þ
|
Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the quarterly period ended June 30, 2011
|
o
|
Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the transition period from to
|
Commission File number: 0-50264 |
THE CAMPBELL FUND TRUST |
(Exact name of Registrant as specified in charter) |
Delaware
|
94-6260018
|
|
(State of Organization) | (IRS Employer Identification Number | |
|
2850 Quarry Lake Drive | ||
Baltimore, Maryland 21209 | ||
(Address of principal executive offices, including zip code) | ||
(410) 413-2600 | ||
(Registrant's telephone number, including area code) |
Large accelerated filer o
|
Accelerated filer o
|
Non-accelerated filer o
|
Smaller reporting company þ
|
|||
(Do not check if a smaller reporting company)
|
Page | ||||||||
PART I — FINANCIAL INFORMATION
|
||||||||
Item 1.
|
Financial Statements
|
|||||||
Condensed Schedules of Investments as of June 30, 2011 and December 31, 2010 (Unaudited)
|
3-6
|
|||||||
Statements of Financial Condition as of June 30, 2011 and December 31, 2010 (Unaudited)
|
7
|
|||||||
Statements of Operations for the Three Months and Six Months Ended June 30, 2011 and 2010 (Unaudited)
|
8
|
|||||||
Statements of Cash Flows for the Six Months Ended June 30, 2011 and 2010 (Unaudited)
|
9
|
|||||||
Statements of Changes in Unitholders’ Capital (Net Asset Value) for the Six Months Ended June 30, 2011 and 2010 (Unaudited)
|
10-11
|
|||||||
Financial Highlights for the Three Months and Six Months Ended June 30, 2011 and 2010 (Unaudited)
|
12-14
|
|||||||
Notes to Financial Statements (Unaudited)
|
15-21
|
|||||||
Item 2.
|
Management’s Discussion and Analysis of Financial Condition and Results of Operations
|
22-28
|
||||||
Item 3.
|
Quantitative and Qualitative Disclosure About Market Risk
|
29-33
|
||||||
Item 4.
|
Controls and Procedures
|
34
|
||||||
PART II — OTHER INFORMATION
|
||||||||
Item 1. | Legal Proceedings | 35 | ||||||
Item 1A. | Risk Factors | 35 | ||||||
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds | 35 | ||||||
Item 3. | Defaults Upon Senior Securities | 35 | ||||||
Item 4. | [Removed and Reserved] | 35 | ||||||
Item 5. | Other Information | 35 | ||||||
Item 6.
|
Exhibits
|
35
|
||||||
SIGNATURES
|
36
|
Maturity
|
% of Net
|
||||||||||
Face Value
|
Description
|
Values ($)
|
Asset Value
|
||||||||
Bank Deposits
|
|||||||||||
Canada | |||||||||||
Financial
(cost $27,985,560)
|
$ | 27,987,201 | 7.90 | % | |||||||
Sweden
|
|||||||||||
Financial
(cost $19,400,000)
|
$
|
19,408,703
|
5.48
|
%
|
|||||||
United Kingdom | |||||||||||
Finacial
(cost $5,000,666)
|
$
|
5,001,566
|
1.41
|
% | |||||||
United States
|
|||||||||||
Financial
(cost $11,000,000)
|
$
|
11,002,181
|
3.10
|
%
|
|||||||
Total Bank Deposits
(cost $63,386,226)
|
$
|
63,399,651
|
17.89 |
%
|
|||||||
Commercial Paper
|
|||||||||||
Netherlands
|
|||||||||||
Materials
(cost $6,523,868)
|
$
|
6,523,989 | 1.84 |
%
|
|||||||
Panama
|
|||||||||||
Consumer Discretionary
(cost $9,998,364)
|
$
|
9,998,300
|
2.82
|
%
|
|||||||
United States
|
|||||||||||
Consumer Discretionary
|
$
|
11,066,433
|
3.12
|
%
|
|||||||
Consumer Staple
|
$
|
20,186,896
|
5.70
|
%
|
|||||||
Energy
|
$
|
9,999,572
|
2.82
|
%
|
|||||||
Financial | |||||||||||
$ | 19,327,000 |
ING America Insurance Holdings
Due 07/01/2011
|
$
|
19,326,613
|
5.45
|
%
|
|||||
Other
|
$ | 9,999,260 | 2.82 | % | |||||||
|
|
Healthcare
|
$
|
14,999,954
|
5.45
|
%
|
|||||
Materials | $ | 21,999,932 | 6.21 | % | |||||||
Total United States (cost $107,573,679)
|
$
|
107,578,660
|
30.35
|
%
|
|||||||
Total Commercial Paper
(cost $124,095,911)
|
$
|
124,100,949
|
35.01
|
%
|
|||||||
Corporate Bonds
|
|||||||||||
Switzerland | |||||||||||
Financial | |||||||||||
(cost $6,635,562) | $ | 6,621,041 | 1.87 | % | |||||||
United States
|
|||||||||||
Financial
|
$
|
43,237,962
|
12.20
|
%
|
|||||||
Healthcare
|
$
|
6,170,952
|
1.74
|
%
|
|||||||
Total United States (cost $49,262,250)
|
$
|
49,408,914
|
13.94
|
%
|
|||||||
Total Corporate Bonds
(cost $55,897,812)
|
$ | 56,029,955 | 15.81 | % | |||||||
Government And Agency Obligations
|
|||||||||||
United States
|
|||||||||||
$ | 5,000,000 |
U.S. Government Agency
|
$ | 5,006,400 | 1.41 | % | |||||
U.S. Treasury Bill | |||||||||||
$
|
31,000,000 |
U.S. Treasury Bills *
Due 09/08/2011
|
$
|
30,999,769
|
8.75
|
%
|
Total United States (cost $35,999,699)
|
$
|
36,006,169
|
10.16
|
%
|
Short Term Investment Funds | |||||||||||
United States
|
|||||||||||
Short Term Investment Funds
(cost $553)
|
$
|
553
|
0.00
|
%
|
|||||||
Total Fixed Income Securities
(cost $279,380,201)
|
$
|
279,537,277
|
78.86
|
%
|
% of Net
|
||||||||
Description
|
Values ($)
|
Asset Value
|
||||||
Agricultural
|
$
|
(611,060 | ) |
(0.17
|
)%
|
|||
Energy
|
$
|
181,073 |
0.05
|
%
|
||||
Metals
|
$
|
(21,936 | ) |
(0.01
|
)%
|
|||
Stock indices
|
$
|
3,029,616 |
0.85
|
%
|
||||
Short-term interest rates
|
$
|
(1,558,402 |
)
|
(0.44
|
)%
|
|||
Long-term interest rates
|
$
|
(5,703,861 |
)
|
(1.61
|
)%
|
|||
Total long futures contracts
|
$
|
(4,684,570 | ) |
(1.33
|
)%
|
% of Net
|
||||||||
Description
|
Values ($)
|
Asset Value
|
||||||
Agricultural
|
$
|
838,584 |
|
0.24
|
%
|
|||
Energy
|
$
|
(326,120
|
)
|
(0.09
|
)%
|
|||
Metals
|
$
|
(1,845,934
|
)
|
(0.52
|
)%
|
|||
Stock Indices
|
$
|
(819,947
|
) | (0.23 |
)%
|
|||
Short-term interest rates
|
$
|
(48,294 | ) | (0.01 |
)%
|
|||
Long-term interest rates | $ | 0 | 0.00 | % | ||||
Total short futures contracts
|
$
|
(2,201,711
|
)
|
(0.61 |
)%
|
|||
Total futures contracts
|
$
|
(6,886,281 | ) | (1.94 |
)%
|
% of Net
|
||||||||
Description
|
Values ($)
|
Asset Value
|
||||||
Various long forward currency contracts
|
$
|
13,085,339 | 3.69 |
%
|
||||
Various short forward currency contracts
|
$
|
(13,678,510
|
)
|
(3.86
|
)%
|
|||
Total forward currency contracts
|
$
|
(593,171
|
)
|
(0.17
|
)%
|
|||
% of Net
|
||||||||
Description
|
Values ($)
|
Asset Value
|
||||||
Purchased options on forward currency contracts
|
$
|
892,831
|
0.25
|
%
|
||||
(premiums paid — $684,796) | ||||||||
% of Net
|
||||||||
Description
|
Values ($)
|
Asset Value
|
||||||
Written options on forward currency contracts
|
$
|
(345,594
|
)
|
(0.10 |
)%
|
|||
(premiums received — $344,789) | ||||||||
*
|
Pledged as collateral for the trading of futures, forward and option positions. |
|
FIXED INCOME SECURITIES
|
|||||||||||
Maturity
|
% of Net
|
||||||||||
Face Value
|
Description
|
Values ($)
|
Asset Value
|
||||||||
Certificate of Deposit
|
|||||||||||
Canada
|
|||||||||||
Financials
(cost $7,215,000)
|
$
|
7,221,421
|
2.08
|
%
|
|||||||
Commercial Paper
|
|||||||||||
Netherlands
|
|||||||||||
Industrials
(cost $9,958,946)
|
$
|
9,987,542
|
2.88
|
%
|
|||||||
Panama
|
|||||||||||
Consumer Discretionary
(cost $9,998,139)
|
$
|
9,998,275
|
2.89
|
%
|
|||||||
United Kingdom
|
|||||||||||
Consumer Staples
(cost $5,716,634)
|
$
|
5,718,658
|
1.65
|
%
|
|||||||
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
(cost $37,464,778)
|
$
|
37,589,108
|
10.85
|
%
|
|||||||
Government And Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Government Agency
|
|||||||||||
|
U.S. Treasury Bill
|
$
|
14,585,360
|
4.21
|
%
|
||||||
$
|
12,000,000
|
U.S. Treasury Bills*
Due 01/06/2011
|
$
|
11,999,817
|
3.46
|
%
|
|||||
$
|
50,000,000
|
U.S. Treasury Bills*
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
(cost $941)
|
$
|
941
|
0.00
|
%
|
|||||||
Total Fixed Income Securities
(cost $282,714,837)
|
$
|
282,888,486
|
81.65
|
%
|
|||||||
% 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.
|
June 30,
2011
|
December 31,
2010
|
|||||||
ASSETS
|
||||||||
Equity in broker trading accounts
|
||||||||
Cash
|
$ | 39,026,557 | $ | 43,929,635 | ||||
Restricted cash
|
47,781,505 | 0 | ||||||
Fixed income securities (cost $ 0 and $49,998,833, respectively)
|
0 | 49,998,833 | ||||||
Net unrealized gain (loss) on open futures contracts
|
(6,886,281 | ) | 4,525,677 | |||||
Total equity in broker trading accounts
|
79,921,781 | 98,454,145 | ||||||
Cash and cash equivalents
|
10,450,780 | 15,906,463 | ||||||
Fixed income securities
(cost $279,380,201 and $232,716,004, respectively)
|
279,537,277 | 232,889,653 | ||||||
Options purchased, at fair value
(premiums paid - $684,796 and $1,091,379, respectively)
|
892,831 | 1,500,007 | ||||||
Net unrealized gain (loss) on open forward currency contracts
|
(593,171 | ) | 5,148,027 | |||||
Interest receivable
|
401,390 | 81,415 | ||||||
Subscriptions receivable
|
103,808 | 327,332 | ||||||
Total assets
|
$ | 370,714,696 | $ | 354,307,042 | ||||
LIABILITIES
|
||||||||
Accounts payable
|
$ | 93,582 | $ | 116,724 | ||||
Management fee
|
1,145,492 | 1,142,475 | ||||||
Service fee
|
6,192 | 4,423 | ||||||
Options written, at fair value
(premiums received - $344,789 and $237,756, respectively)
|
345,594 | 693,506 | ||||||
Payable for securities purchased
|
9,998,364 | 0 | ||||||
Accrued commissions and other trading fees on open contracts
|
62,323 | 47,113 | ||||||
Performance fee payable
|
0 | 381,483 | ||||||
Offering costs payable
|
47,996 | 32,432 | ||||||
Subscription deposits
|
2,405,000 | 0 | ||||||
Redemptions payable
|
2,158,538 | 5,439,258 | ||||||
Total liabilities
|
16,263,081 | 7,857,414 | ||||||
UNITHOLDERS' CAPITAL (Net Asset Value)
|
||||||||
Series A Units - Redeemable
|
||||||||
Other Unitholders - 42,858.380 and 27,273.338 units outstanding at
|
||||||||
June 30, 2011 and December 31, 2010
|
105,671,236 | 71,343,164 | ||||||
Series B Units - Redeemable
|
||||||||
Managing Operator - 20.360 units outstanding at
|
||||||||
June 30, 2011 and December 31, 2010
|
51,116 | 54,087 | ||||||
Other Unitholders - 92,859.585 and 99,342.853 units outstanding at
|
||||||||
June 30, 2011 and December 31, 2010
|
233,130,649 | 263,905,408 | ||||||
Series W Units - Redeemable
|
||||||||
Other Unitholders - 6,129.283 and 4,160.119 units outstanding at
|
||||||||
June 30, 2011 and December 31, 2010
|
15,598,614 | 11,146,969 | ||||||
Total unitholders' capital (Net Asset Value)
|
354,451,615 | 346,449,628 | ||||||
Total liabilities and unitholders' capital (Net Asset Value)
|
$ | 370,714,696 | $ | 354,307,042 |
Three Months Ended
June 30,
|
Six Months Ended
June 30,
|
|||||||||||||||
2011
|
2010
|
2011
|
2010
|
|||||||||||||
TRADING GAINS (LOSSES)
|
||||||||||||||||
Futures trading gains (losses)
|
||||||||||||||||
Realized
|
$ | (210,868 | ) | $ | 4,683,781 | $ | (4,965,615 | ) | $ | (10,787,644 | ) | |||||
Change in unrealized
|
(7,963,308 | ) | (3,455,920 | ) | (11,411,958 | ) | 4,999,433 | |||||||||
Brokerage commissions
|
(348,204 | ) | (223,358 | ) | (582,788 | ) | (474,219 | ) | ||||||||
Net gain (loss) from futures trading
|
(8,522,380 | ) | 1,004,503 | (16,960,361 | ) | (6,262,430 | ) | |||||||||
Forward currency and options on forward currency trading gains (losses)
|
||||||||||||||||
Realized
|
8,318,229 | 3,683,543 | 9,252,490 | (2,649,739 | ) | |||||||||||
Change in unrealized
|
1,811,493 | (4,021,437 | ) | (5,486,846 | ) | (560,345 | ) | |||||||||
Brokerage commissions
|
(52,327 | ) | (20,338 | ) | (84,069 | ) | (42,196 | ) | ||||||||
Net gain (loss) from forward currency
and options on forward currency trading
|
10,077,395 | (358,232 | ) | 3,681,575 | (3,252,280 | ) | ||||||||||
Total net trading gain (loss)
|
1,555,015 | 646,271 | (13,278,786 | ) | (9,514,710 | ) | ||||||||||
NET INVESTMENT INCOME (LOSS)
|
||||||||||||||||
Investment income
|
||||||||||||||||
Interest income
|
299,241 | 219,863 | 635,511 | 484,335 | ||||||||||||
Realized gain (loss)
on fixed income securities
|
960 | 37,268 | 5,821 | 28,101 | ||||||||||||
Change in unrealized gain (loss)
on fixed income securities
|
(8,015 | ) | (97,056 | ) | (16,577 | ) | (127,409 | ) | ||||||||
Total investment income
|
292,186 | 160,075 | 624,755 | 385,027 | ||||||||||||
Expenses
|
||||||||||||||||
Management fee
|
3,541,127 | 3,248,082 | 6,954,438 | 6,658,174 | ||||||||||||
Service fee
|
18,287 | 10,382 | 32,856 | 17,217 | ||||||||||||
Operating expenses
|
118,018 | 129,643 | 250,377 | 246,797 | ||||||||||||
Total expenses
|
3,677,432 | 3,388,107 | 7,237,671 | 6,922,188 | ||||||||||||
Net investment income (loss)
|
(3,385,246 | ) | (3,228,032 | ) | (6,612,916 | ) | (6,537,161 | ) | ||||||||
NET INCOME (LOSS)
|
$ | (1,830,231 | ) | $ | (2,581,761 | ) | $ | (19,891,702 | ) | $ | (16,051,871 | ) | ||||
NET INCOME (LOSS) PER MANAGING OPERATOR
|
||||||||||||||||
AND OTHER UNITHOLDERS UNIT
(based on weighted average number of units outstanding during the period)
|
||||||||||||||||
Series A
|
$ | (28.47 | ) | $ | (24.59 | ) | $ | (159.67 | ) | $ | (76.31 | ) | ||||
Series B
|
$ | (6.93 | ) | $ | (17.52 | ) | $ | (142.62 | ) | $ | (113.86 | ) | ||||
Series W
|
$ | (17.47 | ) | $ | (12.07 | ) | $ | (136.33 | ) | $ | (38.79 | ) | ||||
INCREASE (DECREASE) IN NET ASSET VALUE
|
||||||||||||||||
PER MANAGING OPERATOR AND OTHER
|
||||||||||||||||
UNITHOLDERS UNIT
|
||||||||||||||||
Series A
|
$ | (14.89 | ) | $ | (22.72 | ) | $ | (150.27 | ) | $ | (111.92 | ) | ||||
Series B
|
$ | (11.88 | ) | $ | (20.05 | ) | $ | (145.94 | ) | $ | (106.93 | ) | ||||
Series W
|
$ | (5.89 | ) | $ | (14.50 | ) | $ | (134.55 | ) | $ | (96.30 | ) |
Six Months Ended
June 30,
|
||||||||
Cash flows from (for) operating activities
|
2011
|
2010
|
||||||
Net income (loss)
|
$ | (19,891,702 | ) | $ | (16,051,871 | ) | ||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
|
||||||||
Net change in unrealized
|
16,915,381 | (4,311,679 | ) | |||||
(Increase) decrease in restricted cash
|
(47,781,505 | ) | 20,357,745 | |||||
(Increase) decrease in option premiums paid
|
406,583 | 680,308 | ||||||
Increase (decrease) in option premiums received
|
107,033 | 87,920 | ||||||
Increase (decrease) in payable for securities purchased
|
9,998,364 | 0 | ||||||
(Increase) decrease in interest receivable
|
(319,975 | ) | 17,312 | |||||
Increase (decrease) in accounts payable and accrued expenses
|
(384,629 | ) | (165,555 | ) | ||||
Purchases of investments in fixed income securities
|
(7,485,927,022 | ) | (3,401,617,537 | ) | ||||
Sales/maturities of investments in fixed income securities
|
7,489,261,654 | 3,449,622,160 | ||||||
Net cash from (for) operating activities
|
(37,615,818 | ) | 48,618,803 | |||||
Cash flows from (for) financing activities
|
||||||||
Addition of Units
|
47,551,154 | 24,901,221 | ||||||
Increase (decrease) in subscription deposits
|
2,405,000 | 0 | ||||||
Redemption of units
|
(22,466,318 | ) | (61,736,004 | ) | ||||
Offering costs paid
|
(232,779 | ) | (85,389 | ) | ||||
Net cash from (for) financing activities
|
27,257,057 | (36,920,172 | ) | |||||
Net increase (decrease) in cash and cash equivalents
|
(10,358,761 | ) | 11,698,631 | |||||
Cash and cash equivalents
|
||||||||
Beginning of period
|
59,836,098 | 27,012,256 | ||||||
End of period
|
$ | 49,477,337 | $ | 38,710,887 | ||||
End of period cash and cash equivalents consists of:
|
||||||||
Cash in broker trading accounts
|
$ | 39,026,557 | $ | 28,752,944 | ||||
Cash and cash equivalents
|
10,450,780 | 9,957,943 | ||||||
Total end of period cash and cash equivalents
|
$ | 49,477,337 | $ | 38,710,887 |
Unitholders’ Capital - Series B | ||||||||||||||||||||||||
Managing Operator
|
Other Unitholders
|
Total | ||||||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
|||||||||||||||||||
Six Months Ended June 30, 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 six months ended June 30, 2011 | (2,971 | ) | (13,864,422 | ) | (13,897,393 | ) | ||||||||||||||||||
Additions
|
0.000 | 0 | 369.363 | 963,859 | 369.363 | 963,859 | ||||||||||||||||||
Redemptions
|
0.000 | 0 | (6,852.631 | ) | (17,874,196 | ) | (6,852.631 | ) | (17,874,196 | ) | ||||||||||||||
Balances at June 30, 2011
|
20.360 | $ | 51,116 | 92,859.585 | $ | 233,130,649 | 92,879.945 | $ | 233,181,765 | |||||||||||||||
Six Months Ended June 30, 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 six months ended June 30, 2010 | (2,177 | ) | (14,902,626 | ) | (14,904,803 | ) | ||||||||||||||||||
Additions
|
0.000 | 0 | 1,020.309 | 2,289,676 | 1,020.309 | 2,289,676 | ||||||||||||||||||
Redemptions
|
0.000 | 0 | 25,118.241 | (57,278,853 | ) | (25,118.241 | ) | (57,278,853 | ) | |||||||||||||||
Balances at June 30, 2010
|
20.360 | $ | 46,276 | 117,313.213 | $ | 266,637,951 | 117,333.573 | $ | 266,684,227 |
Net Asset Value per Managing Operator and Other Unitholders' Unit - Series B
|
||||||||||||||
June 30, 2011
|
December 31, 2010
|
June 30, 2010
|
December 31, 2009
|
|||||||||||
$
|
2,510.57
|
$
|
2,656.51
|
$
|
2,272.87
|
$
|
2,379.80
|
|||||||
Series A
|
Series W
|
|||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
|||||||||||||
Six Months Ended June 30, 2011
|
||||||||||||||||
Balances at December 31, 2010
|
27,273.338 | $ | 71,343,164 | 4,160.119 | $ | 11,146,969 | ||||||||||
Net income (loss) for the six months ended June 30, 2011
|
(5,347,458 | ) | (676,851 | ) | ||||||||||||
Additions
|
15,880.788 | 40,642,128 | 2,184.383 | 5,721,643 | ||||||||||||
Redemptions
|
(295.746 | ) | (751,111 | ) | (215.219 | ) | (560,291 | ) | ||||||||
Offering costs
|
(215,487 | ) | (32,856 | ) | ||||||||||||
Balances at June 30, 2011
|
42,858.380 | $ | 105,671,236 | 6,129.283 | $ | 15,598,614 | ||||||||||
Six Months Ended June 30, 2010
|
||||||||||||||||
Balances at December 31, 2009
|
10,227.868 | $ | 24,189,310 | 1,896.181 | $ | 4,550,636 | ||||||||||
Net income (loss) for the six months ended June 30, 2010
|
(1,031,785 | ) | (115,283 | ) | ||||||||||||
Additions
|
7,175.123 | 16,135,486 | 2,865.707 | 6,586,188 | ||||||||||||
Redemptions
|
(254.623 | ) | (578,932 | ) | (573.429 | ) | (1,355,824 | ) | ||||||||
Offering costs
|
(76,774 | ) | (17,217 | ) | ||||||||||||
Balances at June 30, 2010
|
17,148.368 | $ | 38,637,305 | 4,188.459 | $ | 9,648,500 | ||||||||||
Net Asset Value per Other Unitholders’ Unit - Series A
|
||||||||||||||
June 30, 2011
|
December 31, 2010
|
June 30, 2010
|
December 31, 2009
|
|||||||||||
$ |
2,465.59
|
$ | 2,615.86 | $ | 2,253.12 | $ | 2,365.04 | |||||||
|
||||||||||||||
Net Asset Value per Other Unitholders’ Unit - Series W
|
||||||||||||||
June 30, 2011
|
December 31, 2010
|
June 30, 2010
|
December 31, 2009
|
|||||||||||
$ |
2,544.93
|
$ | 2,679.48 | $ | 2,303.59 | $ | 2,399.89 |
Series A | ||||||||||||||||
Three Months Ended
June 30,
|
Six Months Ended
June 30,
|
|||||||||||||||
2011
|
2010
|
2011
|
2010
|
|||||||||||||
Per Unit Performance
(for a unit outstanding throughout the entire period)
|
||||||||||||||||
Net asset value per unit at beginning of period
|
$ | 2,480.48 | $ | 2,275.84 | $ | 2,615.86 | $ | 2,365.04 | ||||||||
Income (loss) from operations:
|
||||||||||||||||
Total net trading gains (losses) (1)
|
12.81 | 2.79 | (95.01 | ) | (61.67 | ) | ||||||||||
Net investment income (loss) (1)
|
(24.49 | ) | (22.65 | ) | (48.83 | ) | (44.57 | ) | ||||||||
Total net income (loss) from operations
|
(11.68 | ) | (19.86 | ) | (143.84 | ) | (106.24 | ) | ||||||||
Offering costs (1)
|
(3.21 | ) | (2.86 | ) | (6.43 | ) | (5.68 | ) | ||||||||
Net asset value per unit at end of period
|
$ | 2,465.59 | $ | 2,253.12 | $ | 2,465.59 | $ | 2,253.12 | ||||||||
Total Return (3)
|
(0.60 | )% | (1.00 | )% | (5.74 | )% | (4.73 | )% | ||||||||
Supplemental Data
|
||||||||||||||||
Ratios to average net asset value:
|
||||||||||||||||
Expenses prior to performance fee (4)
|
4.04 | % | 4.15 | % | 3.97 | % | 4.14 | % | ||||||||
Performance fee (3)
|
0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Total expenses
|
4.04 | % | 4.15 | % | 3.97 | % | 4.14 | % | ||||||||
Net investment income (loss) (2), (4)
|
(3.78 | )% | (3.95 | )% | (3.69 | )% | (3.92 | )% |
(1)
|
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
|
|
(2)
|
Excludes performance fee.
|
|
(3)
|
Not annualized
|
|
(4)
|
Annualized
|
Series B | ||||||||||||||||
Three Months Ended
June 30,
|
Six Months Ended
June 30,
|
|||||||||||||||
2011
|
2010
|
2011
|
2010
|
|||||||||||||
Per Unit Performance
(for a unit outstanding throughout the entire period)
|
||||||||||||||||
Net asset value per unit at beginning of period
|
$ | 2,522.45 | $ | 2,292.92 | $ | 2,656.51 | $ | 2,379.80 | ||||||||
Income (loss) from operations:
|
||||||||||||||||
Total net trading gains (losses) (1)
|
13.03 | 2.87 | (96.30 | ) | (62.23 | ) | ||||||||||
Net investment income (loss) (1)
|
(24.91 | ) | (22.92 | ) | (49.64 | ) | (44.70 | ) | ||||||||
Total net income (loss) from operations
|
(11.88 | ) | (20.05 | ) | (145.94 | ) | (106.93 | ) | ||||||||
Net asset value per unit at end of period
|
$ | 2,510.57 | $ | 2,272.87 | $ | 2,510.57 | $ | 2,272.87 | ||||||||
Total Return (3)
|
(0.47 | )% | (0.87 | )% | (5.49 | )% | (4.49 | )% | ||||||||
Supplemental Data
|
||||||||||||||||
Ratios to average net asset value:
|
||||||||||||||||
Expenses prior to performance fee (4)
|
4.15 | % | 4.21 | % | 4.11 | % | 4.18 | % | ||||||||
Performance fee (3)
|
0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Total expenses
|
4.15 | % | 4.21 | % | 4.11 | % | 4.18 | % | ||||||||
Net investment income (loss) (2), (4)
|
(3.87 | )% | (4.01 | )% | (3.81 | )% | (3.95 | )% |
(1)
|
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
|
|
(2)
|
Excludes performance fee.
|
|
(3)
|
Not annualized
|
|
(4)
|
Annualized
|
Series W | ||||||||||||||||
Three Months Ended
June 30,
|
Six Months Ended
June 30,
|
|||||||||||||||
2011
|
2010
|
2011
|
2010
|
|||||||||||||
Per Unit Performance
(for a unit outstanding throughout the entire period)
|
||||||||||||||||
Net asset value per unit at beginning of period
|
$ | 2,550.82 | $ | 2,318.09 | $ | 2,679.48 | $ | 2,399.89 | ||||||||
Income (loss) from operations:
|
||||||||||||||||
Total net trading gains (losses) (1)
|
12.72 | 2.76 | (97.58 | ) | (62.33 | ) | ||||||||||
Net investment income (loss) (1)
|
(15.30 | ) | (14.34 | ) | (30.35 | ) | (28.18 | ) | ||||||||
Total net income (loss) from operations
|
(2.58 | ) | (11.58 | ) | (127.93 | ) | (90.51 | ) | ||||||||
Offering costs (1)
|
(3.31 | ) | (2.92 | ) | (6.62 | ) | (5.79 | ) | ||||||||
Net asset value per unit at end of period
|
$ | 2,544.93 | $ | 2,303.59 | $ | 2,544.93 | $ | 2,303.59 | ||||||||
Total Return (3)
|
(0.23 | )% | (0.63 | )% | (5.02 | )% | (4.01 | )% | ||||||||
Supplemental Data
|
||||||||||||||||
Ratios to average net asset value:
|
||||||||||||||||
Expenses prior to performance fee (4)
|
2.57 | % | 2.66 | % | 2.53 | % | 2.65 | % | ||||||||
Performance fee (3)
|
0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Total expenses
|
2.57 | % | 2.66 | % | 2.53 | % | 2.65 | % | ||||||||
Net investment income (loss) (2),(4)
|
(2.31 | )% | (2.45 | )% | (2.24 | )% | (2.43 | )% |
(1)
|
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
|
|
(2)
|
Excludes performance fee.
|
|
(3)
|
Not annualized
|
|
(4)
|
Annualized
|
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 Trust’s financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which may require the use of certain estimates made by the Trust’s management. Actual results may differ from these estimates.
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 the 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.” ASC 820 provides guidance for determining fair value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.
|
||
ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).
|
||
Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Trust has the ability to access at the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of the Trust’s exchange-traded futures contracts fall into this category.
|
||
Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts 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.
|
Level 3 inputs are unobservable inputs for an asset or liability (including the Trust’s own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of and for the period ended June 30, 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 has not had a material impact on the Trust’s financial statement disclosures.
|
||
The following tables set forth by level within the fair value hierarchy the Trust’s investments accounted for at fair value on a recurring basis as of June 30, 2011 and December 31, 2010.
|
Fair Value at June 30, 2011
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Fixed income securities
|
$
|
0
|
$
|
279,537,277
|
$
|
0
|
$
|
279,537,277
|
||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
(6,886,281
|
) |
0
|
0
|
(6,886,281
|
) | ||||||||||
Forward currency contracts
|
0
|
(593,171
|
)
|
0
|
(593,171
|
)
|
||||||||||
Options purchased
|
0
|
892,831
|
0
|
892,831
|
||||||||||||
Options written
|
0
|
(345,594
|
)
|
0
|
(345,594
|
)
|
||||||||||
Total
|
$
|
(6,886,281
|
) |
$
|
279,491,343 |
$
|
0
|
$
|
272,605,062
|
|||||||
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 Trust’s 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 Trust’s income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each unitholder is individually responsible for reporting income or loss based on such unitholder’s respective share of the Trust’s income and expenses as reported for income tax purposes.
|
||
Management has continued to evaluate the application of ASC 740, “Income Taxes,” to the Trust, and has determined that no reserves for uncertain tax positions were required. 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.
|
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 June 30, 2011 and December 31, 2010, the amount of unreimbursed offering costs incurred by Campbell & Company is $2,754,473 and $2,712,914 for Series A units and $567,402 and $556,411 for Series W units, respectively.
|
||
G.
|
Foreign Currency Transactions
|
|
The Trust’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the 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.
|
I. | Recently Issued Accounting Pronouncements | |
In May 2011, the FASB issued Accounting Standards Update No. 2011-04 ("ASU 2011-04") to achieve common fair value measurement and disclosure requirements in U.S. GAAP and International Financial Reporting Standards. ASC 2011-04 explains how to measure fair value. Is does not require additional fair value measurements and are not intended to establish valuation standards or affect valuation practices outside of financial reporting. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2011. The impact of this guidance on the Trust's financial statements and disclosures, if any, is currently being assessed.
|
The managing operator of the Trust is Campbell & Company which conducts and manages the business of the Trust. Campbell & Company is also the commodity trading advisor of the Trust.
|
||
Series A units and Series B units pay the managing operator a monthly management fee equal to 1/12 of 4% (4% annually) of the Net Assets (as defined) of Series A units and Series B units, respectively, as of the end of each month. Series W units pay the managing operator a monthly management fee equal to 1/12 of 2% (2% annually) of the Net Assets (as defined) of Series W units as of the end of each month. Each Series of units will pay the managing operator a quarterly performance fee equal to 20% of the aggregate cumulative appreciation in Net Asset Value per Unit (as defined) exclusive of appreciation attributable to interest income on a Series-by-Series basis.
|
||
The performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark). In determining the management fee and performance fee (the fees), adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The fees are typically paid in the month following the month in which they are earned. The fees are paid from the available cash at the Trust’s bank, broker or cash management custody accounts.
|
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.
|
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. For the six months ended June 30, 2011 and 2010, Campbell & Company received redemption fees of $1,284 and $118, respectively.
|
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. 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 Trust’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Trust’s main line of business.
|
||
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 broker’s proprietary activities. A customer’s 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 broker’s segregation requirements. In the event of a broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property deposited.
|
||
The 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 market value of securities held to satisfy such requirements at June 30, 2011 and December 31, 2010 was $30,999,769 and $61,998,650, respectively, which equals 9% and 18% of Net Asset Value, respectively. The cash deposited with interbank market makers at June 30, 2011 and December 31, 2010 was $1,404,874 and $15,795,395, respectively, which equals 0% and 5% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. Included in cash deposits with the broker and interbank market maker at June 30, 2011 and December 31, 2010 was restricted cash for margin requirements of $47,781,505 and $0 respectively, which equals 13% and 0% of Net Asset Value respectively.
|
||
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 institution’s 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 Trust’s open positions and, consequently, in its earnings and cash flow. The Trust’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Trust’s open positions and the liquidity of the markets in which it trades. Theoretically, the Trust is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. 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 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity’s financial position, financial performance and cash flows.
|
The following tables summarize quantitative information required by ASC 815.
|
||
The fair value of the Trust’s derivatives by instrument type, as well as the location of those instruments on the Statement of Financial Condition, as of June 30, 2011 and December 31, 2010 is as follows:
|
Asset
|
Liability
|
|||||||||||||
Derivatives at
|
Derivatives at
|
|||||||||||||
Statement of Financial
|
June 30, 2011
|
June 30, 2011
|
||||||||||||
Type of Instrument *
|
Condition Location
|
Fair Value
|
Fair Value
|
Net
|
Agricultural Contracts
|
Equity in broker trading accounts
|
$ | 1,121,679 | $ | (894,155 | ) | $ | 227,524 | |||||
Energy Contracts
|
Equity in broker trading accounts
|
394,233 | (539,280 | ) | (145,047 | ) | |||||||
Metal Contracts
|
Equity in broker trading accounts
|
1,150,523 | (3,018,393 | ) | (1,867,870 | ) | |||||||
Stock Indices Contracts
|
Equity in broker trading accounts
|
3,029,616 | (819,947 | ) | 2,209,669 | ||||||||
Short-Term Interest Rate Contracts
|
Equity in broker trading accounts
|
21,515 | (1,628,211 | ) | (1,606,696 | ) | |||||||
Long-Term Interest Rate Contracts
|
Equity in broker trading accounts
|
0 | (5,703,861 | ) | (5,703,861 | ) | |||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on forward currency contracts
|
17,494,838 | (18,088,009 | ) | (593,171 | ) | |||||||
Purchased Options on Forward Currency
|
Options purchased, at fair value
|
892,831 | 0 | 892,831 | |||||||||
Contracts
|
|||||||||||||
Written Options on Forward Currency
|
Options written, at fair value
|
0 | (345,594 | ) | (345,594 | ) | |||||||
Contracts
|
|||||||||||||
Totals
|
$ | 24,105,235 | $ | (31,037,450 | ) | $ | (6,932,215 | ) |
*
|
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
|
June 30, 2011
|
June 30, 2010
|
Agricultural Contracts
|
$ | (4,535,677 | ) | $ | (666,526 | ) | ||
Energy Contracts
|
(6,000,013 | ) | (10,268,529 | ) | ||||
Metal Contracts
|
(2,809,366 | ) | (2,200,839 | ) | ||||
Stock Indices Contracts
|
(5,032,937 | ) | (14,729,772 | ) | ||||
Short-Term Interest Rate Contracts
|
(4,137,551 | ) | 9,927,811 | |||||
Long Term Interest Rate Contracts
|
14,377,359 | 19,187,489 | ||||||
Forward Currency Contracts
|
12,448,999 | (263,468 | ) | |||||
Purchased Options on Forward Currency Contracts
|
(4,673,094 | ) | (2,535,341 | ) | ||||
Written Options on Forward Currency Contracts
|
2,355,395 | 2,460,915 | ||||||
Total
|
$ | 1,993,115 | $ | 911,740 |
Trading Revenue for
|
Trading Revenue for
|
|||||||
the Six Months Ended
|
the Six Months Ended
|
|||||||
Type of Instrument
|
June 30, 2011
|
June 30, 2010
|
Agricultural Contracts
|
$ | (4,663,456 | ) | $ | (538,193 | ) | ||
Energy Contracts
|
928,809 | (12,993,440 | ) | |||||
Metal Contracts
|
(4,317,949 | ) | (5,065,153 | ) | ||||
Stock Indices Contracts
|
(12,174,784 | ) | (22,049,891 | ) | ||||
Short-Term Interest Rate Contracts
|
(8,076,204 | ) | 20,604,910 | |||||
Long Term Interest Rate Contracts
|
11,975,478 | 14,282,206 | ||||||
Forward Currency Contracts
|
8,962,375 | (1,392,254 | ) | |||||
Purchased Options on Forward Currency Contracts
|
(9,358,996 | ) | (6,402,836 | ) | ||||
Written Options on Forward Currency Contracts
|
4,162,265 | 4,585,006 | ||||||
Total
|
$ | (12,562,462 | ) | $ | (8,969,645 | ) |
Line Item in the Statement of Operations
|
Trading Revenue for
the Three Months Ended
June 30, 2011
|
Trading Revenue for
the Three Months Ended
June 30, 2010
|
||||||
Futures trading gains (losses):
|
||||||||
Realized
|
$ | (173,299 | ) | $ | 4,705,554 | |||
Change in unrealized
|
(7,963,308 | ) | (3,455,920 | ) | ||||
Forward currency and options on forward currency trading gains (losses):
|
||||||||
Realized
|
8,318,229 | 3,683,543 | ||||||
Change in unrealized
|
1,811,493 | (4,021,437 | ) | |||||
Total
|
$ | 1,993,115 | $ | 911,740 | ||||
Line Item in the Statement of Operations
|
Trading Revenue for
the Six Months Ended
June 30, 2011
|
Trading Revenue for
the Six Months Ended
June 30, 2010
|
||||||
Futures trading gains (losses):
|
||||||||
Realized
|
$ | (4,916,148 | ) | $ | (10,758,994 | ) | ||
Change in unrealized
|
(11,411,958 | ) | 4,999,433 | |||||
Forward currency and options on forward currency trading gains (losses):
|
||||||||
Realized
|
9,252,490 | (2,649,739 | ) | |||||
Change in unrealized
|
(5,486,846 | ) | (560,345 | ) |
Total
|
$ | (12,562,462 | ) | $ | (8,969,645 | ) |
For the three months ended June 30, 2011 and 2010, the monthly average of futures contracts bought and sold was approximately 26,300 and 27,200 respectively, and the monthly average of notional value of forward currency and options on forward currency contracts was $4,171,800,000 and $2,353,100,000 respectively.
|
||
For the six months ended June 30, 2011 and 2010, the monthly average of futures contracts bought and sold was approximately 22,500 and 28,200 respectively, and the monthly average of notional value of forward currency and options on forward currency contracts was $3,793,600,000 and $2,491,400,000 respectively.
|
||
Open contracts generally mature within twelve months; as of June 30, 2011, the latest maturity date for open futures contracts is September 2012, the latest maturity date for open forward currency contracts is September 2011, and the latest expiry date for options on forward currency contracts is July 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 & Company’s basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%. Campbell & Company’s attempt to manage the risk of the Trust’s open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses. Campbell & Company controls the risk of the Trust’s non-trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments.
|
||
Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Trust’s assets at financial institutions and brokers which Campbell & Company believes to be credit worthy. The unitholder bears the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.
|
In the normal course of business, the Trust enters into contracts and agreements that contain a variety of representations and warranties which provide general indemnifications. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. The Trust expects the risk of any future obligation under these indemnifications to be remote.
|
The statements of financial condition, including the condensed schedules of investments, as of June 30, 2011 and December 31, 2010, the statements of operations and financial highlights for the three months and six months ended June 30, 2011 and 2010, and the statements of cash flows and changes in unitholders' capital (Net Asset Value) for the six months ended June 30, 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 June 30, 2011, and the results of operations and financial highlights for the three months and six months ended June 30, 2011 and 2010, and cash flows and changes in unitholders' capital (Net Asset Value) for the six months ended June 30, 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.
|
Sector
|
% Gain (Loss)
|
|||
Commodities
|
(2.04 | )% | ||
Currencies
|
1.09 | |||
Interest Rates
|
0.90 | |||
Stock Indices
|
(3.35 | ) | ||
(3.40 | )% |
Sector
|
% Gain (Loss)
|
|||
Commodities
|
(5.52 | )% | ||
Currencies
|
(0.91 | ) | ||
Interest Rates
|
10.59 | |||
Stock Indices
|
(6.53 | ) | ||
(2.37 | )% |
June 30, 2011
|
||||||||||
Market Sector
|
Value at Risk*
|
Trading Gain/(Loss)**
|
||||||||
Commodities
|
0.77
|
%
|
(2.04
|
)%
|
||||||
Currencies
|
0.97
|
%
|
1.09
|
%
|
||||||
Interest Rates
|
1.19
|
%
|
0.90
|
%
|
||||||
Stock Indices
|
0.49
|
%
|
(3.35
|
)%
|
||||||
Aggregate/Total
|
1.76
|
%
|
(3.40
|
)%
|
||||||
*
|
— 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 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 six months ended June 30, 2011.
|
December 31, 2010
|
||||||||||
Market Sector
|
Value at Risk*
|
Trading Gain/(Loss)**
|
||||||||
Commodities
|
0.83
|
%
|
3.21
|
%
|
||||||
Currencies
|
0.46
|
%
|
2.94
|
%
|
||||||
Interest Rates
|
0.45
|
%
|
12.12
|
%
|
||||||
Stock Indices
|
0.48
|
%
|
(2.54
|
)%
|
||||||
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 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, 2010.
|
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.
|
Exhibit Number
|
Description of Document
|
|
3.01
|
Amended and Restated Declaration of Trust and Trust Agreement of the Registrant.
|
|
10.01
|
Form of Subscription Agreement.
|
|
10.02
|
Assignment Letter assigning the Customer Agreement between the Registrant, Campbell & Company and ABN AMRO Incorporated to UBS Securities LLC.
|
|
10.03
|
Global Institutional Master Custody Agreement between the Registrant and The Northern Trust Company.
|
|
10.04
|
Non-Custody Investment Advisory Agreement between the Registrant and Horizon Cash Management L.L.C.
|
|
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.
|
THE CAMPBELL FUND TRUST
(Registrant)
|
||||||
By:
|
Campbell & Company, Inc.
|
|||||
Managing Operator
|
||||||
Date: August 15, 2011
|
By:
|
/s/ Theresa D. Becks
|
||||
Theresa D. Becks
Chief Executive Officer |
Exhibit Number
|
Description of Document
|
|
3.01
|
Amended and Restated Declaration of Trust and Trust Agreement of the Registrant.
|
|
10.01
|
Form of Subscription Agreement.
|
|
10.02
|
Assignment Letter assigning the Customer Agreement between the Registrant, Campbell & Company and ABN AMRO Incorporated to UBS Securities LLC.
|
|
10.03
|
Global Institutional Master Custody Agreement between the Registrant and The Northern Trust Company.
|
|
10.04
|
Non-Custody Investment Advisory Agreement between the Registrant and Horizon Cash Management L.L.C.
|
|
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.
|
a.
|
To effect any amendment to the Agreement;
|
b.
|
To terminate the Trust;
|
c.
|
To approve of the sale or pledge of all or substantially all of the assets of the Trust other than in the ordinary course of the business of the Trust; and
|
d.
|
To remove the Managing Operator.
|
U.S. BANK TRUST NATIONAL ASSOCIATION,
a national business association
|
|||
By: | /s/ Annette E. Morgan | ||
Name: Annette E. Morgan | |||
Its: Assistant Vice President | |||
CAMPBELL & COMPANY, INC. | |||
By: | /s/ Thomas P. Lloyd | ||
Thomas P. Lloyd | |||
General Counsel | |||
By: | /s/ Gregory T. Donovan | ||
Gregory T. Donovan | |||
Chief Financial Officer | |||
ALL UNITHOLDERS now or hereafter
admitted as unitholders of the Trust, pursuant
to powers of attorney now and hereafter
executed in favor of, and granted and delivered
to, the Managing Operator.
|
|||
CAMPBELL & COMPANY, INC.
Attorney-in-Fact
|
|||
By: | /s/ Thomas P. Lloyd | ||
Thomas P. Lloyd | |||
General Counsel | |||
By: | /s/ Gregory T. Donovan | ||
Gregory T. Donovan | |||
Chief Financial Officer |
|
2.
|
If there are joint purchasers and they are not either husband and wife or close relatives who have the same principal residence, each joint purchaser must complete the Subscription Agreement Signature Pages. In any event, all joint purchasers must execute the appropriate sections of the Subscription Agreement Signature Pages.
|
|
3.
|
Send the entire fully completed and executed original Subscription Agreement Signature Pages and payment to your Financial Advisor’s office address. Your Financial Advisor will countersign your Subscription Agreement Signature Pages and forward the completed materials to the trading advisor.
|
|
4.
|
If requested by the trading advisor, each prospective investor that is an entity must also provide evidence that the constitutional documents of the prospective investor permit it to make investments in securities such as the Units, and that all appropriate actions have been taken by the intended subscriber to authorize the investment.
|
|
1.
|
Subscription Agreement Signature Pages, payment and any other required documents should be sent by the Financial Advisor:
|
a) | to the administration or fund administration office of the selling firm, or | ||
b) | to the custodial firm if one is required, or | ||
c) | to Campbell Fund Trust, c/o Campbell & Company, Inc., 2850 Quarry Lake Drive, Baltimore, Maryland 21209, Attn: Fund Administration. |
(A)
|
The subscriber:
|
|
(1)
|
understands that the Units have not been registered under the 1933 Act or any similar state law and cannot be transferred or assigned without the consent of the Trust and compliance with federal and state securities laws. The subscriber will not transfer its Units unless: (a) such Units are registered under the 1933 Act and applicable state securities laws or the transfer is exempt therefrom; and (b) the Trust consents to such transfer. The subscriber understands that the Trust has no intention and no obligation to so register the Units and the Trust has no obligation to consent to any transfer or assignment thereof;
|
|
(2)
|
acknowledges and agrees that, except with the consent of the Trust, the subscriber will not enter into any swap or other derivative transaction with respect or reference to the Units;
|
|
(3)
|
will not assign, transfer or otherwise dispose of, by gift or otherwise, any of its Units except on the books of the Trust and with the prior written consent of the Trust; and
|
|
(B)
|
Prior to the date of this Subscription Agreement, the subscriber has received and read a copy of the Memorandum outlining, among other things, the organization and investment objectives and policies of, and the risks, conflicts of interest, and expenses of an investment in the Trust. The subscriber acknowledges that in making a decision to subscribe for Units, the subscriber has relied solely upon the Memorandum, the Trust Agreement, the most recent annual report and accounts of the Trust (if any) and (where applicable) the most recent unaudited monthly report, and independent investigations made by the subscriber. The subscriber understands the investment objectives and policies of, and the investment strategies which may be pursued by, the Trust. The subscriber’s investment in the Trust is consistent with the investment purposes and objectives, and cash flow requirements of the subscriber and will not adversely affect the subscriber’s overall need for diversification and liquidity.
|
|
(C)
|
The subscriber and/or its duly appointed representative(s) has had the opportunity to ask questions of, and receive answers concerning the terms and conditions of the offering, and to obtain information necessary to verify the accuracy of the information provided. The subscriber has been afforded the opportunity to obtain any additional information necessary to verify the accuracy of any representation or information set forth in the Memorandum.
|
(D)
|
The subscriber has carefully reviewed and understands the various risks of an investment in the Trust, including those summarized under “The Risks You Face” and described in greater detail elsewhere in the Memorandum; the subscriber understands that an investment in the Trust is speculative and the subscriber can afford to bear the risks of an investment in the Trust, including the risk of losing the subscriber’s entire investment.
|
|
(E)
|
The subscriber understands that the Trust and the trading advisor are subject to conflicts of interest, including those summarized under “Conflicts of Interest” in the Memorandum.
|
|
(F)
|
The subscriber has not reproduced, duplicated or delivered the Memorandum or this Subscription Agreement to any other person, except to the subscriber’s professional advisors or as instructed by the trading advisor.
|
(G)
|
The subscriber acknowledges that the trading advisor will receive substantial remuneration from the Trust, including a Management Fee and Performance Fee. The subscriber understands the method of the trading advisor’s compensation described in the Memorandum and its risks, including that: (i) the Performance Fee may create an incentive for the trading advisor to cause the Trust to make investments that are riskier or more speculative than would be the case in the absence of the Performance Fee; and (ii) the trading advisor may receive increased allocations since the Performance Fee will be calculated on a basis which includes realized and unrealized appreciation.
|
(H)
|
The subscriber agrees and is aware that:
|
|
(1)
|
no government agency has passed upon the Units or made any findings or determination as to the fairness of this investment;
|
|
(2)
|
there are substantial risks of loss of investment incidental to the purchase of the Units, including those summarized in the Memorandum; and
|
|
(3)
|
the representations, warranties, agreements, undertakings, and acknowledgements made by the subscriber in this Subscription Agreement will be relied upon by the trading advisor, the Trust, and the selling agents in determining the subscriber’s suitability as a purchaser of the Units and the Trust’s compliance with federal and other applicable securities laws. The subscriber affirms that all such information is accurate and complete and may be relied upon (i) in determining whether the subscriber is qualified to participate in this offering, (ii) for purposes of determining the availability of an exemption from registration for the offer and sale of the Units, (iii) as a defense in any action relating to the Trust or the whether the subscriber is qualified to participate in this offering, (iv) that such representations, warranties, agreements, undertakings and acknowledgements by the subscriber shall survive the acceptance of the subscriber as a Unitholder in the Trust.
|
|
(I)
|
The subscriber is purchasing the Units for investment, for subscriber’s own account, for no other person, and not with a view to distribution thereof. The subscriber understands the effect of the limitations on disposition of the Units, including the subscriber’s agreement herein that the Units will not be resold without registration under the 1933 Act or an exemption therefrom. The subscriber consents to implementation of such restrictions on transfer. The Trust will not, and is not obligated to, register the Units on the subscriber’s behalf.
|
|
(J)
|
The subscriber has such knowledge and experience in financial and business matters that the subscriber is capable of evaluating the merits and risks of an investment in the Trust and is able to bear such risks, and has obtained, in the subscriber’s judgment, sufficient information from the Trust or its authorized representatives to evaluate the merits and risks of such investment. The subscriber has evaluated the risks of investing in the Trust and has determined that the Trust is a suitable investment for the subscriber.
|
(K)
|
The subscriber can afford a complete loss of its investment in the Trust and can afford to hold the Units for an indefinite period of time.
|
|
(L)
|
The subscriber is acquiring the Units subscribed for herein for investment purposes only and not with a view to distribution or resale of such Units.
|
(M)
|
The subscriber has consulted with its own advisors and is fully informed as to the legal and tax requirements regarding a purchase of the Units.
|
(N)
|
The subscriber, if a natural person, is at least 21 years of age and is legally competent to execute and deliver this Subscription Agreement.
|
(O)
|
The subscriber represents and warrants that the execution, delivery, and performance by the subscriber of this Subscription Agreement are within the powers of the subscriber, have been duly authorized, and will not constitute or result in a breach or default under or conflict with any order, ruling, or regulation of any court or other tribunal or of any governmental commission or agency, or any agreement or other undertaking, to which the subscriber is a party or by which the subscriber is bound, and, if the subscriber is not an individual, will not violate any provisions of the incorporation papers, by-laws, indenture of trust, or partnership agreement, as may be applicable, of the subscriber. The signature on this Subscription Agreement is genuine, and the signatory, if the subscriber is an individual, has legal competence and capacity to execute the same, or, if the subscriber is not an individual, the signatory has been duly authorized to execute the same, and this Subscription Agreement constitutes a legal, valid, and binding obligation of the subscriber, enforceable in accordance with its terms.
|
|
(P)
|
The subscriber either is not required to be registered with the Commodity Futures Trading Commission (“CFTC”) or to be a member of the National Futures Association (“NFA”), or if required to be so registered is duly registered with the CFTC and is a member in good standing of the NFA.
|
(Q)
|
The subscriber agrees that the tables in the Memorandum (see “Past Performance of the Campbell Trust”) reflecting past performance of the Trust should be read only in connection with the notes to such tables, and should not be interpreted to mean that the Trust will have similar results or will realize any profits whatsoever. Past performance is not necessarily indicative of future results.
|
|
(R)
|
The subscriber understands that:
|
|
(1)
|
in order to comply with regulations aimed at the prevention of money laundering, the trading advisor will require verification of identity from all investors or transferees of the Units to the extent required under applicable anti-money laundering laws and regulations;
|
|
(2)
|
the trading advisor reserves the right to request such information as is necessary to verify the subscriber’s identity. The trading advisor also reserves the right to request such identification evidence in respect of a transferee of Units; and
|
|
(3)
|
in the event of delay or failure by the subscriber or transferee to produce any information required for verification purposes, the trading advisor may refuse to accept the subscription or (as the case may be) to register the relevant transfer and (in the case of a subscription for Units) any funds received will be returned without interest to the account from which the monies were originally debited.
|
|
(S)
|
The subscriber hereby represents that to the best of its knowledge, the money used to subscribe for the Units is not derived from any criminal enterprise or activity.
|
|
(T)
|
The subscriber hereby represents that neither the subscriber, nor any owner holding 10% or more of the subscriber’s equity, nor any senior management official of the subscriber (director or executive officer or similar official), nor any affiliate of the subscriber, is included on either of the following lists or is a senior political figure or an immediate family member or close associate of a senior political figure1:
|
|
(1)
|
the Office of Foreign Assets Control list of foreign nations, organizations and individuals subject to economic and trade sanctions, based on U.S. foreign policy and national security goals (please see http://www.treasury.gov/offices/enforcement/ofac); or
|
|
(2)
|
Executive Order 13224, which sets forth a list of individuals and groups with whom U.S. persons are prohibited from doing business because such persons have been identified as terrorists or persons who support terrorism (please see http://www.treasury.gov/offices/enforcement/ofac/programs/terror/terror.pdf).
|
(U)
|
The subscriber hereby agrees that the trading advisor is authorized and instructed to accept and execute any instructions (including but not limited to any instructions regarding subscriptions or withdrawals or any payments in relation to the same or otherwise) in respect of the subscriber’s Units given by the subscriber in written form, by facsimile or by telephone. If the instructions are given by the subscriber by facsimile or by telephone, the subscriber undertakes to confirm them in writing. The subscriber understands that the trading advisor may rely conclusively upon, and shall incur no liability in respect of, any action taken upon any notice, consent, request, instruction or other instrument believed in good faith to be genuine or to be signed by properly authorized persons.
|
(V)
|
All information which the subscriber has provided to the Trust concerning the subscriber, the subscriber’s status, financial position, and knowledge and experience of financial, tax, and business matters or the knowledge and experience of financial, tax, and business matters of the person making the investment decision on behalf of the subscriber, is correct and complete as of the date set forth herein.
|
(W)
|
Prior to receiving notice of the trading advisor’s acceptance of any subscription, the subscriber will notify the trading advisor immediately in writing of any material change in any information furnished in the subscriber’s Subscription Agreement.
|
(X)
|
After receiving notice of the trading advisor’s acceptance of any subscription, the subscriber will immediately advise the trading advisor in writing of any material change in the information furnished in the subscriber’s Subscription Agreement, and the subscriber will provide at any time any additional information the trading advisor may reasonably request concerning the information furnished in the subscriber’s Subscription Agreement.
|
(Y)
|
The subscriber does hereby irrevocably constitutes and appoints the trading advisor, and its successors and assigns, as the subscriber's true and lawful representative and attorney-in-fact, with full power of substitution, in the subscriber's name, place and stead, to: (i) file, prosecute, defend, settle or compromise litigation, claims or arbitrations on behalf of the Trust; (ii) make, execute, sign, acknowledge, swear to, deliver, record and file any documents or instruments, which may be considered necessary or desirable by the trading advisor to carry out fully the provisions of the Trust Agreement and/or this Subscription Agreement, as applicable; and (iii) to perform all other acts contemplated by the Trust Agreement or as are necessary or convenient to the operation of the Trust. This power of attorney shall be deemed to be coupled with an interest and shall be irrevocable and survive and not be affected by the subscriber's subsequent death, incapacity, incompetence, disability, termination, bankruptcy, insolvency, or dissolution; provided, however, that such power of attorney will terminate when a transferee of Units has been approved by the managing operator for admission to the Trust as a substitute Unitholder, or upon the withdrawal of a Unitholder pursuant to a periodic repurchase offer or otherwise.
|
(Z)
|
The subscriber represents and warrants that the subscriber is not using the assets of an insurance company general account to purchase the Units.
|
1 A “senior political figure” is defined as a senior official in the executive, legislative, administrative, military or judicial branches of a foreign government (whether elected or not), a senior official of a major foreign political party, or a senior executive of a foreign government-owned corporation. In addition, a “senior political figure” includes any corporation, business, or other entity that has been formed by, or for the benefit of, a senior foreign political figure. “Immediate family” of a senior foreign political figure typically includes the figure’s parents, siblings, spouse, children and in-laws. A “close associate” of a senior foreign political figure is a person who is widely and publicly known to maintain an unusually close relationship with the senior foreign political figure, and includes a person who is in a position to conduct substantial domestic and international financial transactions on behalf of the senior foreign political figure.
|
(A)
|
Benefit Plan Investors. The Memorandum states that the managing operator may limit investment by “benefit plan investors” to less than 25% of the total capital of each class of equity interests of the Trust (not including investments by the managing operator, certain other persons and their affiliates). To help the managing operator determine whether investment by the subscriber is included in the 25% limitation, the subscriber has accurately answered the applicable questions regarding its status as a benefit plan investor on the Execution Page for Subscription by an Entity. The subscriber, if not a benefit plan investor, as described below, on the date this Subscription Agreement is signed, agrees to notify the managing operator immediately if the subscriber becomes a benefit plan investor. The term “benefit plan investor” refers to (i) any “employee benefit plan,” as defined in the Employee Retirement Income Security Act of 1974, as amended (“ERISA”), which is subject to the fiduciary responsibility provisions of ERISA, (ii) any plan as defined in, and subject to, Section 4975 of the Internal Revenue Code of 1986, as amended (the “Code”), and (iii) any entity (“Plan Assets Entity”) deemed for any purpose of ERISA or Section 4975 of the Code to hold assets of any such employee benefit plan or plan due to investments made in such entity by already described benefit plan investors. Benefit plan investors include, but are not limited to, corporate pension and profit sharing plans, “simplified employee pension plans,” Keogh plans for self-employed individuals (including partners), individual retirement accounts, medical benefit plans, life insurance plans, church plans, bank commingled trust funds for such plans and accounts, insurance company separate accounts for such plans and accounts, and, under certain circumstances, all or a portion of the general account of an insurance company.
|
|
(B)
|
ERISA Accounts. If the subscriber is, or is acting on behalf of, an “employee benefit plan” as defined in and subject to ERISA, or a “plan” as defined in, and subject to, Section 4975 of the Code (a “Plan”), or a Plan Assets Entity (in which case, the following representations and warranties are made with respect to each Plan holding an investment in such Plan assets Entity) the individual signing this Subscription Agreement on behalf of the subscriber, hereby further represents and warrants as, or on behalf of, the fiduciary of the Plan responsible for purchasing Units (the “Plan Fiduciary”) that: (a) the Plan Fiduciary has considered an investment in the Trust in light of the risks relating thereto; (b) the Plan Fiduciary has determined that, in view of such considerations, an investment in the Trust is consistent with the Plan Fiduciary's responsibilities under ERISA; (c) the Plan's investment in the Trust does not violate and is not otherwise inconsistent with the terms of any legal document constituting the Plan or any trust agreement thereunder; (d) the Plan's investment in the Trust has been duly authorized and approved by all necessary parties; (e) none of the managing operator, U.S. Bank Trust National Association (the “Trustee”), UBS Securities LLC, Royal Bank of Scotland (“RBS”), Wilmington Trust Investment Management LLC, The Northern Trust Company, PNC Financial Services Group, Inc., any selling agent, any of their respective affiliates or any of their respective agents or employees: (i) has investment discretion with respect to the investment of assets of the Plan used to purchase the Units; (ii) has authority or responsibility to or regularly gives investment advice with respect to the assets of the Plan used to purchase the Units for a fee and pursuant to an agreement or understanding that such advice will serve as a primary basis for investment decision with respect to the Plan and that such advice will be based on the particular investment needs of the Plan; or (iii) is an employer maintaining or contributing to the Plan; (f) the Plan Fiduciary (i) is authorized to make, and is responsible for, the decision to invest in the Trust, including the determination that such investment is consistent with the requirement imposed by Section 404 of ERISA that plan investments be diversified so as to minimize the risks of large losses, (ii) is independent of the managing operator, the Trustee, UBS Securities LLC, RBS, Wilmington Trust Investment Management LLC, The Northern Trust Company, PNC Financial Services Group, Inc., each selling agent and each of their respective affiliates, and (iii) is qualified to make such investment decision; and (g) taking into account the following factors, and all other factors relating to the Trust, the subscriber has concluded that investment in the Trust constitutes an appropriate part of the Plan’s overall investment program: (i) there is a substantial risk of a complete loss of the Plan’s investment; (ii) an investment in the Trust will be illiquid, except for certain redemption rights; (iii) the Trust may permit the aggregate investments by benefit plan investors to be twenty-five percent (25%) or more of any class of equity interest of the Trust, in which case the assets of the Trust will for purposes of ERISA and Section 4975 of the Code be deemed assets of the Plans on whose behalf investments in the Trust are made; and (iv) funds invested in the Trust will not be readily available for the payment of employee benefits under the Plan. The subscriber further represents and warrants that (a) the trustee of the Plan will hold the Plan’s Units in trust, unless not required by ERISA; (b) the Plan fiduciary consents to the payment of fees to the managing operator and has determined that the arrangement for services by, and the fees to be paid to, the managing operator are reasonable and the services to be performed by the managing operator are appropriate and helpful to the Plan, all within the meaning of Section 408(b)(2) of ERISA and Section 4975(d)(2) of the Code, and the Plan Fiduciary has received the disclosures required by the applicable regulations promulgated under Section 408(b)(2) of ERISA; and (c) the subscriber consents on behalf of the Plan to and has authorized the operation of the Trust as described in the Trust’s Confidential Private Offering Memorandum and Disclosure Document. The subscriber will notify the managing operator, in writing, of (a) any termination, substantial contraction, merger or consolidation of the Plan, or transfer of its assets to any other plan; (b) any amendment to the Plan or any related instrument which materially affects the investments of the Plan or the authority of any fiduciary to authorize Plan investments; and (c) any alteration in the identity of any fiduciary including the subscriber, who has the authority to approve Plan investments. The subscriber will, at the request of the managing operator, furnish the managing operator with such information as the managing operator may reasonably require to establish that the purchase of the Units by the Plan and the transactions to be entered into by the Trust and the holding of any investment by the Trust do not violate any provision of ERISA or the Code, including without limitation, those provisions relating to “prohibited transactions” by “parties in interest” or “disqualified persons” as defined therein.
|
|
(C)
|
Disqualified Person Status - Plans Subject to Section 4975 of the Code. If the subscriber is a Plan that is subject to Section 4975 of the Code, but is not subject to ERISA, the subscriber has determined, after investigating the Plan’s service providers, that RBS is not in any respect a “disqualified person” (as such term is defined in Section 4975(e)(2) of the Code) with respect to the Plan. The subscriber agrees and covenants that RBS will not while the Plan holds Units become a disqualified person with respect to the Plan.
|
(A)
|
The subscriber acknowledges that (1) under the Advisory Agreement, the managing operator, acting as the trading advisor, will not be liable to the Trust, or any of its or their successors or assigns, except that the trading advisor shall be liable to the Trust for losses, damages, costs, and expenses sustained by the Trust, or any of its successors or assigns as a result of (i) acts or omissions of the managing operator with respect to the Trust which constitute negligence or misconduct; (ii) a material breach by the managing operator of the Advisory Agreement; and (iii) a misleading or untrue statement of a material fact or omission to state a material fact relating to or concerning the managing operator in its capacity as trading advisor contained in the Memorandum, and (2) under the Trust Agreement, the managing operator will not be liable, responsible or accountable in damages or otherwise to the Trust or to any Unitholders, their successors or assigns, except by reason of acts or omissions due to bad faith, misconduct, negligence, or for not having acted in good faith in the reasonable belief that his actions were in, or not opposed to, the best interest of the Trust.
|
|
(B)
|
The subscriber agrees to indemnify and hold harmless the Trust, the trading advisor, the managing operator and each other person, if any, who controls or is controlled by any thereof, within the meaning of Section 15 of the 1933 Act, against any and all loss, liability, claim, damage, and expense whatsoever (including, but not limited to, any and all expenses whatsoever reasonably incurred in investigating, preparing or defending against any litigation commenced or threatened or any claim whatsoever) arising out of or based upon (1) any false representation or warranty or breach or failure by the subscriber to comply with any covenant or agreement made by the subscriber in this Subscription Agreement or in any other document furnished by the subscriber to any of the foregoing in connection with this transaction, (2) delay or failure by the subscriber to disclose any relevant details or provide the Trust or the trading advisor with all the information requested by any of them, or (3) any action for securities law violations instituted by the subscriber which is finally resolved by judgment against the subscriber. The subscriber also agrees to indemnify and hold harmless the Trust, the trading advisor and the managing operator against any loss of any nature whatsoever arising to any of them as a result of either of them acting upon facsimile or telephone instructions given by the subscriber.
|
|
(C)
|
In the event that any provision of this Subscription Agreement is held to be invalid or unenforceable in any jurisdiction, such provision shall be deemed modified to the minimum extent necessary so that such provision, as so modified, shall no longer be held to be invalid or unenforceable. Any such modification, invalidity or unenforceability shall be strictly limited both to such provision and to such jurisdiction, and in each case to no other. Furthermore, in the event of any such modification, invalidity or unenforceability, this Subscription Agreement shall be interpreted so as to achieve the intent expressed herein to the greatest extent possible in the jurisdiction in question and otherwise as set forth herein.
|
(D)
|
Governing Law; Consent to Jurisdiction; Waiver of Jury Trial.
|
|
(1)
|
THIS SUBSCRIPTION AGREEMENT IS MADE PURSUANT TO AND SHALL BE GOVERNED BY THE LAWS OF THE STATE OF DELAWARE, WITHOUT REGARD TO PRINCIPLES OF CONFLICTS OF LAW AND NOTWITHSTANDING THE PLACE WHERE THIS SUBSCRIPTION AGREEMENT IS EXECUTED OR THE LOCATION OF ANY OFFICE, VENTURE OR OPERATION OF THE TRUST, THE TRADING ADVISOR OR THE SUBSCRIBER. ANY ACTION OR PROCEEDING RELATING IN ANY RESPECT TO THIS SUBSCRIPTION AGREEMENT, THE OPERATION OF THE TRUST OR THE OFFERING OF THE UNITS MAY BE BROUGHT AND ENFORCED IN THE CHANCERY COURTS OF THE STATE OF DELAWARE OR (TO THE EXTENT SUBJECT MATTER JURISDICTION EXISTS THEREFOR) IN THE COURTS OF THE UNITED STATES FOR THE DISTRICT OF DELAWARE, AND THE SUBSCRIBER AND THE TRUST IRREVOCABLY SUBMIT TO THE JURISDICTION OF BOTH SUCH STATE AND FEDERAL COURTS IN RESPECT OF ANY SUCH ACTION OR PROCEEDING. THE SUBSCRIBER AND THE TRUST IRREVOCABLY WAIVE ANY OBJECTION THAT THEY MAY NOW OR HEREAFTER HAVE TO LAYING THE VENUE OF ANY SUCH ACTION OR PROCEEDING IN THE CHANCERY COURTS OF THE STATE OF DELAWARE OR IN THE COURTS OF THE UNITED STATES FOR THE DISTRICT OF DELAWARE AND ANY CLAIM THAT ANY SUCH ACTION OR PROCEEDING BROUGHT IN ANY SUCH COURT HAS BEEN BROUGHT IN AN INCONVENIENT FORUM.
|
|
(2)
|
THE SUBSCRIBER HEREBY IRREVOCABLY WAIVES ANY RIGHT TO TRIAL BY JURY WITH RESPECT TO ANY CLAIM AGAINST THE TRUST, THE TRADING ADVISOR OR ANY AFFILIATE IN ANY RESPECT TO THIS SUBSCRIPTION AGREEMENT, THE OPERATION OF THE TRUST OR THE OFFERING OF THE UNITS.
|
|
(3)
|
Employee Benefit Plans (Including Keogh Plans):
|
1 For purposes of determining the value of the primary residence to be excluded from net worth, the subscriber should exclude any net equity in his or her primary residence (i.e., the amount by which the current market value of the residence exceeds the current outstanding balance of any mortgage or other indebtedness secured by the residence). If the current outstanding balance of any such mortgage or other indebtedness exceeds the current market value of the residence, the amount of any such excess shall cause a reduction in the investor’s net worth to the extent that such mortgage or other indebtedness gives the lender recourse to the assets of the investor other than the residence securing the mortgage or other indebtedness. |
1.
|
Account Title:
|
2.
|
Brokerage/Custodial Account No.:
|
||
3.
|
Taxpayer ID or Social Security No.:
|
4.
|
Citizen of or organized under the laws of:
|
||
5.
|
Primary Address:
|
||||
(No P.O. Boxes)
|
Street | City | State | Zip Code | |
6.
|
Mailing Address:
|
||||
(If different from Primary)
|
Street | City | State | Zip Code | |
7.
|
Source of funds or wealth:
|
8.
|
Email Address:
|
||
9.
|
Telephone Number:
|
10.
|
Investor/Authorized Signer Date of Birth:
|
ÿ Individual1
ÿ UGMA/UTMA3
ÿ Corporation or Limited Liability Company2
ÿ Partnership2
ÿ Estate2
|
Joint Accounts1
ÿ Tenants by/in Entirety
ÿ Tenants in Common
ÿ Joint Tenancy with Rights of Survivorship
ÿ Community Property
|
Trust Accounts2 or 3
ÿ Revocable or Grantor
ÿ Other than Revocable or Grantor
|
IRA Accounts3
ÿ Traditional ÿ Rollover
ÿ Roth
|
Pension/Profit Sharing Plans
ÿ SEP3 ÿ 401(k) 2
ÿ DBP/DCP2 ÿ Simple IRA3
|
1 Primary Owner’s Social Security Number is required.
2 EIN/TIN is required.
3 Beneficial Owner’s Social Security Number and the Custodian’s TIN are required.
|
Only subscribers that can certify that they are “Accredited Investors” are eligible to invest in the Trust. I have read the definition of “Accredited Investor” set forth on page APPB-8 in Section 6(A) of the Subscription Agreement and certify that I satisfy one or more of the requirements set forth in Section 6(A). | ||
Initial |
The subscriber understands that an investment in the Trust is speculative, illiquid, and long-term, and does not constitute a complete investment program. The subscriber confirms that the subscriber has (either alone or with the subscriber’s financial advisors, if any) sufficient knowledge and expertise to be able to evaluate the merits and risks of investing in the Trust. The subscriber has considered the speculative and illiquid nature of an investment in the Trust within the context of the subscriber’s total portfolio, understands that Units of the Trust are only suitable for the risk segment of the subscriber’s overall portfolio, and is willing and able to bear the various risks of such an investment, including the risk of total loss. | ||
Initial |
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Print Name of Investor/Authorized Signor (Add title if investor is an Entity) | Signature of Investor/Authorized Signor Date | |
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||
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Print Name of Investor/Authorized Signor (Add title if investor is an Entity) | Signature of Investor/Authorized Signor Date | |
Print Name of Investor/Authorized Signor (Add title if investor is an Entity) | Signature of Investor/Authorized Signor Date |
1.
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Financial Advisor Name:
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2.
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Firm Name:
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||
3.
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Financial Advisor # (ID):
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4.
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Branch Address:
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5.
|
Email Address:
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||||
6.
|
Phone Number:
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Financial Advisor Signature (Required) | *Office Manager/Principal Signature (If Required by Selling Firm) |
1.
|
Name of Custodian:
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2.
|
Custodian's Mailing Address:
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3.
|
Custodian's Tax ID Number:
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4.
|
Custodian Signature*:
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ABN AMRO
|
ABN AMRO Incorporated
350 Park Avenue
New York, NY 10022
Global Futures
|
CAMPBELL FUND TRUST
by Campbell & Company, Inc., its
Managing Operator
|
|||
By:
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/s/ Gregory T. Donovan
|
||
Gregory T. Donovan
|
|||
Its: Chief Financial Officer
|
|||
By:
|
/s/ Theresa D. Becks
|
||
Theresa D. Becks
|
|||
Its: President & CEO
|
|||
/s/ Thomas P. Lloyd
|
||||
General Counsel
|
||||
THE NORTHERN TRUST COMPANY
|
||||
By:
|
/s/ Ryan Burns
|
|||
Ryan Burns
|
||||
Its: Vice President
|
||||
Assets Under Management
|
Tiered Management Fee
|
|||
First $200,000,000
|
___ |
%
|
||
Next $100,000,000
|
___
|
%
|
||
Next $200,000,000
|
___
|
%
|
||
Next $500,000,000
|
___
|
%
|
||
Anything Over $1,000,000,000
|
___
|
%
|
HORIZON CASH MANAGEMENT L.L.C.
|
CAMPBELL FUND TRUST
by Campbell & Company, Inc.,
its Managing Operator
|
|||||||||
By: | /s/ Jennifer Wenthen | By: | /s/ Thomas P. Lloyd | |||||||
Jennifer Wenthen |
|
Thomas P. Lloyd
|
||||||||
Title: President | Title: General Counsel | |||||||||
By: | /s/ Gregory T. Donovan | |||||||||
Gregory T. Donovan | ||||||||||
Title: Chief Financial Officer |
6 |
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 registrant’s other certifying officer(s) 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 registrant’s 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 registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s 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 registrant’s 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 registrant’s internal control over financial reporting.
|
Date: August 15, 2011 | ||||
By:
|
/s/ Theresa D. Becks
|
|||
Theresa D. Becks
|
||||
Chief Executive Officer
Campbell & Company, Inc.
Managing Operator
The Campbell Fund Trust
|
||||
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 registrant’s other certifying officer(s) 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 registrant’s 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 registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5.
|
The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s 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 registrant’s 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 registrant’s internal control over financial reporting.
|
Date: August 15, 2011 | ||||
By:
|
/s/ Gregory T. Donovan
|
|||
Gregory T. Donovan
|
||||
Chief Financial Officer
Campbell & Company, Inc.
Managing Operator
The Campbell Fund Trust
|
||||
Date: August 15, 2011 |
THE CAMPBELL FUND TRUST
By: Campbell & Company, Inc., Managing Operator
|
|||
By:
|
/s/ Theresa D. Becks
|
|||
Theresa D. Becks
|
||||
Chief Executive Officer
|
||||
Date: August 15, 2011 |
THE CAMPBELL FUND TRUST
By: Campbell & Company, Inc., Managing Operator
|
|||
By:
|
/s/ Gregory T. Donovan
|
|||
Gregory T. Donovan
|
||||
Chief Financial Officer
|
||||
STATEMENTS OF FINANCIAL CONDITION (Unaudited) (Parenthetical) (USD $)
|
Jun. 30, 2011
|
Dec. 31, 2010
|
---|---|---|
ASSETS | Â | Â |
Fixed income securities, cost | $ 0 | $ 49,998,833 |
Fixed income securities, cost | 279,380,201 | 232,716,004 |
Options purchased, premiums paid | 684,796 | 1,091,379 |
LIABILITIES | Â | Â |
Options written, premiums received | $ 344,789 | $ 237,756 |
Series A Units - Redeemable [Member]
|
 |  |
UNITHOLDERS' CAPITAL (Net Asset Value) | Â | Â |
Other Unitholders, outstanding (in units) | 42,858.380 | 27,273.338 |
Series B Units - Redeemable [Member]
|
 |  |
UNITHOLDERS' CAPITAL (Net Asset Value) | Â | Â |
Managing Operator, outstanding (in units) | 20.360 | 20.360 |
Other Unitholders, outstanding (in units) | 92,859.585 | 99,342.853 |
Series W Units - Redeemable [Member]
|
 |  |
UNITHOLDERS' CAPITAL (Net Asset Value) | Â | Â |
Other Unitholders, outstanding (in units) | 6,129.283 | 4,160.119 |
Document And Entity Information
|
6 Months Ended |
---|---|
Jun. 30, 2011
|
|
Entity Registrant Name | CAMPBELL FUND TRUST |
Entity Central Index Key | 0001043951 |
Current Fiscal Year End Date | --12-31 |
Entity Well-known Seasoned Issuer | No |
Entity Voluntary Filers | No |
Entity Current Reporting Status | Yes |
Entity Filer Category | Smaller Reporting Company |
Document Fiscal Year Focus | 2011 |
Document Fiscal Period Focus | Q2 |
Document Type | 10-Q |
Amendment Flag | false |
Document Period End Date | Jun. 30, 2011 |
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TRUSTEE
|
6 Months Ended | |||
---|---|---|---|---|
Jun. 30, 2011
|
||||
TRUSTEE [Abstract] | Â | |||
TRUSTEE | Note 3. TRUSTEE
|
TRADING ACTIVITIES AND RELATED RISKS
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2011
|
|||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
TRADING ACTIVITIES AND RELATED RISKS [Abstract] | Â | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
TRADING ACTIVITIES AND RELATED RISKS | Note 8. TRADING ACTIVITIES AND RELATED RISKS
The trading revenue of the Trust's derivatives by instrument type, as well as the location of those gains and losses on the Statement of Operations, for the period ended June 30, 2011 and 2010 is as follows:
|
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL EQUITY (NET ASSET VALUE) (Parenthetical) (USD $)
|
Jun. 30, 2011
|
Dec. 31, 2010
|
Jun. 30, 2010
|
Dec. 31, 2009
|
---|---|---|---|---|
Series B [Member]
|
 |  |  |  |
Net Asset Value per Unitholders' Unit (in dollars per unit) | $ 2,510.57 | $ 2,656.51 | $ 2,272.87 | $ 2,379.80 |
Series A [Member]
|
 |  |  |  |
Net Asset Value per Unitholders' Unit (in dollars per unit) | $ 2,465.59 | $ 2,615.86 | $ 2,253.12 | $ 2,365.04 |
Series W [Member]
|
 |  |  |  |
Net Asset Value per Unitholders' Unit (in dollars per unit) | $ 2,544.93 | $ 2,679.48 | $ 2,303.59 | $ 2,399.89 |
SERVICE FEE
|
6 Months Ended | |||
---|---|---|---|---|
Jun. 30, 2011
|
||||
SERVICE FEE [Abstract] | Â | |||
SERVICE FEE | Note 5. SERVICE FEE
|
INTERIM FINANCIAL STATEMENTS
|
6 Months Ended | |||
---|---|---|---|---|
Jun. 30, 2011
|
||||
INTERIM FINANCIAL STATEMENTS [Abstract] | Â | |||
INTERIM FINANCIAL STATEMENTS | Note 10. INTERIM FINANCIAL STATEMENTS
|
DEPOSITS WITH BROKER
|
6 Months Ended | |||
---|---|---|---|---|
Jun. 30, 2011
|
||||
DEPOSITS WITH BROKER [Abstract] | Â | |||
DEPOSITS WITH BROKER | Note 6. DEPOSITS WITH BROKER
|
CASH MANAGER AND CUSTODIAN
|
6 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2011
|
||||||||||
CASH MANAGER AND CUSTODIAN [Abstract] | Â | |||||||||
CASH MANAGER AND CUSTODIAN | Note 4. CASH MANAGER AND CUSTODIAN
|
FINANCIAL HIGHLIGHTS (Unaudited)
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2011
|
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FINANCIAL HIGHLIGHTS (Unaudited) [Abstract] | Â | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
FINANCIAL HIGHLIGHTS (Unaudited) | THE CAMPBELL FUND TRUST FINANCIAL HIGHLIGHTS For the Three Months and Six Months Ended June 30, 2011 and 2010 (Unaudited) The following information presents per unit operating performance data and other supplemental financial data for the three months and six months ended June 30, 2011 and 2010. This information has been derived from information presented in the unaudited financial statements.
Total returns are calculated based on the change in value of a unit during the period. An individual unitholder's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.
Total returns are calculated based on the change in value of a unit during the period. An individual unitholder's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.
Total returns are calculated based on the change in value of a unit during the period. An individual unitholder's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.
|
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
|
6 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Jun. 30, 2011
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INTERIM FINANCIAL STATEMENTS [Abstract] | Â | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
|
INDEMNIFICATIONS
|
6 Months Ended | |||
---|---|---|---|---|
Jun. 30, 2011
|
||||
INDEMNIFICATIONS [Abstract] | Â | |||
INDEMNIFICATIONS | Note 9. INDEMNIFICATIONS
|
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR
|
6 Months Ended | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2011
|
||||||||||||||||
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR [Abstract] | Â | |||||||||||||||
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR | Note 2. MANAGING OPERATOR AND COMMODITY TRADING ADVISOR
|
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL EQUITY (NET ASSET VALUE) (USD $)
|
Total
|
Series B [Member]
|
Series B [Member]
Managing Operator [Member]
|
Series B [Member]
Other Unitholders [Member]
|
Series A [Member]
|
Series W [Member]
|
---|---|---|---|---|---|---|
Balances at Dec. 31, 2009 | Â | $ 336,578,207 | $ 48,453 | $ 336,529,754 | $ 24,189,310 | $ 4,550,636 |
Balances (in units) at Dec. 31, 2009 | Â | 141,431.505 | 20.360 | 141,411.145 | 10,227.868 | 1,896.181 |
Net income (loss) | (16,051,871) | (14,904,803) | (2,177) | (14,902,626) | (1,031,785) | (115,283) |
Additions | Â | 2,289,676 | 0 | 2,289,676 | 16,135,486 | 6,586,188 |
Additions (in units) | Â | 1,020.309 | 0.000 | 1,020.309 | 7,175.123 | 2,865.707 |
Additions (in units) | Â | 1,020.309 | 0.000 | 1,020.309 | 7,175.123 | 2,865.707 |
Redemptions | Â | (57,278,853) | 0 | (57,278,853) | (578,932) | (1,355,824) |
Redemptions (in units) | Â | (25,118.241) | 0.000 | (25,118.241) | (254.623) | (573.429) |
Offering costs | Â | Â | Â | Â | (76,774) | (17,217) |
Balances at Jun. 30, 2010 | Â | 266,684,227 | 46,276 | 266,637,951 | 38,637,305 | 9,648,500 |
Balances (in units) at Jun. 30, 2010 | Â | 117,333.573 | 20.360 | 117,313.213 | 17,148.368 | 4,188.459 |
Balances at Dec. 31, 2010 | 346,449,628 | 263,959,495 | 54,087 | 263,905,408 | 71,343,164 | 11,146,969 |
Balances (in units) at Dec. 31, 2010 | Â | 99,363.213 | 20.360 | 99,342.853 | 27,273.338 | 4,160.119 |
Net income (loss) | (19,891,702) | (13,897,393) | (2,971) | (13,864,422) | (5,347,458) | (676,851) |
Additions | Â | 963,859 | 0 | 963,859 | 40,642,128 | 5,721,643 |
Additions (in units) | Â | 369.363 | 0.000 | 369.363 | 15,880.788 | 2,184.383 |
Additions (in units) | Â | 369.363 | 0.000 | 369.363 | 15,880.788 | 2,184.383 |
Redemptions | Â | (17,874,196) | 0 | (17,874,196) | (751,111) | (560,291) |
Redemptions (in units) | Â | (6,852.631) | 0.000 | (6,852.631) | (295.746) | (215.219) |
Offering costs | Â | Â | Â | Â | (215,487) | (32,856) |
Balances at Jun. 30, 2011 | $ 354,451,615 | $ 233,181,765 | $ 51,116 | $ 233,130,649 | $ 105,671,236 | $ 15,598,614 |
Balances (in units) at Jun. 30, 2011 | Â | 92,879.945 | 20.360 | 92,859.585 | 42,858.380 | 6,129.283 |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
|
6 Months Ended | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jun. 30, 2011
|
||||||||||||||||
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS [Abstract] | Â | |||||||||||||||
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS | Note 7. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
|
SUBSEQUENT EVENTS
|
6 Months Ended | |||
---|---|---|---|---|
Jun. 30, 2011
|
||||
SUBSEQUENT EVENTS [Abstract] | Â | |||
SUBSEQUENT EVENTS | Note 11. SUBSEQUENT EVENTS
|
CONDENSED SCHEDULE OF INVESTMENTS (Unaudited) (USD $)
|
Jun. 30, 2011
|
Dec. 31, 2010
|
---|---|---|
Investment Owned | Â | Â |
Values | $ 892,831 | $ 1,500,007 |
Values | (345,594) | (693,506) |
Fixed Income Securities [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 279,537,277 | 282,888,486 |
% of Net Asset Value (in hundredths) | 78.86% | 81.65% |
Cost | 279,380,201 | 282,714,837 |
Fixed Income Securities [Member] | Bank Deposits
|
 |  |
Investment Owned | Â | Â |
Values | 63,399,651 | Â |
% of Net Asset Value (in hundredths) | 17.89% | Â |
Cost | 63,386,226 | Â |
Fixed Income Securities [Member] | Bank Deposits | Canada [Member] | Financial [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 27,987,201 | Â |
% of Net Asset Value (in hundredths) | 7.90% | Â |
Cost | 27,985,560 | Â |
Fixed Income Securities [Member] | Bank Deposits | Sweden [Member] | Financial [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 19,408,703 | Â |
% of Net Asset Value (in hundredths) | 5.48% | Â |
Cost | 19,400,000 | Â |
Fixed Income Securities [Member] | Bank Deposits | United Kingdom [Member] | Financial [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 5,001,566 | Â |
% of Net Asset Value (in hundredths) | 1.41% | Â |
Cost | 5,000,666 | Â |
Fixed Income Securities [Member] | Bank Deposits | United States [Member] | Financial [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 11,002,181 | Â |
% of Net Asset Value (in hundredths) | 3.10% | Â |
Cost | 11,000,000 | Â |
Fixed Income Securities [Member] | Certificate of Deposit [Member] | Canada [Member] | Financial [Member]
|
 |  |
Investment Owned | Â | Â |
Values | Â | 7,221,421 |
% of Net Asset Value (in hundredths) | Â | 2.08% |
Cost | Â | 7,215,000 |
Fixed Income Securities [Member] | Commercial Paper [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 124,100,949 | 161,493,006 |
% of Net Asset Value (in hundredths) | 35.01% | 46.62% |
Cost | 124,095,911 | 161,436,428 |
Fixed Income Securities [Member] | Commercial Paper [Member] | United Kingdom [Member] | Consumer Staple [Member]
|
 |  |
Investment Owned | Â | Â |
Values | Â | 5,718,658 |
% of Net Asset Value (in hundredths) | Â | 1.65% |
Cost | Â | 5,716,634 |
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 107,578,660 | 135,788,531 |
% of Net Asset Value (in hundredths) | 30.35% | 39.20% |
Cost | 107,573,679 | 135,762,709 |
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Financial [Member]
|
 |  |
Investment Owned | Â | Â |
Values | Â | 10,981,734 |
% of Net Asset Value (in hundredths) | Â | 3.17% |
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Industrials [Member]
|
 |  |
Investment Owned | Â | Â |
Values | Â | 10,978,667 |
% of Net Asset Value (in hundredths) | Â | 3.17% |
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Materials [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 21,999,932 | Â |
% of Net Asset Value (in hundredths) | 6.21% | Â |
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Consumer Discretionary [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 11,066,433 | 41,051,450 |
% of Net Asset Value (in hundredths) | 3.12% | 11.85% |
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Consumer Staple [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 20,186,896 | 3,315,853 |
% of Net Asset Value (in hundredths) | 5.70% | 0.96% |
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Energy [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 9,999,572 | 17,387,305 |
% of Net Asset Value (in hundredths) | 2.82% | 5.02% |
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Financial - ING America Insurance Holdings Due 7/1/2011 [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 19,326,613 | Â |
% of Net Asset Value (in hundredths) | 5.45% | Â |
Maturity face value | 19,327,000 | Â |
Due date | Jul. 01, 2011 | Â |
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Financial - Other [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 9,999,260 | Â |
% of Net Asset Value (in hundredths) | 2.82% | Â |
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Healthcare [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 14,999,954 | 12,885,538 |
% of Net Asset Value (in hundredths) | 5.45% | 3.72% |
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Municipal [Member]
|
 |  |
Investment Owned | Â | Â |
Values | Â | 4,717,562 |
% of Net Asset Value (in hundredths) | Â | 1.36% |
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Utilities [Member]
|
 |  |
Investment Owned | Â | Â |
Values | Â | 34,470,422 |
% of Net Asset Value (in hundredths) | Â | 9.95% |
Fixed Income Securities [Member] | Commercial Paper [Member] | Netherlands [Member] | Industrials [Member]
|
 |  |
Investment Owned | Â | Â |
Values | Â | 9,987,542 |
% of Net Asset Value (in hundredths) | Â | 2.88% |
Cost | Â | 9,958,946 |
Fixed Income Securities [Member] | Commercial Paper [Member] | Netherlands [Member] | Materials [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 6,523,989 | Â |
% of Net Asset Value (in hundredths) | 1.84% | Â |
Cost | 6,523,868 | Â |
Fixed Income Securities [Member] | Commercial Paper [Member] | Panama [Member] | Consumer Discretionary [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 9,998,300 | 9,998,275 |
% of Net Asset Value (in hundredths) | 2.82% | 2.89% |
Cost | 9,998,364 | 9,998,139 |
Fixed Income Securities [Member] | Corporate Bond Securities [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 56,029,955 | Â |
% of Net Asset Value (in hundredths) | 15.81% | Â |
Cost | 55,897,812 | Â |
Fixed Income Securities [Member] | Corporate Bond Securities [Member] | United States [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 49,408,914 | Â |
% of Net Asset Value (in hundredths) | 13.94% | Â |
Cost | 49,262,250 | Â |
Fixed Income Securities [Member] | Corporate Bond Securities [Member] | United States [Member] | Financial [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 43,237,962 | 37,589,108 |
% of Net Asset Value (in hundredths) | 12.20% | 10.85% |
Cost | Â | 37,464,778 |
Fixed Income Securities [Member] | Corporate Bond Securities [Member] | United States [Member] | Healthcare [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 6,170,952 | Â |
% of Net Asset Value (in hundredths) | 1.74% | Â |
Fixed Income Securities [Member] | Corporate Bond Securities [Member] | Switzerland [Member] | Financial [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 6,621,041 | Â |
% of Net Asset Value (in hundredths) | 1.87% | Â |
Cost | 6,635,562 | Â |
Fixed Income Securities [Member] | Government And Agency Obligations [Member] | United States [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 36,006,169 | 76,584,010 |
% of Net Asset Value (in hundredths) | 10.16% | 22.10% |
Cost | 35,999,699 | 76,597,690 |
Fixed Income Securities [Member] | Government And Agency Obligations [Member] | United States [Member] | US Government Agency [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 5,006,400 | Â |
% of Net Asset Value (in hundredths) | 1.41% | Â |
Maturity face value | 5,000,000 | Â |
Fixed Income Securities [Member] | Government And Agency Obligations [Member] | United States [Member] | US Treasury Bill Securities [Member]
|
 |  |
Investment Owned | Â | Â |
Values | Â | 14,585,360 |
% of Net Asset Value (in hundredths) | Â | 4.21% |
Fixed Income Securities [Member] | Government And Agency Obligations [Member] | United States [Member] | US Treasury Bill Securities Due 9/8/2011 [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 30,999,769 | Â |
% of Net Asset Value (in hundredths) | 8.75% | Â |
Maturity face value | 31,000,000 | Â |
Due date | Sep. 08, 2011 | Â |
Fixed Income Securities [Member] | Government And Agency Obligations [Member] | United States [Member] | US Treasury Bill Securities Due 1/6/2011 [Member]
|
 |  |
Investment Owned | Â | Â |
Values | Â | 11,999,817 |
% of Net Asset Value (in hundredths) | Â | 3.46% |
Maturity face value | Â | 12,000,000 |
Due date | Â | Jan. 06, 2011 |
Fixed Income Securities [Member] | Government And Agency Obligations [Member] | United States [Member] | US Treasury Bill Securities Due 1/13/2011 [Member]
|
 |  |
Investment Owned | Â | Â |
Values | Â | 49,998,833 |
% of Net Asset Value (in hundredths) | Â | 14.43% |
Maturity face value | Â | 50,000,000 |
Due date | Â | Jan. 13, 2011 |
Fixed Income Securities [Member] | Short Term Investment Funds [Member] | United States [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 553 | 941 |
% of Net Asset Value (in hundredths) | 0.00% | 0.00% |
Cost | 553 | 941 |
Future [Member]
|
 |  |
Investment Owned | Â | Â |
Values | (6,886,281) | 4,525,677 |
% of Net Asset Value (in hundredths) | (1.94%) | 1.30% |
Future [Member] | Long Futures Contracts [Member]
|
 |  |
Investment Owned | Â | Â |
Values | (4,684,570) | 5,958,667 |
% of Net Asset Value (in hundredths) | (1.33%) | 1.72% |
Future [Member] | Long Futures Contracts [Member] | Energy [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 181,073 | 743,689 |
% of Net Asset Value (in hundredths) | 0.05% | 0.21% |
Future [Member] | Long Futures Contracts [Member] | Agricultural [Member]
|
 |  |
Investment Owned | Â | Â |
Values | (611,060) | 2,226,611 |
% of Net Asset Value (in hundredths) | (0.17%) | 0.64% |
Future [Member] | Long Futures Contracts [Member] | Metals [Member]
|
 |  |
Investment Owned | Â | Â |
Values | (21,936) | 2,581,189 |
% of Net Asset Value (in hundredths) | (0.01%) | 0.75% |
Future [Member] | Long Futures Contracts [Member] | Stock Indices [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 3,029,616 | (39,120) |
% of Net Asset Value (in hundredths) | 0.85% | (0.01%) |
Future [Member] | Long Futures Contracts [Member] | Short Term Interest Rates [Member]
|
 |  |
Investment Owned | Â | Â |
Values | (1,558,402) | 400,606 |
% of Net Asset Value (in hundredths) | (0.44%) | 0.12% |
Future [Member] | Long Futures Contracts [Member] | Long Term Interest Rates [Member]
|
 |  |
Investment Owned | Â | Â |
Values | (5,703,861) | 45,692 |
% of Net Asset Value (in hundredths) | (1.61%) | 0.01% |
Future [Member] | Short Futures Contract [Member]
|
 |  |
Investment Owned | Â | Â |
Values | (2,201,711) | (1,432,990) |
% of Net Asset Value (in hundredths) | (0.61%) | (0.42%) |
Future [Member] | Short Futures Contract [Member] | Energy [Member]
|
 |  |
Investment Owned | Â | Â |
Values | (326,120) | (239,450) |
% of Net Asset Value (in hundredths) | (0.09%) | (0.07%) |
Future [Member] | Short Futures Contract [Member] | Agricultural [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 838,584 | (14,930) |
% of Net Asset Value (in hundredths) | 0.24% | 0.00% |
Future [Member] | Short Futures Contract [Member] | Metals [Member]
|
 |  |
Investment Owned | Â | Â |
Values | (1,845,934) | (573,456) |
% of Net Asset Value (in hundredths) | (0.52%) | (0.17%) |
Future [Member] | Short Futures Contract [Member] | Stock Indices [Member]
|
 |  |
Investment Owned | Â | Â |
Values | (819,947) | 48,337 |
% of Net Asset Value (in hundredths) | (0.23%) | 0.01% |
Future [Member] | Short Futures Contract [Member] | Short Term Interest Rates [Member]
|
 |  |
Investment Owned | Â | Â |
Values | (48,294) | (9,188) |
% of Net Asset Value (in hundredths) | (0.01%) | 0.00% |
Future [Member] | Short Futures Contract [Member] | Long Term Interest Rates [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 0 | (644,303) |
% of Net Asset Value (in hundredths) | 0.00% | (0.19%) |
Forward Currency Contracts [Member]
|
 |  |
Investment Owned | Â | Â |
Values | (593,171) | 5,148,027 |
% of Net Asset Value (in hundredths) | (0.17%) | 1.49% |
Forward Currency Contracts [Member] | Various Long Forward Currency Contracts [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 13,085,339 | 26,630,262 |
% of Net Asset Value (in hundredths) | 3.69% | 7.69% |
Forward Currency Contracts [Member] | Various Short Forward Currency Contracts [Member]
|
 |  |
Investment Owned | Â | Â |
Values | (13,678,510) | (21,482,235) |
% of Net Asset Value (in hundredths) | (3.86%) | (6.20%) |
Purchased Options Forward Currency Contract [Member]
|
 |  |
Investment Owned | Â | Â |
Values | 892,831 | 1,500,007 |
% of Net Asset Value (in hundredths) | 0.25% | 0.43% |
Premiums paid | 684,796 | 1,091,379 |
Written Options Forward Currency Contract [Member]
|
 |  |
Investment Owned | Â | Â |
Values | (345,594) | (693,506) |
% of Net Asset Value (in hundredths) | (0.10%) | (0.20%) |
Premiums received | $ 344,789 | $ 237,756 |