þ | Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
o | Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
Delaware | 94-6260018 | |
(State of Organization) | (IRS Employer Identification Number) |
Large accelerate filer o | Accelerated filer o | Non-accelerated filer o | Smaller reporting company þ |
Page | ||||||||
PART I FINANCIAL INFORMATION |
||||||||
Item 1.
Financial Statements |
||||||||
3-6 | ||||||||
7 | ||||||||
8 | ||||||||
9 | ||||||||
10-11 | ||||||||
12-14 | ||||||||
15-20 | ||||||||
21-27 | ||||||||
27-33 | ||||||||
33 | ||||||||
34 | ||||||||
35 | ||||||||
CERTIFICATIONS |
||||||||
EX-31.01 | ||||||||
EX-31.02 | ||||||||
EX-32.01 | ||||||||
EX-32.02 |
Maturity | % of Net | |||||||||||
Face Value | Description | Values ($) | Asset Value | |||||||||
Bank Deposits |
||||||||||||
Canada |
||||||||||||
Financials |
$ | 7,222,743 | 2.09 | % | ||||||||
(cost $7,215,000) |
||||||||||||
United Kingdom |
||||||||||||
Financials |
$ | 5,004,601 | 1.45 | % | ||||||||
(cost $5,003,838) |
||||||||||||
United States |
||||||||||||
Financials |
$ | 22,011,263 | 6.36 | % | ||||||||
(cost $22,000,000) |
||||||||||||
Total Bank Deposits |
||||||||||||
(cost $34,218,838) |
$ | 34,238,607 | 9.90 | % | ||||||||
Commercial Paper |
||||||||||||
Netherlands |
||||||||||||
Industrials |
$ | 9,995,339 | 2.89 | % | ||||||||
(cost $9,983,545) |
||||||||||||
United States |
||||||||||||
Consumer Discretionary |
$ | 24,595,213 | 7.11 | % | ||||||||
Consumer Staple |
$ | 16,999,929 | 4.91 | % | ||||||||
Financials |
$ | 21,222,765 | 6.13 | % | ||||||||
Healthcare |
$ | 39,590,130 | 11.44 | % | ||||||||
Industrials |
$ | 8,995,000 | 2.60 | % | ||||||||
Services |
$ | 9,999,297 | 2.89 | % | ||||||||
Total United States (cost $121,387,853) |
$ | 121,402,334 | 35.08 | % | ||||||||
Total Commercial Paper |
||||||||||||
(cost $131,371,398) |
$ | 131,397,673 | 37.97 | % | ||||||||
Corporate Bonds |
||||||||||||
United States |
||||||||||||
Financials |
$ | 43,295,872 | 12.51 | % | ||||||||
Healthcare |
$ | 6,222,144 | 1.80 | % | ||||||||
Total United States (cost $49,376,824) |
$ | 49,518,016 | 14.31 | % | ||||||||
Government And Agency Obligations |
||||||||||||
United States |
||||||||||||
US Government Agency |
||||||||||||
Other |
$ | 14,576,892 | 4.21 | % | ||||||||
U.S. Treasury Bills* |
||||||||||||
$ | 20,000,000 | Due 06/30/2011 |
$ | 19,996,500 | 5.78 | % | ||||||
U.S. Treasury Bills* |
||||||||||||
$ | 50,000,000 | Due 04/07/2011 |
$ | 49,999,458 | 14.45 | % | ||||||
Total United States (cost $84,594,998) |
$ | 84,572,850 | 24.44 | % | ||||||||
Short Term Investment Funds |
||||||||||||
United States |
||||||||||||
Short Term Investment Funds |
$ | 962 | 0.00 | % | ||||||||
(cost $962) |
||||||||||||
Total Fixed Income Securities |
||||||||||||
(cost $299,563,020) |
$ | 299,728,108 | 86.62 | % | ||||||||
- 3 -
% of Net | |||||||||
Description | Values ($) | Asset Value | |||||||
Agricultural |
$ | 414,964 | 0.12 | % | |||||
Energy |
$ | 1,547,393 | 0.45 | % | |||||
Metals |
$ | 530,706 | 0.15 | % | |||||
Stock indices |
$ | 1,354,479 | 0.39 | % | |||||
Short-term interest rates |
$ | (607,175 | ) | (0.18 | )% | ||||
Long-term interest rates |
$ | (1,870,511 | ) | (0.54 | )% | ||||
Total long futures contracts |
$ | 1,369,856 | 0.39 | % | |||||
SHORT FUTURES CONTRACTS
| |||||||||
% of Net | |||||||||
Description | Values ($) | Asset Value | |||||||
Agricultural |
$ | (164,798 | ) | (0.05 | )% | ||||
Metals |
$ | (797,641 | ) | (0.23 | )% | ||||
Stock indices |
$ | (77,520 | ) | (0.02 | )% | ||||
Short-term interest rates |
$ | 567,153 | 0.16 | % | |||||
Long-term interest rates |
$ | 179,978 | 0.05 | % | |||||
Total short futures contracts |
$ | (292,828 | ) | (0.09 | )% | ||||
Total futures contracts |
$ | 1,077,028 | 0.30 | % | |||||
FORWARD CURRENCY CONTRACTS
| |||||||||
% of Net | |||||||||
Description | Values ($) | Asset Value | |||||||
Various long forward currency contracts |
$ | 8,125,524 | 2.35 | % | |||||
Various short forward currency contracts |
$ | (10,649,593 | ) | (3.08 | )% | ||||
Total forward currency contracts |
$ | (2,524,069 | ) | (0.73 | )% | ||||
PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
| |||||||||
% of Net | |||||||||
Description | Values ($) | Asset Value | |||||||
Purchased options on forward currency contracts
(premiums paid $750,386) |
$ | 1,339,761 | 0.39 | % | |||||
WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
| |||||||||
% of Net | |||||||||
Description | Values ($) | Asset Value | |||||||
Written options on forward currency contracts
(premiums received $427,847) |
$ | (690,588 | ) | (0.20 | )% | ||||
* | Pledged as collateral for the trading of futures, forward and option positions. |
- 4 -
Maturity | % of Net | |||||||||||
Face Value | Description | Values ($) | Asset Value | |||||||||
Certificate Of Deposit |
||||||||||||
Canada |
||||||||||||
Financials |
$ | 7,221,421 | 2.08 | % | ||||||||
(cost $7,215,000) |
||||||||||||
Commercial Paper |
||||||||||||
Netherlands |
||||||||||||
Industrials |
$ | 9,987,542 | 2.88 | % | ||||||||
(cost $9,958,946) |
||||||||||||
Panama |
||||||||||||
Consumer Discretionary |
$ | 9,998,275 | 2.89 | % | ||||||||
(cost $9,998,139) |
||||||||||||
United Kingdom |
||||||||||||
Consumer Staples |
$ | 5,718,658 | 1.65 | % | ||||||||
(cost $5,716,634) |
||||||||||||
United States |
||||||||||||
Consumer Discretionary |
$ | 41,051,450 | 11.85 | % | ||||||||
Consumer Staples |
$ | 3,315,853 | 0.96 | % | ||||||||
Energy |
$ | 17,387,305 | 5.02 | % | ||||||||
Financials |
$ | 10,981,734 | 3.17 | % | ||||||||
Health Care |
$ | 12,885,538 | 3.72 | % | ||||||||
Industrials |
$ | 10,978,667 | 3.17 | % | ||||||||
Municipal |
$ | 4,717,562 | 1.36 | % | ||||||||
Utilities |
$ | 34,470,422 | 9.95 | % | ||||||||
Total United States (cost $135,762,709) |
$ | 135,788,531 | 39.20 | % | ||||||||
Total Commercial Paper |
||||||||||||
(cost $161,436,428) |
$ | 161,493,006 | 46.62 | % | ||||||||
Corporate Bonds |
||||||||||||
United States |
||||||||||||
Financials |
$ | 37,589,108 | 10.85 | % | ||||||||
(cost $37,464,778) |
||||||||||||
Government And Agency Obligations |
||||||||||||
United States |
||||||||||||
US Government Agency |
$ | 14,585,360 | 4.21 | % | ||||||||
US Treasury Bill |
||||||||||||
U.S. Treasury Bills* |
||||||||||||
$ | 12,000,000 | Due 01/06/2011 |
$ | 11,999,817 | 3.46 | % | ||||||
U.S. Treasury Bills* |
||||||||||||
$ | 50,000,000 | Due 01/13/2011 |
$ | 49,998,833 | 14.43 | % | ||||||
Total United States (cost $76,597,690) |
$ | 76,584,010 | 22.10 | % | ||||||||
Short Term Investment Funds |
||||||||||||
United States |
||||||||||||
Short Term Investment Funds |
$ | 941 | 0.00 | % | ||||||||
(cost $941) |
||||||||||||
Total Fixed Income Securities |
||||||||||||
(cost $282,714,837) |
$ | 282,888,486 | 81.65 | % | ||||||||
- 5 -
% of Net | ||||||||
Description | Values ($) | Asset Value | ||||||
Agricultural |
$ | 2,226,611 | 0.64 | % | ||||
Energy |
$ | 743,689 | 0.21 | % | ||||
Metals |
$ | 2,581,189 | 0.75 | % | ||||
Stock indices |
$ | (39,120 | ) | (0.01 | )% | |||
Short-term interest rates |
$ | 400,606 | 0.12 | % | ||||
Long-term interest rates |
$ | 45,692 | 0.01 | % | ||||
Total long futures contracts |
$ | 5,958,667 | 1.72 | % | ||||
% of Net | ||||||||
Description | Values ($) | Asset Value | ||||||
Agricultural |
$ | (14,930 | ) | 0.00 | % | |||
Energy |
$ | (239,450 | ) | (0.07 | )% | |||
Metals |
$ | (573,456 | ) | (0.17 | )% | |||
Stock indices |
$ | 48,337 | 0.01 | % | ||||
Short-term interest rates |
$ | (9,188 | ) | 0.00 | % | |||
Long-term interest rates |
$ | (644,303 | ) | (0.19 | )% | |||
Total short futures contracts |
$ | (1,432,990 | ) | (0.42 | )% | |||
Total futures contracts |
$ | 4,525,677 | 1.30 | % | ||||
% of Net | ||||||||
Description | Values ($) | Asset Value | ||||||
Various long forward currency contracts |
$ | 26,630,262 | 7.69 | % | ||||
Various short forward currency contracts |
$ | (21,482,235 | ) | (6.20 | )% | |||
Total forward currency contracts |
$ | 5,148,027 | 1.49 | % | ||||
% of Net | ||||||||
Description | Values ($) | Asset Value | ||||||
Purchased options on forward currency contracts
(premiums paid $1,091,379) |
$ | 1,500,007 | 0.43 | % | ||||
% of Net | ||||||||
Description | Values ($) | Asset Value | ||||||
Written options on forward currency contracts
(premiums received $237,756) |
$ | (693,506 | ) | (0.20 | )% | |||
* | Pledged as collateral for the trading of futures, forward and option positions. |
- 6 -
March 31, | December 31, | |||||||
2011 | 2010 | |||||||
ASSETS |
||||||||
Equity in broker trading accounts |
||||||||
Cash |
$ | 37,549,104 | $ | 43,929,635 | ||||
Fixed income securities (cost $49,999,458 and $61,998,650, respectively) |
49,999,458 | 49,998,833 | ||||||
Net unrealized gain (loss) on open futures contracts |
1,077,028 | 4,525,677 | ||||||
Total equity in broker trading accounts |
88,625,590 | 98,454,145 | ||||||
Cash and cash equivalents |
14,668,747 | 15,906,463 | ||||||
Fixed income securities
(cost $249,563,562 and $232,716,004, respectively) |
249,728,650 | 232,889,653 | ||||||
Options purchased, at fair value
(premiums paid $750,386 and $1,091,379, respectively) |
1,339,761 | 1,500,007 | ||||||
Net unrealized gain (loss) on open forward currency contracts |
(2,524,069 | ) | 5,148,027 | |||||
Interest receivable |
129,256 | 81,415 | ||||||
Subscriptions receivable |
468,019 | 327,332 | ||||||
Total assets |
$ | 352,435,954 | $ | 354,307,042 | ||||
LIABILITIES |
||||||||
Accounts payable |
$ | 108,496 | $ | 116,724 | ||||
Management fee |
1,116,043 | 1,142,475 | ||||||
Service fee |
4,923 | 4,423 | ||||||
Options written, at fair value
(premiums received $427,847 and $237,756, respectively) |
690,588 | 693,506 | ||||||
Accrued commissions and other trading fees on open contracts |
73,345 | 47,113 | ||||||
Performance fee payable |
0 | 381,483 | ||||||
Offering costs payable |
38,022 | 32,432 | ||||||
Redemptions payable |
4,302,050 | 5,439,258 | ||||||
Total liabilities |
6,333,467 | 7,857,414 | ||||||
UNITHOLDERS CAPITAL (Net Asset Value) |
||||||||
Series A Units Redeemable |
||||||||
Other Unitholders - 35,379.091 and 27,273.338 units outstanding at
March 31, 2011 and December 31, 2010 |
87,757,040 | 71,343,164 | ||||||
Series B Units Redeemable |
||||||||
Managing Operator - 20.360 units outstanding at
March 31, 2011 and December 31, 2010 |
51,358 | 54,087 | ||||||
Other Unitholders - 97,107.419 and 99,342.853 units outstanding at
March 31, 2011 and December 31, 2010 |
244,948,628 | 263,905,408 | ||||||
Series W Units Redeemable |
||||||||
Other Unitholders - 5,231.834 and 4,160.119 units outstanding at
March 31, 2011 and December 31, 2010 |
13,345,461 | 11,146,969 | ||||||
Total unitholders capital (Net Asset Value) |
346,102,487 | 346,449,628 | ||||||
Total liabilities and unitholders capital (Net Asset Value) |
$ | 352,435,954 | $ | 354,307,042 | ||||
- 7 -
Three Months Ended | ||||||||
March 31, | ||||||||
2011 | 2010 | |||||||
TRADING GAINS (LOSSES) |
||||||||
Futures trading gains (losses) |
||||||||
Realized |
$ | (4,754,747 | ) | $ | (15,471,425 | ) | ||
Change in unrealized |
(3,448,650 | ) | 8,455,353 | |||||
Brokerage commissions |
(234,584 | ) | (250,861 | ) | ||||
Net gain (loss) from futures trading |
(8,437,981 | ) | (7,266,933 | ) | ||||
Forward currency and options on forward
currency trading gains (losses) |
||||||||
Realized |
934,261 | (6,333,282 | ) | |||||
Change in unrealized |
(7,298,339 | ) | 3,461,092 | |||||
Brokerage commissions |
(31,742 | ) | (21,858 | ) | ||||
Net gain (loss) from forward currency
and options on forward currency trading |
(6,395,820 | ) | (2,894,048 | ) | ||||
Total net trading gain (loss) |
(14,833,801 | ) | (10,160,981 | ) | ||||
NET INVESTMENT INCOME (LOSS) |
||||||||
Investment income |
||||||||
Interest income |
336,270 | 264,472 | ||||||
Realized gain (loss) on fixed income securities |
4,861 | (9,167 | ) | |||||
Change in unrealized gain (loss) on fixed income securities |
(8,562 | ) | (30,353 | ) | ||||
Total investment income |
332,569 | 224,952 | ||||||
Expenses |
||||||||
Management fee |
3,413,311 | 3,410,092 | ||||||
Service fee |
14,569 | 6,835 | ||||||
Operating expenses |
132,359 | 117,154 | ||||||
Total expenses |
3,560,239 | 3,534,081 | ||||||
Net investment income (loss) |
(3,227,670 | ) | (3,309,129 | ) | ||||
NET INCOME (LOSS) |
$ | (18,061,471 | ) | $ | (13,470,110 | ) | ||
NET INCOME (LOSS) PER MANAGING OPERATOR
AND OTHER UNITHOLDERS UNIT |
||||||||
(based on weighted average number of units outstanding during the year) |
||||||||
Series A |
$ | (145.78 | ) | $ | (55.42 | ) | ||
Series B |
$ | (133.41 | ) | $ | (92.20 | ) | ||
Series W |
$ | (131.85 | ) | $ | (30.26 | ) | ||
INCREASE (DECREASE) IN NET ASSET VALUE
PER MANAGING OPERATOR AND OTHER UNITHOLDERS UNIT |
||||||||
Series A |
$ | (135.38 | ) | $ | (89.20 | ) | ||
Series B |
$ | (134.06 | ) | $ | (86.88 | ) | ||
Series W |
$ | (128.66 | ) | $ | (81.80 | ) | ||
- 8 -
Three Months Ended | ||||||||
March 31, | ||||||||
2011 | 2010 | |||||||
Cash flows from (for) operating activities |
||||||||
Net income (loss) |
$ | (18,061,471 | ) | $ | (13,470,110 | ) | ||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities |
||||||||
Net change in unrealized |
10,755,551 | (11,886,092 | ) | |||||
(Increase) decrease in restricted cash |
0 | 19,170,009 | ||||||
(Increase) decrease in option premiums paid |
340,993 | 137,449 | ||||||
Increase (decrease) in option premiums received |
190,091 | 147 | ||||||
(Increase) decrease in interest receivable |
(47,841 | ) | 43,072 | |||||
Increase (decrease) in accounts payable and accrued expenses |
(389,411 | ) | (97,156 | ) | ||||
Purchases of investments in fixed income securities |
(3,259,958,009 | ) | (2,076,618,013 | ) | ||||
Sales/maturities of investments in fixed income securities |
3,243,109,825 | 2,096,622,654 | ||||||
Net cash from (for) operating activities |
(24,060,272 | ) | 13,901,960 | |||||
Cash flows from (for) financing activities |
||||||||
Addition of units |
24,820,710 | 14,514,704 | ||||||
Redemption of units |
(8,275,120 | ) | (27,099,578 | ) | ||||
Offering costs paid |
(103,565 | ) | (34,345 | ) | ||||
Net cash from (for) financing activities |
16,442,025 | (12,619,219 | ) | |||||
Net increase (decrease) in cash and cash equivalents |
(7,618,247 | ) | 1,282,741 | |||||
Cash and cash equivalents |
||||||||
Beginning of period |
59,836,098 | 27,012,256 | ||||||
End of period |
$ | 52,217,851 | $ | 28,294,997 | ||||
End of period cash and cash equivalents consists of: |
||||||||
Cash in broker trading accounts |
$ | 37,549,104 | $ | 23,501,040 | ||||
Cash and cash equivalents |
14,668,747 | 4,793,957 | ||||||
Total end of period cash and cash equivalents |
$ | 52,217,851 | $ | 28,294,997 | ||||
- 9 -
Unitholders Capital - Series B | ||||||||||||||||||||||||
Managing Operator | Other Unitholders | Total | ||||||||||||||||||||||
Units | Amount | Units | Amount | Units | Amount | |||||||||||||||||||
Three Months Ended March 31, 2011 |
||||||||||||||||||||||||
Balances at December 31, 2010 |
20.360 | $ | 54,087 | 99,342.853 | $ | 263,905,408 | 99,363.213 | $ | 263,959,495 | |||||||||||||||
Net income (loss) for the three months ended
March 31, 2011 |
(2,729 | ) | (13,202,713 | ) | (13,205,442 | ) | ||||||||||||||||||
Additions |
0.000 | 0 | 295.821 | 772,305 | 295.821 | 772,305 | ||||||||||||||||||
Redemptions |
0.000 | 0 | (2,531.255 | ) | (6,526,372 | ) | (2,531.255 | ) | (6,526,372 | ) | ||||||||||||||
Balances at March 31, 2011 |
20.360 | $ | 51,358 | 97,107.419 | $ | 244,948,628 | 97,127.779 | $ | 244,999,986 | |||||||||||||||
Three Months Ended March 31, 2010 |
||||||||||||||||||||||||
Balances at December 31, 2009 |
20.360 | $ | 48,453 | 141,411.145 | $ | 336,529,754 | 141,431.505 | $ | 336,578,207 | |||||||||||||||
Net income (loss) for the three months ended
March 31, 2010 |
(1,769 | ) | (12,736,542 | ) | (12,738,311 | ) | ||||||||||||||||||
Additions |
0.000 | 0 | 1,020.309 | 2,289,677 | 1,020.309 | 2,289,677 | ||||||||||||||||||
Redemptions |
0.000 | 0 | (14,837.048 | ) | (33,519,753 | ) | (14,837.048 | ) | (33,519,753 | ) | ||||||||||||||
Balances at March 31, 2010 |
20.360 | $ | 46,684 | 127,594.406 | $ | 292,563,136 | 127,614.766 | $ | 292,609,820 | |||||||||||||||
Net Asset Value per Managing Operator and Other Unitholders Unit - Series B | ||||||||||||||
March 31, 2011 | December 31, 2010 | March 31, 2010 | December 31, 2009 | |||||||||||
$ | 2,522.45 | $ | 2,656.51 | $ | 2,292.92 | $ | 2,379.80 | |||||||
- 10 -
Series A | Series W | |||||||||||||||
Units | Amount | Units | Amount | |||||||||||||
Three Months Ended March 31, 2011 |
||||||||||||||||
Balances at December 31, 2010 |
27,273.338 | $ | 71,343,164 | 4,160.119 | $ | 11,146,969 | ||||||||||
Net income (loss) for the three months ended
March 31, 2011 |
(4,275,742 | ) | (580,287 | ) | ||||||||||||
Additions |
8,193.623 | 21,008,088 | 1,222.342 | 3,181,004 | ||||||||||||
Redemptions |
(87.870 | ) | (223,884 | ) | (150.627 | ) | (387,656 | ) | ||||||||
Offering costs |
(94,586 | ) | (14,569 | ) | ||||||||||||
Balances at March 31, 2011 |
35,379.091 | $ | 87,757,040 | 5,231.834 | $ | 13,345,461 | ||||||||||
Three Months Ended March 31, 2010 |
||||||||||||||||
Balances at December 31, 2009 |
10,227.868 | $ | 24,189,310 | 1,896.181 | $ | 4,550,636 | ||||||||||
Net income (loss) for the three months ended
March 31, 2010 |
(659,389 | ) | (72,410 | ) | ||||||||||||
Additions |
4,084.497 | 9,073,290 | 1,612.796 | 3,660,949 | ||||||||||||
Redemptions |
(169.465 | ) | (382,832 | ) | (45.522 | ) | (103,754 | ) | ||||||||
Offering costs |
(33,386 | ) | (6,835 | ) | ||||||||||||
Balances at March 31, 2010 |
14,142.900 | $ | 32,186,993 | 3,463.455 | $ | 8,028,586 | ||||||||||
Net Asset Value per Other Unitholders Unit - Series A | ||||||||||||||
March 31, 2011 | December 31, 2010 | March 31, 2010 | December 31, 2009 | |||||||||||
$ | 2,480.48 | $ | 2,615.86 | $ | 2,275.84 | $ | 2,365.04 | |||||||
Net Asset Value per Other Unitholders Unit - Series W(1) | ||||||||||||||
March 31, 2011 | December 31, 2010 | March 31, 2010 | February 28, 2009 | |||||||||||
$ | 2,550.82 | $ | 2,679.48 | $ | 2,318.09 | $ | 2,399.89 | |||||||
- 11 -
Series A | ||||||||
Three Months Ended | ||||||||
March 31, | ||||||||
2011 | 2010 | |||||||
Per Unit Performance (for a unit outstanding throughout the entire period) |
||||||||
Net asset value per unit at beginning of period |
$ | 2,615.86 | $ | 2,365.04 | ||||
Income (loss) from operations: |
||||||||
Total net
trading gains (losses)
(1) |
(107.84 | ) | (64.57 | ) | ||||
Net investment income (loss)(1) |
(24.32 | ) | (21.82 | ) | ||||
Total net income (loss) from operations |
(132.16 | ) | (86.39 | ) | ||||
Offering costs (1) |
(3.22 | ) | (2.81 | ) | ||||
Net asset value per unit at end of period |
$ | 2,480.48 | $ | 2,275.84 | ||||
Total Return |
(5.18 | )% | (3.77 | )% | ||||
Supplemental Data |
||||||||
Ratios to average net asset value: |
||||||||
Expenses
prior to performance fee (3) |
4.04 | % | 4.12 | % | ||||
Performance fee |
0.00 | % | 0.00 | % | ||||
Total expenses |
4.04 | % | 4.12 | % | ||||
Net
investment income (loss)
(2,3) |
(3.72 | )% | (3.87 | )% | ||||
(1) | Net investment income (loss) per unit and offering costs per unit is calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. | |
(2) | Excludes performance fee. | |
(3) | Annualized |
- 12 -
Series B | ||||||||
Three Months Ended | ||||||||
March 31, | ||||||||
2011 | 2010 | |||||||
Per Unit Performance (for a unit outstanding throughout the entire period) |
||||||||
Net asset value per unit at beginning of period |
$ | 2,656.51 | $ | 2,379.80 | ||||
Income (loss) from operations: |
||||||||
Total net
trading gains (losses)
(1) |
(109.33 | ) | (65.05 | ) | ||||
Net investment income (loss)(1) |
(24.73 | ) | (21.83 | ) | ||||
Total net income (loss) from operations |
(134.06 | ) | (86.88 | ) | ||||
Net asset value per unit at end of period |
$ | 2,522.45 | $ | 2,292.92 | ||||
Total Return |
(5.05 | )% | (3.65 | )% | ||||
Supplemental Data |
||||||||
Ratios to average net asset value: |
||||||||
Expenses
prior to performance fee (3) |
4.10 | % | 4.12 | % | ||||
Performance fee |
0.00 | % | 0.00 | % | ||||
Total expenses |
4.10 | % | 4.12 | % | ||||
Net
investment income (loss)
(2,3) |
(3.77 | )% | (3.85 | )% | ||||
(1) | Net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. | |
(2) | Excludes performance fee. | |
(3) | Annualized. |
- 13 -
Series W | ||||||||
Three Months Ended | ||||||||
March 31, | ||||||||
2011 | 2010 | |||||||
Per Unit Performance (for a unit outstanding throughout the entire period) |
||||||||
Net asset value per unit at beginning of period |
$ | 2,679.48 | $ | 2,399.89 | ||||
Income (loss) from operations: |
||||||||
Total net trading gains (losses) (1) |
(110.33 | ) | (65.22 | ) | ||||
Net investment income (loss)(1) |
(15.02 | ) | (13.72 | ) | ||||
Total net income (loss) from operations |
(125.35 | ) | (78.94 | ) | ||||
Offering costs (1) |
(3.31 | ) | (2.86 | ) | ||||
Net asset value per unit at end of period |
$ | 2,550.82 | $ | 2,318.09 | ||||
Total Return |
(4.80 | )% | (3.41 | )% | ||||
Supplemental Data |
||||||||
Ratios to average net asset value: |
||||||||
Expenses
prior to performance fee (3) |
2.56 | % | 2.63 | % | ||||
Performance fee |
0.00 | % | 0.00 | % | ||||
Total expenses |
2.56 | % | 2.63 | % | ||||
Net
investment income (loss)
(2,3) |
(2.24 | )% | (2.40 | )% | ||||
(1) | Net investment income (loss) per unit and offering costs per unit is calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. | |
(2) | Excludes performance fee. | |
(3) | Annualized. |
- 14 -
A. | General Description of the Trust | |
The Campbell Fund Trust (the Trust) is a Delaware statutory trust which operates as a commodity investment pool. The Trust engages in the speculative trading of futures contracts, forward currency contracts and options on forward currency contracts. | ||
Effective August 31, 2008, the Trust began offering units of beneficial interest classified into Series A units, Series B units and Series W units. The rights of the Series A units, Series B units and Series W units are identical, except that the fees and commissions vary on a Series-by-Series basis. Series A and Series W commenced trading on October 1, 2008 and March 1, 2009, respectively. The initial minimum subscription for Series A units and Series W units is $25,000. Series B units are only available for additional investments by existing holders of Series B units. See Note 1F, Note 1H, Note 2 and Note 5 for an explanation of allocations and Series specific charges. | ||
B. | Regulation | |
The Trust is a registrant with the Securities and Exchange Commission (SEC) pursuant to the Securities Exchange Act of 1934 (the Act). As a registrant, the Trust is subject to the regulations of the SEC and the informational requirements of the Act. As a commodity investment pool, the Trust is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Trust executes transactions. Additionally, the Trust is subject to the requirements of futures commission merchants (brokers) and interbank market makers through which the Trust trades. | ||
C. | Method of Reporting | |
The Trusts financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which may require the use of certain estimates made by the Trusts management. Actual results may differ from these estimates. Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statement of financial condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 210-20, Offsetting Balance Sheet. The fair value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close on the last business day of the reporting period. The fair value of forward currency (non-exchange traded) contracts was extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period. | ||
The fair value of option (non-exchange traded) contracts is calculated by applying an industry-standard adaptation of the Black-Scholes options valuation model to foreign currency options, using as inputs the spot prices, interest rates and option implied volatilities quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period. Any change in net unrealized gain or loss from the preceding period is reported in the statement of operations. | ||
When the Trust writes an option, an amount equal to the premium received by the Trust is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked to market to reflect the current fair value of option written. Brokerage commissions include other trading fees and are charged to expense when contracts are opened. | ||
The fixed income investments, other than U.S. Treasury bills, are held at the custodian and marked to market on the last business day of the reporting period by the custodian who utilizes a third party vendor hierarchy of pricing providers who specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. U.S. Treasury bills are held at the brokers or interbank market makers and are stated at cost plus accrued interest, which approximates fair value. Premiums and discounts on fixed income securities are amortized for financial reporting purposes. | ||
For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value by the number of outstanding units. | ||
The Trust follows the provisions of ASC 820, Fair Value Measurements and Disclosures, as of January 1, 2008. ASC 820 provides guidance for determining fair value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||
ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). | ||
Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Trust has the ability to access at the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of the Trusts exchange-traded futures contracts fall into this category. | ||
Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts and options on forward currency contracts that the Trust values using models or other valuation methodologies derived from observable market data. This category also includes fixed income investments. |
- 15 -
Level 3 inputs are unobservable inputs for an asset or liability (including the Trusts own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of and for the period ended March 31, 2011, the Trust did not have any Level 3 assets or liabilities. | ||
In January 2010, the FASB issued Accounting Standards Update No. 2010-06 (ASU 2010-06) for improving disclosure about fair value measurements. ASU 2010-06 adds new disclosure requirements about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. As of January 1, 2010, the Trust adopted the provisions of ASC 2010-06 except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which were adopted as of January 1, 2011. The adoption of the remaining provisions have not had a material impact on the Trusts financial statement disclosures. | ||
The following tables set forth by level within the fair value hierarchy the Trusts investments accounted for at fair value on a recurring basis as of March 31, 2011 and December 31, 2010. |
Fair Value at March 31, 2011 | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments |
||||||||||||||||
Fixed income securities |
$ | 0 | $ | 299,728,108 | $ | 0 | $ | 299,728,108 | ||||||||
Other Financial Instruments |
||||||||||||||||
Exchange-traded futures contracts |
1,077,028 | 0 | 0 | 1,077,028 | ||||||||||||
Forward currency contracts |
0 | (2,524,069 | ) | 0 | (2,524,069 | ) | ||||||||||
Options purchased |
0 | 1,339,761 | 0 | 1,339,761 | ||||||||||||
Options written |
0 | (690,588 | ) | 0 | (690,588 | ) | ||||||||||
Total |
$ | 1,077,028 | $ | 297,853,212 | $ | 0 | $ | 298,930,240 | ||||||||
Fair Value at December 31, 2010 | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments |
||||||||||||||||
Fixed income securities |
$ | 0 | $ | 282,888,486 | $ | 0 | $ | 282,888,486 | ||||||||
Other Financial Instruments |
||||||||||||||||
Exchange-traded futures contracts |
4,525,677 | 0 | 0 | 4,525,677 | ||||||||||||
Forward currency contracts |
0 | 5,148,027 | 0 | 5,148,027 | ||||||||||||
Options purchased |
0 | 1,500,007 | 0 | 1,500,007 | ||||||||||||
Options written |
0 | (693,506 | ) | 0 | (693,506 | ) | ||||||||||
Total |
$ | 4,525,677 | $ | 288,843,014 | $ | 0 | $ | 293,368,691 | ||||||||
The gross presentation of the fair value of the Trusts derivatives by instrument type is shown in Note 8. See Condensed Schedule of Investments for additional detail categorization. | ||
D. | Cash and Cash Equivalents | |
Cash and cash equivalents includes cash and overnight money market investments at financial institutions. | ||
E. | Income Taxes | |
The Trust prepares calendar year U.S. federal and applicable state information tax returns and reports to the unitholders their allocable shares of the Trusts income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each unitholder is individually responsible for reporting income or loss based on such unitholders respective share of the Trusts income and expenses as reported for income tax purposes. | ||
Management has continued to evaluate the application of ASC 740, Income Taxes, to the Trust, and has determined that no reserves for uncertain tax positions were required. The Trust files federal and state tax returns. The 2007 through 2010 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. |
- 16 -
F. | Offering Costs | |
Campbell & Company, Inc. (Campbell & Company) has incurred all costs in connection with the initial and continuous offering of units of the Trust (offering costs). Series A units and Series W units will each bear the offering costs incurred in the relation to the offering of Series A units and Series W units, respectively. Offering costs are charged to Series A and W at a monthly rate of 1/12 of 0.5% (0.5% annualized) of the Series month-end net asset value (as defined in the Declaration of Trust and Trust Agreement) until such amounts are fully reimbursed. Such amounts are charged directly to unitholders capital. Series A and W are only liable for payment of offering costs on a monthly basis. The offering costs allocable to the Series B units are borne by Campbell & Company. | ||
If the Trust terminates prior to completion of payment to Campbell & Company for the unreimbursed offering costs incurred through the date of such termination, Campbell & Company will not be entitled to any additional payments, and Series A units and Series W units will have no further obligation to Campbell & Company. At March 31, 2011 and December 31, 2010, the amount of unreimbursed offering costs incurred by Campbell & Company is $2,717,987 and $2,712,914 for Series A units and $558,153 and $556,411 for Series W units, respectively. | ||
G. | Foreign Currency Transactions | |
The Trusts functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the statement of financial condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income. | ||
H. | Allocations | |
Income or loss (prior to calculation of the management fee, service fee, offering costs and performance fee) is allocated pro rata to each Series of units. Each Series of units is then charged the management fee, service fee, offering costs and performance fee applicable to such Series of units. |
The managing operator of the Trust is Campbell & Company which conducts and manages the business of the Trust. Campbell & Company is also the commodity trading advisor of the Trust. | ||
Series A units and Series B units pay the managing operator a monthly management fee equal to 1/12 of 4% (4% annually) of the Net Assets (as defined) of Series A units and Series B units, respectively, as of the end of each month. Series W units pay the managing operator a monthly management fee equal to 1/12 of 2% (2% annually) of the Net Assets (as defined) of Series W units as of the end of each month. Each Series of units will pay the managing operator a quarterly performance fee equal to 20% of the aggregate cumulative appreciation in Net Asset Value per Unit (as defined) exclusive of appreciation attributable to interest income on a Series-by-Series basis. | ||
The performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark). In determining the management fee and performance fee (the fees), adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The fees are typically paid in the month following the month in which they are earned. The fees are paid from the available cash at the Trusts bank, broker or cash management custody accounts. |
The trustee of the Trust is U.S. Bank National Association, a national banking corporation. The trustee has delegated to the managing operator the duty and authority to manage the business and affairs of the Trust and has only nominal duties and liabilities with respect to the Trust. |
The Trust appointed Wilmington Trust Investment Management LLC, a wholly owned subsidiary of Wilmington Trust Corporation, as cash manager under the Non-Custody Investment Advisory Agreement dated July 8, 2009. The Trust appointed Horizon Cash Management LLC as cash manager under the Investment Advisory Agreement dated December 22, 2010 to manage and control the liquid assets of the Trust. Both cash managers are registered as investment advisers with the Securities and Exchange Commission of the United States under the Investment Advisers Act of 1940. The Trust has terminated the Non-Custody Investment Advisory Agreement appointing Wilmington Trust Investment Management LLC as cash manager, effective December 31, 2010. | ||
The Trust opened a custodial account at The Northern Trust Company (the custodian) and has granted the cash manager authority to make certain investments on behalf of the Trust provided such investments are consistent with the investment guidelines created by the managing operator. All securities purchased by the cash manager on behalf of the Trust will be held in its custody account at the custodian. The cash manager will have no beneficial or other interest in the securities and cash in such custody account. |
The selling firms who sell Series W units receive a monthly service fee equal to 1/12 of 0.5% of the month-end Net Asset Value (as defined) of the Series W units, totaling approximately 0.50% per year. |
- 17 -
The Trust deposits assets with UBS Securities LLC to act as broker, subject to Commodity Futures Trading Commission regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury bills and cash with such broker. The Trust typically earns interest income on its assets deposited with the broker. |
Investments in the Trust are made by subscription agreement, subject to acceptance by Campbell & Company. | ||
The Trust is not required to make distributions, but may do so at the sole discretion of Campbell & Company. A unitholder may request and receive redemption of units owned, subject to restrictions in the Declaration of Trust and Trust Agreement. Units are transferable, but no market exists for their sale and none is expected to develop. Monthly redemptions are permitted upon ten (10) business days advance written notice to Campbell & Company | ||
Redemption fees, which are paid to Campbell & Company, apply to Series A units through the first twelve month-ends following purchase (the month-end as of which the unit is purchased is counted as the first month-end) as follows: 1.833% of Net Asset Value per unit redeemed through the second month-end, 1.666% of Net Asset Value per unit redeemed through the third month-end, 1.500% of Net Asset Value per unit redeemed through the fourth month-end, 1.333% of Net Asset Value per unit redeemed through the fifth month-end, 1.167% of Net Asset Value per unit redeemed through the sixth month-end, 1.000% of Net Asset Value per unit redeemed through the seventh month-end, 0.833% of Net Asset Value per unit redeemed through the eight month-end, 0.667% of Net Asset Value per unit redeemed through the ninth month-end, 0.500% of Net Asset Value per unit redeemed through the tenth month-end, 0.333% of Net Asset Value per unit redeemed through the eleventh month-end and 0.167% of Net Asset Value per unit redeemed through the twelfth month end. |
The Trust engages in the speculative trading of U.S. and foreign futures contracts, forward currency contracts and options on forward currency contracts (collectively, derivatives). Specifically, the Fund trades a portfolio focused on financial futures, which are instruments designed to hedge or speculate on changes in interest rates, currency exchange rates or stock index values, as well as metals, energy and agricultural values. A secondary emphasis is on metals, energy and agriculture values. The Trust is exposed to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract. The market sensitive instruments held by the Trust are acquired for speculative trading purposes, and all or a substantial amount of the Trusts assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Trusts main line of business. | ||
Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such brokers proprietary activities. A customers cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer trusts subject to the brokers segregation requirements. In the event of a brokers insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property deposited. | ||
The amount of required margin and good faith deposits with the broker and interbank market makers usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at March 31, 2011 and December 31, 2010 was $299,728,108 and $61,998,650, respectively, which equals 87% and 18% of Net Asset Value, respectively. The cash deposited with interbank market makers at March 31, 2011 and December 31, 2010 was $4,189,863 and $15,795,395, respectively, which equals 1% and 5% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. There was no restricted cash at March 31, 2011 or December 31, 2010. | ||
The Trust trades forward currency and options on forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward currency and options on foreign currency contracts are generally greater than those associated with exchange traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency and options on forward currency contracts typically involves delayed cash settlement. | ||
The Trust has a substantial portion of its assets on deposit with financial institutions. In the event of a financial institutions insolvency, recovery of Trust assets on deposit may be limited to account insurance or other protection afforded such deposits. | ||
For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the fair value of the Trusts open positions and, consequently, in its earnings and cash flow. The Trusts market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Trusts open positions and the liquidity of the markets in which it trades. Theoretically, the Trust is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. As both a buyer and seller of options, the Trust pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Trust to potentially unlimited liability, and purchased options expose the Trust to a risk of loss limited to the premiums paid. See Note 1. C. for an explanation of how the Trust determines its valuation for derivatives as well as the netting of derivatives. | ||
The Trust has adopted the provisions of ASC 815, Derivatives and Hedging, (ASC 815). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entitys financial position, financial performance and cash flows. |
- 18 -
The following tables summarize quantitative information required by ASC 815. | ||
The fair value of the Trusts derivatives by instrument type, as well as the location of those instruments on the Statement of Financial Condition, as of March 31, 2011 and December 31, 2010 is as follows: |
Asset | Liability | |||||||||||||
Derivatives at | Derivatives at | |||||||||||||
Statement of Financial | March 31, 2011 | March 31, 2011 | ||||||||||||
Type of Instrument * | Condition Location | Fair Value | Fair Value | Net | ||||||||||
Agricultural Contracts | Equity in broker trading accounts |
$ | 965,052 | $ | (714,886 | ) | $ | 250,166 | ||||||
Energy Contracts | Equity in broker trading accounts |
1,548,027 | (634 | ) | 1,547,393 | |||||||||
Metal Contracts | Equity in broker trading accounts |
1,278,323 | (1,545,258 | ) | (266,935 | ) | ||||||||
Stock Indices Contracts | Equity in broker trading accounts |
1,446,122 | (169,163 | ) | 1,276,959 | |||||||||
Short-Term Interest Rate Contracts | Equity in broker trading accounts |
586,897 | (626,919 | ) | (40,022 | ) | ||||||||
Long-Term Interest Rate Contracts | Equity in broker trading accounts |
288,169 | (1,978,702 | ) | (1,690,533 | ) | ||||||||
Forward Currency Contracts | Net unrealized gain (loss) on open
forward currency contracts |
20,472,260 | (22,996,329 | ) | (2,524,069 | ) | ||||||||
Purchased Options on Forward Currency Contracts | Options purchased, at fair value |
1,339,761 | 0 | 1,339,761 | ||||||||||
Written Options on Forward Currency Contracts | Options written, at fair value |
0 | (690,588 | ) | (690,588 | ) | ||||||||
Totals | $ | 27,924,611 | $ | (28,722,479 | ) | $ | (797,868 | ) | ||||||
* | Derivatives not designated as hedging instruments under ASC 815 |
Asset | Liability | |||||||||||||
Derivatives at | Derivatives at | |||||||||||||
Statement of Financial | December 31, 2010 | December 31, 2010 | ||||||||||||
Type of Instrument * | Condition Location | Fair Value | Fair Value | Net | ||||||||||
Agricultural Contracts | Equity in broker trading accounts |
$ | 2,324,406 | $ | (112,725 | ) | $ | 2,211,681 | ||||||
Energy Contracts | Equity in broker trading accounts |
980,008 | (475,769 | ) | 504,239 | |||||||||
Metal Contracts | Equity in broker trading accounts |
2,599,694 | (591,961 | ) | 2,007,733 | |||||||||
Stock Indices Contracts | Equity in broker trading accounts |
902,423 | (893,206 | ) | 9,217 | |||||||||
Short-Term Interest Rate Contracts | Equity in broker trading accounts |
416,741 | (25,323 | ) | 391,418 | |||||||||
Long-Term Interest Rate Contracts | Equity in broker trading accounts |
99,846 | (698,457 | ) | (598,611 | ) | ||||||||
Forward Currency Contracts | Net unrealized gain (loss) on open forward
currency contracts |
27,837,667 | (22,689,640 | ) | 5,148,027 | |||||||||
Purchased Options on Forward Currency Contracts | Options purchased, at fair value |
1,500,007 | 0 | 1,500,007 | ||||||||||
Written Options on Forward Currency Contracts | Options written, at fair value |
0 | (693,506 | ) | (693,506 | ) | ||||||||
Totals | $ | 36,660,792 | $ | (26,180,587 | ) | $ | 10,480,205 | |||||||
* | Derivatives not designated as hedging instruments under ASC 815 |
Trading Revenue for | Trading Revenue for | |||||||
the Three Months Ended | the Three Months Ended | |||||||
Type of Instrument | March 31, 2011 | March 31, 2010 | ||||||
Agricultural Contracts |
$ | (127,779 | ) | $ | 128,333 | |||
Energy Contracts |
6,928,822 | (2,724,911 | ) | |||||
Metal Contracts |
(1,508,583 | ) | (2,864,314 | ) | ||||
Stock Indices Contracts |
(7,141,847 | ) | (7,320,119 | ) | ||||
Short-Term Interest Rate Contracts |
(3,938,653 | ) | 10,677,099 | |||||
Long Term Interest Rate Contracts |
(2,401,881 | ) | (4,905,283 | ) | ||||
Forward Currency Contracts |
(3,486,624 | ) | (1,128,786 | ) | ||||
Purchased Options on Forward Currency Contracts |
(4,685,902 | ) | (3,867,495 | ) | ||||
Written Options on Forward Currency Contracts |
1,806,870 | 2,124,091 | ||||||
Total |
$ | (14,555,577 | ) | $ | (9,881,385 | ) | ||
- 19 -
Trading Revenue for | Trading Revenue for | |||||||
the Three Months Ended | the Three Months Ended | |||||||
Line Item in the Statement of Operations | March 31, 2011 | March 31, 2010 | ||||||
Futures trading gains (losses): |
||||||||
Realized |
$ | (4,742,849 | ) | $ | (15,464,548 | ) | ||
Change in unrealized |
(3,448,650 | ) | 8,455,353 | |||||
Forward currency and options on forward currency trading gains (losses): |
||||||||
Realized |
934,261 | (6,333,282 | ) | |||||
Change in unrealized |
(7,298,339 | ) | 3,461,092 | |||||
Total |
$ | (14,555,577 | ) | $ | (9,881,385 | ) | ||
For the three months ended March 31, 2011 and 2010, the monthly average of futures contracts bought and sold was approximately 18,670 and 20,700 respectively, and the monthly average of notional value of forward currency and options on forward currency contracts was $3,415,450,000 and $2,629,600,000 respectively. | ||
Open contracts generally mature within twelve months; as of March 31, 2011, the latest maturity date for open futures contracts is June 2012, the latest maturity date for open forward currency contracts is June 2011, and the latest expiry date for options on forward currency contracts is April 2011. However, the Trust intends to close all futures and foreign currency contracts prior to maturity. | ||
Campbell & Company has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. Campbell & Companys basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%. Campbell & Companys attempt to manage the risk of the Trusts open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per risk unit of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses. Campbell & Company controls the risk of the Trusts non-trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments. | ||
Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Trusts assets at financial institutions and brokers which Campbell & Company believes to be credit worthy. The unitholder bears the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received. |
In the normal course of business, the Trust enters into contracts and agreements that contain a variety of representations and warranties which provide general indemnifications. The Trusts maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. The Trust expects the risk of any future obligation under these indemnifications to be remote. |
The statement of financial condition, including the condensed schedule of investments, as of March 31, 2011 and December 31, 2010, and the statements of operations, cash flows, changes in unitholders capital (Net Asset Value) and financial highlights for the three months ended March 31, 2011 and 2010 are unaudited. In the opinion of management, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of March 31, 2011, and the results of operations, cash flows, changes in unitholders capital (Net Asset Value) and financial highlights for the three months ended March 31, 2011 and 2010. |
Management of the Trust has evaluated subsequent events through the date the financial statements were filed. There are no subsequent events to disclose or record. |
- 20 -
- 21 -
- 22 -
- 23 -
Sector | % Gain (Loss) | |||
Commodities |
1.57 | % | ||
Currencies |
(1.80 | ) | ||
Interest Rates |
(1.81 | ) | ||
Stock Indices |
(1.97 | ) | ||
(4.01 | )% | |||
- 24 -
- 25 -
Sector | % Gain (Loss) | |||
Interest Rates |
1.60 | % | ||
Currencies |
(0.71 | ) | ||
Commodities |
(1.48 | ) | ||
Stock Indices |
(2.02 | ) | ||
(2.61 | )% | |||
- 26 -
- 27 -
- 28 -
March 31, 2011 | ||||||||
Trading | ||||||||
Market Sector | Value at Risk* | Gain/(Loss)** | ||||||
Commodities |
0.96 | % | 1.57 | % | ||||
Stock Indices |
0.87 | % | (1.97 | )% | ||||
Currencies |
0.58 | % | (1.80 | )% | ||||
Interest Rates |
0.25 | % | (1.81 | )% | ||||
Aggregate/Total |
2.02 | % | (4.01 | )% | ||||
* | The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. The aggregate VaR represents the VaR of the Trusts 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 three months ended March 31, 2011. |
December 31, 2010 | ||||||||
Market Sector | Value at Risk* | Gain/(Loss)** | ||||||
Commodities |
0.83 | % | 3.21 | % | ||||
Stock Indices |
0.48 | % | (2.54 | )% | ||||
Currencies |
0.46 | % | 2.94 | % | ||||
Interest Rates |
0.45 | % | 12.12 | % | ||||
Aggregate/Total |
1.72 | % | 15.73 | % | ||||
* | The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. The aggregate VaR represents the VaR of the Trusts 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, 2010. |
- 29 -
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. |
- 30 -
- 31 -
- 32 -
- 33 -
(a) | Exhibits |
Exhibit | ||
Number | Description of Document | |
31.01
|
Certification of Theresa D. Becks, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934. | |
31.02
|
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934. | |
32.01
|
Certification of Theresa D. Becks, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. | |
32.02
|
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. |
- 34 -
THE CAMPBELL FUND TRUST (Registrant) |
||||||
By: | Campbell & Company, Inc. | |||||
Managing Operator | ||||||
Date: May 16, 2011
|
By: | /s/ Theresa D. Becks
|
||||
Chief Executive Officer |
- 35 -
Exhibit Number | Description of Document | Page Number | ||
31.01
|
Certification by Chief Executive Officer | E 2 E 3 | ||
31.02
|
Certification by Chief Financial Officer | E 4 E 5 | ||
32.01
|
Certification by Chief Executive Officer | E 6 | ||
32.02
|
Certification by Chief Financial Officer | E 7 |
1. | I have reviewed this quarterly report on Form 10-Q of the Trust; | |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; | |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; | |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; | ||
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | ||
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and | ||
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter (the Registrants fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonable likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize and report financial information; and | ||
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
By: | /s/ Theresa D. Becks
|
|||||
Chief Executive Officer | ||||||
Campbell & Company, Inc. | ||||||
Managing Operator | ||||||
The Campbell Fund Trust | ||||||
May 16, 2011 |
1. | I have reviewed this quarterly report on Form 10-Q of the Trust; | |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; | |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; | |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
(c) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; | ||
(d) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | ||
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and | ||
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter (the Registrants fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonable likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize and report financial information; and | ||
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
By: | /s/ Gregory T. Donovan
|
|||||
Chief Financial Officer | ||||||
Campbell & Company, Inc. | ||||||
Managing Operator | ||||||
The Campbell Fund Trust | ||||||
May 16, 2011 |
THE CAMPBELL FUND TRUST | ||||||
By: Campbell & Company, Inc., managing operator | ||||||
By: | /s/ Theresa D. Becks
|
|||||
Chief Executive Officer | ||||||
May 16, 2011 |
THE CAMPBELL FUND TRUST | ||||||
By: Campbell & Company, Inc., managing operator | ||||||
By: | /s/ Gregory T. Donovan
|
|||||
Chief Financial Officer | ||||||
May 16, 2011 |