The Trust showed a gain during January as profits came from foreign exchange, interest rate, and commodity holdings while stock indexes provided small offsetting losses during the month. Foreign exchange positions from both trend following and non-trend strategies produced some of the best gains. Long US dollar positioning versus short commodity currencies, such as the Mexican peso, Canadian dollar, and South African rand, showed gains as the commodity sell-off continued, especially within the energy complex. Short positioning on the British pound versus the US dollar also benefitted as global growth concerns reduced the likelihood of a Bank of England interest rate hike and on heightened speculation of a UK exit from the European Union (the so-called "BREXIT"). Interest rate positions provided additional gains to the Trust during January, particularly from the non-trend systems. Long positioning on both long-dated and short-dated instruments experienced profits. The sharp sell-off in global stock indexes fueled safe-haven buying in interest rate products. In addition, ongoing dovish commentary from global central banks added to the upward price pressure. In fact, near month-end, the Bank of Japan adopted a new, and unexpected, negative interest rate policy that fueled additional buying of global interest rate markets. Some additional gains during the month came from commodity positions, with both trend and non-trend strategies contributing. Short positioning within the energy complex, namely on WTI and Brent, produced some of the best gains. Oil prices touched a 12-year low during the month as Iranian export sanctions were lifted which only added to the persistent oversupply within global markets as world demand continued to wane. Short positioning on copper returned profits as that metal saw lower prices amid ongoing economic weakness within China. A short position on gold produced some offsetting losses as risk-off sentiment produced safe-haven buying of the metal. Stock indexes showed losses as long positioning from the trend systems suffered amid the steep sell-off in equities as global growth concerns persisted to start the New Year.

February for the Trust comprised of profits from interest rate, commodity, and stock index holdings while foreign exchange positions provided some offsetting losses during the month. Interest rate positions provided some of the best gains to the Trust during February, particularly from the non-trend systems. Long positioning on long-dated instruments experienced profits, while short-dated products saw small losses. The best sector gains were found within Germany and the UK. Concerns about European bank stocks were a major contributor to the risk-off sentiment during February which provided a tailwind to interest rate markets in the region. Anxieties over a possible BREXIT also drove safe-haven buying. Additional gains during the month came from commodity positions, with both trend and non-trend strategies contributing. Shorts within the energy complex, namely on natural gas, produced some of the best gains. Natural gas prices fell to a 17-year low amid milder temperatures and abundant production. Short positioning on the grains, especially corn and wheat, benefitted when prices dropped due to weaker export sales and healthy global supplies. Short positions on gold and silver produced some offsetting sector losses as the risk-off environment produced safe-haven buying of those metals. Stock index holdings showed a very small gain. A short position on the Hang Seng index in Hong Kong was one of the best performing trades as that index fell amid ongoing concerns over the health of the Chinese economy. Foreign exchange positions from both trend following and non-trend strategies produced losses for the Trust. February saw some very choppy price action within the various currency pairs making for a difficult trading environment. The Trust was short the Japanese yen versus the US dollar and experienced losses when the yen strengthened despite the Bank of Japan's recent negative interest rate policy announcement. Trend following systems saw some offsetting gains from a short on the British pound as BREXIT concerns drove the currency to new multi-year lows.

The Trust declined in March due to losses driven by commodity positioning, while foreign exchange, interest rate and stock index holdings had only a slightly negative impact during the month. Commodity positions from both the trend and non-trend systems provided some of the biggest losses during March. Short positioning across the petroleum complex suffered when those markets moved higher in response to an OPEC announcement that the organization had scheduled a mid-April meeting to discuss output levels. Natural gas shorts hurt the Trust as well as that product rallied amid larger than expected inventory draws. Short holdings on the grain markets also led to losses with soybeans being one of the worst performers. Strong exports, political tensions in Brazil, and lower inventory projections were all behind the move higher. Coffee shorts also suffered as the political tensions in Brazil drove prices up. Foreign exchange positions added small additional losses. Long positioning on the Australian dollar produced profits as a dovish U.S. Federal Reserve and ultra-loose policies in Japan and Europe collectively boosted the appeal of higher yielding currencies. A short on the British pound produced some offsetting losses as that currency experienced an oversold bounce fueled in part by a more dovish US Fed. Interest rate holdings had a slightly negative impact on the monthly P&L. Price action during March was very choppy making it difficult for some systems to find and hold profitable trades. The first half of the month saw fixed income prices chop lower as stock prices moved higher. The second half of the month saw a sharp reversal higher as the US Fed took a more dovish than expected stance on interest rate policy. Stock index holdings also had only a slightly negative monthly P&L impact. Global equity indexes generally moved higher during March as commodity prices bounced and global central banks continued to provide an accommodative backdrop for stocks. The Trust held a mix of long and short holdings leading to offsetting gains and losses that left the sector nearly flat at month-end.

The Trust showed a decline in April as losses came from interest rate, commodity, stock index, and foreign exchange holdings. Interest rate holdings had the largest negative impact on the monthly P&L with both trend following and non-trend systems suffering. Fixed income prices saw a sharp reversal lower during the month which hurt long positioning within the Trust. Increasing inflation expectations amid a sharp bounce in crude oil prices, which have rallied over 60% from the decade-plus low seen in February, pushed interest rate yields higher and prices lower. Tentative signs that Chinese economic activity was beginning to stabilize only added to the downward pressure as money rotated to riskier assets, such as stocks and commodities. Commodity positions from both the trend and non-trend systems also provided losses to the Trust during April. Short positioning on the energies, industrial metals, soft commodities, and grain markets all contributed to the losses. Many markets in each of these sub-sectors saw sharp intra-month reversals to the upside fueled by short covering amid a revived "risk-on" environment. A weaker US dollar also contributed upward momentum to many of the dollar-denominated commodity markets. Some offsetting gains came from long positioning on silver which benefitted from the weaker US dollar and low inventory levels and short holdings on the cattle complex as those markets retreated on the back of slow seasonal demand and oversupply concerns. Stock index holdings showed a negative monthly P&L impact, especially from the trend models. Global equity indexes generally moved higher during April as commodity prices bounced and global central banks continued to provide an accommodative backdrop for stocks. Foreign exchange positions added additional losses. Short positioning on the British pound versus the US dollar showed losses when the pound strengthened as fears began to subside that the United Kingdom might vote to exit the European Union at a planned referendum in June (the so-called BREXIT).

Losses in commodities and foreign exchange leave the Trust with a decline in May, while interest rate and stock index holdings produced gains. Commodity positions from both the trend and non-trend models provided losses to the Trust. Long holdings on gold and silver both suffered as the US dollar strengthened during the month. Short positioning within the energy complex generated losses as the price of crude rallied on back of the supply and demand equilibrium showing tentative signs of rebalancing. In the meats, short cattle positions suffered as those markets rose amid signs of increased demand. Small offsetting profits were found within the grains sub-sector as a long soybean position profited due to strong US export sales and South American crop concerns. Foreign exchange positions from both the trend and non-trend systems also showed losses during May. After weakening for several months in a row, the US dollar steadily strengthened throughout most of the month hurting the Trust's short dollar positions against a variety of currencies. Front-end US yields repriced higher as the Fed reminded markets through multiple channels that all FOMC meetings going forward are "live" with respect to potential policy change, fueling US dollar strength. Interest rate holdings had one of the largest positive impacts on the monthly P&L with both trend following and non-trend systems showing gains. Long positioning on long-dated markets in Europe, Australia, and the UK produced some of the best gains. A mix of weaker economic data, dovish central bank actions, and concern over the late June UK referendum to leave the Euro-zone (i.e. "BREXIT") all helped to push prices higher in those regions during May. Stock index holdings showed a positive monthly P&L impact, especially from the non-trend models. The faster-reacting non-trend systems were able to successfully navigate the choppy price action seen in many of the global stock indexes. A short position on the S&P 500 volatility index benefitted from the general risk-on environment in the second half of the month which pushed that index sharply lower.

The Trust showed a profit in June as gains came from interest rate and commodity markets, while stock index and foreign exchange holdings produced some losses. Interest rate holdings had the largest positive impact on the monthly P&L with both trend following and non-trend systems showing gains. Long positions across global interest rate markets showed strong profits, especially within Europe. United Kingdom voters surprised and shocked markets worldwide with their decision to leave the European Union. The so-called BREXIT sparked a risk-off reaction globally, with government bond futures among the largest beneficiaries, as investors accepted record low bond yields in multiple markets in exchange for the safety of government paper. Commodity positions from the trend models provided some additional gains. Long positioning on the precious metals was one of the best performing sub-sectors. The flight to safety triggered by the UK BREXIT vote along with dampened expectations of additional US FOMC interest rate hikes this year pushed gold and silver prices sharply higher. The grains sub-sector contributed additional profits led by a long soybean holding which rose amid a bullish June crop report. Short positioning on natural gas produced some offsetting losses as lower average inventories, as calculated by the US EIA, helped contribute to a short squeeze in that market. Stock index holdings produced some of the largest monthly losses with both the trend following and non-trend systems contributing. Long global stock index exposure suffered from risk-off selling caused by the uncertainty that the UK BREXIT vote created. In addition, a short position on the CBOE volatility index future produced losses amid the sharp spike in volatility due to the UK referendum. Foreign exchange positions showed some small losses during June. Mixed FX positioning against the US dollar led to mostly offsetting gains and losses. Profits were seen on a long Japanese yen position which strengthened in a flight-to safety trade. Losses were produced by positioning on the Euro which saw choppy price action leading up to and after the surprising BREXIT decision.

The Trust showed a profit in July with gains from stock index, commodity, and interest rate markets, while foreign exchange holdings produced some small losses. Stock index holdings produced some of the largest monthly gains with both the trend following and non-trend systems contributing. Global equity markets shook off the fear and uncertainty created by the UK's decision to leave the European Union and produced strong gains during July. Long positioning within the Trust across global stock indexes benefitted from the higher prices with holdings in Australia, the UK, Canada, Germany, and Taiwan producing some of the best performance. Generally better than expected Q2 earnings results, attractive dividend yields, and the expectation that global central banks will keep rates lower for longer all offset terror attacks, a coup attempt in Turkey, and uncertainty over the US presidential election. Commodity positions from both the trend and non-trend models provided some additional gains to the Trust. Short positioning across the energy complex was profitable with both gasoline and WTI crude producing some of the best returns. Inventory reports during the month showed that supply was plentiful leading to lower prices. Precious metals added to gains within the sector as long positioning benefitted from a slightly weaker US dollar and ongoing accommodation from the US Federal Reserve. Some offsetting losses were produced within the grain sub-sector. A long position on soybeans suffered from weaker demand amid robust crop expectations. Interest rate holdings had a positive impact on the monthly P&L with trend following systems showing gains. Long positioning on long-dated interest rate markets produced some of the best profits. Holdings in Australia benefitted from an accommodative central bank that is grappling with persistently low inflation readings and uncertainty around the newly elected Prime Minister's effectiveness given his very narrow victory. Foreign exchange positioning produced small losses driven by non-trend following strategies. Choppy price action and a mix of long and short positioning versus the US dollar led to the muted P&L within the FX sector overall.

Decline in August came from losses primarily in commodity, foreign exchange, and interest rate positions, while stock index positions closed the month flat. Commodity holdings from the trend models provided some of the largest losses to the Trust. Positioning within the energy and precious metal sub-sectors caused a bulk of the damage. Short positioning within the energy complex suffered from concerns that OPEC might try to rein in production at an informal meeting scheduled for September which helped fuel a short squeeze. Long holdings on precious metals also caused losses as growing expectations for higher interest rates in the US led to a sell-off in both gold and silver. The Trust did receive some offsetting gains from a short position on wheat which saw its price decline to a 10-year low on abundant supply. Foreign exchange positions from both trend following and non-trend following strategies also showed losses during August. Some of the largest monthly losses were seen in the euro, Mexican peso, and Australian dollar (all versus the US dollar). Choppy price action in the euro and peso created a difficult environment for our systems to trade profitably. A multi-month uptrend in the Aussie dollar produced losses when that currency experienced a price reversal beginning in the middle of the month. Interest rate holdings had a negative impact on the monthly P&L with trend following and non-trend systems both showing losses. Long positioning, especially within the US, suffered from a better than expected July US employment report released early in the month. A growing stream of comments from US Federal Reserve members signaling their willingness to potentially raise interest rates at one of three remaining 2016 FOMC meetings also pressured interest rate markets lower, sending yields higher. Stock index P&L was relatively flat as a long position within Australia was hurt by a sell-off in the financial, mining, and telecommunication sectors. Some offsetting gains were found in a long position within Hong Kong which rose in value on better than expected earnings and amid the news that the long-planned stock-trading link between Hong Kong and China was officially approved.

Losses across all asset classes leave the Trust lower in September as interest rate holdings had a negative impact on the monthly P&L with trend following and non-trend systems both showing losses. Uncertainty and nervousness over central bank interest rate decisions drove global fixed income prices lower in the first half of September as the US Federal Reserve, the Bank of Japan, and the European Central Bank all made intra-month policy announcements. On balance, all three major central banks leaned more hawkish than expected, with the US FOMC indicating that one interest rate hike was likely before year-end. The Trust was hurt by long positioning on long-dated markets, especially within Australia, the US, and the UK. Commodity holdings from both non-trend and trend models provided additional losses. A surprise announcement from OPEC that the cartel had agreed to some production cuts sent the crude complex sharply higher, hurting short positioning. Oversold price bounces in corn and wheat hurt short positioning within the grains. Some offsetting gains were seen in the softs and meats. A continued trend higher in the price of sugar benefitted long positioning, while a drop in both hog and cattle prices was profitable for short holdings, as prices fell about 23% and 7%, respectively. Stock index holdings added to the monthly losses as the non-trend systems struggled to successfully trade choppy global equity index markets. Global stocks sold off in the first half of the month following bond prices lower as yields rose. Stocks then bounced once markets digested major central bank announcements, only to see prices fall on financial health concerns surrounding Deutsche Bank (DB). Prices then rebounded when headlines turned more positive on the outlook for DB near month-end. Foreign exchange positions from the non-trend following strategies showed small losses. The non-trend systems failed to successfully navigate a very choppy environment for many major currencies. Among the biggest P&L contributors, the Mexican peso produced gains, while the Canadian dollar and euro produced losses.

2015 (For the Nine Months Ending September 30)

Of the 2015 year-to-date decrease of (5.76)% for Series A, approximately (0.24)% was due to trading losses (before commissions) and approximately (5.79)% due to brokerage fees, management fees, performance fees, operating costs and offering costs, offset by approximately 0.27% due to investment income earned by Series A.

Of the 2015 year-to-date decrease of (5.37)% for Series B, approximately (0.24)% was due to trading losses (before commissions) and approximately (5.40)% due to brokerage fees, management fees, performance fees and operating costs, offset by approximately 0.27% due to investment income earned by Series B.

Of the 2015 year-to-date decrease of (4.55)% for Series W, approximately (0.24)% was due to trading losses (before commissions) and approximately (4.58)% due to brokerage fees, management fees, performance fees, service fees, operating costs and offering costs, offset by approximately 0.27% due to investment income earned by Series W.

During the nine months ended September 30, 2015, the Trust accrued management fees in the amount of $24,908,089 and paid management fees in the amount of $24,289,447. Performance fees were accrued in the amount of $13,671,976 and paid in the amount of $30,518,362.

An analysis of the (0.24)% gross trading losses for the Trust for the nine months ended September 30, 2015 by sector is as follows:

Sector	% Gain (Loss)
Commodities		(2.30)%
Currencies		3.47
Interest Rates		(1.44)
Stock Indices		0.03
		(0.24)%

The Trust had a strong start to 2015 with gains during January in all sectors - interest rates, commodities, foreign exchange, and stock indices. The largest gains for January came from long global interest rate positions driven by the trend-following strategies as interest rate products rallied during the month. Widespread deflationary concerns and slowing economic growth led to extraordinary central bank actions during the month. The European Central Bank (ECB) exceeded market expectations with their quantitative easing (QE) package and over ten other central banks eased financial conditions as well. Commodity positions were another source of profits during the month. Trend following strategies showed gains while non-trend programs produced some offsetting losses. Short energy exposure was one of the best performing sub-sectors as the sell-off across the energy complex continued unabated. Both WTI and Brent each lost more than 8% during the month. In the industrial metal sub-sector, short copper positioning was also a winner as slowing demand and growing inventories sent the price to a five year low. Precious metals produced the largest offsetting losses as shorts on silver and gold suffered from flight to safety buying during the month. Foreign exchange contributed additional gains, driven by the trend following systems. Long positioning in the U.S. dollar proved profitable, especially versus short the Canadian dollar and the euro. The Canadian central bank unexpectedly cut interest rates pushing their currency sharply lower. The ECB announced a larger than expected QE package that sent the euro down to levels not seen since 2003. Some offsetting losses were experienced in short Swiss franc positioning when the Swiss National Bank shocked global markets by suddenly removing its three-year old peg to the euro which sent the franc sharply higher. Stock index positioning from the trend following systems showed small additional gains during the month. Gains were found from long positioning in Europe and Canada where central bank easing provided a boost to equities in those regions.

February for the Trust comprised of losses in commodities, interest rates, and foreign exchange offset gains from stock indices. The largest losses came from short commodity positions driven by both trend-following and non-trend following strategies. Short energy exposure was one of the worst performing sub-sectors as the crude complex experienced a significant bounce during the month after a sharp six-month sell-off. Signs of falling production, refinery disruptions, and cold weather helped to squeeze prices higher. Grain positions added to losses as short positions in corn and wheat were hurt by stronger export sales. Some offsetting gains were found in the soft commodities. A short position in coffee experienced profits as improving weather in Brazil boosted prospects for an abundant harvest which weighed heavily on the product. Interest rate positions were another source of losses during the month. Trend following strategies showed declines while non-trend programs produced some offsetting gains. Long positioning within the United States and the United Kingdom produced some of the largest losses as better economic data, improving inflation trends, and less dovish central bank comments pressured markets lower. Foreign exchange contributed small additional losses. Short positioning on the British pound versus the U.S. dollar suffered from hawkish U.K. central bank comments on the back of stronger than expected economic data. Some offsetting gains came from short euro and short yen positions, both versus the U.S. dollar, as diverging central bank policy paths continue to provide opportunity for our strategies. Stock index positioning from both trend following and non-trend following systems showed strong gains during the month. Global profits were found from long positioning in the U.S., Japan, Australia, Europe, and Canada as a bounce in oil prices alleviated some fears around a global growth slowdown. Pockets of stronger than expected economic data linked with a tentative resolution to the Greek geopolitical crisis fed the risk-on sentiment for stocks.

Gains in foreign exchange and commodities led to a profitable March for the Trust as profits from foreign exchange, commodity, and interest rate holdings all contributed while stock index positions produced some offsetting losses during the month. The largest profits for March were provided by foreign exchange positions from both trend following and non-trend strategies. Short euro positioning versus the U.S. dollar was one of the best performing holdings. The euro continued to trade lower as the European Central Bank's unprecedented monetary stimulus contrasted sharply with the U.S. Federal Reserve, which many expect to raise interest rates later this year. The euro was also pressured lower as Greece struggles to secure bailout funds and avert a default. Other gains came from short positioning on several commodity currencies as the price of oil resumed its downward trend pulling those markets lower. Commodities were another source of profits during the month. Short positioning across the energy complex proved profitable as the sell-off in those markets began again amid new signs of global oversupply. A potential political agreement with Iran also threatened to dump even more supply on the already saturated market if Western sanctions are scaled back. Soft commodities were another source of gains. Short positioning on sugar and coffee produced profits as favorable growing weather increased expectations for plentiful supplies of those commodities. Small additional gains came from interest rate positions. Long positioning across long-dated global instruments continues to be the theme for positioning within this sector. Losses in Japan and Germany were more than offset by gains experienced in the United States, Australia, the United Kingdom, and Canada. Global stock indexes showed losses from both trend and non-trend strategies. Global stocks were mixed during March as some gains in Europe, helped by the ECB's quantitative easing program, were offset by losses in the U.S., U.K., Canada, and Australia hampered by a stronger U.S. dollar and falling global commodity prices.

The Trust showed a decline in April as losses from foreign exchange, interest rate, and commodity holdings all contributed to the decline while stock index positions produced some offsetting gains during the month. Some of the largest losses for April were produced by foreign exchange positions from both trend following and non-trend following strategies. Short euro positioning versus the U.S. dollar was one of the worst performing holdings. The euro moved higher as weaker U.S. economic data suggested that the U.S. Fed will hold off on an interest rate hike longer than expected. A calming of concern around the solvency of Greece also helped to boost the euro. Faster reacting non-trend models showed some offsetting gains in the British pound as that currency reversed higher during the month on hawkish U.K. central bank comments and an improvement in sentiment around their upcoming elections. Interest rates were another source of losses during the month. Long positioning across long-dated fixed income instruments provided most of the declines as global interest rate products sold-off. Losses in Australia stemmed from hawkish central bank comments and some surprisingly strong economic data. Concern over ultra-low interest rate yields in Germany linked with bearish comments from several prominent asset managers caused those bond prices to fall. Additional declines came from commodity positions. Short positioning across the energy complex was hurt by rising prices as supply concerns eased and the weaker U.S. dollar was supportive to prices. Trading in soft commodities, namely sugar and coffee, also produced losses. Non-trend strategies produced some offsetting gains within the industrial metals sub-sector. Long metals positions benefitted from a weaker U.S. dollar and new Chinese stimulus measures which helped to push those markets higher. Global stock indices showed gains from the trend strategies. Long positioning on the Hang Seng index in Hong Kong was one of the best performing holdings during the month as the index rose almost 13%. Hong Kong shares rose sharply when Chinese regulators allowed mutual funds to buy shares in companies included in the index.

The Trust showed a decline in May as losses from interest rate and commodity holdings were only partially offset by gains from foreign exchange and stock index positions, leaving the portfolio lower on the month. Some of the largest losses were produced by interest rate positions from both trend following and non-trend strategies. Long positioning across long-dated interest rate products suffered when well established trends sharply reversed during the month. Some of the largest losses were seen in Germany and Australia. The German sell-off, which spilled over into other global interest rate markets, was primarily driven by technical factors, including liquidity and positioning. Australia saw some stronger than expected economic data, which put pressure on their interest rate markets. Additional declines came from commodity positions within trend following as non-trend strategies showed some smaller offsetting gains in the sector. One of the worst performing sub-sectors was industrial metals. Long positioning on copper and zinc suffered from a strengthening U.S. dollar and additional signs of an economic slowdown in China. Long positioning on precious metals also suffered from the stronger dollar. Some offsetting gains came from the grain sub-sector. Shorts on both corn and soybeans profited from a drop in prices due to steady planting progress. Some of the best gains during May were within foreign exchange holdings where both trend following and non-trend strategies showed profits. Short positioning on the Japanese yen versus the U.S. dollar was one of the biggest gains. The yen weakened to a 12-year low versus the dollar. After a soft first quarter, data suggested that the U.S. economy was starting to accelerate leading to speculation that the U.S. Federal Reserve could raise interest rates later this year for the first time since 2006. Global stock indices also showed gains with both the trend and non-trend strategies contributing. Long positioning on the Japanese Nikkei 225 index produced some of the largest sector gains. Japanese stocks rose steadily throughout the month as the falling yen provided a strong tailwind for stocks.

The Trust showed a sharp decline in June as losses from commodity, stock index, foreign exchange, and interest rate holdings left the Trust lower on the month. Some of the largest losses were produced by commodity positions from both trend following and non-trend strategies. Short positioning on various grain markets proved unprofitable. Corn, wheat, and soybean futures rose sharply due to crop concerns amid heavy rainfall in the Midwest. These moves were exacerbated by significant short covering in the marketplace. Energy markets also contributed to losses. A short natural gas holding was hurt by signs of slowing production growth, stronger power burns, and a slowing pace of storage builds which sent the market higher. Soft commodities showed losses as short positioning on coffee suffered from higher prices amid improved demand prospects and a lowered Brazilian output forecast. Additional declines came from stock index positions within both trend following and non-trend following systems. The Trust was generally positioned long global stocks during the month, with an emphasis on the U.S. and Japan. A lack of positive progress on the Greek financial crisis near month-end caused a bout of "risk-off" selling which sent all global stock markets sharply lower leading to losses. Foreign exchange positioning also detracted from performance as both trend and non-trend strategies saw declines. A short New Zealand dollar position proved to be a profitable trade given the continued downtrend, but most of the other currencies in the Trust saw negative performance due to choppy, directionless trading. In interest rate markets non-trend strategies provided some partially offsetting gains to the losses encountered by the trend systems. Global bond markets experienced some very choppy price action that was difficult for the trend systems to navigate. For example, in the U.S. interest rate markets were under pressure early in the month after some better than expected economic data. These markets then sharply reversed to the upside later in June driven by safe haven buying amid the worsening Greek financial crisis and the uncertainty that it fueled.

The Trust showed a gain in July as profits from commodity and foreign exchange positions more than offset losses experienced on stock index and interest rate holdings. Some of the largest gains were produced by commodity positions from both trend following and non-trend strategies. Short positioning within precious metals was one of the most profitable trades during the month. Gold and silver both fell sharply amid the ongoing strength of the US dollar. Demand for gold by the Chinese government was shown to be much weaker than expected, sending the metal to its lowest level in five years. Short holdings on the industrial metals, namely copper, also proved profitable. Copper fell sharply amid growing concerns over the health of the Chinese economy. The Trust experienced some offsetting losses in the grains. A long position in wheat suffered as the commodity experienced a harsh sell-off due to healthy crop expectations and continued US export weakness. Additional profits during the month came from foreign exchange positions, especially within the trend following systems. Short positioning on the Australian dollar, Canadian dollar, and New Zealand dollar, commonly referred to as "commodity currencies," all proved profitable. The global commodity weakness seen during July, as evidenced by a more than 14% decline in the S&P GSCI Index, a measure of a basket of 24 commodities, pressured all these currencies lower. Stock index positioning detracted from performance as both trend and especially non-trend strategies saw declines. Short-term non-trend models struggled to successfully navigate several risk-on / risk-off shifts in the equity markets. The Greek financial crisis provided some of the market moving news as headlines shifted from dire to hopeful. Interest rate positions showed a decline during the month as losses from trend following strategies overwhelmed gains from non-trend systems. The Greek crisis proved to be a major driver of interest rate markets, in addition to ongoing expectations that the U.S. Federal Reserve is getting closer to its first interest rate hike in years.

The Trust had offsetting gains and losses in August as profits from commodity positions were offset by losses in interest rate positions. Foreign exchange and stock index holdings had little positive or negative impact on the Trust. Some of the largest gains were produced by commodity positions from trend following systems as non-trend strategies showed some losses in the sector. Short holdings on the industrial metals, namely zinc, nickel, and aluminum, were some of the largest gainers amid growing concern that the Chinese economy is in worse shape than previously thought. China is a huge consumer of these metals. Short positions within the energy sub-sector also proved to be profitable trades during the month with Brent and WTI among the best gainers. Chinese growth concerns coupled with ongoing abundant petroleum supplies conspired to put downward pressure on prices. The Trust experienced some offsetting losses in the precious metals and soft commodities. A short position from gold suffered from flight to safety buying amid a sharp decline in global equities. A short holding on coffee was hurt in the first half of the month amid concerns surrounding smaller bean sizes in Brazil. Foreign exchange was relatively flat for August. Short positioning on the Canadian, New Zealand, and Australian dollars, commonly referred to as "commodity currencies," proved profitable. The Chinese economic slowdown was the catalyst for the sell-off in these markets. Offsetting losses were incurred by positioning in the Euro, Japanese yen, and Swedish krona. Stock index positioning had little impact on monthly performance. Shorter-term, faster reacting non-trend strategies showed gains in the sector while trend following systems with longer-term, slower indicators showed offsetting losses. Poor Chinese economic data linked with their surprising currency devaluation sent global stocks sharply lower. Interest rate positions showed a small decline during the month as losses from non-trend strategies overwhelmed gains from trend following systems. Interest rate markets experienced choppy price action amid risk-off / risk-on buying and selling plus continued uncertainty over the timing of the first U.S. Federal Reserve rate hike in some nine years.

The Trust showed a gain in September as profits from commodity and foreign exchange positions were the primary drivers during the month, although both fixed income and stock index holdings also contributed positively to the month's profits. The commodity sector produced gains during the month primarily driven by non-trend systems. Some of the best gains were found in short positioning on natural gas, WTI, and Brent. Natural gas sold off on inventory builds along with moderating power demand. Both WTI and Brent resumed their sell-offs as supplies remained robust while demand, especially from China, continued to show signs of slowing. A short position on live cattle was also a standout gainer as prices fell amid lower exports and increased supplies. Some partially offsetting losses were experienced in the sector from the precious metal and grain markets. Choppy price action for silver produced losses as the strategies failed to find successful trades. Short positions on both corn and wheat produced losses as those prices rose amid a variety of more bullish news. Additional gains were produced by foreign exchange positions from trend following systems as non-trend strategies showed some losses in the sector. Short holdings on the Canadian dollar, Norwegian krone, and Australian dollar (all versus the US dollar) were some of the most profitable trades during the month. A renewed sell-off in the energy complex linked with softness in commodity prices overall, helped to drag these currencies lower benefitting the Trust's short positioning. Interest rate positions also added to profits as trend strategies overwhelmed losses from non-trend following systems. Long positioning on German and Japanese long-dated fixed income produced some of the best gains. Buying seen in these markets was driven by safe haven demand amidst the slump in stock prices. Stock index positioning added a small gain to monthly performance. Shorter-term, faster reacting non-trend strategies experienced gains in the sector while trend following systems produced small losses. Global growth concerns plus several bearish, high-profile stock-specific news items, weighed on equities throughout the month.

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Introduction

Past Results Not Necessarily Indicative of Future Performance

The Trust is a speculative commodity pool. The market sensitive instruments held by it 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.

Market movements result in frequent changes in the fair market 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 market 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.

The Trust rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Trust's past performance is not necessarily indicative of its future results.

Standard of Materiality

Materiality as used in this section, "Quantitative and Qualitative Disclosures About Market Risk," is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage and multiplier features of the Trust's market sensitive instruments.

Quantifying the Trust's Trading Value at Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Trust's market risk exposures contain "forward-looking statements" within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact (such as the dollar amount of maintenance margin required for market risk sensitive instruments held at the end of the reporting period).

The Trust's risk exposure in the various market sectors traded is estimated in terms of Value at Risk (VaR). The Trust estimates VaR using a model based upon historical simulation (with a confidence level of 97.5%) which involves constructing a distribution of hypothetical daily changes in the value of a trading portfolio. The VaR model takes into account linear exposures to risks, including equity and commodity prices, interest rates, foreign exchange rates, and correlation among these variables. The hypothetical changes in portfolio value are based on daily percentage changes observed in key market indices or other market factors to which the portfolio is sensitive. The Trust's VaR at a one day 97.5% confidence level corresponds to the negative change in portfolio value that, based on observed market risk factors, would have been exceeded once in 40 trading days or one day in 40. VaR typically does not represent the worst case outcome.

The Trust uses approximately one quarter of daily market data and revalues its portfolio for each of the historical market moves that occurred over this time period. This generates a probability distribution of daily "simulated profit and loss" outcomes. The VaR is the 2.5 percentile of this distribution.

The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The current methodology used to calculate 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.

The Trust's VaR computations are based on the risk representation of the underlying benchmark for each instrument or contract and does not distinguish between exchange and non-exchange dealer-based instruments. It is also not based on exchange and/or dealer-based maintenance margin requirements.

VaR models, including the Trust's, are continually evolving as trading portfolios become more diverse and modeling techniques and systems capabilities improve. Please note that the VaR model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by the Trust in its daily risk management activities. Please further note that VaR as described above may not be comparable to similarly titled measures used by other entities.

Because the business of the Trust is the speculative trading of futures and forwards, the composition of the Trust's trading portfolio can change significantly over any given time period, or even within a single trading day, which could positively or negatively materially impact market risk as measured by VaR.

The Trust's Trading Value at Risk in Different Market Sectors

The following tables indicate the trading Value at Risk associated with the Trust's open positions by market category as of September 30, 2016 and December 31, 2015 and the trading gains/losses by market category for the nine months ended September 30, 2016 and the year ended December 31, 2015.

	September 30, 2016
Market Sector	Value at Risk*		Trading Gain/(Loss)**
Commodities		0.62%		(5.93)%
Currencies		0.38%		(2.49)%
Interest Rates		0.64%		4.64 %
Stock Indices		0.81%		(1.43)%
Aggregate/Total		1.62%		(5.21)%

– The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Trust's open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes

**	– Represents the gross trading for the Trust for the nine months ended September 30, 2015.

Of the (8.50)% year to date return for Series A, approximately (5.21)% was due to trading losses (before commissions) and approximately (3.92)% due to brokerage fees, management fees, operating costs and offering costs, offset by approximately 0.63% due to investment income earned by Series A.

Of the (8.16)% year to date return for Series B, approximately (5.21)% was due to trading losses (before commissions) and approximately (3.58)% due to brokerage fees, management fees and operating costs, offset by approximately 0.63% due to investment income earned by Series B.

Of the (7.28)% year to date return for Series W, approximately (5.21)% was due to trading losses (before commissions) and approximately (2.70)% due to brokerage fees, management fees, service fees, operating costs and offering costs, offset by approximately 0.63% due to investment income earned by Series W.

	December 31, 2015
Market Sector	Value at Risk*		Trading Gain/(Loss)**
Commodities		0.91%		1.83 %
Currencies		0.61%		3.08 %
Interest Rates		0.66%		(4.01)%
Stock Indices		0.36%		(0.83)%
Aggregate/Total		1.82%		0.07 %

**	– Represents the gross trading for the Trust for the year ended December 31, 2015.

Of the (6.71)% return for year ended 2015 for Series A, approximately (7.13)% was due to brokerage fees, management fees, performance fees, offering costs and operating costs borne by Series A, offset by approximately 0.07% due to trading gains (before commissions) and approximately 0.35% due to investment income.

Of the (6.21)% return for year ended 2015 for Series B, approximately (6.63)% due to brokerage fees, management fees, performance fees and operating costs borne by Series B, offset by approximately 0.07% due to trading gains (before commissions) and approximately 0.35% due to investment income.

Of the (5.09)% return for year ended 2015 for Series W, approximately (5.51)% due to brokerage fees, management fees, performance fees, service fees, offering costs and operating costs borne by Series W, offset by approximately 0.07% due to trading gains (before commissions) and approximately 0.35% due to investment income.

Material Limitations on Value at Risk as an Assessment of Market Risk

The following limitations of VaR as an assessment of market risk should be noted:

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.

VaR is not necessarily representative of historic risk nor should it be used to predict the Trust's future financial performance or its ability to manage and monitor risk. There can be no assurance that the Trust's actual losses on a particular day will not exceed the VaR amounts indicated or that such losses will not occur more than once in 40 trading days.

Non-Trading Risk

The Trust has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Trust also has non-trading market risk as a result of investing a portion of its available assets in U.S. Treasury Bills held at the broker and over-the-counter counterparty. The market risk represented by these investments is minimal. Finally, the Trust has non-trading market risk on fixed income securities held as part of its cash management program. The cash manager will use its best endeavors in the management of the assets of the Trust but provide no guarantee that any profit or interest will accrue to the Trust as a result of such management.

Qualitative Disclosures Regarding Primary Trading Risk Exposures

The following qualitative disclosures regarding the Trust's market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Trust manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Trust's primary market risk exposures as well as the strategies used and to be used by Campbell & Company for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Trust's risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Trust. There can be no assurance that the Trust's current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Trust.

The following represent the primary trading risk exposures of the Trust as of September 30, 2016 by market sector.

Currencies

The Trust's currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Trust trades in a large number of currencies, including cross-rates — i.e., positions between two currencies other than the U.S. Dollar. Campbell & Company does not anticipate that the risk profile of the Trust's currency sector will change significantly in the future.

Interest Rates

Interest rate movements directly affect the price of the sovereign bond positions held by the Trust and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Trust's profitability. The Trust's primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. Campbell & Company anticipates that G-7 interest rates will remain the primary rate exposure of the Trust for the foreseeable future. Changes in the interest rate environment will have the most impact on longer dated fixed income positions, at points of time throughout the year the majority of the speculative positions held by the Trust may be held in medium to long-term fixed income positions.

Stock Indices

The Trust's primary equity exposure is to equity price risk in the G-7 countries as well as Australia, Hong Kong, Singapore, Spain, Taiwan, Netherlands, India, South Africa and Sweden. The stock index futures traded by the Trust are by law limited to futures on broadly based indices. The Trust is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices. Markets that trade in a narrow range could result in the Trust's positions being "whipsawed" into numerous small losses.

Energy

The Trust's primary energy market exposure is to natural gas, crude oil and derivative product price movements often resulting from international political developments and ongoing conflicts in the Middle East and the perceived outcome. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Metals

The Trust's metals market exposure is to fluctuations in the price of aluminum, copper, gold, nickel, palladium, platinum, silver and zinc.

Agricultural

The Trust's agricultural exposure is to fluctuations of the price of cattle, cocoa, coffee, corn, cotton, hogs, soy, sugar and wheat.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Trust as of September 30, 2016.

Foreign Currency Balances

The Trust's primary foreign currency balances are in Australian Dollar, British Pounds, Canadian Dollar, Euros, Hong Kong Dollar, Japanese Yen, Singapore Dollar, South African Rand and Swedish Krona. The Trust controls the non-trading risk of these balances by regularly converting these balances back into dollars (no less frequently than twice a month, and more frequently if a particular foreign currency balance becomes unusually large).

Fixed Income Securities and Short Term Investments

The Trust's primary market exposure in instruments (other than treasury positions described in the subsequent section) held other than for trading is in its fixed income portfolio. The cash manager, PNC, has authority to make certain investments on behalf of the Trust. All securities purchased by the cash manager on behalf of the Trust will be held in the Trust's custody account at the custodian. The cash manager will use its best endeavors in the management of the assets of the Trust but provides no guarantee that any profit or interest will accrue to the Trust as a result of such management.

U.S. Treasury Bill Positions Held for Margin Purposes

The Trust also has market exposure in its U.S. Treasury Bill portfolio. The Trust holds U.S. Treasury Bills with maturities no longer than six months. Violent fluctuations in prevailing interest rates could cause minimal mark-to-market losses on the Trust's U.S. Treasury Bills, although substantially all of these short-term investments are held to maturity.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

The means by which the Trust and Campbell & Company, severally, 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.

General

The Trust is unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations. From time to time, certain regulatory agencies have proposed increased margin requirements on futures contracts. Because the Trust generally will use a small percentage of assets as margin, the Trust does not believe that any increase in margin requirements, as proposed, will have a material effect on the Trust's operations.

Item 4. Controls and Procedures

Campbell & Company, the managing operator of the Trust, with the participation of the managing operator's chief executive officer and chief financial officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in the Securities Exchange Act of 1934 Rules 13a-15(e) or 15d-15(e)) with respect to the Trust as of the end of the period covered by this annual report. Based on their evaluation, the chief executive officer and chief financial officer have concluded that these disclosure controls and procedures are effective. Effective January 1, 2015, Northern Trust Hedge Fund Services LLC became the Administrator of the Trust. The Administrator's primary responsibilities are portfolio accounting and fund accounting services. The general partner maintains a full shadow set of books which are periodically reconciled to the Administrator. There were no changes in the managing operator's internal control over financial reporting applicable to the Trust identified in connection with the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or 15d-15 that occurred during the last fiscal quarter that have materially affected, or is reasonably likely to materially affect, internal control over financial reporting applicable to the Trust.

PART II - OTHER INFORMATION

Item 1. Legal Proceedings.

None

Item 1A. Risk Factors.

None

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

None

Item 3. Defaults Upon Senior Securities.

Not applicable

Item 4. Mine Safety Disclosures.

Not applicable

Item 5. Other Information.

None

Item 6. Exhibits.

Exhibit Number		Description of Document

3.01		Articles and Plan of Merger of the Campbell Fund Limited Partnership with and into the Registrant dated January 2, 1996 ⁽¹⁾

3.02		Amended and Restated Declaration of Trust and Trust Agreement of the Registrant dated February 3, 2010 ⁽²⁾

10.01		Advisory Agreement between the Registrant and Campbell & Company, LP ⁽¹⁾

10.02		Global Institutional Master Custody Agreement⁽²⁾

31.01		Certification of G. William Andrews, 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 G. William Andrews, 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		Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments September 30, 2016 and December 31, 2015, (ii) Statements of Financial Condition September 30, 2016 and December 31, 2015, (iii) Statements of Operations For the Three and Nine Months Ended September 30, 2016 and 2015, (iv) Statements of Cash Flows For the Nine Months Ended September 30, 2016 and 2015, (v) Statements of Changes in Partners' Capital (Net Asset Value) For the Nine Months Ended September 30, 2016 and 2015, (vi) Financial Highlights For the Three and Nine Months Ended September 30, 2016 and 2015, (vii) Notes to Financial Statements.

(1) Incorporated by reference to the respective exhibit to the Registrant's Form 10 filed on April 30, 2003.

(2) Incorporated by reference to the respective exhibit to the Registrant's Form 10-Q filed on August 15, 2011.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	THE CAMPBELL FUND TRUST (Registrant)

	By:	Campbell & Company, LP
		Managing Operator

Date: November 14, 2016	By:	/s/ G. William Andrews
		G. William Andrews Chief Executive Officer

EXHIBIT INDEX

Exhibit Number		Description of Document
31.01		Certification of G. William Andrews, 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 G. William Andrews, 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		Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments September 30, 2016 and December 31, 2015, (ii) Statements of Financial Condition September 30, 2016 and December 31, 2015, (iii) Statements of Operations For the Three and Nine Months Ended September 30, 2016 and 2015, (iv) Statements of Cash Flows For the Nine Months Ended September 30, 2016 and 2015, (v) Statements of Changes in Partners' Capital (Net Asset Value) For the Nine Months Ended September 30, 2016 and 2015, (vi) Financial Highlights For the Three and Nine Months Ended September 30, 2016 and 2015, (vii) Notes to Financial Statements.

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 	Accelerated filer 	Non-accelerated filer 	Smaller reporting company 
		(Do not check if a smaller reporting company)

FIXED INCOME SECURITIES

Maturity Face Value		Description	Fair Values ($)		% of Net Asset Value
		Asset Backed Securities
		United States
		Auto Loans	$	24,626,117		2.93	%
		Credit Cards		28,056,962		3.34	%
		Equipment Loans		7,770,077		0.92	%
		Utility Rate Reduction Bonds		1,109,345		0.13	%
		Total Asset Backed Securities (cost $61,553,022)		61,562,501		7.32	%

		Bank Deposits
		United States
		Financials		24,047,962		2.86	%
		Total Bank Deposits (cost $24,029,982)		24,047,962		2.86	%

		Commercial Paper
		United States
		Communications		23,184,933		2.76	%
		Consumer Discretionary		28,753,312		3.42	%
		Consumer Staples		29,469,438		3.51	%
		Energy		20,740,104		2.47	%
		Financials		57,297,612		6.82	%
		Health Care		18,879,585		2.25	%
		Industrials		33,662,874		4.01	%
		Technology		21,212,636		2.52	%
		Utilities		27,524,797		3.27	%
		Total Commercial Paper (cost $260,705,546)		260,725,291		31.03	%

		Corporate Bonds
		United States
		Communications		22,906,230		2.73	%
		Consumer Discretionary		42,628,985		5.07	%
		Consumer Staples		16,583,163		1.97	%
		Energy		6,562,322		0.78	%
		Financials		140,016,353		16.66	%
		Health Care		15,758,587		1.87	%
		Industrials		9,809,115		1.17	%
		Technology		25,704,146		3.06	%
		Total Corporate Bonds (cost $279,705,311)		279,968,901		33.31	%

		Government And Agency Obligations
		United States
		U.S. Treasury Bills
$	15,200,000	U.S. Treasury Bills Due 10/13/2016*		15,199,392		1.81	%
$	9,775,000	U.S. Treasury Bills Due 10/20/2016*		9,774,267		1.16	%
$	21,667,500	U.S. Treasury Bills Due 10/27/2016*		21,664,835		2.58	%
$	66,790,000	U.S. Treasury Bills Due 11/25/2016*		66,776,709		7.94	%
$	34,067,500	U.S. Treasury Bills Due 12/22/2016*		34,049,989		4.05	%
$	21,450,000	U.S. Treasury Bills Due 02/02/2017*		21,426,920		2.55	%
		Total Government And Agency Obligations (cost $168,870,759)		168,892,112		20.09	%

		Total Fixed Income Securities** (cost $794,864,620)	$	795,196,767		94.61	%

Maturity Face Value	Description	Fair Values ($)		% of Net Asset Value
	Money Market Funds
	United States
	Money Market Funds (cost $3,325)	$	3,325		0.00	%
	Total Short Term Investments (cost $3,325)	$	3,325		0.00	%

			Page
PART I — FINANCIAL INFORMATION

	Item 1.	Financial Statements.

		Condensed Schedules of Investments as of September 30, 2016 and December 31, 2015 (Unaudited)	1-4

		Statements of Financial Condition as of September 30, 2016 and December 31, 2015 (Unaudited)	5

		Statements of Operations for the Three and Nine Months Ended September 30, 2016 and 2015 (Unaudited)	6

		Statements of Cash Flows for the Nine Months Ended September 30, 2016 and 2015 (Unaudited)	7

		Statements of Changes in Unitholders' Capital (Net Asset Value) for the Nine Months Ended September 30, 2016 and 2015 (Unaudited)	8-10

		Financial Highlights for the Three and Nine Months Ended September 30, 2016 and 2015 (Unaudited)	11-13

		Notes to Financial Statements (Unaudited)	14-24

	Item 2.	Management's Discussion and Analysis of Financial Condition and Results of Operations.	25-32

	Item 3.	Quantitative and Qualitative Disclosure About Market Risk.	33-37

	Item 4.	Controls and Procedures.	37

PARTII — OTHER INFORMATION

	Item 1.	Legal Proceedings.	38

	Item 1A.	Risk Factors.	38

	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds.	38

	Item 3.	Defaults Upon Senior Securities.	38

	Item 4.	Mine Safety Disclosures.	38

	Item 5.	Other Information.	38

	Item 6.	Exhibits.	38

SIGNATURES			39

LONG FUTURES CONTRACTS
Description	Fair Values ($)			% of Net Asset Value
Agriculture	$	5,716,177			0.68	%
Energy		508,730			0.06	%
Metals		6,096,187			0.72	%
Stock indices		807,609			0.10	%
Short-term interest rates		(155,724	)		(0.02	)%
Long-term interest rates		3,843,025			0.46	%
Net unrealized gain (loss) on long futures contracts	$	16,816,004			2.00	%

SHORT FUTURES CONTRACTS
Description	Fair Values ($)			% of Net Asset Value
Agriculture	$	6,797,137			0.80	%
Energy		(2,594,919	)		(0.31	)%
Metals		(6,423,313	)		(0.76	)%
Stock indices		(5,807	)		0.00	%
Short-term interest rates		(24,738	)		0.00	%
Long-term interest rates		48,037			0.01	%
Net unrealized gain (loss) on short futures contracts	$	(2,203,603	)		(0.26	)%

Net unrealized gain (loss) on open futures contracts	$	14,612,401			1.74	%

FORWARD CURRENCY CONTRACTS
Description	Fair Values ($)			% of Net Asset Value
Various long forward currency contracts	$	(3,741,262	)		(0.44	)%
Various short forward currency contracts		1,022,941			0.12	%
Net unrealized gain (loss) on open forward currency contracts	$	(2,718,321	)		(0.32	)%

	September 30, 2016			December 31, 2015
ASSETS
Equity in futures broker trading accounts
Cash	$	39,144,247		$	99,353,162
Restricted cash		0			8,747,696
Fixed income securities (cost $116,949,392 and $124,998,065, respectively)		116,968,845			124,988,790
Net unrealized gain on open futures contracts		14,612,401			(13,809,470	)
Total equity in futures broker trading accounts		170,725,493			219,280,178

Cash		5,068,479			5,183,930
Short term investments (cost $3,325 and $2,104, respectively)		3,325			2,104
Fixed income securities (cost $677,915,228 and $712,173,710, respectively)		678,227,922			711,565,285
Net unrealized gain (loss) on open forward currency contracts		(2,718,321	)		2,415,311
Interest receivable		680,327			1,061,401
Total assets	$	851,987,225		$	939,508,209

LIABILITIES
Accounts payable	$	379,312		$	406,928
Management fee payable		2,701,973			2,981,991
Service fee payable		15,405			16,452
Accrued commissions and other trading fees on open contracts		131,169			160,693
Offering costs payable		304,999			332,313
Redemptions payable		7,939,188			7,528,426
Total liabilities		11,472,046			11,426,803

UNITHOLDERS' CAPITAL (Net Asset Value)

Series A Units - Redeemable
Other Unitholders - 243,793.492 and 243,788.567 units outstanding at September 30, 2016 and December 31, 2015		651,431,207			711,962,948
Series B Units - Redeemable
Other Unitholders - 39,788.582 and 43,230.672 units outstanding at September 30, 2016 and December 31, 2015		114,590,847			135,564,706
Series W Units - Redeemable
Other Unitholders - 25,118.394 and 25,184.916 units outstanding at September 30, 2016 and December 31, 2015		74,493,125			80,553,752
Total unitholders' capital (Net Asset Value)		840,515,179			928,081,406

Total liabilities and unitholders' capital (Net Asset Value)	$	851,987,225		$	939,508,209

	Three Months Ended September 30,						Nine Months Ended September 30,
	2016			2015			2016			2015
TRADING GAINS (LOSSES)
Futures trading gains (losses)
Realized	$	(2,563,284	)	$	(10,419,882	)	$	(56,311,652	)	$	(33,024,076	)
Change in unrealized		(11,677,308	)		30,656,110			28,421,871			(12,721,274	)
Brokerage commissions		(1,033,567	)		(978,374	)		(3,527,551	)		(3,377,781	)
Net gain (loss) from futures trading		(15,274,159	)		19,257,854			(31,417,332	)		(49,123,131	)

Forward currency trading gains (losses)
Realized		(6,752,196	)		8,664,461			(16,779,911	)		43,532,041
Change in unrealized		(8,288,792	)		11,313,799			(5,133,632	)		(13,097,179	)
Brokerage commissions		(90,258	)		(95,610	)		(261,250	)		(264,020	)
Net gain (loss) from forward currency trading		(15,131,246	)		19,882,650			(22,174,793	)		30,170,842

Total net trading gain (loss)		(30,405,405	)		39,140,504			(53,592,125	)		(18,952,289	)

NET INVESTMENT INCOME (LOSS)
Investment income
Interest income		1,702,389			1,050,083			4,699,257			2,514,223
Realized gain (loss) on fixed income securities		14,554			(24,715	)		38,828			(13,082	)
Change in unrealized gain (loss) on fixed income securities		(174,956	)		(415,739	)		949,847			(274,885	)
Total investment income		1,541,987			609,629			5,687,932			2,226,256

Expenses
Management fee		8,456,874			9,015,695			26,035,552			24,908,089
Service fee		44,227			47,573			137,623			147,383
Performance fee		0			0			0			13,671,976
Operating expenses		416,243			456,395			1,304,566			1,183,265
Total expenses		8,917,344			9,519,663			27,477,741			39,910,713

Net investment income (loss)		(7,375,357	)		(8,910,034	)		(21,789,809	)		(37,684,457	)

NET INCOME (LOSS)	$	(37,780,762	)	$	30,230,470		$	(75,381,934	)	$	(56,636,746	)

NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS UNIT (based on weighted average units outstanding during the period)
Series A	$	(120.46	)	$	93.48		$	(240.35	)	$	(219.22	)
Series B	$	(128.06	)	$	101.62		$	(253.00	)	$	(177.61	)
Series W	$	(120.19	)	$	116.15		$	(221.29	)	$	(148.50	)

INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS UNIT
Series A	$	(124.00	)	$	90.47		$	(248.35	)	$	(180.32	)
Series B	$	(129.87	)	$	100.86		$	(255.86	)	$	(179.64	)
Series W	$	(123.88	)	$	112.37		$	(232.81	)	$	(153.39	)

WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
Series A		245,937.673			243,138.560			246,571.644			204,731.203
Series B		40,350.892			45,544.115			41,613.378			46,170.128
Series W		24,859.370			24,739.511			25,266.275			23,948.293

	Nine Months Ended September 30,
	2016			2015
Cash flows from (for) operating activities
Net income (loss)	$	(75,381,934	)	$	(56,636,746	)
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
Net change in unrealized on futures, forwards and investments		(24,238,086	)		26,093,338
(Increase) decrease in restricted cash		8,747,696			7,319,383
(Increase) decrease in interest receivable		381,074			92,194
Increase (decrease) in payable for securities purchased		0			12,643,696
Increase (decrease) in accounts payable and accrued expenses		(338,205	)		(16,137,255	)
Purchases of investments		(7,768,924,889	)		(9,246,524,160	)
Sales/maturities of investments		7,811,230,823			8,983,198,179
Net cash from (for) operating activities		(48,523,521	)		(289,951,371	)

Cash flows from (for) financing activities
Addition of units		66,208,774			289,750,120
Redemption of units		(75,057,072	)		(33,381,861	)
Offering costs paid		(2,952,547	)		(2,597,023	)
Net cash from (for) financing activities		(11,800,845	)		253,771,236

Net increase (decrease) in cash		(60,324,366	)		(36,180,135	)

Unrestricted cash
Beginning of period		104,537,092			98,388,222

End of period	$	44,212,726		$	62,208,087

End of period cash consists of:
Cash in futures broker trading accounts	$	39,144,247		$	55,896,301
Cash		5,068,479			6,311,786

Total end of period cash	$	44,212,726		$	62,208,087

	Unitholders' Capital – Series A
	Managing Operator						Other Unitholders						Total
	Units			Amount			Units			Amount			Units			Amount
Nine Months Ended September 30, 2016

Balances at December 31, 2015		0.000		$	0			243,788.567		$	711,962,948			243,788.567		$	711,962,948

Net income (loss) for the nine months ended September 30, 2016					0						(59,262,613	)					(59,262,613	)
Additions		0.000			0			20,063.270			57,673,457			20,063.270			57,673,457
Redemptions		0.000			0			(20,058.345	)		(56,314,105	)		(20,058.345	)		(56,314,105	)
Offering costs											(2,628,480	)					(2,628,480	)
Balances at September 30, 2016		0.000		$	0			243,793.492		$	651,431,207			243,793.492		$	651,431,207

Nine Months Ended September 30, 2015

Balances at December 31, 2014		0.000		$	0			163,776.415		$	512,679,918			163,776.415		$	512,679,918

Net income (loss) for the nine months ended September 30, 2015					(5,994	)					(44,874,203	)					(44,880,197	)
Additions		14.925			50,000			88,888.821			280,764,834			88,903.746			280,814,834
Redemptions		(14.925	)		(43,930	)		(7,505.161	)		(22,958,431	)		(7,520.086	)		(23,002,361	)
Offering costs					(76	)					(2,381,009	)					(2,381,085	)
Balances at September 30, 2015		0.000		$	0			245,160.075		$	723,231,109			245,160.075		$	723,231,109

Net Asset Value per Other Unitholders' Unit - Series A

September 30, 2016		December 31, 2015		September 30, 2015		December 31, 2014
$	2,672.06	$	2,920.41	$	2,950.04	$	3,130.36

	Unitholders' Capital – Series B
	Managing Operator						Other Unitholders						Total
	Units			Amount			Units			Amount			Units			Amount
Nine Months Ended September 30, 2016

Balances at December 31, 2015		0.000		$	0			43,230.672		$	135,564,706			43,230.672		$	135,564,706

Net income (loss) for the nine months ended September 30, 2016					(915	)					(10,527,146	)					(10,528,061	)
Additions		0.000			0			104.514			314,572			104.514			314,572
Redemptions		(19.003	)		(55,085	)		(3,527.601	)		(10,705,285	)		(3,546.604	)		(10,760,370	)
Transfers		19.003			56,000			(19.003	)		(56,000	)		0.000			0
Balances at September 30, 2016		0.000		$	0			39,788.582		$	114,590,847			39,788.582		$	114,590,847

Nine Months Ended September 30, 2015

Balances at December 31, 2014		0.000		$	0			47,305.148		$	158,156,273			47,305.148		$	158,156,273

Net income (loss) for the nine months ended September 30, 2015					0						(8,200,317	)					(8,200,317	)
Additions		0.000			0			470.653			1,593,531			470.653			1,593,531
Redemptions		0.000			0			(3,801.739	)		(12,429,432	)		(3,801.739	)		(12,429,432	)
Balances at September 30, 2015		0.000		$	0			43,974.062		$	139,120,055			43,974.062		$	139,120,055

	Unitholders' Capital – Series W
	Other Unitholders						Trust
	Units			Amount			Total Amount
Nine Months Ended September 30, 2016

Balances at December 31, 2015		25,184.916		$	80,553,752		$	928,081,406

Net income (loss) for the nine months ended September 30, 2016					(5,591,260	)		(75,381,934	)
Additions		2,617.248			8,220,745			66,208,774
Redemptions		(2,683.770	)		(8,393,359	)		(75,467,834	)
Offering costs					(296,753	)		(2,925,233	)
Balances at September 30, 2016		25,118.394		$	74,493,125		$	840,515,179

Nine Months Ended September 30, 2015

Balances at December 31, 2014		22,899.655		$	77,173,828		$	748,010,019

Net income (loss) for the nine months ended September 30, 2015					(3,556,232	)		(56,636,746	)
Additions		2,358.837			7,967,880			290,376,245
Redemptions		(927.881	)		(3,017,148	)		(38,448,941	)
Offering costs					(303,963	)		(2,685,048	)
Balances at September 30, 2015		24,330.611		$	78,264,365		$	940,615,529

	Fair Value at September 30, 2016
Description	Level 1		Level 2			Level 3		Total
Investments
Short term investments	$	3,325	$	0		$	0	$	3,325
Fixed income securities		0		795,196,767			0		795,196,767

Other Financial Instruments
Exchange-traded futures contracts		14,612,401		0			0		14,612,401
Forward currency contracts		0		(2,718,321	)		0		(2,718,321	)
Total	$	14,615,726	$	792,478,446		$	0	$	807,094,172

	Fair Value at December 31, 2015
Description	Level 1			Level 2		Level 3		Total
Investments
Short term investments	$	2,104		$	0	$	0	$	2,104
Fixed income securities		0			836,554,075		0		836,554,075

Other Financial Instruments
Exchange-traded futures contracts		(13,809,470	)		0		0		(13,809,470	)
Forward currency contracts		0			2,415,311		0		2,415,311
Total	$	(13,807,366	)	$	838,969,386	$	0	$	825,162,020

Type of Instrument *	Statements of Financial Condition Location	Asset Derivatives at September 30, 2016 Fair Value		Liability Derivatives at September 30, 2016 Fair Value			Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts	$	15,396,589	$	(2,883,275	)	$	12,513,314
Energy Contracts	Net unrealized gain (loss) on open futures contracts		664,895		(2,751,084	)		(2,086,189	)
Metal Contracts	Net unrealized gain (loss) on open futures contracts		6,928,408		(7,255,534	)		(327,126	)
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		3,748,382		(2,946,580	)		801,802
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		97,461		(277,923	)		(180,462	)
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		4,862,300		(971,238	)		3,891,062
Forward Currency Contracts	Net unrealized gain (loss) on open forward currency contracts		24,568,608		(27,286,929	)		(2,718,321	)
Totals		$	56,266,643	$	(44,372,563	)	$	11,894,080

Type of Instrument *	Statements of Financial Condition Location	Asset Derivatives at December 31, 2015 Fair Value		Liability Derivatives at December 31, 2015 Fair Value			Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts	$	4,246,840	$	(3,186,075	)	$	1,060,765
Energy Contracts	Net unrealized gain (loss) on open futures contracts		2,219,147		(11,868,078	)		(9,648,931	)
Metal Contracts	Net unrealized gain (loss) on open futures contracts		2,238,119		(6,370,930	)		(4,132,811	)
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		974,091		(1,785,178	)		(811,087	)
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		18,382		(765,703	)		(747,321	)
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		2,669,840		(2,199,925	)		469,915
Forward Currency Contracts	Net unrealized gain (loss) on open forward currency contracts		52,468,667		(50,053,356	)		2,415,311
Totals		$	64,835,086	$	(76,229,245	)	$	(11,394,159	)

Type of Instrument	Trading Gains (Losses) for the Three Months Ended September 30, 2016			Trading Gains (Losses) for the Three Months Ended September 30, 2015
Agriculture Contracts	$	7,727,273		$	(5,623,833	)
Energy Contracts		(12,371,532	)		14,609,064
Metal Contracts		(5,845,334	)		26,982,442
Stock Indices Contracts		11,672,523			(11,594,034	)
Short-Term Interest Rate Contracts		(1,788,940	)		4,049,678
Long Term Interest Rate Contracts		(13,503,510	)		(8,394,913	)
Forward Currency Contracts		(15,040,988	)		19,978,260
Total	$	(29,150,508	)	$	40,006,664

Type of Instrument	Trading Gains (Losses) for the Nine Months Ended September 30, 2016			Trading Gains (Losses) for the Nine Months Ended September 30, 2015
Agriculture Contracts	$	(4,898,501	)	$	(25,812,905	)
Energy Contracts		(35,449,754	)		(8,652,903	)
Metal Contracts		(15,268,152	)		12,024,859
Stock Indices Contracts		(12,565,063	)		(6,453,029	)
Short-Term Interest Rate Contracts		(5,604,922	)		1,453,282
Long Term Interest Rate Contracts		46,001,412			(18,461,882	)
Forward Currency Contracts		(21,913,543	)		30,434,862
Total	$	(49,698,523	)	$	(15,467,716	)

Line Item in the Statement of Operations	Trading Gains (Losses) for the Three Months Ended September 30, 2016			Trading Gains (Losses) for the Three Months Ended September 30, 2015
Futures trading gains (losses):
Realized**	$	(2,432,212	)	$	(10,627,706	)
Change in unrealized		(11,677,308	)		30,656,110
Forward currency trading gains (losses):
Realized		(6,752,196	)		8,664,461
Change in unrealized		(8,288,792	)		11,313,799
Total	$	(29,150,508	)	$	40,006,664

Offsetting of Derivative Assets
As of September 30, 2016
Type of Instrument	Counterparty	Gross Amount of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amount of Unrealized Gain Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	15,876,796	$	(8,529,078	)	$	7,347,718
Futures contracts	Goldman Sachs		15,821,239		(8,556,556	)		7,264,683
Forward currency contracts	Royal Bank of Scotland		24,568,608		(24,568,608	)		0
Total derivatives		$	56,266,643	$	(41,654,242	)	$	14,612,401

Derivatives Assets and Collateral Received by Counterparty
As of September 30, 2016
			Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	Net Amount of Unrealized Gain in the Statements of Financial Condition		Financial Instruments		Cash Collateral Received		Net Amount
UBS Securities LLC	$	7,347,718	$	0	$	0	$	7,347,718
Goldman Sachs		7,264,683		0		0		7,264,683
Royal Bank of Scotland		0		0		0		0
Total	$	14,612,401	$	0	$	0	$	14,612,401

Offsetting of Derivative Liabilities
As of September 30, 2016
Type of Instrument	Counterparty	Gross Amount of Recognized Liabilities		Gross Amounts Offset in the Statements of Financial Condition			Net Amount of Unrealized Loss Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	8,529,078	$	(8,529,078	)	$	0
Futures contracts	Goldman Sachs		8,556,556		(8,556,556	)		0
Forward currency contracts	Royal Bank of Scotland		27,286,929		(24,568,608	)		2,718,321
Total derivatives		$	44,372,563	$	(41,654,242	)	$	2,718,321

Derivatives Liabilities and Collateral Pledged by Counterparty
As of September 30, 2016
			Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	Net Amount of Unrealized Loss in the Statements of Financial Condition		Financial Instruments			Cash Collateral Pledged		Net Amount
UBS Securities LLC	$	0	$	0		$	0	$	0
Goldman Sachs		0		0			0		0
Royal Bank of Scotland		2,718,321		(2,718,321	)*		0		0
Total	$	2,718,321	$	(2,718,321	)	$	0	$	0
*Represents a portion of the $51,923,267 fair value in U.S. Treasury Bills held at the interbank market maker.

Offsetting of Derivative Assets
As of December 31, 2015
Type of Instrument	Counterparty	Gross Amount of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amount of Unrealized Gain Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	6,203,954	$	(6,203,954	)	$	0
Futures contracts	Goldman Sachs		6,162,464		(6,162,464	)		0
Forward currency contracts	Royal Bank of Scotland		52,468,667		(50,053,356	)		2,415,311
Total derivatives		$	64,835,085	$	(62,419,774	)	$	2,415,311