10-Q 1 cft10q_jun2019.htm FORM 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

☑	Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the quarterly period ended June 30, 2019

☐	Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the transition period from _________ to _________

Commission File number: 000-50264

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)

Securities registered pursuant to Section 12(b) of the Act:

Title of each class	Trading Symbol(s)	Name of each exchange on which registered
Not applicable	Not applicable	Not applicable

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☑ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive data File required to be submitted pursuant to Rule 405 of regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☑ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act. (Check one):

Large accelerated filer ☐	Accelerated filer ☐	Non-accelerated filer ☑	Smaller reporting company ☐

Emerging growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Securities Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☑

The Registrant has no voting stock. As of June 30, 2019, there were 99,561.898 Series A Units, 13,481.561 Series B Units, 1,564.018 Series D Units, and 8,433.412 Series W Units of Beneficial Interest issued and outstanding.

TABLE OF CONTENTS

			Page
PART I — FINANCIAL INFORMATION

	Item 1.	Financial Statements.

		Condensed Schedules of Investments as of June 30, 2019 and December 31, 2018 (Unaudited)	1-4

		Statements of Financial Condition as of June 30, 2019 and December 31, 2018 (Unaudited)	5

		Statements of Operations for the Three Months and Six Months Ended June 30, 2019 and 2018 (Unaudited)	6

		Statements of Cash Flows for the Six Months Ended June 30, 2019 and 2018 (Unaudited)	7

		Statements of Changes in Unitholders’ Capital (Net Asset Value) for the Six Months Ended June 30, 2019 and 2018 (Unaudited)	8-9

		Financial Highlights for the Three Months and Six Months Ended June 30, 2019 and 2018 (Unaudited)	10-13

		Notes to Financial Statements (Unaudited)	14-24

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations.	25-31

	Item 3.	Quantitative and Qualitative Disclosure About Market Risk.	31-36

	Item 4.	Controls and Procedures.	36

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.	Mine Safety Disclosures.	37

	Item 5.	Other Information.	37

	Item 6.	Exhibits.	37-38

SIGNATURES			39

Table of Contents

THE CAMPBELL FUND TRUST

CONDENSED SCHEDULE OF INVESTMENTS

JUNE 30, 2019 (Unaudited)

FIXED INCOME SECURITIES

Maturity Face Value		Description	Fair Value ($)		% of Net Asset Value
		Asset Backed Securities
		United States
		Auto Loans	$	12,023,078		3.66	%
		Credit Cards		6,040,936		1.84	%
		Equipment Loans		1,031,269		0.31	%
		Utilities		1,065,987		0.33	%
		Total Asset Backed Securities (cost $20,083,368)		20,161,270		6.14	%

		Bank Deposits
		United States
		Financials		3,101,284		0.95	%
		Total Bank Deposits (cost $3,100,029)		3,101,284		0.95	%

		Commercial Paper
		Ireland
		Financials (cost $608,000)		607,878		0.19	%
		Japan
		Financials (cost $2,602,240)		2,601,931		0.79	%
		Spain
		Financials (cost $741,727)		741,545		0.23	%
		United States
		Communications		6,511,585		1.98	%
		Consumer Discretionary		12,913,396		3.93	%
		Consumer Staples		4,283,627		1.31	%
		Energy		6,974,720		2.13	%
		Financials		30,560,018		9.31	%
		Industrials		4,698,694		1.43	%
		Materials		852,166		0.26	%
		Utilities		29,265,077		8.92	%
		Total United States (cost $96,072,059)		96,059,283		29.27	%
		Total Commercial Paper (cost $100,024,026)		100,010,637		30.48	%

		Corporate Bonds
		Canada
		Financials		8,408,574		2.56	%
		Industrials		1,597,609		0.49	%
		Total Canada (cost $9,991,250)		10,006,183		3.05	%
		Germany
		Consumer Discretionary (cost $4,089,238)		4,099,164		1.25	%
		Japan
		Financials (cost $2,699,867)		2,701,579		0.82	%
		United Kingdom
		Energy		2,121,723		0.65	%
		Financials		3,863,978		1.18	%
		Total United Kingdom (cost $5,976,404)		5,985,701		1.83	%
		United States
		Communications		7,874,595		2.40	%
		Consumer Discretionary		9,600,635		2.93	%
		Consumer Staples		7,164,681		2.18	%
		Energy		2,769,229		0.84	%
		Financials		28,668,197		8.74	%
		Industrials		4,692,895		1.43	%
		Technology		5,057,681		1.54	%
		Utilities		1,811,173		0.55	%
		Total United States (cost $67,516,874)		67,639,086		20.61	%
		Total Corporate Bonds (cost $90,273,633)		90,431,713		27.56	%

		Government And Agency Obligations
		United States
		U.S. Treasury Bills
$	4,160,000	U.S. Treasury Bills Due * 07/18/2019		4,156,032		1.27	%
$	10,892,500	U.S. Treasury Bills Due * 08/15/2019		10,864,418		3.31	%
$	22,665,000	U.S. Treasury Bills Due * 09/19/2019		22,560,816		6.87	%
		Total Government And Agency Obligations (cost $37,573,858)		37,581,266		11.45	%
		Total Fixed Income Securities ** (cost $251,054,914)	$	251,286,170		76.58	%

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

CONDENSED SCHEDULE OF INVESTMENTS

JUNE 30, 2019 (Unaudited)

SHORT TERM INVESTMENTS

Description	Fair Value ($)		% of Net Asset Value
Money Market Funds
United States
Money Market Funds (cost $16,739)	$	16,739		0.01	%
Total Short Term Investments
(cost $16,739)	$	16,739		0.01	%

LONG FUTURES CONTRACTS

Description	Fair Value ($)			% of Net Asset Value
Agriculture	$	(636,123	)		(0.19	)%
Energy		829,823			0.25	%
Metals		(485,130	)		(0.15	)%
Stock indices		2,290,489			0.70	%
Short-term interest rates		5,321,658			1.62	%
Long-term interest rates		4,639,812			1.42	%
Net unrealized gain (loss) on long futures contracts		11,960,529			3.65	%

SHORT FUTURES CONTRACTS

Description	Fair Value ($)			% of Net Asset Value
Agriculture		(399,079	)		(0.12	)%
Energy		(151,945	)		(0.05	)%
Metals		(817,929	)		(0.25	)%
Stock indices		(96,653	)		(0.03	)%
Short-term interest rates		(53,839	)		(0.02	)%
Long-term interest rates		(327,797	)		(0.10	)%
Net unrealized gain (loss) on short futures contracts		(1,847,242	)		(0.57	)%
Net unrealized gain (loss) on open futures contracts	$	10,113,287			3.08	%

FORWARD CURRENCY CONTRACTS

Description	Fair Value ($)			% of Net Asset Value
Various long forward currency contracts	$	14,503,200			4.42	%
Various short forward currency contracts		(17,146,407	)		(5.23	)%
Net unrealized gain (loss) on open forward currency contracts	$	(2,643,207	)		(0.81	)%

*	Pledged as collateral for the trading of futures positions.

**	Included in fixed income securities are U.S. Treasury Bills with a fair value of $37,581,266 deposited with the futures brokers.

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2018

FIXED INCOME SECURITIES

Maturity Face Value		Description	Fair Value ($)		% of Net Asset Value
		Asset Backed Securities
		United States
		Auto Loans	$	11,260,081		3.37	%
		Credit Cards		7,922,740		2.37	%
		Equipment Loans		949,326		0.29	%
		Total Asset Backed Securities (cost $20,184,656)		20,132,147		6.03	%

		Bank Deposits
		United States
		Financials		4,348,492		1.30	%
		Total Bank Deposits (cost $4,350,132)		4,348,492		1.30	%

		Commercial Paper
		United States
		Communications		3,728,528		1.11	%
		Consumer Discretionary		8,545,981		2.56	%
		Consumer Staples		18,595,739		5.57	%
		Financials		2,026,496		0.61	%
		Industrials		4,103,477		1.23	%
		Utilities
$	7,301,000	Kentucky Utilities Co Due 01/02/2019		7,299,939		2.19	%
$	885,000	Kentucky Utilities Co Due 01/08/2019		884,469		0.26	%
$	2,280,000	Kentucky Utilities Co Due 01/14/2019		2,277,534		0.68	%
$	6,750,000	Kentucky Utilities Co Due 01/23/2019		6,737,718		2.02	%
		Other		16,156,320		4.84	%
		Total Commercial Paper (cost $70,360,185)		70,356,201		21.07	%

		Corporate Bonds
		Canada
		Financials (cost $13,018,958)		12,960,949		3.88	%
		Japan
		Financials (cost $2,697,498)		2,681,988		0.80	%
		United Kingdom
		Financials (cost $9,746,548)		9,700,528		2.91	%
		United States
		Communications		12,685,658		3.80	%
		Consumer Discretionary		9,534,815		2.85	%
		Consumer Staples		12,644,398		3.79	%
		Energy		2,760,187		0.83	%
		Financials		39,791,199		11.92	%
		Industrials		7,322,498		2.19	%
		Technology		6,235,512		1.87	%
		Utilities		942,078		0.28	%
		Total United States (cost $92,174,110)		91,916,345		27.53	%
		Total Corporate Bonds (cost $117,637,114)		117,259,810		35.12	%

		Government And Agency Obligations
		United States
		U.S. Treasury Bills
$	8,735,000	U.S. Treasury Bills Due 01/17/2019*		8,726,578		2.61	%
$	14,392,500	U.S. Treasury Bills Due 02/21/2019*		14,344,561		4.30	%
$	28,162,500	U.S. Treasury Bills Due 03/28/2019*		28,002,067		8.39	%
		Total Government And Agency Obligations (cost $51,077,094)		51,073,206		15.30	%
		Total Fixed Income Securities ** (cost $263,609,181)	$	263,169,856		78.82	%

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2018

SHORT TERM INVESTMENTS

Description	Fair Value ($)		% of Net Asset Value
Money Market Funds
United States
Money Market Funds (cost $2,868)	$	2,868		0.00	%
Total Short Term Investments (cost $2,868)	$	2,868		0.00	%

LONG FUTURES CONTRACTS

Description	Fair Value ($)			% of Net Asset Value
Agriculture	$	245,490			0.07	%
Energy		(1,580,415	)		(0.47	)%
Metals		(3,242,497	)		(0.97	)%
Stock indices		(177,210	)		(0.05	)%
Short-term interest rates		1,926,368			0.57	%
Long-term interest rates		2,133,111			0.64	%
Net unrealized gain (loss) on long futures contracts		(695,153	)		(0.21	)%

SHORT FUTURES CONTRACTS

Description	Fair Value ($)			% of Net Asset Value
Agriculture		3,069,621			0.92	%
Energy		906,219			0.27	%
Metals		4,581,047			1.37	%
Stock indices		49,319			0.01	%
Short-term interest rates		(10,448	)		0.00	%
Long-term interest rates		(2,215,414	)		(0.66	)%
Net unrealized gain (loss) on short futures contracts		6,380,344			1.91	%
Net unrealized gain (loss) on open futures contracts	$	5,685,191			1.70	%

FORWARD CURRENCY CONTRACTS

Description	Fair Value ($)		% of Net Asset Value
Various long forward currency contracts	$	6,864,179		2.06	%
Various short forward currency contracts		1,503,207		0.45	%
Net unrealized gain (loss) on open forward currency contracts	$	8,367,386		2.51	%

*	Pledged as collateral for the trading of futures positions.

**	Included in fixed income securities are U.S. Treasury Bills with a fair value of $51,073,206 deposited with the futures brokers.

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

STATEMENTS OF FINANCIAL CONDITION

JUNE 30, 2019 AND DECEMBER 31, 2018 (Unaudited)

	June 30, 2019			December 31, 2018
ASSETS
Equity in futures broker trading accounts
Cash	$	30,506,350		$	29,264,709
Fixed income securities (cost $37,573,858 and $51,077,094, respectively)		37,581,266			51,073,206
Net unrealized gain (loss) on open futures contracts		10,113,287			5,685,191
Total equity in futures broker trading accounts		78,200,903			86,023,106

Cash and cash equivalents		12,571,178			22,653,467
Restricted cash at interbank market maker		30,875,936			15,828,352
Short term investments (cost $16,739 and $2,868, respectively)		16,739			2,868
Fixed income securities (cost $213,481,056 and $212,532,087, respectively)		213,704,904			212,096,650
Net unrealized gain (loss) on open forward currency contracts		(2,643,207	)		8,367,386
Interest receivable		776,696			865,914
Subscription receivable		499,328			0
Total assets	$	334,002,477		$	345,837,743

LIABILITIES
Accounts payable	$	280,052		$	315,936
Management fee payable		1,065,204			1,104,485
Accrued commissions and other trading fees on open contracts		101,103			65,526
Offering costs payable		122,111			126,325
Redemptions payable		4,300,061			10,333,537
Total liabilities		5,868,531			11,945,809

UNITHOLDERS’ CAPITAL (Net Asset Value)

Series A Units – Redeemable
Other Unitholders - 99,561.898 and 111,488.756 units outstanding at June 30, 2019 and December 31, 2018		261,798,509			265,715,642
Series B Units – Redeemable
Other Unitholders - 13,481.561 and 15,779.825 units outstanding at June 30, 2019 and December 31, 2018		38,700,109			40,954,227
Series D Units – Redeemable
Other Unitholders - 1,564.018 and 1,569.589 units outstanding at June 30, 2019 and December 31, 2018		1,678,312			1,517,078
Series W Units – Redeemable
Other Unitholders - 8,433.412 and 9,306.953 units outstanding at June 30, 2019 and December 31, 2018		25,957,016			25,704,987
Total unitholders’ capital (Net Asset Value)		328,133,946			333,891,934
Total liabilities and unitholders’ capital (Net Asset Value)	$	334,002,477		$	345,837,743

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS AND SIX MONTHS ENDED JUNE 30, 2019 AND 2018 (Unaudited)

	Three Months Ended June 30,						Six Months Ended June 30,
	2019			2018			2019			2018
TRADING GAINS (LOSSES)
Futures trading gains (losses)
Realized	$	27,012,737		$	1,011,980		$	38,345,084		$	(19,687,394	)
Change in unrealized		(3,180,799	)		(4,735,980	)		4,428,096			(4,782,883	)
Brokerage commissions		(510,187	)		(499,776	)		(1,021,142	)		(971,455	)
Net gain (loss) from futures trading		23,321,751			(4,223,776	)		41,752,038			(25,441,732	)

Forward currency trading gains (losses)
Realized		(3,458,977	)		(17,394,872	)		4,373,560			(7,284,977	)
Change in unrealized		347,622			14,659,782			(11,010,593	)		8,338,230
Brokerage commissions		(85,012	)		(43,877	)		(152,013	)		(79,217	)
Net gain (loss) from forward currency trading		(3,196,367	)		(2,778,967	)		(6,789,046	)		974,036
Total net trading gain (loss)		20,125,384			(7,002,743	)		34,962,992			(24,467,696	)

NET INVESTMENT INCOME (LOSS)
Investment income
Interest income		2,064,700			2,540,361			4,100,144			4,696,776
Realized gain (loss) on fixed income securities		3,532			(48,217	)		4,050			(47,585	)
Change in unrealized gain (loss) on fixed income securities		213,051			160,493			670,581			(213,546	)
Total investment income		2,281,283			2,652,637			4,774,775			4,435,645

Expenses
Management fee		3,166,838			4,517,057			6,336,135			9,548,623
Operating expenses		264,280			276,672			527,804			571,888
Total expenses		3,431,118			4,793,729			6,863,939			10,120,511
Net investment income (loss)		(1,149,835	)		(2,141,092	)		(2,089,164	)		(5,684,866	)
NET INCOME (LOSS)	$	18,975,549		$	(9,143,835	)	$	32,873,828		$	(30,152,562	)

NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
(based on weighted average number of units outstanding during the period)
Series A	$	146.37		$	(48.51	)	$	245.68		$	(153.17	)
Series B	$	161.66		$	(51.01	)	$	266.13		$	(165.64	)
Series D	$	64.01		$	(11.52	)	$	109.09		$	(43.00	)
Series W	$	185.61		$	(40.67	)	$	317.10		$	(144.87	)

INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
Series A	$	145.76		$	(47.75	)	$	246.17		$	(155.33	)
Series B	$	162.02		$	(50.45	)	$	275.25		$	(163.71	)
Series D	$	62.47		$	(16.82	)	$	106.54		$	(58.78	)
Series W	$	184.62		$	(42.47	)	$	315.97		$	(150.42	)

WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
Series A		102,508.562			145,474.670			105,679.139			149,848.919
Series B		14,007.921			22,878.199			14,660.103			23,615.439
Series D		1,535.419			1,084.928			1,552.504			710.889
Series W		8,665.237			22,297.407			8,953.546			22,487.301

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2019 AND 2018 (Unaudited)

	Six Months Ended June 30,
	2019			2018
Cash flows from (for) operating activities
Net income (loss)	$	32,873,828		$	(30,152,562	)
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
Net change in unrealized on futures, forwards and investments		5,911,916			(3,341,801	)
(Increase) decrease in interest receivable		89,218			(108,566	)
Increase (decrease) in accounts payable and accrued expenses		(39,588	)		(232,613	)
Purchases of investments		(1,758,764,749	)		(2,883,153,213	)
Sales/maturities of investments		1,771,305,145			2,993,961,625
Net cash from (for) operating activities		51,375,770			76,972,870

Cash flows from (for) financing activities
Addition of units		6,701,605			6,777,747
Redemption of units		(51,139,942	)		(59,111,754	)
Offering costs paid		(730,497	)		(922,602	)
Net cash from (for) financing activities		(45,168,834	)		(53,256,609	)

Net increase (decrease) in cash, cash equivalents and restricted cash		6,206,936			23,716,261

Cash, cash equivalents and restricted cash at beginning of period		67,746,528			49,680,009
Cash, cash equivalents and restricted cash at end of period	$	73,953,464		$	73,396,270

The following table provides a reconciliation of cash, cash equivalents and restricted cash reported within the Statements of Financial Condition that sum to the total of the same such amounts shown in the Statements of Cash Flows.

	June 30, 2019		December 31, 2018
Cash, cash equivalents and restricted cash at end of period consists of:
Cash in futures brokers trading accounts	$	30,506,350	$	29,264,709
Restricted cash in futures brokers trading accounts		0		0
Cash and cash equivalents		12,571,178		22,653,467
Restricted cash at interbank market maker		30,875,936		15,828,352
Total cash, cash equivalents and restricted cash at end of period	$	73,953,464	$	67,746,528

See Accompanying Notes to Financial Statements.

Table of Contents

CAMPBELL FUND TRUST

STATEMENT OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)

FOR THE SIX MONTHS ENDED JUNE 30, 2019 AND 2018 (Unaudited)

	Series A - Other Unitholders						Series B - Other Unitholders						Series D - Other Unitholders
	Units			Amount			Units			Amount			Units			Amount
Six Months Ended June 30, 2019

Balances at December 31, 2018		111,488.756		$	265,715,642			15,779.825		$	40,954,227			1,569.589		$	1,517,078
Net income (loss) for the three months ended March 31, 2019					10,959,406						1,636,947						71,088
Additions		402.786			966,271			29.109			78,844			0.000			0
Redemptions		(8,230.105	)		(19,795,854	)		(1,684.043	)		(4,411,610	)		0.000			0
Offering costs					(376,105	)					0						(1,923	)
Balances at March 31, 2019		103,661.437		$	257,469,360			14,124.891		$	38,258,408			1,569.589		$	1,586,243

Net income (loss) for the three months ended June 30, 2019					15,004,346						2,264,553						98,275
Additions		2,299.229			5,873,079			0.000			0			45.684			49,023
Redemptions		(6,398.768	)		(16,266,862	)		(643.330	)		(1,822,852	)		(51.255	)		(53,220	)
Offering costs					(281,414	)					0						(2,009	)
Balances at June 30, 2019		99,561.898		$	261,798,509			13,481.561		$	38,700,109			1,564.018		$	1,678,312

Six Months Ended June 30, 2018

Balances at December 31, 2017		155,656.273		$	407,786,433			24,609.317		$	69,925,360			259.610		$	273,175
Net income (loss) for the three months ended March 31, 2018					(15,895,347	)					(2,744,441	)					(18,073	)
Additions		942.555			2,394,608			0.000			0			714.150			729,114
Redemptions		(5,999.865	)		(15,447,850	)		(1,170.991	)		(3,237,305	)		0.000			0
Offering costs					(500,893	)					0						(436	)
Balances at March 31, 2018		150,598.958		$	378,336,951			23,438.326		$	63,943,614			973.760		$	983,780

Net income (loss) for the three months ended June 30, 2018					(7,057,350	)					(1,167,129	)					(12,497	)
Additions		723.185			1,765,410			0.000			0			361.838			356,940
Redemptions		(18,400.994	)		(45,283,437	)		(1,360.540	)		(3,658,502	)		0.000			0
Offering costs					(182,617	)					0						(1,343	)
Balances at June 30, 2018		132,921.154		$	327,578,957			22,077.786		$	59,117,983			1,335.598		$	1,326,880

Net Asset Value per Other Unitholders’ Unit - Series A

June 30, 2019				March 31, 2019				December 31, 2018				June 30, 2018				March 31, 2018				December 31, 2017
$	2,629.51			$	2,483.75			$	2,383.34			$	2,464.46			$	2,512.21			$	2,619.79

Net Asset Value per Other Unitholders’ Unit - Series B

June 30, 2019				March 31, 2019				December 31, 2018				June 30, 2018				March 31, 2018				December 31, 2017
$	2,870.60			$	2,708.58			$	2,595.35			$	2,677.71			$	2,728.16			$	2,841.42

Net Asset Value per Other Unitholders’ Unit - Series D

June 30, 2019				March 31, 2019				December 31, 2018				June 30, 2018				March 31, 2018				December 31, 2017
$	1,073.08			$	1,010.61			$	966.54			$	993.47			$	1,010.29			$	1,052.25

See Accompanying Notes to Financial Statements.

Table of Contents

CAMPBELL FUND TRUST

STATEMENT OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)

FOR THE SIX MONTHS ENDED JUNE 30, 2019 AND 2018 (Unaudited)

	Series W - Other Unitholders						Trust
	Units			Amount			Total Amount
Six Months Ended June 30, 2019

Balances at December 31, 2018		9,306.953		$	25,704,987		$	333,891,934
Net income (loss) for the three months ended March 31, 2019					1,230,838			13,898,279
Additions		16.012			43,708			1,088,823
Redemptions		(521.852	)		(1,483,217	)		(25,690,681	)
Offering costs					(32,369	)		(410,397	)
Balances at March 31, 2019		8,801.113		$	25,463,947		$	322,777,958

Net income (loss) for the three months ended June 30, 2019					1,608,375			18,975,549
Additions		63.879			190,008			6,112,110
Redemptions		(431.580	)		(1,272,851	)		(19,415,785	)
Offering costs					(32,463	)		(315,886	)
Balances at June 30, 2019		8,433.412		$	25,957,016		$	328,133,946

Six Months Ended June 30, 2018

Balances at December 31, 2017		22,774.964		$	67,838,187		$	545,823,155

Net income (loss) for the three months ended March 31, 2018					(2,350,866	)		(21,008,727	)
Additions		477.234			1,363,450			4,487,172
Redemptions		(615.846	)		(1,785,156	)		(20,470,311	)
Offering costs					(83,862	)		(585,191	)
Balances at March 31, 2018		22,636.352		$	64,981,753		$	508,246,098

Net income (loss) for the three months ended June 30, 2018					(906,859	)		(9,143,835	)
Additions		79.194			220,061			2,342,411
Redemptions		(1,139.809	)		(3,195,719	)		(52,137,658	)
Offering costs					(78,544	)		(262,504	)
Balances at June 30, 2018		21,575.737		$	61,020,692		$	449,044,512

Net Asset Value per Other Unitholders’ Unit - Series W

June 30, 2019				March 31, 2019				December 31, 2018
$	3,077.88			$	2,893.26			$	2,761.91

June 30, 2018				March 31, 2018				December 31, 2017
$	2,828.21			$	2,870.68			$	2,978.63

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

FINANCIAL HIGHLIGHTS

FOR THE THREE MONTHS AND SIX MONTHS ENDED JUNE 30, 2019 AND 2018 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series A units for the three months and six months ended June 31, 2019 and 2018. This information has been derived from information presented in the financial statements.

	Series A
	Three Months Ended June 30,						Six Months Ended June 30,
	2019			2018			2019			2018
Per Unit Performance
(for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period	$	2,483.75		$	2,512.21		$	2,383.34		$	2,619.79

Income (loss) from operations:
Total net trading gains (losses) ₍₁₎		158.51			(33.97	)		270.16			(119.28	)
Net investment income (loss) ₍₁₎		(10.00	)		(12.52	)		(17.77	)		(31.49	)
Total net income (loss) from operations		148.51			(46.49	)		252.39			(150.77	)
Offering costs ₍₁₎		(2.75	)		(1.26	)		(6.22	)		(4.56	)
Net asset value per unit at end of period	$	2,629.51		$	2,464.46		$	2,629.51		$	2,464.46
Total Return ₍₄₎		5.87	%		(1.90	)%		10.33	%		(5.93	)%

Supplemental Data
Ratios to average net asset value:
Expenses prior to performance fee₍₃₎		4.39	%		4.25	%		4.39	%		4.25	%
Performance fee₍₄₎		0.00	%		0.00	%		0.00	%		0.00	%
Total expenses		4.39	%		4.25	%		4.39	%		4.25	%
Net investment income (loss) _(2),(3)		(1.58	)%		(2.04	)%		(1.45	)%		(2.50	)%

Total returns are calculated based on the change in value of a unit during the period. An individual unitholder’s total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.

(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)	Annualized.

(4)	Not annualized.

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

FINANCIAL HIGHLIGHTS

FOR THE THREE MONTHS AND SIX MONTHS ENDED JUNE 30, 2019 AND 2018 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series B units for the three months and six months ended June 30, 2019 and 2018. This information has been derived from information presented in the financial statements.

	Series B
	Three Months Ended June 30,						Six Months Ended June 30,
	2019			2018			2019			2018
Per Unit Performance
(for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period	$	2,708.58		$	2,728.16		$	2,595.35		$	2,841.42

Income (loss) from operations:
Total net trading gains (losses) ₍₁₎		172.92			(36.84	)		294.57			(129.50	)
Net investment income (loss) ₍₁₎		(10.90	)		(13.61	)		(19.32	)		(34.21	)
Total net income (loss) from operations		162.02			(50.45	)		275.25			(163.71	)
Net asset value per unit at end of period	$	2,870.60		$	2,677.71		$	2,870.60		$	2,677.71
Total Return ₍₄₎		5.98	%		(1.85	)%		10.61	%		(5.76	)%

Supplemental Data
Ratios to average net asset value:
Expenses prior to performance fee₍₃₎		4.38	%		4.24	%		4.39	%		4.24	%
Performance fee ₍₄₎		0.00	%		0.00	%		0.00	%		0.00	%
Total expenses		4.38	%		4.24	%		4.39	%		4.24	%
Net investment income (loss) _(2),(3)		(1.57	)%		(2.04	)%		(1.45	)%		(2.50	)%

(1)

Net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

(2)	Excludes performance fee.

(3)	Annualized.

(4)	Not annualized.

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

FINANCIAL HIGHLIGHTS

FOR THE THREE MONTHS AND SIX MONTHS ENDED JUNE 30, 2019 AND 2018 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series D units for the three months and six months ended June 30, 2019 and 2018. This information has been derived from information presented in the financial statements.

	Series D
	Three Months Ended June 30,						Six Months Ended June 30,
	2019			2018			2019			2018
Per Unit Performance
(for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period	$	1,010.61		$	1,010.29		$	966.54		$	1,052.25

Income (loss) from operations:
Total net trading gains (losses) ₍₁₎		64.58			(13.60	)		110.00			(51.25	)
Net investment income (loss) ₍₁₎		(0.80	)		(1.98	)		(0.93	)		(5.03	)
Total net income (loss) from operations		63.78			(15.58	)		109.07			(56.28	)
Offering costs ₍₁₎		(1.31	)		(1.24	)		(2.53	)		(2.50	)
Net asset value per unit at end of period	$	1,073.08		$	993.47		$	1,073.08		$	993.47
Total Return ₍₄₎		6.18	%		(1.66	)%		11.02	%		(5.59	)%

Supplemental Data
Ratios to average net asset value:
Expenses prior to performance fee₍₃₎		3.11	%		2.89	%		3.11	%		2.70	%
Performance fee ₍₄₎		0.00	%		0.00	%		0.00	%		0.00	%
Total expenses		3.11	%		2.89	%		3.11	%		2.70	%
Net investment income (loss) _(2),(3)		(0.31	)%		(0.77	)%		(0.19	)%		(0.91	)%

(1)

(2)	Excludes performance fee.

(3)	Annualized.

(4)	Not annualized.

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

FINANCIAL HIGHLIGHTS

FOR THE THREE MONTHS AND SIX MONTHS ENDED JUNE 30, 2019 AND 2018 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series W units for the three months and six months ended June 30, 2019 and 2018. This information has been derived from information presented in the financial statements.

	Series W
	Three Months Ended June 30,						Six Months Ended June 30,
	2019			2018			2019			2018
Per Unit Performance
(for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period	$	2,893.26		$	2,870.68		$	2,761.91		$	2,978.63

Income (loss) from operations:
Total net trading gains (losses) ₍₁₎		185.05			(38.70	)		314.98			(136.31	)
Net investment income (loss) ₍₁₎		3.32			(0.25	)		8.23			(6.89	)
Total net income (loss) from operations		188.37			(38.95	)		323.21			(143.20	)
Offering costs ₍₁₎		(3.75	)		(3.52	)		(7.24	)		(7.22	)
Net asset value per unit at end of period	$	3,077.88		$	2,828.21		$	3,077.88		$	2,828.21
Total Return ₍₄₎		6.38	%		(1.48	)%		11.44	%		(5.05	)%

Supplemental Data
Ratios to average net asset value:
Expenses prior to performance fee ₍₃₎		2.36	%		2.23	%		2.36	%		2.23	%
Performance fee ₍₄₎		0.00	%		0.00	%		0.00	%		0.00	%
Total expenses		2.36	%		2.23	%		2.36	%		2.23	%
Net investment income (loss) _(2),(3)		0.45	%		(0.04	)%		0.58	%		(0.48	)%

(1)

(2)	Excludes performance fee.

(3)	Annualized.

(4)	Not annualized.

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

JUNE 30, 2019

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.

Effective August 31, 2008, the Trust began offering units of beneficial interest classified into Series A units, Series B units and Series W units. Effective July 1, 2017, the Trust began offering units of beneficial interest classified into Series D units. The rights of the Series A units, Series B units, Series D units and Series W units are identical, except that the fees and commissions vary on a Series-by-Series basis. Series A, Series D and Series W commenced trading on October 1, 2008, October 1, 2017 and March 1, 2009, respectively. The initial minimum subscription for Series A units, Series D 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 1G, Note 1I and Note 2 for an explanation of allocations and Series specific charges.

B. Regulation

As a registrant with the Securities and Exchange Commission (the “SEC”), the Trust is subject to the regulatory requirements under the Securities and Exchange Act of 1934. 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 (the “futures brokers”) and interbank market maker through which the Trust trades.

C. Method of Reporting

The Trust’s financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which may require the use of certain estimates made by the Trust’s management. Actual results may differ from these estimates.

These financial statements should be read in conjunction with the financial statements and notes thereto included in the Trust’s Annual Report on Form 10-K filed with the SEC for the year ended December 31, 2018. All adjustments of a normal recurring nature considered necessary for fair presentation have been included herein.

The Trust meets the definition of an investment company according to the provisions of Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946-10, Financial Services - Investment Companies.

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 value and fair value) are reported in the Statements of Financial Condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with ASC 210-20, Offsetting - Balance Sheet. The fair value of futures (exchange-traded) contracts is based on 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 fixed income investments are marked to market on the last business day of the reporting period by the Administrator using 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. Premiums and discounts on fixed income securities are amortized and accreted for financial reporting purposes.

The short term investments represent cash held at the custodian and invested overnight in a money market fund.

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.

Table of Contents

THE CAMPBELL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

JUNE 30, 2019

D. Fair Value

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 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 June 30, 2019 and December 31, 2018, and for the periods ended June 30, 2019 and 2018, the Trust did not have any Level 3 assets or liabilities.

The following tables set forth by level within the fair value hierarchy the Trust’s investments accounted for at fair value on a recurring basis as of June 30, 2019 and December 31, 2018.

	Fair Value at June 30, 2019
Description	Level 1		Level 2			Level 3		Total
Investments
Short term investments	$	16,739	$	0		$	0	$	16,739
Fixed income securities		0		251,286,170			0		251,286,170

Other Financial Instruments
Exchange-traded futures contracts		10,113,287		0			0		10,113,287
Forward currency contracts		0		(2,643,207	)		0		(2,643,207	)
Total	$	10,130,026	$	248,642,963		$	0	$	258,772,989

	Fair Value at December 31, 2018
Description	Level 1		Level 2		Level 3		Total
Investments
Short term investments	$	2,868	$	0	$	0	$	2,868
Fixed income securities		0		263,169,856		0		263,169,856

Other Financial Instruments
Exchange-traded futures contracts		5,685,191		0		0		5,685,191
Forward currency contracts		0		8,367,386		0		8,367,386
Total	$	5,688,059	$	271,537,242	$	0	$	277,225,301

The gross presentation of the fair value of the Trust’s derivatives by instrument type is shown in Note 9. See Condensed Schedules of Investments for additional detail categorization.

Table of Contents

THE CAMPBELL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

JUNE 30, 2019

E. Cash and Cash Equivalents

Cash and cash equivalents includes cash and overnight money market investments at financial institutions.

F. 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. There are no tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Trust files federal and state tax returns. The 2015 through 2018 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

G. Offering Costs

Campbell & Company, LP (“Campbell & Company”) has incurred all costs in connection with the initial and continuous offering of units of the Trust (“offering costs”). Series A units, Series D units and Series W units will each bear the offering costs incurred in relation to the offering of Series A units, Series D units and Series W units, respectively. Offering costs are charged to Series A, Series D and Series W at a monthly rate of 1/12 of 0.5% (0.5% annualized) of each 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, Series D and Series 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, Series D units and Series W units will have no further obligation to Campbell & Company. At June 30, 2019, and December 31, 2018, the amount of unreimbursed offering costs incurred by Campbell & Company is $196,788 and $116,422 for Series A units, $62,233 and $53,235 for Series D units and $225,999 and $215,298 for Series W units, respectively.

H. 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 Statements 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.

I. Allocations

Income or loss (prior to calculation of the management 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, offering costs and performance fee applicable to such Series of units.

J. Recently Issued Accounting Pronouncements

In August 2018, the FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement. The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Campbell & Company has adopted the new guidance, and management has determined its adoption has no material impact on the Trust’s financial statement disclosures.

In July 2019, the FASB issued ASU 2019-07, Codification Updates to SEC Sections – Amendments to SEC Paragraphs Pursuant to SEC Final Rule Releases No. 33-10532, Disclosure Update and Simplification, and Nos. 33-10231 and 33-10442, Investment Company Reporting Modernization, and Miscellaneous Updates. The primary focus of ASU 2019-07 is to clarify amendments made by the SEC with the intention of facilitating the disclosure of information to investors and simplifying compliance without significantly altering the total mix of information provided to investors. As a result of these amendments, an analysis of changes in equity is required for the current and comparative interim periods, with subtotals for each interim period. Campbell & Company has adopted the new guidance, and management has determined its adoption has no material impact on the Trust’s financial statement disclosures.

Table of Contents

THE CAMPBELL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

JUNE 30, 2019

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 D units pay the managing operator a monthly management fee equal to 1/12 of 2.75% (2.75% annually) of the Net Assets (as defined) of Series D units 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. ADMINISTRATOR AND TRANSFER AGENT

Northern Trust Hedge Fund Services LLC serves as the Administrator of the Trust. The Administrator receives fees at rates agreed upon between the Trust and the Administrator and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties. The Administrator’s primary responsibilities are portfolio accounting and fund accounting services.

Effective January 1, 2019, NAV Consulting, Inc. serves as the Transfer Agent for the Trust. The Transfer Agent receives fees at rates agreed upon between the Trust and the Transfer Agent and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties.

Note 5. CASH MANAGER AND CUSTODIAN

PNC Capital Advisors, LLC serves as the cash manager under the Investment Advisory Agreement to manage and control the liquid assets of the Trust. PNC Capital Advisors, LLC is registered as an investment adviser with the SEC of the United States under the Investment Advisers Act of 1940.

The Trust has 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 6. DEPOSITS WITH FUTURES BROKERS

The Trust deposits assets with UBS Securities LLC and Goldman Sachs & Co. LLC as the futures brokers, subject to Commodity Futures Trading Commission regulations and various exchange and futures broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with such futures brokers. The Trust typically earns interest income on its assets deposited with the futures brokers.

Table of Contents

THE CAMPBELL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

JUNE 30, 2019

Note 7. DEPOSITS WITH INTERBANK MARKET MAKER

The Trust’s counterparty with regard to its forward currency transactions is NatWest Markets plc (“NatWest”), formerly the Royal Bank of Scotland. The Trust has entered into an International Swaps and Derivatives Association Master Agreement (“ISDA Agreement”) with NatWest which governs these transactions. The credit ratings reported by the three major rating agencies for NatWest were considered investment grade as of June 30, 2019. Margin requirements are satisfied by the deposit of cash with NatWest. The Trust typically earns interest income on its assets deposited with NatWest.

Note 8. 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 eighth month-end, 0.667% of Net Asset Value per unit redeemed through the ninth month-end, 0.500% of Net Asset Value per unit redeemed through the tenth month-end, 0.333% of Net Asset Value per unit redeemed through the eleventh month-end and 0.167% of Net Asset Value per unit redeemed through the twelfth month end. For the six months ended June 30, 2019 and 2018, Campbell & Company received redemption fees of $36 and $245, respectively.

Note 9. TRADING ACTIVITIES AND RELATED RISKS

The Trust engages in the speculative trading of U.S. and foreign futures contracts and forward currency contracts (collectively, “derivatives”). Specifically, the Trust trades a portfolio focused on futures and forward contracts, which are instruments designed to hedge changes in interest rates, currency exchange rates, stock index values, metals, energy and agriculture values. The Trust is exposed to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract.

Market Risk

For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the fair value of the Trust’s open positions and, consequently, in its earnings and cash flow. The Trust’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Trust’s open positions and the liquidity of the markets in which it trades. Theoretically, the Trust is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. 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 the provisions of ASC 815, Derivatives and Hedging, (“ASC 815”). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity’s financial position, financial performance and cash flows.

Table of Contents

THE CAMPBELL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

JUNE 30, 2019

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 Statements of Financial Condition, as of June 30, 2019 and December 31, 2018 is as follows:

Type of Instrument *	Statements of Financial Condition Location	Asset Derivatives at June 30, 2019 Fair Value		Liability Derivatives at June 30, 2019 Fair Value			Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts	$	634,289	$	(1,669,491	)	$	(1,035,202	)
Energy Contracts	Net unrealized gain (loss) on open futures contracts		911,890		(234,012	)		677,878
Metal Contracts	Net unrealized gain (loss) on open futures contracts		2,356,471		(3,659,530	)		(1,303,059	)
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		2,460,499		(266,663	)		2,193,836
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		5,363,471		(95,652	)		5,267,819
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		5,188,726		(876,711	)		4,312,015
Forward Currency Contracts	Net unrealized gain (loss) on open forward currency contracts		15,200,112		(17,843,319	)		(2,643,207	)
Totals		$	32,115,458	$	(24,645,378	)	$	7,470,080

* Derivatives not designated as hedging instruments under ASC 815

Type of Instrument *	Statements of Financial Condition Location	Asset Derivatives at December 31, 2018 Fair Value		Liability Derivatives at December 31, 2018 Fair Value			Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts	$	3,387,407	$	(72,296	)	$	3,315,111
Energy Contracts	Net unrealized gain (loss) on open futures contracts		944,156		(1,618,352	)		(674,196	)
Metal Contracts	Net unrealized gain (loss) on open futures contracts		4,959,401		(3,620,851	)		1,338,550
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		1,209,323		(1,337,214	)		(127,891	)
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		1,943,511		(27,591	)		1,915,920
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		2,271,180		(2,353,483	)		(82,303	)
Forward Currency Contracts	Net unrealized gain (loss) on open forward currency contracts		22,965,576		(14,598,190	)		8,367,386
Totals		$	37,680,554	$	(23,627,977	)	$	14,052,577

* Derivatives not designated as hedging instruments under ASC 815

Table of Contents

THE CAMPBELL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

JUNE 30, 2019

The trading revenue of the Trust’s derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three months and six months ended June 30, 2019 and 2018 is as follows:

Type of Instrument	Trading Gains/(Losses) for the Three Months Ended June 30, 2019			Trading Gains/(Losses) for the Three Months Ended June 30, 2018
Agriculture Contracts	$	(5,120,053	)	$	(4,093,993	)
Energy Contracts		313,927			10,859,812
Metal Contracts		(2,975,323	)		(9,866,141	)
Stock Indices Contracts		9,782,033			(426,669	)
Short-Term Interest Rate Contracts		11,509,688			1,799,680
Long-Term Interest Rate Contracts		10,153,394			(1,932,596	)
Forward Currency Contracts		(3,185,238	)		(2,735,090	)
Total	$	20,478,428		$	(6,394,997	)

Type of Instrument	Trading Gains/(Losses) for the Six Months Ended June 30, 2019			Trading Gains/(Losses) for the Six Months Ended June 30, 2018
Agriculture Contracts	$	(4,267,334	)	$	(8,423,327	)
Energy Contracts		(3,878,617	)		13,163,132
Metal Contracts		(4,651,879	)		(10,338,405	)
Stock Indices Contracts		17,713,903			(27,942,949	)
Short-Term Interest Rate Contracts		15,804,218			5,916,146
Long-Term Interest Rate Contracts		21,791,572			3,193,528
Forward Currency Contracts		(6,710,916	)		1,053,253
Total	$	35,800,947		$	(23,378,622	)

Line Item in the Statements of Operations	Trading Gains/(Losses) for the Three Months Ended June 30, 2019			Trading Gains/(Losses) for the Three Months Ended June 30, 2018
Futures trading gains (losses):
Realized**	$	26,844,465		$	1,076,073
Change in unrealized		(3,180,799	)		(4,735,980	)
Forward currency trading gains (losses):
Realized**		(3,532,860	)		(17,394,872	)
Change in unrealized		347,622			14,659,782
Total	$	20,478,428		$	(6,394,997	)

Line Item in the Statements of Operations	Trading Gains/(Losses) for the Six Months Ended June 30, 2019			Trading Gains/(Losses) for the Six Months Ended June 30, 2018
Futures trading gains (losses):
Realized**	$	38,083,767		$	(19,648,992	)
Change in unrealized		4,428,096			(4,782,883	)
Forward currency trading gains (losses):
Realized**		4,299,677			(7,284,977	)
Change in unrealized		(11,010,593	)		8,338,230
Total	$	35,800,947		$	(23,378,622	)

**	Amounts differ from the amounts on the Statements of Operations as the amounts above do not include gains and losses on foreign currency cash balances at the futures brokers and interbank market maker.

Table of Contents

THE CAMPBELL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

JUNE 30, 2019

For the three months ended June 30, 2019 and 2018, the monthly average of futures contracts bought and sold was approximately 46,100 and 42,600, respectively, and the monthly average of notional value of forward currency contracts was $3,620,300,000 and $2,242,600,000, respectively.

For the six months ended June 30, 2019 and 2018, the monthly average of futures contracts bought and sold was approximately 49,200 and 43,500, respectively, and the monthly average of notional value of forward currency contracts was $3,556,800,000 and $2,149,500,000, respectively.

Open contracts generally mature within three months; as of June 30, 2019, the latest maturity date for open futures contracts is September 2020 and the latest maturity date for open forward currency contracts is September 2019. However, the Trust intends to close all futures and forward currency contracts prior to maturity.

Credit Risk

The Trust trades futures contracts on exchanges that require margin deposits with the futures brokers. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a futures broker to segregate all customer transactions and assets from such futures broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury Bills) deposited with a futures broker are considered commingled with all other customer funds subject to the futures broker’s segregation requirements. In the event of a futures broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property deposited.

The Trust trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward 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 contracts typically involves delayed cash settlement.

The Trust has a portion of its assets on deposit with PNC Bank. In the event of a financial institution’s insolvency, recovery of the Trust’s assets on deposit may be limited to account insurance or other protection afforded such deposits.

Under the terms of the ISDA Agreement with NatWest, upon the designation of an Event of Default, as defined in the ISDA Agreement, the non-defaulting party may set-off any sum or obligation owed by the defaulting party to the non-defaulting party against any sum or obligation owed by the non-defaulting party to the defaulting party. If any sum or obligation is unascertained, the non-defaulting party may in good faith estimate that sum or obligation and set-off in respect to that estimate, accounting to the other party when such sum or obligation is ascertained.

Under the terms of each of the master netting agreement with UBS Securities and Goldman Sachs, upon occurrence of a default by the Trust, as defined in respective account documents, UBS Securities and Goldman Sachs have the right to close out any or all open contracts held in the Trust’s account; sell any or all of the securities held; and borrow or buy any securities, contracts or other property for the Trust’s account. The Trust would be liable for any deficiency in its account resulting from such transactions.

The amount of required margin and good faith deposits with the futures broker and interbank market maker usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at June 30, 2019 and December 31, 2018 was $37,581,266 and $51,073,206, respectively, which equals approximately 11% and 15% of Net Asset Value, respectively. The cash deposited with the interbank market maker at June 30, 2019 and December 31, 2018 was $42,440,332 and $36,845,456, respectively, which equals approximately 13% and 11% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. Included in cash deposits with the futures brokers and interbank market maker at June 30, 2019 and December 31, 2018 was restricted cash for margin requirements of $30,875,936 and $15,828,352, respectively, which equals approximately 9% and 5% of Net Asset Value, respectively.

Table of Contents

THE CAMPBELL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

JUNE 30, 2019

Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the Statements of Financial Condition and instruments and transactions that are subject to a master netting agreement as well as amounts related to financial collateral (including U.S. Treasury Bills and cash collateral) held at clearing brokers and counterparties. Margin reflected in the collateral tables is limited to the net amount of unrealized loss at each counterparty. Actual margin amounts required at each counterparty are based on the notional amounts or the number of contracts outstanding and may exceed the margin presented in the collateral tables.

Offsetting of Derivative Assets by Counterparty
As of June 30, 2019
Type of Instrument	Counterparty	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	8,567,572	$	(3,500,105	)	$	5,067,467
Futures contracts	Goldman Sachs & Co. LLC		8,347,774		(3,301,954	)		5,045,820
Forward currency contracts	NatWest Markets plc		15,200,112		(15,200,112	)		0
Total derivatives		$	32,115,458	$	(22,002,171	)	$	10,113,287

Derivative Assets and Collateral Received by Counterparty
As of June 30, 2019
	Net Amounts of Unrealized Gain in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty			Financial Instruments		Cash Collateral Received		Net Amount
UBS Securities LLC	$	5,067,467	$	0	$	0	$	5,067,467
Goldman Sachs & Co. LLC		5,045,820		0		0		5,045,820
NatWest Markets plc		0		0		0		0
Total	$	10,113,287	$	0	$	0	$	10,113,287

Offsetting of Derivative Liabilities by Counterparty
As of June 30, 2019
Type of Instrument	Counterparty	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statements of Financial Condition			Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	3,500,105	$	(3,500,105	)	$	0
Futures contracts	Goldman Sachs & Co. LLC		3,301,954		(3,301,954	)		0
Forward currency contracts	NatWest Markets plc		17,843,319		(15,200,112	)		2,643,207
Total derivatives		$	24,645,378	$	(22,002,171	)	$	2,643,207

Derivative Liabilities and Collateral Pledged by Counterparty
As of June 30, 2019
	Net Amounts of Unrealized Loss in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty			Financial Instruments		Cash Collateral Pledged			Net Amount
UBS Securities LLC	$	0	$	0	$	0		$	0
Goldman Sachs & Co. LLC		0		0		0			0
NatWest Markets plc		2,643,207		0		(2,643,207	)		0
Total	$	2,643,207	$	0	$	(2,643,207	)	$	0

Table of Contents

THE CAMPBELL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

JUNE 30, 2019

Offsetting of Derivative Assets by Counterparty
As of December 31, 2018
Type of Instrument	Counterparty	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	7,589,907	$	(4,587,126	)	$	3,002,781
Futures contracts	Goldman Sachs & Co. LLC		7,125,071		(4,442,661	)		2,682,410
Forward currency contracts	NatWest Markets plc		22,965,576		(14,598,190	)		8,367,386
Total derivatives		$	37,680,554	$	(23,627,977	)	$	14,052,577

Derivative Assets and Collateral Received by Counterparty
As of December 31, 2018
	Net Amounts of Unrealized Gain in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty			Financial Instruments		Cash Collateral Received		Net Amount
UBS Securities LLC	$	3,002,781	$	0	$	0	$	3,002,781
Goldman Sachs & Co. LLC		2,682,410		0		0		2,682,410
NatWest Markets plc		8,367,386		0		0		8,367,386
Total	$	14,052,577	$	0	$	0	$	14,052,577

Offsetting of Derivative Liabilities by Counterparty
As of December 31, 2018
Type of Instrument	Counterparty	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statements of Financial Condition			Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	4,587,126	$	(4,587,126	)	$	0
Futures contracts	Goldman Sachs & Co. LLC		4,442,661		(4,442,661	)		0
Forward currency contracts	NatWest Markets plc		14,598,190		(14,598,190	)		0
Total derivatives		$	23,627,977	$	(23,627,977	)	$	0

Derivative Liabilities and Collateral Pledged by Counterparty
As of December 31, 2018
	Net Amounts of Unrealized Loss in the Statements of Financial Condition		Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty			Financial Instruments		Cash Collateral Pledged		Net Amount
UBS Securities LLC	$	0	$	0	$	0	$	0
Goldman Sachs & Co. LLC		0		0		0		0
NatWest Markets plc		0		0		0		0
Total	$	0	$	0	$	0	$	0

Table of Contents

THE CAMPBELL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

JUNE 30, 2019

Campbell & Company has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. Campbell & Company’s basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%. Campbell & Company’s attempt to manage the risk of the Trust’s open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses. Campbell & Company controls the risk of the Trust’s non-trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments.

Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Trust’s assets at financial institutions and brokers which Campbell & Company believes to be credit worthy. The unitholder bears the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.

Note 10. 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 11. INTERIM FINANCIAL STATEMENTS

The Statements of Financial Condition, including the Condensed Schedules of Investments, as of June 30, 2019 and December 31, 2018, the Statements of Operations and Financial Highlights for the three months and six months ended June 30, 2019 and 2018, and the Statements of Cash Flows and Changes in Unitholders’ Capital (Net Asset Value) for the six months ended June 30, 2019 and 2018 are unaudited. In the opinion of management, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of June 30, 2019 and December 31, 2018, the results of operations and financial highlights for the three months and six months ended June 30, 2019 and 2018, and cash flows and changes in unitholders’ capital (Net Asset Value) for the six months ended June 30, 2019 and 2018.

Note 12. 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.

Table of Contents

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.

Introduction

The Campbell Fund Trust (the “Trust”) is a business trust organized on January 2, 1996 under the Delaware Business Trust Act, which was replaced by the Delaware Statutory Trust Act as of September 1, 2002. The Trust is a successor to the Campbell Fund Limited Partnership (formerly known as the Commodity Trend Fund) which began trading operations in January 1972. The Trust currently trades in the U.S. and international futures and forward markets under the sole direction of Campbell & Company, LP, the managing operator of the Trust. Specifically, the Trust trades in a diverse array of global assets, including global interest rates, stock indices, currencies and commodities. The Trust is an actively managed account with speculative trading profits as its objective.

Effective August 31, 2008, the Trust began offering Series A, Series B, and Series W Units. The units in the Trust prior to that date became Series B Units. Series B Units are only available for additional investment by existing holders of Series B Units. Effective August 1, 2017, the Trust began offering Series D units.

As of June 30, 2019, the aggregate capitalization of the Trust was $328,133,946 with Series A, Series B, Series D and Series W comprising $261,798,509, $38,700,109, $1,678,312 and $25,957,016, respectively, of the total. The Net Asset Value per Unit was $2,629.51 for Series A, $2,870.60 for Series B, $1,073.08 for Series D and $3,077.88 for Series W.

Critical Accounting Policies

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates utilized in preparing the financial statements are reasonable and prudent; however, actual results could differ from those estimates. The Trust’s significant accounting policies are described in detail in Note 1 of the Financial Statements.

The Trust records all investments at fair value in its financial statements, with changes in fair value reported as a component of realized and change in unrealized trading gain (loss) in the Statements of Operations. Generally, fair values are based on market prices; however, in certain circumstances, estimates are involved in determining fair value in the absence of an active market closing price (i.e., forward contracts which are traded in the inter-bank market).

Capital Resources

The Trust will raise additional capital only through the sale of Units offered pursuant to the continuing offering, and does not intend to raise any capital through borrowing. Due to the nature of the Trust’s business, it will make no capital expenditures and will have no capital assets which are not operating capital or assets.

The Trust generally maintains 60% to 75% of its net asset value in cash, cash equivalents or other liquid positions in its cash management program over and above that needed to post as collateral for trading. These funds are available to meet redemptions each month. After redemptions and additions are taken into account each month, the trade levels of the Trust are adjusted and positions in the instruments the Trust trades are added or liquidated on a pro-rata basis to meet those increases or decreases in trade levels.

Liquidity

Most United States futures exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Trust from promptly liquidating unfavorable positions and subject the Trust to substantial losses which could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Trust may not be able to execute futures trades at favorable prices, if little trading in such contracts is taking place. Other than these limitations on liquidity, which are inherent in the Trust’s futures trading operations, the Trust’s assets are expected to be highly liquid.

The entire offering proceeds, without deductions, will be credited to the Trust’s bank, custodial and/or cash management accounts. The Trust meets margin requirements for its trading activities by depositing cash and U.S. government securities with the futures broker and the over-the-counter counterparty. This does not reduce the risk of loss from trading activities. The Trust receives all interest earned on its assets. No other person shall receive any interest or other economic benefits from the deposit of Trust assets.

Table of Contents

Approximately 10% to 30% of the Trust’s assets normally are committed as required margin for futures contracts and held by the futures brokers, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury Bills in segregated accounts with the futures brokers pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 5% to 15% of the Trust’s assets are deposited with the over-the-counter counterparty in order to initiate and maintain forward contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparty.

The managing operator deposits the majority of those assets of the Trust that are not required to be deposited as margin with the futures brokers and over-the-counter counterparties in a custodial account with Northern Trust Company. The assets deposited in the custodial account with Northern Trust Company are segregated. Such custodial account constitutes approximately 60% to 75% of the Trust’s assets and are invested directly by PNC Capital Advisors, LLC (“PNC”). PNC is registered with the SEC as an investment adviser under the Investment Advisers Act of 1940. PNC does not guarantee any interest or profits will accrue on the Trust’s assets in the custodial account. PNC invest the assets according to agreed upon investment guidelines that first preserve capital, second allow for sufficient liquidity, and third provide a yield beyond the risk-free rate. Investments can include, but are not limited to, (i) U.S. Government Securities, Government Agency Securities, Municipal Securities, banker acceptances and certificates of deposits; (ii) commercial paper; (iii) short-term investment grade corporate debt; and (iv) Asset Backed Securities.

The Trust occasionally receives margin calls (requests to post more collateral) from its futures brokers or over-the-counter counterparty, which are met by moving the required portion of the assets held in the custody account at Northern Trust Company to the margin accounts. In the past three years, the Trust has not needed to liquidate any position as a result of a margin call.

The Trust’s assets are not and will not be, directly or indirectly, commingled with the property of any other person in violation of law or invested in or loaned to Campbell & Company or any affiliated entities.

Off-Balance Sheet Risk

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Trust trades in futures and forward contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Trust, market risk, that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Trust at the same time, and if the Trust’s trading advisor was unable to offset futures interests positions of the Trust, the Trust could lose all of its assets and the Unitholders would realize a 100% loss. Campbell & Company, the managing operator (who also acts as trading advisor), minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30% however, these precautions may not be effective in limiting the risk of loss.

In addition to market risk, in entering into futures and forward contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Trust. The counterparty for futures contracts traded in the United States and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.

In the case of forward contracts, which are traded on the interbank market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a group of financial institutions; thus there may be a greater counterparty credit risk. Campbell & Company trades for the Trust only with those counterparties which it believes to be creditworthy. All positions of the Trust are valued each day at fair value. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Trust.

Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts Accounted for at Fair Value

The Trust invests in futures and forward currency contracts. The market 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 of the last business day of the reporting period. The fair value of forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) of the last business day of the reporting period.

Table of Contents

Results of Operations

The returns for the six months ended June 30, 2019 and 2018 for Series A were 10.33% and (5.93)%, Series B were 10.61% and (5.76)%, Series D were 11.02% and (5.59)% and Series W were 11.44% and (5.05)%, respectively.

2019 (For the Six Months Ended June 30)

Of the 10.33% return for the six months ended June 30, 2019 for Series A, approximately 11.70% was due to trading gains (before commissions) and approximately 1.47% due to investment income, offset by approximately (2.84)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series A.

Of the 10.61% return for the six months ended June 30, 2019 for Series B, approximately 11.70% was due to trading gains (before commissions) and approximately 1.47% due to investment income, offset by approximately (2.56)% due to brokerage fees, management fees and operating costs incurred by Series B.

Of the 11.02% return for the six months ended June 30, 2019 for Series D, approximately 11.70% was due to trading gains (before commissions) and approximately 1.47% due to investment income, offset by approximately (2.15)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series D.

Of the 11.44% return for the six months ended June 30, 2019 for Series W, approximately 11.70% was due to trading gains (before commissions) and approximately 1.47% due to investment income, offset by approximately (1.73)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series W.

During the six months ended June 30, 2019, the Trust accrued management fees in the amount of $6,336,135 and paid management fees in the amount of $6,375,416. There were no performance fees accrued or paid during this period.

An analysis of the 11.70% gross trading gains for the Trust for the six months ended June 30, 2019 by sector is as follows:

Sector	% Gain (Loss)
Commodities		(3.71	)%
Currencies		(2.06	)
Interest Rates		11.85
Stock Indices		5.62
		11.70	%

The Trust, which consists of trend following, systematic macro, and short-term strategies, was lower in January. Losses came from commodity and foreign exchange positions, while fixed income and stock holdings produced partially offsetting gains for the Trust. Commodity trading generated losses for the Trust in January. Short energy positions suffered as the complex rebounded from multi-year lows on back of bullish fundamental developments and a general increase in risk sentiment. Short grain positioning also detracted as the sector traded higher amid adverse weather conditions in key growing regions, and some optimism surrounding the latest round of trade talks between the US and China. Foreign exchange positioning produced additional losses, with gains in long emerging market currencies (versus the USD) being overshadowed by losses in the developed markets, where we were net short against the greenback. The USD was broadly weaker on the month with the notable themes being the US government shutdown and a less hawkish FOMC. Short positioning on several of the commodity currencies produced the largest losses as those currencies rallied on back of the increase in prices across the petroleum complex during the month. Interest rate positions from long-dated instruments provided offsetting profits during the month. Long positioning on bonds issued by Australia, Canada, and France generated the largest gains. The shift in central bank rhetoric to a more dovish tone caused global fixed income markets to rise to start the year. Stock index positions also produced some offsetting gains during the month. Despite a myriad of global headwinds, stock markets recovered from their December sell-off, encouraged by a resumption of trade talks, dovish Fed takeaways, and the start of US Q4 earnings that mostly met expectations. Shorter term strategies moved from short to long, flipping net Trust positioning in time to capitalize on rallying equity markets, especially in the Hang Seng index.

Table of Contents

The Trust showed a profit in February with gains coming from commodity and stock index positions, while interest rate holdings produced some partially offsetting losses. Foreign Exchange (FX) had little P&L impact on the Trust during the month. Commodity trading generated profits for the Trust in February. Short positioning across the grain subsector produced some of the best sector gains. Wheat extended a sell-off to a ten-month low following a year-over-year improvement in winter crop conditions. A long position on palladium led gains in the precious metals subsector. Palladium rose to a record high amid tight supplies and steadily rising demand for the rare metal. Some partially offsetting losses came from the industrial metal subsector. Short positioning on copper and nickel suffered as prices rose, driven by signs of progress on US / Chinese trade talks and amid tight supplies. Stock index positions produced additional gains. Long positioning on European, US, and Asia-Pacific indices produced the best profits within the sector. European stock Indices benefitted from signs of progress for a successful Brexit (the UK divorce from the European Union) with the Euro Stoxx 50 and the French CAC 40 producing some of the greatest sector returns. Asia-Pacific stocks rallied amid signs that a US / Chinese trade deal was also making positive progress. President Trump delayed a March 1st tariff increase on China as he cited “significant progress” on the trade talks. Some of the biggest gains within the region came from Australia and Hong Kong. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting losses during the month. Long positioning on the United Kingdom gilt (10-year note) contributed the largest losses to the sector. Signs of positive progress on Brexit and hawkish comments from the UK central bank head Mark Carney conspired to send gilt prices down sharply from near-term highs. In the foreign exchange sector, gains in developed market currencies were almost equally offset by losses in the emerging market currencies, leading to negligible P&L for currencies overall. Long US dollar positioning was profitable against developed market currencies but losses in the emerging markets, especially from the Brazilian real and the South African rand, mostly negated any FX sector gains.

The Trust showed a profit in March with gains coming from interest rate and stock index holdings. Foreign exchange (FX) positions produced some partially offsetting losses while commodities had little impact on the Trust. Interest rate positions in long and short-dated instruments spearheaded Trust gains in March. More dovish than expected commentary from central bankers, growing global growth concerns, and persistently weak economic data ignited a sharp rally in bonds worldwide. Long positioning on the UK gilt provided the biggest gain as investors sought safe havens amidst Brexit gridlock. Net long positioning in US bonds generated additional gains after the FOMC scaled back projected interest-rate increases this year to zero and said they would end the drawdown of the central bank bond holdings in September. One of the most discussed bond headlines this month was the inversion of the US yield curve (3-month bills and 10-year note) for the first time since the global financial crisis. Long positioning on a variety of global stock indices also added to the positive monthly result. Stock index returns ebbed and flowed on the various themes of stalling global economy growth, dovish central bank rhetoric, US-China trade talks, and Brexit. Some of the best monthly stock index gains were found in Europe and the United States. Foreign exchange positioning on developed FX markets drove the sector’s losses during the month. The Trust started the month long the Canadian dollar (versus the USD) which ultimately weakened after a worse than expected Canadian GDP release. Small gains in the emerging market currencies helped offset some of the losses. Commodity holdings produced mixed results in March. Long energy positions detracted as upside momentum in the complex stalled alongside a pause in global risk sentiment. Precious metals also registered a negative contribution to the Trust, primarily from a long palladium position. After hitting new all-time highs, palladium prices plummeted in the waning days of the month as slowing global economic growth sparked demand worries. Short grains holdings provided offsetting gains as the complex sold-off into month-end following a bearish USDA grain report.

The Trust showed a profit in April with gains coming from stock index and commodity positions, while interest rate and foreign exchange holdings produced some partially offsetting losses during the month. Stock index positions produced the best Trust gains. Long positioning on European and Asia-Pacific indexes generated the largest profits within the sector. Global stock indexes generally produced strong gains during April. Those gains were driven by dovish statements from several major central banks, signs of improving economic growth from China, some better-than-expected economic releases from the United States, and amid mostly robust Q1 corporate earnings reports. Commodity trading also generated profits for the Trust in April. Short positioning across the grain subsector produced some of the best sector gains driven by a stronger US dollar and ample global supply expectations. Soybeans traded to a 6-month low while wheat fell to a 6-week low during the month. Long positioning on the energy subsector also added to gains. The subsector benefited from a combination of broad demand for global risk assets and increasing concerns over an undersupplied market. Some partially offsetting losses came from the industrial metals subsector. Long positioning in zinc and copper led losses as the complex suffered its biggest monthly decline on a year-to-date basis. Base metals faced headwinds from a stronger US dollar and climbing inventory stockpiles. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting losses during the month. Long positioning on the United Kingdom gilt (10-year note) and short sterling (90-day bill) contributed the largest losses to the sector. A 6-month Brexit extension sent UK fixed income prices lower as traders liquidated safe-haven positions as the threat of a “hard” UK separation from the European Union diminished. In the foreign exchange sector, losses were generated in the emerging market (EM) currencies. The trading strategy failed to successfully navigate some choppy price action in the South African rand (against the US dollar) which contributed more than half of the monthly losses within the EM FX sector.

Table of Contents

The Trust showed a loss in May with losses coming from stock index and commodity positions, while interest rate and foreign exchange holdings produced some partially offsetting gains during the month. Stock index positions produced the largest Trust losses. Global stock indexes generally saw steep sell-offs during the month and long positioning on global indexes generated losses within the sector, particularly across Europe and in the United States. Those losses were driven by a sharp escalation of trade tension between the US and both China and Mexico, signs that global growth is decelerating, and as the inverted US Treasury yield curve signaled a higher-than-normal recession risk. Commodity trading also generated losses for the Trust in May. Short positioning across the grain subsector produced the worst sector losses as heavy rains across the Midwest prevented a considerable amount of crop planting in the US. Weekly USDA crop progress reports painted a bullish outlook for prices, especially for corn, which rose sharply to a near three-year high. Long holdings on the energy subsector also added to losses. The energy complex suffered amid weakening demand and as US inventory levels rose to a 22-month high. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting gains during the month. Long positioning on 10-year notes from Australia and the United Kingdom were two of the best performing holdings. Australia’s central bank indicated that interest rate cuts were likely in the coming months sending their notes sharply higher (interest rates fell). In the UK, the Brexit impasse became more uncertain as Prime Minister May stepped down and the future leadership of Britain became less clear. Flight to safety flows benefitted the UK gilt. In the foreign exchange sector, gains were generated in the developed market and emerging market currencies. A short position on the Australian dollar drove gains in the developed FX subsector as that currency sold-off amid some weaker than expected economic data releases and dovish comments from the Governor of the Reserve Bank of Australia. A short position on the Chilean peso proved profitable in the EM subsector as that currency weakened on trade angst and weaker copper prices.

The Trust showed a profit in June with gains coming from stock index and interest rate positions, while foreign exchange and commodity holdings produced some partially offsetting losses during the month. Stock index positions produced the largest Trust profits. Global stock indices bounced back sharply from May’s steep sell-off. Long positioning across most global indexes benefited from signs that major central banks stand ready to provide new stimulus to slowing global economies. Fed Chairman Powell at the June FOMC meeting strongly hinted that rate cuts are coming and ECB President Draghi stated that “in the absence of improvement” in inflation data, “additional stimulus will be required.” Interest rate positions from both long-dated and short-dated instruments provided additional gains during the month. Long positioning in Australia, the United States, Japan, and Europe all benefited from the possibility of renewed central bank easing. Early in the month, the Reserve Bank of Australia became one of the first G10 central banks to actually cut interest rates amid sluggish economic growth and a decline in real estate prices in the country, and then strongly hinted that additional cuts might be warranted. In the foreign exchange sector, losses were generated in the developed market currencies. A short position on the Norwegian krone (versus the US dollar) led sector losses. The Norges Bank bucked the dovish central bank trend and actually hiked interest rates during the month. The hike marked the third increase over the past nine months amid a surge in oil investments, low unemployment, and inflation running above the central bank’s target. Commodity trading provided some small losses for the Trust in June. Industrial metals were the worst performing sub-sector. A short holding on nickel suffered on the back of US dollar weakness and mounting optimism over a Trump-Xi trade meeting on the sidelines of the G-20 summit near month-end. Some partially offsetting gains were seen in long energy holdings. A long position on gasoline profited after a massive fire shut-down one of the East Coast’s largest refineries, crimping supply and sending gas prices sharply higher.

2018 (For the Six Months Ended June 30)

Of the (5.93)% return for the six months ended June 30, 2018 for Series A, approximately (4.30)% was due to trading losses (before commissions) and approximately (2.50)% due to brokerage fees, management fees, offering costs and operating costs, offset by approximately 0.87% due to investment income earned by Series A.

Of the (5.76)% return for the six months ended June 30, 2018 for Series B, approximately (4.30)% was due to trading losses (before commissions) and approximately (2.33)% due to brokerage fees, management fees and operating costs, offset by approximately 0.87% due to investment income earned by Series B.

Of the (5.59)% return for the six months ended June 30, 2018 for Series D, approximately (4.30)% was due to trading losses (before commissions) and approximately (2.16)% due to brokerage fees, management fees, offering costs and operating costs, offset by approximately 0.87% due to investment income earned by Series D.

Of the (5.05)% return for the six months ended June 30, 2018 for Series W, approximately (4.30)% was due to trading losses (before commissions) and approximately (1.62)% due to brokerage fees, management fees, offering costs and operating costs, offset by approximately 0.87% due to investment income earned by Series W.

Table of Contents

An analysis of the (4.30)% gross trading losses for the Trust for the six months ended June 30, 2018 by sector is as follows:

Sector	% Gain (Loss)
Commodities		(0.86	)%
Currencies		0.32
Interest Rates		1.53
Stock Indices		(5.29	)
		(4.30	)%

The Trust showed a profit in January as gains came from foreign exchange, stock index, and interest rate holdings. Commodity positions showed some losses. Foreign exchange positioning, in both developed and emerging FX markets, generated gains during January. The Trust was predominately positioned short the US dollar against other traded currencies and benefitted from a weaker greenback during the month. The weakness can be attributed to a few different themes, including expected hawkish central bank policy shifts outside the US as growth exceeds expectations, trade tensions, and US deficit concerns. The best gains came from long positioning on the British pound, Norwegian krone, and euro all versus short the US dollar. Long positioning on global stock indices also drove profits for the Trust. Most global stock indices welcomed 2018 with robust gains driven by a variety of factors. A synchronized upswing of global economic growth, stronger than expected corporate earnings results, and a major tailwind from the recently passed tax reform in the US all drove equities higher. The so-called “fear of missing out” dynamic only intensified the demand for equity exposure. The best profits were generated in the United States and across Asia, specifically in Hong Kong and Taiwan. Interest rate positions, from long-dated and short-dated bond markets, created additional gains for the Trust. Short positioning on US markets, specifically the 10-year and 5-year notes along with 90-day Eurodollar and 2-year notes, drove a bulk of the profits in the sector. US yields marched higher throughout the month as bond prices dropped amid expectations that the US Federal Reserve will continue its gradual interest rate policy tightening, as US inflation expectations continue to firm against a positive economic backdrop. Commodity holdings produced losses during the month. Profits from long positioning on precious and industrial metals and energy markets were overwhelmed by losses from short grain holdings. The weaker US dollar and stronger economic environment helped the metal and energy longs while strong export sales data hurt the grain shorts.

The Trust declined in February due to losses from stock index, commodity, and foreign exchange holdings. Fixed income positions showed partially offsetting gains. Long positioning on global stock indices drove losses for the Trust. After extending the long-term rally to start 2018, global equity markets spiked lower in the first half of the month. The sell-off was led by US stocks as markets experienced a sharp increase in volatility. While crowded equity positions sold off on profit-taking, the VIX (a measure of volatility on the S&P 500) had its largest ever daily climb on February 5th. The largest Trust loss came out of the US, specifically on the short VIX contract. Commodity holdings produced additional losses. The biggest commodity sub-sector losses were found within the energy markets as long positioning across the complex suffered on the back of increasing US supplies. Additionally, short grain positions generated losses as those markets rallied on strong export sales activity and weather concerns in key growing regions. Long precious metal positions also produced losses amid the stronger US dollar, firmer inflation, and quicker Fed tightening expectations. Foreign exchange positioning, in both developed and emerging FX markets, generated losses during February. After the recent trend of a weakening US dollar, the Trust was positioned short the USD against all of our traded currencies and suffered from a broad correction in the greenback during the month. The reaction from the FX markets to the equity sell-off early in the month was relatively muted, and the market instead focused on higher US yields and heightened inflation expectations. Interest rate positions created some offsetting gains for the Trust. Short positioning on US markets drove the bulk of the profits in the sector. After global fixed income markets rallied on the risk-off trade early in February, Treasuries saw a greater correction than other government bond markets. US yields ultimately moved higher on the month amid expectations that the Federal Reserve will continue its path of tightening, while inflation expectations continue to firm against a positive economic backdrop.

March for the Trust was comprised of gains from commodity holdings while stock index and foreign exchange positions showed partially offsetting losses. Interest rate positions had little impact on the Trust during the month. Commodity holdings produced the best gains during March. Long positioning on the crude complex within the energy sub-sector generated profits. Geopolitical concerns around the US potentially pulling out of the Iran nuclear deal, bullish inventory data, and speculation that OPEC might extend existing production cuts all combined to push energy prices higher during the month. Mixed positioning across the softs sub-sector proved profitable in March as well. A short sugar position gained amid ongoing global surplus concerns while a long cocoa holding also experienced profits as output worries from the Ivory Coast lifted prices. Long positioning on global stock indices produced some losses for the Trust. Holdings in Australia, Singapore, Hong Kong, Japan, and the US contributed to some of the worst performance within the sector. Fear over a potential global trade war, tightening financial conditions after the US Federal Reserve raised interest rates, and concern over additional turnover among senior members of President Trump’s inner circle all put pressure on global equity markets during the month. Foreign exchange positioning on developed FX markets drove the sector’s losses during March. A late month rally in the US dollar produced losses from short dollar positions. The largest loss came from short US dollar versus a long euro holding. Dampening of concerns around a global trade war and quarter-end flows into the greenback both helped to boost the currency in the waning days of the month. Positioning on emerging market currencies produced almost no P&L effect for the Trust during March. Interest rate positions contributed a negligible P&L impact for the Trust. Gains from long-term markets were offset by losses in short-term markets leaving the sector nearly unchanged for the month.

Table of Contents

The Trust had losses in April which came from foreign exchange and commodity positions while fixed income and stock index holdings produced some partially offsetting gains for the Trust. Foreign exchange positioning, in both developed and emerging FX markets, generated losses in April. After the recent trend of a weakening US dollar, the Trust was positioned short the US dollar against most of our traded currencies and suffered from a broad correction in the greenback. Early in the month, FX markets focused more on trade frictions and geopolitical tension but as those concerns eased, the market instead looked to higher US interest rates and heightened inflation expectations, causing a US dollar rally. Commodity holdings produced additional losses during April. The biggest sub-sector detractor was found within the industrial metals complex. Short positioning on aluminum suffered when the commodity pushed higher on supply worries following Russian sanctions by the White House. Energy and soft commodity holdings produced partially offsetting gains. Long positioning across the crude complex generated profits as the sub-sector rose to multi-year highs on supply disruptions. Interest rate positions, from long-dated and short-dated bond markets, created gains for the Trust. Short positioning on US markets, specifically the 10-year and 5-year notes along with Eurodollar and 2-year notes, drove profits in the sector. US bond prices fell and yields trended higher with the 10-year note yield piercing the widely scrutinized 3% level intra-month. Firming inflation expectations and the rebound in the US dollar provided support to yields. Long positioning on several stock indices produced additional gains as global stock markets rose in April. Reduced tariff tensions, strong US earnings, and eased geopolitical concerns on the Korean peninsula provided a tailwind for equities during the month. Additionally, European stocks were supported after the European Central Bank (“ECB”) steered away from any surprises during their April meeting.

Losses in May came from all four asset classes traded by the Trust – Interest Rates, FX, Commodities, and Stock Indices. Interest rate positions generated some of the largest losses for the Trust during May. Long positioning on the Italian 10-year note suffered amid a sharp sell-off due to political turmoil in the country which sparked speculation that Italy might leave the European Union. That same turmoil sent US interest rate markets higher due to safe-haven buying which hurt the Trust as it was positioned short across the entire US interest rate curve in anticipation of further FOMC rate hikes later this year. Foreign exchange positioning, in both developed and emerging FX markets, also generated losses during the month. A long position on the British pound (versus short US dollar) declined in value as the ongoing BREXIT impasse, weaker UK economic data, and fading Bank of England rate-hike expectations all conspired to push the currency lower. A long position on the Turkish lira added to sector losses as economic and political woes in that country sent the EM currency to record lows against the dollar. Commodity holdings produced additional losses as well. A short sugar position suffered as the soft commodity advanced as Brazilian supply concerns boosted prices amid a trucker strike in the country. Other sub-sector losses were experienced in the grains, meats, and precious metals. The energy sub-sector, however, provided some partially offsetting gains. Long positioning across the crude complex benefitted as prices generally stayed in the uptrend that began almost one year ago. Long positioning on a variety of global stock indices produced some good profits for the Trust early in the month as most world indices experienced gains. Unfortunately, later in May, the political concerns that flared in Italy and renewed trade tensions between the US and China trigged a sharp reversal in prices, especially in Europe and Asia, which resulted in losses for some of the holdings. A long position on the Italian stock index was one of the worst performing markets for the sector.

Gains in June came from all four asset classes traded by the Trust – FX, Interest Rates, Commodities, and Stock Indices. Foreign exchange positioning generated some of the strongest gains during the month. While the positive returns were dominated by our short developed market positions (versus long the USD), we also saw gains across various emerging market currencies as well. The US dollar saw choppy trading early in June but ultimately continued the uptrend from the first two months of the second quarter. The DXY dollar index hit fresh 2018 highs and the greenback finished the month stronger versus the majority of our tradeable currencies. The back and forth headlines on a potential global trade war, coupled with dovish policies outside of the US, proved to be the major macro themes driving foreign exchange markets during the month. Interest rate positions generated additional gains for the Trust during June. Short positioning in US markets, specifically the 90-day Eurodollar and 2-year notes, created the bulk of fixed income gains as yields rose (prices fell) on the back of a 25 basis point FOMC rate hike, hawkish US Fed commentary, and a higher-than-expected projection for two additional US rate hikes this year. Policy divergence between the Fed and other central banks, such as the ECB and the Bank of Japan, benefitted our positioning. Commodity holdings produced small additional profits as well. A short corn position experienced strong profits as the grain fell to multi-month lows amid above-average crop progress and on concerns that trade tensions between the US and China could hurt US exports. Long energy positions produced profits after a larger-than-expected reduction in US oil inventories. Long positioning on a variety of global stock indices added slightly to the positive monthly result. Stock index returns ebbed and flowed on the numerous headlines surrounding trade tensions between the US and her trading partners. Some of the best monthly stock index gains were found in Australia, Canada, and the United States.

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.

Table of Contents

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.

Table of Contents

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 June 30, 2019 and December 31, 2018 and the trading gains/losses by market category for the six months ended June 30, 2019 and the year ended December 31, 2018.

	June 30, 2019
Market Sector	Value at Risk*			Trading Gain/(Loss)**
Commodities		0.62	%		(3.71	)%
Currencies		0.72	%		(2.06	)%
Interest Rates		0.81	%		11.85	%
Stock Indices		0.84	%		5.62	%
Aggregate/Total		1.42	%		11.70	%

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 six months ended June 30, 2019.

Of the 10.61% return for six months ended June 30, 2019 for Series B, approximately 11.70% was due to trading gains (before commissions) and approximately 1.47% due to investment income, offset by approximately (2.56)% due to brokerage fees, management fees and operating costs incurred by Series B.

	December 31, 2018
Market Sector	Value at Risk*			Trading Gain/(Loss)**
Commodities		0.87	%		(2.00	)%
Currencies		0.80	%		3.47	%
Interest Rates		0.47	%		1.79	%
Stock Indices		0.76	%		(9.13	)%
Aggregate/Total		2.11	%		(5.87	)%

**	Represents the gross trading for the Trust for the year ended December 31, 2018.

Of the (9.03)% return for the year ended December 31, 2018 for Series A, approximately (5.87)% was due to trading losses (before commissions) and approximately (5.14)% due to brokerage fees, management fees, offering costs and operating costs, offset by approximately 1.98% due to investment income earned by Series A.

Of the (8.66)% return for year ended December 31, 2018 for Series B, approximately (5.87)% was due to trading losses (before commissions) and approximately (4.77)% due to brokerage fees, management fees and operating costs, offset by approximately 1.98% due to investment income earned by Series B.

Table of Contents

Of the (8.15)% return for the year ended December 31, 2018 for Series D, approximately (5.87)% was due to trading losses (before commissions) and approximately (4.26)% due to brokerage fees, management fees, offering costs and operating costs, offset by approximately 1.98% due to investment income earned by Series D.

Of the (7.28)% return for the year ended December 31, 2018 for Series W, approximately (5.87)% was due to trading losses (before commissions) and approximately (3.39)% due to brokerage fees, management fees, offering costs and operating costs, offset by approximately 1.98% due to investment income earned by Series W.

Material Limitations of 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 June 30, 2019 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.

Table of Contents

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, lead, 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 June 30, 2019.

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

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.

Table of Contents

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 operating 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 quarterly report. Based on their evaluation, the chief executive officer and chief operating officer have concluded that these disclosure controls and procedures are effective. 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.

Table of Contents

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⁾

10.03		Investment Management Agreement with PNC Capital Advisors LLC, as cash manager ⁽³⁾

31.01		Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.

31.02		Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites 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 Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

101.01		Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments June 30, 2019 and December 31, 2018, (ii) Statements of Financial Condition June 30, 2019 and December 31, 2018, (iii) Statements of Operations For the Three Months and Six Months Ended June 30, 2019 and 2018, (iv) Statements of Cash Flows For the Six Months Ended June 30, 2019 and 2018, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the Six Months Ended June 30, 2019 and 2018, (vi) Financial Highlights For the Three Months and Six Months Ended June 30, 2019 and 2018, (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 Quarterly Report on Form 10-Q filed August 15, 2011.

(3)	Incorporated by reference to the respective exhibit to the Registrant’s Quarterly Report on Form 10-Q filed on May 15, 2014.

Table of Contents

EXHIBIT INDEX

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 Gabriel A. Morris, Chief Operating 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 Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

101.01	Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments June 30, 2019 and December 31, 2018, (ii) Statements of Financial Condition June 30, 2019 and December 31, 2018, (iii) Statements of Operations For the Three Months and Six Months Ended June 30, 2019 and 2018, (iv) Statements of Cash Flows For the Six Months Ended June 30, 2019 and 2018, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the Six Months Ended June 30, 2019 and 2018, (vi) Financial Highlights For the Three Months and Six Months Ended June 30, 2019 and 2018, (vii) Notes to Financial Statements.

Table of Contents

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: August 14, 2019	By:	/s/ G. William Andrews
		G. William Andrews
		Chief Executive Officer