Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
|
Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
|
|
|
|
(State of Organization)
|
(IRS Employer Identification Number)
|
|
||
|
||
(Address of principal executive offices, including zip code)
|
||
(
|
||
(Registrant’s telephone number, including area code)
|
Title of each class
|
Trading Symbol(s)
|
Name of each exchange on which registered
|
||
Not applicable.
|
Not applicable.
|
Not applicable.
|
Large accelerated filer ☐
|
Accelerated filer ☐
|
|
Smaller reporting company
|
Emerging growth company
|
Page
|
|||
PART I — FINANCIAL INFORMATION
|
|||
Item 1.
|
Financial Statements.
|
||
1-6
|
|||
7 |
|||
8 |
|||
9 |
|||
Statements of Changes in Unitholders’ Capital (Net Asset Value) for the Three
Months Ended March 31, 2024 and 2023 (Unaudited)
|
10-11
|
||
12-15
|
|||
16-30
|
|||
Item 2.
|
31-36
|
||
Item 3.
|
36-41
|
||
Item 4.
|
41
|
||
Item 1.
|
42
|
||
Item 1A.
|
42
|
||
Item 2.
|
42
|
||
Item 3.
|
42
|
||
Item 4.
|
42
|
||
Item 5.
|
42
|
||
Item 6.
|
43-44
|
||
45
|
Maturity |
Fair
|
% of Net
|
|||||||||
Face Value |
Description | Value ($) | Asset Value | ||||||||
Asset Backed Securities
|
|||||||||||
United States
|
|||||||||||
Auto Loans
|
$
|
|
|
%
|
|||||||
Equipment Loans
|
|
|
%
|
||||||||
Total Asset Backed Securities (cost $
|
|
|
%
|
||||||||
Bank Deposits
|
|||||||||||
France
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Singapore
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United States
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Total Bank Deposits (cost $
|
|
|
%
|
||||||||
Commercial Paper
|
|||||||||||
Canada
|
|||||||||||
Materials (cost $
|
|
|
%
|
||||||||
France
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Ireland
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
|
|
%
|
||||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Financials
|
|
|
%
|
||||||||
Health Care
|
|
|
%
|
||||||||
Industrials
|
|
|
%
|
||||||||
Real Estate
|
|
|
%
|
||||||||
Technology
|
|
|
%
|
||||||||
Utilities
|
|
|
%
|
||||||||
Total United States (cost $
|
|
|
%
|
||||||||
Total Commercial Paper (cost $
|
|
|
%
|
||||||||
Corporate Bonds
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Canada
|
|||||||||||
Energy
|
|
|
%
|
||||||||
Financials
|
|
|
%
|
||||||||
Total Canada (cost $
|
|
|
%
|
||||||||
Germany
|
|||||||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Industrials
|
|
|
%
|
||||||||
Total Germany (cost $
|
|
|
%
|
||||||||
Japan
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Netherlands
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Spain
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Switzerland
|
|||||||||||
Financials (cost $
|
$
|
|
|
%
|
Maturity
|
Fair
|
% of Net
|
|||||||||
Face Value
|
Description
|
Value ($)
|
Asset Value
|
||||||||
Corporate Bonds (continued)
|
|||||||||||
United States
|
|||||||||||
Consumer Discretionary
|
$
|
|
|
%
|
|||||||
Consumer Staples
|
|
|
%
|
||||||||
Financials
|
|
|
%
|
||||||||
Health Care
|
|
|
%
|
||||||||
Industrials
|
|
|
%
|
||||||||
Materials
|
|
|
%
|
||||||||
Real Estate
|
|
|
%
|
||||||||
Technology
|
|
|
%
|
||||||||
Utilities
|
|
|
%
|
||||||||
Total United States (cost $
|
|
|
%
|
||||||||
Total Corporate Bonds (cost $
|
|
|
%
|
||||||||
Government and Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
Total Government And Agency Obligations (cost $
|
|
|
%
|
||||||||
|
|||||||||||
Total Fixed Income Securities (cost $
|
$
|
|
|
%
|
(1)
|
Pledged as collateral for the trading of futures positions.
|
(2)
|
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $
|
$
|
|
|
%
|
||||
Total Short Term Investments (cost $
|
$
|
|
|
%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Agriculture
|
$
|
|
|
%
|
||||
Energy
|
|
|
%
|
|||||
Metals
|
|
|
%
|
|||||
Stock indices
|
|
|
%
|
|||||
Short-term interest rates
|
(
|
)
|
(
|
)%
|
||||
Long-term interest rates
|
|
|
%
|
|||||
Net unrealized gain (loss) on long futures contracts
|
|
|
%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Agriculture
|
(
|
)
|
(
|
)%
|
||||
Energy
|
|
|
%
|
|||||
Metals
|
(
|
)
|
(
|
)%
|
||||
Stock indices
|
(
|
)
|
(
|
)%
|
||||
Short-term interest rates
|
|
|
%
|
|||||
Long-term interest rates
|
(
|
)
|
(
|
)%
|
||||
Net unrealized gain (loss) on short futures contracts
|
(
|
)
|
(
|
)%
|
||||
Net unrealized gain (loss) on open futures contracts
|
$
|
|
|
%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Various long forward currency contracts
|
$
|
(
|
)
|
(
|
)%
|
|||
Various short forward currency contracts
|
|
|
%
|
|||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
|
|
%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Centrally cleared credit default index swaps - sell protection (net cost $
|
$
|
|
|
%
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Centrally cleared interest rate swaps - pay fixed (net cost $
|
$
|
(
|
)
|
(
|
)%
|
(3)
|
|
(4)
|
|
Maturity |
|
Fair | % of Net | ||||||||
Face Value |
Description
|
Value ($) | Asset Value | ||||||||
Asset Backed Securities
|
|||||||||||
United States
|
|||||||||||
Auto Loans
|
$
|
|
|
%
|
|||||||
Equipment Loans
|
|
|
%
|
||||||||
Total Asset Backed Securities (cost $
|
|
|
%
|
||||||||
Bank Deposits
|
|||||||||||
France
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United States
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Total Bank Deposits (cost $
|
|
|
%
|
||||||||
Commercial Paper
|
|||||||||||
Canada
|
|||||||||||
Materials (cost $
|
|
|
%
|
||||||||
United Kingdom
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
United States
|
|||||||||||
Communications
|
|
|
%
|
||||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Financials
|
|
|
%
|
||||||||
Health Care
|
|
|
%
|
||||||||
Real Estate
|
|
|
%
|
||||||||
Utilities
|
|
|
%
|
||||||||
Total United States (cost $
|
|
|
%
|
||||||||
Total Commercial Paper (cost $
|
|
|
%
|
||||||||
Corporate Bonds
|
|||||||||||
Australia
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Canada
|
|||||||||||
Energy
|
|
|
%
|
||||||||
Financials
|
|
|
%
|
||||||||
Total Canada (cost $
|
|
|
%
|
||||||||
Germany
|
|||||||||||
Consumer Discretionary
|
|
|
%
|
||||||||
Industrials
|
|
|
%
|
||||||||
Total Germany (cost $
|
|
|
%
|
||||||||
Japan
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Netherlands
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Spain
|
|||||||||||
Financials (cost $
|
|
|
%
|
||||||||
Switzerland
|
|||||||||||
Financials (cost $
|
$
|
|
|
%
|
Maturity
|
Fair
|
% of Net
|
|||||||||
Face Value
|
Description
|
Value ($)
|
Asset Value
|
||||||||
Corporate Bonds (continued)
|
|||||||||||
United States
|
|||||||||||
Consumer Discretionary
|
$
|
|
|
%
|
|||||||
Consumer Staples
|
|
|
%
|
||||||||
Energy
|
|
|
%
|
||||||||
Financials
|
|
|
%
|
||||||||
Health Care
|
|
|
%
|
||||||||
Industrials
|
|
|
%
|
||||||||
Materials
|
|
|
%
|
||||||||
Real Estate
|
|
|
%
|
||||||||
Technology
|
|
|
%
|
||||||||
Utilities
|
|
|
%
|
||||||||
Total United States (cost $
|
|
|
%
|
||||||||
Total Corporate Bonds (cost $
|
|
|
%
|
||||||||
Government and Agency Obligations
|
|||||||||||
United States
|
|||||||||||
U.S. Treasury Bills
|
|||||||||||
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
$
|
|
U.S. Treasury Bills Due
|
|
|
%
|
||||||
Total Government And Agency Obligations (cost $
|
|
|
%
|
||||||||
Total Fixed Income Securities (cost $
|
$
|
|
|
%
|
(1)
|
|
(2)
|
|
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Money Market Funds
|
||||||||
United States
|
||||||||
Money Market Funds (cost $
|
$
|
|
|
%
|
||||
Total Short Term Investments (cost $
|
$
|
|
|
%
|
LONG FUTURES CONTRACTS
|
||||||||
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Agriculture
|
$
|
(
|
)
|
(
|
)%
|
|||
Energy
|
(
|
)
|
(
|
)%
|
||||
Metals
|
|
|
%
|
|||||
Stock indices
|
|
|
%
|
|||||
Short-term interest rates
|
|
|
%
|
|||||
Long-term interest rates
|
|
|
%
|
|||||
Net unrealized gain (loss) on long futures contracts
|
|
|
%
|
SHORT FUTURES CONTRACTS
|
||||||||
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Agriculture
|
(
|
)
|
(
|
)%
|
||||
Energy
|
(
|
)
|
(
|
)%
|
||||
Metals
|
(
|
)
|
(
|
)%
|
||||
Stock indices
|
(
|
)
|
(
|
)%
|
||||
Short-term interest rates
|
(
|
)
|
(
|
)%
|
||||
Long-term interest rates
|
(
|
)
|
(
|
)%
|
||||
Net unrealized gain (loss) on short futures contracts
|
(
|
)
|
(
|
)%
|
||||
Net unrealized gain (loss) on open futures contracts
|
$
|
(
|
)
|
(
|
)%
|
FORWARD CURRENCY CONTRACTS
|
||||||||
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Various long forward currency contracts
|
$
|
|
|
%
|
||||
Various short forward currency contracts
|
(
|
)
|
(
|
)%
|
||||
Net unrealized gain (loss) on open forward currency contracts
|
$
|
(
|
)
|
(
|
)%
|
CREDIT DEFAULT INDEX SWAPS
|
||||||||
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Centrally cleared credit default index swaps - sell protection (net cost $
|
$
|
|
|
%
|
INTEREST RATE SWAPS
|
||||||||
Fair
|
% of Net
|
|||||||
Description
|
Value ($)
|
Asset Value
|
||||||
Centrally cleared interest rate swaps - pay fixed (net proceeds $
|
$
|
(
|
)
|
|
%
|
(3)
|
|
(4)
|
|
March 31, 2024
|
December 31, 2023
|
|||||||
ASSETS
|
||||||||
Equity in futures brokers trading accounts
|
||||||||
Cash
|
$
|
|
$
|
|
||||
Restricted cash
|
||||||||
Fixed income securities (cost $
|
|
|
||||||
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|||||
Total equity in futures brokers trading accounts
|
|
|
||||||
Cash and cash equivalents
|
|
|
||||||
Cash at interbank market maker
|
|
|
||||||
Restricted cash at interbank market maker
|
|
|
||||||
Short term investments (cost $
|
|
|
||||||
Cash at swaps broker
|
|
|
||||||
Restricted cash at swaps broker
|
|
|
||||||
Fixed income securities (cost $
|
|
|
||||||
Due from swaps broker
|
|
|
||||||
Net unrealized gain on open forward currency contracts
|
|
|
||||||
Interest receivable
|
|
|
||||||
Subscriptions receivable | ||||||||
Total assets
|
$
|
|
$
|
|
||||
LIABILITIES
|
||||||||
Redemptions payable
|
$
|
|
$
|
|
||||
Management fee payable
|
|
|
||||||
Sales commission payable
|
|
|
||||||
Accounts payable
|
||||||||
Net unrealized loss on open forward currency contracts
|
||||||||
Credit default index swaps
|
|
|
||||||
Offering costs payable
|
|
|
||||||
Interest rate swaps
|
|
|
||||||
Accrued commissions and other trading fees on open contracts |
|
|
||||||
Total liabilities
|
|
|
||||||
UNITHOLDERS’ CAPITAL (Net Asset Value)
|
||||||||
Series A Units - Redeemable
|
||||||||
Other Unitholders -
|
|
|
||||||
Series B Units – Redeemable
|
||||||||
Other Unitholders -
|
|
|
||||||
Series D Units – Redeemable
|
||||||||
Other Unitholders -
|
|
|
||||||
Series W Units – Redeemable
|
||||||||
Other Unitholders -
|
|
|
||||||
Total unitholders’ capital (Net Asset Value)
|
|
|
||||||
Total liabilities and unitholders’ capital (Net Asset Value)
|
$
|
|
$
|
|
Three Months Ended March 31,
|
||||||||
2024
|
2023
|
|||||||
TRADING GAINS (LOSSES)
|
||||||||
Futures trading gains (losses)
|
||||||||
Realized
|
$ | $ | ( |
) | ||||
Change in unrealized
|
||||||||
Brokerage commissions
|
( |
) | ( |
) | ||||
Net gain (loss) from futures trading
|
||||||||
Forward currency trading gains (losses)
|
||||||||
Realized
|
( |
) | ||||||
Change in unrealized
|
( |
) | ||||||
Brokerage commissions
|
( |
) | ( |
) | ||||
Net gain (loss) from forward currency trading
|
( |
) | ||||||
Swap trading gains (losses)
|
||||||||
Realized
|
||||||||
Change in unrealized
|
( |
) | ( |
) | ||||
Net gain (loss) from swap trading
|
( |
) | ||||||
Total net trading gain (loss)
|
||||||||
NET INVESTMENT INCOME (LOSS)
|
||||||||
Investment income
|
||||||||
Interest income
|
||||||||
Realized gain (loss) on fixed income securities
|
( |
) | ||||||
Change in unrealized gain (loss) on fixed income securities
|
( |
) | ||||||
Total investment income (loss)
|
||||||||
Expenses
|
||||||||
Management fee
|
||||||||
Performance fee | ||||||||
Operating expenses
|
||||||||
Sales commission
|
||||||||
Total expenses
|
||||||||
Net investment income (loss)
|
||||||||
NET INCOME (LOSS)
|
$ | $ | ||||||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
|
||||||||
(based on weighted average number of units outstanding during the period)
|
||||||||
Series A
|
$ | $ | ||||||
Series B
|
$ | $ | ||||||
Series D
|
$ | $ | ||||||
Series W
|
$ | $ | ||||||
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
|
||||||||
Series A
|
$ | $ | ||||||
Series B
|
$ |
$
|
|
|||||
Series D
|
$ |
$
|
|
|||||
Series W
|
$ | $ | ||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
|
||||||||
Series A
|
|
|||||||
Series B
|
|
|||||||
Series D
|
|
|||||||
Series W
|
|
Three Months Ended March 31,
|
||||||||
2024
|
2023
|
|||||||
Cash flows from (for) operating activities
|
||||||||
Net income (loss)
|
$
|
|
$
|
|
||||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
|
||||||||
Net change in unrealized on futures, forwards, swaps and investments
|
(
|
)
|
(
|
)
|
||||
(Increase) decrease in interest receivable
|
(
|
)
|
(
|
)
|
||||
(Increase) decrease in due from swaps broker
|
(
|
)
|
(
|
)
|
||||
(Increase) decrease in cash deficit at swaps broker |
||||||||
Increase (decrease) in accounts payable and accrued expenses
|
|
|
||||||
Net purchases from swap broker
|
(
|
)
|
(
|
)
|
||||
Purchases of investments
|
(
|
)
|
(
|
)
|
||||
Sales/maturities of investments
|
|
|
||||||
Net cash from (for) operating activities
|
|
|
||||||
Cash flows from (for) financing activities
|
||||||||
Addition of units
|
|
|
||||||
Redemption of units
|
(
|
)
|
(
|
)
|
||||
Offering costs paid
|
(
|
)
|
(
|
)
|
||||
Net cash from (for) financing activities
|
|
|
||||||
Net increase (decrease) in cash, cash equivalents and restricted cash
|
|
|
||||||
Cash, cash equivalents and restricted cash at beginning of period
|
|
|
||||||
Cash, cash equivalents and restricted cash at end of period
|
$
|
|
$
|
|
March 31, 2024
|
December 31, 2023
|
|||||||
Cash, cash equivalents and restricted cash at end of period consists of:
|
||||||||
Equity in futures brokers trading accounts:
|
||||||||
Cash
|
$
|
|
$
|
|
||||
Restricted cash
|
||||||||
Cash and cash equivalents
|
|
|
||||||
Cash at interbank market maker
|
|
|
||||||
Restricted cash at interbank market maker
|
|
|
||||||
Cash at swaps broker
|
|
|
||||||
Restricted cash at swaps broker
|
|
|
||||||
Total cash, cash equivalents and restricted cash at end of period
|
$
|
|
$
|
|
Series A - Other Unitholders
|
Series B - Other Unitholders
|
|||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
|||||||||||||
Three Months Ended March 31, 2024
|
||||||||||||||||
Balances at December 31, 2023
|
|
$
|
|
|
$
|
|
||||||||||
Net income (loss) for the three months ended March 31, 2024
|
|
|
||||||||||||||
Additions
|
|
|
|
|
||||||||||||
Redemptions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Offering costs
|
(
|
)
|
|
|||||||||||||
Balances at March 31, 2024
|
|
$
|
|
|
$
|
|
||||||||||
Three Months Ended March 31, 2023
|
||||||||||||||||
Balances at December 31, 2022
|
|
$
|
|
|
$
|
|
||||||||||
Net income (loss) for the three months ended March 31, 2023
|
|
|
||||||||||||||
Additions
|
|
|
|
|
||||||||||||
Redemptions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||
Offering costs
|
(
|
)
|
|
|||||||||||||
Balances at March 31, 2023
|
|
$
|
|
|
$
|
|
March 31, 2024
|
December 31, 2023
|
March 31, 2023
|
December 31, 2022
|
|||||||||||
$
|
|
$
|
|
$
|
|
$
|
|
March 31, 2024
|
December 31, 2023
|
March 31, 2023
|
December 31, 2022
|
|||||||||||
$
|
|
$
|
|
$
|
|
$
|
|
Series D - Other Unitholders
|
Series W - Other Unitholders
|
Trust
|
||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Total Amount
|
||||||||||||||||
Three Months Ended March 31, 2024
|
||||||||||||||||||||
Balances at December 31, 2023
|
|
$
|
|
|
$
|
|
$
|
|
||||||||||||
Net income (loss) for the three months ended March 31, 2024
|
|
|
|
|||||||||||||||||
Additions
|
|
|
|
|
|
|||||||||||||||
Redemptions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||
Offering costs
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
Balances at March 31, 2024
|
|
$
|
|
|
$
|
|
$
|
|
||||||||||||
Three Months Ended March 31, 2023
|
||||||||||||||||||||
Balances at December 31, 2022
|
|
$
|
|
|
$
|
|
$
|
|
||||||||||||
Net income (loss) for the three months ended March 31, 2023
|
|
|
|
|||||||||||||||||
Additions
|
|
|
|
|
|
|||||||||||||||
Redemptions
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||
Offering costs
|
(
|
)
|
(
|
)
|
(
|
)
|
||||||||||||||
Balances at March 31, 2023
|
|
$
|
|
|
$
|
|
$
|
|
March 31, 2024
|
December 31, 2023
|
March 31, 2023
|
December 31, 2022
|
|||||||||||
$
|
|
$
|
|
$
|
|
$
|
|
March 31, 2024
|
December 31, 2023
|
March 31, 2023
|
December 31, 2022
|
|||||||||||
$
|
|
$
|
|
$
|
|
$
|
|
Series A
|
||||||||
Three Months Ended March 31,
|
||||||||
2024
|
2023
|
|||||||
Per Unit Performance
|
||||||||
(for a unit outstanding throughout the entire period)
|
||||||||
Net asset value per unit at beginning of period
|
$
|
|
$
|
|
||||
Income (loss) from operations:
|
||||||||
Total net trading gains (losses) (1)
|
|
|
||||||
Net investment income (loss) (1)
|
|
|
||||||
Total net income (loss) from operations
|
|
|
||||||
Offering costs (1)
|
(
|
)
|
(
|
)
|
||||
Net asset value per unit at end of period
|
$
|
|
$
|
|
||||
Total Return (4)
|
|
%
|
|
%
|
||||
Supplemental Data
|
||||||||
Ratios to average net asset value:
|
||||||||
Expenses prior to performance fee (3)
|
|
%
|
|
%
|
||||
Performance fee (4)
|
|
%
|
|
%
|
||||
Total expenses
|
|
%
|
|
%
|
||||
Net investment income (loss) (2),(3)
|
|
%
|
|
%
|
(1) |
|
(2) |
|
(3) |
|
(4) |
|
Series B
|
||||||||
Three Months Ended March 31,
|
||||||||
2024
|
2023
|
|||||||
Per Unit Performance
|
||||||||
(for a unit outstanding throughout the entire period)
|
||||||||
Net asset value per unit at beginning of period
|
$
|
|
$
|
|
||||
Income (loss) from operations:
|
||||||||
Total net trading gains (losses) (1)
|
|
|
||||||
Net investment income (loss) (1)
|
|
|
||||||
Total net income (loss) from operations
|
|
|
||||||
Net asset value per unit at end of period
|
$
|
|
$
|
|
||||
Total Return (4)
|
|
%
|
|
%
|
||||
Supplemental Data
|
||||||||
Ratios to average net asset value:
|
||||||||
Expenses prior to performance fee (3)
|
|
%
|
|
%
|
||||
Performance fee (4)
|
|
%
|
|
%
|
||||
Total expenses
|
|
%
|
|
%
|
||||
Net investment income (loss) (2),(3)
|
|
%
|
|
%
|
(1) |
|
(2) |
Excludes performance fee.
|
(3) |
Annualized.
|
(4) |
Not annualized.
|
Series D
|
||||||||
Three Months Ended March 31,
|
||||||||
2024
|
2023
|
|||||||
Per Unit Performance
|
||||||||
(for a unit outstanding throughout the entire period)
|
||||||||
Net asset value per unit at beginning of period
|
$
|
|
$
|
|
||||
Income (loss) from operations:
|
||||||||
Total net trading gains (losses) (1)
|
|
|
||||||
Net investment income (loss) (1)
|
|
|
||||||
Total net income (loss) from operations
|
|
|
||||||
Offering costs (1)
|
(
|
)
|
(
|
)
|
||||
Net asset value per unit at end of period
|
$
|
|
$
|
|
||||
Total Return (4)
|
|
%
|
|
%
|
||||
Supplemental Data
|
||||||||
Ratios to average net asset value:
|
||||||||
Expenses prior to performance fee (3)
|
|
%
|
|
%
|
||||
Performance fee (4)
|
|
%
|
|
%
|
||||
Total expenses
|
|
%
|
|
%
|
||||
Net investment income (loss) (2),(3)
|
|
%
|
|
%
|
(1) |
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period.
Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
|
(2) |
Excludes performance fee.
|
(3) |
Annualized.
|
(4) |
Not annualized.
|
Series W
|
||||||||
Three Months Ended March 31,
|
||||||||
2024
|
2023
|
|||||||
Per Unit Performance
|
||||||||
(for a unit outstanding throughout the entire period)
|
||||||||
Net asset value per unit at beginning of period
|
$
|
|
$
|
|
||||
Income (loss) from operations:
|
||||||||
Total net trading gains (losses) (1)
|
|
|
||||||
Net investment income (loss) (1)
|
|
|
||||||
Total net income (loss) from operations
|
|
|
||||||
Offering costs (1)
|
(
|
)
|
(
|
)
|
||||
Net asset value per unit at end of period
|
$
|
|
$
|
|
||||
Total Return (4)
|
|
%
|
|
%
|
||||
Supplemental Data
|
||||||||
Ratios to average net asset value:
|
||||||||
Expenses prior to performance fee (3)
|
|
%
|
|
%
|
||||
Performance fee (4)
|
|
%
|
|
%
|
||||
Total expenses
|
|
%
|
|
%
|
||||
Net investment income (loss) (2),(3)
|
|
%
|
|
%
|
(1) |
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period.
Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
|
(2) |
Excludes performance fee.
|
(3) |
Annualized.
|
(4) |
Not annualized.
|
Fair Value at March 31, 2024
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Fixed income securities
|
|
|
|
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
|
|
|
|
||||||||||||
Forward currency contracts
|
|
|
|
|
||||||||||||
Credit default index swap contracts
|
|
|
|
|
||||||||||||
Interest rate swap contracts | ( |
) | ( |
) | ||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
Fair Value at December 31, 2023
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Short term investments
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Fixed income securities
|
|
|
|
|
||||||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
(
|
)
|
|
|
(
|
)
|
||||||||||
Forward currency contracts
|
|
(
|
)
|
|
(
|
)
|
||||||||||
Credit default index swap contracts
|
|
|
|
|
||||||||||||
Interest rate swap contracts | ( |
) | ( |
) | ||||||||||||
Total
|
$
|
(
|
)
|
$
|
|
$
|
|
$
|
|
March 31, 2024
|
December 31, 2023
|
||||||||
Credit Default Index Swaps
|
Maturity Date:
|
Maturity Date:
|
|||||||
Investment grade
|
$
|
|
$
|
|
|||||
Non-investment grade
|
|
|
|
|
|||||
Total
|
$
|
|
$
|
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
March 31, 2024
Fair Value
|
Liability
Derivatives at
March 31, 2024
Fair Value
|
Net
|
|||||||||
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
|
$
|
(
|
)
|
$
|
(
|
)
|
||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
|||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
|||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
|
(
|
)
|
|
||||||||
Credit Default Index Swap Contracts**
|
Credit default index swaps
|
|
(
|
)
|
|
||||||||
Interest Rate Swap Contracts**
|
Interest rate swaps
|
|
(
|
)
|
(
|
)
|
|||||||
Totals
|
|
$
|
|
$
|
(
|
)
|
$
|
|
*
|
Derivatives not designated as hedging instruments under ASC 815
|
**
|
|
Type of Instrument *
|
Statements of Financial Condition Location
|
Asset
Derivatives at
December 31, 2023
Fair Value
|
Liability
Derivatives at
December 31, 2023
Fair Value
|
Net
|
|||||||||
Agriculture Contracts
|
Net unrealized gain (loss) on open futures contracts
|
$
|
|
$
|
(
|
)
|
$
|
(
|
)
|
||||
Energy Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
|||||||
Metal Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
|||||||
Stock Indices Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
|
||||||||
Short-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
|||||||
Long-Term Interest Rate Contracts
|
Net unrealized gain (loss) on open futures contracts
|
|
(
|
)
|
(
|
)
|
|||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
|
(
|
)
|
(
|
)
|
|||||||
Credit Default Index Swap Contracts**
|
Credit default index swaps
|
|
(
|
)
|
|
||||||||
Interest Rate Swap Contracts** | Interest rate swaps | ( |
) | ( |
) | ||||||||
Totals
|
|
$
|
|
$
|
(
|
)
|
$
|
(
|
)
|
*
|
Derivatives not designated as hedging instruments under ASC 815
|
**
|
Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the
statements of financial condition.
|
Type of Instrument
|
Trading Gains (Losses)
for the Three Months Ended
March 31, 2024
|
Trading Gains (Losses)
for the Three Months Ended
March 31, 2023
|
||||||
Agriculture Contracts
|
$
|
(
|
)
|
$
|
(
|
)
|
||
Energy Contracts
|
(
|
)
|
|
|||||
Metal Contracts
|
(
|
)
|
|
|||||
Stock Indices Contracts
|
|
|
||||||
Short-Term Interest Rate Contracts
|
|
|
||||||
Long-Term Interest Rate Contracts
|
(
|
)
|
|
|||||
Forward Currency Contracts
|
(
|
)
|
|
|||||
Credit default index swap contracts
|
|
(
|
)
|
|||||
Interest rate swap contracts
|
|
(
|
)
|
|||||
Total
|
$
|
|
$
|
|
Line Item in the Statements of Operations
|
Trading Gains (Losses)
for the Three Months Ended
March 31, 2024
|
Trading Gains (Losses)
for the Three Months Ended
March 31, 2023
|
||||||
Futures trading gains (losses):
|
||||||||
Realized***
|
$
|
|
$
|
(
|
)
|
|||
Change in unrealized
|
|
|
||||||
Forward currency trading gains (losses):
|
||||||||
Realized***
|
(
|
)
|
|
|||||
Change in unrealized
|
|
(
|
)
|
|||||
Swap trading gains (losses):
|
||||||||
Realized***
|
|
|
||||||
Change in unrealized
|
(
|
)
|
(
|
)
|
||||
Total
|
$
|
|
$
|
|
***
|
|
Offsetting of Derivative Assets by Counterparty | |||||||||||||
As of March 31, 2024
|
|
||||||||||||
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
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
Futures contracts
|
Goldman, Sachs & Co.
|
|
(
|
)
|
|
||||||||
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
||||||||
Centrally cleared swap contracts*
|
Centrally Cleared
|
|
(
|
)
|
|
||||||||
Total derivatives
|
|
$
|
|
$
|
(
|
)
|
$
|
|
*
|
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, 2024
|
||||||||||||||||
|
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
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Goldman Sachs & Co.
|
|
|
|
|
||||||||||||
NatWest Markets plc | ||||||||||||||||
Centrally Cleared
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
|
Offsetting of Derivative Liabilities by Counterparty | |||||||||||||
As of March 31, 2024
|
|
||||||||||||
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
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
Futures contracts
|
Goldman, Sachs & Co.
|
|
(
|
)
|
|
||||||||
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
||||||||
Centrally cleared swap contracts
|
Centrally Cleared
|
|
(
|
)
|
|
||||||||
Total derivatives
|
|
$
|
|
$
|
(
|
)
|
$
|
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
||||||||||||||||
As of March 31, 2024
|
||||||||||||||||
|
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
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Goldman, Sachs & Co.
|
|
|
|
|
||||||||||||
NatWest Markets Plc
|
|
|
|
|
||||||||||||
Centrally Cleared
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
|
Offsetting of Derivative Assets by Counterparty
|
|||||||||||||
As of December 31, 2023
|
|||||||||||||
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
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
Futures contracts
|
Goldman, Sachs & Co.
|
|
(
|
)
|
|
||||||||
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
||||||||
Centrally cleared swap contracts*
|
Centrally Cleared
|
|
(
|
)
|
|
||||||||
Total derivatives
|
|
$
|
|
$
|
(
|
)
|
$
|
|
* |
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, 2023
|
||||||||||||||||
|
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
|
$
|
|
$
|
|
$
|
|
$
|
|
||||||||
Goldman, Sachs & Co.
|
|
|
|
|
||||||||||||
NatWest Markets Plc
|
|
|
|
|
||||||||||||
Centrally Cleared
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
|
$
|
|
Offsetting of Derivative Liabilities by Counterparty
|
|||||||||||||
As of December 31, 2023
|
|||||||||||||
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
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||
Futures contracts
|
Goldman, Sachs & Co.
|
|
(
|
)
|
|
||||||||
Forward currency contracts
|
NatWest Markets Plc
|
|
(
|
)
|
|
||||||||
Centrally cleared swap contracts
|
Centrally Cleared
|
|
(
|
)
|
|
||||||||
Total derivatives
|
|
$
|
|
$
|
(
|
)
|
$
|
|
Derivative Liabilities and Collateral Pledged by Counterparty
|
||||||||||||||||
As of December 31, 2023
|
||||||||||||||||
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
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
|||||||
Goldman, Sachs & Co.
|
|
|
(
|
)
|
|
|||||||||||
NatWest Markets Plc
|
|
|
(
|
)
|
|
|||||||||||
Centrally Cleared
|
|
|
|
|
||||||||||||
Total
|
$
|
|
$
|
|
$
|
(
|
)
|
$
|
|
Sector
|
% Gain (Loss)
|
|||
Credit
|
1.05
|
%
|
||
Commodities
|
(0.80
|
)%
|
||
Foreign Exchange
|
(0.79
|
)%
|
||
Interest Rates
|
(0.02
|
)%
|
||
Equity Indices
|
7.98
|
%
|
||
7.42
|
%
|
Sector
|
% Gain (Loss)
|
|||
Credit
|
(0.27
|
)%
|
||
Commodities
|
1.01
|
%
|
||
Foreign Exchange
|
2.80
|
%
|
||
Interest Rates
|
0.62
|
%
|
||
Equity Indices
|
0.17
|
%
|
||
4.34
|
%
|
March 31, 2024
|
||||||||
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Credit
|
0.22
|
%
|
1.05
|
%
|
||||
Commodities
|
0.64
|
%
|
(0.80
|
)%
|
||||
Foreign Exchange
|
0.55
|
%
|
(0.79
|
)%
|
||||
Interest Rates
|
0.57
|
%
|
(0.02
|
)%
|
||||
Equity Indices
|
0.70
|
%
|
7.98
|
%
|
||||
Aggregate/Total
|
1.35
|
%
|
7.42
|
%
|
* |
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, 2024.
|
December 31, 2023
|
||||||||
Market Sector
|
Value
at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Credit
|
0.20
|
%
|
(0.22
|
)%
|
||||
Commodities
|
0.73
|
%
|
0.10
|
%
|
||||
Foreign Exchange
|
0.73
|
%
|
(2.02
|
)%
|
||||
Interest Rates
|
0.72
|
%
|
(3.51
|
)%
|
||||
Stock Indices
|
0.44
|
%
|
0.74
|
%
|
||||
Aggregate/Total
|
1.59
|
%
|
(4.91
|
)%
|
* |
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Trust’s open positions across all market
sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
|
** |
Represents the gross trading for the Trust for the year ended December 31, 2023.
|
1) |
Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;
|
2) |
Changes in portfolio value caused by market movements may differ from those of the VaR model;
|
3) |
VaR results reflect past trading positions while future risk depends on future positions;
|
4) |
VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and
|
5) |
The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.
|
Exhibit Number
|
Description of Document
|
|
Articles and Plan of Merger of the Campbell Fund Limited Partnership with and into the Registrant dated January 2, 1996 (1)
|
||
Amended and Restated Declaration of Trust and Trust Agreement of the Registrant dated February 3, 2010 (2)
|
||
Advisory Agreement between the Registrant and Campbell & Company LP (1)
|
||
Global Institutional Master Custody Agreement (2)
|
||
Investment Management Agreement with PNC Capital Advisors LLC, as cash manager (3)
|
||
Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.
|
||
Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.
|
||
Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
Certification of John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
101
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments As of March 31, 2024 and December 31, 2023, (ii) Statements of Financial Condition As of
March 31, 2024 and December 31, 2023, (iii) Statements of Operations For the Three Months Ended March 31, 2024 and 2023, (iv) Statements of Cash Flows For the Three Months Ended March 31, 2024 and 2023, (v) Statements of Changes in
Unitholders’ Capital (Net Asset Value) For the Three Months Ended March 31, 2024 and 2023, (vi) Financial Highlights For the Three Months Ended March 31, 2024 and 2023, (vii) Notes to Financial Statements.
|
|
104
|
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).
|
(1) |
Incorporated by reference to the respective exhibit to the Registrant’s Form 10 filed on April 30, 2003.
|
(2) |
Incorporated by reference to the respective exhibit to the Registrant’s Quarterly Report on Form 10-Q filed August 15, 2011.
|
(3) |
Incorporated by reference to the respective exhibit to the Registrant’s Quarterly Report on Form 10-Q filed on May 15, 2014.
|
Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
||
Certification of Kevin D. Cole, Chief Executive Officer & Chief Investment Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
Certification of John R. Radle, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
||
101
|
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments As of March 31, 2024 and December 31, 2023, (ii) Statements of Financial Condition As of
March 31, 2024 and December 31, 2023, (iii) Statements of Operations For the Three Months Ended March 31, 2024 and 2023, (iv) Statements of Cash Flows For the Three Months Ended March 31, 2024 and 2023, (v) Statements of Changes in
Unitholders’ Capital (Net Asset Value) For the Three Months Ended March 31, 2024 and 2023, (vi) Financial Highlights For the Three Months Ended March 31, 2024 and 2023, (vii) Notes to Financial Statements.
|
|
104
|
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).
|
THE CAMPBELL FUND TRUST
|
|||
(Registrant)
|
|||
By:
|
Campbell & Company, LP
|
||
Managing Operator
|
|||
Date: May 14, 2024
|
By:
|
/s/ Kevin D. Cole
|
|
Kevin D. Cole
|
|||
Chief Executive Officer & Chief Investment Officer
|
1. |
I have reviewed this quarterly report on Form 10-Q of the Trust;
|
2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by this report;
|
3. |
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of
the registrant as of, and for, the periods presented in this report;
|
4. |
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal
control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
(a) |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including
its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b) |
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c) |
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of
the period covered by this report based on such evaluation; and
|
(d) |
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the
case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5. |
The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the
registrant’s board of directors (or persons performing the equivalent functions):
|
(a) |
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record,
process, summarize and report financial information; and
|
(b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: May 14, 2024
|
|||
By:
|
/s/ Kevin D. Cole
|
||
Kevin D. Cole
|
|||
Chief Executive Officer & Chief Investment Officer
|
|||
Campbell & Company, LP
|
|||
Managing Operator
|
|||
The Campbell Fund Trust
|
1. |
I have reviewed this quarterly report on Form 10-Q of the Trust;
|
2. |
Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such
statements were made, not misleading with respect to the period covered by this report;
|
3. |
Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the
registrant as of, and for, the periods presented in this report;
|
4. |
The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control
over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have:
|
(a) |
Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its
consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;
|
(b) |
Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;
|
(c) |
Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the
period covered by this report based on such evaluation; and
|
(d) |
Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case
of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and
|
5. |
The registrant’s other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the
registrant’s board of directors (or persons performing the equivalent functions):
|
(a) |
All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record,
process, summarize and report financial information; and
|
(b) |
Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.
|
Date: May 14, 2024
|
|||
By:
|
/s/ John R. Radle
|
||
John R. Radle
|
|||
Chief Operating Officer
|
|||
Campbell & Company, LP
|
|||
Managing Operator
|
|||
The Campbell Fund Trust
|
Date: May 14, 2024
|
THE CAMPBELL FUND TRUST
|
||
By: | Campbell & Company, LP, Managing Operator | ||
By: |
/s/ Kevin D. Cole
|
||
Kevin D. Cole
|
|||
Chief Executive Officer & Chief Investment Officer
|
Date: May 14, 2024
|
THE CAMPBELL FUND TRUST
|
||
By: | Campbell & Company, LP, Managing Operator | ||
By: |
/s/ John R. Radle
|
||
John R. Radle
|
|||
Chief Operating Officer
|
CONDENSED SCHEDULE OF INVESTMENTS (Parenthetical) - USD ($) |
Mar. 31, 2024 |
Dec. 31, 2023 |
---|---|---|
Fixed Income Securities [Member] | ||
Schedule of Investments | ||
Cost | $ 332,168,583 | $ 330,492,087 |
Asset Backed Securities [Member] | ||
Schedule of Investments | ||
Cost | 26,835,098 | 26,725,105 |
Bank Deposits [Member] | ||
Schedule of Investments | ||
Cost | 14,166,467 | 7,784,915 |
Bank Deposits [Member] | France [Member] | ||
Schedule of Investments | ||
Cost | 2,689,873 | |
Bank Deposits [Member] | France [Member] | Financials [Member] | ||
Schedule of Investments | ||
Cost | 2,689,894 | |
Bank Deposits [Member] | Singapore [Member] | Financials [Member] | ||
Schedule of Investments | ||
Cost | 2,314,940 | |
Bank Deposits [Member] | United States [Member] | ||
Schedule of Investments | ||
Cost | 5,095,042 | |
Bank Deposits [Member] | United States [Member] | Financials [Member] | ||
Schedule of Investments | ||
Cost | 9,161,633 | |
Commercial Paper [Member] | ||
Schedule of Investments | ||
Cost | 140,457,559 | 147,948,696 |
Commercial Paper [Member] | Canada [Member] | ||
Schedule of Investments | ||
Cost | 5,072,576 | |
Commercial Paper [Member] | Canada [Member] | Materials [Member] | ||
Schedule of Investments | ||
Cost | 5,534,285 | |
Commercial Paper [Member] | France [Member] | Financials [Member] | ||
Schedule of Investments | ||
Cost | 2,713,779 | |
Commercial Paper [Member] | Ireland [Member] | Financials [Member] | ||
Schedule of Investments | ||
Cost | 911,000 | |
Commercial Paper [Member] | United Kingdom [Member] | ||
Schedule of Investments | ||
Cost | 7,755,682 | |
Commercial Paper [Member] | United Kingdom [Member] | Financials [Member] | ||
Schedule of Investments | ||
Cost | 5,596,959 | |
Commercial Paper [Member] | United States [Member] | ||
Schedule of Investments | ||
Cost | 125,701,536 | 135,120,438 |
Corporate Bonds [Member] | ||
Schedule of Investments | ||
Cost | 93,646,460 | 92,954,257 |
Corporate Bonds [Member] | Australia [Member] | ||
Schedule of Investments | ||
Cost | 5,869,766 | 5,869,688 |
Corporate Bonds [Member] | Canada [Member] | ||
Schedule of Investments | ||
Cost | 11,308,858 | 13,945,133 |
Corporate Bonds [Member] | Germany [Member] | ||
Schedule of Investments | ||
Cost | 3,140,243 | 3,140,322 |
Corporate Bonds [Member] | Japan [Member] | ||
Schedule of Investments | ||
Cost | 3,439,991 | 3,439,993 |
Corporate Bonds [Member] | Netherlands [Member] | ||
Schedule of Investments | ||
Cost | 1,674,285 | 1,674,156 |
Corporate Bonds [Member] | Spain [Member] | ||
Schedule of Investments | ||
Cost | 2,599,990 | 2,599,992 |
Corporate Bonds [Member] | Switzerland [Member] | ||
Schedule of Investments | ||
Cost | 2,129,945 | 3,179,943 |
Corporate Bonds [Member] | United States [Member] | ||
Schedule of Investments | ||
Cost | 63,483,382 | 59,105,030 |
Government and Agency Obligations [Member] | ||
Schedule of Investments | ||
Cost | 57,062,999 | 55,079,114 |
Government and Agency Obligations [Member] | U.S. Treasury Bills Due 04/11/2024 [Member] | ||
Schedule of Investments | ||
Maturity face value | $ 17,300,000 | |
Due date | Apr. 11, 2024 | |
Government and Agency Obligations [Member] | U.S. Treasury Bills Due 05/16/2024 [Member] | ||
Schedule of Investments | ||
Maturity face value | $ 8,700,000 | |
Due date | May 16, 2024 | |
Government and Agency Obligations [Member] | U.S. Treasury Bills Due 06/06/2024 [Member] | ||
Schedule of Investments | ||
Maturity face value | $ 31,450,000 | |
Due date | Jun. 06, 2024 | |
Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | ||
Schedule of Investments | ||
Fixed income securities deposited with futures brokers | $ 57,067,128 | 55,103,441 |
Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 01/11/2024 [Member] | ||
Schedule of Investments | ||
Maturity face value | $ 17,300,000 | |
Due date | Jan. 11, 2024 | |
Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 02/08/2024 [Member] | ||
Schedule of Investments | ||
Maturity face value | $ 8,700,000 | |
Due date | Feb. 08, 2024 | |
Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 03/07/2024 [Member] | ||
Schedule of Investments | ||
Maturity face value | $ 29,450,000 | |
Due date | Mar. 07, 2024 | |
Short Term Investments [Member] | ||
Schedule of Investments | ||
Cost | 31,584 | $ 514,524 |
Money Market Funds [Member] | United States [Member] | ||
Schedule of Investments | ||
Cost | 31,584 | 514,524 |
Centrally Cleared Credit Default Index Swaps - Sell Protection [Member] | ||
Schedule of Investments | ||
Cost | 12,047,047 | 6,719,050 |
Variation margin receivable | 12,790,687 | 11,107,528 |
Centrally Cleared Interest Rate Swaps - Pay Fixed [Member] | ||
Schedule of Investments | ||
Cost | 1,552,901 | 447,192 |
Variation margin receivable | $ 2,024,879 | $ 124,676 |
STATEMENTS OF FINANCIAL CONDITION - USD ($) |
Mar. 31, 2024 |
Dec. 31, 2023 |
---|---|---|
Equity in futures brokers trading accounts | ||
Cash | $ 68,549,349 | $ 37,203,513 |
Restricted cash | 3,673,747 | 9,425,127 |
Fixed income securities (cost $57,062,999 and $55,079,114, respectively) | 57,067,128 | 55,103,441 |
Net unrealized gain (loss) on open futures contracts | 2,089,138 | (10,071,795) |
Total equity in futures brokers trading accounts | 131,379,362 | 91,660,286 |
Cash and cash equivalents | 13,724,775 | 7,188,062 |
Cash at interbank market maker | 13,505,683 | 12,255,988 |
Restricted cash at interbank market maker | 36,081,642 | 60,037,949 |
Short term investments (cost $31,584 and $514,524, respectively) | 31,584 | 514,524 |
Cash at swaps broker | 26,751,961 | 14,486,553 |
Restricted cash at swaps broker | 24,042,204 | 22,814,498 |
Fixed income securities (cost $275,105,584 and $275,412,973, respectively) | 275,159,143 | 275,655,366 |
Due from swaps broker | 346,777 | 328,072 |
Net unrealized gain on open forward currency contracts | 4,413,241 | 0 |
Interest receivable | 2,186,497 | 1,839,449 |
Subscriptions receivable | 0 | 17,426,044 |
Total assets | 527,622,869 | 504,206,791 |
LIABILITIES | ||
Redemptions payable | 3,739,463 | 3,055,460 |
Management fee payable | 873,180 | 795,037 |
Sales commission payable | 723,542 | 658,519 |
Accounts payable | 359,289 | 257,168 |
Net unrealized loss on open forward currency contracts | 0 | 2,485,131 |
Credit default index swaps | 0 | 29,070 |
Offering costs payable | 144,965 | 124,259 |
Interest rate swaps | 110,495 | 137,658 |
Accrued commissions and other trading fees on open contracts | 105,713 | 84,107 |
Total liabilities | 6,056,647 | 7,626,409 |
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Total unitholders' capital (Net Asset Value) | 521,566,222 | 496,580,382 |
Total liabilities and unitholders' capital (Net Asset Value) | 527,622,869 | 504,206,791 |
Series A Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | 394,021,901 | 378,102,257 |
Series B Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | 40,441,566 | 38,104,608 |
Series D Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | 31,534,647 | 28,301,256 |
Series W Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | $ 55,568,108 | $ 52,072,261 |
STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) |
Mar. 31, 2024 |
Dec. 31, 2023 |
---|---|---|
Equity in futures brokers trading accounts | ||
Fixed income securities, cost | $ 57,062,999 | $ 55,079,114 |
Short term investments, cost | 31,584 | 514,524 |
Fixed income securities, cost | $ 275,105,584 | $ 275,412,973 |
Series A Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 97,839.126 | 100,750.468 |
Series B Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 9,055.283 | 9,165.999 |
Series D Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 19,322.867 | 18,665.278 |
Series W Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 11,030.311 | 11,146.28 |
STATEMENTS OF OPERATIONS - USD ($) |
3 Months Ended | |
---|---|---|
Mar. 31, 2024 |
Mar. 31, 2023 |
|
Futures trading gains (losses) | ||
Realized | $ 21,025,953 | $ (692,746) |
Change in unrealized | 12,160,933 | 8,320,038 |
Brokerage commissions | (671,028) | (621,320) |
Net gain (loss) from futures trading | 32,515,858 | 7,005,972 |
Forward currency trading gains (losses) | ||
Realized | (10,959,151) | 14,176,403 |
Change in unrealized | 6,898,372 | (617,460) |
Brokerage commissions | (181,594) | (152,898) |
Net gain (loss) from forward currency trading | (4,242,373) | 13,406,045 |
Swap trading gains (losses) | ||
Realized | 15,156,235 | 3,427,298 |
Change in unrealized | (7,738,253) | (4,020,731) |
Net gain (loss) from swap trading | 7,417,982 | (593,433) |
Total net trading gain (loss) | 35,691,467 | 19,818,584 |
Investment income | ||
Interest income | 6,451,605 | 6,894,773 |
Realized gain (loss) on fixed income securities | 67,084 | (1,972,055) |
Change in unrealized gain (loss) on fixed income securities | (209,032) | 594,877 |
Total investment income (loss) | 6,309,657 | 5,517,595 |
Expenses | ||
Management fee | 2,575,084 | 2,510,527 |
Performance fee | 0 | 122 |
Operating expenses | 303,094 | 321,600 |
Sales commission | 2,210,028 | 2,139,953 |
Total expenses | 5,088,206 | 4,972,202 |
Net investment income (loss) | 1,221,451 | 545,393 |
NET INCOME (LOSS) | $ 36,912,918 | $ 20,363,977 |
Series A [Member] | ||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT | ||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (based on weighted average number of units outstanding during the period) (in dollars per unit) | $ 278.42 | $ 164.29 |
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (in dollars per unit) | $ 274.38 | $ 162.53 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 99,664.328 | 90,183.02 |
Series B [Member] | ||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT | ||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (based on weighted average number of units outstanding during the period) (in dollars per unit) | $ 308.45 | $ 183.95 |
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (in dollars per unit) | $ 308.9 | $ 184 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 9,114.748 | 10,001.246 |
Series D [Member] | ||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT | ||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (based on weighted average number of units outstanding during the period) (in dollars per unit) | $ 118.13 | $ 71.2 |
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (in dollars per unit) | $ 115.74 | $ 69.71 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 18,801.146 | 15,019.156 |
Series W [Member] | ||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT | ||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (based on weighted average number of units outstanding during the period) (in dollars per unit) | $ 372.12 | $ 227.91 |
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (in dollars per unit) | $ 366.04 | $ 222.68 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 11,103.437 | 11,576.046 |
STATEMENTS OF CASH FLOWS - USD ($) |
3 Months Ended | |
---|---|---|
Mar. 31, 2024 |
Mar. 31, 2023 |
|
Cash flows from (for) operating activities | ||
Net income (loss) | $ 36,912,918 | $ 20,363,977 |
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | ||
Net change in unrealized on futures, forwards, swaps and investments | (11,112,020) | (4,276,724) |
(Increase) decrease in interest receivable | (347,048) | (480,948) |
(Increase) decrease in due from swaps broker | (18,705) | (32,022) |
(Increase) decrease in cash deficit at swaps broker | 0 | 433,606 |
Increase (decrease) in accounts payable and accrued expenses | 266,893 | 265,443 |
Net purchases from swap broker | (7,794,485) | (800,743) |
Purchases of investments | (1,091,730,526) | (924,373,686) |
Sales/maturities of investments | 1,090,536,969 | 924,862,872 |
Net cash from (for) operating activities | 16,713,996 | 15,961,775 |
Cash flows from (for) financing activities | ||
Addition of units | 29,133,310 | 17,716,163 |
Redemption of units | (22,412,540) | (10,475,997) |
Offering costs paid | (517,095) | (508,517) |
Net cash from (for) financing activities | 6,203,675 | 6,731,649 |
Net increase (decrease) in cash, cash equivalents and restricted cash | 22,917,671 | 22,693,424 |
Cash, cash equivalents and restricted cash at beginning of period | 163,411,690 | 117,391,840 |
Cash, cash equivalents and restricted cash at end of period | $ 186,329,361 | $ 140,085,264 |
STATEMENTS OF CASH FLOWS (Parenthetical) - USD ($) |
Mar. 31, 2024 |
Dec. 31, 2023 |
Mar. 31, 2023 |
Dec. 31, 2022 |
---|---|---|---|---|
Equity in futures brokers trading accounts: | ||||
Cash | $ 68,549,349 | $ 37,203,513 | ||
Restricted cash | 3,673,747 | 9,425,127 | ||
Cash and cash equivalents | 13,724,775 | 7,188,062 | ||
Cash at interbank market maker | 13,505,683 | 12,255,988 | ||
Restricted cash at interbank market maker | 36,081,642 | 60,037,949 | ||
Cash at swaps broker | 26,751,961 | 14,486,553 | ||
Restricted cash at swaps broker | 24,042,204 | 22,814,498 | ||
Total cash, cash equivalents and restricted cash at end of period | $ 186,329,361 | $ 163,411,690 | $ 140,085,264 | $ 117,391,840 |
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE) - USD ($) |
3 Months Ended | |
---|---|---|
Mar. 31, 2024 |
Mar. 31, 2023 |
|
Increase (Decrease) in Unitholders' Capital [Roll Forward] | ||
Balances | $ 496,580,382 | $ 476,068,601 |
Net income (loss) | 36,912,918 | 20,363,977 |
Additions | 11,707,266 | 17,403,987 |
Redemptions | (23,096,543) | (6,189,455) |
Offering costs | (537,801) | (477,665) |
Balances | 521,566,222 | 507,169,445 |
Series A [Member] | Other Unitholders [Member] | ||
Increase (Decrease) in Unitholders' Capital [Roll Forward] | ||
Balances | $ 378,102,257 | $ 352,416,060 |
Balances (in units) | 100,750.468 | 89,254.537 |
Net income (loss) | $ 27,748,720 | $ 14,816,600 |
Additions | $ 9,329,266 | $ 13,805,592 |
Additions (in units) | 2,406.028 | 3,341.433 |
Redemptions | $ (20,725,801) | $ (1,967,848) |
Redemptions (in units) | (5,317.37) | (477.39) |
Offering costs | $ (432,541) | $ (373,374) |
Balances | $ 394,021,901 | $ 378,697,030 |
Balances (in units) | 97,839.126 | 92,118.58 |
Series B [Member] | Other Unitholders [Member] | ||
Increase (Decrease) in Unitholders' Capital [Roll Forward] | ||
Balances | $ 38,104,608 | $ 43,597,613 |
Balances (in units) | 9,165.999 | 10,002.807 |
Net income (loss) | $ 2,811,450 | $ 1,839,702 |
Additions | $ 30,065 | $ 30,318 |
Additions (in units) | 6.938 | 6.658 |
Redemptions | $ (504,557) | $ (521,849) |
Redemptions (in units) | (117.654) | (115.048) |
Offering costs | $ 0 | $ 0 |
Balances | $ 40,441,566 | $ 44,945,784 |
Balances (in units) | 9,055.283 | 9,894.417 |
Series D [Member] | Other Unitholders [Member] | ||
Increase (Decrease) in Unitholders' Capital [Roll Forward] | ||
Balances | $ 28,301,256 | $ 23,615,197 |
Balances (in units) | 18,665.278 | 14,967.333 |
Net income (loss) | $ 2,220,935 | $ 1,069,324 |
Additions | $ 1,732,407 | $ 1,507,596 |
Additions (in units) | 1,078.818 | 913.289 |
Redemptions | $ (682,629) | $ (926,063) |
Redemptions (in units) | (421.229) | (563.347) |
Offering costs | $ (37,322) | $ (31,058) |
Balances | $ 31,534,647 | $ 25,234,996 |
Balances (in units) | 19,322.867 | 15,317.275 |
Series W [Member] | Other Unitholders [Member] | ||
Increase (Decrease) in Unitholders' Capital [Roll Forward] | ||
Balances | $ 52,072,261 | $ 56,439,731 |
Balances (in units) | 11,146.28 | 11,697.747 |
Net income (loss) | $ 4,131,813 | $ 2,638,351 |
Additions | $ 615,528 | $ 2,060,481 |
Additions (in units) | 128.509 | 413.439 |
Redemptions | $ (1,183,556) | $ (2,773,695) |
Redemptions (in units) | (244.478) | (562.622) |
Offering costs | $ (67,938) | $ (73,233) |
Balances | $ 55,568,108 | $ 58,291,635 |
Balances (in units) | 11,030.311 | 11,548.564 |
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE) (Parenthetical) - $ / shares |
Mar. 31, 2024 |
Dec. 31, 2023 |
Mar. 31, 2023 |
Dec. 31, 2022 |
---|---|---|---|---|
Series A [Member] | ||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | $ 4,027.24 | $ 3,752.86 | $ 4,110.97 | $ 3,948.44 |
Series B [Member] | ||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | 4,466.07 | 4,157.17 | 4,542.54 | 4,358.54 |
Series D [Member] | ||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | 1,631.99 | 1,516.25 | 1,647.49 | 1,577.78 |
Series W [Member] | ||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | $ 5,037.76 | $ 4,671.72 | $ 5,047.52 | $ 4,824.84 |
FINANCIAL HIGHLIGHTS - $ / shares |
3 Months Ended | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Mar. 31, 2024 |
Mar. 31, 2023 |
|||||||||||
Series A [Member] | ||||||||||||
Per Unit Performance (for a unit outstanding throughout the entire period) | ||||||||||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 3,752.86 | $ 3,948.44 | ||||||||||
Income (loss) from operations: | ||||||||||||
Total net trading gains (losses) (in dollars per unit) | [1] | 272.19 | 165.24 | |||||||||
Net investment income (loss) (in dollars per unit) | [1] | 6.53 | 1.43 | |||||||||
Total net income (loss) from operations (in dollars per unit) | 278.72 | 166.67 | ||||||||||
Offering costs (in dollars per unit) | [1] | (4.34) | (4.14) | |||||||||
Net asset value per unit at end of period (in dollars per unit) | $ 4,027.24 | $ 4,110.97 | ||||||||||
Total Return | [2] | 7.31% | 4.12% | |||||||||
Ratios to average net asset value: | ||||||||||||
Expenses prior to performance fee | [3] | 4.32% | 4.32% | |||||||||
Performance fee | [2] | 0.00% | 0.00% | |||||||||
Total expenses | 4.32% | 4.32% | ||||||||||
Net investment income (loss) | [3],[4] | 0.68% | 0.12% | |||||||||
Series B [Member] | ||||||||||||
Per Unit Performance (for a unit outstanding throughout the entire period) | ||||||||||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 4,157.17 | $ 4,358.54 | ||||||||||
Income (loss) from operations: | ||||||||||||
Total net trading gains (losses) (in dollars per unit) | [5] | 301.66 | 182.39 | |||||||||
Net investment income (loss) (in dollars per unit) | [5] | 7.24 | 1.61 | |||||||||
Total net income (loss) from operations (in dollars per unit) | 308.9 | 184 | ||||||||||
Net asset value per unit at end of period (in dollars per unit) | $ 4,466.07 | $ 4,542.54 | ||||||||||
Total Return | [2] | 7.43% | 4.22% | |||||||||
Ratios to average net asset value: | ||||||||||||
Expenses prior to performance fee | [3] | 4.28% | 4.32% | |||||||||
Performance fee | [2] | 0.00% | 0.00% | |||||||||
Total expenses | 4.28% | 4.32% | ||||||||||
Net investment income (loss) | [3],[4] | 0.68% | 0.16% | |||||||||
Series D [Member] | ||||||||||||
Per Unit Performance (for a unit outstanding throughout the entire period) | ||||||||||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 1,516.25 | $ 1,577.78 | ||||||||||
Income (loss) from operations: | ||||||||||||
Total net trading gains (losses) (in dollars per unit) | [1] | 110.13 | 66.03 | |||||||||
Net investment income (loss) (in dollars per unit) | [1] | 7.6 | 5.75 | |||||||||
Total net income (loss) from operations (in dollars per unit) | 117.73 | 71.78 | ||||||||||
Offering costs (in dollars per unit) | [1] | (1.99) | (2.07) | |||||||||
Net asset value per unit at end of period (in dollars per unit) | $ 1,631.99 | $ 1,647.49 | ||||||||||
Total Return | [2] | 7.63% | 4.42% | |||||||||
Ratios to average net asset value: | ||||||||||||
Expenses prior to performance fee | [3] | 3.04% | 3.04% | |||||||||
Performance fee | [2] | 0.00% | 0.00% | |||||||||
Total expenses | 3.04% | 3.04% | ||||||||||
Net investment income (loss) | [3],[4] | 1.92% | 1.40% | |||||||||
Series W [Member] | ||||||||||||
Per Unit Performance (for a unit outstanding throughout the entire period) | ||||||||||||
Net asset value per unit at beginning of period (in dollars per unit) | $ 4,671.72 | $ 4,824.84 | ||||||||||
Income (loss) from operations: | ||||||||||||
Total net trading gains (losses) (in dollars per unit) | [1] | 339.55 | 201.88 | |||||||||
Net investment income (loss) (in dollars per unit) | [1] | 32.61 | 27.13 | |||||||||
Total net income (loss) from operations (in dollars per unit) | 372.16 | 229.01 | ||||||||||
Offering costs (in dollars per unit) | [1] | (6.12) | (6.33) | |||||||||
Net asset value per unit at end of period (in dollars per unit) | $ 5,037.76 | $ 5,047.52 | ||||||||||
Total Return | [2] | 7.84% | 4.62% | |||||||||
Ratios to average net asset value: | ||||||||||||
Expenses prior to performance fee | [3] | 2.28% | 2.28% | |||||||||
Performance fee | [2] | 0.00% | 0.00% | |||||||||
Total expenses | 2.28% | 2.28% | ||||||||||
Net investment income (loss) | [3],[4] | 2.72% | 2.16% | |||||||||
|
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
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ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. General Description of the Trust
The Campbell Fund Trust (the “Trust”) is a Delaware statutory trust which operates as a commodity investment pool. The Trust engages in the
speculative trading of futures contracts, forward currency contracts, and centrally cleared swap contracts.
Effective August 31, 2008, the Trust began offering units of beneficial interest classified into Series A units, Series B units and Series W
units. Effective July 1, 2017, the Trust began offering units of beneficial interest classified into Series D units. The rights of the Series A units, Series B units, Series D units and Series W units are identical, except that the fees and
commissions vary on a Series-by-Series basis. Series A, Series D and Series W commenced trading on October 1, 2008, October 1, 2017 and March 1, 2009, respectively. The initial minimum subscription for Series A units, Series D units and Series W
units is $25,000. Series B units are only available for additional investments by existing holders of Series B units. See Note 1.G.,
Note 1.I., Note 2, Note 3 and Note 10 for an explanation of allocations and Series specific charges.
B. Regulation
As a registrant with the Securities and Exchange Commission (the “SEC”), the Trust is subject to the regulatory requirements under the Securities
and Exchange Act of 1934. As a commodity investment pool, the Trust is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures
industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Trust executes transactions. Additionally, the Trust is subject to the requirements of
futures commission merchants (the “futures brokers”) and interbank market maker through which the Trust trades.
C. Method of Reporting
The Trust’s financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which
may require the use of certain estimates made by the Trust’s management. Actual results may differ from these estimates.
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.
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, 2024 and December 31, 2023 and for the periods ended March 31, 2024 and 2023, the Trust did not have any Level 3 assets or liabilities.
The following tables set forth by level within the fair value hierarchy the Trust’s investments accounted for at fair value on a recurring basis
as of March 31, 2024 and December 31, 2023.
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
tax years generally remain subject to examination by the U.S. federal and most state tax authorities.G. Offering Costs
Campbell & Company, LP (“Campbell & Company”) has incurred all costs in connection with the initial and continuous offering of units of
the Trust (“offering costs”). Series A units, Series D units and Series W units will each bear the offering costs incurred in relation to the offering of Series A units, Series D units and Series W units, respectively. Offering costs are charged to
Series A, Series D and Series W at a monthly rate of
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, 2024 and December 31, 2023, the amount of
unreimbursed offering costs incurred by Campbell & Company is $108,890 and $91,015 for Series A units, $120,146 and $128,000 for Series D units and $170,618
and $199,065 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.
|
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR |
3 Months Ended |
---|---|
Mar. 31, 2024 | |
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR [Abstract] | |
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR |
Note 2. MANAGING OPERATOR AND COMMODITY TRADING ADVISOR
The managing operator of the Trust is Campbell & Company which conducts and manages the business of the Trust. Campbell & Company is also
the commodity trading advisor of the Trust.
Series A units, Series B units, Series D units and Series W units pay the managing operator a monthly management fee equal to
(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.Each Series of units will pay the managing operator a quarterly performance fee equal to 20% of the aggregate cumulative appreciation in Net Asset Value per Unit (as defined) exclusive of appreciation attributable to interest income on a Series-by-Series basis.
The performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark). In determining the management fee and
performance fee (the “fees”), adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions.
The fees are typically paid in the month following the month in which they are earned. The fees are paid from the available cash at the Trust’s bank, broker or cash management custody accounts.
|
SALES COMMISSION |
3 Months Ended |
---|---|
Mar. 31, 2024 | |
SALES COMMISSION [Abstract] | |
SALES COMMISSION |
Note 3. SALES COMMISSION
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.
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
(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
(2% annually)
of the current net asset value of the units it has sold and which are outstanding at the end of such month in respect of which the selling agent provides ongoing services.Series B and Series D units pay a monthly trail commission of
(2% annually) and (0.75% annually), respectively, of the current
net asset value of the units the selling agent has sold and which are outstanding at the end of such month in respect of which the selling agent provides ongoing services. Such ongoing compensation shall commence the first full month after the
sale of the units.Any monthly trail commission which is not paid to a selling agent pursuant to an executed selling or servicing agreement with the Trust will be
rebated to unitholders in the form of a capital addition and is reported as such in the financial statements.
|
TRUSTEE |
3 Months Ended |
---|---|
Mar. 31, 2024 | |
TRUSTEE [Abstract] | |
TRUSTEE |
Note 4. TRUSTEE
The trustee of the Trust is U.S. Bank National Association, a national banking corporation. The trustee has delegated to the managing operator the
duty and authority to manage the business and affairs of the Trust and has only nominal duties and liabilities with respect to the Trust.
|
ADMINISTRATOR AND TRANSFER AGENT |
3 Months Ended |
---|---|
Mar. 31, 2024 | |
ADMINISTRATOR AND TRANSFER AGENT [Abstract] | |
ADMINISTRATOR AND TRANSFER AGENT |
Note 5. ADMINISTRATOR AND TRANSFER AGENT
NAV Consulting, Inc. serves as the Administrator of the Trust. The Administrator receives fees at rates agreed upon between the Trust and the
Administrator and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties. The Administrator’s primary responsibilities are portfolio accounting and fund accounting services.
NAV Consulting, Inc. serves as the Transfer Agent of the Trust. The Transfer Agent receives fees at rates agreed upon between the Trust and the
Transfer Agent and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties.
|
CASH MANAGER AND CUSTODIAN |
3 Months Ended |
---|---|
Mar. 31, 2024 | |
CASH MANAGER AND CUSTODIAN [Abstract] | |
CASH MANAGER AND CUSTODIAN |
Note 6. CASH MANAGER AND CUSTODIAN
PNC Capital Advisors, LLC serves as the cash manager under the Investment Advisory Agreement to manage and control the liquid assets of the Trust.
PNC Capital Advisors, LLC is registered as an investment adviser with the SEC of the United States under the Investment Advisers Act of 1940.
The Trust opened a custodial account at the Northern Trust Company (the “custodian”) and has granted the cash manager authority to make certain
investments on behalf of the Trust provided such investments are consistent with the investment guidelines created by the managing operator. All securities purchased by the cash manager on behalf of the Trust will be held in the Trust’s custody
account at the custodian. The cash manager will have no beneficial or other interest in the securities and cash in such custody account.
|
DEPOSITS WITH FUTURES BROKERS |
3 Months Ended |
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Mar. 31, 2024 | |
DEPOSITS WITH FUTURES BROKERS [Abstract] | |
DEPOSITS WITH FUTURES BROKERS |
Note 7. DEPOSITS WITH FUTURES BROKERS
The Trust deposits assets with UBS Securities LLC and Goldman, Sachs & Co., subject to Commodity Futures Trading Commission regulations and
various exchange and futures broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with such futures brokers. The Trust typically earns interest income on its assets deposited with the futures
brokers.
|
DEPOSITS WITH INTERBANK MARKET MAKER |
3 Months Ended |
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Mar. 31, 2024 | |
DEPOSITS WITH INTERBANK MARKET MAKER [Abstract] | |
DEPOSITS WITH INTERBANK MARKET MAKER |
Note 8. DEPOSITS WITH INTERBANK MARKET MAKER
The Trust’s counterparty with regard to its forward currency transactions is NatWest Markets Plc (“NatWest”). The Trust has entered into an International Swap and
Derivatives Association, Inc. agreement (“ISDA Agreement”) with NatWest which governs these transactions. The credit ratings reported by the three
major rating agencies for NatWest were considered investment grade as of March 31, 2024. Margin requirements are satisfied by the
deposit of cash with NatWest. The Trust typically earns interest income on its assets deposited with NatWest.
|
DEPOSITS WITH SWAPS BROKER |
3 Months Ended |
---|---|
Mar. 31, 2024 | |
DEPOSITS WITH SWAPS BROKER [Abstract] | |
DEPOSITS WITH SWAPS BROKER |
Note 9. DEPOSITS WITH SWAPS BROKER
The Trust deposits cash with Goldman, Sachs & Co. to act as swaps broker for its centrally cleared swap contracts, subject to Commodity Futures Trading Commission
regulations and central counterparty and broker requirements. Margin requirements are satisfied by the deposit of cash with such swaps broker. Accordingly, assets used to meet margin and other broker or regulatory requirements are partially
restricted. The Trust typically earns interest on its credit balances and pays interest on debit balances with the swaps broker.
The Trust pays commissions to the swaps broker on a transaction basis at rates agreed upon between the Trust and the swaps broker.
|
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS |
3 Months Ended |
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Mar. 31, 2024 | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS [Abstract] | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS |
Note 10. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS
Investments in the Trust are made by subscription agreement, subject to acceptance by Campbell & Company.
The Trust is not required to make distributions, but may do so at the sole discretion of Campbell & Company. A unitholder may request and
receive redemption of units owned, subject to restrictions in the Declaration of Trust and Trust Agreement. Units are transferable, but no market exists for their sale and none is expected to develop. Monthly redemptions are permitted upon ten (10) business days advance written notice to Campbell & Company.
Redemption fees, which are paid to Campbell & Company, apply to Series A units through the first twelve month-ends following purchase (the month-end as of which the unit is purchased is counted as the first month-end) as follows: 1.833% of Net Asset Value per unit redeemed through the second month-end, 1.666%
of Net Asset Value per unit redeemed through the third month-end, 1.500% of Net Asset Value per unit redeemed through the fourth
month-end, 1.333% of Net Asset Value per unit redeemed through the fifth month-end, 1.167% of Net Asset Value per unit redeemed through the sixth month-end, 1.000%
of Net Asset Value per unit redeemed through the seventh month-end, 0.833% of Net Asset Value per unit redeemed through the eighth
month-end, 0.667% of Net Asset Value per unit redeemed through the ninth month-end, 0.500% of Net Asset Value per unit redeemed through the tenth month-end, 0.333%
of Net Asset Value per unit redeemed through the eleventh month-end and 0.167% of Net Asset Value per unit redeemed through the twelfth
month end. For the three months ended March 31, 2024 and 2023, Campbell & Company received redemption fees of $915 and $608, respectively.
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CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2024 | |||||||||||||||||||||||||||||||||||||||||||||||||||
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES |
Note 11. CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES
Credit derivatives generally require the seller to make a payment to the buyer in the event the underlying referenced security or index to the
contract defaults or another triggering event, as defined in the applicable derivative contract, occurs. The Trust sells credit derivative contracts for speculative investment purposes. The following table summarizes the notional amounts of credit
derivative contracts sold by the Trust by their maturity for contracts which are outstanding at March 31, 2024 and December 31, 2023. 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, 2024 and December 31, 2023, the carrying value of such credit derivative contracts purchased was $12,790,687 and $11,078,458, respectively.
The Trust does not monitor its exposure to credit derivatives based on the notional amounts because that measure does not take into consideration
the probability of a credit default event, the legal right to offset assets and liabilities by a counterparty, or collateral posted. However, the notional value of these credit derivative contracts has been included to provide information about the
magnitude of involvement with these types of contracts.
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TRADING ACTIVITIES AND RELATED RISKS |
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TRADING ACTIVITIES AND RELATED RISKS [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
TRADING ACTIVITIES AND RELATED RISKS |
Note 12. TRADING ACTIVITIES AND RELATED RISKS
The Trust engages in the speculative trading of U.S. and foreign futures contracts, forward currency contracts and centrally cleared
swap contracts (collectively, “derivatives”). Specifically, the Trust trades a portfolio focused on futures, forward, credit default 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.
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 following tables summarize quantitative information
required by ASC 815, Derivatives and Hedging, (“ASC 815”). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments
affect an entity’s financial position, financial performance and cash flows. The 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, 2024 and December 31, 2023
are as follows:
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, 2024 and 2023 are as follows:
For the three months ended March 31, 2024 and 2023, the monthly average of futures contracts bought and sold was approximately 57,800 and 52,100, respectively; the
monthly average of notional value of centrally cleared swap contracts was approximately $9,379,000,000 and $3,854,200,000, respectively; and the monthly average of notional value of forward currency contracts was $5,655,800,000 and $5,393,700,000, respectively.
Open contracts generally mature within three months; as of March 31, 2024, the latest maturity date for open futures contracts is
and the latest maturity date for open forward currency contracts is . 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
.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, 2024 and December 31, 2023 was $57,067,128 and $55,103,441, respectively, which equals approximately 11%
and 11% of Net Asset Value, respectively. Included in cash deposits with the futures brokers, swaps broker and interbank market maker
at March 31, 2024 and December 31, 2023
was restricted cash for margin requirements of $63,797,593 and $92,277,574, respectively, which equals approximately 12% and 19% of Net Asset Value, respectively.
Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for
offset in the Statements of Financial Condition and instruments and transactions that are subject to a master netting agreement as well as amounts related to financial collateral (including U.S. Treasury Bills and cash collateral) held at
clearing brokers and counterparties. Margin reflected in the collateral tables is limited to the net amount of unrealized loss at each counterparty. Actual margin amounts required at each counterparty are based on the notional amounts or the
number of contracts outstanding and may exceed the margin presented in the collateral tables
Campbell & Company has established procedures to actively monitor market risk and minimize credit risk, although there can be no
assurance that it will, in fact, succeed in doing so. Campbell & Company’s basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio
that rarely exceeds 30%. Campbell & Company’s attempt to manage the risk of the Trust’s open positions is essentially the same in
all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company
follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses. Campbell & Company controls the
risk of the Trust’s non-trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments.
Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Trust’s assets at financial
institutions and brokers which Campbell & Company believes to be credit worthy. The unitholder bears the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions
and redemptions received.
|
INDEMNIFICATIONS |
3 Months Ended |
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Mar. 31, 2024 | |
INDEMNIFICATIONS [Abstract] | |
INDEMNIFICATIONS |
Note 13. INDEMNIFICATIONS
In the normal course of business, the Trust enters into contracts and agreements that contain a variety of representations and warranties
which provide general indemnifications. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. The Trust expects the risk of any
future obligation under these indemnifications to be remote.
|
INTERIM FINANCIAL STATEMENTS |
3 Months Ended |
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Mar. 31, 2024 | |
INTERIM FINANCIAL STATEMENTS [Abstract] | |
INTERIM FINANCIAL STATEMENTS |
Note 14. INTERIM FINANCIAL STATEMENTS
The Statements of Financial Condition, including the Condensed Schedules of Investments, as of March 31, 2024 and December 31, 2023, the Statements
of Operations and Financial Highlights for the three months ended March 31, 2024 and 2023, and the Statements of Cash Flows and Changes in Unitholders’ Capital (Net Asset Value) for the three months ended March 31, 2024 and 2023 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, 2024 and December 31, 2023, the results of operations and financial highlights for the three months ended March 31, 2024 and 2023, and cash
flows and changes in unitholders’ capital (Net Asset Value) for the three months ended March 31, 2024 and 2023.
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SUBSEQUENT EVENTS |
3 Months Ended |
---|---|
Mar. 31, 2024 | |
SUBSEQUENT EVENTS [Abstract] | |
SUBSEQUENT EVENTS |
Note 15. SUBSEQUENT EVENTS
Management of the Trust has evaluated subsequent events through the date the financial statements were filed. There are no subsequent events
to disclose or record.
|
Insider Trading Arrangements |
3 Months Ended |
---|---|
Mar. 31, 2024 | |
Insider Trading Arrangements [Line Items] | |
Rule 10b5-1 Arrangement Adopted | false |
Non-Rule 10b5-1 Arrangement Adopted | false |
Rule 10b5-1 Arrangement Terminated | false |
Non-Rule 10b5-1 Arrangement Terminated | false |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies) |
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ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Basis of Accounting |
The Trust’s financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which
may require the use of certain estimates made by the Trust’s management. Actual results may differ from these estimates.
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Investments |
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.
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.
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Net Asset Value per Unit |
For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value
by the number of outstanding units.
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Fair Value |
D. Fair Value
The Trust follows the provisions of ASC 820, “Fair Value Measurements and Disclosures” (“ASC 820”). ASC 820 provides guidance for determining fair
value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly
transaction between market participants at the measurement date.
ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad
levels. The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).
Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Trust has the
ability to access at the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The
value of the Trust’s exchange-traded futures contracts and short term investments fall into this category.
Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either
directly or indirectly. This category includes forward currency contracts that the Trust values using models or other valuation methodologies derived from observable market data. For centrally cleared swap contracts, the Trust uses current market
quotations provided by an independent external pricing source to determine fair value. This category also includes fixed income investments.
Level 3 inputs are unobservable inputs for an asset or liability (including the Trust’s own assumptions used in determining the
fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability
at the measurement date. As of March 31, 2024 and December 31, 2023 and for the periods ended March 31, 2024 and 2023, the Trust did not have any Level 3 assets or liabilities.
The following tables set forth by level within the fair value hierarchy the Trust’s investments accounted for at fair value on a recurring basis
as of March 31, 2024 and December 31, 2023.
The gross presentation of the fair value of the Trust’s derivatives by instrument type is shown in Note 12. See Condensed Schedules of Investments
for additional detail categorization.
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Cash and Cash Equivalents |
E. Cash and Cash Equivalents
Cash and cash equivalents includes cash and overnight money market investments at financial institutions.
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Income Taxes |
F. Income Taxes
The Trust prepares calendar year U.S. federal and applicable state tax returns and reports to the unitholders their allocable shares of the
Trust’s income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each unitholder is individually responsible for reporting income or loss based on such unitholder’s
respective share of the Trust’s income and expenses as reported for income tax purposes.
Management has continued to evaluate the application of ASC 740, Income Taxes, to the Trust, and has determined that no reserves for uncertain tax positions were required. There are no tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Trust files federal and state tax
returns. The
tax years generally remain subject to examination by the U.S. federal and most state tax authorities. |
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Offering Costs |
G. Offering Costs
Campbell & Company, LP (“Campbell & Company”) has incurred all costs in connection with the initial and continuous offering of units of
the Trust (“offering costs”). Series A units, Series D units and Series W units will each bear the offering costs incurred in relation to the offering of Series A units, Series D units and Series W units, respectively. Offering costs are charged to
Series A, Series D and Series W at a monthly rate of
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, 2024 and December 31, 2023, the amount of
unreimbursed offering costs incurred by Campbell & Company is $108,890 and $91,015 for Series A units, $120,146 and $128,000 for Series D units and $170,618
and $199,065 for Series W units, respectively.
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Foreign Currency Transactions |
H. Foreign Currency Transactions
The Trust’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and
liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S.
dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income.
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Allocations |
I. Allocations
Income or loss (prior to calculation of the management fee, offering costs and performance fee) is allocated pro rata to each Series of units.
Each Series of units is then charged the management fee, offering costs and performance fee applicable to such Series of units.
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ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Tables) |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2024 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments Accounted for at Fair Value on a Recurring Basis |
The following tables set forth by level within the fair value hierarchy the Trust’s investments accounted for at fair value on a recurring basis
as of March 31, 2024 and December 31, 2023.
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CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES (Tables) |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mar. 31, 2024 | |||||||||||||||||||||||||||||||||||||||||||||||||||
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||
Credit Default Index Swaps |
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, 2024 and December 31, 2023. 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, 2024 and December 31, 2023, the carrying value of such credit derivative contracts purchased was $12,790,687 and $11,078,458, respectively.
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TRADING ACTIVITIES AND RELATED RISKS (Tables) |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2024 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
TRADING ACTIVITIES AND RELATED RISKS [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value of the Trust's Derivatives by Instrument Type and Location of Instruments on the Statements of Financial Condition |
The following tables summarize quantitative information
required by ASC 815, Derivatives and Hedging, (“ASC 815”). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments
affect an entity’s financial position, financial performance and cash flows. The 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, 2024 and December 31, 2023
are as follows:
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Trading Gains and Losses of the Trust's Derivatives by Instrument Type and Location of Gains and Losses on the Statements of Operations |
The trading gains and losses of the Trust’s derivatives by instrument type, as well as the location of those gains and losses on the
Statements of Operations, for the three months ended March 31, 2024 and 2023 are as follows:
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Offsetting of Derivative Assets and Collateral Received by Counterparty |
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Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty |
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ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, General Description of the Trust (Details) |
3 Months Ended |
---|---|
Mar. 31, 2024
USD ($)
| |
Series A [Member] | |
General Description of the Trust [Abstract] | |
Initial minimum subscription | $ 25,000 |
Series D [Member] | |
General Description of the Trust [Abstract] | |
Initial minimum subscription | 25,000 |
Series W [Member] | |
General Description of the Trust [Abstract] | |
Initial minimum subscription | $ 25,000 |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Fair Value (Details) - Fair Value on a Recurring Basis [Member] - USD ($) |
Mar. 31, 2024 |
Dec. 31, 2023 |
---|---|---|
Investments [Abstract] | ||
Short term investments | $ 31,584 | $ 514,524 |
Fixed income securities | 332,226,271 | 330,758,807 |
Total | 349,415,547 | 329,781,881 |
Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 2,089,138 | (10,071,795) |
Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 4,413,241 | (2,485,131) |
Credit Default Index Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 12,790,687 | 11,078,458 |
Interest Rate Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | (2,135,374) | (12,982) |
Level 1 [Member] | ||
Investments [Abstract] | ||
Short term investments | 31,584 | 514,524 |
Fixed income securities | 0 | 0 |
Total | 2,120,722 | (9,557,271) |
Level 1 [Member] | Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 2,089,138 | (10,071,795) |
Level 1 [Member] | Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 1 [Member] | Credit Default Index Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 1 [Member] | Interest Rate Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 2 [Member] | ||
Investments [Abstract] | ||
Short term investments | 0 | 0 |
Fixed income securities | 332,226,271 | 330,758,807 |
Total | 347,294,825 | 339,339,152 |
Level 2 [Member] | Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 2 [Member] | Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 4,413,241 | (2,485,131) |
Level 2 [Member] | Credit Default Index Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 12,790,687 | 11,078,458 |
Level 2 [Member] | Interest Rate Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | (2,135,374) | (12,982) |
Level 3 [Member] | ||
Investments [Abstract] | ||
Short term investments | 0 | 0 |
Fixed income securities | 0 | 0 |
Total | 0 | 0 |
Level 3 [Member] | Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 3 [Member] | Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 3 [Member] | Credit Default Index Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 3 [Member] | Interest Rate Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | $ 0 | $ 0 |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Income Taxes (Details) |
3 Months Ended |
---|---|
Mar. 31, 2024
USD ($)
| |
Income Taxes [Abstract] | |
Reserves for uncertain tax positions | $ 0 |
Increase in unrecognized tax benefits within twelve months | 0 |
Decrease in unrecognized tax benefits within twelve months | $ 0 |
Federal Tax Authority [Member] | |
Income Taxes [Abstract] | |
Open tax years | 2020 2021 2022 2023 |
State Tax Authorities [Member] | |
Income Taxes [Abstract] | |
Open tax years | 2020 2021 2022 2023 |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Offering Costs (Details) - USD ($) |
3 Months Ended | |
---|---|---|
Mar. 31, 2024 |
Dec. 31, 2023 |
|
Series A [Member] | ||
Offering Costs [Abstract] | ||
Monthly offering costs percentage | 0.04167% | |
Annualized offering costs percentage | 0.50% | |
Unreimbursed offering costs | $ 108,890 | $ 91,015 |
Series D [Member] | ||
Offering Costs [Abstract] | ||
Monthly offering costs percentage | 0.04167% | |
Annualized offering costs percentage | 0.50% | |
Unreimbursed offering costs | $ 120,146 | 128,000 |
Series W [Member] | ||
Offering Costs [Abstract] | ||
Monthly offering costs percentage | 0.04167% | |
Annualized offering costs percentage | 0.50% | |
Unreimbursed offering costs | $ 170,618 | $ 199,065 |
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR (Details) |
3 Months Ended |
---|---|
Mar. 31, 2024 | |
Series A [Member] | |
Managing Operator and Commodity Trading Advisor [Abstract] | |
Monthly management fee percentage | 0.167% |
Annualized management fee percentage | 2.00% |
Quarterly performance fee percentage | 20.00% |
Series B [Member] | |
Managing Operator and Commodity Trading Advisor [Abstract] | |
Monthly management fee percentage | 0.167% |
Annualized management fee percentage | 2.00% |
Quarterly performance fee percentage | 20.00% |
Series D [Member] | |
Managing Operator and Commodity Trading Advisor [Abstract] | |
Monthly management fee percentage | 0.167% |
Annualized management fee percentage | 2.00% |
Quarterly performance fee percentage | 20.00% |
Series W [Member] | |
Managing Operator and Commodity Trading Advisor [Abstract] | |
Monthly management fee percentage | 0.167% |
Annualized management fee percentage | 2.00% |
Quarterly performance fee percentage | 20.00% |
SALES COMMISSION (Details) |
3 Months Ended |
---|---|
Mar. 31, 2024 | |
Series A [Member] | |
Sales Commission [Abstract] | |
Upfront sales commission percentage paid by managing operator | 2.00% |
Period of time monthly reimbursement percentage is paid after sale of units | 12 months |
Monthly reimbursement percentage | 0.167% |
Annualized reimbursement percentage | 2.00% |
Period of time after sale of units monthly trail commission percentage commences | 13 months |
Monthly trail commission percentage | 0.167% |
Annualized trail commission percentage | 2.00% |
Series B [Member] | |
Sales Commission [Abstract] | |
Monthly trail commission percentage | 0.167% |
Annualized trail commission percentage | 2.00% |
Series D [Member] | |
Sales Commission [Abstract] | |
Monthly trail commission percentage | 0.063% |
Annualized trail commission percentage | 0.75% |
DEPOSITS WITH INTERBANK MARKET MAKER (Details) |
Mar. 31, 2024
Counterparty
|
---|---|
DEPOSITS WITH INTERBANK MARKET MAKER [Abstract] | |
Number of major rating agencies reporting credit ratings considered investment grade for NatWest | 3 |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (Details) - USD ($) |
3 Months Ended | |
---|---|---|
Mar. 31, 2024 |
Mar. 31, 2023 |
|
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS [Abstract] | ||
Number of business days advance written notice is required for monthly redemptions | 10 days | |
Series A [Member] | ||
Redemption Fees [Abstract] | ||
Period for which redemption fees apply following purchase | 12 months | |
Redemption fee percentage of Net Asset Value per unit redeemed through the second month-end | 1.833% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the third month-end | 1.666% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the fourth month-end | 1.50% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the fifth month-end | 1.333% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the sixth month-end | 1.167% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the seventh month-end | 1.00% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the eighth month-end | 0.833% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the ninth month-end | 0.667% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the tenth month-end | 0.50% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the eleventh month-end | 0.333% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the twelfth month-end | 0.167% | |
Redemption fees received by Campbell & Company | $ 915 | $ 608 |
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES (Details) - Credit Default Index Swaps [Member] - USD ($) |
3 Months Ended | 12 Months Ended |
---|---|---|
Mar. 31, 2024 |
Dec. 31, 2023 |
|
Credit Derivatives and Credit-Related Contingency Features [Abstract] | ||
Carrying value of credit default index swaps purchased | $ 12,790,687 | $ 11,078,458 |
Maturity date | Jun. 30, 2029 | Dec. 31, 2028 |
Notional amount | $ 678,309,651 | $ 651,366,892 |
Investment Grade [Member] | ||
Credit Derivatives and Credit-Related Contingency Features [Abstract] | ||
Notional amount | 531,412,128 | 468,234,947 |
Non-Investment Grade [Member] | ||
Credit Derivatives and Credit-Related Contingency Features [Abstract] | ||
Notional amount | $ 146,897,523 | $ 183,131,945 |
TRADING ACTIVITIES AND RELATED RISKS, Derivatives by Instrument Type and Location of Instruments on the Statements of Financial Condition (Details) - USD ($) |
Mar. 31, 2024 |
Dec. 31, 2023 |
||
---|---|---|---|---|
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | $ 17,157,692 | $ 11,065,476 | ||
Liability derivatives at fair value | 0 | (12,556,926) | ||
Not Designated as Hedging Instruments [Member] | ||||
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | 60,161,603 | 72,044,124 | ||
Liability derivatives at fair value | (43,003,911) | (73,535,574) | ||
Net | 17,157,692 | (1,491,450) | ||
Agriculture Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||||
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | 1,600,544 | 2,891,417 | ||
Liability derivatives at fair value | (2,332,806) | (4,979,129) | ||
Net | (732,262) | (2,087,712) | ||
Energy Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||||
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | 2,245,262 | 713,181 | ||
Liability derivatives at fair value | (187,717) | (3,495,730) | ||
Net | 2,057,545 | (2,782,549) | ||
Metal Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||||
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | 5,527,393 | 6,898,129 | ||
Liability derivatives at fair value | (7,984,083) | (10,044,952) | ||
Net | (2,456,690) | (3,146,823) | ||
Stock Indices Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||||
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | 5,781,680 | 3,118,236 | ||
Liability derivatives at fair value | (653,000) | (1,639,469) | ||
Net | 5,128,680 | 1,478,767 | ||
Short-Term Interest Rate Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||||
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | 592,637 | 774,634 | ||
Liability derivatives at fair value | (215,349) | (1,914,820) | ||
Net | 377,288 | (1,140,186) | ||
Long-Term Interest Rate Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | ||||
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | 627,141 | 653,960 | ||
Liability derivatives at fair value | (2,912,564) | (3,047,252) | ||
Net | (2,285,423) | (2,393,292) | ||
Forward Currency Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Forward Currency Contracts [Member] | ||||
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | 24,402,982 | 41,529,719 | ||
Liability derivatives at fair value | (19,989,741) | (44,014,850) | ||
Net | 4,413,241 | (2,485,131) | ||
Credit Default Index Swap Contracts [Member] | Not Designated as Hedging Instruments [Member] | Credit Default Index Swaps [Member] | ||||
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | [1] | 17,073,987 | 13,971,793 | |
Liability derivatives at fair value | [1] | (4,283,300) | (2,893,335) | |
Net | [1] | 12,790,687 | 11,078,458 | |
Interest Rate Swap Contracts [Member] | Not Designated as Hedging Instruments [Member] | Interest Rate Swaps [Member] | ||||
Derivatives at Fair Value, Net [Abstract] | ||||
Asset derivatives at fair value | [1] | 2,309,977 | 1,493,055 | |
Liability derivatives at fair value | [1] | (4,445,351) | (1,506,037) | |
Net | [1] | $ (2,135,374) | $ (12,982) | |
|
TRADING ACTIVITIES AND RELATED RISKS, Derivatives by Instrument Type (Details) - USD ($) |
3 Months Ended | |
---|---|---|
Mar. 31, 2024 |
Mar. 31, 2023 |
|
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains (losses) | $ 36,544,091 | $ 20,592,802 |
Agriculture Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains (losses) | (2,880,763) | (417,774) |
Energy Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains (losses) | (124,307) | 716,456 |
Metal Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains (losses) | (1,089,738) | 4,464,974 |
Stock Indices Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains (losses) | 37,343,132 | 531,775 |
Short-Term Interest Rate Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains (losses) | 4,377,014 | 1,088,311 |
Long-Term Interest Rate Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains (losses) | (4,438,452) | 1,243,550 |
Forward Currency Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains (losses) | (4,060,779) | 13,558,943 |
Credit Default Index Swap Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains (losses) | 5,012,482 | (300,706) |
Interest Rate Swap Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains (losses) | $ 2,405,502 | $ (292,727) |
TRADING ACTIVITIES AND RELATED RISKS, Location of Gains and Losses on the Statements of Operations (Details) |
3 Months Ended | |||
---|---|---|---|---|
Mar. 31, 2024
USD ($)
Contract
|
Mar. 31, 2023
USD ($)
Contract
|
|||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains (losses) | $ 36,544,091 | $ 20,592,802 | ||
Derivatives [Abstract] | ||||
Average number of months until maturity for open contracts | 3 months | |||
Futures Trading Gains (Losses) - Realized [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains (losses) | [1] | $ 21,025,953 | (692,746) | |
Gains/(losses) on foreign currency cash balances at futures brokers | (30,770) | 12,932 | ||
Futures Trading Gains (Losses) - Change in Unrealized [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains (losses) | 12,160,933 | 8,320,038 | ||
Forward Currency Trading Gains (Losses) - Realized [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains (losses) | [1] | (10,959,151) | 14,176,403 | |
Gains/(losses) on spot trades in connection with forward currency trading at interbank market maker | (7,379,065) | (445,194) | ||
Forward Currency Trading Gains (Losses) - Change in Unrealized [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains (losses) | 6,898,372 | (617,460) | ||
Swap Trading Gains (Losses) - Realized [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains (losses) | [1] | 15,156,235 | 3,427,298 | |
Swap Trading Gains (Losses) - Change in Unrealized [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains (losses) | $ (7,738,251) | $ (4,020,731) | ||
Futures Contracts [Member] | ||||
Derivatives [Abstract] | ||||
Monthly average of contracts bought and sold | Contract | 57,800 | 52,100 | ||
Futures Contracts [Member] | Maximum [Member] | ||||
Derivatives [Abstract] | ||||
Maturity date for open contracts | Jun. 30, 2025 | |||
Forward Currency Contracts [Member] | ||||
Derivatives [Abstract] | ||||
Monthly average notional value | $ 5,655,800,000 | $ 5,393,700,000 | ||
Forward Currency Contracts [Member] | Maximum [Member] | ||||
Derivatives [Abstract] | ||||
Maturity date for open contracts | Jun. 30, 2024 | |||
Centrally Cleared Swap Contracts [Member] | ||||
Derivatives [Abstract] | ||||
Monthly average notional value | $ 9,379,000,000 | $ 3,854,200,000 | ||
Centrally Cleared Swap Contracts [Member] | Maximum [Member] | ||||
Derivatives [Abstract] | ||||
Maturity date for open contracts | Jun. 30, 2029 | |||
|
TRADING ACTIVITIES AND RELATED RISKS, Credit Risk (Details) - USD ($) |
3 Months Ended | |
---|---|---|
Mar. 31, 2024 |
Dec. 31, 2023 |
|
TRADING ACTIVITIES AND RELATED RISKS [Abstract] | ||
Percentage of Net Asset Value required for margin and good faith deposits, low end | 10.00% | |
Percentage of Net Asset Value required for margin and good faith deposits, high end | 30.00% | |
Fair value of securities held to satisfy margin and good faith deposits | $ 57,067,128 | $ 55,103,441 |
Margin and good faith deposits as a percentage of Net Asset Value | 11.00% | 11.00% |
Restricted cash for margin requirements | $ 63,797,593 | $ 92,277,574 |
Restricted cash for margin requirements as a percentage of Net Asset Value | 12.00% | 19.00% |
Maximum margin-to-equity ratio | 30.00% |
TRADING ACTIVITIES AND RELATED RISKS, Offsetting of Derivative Assets and Collateral Received by Counterparty (Details) - USD ($) |
Mar. 31, 2024 |
Dec. 31, 2023 |
||
---|---|---|---|---|
Offsetting of Derivative Assets by Counterparty [Abstract] | ||||
Gross amounts of recognized assets | $ 60,161,603 | $ 72,044,124 | ||
Gross amounts offset in the Statements of Financial Condition | (43,003,911) | (60,978,648) | ||
Net amounts of unrealized gain presented in the Statements of Financial Condition | 17,157,692 | 11,065,476 | ||
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||||
Net amounts of unrealized gain presented in the Statements of Financial Condition | 17,157,692 | 11,065,476 | ||
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 | ||
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 | ||
Net amount | 17,157,692 | 11,065,476 | ||
Futures Contracts [Member] | UBS Securities LLC [Member] | Exchange-Traded [Member] | ||||
Offsetting of Derivative Assets by Counterparty [Abstract] | ||||
Gross amounts of recognized assets | 8,238,621 | 7,705,322 | ||
Gross amounts offset in the Statements of Financial Condition | (7,207,519) | (7,705,322) | ||
Net amounts of unrealized gain presented in the Statements of Financial Condition | 1,031,102 | 0 | ||
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||||
Net amounts of unrealized gain presented in the Statements of Financial Condition | 1,031,102 | 0 | ||
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 | ||
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 | ||
Net amount | 1,031,102 | 0 | ||
Futures Contracts [Member] | Goldman, Sachs & Co. [Member] | Exchange-Traded [Member] | ||||
Offsetting of Derivative Assets by Counterparty [Abstract] | ||||
Gross amounts of recognized assets | 8,136,036 | 7,344,235 | ||
Gross amounts offset in the Statements of Financial Condition | (7,078,000) | (7,344,235) | ||
Net amounts of unrealized gain presented in the Statements of Financial Condition | 1,058,036 | 0 | ||
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||||
Net amounts of unrealized gain presented in the Statements of Financial Condition | 1,058,036 | 0 | ||
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 | ||
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 | ||
Net amount | 1,058,036 | 0 | ||
Forward Currency Contracts [Member] | NatWest Markets Plc [Member] | Over-the-Counter [Member] | ||||
Offsetting of Derivative Assets by Counterparty [Abstract] | ||||
Gross amounts of recognized assets | 24,402,982 | 41,529,719 | ||
Gross amounts offset in the Statements of Financial Condition | (19,989,741) | (41,529,719) | ||
Net amounts of unrealized gain presented in the Statements of Financial Condition | 4,413,241 | 0 | ||
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||||
Net amounts of unrealized gain presented in the Statements of Financial Condition | 4,413,241 | 0 | ||
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 | ||
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 | ||
Net amount | 4,413,241 | 0 | ||
Centrally Cleared Swap Contracts [Member] | Exchange-Traded [Member] | ||||
Offsetting of Derivative Assets by Counterparty [Abstract] | ||||
Gross amounts of recognized assets | [1] | 19,383,964 | 15,464,848 | |
Gross amounts offset in the Statements of Financial Condition | [1] | (8,728,651) | (4,399,372) | |
Net amounts of unrealized gain presented in the Statements of Financial Condition | [1] | 10,655,313 | 11,065,476 | |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||||
Net amounts of unrealized gain presented in the Statements of Financial Condition | [1] | 10,655,313 | 11,065,476 | |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 | ||
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 | ||
Net amount | $ 10,655,313 | $ 11,065,476 | ||
|
TRADING ACTIVITIES AND RELATED RISKS, Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty (Details) - USD ($) |
Mar. 31, 2024 |
Dec. 31, 2023 |
---|---|---|
Offsetting of Derivative Liabilities by Counterparty [Abstract] | ||
Gross amounts of recognized liabilities | $ 43,003,911 | $ 73,535,574 |
Gross amounts offset in the Statements of Financial Condition | (43,003,911) | (60,978,648) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 12,556,926 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 12,556,926 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | (12,556,926) |
Net amount | 0 | 0 |
Futures Contracts [Member] | UBS Securities LLC [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Liabilities by Counterparty [Abstract] | ||
Gross amounts of recognized liabilities | 7,207,519 | 12,209,145 |
Gross amounts offset in the Statements of Financial Condition | (7,207,519) | (7,705,322) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 4,503,823 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 4,503,823 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | (4,503,823) |
Net amount | 0 | 0 |
Futures Contracts [Member] | Goldman, Sachs & Co. [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Liabilities by Counterparty [Abstract] | ||
Gross amounts of recognized liabilities | 7,078,000 | 12,912,207 |
Gross amounts offset in the Statements of Financial Condition | (7,078,000) | (7,344,235) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 5,567,972 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 5,567,972 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | (5,567,972) |
Net amount | 0 | 0 |
Forward Currency Contracts [Member] | NatWest Markets Plc [Member] | Over-the-Counter [Member] | ||
Offsetting of Derivative Liabilities by Counterparty [Abstract] | ||
Gross amounts of recognized liabilities | 19,989,741 | 44,014,850 |
Gross amounts offset in the Statements of Financial Condition | (19,989,741) | (41,529,719) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 2,485,131 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 2,485,131 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | (2,485,131) |
Net amount | 0 | 0 |
Centrally Cleared Swap Contracts [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Liabilities by Counterparty [Abstract] | ||
Gross amounts of recognized liabilities | 8,728,651 | 4,399,372 |
Gross amounts offset in the Statements of Financial Condition | (8,728,651) | (4,399,372) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | 0 |
Net amount | $ 0 | $ 0 |
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