UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q

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

For the quarterly period ended March 31, 2021

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

For the transition period from to

Commission File number: 000-50264

THE CAMPBELL FUND TRUST

(Exact name of Registrant as specified in charter)

Delaware		94-6260018
(State of Organization)		(IRS Employer Identification Number)

	2850 Quarry Lake Drive
	Baltimore, Maryland 21209
	(Address of principal executive offices, including zip code)

	(410) 413-2600
	(Registrant’s telephone number, including area code)

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

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

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

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

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

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

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

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

The Registrant has no voting stock. As of March 31, 2021, there were 78,074.744 Series A Units, 11,025.893 Series B Units, 4,694.770 Series D Units, and 8,050.811 Series W Units of Beneficial Interest issued and outstanding.

TABLE OF CONTENTS

			Page
PART I — FINANCIAL INFORMATION

	Item 1.	Financial Statements.

		Condensed Schedules of Investments as of March 31, 2021 and December 31, 2020 (Unaudited)	1-6

		Statements of Financial Condition as of March 31, 2021 and December 31, 2020 (Unaudited)	7

		Statements of Operations for the Three Months Ended March 31, 2021 and 2020 (Unaudited)	8

		Statements of Cash Flows for the Three Months Ended March 31, 2021 and 2020 (Unaudited)	9

		Statements of Changes in Unitholders’ Capital (Net Asset Value) for the Three Months Ended March 31, 2021 and 2020 (Unaudited)	10-11

		Financial Highlights for the Three Months Ended March 31, 2021 and 2020 (Unaudited)	12-15

		Notes to Financial Statements (Unaudited)	16-30

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations.	31-36

	Item 3.	Quantitative and Qualitative Disclosure About Market Risk.	36-41

	Item 4.	Controls and Procedures.	41

PART II — OTHER INFORMATION

	Item 1.	Legal Proceedings.	42

	Item 1A.	Risk Factors.	42

	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds.	42

	Item 3.	Defaults Upon Senior Securities.	42

	Item 4.	Mine Safety Disclosures.	42

	Item 5.	Other Information.	42

	Item 6.	Exhibits.	43-44

SIGNATURES			45

Table of Contents

THE CAMPBELL FUND TRUST

CONDENSED SCHEDULE OF INVESTMENTS

MARCH 31, 2021 (Unaudited)

FIXED INCOME SECURITIES

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	%

Table of Contents

THE CAMPBELL FUND TRUST

CONDENSED SCHEDULE OF INVESTMENTS

MARCH 31, 2021 (Unaudited)

FIXED INCOME SECURITIES

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.

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

CONDENSED SCHEDULE OF INVESTMENTS

MARCH 31, 2021 (Unaudited)

SHORT TERM INVESTMENTS

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	%

LONG FUTURES CONTRACTS

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	%

SHORT FUTURES CONTRACTS

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	%

FORWARD CURRENCY CONTRACTS

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	%

CREDIT DEFAULT INDEX SWAPS

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	%

INTEREST RATE SWAPS

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.

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2020

FIXED INCOME SECURITIES

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	%

Table of Contents

THE CAMPBELL FUND TRUST

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2020

FIXED INCOME SECURITIES

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.

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2020

SHORT TERM INVESTMENTS

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	%

LONG FUTURES CONTRACTS

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	%

SHORT FUTURES CONTRACTS

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	%

FORWARD CURRENCY CONTRACTS

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	%

CREDIT DEFAULT INDEX SWAPS

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	%

INTEREST RATE SWAPS

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.

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

STATEMENTS OF FINANCIAL CONDITION

MARCH 31, 2021 AND DECEMBER 31, 2020 (Unaudited)

	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

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2021 AND 2020 (Unaudited)

	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

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2021 AND 2020 (Unaudited)

	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

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

	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

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

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

FOR THE THREE MONTHS ENDED MARCH 31, 2021 AND 2020 (Unaudited)

	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

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

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

FOR THE THREE MONTHS ENDED MARCH 31, 2021 AND 2020 (Unaudited)

	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

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

FINANCIAL HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2021 AND 2020 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series A units for the three months ended March 31, 2021 and 2020. This information has been derived from information presented in the financial statements.

	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	)%

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

(1)

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

(2)	Excludes performance fee.

(3)	Annualized.

(4)	Not annualized.

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

FINANCIAL HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2021 AND 2020 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series B units for the three months ended March 31, 2021 and 2020. This information has been derived from information presented in the financial statements.

	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.

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

FINANCIAL HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2021 AND 2020 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series D units for the three months ended March 31, 2021 and 2020. This information has been derived from information presented in the financial statements.

	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)

(2)	Excludes performance fee.

(3)	Annualized.

(4)	Not annualized.

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

FINANCIAL HIGHLIGHTS

FOR THE THREE MONTHS ENDED MARCH 31, 2021 AND 2020 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series W units for the three months ended March 31, 2021 and 2020. This information has been derived from information presented in the financial statements.

	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)

(2)	Excludes performance fee.

(3)	Annualized.

(4)	Not annualized.

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2021

Note 1. 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.

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, including futures, forwards and fixed income securities 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.

The daily exchange of variation margin associated with a Central Counterparty Clearing House 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 swaps and futures as a direct reduction to the carrying value of the centrally cleared swaps and futures derivative asset or liability, respectively. The carrying amount of centrally cleared swaps and futures reflected in the Trust’s Statements of Financial Condition is equal to the unsettled fair value of such instruments, which generally represents the change in fair value that occurred on the last day of the reporting period.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2021

Centrally cleared credit default index 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 Swap trading gains (losses) - Change in unrealized 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 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 March 31, 2021 and December 31, 2020, and for the periods ended March 31, 2021 and 2020 the Trust did not have any Level 3 assets or liabilities.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2021

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 March 31, 2021 and December 31, 2020.

	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

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 2017 through 2020 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2021

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 March 31, 2021 and December 31, 2020, the amount of unreimbursed offering costs incurred by Campbell & Company is $273,758 and $258,084 for Series A units, $95,091 and $94,736 for Series D units and $265,388 and $258,866 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 April 2020, the FASB issued ASU-2020-04, the FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting to provide optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. 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). In November 2020, United States and United Kingdom regulators made announcements planning to cease publication of overnight, one-month, three-month, six-month and one-year LIBOR and IBOR tenors after June 2023. If LIBOR and IBORs prematurely cease to exist, the Trust may need to renegotiate outstanding swaps to replace affected rates with the identified replacement rates. There is currently no definitive information regarding the future discontinuance of LIBORs or IBORs prior to 2023. As such, the potential effect of any such event on our cost of capital and net investment income cannot yet be determined.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2021

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.

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.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2021

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.

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.

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.

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.

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.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2021

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 March 31, 2021. Margin requirements are satisfied by the deposit of cash with NatWest. The Trust typically earns interest income on its assets deposited with NatWest.

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.

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 three months ended March 31, 2021 and 2020, Campbell & Company received redemption fees of $787 and $0, respectively.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2021

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 March 31, 2021 and December 31, 2020. Notional amounts are disclosed as they represent the maximum potential payout, however, management believes that the carrying value of these contracts is a more relevant measure of these obligations. At March 31, 2021 and December 31, 2020, the carrying value of such credit derivative contracts sold was $3,031,341 and $2,611,165, respectively.

	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

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.

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 index 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 index 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.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2021

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 March 31, 2021 and December 31, 2020 is as follows:

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.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2021

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 ended March 31, 2021 and 2020 is as follows:

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.

For the three months ended March 31, 2021 and 2020, the monthly average of futures contracts bought and sold was approximately 57,300 and 59,900, respectively; the monthly average of notional value of centrally cleared swap contracts was approximately $3,362,800,000 and $0, respectively; and the monthly average of notional value of forward currency contracts was $2,297,900,000 and $2,326,700,000, respectively.

Open contracts generally mature within three months; as of March 31, 2021, the latest maturity date for open futures contracts is June 2022 and the latest maturity date for open forward currency contracts is June 2021. 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 June 2026.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2021

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 LLC and Goldman, Sachs & Co., upon occurrence of a default by the Trust, as defined in respective account documents, UBS Securities LLC and Goldman, Sachs & Co. 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 March 31, 2021 and December 31, 2020 was $44,558,888 and $44,874,023, respectively, which equals approximately 16% and 16% of Net Asset Value, respectively. Included in cash deposits with the futures brokers, swaps broker and interbank market maker at March 31, 2021 and December 31, 2020 was restricted cash for margin requirements of $16,665,084 and $27,965,902, respectively, which equals approximately 6% and 10% of Net Asset Value, respectively.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2021

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

Offsetting of Derivative Assets by Counterparty
As of 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.

Derivative Assets and Collateral Received by Counterparty
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

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2021

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

Offsetting of Derivative Assets by Counterparty
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

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2021

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

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.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2021

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.

Note 14. INTERIM FINANCIAL STATEMENTS

The Statements of Financial Condition, including the Condensed Schedules of Investments, as of March 31, 2021 and December 31, 2020, the Statements of Operations and Financial Highlights for the three months ended March 31, 2021 and 2020, and the Statements of Cash Flows and Changes in Unitholders’ Capital (Net Asset Value) for the three months ended March 31, 2021 and 2020 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 March 31, 2021 and December 31, 2020, the results of operations and financial highlights for the three months ended March 31, 2021 and 2020, and cash flows and changes in unitholders’ capital (Net Asset Value) for the three months ended March 31, 2021 and 2020.

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.

Table of Contents

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

Introduction

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

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

As of March 31, 2021, the aggregate capitalization of the Trust was $279,464,072 with Series A, Series B, Series D and Series W comprising $214,095,625 $33,298,346, $5,305,615 and $26,764,486, respectively, of the total. The Net Asset Value per Unit was $2,742.19for Series A, $3,020.01 for Series B, $1,130.11 for Series D and $3,324.45 for Series W.

Critical Accounting Policies

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

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

Capital Resources

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

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

Liquidity

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

Table of Contents

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

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

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

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

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

Off-Balance Sheet Risk

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

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

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

Table of Contents

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

The Trust invests in futures, forward currency, and centrally cleared swap contracts. The market value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of the last business day of the reporting period. The fair value of forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) of the last business day of the reporting period. The fair value of centrally cleared swap contracts is determined by using currency market quotations provided by an independent external pricing source.

Results of Operations

The returns for the three months ended March 31, 2021 and 2020 for Series A were 6.29% and 5.31%, Series B were 6.42% and 5.44%, Series D were 6.62% and 5.64% and Series W were 6.82% and 5.83%, respectively.

2021 (For the Three Months Ended March 31)

Of the 6.29% return for the three months ended March 31, 2021 for Series A, approximately 7.41% was due to trading gains (before commissions) and approximately 0.33% due to investment income, offset by approximately (1.45)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series A.

Of the 6.42% return for the three months ended March 31, 2021 for Series B, approximately 7.41% was due to trading gains (before commissions) and approximately 0.33% due to investment income, offset by approximately (1.32)% due to brokerage fees, management fees, sales commissions and operating costs incurred by Series B.

Of the 6.62% return for the three months ended March 31, 2021 for Series D, approximately 7.41% was due to trading gains (before commissions) and approximately 0.33% due to investment income, offset by approximately (1.12)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series D.

Of the 6.82% return for the three months ended March 31, 2021 for Series W, approximately 7.41% was due to trading gains (before commissions) and approximately 0.33% due to investment income, offset by approximately (0.92)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series W.

During the three months ended March 31, 2021, the Trust accrued management fees in the amount of $1,378,057 and paid management fees in the amount of $1,380,981. During the three months ended March 31, 2021, the Trust accrued sales commissions in the amount of $1,233,221 and paid sales commissions in the amount of $1,239,110. No performance fees were accrued or paid during these periods.

An analysis of the 7.41% gross trading gains for the Trust for the three months ended March 31, 2021 by sector is as follows:

Sector	% Gain (Loss)
Credit		(2.06	)%
Commodities		3.49	%
Foreign Exchange		5.53	%
Interest Rates		(3.48	)%
Equity Indices		3.93	%
		7.41	%

Table of Contents

The Trust showed a decline in January with losses coming from interest rate, foreign exchange (FX), stock index, and credit positions, while commodity holdings produced some partially offsetting gains. Interest rate positions produced the largest losses during the month with declines most pronounced in long-dated instruments. Long positions on US rate markets suffered as the Democrats took control of the Senate which sent yields higher (prices lower) amid increased expectations for a large scale fiscal stimulus package being passed. Long positioning on Australian and Canadian rates also generated losses when prices fell (yields rose). Australian inflation was higher than expected and the Bank of Canada indicated the country would not need as much quantitative easing as initially expected. Foreign exchange trading contributed additional losses during January. The largest FX losses came from long emerging market positions (against the USD), specifically in the Colombian peso and Brazilian real. The Latin American currencies were the top underperformers during the month, sinking on regional spreading of the COVID-19 virus and slow vaccine rollouts in the region. Global stock index trading also added losses to the Trust during the month. Long positioning on many global stock indexes saw gains early in the month, however late month risk aversion erased those gains and ultimately generated losses. Concerns about liquidity induced asset bubbles, retail driven stock volatility in companies with high levels of short interest, and limited vaccine availability and distribution hurdles all contributed to the risk-off sentiment late in the month. In credit trading, short protection positions generated losses as European and US credit spreads widened amid risk-off sentiment, especially within Europe. Commodities generated some partially offsetting gains for the Trust. Long positions on the grain complex profited as strong Chinese demand linked with supply concerns pushed prices to multi-year highs during the month. A long holding on gasoline also added to gains as prices rose driven by fiscal stimulus payments to consumers and hopes for economic reopening on the back of mass COVID-19 vaccinations.

In February, the Trust showed a gain with profits coming from commodity, stock index, foreign exchange, and credit positions, while interest rate holdings produced some partially offsetting losses. Commodities trading produced the largest Trust gains during February. Long holdings on the petroleum complex, specifically on gasoline, Brent, and WTI, generated gains on declining COVID infection trends and a deep freeze in Texas that negatively impacted production. Long positioning on the grains, softs, and industrial metals also proved profitable amid US dollar weakness and strong expected demand from healing world economies. Global stock indexes generated additional profits during the month. Long positioning on many global stock indexes profited as most major equity indexes advanced during the month. Declining COVID infection rates, improving COVID vaccine distribution trends, and expectations for the passage of President Biden’s large US fiscal stimulus package all served as major tailwinds for global stock markets. Foreign exchange trading in the developed markets produced gains for the Trust. A long British pound holding (against short USD) was among the best performers as the GBP benefited from an efficient vaccine roll-out and optimism about the economic recovery in the United Kingdom. Mixed positioning in the FX markets proved beneficial as a short holding on the Japanese yen (versus long the greenback) benefited from the strength in the US markets relative to those in Japan. Interest rate positions produced the largest offsetting losses during the month with declines most pronounced in long-dated instruments. Long positioning on long-dated rate instruments in Australia and Canada led sector losses as note prices in those countries fell sharply (yields rose) during February. Growing global concerns about mounting inflationary pressures sparked by pent-up demand from COVID lockdowns linked with massive monetary and fiscal stimulus sent most global yields sharply higher, depressing bond prices and generating losses for the Trust.

March saw all the Trust’s asset classes produce gains with profits coming from foreign exchange, stock index, commodity, interest rate, and credit positions. Foreign exchange trading in both the developed and emerging markets produced the largest Trust gains during March. A short Japanese yen holding (against long USD) was the best performing FX position as the JPY sank to its lowest level in a year. The move was primarily driven by the stronger greenback as the COVID-19 vaccine rollout and stimulus efforts in the US caused the dollar to strengthen. Short positioning on the Australian and New Zealand dollars (against long USD) was also profitable after the Reserve Bank of Australia (RBA) continued its bond purchase program and following the New Zealand government’s efforts to curb property speculation. Global stock indexes generated additional profits for the Trust. Long positioning on many global stock indexes profited as most major equity indexes advanced during the month. Positive progress with the COVID-19 vaccine rollout along with fiscal and monetary stimulus support continued to underpin the rally in most global equities.

Commodity holdings also produced gains during March. The Trust’s nimble short-term suite of models profitably traded the intra-month volatility within the petroleum complex. A short natural gas position benefited from warmer domestic weather forecasts which led to additional energy sub-sector gains. Long grain positions also produced profits for the Trust as the grain complex advanced sharply into month-end after a USDA report showed planting estimates below market expectations. Interest rate positions contributed small additional profits during the month with gains most notable in long-dated instruments. Long positioning on Australian 3- and 10-year notes produced profits after the RBA doubled down on bond purchases and policymakers expressed concern over the speed of the nation’s economic recovery. Credit trading was also profitable during March as short protection positions generated gains as most US and European credit spreads narrowed amid the risk-on environment.

Table of Contents

2020 (For the Three Months Ended March 31)

Of the 5.31% return for the three months ended March 31, 2020 for Series A, approximately 6.84% was due to trading gains (before commissions), offset by approximately (0.11)% due to investment loss and approximately (1.42)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series A, .

Of the 5.44% return for the three months ended March 31, 2020 for Series B, approximately 6.84% was due to trading gains (before commissions), offset by approximately (0.11)% due to investment loss and approximately (1.29)% due to brokerage fees, management fees and operating costs incurred by Series B.

Of the 5.64% return for the three months ended March 31, 2020 for Series D, approximately 6.84% was due to trading gains (before commissions) and approximately (0.11)% due to investment loss and approximately (1.09)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series D.

Of the 5.83% return for the three months ended March 31, 2020 for Series W, approximately 6.84% was due to trading gains (before commissions), offset by approximately (0.11)% due to investment loss and approximately (0.90)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series W.

During the three months ended March 31, 2020, the Trust accrued management fees in the amount of $3,135,806 and paid management fees in the amount of $3,096,257. No performance fees were accrued or paid during these periods.

An analysis of the 6.84% gross trading gains for the Trust for the three Months Ended March 31, 2020 by sector is as follows:

Sector	% Gain (Loss)
Commodities		6.52	%
Foreign Exchange		8.03	%
Interest Rates		5.83	%
Equity Indices		(13.54	)%
		6.84	%

The Trust had a strong start to 2020 with gains coming from interest rate, commodity, and foreign exchange positions, while stock index holdings provided some partially offsetting losses. Long positioning in Australia, Europe, and the United States benefited as prices advanced on a flight to safety bid sparked by the worsening Wuhan coronavirus outbreak. A short position on the Canadian 10-year note created some partially offsetting losses, which were accelerated by downward pressure on yields prompted by a dovish shift by Bank of Canada policymakers. Commodity holdings produced additional profits for the Trust in January, with the energy sub-sector realizing the best results. Short positioning on natural gas proved profitable as milder weather across the US weighed on demand prospects. Additional gains were generated from short industrial metal holdings. The base metal complex traded weaker as the coronavirus epidemic raised investor concerns about its negative impact on the Chinese economy. Downward price pressure was further intensified by a strong dollar as well as technical selling. In the foreign exchange sector, positive returns were generated in the developed market currencies. Short positions on the Norwegian krone and Australian dollar (against long the US dollar) provided some of the best profits. The commodity-linked currencies came under pressure as commodity prices sold-off on concerns that the worsening coronavirus outbreak would pare Chinese demand for raw materials. A long Brazilian real holding produced some partially offsetting losses after risk fell out of favor and investors sold emerging market currencies. Global stock index trading produced losses for the Trust during January. Long positioning across most global stock indexes profited early in the month amid the ratification of the “phase one” US-China trade deal, renewed central bank balance sheet expansion, Brexit clarity, and some better than expected US earnings releases. However, profits were relinquished in the second-half of the month as stocks traded lower following risk-off trading as the coronavirus outbreak intensified.

Table of Contents

Gains from interest rate, foreign exchange, and commodity positions led to a profitable February for the Trust, while stock index holdings produced some partially offsetting losses. Long positioning in Australia and the United States continued to benefit as prices advanced on flight to safety buying sparked by the worsening COVID-19 coronavirus epidemic. Investors aggressively sought the safety of fixed income instruments, sending global yields tumbling and expectations for further central bank stimulus soaring. In the foreign exchange sector, positive returns were generated in the developed and emerging market currencies. Short positions on the Australian dollar and Norwegian krone (against long the US dollar) provided some of the best profits for the sector. These commodity-linked currencies came under renewed selling pressure during February. The widening spread of COVID-19 to countries outside of China, such as Japan, South Korea, and Italy, sparked new concerns that global economic growth would slow materially, thus blunting the demand for raw materials. Short positioning on the industrial metal, energy, and meat complexes profited from a decline in prices. The expanding COVID-19 outbreak is widely expected to negatively impact demand for base metal, petroleum, and beef products. Downward price pressure was further intensified by a strong US dollar as well as technical selling. Global stock index trading produced losses for the Trust during February with the greatest declines seen in Australia, Japan, and the United States. Long positioning across most global stock indexes generally profited during the first two-thirds of the month. However, late in February global stock indexes experienced steep sell-offs sparked by the coronavirus’s quick spread to countries outside of China where it initially began. World economic growth fears and supply chain disruption concerns spread rapidly, sending most global stock indexes sharply lower.

The Trust had an unprofitable March, with losses coming from stock index and interest rate holdings, while foreign exchange and commodity positions contributed some partially offsetting gains during the month. Global stock index trading produced the largest losses for the Trust, with the greatest declines seen in the United States, Australia, and Canada. Long positioning across most global stock indexes suffered severely as equity indexes experienced very sharp sell-offs during the month. The COVID-19 virus spread quickly throughout Europe and North America prompting draconian containment measures in the form of “stay at home” directives, closures, and shutdowns that sharply curtailed economic activity. Global central banks and governments took unprecedented steps in an effort to soften the financial impact from the virus, but fear over the length and depth of the growth slowdown sent risky assets sharply lower. Interest rate positions from long-dated instruments contributed small additional losses during the month. Short positioning on US 10-year notes and US long bonds suffered amid the flight-to-safety scramble that ensued due to the severe economic upheaval wrought by the COVID-19 virus. Long positioning across global short-dated instruments helped to partially offset losses within the sector. Profits were dominated by short positions on the commodity currencies (versus long the USD), specifically in the Norwegian krone. The US dollar was sharply higher during the month amid the extreme flight-to-quality moves. Adding further downward pressure on oil-linked currencies, the petroleum markets sold off severely when tensions escalated between OPEC and Russia, and Saudi Arabia made the decision to ramp up production. Commodity holdings produced additional profits for the Trust during the month. Short positioning on the industrial metal, energy, and meat complexes profited from a decline in prices. The expanding COVID-19 pandemic is widely expected to negatively impact demand for base metal, petroleum, and beef products. Downward price pressure was further intensified by a strong US dollar as well as technical selling.

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Introduction

Past Results Not Necessarily Indicative of Future Performance

The Trust is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or a substantial amount of the Trust’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Trust’s main line of business.

Market movements result in frequent changes in the fair market value of the Trust’s open positions and, consequently, in its earnings and cash flow. The Trust’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Trust’s open positions and the liquidity of the markets in which it trades.

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

Table of Contents

Standard of Materiality

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

Quantifying the Trust’s Trading Value at Risk

Quantitative Forward-Looking Statements

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

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

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

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

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

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

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

Table of Contents

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

The following tables indicate the trading Value at Risk associated with the Trust’s open positions by market category as of March 31, 2021 and December 31, 2020 and the trading gains/losses by market category for the three months ended March 31, 2021 and the year ended December 31, 2020.

	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	%

**	Represents the gross trading for the Trust for the year ended December 31, 2020.

Table of Contents

Of the 0.46% return for the year ended December 31, 2020 for Series A, approximately 5.03% was due to trading gains (before commissions) and approximately 1.10% due to investment income, offset by approximately (5.67)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series A.

Of the 0.97% return for year ended December 31, 2020 for Series B, approximately 5.03% was due to trading gains (before commissions) and approximately 1.10% due to investment income, offset by approximately (5.16)% due to brokerage fees, management fees, sales commissions, and operating costs borne by Series B.

Of the 1.73% return for the year ended December 31, 2020 for Series D, approximately 5.03% was due to trading gains (before commissions) and approximately 1.10% due to investment income, offset by approximately (4.40)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series D.

Of the 2.50% return for the year ended December 31, 2020 for Series W, approximately 5.03% was due to trading gains (before commissions) and approximately 1.10% due to investment income, offset by approximately (3.63)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series W.

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

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

1)	Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;

2)	Changes in portfolio value caused by market movements may differ from those of the VaR model;

3)	VaR results reflect past trading positions while future risk depends on future positions;

4)	VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and

5)	The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.

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

Non-Trading Risk

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

Qualitative Disclosures Regarding Primary Trading Risk Exposures

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

Table of Contents

The following represent the primary trading risk exposures of the Trust as of March 31, 2021 by market sector.

Foreign Exchange

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

Interest Rates

Interest rate movements directly affect the price of the sovereign bond positions and interest rate swap contracts held by the Trust and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Trust’s profitability. Campbell & Company does not anticipate that the risk profile of the Trust’s interest rate sector will change significantly in the future.

Equity Indices

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

Credit

The Trust’s primary credit exposure is through fluctuations in the credit worthiness of a particular reference entity, basket of reference entities, or an index.

Energy

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

Metals

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

Agricultural

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

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Trust as of March 31, 2021.

Foreign Currency Balances

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

Table of Contents

Fixed Income Securities and Short Term Investments

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

U.S. Treasury Bill Positions Held for Margin Purposes

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

The means by which the Trust and Campbell & Company, severally, attempt to manage the risk of the Trust’s open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses.

General

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

The Fund has continued to operate as normal during the COVID-19 pandemic. The Fund had access to and the ability to trade in approved markets. There were no disruptions in the Fund’s accounting processes, transfer agent processes or cash processes, including the ability to pay redemptions and meet margin requirements.

The future impact of COVID-19 on the financial performance of the Fund’s investments will depend on future developments, including the effectiveness of vaccines and the public’s willingness to get vaccinated as new strains of the virus emerge, along with any related advisories and restrictions. These developments and the lasting impact of COVID-19 on the financial markets and the overall economy are highly uncertain and cannot be predicted. If the financial markets and/or the overall economy are impacted for an extended period, the Fund’s ability to trade and investment results may be materially affected.

Item 4. Controls and Procedures.

Campbell & Company, the managing operator of the Trust, with the participation of the managing operator’s chief executive officer and chief operating officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in the Securities Exchange Act of 1934 Rules 13a-15(e) or 15d-15(e)) with respect to the Trust as of the end of the period covered by this quarterly report. Based on their evaluation, the chief executive officer and chief operating officer have concluded that these disclosure controls and procedures are effective. There were no changes in the managing operator’s internal control over financial reporting applicable to the Trust identified in connection with the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or 15d-15 that occurred during the last fiscal quarter that have materially affected, or is reasonably likely to materially affect, internal control over financial reporting applicable to the Trust.

Table of Contents

PART II-OTHER INFORMATION

Item 1. Legal Proceedings.

None

Item 1A. Risk Factors.

There are no material changes from the risk factors as previously disclosed in Form 10-K, filed March 26, 2021.

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

None

Item 3. Defaults Upon Senior Securities.

Not applicable.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None

Table of Contents

Item 6. Exhibits.

Exhibit Number		Description of Document

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

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

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

10.02		Global Institutional Master Custody Agreement ⁽²⁾

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

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

31.02		Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.

32.01		Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

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

101.01		Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments 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.

Table of Contents

EXHIBIT INDEX

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

31.02		Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.

32.01		Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

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

101.01

Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments 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.

Table of Contents

SIGNATURES

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

	THE CAMPBELL FUND TRUST (Registrant)

	By:	Campbell & Company, LP
		Managing Operator

Date: May 14, 2021	By:	/s/ G. William Andrews
		G. William Andrews
		Chief Executive Officer