☑ |
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 of Organization)
|
(IRS Employer Identification Number)
|
2850 Quarry Lake Drive
|
||
Baltimore, Maryland 21209
|
||
(Address of principal executive offices, including zip code)
|
||
(410) 413-2600
|
||
(Registrant’s telephone number, including area code)
|
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.
|
||
1-6
|
|||
7 |
|||
8 |
|||
9 |
|||
10-11
|
|||
12-15
|
|||
16-30
|
|||
Item 2.
|
31-36
|
||
Item 3.
|
36-41
|
||
Item 4.
|
41
|
||
PART II — OTHER INFORMATION
|
|||
Item 1.
|
42
|
||
Item 1A.
|
42
|
||
Item 2.
|
42
|
||
Item 3.
|
42
|
||
Item 4.
|
42
|
||
Item 5.
|
42
|
||
Item 6.
|
43-44
|
||
45
|
Maturity
Face Value
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||||
Asset Backed Securities
|
|||||||||||
United States
|
|||||||||||
Auto Loans
|
$
|
11,963,517
|
4.28
|
%
|
|||||||
Credit Cards
|
1,025,117
|
0.37
|
%
|
||||||||
Equipment Loans
|
2,015,937
|
0.72
|
%
|
||||||||
Total Asset Backed Securities (cost $14,998,775)
|
15,004,571
|
5.37
|
%
|
||||||||
|
|||||||||||
Bank Deposits
|
|||||||||||
United States
|
|||||||||||
Financials (cost $1,625,080)
|
1,625,362
|
0.58
|
%
|
||||||||
Total Bank Deposits (cost $1,625,080)
|
1,625,362
|
0.58
|
%
|
||||||||
|
|||||||||||
Commercial Paper
|
|||||||||||
Netherlands
|
|||||||||||
Financials (cost $999,999)
|
1,000,000
|
0.36
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $8,922,794)
|
8,922,834
|
3.19
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
2,416,407
|
0.86
|
%
|
||||||||
Consumer Discretionary
|
4,514,107
|
1.62
|
%
|
||||||||
Financials
|
16,863,845
|
6.03
|
%
|
||||||||
Industrials
|
3,531,426
|
1.26
|
%
|
||||||||
Materials
|
6,223,308
|
2.23
|
%
|
||||||||
Real Estate
|
9,432,339
|
3.38
|
%
|
||||||||
Technology
|
589,955
|
0.21
|
%
|
||||||||
Utilities
|
17,206,114
|
6.16
|
%
|
||||||||
Total United States (cost $60,780,889)
|
60,777,501
|
21.75
|
%
|
||||||||
Total Commercial Paper (cost $70,703,682)
|
70,700,335
|
25.30
|
%
|
||||||||
|
|||||||||||
Corporate Bonds
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $3,585,000)
|
3,602,571
|
1.29
|
%
|
||||||||
Canada
|
|||||||||||
Energy
|
471,391
|
0.17
|
%
|
||||||||
Financials
|
4,886,303
|
1.75
|
%
|
||||||||
Total Canada (cost $5,347,706)
|
5,357,694
|
1.92
|
%
|
||||||||
Germany
|
|||||||||||
Consumer Discretionary (cost $3,814,638)
|
3,840,385
|
1.37
|
%
|
||||||||
Japan
|
|||||||||||
Financials (cost $1,164,154)
|
1,163,941
|
0.42
|
%
|
||||||||
Switzerland
|
|||||||||||
Financials (cost $3,499,633)
|
3,520,378
|
1.26
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $3,860,000)
|
$
|
3,862,576
|
1.38
|
%
|
Maturity
Face Value
|
Description |
Fair
Value ($) |
% of Net
Asset Value |
||||||||
Corporate Bonds (continued) |
|||||||||||
United States
|
|||||||||||
Communications
|
$
|
965,924
|
0.35
|
%
|
|||||||
Consumer Discretionary
|
9,469,520
|
3.39
|
%
|
||||||||
Consumer Staples
|
4,351,362
|
1.56
|
%
|
||||||||
Energy
|
4,581,989
|
1.64
|
%
|
||||||||
Financials
|
11,581,196
|
4.14
|
%
|
||||||||
Health Care
|
2,331,531
|
0.83
|
%
|
||||||||
Industrials
|
4,768,667
|
1.71
|
%
|
||||||||
Technology
|
1,278,400
|
0.46
|
%
|
||||||||
Utilities
|
2,347,513
|
0.84
|
%
|
||||||||
Total United States (cost $41,540,304)
|
41,676,102
|
14.92
|
%
|
||||||||
Total Corporate Bonds (cost $62,811,435)
|
63,023,647
|
22.56
|
%
|
||||||||
|
|||||||||||
Government and Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$ | 5,660,000 |
U.S. Treasury Bills Due 04/15/2021 (1)
|
|
5,659,966
|
2.03
|
%
|
|||||
$ | 27,900,000 |
U.S. Treasury Bills Due 05/13/2021 (1)
|
27,899,274
|
9.98
|
%
|
||||||
$ | 11,000,000 |
U.S. Treasury Bills Due 06/10/2021 (1)
|
10,999,648
|
3.94
|
%
|
||||||
Total Government And Agency Obligations (cost $44,558,265)
|
44,558,888
|
15.95
|
%
|
||||||||
Total Fixed Income Securities (cost $194,697,237) (2)
|
$
|
194,912,803
|
69.76
|
%
|
(1)
|
Pledged as collateral for the trading of future positions.
|
(2)
|
Included in fixed income securities are U.S. Treasury Bills with a fair value of $44,558,888 deposited with the futures brokers.
|
Description
|
Fair
Value ($) |
Asset Value
|
||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $4,081,399)
|
$
|
4,081,399
|
1.46
|
%
|
||||
Total Short Term Investments (cost $4,081,399)
|
$
|
4,081,399
|
1.46
|
%
|
||||
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Agriculture
|
$
|
1,451,923
|
0.52
|
%
|
||||
Energy
|
(353,145
|
)
|
(0.13
|
)%
|
||||
Metals
|
(1,615,162
|
)
|
(0.58
|
)%
|
||||
Stock indices
|
2,487,447
|
0.89
|
%
|
|||||
Short-term interest rates
|
(563,781
|
)
|
(0.20
|
)%
|
||||
Long-term interest rates
|
(681,842
|
)
|
(0.24
|
)%
|
||||
Net unrealized gain (loss) on long futures contracts
|
725,440
|
0.26
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Agriculture
|
421,420
|
0.15
|
%
|
|||||
Energy
|
(80,335
|
)
|
(0.03
|
)%
|
||||
Metals
|
1,332,655
|
0.48
|
%
|
|||||
Stock indices
|
(107,036
|
)
|
(0.04
|
)%
|
||||
Short-term interest rates
|
(109,491
|
)
|
(0.04
|
)%
|
||||
Long-term interest rates
|
(136,984
|
)
|
(0.05
|
)%
|
||||
Net unrealized gain (loss) on short futures contracts
|
1,320,229
|
0.47
|
%
|
|||||
Net unrealized gain (loss) on open futures contracts
|
$
|
2,045,669
|
0.73
|
%
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value |
||||||
Various long forward currency contracts
|
$
|
(5,494,107
|
)
|
(1.97
|
)%
|
|||
Various short forward currency contracts
|
16,824,530
|
6.02
|
%
|
|||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
11,330,423
|
4.05
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value
|
||||||
Centrally cleared credit default index swaps - Sell protection (net cost $2,879,377) (3)
|
$
|
3,031,341
|
1.08
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Centrally cleared interest rate swaps - Receive fixed (net cost $116,429) (4)
|
$
|
72,690
|
0.03
|
%
|
(3)
|
Includes $2,872,516 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. variation margin amount is included within cash at swaps
broker in the statement of financial condition.
|
(4)
|
Excludes $29,207 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps
broker in the statement of financial condition.
|
Maturity
Face Value
|
Description
|
Fair
Value ($)
|
% of Net
Asset Value |
||||||||
Asset Backed Securities
|
|||||||||||
United States
|
|||||||||||
Auto Loans
|
$
|
9,566,590
|
3.42
|
%
|
|||||||
Credit Cards
|
1,030,754
|
0.37
|
%
|
||||||||
Equipment Loans
|
2,477,072
|
0.89
|
%
|
||||||||
Total Asset Backed Securities (cost $13,025,886)
|
13,074,416
|
4.68
|
%
|
||||||||
|
|||||||||||
Bank Deposits
|
|||||||||||
United States
|
|||||||||||
Financials (cost $1,625,203)
|
1,624,998
|
0.58
|
%
|
||||||||
Total Bank Deposits (cost $1,625,203)
|
1,624,998
|
0.58
|
%
|
||||||||
|
|||||||||||
Commercial Paper
|
|||||||||||
United Kingdom
|
|||||||||||
Financials (cost $2,862,221)
|
2,861,876
|
1.02
|
%
|
||||||||
United States
|
|||||||||||
Consumer Discretionary
|
5,728,110
|
2.05
|
%
|
||||||||
Consumer Staples
|
2,914,818
|
1.04
|
%
|
||||||||
Energy
|
2,249,654
|
0.80
|
%
|
||||||||
Financials
|
20,087,107
|
7.19
|
%
|
||||||||
Industrials
|
7,101,081
|
2.54
|
%
|
||||||||
Utilities
|
22,208,787
|
7.94
|
%
|
||||||||
Total United States (cost $60,285,304)
|
60,289,557
|
21.56
|
%
|
||||||||
Total Commercial Paper (cost $63,147,525)
|
63,151,433
|
22.58
|
%
|
||||||||
|
|||||||||||
Corporate Bonds
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $3,585,000)
|
3,600,764
|
1.29
|
%
|
||||||||
Canada
|
|||||||||||
Financials (cost $7,600,479)
|
7,614,047
|
2.72
|
%
|
||||||||
Germany
|
|||||||||||
Consumer Discretionary (cost $3,814,460)
|
3,839,645
|
1.37
|
%
|
||||||||
Switzerland
|
|||||||||||
Financials (cost $2,449,548)
|
2,481,960
|
0.89
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $3,860,000)
|
$
|
3,867,214
|
1.38
|
%
|
Maturity
Face Value
|
Description |
Fair
Value ($)
|
% of Net
Asset Value |
||||||||
Corporate Bonds (continued) | |||||||||||
|
United States
|
||||||||||
Communications
|
$
|
966,203
|
0.35
|
%
|
|||||||
Consumer Discretionary
|
10,765,095
|
3.85
|
%
|
||||||||
Consumer Staples
|
1,595,495
|
0.57
|
%
|
||||||||
Energy
|
4,485,906
|
1.60
|
%
|
||||||||
Financials
|
18,489,405
|
6.61
|
%
|
||||||||
Industrials
|
4,363,075
|
1.56
|
%
|
||||||||
Technology
|
5,846,415
|
2.09
|
%
|
||||||||
Total United States (cost $46,301,246)
|
46,511,594
|
16.63
|
%
|
||||||||
Total Corporate Bonds (cost $67,610,733)
|
67,915,224
|
24.28
|
%
|
||||||||
|
|||||||||||
Government and Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$ | 6,660,000 |
U.S. Treasury Bills Due 01/14/2021 (1)
|
6,659,913
|
2.38
|
%
|
||||||
$
|
25,125,000
|
U.S. Treasury Bills Due 02/11/2021 (1)
|
25,123,417
|
8.99
|
%
|
||||||
$
|
13,092,500
|
U.S. Treasury Bills Due 03/11/2021 (1)
|
13,090,693
|
4.68
|
%
|
||||||
Total Government And Agency Obligations (cost $44,873,315)
|
44,874,023
|
16.05
|
%
|
||||||||
Total Fixed Income Securities (cost $190,282,662) (2)
|
$
|
190,640,094
|
68.17
|
%
|
(1)
|
Pledged as collateral for the trading of future positions.
|
(2)
|
Included in fixed income securities are U.S. Treasury Bills with a fair value of $44,874,023 deposited with the futures brokers.
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $15,831,488)
|
$
|
15,831,488
|
5.66
|
%
|
||||
Total Short Term Investments (cost $15,831,488)
|
$
|
15,831,488
|
5.66
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Agriculture
|
$
|
2,923,345
|
1.05
|
%
|
||||
Energy
|
478,661
|
0.17
|
%
|
|||||
Metals
|
4,159,062
|
1.49
|
%
|
|||||
Stock indices
|
1,949,033
|
0.69
|
%
|
|||||
Short-term interest rates
|
337,344
|
0.12
|
%
|
|||||
Long-term interest rates
|
1,985,635
|
0.71
|
%
|
|||||
Net unrealized gain (loss) on long futures contracts
|
11,833,080
|
4.23
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Agriculture
|
(266,908
|
)
|
(0.10
|
)%
|
||||
Energy
|
128,596
|
0.05
|
%
|
|||||
Metals
|
(1,857,847
|
)
|
(0.66
|
)%
|
||||
Stock indices
|
18,349
|
0.01
|
%
|
|||||
Short-term interest rates
|
68,223
|
0.02
|
%
|
|||||
Long-term interest rates
|
(222,174
|
)
|
(0.08
|
)%
|
||||
Net unrealized gain (loss) on short futures contracts
|
(2,131,761
|
)
|
(0.76
|
)%
|
||||
Net unrealized gain (loss) on open futures contracts
|
$
|
9,701,319
|
3.47
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Various long forward currency contracts
|
$
|
10,221,810
|
3.66
|
%
|
||||
Various short forward currency contracts
|
(7,895,091
|
)
|
(2.82
|
)%
|
||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
2,326,719
|
0.84
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Centrally cleared credit default index swaps - Sell protection (net cost $1,697,355) (3)
|
$
|
2,611,165
|
0.93
|
%
|
Description
|
Fair
Value ($) |
% of Net
Asset Value |
||||||
Centrally cleared interest rate swaps - Receive fixed (net cost $229,351) (4)
|
$
|
809,670
|
0.29
|
%
|
(3) |
Includes $2,603,209 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps
broker in the statement of financial condition.
|
(4) |
Includes $958,613 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps
broker in the statement of financial condition.
|
March 31, 2021
|
December 31, 2020
|
|||||||
ASSETS
|
||||||||
Equity in futures brokers trading accounts
|
||||||||
Cash
|
$
|
29,811,917
|
$
|
18,771,895
|
||||
Fixed income securities (cost $44,558,265 and $44,873,315, respectively)
|
44,558,888
|
44,874,023
|
||||||
Net unrealized gain (loss) on open futures contracts
|
2,045,669
|
9,701,319
|
||||||
Total equity in futures brokers trading accounts
|
76,416,474
|
73,347,237
|
||||||
Cash and cash equivalents
|
4,302,700
|
2,026,150
|
||||||
Cash at interbank market maker
|
14,171,485
|
13,343,832
|
||||||
Restricted cash at interbank market maker
|
15,455,814
|
19,627,499
|
||||||
Short term investments (cost $4,081,399 and $15,831,488, respectively)
|
4,081,399
|
15,831,488
|
||||||
Cash at swaps broker
|
8,265,732
|
6,495,743
|
||||||
Restricted cash at swaps broker
|
1,209,270
|
8,338,403
|
||||||
Fixed income securities (cost $150,138,972 and $145,409,347, respectively)
|
150,353,915
|
145,766,071
|
||||||
Credit default index swaps
|
158,825
|
7,956
|
||||||
Interest rate swaps
|
101,897
|
0
|
||||||
Due from swaps broker
|
38,190
|
45,134
|
||||||
Net unrealized gain on open forward currency contracts
|
11,330,423
|
2,326,719
|
||||||
Interest receivable
|
213,866
|
197,660
|
||||||
Subscriptions receivable
|
0
|
500,000
|
||||||
Total assets
|
$
|
286,099,990
|
$
|
287,853,892
|
||||
LIABILITIES
|
||||||||
Accounts payable
|
$
|
233,232
|
$
|
178,723
|
||||
Management fee payable
|
474,776
|
477,700
|
||||||
Payable for securities purchased
|
249,672
|
0
|
||||||
Interest rate swaps
|
0
|
148,943
|
||||||
Accrued commissions and other trading fees on open contracts
|
60,101
|
56,032
|
||||||
Offering costs payable
|
104,621
|
105,926
|
||||||
Sales commission payable
|
411,758
|
417,647
|
||||||
Redemptions payable
|
5,101,758
|
6,903,229
|
||||||
Total liabilities
|
6,635,918
|
8,288,200
|
||||||
UNITHOLDERS’ CAPITAL (Net Asset Value)
|
||||||||
Series A Units - Redeemable
|
||||||||
Other Unitholders - 78,074.744 and 83,925.461 units outstanding at March 31, 2021 and December 31, 2020
|
214,095,625
|
216,523,843
|
||||||
Series B Units – Redeemable
|
||||||||
Other Unitholders - 11,025.893 and 11,380.986 units outstanding at March 31, 2021 and December 31, 2020
|
33,298,346
|
32,296,756
|
||||||
Series D Units – Redeemable
|
||||||||
Other Unitholders - 4,694.770 and 4,757.939 units outstanding at March 31, 2021 and December 31, 2020
|
5,305,615
|
5,043,054
|
||||||
Series W Units – Redeemable
|
||||||||
Other Unitholders - 8,050.811 and 8,258.693 units outstanding at March 31, 2021 and December 31, 2020
|
26,764,486
|
25,702,039
|
||||||
Total unitholders’ capital (Net Asset Value)
|
279,464,072
|
279,565,692
|
||||||
Total liabilities and unitholders’ capital (Net Asset Value)
|
$
|
286,099,990
|
$
|
287,853,892
|
Three Months Ended March 31,
|
||||||||
2021
|
2020
|
|||||||
TRADING GAINS (LOSSES)
|
||||||||
Futures trading gains (losses)
|
||||||||
Realized
|
$
|
18,168,677
|
$
|
(17,005,356
|
)
|
|||
Change in unrealized
|
(7,655,650
|
)
|
13,201,950
|
|||||
Brokerage commissions
|
(574,846
|
)
|
(593,239
|
)
|
||||
Net gain (loss) from futures trading
|
9,938,181
|
(4,396,645
|
)
|
|||||
Forward currency trading gains (losses)
|
||||||||
Realized
|
5,889,117
|
5,155,862
|
||||||
Change in unrealized
|
9,003,704
|
19,995,162
|
||||||
Brokerage commissions
|
(72,500
|
)
|
(40,206
|
)
|
||||
Net gain (loss) from forward currency trading
|
14,820,321
|
25,110,818
|
||||||
Swap trading gains (losses)
|
||||||||
Realized
|
(3,663,394
|
)
|
0
|
|||||
Change in unrealized
|
(1,385,903
|
)
|
0
|
|||||
Net gain (loss) from swap trading
|
(5,049,297
|
)
|
0
|
|||||
Total net trading gain (loss)
|
19,709,205
|
20,714,173
|
||||||
NET INVESTMENT INCOME (LOSS)
|
||||||||
Investment income
|
||||||||
Interest income
|
241,716
|
1,451,917
|
||||||
Realized gain (loss) on fixed income securities
|
(12,356
|
)
|
13,325
|
|||||
Change in unrealized gain (loss) on fixed income securities
|
(141,866
|
)
|
(1,826,548
|
)
|
||||
Total investment income (loss)
|
87,494
|
(361,306
|
)
|
|||||
Expenses
|
||||||||
Management fee
|
1,378,057
|
3,135,806
|
||||||
Operating expenses
|
202,130
|
229,608
|
||||||
Sales commission
|
1,233,221
|
0
|
||||||
Total expenses
|
2,813,408
|
3,365,414
|
||||||
Net investment income (loss)
|
(2,725,914
|
)
|
(3,726,720
|
)
|
||||
NET INCOME (LOSS)
|
$
|
16,983,291
|
$
|
16,987,453
|
||||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
|
||||||||
(based on weighted average number of units outstanding during the period)
|
||||||||
Series A
|
$
|
158.13
|
$
|
140.53
|
||||
Series B
|
$
|
179.08
|
$
|
153.56
|
||||
Series D
|
$
|
69.83
|
$
|
54.93
|
||||
Series W
|
$
|
214.20
|
$
|
180.16
|
||||
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
|
||||||||
Series A
|
$
|
162.24
|
$
|
136.24
|
||||
Series B
|
$
|
182.23
|
$
|
152.82
|
||||
Series D
|
$
|
70.19
|
$
|
58.72
|
||||
Series W
|
$
|
212.33
|
$
|
177.15
|
||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
|
||||||||
Series A
|
81,509.294
|
94,522.042
|
||||||
Series B
|
11,231.999
|
12,972.774
|
||||||
Series D
|
4,707.188
|
3,629.866
|
||||||
Series W
|
8,187.761
|
8,395.537
|
Three Months Ended March 31,
|
||||||||
2021
|
2020
|
|||||||
Cash flows from (for) operating activities
|
||||||||
Net income (loss)
|
$
|
16,983,291
|
$
|
16,987,453
|
||||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
|
||||||||
Net change in unrealized on futures, forwards, swaps and investments
|
179,715
|
(31,370,564
|
)
|
|||||
(Increase) decrease in interest receivable
|
(16,206
|
)
|
219,082
|
|||||
Increase (decrease) in payable for securities purchased
|
249,672
|
3,194,801
|
||||||
(Increase) decrease in due from swaps broker
|
6,944
|
0
|
||||||
Increase (decrease) in accounts payable and accrued expenses
|
49,765
|
(69,647
|
)
|
|||||
Net purchases from swap broker
|
(1,787,611
|
)
|
0
|
|||||
Purchases of investments
|
(687,734,970
|
)
|
(805,520,518
|
)
|
||||
Sales/maturities of investments
|
695,070,483
|
804,338,522
|
||||||
Net cash from (for) operating activities
|
23,001,083
|
(12,220,871
|
)
|
|||||
Cash flows from (for) financing activities
|
||||||||
Addition of units
|
1,954,320
|
3,220,581
|
||||||
Redemption of units
|
(20,036,489
|
)
|
(5,934,095
|
)
|
||||
Offering costs paid
|
(305,518
|
)
|
(357,212
|
)
|
||||
Net cash from (for) financing activities
|
(18,387,687
|
)
|
(3,070,726
|
)
|
||||
Net increase (decrease) in cash, cash equivalents and restricted cash
|
4,613,396
|
(15,291,597
|
)
|
|||||
Cash, cash equivalents and restricted cash at beginning of period
|
68,603,522
|
66,186,710
|
||||||
Cash, cash equivalents and restricted cash at end of period
|
$
|
73,216,918
|
$
|
50,895,113
|
March 31, 2021
|
December 31, 2020
|
|||||||
Cash, cash equivalents and restricted cash at end of period consists of:
|
||||||||
Equity in futures brokers trading accounts:
|
||||||||
Cash
|
$
|
29,811,917
|
$
|
18,771,895
|
||||
Cash and cash equivalents
|
4,302,700
|
2,026,150
|
||||||
Cash at interbank market maker
|
14,171,485
|
13,343,832
|
||||||
Restricted cash at interbank market maker
|
15,455,814
|
19,627,499
|
||||||
Cash at swaps broker
|
8,265,732
|
6,495,743
|
||||||
Restricted cash at swaps broker
|
1,209,270
|
8,338,403
|
||||||
Total cash, cash equivalents and restricted cash at end of period
|
$
|
73,216,918
|
$
|
68,603,522
|
Series A - Other Unitholders
|
Series B - Other Unitholders
|
|||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
|||||||||||||
Three Months Ended March 31, 2021
|
||||||||||||||||
Balances at December 31, 2020
|
83,925.461
|
$
|
216,523,843
|
11,380.986
|
$
|
32,296,756
|
||||||||||
Net income (loss) for the three months ended March 31, 2021
|
12,889,369
|
2,011,419
|
||||||||||||||
Additions
|
279.528
|
735,305
|
6.646
|
19,012
|
||||||||||||
Redemptions
|
(6,130.245
|
)
|
(15,787,255
|
)
|
(361.739
|
)
|
(1,028,841
|
)
|
||||||||
Offering costs
|
(265,637
|
)
|
0
|
|||||||||||||
Balances at March 31, 2021
|
78,074.744
|
$
|
214,095,625
|
11,025.893
|
$
|
33,298,346
|
||||||||||
Three Months Ended March 31, 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
|
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 Asset Value per Other Unitholders’ Unit - Series A
|
||||||||||||||
March 31, 2021
|
December 31, 2020
|
March 31, 2020
|
December 31, 2019
|
|||||||||||
$
|
2,742.19
|
$
|
2,579.95
|
$
|
2,704.25
|
$
|
2,568.01
|
Net Asset Value per Other Unitholders’ Unit - Series B
|
||||||||||||||
March 31, 2021
|
December 31, 2020
|
March 31, 2020
|
December 31, 2019
|
|||||||||||
$
|
3,020.01
|
$
|
2,837.78
|
$
|
2,963.33
|
$
|
2,810.51
|
Series D - Other Unitholders
|
Series W - Other Unitholders
|
Trust
|
||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Total Amount
|
||||||||||||||||
Three Months Ended March 31, 2021
|
||||||||||||||||||||
Balances at December 31, 2020
|
4,757.939
|
$
|
5,043,054
|
8,258.693
|
$
|
25,702,039
|
$
|
279,565,692
|
||||||||||||
Net income (loss) for the three months ended March 31, 2021
|
328,699
|
1,753,804
|
16,983,291
|
|||||||||||||||||
Additions
|
176.974
|
200,000
|
158.300
|
500,003
|
1,454,320
|
|||||||||||||||
Redemptions
|
(240.143
|
)
|
(259,827
|
)
|
(366.182
|
)
|
(1,159,095
|
)
|
(18,235,018
|
)
|
||||||||||
Offering costs
|
(6,311
|
)
|
(32,265
|
)
|
(304,213
|
)
|
||||||||||||||
Balances at March 31, 2021
|
4,694.770
|
$
|
5,305,615
|
8,050.811
|
$
|
26,764,486
|
$
|
279,464,072
|
||||||||||||
Three Months Ended March 31, 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 Asset Value per Other Unitholders’ Unit - Series D
|
||||||||||||||
March 31, 2021
|
December 31, 2020
|
March 31, 2020
|
December 31, 2019
|
|||||||||||
$
|
1,130.11
|
$
|
1,059.92
|
$
|
1,100.59
|
$
|
1,041.87
|
Net Asset Value per Other Unitholders’ Unit - Series W
|
||||||||||||||
March 31, 2021
|
December 31, 2020
|
March 31, 2020
|
December 31, 2019
|
|||||||||||
$
|
3,324.45
|
$
|
3,112.12
|
$
|
3,213.35
|
$
|
3,036.20
|
Series A
|
||||||||
Three Months Ended March 31,
|
||||||||
2021
|
2020
|
|||||||
Per Unit Performance
|
||||||||
(for a unit outstanding throughout the entire period)
|
||||||||
Net asset value per unit at beginning of period
|
$
|
2,579.95
|
$
|
2,568.01
|
||||
Income (loss) from operations:
|
||||||||
Total net trading gains (losses) (1)
|
192.65
|
171.88
|
||||||
Net investment income (loss) (1)
|
(27.15
|
)
|
(32.22
|
)
|
||||
Total net income (loss) from operations
|
165.50
|
139.66
|
||||||
Offering costs (1)
|
(3.26
|
)
|
(3.42
|
)
|
||||
Net asset value per unit at end of period
|
$
|
2,742.19
|
$
|
2,704.25
|
||||
Total Return (4)
|
6.29
|
%
|
5.31
|
%
|
||||
Supplemental Data
|
||||||||
Ratios to average net asset value:
|
||||||||
Expenses prior to performance fee (3)
|
4.34
|
%
|
4.36
|
%
|
||||
Performance fee (4)
|
0.00
|
%
|
0.00
|
%
|
||||
Total expenses
|
4.34
|
%
|
4.36
|
%
|
||||
Net investment income (loss) (2),(3)
|
(4.21
|
)%
|
(4.80
|
)%
|
(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 March 31,
|
||||||||
2021
|
2020
|
|||||||
Per Unit Performance
|
||||||||
(for a unit outstanding throughout the entire period)
|
||||||||
Net asset value per unit at beginning of period
|
$
|
2,837.78
|
$
|
2,810.51
|
||||
Income (loss) from operations:
|
||||||||
Total net trading gains (losses) (1)
|
212.14
|
188.08
|
||||||
Net investment income (loss) (1)
|
(29.91
|
)
|
(35.26
|
)
|
||||
Total net income (loss) from operations
|
182.23
|
152.82
|
||||||
Net asset value per unit at end of period
|
$
|
3,020.01
|
$
|
2,963.33
|
||||
Total Return (4)
|
6.42
|
%
|
5.44
|
%
|
||||
Supplemental Data
|
||||||||
Ratios to average net asset value:
|
||||||||
Expenses prior to performance fee (3)
|
4.32
|
%
|
4.36
|
%
|
||||
Performance fee (4)
|
0.00
|
%
|
0.00
|
%
|
||||
Total expenses
|
4.32
|
%
|
4.36
|
%
|
||||
Net investment income (loss) (2),(3)
|
(4.20
|
)%
|
(4.80
|
)%
|
(1) |
Net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing
amount necessary to reconcile the change in net asset value per unit with the other per unit information.
|
(2) |
Excludes performance fee.
|
(3) |
Annualized.
|
(4) |
Not annualized.
|
Series D
|
||||||||
Three Months Ended March 31,
|
||||||||
2021
|
2020
|
|||||||
Per Unit Performance
|
||||||||
(for a unit outstanding throughout the entire period)
|
||||||||
Net asset value per unit at beginning of period
|
$
|
1,059.92
|
$
|
1,041.87
|
||||
Income (loss) from operations:
|
||||||||
Total net trading gains (losses) (1)
|
79.35
|
70.16
|
||||||
Net investment income (loss) (1)
|
(7.82
|
)
|
(10.05
|
)
|
||||
Total net income (loss) from operations
|
71.53
|
60.11
|
||||||
Offering costs (1)
|
(1.34
|
)
|
(1.39
|
)
|
||||
Net asset value per unit at end of period
|
$
|
1,130.11
|
$
|
1,100.59
|
||||
Total Return (4)
|
6.62
|
%
|
5.64
|
%
|
||||
Supplemental Data
|
||||||||
Ratios to average net asset value:
|
||||||||
Expenses prior to performance fee (3)
|
3.08
|
%
|
3.04
|
%
|
||||
Performance fee (4)
|
0.00
|
%
|
0.00
|
%
|
||||
Total expenses
|
3.08
|
%
|
3.04
|
%
|
||||
Net investment income (loss) (2),(3)
|
(2.95
|
)%
|
(3.64
|
)%
|
(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 March 31,
|
||||||||
2021
|
2020
|
|||||||
Per Unit Performance
|
||||||||
(for a unit outstanding throughout the entire period)
|
||||||||
Net asset value per unit at beginning of period
|
$
|
3,112.12
|
$
|
3,036.20
|
||||
Income (loss) from operations:
|
||||||||
Total net trading gains (losses) (1)
|
233.36
|
203.49
|
||||||
Net investment income (loss) (1)
|
(17.09
|
)
|
(22.29
|
)
|
||||
Total net income (loss) from operations
|
216.27
|
181.20
|
||||||
Offering costs (1)
|
(3.94
|
)
|
(4.05
|
)
|
||||
Net asset value per unit at end of period
|
$
|
3,324.45
|
$
|
3,213.35
|
||||
Total Return (4)
|
6.82
|
%
|
5.83
|
%
|
||||
Supplemental Data
|
||||||||
Ratios to average net asset value:
|
||||||||
Expenses prior to performance fee (3)
|
2.31
|
%
|
2.32
|
%
|
||||
Performance fee (4)
|
0.00
|
%
|
0.00
|
%
|
||||
Total expenses
|
2.31
|
%
|
2.32
|
%
|
||||
Net investment income (loss) (2),(3)
|
(2.18
|
)%
|
(2.80
|
)%
|
(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 March 31, 2021
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
4,081,399
|
$
|
0
|
$
|
0
|
$
|
4,081,399
|
||||||||
Fixed income securities
|
0
|
194,912,803
|
0
|
194,912,803
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
2,045,669
|
0
|
0
|
2,045,669
|
||||||||||||
Forward currency contracts
|
0
|
11,330,423
|
0
|
11,330,423
|
||||||||||||
Credit default index swap contracts
|
0
|
3,031,341
|
0
|
3,031,341
|
||||||||||||
Interest rate swap contracts
|
0
|
72,690
|
0
|
72,690
|
||||||||||||
Total
|
$
|
6,127,068
|
$
|
209,347,257
|
$
|
0
|
$
|
215,474,325
|
Fair Value at December 31, 2020
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
15,831,488
|
$
|
0
|
$
|
0
|
$
|
15,831,488
|
||||||||
Fixed income securities
|
0
|
190,640,094
|
0
|
190,640,094
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
9,701,319
|
0
|
0
|
9,701,319
|
||||||||||||
Forward currency contracts
|
0
|
2,326,719
|
0
|
2,326,719
|
||||||||||||
Credit default index swap contracts
|
0
|
2,611,165
|
0
|
2,611,165
|
||||||||||||
Interest rate swap contracts
|
0
|
809,670
|
0
|
809,670
|
||||||||||||
Total
|
$
|
25,532,807
|
$
|
196,387,648
|
$
|
0
|
$
|
221,920,455
|
March 31, 2021
|
December 31, 2020
|
|||||||
Credit Default Index Swaps
|
Maturity Date:
June 2026 |
Maturity Date:
December 2025 |
||||||
Investment grade
|
$
|
38,374,223
|
$
|
39,578,996
|
||||
Non-investment grade
|
$
|
29,931,320
|
$
|
33,585,353
|
||||
Total
|
$
|
68,305,543
|
$
|
73,164,349
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
March 31, 2021
Fair Value
|
Liability
Derivatives at
March 31, 2021
Fair Value
|
Net
|
||||||||||
|
|
|||||||||||||
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
3,192,877
|
$
|
(1,319,534
|
)
|
$
|
1,873,343
|
||||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
127,195
|
(560,675
|
)
|
(433,480
|
)
|
||||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
4,329,207
|
(4,611,714
|
)
|
(282,507
|
)
|
||||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
2,860,556
|
(480,145
|
)
|
2,380,411
|
|||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
46,679
|
(719,951
|
)
|
(673,272
|
)
|
||||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
423,463
|
(1,242,289
|
)
|
(818,826
|
)
|
||||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open Forward Currency Contracts
|
21,809,471
|
(10,479,048
|
)
|
11,330,423
|
|||||||||
Credit Default Index Swap Contracts**
|
Credit default index swaps
|
3,309,274
|
(277,933
|
)
|
3,031,341
|
|||||||||
Interest Rate Swap Contracts**
|
Interest rate swaps
|
145,464
|
(72,774
|
)
|
72,690
|
|||||||||
Totals
|
|
$
|
36,244,186
|
$
|
(19,764,063
|
)
|
$
|
16,480,123
|
*
|
Derivatives not designated as hedging instruments under ASC 815
|
**
|
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the
statements of financial condition.
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
December 31, 2020
Fair Value
|
Liability
Derivatives at
December 31, 2020
Fair Value
|
Net
|
||||||||||
|
|
|||||||||||||
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
2,986,269
|
$
|
(329,832
|
)
|
$
|
2,656,437
|
||||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
990,714
|
(383,457
|
)
|
607,257
|
|||||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
5,414,162
|
(3,112,947
|
)
|
2,301,215
|
|||||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
2,656,249
|
(688,867
|
)
|
1,967,382
|
|||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
405,598
|
(31
|
)
|
405,567
|
|||||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
2,144,323
|
(380,862
|
)
|
1,763,461
|
|||||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open Forward Currency Contracts
|
12,145,055
|
(9,818,336
|
)
|
2,326,719
|
|||||||||
Credit Default Index Swap Contracts**
|
Credit default index swaps
|
2,946,685
|
(335,520
|
)
|
2,611,165
|
|||||||||
Interest Rate Swap Contracts**
|
Interest rate swaps
|
1,140,930
|
(331,260
|
)
|
809,670
|
|||||||||
Totals
|
|
$
|
30,829,985
|
$
|
(15,381,112
|
)
|
$
|
15,448,873
|
*
|
Derivatives not designated as hedging instruments under ASC 815
|
**
|
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the
statements of financial condition.
|
Type of Instrument
|
Trading Gains/(Losses) for
the Three Months Ended
March 31, 2021
|
Trading Gains/(Losses) for
the Three Months Ended
March 31, 2020
|
||||||
Agriculture Contracts
|
$
|
5,250,127
|
$
|
3,712,427
|
||||
Energy Contracts
|
5,104,539
|
9,953,259
|
||||||
Metal Contracts
|
(722,815
|
)
|
8,243,449
|
|||||
Stock Indices Contracts
|
10,713,578
|
(44,993,303
|
)
|
|||||
Short-Term Interest Rate Contracts
|
(2,735,704
|
)
|
15,241,726
|
|||||
Long-Term Interest Rate Contracts
|
(7,096,698
|
)
|
4,039,036
|
|||||
Forward Currency Contracts
|
14,892,821
|
25,151,024
|
||||||
Credit default index swap contracts
|
2,053
|
0
|
||||||
Interest rate swap contracts
|
(5,051,350
|
)
|
0
|
|||||
Total
|
$
|
20,356,551
|
$
|
21,347,618
|
Line Item in the Statements of Operations
|
Trading Gains/(Losses) for
the Three Months Ended
March 31, 2021
|
Trading Gains/(Losses) for
the Three Months Ended
March 31, 2020
|
||||||
Futures trading gains (losses):
|
||||||||
Realized**
|
$
|
18,168,677
|
$
|
(17,005,356
|
)
|
|||
Change in unrealized
|
(7,655,650
|
)
|
13,201,950
|
|||||
Forward currency trading gains (losses):
|
||||||||
Realized**
|
5,889,117
|
5,155,862
|
||||||
Change in unrealized
|
9,003,704
|
19,995,162
|
||||||
Swap trading gains (losses):
|
||||||||
Realized
|
(3,663,394
|
)
|
0
|
|||||
Change in unrealized
|
(1,385,903
|
)
|
0
|
|||||
Total
|
$
|
20,356,551
|
$
|
21,347,618
|
**
|
For the three months ended March 31, 2021 and 2020, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $88,171 and
$52,869, respectively; and gains and losses on spot trades in connection with forward currency trading at the interbank market makers of $(681,951) and $1,697,113,
respectively.
|
Offsetting of Derivative Assets by Counterparty
|
||||||||||||||
As of March 31, 2021
|
|
|||||||||||||
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
|
$
|
5,586,926
|
$
|
(4,639,090
|
)
|
$
|
947,836
|
||||||
Futures contracts
|
Goldman, Sachs & Co.
|
5,393,051
|
(4,295,218
|
)
|
1,097,833
|
|||||||||
Forward currency contracts
|
NatWest Markets Plc
|
21,809,471
|
(10,479,048
|
)
|
11,330,423
|
|||||||||
Centrally cleared swap contracts*
|
Centrally Cleared
|
3,454,738
|
(350,707
|
)
|
3,104,031
|
|||||||||
Total derivatives
|
|
$
|
36,244,186
|
$
|
(19,764,063
|
)
|
$
|
16,480,123
|
*
|
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps
broker in the statements of financial condition.
|
As of March 31, 2021
|
||||||||||||||||
|
Net Amounts of
Unrealized Gain
Presented in the
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
||||||||||||||
Counterparty
|
Statements of
Financial Condition
|
Financial
Instruments
|
Cash Collateral
Received
|
Net Amount
|
||||||||||||
UBS Securities LLC
|
$
|
947,836
|
$
|
0
|
$
|
0
|
$
|
947,836
|
||||||||
Goldman Sachs & Co. LLC
|
1,097,833
|
0
|
0
|
1,097,833
|
||||||||||||
NatWest Markets Plc
|
11,330,423
|
0
|
0
|
11,330,423
|
||||||||||||
Centrally Cleared
|
3,104,031
|
0
|
0
|
3,104,031
|
||||||||||||
Total
|
$
|
16,480,123
|
$
|
0
|
$
|
0
|
$
|
16,480,123
|
Offsetting of Derivative Liabilities by Counterparty | ||||||||||||||
As of March 31, 2021
|
|
|||||||||||||
Type of Instrument
|
Counterparty
|
Gross
Amounts
of Recognized
Liabilities
|
Gross
Amounts
Offset in the
Statements of
Financial Condition
|
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
|
||||||||||
Futures contracts
|
UBS Securities LLC
|
$
|
4,639,090
|
$
|
(4,639,090
|
)
|
$
|
0
|
||||||
Futures contracts
|
Goldman, Sachs & Co.
|
4,295,218
|
(4,295,218
|
)
|
0
|
|||||||||
Forward currency contracts
|
NatWest Markets Plc
|
10,479,048
|
(10,479,048
|
)
|
0
|
|||||||||
Centrally cleared swap contracts
|
Centrally Cleared
|
350,707
|
(350,707
|
)
|
0
|
|||||||||
Total derivatives
|
|
$
|
19,764,063
|
$
|
(19,764,063
|
)
|
$
|
0
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
||||||||||||||||
As of March 31, 2021
|
||||||||||||||||
|
Net Amounts of
Unrealized Loss
Presented in the
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
||||||||||||||
Counterparty
|
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
|
0
|
0
|
0
|
0
|
||||||||||||
Centrally Cleared
|
0
|
0
|
0
|
0
|
||||||||||||
Total
|
$
|
0
|
$
|
0
|
$
|
0
|
$
|
0
|
As of December 31, 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
|
$
|
7,300,844
|
$
|
(2,648,871
|
)
|
$
|
4,651,973
|
|||||
Futures contracts
|
Goldman, Sachs & Co.
|
7,296,471
|
(2,247,125
|
)
|
5,049,346
|
||||||||
Forward currency contracts
|
NatWest Markets Plc
|
12,145,055
|
(9,818,336
|
)
|
2,326,719
|
||||||||
Centrally cleared swap contracts*
|
Centrally Cleared
|
4,087,615
|
(666,780
|
)
|
3,420,835
|
||||||||
Total derivatives
|
|
$
|
30,829,985
|
$
|
(15,381,112
|
)
|
$
|
15,448,873
|
* |
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the
statements of financial condition.
|
Derivative Assets and Collateral Received by Counterparty
|
||||||||||||||||
As of December 31, 2020
|
||||||||||||||||
|
Net Amounts of
Unrealized Gain
Presented in the
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
||||||||||||||
Counterparty
|
Statements of
Financial Condition
|
Financial
Instruments
|
Cash Collateral
Received
|
Net Amount
|
||||||||||||
UBS Securities LLC
|
$
|
4,651,973
|
$
|
0
|
$
|
0
|
$
|
4,651,973
|
||||||||
Goldman, Sachs & Co.
|
5,049,346
|
0
|
0
|
5,049,346
|
||||||||||||
NatWest Markets Plc
|
2,326,719
|
0
|
0
|
2,326,719
|
||||||||||||
Centrally Cleared
|
3,420,835
|
0
|
0
|
3,420,835
|
||||||||||||
Total
|
$
|
15,448,873
|
$
|
0
|
$
|
0
|
$
|
15,448,873
|
Offsetting of Derivative Liabilities by Counterparty
|
||||||||||||||
As of December 31, 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
|
$
|
2,648,871
|
$
|
(2,648,871
|
)
|
$
|
0
|
||||||
Futures contracts
|
Goldman, Sachs & Co.
|
2,247,125
|
(2,247,125
|
)
|
0
|
|||||||||
Forward currency contracts
|
NatWest Markets Plc
|
9,818,336
|
(9,818,336
|
)
|
0
|
|||||||||
Centrally cleared swap contracts
|
Centrally Cleared
|
666,780
|
(666,780
|
)
|
0
|
|||||||||
Total derivatives
|
|
$
|
15,381,112
|
$
|
(15,381,112
|
)
|
$
|
0
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
||||||||||||||||
As of December 31, 2020
|
||||||||||||||||
|
Net Amounts of
Unrealized Loss
Presented in the
|
Gross Amounts Not Offset in the
Statements of Financial Condition
|
||||||||||||||
Counterparty |
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
|
0
|
0
|
0
|
0
|
||||||||||||
Centrally Cleared
|
0
|
0
|
0
|
0
|
||||||||||||
Total
|
$
|
0
|
$
|
0
|
$
|
0
|
$
|
0
|
Sector
|
% Gain (Loss)
|
|||
Credit
|
(2.06
|
)%
|
||
Commodities
|
3.49
|
%
|
||
Foreign Exchange
|
5.53
|
%
|
||
Interest Rates
|
(3.48
|
)%
|
||
Equity Indices
|
3.93
|
%
|
||
7.41
|
%
|
Sector
|
% Gain
(Loss)
|
|||
Commodities
|
6.52
|
%
|
||
Foreign Exchange
|
8.03
|
%
|
||
Interest Rates
|
5.83
|
%
|
||
Equity Indices
|
(13.54
|
)%
|
||
6.84
|
%
|
March 31, 2021
|
||||||||
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Credit
|
0.08
|
%
|
(2.06
|
)%
|
||||
Commodities
|
0.53
|
%
|
3.49
|
%
|
||||
Foreign Exchange
|
0.63
|
%
|
5.53
|
%
|
||||
Interest Rates
|
0.69
|
%
|
(3.48
|
)%
|
||||
Equity Indices
|
0.91
|
%
|
3.93
|
%
|
||||
Aggregate/Total
|
1.69
|
%
|
7.41
|
%
|
* |
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 three months ended March 31, 2021.
|
December 31, 2020
|
||||||||
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Credit
|
0.11
|
%
|
0.08
|
%
|
||||
Commodities
|
0.71
|
%
|
10.33
|
%
|
||||
Foreign Exchange
|
0.51
|
%
|
4.31
|
%
|
||||
Interest Rates
|
0.87
|
%
|
2.63
|
%
|
||||
Equity Indices
|
0.63
|
%
|
(12.32
|
)%
|
||||
Aggregate/Total
|
1.43
|
%
|
5.03
|
%
|
* |
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, 2020.
|
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 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 March 31, 2021 and December 31, 2020, (ii) Statements of Financial Condition as
of March 31, 2021 and December 31, 2020, (iii) Statements of Operations For the Three Months Ended March 31, 2021 and 2020, (iv) Statements of Cash Flows For the Three Months Ended March 31, 2021 and 2020, (v) Statements of Changes in
Unitholders’ Capital (Net Asset Value) For the Three Months Ended March 31, 2021 and 2020, (vi) Financial Highlights For the Three Months Ended March 31, 2021 and 2020, (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 March 31, 2021 and December 31, 2020, (ii) Statements of Financial Condition
as of March 31, 2021 and December 31, 2020, (iii) Statements of Operations For the Three Months Ended March 31, 2021 and 2020, (iv) Statements of Cash Flows For the Three Months Ended March 31, 2021 and 2020, (v) Statements of Changes in
Unitholders’ Capital (Net Asset Value) For the Three Months Ended March 31, 2021 and 2020, (vi) Financial Highlights For the Three Months March 31, 2021 and 2020, (vii) Notes to Financial Statements.
|
THE CAMPBELL FUND TRUST
(Registrant)
|
|||
By:
|
Campbell & Company, LP
|
||
Managing Operator
|
|||
Date: May 14, 2021
|
By:
|
/s/ G. William Andrews
|
|
G. William Andrews
|
|||
Chief Executive Officer
|