þ
|
Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the quarterly period ended September 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
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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
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Accelerated filer o
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Non-accelerated filer o
|
Smaller reporting company þ
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|||
(Do not check if a smaller reporting company)
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Page | ||||||||
PART I — FINANCIAL INFORMATION
|
||||||||
Item 1.
|
Financial Statements
|
|||||||
Condensed Schedules of Investments as of September 30, 2011 and December 31, 2010 (Unaudited)
|
3-6
|
|||||||
Statements of Financial Condition as of September 30, 2011 and December 31, 2010 (Unaudited)
|
7
|
|||||||
Statements of Operations for the Three Months and Nine Months Ended September 30, 2011 and 2010 (Unaudited)
|
8
|
|||||||
Statements of Cash Flows for the Nine Months Ended September 30, 2011 and 2010 (Unaudited)
|
9
|
|||||||
Statements of Changes in Unitholders’ Capital (Net Asset Value) for the Nine Months Ended September 30, 2011 and 2010 (Unaudited)
|
10-11
|
|||||||
Financial Highlights for the Three Months and Nine Months Ended September 30, 2011 and 2010 (Unaudited)
|
12-14
|
|||||||
Notes to Financial Statements (Unaudited)
|
15-22
|
|||||||
Item 2.
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Management’s Discussion and Analysis of Financial Condition and Results of Operations
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23-30
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||||||
Item 3.
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Quantitative and Qualitative Disclosure About Market Risk
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31-36
|
||||||
Item 4.
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Controls and Procedures
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36
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||||||
PART II — OTHER INFORMATION
|
||||||||
Item 1. | Legal Proceedings | 37 | ||||||
Item 1A. | Risk Factors | 37 | ||||||
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds | 37 | ||||||
Item 3. | Defaults Upon Senior Securities | 37 | ||||||
Item 4. | (Removed and Reserved) | 37 | ||||||
Item 5. | Other Information | 37 | ||||||
Item 6.
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Exhibits
|
37
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||||||
SIGNATURES
|
38
|
THE CAMPBELL FUND TRUST | ||||||||
CONDENSED SCHEDULE OF INVESTMENTS | ||||||||
SEPTEMBER 30, 2011 (Unaudited) |
FIXED INCOME SECURITIES | ||||||||
Maturity Face Value |
Description | Values ($) |
% of Net Asset Value |
|||||
Bank Deposits | ||||||||
Canada | ||||||||
Financials |
$28,023,081
|
7.29 %
|
||||||
(cost $27,980,930) |
|
|
||||||
Sweden | ||||||||
Financials |
$11,601,093
|
3.02 %
|
||||||
(cost $11,600,000) |
|
|
||||||
Total Bank Deposits (cost $39,580,930) |
$39,624,174
|
10.31 %
|
||||||
Commercial Paper | ||||||||
United States | ||||||||
Consumer Staples |
$7,603,000
|
1.98 %
|
||||||
$10,000,000
|
Financials ING America Insurance Holdings Inc. Due 10/03/2011 |
$9,999,408
|
2.60 %
|
|||||
$12,000,000
|
ING America Insurance Holdings Inc. Due 10/13/2011 |
$11,996,891
|
3.12 %
|
|||||
Other |
$11,986,163
|
3.12 %
|
||||||
Health Care |
$9,999,007
|
2.60 %
|
||||||
$20,000,000
|
Materials DCP Mainstream LLC Due 10/03/2011 |
$20,000,000
|
5.21 %
|
|||||
Other |
$11,999,010
|
3.12 %
|
||||||
Services |
$8,999,610
|
2.34 %
|
||||||
Total United States (cost $92,581,058) |
$92,583,089
|
24.09 %
|
||||||
Corporate Bonds | ||||||||
Switzerland | ||||||||
Financials |
$6,551,426
|
1.71 %
|
||||||
(cost $6,589,455) |
|
|
||||||
United States | ||||||||
Financials |
$44,914,581
|
11.69 %
|
||||||
Health Care |
$6,102,456
|
1.59 %
|
||||||
Telecommunications |
$9,796,002
|
2.55 %
|
||||||
Total United States (cost $60,780,084) |
$60,813,039
|
15.83 %
|
||||||
Total Corporate Bonds (cost $67,369,539) |
$67,364,465
|
17.54 %
|
||||||
Government And Agency Obligations | ||||||||
United States | ||||||||
$16,625,000
|
US Government Agency Federal Home Loan Mortgage Corp. 0.5% Due 02/08/2013 |
$16,622,174
|
4.33 %
|
|||||
$12,500,000
|
Federal Home Loan Mortgage Corp. 0.55% Due 09/09/2013 |
$12,480,175
|
3.25 %
|
|||||
$10,000,000
|
Federal Home Loan Mortgage Corp. 0.6% Due 08/22/2013 |
$9,992,800
|
2.60 %
|
|||||
$12,000,000
|
Federal Home Loan Mortgage Corp. Step Up Tranche #TR 00424 Due 07/26/2013 |
$11,987,400
|
3.12 %
|
|||||
$29,000,000
|
U.S. Treasury Bills* Due 10/06/2011 |
$28,999,968
|
7.55 %
|
|||||
Total United States (cost $80,126,447) |
$80,082,517
|
20.85 %
|
THE CAMPBELL FUND TRUST | ||||||||
CONDENSED SCHEDULE OF INVESTMENTS | ||||||||
SEPTEMBER 30, 2011 (Unaudited) |
Short Term Investments | ||||||||
United States | ||||||||
Short Term Investments |
$526
|
0.00 %
|
||||||
(cost $ 526) |
|
|
||||||
Total Fixed Income Securities (cost $279,658,500) |
$279,654,771
|
72.79 %
|
||||||
LONG FUTURES CONTRACTS | ||||||||
Description | Values ($) |
% of Net Asset Value |
||||||
Agricultural |
$(683,203)
|
(0.18)%
|
||||||
Energy |
$(999,124)
|
(0.26)%
|
||||||
Metals |
$(6,195,261)
|
(1.61)%
|
||||||
Stock indices |
$(399,455)
|
(0.10)%
|
||||||
Short-term interest rates |
$(822,421)
|
(0.21)%
|
||||||
Long-term interest rates |
$(1,541,530)
|
(0.41)%
|
||||||
Total long futures contracts |
$(10,640,994)
|
(2.77)%
|
||||||
SHORT FUTURES CONTRACTS | ||||||||
Description | Values ($) |
% of Net Asset Value |
||||||
Agricultural |
$1,255,235
|
0.33 %
|
||||||
Energy |
$1,001,520
|
0.26 %
|
||||||
Metals |
$10,065,248
|
2.61 %
|
||||||
Stock indices |
$65,621
|
0.02 %
|
||||||
Total short futures contracts |
$12,387,624
|
3.22 %
|
||||||
Total futures contracts |
$1,746,630
|
0.45 %
|
||||||
FORWARD CURRENCY CONTRACTS | ||||||||
Description | Values ($) |
% of Net Asset Value |
||||||
Various long forward currency contracts |
$(36,193,765)
|
(9.42)%
|
||||||
Various short forward currency contracts |
$25,285,457
|
6.58 %
|
||||||
Total forward currency contracts |
$(10,908,308)
|
(2.84)%
|
THE CAMPBELL FUND TRUST | ||||||||
CONDENSED SCHEDULE OF INVESTMENTS | ||||||||
DECEMBER 31, 2010 (Unaudited) |
FIXED INCOME SECURITIES | ||||||||
Maturity Face Value |
Description | Values ($) |
% of Net Asset Value |
|||||
Certificate Of Deposit | ||||||||
Canada | ||||||||
Financials |
$7,221,421
|
2.08 %
|
||||||
(cost $7,215,000) |
|
|
||||||
Commercial Paper | ||||||||
Netherlands | ||||||||
Industrials |
$9,987,542
|
2.88 %
|
||||||
(cost $9,958,946) |
|
|
||||||
Panama | ||||||||
Consumer Discretionary |
$9,998,275
|
2.89 %
|
||||||
(cost $9,998,139) |
|
|
||||||
United Kingdom | ||||||||
Consumer Staples |
$5,718,658
|
1.65 %
|
||||||
(cost $5,716,634) |
|
|
||||||
United States | ||||||||
Consumer Discretionary |
$41,051,450
|
11.85 %
|
||||||
Consumer Staples |
$3,315,853
|
0.96 %
|
||||||
Energy |
$17,387,305
|
5.02 %
|
||||||
Financials |
$10,981,734
|
3.17 %
|
||||||
Health Care |
$12,885,538
|
3.72 %
|
||||||
Industrials |
$10,978,667
|
3.17 %
|
||||||
Municipal |
$4,717,562
|
1.36 %
|
||||||
Utilities |
$34,470,422
|
9.95 %
|
||||||
Total United States (cost $135,762,709) |
$135,788,531
|
39.20 %
|
||||||
Total Commercial Paper (cost $161,436,428) |
$161,493,006
|
46.62 %
|
||||||
Corporate Bonds | ||||||||
United States | ||||||||
Financials |
$37,589,108
|
10.85 %
|
||||||
(cost $37,464,778) |
|
|
||||||
Government And Agency Obligations | ||||||||
United States | ||||||||
US Government Agency |
$14,585,360
|
4.21 %
|
||||||
$12,000,000
|
US Treasury Bill 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 |
$941
|
0.00 %
|
||||||
(cost $ 941) |
|
|
||||||
Total Fixed Income Securities (cost $282,714,837) |
$282,888,486
|
81.65 %
|
THE CAMPBELL FUND TRUST | ||||||||
CONDENSED SCHEDULE OF INVESTMENTS | ||||||||
DECEMBER 31, 2010 (Unaudited) |
LONG FUTURES CONTRACTS | ||||||||
Description | Values ($) |
% of Net 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 |
$5,958,667
|
1.72 %
|
||||||
SHORT FUTURES CONTRACTS | ||||||||
Description | Values ($) |
% of Net 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 |
$4,525,677
|
1.30 %
|
||||||
FORWARD CURRENCY CONTRACTS | ||||||||
Description | Values ($) |
% of Net 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 |
$5,148,027
|
1.49 %
|
||||||
PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS | ||||||||
Description | Values ($) |
% of Net Asset Value |
||||||
Purchased options on forward currency contracts (premiums paid - $1,091,379) |
$1,500,007
|
0.43 %
|
||||||
WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS | ||||||||
Description | Values ($) |
% of Net 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 |
THE CAMPBELL FUND TRUST |
STATEMENTS OF FINANCIAL CONDITION |
September 30, 2011 and December 31, 2010 (Unaudited) |
September 30,
2011 |
December 31,
2010 |
||
ASSETS | |||
Equity in broker trading accounts | |||
Cash |
$83,697,856
|
$43,929,635
|
|
Restricted cash |
21,996,093
|
0
|
|
Fixed income securities - (cost $ 0 and $49,998,833, respectively) |
0
|
49,998,833
|
|
Net unrealized gain (loss) on open futures contracts |
1,746,630
|
4,525,677
|
|
Total equity in broker trading accounts |
107,440,579
|
98,454,145
|
|
Cash and cash equivalents |
10,822,383
|
15,906,463
|
|
Fixed income securities (cost $279,658,500 and $232,716,004, respectively) |
279,654,771
|
232,889,653
|
|
Options purchased, at fair value (premiums paid - $0 and $1,091,379, respectively) |
0
|
1,500,007
|
|
Net unrealized gain (loss) on open forward currency contracts |
(10,908,308)
|
5,148,027
|
|
Interest receivable |
474,528
|
81,415
|
|
Subscriptions receivable |
79,267
|
327,332
|
|
Total assets |
$387,563,220
|
$354,307,042
|
|
LIABILITIES | |||
Accounts payable |
$124,131
|
$116,724
|
|
Management fee |
1,236,219
|
1,142,475
|
|
Service fee |
7,087
|
4,423
|
|
Options written, at fair value (premiums received - $0 and $237,756, respectively) |
0
|
693,506
|
|
Accrued commissions and other trading fees on open contracts |
39,189
|
47,113
|
|
Performance fee payable |
0
|
381,483
|
|
Offering costs payable |
58,475
|
32,432
|
|
Redemptions payable |
1,884,963
|
5,439,258
|
|
Total liabilities |
3,350,064
|
7,857,414
|
|
UNITHOLDERS' CAPITAL (Net Asset Value) | |||
Series A Units - Redeemable | |||
Other Unitholders - 50,866.384 and 27,273.338 units outstanding at September 30, 2011 and December 31, 2010 |
129,702,013
|
71,343,164
|
|
Series B Units - Redeemable | |||
Managing Operator - 20.360 units outstanding at September 30, 2011 and December 31, 2010 |
52,951
|
54,087
|
|
Other Unitholders - 91,152.491 and 99,342.853 units outstanding at September 30, 2011 and December 31, 2010 |
237,062,435
|
263,905,408
|
|
Series W Units - Redeemable | |||
Other Unitholders - 6,582.545 and 4,160.119 units outstanding at September 30, 2011 and December 31, 2010 |
17,395,757
|
11,146,969
|
|
Total unitholders' capital (Net Asset Value) |
384,213,156
|
346,449,628
|
|
Total liabilities and unitholders' capital (Net Asset Value) |
$387,563,220
|
$354,307,042
|
THE CAMPBELL FUND TRUST |
STATEMENTS OF OPERATIONS |
For the Three Months and Nine Months Ended September 30, 2011 and 2010 (Unaudited) |
Three Months Ended September 30, |
Nine Months Ended September 30, |
||||||
2011
|
2010
|
2011
|
2010
|
||||
TRADING GAINS (LOSSES) | |||||||
Futures trading gains (losses) | |||||||
Realized |
$23,119,773
|
$13,528,043
|
$18,154,158
|
$2,740,399
|
|||
Change in unrealized |
8,632,911
|
9,435,554
|
(2,779,047)
|
14,434,987
|
|||
Brokerage commissions |
(334,306)
|
(248,680)
|
(917,094)
|
(722,899)
|
|||
Net gain (loss) from futures trading |
31,418,378
|
22,714,917
|
14,458,017
|
16,452,487
|
|||
Forward currency and options on forward | |||||||
currency trading gains (losses) | |||||||
Realized |
(4,836,926)
|
(3,076,783)
|
4,415,564
|
(5,726,522)
|
|||
Change in unrealized |
(10,522,367)
|
8,173,562
|
(16,009,213)
|
7,613,217
|
|||
Brokerage commissions |
(33,083)
|
(23,571)
|
(117,152)
|
(65,767)
|
|||
Net gain (loss) from forward currency and options on forward currency trading |
(15,392,376)
|
5,073,208
|
(11,710,801)
|
1,820,928
|
|||
Total net trading gain (loss) |
16,026,002
|
27,788,125
|
2,747,216
|
18,273,415
|
|||
NET INVESTMENT INCOME (LOSS) | |||||||
Investment income | |||||||
Interest income |
270,051
|
423,312
|
905,562
|
907,647
|
|||
Realized gain (loss) on fixed income securities |
333
|
49,071
|
6,154
|
77,172
|
|||
Change in unrealized gain (loss) on fixed income securities |
(160,883)
|
167,437
|
(177,460)
|
40,028
|
|||
Total investment income |
109,501
|
639,820
|
734,256
|
1,024,847
|
|||
Expenses | |||||||
Management fee |
3,784,632
|
3,144,685
|
10,739,070
|
9,802,859
|
|||
Service fee |
21,443
|
11,773
|
54,299
|
28,990
|
|||
Performance fee |
5,222
|
0
|
5,222
|
0
|
|||
Operating expenses |
131,995
|
94,577
|
382,372
|
341,374
|
|||
Total expenses |
3,943,292
|
3,251,035
|
11,180,963
|
10,173,223
|
|||
Net investment income (loss) |
(3,833,791)
|
(2,611,215)
|
(10,446,707)
|
(9,148,376)
|
|||
NET INCOME (LOSS) |
$12,192,211
|
$25,176,910
|
$(7,699,491)
|
$9,125,039
|
|||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS UNIT |
|||||||
(based on weighted average number of units outstanding during the period) |
|||||||
Series A |
$67.38
|
$194.08
|
$(61.49)
|
$163.69
|
|||
Series B |
$92.86
|
$184.09
|
$(55.53)
|
$48.14
|
|||
Series W |
$93.35
|
$191.96
|
$(17.40)
|
$194.92
|
|||
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS UNIT |
|||||||
Series A |
$84.27
|
$184.12
|
$(66.00)
|
$72.20
|
|||
Series B |
$90.15
|
$188.82
|
$(55.79)
|
$81.89
|
|||
Series W |
$97.78
|
$197.64
|
$(36.77)
|
$101.34
|
THE CAMPBELL FUND TRUST |
STATEMENTS OF CASH FLOWS |
For the Nine Months Ended September 30, 2011 and 2010 (Unaudited) |
Nine Months Ended September 30, |
|||
2011
|
2010
|
||
Cash flows from (for) operating activities | |||
Net income (loss) |
$(7,699,491)
|
$9,125,039
|
|
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | |||
Net change in unrealized |
18,965,720
|
(22,088,233)
|
|
(Increase) decrease in restricted cash |
(21,996,093)
|
24,115,214
|
|
(Increase) decrease in option premiums paid |
1,091,379
|
615,916
|
|
Increase (decrease) in option premiums received |
(237,756)
|
68,388
|
|
(Increase) decrease in interest receivable |
(393,113)
|
(66,303)
|
|
Increase (decrease) in accounts payable and accrued expenses |
(285,592)
|
(166,604)
|
|
Purchases of investments in fixed income securities |
(11,752,247,504)
|
(4,509,854,684)
|
|
Sales/maturities of investments in fixed income securities |
11,755,303,759
|
4,564,990,875
|
|
Net cash from (for) operating activities |
(7,498,691)
|
66,739,608
|
|
Cash flows from (for) financing activities | |||
Addition of units |
71,876,039
|
37,229,503
|
|
Redemption of units |
(29,299,341)
|
(89,856,176)
|
|
Offering costs paid |
(393,866)
|
(146,362)
|
|
Net cash from (for) financing activities |
42,182,832
|
(52,773,035)
|
|
Net increase (decrease) in cash and cash equivalents |
34,684,141
|
13,966,573
|
|
Unrestricted cash | |||
Beginning of period |
59,836,098
|
27,012,256
|
|
End of period |
$94,520,239
|
$40,978,829
|
|
End of period cash and cash equivalents consists of: | |||
Cash in broker trading accounts |
$83,697,856
|
$29,346,522
|
|
Cash and cash equivalents |
10,822,383
|
11,632,307
|
|
Total end of period cash and cash equivalents |
$94,520,239
|
$40,978,829
|
THE CAMPBELL FUND TRUST |
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE) |
For the Nine Months Ended September 30, 2011 and 2010 (Unaudited) |
Unitholders' Capital - Series B
|
|||||||||||
Managing Operator
|
Other Unitholders
|
Total
|
|||||||||
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
||||||
Nine Months Ended September 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 nine months | |||||||||||
ended September 30, 2011 |
(1,136)
|
(5,304,584)
|
(5,305,720)
|
||||||||
Additions |
0.000
|
0
|
596.215
|
1,573,178
|
596.215
|
1,573,178
|
|||||
Redemptions |
0.000
|
0
|
(8,786.577)
|
(23,111,567)
|
(8,786.577)
|
(23,111,567)
|
|||||
Balances at September 30, 2011 |
20.360
|
$52,951
|
91,152.491
|
$237,062,435
|
91,172.851
|
$237,115,386
|
|||||
Nine Months Ended September 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 nine months | |||||||||||
ended September 30, 2010 |
1,667
|
6,024,446
|
6,026,113
|
||||||||
Additions |
0.000
|
0
|
1,117.657
|
2,518,686
|
1,117.657
|
2,518,686
|
|||||
Redemptions |
0.000
|
0
|
(36,409.448)
|
(83,839,884)
|
(36,409.448)
|
(83,839,884)
|
|||||
Balances at September 30, 2010 |
20.360
|
$50,120
|
106,119.354
|
$261,233,002
|
106,139.714
|
$261,283,122
|
Net Asset Value per Managing Operator and Other Unitholders' Unit - Series B
|
||||||
September 30, 2011
|
December 31, 2010
|
September 30, 2010
|
December 31, 2009
|
|||
$2,600.72
|
$2,656.51
|
$2,461.69
|
$2,379.80
|
THE CAMPBELL FUND TRUST |
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE) |
For the Nine Months Ended September 30, 2011 and 2010 (Unaudited) |
Unitholders' Capital
|
|||||||
Series A - Other Unitholders
|
Series W - Other Unitholders
|
||||||
Units
|
Amount
|
Units
|
Amount
|
||||
Nine Months Ended September 30, 2011 | |||||||
Balances at December 31, 2010 |
27,273.338
|
$71,343,164
|
4,160.119
|
$11,146,969
|
|||
Net income (loss) for the nine months ended | |||||||
September 30, 2011 |
(2,299,956)
|
(93,815)
|
|||||
Additions |
24,250.679
|
62,726,472
|
2,773.931
|
7,328,324
|
|||
Redemptions |
(657.633)
|
(1,702,057)
|
(351.505)
|
(931,422)
|
|||
Offering costs |
(365,610)
|
(54,299)
|
|||||
Balances at September 30, 2011 |
50,866.384
|
$129,702,013
|
6,582.545
|
$17,395,757
|
|||
Nine Months Ended September 30, 2010 | |||||||
Balances at December 31, 2009 |
10,227.868
|
$24,189,310
|
1,896.181
|
$4,550,636
|
|||
Net income (loss) for the nine months ended | |||||||
September 30, 2010 |
2,456,068
|
642,858
|
|||||
Additions |
11,853.085
|
27,132,522
|
3,288.328
|
7,578,295
|
|||
Redemptions |
(1,431.343)
|
(3,320,618)
|
(1,714.920)
|
(4,064,573)
|
|||
Offering costs |
(129,292)
|
(28,990)
|
|||||
Balances at September 30, 2010 |
20,649.610
|
$50,327,990
|
3,469.589
|
$8,678,226
|
Net Asset Value per Other Unitholders' Unit - Series A
|
||||||
September 30, 2011
|
December 31, 2010
|
September 30, 2010
|
December 31, 2009
|
|||
$2,549.86
|
$2,615.86
|
$2,437.24
|
$2,365.04
|
|||
Net Asset Value per Other Unitholders' Unit - Series W
|
||||||
September 30, 2011
|
December 31, 2010
|
September 30, 2010
|
December 31, 2009
|
|||
$2,642.71
|
$2,679.48
|
$2,501.23
|
$2,399.89
|
THE CAMPBELL FUND TRUST |
FINANCIAL HIGHLIGHTS |
For the Three Months and Nine Months Ended September 30, 2011 and 2010 (Unaudited) |
Series A
|
|||||||
Three Months Ended September 30, |
Nine Months Ended September 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 |
$2,465.59
|
$2,253.12
|
$2,615.86
|
$2,365.04
|
|||
Income (loss) from operations: | |||||||
Total net trading gains (losses) (1) |
114.38
|
206.45
|
19.88
|
144.24
|
|||
Net investment income (loss)(1) |
(26.79)
|
(19.41)
|
(76.10)
|
(63.42)
|
|||
Total net income (loss) from operations |
87.59
|
187.04
|
(56.22)
|
80.82
|
|||
Offering costs (1) |
(3.32)
|
(2.92)
|
(9.78)
|
(8.62)
|
|||
Net asset value per unit at end of period |
$2,549.86
|
$2,437.24
|
$2,549.86
|
$2,437.24
|
|||
Total Return (3) |
3.42 %
|
8.17 %
|
(2.52)%
|
3.05 %
|
|||
Supplemental Data | |||||||
Ratios to average net asset value: | |||||||
Expenses prior to performance fee (4) |
4.16 %
|
4.25 %
|
4.04 %
|
4.18 %
|
|||
Performance fee (3) |
0.00 %
|
0.00 %
|
0.00 %
|
0.00 %
|
|||
Total expenses |
4.16 %
|
4.25 %
|
4.04 %
|
4.18 %
|
|||
Net investment income (loss)(2),(4) |
(4.05)%
|
(3.43)%
|
(3.80)%
|
(3.72)%
|
Total returns are calculated based on the change in value of a unit during the period. An individual partner's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.
|
|
(1) |
Net investment income (loss) per unit and offering costs per unit 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 |
THE CAMPBELL FUND TRUST |
FINANCIAL HIGHLIGHTS |
For the Three Months and Nine Months Ended September 30, 2011 and 2010 (Unaudited) |
Series B
|
|||||||
Three Months Ended September 30, |
Nine Months Ended September 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 |
$2,510.57
|
$2,272.87
|
$2,656.51
|
$2,379.80
|
|||
Income (loss) from operations: | |||||||
Total net trading gains (losses) (1) |
117.39
|
208.34
|
20.97
|
146.37
|
|||
Net investment income (loss)(1) |
(27.24)
|
(19.52)
|
(76.76)
|
(64.48)
|
|||
Total net income (loss) from operations |
90.15
|
188.82
|
(55.79)
|
81.89
|
|||
Net asset value per unit at end of period |
$2,600.72
|
$2,461.69
|
$2,600.72
|
$2,461.69
|
|||
Total Return (3) |
3.59 %
|
8.31 %
|
(2.10)%
|
3.44 %
|
|||
Supplemental Data | |||||||
Ratios to average net asset value: | |||||||
Expenses prior to performance fee (4) |
4.23 %
|
4.20 %
|
4.17 %
|
4.18 %
|
|||
Performance fee (3) |
0.00 %
|
0.00 %
|
0.00 %
|
0.00 %
|
|||
Total expenses |
4.23 %
|
4.20 %
|
4.17 %
|
4.18 %
|
|||
Net investment income (loss)(2),(4) |
(4.12)%
|
(3.38)%
|
(3.89)%
|
(3.77)%
|
Total returns are calculated based on the change in value of a unit during the period. An individual partner's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.
|
|
(1) |
Net investment income (loss) per unit and offering costs per unit 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 |
THE CAMPBELL FUND TRUST |
FINANCIAL HIGHLIGHTS |
For the Three Months and Nine Months Ended September 30, 2011 and 2010 (Unaudited) |
Series W
|
|||||||
Three Months Ended September 30, |
Nine Months Ended September 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 |
$2,544.93
|
$2,303.59
|
$2,679.48
|
$2,399.89
|
|||
Income (loss) from operations: | |||||||
Total net trading gains (losses) (1) |
118.83
|
211.45
|
21.63
|
148.50
|
|||
Net investment income (loss)(1) |
(17.62)
|
(10.83)
|
(48.33)
|
(38.37)
|
|||
Total net income (loss) from operations |
101.21
|
200.62
|
(26.70)
|
110.13
|
|||
Offering costs (1) |
(3.43)
|
(2.98)
|
(10.07)
|
(8.79)
|
|||
Net asset value per unit at end of period |
$2,642.71
|
$2,501.23
|
$2,642.71
|
$2,501.23
|
|||
Total Return (3) |
3.84 %
|
8.58 %
|
(1.37)%
|
4.22 %
|
|||
Supplemental Data | |||||||
Ratios to average net asset value: | |||||||
Expenses prior to performance fee (4) |
2.68 %
|
2.70 %
|
2.60 %
|
2.67 %
|
|||
Performance fee (3) |
0.01 %
|
0.00 %
|
0.01 %
|
0.00 %
|
|||
Total expenses |
2.69 %
|
2.70 %
|
2.61 %
|
2.67 %
|
|||
Net investment income (loss)(2),(4) |
(2.57)%
|
(1.87)%
|
(2.35)%
|
(2.21)%
|
Total returns are calculated based on the change in value of a unit during the period. An individual partner's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.
|
|
(1) |
Net investment income (loss) per unit and offering costs per unit 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 |
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2011 (Unaudited)
|
Note 1.
|
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
|
A. General Description of the Trust
|
|
The Campbell Fund Trust (the Trust) is a Delaware statutory trust which operates as a commodity investment pool. The Trust engages in the speculative trading of futures contracts and forward currency contracts. Prior to September 2011, the Trust also traded 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 on a liquidation basis, 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 the 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 May 31, 2011, the Trust did not have any Level 3 assets or liabilities.
In January 2010, the FASB issued Accounting Standards Update No. 2010-06 ("ASU 2010-06") for improving disclosure about fair value measurements. ASU 2010-06 adds new disclosure requirements about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. As of January 1, 2010, the Trust adopted the provisions of ASC 2010-06 except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which were adopted as of January 1, 2011. The adoption of the remaining provisions 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 September 30, 2011 and December 31, 2010.
|
Fair Value at September 30, 2011
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Fixed income securities
|
$ | 0 | $ | 279,654,771 | $ | 0 | $ | 279,654,771 | ||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
1,746,630 | 0 | 0 | 1,746,630 | ||||||||||||
Forward currency contracts
|
0 | (10,908,308 | ) | 0 | (10,908,308 | ) | ||||||||||
Total
|
$ | 1,746,630 | $ | 268,746,463 | $ | 0 | $ | 270,493,093 |
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 2011 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 September 30, 2011 and December 31, 2010, the amount of unreimbursed offering costs incurred by Campbell & Company is $2,787,901 and $2,712,914 for Series A units and $575,642 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. It does not require additional fair value measurements and is 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.
|
|
Note 2. |
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR
|
The managing operator of the Trust is Campbell & Company which conducts and manages the business of the Trust. Campbell & Company is also the commodity trading advisor of the Trust.
Series A units and Series B units pay the managing operator a monthly management fee equal to 1/12 of 4% (4% annually) of the Net Assets (as defined) of Series A units and Series B units, respectively, as of the end of each month. Series W units pay the managing operator a monthly management fee equal to 1/12 of 2% (2% annually) of the Net Assets (as defined) of Series W units as of the end of each month. Each Series of units will pay the managing operator a quarterly performance fee equal to 20% of the aggregate cumulative appreciation in Net Asset Value per Unit (as defined) exclusive of appreciation attributable to interest income on a Series-by-Series basis.
|
The performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark). In determining the management fee and performance fee (the fees), adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The fees are typically paid in the month following the month in which they are earned. The fees are paid from the available cash at the Trust's bank, broker or cash management custody accounts.
|
|
Note 3. |
TRUSTEE
|
The trustee of the Trust is U.S. Bank National Association, a national banking corporation. The trustee has delegated to the managing operator the duty and authority to manage the business and affairs of the Trust and has only nominal duties and liabilities with respect to the Trust.
|
|
Note 4. |
CASH MANAGER AND CUSTODIAN
|
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.
|
|
Note 5. |
SERVICE FEE
|
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.
|
|
Note 6. |
DEPOSITS WITH BROKER
|
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.
|
|
Note 7. |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
|
Investments in the Trust are made by subscription agreement, subject to acceptance by Campbell & Company.
The Trust is not required to make distributions, but may do so at the sole discretion of Campbell & Company. A unitholder may request and receive redemption of units owned, subject to restrictions in the Declaration of Trust and Trust Agreement. Units are transferable, but no market exists for their sale and none is expected to develop. Monthly redemptions are permitted upon ten (10) business days' advance written notice to Campbell & Company.
Redemption fees, which are paid to Campbell & Company, apply to Series A units through the first twelve month-ends following purchase (the month-end as of which the unit is purchased is counted as the first month-end) as follows: 1.833% of Net Asset Value per unit redeemed through the second month-end, 1.666% of Net Asset Value per unit redeemed through the third month-end, 1.500% of Net Asset Value per unit redeemed through the fourth month-end, 1.333% of Net Asset Value per unit redeemed through the fifth month-end, 1.167% of Net Asset Value per unit redeemed through the sixth month-end, 1.000% of Net Asset Value per unit redeemed through the seventh month-end, 0.833% of Net Asset Value per unit redeemed through the eight month-end, 0.667% of Net Asset Value per unit redeemed through the ninth month-end, 0.500% of Net Asset Value per unit redeemed through the tenth month-end, 0.333% of Net Asset Value per unit redeemed through the eleventh month-end and 0.167% of Net Asset Value per unit redeemed through the twelfth month end. For the nine months ended September 30, 2011 and 2010, Campbell & Company received redemption fees of $4,301 and $1,428, respectively.
|
|
Note 8. |
TRADING ACTIVITIES AND RELATED RISKS
|
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 Trusts 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 September 30, 2011 and December 31, 2010 was $28,999,968 and $61,998,650, respectively, which equals 8% and 18% of Net Asset Value, respectively. The cash deposited with interbank market makers at September 30, 2011 and December 31, 2010 was $2,770,576 and $15,795,395, respectively, which equals 1% and 5% of Net Asset Value, respectively. Included in cash deposits with the broker and interbank market maker at September 30, 2011 and December 31, 2010 was restricted cash for margin requirements of $21,996,093 and $0 respectively, which equals 6% 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 market value of the contracts. 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 adopted ASC 815 Derivatives and Hedging as of January 1, 2009. 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 September 30, 2011 and December 31, 2010 is as follows:
|
Type of Instrument*
|
Statement of Financial
Condition Location
|
Asset
Derivatives at
September 30, 2011
Fair Value
|
Liability
Derivatives at
September 30, 2011
Fair Value
|
Net
|
||||||||||
Agricultural Contracts
|
Equity in broker trading accounts
|
$ | 1,860,385 | $ | (1,288,353 | ) | $ | 572,032 | ||||||
Energy Contracts
|
Equity in broker trading accounts
|
1,009,119 | (1,006,723 | ) | 2,396 | |||||||||
Metal Contracts
|
Equity in broker trading accounts
|
10,066,868 | (6,196,881 | ) | 3,869,987 | |||||||||
Stock Indices Contracts
|
Equity in broker trading accounts
|
482,469 | (816,303 | ) | (333,834 | ) | ||||||||
Short-Term Interest Rate Contracts
|
Equity in broker trading accounts
|
59,547 | (881,968 | ) | (822,421 | ) | ||||||||
Long-Term Interest Rate Contracts
|
Equity in broker trading accounts
|
423,574 | (1,965,104 | ) | (1,541,530 | ) | ||||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on forward currency contracts
|
27,021,207 | (37,929,515 | ) | (10,908,308 | ) | ||||||||
Totals
|
$ | 40,923,169 | $ | (50,084,847 | ) | $ | (9,161,678 | ) | ||||||
* Derivatives not designated as hedging instruments under ASC 815
|
Type of Instrument*
|
Statement of Financial
Condition Location
|
Asset
Derivatives at
December 31, 2010
Fair Value
|
Liability
Derivatives at
December 31, 2010
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 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
|
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 periods ended September 30, 2011 and 2010 is as follows: |
Type of Instrument
|
Trading Revenue for
the Three Months Ended
September 30, 2011
|
Trading Revenue for
the Three Months Ended
September 30, 2010
|
||||||
Agricultural Contracts
|
$ | (9,020,457 | ) | $ | 9,363,611 | |||
Energy Contracts
|
(5,084,181 | ) | (5,448,085 | ) | ||||
Metal Contracts
|
3,182,922 | 4,435,036 | ||||||
Stock Indices Contracts
|
(6,513,952 | ) | 2,155,658 | |||||
Short-Term Interest Rate Contracts
|
10,718,343 | 2,071,617 | ||||||
Long Term Interest Rate Contracts
|
38,353,446 | 10,444,761 | ||||||
Forward Currency Contracts
|
(15,294,359 | ) | 5,537,973 | |||||
Purchased Options on Forward Currency Contracts
|
(2,271,933 | ) | (2,381,140 | ) | ||||
Written Options on Forward Currency Contracts
|
2,206,999 | 1,939,946 | ||||||
Total
|
$ | 16,276,828 | $ | 28,119,377 |
Type of Instrument
|
Trading Revenue for
the Nine Months Ended
September 30, 2011
|
Trading Revenue for
the Nine Months Ended
September 30, 2010
|
||||||
Agricultural Contracts
|
$ | (13,683,913 | ) | $ | 8,825,418 | |||
Energy Contracts
|
(4,155,372 | ) | (18,441,525 | ) | ||||
Metal Contracts
|
(1,135,027 | ) | (630,117 | ) | ||||
Stock Indices Contracts
|
(18,688,736 | ) | (19,894,233 | ) | ||||
Short-Term Interest Rate Contracts
|
2,642,139 | 22,676,527 | ||||||
Long Term Interest Rate Contracts
|
50,328,924 | 24,726,967 | ||||||
Forward Currency Contracts
|
(6,331,984 | ) | 4,145,719 | |||||
Purchased Options on Forward Currency Contracts
|
(11,630,929 | ) | (8,783,976 | ) | ||||
Written Options on Forward Currency Contracts
|
6,369,264 | 6,524,952 | ||||||
Total
|
$ | 3,714,366 | $ | 19,149,732 |
Line Item in the Statement of Operations
|
Trading Revenue for
the Three Months Ended
September 30, 2011
|
Trading Revenue for
the Three Months Ended
September 30, 2010
|
||||||
Futures trading gains (losses):
|
||||||||
Realized
|
$ | 23,003,210 | $ | 13,587,044 | ||||
Change in unrealized
|
8,632,911 | 9,435,554 | ||||||
Forward currency and options on forward currency trading gains (losses):
|
||||||||
Realized
|
(4,836,926 | ) | (3,076,783 | ) | ||||
Change in unrealized
|
(10,522,367 | ) | 8,173,562 | |||||
Total
|
$ | 16,276,828 | $ | 28,119,377 |
Line Item in the Statement of Operations
|
Trading Revenue for
the Nine Months Ended
September 30, 2011
|
Trading Revenue for
the Nine Months Ended
September 30, 2010
|
||||||
Futures trading gains (losses):
|
||||||||
Realized
|
$ | 18,087,062 | $ | 2,828,050 | ||||
Change in unrealized
|
(2,779,047 | ) | 14,434,987 | |||||
Forward currency and options on forward currency trading gains (losses):
|
||||||||
Realized
|
4,415,564 | (5,726,522 | ) | |||||
Change in unrealized
|
(16,009,213 | ) | 7,613,217 | |||||
Total
|
$ | 3,714,366 | $ | 19,149,732 |
For the three months ended September 30, 2011 and 2010, the monthly average of futures contracts bought and sold was approximately 28,400 and 21,700 respectively, and the monthly average of notional value of forward currency and options on forward currency contracts was $2,959,700,000 and $2,685,550,000 respectively.
For the nine months ended September 30, 2011 and 2010, the monthly average of futures contracts bought and sold was approximately 24,500 and 20,500 respectively, and the monthly average of notional value of forward currency and options on forward currency contracts was $3,389,300,000 and $2,556,100,000 respectively.
Open contracts generally mature within twelve months; as of September 30, 2011, the latest maturity date for open futures contracts is September 2013, the latest maturity date for open forward currency contracts is December 2011. However, the Trust intends to close all futures and foreign currency contracts prior to maturity. There are no open options on forward currency contracts as of September 30, 2011.
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 precalculating "stop-loss" points at which systems will signal to close open positions. Campbell & Company controls the risk of the Trust's non-trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments.
Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Trust's assets at financial institutions and brokers which Campbell & Company believes to be credit worthy. The unitholder bears the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.
|
|
Note 9. |
INDEMNIFICATIONS
|
In the normal course of business, the Trust enters into contracts and agreements that contain a variety of representations and warranties which provide general indemnifications. The Trust's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. The Trust expects the risk of any future obligation under these indemnifications to be remote.
|
Note 10. |
INTERIM FINANCIAL STATEMENTS
|
The statements of financial condition, including the condensed schedules of investments, as of September 30, 2011 and December 31, 2010, the statements of operations and financial highlights for the three months and nine months ended September 30, 2011 and 2010, and the statements of cash flows and changes in unitholders' capital (Net Asset Value) for the nine months ended September 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 September 30, 2011, and the results of operations and financial highlights for the three months and nine months ended September 30, 2011 and 2010, and cash flows and changes in unitholders' capital (Net Asset Value) for the nine months ended September 30, 2011 and 2010. | |
Note 11. | SUBSEQUENT EVENTS |
Management of the Trust has evaluated subsequent events through the date the financial statements were filed. There are no subsequent events to disclose or record. |
Sector
|
% Gain (Loss)
|
|||
Commodities
|
(4.80 | )% | ||
Currencies
|
(2.76 | ) | ||
Interest Rates
|
13.99 | |||
Stock Indices
|
(5.34 | ) | ||
1.10 | % |
Sector
|
% Gain (Loss)
|
|||
Commodities
|
(2.93 | )% | ||
Currencies
|
0.73 | |||
Interest Rates
|
14.68 | |||
Stock Indices
|
(5.97 | ) | ||
6.51 | % |
September 30, 2011
|
||||||||||
Market Sector
|
Value at Risk*
|
Trading Gain/(Loss)**
|
||||||||
Commodities
|
0.72
|
%
|
(4.80
|
)%
|
||||||
Currencies
|
0.94
|
%
|
(2.76
|
)%
|
||||||
Interest Rates
|
1.28
|
%
|
13.99
|
%
|
||||||
Stock Indices
|
0.59
|
%
|
(5.34
|
)%
|
||||||
Aggregate/Total
|
1.61
|
%
|
1.10
|
%
|
||||||
*
|
— 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 nine months ended September 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
|
|
31.01
|
Certification of Stephen C. Roussin, 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 Stephen C. Roussin, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
|
32.02
|
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
|
101.01 |
The following financial statements from the Trust's Quarterly Report on Form 10-Q for the quarter ended September 30, 2011 formatted in XBRL (eXtensible Business Reporting Language); (i) Condensed Schedule of Investments; (ii) Statements of Financial Condition; (iii) Statements of Operations; (iv) Statements of Cash Flows; (v) Statements of Changes in Partners’ Capital (Net Asset Value); and (vi) Notes to Financial Statements.*
|
|
* | In accordance with Rule 406T of Regulation S-T, the XBRL related information in Exhibit 101.01 shall not be deemed to be “filed” for purposes of Section 11 and Section 12 of the Securities Act of 1933 and Section 18 of the Securities Exchange Act of 1934, or otherwise subject to liability under those sections. |
THE CAMPBELL FUND TRUST
(Registrant)
|
||||||
By:
|
Campbell & Company, Inc.
|
|||||
Managing Operator
|
||||||
Date: November 14, 2011
|
By:
|
/s/ Stephen C. Roussin
|
||||
Stephen C. Roussin
Chief Executive Officer |
Exhibit Number
|
Description of Document
|
|
31.01
|
Certification of Stephen C. Roussin, 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 Stephen C. Roussin, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
|
32.02
|
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
|
101.01 |
The following financial statements from the Trust's Quarterly Report on Form 10-Q for the quarter ended September 30, 2011 formatted in XBRL (eXtensible Business Reporting Language); (i) Condensed Schedule of Investments; (ii) Statements of Financial Condition; (iii) Statements of Operations; (iv) Statements of Cash Flows; (v) Statements of Changes in Partners’ Capital (Net Asset Value); and (vi) Notes to Financial Statements.*
|
|
* | In accordance with Rule 406T of Regulation S-T, the XBRL related information in Exhibit 101.01 shall not be deemed to be “filed” for purposes of Section 11 and Section 12 of the Securities Act of 1933 and Section 18 of the Securities Exchange Act of 1934, or otherwise subject to liability under those sections. |
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: November 14, 2011 | ||||
By:
|
/s/ Stephen C. Roussin
|
|||
Stephen C. Roussin
|
||||
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: November 14, 2011 | ||||
By:
|
/s/ Gregory T. Donovan
|
|||
Gregory T. Donovan
|
||||
Chief Financial Officer
Campbell & Company, Inc.
Managing Operator
The Campbell Fund Trust
|
||||
Date: November 14, 2011 |
THE CAMPBELL FUND TRUST
By: Campbell & Company, Inc., Managing Operator
|
|||
By:
|
/s/ Stephen C. Roussin
|
|||
Stephen C. Roussin
|
||||
Chief Executive Officer
|
||||
Date: November 14, 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 $) | Sep. 30, 2011 | Dec. 31, 2010 |
---|---|---|
Equity in broker trading accounts | ||
Fixed income securities, cost | $ 0 | $ 49,998,833 |
Fixed income securities, cost | 279,658,500 | 232,716,004 |
Options purchased, premiums paid | 0 | 1,091,379 |
LIABILITIES | ||
Options written, premiums received | $ 0 | $ 237,756 |
Series A Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, outstanding (in units) | 50,866.384 | 27,273.338 |
Series B Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Managing Operator, outstanding (in units) | 20.360 | 20.360 |
Other Unitholders, outstanding (in units) | 91,152.491 | 99,342.853 |
Series W Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, outstanding (in units) | 6,582.545 | 4,160.119 |
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