☑ |
Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
|
☐ |
Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
|
Delaware
|
94-6260018
|
|
(State or other jurisdiction of incorporation or 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)
|
|
Title of each class
|
Trading Symbol(s)
|
Name of each exchange on which registered
|
Not applicable.
|
Not applicable.
|
Not applicable.
|
Large accelerated filer ☐
|
Accelerated filer ☐
|
Non-accelerated filer ☑
|
Smaller reporting company ☐
|
Emerging growth company ☐
|
Page
|
|||
PART I — FINANCIAL INFORMATION
|
|||
Item 1.
|
Financial Statements.
|
||
1-4
|
|||
5
|
|||
6
|
|||
7
|
|||
8-9
|
|||
10-13
|
|||
14-28
|
|||
Item 2.
|
29-38
|
||
Item 3.
|
38-44
|
||
Item 4.
|
44
|
||
PART II — OTHER INFORMATION
|
|||
Item 1.
|
45
|
||
Item 1A.
|
45
|
||
Item 2.
|
45
|
||
Item 3.
|
45
|
||
Item 4.
|
45
|
||
Item 5.
|
45
|
||
Item 6.
|
46-47
|
||
48
|
Maturity
Face Value
|
Description |
Fair
Value ($)
|
% of Net
Asset Value
|
||||||||
Asset Backed Securities
|
|||||||||||
United States
|
|||||||||||
Auto Loans
|
$
|
11,543,668
|
4.24
|
%
|
|||||||
Credit Cards
|
1,036,645
|
0.38
|
%
|
||||||||
Equipment Loans
|
2,449,705
|
0.90
|
%
|
||||||||
Utility Rate Reduction Bonds
|
17,284
|
0.01
|
%
|
||||||||
Total Asset Backed Securities (cost $14,947,861)
|
15,047,302
|
5.53
|
%
|
||||||||
|
|||||||||||
Bank Deposits
|
|||||||||||
United States
|
|||||||||||
Financials
|
3,126,104
|
1.15
|
%
|
||||||||
Total Bank Deposits (cost $3,125,294)
|
3,126,104
|
1.15
|
%
|
||||||||
|
|||||||||||
Commercial Paper
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $399,685)
|
399,953
|
0.15
|
%
|
||||||||
Norway
|
|||||||||||
Financials (cost $1,339,302)
|
1,339,526
|
0.49
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $1,363,162)
|
1,363,112
|
0.50
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
5,601,715
|
2.06
|
%
|
||||||||
Consumer Discretionary
|
6,517,579
|
2.40
|
%
|
||||||||
Consumer Staples
|
2,374,292
|
0.87
|
%
|
||||||||
Energy
|
8,102,539
|
2.98
|
%
|
||||||||
Financials
|
34,456,178
|
12.67
|
%
|
||||||||
Industrials
|
2,278,992
|
0.84
|
%
|
||||||||
Utilities
|
12,568,954
|
4.62
|
%
|
||||||||
Total United States (cost $71,865,587)
|
71,900,249
|
26.44
|
%
|
||||||||
Total Commercial Paper (cost $74,967,736)
|
75,002,840
|
27.58
|
%
|
||||||||
|
|||||||||||
Corporate Bonds
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $3,585,000)
|
3,598,849
|
1.32
|
%
|
||||||||
Canada
|
|||||||||||
Financials (cost $7,599,938)
|
7,616,962
|
2.80
|
%
|
||||||||
Germany
|
|||||||||||
Consumer Discretionary (cost $3,814,278)
|
3,836,865
|
1.41
|
%
|
||||||||
Switzerland
|
|||||||||||
Financials (cost $2,449,461)
|
2,484,933
|
0.91
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $3,860,000)
|
3,871,169
|
1.42
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
966,606
|
0.36
|
%
|
||||||||
Consumer Discretionary
|
10,782,568
|
3.96
|
%
|
||||||||
Energy
|
4,495,111
|
1.65
|
%
|
||||||||
Financials
|
18,564,627
|
6.83
|
%
|
||||||||
Health Care
|
1,599,609
|
0.59
|
%
|
||||||||
Industrials
|
4,895,487
|
1.80
|
%
|
||||||||
Materials
|
875,610
|
0.32
|
%
|
||||||||
Technology
|
5,862,540
|
2.16
|
%
|
||||||||
Total United States (cost $47,748,676)
|
48,042,158
|
17.67
|
%
|
||||||||
Total Corporate Bonds (cost $69,057,353)
|
$
|
69,450,936
|
25.53
|
%
|
Maturity
Face Value
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||||
Government and Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$
|
4,660,000
|
U.S. Treasury Bills * Due 10/15/2020
|
$
|
4,659,860
|
1.71
|
%
|
|||||
$
|
25,125,000
|
U.S. Treasury Bills * Due 11/12/2020
|
25,122,337
|
9.24
|
%
|
||||||
$
|
14,092,500
|
U.S. Treasury Bills * Due 12/17/2020
|
14,089,710
|
5.18
|
%
|
||||||
Total Government and Agency Obligations (cost $43,871,616)
|
43,871,907
|
16.13
|
%
|
||||||||
Total Fixed Income Securities **
|
|||||||||||
(cost $205,969,860)
|
$
|
206,499,089
|
75.92
|
%
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Agriculture
|
$
|
1,379,894
|
0.51
|
%
|
||||
Energy
|
(9,120
|
)
|
0.00
|
%
|
||||
Metals
|
451,282
|
0.16
|
%
|
|||||
Stock indices
|
(514,745
|
)
|
(0.19
|
)%
|
||||
Short-term interest rates
|
72,431
|
0.03
|
%
|
|||||
Long-term interest rates
|
1,159,312
|
0.43
|
%
|
|||||
Net unrealized gain (loss) on long futures contracts
|
2,539,054
|
0.94
|
%
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Agriculture
|
(149,188
|
)
|
(0.06
|
)%
|
||||
Energy
|
1,692,435
|
0.62
|
%
|
|||||
Metals
|
565,611
|
0.21
|
%
|
|||||
Stock indices
|
(143,834
|
)
|
(0.05
|
)%
|
||||
Short-term interest rates
|
69,424
|
0.03
|
%
|
|||||
Long-term interest rates
|
(93,919
|
)
|
(0.04
|
)%
|
||||
Net unrealized gain (loss) on short futures contracts
|
1,940,529
|
0.71
|
%
|
|||||
Net unrealized gain (loss) on open futures contracts
|
$
|
4,479,583
|
1.65
|
%
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Various long forward currency contracts
|
$
|
(9,748,120
|
) |
(3.58
|
)%
|
|||
Various short forward currency contracts
|
8,328,331
|
|
3.06
|
%
|
||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
(1,419,789
|
)
|
(0.52
|
)%
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Centrally cleared credit default index swaps - Sell protection (net cost $988,242)
|
$
|
828,546
|
0.30
|
%
|
||||
Total credit default swaps (net cost $988,242)
|
$
|
828,546
|
0.30
|
%
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Centrally cleared interest rate swaps - Receive fixed (net cost $561,006)
|
$
|
911,130
|
0.33
|
%
|
||||
Centrally cleared interest rate swaps - Pay fixed (net cost $4,695)
|
(2,962
|
)
|
0.00
|
%
|
||||
Total interest rate swaps (net cost $565,701)
|
$
|
908,168
|
0.33
|
%
|
* |
Pledged as collateral for the trading of futures positions.
|
** |
Included in fixed income securities are U.S. Treasury Bills with a fair value of $43,871,907 deposited with the futures brokers.
|
Maturity
Face Value
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||||
Asset Backed Securities
|
|||||||||||
United States
|
|||||||||||
Auto Loans
|
$
|
15,837,798
|
5.12
|
%
|
|||||||
Credit Cards
|
2,675,309
|
0.86
|
%
|
||||||||
Equipment Loans
|
618,295
|
0.20
|
%
|
||||||||
Utility Rate Reduction Bond
|
544,640
|
0.18
|
%
|
||||||||
Total Asset Backed Securities (cost $19,601,083)
|
19,676,042
|
6.36
|
%
|
||||||||
|
|||||||||||
Bank Deposits
|
|||||||||||
Singapore
|
|||||||||||
Financials ($2,837,086)
|
2,837,107
|
0.92
|
%
|
||||||||
United States
|
|||||||||||
Financials ($2,392,198)
|
2,393,483
|
0.77
|
%
|
||||||||
Total Bank Deposits (cost $5,229,284)
|
5,230,590
|
1.69
|
%
|
||||||||
|
|||||||||||
Commercial Paper
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $2,486,462)
|
2,485,923
|
0.80
|
%
|
||||||||
Canada
|
|||||||||||
Financials (cost $999,632)
|
999,620
|
0.32
|
%
|
||||||||
Sweden
|
|||||||||||
Financials (cost $2,990,273)
|
2,990,613
|
0.97
|
%
|
||||||||
Switzerland
|
|||||||||||
Financials (cost $4,296,981)
|
4,297,185
|
1.39
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
2,995,139
|
0.97
|
%
|
||||||||
Consumer Discretionary
|
26,514,040
|
8.57
|
%
|
||||||||
Consumer Staples
|
4,537,769
|
1.47
|
%
|
||||||||
Financials
|
23,493,503
|
7.59
|
%
|
||||||||
Industrials
|
1,997,585
|
0.64
|
%
|
||||||||
Utilities
|
24,091,267
|
7.78
|
%
|
||||||||
Total United States (cost $83,630,421)
|
83,629,303
|
27.02
|
%
|
||||||||
Total Commercial Paper (cost $94,403,769)
|
94,402,644
|
30.50
|
%
|
||||||||
|
|||||||||||
Corporate Bonds
|
|||||||||||
Canada
|
|||||||||||
Financials
|
5,910,253
|
1.91
|
%
|
||||||||
Industrials
|
1,595,400
|
0.52
|
%
|
||||||||
Total Canada (cost $7,494,451)
|
7,505,653
|
2.43
|
%
|
||||||||
Germany
|
|||||||||||
Consumer Discretionary (cost $5,147,253)
|
5,166,625
|
1.67
|
%
|
||||||||
Japan
|
|||||||||||
Financials (cost $2,020,000)
|
2,020,373
|
0.65
|
%
|
||||||||
United Kingdom
|
|||||||||||
Energy
|
2,120,364
|
0.69
|
%
|
||||||||
Financials
|
3,873,831
|
1.25
|
%
|
||||||||
Total United Kingdom (cost $5,979,474)
|
5,994,195
|
1.94
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
3,078,403
|
0.99
|
%
|
||||||||
Consumer Discretionary
|
14,140,035
|
4.57
|
%
|
||||||||
Consumer Staples
|
3,547,193
|
1.14
|
%
|
||||||||
Energy
|
6,047,117
|
1.95
|
%
|
||||||||
Financials
|
23,371,727
|
7.55
|
%
|
||||||||
Industrials
|
5,427,486
|
1.75
|
%
|
||||||||
Materials
|
884,220
|
0.29
|
%
|
||||||||
Technology
|
5,066,126
|
1.64
|
%
|
||||||||
Utilities
|
2,348,096
|
0.76
|
%
|
||||||||
Total United States (cost $63,778,285)
|
63,910,403
|
20.64
|
%
|
||||||||
Total Corporate Bonds (cost $84,419,463)
|
$ |
84,597,249
|
27.33
|
%
|
Maturity
Face Value
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||||
Government and Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$
|
4,160,000
|
U.S. Treasury Bills * Due 01/02/2020
|
$ |
4,160,000
|
1.34
|
%
|
|||||
$
|
4,500,000
|
U.S. Treasury Bills * Due 01/16/2020
|
4,497,563
|
1.45
|
%
|
||||||
$
|
27,690,000
|
U.S. Treasury Bills * Due 02/13/2020
|
27,642,108
|
8.93
|
%
|
||||||
$
|
17,392,500
|
U.S. Treasury Bills * Due 03/12/2020
|
17,341,856
|
5.60
|
%
|
||||||
Total Government And Agency Obligations (cost $53,635,500)
|
53,641,527
|
17.32
|
%
|
||||||||
Total Fixed Income Securities ** (cost $257,289,099)
|
$
|
257,548,052
|
83.20
|
%
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value |
||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $4,780)
|
$
|
4,780
|
0.00
|
%
|
||||
Total Short Term Investments (cost $4,780)
|
$ |
4,780 |
0.00 |
% |
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Agriculture
|
$
|
111,797
|
0.04
|
%
|
||||
Energy
|
897,502
|
0.29
|
%
|
|||||
Metals
|
2,205,166
|
0.71
|
%
|
|||||
Stock indices
|
91,738
|
0.03
|
%
|
|||||
Short-term interest rates
|
(765,294
|
)
|
(0.25
|
)%
|
||||
Long-term interest rates
|
(4,935,840
|
)
|
(1.59
|
)%
|
||||
Net unrealized gain (loss) on long futures contracts
|
(2,394,931
|
)
|
(0.77
|
)%
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Agriculture
|
(2,850,079
|
)
|
(0.92
|
)%
|
||||
Energy
|
588,691
|
0.19
|
%
|
|||||
Metals
|
(4,618,405
|
)
|
(1.49
|
)%
|
||||
Stock indices
|
79,410
|
0.03
|
%
|
|||||
Short-term interest rates
|
(412
|
)
|
0.00
|
%
|
||||
Long-term interest rates
|
1,055,789
|
0.34
|
%
|
|||||
Net unrealized gain (loss) on short futures contracts
|
(5,745,006
|
)
|
(1.85
|
)%
|
||||
Net unrealized gain (loss) on open futures contracts
|
$
|
(8,139,937
|
)
|
(2.62
|
)%
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value
|
||||||
Various long forward currency contracts
|
$
|
22,090,636
|
7.14
|
%
|
||||
Various short forward currency contracts
|
(24,754,313
|
)
|
(8.00
|
)%
|
||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
(2,663,677
|
)
|
(0.86
|
)%
|
* |
Pledged as collateral for the trading of futures positions.
|
** |
Included in fixed income securities are U.S. Treasury Bills with a fair value of $53,641,527 deposited with the futures brokers.
|
September 30, 2019 |
December 31, 2019
|
|||||||
ASSETS
|
||||||||
Equity in futures brokers trading accounts
|
||||||||
Cash
|
$
|
16,137,322
|
$
|
15,751,729
|
||||
Restricted cash
|
566,829
|
4,648,990
|
||||||
Fixed income securities (cost $43,871,616 and $53,635,500, respectively)
|
43,871,907
|
53,641,527
|
||||||
Net unrealized gain (loss) on open futures contracts
|
4,479,583
|
(8,139,937
|
)
|
|||||
Total equity in futures brokers trading accounts
|
65,055,641
|
65,902,309
|
||||||
Cash and cash equivalents
|
1,151,191
|
1,118,945
|
||||||
Cash at interbank market maker
|
11,910,603
|
14,851,807
|
||||||
Restricted cash at interbank market maker
|
23,420,947
|
29,815,239
|
||||||
Cash at swaps broker
|
3,592,697
|
0
|
||||||
Restricted cash at swaps broker
|
9,338,134
|
0
|
||||||
Short term investments (cost $0 and $4,780, respectively)
|
0
|
4,780
|
||||||
Fixed income securities (cost $162,098,244 and $203,653,599, respectively)
|
162,627,182
|
203,906,525
|
||||||
Credit default index swaps (cost $988,242 and $0, respectively)
|
828,546
|
0
|
||||||
Interest rate swaps (cost $565,701 and $0, respectively)
|
908,168
|
0
|
||||||
Due from swaps broker
|
32,839
|
0
|
||||||
Interest receivable
|
278,900
|
635,953
|
||||||
Total assets
|
$
|
279,144,848
|
$
|
316,235,558
|
||||
LIABILITIES
|
||||||||
Accounts payable
|
$
|
195,062
|
$
|
327,900
|
||||
Management fee payable
|
461,939
|
995,719
|
||||||
Net unrealized loss on forward currency contracts
|
1,419,789
|
2,663,677
|
||||||
Accrued commissions and other trading fees on open contracts
|
60,309
|
183,841
|
||||||
Offering costs payable
|
102,095
|
114,869
|
||||||
Sales commission payable
|
404,029
|
0
|
||||||
Redemptions payable
|
4,521,281
|
2,442,931
|
||||||
Total liabilities
|
7,164,504
|
6,728,937
|
||||||
UNITHOLDERS’ CAPITAL (Net Asset Value)
|
||||||||
Series A Units - Redeemable
|
||||||||
Other Unitholders - 88,379.280 and 95,005.038 units outstanding at September 30, 2020 and December 31, 2019
|
210,687,834
|
243,974,281
|
||||||
Series B Units - Redeemable
|
||||||||
Other Unitholders - 11,973.383 and 13,005.349 units outstanding at September 30, 2020 and December 31, 2019
|
31,356,539
|
36,551,654
|
||||||
Series D Units - Redeemable
|
||||||||
Other Unitholders - 5,010.803 and 3,366.350 units outstanding at September 30, 2020 and December 31, 2019
|
4,892,124
|
3,507,300
|
||||||
Series W Units - Redeemable
|
||||||||
Other Unitholders - 8,752.772 and 8,389.889 units outstanding at September 30, 2020 and December 31, 2019
|
25,043,847
|
25,473,386
|
||||||
Total unitholders’ capital (Net Asset Value)
|
271,980,344
|
309,506,621
|
||||||
Total liabilities and unitholders’ capital (Net Asset Value)
|
$
|
279,144,848
|
$
|
316,235,558
|
Three Months Ended September 30,
|
Nine Months Ended September 30,
|
|||||||||||||||
|
2020
|
2019
|
2020
|
2019
|
||||||||||||
TRADING GAINS (LOSSES)
|
||||||||||||||||
Futures trading gains (losses)
|
||||||||||||||||
Realized
|
$
|
(14,195,388
|
)
|
$
|
30,127,764
|
$
|
(31,779,232
|
)
|
$
|
68,472,848
|
||||||
Change in unrealized
|
2,984,104
|
(10,072,681
|
)
|
12,619,520
|
(5,644,585
|
)
|
||||||||||
Brokerage commissions
|
(631,218
|
)
|
(470,721
|
)
|
(1,683,521
|
)
|
(1,491,863
|
)
|
||||||||
Net gain (loss) from futures trading
|
(11,842,502
|
)
|
19,584,362
|
(20,843,233
|
)
|
61,336,400
|
||||||||||
Forward currency trading gains (losses)
|
||||||||||||||||
Realized
|
(6,854,797
|
)
|
(573,244
|
)
|
5,916,594
|
3,800,316
|
||||||||||
Change in unrealized
|
2,286,601
|
5,440,788
|
1,243,888
|
(5,569,805
|
)
|
|||||||||||
Brokerage commissions
|
(56,133
|
)
|
(56,975
|
)
|
(144,436
|
)
|
(208,988
|
)
|
||||||||
Net gain (loss) from forward currency trading
|
(4,624,329
|
)
|
4,810,569
|
7,016,046
|
(1,978,477
|
)
|
||||||||||
Swap trading gains (losses)
|
||||||||||||||||
Realized
|
525,424
|
0
|
525,424
|
0
|
||||||||||||
Change in unrealized
|
182,771
|
0
|
182,771
|
0
|
||||||||||||
Net gain (loss) from swap trading
|
708,195
|
0
|
708,195
|
0
|
||||||||||||
Total net trading gain (loss)
|
(15,758,636
|
)
|
24,394,931
|
(13,118,992
|
)
|
59,357,923
|
||||||||||
NET INVESTMENT INCOME (LOSS)
|
||||||||||||||||
Investment income
|
||||||||||||||||
Interest income
|
438,509
|
1,963,269
|
2,770,031
|
6,063,413
|
||||||||||||
Realized gain (loss) on fixed income securities
|
37,264
|
10,418
|
65,675
|
14,468
|
||||||||||||
Change in unrealized gain (loss) on fixed income securities
|
(91,915
|
)
|
39,047
|
270,276
|
709,628
|
|||||||||||
Total investment income
|
383,858
|
2,012,734
|
3,105,982
|
6,787,509
|
||||||||||||
Expenses
|
||||||||||||||||
Management fee
|
1,428,214
|
3,359,726
|
7,077,889
|
9,695,861
|
||||||||||||
Performance fee
|
0
|
21,165
|
0
|
21,165
|
||||||||||||
Operating expenses
|
239,824
|
273,180
|
706,390
|
800,984
|
||||||||||||
Sales commission
|
1,285,066
|
0
|
1,738,565
|
0
|
||||||||||||
Total expenses
|
2,953,104
|
3,654,071
|
9,522,844
|
10,518,010
|
||||||||||||
Net investment income (loss)
|
(2,569,246
|
)
|
(1,641,337
|
)
|
(6,416,862
|
)
|
(3,730,501
|
)
|
||||||||
NET INCOME (LOSS)
|
$
|
(18,327,882
|
)
|
$
|
22,753,594
|
$
|
(19,535,854
|
)
|
$
|
55,627,422
|
||||||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
|
||||||||||||||||
(based on weighted average number of units outstanding during the period)
|
||||||||||||||||
Series A
|
$
|
(158.43
|
)
|
$
|
182.38
|
$
|
(166.55
|
)
|
$
|
425.47
|
||||||
Series B
|
$
|
(173.13
|
)
|
$
|
201.33
|
$
|
(181.64
|
)
|
$
|
463.18
|
||||||
Series D
|
$
|
(62.26
|
)
|
$
|
54.96
|
$
|
(83.13
|
)
|
$
|
164.08
|
||||||
Series W
|
$
|
(175.47
|
)
|
$
|
230.00
|
$
|
(172.20
|
)
|
$
|
544.22
|
||||||
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
|
||||||||||||||||
Series A
|
$
|
(161.64
|
)
|
$
|
178.01
|
$
|
(184.10
|
)
|
$
|
424.18
|
||||||
Series B
|
$
|
(174.07
|
)
|
$
|
198.18
|
$
|
(191.66
|
)
|
$
|
473.43
|
||||||
Series D
|
$
|
(62.93
|
)
|
$
|
62.39
|
$
|
(65.55
|
)
|
$
|
168.93
|
||||||
Series W
|
$
|
(178.73
|
)
|
$
|
224.89
|
$
|
(174.95
|
)
|
$
|
540.86
|
||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
|
||||||||||||||||
Series A
|
90,597.713
|
98,909.779
|
92,561.559
|
103,422.686
|
||||||||||||
Series B
|
12,370.216
|
13,322.219
|
12,672.240
|
14,214.142
|
||||||||||||
Series D
|
4,754.203
|
1,724.770
|
4,146.531
|
1,609.926
|
||||||||||||
Series W
|
8,757.813
|
8,422.307
|
8,556.163
|
8,776.466
|
Nine Months Ended September 30,
|
||||||||
2020
|
2019
|
|||||||
Cash flows from (for) operating activities
|
||||||||
Net income (loss)
|
$
|
(19,535,854
|
)
|
$
|
55,627,422
|
|||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
|
||||||||
Net change in unrealized on futures, forwards, swaps and investments
|
(14,316,455
|
)
|
10,504,762
|
|||||
(Increase) decrease in interest receivable
|
357,053
|
267,540
|
||||||
(Increase) decrease in due from swaps broker
|
(32,839
|
)
|
0
|
|||||
Increase (decrease) in accounts payable and accrued expenses
|
(386,121
|
)
|
50,756
|
|||||
Payments for swap contracts
|
(11,120,872
|
)
|
0
|
|||||
Proceeds from swap contracts
|
9,566,929
|
0
|
||||||
Purchases of investments
|
(1,912,501,506
|
)
|
(1,287,177,662
|
)
|
||||
Sales/maturities of investments
|
1,963,825,525
|
1,284,874,509
|
||||||
Net cash from (for) operating activities
|
15,855,860
|
64,147,327
|
||||||
Cash flows from (for) financing activities
|
||||||||
Addition of units
|
8,610,446
|
11,853,876
|
||||||
Redemption of units
|
(23,501,498
|
)
|
(64,014,197
|
)
|
||||
Offering costs paid
|
(1,033,795
|
)
|
(1,111,234
|
)
|
||||
Net cash from (for) financing activities
|
(15,924,847
|
)
|
(53,271,555
|
)
|
||||
Net increase (decrease) in cash, cash equivalents and restricted cash
|
(68,987
|
)
|
10,875,772
|
|||||
Cash, cash equivalents and restricted cash at beginning of period
|
66,186,710
|
67,746,528
|
||||||
Cash, cash equivalents and restricted cash at end of period
|
$
|
66,117,723
|
$
|
78,622,300
|
September 30, 2020
|
December 31, 2019
|
|||||||
Cash, cash equivalents and restricted cash at end of period consists of:
|
||||||||
Equity in futures brokers trading accounts:
|
||||||||
Cash
|
$
|
16,137,322
|
$
|
15,751,729
|
||||
Restricted cash
|
566,829
|
4,648,990
|
||||||
Cash and cash equivalents
|
1,151,191
|
1,118,945
|
||||||
Cash at interbank market maker
|
11,910,603
|
14,851,807
|
||||||
Restricted cash at interbank market maker
|
23,420,947
|
29,815,239
|
||||||
Cash at swaps broker
|
3,592,697
|
0
|
||||||
Restricted cash at swaps broker
|
9,338,134
|
0
|
||||||
Total cash, cash equivalents and restricted cash at end of period
|
$
|
66,117,723
|
$
|
66,186,710
|
Series A - Other Unitholders
|
Series B - Other Unitholders
|
|||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
|||||||||||||
Nine Months Ended September 30, 2020
|
||||||||||||||||
Balances at December 31, 2019
|
95,005.038
|
$
|
243,974,281
|
13,005.349
|
$
|
36,551,654
|
||||||||||
Net income (loss) for the three months ended March 31, 2020
|
13,283,425
|
1,992,123
|
||||||||||||||
Additions
|
380.679
|
1,036,884
|
0.000
|
0
|
||||||||||||
Redemptions
|
(2,307.266
|
)
|
(6,263,995
|
)
|
(239.509
|
)
|
(714,415
|
)
|
||||||||
Offering costs
|
(322,990
|
)
|
0
|
|||||||||||||
Balances at March 31, 2020
|
93,078.451
|
$
|
251,707,605
|
12,765.840
|
$
|
37,829,362
|
||||||||||
Net income (loss) for the three months ended June 30, 2020
|
(14,345,960
|
)
|
(2,152,270
|
)
|
||||||||||||
Additions
|
783.671
|
2,071,421
|
2.349
|
6,564
|
||||||||||||
Redemptions
|
(2,458.985
|
)
|
(6,456,980
|
)
|
(184.065
|
)
|
(537,159
|
)
|
||||||||
Offering costs
|
(304,760
|
)
|
0
|
|||||||||||||
Balances at June 30, 2020
|
91,403.137
|
$
|
232,671,326
|
12,584.124
|
$
|
35,146,497
|
||||||||||
Net income (loss) for the three months ended September 30, 2020
|
(14,353,400
|
)
|
(2,141,697
|
)
|
||||||||||||
Additions
|
159.755
|
390,582
|
6.992
|
18,750
|
||||||||||||
Redemptions
|
(3,183.612
|
)
|
(7,743,225
|
)
|
(617.733
|
)
|
(1,667,011
|
)
|
||||||||
Offering costs
|
(277,449
|
)
|
0
|
|||||||||||||
Balances at September 30, 2020
|
88,379.280
|
$
|
210,687,834
|
11,973.383
|
$
|
31,356,539
|
||||||||||
Nine Months Ended September 30, 2019
|
||||||||||||||||
Balances at December 31, 2018
|
111,488.756
|
$
|
265,715,642
|
15,779.825
|
$
|
40,954,227
|
||||||||||
Net income (loss) for the three months ended March 31, 2019
|
10,959,406
|
1,636,947
|
||||||||||||||
Additions
|
402.786
|
966,271
|
29.109
|
78,844
|
||||||||||||
Redemptions
|
(8,230.105
|
)
|
(19,795,854
|
)
|
(1,684.043
|
)
|
(4,411,610
|
)
|
||||||||
Offering costs
|
(376,105
|
)
|
0
|
|||||||||||||
Balances at March 31, 2019
|
103,661.437
|
$
|
257,469,360
|
14,124.891
|
$
|
38,258,408
|
||||||||||
Net income (loss) for the three months ended June 30, 2019
|
15,004,346
|
2,264,553
|
||||||||||||||
Additions
|
2,299.229
|
5,873,079
|
0.000
|
0
|
||||||||||||
Redemptions
|
(6,398.768
|
)
|
(16,266,862
|
)
|
(643.330
|
)
|
(1,822,852
|
)
|
||||||||
Offering costs
|
(281,414
|
)
|
0
|
|||||||||||||
Balances at June 30, 2019
|
99,561.898
|
$
|
261,798,509
|
13,481.561
|
$
|
38,700,109
|
||||||||||
Net income (loss) for the three months ended September 30, 2019
|
18,039,515
|
2,682,188
|
||||||||||||||
Additions
|
1,804.464
|
5,154,277
|
0.000
|
0
|
||||||||||||
Redemptions
|
(3,331.196
|
)
|
(9,407,495
|
)
|
(369.314
|
)
|
(1,143,746
|
)
|
||||||||
Offering costs
|
(349,413
|
)
|
0
|
|||||||||||||
Balances at September 30, 2019
|
98,035.166
|
$
|
275,235,393
|
13,112.247
|
$
|
40,238,551
|
Net Asset Value per Other Unitholders’ Unit - Series A
|
||||||||||||||
September 30, 2020
|
June 30, 2020
|
March 31, 2020
|
December 31, 2019
|
|||||||||||
$
|
2,383.91
|
$
|
2,545.55
|
$
|
2,704.25
|
$
|
2,568.01
|
|||||||
September 30, 2019
|
June 30, 2019
|
March 31, 2019
|
December 31, 2018
|
|||||||||||
$
|
2,807.52
|
$
|
2,629.51
|
$
|
2,483.75
|
$
|
2,383.34
|
|||||||
Net Asset Value per Other Unitholders’ Unit - Series B
|
||||||||||||||
September 30, 2020
|
June 30, 2020
|
March 31, 2020
|
December 31, 2019
|
|||||||||||
$
|
2,618.85
|
$
|
2,792.92
|
$
|
2,963.33
|
$
|
2,810.51
|
|||||||
September 30, 2019
|
June 30, 2019
|
March 31, 2019
|
December 31, 2018
|
|||||||||||
$
|
3,068.78
|
$
|
2,870.60
|
$
|
2,708.58
|
$
|
2,595.35
|
Series D - Other Unitholders
|
Series W - Other Unitholders
|
Trust
|
||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Total Amount
|
||||||||||||||||
Nine Months Ended September 30, 2020
|
||||||||||||||||||||
Balances at December 31, 2019
|
3,366.350
|
$
|
3,507,300
|
8,389.889
|
$
|
25,473,386
|
$
|
309,506,621
|
||||||||||||
Net income (loss) for the three months ended March 31, 2020
|
199,390
|
1,512,515
|
16,987,453
|
|||||||||||||||||
Additions
|
645.496
|
713,740
|
454.565
|
1,469,957
|
3,220,581
|
|||||||||||||||
Redemptions
|
(94.688
|
)
|
(104,213
|
)
|
(394.076
|
)
|
(1,267,863
|
)
|
(8,350,486
|
)
|
||||||||||
Offering costs
|
(5,038
|
)
|
(33,974
|
)
|
(362,002
|
)
|
||||||||||||||
Balances at March 31, 2020
|
3,917.158
|
$
|
4,311,179
|
8,450.378
|
$
|
27,154,021
|
$
|
321,002,167
|
||||||||||||
Net income (loss) for the three months ended June 30, 2020
|
(248,077
|
)
|
(1,449,118
|
)
|
(18,195,425
|
)
|
||||||||||||||
Additions
|
815.382
|
866,454
|
308.715
|
969,559
|
3,913,998
|
|||||||||||||||
Redemptions
|
(99.350
|
)
|
(109,065
|
)
|
(81.679
|
)
|
(261,959
|
)
|
(7,365,163
|
)
|
||||||||||
Offering costs
|
(5,435
|
)
|
(33,359
|
)
|
(343,554
|
)
|
||||||||||||||
Balances at June 30, 2020
|
4,633.190
|
$
|
4,815,056
|
8,677.414
|
$
|
26,379,144
|
$
|
299,012,023
|
||||||||||||
Net income (loss) for the three months ended September 30, 2020
|
(296,012
|
)
|
(1,536,773
|
)
|
(18,327,882
|
)
|
||||||||||||||
Additions
|
377.613
|
379,026
|
231.505
|
687,509
|
1,475,867
|
|||||||||||||||
Redemptions
|
0.000
|
0
|
(156.147
|
)
|
(453,963
|
)
|
(9,864,199
|
)
|
||||||||||||
Offering costs
|
(5,946
|
)
|
(32,070
|
)
|
(315,465
|
)
|
||||||||||||||
Balances at September 30, 2020
|
5,010.803
|
$
|
4,892,124
|
8,752.772
|
$
|
25,043,847
|
$
|
271,980,344
|
||||||||||||
Nine Months Ended September 30, 2019
|
||||||||||||||||||||
Balances at December 31, 2018
|
1,569.589
|
$
|
1,517,078
|
9,306.953
|
$
|
25,704,987
|
$
|
333,891,934
|
||||||||||||
Net income (loss) for the three months ended March 31, 2019
|
71,088
|
1,230,838
|
13,898,279
|
|||||||||||||||||
Additions
|
0.000
|
0
|
16.012
|
43,708
|
1,088,823
|
|||||||||||||||
Redemptions
|
0.000
|
0
|
(521.852
|
)
|
(1,483,217
|
)
|
(25,690,681
|
)
|
||||||||||||
Offering costs
|
(1,923
|
)
|
(32,369
|
)
|
(410,397
|
)
|
||||||||||||||
Balances at March 31, 2019
|
1,569.589
|
$
|
1,586,243
|
8,801.113
|
$
|
25,463,947
|
$
|
322,777,958
|
||||||||||||
Net income (loss) for the three months ended June 30, 2019
|
98,275
|
1,608,375
|
18,975,549
|
|||||||||||||||||
Additions
|
45.684
|
49,023
|
63.879
|
190,008
|
6,112,110
|
|||||||||||||||
Redemptions
|
(51.255
|
)
|
(53,220
|
)
|
(431.580
|
)
|
(1,272,851
|
)
|
(19,415,785
|
)
|
||||||||||
Offering costs
|
(2,009
|
)
|
(32,463
|
)
|
(315,886
|
)
|
||||||||||||||
Balances at June 30, 2019
|
1,564.018
|
$
|
1,678,312
|
8,433.412
|
$
|
25,957,016
|
$
|
328,133,946
|
||||||||||||
Net income (loss) for the three months ended September 30, 2019
|
94,797
|
1,937,094
|
22,753,594
|
|||||||||||||||||
Additions
|
819.067
|
935,309
|
61.448
|
202,023
|
6,291,609
|
|||||||||||||||
Redemptions
|
0.000
|
0
|
(154.739
|
)
|
(515,786
|
)
|
(11,067,027
|
)
|
||||||||||||
Offering costs
|
(2,487
|
)
|
(34,887
|
)
|
(386,787
|
)
|
||||||||||||||
Balances at September 30, 2019
|
2,383.085
|
$
|
2,705,931
|
8,340.121
|
$
|
27,545,460
|
$
|
345,725,335
|
Net Asset Value per Other Unitholders’ Unit - Series D
|
||||||||||||||
September 30, 2020
|
June 30, 2020
|
March 31, 2020
|
December 31, 2019
|
|||||||||||
$
|
976.32
|
$
|
1,039.25
|
$
|
1,100.59
|
$
|
1,041.87
|
|||||||
September 30, 2019
|
June 30, 2019
|
March 31, 2019
|
December 31, 2018
|
|||||||||||
$
|
1,135.47
|
$
|
1,073.08
|
$
|
1,010.61
|
$
|
966.54
|
|||||||
Net Asset Value per Other Unitholders’ Unit - Series W
|
||||||||||||||
September 30, 2020
|
June 30, 2020
|
March 31, 2020
|
December 31, 2019
|
|||||||||||
$
|
2,861.25
|
$
|
3,039.98
|
$
|
3,213.35
|
$
|
3,036.20
|
|||||||
September 30, 2019
|
June 30, 2019
|
March 31, 2019
|
December 31, 2018
|
|||||||||||
$
|
3,302.77
|
$
|
3,077.88
|
$
|
2,893.26
|
$
|
2,761.91
|
Series A
|
||||||||||||||||
Three Months Ended September 30,
|
Nine Months Ended September 30,
|
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Per Unit Performance
|
||||||||||||||||
(for a unit outstanding throughout the entire period)
|
||||||||||||||||
Net asset value per unit at beginning of period
|
$
|
2,545.55
|
$
|
2,629.51
|
$
|
2,568.01
|
$
|
2,383.34
|
||||||||
Income (loss) from operations:
|
||||||||||||||||
Total net trading gains (losses) (1)
|
(135.32
|
)
|
195.78
|
(116.40
|
)
|
465.70
|
||||||||||
Net investment income (loss) (1)
|
(23.26
|
)
|
(14.24
|
)
|
(57.92
|
)
|
(31.78
|
)
|
||||||||
Total net income (loss) from operations
|
(158.58
|
)
|
181.54
|
(174.32
|
)
|
433.92
|
||||||||||
Offering costs (1)
|
(3.06
|
)
|
(3.53
|
)
|
(9.78
|
)
|
(9.74
|
)
|
||||||||
Net asset value per unit at end of period
|
$
|
2,383.91
|
$
|
2,807.52
|
$
|
2,383.91
|
$
|
2,807.52
|
||||||||
Total Return (4)
|
(6.35
|
)%
|
6.77
|
%
|
(7.17
|
)%
|
17.80
|
%
|
||||||||
Supplemental Data
|
||||||||||||||||
Ratios to average net asset value:
|
||||||||||||||||
Expenses prior to performance fee (3)
|
4.31
|
%
|
4.41
|
%
|
4.34
|
%
|
4.39
|
%
|
||||||||
Performance fee (4)
|
0.00
|
%
|
0.00
|
%
|
0.00
|
%
|
0.00
|
%
|
||||||||
Total expenses
|
4.31
|
%
|
4.41
|
%
|
4.34
|
%
|
4.39
|
%
|
||||||||
Net investment income (loss) (2),(3)
|
(3.78
|
)%
|
(2.06
|
)%
|
(2.98
|
)%
|
(1.66
|
)%
|
(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.
|
Series B
|
||||||||||||||||
Three Months Ended September 30,
|
Nine Months Ended September 30,
|
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Per Unit Performance
|
||||||||||||||||
(for a unit outstanding throughout the entire period)
|
||||||||||||||||
Net asset value per unit at beginning of period
|
$
|
2,792.92
|
$
|
2,870.60
|
$
|
2,810.51
|
$
|
2,595.35
|
||||||||
Income (loss) from operations:
|
||||||||||||||||
Total net trading gains (losses) (1)
|
(148.54
|
)
|
213.72
|
(128.19
|
)
|
507.92
|
||||||||||
Net investment income (loss) (1)
|
(25.53
|
)
|
(15.54
|
)
|
(63.47
|
)
|
(34.49
|
)
|
||||||||
Total net income (loss) from operations
|
(174.07
|
)
|
198.18
|
(191.66
|
)
|
473.43
|
||||||||||
Net asset value per unit at end of period
|
$
|
2,618.85
|
$
|
3,068.78
|
$
|
2,618.85
|
$
|
3,068.78
|
||||||||
Total Return (4)
|
(6.23
|
)%
|
6.90
|
%
|
(6.82
|
)%
|
18.24
|
%
|
||||||||
Supplemental Data
|
||||||||||||||||
Ratios to average net asset value:
|
||||||||||||||||
Expenses prior to performance fee (3)
|
4.32
|
%
|
4.42
|
%
|
4.34
|
%
|
4.40
|
%
|
||||||||
Performance fee (4)
|
0.00
|
%
|
0.00
|
%
|
0.00
|
%
|
0.00
|
%
|
||||||||
Total expenses
|
4.32
|
%
|
4.42
|
%
|
4.34
|
%
|
4.40
|
%
|
||||||||
Net investment income (loss) (2),(3)
|
(3.78
|
)%
|
(2.06
|
)%
|
(2.98
|
)%
|
(1.66
|
)%
|
(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.
|
Series D
|
||||||||||||||||
Three Months Ended September 30,
|
Nine Months Ended September 30,
|
|||||||||||||||
2020
|
2019
|
2020
|
2019
|
|||||||||||||
Per Unit Performance
|
||||||||||||||||
(for a unit outstanding throughout the entire period)
|
||||||||||||||||
Net asset value per unit at beginning of period
|
$
|
1,039.25
|
$
|
1,073.08
|
$
|
1,041.87
|
$
|
966.54
|
||||||||
Income (loss) from operations:
|
||||||||||||||||
Total net trading gains (losses) (1)
|
(55.29
|
)
|
78.37
|
(47.66
|
)
|
189.39
|
||||||||||
Net investment income (loss) (1)
|
(6.39
|
)
|
(14.54
|
)
|
(13.93
|
)
|
(16.47
|
)
|
||||||||
Total net income (loss) from operations
|
(61.68
|
)
|
63.83
|
(61.59
|
)
|
172.92
|
||||||||||
Offering costs (1)
|
(1.25
|
)
|
(1.44
|
)
|
(3.96
|
)
|
(3.99
|
)
|
||||||||
Net asset value per unit at end of period
|
$
|
976.32
|
$
|
1,135.47
|
$
|
976.32
|
$
|
1,135.47
|
||||||||
Total Return (4)
|
(6.06
|
)%
|
5.81
|
%
|
(6.29
|
)%
|
17.48
|
%
|
||||||||
Supplemental Data
|
||||||||||||||||
Ratios to average net asset value:
|
||||||||||||||||
Expenses prior to performance fee (3)
|
3.05
|
%
|
3.04
|
%
|
3.02
|
%
|
3.04
|
%
|
||||||||
Performance fee (4)
|
0.00
|
%
|
1.06
|
%
|
0.00
|
%
|
1.23
|
%
|
||||||||
Total expenses
|
3.05
|
%
|
4.10
|
%
|
3.02
|
%
|
4.27
|
%
|
||||||||
Net investment income (loss) (2),(3)
|
(2.52
|
)%
|
(0.78
|
)%
|
(1.74
|
)%
|
(0.41
|
)%
|
(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.
|
|
Series W
|
|||||||||||||||
|
Three Months Ended September 30,
|
Nine Months Ended September 30,
|
||||||||||||||
|
2020
|
2019
|
2020
|
2019
|
||||||||||||
Per Unit Performance
|
||||||||||||||||
(for a unit outstanding throughout the entire period)
|
||||||||||||||||
Net asset value per unit at beginning of period
|
$
|
3,039.98
|
$
|
3,077.88
|
$
|
3,036.20
|
$
|
2,761.91
|
||||||||
|
||||||||||||||||
Income (loss) from operations:
|
||||||||||||||||
Total net trading gains (losses) (1)
|
(161.88
|
)
|
229.15
|
(140.69
|
)
|
543.94
|
||||||||||
Net investment income (loss) (1)
|
(13.19
|
)
|
(0.12
|
)
|
(22.64
|
)
|
8.28
|
|||||||||
Total net income (loss) from operations
|
(175.07
|
)
|
229.03
|
(163.33
|
)
|
552.22
|
||||||||||
Offering costs (1)
|
(3.66
|
)
|
(4.14
|
)
|
(11.62
|
)
|
(11.36
|
)
|
||||||||
Net asset value per unit at end of period
|
$
|
2,861.25
|
$
|
3,302.77
|
$
|
2,861.25
|
$
|
3,302.77
|
||||||||
Total Return (4)
|
(5.88
|
)%
|
7.31
|
%
|
(5.76
|
)%
|
19.58
|
%
|
||||||||
|
||||||||||||||||
Supplemental Data
|
||||||||||||||||
Ratios to average net asset value:
|
||||||||||||||||
Expenses prior to performance fee (3)
|
2.31
|
%
|
2.36
|
%
|
2.31
|
%
|
2.36
|
%
|
||||||||
Performance fee (4)
|
0.00
|
%
|
0.00
|
%
|
0.00
|
%
|
0.00
|
%
|
||||||||
Total expenses
|
2.31
|
%
|
2.36
|
%
|
2.31
|
%
|
2.36
|
%
|
||||||||
Net investment income (loss) (2),(3)
|
(1.78
|
)%
|
(0.02
|
)%
|
(0.97
|
)%
|
0.37
|
%
|
(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.
|
Fair Value at September 30, 2020
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Fixed income securities
|
$
|
0
|
$
|
206,499,089
|
$
|
0
|
$
|
206,499,089
|
||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
4,479,583
|
0
|
0
|
4,479,583
|
||||||||||||
Forward currency contracts
|
0
|
(1,419,789
|
)
|
0
|
(1,419,789
|
)
|
||||||||||
Credit default index swap contracts
|
0
|
828,546
|
0
|
828,546
|
||||||||||||
Interest rate swap contracts
|
0
|
908,168
|
0
|
908,168
|
||||||||||||
Total
|
$
|
4,479,583
|
$
|
206,816,014
|
$
|
0
|
$
|
211,295,597
|
Fair Value at December 31, 2019
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
4,780
|
$
|
0
|
$
|
0
|
$
|
4,780
|
||||||||
Fixed income securities
|
0
|
257,548,052
|
0
|
257,548,052
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
(8,139,937
|
)
|
0
|
0
|
(8,139,937
|
)
|
||||||||||
Forward currency contracts
|
0
|
(2,663,677
|
)
|
0
|
(2,663,677
|
)
|
||||||||||
Total
|
$
|
(8,135,157
|
)
|
$
|
254,884,375
|
$
|
0
|
$
|
246,749,218
|
September 30, 2020
|
December 31, 2019
|
|||||||
Credit Default Index Swaps
|
Maturity Date:
December 2025
|
Not Applicable
|
||||||
Investment grade
|
$
|
41,068,155
|
$
|
0
|
||||
Non-investment grade
|
$
|
27,045,773
|
$
|
0
|
||||
Total
|
$
|
68,113,928
|
$
|
0
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
September 30, 2020
Fair Value
|
Liability
Derivatives at
September 30, 2020
Fair Value
|
Net
|
||||||||||
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
1,585,973
|
$
|
(355,267
|
)
|
$
|
1,230,706
|
||||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
1,784,870
|
(101,555
|
)
|
1,683,315
|
|||||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
4,076,724
|
(3,059,831
|
)
|
1,016,893
|
|||||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
802,296
|
(1,460,875
|
)
|
(658,579
|
)
|
||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
176,731
|
(34,877
|
)
|
141,854
|
|||||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
1,621,221
|
(555,827
|
)
|
1,065,394
|
|||||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open Forward Currency Contracts
|
13,975,697
|
(15,395,486
|
)
|
(1,419,789
|
)
|
||||||||
Credit Default Index Swap Contracts
|
Credit default index swaps
|
1,576,178
|
(747,632
|
)
|
828,546
|
|||||||||
Interest Rate Swap Contracts
|
Interest rate swaps
|
1,078,458
|
(170,290
|
)
|
908,168
|
|||||||||
Totals
|
|
$
|
26,678,148
|
$
|
(21,881,640
|
)
|
$
|
4,796,508
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
December 31, 2019
Fair Value
|
Liability
Derivatives at
December 31, 2019
Fair Value
|
Net
|
||||||||||
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
193,039
|
$
|
(2,931,321
|
)
|
$
|
(2,738,282
|
)
|
|||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
1,761,936
|
(275,743
|
)
|
1,486,193
|
|||||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
5,593,742
|
(8,006,981
|
)
|
(2,413,239
|
)
|
||||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
1,340,862
|
(1,169,714
|
)
|
171,148
|
|||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
314,422
|
(1,080,128
|
)
|
(765,706
|
)
|
||||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
1,421,030
|
(5,301,081
|
)
|
(3,880,051
|
)
|
||||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open Forward Currency Contracts
|
23,303,459
|
(25,967,136
|
)
|
(2,663,677
|
)
|
||||||||
Totals
|
|
$
|
33,928,490
|
$
|
(44,732,104
|
)
|
$
|
(10,803,614
|
)
|
Type of Instrument
|
Trading Gains/(Losses) for
the Three Months Ended
September 30, 2020
|
Trading Gains/(Losses) for
the Three Months Ended
September 30, 2019
|
||||||
Agriculture Contracts
|
$
|
(6,064,325
|
)
|
$
|
3,759,594
|
|||
Energy Contracts
|
(2,844,671
|
)
|
(3,398,818
|
)
|
||||
Metal Contracts
|
7,813,156
|
736,004
|
||||||
Stock Indices Contracts
|
(7,291,044
|
)
|
5,330,232
|
|||||
Short-Term Interest Rate Contracts
|
(55,287
|
)
|
(205,802
|
)
|
||||
Long-Term Interest Rate Contracts
|
(2,769,114
|
)
|
13,833,873
|
|||||
Forward Currency Contracts
|
(4,568,196
|
)
|
4,867,544
|
|||||
Credit default index swap contracts
|
142,020
|
0
|
||||||
Interest rate swap contracts
|
566,176
|
0
|
||||||
Total
|
$
|
(15,071,285
|
)
|
$
|
24,922,627
|
Type of Instrument
|
Trading Gains/(Losses) for
the Nine Months Ended
September 30, 2020
|
Trading Gains/(Losses) for
the Nine Months Ended
September 30, 2019
|
||||||
Agriculture Contracts
|
$
|
(5,761,777
|
)
|
$
|
(507,740
|
)
|
||
Energy Contracts
|
5,543,929
|
(7,016,118
|
)
|
|||||
Metal Contracts
|
14,711,177
|
(3,915,875
|
)
|
|||||
Stock Indices Contracts
|
(51,620,545
|
)
|
23,044,135
|
|||||
Short-Term Interest Rate Contracts
|
16,033,843
|
15,598,416
|
||||||
Long-Term Interest Rate Contracts
|
1,932,113
|
35,625,445
|
||||||
Forward Currency Contracts
|
7,160,482
|
(1,769,489
|
)
|
|||||
Credit default index swap contracts
|
142,020
|
0
|
||||||
Interest rate swap contracts
|
566,176
|
0
|
||||||
Total
|
$
|
(11,292,582
|
)
|
$
|
61,058,774
|
Line Item in the Statements of Operations
|
Trading Gains/(Losses) for
the Three Months Ended
September 30, 2020
|
Trading Gains/(Losses) for
the Three Months Ended
September 30, 2019
|
||||||
Futures trading gains (losses):
|
||||||||
Realized**
|
$
|
(14,195,388
|
)
|
$
|
30,127,764
|
|||
Change in unrealized
|
2,984,104
|
(10,072,681
|
)
|
|||||
Forward currency trading gains (losses):
|
||||||||
Realized**
|
(6,854,797
|
)
|
(573,244
|
)
|
||||
Change in unrealized
|
2,286,601
|
5,440,788
|
||||||
Swap trading gains (losses):
|
||||||||
Realized
|
525,424
|
0
|
||||||
Change in unrealized
|
182,771
|
0
|
||||||
Total
|
$
|
(15,071,285
|
)
|
$
|
24,922,627
|
Line Item in the Statements of Operations
|
Trading Gains/(Losses) for
the Nine Months Ended
September 30, 2020
|
Trading Gains/(Losses) for
the Nine Months Ended
September 30, 2019
|
||||||
Futures trading gains (losses):
|
||||||||
Realized***
|
$
|
(31,780,779
|
)
|
$
|
68,472,848
|
|||
Change in unrealized
|
12,619,520
|
(5,644,585
|
)
|
|||||
Forward currency trading gains (losses):
|
||||||||
Realized***
|
5,916,594
|
3,800,316
|
||||||
Change in unrealized
|
1,243,888
|
(5,569,805
|
)
|
|||||
Swap trading gains (losses):
|
||||||||
Realized
|
525,424
|
0
|
||||||
Change in unrealized
|
182,771
|
0
|
||||||
Total
|
$
|
(11,292,582
|
)
|
$
|
61,058,774
|
** |
For the three months ended September 30, 2020 and 2019, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $11,066 and $(103,622), respectively, and
gains/(losses) on spot trades in connection with forward currency trading at the interbank market maker of $1,167,357 and $978,763, respectively.
|
*** |
For the nine months ended September 30, 2020 and 2019, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $207,379 and $157,695, respectively, and
gains/(losses) on spot trades in connection with forward currency trading at the interbank market maker of $(344,129) and $1,052,646, respectively.
|
Offsetting of Derivative Assets by Counterparty
|
||||||||||||||
As of September 30, 2020
|
||||||||||||||
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
|
$
|
5,132,933
|
$
|
(2,866,258
|
)
|
$
|
2,266,675
|
||||||
Futures contracts
|
Goldman Sachs & Co.
|
4,914,882
|
(2,701,974
|
)
|
2,212,908
|
|||||||||
Forward currency contracts
|
NatWest Markets Plc
|
13,975,697
|
(13,975,697
|
)
|
0
|
|||||||||
Centrally cleared swap contracts
|
Centrally Cleared
|
2,654,636
|
(917,922
|
)
|
1,736,714
|
|||||||||
Total derivatives
|
|
$
|
26,678,148
|
$
|
(20,461,851
|
)
|
$
|
6,216,297
|
Derivative Assets and Collateral Received by Counterparty
|
||||||||||||||||
As of September 30, 2020
|
||||||||||||||||
|
Net Amounts of
Unrealized Gain
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|
|||||||||||||
Counterparty
|
in the Statements of
Financial Condition
|
Financial
Instruments
|
Cash Collateral
Received
|
Net Amount
|
||||||||||||
UBS Securities LLC
|
$
|
2,266,675
|
$
|
0
|
$
|
0
|
$
|
2,266,675
|
||||||||
Goldman Sachs & Co.
|
2,212,908
|
0
|
0
|
2,212,908
|
||||||||||||
NatWest Markets Plc
|
0
|
0
|
0
|
0
|
||||||||||||
Centrally Cleared
|
1,736,714
|
0
|
0
|
1,736,714
|
||||||||||||
Total
|
$
|
6,216,297
|
$
|
0
|
$
|
0
|
$
|
6,216,297
|
Offsetting of Derivative Liabilities by Counterparty
|
||||||||||||||
As of September 30, 2020
|
|
|||||||||||||
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
|
$
|
2,866,258
|
$
|
(2,866,258
|
)
|
$
|
0
|
||||||
Futures contracts
|
Goldman Sachs & Co.
|
2,701,974
|
(2,701,974
|
)
|
0
|
|||||||||
Forward currency contracts
|
NatWest Markets Plc
|
15,395,486
|
(13,975,697
|
)
|
1,419,789
|
|||||||||
Centrally cleared swap contracts
|
Centrally Cleared
|
917,922
|
(917,922
|
)
|
0
|
|||||||||
Total derivatives
|
|
$
|
21,881,640
|
$
|
(20,461,851
|
)
|
$
|
1,419,789
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
||||||||||||||||
As of September 30, 2020
|
||||||||||||||||
|
Net Amounts of
Unrealized loss
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|
|||||||||||||
Counterparty
|
in the Statements of
Financial Condition
|
Financial
Instruments
|
Cash Collateral
Pledged
|
Net Amount
|
||||||||||||
UBS Securities LLC
|
$
|
0
|
$
|
0
|
$
|
0
|
$
|
0
|
||||||||
Goldman Sachs & Co.
|
0
|
0
|
0
|
0
|
||||||||||||
NatWest Markets Plc
|
1,419,789
|
0
|
(1,419,789
|
)
|
0
|
|||||||||||
Centrally Cleared
|
0
|
0
|
0
|
0
|
||||||||||||
Total
|
$
|
1,419,789
|
$
|
0
|
$
|
(1,419,789
|
)
|
$
|
0
|
Offsetting of Derivative Assets by Counterparty
|
||||||||||||||
As of December 31, 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
|
$
|
5,396,065
|
$
|
(5,396,065
|
)
|
$
|
0
|
||||||
Futures contracts
|
Goldman Sachs & Co.
|
5,228,966
|
(5,228,966
|
)
|
0
|
|||||||||
Forward currency contracts
|
NatWest Markets Plc
|
23,303,459
|
(23,303,459
|
)
|
0
|
|||||||||
Total derivatives
|
|
$
|
33,928,490
|
$
|
(33,928,490
|
)
|
$
|
0
|
Derivative Assets and Collateral Received by Counterparty
|
||||||||||||||||
As of December 31, 2019
|
||||||||||||||||
|
Net Amounts of
Unrealized Gain
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|
|||||||||||||
Counterparty
|
in the Statements of
Financial Condition
|
Financial
Instruments
|
Cash Collateral
Received
|
Net Amount
|
||||||||||||
UBS Securities LLC
|
$
|
0
|
$
|
0
|
$
|
0
|
$
|
0
|
||||||||
Goldman Sachs & Co.
|
0
|
0
|
0
|
0
|
||||||||||||
NatWest Markets Plc
|
0
|
0
|
0
|
0
|
||||||||||||
Total
|
$
|
0
|
$
|
0
|
$
|
0
|
$
|
0
|
Offsetting of Derivative Liabilities by Counterparty
|
||||||||||||||
As of December 31, 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
|
$
|
9,348,737
|
$
|
(5,396,065
|
)
|
$
|
3,952,672
|
||||||
Futures contracts
|
Goldman Sachs & Co.
|
9,416,231
|
(5,228,966
|
)
|
4,187,265
|
|||||||||
Forward currency contracts
|
NatWest Markets Plc
|
25,967,136
|
(23,303,459
|
)
|
2,663,677
|
|||||||||
Total derivatives
|
|
$
|
44,732,104
|
$
|
(33,928,490
|
)
|
$
|
10,803,614
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
||||||||||||||||
As of December 31, 2019
|
||||||||||||||||
|
Net Amounts of
Unrealized loss
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
|
|||||||||||||
Counterparty
|
in the Statements of
Financial Condition
|
Financial
Instruments
|
Cash Collateral
Pledged
|
Net Amount
|
||||||||||||
UBS Securities LLC
|
$
|
3,952,672
|
$
|
0
|
$
|
(3,952,672
|
)
|
$
|
0
|
|||||||
Goldman Sachs & Co.
|
4,187,265
|
0
|
(4,187,265
|
)
|
0
|
|||||||||||
NatWest Markets Plc
|
2,663,677
|
0
|
(2,663,677
|
)
|
0
|
|||||||||||
Total
|
$
|
10,803,614
|
$
|
0
|
$
|
(10,803,614
|
)
|
$
|
0
|
Sector
|
% Gain (Loss)
|
|||
Credit
|
0.14
|
%
|
||
Commodities
|
4.41
|
%
|
||
Currencies
|
1.98
|
%
|
||
Interest Rates
|
4.98
|
%
|
||
Stock Indices
|
(15.50
|
)%
|
||
(3.99
|
)%
|
Sector
|
% Gain (Loss)
|
|||
Commodities
|
(3.25
|
)%
|
||
Currencies
|
(0.75
|
)%
|
||
Interest Rates
|
16.64
|
%
|
||
Stock Indices
|
7.36
|
%
|
||
20.00
|
%
|
September 30, 2020
|
||||||||
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Credit
|
0.09
|
%
|
0.14
|
%
|
||||
Commodities
|
0.96
|
%
|
4.41
|
%
|
||||
Currencies
|
0.47
|
%
|
1.98
|
%
|
||||
Interest Rates
|
0.78
|
%
|
4.98
|
%
|
||||
Stock Indices
|
0.64
|
%
|
(15.50
|
)%
|
||||
Aggregate/Total
|
1.28
|
%
|
(3.99
|
)%
|
* |
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Trust’s open positions across all market sectors, and is less
than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
|
** |
Represents the gross trading for the Trust for the nine months ended September 30, 2020.
|
December 31, 2019
|
||||||||
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Commodities
|
0.51
|
%
|
(8.12
|
)%
|
||||
Currencies
|
0.60
|
%
|
(3.76
|
)%
|
||||
Interest Rates
|
0.61
|
%
|
12.88
|
%
|
||||
Stock Indices
|
0.71
|
%
|
9.78
|
%
|
||||
Aggregate/Total
|
1.19
|
%
|
10.78
|
%
|
* |
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 year ended December 31, 2019.
|
1) |
Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;
|
2) |
Changes in portfolio value caused by market movements may differ from those of the VaR model;
|
3) |
VaR results reflect past trading positions while future risk depends on future positions;
|
4) |
VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and
|
5) |
The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.
|
Exhibit Number
|
Description of Document
|
|
3.01
|
||
3.02
|
||
10.01
|
||
10.02
|
||
10.03
|
||
Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.
|
||
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.
|
||
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.
|
||
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 as of September 30, 2020 and December 31, 2019, (ii) Statements of Financial
Condition as of September 30, 2020 and December 31, 2019, (iii) Statements of Operations For the Three Months and Nine Months Ended September 30, 2020 and 2019, (iv) Statements of Cash Flows For the Nine Months Ended September 30,
2020 and 2019, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the Nine Months Ended September 30, 2020 and 2019, (vi) Financial Highlights For the Three Months and Nine Months Ended September 30, 2020 and
2019, (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.
|
Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
|
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
|
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.
|
|
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 as of September 30, 2020 and December 31, 2019, (ii) Statements of Financial
Condition as of September 30, 2020 and December 31, 2019, (iii) Statements of Operations For the Three Months and Nine Months Ended September 30, 2020 and 2019, (iv) Statements of Cash Flows For the Nine Months Ended September 30, 2020
and 2019, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the Nine Months Ended September 30, 2020 and 2019, (vi) Financial Highlights For the Three Months and Nine Months Ended September 30, 2020 and 2019, (vii)
Notes to Financial Statements.
|
THE CAMPBELL FUND TRUST
(Registrant)
|
|||
By:
|
Campbell & Company, LP
|
||
Managing Operator
|
|||
Date: November 16, 2020
|
By:
|
/s/ G. William Andrews
|
|
G. William Andrews
|
|||
Chief Executive Officer
|
1. |
I have reviewed this quarterly report on Form 10-Q of the Trust;
|
2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the
circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3. |
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results
of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4. |
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e)
and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
(a) |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information
relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b) |
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable
assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c) |
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls
and procedures, as of the end of the period covered by this report based on such evaluation; and
|
(d) |
Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's
fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
|
5. |
The registrant's other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors
and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
|
(a) |
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the
registrant's ability to record, process, summarize and report financial information; and
|
(b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
|
Date: November 16, 2020
|
||
By:
|
/s/ G. William Andrews
|
|
G. William Andrews
|
||
Chief Executive Officer
|
||
Campbell & Company, LP
|
||
Managing Operator
|
||
The Campbell Fund Trust
|
1. |
I have reviewed this quarterly report on Form 10-Q of the Trust;
|
2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the
circumstances under which such statements were made, not misleading with respect to the period covered by this report;
|
3. |
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results
of operations and cash flows of the registrant as of, and for, the periods presented in this report;
|
4. |
The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e)
and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
(a) |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information
relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b) |
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable
assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c) |
Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls
and procedures, as of the end of the period covered by this report based on such evaluation; and
|
(d) |
Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's
fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and
|
5. |
The registrant's other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors
and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):
|
(a) |
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the
registrant's ability to record, process, summarize and report financial information; and
|
(b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.
|
Date: November 16, 2020
|
||
By:
|
/s/ Gabriel A. Morris
|
|
Gabriel A. Morris
|
||
Chief Operating Officer
|
||
Campbell & Company, LP
|
||
Managing Operator
|
||
The Campbell Fund Trust
|
Date: November 16, 2020
|
THE CAMPBELL FUND TRUST
|
|
By: Campbell & Company, LP, Managing Operator
|
||
By:
|
/s/ G. William Andrews
|
|
G.William Andrews
|
||
Chief Executive Officer
|
Date: November 16, 2020
|
THE CAMPBELL FUND TRUST
|
|
By: Campbell & Company, LP, Managing Operator
|
||
By:
|
/s/ Gabriel A. Morris
|
|
Gabriel A. Morris
|
||
Chief Operating Officer
|
CONDENSED SCHEDULE OF INVESTMENTS (Unaudited) (Parenthetical) - USD ($) |
Sep. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Fixed Income Securities [Member] | ||
Investment Owned | ||
Cost | $ 205,969,860 | $ 257,289,099 |
Fixed Income Securities [Member] | Asset Backed Securities [Member] | ||
Investment Owned | ||
Cost | 14,947,861 | 19,601,083 |
Fixed Income Securities [Member] | Bank Deposits [Member] | ||
Investment Owned | ||
Cost | 3,125,294 | 5,229,284 |
Fixed Income Securities [Member] | Bank Deposits [Member] | Singapore [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 2,837,086 | |
Fixed Income Securities [Member] | Bank Deposits [Member] | United States [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 2,392,198 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | ||
Investment Owned | ||
Cost | 74,967,736 | 94,403,769 |
Fixed Income Securities [Member] | Commercial Paper [Member] | Australia [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 399,685 | 2,486,462 |
Fixed Income Securities [Member] | Commercial Paper [Member] | Canada [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 999,632 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | Norway [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 1,339,302 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | Sweden [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 2,990,273 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | Switzerland [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 4,296,981 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | United Kingdom [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 1,363,162 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | ||
Investment Owned | ||
Cost | 71,865,587 | 83,630,421 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | ||
Investment Owned | ||
Cost | 69,057,353 | 84,419,463 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Australia [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 3,585,000 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Canada [Member] | ||
Investment Owned | ||
Cost | 7,494,451 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Canada [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 7,599,938 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Germany [Member] | Consumer Discretionary [Member] | ||
Investment Owned | ||
Cost | 3,814,278 | 5,147,253 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Japan [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 2,020,000 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Switzerland [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 2,449,461 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | ||
Investment Owned | ||
Cost | 5,979,474 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 3,860,000 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | ||
Investment Owned | ||
Cost | 47,748,676 | 63,778,285 |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | ||
Investment Owned | ||
Cost | 43,871,616 | 53,635,500 |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | ||
Investment Owned | ||
Fixed income securities deposited with futures brokers | 43,871,907 | 53,641,527 |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 10/15/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 4,660,000 | |
Due date | Oct. 15, 2020 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 11/12/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 25,125,000 | |
Due date | Nov. 12, 2020 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 12/17/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 14,092,500 | |
Due date | Dec. 17, 2020 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 01/02/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 4,160,000 | |
Due date | Jan. 02, 2020 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 01/16/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 4,500,000 | |
Due date | Jan. 16, 2020 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 02/13/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 27,690,000 | |
Due date | Feb. 13, 2020 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 03/12/2020 [Member] | ||
Investment Owned | ||
Maturity face value | $ 17,392,500 | |
Due date | Mar. 12, 2020 | |
Short Term Investments [Member] | ||
Investment Owned | ||
Cost | $ 4,780 | |
Short Term Investments [Member] | Money Market Funds [Member] | United States [Member] | ||
Investment Owned | ||
Cost | $ 4,780 | |
Credit Default Swap [Member] | ||
Investment Owned | ||
Cost | $ 988,242 | |
Credit Default Swap [Member] | Centrally Cleared - Sell Protection [Member] | ||
Investment Owned | ||
Cost | 988,242 | |
Interest Rate Swaps [Member] | ||
Investment Owned | ||
Cost | 565,701 | |
Interest Rate Swaps [Member] | Receive Fixed Interest Rate [Member] | ||
Investment Owned | ||
Cost | 561,006 | |
Interest Rate Swaps [Member] | Pay Fixed Interest Rate [Member] | ||
Investment Owned | ||
Cost | $ 4,695 |
STATEMENTS OF FINANCIAL CONDITION (Unaudited) - USD ($) |
Sep. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Equity in futures brokers trading accounts | ||
Cash | $ 16,137,322 | $ 15,751,729 |
Restricted cash | 566,829 | 4,648,990 |
Fixed income securities (cost $43,871,616 and $53,635,500, respectively) | 43,871,907 | 53,641,527 |
Net unrealized gain (loss) on open futures contracts | 4,479,583 | (8,139,937) |
Total equity in futures brokers trading accounts | 65,055,641 | 65,902,309 |
Cash and cash equivalents | 1,151,191 | 1,118,945 |
Cash at interbank market maker | 11,910,603 | 14,851,807 |
Restricted cash at interbank market maker | 23,420,947 | 29,815,239 |
Cash at swaps broker | 3,592,697 | 0 |
Restricted cash at swaps broker | 9,338,134 | 0 |
Short term investments (cost $0 and $4,780, respectively) | 0 | 4,780 |
Fixed income securities (cost $162,098,244 and $203,653,599, respectively) | 162,627,182 | 203,906,525 |
Credit default index swaps (cost $988,242 and $0, respectively) | 828,546 | 0 |
Interest rate swaps (cost $565,701 and $0, respectively) | 908,168 | 0 |
Due from swaps broker | 32,839 | 0 |
Interest receivable | 278,900 | 635,953 |
Total assets | 279,144,848 | 316,235,558 |
LIABILITIES | ||
Accounts payable | 195,062 | 327,900 |
Management fee payable | 461,939 | 995,719 |
Net unrealized loss on forward currency contracts | 1,419,789 | 2,663,677 |
Accrued commissions and other trading fees on open contracts | 60,309 | 183,841 |
Offering costs payable | 102,095 | 114,869 |
Sales commission payable | 404,029 | 0 |
Redemptions payable | 4,521,281 | 2,442,931 |
Total liabilities | 7,164,504 | 6,728,937 |
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Total unitholders' capital (Net Asset Value) | 271,980,344 | 309,506,621 |
Total liabilities and unitholders' capital (Net Asset Value) | 279,144,848 | 316,235,558 |
Series A Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | 210,687,834 | 243,974,281 |
Series B Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | 31,356,539 | 36,551,654 |
Series D Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | 4,892,124 | 3,507,300 |
Series W Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | $ 25,043,847 | $ 25,473,386 |
STATEMENTS OF FINANCIAL CONDITION (Unaudited) (Parenthetical) - USD ($) |
Sep. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Equity in futures brokers trading accounts | ||
Fixed income securities, cost | $ 43,871,616 | $ 53,635,500 |
Short term investments, cost | 0 | 4,780 |
Fixed income securities, cost | 162,098,244 | 203,653,599 |
Credit default index swaps, cost | 988,242 | 0 |
Interest rate swaps, cost | $ 565,701 | $ 0 |
Series A Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 88,379.280 | 95,005.038 |
Series B Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 11,973.383 | 13,005.349 |
Series D Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 5,010.803 | 3,366.350 |
Series W Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 8,752.772 | 8,389.889 |
STATEMENTS OF OPERATIONS (Unaudited) - USD ($) |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
|
Futures trading gains (losses) | ||||
Realized | $ (14,195,388) | $ 30,127,764 | $ (31,779,232) | $ 68,472,848 |
Change in unrealized | 2,984,104 | (10,072,681) | 12,619,520 | (5,644,585) |
Brokerage commissions | (631,218) | (470,721) | (1,683,521) | (1,491,863) |
Net gain (loss) from futures trading | (11,842,502) | 19,584,362 | (20,843,233) | 61,336,400 |
Forward currency trading gains (losses) | ||||
Realized | (6,854,797) | (573,244) | 5,916,594 | 3,800,316 |
Change in unrealized | 2,286,601 | 5,440,788 | 1,243,888 | (5,569,805) |
Brokerage commissions | (56,133) | (56,975) | (144,436) | (208,988) |
Net gain (loss) from forward currency trading | (4,624,329) | 4,810,569 | 7,016,046 | (1,978,477) |
Swap trading gains (losses) | ||||
Realized | 525,424 | 0 | 525,424 | 0 |
Change in unrealized | 182,771 | 0 | 182,771 | 0 |
Net gain (loss) from swap trading | 708,195 | 0 | 708,195 | 0 |
Total net trading gain (loss) | (15,758,636) | 24,394,931 | (13,118,992) | 59,357,923 |
Investment income | ||||
Interest income | 438,509 | 1,963,269 | 2,770,031 | 6,063,413 |
Realized gain (loss) on fixed income securities | 37,264 | 10,418 | 65,675 | 14,468 |
Change in unrealized gain (loss) on fixed income securities | (91,915) | 39,047 | 270,276 | 709,628 |
Total investment income | 383,858 | 2,012,734 | 3,105,982 | 6,787,509 |
Expenses | ||||
Management fee | 1,428,214 | 3,359,726 | 7,077,889 | 9,695,861 |
Performance fee | 0 | 21,165 | 0 | 21,165 |
Operating expenses | 239,824 | 273,180 | 706,390 | 800,984 |
Sales commission | 1,285,066 | 0 | 1,738,565 | 0 |
Total expenses | 2,953,104 | 3,654,071 | 9,522,844 | 10,518,010 |
Net investment income (loss) | (2,569,246) | (1,641,337) | (6,416,862) | (3,730,501) |
NET INCOME (LOSS) | $ (18,327,882) | $ 22,753,594 | $ (19,535,854) | $ 55,627,422 |
Series A [Member] | ||||
NET INCOME (LOSS) PER OTHER UNITHOLDERS' UNIT | ||||
NET INCOME (LOSS) PER OTHER UNITHOLDERS' UNIT (based on weighted average number of units outstanding during the period) (in dollars per unit) | $ (158.43) | $ 182.38 | $ (166.55) | $ 425.47 |
INCREASE (DECREASE) IN NET ASSET VALUE PER OTHER UNITHOLDERS' UNIT (in dollars per unit) | $ (161.64) | $ 178.01 | $ (184.10) | $ 424.18 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 90,597.713 | 98,909.779 | 92,561.559 | 103,422.686 |
Series B [Member] | ||||
NET INCOME (LOSS) PER OTHER UNITHOLDERS' UNIT | ||||
NET INCOME (LOSS) PER OTHER UNITHOLDERS' UNIT (based on weighted average number of units outstanding during the period) (in dollars per unit) | $ (173.13) | $ 201.33 | $ (181.64) | $ 463.18 |
INCREASE (DECREASE) IN NET ASSET VALUE PER OTHER UNITHOLDERS' UNIT (in dollars per unit) | $ (174.07) | $ 198.18 | $ (191.66) | $ 473.43 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 12,370.216 | 13,322.219 | 12,672.240 | 14,214.142 |
Series D [Member] | ||||
NET INCOME (LOSS) PER OTHER UNITHOLDERS' UNIT | ||||
NET INCOME (LOSS) PER OTHER UNITHOLDERS' UNIT (based on weighted average number of units outstanding during the period) (in dollars per unit) | $ (62.26) | $ 54.96 | $ (83.13) | $ 164.08 |
INCREASE (DECREASE) IN NET ASSET VALUE PER OTHER UNITHOLDERS' UNIT (in dollars per unit) | $ (62.93) | $ 62.39 | $ (65.55) | $ 168.93 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 4,754.203 | 1,724.770 | 4,146.531 | 1,609.926 |
Series W [Member] | ||||
NET INCOME (LOSS) PER OTHER UNITHOLDERS' UNIT | ||||
NET INCOME (LOSS) PER OTHER UNITHOLDERS' UNIT (based on weighted average number of units outstanding during the period) (in dollars per unit) | $ (175.47) | $ 230.00 | $ (172.20) | $ 544.22 |
INCREASE (DECREASE) IN NET ASSET VALUE PER OTHER UNITHOLDERS' UNIT (in dollars per unit) | $ (178.73) | $ 224.89 | $ (174.95) | $ 540.86 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 8,757.813 | 8,422.307 | 8,556.163 | 8,776.466 |
STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) |
9 Months Ended | |
---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
|
Cash flows from (for) operating activities | ||
Net income (loss) | $ (19,535,854) | $ 55,627,422 |
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | ||
Net change in unrealized on futures, forwards, swaps and investments | (14,316,455) | 10,504,762 |
(Increase) decrease in interest receivable | 357,053 | 267,540 |
(Increase) decrease in due from swaps broker | (32,839) | 0 |
Increase (decrease) in accounts payable and accrued expenses | (386,121) | 50,756 |
Payments for swap contracts | (11,120,872) | 0 |
Proceeds from swap contracts | 9,566,929 | 0 |
Purchases of investments | (1,912,501,506) | (1,287,177,662) |
Sales/maturities of investments | 1,963,825,525 | 1,284,874,509 |
Net cash from (for) operating activities | 15,855,860 | 64,147,327 |
Cash flows from (for) financing activities | ||
Addition of units | 8,610,446 | 11,853,876 |
Redemption of units | (23,501,498) | (64,014,197) |
Offering costs paid | (1,033,795) | (1,111,234) |
Net cash from (for) financing activities | (15,924,847) | (53,271,555) |
Net increase (decrease) in cash, cash equivalents and restricted cash | (68,987) | 10,875,772 |
Cash, cash equivalents and restricted cash at beginning of period | 66,186,710 | 67,746,528 |
Cash, cash equivalents and restricted cash at end of period | $ 66,117,723 | $ 78,622,300 |
STATEMENTS OF CASH FLOWS (Unaudited) (Parenthetical) - USD ($) |
Sep. 30, 2020 |
Dec. 31, 2019 |
Sep. 30, 2019 |
Dec. 31, 2018 |
---|---|---|---|---|
Equity in futures brokers trading accounts | ||||
Cash | $ 16,137,322 | $ 15,751,729 | ||
Restricted cash | 566,829 | 4,648,990 | ||
Cash and cash equivalents | 1,151,191 | 1,118,945 | ||
Cash at interbank market maker | 11,910,603 | 14,851,807 | ||
Restricted cash at interbank market maker | 23,420,947 | 29,815,239 | ||
Cash at swaps broker | 3,592,697 | 0 | ||
Restricted cash at swaps broker | 9,338,134 | 0 | ||
Total cash, cash equivalents and restricted cash at end of period | $ 66,117,723 | $ 66,186,710 | $ 78,622,300 | $ 67,746,528 |
STATEMENT OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE) (Unaudited) - USD ($) |
3 Months Ended | 9 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2020 |
Jun. 30, 2020 |
Mar. 31, 2020 |
Sep. 30, 2019 |
Jun. 30, 2019 |
Mar. 31, 2019 |
Sep. 30, 2018 |
Sep. 30, 2020 |
Sep. 30, 2019 |
|
Balances at beginning of period | $ 299,012,023 | $ 321,002,167 | $ 309,506,621 | $ 328,133,946 | $ 322,777,958 | $ 333,891,934 | $ 309,506,621 | $ 333,891,934 | |
Net income (loss) | (18,327,882) | (18,195,425) | 16,987,453 | 22,753,594 | 18,975,549 | 13,898,279 | $ (3,231,976) | (19,535,854) | 55,627,422 |
Additions | 3,913,998 | 3,220,581 | 6,291,609 | 6,112,110 | 1,088,823 | 10,578,667 | |||
Redemptions | (7,365,163) | (8,350,486) | (11,067,027) | (19,415,785) | (25,690,681) | (76,257,319) | |||
Offering costs | (343,554) | (362,002) | (386,787) | (315,886) | (410,397) | (389,791) | |||
Balances at end of period | 271,980,344 | 299,012,023 | 321,002,167 | 345,725,335 | 328,133,946 | 322,777,958 | $ 379,744,093 | 271,980,344 | 345,725,335 |
Series A [Member] | Other Unitholders [Member] | |||||||||
Balances at beginning of period | $ 232,671,326 | $ 251,707,605 | $ 243,974,281 | $ 261,798,509 | $ 257,469,360 | $ 265,715,642 | $ 243,974,281 | $ 265,715,642 | |
Balances at beginning of period (in units) | 91,403.137 | 93,078.451 | 95,005.038 | 99,561.898 | 103,661.437 | 111,488.756 | 95,005.038 | 111,488.756 | |
Net income (loss) | $ (14,353,400) | $ (14,345,960) | $ 13,283,425 | $ 18,039,515 | $ 15,004,346 | $ 10,959,406 | |||
Additions | $ 390,582 | $ 2,071,421 | $ 1,036,884 | $ 5,154,277 | $ 5,873,079 | $ 966,271 | |||
Additions (in units) | 159.755 | 783.671 | 380.679 | 1,804.464 | 2,299.229 | 402.786 | |||
Redemptions | $ (7,743,225) | $ (6,456,980) | $ (6,263,995) | $ (9,407,495) | $ (16,266,862) | $ (19,795,854) | |||
Redemptions (in units) | (3,183.612) | (2,458.985) | (2,307.266) | (3,331.196) | (6,398.768) | (8,230.105) | |||
Offering costs | $ (277,449) | $ (304,760) | $ (322,990) | $ (349,413) | $ (281,414) | $ (376,105) | |||
Balances at end of period | $ 210,687,834 | $ 232,671,326 | $ 251,707,605 | $ 275,235,393 | $ 261,798,509 | $ 257,469,360 | $ 210,687,834 | $ 275,235,393 | |
Balances at end of period (in units) | 88,379.280 | 91,403.137 | 93,078.451 | 98,035.166 | 99,561.898 | 103,661.437 | 88,379.280 | 98,035.166 | |
Series B [Member] | Other Unitholders [Member] | |||||||||
Balances at beginning of period | $ 35,146,497 | $ 37,829,362 | $ 36,551,654 | $ 38,700,109 | $ 38,258,408 | $ 40,954,227 | $ 36,551,654 | $ 40,954,227 | |
Balances at beginning of period (in units) | 12,584.124 | 12,765.840 | 13,005.349 | 13,481.561 | 14,124.891 | 15,779.825 | 13,005.349 | 15,779.825 | |
Net income (loss) | $ (2,141,697) | $ (2,152,270) | $ 1,992,123 | $ 2,682,188 | $ 2,264,553 | $ 1,636,947 | |||
Additions | $ 18,750 | $ 6,564 | $ 0 | $ 0 | $ 0 | $ 78,844 | |||
Additions (in units) | 6.992 | 2.349 | 0 | 0 | 0 | 29.1090 | |||
Redemptions | $ (1,667,011) | $ (537,159) | $ (714,415) | $ (1,143,746) | $ (1,822,852) | $ (4,411,610) | |||
Redemptions (in units) | (617.733) | (184.065) | (239.509) | (369.314) | (643.330) | (1,684.043) | |||
Offering costs | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | $ 0 | |||
Balances at end of period | $ 31,356,539 | $ 35,146,497 | $ 37,829,362 | $ 40,238,551 | $ 38,700,109 | $ 38,258,408 | $ 31,356,539 | $ 40,238,551 | |
Balances at end of period (in units) | 11,973.383 | 12,584.124 | 12,765.840 | 13,112.247 | 13,481.561 | 14,124.891 | 11,973.383 | 13,112.247 | |
Series D [Member] | Other Unitholders [Member] | |||||||||
Balances at beginning of period | $ 4,815,056 | $ 4,311,179 | $ 3,507,300 | $ 1,678,312 | $ 1,586,243 | $ 1,517,078 | $ 3,507,300 | $ 1,517,078 | |
Balances at beginning of period (in units) | 4,633.190 | 3,917.158 | 3,366.350 | 1,564.018 | 1,569.589 | 1,569.589 | 3,366.350 | 1,569.589 | |
Net income (loss) | $ (296,012) | $ (248,077) | $ 199,390 | $ 94,797 | $ 98,275 | $ 71,088 | |||
Additions | $ 379,026 | $ 866,454 | $ 713,740 | $ 935,309 | $ 49,023 | $ 0 | |||
Additions (in units) | 377.613 | 815.382 | 645.496 | 819.067 | 45.684 | 0 | |||
Redemptions | $ 0 | $ (109,065) | $ (104,213) | $ 0 | $ (53,220) | $ 0 | |||
Redemptions (in units) | 0 | (99.350) | (94.688) | 0 | (51.255) | 0 | |||
Offering costs | $ (5,946) | $ (5,435) | $ (5,038) | $ (2,487) | $ (2,009) | $ (1,923) | |||
Balances at end of period | $ 4,892,124 | $ 4,815,056 | $ 4,311,179 | $ 2,705,931 | $ 1,678,312 | $ 1,586,243 | $ 4,892,124 | $ 2,705,931 | |
Balances at end of period (in units) | 5,010.803 | 4,633.190 | 3,917.158 | 2,383.085 | 1,564.018 | 1,569.589 | 5,010.803 | 2,383.085 | |
Series W [Member] | Other Unitholders [Member] | |||||||||
Balances at beginning of period | $ 26,379,144 | $ 27,154,021 | $ 25,473,386 | $ 25,957,016 | $ 25,463,947 | $ 25,704,987 | $ 25,473,386 | $ 25,704,987 | |
Balances at beginning of period (in units) | 8,677.414 | 8,450.378 | 8,389.889 | 8,433.412 | 8,801.113 | 9,306.953 | 8,389.889 | 9,306.953 | |
Net income (loss) | $ (1,536,773) | $ (1,449,118) | $ 1,512,515 | $ 1,937,094 | $ 1,608,375 | $ 1,230,838 | |||
Additions | $ 687,509 | $ 969,559 | $ 1,469,957 | $ 202,023 | $ 190,008 | $ 43,708 | |||
Additions (in units) | 231.505 | 308.715 | 454.565 | 61.448 | 63.879 | 16.012 | |||
Redemptions | $ (453,963) | $ (261,959) | $ (1,267,863) | $ (515,786) | $ (1,272,851) | $ (1,483,217) | |||
Redemptions (in units) | (156.147) | (81.679) | (394.076) | (154.739) | (431.580) | (521.852) | |||
Offering costs | $ (32,070) | $ (33,359) | $ (33,974) | $ (34,887) | $ (32,463) | $ (32,369) | |||
Balances at end of period | $ 25,043,847 | $ 26,379,144 | $ 27,154,021 | $ 27,545,460 | $ 25,957,016 | $ 25,463,947 | $ 25,043,847 | $ 27,545,460 | |
Balances at end of period (in units) | 8,752.772 | 8,677.414 | 8,450.378 | 8,340.121 | 8,433.412 | 8,801.113 | 8,752.772 | 8,340.121 |
STATEMENT OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE) (Unaudited) (Parenthetical) - $ / shares |
Sep. 30, 2020 |
Jun. 30, 2020 |
Mar. 31, 2020 |
Dec. 31, 2019 |
Sep. 30, 2019 |
Jun. 30, 2019 |
Mar. 31, 2019 |
Dec. 31, 2018 |
---|---|---|---|---|---|---|---|---|
Series A [Member] | ||||||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | $ 2,383.91 | $ 2,545.55 | $ 2,704.25 | $ 2,568.01 | $ 2,807.52 | $ 2,629.51 | $ 2,483.75 | $ 2,383.34 |
Series B [Member] | ||||||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | 2,618.85 | 2,792.92 | 2,963.33 | 2,810.51 | 3,068.78 | 2,870.60 | 2,708.58 | 2,595.35 |
Series D [Member] | ||||||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | 976.32 | 1,039.25 | 1,100.59 | 1,041.87 | 1,135.47 | 1,073.08 | 1,010.61 | 966.54 |
Series W [Member] | ||||||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | $ 2,861.25 | $ 3,039.98 | $ 3,213.35 | $ 3,036.20 | $ 3,302.77 | $ 3,077.88 | $ 2,893.26 | $ 2,761.91 |
FINANCIAL HIGHLIGHTS (Unaudited) - $ / shares |
3 Months Ended | 9 Months Ended | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
|||||||||
Series A [Member] | ||||||||||||
Per Unit Performance (for a unit outstanding throughout the entire period) | ||||||||||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 2,545.55 | $ 2,629.51 | $ 2,568.01 | $ 2,383.34 | ||||||||
Income (loss) from operations: | ||||||||||||
Total net trading gains (losses) (in dollars per unit) | [1] | (135.32) | 195.78 | (116.40) | 465.70 | |||||||
Net investment income (loss) (in dollars per unit) | [1] | (23.26) | (14.24) | (57.92) | (31.78) | |||||||
Total net income (loss) from operations (in dollars per unit) | (158.58) | 181.54 | (174.32) | 433.92 | ||||||||
Offering costs (in dollars per unit) | [1] | (3.06) | (3.53) | (9.78) | (9.74) | |||||||
Net asset value per unit at end of period (in dollars per unit) | $ 2,383.91 | $ 2,807.52 | $ 2,383.91 | $ 2,807.52 | ||||||||
Total Return | [2] | (6.35%) | 6.77% | (7.17%) | 17.80% | |||||||
Ratios to average net asset value: | ||||||||||||
Expenses prior to performance fee | [3] | 4.31% | 4.41% | 4.34% | 4.39% | |||||||
Performance fee | [2] | 0.00% | 0.00% | 0.00% | 0.00% | |||||||
Total expenses | 4.31% | 4.41% | 4.34% | 4.39% | ||||||||
Net investment income (loss) | [3],[4] | (3.78%) | (2.06%) | (2.98%) | (1.66%) | |||||||
Series B [Member] | ||||||||||||
Per Unit Performance (for a unit outstanding throughout the entire period) | ||||||||||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 2,792.92 | $ 2,870.60 | $ 2,810.51 | $ 2,595.35 | ||||||||
Income (loss) from operations: | ||||||||||||
Total net trading gains (losses) (in dollars per unit) | [1] | (148.54) | 213.72 | (128.19) | 507.92 | |||||||
Net investment income (loss) (in dollars per unit) | [1] | (25.53) | (15.54) | (63.47) | (34.49) | |||||||
Total net income (loss) from operations (in dollars per unit) | (174.07) | 198.18 | (191.66) | 473.43 | ||||||||
Net asset value per unit at end of period (in dollars per unit) | $ 2,618.85 | $ 3,068.78 | $ 2,618.85 | $ 3,068.78 | ||||||||
Total Return | [2] | (6.23%) | 6.90% | (6.82%) | 18.24% | |||||||
Ratios to average net asset value: | ||||||||||||
Expenses prior to performance fee | [3] | 4.32% | 4.42% | 4.34% | 4.40% | |||||||
Performance fee | [2] | 0.00% | 0.00% | 0.00% | 0.00% | |||||||
Total expenses | 4.32% | 4.42% | 4.34% | 4.40% | ||||||||
Net investment income (loss) | [3],[4] | (3.78%) | (2.06%) | (2.98%) | (1.66%) | |||||||
Series D [Member] | ||||||||||||
Per Unit Performance (for a unit outstanding throughout the entire period) | ||||||||||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 1,039.25 | $ 1,073.08 | $ 1,041.87 | $ 966.54 | ||||||||
Income (loss) from operations: | ||||||||||||
Total net trading gains (losses) (in dollars per unit) | [1] | (55.29) | 78.37 | (47.66) | 189.39 | |||||||
Net investment income (loss) (in dollars per unit) | [1] | (6.39) | (14.54) | (13.93) | (16.47) | |||||||
Total net income (loss) from operations (in dollars per unit) | (61.68) | 63.83 | (61.59) | 172.92 | ||||||||
Offering costs (in dollars per unit) | [1] | (1.25) | (1.44) | (3.96) | (3.99) | |||||||
Net asset value per unit at end of period (in dollars per unit) | $ 976.32 | $ 1,135.47 | $ 976.32 | $ 1,135.47 | ||||||||
Total Return | [2] | (6.06%) | 5.81% | (6.29%) | 17.48% | |||||||
Ratios to average net asset value: | ||||||||||||
Expenses prior to performance fee | [3] | 3.05% | 3.04% | 3.02% | 3.04% | |||||||
Performance fee | [2] | 0.00% | 1.06% | 0.00% | 1.23% | |||||||
Total expenses | 3.05% | 4.10% | 3.02% | 4.27% | ||||||||
Net investment income (loss) | [3],[4] | (2.52%) | (0.78%) | (1.74%) | (0.41%) | |||||||
Series W [Member] | ||||||||||||
Per Unit Performance (for a unit outstanding throughout the entire period) | ||||||||||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 3,039.98 | $ 3,077.88 | $ 3,036.20 | $ 2,761.91 | ||||||||
Income (loss) from operations: | ||||||||||||
Total net trading gains (losses) (in dollars per unit) | [1] | (161.88) | 229.15 | (140.69) | 543.94 | |||||||
Net investment income (loss) (in dollars per unit) | [1] | (13.19) | (0.12) | (22.64) | 8.28 | |||||||
Total net income (loss) from operations (in dollars per unit) | (175.07) | 229.03 | (163.33) | 552.22 | ||||||||
Offering costs (in dollars per unit) | [1] | (3.66) | (4.14) | (11.62) | (11.36) | |||||||
Net asset value per unit at end of period (in dollars per unit) | $ 2,861.25 | $ 3,302.77 | $ 2,861.25 | $ 3,302.77 | ||||||||
Total Return | [2] | (5.88%) | 7.31% | (5.76%) | 19.58% | |||||||
Ratios to average net asset value: | ||||||||||||
Expenses prior to performance fee | [3] | 2.31% | 2.36% | 2.31% | 2.36% | |||||||
Performance fee | [2] | 0.00% | 0.00% | 0.00% | 0.00% | |||||||
Total expenses | 2.31% | 2.36% | 2.31% | 2.36% | ||||||||
Net investment income (loss) | [3],[4] | (1.78%) | (0.02%) | (0.97%) | 0.37% | |||||||
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ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
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ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 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, forward currency contracts, and centrally cleared swap 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 1.G., Note 1.I., Note 2, Note 3 and Note 10 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, 2019. All adjustments of a normal recurring nature considered necessary for a 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. Realized gains or losses on spot trades associated with forward currency contract trading are included in realized gains or losses from forward currency trading. 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 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. Centrally cleared credit default swaps and interest rate swap transactions are recorded on the trade date. Realized gains or losses are determined using the identified cost method. The fair value of centrally cleared swap contracts is determined by using current market quotations provided by an independent external pricing source. Valuation using an external pricing source involves the use of observable inputs in accordance with the fair value hierarchy. Any change in net unrealized gain or loss from the prior period is reported in the Statements of Operations. Period payments received or paid on swap contracts, commissions and fees associated with trading the swap contracts and cash payments received or made due to the underlying obligation in the event of a credit event are recorded as part of “Swap trading gains (losses) – Realized” in the Statements of Operations. The daily exchange of variation margin associated with a CCCH centrally cleared derivative instrument is legally characterized as the daily settlement of the derivative instrument itself. Accordingly, the Trust accounts for the daily receipt or payment of variation margin associated with its centrally cleared interest rate swaps and futures as a direct reduction to the carrying value of the interest rate swap and future derivative asset or liability, respectively. The carrying amount of centrally cleared interest rate swaps and futures reflected in the Trust’s consolidated balance sheets is equal to the unsettled fair value of such instruments. The fixed income investments are marked to market on the last business day of the reporting period 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. D. Fair Value The Trust follows the provisions of ASC 820, “Fair Value Measurements and Disclosures” (“ASC 820”). 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 and short term investments 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. For centrally cleared swap contracts, the Trust uses current market quotations provided by an independent external pricing source to determine fair value. 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 September 30, 2020 and December 31, 2019, and for the periods ended September 30, 2020 and 2019 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 September 30, 2020 and December 31, 2019.
The gross presentation of the fair value of the Trust’s derivatives by instrument type is shown in Note 12. See Condensed Schedules of Investments for additional detail categorization. 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 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 2016 through 2019 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 September 30, 2020 and December 31, 2019, the amount of unreimbursed offering costs incurred by Campbell & Company is $259,383 and $245,152 for Series A units, $91,914 and $78,736 for Series D units and $257,121 and $240,264 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 July 2017, the head of the United Kingdom Financial Conduct Authority announced the desire to phase out the use of the London Interbank Offered Rate (“LIBOR”) and other Interbank offered rates (IBORs) by the end of 2021. If IBORs cease to exist, the Company may need to renegotiate outstanding swaps which extend beyond 2021 to replace affected rates with the new standard that is established. There is currently no definitive information regarding the future utilization of IBORs or of any particular replacement rate. As such, the potential effect of any such event on our cost of capital and net investment income cannot yet be determined. 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. K. Reclassifications Certain 2019 amounts on the Statements of Financial Condition, Statements of Cash Flows, and in the Notes to the Financial Statements were reclassified to conform with the 2020 presentation. Specifically, a portion of cash and cash equivalents was reclassified in order to disclose the amount of cash at the interbank market maker on the Statements of Financial Condition and Statements of Cash Flows. In addition, trading gains and losses in Note 12 were reclassified to include and disclose the amounts of gains and losses on foreign currency cash balances at the futures brokers. |
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR |
9 Months Ended |
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Sep. 30, 2020 | |
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR [Abstract] | |
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR | 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. Effective June 1, 2020, Series A units, Series B units, Series D units and 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 A units, Series B units, Series D units and Series W units as of the end of each month. Prior to June 1, 2020, Series A units and Series B units paid the managing operator a monthly management fee equal to 1/12 of 4% (4% annually of which half, or 2%, was used to compensate selling agents for ongoing services) 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 paid the managing operator a monthly management fee equal to 1/12 of 2.75% (2.75%annually of which 0.75% was used to compensate selling agents) of the Net Assets (as defined) of Series D units as of the end of each month. Series W units paid 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. |
SALES COMMISSION |
9 Months Ended |
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Sep. 30, 2020 | |
SALES COMMISSION [Abstract] | |
SALES COMMISSION | Note 3. SALES COMMISSION Effective June 1, 2020, the managing operator pays an upfront sales commission based on Series A units sold by selling agents who have executed selling agreements with the Trust. The Trust pays commissions based on Series A, Series B, and Series D units. Prior to June 1, 2020 the commissions were included with the management fee and paid by the Trust to managing operator. For Series A, there is an upfront sales commission paid by the managing operator of 2% of the subscription amount of each subscription for units. For up to twelve months after the sale of units, the managing operator will receive from the Trust a monthly reimbursement of 1/12 of 2% (2% annually) of the current net asset value of the units the selling agent has sold and which are outstanding at the end of such month. In the event that the units are redeemed before the twelfth month, the managing operator will receive the redemption fee the Trust deducts from the redemption proceeds. In addition, commencing thirteen months after the sale of units and in return for providing ongoing services to the unitholder, the Trust will pay the selling agent (or its assignees) a monthly trail commission of 1/12 of 2% (2% annually) of the current net asset value of the units it has sold and which are outstanding at the end of such month in respect of which the selling agent provides ongoing services. Series B and Series D units pay a monthly trail commission of 1/12 of 2% (2% annually) and 1/12 of 0.75%, respectively, of the current net asset value of the units the selling agent has sold and which are outstanding at the end of such month in respect of which the selling agent provides ongoing services. Such ongoing compensation shall commence the first full month after the sale of the units. Any monthly trail commission which is not paid to a selling agent pursuant to an executed selling or servicing agreement with the Trust will be rebated to unitholders in the form of a capital addition and is reported as such in the financial statements. |
TRUSTEE |
9 Months Ended |
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Sep. 30, 2020 | |
TRUSTEE [Abstract] | |
TRUSTEE | Note 4. 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. |
ADMINISTRATOR AND TRANSFER AGENT |
9 Months Ended |
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Sep. 30, 2020 | |
ADMINISTRATOR AND TRANSFER AGENT [Abstract] | |
ADMINISTRATOR AND TRANSFER AGENT | Note 5. ADMINISTRATOR AND TRANSFER AGENT Effective January 1, 2020, NAV Consulting, Inc. became 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. Prior to January 1, 2020, Northern Trust Hedge Fund Services LLC served as the Administrator of the Trust. NAV Consulting, Inc. serves as the Transfer Agent of 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. |
CASH MANAGER AND CUSTODIAN |
9 Months Ended |
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Sep. 30, 2020 | |
CASH MANAGER AND CUSTODIAN [Abstract] | |
CASH MANAGER AND CUSTODIAN | Note 6. 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 opened a custodial account at the Northern Trust Company (the “custodian”) and has granted the cash manager authority to make certain investments on behalf of the Trust provided such investments are consistent with the investment guidelines created by the managing operator. All securities purchased by the cash manager on behalf of the Trust will be held in the Trust’s custody account at the custodian. The cash manager will have no beneficial or other interest in the securities and cash in such custody account. |
DEPOSITS WITH FUTURES BROKERS |
9 Months Ended |
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Sep. 30, 2020 | |
DEPOSITS WITH FUTURES BROKERS [Abstract] | |
DEPOSITS WITH FUTURES BROKERS | Note 7. DEPOSITS WITH FUTURES BROKERS The Trust deposits assets with UBS Securities LLC and Goldman Sachs & Co., 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. |
DEPOSITS WITH INTERBANK MARKET MAKER |
9 Months Ended |
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Sep. 30, 2020 | |
DEPOSITS WITH INTERBANK MARKET MAKER [Abstract] | |
DEPOSITS WITH INTERBANK MARKET MAKER | Note 8. DEPOSITS WITH INTERBANK MARKET MAKER The Trust’s counterparty with regard to its forward currency transactions is NatWest Markets Plc (“NatWest”). The Trust has entered into an International Swap and Derivatives Association, Inc. 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 September 30, 2020. Margin requirements are satisfied by the deposit of cash with NatWest. The Trust typically earns interest income on its assets deposited with NatWest. |
DEPOSITS WITH SWAPS BROKER |
9 Months Ended |
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Sep. 30, 2020 | |
DEPOSITS WITH SWAPS BROKER [Abstract] | |
DEPOSITS WITH SWAPS BROKER | Note 9. DEPOSITS WITH SWAPS BROKER The Trust deposits cash with Goldman, Sachs & Co. to act as swaps broker for its centrally cleared swap contracts, subject to Commodity Futures Trading Commission regulations and central counterparty and broker requirements. Margin requirements are satisfied by the deposit of cash with such swaps broker. Accordingly, assets used to meet margin and other broker or regulatory requirements are partially restricted. The Trust typically earns interest on its credit balances and pays interest on debit balances with the swaps broker. The Trust pays commissions to the swaps broker on a transaction basis at rates agreed upon between the Trust and the swaps broker. |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS |
9 Months Ended |
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Sep. 30, 2020 | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS [Abstract] | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS | Note 10. 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 nine months ended September 30, 2020 and 2019, Campbell & Company received redemption fees of $708 and $36, respectively. |
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES |
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CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES | Note 11. CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES Credit derivatives generally require the seller to make a payment to the buyer in the event the underlying referenced security or index to the contract defaults or another triggering event, as defined in the applicable derivative contract, occurs. The Trust sells credit derivative contracts for speculative investment purposes. The following table summarizes the notional amounts of credit derivative contracts sold by the Trust by their maturity for contracts which are outstanding at September 30, 2020 and December 31, 2019. Notional amounts are disclosed as they represent the maximum potential payout, however, management believes that the fair value of these contracts is a more relevant measure of these obligations. At September 30, 2020 and December 31, 2019, the fair value of such credit derivative contracts sold was $828,546 and $0, respectively.
The Trust does not monitor its exposure to credit derivatives based on the notional amounts because that measure does not take into consideration the probability of a credit default event, the legal right to offset assets and liabilities by a counterparty, or collateral posted. However, the notional value of these credit derivative contracts has been included to provide information about the magnitude of involvement with these types of contracts. |
TRADING ACTIVITIES AND RELATED RISKS |
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TRADING ACTIVITIES AND RELATED RISKS [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
TRADING ACTIVITIES AND RELATED RISKS | Note 12. TRADING ACTIVITIES AND RELATED RISKS The Trust engages in the speculative trading of U.S. and foreign futures contracts, forward currency contracts and centrally cleared swap contracts (collectively, “derivatives”). Specifically, the Trust trades a portfolio focused on futures, forward, credit default swap and interest rate swap contracts, which are instruments designed to hedge changes in interest rates, currency exchange rates, stock index values, metals, energy, agriculture values, and credit risks. 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. In July 2020, the Trust began trading centrally cleared swap contracts. 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. The value of an interest rate swap will change as market interest rates rise and fall in conjunction with whether the contract is to receive or pay a fixed interest rate. As a purchaser of credit default swaps, the Trust’s risk of loss is limited to any cash payments required under the swap contracts. Written credit default contracts (i.e., sell protection) expose the Trust to a market risk equal to the notional value of such swap contracts and any cash payments required under the swap contracts. 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. 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 September 30, 2020 and December 31, 2019 is as follows:
* Derivatives not designated as hedging instruments under ASC 815
* Derivatives not designated as hedging instruments under ASC 815 The trading gains and losses 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 nine months ended September 30, 2020 and 2019 is as follows:
For the three months ended September 30, 2020 and 2019, the monthly average of futures contracts bought and sold was approximately 59,400 and 46,000, respectively; the monthly average of notional value of centrally cleared swap contracts was approximately $534,400,000 and $0, respectively; and the monthly average of notional value of forward currency contracts was $2,471,300,000 and $2,868,800,000, respectively. For the nine months ended September 30, 2020 and 2019, the monthly average of futures contracts bought and sold was approximately 52,400 and 49,200, respectively; the monthly average of notional value of centrally cleared swap contracts was approximately $534,400,000 and $0, respectively; and the monthly average of notional value of forward currency contracts was $2,237,700,000 and $3,327,500,000, respectively. Open contracts generally mature within three months; as of September 30, 2020, the latest maturity date for open futures contracts is December 2021 and the latest maturity date for open forward currency contracts is December 2020. However, the Trust intends to close all futures and offset all forward currency contracts prior to maturity. The latest termination date for centrally cleared swap contracts is December 2025. Credit Risk The Trust trades futures contracts on exchanges that require margin deposits with the futures brokers and centrally cleared swap contracts that require margin deposits with the swaps broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a futures broker or swaps broker to segregate all customer transactions and assets from such futures broker’s or swaps broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury Bills) deposited with a futures broker or swaps broker are considered commingled with all other customer funds subject to the futures broker’s or swaps broker’s segregation requirements. In the event of a futures broker’s or swaps 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. The Trust has entered into ISDA Agreements with NatWest. Under the terms of the ISDA Agreement, 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 master netting agreement with UBS Securities and Goldman, upon occurrence of a default by the Trust, as defined in respective account documents, UBS Securities and Goldman 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 brokers, swaps 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 September 30, 2020 and December 31, 2019 was $43,871,907 and $53,641,527, respectively, which equals approximately 16% and 17% of Net Asset Value, respectively. Included in cash deposits with the futures brokers, swaps broker and interbank market maker at September 30, 2020 and December 31, 2019 was restricted cash for margin requirements of $33,325,910 and $34,464,229, respectively, which equals approximately 12% and 11% of Net Asset Value, respectively. 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.
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. |
INDEMNIFICATIONS |
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INDEMNIFICATIONS [Abstract] | |
INDEMNIFICATIONS | Note 13. 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. |
INTERIM FINANCIAL STATEMENTS |
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INTERIM FINANCIAL STATEMENTS [Abstract] | |
INTERIM FINANCIAL STATEMENTS | Note 14. INTERIM FINANCIAL STATEMENTS The Statements of Financial Condition, including the Condensed Schedules of Investments, as of September 30, 2020 and December 31, 2019, the Statements of Operations and Financial Highlights for the three months and nine months ended September 30, 2020 and 2019, and the Statements of Cash Flows and Changes in Unitholders’ Capital (Net Asset Value) for the nine months ended September 30, 2020 and 2019 are unaudited. In the opinion of management, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of September 30, 2020 and December 31, 2019, the results of operations and financial highlights for the three months and nine months ended September 30, 2020 and 2019, and cash flows and changes in unitholders’ capital (Net Asset Value) for the nine months ended September 30, 2020 and 2019. |
SUBSEQUENT EVENTS |
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SUBSEQUENT EVENTS [Abstract] | |
SUBSEQUENT EVENTS | Note 15. 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. |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies) |
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ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Basis of Accounting | 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. |
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Investments | Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Realized gains or losses on spot trades associated with forward currency contract trading are included in realized gains or losses from forward currency trading. 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 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. Centrally cleared credit default swaps and interest rate swap transactions are recorded on the trade date. Realized gains or losses are determined using the identified cost method. The fair value of centrally cleared swap contracts is determined by using current market quotations provided by an independent external pricing source. Valuation using an external pricing source involves the use of observable inputs in accordance with the fair value hierarchy. Any change in net unrealized gain or loss from the prior period is reported in the Statements of Operations. Period payments received or paid on swap contracts, commissions and fees associated with trading the swap contracts and cash payments received or made due to the underlying obligation in the event of a credit event are recorded as part of “Swap trading gains (losses) – Realized” in the Statements of Operations. The daily exchange of variation margin associated with a CCCH centrally cleared derivative instrument is legally characterized as the daily settlement of the derivative instrument itself. Accordingly, the Trust accounts for the daily receipt or payment of variation margin associated with its centrally cleared interest rate swaps and futures as a direct reduction to the carrying value of the interest rate swap and future derivative asset or liability, respectively. The carrying amount of centrally cleared interest rate swaps and futures reflected in the Trust’s consolidated balance sheets is equal to the unsettled fair value of such instruments. The fixed income investments are marked to market on the last business day of the reporting period 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. |
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Net Asset Value per Unit | 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. |
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Fair Value | D. Fair Value The Trust follows the provisions of ASC 820, “Fair Value Measurements and Disclosures” (“ASC 820”). 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 and short term investments 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. For centrally cleared swap contracts, the Trust uses current market quotations provided by an independent external pricing source to determine fair value. 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 September 30, 2020 and December 31, 2019, and for the periods ended September 30, 2020 and 2019 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 September 30, 2020 and December 31, 2019.
The gross presentation of the fair value of the Trust’s derivatives by instrument type is shown in Note 12. See Condensed Schedules of Investments for additional detail categorization. |
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Cash and Cash Equivalents | E. Cash and Cash Equivalents Cash and cash equivalents includes cash and overnight money market investments at financial institutions. |
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Income Taxes | F. Income Taxes The Trust prepares calendar year U.S. federal and applicable state 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 2016 through 2019 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. |
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Offering Costs | 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 September 30, 2020 and December 31, 2019, the amount of unreimbursed offering costs incurred by Campbell & Company is $259,383 and $245,152 for Series A units, $91,914 and $78,736 for Series D units and $257,121 and $240,264 for Series W units, respectively. |
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Foreign Currency Transactions | 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. |
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Allocations | 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. |
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Recently Issued Accounting Pronouncements | J. Recently Issued Accounting Pronouncements In July 2017, the head of the United Kingdom Financial Conduct Authority announced the desire to phase out the use of the London Interbank Offered Rate (“LIBOR”) and other Interbank offered rates (IBORs) by the end of 2021. If IBORs cease to exist, the Company may need to renegotiate outstanding swaps which extend beyond 2021 to replace affected rates with the new standard that is established. There is currently no definitive information regarding the future utilization of IBORs or of any particular replacement rate. As such, the potential effect of any such event on our cost of capital and net investment income cannot yet be determined. 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. |
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Reclassifications | K. Reclassifications Certain 2019 amounts on the Statements of Financial Condition, Statements of Cash Flows, and in the Notes to the Financial Statements were reclassified to conform with the 2020 presentation. Specifically, a portion of cash and cash equivalents was reclassified in order to disclose the amount of cash at the interbank market maker on the Statements of Financial Condition and Statements of Cash Flows. In addition, trading gains and losses in Note 12 were reclassified to include and disclose the amounts of gains and losses on foreign currency cash balances at the futures brokers. |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Tables) |
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ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments Accounted for at Fair Value on a Recurring Basis | The following tables set forth by level within the fair value hierarchy the Trust’s investments accounted for at fair value on a recurring basis as of September 30, 2020 and December 31, 2019.
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CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES (Tables) |
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CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||
Credit Default Index Swaps | The following table summarizes the notional amounts of credit derivative contracts sold by the Trust by their maturity for contracts which are outstanding at September 30, 2020 and December 31, 2019. Notional amounts are disclosed as they represent the maximum potential payout, however, management believes that the fair value of these contracts is a more relevant measure of these obligations. At September 30, 2020 and December 31, 2019, the fair value of such credit derivative contracts sold was $828,546 and $0, respectively.
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TRADING ACTIVITIES AND RELATED RISKS (Tables) |
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TRADING ACTIVITIES AND RELATED RISKS [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value of the Trust's Derivatives by Instrument Type and Location of Instruments on the Statements of Financial Condition | 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 September 30, 2020 and December 31, 2019 is as follows:
* Derivatives not designated as hedging instruments under ASC 815
* Derivatives not designated as hedging instruments under ASC 815 |
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Trading Gains and Losses of the Trust's Derivatives by Instrument Type and Location of Gains and Losses on the Statements of Operations | The trading gains and losses 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 nine months ended September 30, 2020 and 2019 is as follows:
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Offsetting of Derivative Assets and Collateral Received by Counterparty |
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Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty |
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ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, General Description of the Trust (Details) |
9 Months Ended |
---|---|
Sep. 30, 2020
USD ($)
| |
Series A [Member] | |
General Description of the Trust [Abstract] | |
Initial minimum subscription | $ 25,000 |
Series D [Member] | |
General Description of the Trust [Abstract] | |
Initial minimum subscription | 25,000 |
Series W [Member] | |
General Description of the Trust [Abstract] | |
Initial minimum subscription | $ 25,000 |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Fair Value (Details) - Fair Value on a Recurring Basis [Member] - USD ($) |
Sep. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Investments [Abstract] | ||
Short term investments | $ 4,780 | |
Fixed income securities | $ 206,499,089 | 257,548,052 |
Total | 211,295,597 | 246,749,218 |
Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 4,479,583 | (8,139,937) |
Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | (1,419,789) | (2,663,677) |
Credit Default Index Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 828,546 | |
Interest Rate Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 908,168 | |
Level 1 [Member] | ||
Investments [Abstract] | ||
Short term investments | 4,780 | |
Fixed income securities | 0 | 0 |
Total | 4,479,583 | (8,135,157) |
Level 1 [Member] | Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 4,479,583 | (8,139,937) |
Level 1 [Member] | Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 1 [Member] | Credit Default Index Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | |
Level 1 [Member] | Interest Rate Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | |
Level 2 [Member] | ||
Investments [Abstract] | ||
Short term investments | 0 | |
Fixed income securities | 206,499,089 | 257,548,052 |
Total | 206,816,014 | 254,884,375 |
Level 2 [Member] | Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 2 [Member] | Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | (1,419,789) | (2,663,677) |
Level 2 [Member] | Credit Default Index Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 828,546 | |
Level 2 [Member] | Interest Rate Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 908,168 | |
Level 3 [Member] | ||
Investments [Abstract] | ||
Short term investments | 0 | |
Fixed income securities | 0 | 0 |
Total | 0 | 0 |
Level 3 [Member] | Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 3 [Member] | Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | $ 0 |
Level 3 [Member] | Credit Default Index Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | |
Level 3 [Member] | Interest Rate Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | $ 0 |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Income Taxes (Details) |
9 Months Ended |
---|---|
Sep. 30, 2020
USD ($)
| |
Income Taxes [Abstract] | |
Reserves for uncertain tax positions | $ 0 |
Increase in unrecognized tax benefits within twelve months | 0 |
Decrease in unrecognized tax benefits within twelve months | $ 0 |
Federal Tax Authority [Member] | |
Income Taxes [Abstract] | |
Open tax year | 2016 2017 2018 2019 |
State Tax Authorities [Member] | |
Income Taxes [Abstract] | |
Open tax year | 2016 2017 2018 2019 |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Offering Costs (Details) - USD ($) |
9 Months Ended | |
---|---|---|
Sep. 30, 2020 |
Dec. 31, 2019 |
|
Series A [Member] | ||
Offering Costs [Abstract] | ||
Monthly offering costs percentage | 0.04167% | |
Annualized offering costs percentage | 0.50% | |
Unreimbursed offering costs | $ 259,383 | $ 245,152 |
Series D [Member] | ||
Offering Costs [Abstract] | ||
Monthly offering costs percentage | 0.04167% | |
Annualized offering costs percentage | 0.50% | |
Unreimbursed offering costs | $ 91,914 | 78,736 |
Series W [Member] | ||
Offering Costs [Abstract] | ||
Monthly offering costs percentage | 0.04167% | |
Annualized offering costs percentage | 0.50% | |
Unreimbursed offering costs | $ 257,121 | $ 240,264 |
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR (Details) |
4 Months Ended | 5 Months Ended | 9 Months Ended |
---|---|---|---|
Sep. 30, 2020 |
May 31, 2020 |
Sep. 30, 2020 |
|
Series A [Member] | |||
Managing Operator and Commodity Trading Advisor [Abstract] | |||
Monthly management fee percentage | 0.167% | 0.333% | |
Annualized management fee percentage | 2.00% | 4.00% | |
Annualized management fee percentage used to compensate selling agents | 2.00% | ||
Quarterly performance fee percentage | 20.00% | ||
Series B [Member] | |||
Managing Operator and Commodity Trading Advisor [Abstract] | |||
Monthly management fee percentage | 0.167% | 0.333% | |
Annualized management fee percentage | 2.00% | 4.00% | |
Annualized management fee percentage used to compensate selling agents | 2.00% | ||
Quarterly performance fee percentage | 20.00% | ||
Series D [Member] | |||
Managing Operator and Commodity Trading Advisor [Abstract] | |||
Monthly management fee percentage | 0.167% | 0.229% | |
Annualized management fee percentage | 2.00% | 2.75% | |
Annualized management fee percentage used to compensate selling agents | 0.75% | ||
Quarterly performance fee percentage | 20.00% | ||
Series W [Member] | |||
Managing Operator and Commodity Trading Advisor [Abstract] | |||
Monthly management fee percentage | 0.167% | 0.167% | |
Annualized management fee percentage | 2.00% | 2.00% | |
Quarterly performance fee percentage | 20.00% |
SALES COMMISSION (Details) |
4 Months Ended | 9 Months Ended |
---|---|---|
Sep. 30, 2020 |
Sep. 30, 2020 |
|
Series A [Member] | ||
Sales Commission [Abstract] | ||
Upfront sales commission percentage paid by managing operator | 2.00% | |
Period of time monthly reimbursement percentage is paid after sale of units | 12 months | |
Monthly reimbursement percentage | 0.167% | |
Annualized reimbursement percentage | 2.00% | |
Period of time after sale of units monthly trail commission percentage commences | 13 months | |
Monthly trail commission percentage | 0.167% | |
Annualized trail commission percentage | 2.00% | |
Series B [Member] | ||
Sales Commission [Abstract] | ||
Monthly trail commission percentage | 0.167% | |
Annualized trail commission percentage | 2.00% | |
Series D [Member] | ||
Sales Commission [Abstract] | ||
Monthly trail commission percentage | 0.063% | |
Annualized trail commission percentage | 0.75% |
DEPOSITS WITH INTERBANK MARKET MAKER (Details) |
Sep. 30, 2020
Counterparty
|
---|---|
DEPOSITS WITH INTERBANK MARKET MAKER [Abstract] | |
Number of major rating agencies reporting credit ratings considered investment grade for NatWest | 3 |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (Details) - USD ($) |
9 Months Ended | |
---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
|
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS [Abstract] | ||
Number of business days advance written notice is required for monthly redemptions | 10 days | |
Series A [Member] | ||
Redemption Fees [Abstract] | ||
Period for which redemption fees apply following purchase | 12 months | |
Redemption fee percentage of Net Asset Value per unit redeemed through the second month-end | 1.833% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the third month-end | 1.666% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the fourth month-end | 1.50% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the fifth month-end | 1.333% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the sixth month-end | 1.167% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the seventh month-end | 1.00% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the eighth month-end | 0.833% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the ninth month-end | 0.667% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the tenth month-end | 0.50% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the eleventh month-end | 0.333% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the twelfth month-end | 0.167% | |
Redemption fees received by Campbell & Company | $ 708 | $ 36 |
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES (Details) - USD ($) |
9 Months Ended | |
---|---|---|
Sep. 30, 2020 |
Dec. 31, 2019 |
|
Summary of Derivative Instruments [Abstract] | ||
Fair value of credit default index swaps | $ 828,546 | $ 0 |
Credit Default Index Swaps [Member] | ||
Summary of Derivative Instruments [Abstract] | ||
Maturity date | Dec. 31, 2025 | |
Notional amount | $ 68,113,928 | 0 |
Credit Default Index Swaps [Member] | Investment Grade [Member] | ||
Summary of Derivative Instruments [Abstract] | ||
Notional amount | 41,068,155 | 0 |
Credit Default Index Swaps [Member] | Non-Investment Grade [Member] | ||
Summary of Derivative Instruments [Abstract] | ||
Notional amount | $ 27,045,773 | $ 0 |
TRADING ACTIVITIES AND RELATED RISKS, Derivatives by Instrument Type and Location of Instruments on the Statements of Financial Condition (Details) - USD ($) |
Sep. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | $ 6,216,297 | $ 0 |
Liability derivatives at fair value | (1,419,789) | (10,803,614) |
Not Designated as Hedging Instruments [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 26,678,148 | 33,928,490 |
Liability derivatives at fair value | (21,881,640) | (44,732,104) |
Net | 4,796,508 | (10,803,614) |
Agriculture Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 1,585,973 | 193,039 |
Liability derivatives at fair value | (355,267) | (2,931,321) |
Net | 1,230,706 | (2,738,282) |
Energy Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 1,784,870 | 1,761,936 |
Liability derivatives at fair value | (101,555) | (275,743) |
Net | 1,683,315 | 1,486,193 |
Metal Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 4,076,724 | 5,593,742 |
Liability derivatives at fair value | (3,059,831) | (8,006,981) |
Net | 1,016,893 | (2,413,239) |
Stock Indices Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 802,296 | 1,340,862 |
Liability derivatives at fair value | (1,460,875) | (1,169,714) |
Net | (658,579) | 171,148 |
Short-Term Interest Rate Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 176,731 | 314,422 |
Liability derivatives at fair value | (34,877) | (1,080,128) |
Net | 141,854 | (765,706) |
Long-Term Interest Rate Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 1,621,221 | 1,421,030 |
Liability derivatives at fair value | (555,827) | (5,301,081) |
Net | 1,065,394 | (3,880,051) |
Forward Currency Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Forward Currency Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 13,975,697 | 23,303,459 |
Liability derivatives at fair value | (15,395,486) | (25,967,136) |
Net | (1,419,789) | $ (2,663,677) |
Credit Default Index Swap Contracts [Member] | Not Designated as Hedging Instruments [Member] | Credit Default Index Swaps [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 1,576,178 | |
Liability derivatives at fair value | (747,632) | |
Net | 828,546 | |
Interest Rate Swap Contracts [Member] | Not Designated as Hedging Instruments [Member] | Interest Rate Swaps [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 1,078,458 | |
Liability derivatives at fair value | (170,290) | |
Net | $ 908,168 |
TRADING ACTIVITIES AND RELATED RISKS, Derivatives by Instrument Type (Details) - USD ($) |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2020 |
Sep. 30, 2019 |
Sep. 30, 2020 |
Sep. 30, 2019 |
|
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains / (losses) | $ (15,071,285) | $ 24,922,627 | $ (11,292,582) | $ 61,058,774 |
Agriculture Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains / (losses) | (6,064,325) | 3,759,594 | (5,761,777) | (507,740) |
Energy Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains / (losses) | (2,844,671) | (3,398,818) | 5,543,929 | (7,016,118) |
Metal Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains / (losses) | 7,813,156 | 736,004 | 14,711,177 | (3,915,875) |
Stock Indices Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains / (losses) | (7,291,044) | 5,330,232 | (51,620,545) | 23,044,135 |
Short-Term Interest Rate Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains / (losses) | (55,287) | (205,802) | 16,033,843 | 15,598,416 |
Long-Term Interest Rate Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains / (losses) | (2,769,114) | 13,833,873 | 1,932,113 | 35,625,445 |
Forward Currency Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains / (losses) | (4,568,196) | 4,867,544 | 7,160,482 | (1,769,489) |
Credit Default Index Swap Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains / (losses) | 142,020 | 0 | 142,020 | 0 |
Interest Rate Swap Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains / (losses) | $ 566,176 | $ 0 | $ 566,176 | $ 0 |
TRADING ACTIVITIES AND RELATED RISKS, Location of Gains and Losses on the Statements of Operations (Details) |
3 Months Ended | 9 Months Ended | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2020
USD ($)
Contract
|
Sep. 30, 2019
USD ($)
Contract
|
Sep. 30, 2020
USD ($)
Contract
|
Sep. 30, 2019
USD ($)
Contract
|
|||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||||||
Trading gains / (losses) | $ (15,071,285) | $ 24,922,627 | $ (11,292,582) | $ 61,058,774 | ||||||||
Derivatives [Abstract] | ||||||||||||
Average number of months until maturity for open contracts | 3 months | |||||||||||
Futures Trading Gains (Losses) - Realized [Member] | ||||||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||||||
Trading gains / (losses) | (14,195,388) | [1] | 30,127,764 | [1] | $ (31,780,779) | [2] | 68,472,848 | [2] | ||||
Gains/(losses) on foreign currency cash balances at futures brokers | 11,066 | (103,622) | 207,379 | 157,695 | ||||||||
Futures Trading Gains (Losses) - Change in Unrealized [Member] | ||||||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||||||
Trading gains / (losses) | 2,984,104 | (10,072,681) | 12,619,520 | (5,644,585) | ||||||||
Forward Currency Trading Gains (Losses) - Realized [Member] | ||||||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||||||
Trading gains / (losses) | (6,854,797) | [1] | (573,244) | [1] | 5,916,594 | [2] | 3,800,316 | [2] | ||||
Gains/(losses) on spot trades in connection with forward currency trading at interbank market maker | 1,167,357 | 978,763 | (344,129) | 1,052,646 | ||||||||
Forward Currency Trading Gains (Losses) - Change in Unrealized [Member] | ||||||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||||||
Trading gains / (losses) | 2,286,601 | 5,440,788 | 1,243,888 | (5,569,805) | ||||||||
Swap Trading Gains (Losses) - Realized [Member] | ||||||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||||||
Trading gains / (losses) | 525,424 | 0 | 525,424 | 0 | ||||||||
Swap Trading Gains (Losses) - Change in Unrealized [Member] | ||||||||||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||||||||||
Trading gains / (losses) | $ 182,771 | $ 0 | $ 182,771 | $ 0 | ||||||||
Futures Contracts [Member] | ||||||||||||
Derivatives [Abstract] | ||||||||||||
Monthly average of contracts bought and sold | Contract | 59,400 | 46,000 | 52,400 | 49,200 | ||||||||
Futures Contracts [Member] | Maximum [Member] | ||||||||||||
Derivatives [Abstract] | ||||||||||||
Maturity date for open contracts | Dec. 31, 2021 | |||||||||||
Forward Currency Contracts [Member] | ||||||||||||
Derivatives [Abstract] | ||||||||||||
Monthly average notional value | $ 2,471,300,000 | $ 2,868,800,000 | $ 2,237,700,000 | $ 3,327,500,000 | ||||||||
Forward Currency Contracts [Member] | Maximum [Member] | ||||||||||||
Derivatives [Abstract] | ||||||||||||
Maturity date for open contracts | Dec. 31, 2020 | |||||||||||
Centrally Cleared Swap Contracts [Member] | ||||||||||||
Derivatives [Abstract] | ||||||||||||
Monthly average notional value | $ 534,400,000 | $ 0 | $ 534,400,000 | $ 0 | ||||||||
Centrally Cleared Swap Contracts [Member] | Maximum [Member] | ||||||||||||
Derivatives [Abstract] | ||||||||||||
Maturity date for open contracts | Dec. 31, 2025 | |||||||||||
|
TRADING ACTIVITIES AND RELATED RISKS, Credit Risk (Details) - USD ($) |
9 Months Ended | |
---|---|---|
Sep. 30, 2020 |
Dec. 31, 2019 |
|
TRADING ACTIVITIES AND RELATED RISKS [Abstract] | ||
Percentage of Net Asset Value required for margin and good faith deposits, low end | 10.00% | |
Percentage of Net Asset Value required for margin and good faith deposits, high end | 30.00% | |
Fair value of securities held to satisfy margin and good faith deposits | $ 43,871,907 | $ 53,641,527 |
Margin and good faith deposits as a percentage of Net Asset Value | 16.00% | 17.00% |
Restricted cash for margin requirements | $ 33,325,910 | $ 34,464,229 |
Restricted cash for margin requirements as a percentage of Net Asset Value | 12.00% | 11.00% |
Maximum margin-to-equity ratio | 30.00% |
TRADING ACTIVITIES AND RELATED RISKS, Offsetting of Derivative Assets and Collateral Received by Counterparty (Details) - USD ($) |
Sep. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Offsetting of Derivative Assets [Abstract] | ||
Gross amounts of recognized assets | $ 26,678,148 | $ 33,928,490 |
Gross amounts offset in the Statements of Financial Condition | (20,461,851) | (33,928,490) |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 6,216,297 | 0 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain in the Statements of Financial Condition | 6,216,297 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 |
Net amount | 6,216,297 | 0 |
Futures Contracts [Member] | UBS Securities LLC [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Assets [Abstract] | ||
Gross amounts of recognized assets | 5,132,933 | 5,396,065 |
Gross amounts offset in the Statements of Financial Condition | (2,866,258) | (5,396,065) |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 2,266,675 | 0 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain in the Statements of Financial Condition | 2,266,675 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 |
Net amount | 2,266,675 | 0 |
Futures Contracts [Member] | Goldman Sachs & Co. [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Assets [Abstract] | ||
Gross amounts of recognized assets | 4,914,882 | 5,228,966 |
Gross amounts offset in the Statements of Financial Condition | (2,701,974) | (5,228,966) |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 2,212,908 | 0 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain in the Statements of Financial Condition | 2,212,908 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 |
Net amount | 2,212,908 | 0 |
Forward Currency Contracts [Member] | NatWest Markets Plc [Member] | Over-the-Counter [Member] | ||
Offsetting of Derivative Assets [Abstract] | ||
Gross amounts of recognized assets | 13,975,697 | 23,303,459 |
Gross amounts offset in the Statements of Financial Condition | (13,975,697) | (23,303,459) |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 0 | 0 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain in the Statements of Financial Condition | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 |
Net amount | 0 | $ 0 |
Centrally Cleared Swap Contracts [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Assets [Abstract] | ||
Gross amounts of recognized assets | 2,654,636 | |
Gross amounts offset in the Statements of Financial Condition | (917,922) | |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 1,736,714 | |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain in the Statements of Financial Condition | 1,736,714 | |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | |
Net amount | $ 1,736,714 |
TRADING ACTIVITIES AND RELATED RISKS, Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty (Details) - USD ($) |
Sep. 30, 2020 |
Dec. 31, 2019 |
---|---|---|
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amounts of recognized liabilities | $ 21,881,640 | $ 44,732,104 |
Gross amounts offset in the Statements of Financial Condition | (20,461,851) | (33,928,490) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 1,419,789 | 10,803,614 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss in the Statements of Financial Condition | 1,419,789 | 10,803,614 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | (1,419,789) | (10,803,614) |
Net amount | 0 | 0 |
Futures Contracts [Member] | UBS Securities LLC [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amounts of recognized liabilities | 2,866,258 | 9,348,737 |
Gross amounts offset in the Statements of Financial Condition | (2,866,258) | (5,396,065) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 3,952,672 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss in the Statements of Financial Condition | 0 | 3,952,672 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | (3,952,672) |
Net amount | 0 | 0 |
Futures Contracts [Member] | Goldman Sachs & Co. [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amounts of recognized liabilities | 2,701,974 | 9,416,231 |
Gross amounts offset in the Statements of Financial Condition | (2,701,974) | (5,228,966) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 4,187,265 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss in the Statements of Financial Condition | 0 | 4,187,265 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | (4,187,265) |
Net amount | 0 | 0 |
Forward Currency Contracts [Member] | NatWest Markets Plc [Member] | Over-the-Counter [Member] | ||
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amounts of recognized liabilities | 15,395,486 | 25,967,136 |
Gross amounts offset in the Statements of Financial Condition | (13,975,697) | (23,303,459) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 1,419,789 | 2,663,677 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss in the Statements of Financial Condition | 1,419,789 | 2,663,677 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | (1,419,789) | (2,663,677) |
Net amount | 0 | $ 0 |
Centrally Cleared Swap Contracts [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amounts of recognized liabilities | 917,922 | |
Gross amounts offset in the Statements of Financial Condition | (917,922) | |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss in the Statements of Financial Condition | 0 | |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | |
Net amount | $ 0 |
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