Futures contracts
|
UBS Securities LLC
|
$
|
|
$
|
(
|
)
|
$
|
|
||||||
Futures contracts
|
Goldman, Sachs & Co.
|
|
(
|
)
|
|
|||||||||
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
|||||||||
Centrally cleared swap contracts
|
Centrally Cleared
|
|
(
|
)
|
|
|||||||||
Total derivatives
|
|
$
|
|
$
|
(
|
)
|
$
|
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
As of December 31, 2023
|
Net Amounts of
Unrealized Loss
Presented in the
|
Gross Amounts Not Offset in the
Statements of Financial Condition |
|||||||||||||||
|
Statements of
|
Financial
|
Cash Collateral
|
|||||||||||||
Counterparty
|
Financial Condition
|
Instruments
|
Pledged
|
Net Amount
|
||||||||||||
UBS Securities LLC
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||||
Goldman, Sachs & Co.
|
|
|
(
|
)
|
|
|||||||||||
NatWest Markets Plc
|
|
|
(
|
)
|
|
|||||||||||
Centrally Cleared
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
Offsetting of Derivative Assets by Counterparty
|
As of December 31, 2022
|
|
|
Gross
Amounts of
|
Gross
Amounts
Offset in the
Statements of
|
Net Amounts of
Unrealized Gain
Presented in the
Statements of
|
||||||||||
Type of Instrument
|
Counterparty
|
Recognized Assets
|
Financial Condition
|
Financial Condition
|
||||||||||
Futures contracts
|
UBS Securities LLC
|
$
|
|
$
|
(
|
)
|
$
|
|
||||||
Futures contracts
|
Goldman, Sachs & Co.
|
|
(
|
)
|
|
|||||||||
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
|||||||||
Centrally cleared swap contracts* | Centrally Cleared | ( |
) | |||||||||||
Total derivatives
|
|
$
|
|
$
|
(
|
)
|
$
|
|
* |
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of
financial condition.
|
Derivative Assets and Collateral Received by Counterparty
|
As of December 31, 2022
|
Net Amounts of
Unrealized Gain
|
Gross Amounts Not Offset in the
|
|||||||||||||||
Presented in the
|
Statements of Financial Condition
|
|||||||||||||||
Statements of
|
Financial
|
Cash Collateral
|
|
|||||||||||||
Counterparty
|
Financial Condition
|
Instruments
|
Received
|
Net Amount
|
||||||||||||
UBS Securities LLC
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Goldman, Sachs & Co.
|
|
|
|
|
||||||||||||
NatWest Markets Plc
|
|
|
|
|
||||||||||||
Centrally Cleared | ||||||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
Offsetting of Derivative Liabilities by Counterparty
|
As of December 31, 2022
|
|
|
Gross Amounts
of Recognized
|
Gross
Amounts
Offset in the
Statements of
|
Net Amounts of
Unrealized Loss
Presented in the
Statements of
|
||||||||||
Type of Instrument
|
Counterparty
|
Liabilities
|
Financial Condition
|
Financial Condition
|
||||||||||
Futures contracts
|
UBS Securities LLC
|
$
|
|
$
|
(
|
)
|
$
|
|
||||||
Futures contracts
|
Goldman, Sachs & Co.
|
|
(
|
)
|
|
|||||||||
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
|||||||||
Centrally cleared swap contracts | Centrally Cleared | ( |
) | |||||||||||
Total derivatives
|
|
$
|
|
$
|
(
|
)
|
$
|
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
As of December 31, 2022
|
Net Amounts of
Unrealized Loss
|
Gross Amounts Not Offset in the
|
|||||||||||||||
Presented in the
|
Statements of Financial Condition
|
|||||||||||||||
Statements of
|
Financial
|
Cash Collateral
|
||||||||||||||
Counterparty
|
Financial Condition
|
Instruments
|
Pledged
|
Net Amount
|
||||||||||||
UBS Securities LLC
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Goldman, Sachs & Co. LLC
|
|
|
|
|
||||||||||||
NatWest Markets Plc
|
|
|
|
|
||||||||||||
Centrally Cleared | ||||||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|