þ
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Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the quarterly period ended March 31, 2012
|
o
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Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the transition period from to
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Commission File number: 000-50264 |
THE CAMPBELL FUND TRUST |
(Exact name of Registrant as specified in charter) |
Delaware
|
94-6260018
|
|
(State of Organization) | (IRS Employer Identification Number | |
|
2850 Quarry Lake Drive | ||
Baltimore, Maryland 21209 | ||
(Address of principal executive offices, including zip code) | ||
(410) 413-2600 | ||
(Registrant's telephone number, including area code) |
Large accelerated filer o
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Accelerated filer o
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Non-accelerated filer o
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Smaller reporting company þ
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(Do not check if a smaller reporting company)
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Page | ||||||||
PART I — FINANCIAL INFORMATION
|
||||||||
Item 1.
|
Financial Statements.
|
|||||||
Condensed Schedules of Investments as of March 31, 2012 and December 31, 2011 (Unaudited)
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3-6
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|||||||
Statements of Financial Condition as of March 31, 2012 and December 31, 2011 (Unaudited)
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7
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|||||||
Statements of Operations for the Three Months Ended March 31, 2012 and 2011 (Unaudited)
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8
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|||||||
Statements of Cash Flows for the Three Months Ended March 31, 2012 and 2011 (Unaudited)
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9
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|||||||
Statements of Changes in Unitholders’ Capital (Net Asset Value) for the Three Months Ended March 31, 2012 and 2011 (Unaudited)
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10-11
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|||||||
Financial Highlights for the Three Months Ended March 31, 2012 and 2011 (Unaudited)
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12-14
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|||||||
Notes to Financial Statements (Unaudited)
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15-20
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|||||||
Item 2.
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Management’s Discussion and Analysis of Financial Condition and Results of Operations.
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21-25
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||||||
Item 3.
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Quantitative and Qualitative Disclosure About Market Risk.
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26-31
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||||||
Item 4.
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Controls and Procedures.
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31
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||||||
PART II — OTHER INFORMATION
|
||||||||
Item 1. | Legal Proceedings. | 32 | ||||||
Item 1A. | Risk Factors. | 32 | ||||||
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds. | 32 | ||||||
Item 3. | Defaults Upon Senior Securities. | 32 | ||||||
Item 4. | Mine Safety Disclosures. | 32 | ||||||
Item 5. | Other Information. | 32 | ||||||
Item 6.
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Exhibits.
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32
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||||||
SIGNATURES
|
33
|
FIXED INCOME SECURITIES | ||||||||
Maturity Face Value |
Description | Values ($) |
% of Net Asset Value |
|||||
Bank Deposits | ||||||||
Australia | ||||||||
Financials |
$10,397,072
|
2.68 %
|
||||||
Total Australia (cost $10,400,000) |
$10,397,072
|
2.68 %
|
||||||
Canada | ||||||||
Financials |
$25,263,305
|
6.52 %
|
||||||
(cost $25,258,612) |
|
|
||||||
Finland | ||||||||
Financials |
$9,290,607
|
2.40 %
|
||||||
(cost $9,299,907) |
|
|
||||||
United States | ||||||||
Financials |
$13,985,990
|
3.61 %
|
||||||
(cost $14,000,000) |
|
|
||||||
Total Bank Deposits (cost $58,958,519) |
$58,936,974
|
15.21 %
|
||||||
Commercial Paper | ||||||||
United States | ||||||||
$12,500,000
|
Financials ING America Insurance Holdings, Inc. Due 04/02/2012 |
$12,499,864
|
3.23 %
|
|||||
$12,500,000
|
ING America Insurance Holdings, Inc. Due 04/26/2012 |
$12,496,785
|
3.23 %
|
|||||
Other |
$24,992,323
|
6.45 %
|
||||||
$28,140,000
|
Industrials Dairy Farmers of America, Inc. Due 04/02/2012 |
$28,140,000
|
7.26 %
|
|||||
$25,000,000
|
Johnson Controls, Inc Due 04/02/2012 |
$25,000,000
|
6.45 %
|
|||||
Other |
$12,499,479
|
3.23 %
|
||||||
Materials |
$12,999,458
|
3.36 %
|
||||||
Total United States (cost $128,616,622) |
$128,627,909
|
33.21 %
|
||||||
Corporate Bonds | ||||||||
Switzerland | ||||||||
Financials |
$6,497,614
|
1.68 %
|
||||||
Total Switzerland (cost $6,497,035) |
$6,497,614
|
1.68 %
|
||||||
United States | ||||||||
Financials |
$48,975,910
|
12.64 %
|
||||||
Materials |
$4,001,788
|
1.03 %
|
||||||
Total United States (cost $52,891,317) |
$52,977,698
|
13.67 %
|
||||||
Total Corporate Bonds (cost $59,388,352) |
$59,475,312
|
15.35 %
|
||||||
Government And Agency Obligations | ||||||||
United States | ||||||||
$5,000,000
|
U.S. Government Agency FNMA 0.75% Due 12/06/2013 |
$5,001,500
|
1.29 %
|
|||||
$15,000,000
|
FNMA 4.625% Due 05/01/2013 |
$15,657,570
|
4.04 %
|
|||||
Other |
$25,000,640
|
6.46 %
|
||||||
$30,000,000
|
US Treasury Bill U.S. Treasury Bills* Due 05/31/2012 |
$29,997,250
|
7.74 %
|
|||||
$16,375,000
|
U.S. Treasury Bills* Due 06/28/2012 |
$16,371,998
|
4.23 %
|
|||||
Total United States (cost $92,035,957) |
$92,028,958
|
23.76 %
|
||||||
Short Term Investment Funds | ||||||||
United States | ||||||||
Short Term Investment Funds |
$242
|
0.00 %
|
||||||
Total United States (cost $ 242) |
$242
|
0.00 %
|
||||||
Total Fixed Income Securities (cost $338,999,692) |
$339,069,395
|
87.53 %
|
||||||
LONG FUTURES CONTRACTS | ||||||||
Description | Values ($) |
% of Net Asset Value |
||||||
Agriculture |
$666,222
|
0.17 %
|
||||||
Energy |
$(1,267,181)
|
(0.33)%
|
||||||
Metals |
$(549,263)
|
(0.14)%
|
||||||
Stock indices |
$708,806
|
0.18 %
|
||||||
Short-term interest rates |
$1,115,706
|
0.29 %
|
||||||
Long-term interest rates |
$641,441
|
0.17 %
|
||||||
Total long futures contracts |
$1,315,731
|
0.34 %
|
||||||
SHORT FUTURES CONTRACTS | ||||||||
Description | Values ($) |
% of Net Asset Value |
||||||
Agriculture |
$1,464,828
|
0.38 %
|
||||||
Energy |
$2,548,840
|
0.66 %
|
||||||
Metals |
$878,122
|
0.23 %
|
||||||
Stock indices |
$402,871
|
0.10 %
|
||||||
Short-term interest rates |
$(703,534)
|
(0.18)%
|
||||||
Long-term interest rates |
$(1,195,689)
|
(0.31)%
|
||||||
Total short futures contracts |
$3,395,438
|
0.88 %
|
||||||
Total futures contracts |
$4,711,169
|
1.22 %
|
||||||
FORWARD CURRENCY CONTRACTS | ||||||||
Description | Values ($) |
% of Net Asset Value |
||||||
Various long forward currency contracts |
$(442,643)
|
(0.11)%
|
||||||
Various short forward currency contracts |
$(846,683)
|
(0.22)%
|
||||||
Total forward currency contracts |
$(1,289,326)
|
(0.33)%
|
||||||
*
|
Pledged as collateral for the trading of futures and forward positions. |
FIXED INCOME SECURITIES | ||||||||
Maturity Face Value |
Description | Values ($) |
% of Net Asset Value |
|||||
Bank Deposits | ||||||||
Canada | ||||||||
Financials |
$12,767,798
|
3.41 %
|
||||||
(cost $12,764,148) | ||||||||
Netherlands | ||||||||
Financials |
$12,499,978
|
3.34 %
|
||||||
(cost $12,500,000) |
|
|
||||||
Total Bank Deposits (cost $25,264,148) |
$25,267,776
|
6.75 %
|
||||||
Commercial Paper | ||||||||
United States | ||||||||
$10,075,000
|
Financials ING America Insurance Holdings Inc. Due 01/03/2012 |
$10,074,922
|
2.69 %
|
|||||
$12,000,000
|
ING America Insurance Holdings Inc. Due 01/04/2012 |
$11,999,533
|
3.20 %
|
|||||
Other |
$11,999,140
|
3.20 %
|
||||||
Materials |
$12,478,321
|
3.33 %
|
||||||
Services |
$12,499,320
|
3.34 %
|
||||||
Utilities |
$39,618,269
|
10.58 %
|
||||||
Total United States (cost $98,665,851) |
$98,669,505
|
26.34 %
|
||||||
Corporate Bonds | ||||||||
Switzerland | ||||||||
Financials |
$6,529,664
|
1.74 %
|
||||||
(cost $6,543,542) | ||||||||
United States | ||||||||
Financials |
$52,348,609
|
13.98 %
|
||||||
Materials |
$4,054,837
|
1.08 %
|
||||||
Total United States (cost $56,307,036) |
$56,403,446
|
15.06 %
|
||||||
Total Corporate Bonds (cost $62,850,578) |
$62,933,110
|
16.80 %
|
||||||
Government And Agency Obligations | ||||||||
United States | ||||||||
$16,625,000
|
U.S. Government Agency Federal Home Loan Mortgage Corp. 0.5% Due 02/08/2013 |
$16,627,660
|
4.44 %
|
|||||
$12,500,000
|
Federal Home Loan Mortgage Corp. 0.55% Due 09/09/2013 |
$12,484,700
|
3.33 %
|
|||||
$10,000,000
|
Federal Home Loan Mortgage Corp. 0.6% Due 08/22/2013 |
$10,003,600
|
2.67 %
|
|||||
$13,000,000
|
Federal Home Loan Mortgage Corp. 0.6% Due 10/25/2013 |
$13,001,794
|
3.47 %
|
|||||
$12,000,000
|
Federal Home Loan Mortgage Corp. Step Up #TR 00424 Due 07/26/2013 |
$11,991,840
|
3.20 %
|
|||||
Other |
$4,997,900
|
1.33 %
|
||||||
$16,400,000
|
U.S. Treasury Bill U.S. Treasury Bills* Due 02/02/2012 |
$16,400,000
|
4.38 %
|
|||||
|
|
|
||||||
Total United States (cost $85,525,947) |
$85,507,494
|
22.82 %
|
||||||
Short Term Investments | ||||||||
United States | ||||||||
Short Term Investments |
$127
|
0.00 %
|
||||||
(cost $ 127) | ||||||||
Total Fixed Income Securities (cost $272,306,651) |
$272,378,012
|
72.71 %
|
||||||
LONG FUTURES CONTRACTS | ||||||||
Description | Values ($) |
% of Net Asset Value |
||||||
Agriculture |
$58,376
|
0.01 %
|
||||||
Energy |
$(27,330)
|
(0.01)%
|
||||||
Metals |
$102,079
|
0.03 %
|
||||||
Stock indices |
$860,496
|
0.23 %
|
||||||
Short-term interest rates |
$566,770
|
0.15 %
|
||||||
Long-term interest rates |
$4,454,229
|
1.19 %
|
||||||
Total long futures contracts |
$6,014,620
|
1.60 %
|
||||||
SHORT FUTURES CONTRACTS | ||||||||
Description | Values ($) |
% of Net Asset Value |
||||||
Agriculture |
$(2,673,080)
|
(0.71)%
|
||||||
Energy |
$862,051
|
0.23 %
|
||||||
Metals |
$1,629,572
|
0.43 %
|
||||||
Stock indices |
$172,827
|
0.05 %
|
||||||
Short-term interest rates |
$(821)
|
0.00 %
|
||||||
Total short futures contracts |
$(9,451)
|
0.00 %
|
||||||
Total futures contracts |
$6,005,169
|
1.60 %
|
||||||
FORWARD CURRENCY CONTRACTS | ||||||||
Description | Values ($) |
% of Net Asset Value |
||||||
Various long forward currency contracts |
$105,868
|
0.03 %
|
||||||
Various short forward currency contracts |
$7,903,682
|
2.11 %
|
||||||
Total forward currency contracts |
$8,009,550
|
2.14 %
|
||||||
*
|
Pledged as collateral for the trading of forward positions. |
March 31,
2012 |
December 31,
2011 |
||
ASSETS | |||
Equity in futures broker trading accounts | |||
Cash |
$18,672,840
|
$49,135,636
|
|
Restricted cash |
20,660,588
|
34,189,502
|
|
Fixed income securities - (cost $29,997,250 and $ 0, respectively) |
29,997,250
|
0
|
|
Net unrealized gain (loss) on open futures contracts |
4,711,169
|
6,005,169
|
|
Total equity in futures broker trading accounts |
74,041,847
|
89,330,307
|
|
Cash and cash equivalents |
12,002,442
|
8,935,724
|
|
Fixed income securities (cost $309,002,442 and $272,306,651, respectively) |
309,072,145
|
272,378,012
|
|
Net unrealized gain (loss) on open forward currency contracts |
(1,289,326)
|
8,009,550
|
|
Interest receivable |
581,643
|
405,242
|
|
Subscriptions receivable |
17,581
|
0
|
|
Total assets |
$394,426,332
|
$379,058,835
|
|
LIABILITIES | |||
Accounts payable |
$102,659
|
$125,238
|
|
Management fee |
1,253,613
|
1,205,071
|
|
Service fee |
8,184
|
7,149
|
|
Accrued commissions and other trading fees on open contracts |
60,437
|
42,489
|
|
Offering costs payable |
72,017
|
63,138
|
|
Redemptions payable |
5,564,119
|
2,983,337
|
|
Total liabilities |
7,061,029
|
4,426,422
|
|
UNITHOLDERS' CAPITAL (Net Asset Value) | |||
Series A Units - Redeemable | |||
Other Unitholders - 62,908.790 and 57,271.409 units outstanding at March 31, 2012 and December 31, 2011 |
159,032,217
|
140,986,636
|
|
Series B Units - Redeemable | |||
Managing Operator - 20.360 units outstanding at March 31, 2012 and December 31, 2011 |
52,628
|
51,185
|
|
Other Unitholders - 80,401.190 and 85,812.139 units outstanding at March 31, 2012 and December 31, 2011 |
207,828,057
|
215,730,706
|
|
Series W Units - Redeemable | |||
Other Unitholders - 7,747.641 and 6,975.389 units outstanding at March 31, 2012 and December 31, 2011 |
20,452,401
|
17,863,886
|
|
Total unitholders' capital (Net Asset Value) |
387,365,303
|
374,632,413
|
|
Total liabilities and unitholders' capital (Net Asset Value) |
$394,426,332
|
$379,058,835
|
Three Months Ended
March 31, |
|||
2012
|
2011
|
||
TRADING GAINS (LOSSES) | |||
Futures trading gains (losses) | |||
Realized |
$14,772,850
|
$(4,754,747)
|
|
Change in unrealized |
(1,294,000)
|
(3,448,650)
|
|
Brokerage commissions |
(439,333)
|
(234,584)
|
|
Net gain (loss) from futures trading |
13,039,517
|
(8,437,981)
|
|
Forward currency and options on forward | |||
currency trading gains (losses) | |||
Realized |
10,539,068
|
934,261
|
|
Change in unrealized |
(9,298,876)
|
(7,298,339)
|
|
Brokerage commissions |
(16,534)
|
(31,742)
|
|
Net gain (loss) from forward currency and options on forward currency trading |
1,223,658
|
(6,395,820)
|
|
Total net trading gain (loss) |
14,263,175
|
(14,833,801)
|
|
NET INVESTMENT INCOME (LOSS) | |||
Investment income | |||
Interest income |
330,331
|
336,270
|
|
Realized gain (loss) on fixed income securities |
11,431
|
4,861
|
|
Change in unrealized gain (loss) on fixed income securities |
(1,658)
|
(8,562)
|
|
Total investment income |
340,104
|
332,569
|
|
Expenses | |||
Management fee |
3,803,758
|
3,413,311
|
|
Service fee |
24,079
|
14,569
|
|
Performance fee |
11
|
0
|
|
Operating expenses |
139,067
|
132,359
|
|
Total expenses |
3,966,915
|
3,560,239
|
|
Net investment income (loss) |
(3,626,811)
|
(3,227,670)
|
|
NET INCOME (LOSS) |
$10,636,364
|
$(18,061,471)
|
|
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS UNIT |
|||
(based on weighted average number of units outstanding during the period) | |||
Series A (weighted average number of units outstanding are 58,731.710 and 29,329.199, repectively) |
$65.35
|
$(145.78)
|
|
Series B (weighted average number of units outstanding are 84,017.231 and 98,984.566, respectively) |
$74.23
|
$(133.41)
|
|
Series W (weighted average number of units outstanding are 7,211.096 and 4,401.002, respectively) |
$77.83
|
$(131.85)
|
|
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS UNIT |
|||
Series A |
$66.25
|
$(135.38)
|
|
Series B |
$70.90
|
$(134.06)
|
|
Series W |
$78.83
|
$(128.66)
|
Three Months Ended March 31, |
|||
2012
|
2011
|
||
Cash flows from (for) operating activities | |||
Net income (loss) |
$10,636,364
|
$(18,061,471)
|
|
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | |||
Net change in unrealized |
10,594,534
|
10,755,551
|
|
(Increase) decrease in restricted cash |
13,528,914
|
0
|
|
(Increase) decrease in option premiums paid |
0
|
340,993
|
|
Increase (decrease) in option premiums received |
0
|
190,091
|
|
(Increase) decrease in interest receivable |
(176,401)
|
(47,841)
|
|
Increase (decrease) in accounts payable and accrued expenses |
44,946
|
(389,411)
|
|
Purchases of investments in fixed income securities |
(3,808,157,104)
|
(3,259,958,009)
|
|
Sales/maturities of investments in fixed income securities |
3,741,464,063
|
3,243,109,825
|
|
Net cash from (for) operating activities |
(32,064,684)
|
(24,060,272)
|
|
Cash flows from (for) financing activities | |||
Addition of units |
19,457,830
|
24,820,710
|
|
Redemption of units |
(14,585,759)
|
(8,275,120)
|
|
Offering costs paid |
(203,465)
|
(103,565)
|
|
Net cash from (for) financing activities |
4,668,606
|
16,442,025
|
|
Net increase (decrease) in cash and cash equivalents |
(27,396,078)
|
(7,618,247)
|
|
Unrestricted cash | |||
Beginning of period |
58,071,360
|
59,836,098
|
|
End of period |
$30,675,282
|
$52,217,851
|
|
End of period cash and cash equivalents consists of: | |||
Cash in broker trading accounts |
$18,672,840
|
$37,549,104
|
|
Cash and cash equivalents |
12,002,442
|
14,668,747
|
|
Total end of period cash and cash equivalents |
$30,675,282
|
$52,217,851
|
Unitholders’ Capital - Series B
|
|||||||||||
Managing Operator
|
Other Unitholders
|
Total
|
|||||||||
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
||||||
Three Months Ended March 31, 2012 | |||||||||||
Balances at December 31, 2011 |
20.360
|
$51,185
|
85,812.139
|
$215,730,706
|
85,832.499
|
$215,781,891
|
|||||
Net income (loss) for the three months ended | |||||||||||
March 31, 2012 |
1,443
|
6,235,460
|
6,236,903
|
||||||||
Additions |
0.000
|
0
|
46.978
|
125,006
|
46.978
|
125,006
|
|||||
Redemptions |
0.000
|
0
|
(5,457.927)
|
(14,263,115)
|
(5,457.927)
|
(14,263,115)
|
|||||
Balances at March 31, 2012 |
20.360
|
$52,628
|
80,401.190
|
$207,828,057
|
80,421.550
|
$207,880,685
|
|||||
Three Months Ended March 31, 2011 | |||||||||||
Balances at December 31, 2010 |
20.360
|
$54,087
|
99,342.853
|
$263,905,408
|
99,363.213
|
$263,959,495
|
|||||
Net income (loss) for the three months ended | |||||||||||
March 31, 2011 |
(2,729)
|
(13,202,713)
|
(13,205,442)
|
||||||||
Additions |
0.000
|
0
|
295.821
|
772,305
|
295.821
|
772,305
|
|||||
Redemptions |
0.000
|
0
|
(2,531.255)
|
(6,526,372)
|
(2,531.255)
|
(6,526,372)
|
|||||
Balances at March 31, 2011 |
20.360
|
$51,358
|
97,107.419
|
$244,948,628
|
97,127.779
|
$244,999,986
|
Net Asset Value per Managing Operator and Other Unitholders’ Unit - Series B
|
||||||
March 31, 2012
|
December 31, 2011
|
March 31, 2011
|
December 31, 2010
|
|||
$2,584.89
|
$2,513.99
|
$2,522.45
|
$2,656.51
|
Unitholders’ Capital
|
|||||||
Series A - Other Unitholders
|
Series W - Other Unitholders
|
||||||
Units
|
Amount
|
Units
|
Amount
|
||||
Three Months Ended March 31, 2012 | |||||||
Balances at December 31, 2011 |
57,271.409
|
$140,986,636
|
6,975.389
|
$17,863,886
|
|||
Net income (loss) for the three months ended | |||||||
March 31, 2012 |
3,838,207
|
561,254
|
|||||
Additions |
6,621.366
|
16,915,768
|
917.407
|
2,434,637
|
|||
Redemptions |
(983.985)
|
(2,520,129)
|
(145.155)
|
(383,297)
|
|||
Offering costs |
(188,265)
|
(24,079)
|
|||||
Balances at March 31, 2012 |
62,908.790
|
$159,032,217
|
7,747.641
|
$20,452,401
|
|||
Three Months Ended March 31, 2011 | |||||||
Balances at December 31, 2010 |
27,273.338
|
$71,343,164
|
4,160.119
|
$11,146,969
|
|||
Net income (loss) for the three months ended | |||||||
March 31, 2011 |
(4,275,742)
|
(580,287)
|
|||||
Additions |
8,193.623
|
21,008,088
|
1,222.342
|
3,181,004
|
|||
Redemptions |
(87.870)
|
(223,884)
|
(150.627)
|
(387,656)
|
|||
Offering costs |
(94,586)
|
(14,569)
|
|||||
Balances at March 31, 2011 |
35,379.091
|
$87,757,040
|
5,231.834
|
$13,345,461
|
Net Asset Value per Other Unitholders’ Unit - Series A
|
||||||
March 31, 2012
|
December 31, 2011
|
March 31, 2011
|
December 31, 2010
|
|||
$2,527.98
|
$2,461.73
|
$2,480.48
|
$2,615.86
|
|||
Net Asset Value per Other Unitholders’ Unit - Series W
|
||||||
March 31, 2012
|
December 31, 2011
|
March 31, 2011
|
December 31, 2010
|
|||
$2,639.82
|
$2,560.99
|
$2,550.82
|
$2,679.48
|
Series A
|
|||
Three Months Ended March 31, |
|||
2012
|
2011
|
||
Per Unit Performance | |||
(for a unit outstanding throughout the entire period) | |||
Net asset value per unit at beginning of period |
$2,461.73
|
$2,615.86
|
|
Income (loss) from operations: | |||
Total net trading gains (losses) (1) |
93.78
|
(107.84)
|
|
Net investment income (loss)(1) |
(24.32)
|
(24.32)
|
|
Total net income (loss) from operations |
69.46
|
(132.16)
|
|
Offering costs (1) |
(3.21)
|
(3.22)
|
|
Net asset value per unit at end of period |
$2,527.98
|
$2,480.48
|
|
Total Return (4) |
2.69 %
|
(5.18)%
|
|
Supplemental Data | |||
Ratios to average net asset value: | |||
Expenses prior to performance fee (3) |
4.17 %
|
4.04 %
|
|
Performance fee (4) |
0.00 %
|
0.00 %
|
|
Total expenses |
4.17 %
|
4.04 %
|
|
Net investment income (loss) (2,3) |
(3.82)%
|
(3.72)%
|
Total returns are calculated based on the change in value of a unit during the period. An individual unitholder's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions. |
|
(1) | Net investment income (loss) per unit and offering costs per unit is calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. |
(2) | Excludes performance fee. |
(3) | Annualized. |
(4) | Not annualized. |
Series B
|
|||
Three Months Ended March 31, |
|||
2012
|
2011
|
||
Per Unit Performance | |||
(for a unit outstanding throughout the entire period) | |||
Net asset value per unit at beginning of period |
$2,513.99
|
$2,656.51
|
|
Income (loss) from operations: | |||
Total net trading gains (losses) (1) |
95.75
|
(109.33)
|
|
Net investment income (loss)(1) |
(24.85)
|
(24.73)
|
|
Total net income (loss) from operations |
70.90
|
(134.06)
|
|
Net asset value per unit at end of period |
$2,584.89
|
$2,522.45
|
|
Total Return (4) |
2.82 %
|
(5.05)%
|
|
Supplemental Data | |||
Ratios to average net asset value: | |||
Expenses prior to performance fee (3) |
4.22 %
|
4.10 %
|
|
Performance fee (4) |
0.00 %
|
0.00 %
|
|
Total expenses |
4.22 %
|
4.10 %
|
|
Net investment income (loss) (2,3) |
(3.86)%
|
(3.77)%
|
Total returns are calculated based on the change in value of a unit during the period. An individual unitholder's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions. |
|
(1) | Net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. |
(2) | Excludes performance fee. |
(3) | Annualized. |
(4) | Not annualized. |
Series W
|
|||
Three Months Ended March 31, |
|||
2012
|
2011
|
||
Per Unit Performance | |||
(for a unit outstanding throughout the entire period) | |||
Net asset value per unit at beginning of period |
$2,560.99
|
$2,679.48
|
|
Income (loss) from operations: | |||
Total net trading gains (losses) (1) |
97.50
|
(110.33)
|
|
Net investment income (loss)(1) |
(15.33)
|
(15.02)
|
|
Total net income (loss) from operations |
82.17
|
(125.35)
|
|
Offering costs (1) |
(3.34)
|
(3.31)
|
|
Net asset value per unit at end of period |
$2,639.82
|
$2,550.82
|
|
Total Return (4) |
3.08 %
|
(4.80)%
|
|
Supplemental Data | |||
Ratios to average net asset value: | |||
Expenses prior to performance fee (3) |
2.66 %
|
2.56 %
|
|
Performance fee (4) |
0.00 %
|
0.00 %
|
|
Total expenses |
2.66 %
|
2.56 %
|
|
Net investment income (loss) (2,3) |
(2.31)%
|
(2.24)%
|
Total returns are calculated based on the change in value of a unit during the period. An individual unitholder's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions. |
|
(1) | Net investment income (loss) per unit and offering costs per unit is 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, 2012
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Fixed income securities
|
$ | 0 | $ | 339,069,395 | $ | 0 | $ | 339,069,395 | ||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
4,711,169 | 0 | 0 | 4,711,169 | ||||||||||||
Forward currency contracts
|
0 | (1,289,326 | ) | 0 | (1,289,326 | ) | ||||||||||
Total
|
$ | 4,711,169 | $ | 337,780,069 | $ | 0 | $ | 342,491,238 |
Fair Value at December 31, 2011
|
||||||||||||||||
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Fixed income securities
|
$ | 0 | $ | 272,378,012 | $ | 0 | $ | 272,378,012 | ||||||||
Other Financial Instruments
|
||||||||||||||||
Exchange-traded futures contracts
|
6,005,169 | 0 | 0 | 6,005,169 | ||||||||||||
Forward currency contracts
|
0 | 8,009,550 | 0 | 8,009,550 | ||||||||||||
Total
|
$ | 6,005,169 | $ | 280,387,562 | $ | 0 | $ | 286,392,731 |
Type of Instrument *
|
Statements of Financial
Condition Location
|
Asset
Derivatives at
March 31, 2012
Fair Value
|
Liability
Derivatives at
March 31, 2012
Fair Value
|
Net
|
||||||||||
Agriculture Contracts
|
Equity in futures broker trading accounts
|
$ | 3,636,141 | $ | (1,505,091 | ) | $ | 2,131,050 | ||||||
Energy Contracts
|
Equity in futures broker trading accounts
|
2,603,276 | (1,321,617 | ) | 1,281,659 | |||||||||
Metal Contracts
|
Equity in futures broker trading accounts
|
1,093,206 | (764,347 | ) | 328,859 | |||||||||
Stock Indices Contracts
|
Equity in futures broker trading accounts
|
3,029,729 | (1,918,052 | ) | 1,111,677 | |||||||||
Short-Term Interest Rate Contracts
|
Equity in futures broker trading accounts
|
1,217,228 | (805,056 | ) | 412,172 | |||||||||
Long-Term Interest Rate Contracts
|
Equity in futures broker trading accounts
|
2,337,539 | (2,891,787 | ) | (554,248 | ) | ||||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
6,364,013 | (7,653,339 | ) | (1,289,326 | ) | ||||||||
Totals
|
$ | 20,281,132 | $ | (16,859,289 | ) | $ | 3,421,843 | |||||||
* Derivatives not designated as hedging instruments under ASC 815
|
Type of Instrument *
|
Statements of Financial
Condition Location
|
Asset
Derivatives at
December 31, 2011
Fair Value
|
Liability
Derivatives at
December 31, 2011
Fair Value
|
Net
|
||||||||||
Agriculture Contracts
|
Equity in futures broker trading accounts
|
$ | 561,871 | $ | (3,176,575 | ) | $ | (2,614,704 | ) | |||||
Energy Contracts
|
Equity in futures broker trading accounts
|
1,069,580 | (234,859 | ) | 834,721 | |||||||||
Metal Contracts
|
Equity in futures broker trading accounts
|
2,315,558 | (583,907 | ) | 1,731,651 | |||||||||
Stock Indices Contracts
|
Equity in futures broker trading accounts
|
1,166,337 | (133,014 | ) | 1,033,323 | |||||||||
Short-Term Interest Rate Contracts
|
Equity in futures broker trading accounts
|
1,049,308 | (483,359 | ) | 565,949 | |||||||||
Long-Term Interest Rate Contracts
|
Equity in futures broker trading accounts
|
4,648,643 | (194,414 | ) | 4,454,229 | |||||||||
Forward Currency Contracts
|
Net unrealized gain (loss) on open forward currency contracts
|
12,831,895 | (4,822,345 | ) | 8,009,550 | |||||||||
Totals
|
$ | 23,643,192 | $ | (9,628,473 | ) | $ | 14,014,719 | |||||||
* Derivatives not designated as hedging instruments under ASC 815
|
Type of Instrument
|
Trading Gains (Losses) for
the Three Months Ended
March 31, 2012
|
Trading Gains (Losses) for
the Three Months Ended
March 31, 2011
|
||||||
Agriculture Contracts
|
$ | 2,757,445 | $ | (127,779 | ) | |||
Energy Contracts
|
15,132,430 | 6,928,822 | ||||||
Metal Contracts
|
(5,341,029 | ) | (1,508,583 | ) | ||||
Stock Indices Contracts
|
13,605,337 | (7,141,847 | ) | |||||
Short-Term Interest Rate Contracts
|
1,260,793 | (3,938,653 | ) | |||||
Long Term Interest Rate Contracts
|
(13,888,925 | ) | (2,401,881 | ) | ||||
Forward Currency Contracts
|
1,240,192 | (3,486,624 | ) | |||||
Purchased Options on Forward Currency Contracts
|
0 | (4,685,902 | ) | |||||
Written Options on Forward Currency Contracts
|
0 | 1,806,870 | ||||||
Total
|
$ | 14,766,243 | $ | (14,555,577 | ) |
Line Item in the Statement of Operations
|
Trading Gains (Losses) for
the Three Months Ended
March 31, 2012
|
Trading Gains (Losses) for
the Three Months Ended
March 31, 2011
|
||||||
Futures trading gains (losses):
|
||||||||
Realized**
|
$ | 14,820,051 | $ | (4,742,849 | ) | |||
Change in unrealized
|
(1,294,000 | ) | (3,448,650 | ) | ||||
Forward currency and options on forward currency trading gains (losses):
|
||||||||
Realized
|
10,539,068 | 934,261 | ||||||
Change in unrealized
|
(9,298,876 | ) | (7,298,339 | ) | ||||
Total
|
$ | 14,766,243 | $ | (14,555,577 | ) |
Sector
|
% Gain (Loss)
|
|||
Commodities
|
3.22 | % | ||
Currencies
|
0.37 | |||
Interest Rates
|
(3.20 | ) | ||
Stock Indices
|
3.51 | |||
3.90 | % |
Sector
|
% Gain (Loss)
|
|||
Commodities
|
1.57 | % | ||
Currencies
|
(1.80 | ) | ||
Interest Rates
|
(1.81 | ) | ||
Stock Indices
|
(1.97 | ) | ||
(4.01 | )% |
March 31, 2012
|
||||||||
Market Sector
|
Value at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Commodities
|
0.63 |
%
|
3.22 |
%
|
||||
Currencies
|
0.72 |
%
|
0.37 |
%
|
||||
Interest Rates | 1.20 | % | (3.20 | )% | ||||
Stock Indices
|
0.55 |
%
|
3.51 |
%
|
||||
Aggregate/Total
|
1.64 |
%
|
3.90 |
%
|
*
|
– The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. 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, 2012.
|
December 31, 2011
|
||||||||
Market Sector
|
Value at Risk*
|
Trading
Gain/(Loss)**
|
||||||
Commodities
|
0.66 |
%
|
(7.14 |
)%
|
||||
Currencies
|
0.65 |
%
|
(3.96
|
)%
|
||||
Interest Rates | 1.07 | % | 16.90 | % | ||||
Stock Indices
|
0.37 |
%
|
(6.94 |
)%
|
||||
Aggregate/Total
|
1.34 |
%
|
(1.14 |
)%
|
*
|
– The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. 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, 2011.
|
1)
|
Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;
|
|
2)
|
Changes in portfolio value caused by market movements may differ from those of the VaR model;
|
|
3)
|
VaR results reflect past trading positions while future risk depends on future positions;
|
|
4)
|
VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and
|
|
5)
|
The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.
|
Exhibit Number
|
Description of Document
|
|
3.01 |
Articles and Plan of Merger of the Campbell Fund Limited Partnership with and into the Registrant dated January 2, 1996 (1)
|
|
3.02 |
Amended and Restated Declaration of Trust and Trust Agreement of the Registrant dated February 3, 2010 (2)
|
|
10.01 | Advisory Agreement between the Registrant and Campbell & Company, Inc. (1) | |
10.02 | Global Institutional Master Custody Agreement (2) | |
10.03 | Non-Custody Investment Advisory Agreement with Horizon Cash Management L.L.C., as cash manager (2) | |
31.01
|
Certification of Stephen C. Roussin, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.
|
|
31.02
|
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.
|
|
32.01
|
Certification of Stephen C. Roussin, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
|
32.02
|
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
|
101.01 |
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments, (ii) Statements of Financial Condition, (iii) Statements of Operations, (iv) Statements of Cash Flows, (v) Statements of Changes in Partners’ Capital (Net Asset Value), (vi) Financial Highlights, and (vii) Notes to Financial Statements, tagged as blocks of text.
|
|
(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 Form 10-Q filed on August 15, 2011. | ||
THE CAMPBELL FUND TRUST
(Registrant)
|
||||||
By:
|
Campbell & Company, Inc.
|
|||||
Managing Operator
|
||||||
Date: May 15, 2012
|
By:
|
/s/ Stephen C. Roussin
|
||||
Stephen C. Roussin
Chief Executive Officer |
Exhibit Number
|
Description of Document
|
|
31.01
|
Certification of Stephen C. Roussin, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
|
31.02
|
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
|
|
32.01
|
Certification of Stephen C. Roussin, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
|
32.02
|
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
|
|
101.01 |
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments, (ii) Statements of Financial Condition, (iii) Statements of Operations, (iv) Statements of Cash Flows, (v) Statements of Changes in Partners’ Capital (Net Asset Value), (vi) Financial Highlights, and (vii) Notes to Financial Statements, tagged as blocks of text.
|
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 15, 2012 | ||||
By:
|
/s/ Stephen C. Roussin
|
|||
Stephen C. Roussin
|
||||
Chief Executive Officer
Campbell & Company, Inc.
Managing Operator
The Campbell Fund Trust
|
||||
1.
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I have reviewed this quarterly report on Form 10-Q of the Trust;
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2.
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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;
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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;
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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:
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(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;
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(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;
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(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
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(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
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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):
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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
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(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.
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Date: May 15, 2012 | ||||
By:
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/s/ Gregory T. Donovan
|
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Gregory T. Donovan
|
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Chief Financial Officer
Campbell & Company, Inc.
Managing Operator
The Campbell Fund Trust
|
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Date: May 15, 2012 |
THE CAMPBELL FUND TRUST
By: Campbell & Company, Inc., Managing Operator
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By:
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/s/ Stephen C. Roussin
|
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Stephen C. Roussin
|
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Chief Executive Officer
|
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Date: May 15, 2012 |
THE CAMPBELL FUND TRUST
By: Campbell & Company, Inc., Managing Operator
|
|||
By:
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/s/ Gregory T. Donovan
|
|||
Gregory T. Donovan
|
||||
Chief Financial Officer
|
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STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE) (Unaudited) (USD $)
|
3 Months Ended | |
---|---|---|
Mar. 31, 2012
|
Mar. 31, 2011
|
|
Balances at beginning of year | $ 374,632,413 | |
Net income (loss) | 10,636,364 | (18,061,471) |
Balances at end of year | 387,365,303 | |
Series B [Member]
|
||
Balances at beginning of year | 215,781,891 | 263,959,495 |
Balances at beginning of year (in units) | 85,832.499 | 99,363.213 |
Net income (loss) | 6,236,903 | (13,205,442) |
Additions | 125,006 | 772,305 |
Additions (in units) | 46.978 | 295.821 |
Redemptions | (14,263,115) | (6,526,372) |
Redemptions (in units) | (5,457.927) | (2,531.255) |
Balances at end of year (in units) | 80,421.550 | 97,127.779 |
Balances at end of year | 207,880,685 | 244,999,986 |
Series B [Member] | Managing Operator [Member]
|
||
Balances at beginning of year | 51,185 | 54,087 |
Balances at beginning of year (in units) | 20.360 | 20.360 |
Net income (loss) | 1,443 | (2,729) |
Additions | 0 | 0 |
Additions (in units) | 0.000 | 0.000 |
Redemptions | 0 | 0 |
Redemptions (in units) | 0.000 | 0.000 |
Balances at end of year (in units) | 20.360 | 20.360 |
Balances at end of year | 52,628 | 51,358 |
Series B [Member] | Other Unitholders [Member]
|
||
Balances at beginning of year | 215,730,706 | 263,905,408 |
Balances at beginning of year (in units) | 85,812.139 | 99,342.853 |
Net income (loss) | 6,235,460 | (13,202,713) |
Additions | 125,006 | 772,305 |
Additions (in units) | 46.978 | 295.821 |
Redemptions | (14,263,115) | (6,526,372) |
Redemptions (in units) | (5,457.927) | (2,531.255) |
Balances at end of year (in units) | 80,401.190 | 97,107.419 |
Balances at end of year | 207,828,057 | 244,948,628 |
Series A [Member] | Other Unitholders [Member]
|
||
Balances at beginning of year | 140,986,636 | 71,343,164 |
Balances at beginning of year (in units) | 57,271.409 | 27,273.338 |
Net income (loss) | 3,838,207 | (4,275,742) |
Additions | 16,915,768 | 21,008,088 |
Additions (in units) | 6,621.366 | 8,193.623 |
Redemptions | (2,520,129) | (223,884) |
Redemptions (in units) | (983.985) | (87.870) |
Offering costs | (188,265) | (94,586) |
Balances at end of year (in units) | 62,908.790 | 35,379.091 |
Balances at end of year | 159,032,217 | 87,757,040 |
Series W [Member] | Other Unitholders [Member]
|
||
Balances at beginning of year | 17,863,886 | 11,146,969 |
Balances at beginning of year (in units) | 6,975.389 | 4,160.119 |
Net income (loss) | 561,254 | (580,287) |
Additions | 2,434,637 | 3,181,004 |
Additions (in units) | 917.407 | 1,222.342 |
Redemptions | (383,297) | (387,656) |
Redemptions (in units) | (145.155) | (150.627) |
Offering costs | (24,079) | (14,569) |
Balances at end of year (in units) | 7,747.641 | 5,231.834 |
Balances at end of year | $ 20,452,401 | $ 13,345,461 |