The following summarized quarterly financial information (unaudited) presents the results of operations for the three-month periods ended March 31, June 30, September 30 and December 31, 2019 and 2018.
| | 1st Qtr. 2019 | | | 2nd Qtr. 2019 | | | 3rd Qtr. 2019 | | | 4th Qtr. 2019 | |
Total Net Trading Gain (Loss) (includes brokerage commissions) | | $ | 14,838 | | | $ | 20,125 | | | $ | 24,395 | | | $ | (27,130 | ) |
Net Income (Loss) | | | 13,898 | | | | 18,976 | | | | 22,754 | | | | (28,760 | ) |
Net Income (Loss) per Managing Operator and Other Unitholders’ Unit * | | | | | | | | | | | | | | | | |
Series A | | | 100.68 | | | | 146.37 | | | | 182.38 | | | | (235.82 | ) |
Series B | | | 106.90 | | | | 161.66 | | | | 201.33 | | | | (258.23 | ) |
Series D | | | 45.29 | | | | 64.01 | | | | 54.96 | | | | (87.20 | ) |
Series W | | | 133.18 | | | | 185.61 | | | | 230.00 | | | | (262.10 | ) |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Asset Value per Managing Operator and Other Unitholders’ Unit | | | | | | | | | | | | | | | | |
Series A | | | 100.41 | | | | 145.76 | | | | 178.01 | | | | (239.51 | ) |
Series B | | | 113.23 | | | | 162.02 | | | | 198.18 | | | | (258.27 | ) |
Series D | | | 44.07 | | | | 62.47 | | | | 62.39 | | | | (93.60 | ) |
Series W | | | 131.35 | | | | 184.62 | | | | 224.89 | | | | (266.57 | ) |
| | | | | | | | | | | | | | | | |
Net Asset Value per Managing Operator and Other Unitholder Unit at the End of the Period | | | | | | | | | | | | | | | | |
Series A | | | 2,483.75 | | | | 2,629.51 | | | | 2,807.52 | | | | 2,568.01 | |
Series B | | | 2,708.58 | | | | 2,870.60 | | | | 3,068.78 | | | | 2,810.51 | |
Series D | | | 1,010.61 | | | | 1,073.08 | | | | 1,135.47 | | | | 1,041.87 | |
Series W | | | 2,893.26 | | | | 3,077.88 | | | | 3,302.77 | | | | 3,036.20 | |
| | | | | | | | | | | | | | | | |
Weighted Average Number of Units Per Period | | | | | | | | | | | | | | | | |
Series A | | | 108,849.717 | | | | 102,508.562 | | | | 98,909.779 | | | | 97,225.066 | |
Series B | | | 15,312.285 | | | | 14,007.921 | | | | 13,322.219 | | | | 13,104.057 | |
Series D | | | 1,569.589 | | | | 1,535.419 | | | | 1,724.770 | | | | 2,862.750 | |
Series W | | | 9,241.854 | | | | 8,665.237 | | | | 8,422.307 | | | | 8,388.917 | |
| | 1st Qtr. 2018 | | | 2nd Qtr. 2018 | | | 3rd Qtr. 2018 | | | 4th Qtr. 2018 | |
Total Net Trading Gain (Loss) (includes brokerage commissions) | | $ | (17,465 | ) | | $ | (7,003 | ) | | $ | (1,532 | ) | | $ | (7,681 | ) |
Net Income (Loss) | | | (21,009 | ) | | | (9,144 | ) | | | (3,232 | ) | | | (9,497 | ) |
Net Income (Loss) per Managing Operator and Other Unitholders’ Unit * | | | | | | | | | | | | | | | | |
Series A | | | (103.07 | ) | | | (48.51 | ) | | | (19.89 | ) | | | (63.13 | ) |
Series B | | | (112.70 | ) | | | (51.01 | ) | | | (27.76 | ) | | | (69.40 | ) |
Series D | | | (53.66 | ) | | | (11.52 | ) | | | (5.09 | ) | | | (14.62 | ) |
Series W | | | (103.67 | ) | | | (40.67 | ) | | | (5.64 | ) | | | (78.04 | ) |
| | | | | | | | | | | | | | | | |
Increase (Decrease) in Net Asset Value per Managing Operator and Other Unitholders’ Unit | | | | | | | | | | | | | | | | |
Series A | | | (107.58 | ) | | | (47.75 | ) | | | (20.08 | ) | | | (61.04 | ) |
Series B | | | (113.26 | ) | | | (50.45 | ) | | | (19.08 | ) | | | (63.28 | ) |
Series D | | | (41.96 | ) | | | (16.82 | ) | | | (5.22 | ) | | | (21.71 | ) |
Series W | | | (107.95 | ) | | | (42.47 | ) | | | (9.58 | ) | | | (56.72 | ) |
| | | | | | | | | | | | | | | | |
Net Asset Value per Managing Operator and Other Unitholders’ Unit at the End of the Period | | | | | | | | | | | | | | | | |
Series A | | | 2,512.21 | | | | 2,464.46 | | | | 2,444.38 | | | | 2,383.34 | |
Series B | | | 2,728.16 | | | | 2,677.71 | | | | 2,658.63 | | | | 2,595.35 | |
Series D | | | 1,010.29 | | | | 993.47 | | | | 988.25 | | | | 966.54 | |
Series W | | | 2,870.68 | | | | 2,828.21 | | | | 2,818.63 | | | | 2,761.91 | |
| | | | | | | | | | | | | | | | |
Weighted Average Number of Units Per Period | | | | | | | | | | | | | | | | |
Series A | | | 154,223.168 | | | | 145,474.670 | | | | 129,372.124 | | | | 118,380.433 | |
Series B | | | 24,352.679 | | | | 22,878.199 | | | | 19,710.876 | | | | 16,461.891 | |
Series D | | | 336.849 | | | | 1,084.928 | | | | 1,311.521 | | | | 1,484.598 | |
Series W | | | 22,677.194 | | | | 22,297.407 | | | | 18,480.544 | | | | 11,013.942 | |
* | Based on weighted average number of units outstanding during the period.
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Item 7. | Management’s Discussion and Analysis of Financial Condition and Results of Operations. |
Introduction
The Campbell Fund Trust (the “Trust”) is a business trust organized on January 2, 1996 under the Delaware Business Trust Act, which was replaced by the Delaware Statutory Trust Act as of September 1, 2002. The Trust is a successor to the Campbell Fund Limited Partnership (formerly known as the Commodity Trend Fund) which began trading operations in January 1972. The Trust currently trades in the U.S. and international futures, forward and forwardcentrally cleared swap markets under the sole direction of Campbell & Company, LP, the managing operator of the Trust. Specifically, the Trust trades in a diverse array of global assets, including global interest rates, stock indices, currencies, credit and commodities. The Trust is an actively managed account with speculative trading profits as its objective.
Effective August 31, 2008, the Trust began offering Series A, Series B, and Series W Units. The units in the Trust prior to that date became Series B Units. Series B Units are only available for additional investment by existing holders of Series B Units. Effective August 1, 2017, the Trust began offering Series D units.
As of December 31, 2019,2021, the aggregate capitalization of the Trust was $309,506,621$297,382,219 with Series A, Series B, Series D and Series W comprising $243,974,281, $36,551,654, $3,507,300$222,737,822, $32,886,235, $8,222,341 and $25,473,386,$33,535,821, respectively, of the total. The Net Asset Value per Unit was $2,568.01$2,902.95 for Series A, $2,810.51$3,209.12 for Series B, $1,041.87$1,195.88 for Series D and $3,036.20$3,572.68 for Series W.
Critical Accounting Policies
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates utilized in preparing the financial statements are reasonable and prudent; however, actual results could differ from those estimates. The Trust’s significant accounting policies are described in detail in Note 1 of the Financial Statements.
The Trust records all investments at fair value in its financial statements, with changes in fair value reported as a component of realized and change in unrealized trading gain (loss) in the Statements of Operations. Generally, fair values are based on market prices; however, in certain circumstances, estimates are involved in determining fair value in the absence of an active market closing price (i.e., forward contracts which are traded in the inter-bank market).
Capital Resources
The Trust will raise additional capital only through the sale of Units offered pursuant to the continuing offering, and does not intend to raise any capital through borrowing. Due to the nature of the Trust’s business, it will make no capital expenditures and will have no capital assets which are not operating capital or assets.
The Trust generally maintains 60% to 75% of its net asset value in cash, cash equivalents or other liquid positions in its cash management program over and above that needed to post as collateral for trading. These funds are available to meet redemptions each month. After redemptions and additions are taken into account each month, the trade levels of the Trust are adjusted and positions in the instruments the Trust trades are added or liquidated on a pro-rata basis to meet those increases or decreases in trade levels.
Liquidity
Most United States futures exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Trust from promptly liquidating unfavorable positions and subject the Trust to substantial losses which could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Trust may not be able to execute futures trades at favorable prices, if little trading in such contracts is taking place. Other than these limitations on liquidity, which are inherent in the Trust’s futures trading operations, the Trust’s assets are expected to be highly liquid.
The entire offering proceeds, without deductions, will be credited to the Trust’s bank, custodial and/or cash management accounts. The Trust meets margin requirements for its trading activities by depositing cash and U.S. government securities with the futures broker and the over-the-counter counterparty. This does not reduce the risk of loss from trading activities.futures, forward and swap contracts. The Trust receives all interest earned on its assets. No other person shall receive any interest or other economic benefits from the deposit of Trust assets.
Approximately 10% to 30% of the Trust’s assets normally are committed as required margin for futures contracts and held by the futures brokers, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury Bills in segregated accounts with the futures brokers pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 5% to 15% of the Trust’s assets are deposited with the over-the-counter counterparty or centrally cleared in order to initiate and maintain forward contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparty.
The managing operator deposits the majority of those assets of the Trust that are not required to be deposited as margin with the futures brokers and over-the-counter counterparties in a custodial account with Northern Trust Company. The assets deposited in the custodial account with Northern Trust Company are segregated. Such custodial account constitutes approximately 60% to 75% of the Trust’s assets and are invested directly by PNC Capital Advisors, LLC (“PNC”). PNC is registered with the SEC as an investment adviser under the Investment Advisers Act of 1940. PNC does not guarantee any interest or profits will accrue on the Trust’s assets in the custodial account. PNC invest the assets according to agreed upon investment guidelines that first preserve capital, second allow for sufficient liquidity, and third provide a yield beyond the risk-free rate. Investments can include, but are not limited to, (i) U.S. Government Securities, Government Agency Securities, Municipal Securities, banker acceptances and certificates of deposits; (ii) commercial paper; (iii) short-term investment grade corporate debt; and (iv) Asset Backed Securities.
The Trust occasionally receives margin calls (requests to post more collateral) from its futures brokers or over-the-counter counterparty, which are met by moving the required portion of the assets held in the custody account at Northern Trust Company to the margin accounts. In the past three years, the Trust has not needed to liquidate any position as a result of a margin call.
The Trust’s assets are not and will not be, directly or indirectly, commingled with the property of any other person in violation of law or invested in or loaned to Campbell & Company or any affiliated entities.
Off-Balance Sheet Risk
The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Trust trades in futures, forward and forwardswap contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Trust, market risk, that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Trust at the same time, and if the Trust’s trading advisor was unable to offset futures interests positions of the Trust, the Trust could lose all of its assets and the Unitholders would realize a 100% loss. Campbell & Company, the managing operator (who also acts as trading advisor), minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30% however, these precautions may not be effective in limiting the risk of loss.
In addition to market risk, in entering into futures, forward and forwardswap contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Trust. The counterparty for futures contracts and centrally cleared swap contracts traded in the United States and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.
In the case of forward contracts, which are traded on the interbank market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a group of financial institutions; thus there may be a greater counterparty credit risk. Campbell & Company trades for the Trust only with those counterparties which it believes to be creditworthy. All positions of the Trust are valued each day at fair value. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Trust.
Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts Accounted for at Fair Value
The Trust invests in futures, and forward currency, and centrally cleared swap contracts. The market value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of the last business day of the reporting period. The fair value of forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) of the last business day of the reporting period. The fair value of centrally cleared swap contracts is determined by using currency market quotations provided by an independent external pricing source.
Results of Operations
The returns for the years ended December 31, 2019, 20182021, 2020 and 20172019 for Series A were 7.75%12.52%, (9.03)%0.46% and 2.58%7.75%, Series B were 8.29%13.09%, (8.66)%0.97% and 3.09%8.29%, Series D (commenced trading on October 1, 2017) were 7.79%12.83%, (8.15)%1.73% and 5.23%7.79% and Series W were 9.93%14.80%, (7.28)%2.50% and 4.62%,9.93% respectively.
During the years ended December 31, 2019, 20182021, 2020 and 2017,2019, the Trust accrued management fees in the amounts of $12,792,990, $16,863,539,$5,813,446, $8,472,866, and $24,073,819,$12,792,990, respectively, and paid management fees in the amounts of $12,901,756, $17,499,643,$5,795,404, $8,990,885, and $24,786,294,$12,901,756, respectively. During the years ended December 31, 2021, 2020 and 2019, 2018the Trust accrued sales commissions in the amounts of $5,162,106, $2,990,891, and 2017,$0, respectively, and paid sales commissions in the amounts of $5,159,066, $2,573,244, and $0, respectively. During the years ended December 31, 2021, 2020 and 2019, the Trust accrued performance fees in the amounts of $21,165,$54,801, $0, and $3,207,$21,165 respectively, and paid performance fees in the amounts of $21,165, $3,207,$54,801, $0, and $0.$21,165.
2021 (For the Year Ended December 31)
Of the 12.52% return for the year ended December 31, 2021 for Series A, approximately 17.93% was due to trading gains (before commissions) and approximately 0.39% due to investment income, offset by approximately (5.80)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series A.
Of the 13.09% return for year ended December 31, 2021 for Series B, approximately 17.93% was due to trading gains (before commissions) and approximately 0.39% due to investment income, offset by approximately (5.23)% due to brokerage fees, management fees, sales commissions and operating costs borne by Series B.
Of the 12.83% return for the year ended December 31, 2021 for Series D, approximately 17.93% was due to trading gains (before commissions) and approximately 0.39% due to investment income, offset by approximately (5.49)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series D.
Of the 14.80% return for the year ended December 31, 2021 for Series W, approximately 17.93% was due to trading gains (before commissions) and approximately 0.39% due to investment income, offset by approximately (3.52)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series W.
An analysis of the 17.93% gross trading gains for the Trust for the year by sector is as follows:
Sector | | % Gain (Loss) | |
Credit | | | (0.59 | )% |
Commodities | | | 11.16 | |
Foreign Exchange | | | 8.25 | |
Interest Rates | | | (9.78 | ) |
Equity Indices | | | 8.89 | |
| | | 17.93 | % |
The Trust showed a decline in January with losses coming from interest rate, foreign exchange (FX), stock index, and credit positions, while commodity holdings produced some partially offsetting gains. Interest rate positions produced the largest losses during the month with declines most pronounced in long-dated instruments. Long positions on US rate markets suffered as the Democrats took control of the Senate which sent yields higher (prices lower) amid increased expectations for a large scale fiscal stimulus package being passed. Long positioning on Australian and Canadian rates also generated losses when prices fell (yields rose). Australian inflation was higher than expected and the Bank of Canada indicated the country would not need as much quantitative easing as initially expected. Foreign exchange trading contributed additional losses during January. The largest FX losses came from long emerging market positions (against the USD), specifically in the Colombian peso and Brazilian real. The Latin American currencies were the top underperformers during the month, sinking on regional spreading of the COVID-19 virus and slow vaccine rollouts in the region. Global stock index trading also added losses to the Trust during the month. Long positioning on many global stock indexes saw gains early in the month, however late month risk aversion erased those gains and ultimately generated losses. Concerns about liquidity induced asset bubbles, retail driven stock volatility in companies with high levels of short interest, and limited vaccine availability and distribution hurdles all contributed to the risk-off sentiment late in the month. In credit trading, short protection positions generated losses as European and US credit spreads widened amid risk-off sentiment, especially within Europe. Commodities generated some partially offsetting gains for the Trust. Long positions on the grain complex profited as strong Chinese demand linked with supply concerns pushed prices to multi-year highs during the month. A long holding on gasoline also added to gains as prices rose driven by fiscal stimulus payments to consumers and hopes for economic reopening on the back of mass COVID-19 vaccinations.
In February, the Trust showed a gain with profits coming from commodity, stock index, foreign exchange, and credit positions, while interest rate holdings produced some partially offsetting losses. Commodities trading produced the largest Trust gains during February. Long holdings on the petroleum complex, specifically on gasoline, Brent, and WTI, generated gains on declining COVID infection trends and a deep freeze in Texas that negatively impacted production. Long positioning on the grains, softs, and industrial metals also proved profitable amid US dollar weakness and strong expected demand from healing world economies. Global stock indexes generated additional profits during the month. Long positioning on many global stock indexes profited as most major equity indexes advanced during the month. Declining COVID infection rates, improving COVID vaccine distribution trends, and expectations for the passage of President Biden’s large US fiscal stimulus package all served as major tailwinds for global stock markets. Foreign exchange trading in the developed markets produced gains for the Trust. A long British pound holding (against short USD) was among the best performers as the GBP benefited from an efficient vaccine roll-out and optimism about the economic recovery in the United Kingdom. Mixed positioning in the FX markets proved beneficial as a short holding on the Japanese yen (versus long the greenback) benefited from the strength in the US markets relative to those in Japan. Interest rate positions produced the largest offsetting losses during the month with declines most pronounced in long-dated instruments. Long positioning on long-dated rate instruments in Australia and Canada led sector losses as note prices in those countries fell sharply (yields rose) during February. Growing global concerns about mounting inflationary pressures sparked by pent-up demand from COVID lockdowns linked with massive monetary and fiscal stimulus sent most global yields sharply higher, depressing bond prices and generating losses for the Trust.
March saw all the Trust’s asset classes produce gains with profits coming from foreign exchange, stock index, commodity, interest rate, and credit positions. Foreign exchange trading in both the developed and emerging markets produced the largest Trust gains during March. A short Japanese yen holding (against long USD) was the best performing FX position as the JPY sank to its lowest level in a year. The move was primarily driven by the stronger greenback as the COVID-19 vaccine rollout and stimulus efforts in the US caused the dollar to strengthen. Short positioning on the Australian and New Zealand dollars (against long USD) was also profitable after the Reserve Bank of Australia (RBA) continued its bond purchase program and following the New Zealand government’s efforts to curb property speculation. Global stock indexes generated additional profits for the Trust. Long positioning on many global stock indexes profited as most major equity indexes advanced during the month. Positive progress with the COVID-19 vaccine rollout along with fiscal and monetary stimulus support continued to underpin the rally in most global equities. Commodity holdings also produced gains during March. The Trust’s nimble short-term suite of models profitably traded the intra-month volatility within the petroleum complex. A short natural gas position benefited from warmer domestic weather forecasts which led to additional energy sub-sector gains. Long grain positions also produced profits for the Trust as the grain complex advanced sharply into month-end after a USDA report showed planting estimates below market expectations. Interest rate positions contributed small additional profits during the month with gains most notable in long-dated instruments. Long positioning on Australian 3- and 10-year notes produced profits after the RBA doubled down on bond purchases and policymakers expressed concern over the speed of the nation’s economic recovery. Credit trading was also profitable during March as short protection positions generated gains as most US and European credit spreads narrowed amid the risk-on environment.
In April, the Trust showed a gain with profits coming from commodity, stock index, and credit holdings, while foreign exchange and fixed income positions created some partially offsetting losses. Commodity holdings produced the best Trust gains during April. Long grain holdings provided profits as the complex rallied sharply throughout the month amid crop concerns in key planting regions and strong demand from top importer China. Long positions on the petroleum and industrial metal complexes proved profitable as prices rose during April driven by rising demand expectations as global economies begin to emerge from the COVID-19 pandemic. Global stock indexes generated additional profits for the Trust. Long positioning on many global stock indexes profited as most major equity indexes advanced during the month. Ongoing fiscal and monetary stimulus, especially from the US, along with strong corporate earnings and improving COVID-19 vaccination rates created an ideal environment for equity appreciation. Credit trading was also profitable during April as short protection positions generated gains as most US and European credit spreads narrowed amid the risk-on environment. Foreign exchange trading in both the developed and emerging markets produced losses for the Trust. The US dollar experienced a wide-breadth selloff given the Fed’s dovish assurances and President Biden’s expansionary fiscal policy measures. While a long CAD position (versus short USD) further benefited from the Bank of Canada acting as the first G10 central bank to formally begin a monetary policy normalization process, it was more than offset by losses elsewhere in the FX portfolio. Interest rate positions contributed additional losses during the month. Long positioning on German 5- and 10-year notes suffered while short holdings on US Treasuries produced some partially offsetting gains as most global yields rose (prices fell) due to growing inflation concerns.
The Trust produced a gain in May with profits coming from commodity, foreign exchange, stock index, and credit holdings, while fixed income positions created some partially offsetting losses. Commodity holdings produced the best Trust gains during May. In the precious metals sub-sector, a long position on gold proved profitable amid a drumbeat of dovish commentary from FOMC officials who insisted that any inflationary pressures will be transitory which helped weaken the US dollar and sent gold futures higher by over 7% during the month. Other commodity sub-sectors that contributed to monthly gains included grains, energies, softs, and industrial metals. Foreign exchange trading in both the emerging and developed market currencies was profitable for the Trust. A long South African rand holding (against short USD) was the best performer in the EM space as the ZAR rose to its highest level in almost two years, helped along by strong demand for energies and metals. Long positioning on the Canadian dollar (against short USD) was also profitable on back of the bid in commodities as well as the Bank of Canada’s pivot to a more hawkish stance. The overall weaker greenback benefited other short USD holdings, adding to sector gains. Global stock indexes generated additional profits for the Trust. Long positioning on many global stock indexes profited as most major equity indexes advanced during the month. Economic reopening progress from the pandemic linked with ongoing monetary and fiscal stimulus created a risk-on backdrop for stocks. Credit trading was also profitable during May as short protection positions produced gains as most US and European credit spreads narrowed amid the risk-on environment. Interest rate positions created some partially offsetting losses during the month. Short positioning on some European and US instruments suffered as prices rose (yields fell) as multiple ECB and Federal Reserve officials pushed back against market expectations that both central banks were close to considering reducing quantitative easing measures.
The Trust was down slightly in June with profits coming from commodity, stock index, and credit holdings, while interest rate and foreign exchange positions created some partially offsetting losses for the Trust. Commodity holdings produced the best Trust profits during June. The dominant gains were found in long positioning on the petroleum and natural gas markets. WTI and Brent crude oil rallied amid improving demand dynamics linked with tighter supplies. Natural gas rose sharply on the back of a US heat wave that saw increased gas demand for electric generation for air conditioning. Global stock indexes generated additional gains for the Trust. Long positioning in the United States and Canada generated the best sector profits. Ongoing monetary and fiscal stimulus, accompanied by improving COVID vaccination rates and expanding economic reopening, provided a tailwind for equities. The US NASDAQ and S&P 500 indexes, along with the Canadian S&P/TSX index, printed new all-time highs during the month benefitting our long positioning. Credit trading was also profitable during June as short protection positions generated gains as US and European credit spreads narrowed amid the risk-on environment. Interest rate positions generated the largest partially offsetting losses during the month. Short positioning on the US 10-year note, US 30-year bond, and UK Gilts led sector losses as reassuring commentary from the FOMC and the Bank of England on the transitory nature of higher inflation sent long-term yields lower (prices higher). A long position on the policy-sensitive US 2-year note suffered when the FOMC turned surprisingly hawkish mid-month sending short-term yields higher (prices lower). Foreign exchange trading in the emerging market (EM) currencies was a drag on the Trust as well. Long EM currency positions (versus short the US dollar) suffered after the mid-month FOMC meeting. Chairman Powell surprised markets with an unexpected hawkish shift which sent the greenback sharply higher, hurting our US dollar shorts.
The Trust, which consists of momentum, macro, and short-term strategies, produced a gain during July. Profits came from interest rate and commodity holdings, while foreign exchange (FX), stock index, and credit positions produced some partially offsetting losses. Interest rate positions contributed the best Trust profits during the month with gains most notable in long-dated instruments. The growing risks to economic growth due to rising Delta variant infections, inflation, and supply-side disruptions prompted buying of safe-haven assets. Long positioning on German notes were profitable after the ECB raised its inflation goal and made a dovish shift on forward guidance. Commodity holdings produced additional gains for the Trust in July. Long energy positions generated profits for the Trust as the energy complex advanced amid increasing demand and rising inflation concerns. Long nickel positioning outperformed as the base metal rallied to multi-year highs on booming demand for the metal used in stainless steel and electric-vehicle batteries. Foreign exchange trading, primarily in the developed market currencies, produced offsetting losses for the Trust. The Federal Reserve said the US job market still had “some ground to cover” which contributed to losses in short US dollar holdings (against long foreign currencies). Short positioning on the Japanese yen, our biggest loser on the month, strengthened on the Fed commentary as well as the bid for safe-haven assets given the concerns about the Delta variant. Global stock indexes generated additional offsetting losses for the Trust. Long positioning on Asian stock index holdings were a drag for the Trust as concerns that the spread of the Delta variant could dampen recovery momentum and additional Chinese tech regulation weighed on prices. However, long positioning in the United States provided some counteracting gains as ongoing policy accommodation and strong Q2 earnings results provided a tailwind for US equities. Credit positions had little impact on performance as spreads remained range-bound amid a lack of meaningful directional drivers.
The Trust, which consists of momentum, macro, and short-term strategies, produced a loss during August. Losses came from commodity, interest rate, and foreign exchange holdings, while stock index and credit positions produced some partially offsetting gains during the month.
Commodity holdings produced the largest losses for the Trust in August. Long positioning on the petroleum and industrial metal complexes suffered as the surging Delta variant of the COVID-19 virus called into question the outlook for global economic growth which helped to send the prices of those commodities lower. In the grain subsector, long holdings on the soy complex created losses amid prospects for higher production from Brazil and beneficial rain in the US Farm Belt. Interest rate positions contributed additional losses for the Trust with declines most notable in long-dated instruments. Long positioning on US and German notes produced losses as the US Federal Reserve and European Central Bank began to prepare markets for a possible scaling back of quantitative easing measures amid elevated inflation readings. Foreign exchange trading across both emerging market (EM) and developed market (DM) currencies produced additional losses for the Trust during the month. After the US dollar’s slightly weaker July, the greenback had mixed returns over the month. Risk markets generally fared well in August despite the spread of the Delta variant and many EM currencies outperformed (versus the USD) as a result, hurting Trust short positions in those markets. Global stock indexes generated the best partially offsetting gains. Long positioning on a variety of global equity indexes drove sector profits as most major global stock indexes finished August with gains. The ongoing fiscal and monetary support globally continued to provide a tailwind behind equities even as the Delta variant surged. An increase in vaccination rates also helped drive risk-on buying. Credit trading was also profitable as short protection positions generated gains as US and European credit spreads narrowed amid the risk-on environment.
The Trust, which consists of momentum, macro, and short-term strategies, produced a loss during September. Losses came from interest rate and stock index positions, while commodity and foreign exchange (FX) holdings produced some partially offsetting gains during the month. Interest rate positions contributed the largest partially offsetting losses for the Trust with declines most notable in long-dated instruments. Long positioning on German and Australian notes produced losses as major central banks began to prepare markets for a scaling back of quantitative easing measures amid elevated inflation readings which sent yields higher as bond prices fell. Global stock indexes also generated losses in September. Long positioning on a variety of global equity indexes drove sector declines as most major global stock indexes finished the month with losses. The general risk-off sentiment that intensified during the month put an end to the relentless equity rally seen for most of 2021. Commodity holdings produced the largest gains for the Trust. Long positioning on the petroleum complex created some of the best profits. Brent and WTI crude both showed strong monthly gains as a significant percentage of US Gulf Coast output remained offline following Hurricane Ida, while at the same time, the UK grappled with a fuel shortage crisis. A long position on cotton was also profitable. Cotton advanced sharply during the month as adverse US weather and strong demand from China, Turkey, and Pakistan threatened to further tighten global supplies. Foreign exchange trading produced additional gains. Long US dollar exposure proved profitable as the greenback saw a sharp rally over the month, trading stronger against most developed and emerging market currencies. The dollar benefitted from flight-to-safety buying as some major central banks turned more hawkish, supply chain bottlenecks kept inflation concerns elevated, contagion fears surrounding Chinese company Evergrande were heightened, and as dysfunction among US lawmakers threatened to derail fiscal stimulus. Credit trading was relatively flat as short protection positions generated losses as US and European credit spreads widened amid the risk-off environment.
The Trust produced a gain during October with profits coming from commodity and stock index positions. Interest rate positions and foreign exchange holdings produced some partially offsetting losses while credit index trading contributed positive returns during the month. Commodity holdings produced the largest gains for the Trust during October. Long positioning on the petroleum complex provided the best sector gains. Rising demand for energy products amid falling stockpiles fueled strong gains for the complex with WTI crude rising to levels not seen since 2014. Long holdings on the industrial metal complex added to sector profits. Power shortages in production regions and supply woes sent the complex rocketing to all-time highs during the month. Global stock indexes also generated profits for the Trust. Long holdings in the United States and Europe produced the bulk of the monthly gains. Equity markets benefitted from a strong third quarter corporate earnings season. Inflationary pressures linked to supply-chain woes have not yet hit corporate earnings with many companies reporting high demand as the COVID-19 pandemic begins to recede. Foreign exchange trading produced small losses. The US dollar was mixed versus the other G10 currencies. A short position on the Japanese yen (vs long US dollar) proved profitable as the yen fell to its lowest level in about three years versus the greenback on interest rate differentials. A long position on the Canadian dollar (vs short US dollar) added to profits as the Canadian dollar appreciated amid strong energy prices and a hawkish shift from the Bank of Canada. Interest rate positions produced partially offsetting losses during October, with declines concentrated in short-dated instruments. Persistent, elevated inflation data and growing concerns over imminent monetary policy tightening pushed yields higher (prices lower) across most global yield curves. Long positioning on US Eurodollar and 2-year notes produced the largest losses as prices fell (yields rose) throughout the month. Credit offered gains to the Trust as the CDX and iTraxx indices experienced mixed performance.
The Trust produced a loss during November with losses coming from commodity, stock index, interest rate and credit index holdings, while foreign exchange positions produced partially offsetting gains. Commodity positions generated the largest losses during the month. The dominant losses were found in long positioning on the petroleum markets as the complex weakened amid demand concerns with the new Omicron strain sparking fears of renewed lockdowns and threatening the recovery outlook. Grain holdings produced additional losses for the Trust, driven by the soybean complex which weakened alongside other commodities as investors weighed the impact of the new coronavirus variant on global demand. A long cotton holding produced additional losses as cotton futures slid amid favorable US harvest conditions. Largely long positioning in global stock indices detracted from performance in November as markets sold-off sharply on Black Friday amid the potential threat of the new Covid-19 variant. Concerns about the efficacy of existing vaccines against the new coronavirus strain, as well as comments from Fed Chair Powell that it may be appropriate for the Fed to consider wrapping up its taper a few months sooner, pressured global stocks even lower into month-end. Interest rate positions added modest losses as rising Covid cases and the emergence of a new variant rattled markets, sparking flight to safety which pushed prices higher (yields lower). Mixed global positioning helped contain sector losses as gains made on German Bund holdings were offset by losses from UK Gilts and Canadian bonds. Credit trading was also unprofitable as short protection positions generated losses as US and European credit spreads widened amid the risk-off environment. Foreign exchange trading produced offsetting gains for the Trust in November. The US dollar experienced a strong rally for most of the month but was stopped in its tracks when Omicron news hit the tapes on Thanksgiving. The greenback held on to its gains versus most of its trading peers on back of sticky US inflation and a faster normalization schedule from the Federal Reserve, benefiting the Trust’s long USD positions.
December brought a gain for the Trust with profits coming from stock index, commodity, and credit positions, while interest rate and foreign exchange holdings produced some partially offsetting losses. Largely long positioning in global stock indices produced gains for the Trust in December, with most major benchmarks logging gains for the month. The risk-on appetite returned into month-end as more studies showed Omicron causes mild illness in most cases. Strong 2022 margin outlooks and a still-accommodative monetary policy backdrop also supported prices, though concerns remain about lingering inflationary pressures. Commodity trading provided additional profits for the Trust during December. Long holdings on the energy complex generated the best commodity sub-sector returns as energy markets advanced with the Omicron Covid-19 variant appearing to be less severe than previous strains, easing demand concerns. Additional gains were produced from long corn and soy holdings. Grains rose during the months as prices were bolstered amid mounting concerns over the crop outlook in South America. In credit trading, short protection positions generated gains as US and European credit spreads tightened alongside stock indices and other risky assets. Interest rate positions produced some partially offsetting losses during the month with declines most pronounced in long-dated instruments. Long positioning in the German 10-year notes contributed the largest losses as prices fell (yields rose) on the potential that loose monetary policy will come to an end and the PEPP (Pandemic Emergency Purchase Programme) will stop in March. Foreign exchange trading contributed modest losses during December with the largest detraction coming from developed FX markets. While most of the G-10 currencies started the month trading lower versus the US dollar, they experienced a reversal to close out the year, rallying alongside the broader move in risk assets. The one exception was the low-yielding Japanese yen, which weakened on the month and provided some gains to the Trust.
2020 (For the Year Ended December 31)
Of the 0.46% return for the year ended December 31, 2020 for Series A, approximately 5.03% was due to trading gains (before commissions) and approximately 1.10% due to investment income, offset by approximately (5.67)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series A.
Of the 0.97% return for year ended December 31, 2020 for Series B, approximately 5.03% was due to trading gains (before commissions) and approximately 1.10% due to investment income, offset by approximately (5.16)% due to brokerage fees, management fees, sales commissions and operating costs borne by Series B.
Of the 1.73% return for the year ended December 31, 2020 for Series D, approximately 5.03% was due to trading gains (before commissions) and approximately 1.10% due to investment income, offset by approximately (4.40)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series D.
Of the 2.50% return for the year ended December 31, 2020 for Series W, approximately 5.03% was due to trading gains (before commissions) and approximately 1.10% due to investment income, offset by approximately (3.63)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series W.
An analysis of the 5.03% gross trading gains for the Trust for the year by sector is as follows:
Sector | | % Gain (Loss) | |
Credit | | | 0.08 | % |
Commodities | | | 10.33 | |
Foreign Exchange | | | 4.31 | |
Interest Rates | | | 2.63 | |
Equity Indices | | | (12.32 | ) |
| | | 5.03 | % |
The Trust had a strong start to 2020 with gains coming from interest rate, commodity, and foreign exchange positions, while stock index holdings provided some partially offsetting losses. Long positioning in Australia, Europe, and the United States benefited as prices advanced on a flight to safety bid sparked by the worsening Wuhan coronavirus outbreak. A short position on the Canadian 10-year note created some partially offsetting losses, which were accelerated by downward pressure on yields prompted by a dovish shift by Bank of Canada policymakers. Commodity holdings produced additional profits for the Trust in January, with the energy sub-sector realizing the best results. Short positioning on natural gas proved profitable as milder weather across the US weighed on demand prospects. Additional gains were generated from short industrial metal holdings. The base metal complex traded weaker as the coronavirus epidemic raised investor concerns about its negative impact on the Chinese economy. Downward price pressure was further intensified by a strong dollar as well as technical selling. In the foreign exchange sector, positive returns were generated in the developed market currencies. Short positions on the Norwegian krone and Australian dollar (against long the US dollar) provided some of the best profits. The commodity-linked currencies came under pressure as commodity prices sold-off on concerns that the worsening coronavirus outbreak would pare Chinese demand for raw materials. A long Brazilian real holding produced some partially offsetting losses after risk fell out of favor and investors sold emerging market currencies. Global stock index trading produced losses for the Trust during January. Long positioning across most global stock indexes profited early in the month amid the ratification of the “phase one” US-China trade deal, renewed central bank balance sheet expansion, Brexit clarity, and some better than expected US earnings releases. However, profits were relinquished in the second-half of the month as stocks traded lower following risk-off trading as the coronavirus outbreak intensified.
Gains from interest rate, foreign exchange, and commodity positions led to a profitable February for the Trust, while stock index holdings produced some partially offsetting losses. Long positioning in Australia and the United States continued to benefit as prices advanced on flight to safety buying sparked by the worsening COVID-19 coronavirus epidemic. Investors aggressively sought the safety of fixed income instruments, sending global yields tumbling and expectations for further central bank stimulus soaring. In the foreign exchange sector, positive returns were generated in the developed and emerging market currencies. Short positions on the Australian dollar and Norwegian krone (against long the US dollar) provided some of the best profits for the sector. These commodity-linked currencies came under renewed selling pressure during February. The widening spread of COVID-19 to countries outside of China, such as Japan, South Korea, and Italy, sparked new concerns that global economic growth would slow materially, thus blunting the demand for raw materials. Short positioning on the industrial metal, energy, and meat complexes profited from a decline in prices. The expanding COVID-19 outbreak is widely expected to negatively impact demand for base metal, petroleum, and beef products. Downward price pressure was further intensified by a strong US dollar as well as technical selling. Global stock index trading produced losses for the Trust during February with the greatest declines seen in Australia, Japan, and the United States. Long positioning across most global stock indexes generally profited during the first two-thirds of the month. However, late in February global stock indexes experienced steep sell-offs sparked by the coronavirus’s quick spread to countries outside of China where it initially began. World economic growth fears and supply chain disruption concerns spread rapidly, sending most global stock indexes sharply lower.
The Trust had an unprofitable March, with losses coming from stock index and interest rate holdings, while foreign exchange and commodity positions contributed some partially offsetting gains during the month. Global stock index trading produced the largest losses for the Trust, with the greatest declines seen in the United States, Australia, and Canada. Long positioning across most global stock indexes suffered severely as equity indexes experienced very sharp sell-offs during the month. The COVID-19 virus spread quickly throughout Europe and North America prompting containment measures in the form of “stay at home” directives, closures, and shutdowns that sharply curtailed economic activity. Global central banks and governments took unprecedented steps in an effort to soften the financial impact from the virus, but fear over the length and depth of the growth slowdown sent risky assets sharply lower. Interest rate positions from long-dated instruments contributed small additional losses during the month. Short positioning on US 10-year notes and US long bonds suffered amid the flight-to-safety scramble that ensued due to the severe economic upheaval wrought by the COVID-19 virus. Long positioning across global short-dated instruments helped to partially offset losses within the sector. Profits were dominated by short positions on the commodity currencies (versus long the USD), specifically in the Norwegian krone. The US dollar was sharply higher during the month amid the extreme flight-to-quality moves. Adding further downward pressure on oil-linked currencies, the petroleum markets sold off severely when tensions escalated between OPEC and Russia, and Saudi Arabia made the decision to ramp up production. Commodity holdings produced additional profits for the Trust during the month. Short positioning on the industrial metal, energy, and meat complexes profited from a decline in prices. The expanding COVID-19 pandemic is widely expected to negatively impact demand for base metal, petroleum, and beef products. Downward price pressure was further intensified by a strong US dollar as well as technical selling.
The Trust’s losses in April came from foreign exchange and interest rate holdings, while stock index and commodity positions contributed some partially offsetting gains during the month. Short positioning on several of the developed market currencies, namely the Australian dollar and New Zealand dollar, produced losses when those currencies rallied on a partial lifting of COVID-19 containment measures in those countries. Interest rate positions from long-dated instruments contributed additional losses to the portfolio. Long positions on Australian 10-year bonds suffered after the RBA tapered bond-buying operations and the country became one of the first to meaningfully ease lockdown restrictions. Short German Bund positions added to losses as Germany’s debt rallied versus periphery European bonds with Germany weathering the effects of COVID-19 better than their Eurozone counterparts. Stock indexes rebounded considerably from the oversold conditions seen during March as the United States and other countries laid out plans to reopen their economies from the COVID-19 lockdown that has proven to be very damaging to local, regional, and global economic growth. The Trust held a mixture of long and short positioning across global stock indexes during the month. Ultimately the gains on long positions more than offset losses experienced on any short holdings, leading to positive net P&L within the sector. Commodity holdings produced additional partially offsetting profits for the Trust during the month. Short positioning on the petroleum complex produced a bulk of the sector’s profits. Crude oil sold off sharply on the lethal combination of COVID-19 “stay at home” induced demand destruction linked with a shortage of available storage capacity. The May WTI futures contract went below zero for the first time in history as long holders scrambled to sell before contract expiration in order to avoid taking physical delivery given the scarcity of demand and lack of available storage space.
Losses in May once again came from foreign exchange, as well as commodity and stock index holdings, while interest rate positions contributed some gains. May’s short positioning on several of the so-called commodity currencies, namely the Norwegian krone and Australian dollar, produced losses when those currencies rallied strongly. Fueling the run-up was a sharp rebound in many beaten down commodity markets, specifically the energy complex, as optimism grew that the worst of the COVID-19 crisis was over. A long position on the Canadian dollar (versus short the US dollar) contributed some partially offsetting gains for the sector on the same commodity currency drivers cited above. Commodity holdings produced additional losses for the Trust during the month. Short positioning on the energy, grain, and industrial metal complexes showed losses as those markets rallied driven by the improving COVID-19 crisis. A long holding on precious metals, specifically silver, produced some partially offsetting gains for the sector as expected industrial demand overwhelmed limited supplies of the metal. Short positioning on stock indexes in Europe and Japan suffered as most global stock indices continued to bounce higher from the March COVID-19 crisis lows. Regional economic re-openings linked with no new major spikes in coronavirus cases fueled the equity optimism. A long position on the Hong Kong Hang Seng index added to sector losses as that market was one of the few global indexes to sell-off during May. China’s legislature approved a proposal to impose a highly contentious national security law in the semi-autonomous territory which sparked the regional equity sell-off. Interest rate positions from both long and short-dated instruments contributed partially offsetting gains to the Trust in May. A short position on the German 10-year note was one of the most profitable markets in the sector. The German Bund sold-off during the month (prices lower and yields higher) as signs of improvement in the coronavirus crisis caused traders to shun safe haven assets in favor of riskier ones.
Foreign exchange trading in both the emerging and developed markets produced losses for the Trust during June. The greatest declines were seen in the Norwegian krone, Australian dollar, and certain Latin American currencies. These commodity-linked currencies strengthened to start the month, causing some strategies to cover their previously held long positions, only to reverse those moves later in June. The investor exuberance over additional government stimulus and the economic re-openings quickly wore off on reports of increasing COVID-19 infection outbreaks. Short soft commodity and industrial metal holdings suffered as the dollar weakened early in the month and as optimism over a rapid recovery in economic growth bolstered prices. Short grain positions produced losses on the last trading day of the month as the grain complex rallied sharply after the USDA reported acreage that trailed estimates. Within the energy sub-sector, a short natural gas holding provided some offsetting gains amid plummeting US gas exports as well as shifting weather and market supply dynamics. Meanwhile, stock index trading generated some offsetting gains. The Trust held a mix of long and short positions across the traded universe of indexes and showed a gain in Asia and North America, but partially offsetting losses were realized in Europe. Most global indexes experienced a choppy month amid mixed coronavirus news coupled with hopes for more stimulus from central banks. Interest rate positions from long-dated instruments also contributed small offsetting gains during the month. The Bank of Japan signaled plans to buy more shorter-maturity bonds which caused the yield curve to steepen and benefited our short positioning on longer-dated Japanese government bonds.
July saw losses for the Trust, driven primarily from stock index holdings and foreign exchange trading in the emerging and developed markets. The United States’ inability to get the COVID-19 virus under control in the face of other nations of the world seemingly better able to handle the crisis generated concern that US economic growth would lag other countries, leading the FOMC to keep highly accommodative monetary easing in place longer. This dichotomy weakened the US dollar to two-year lows hurting the Trust’s long US dollar positioning against many other currencies. Stock index trading also generated losses for the Trust during July. Long positioning, primarily in Asia-Pacific and Europe, produced the bulk of the sector’s decline. Late in the month both the Asia-Pacific and European regions began to see an uptick in COVID-19 virus cases. Regional governments were quick to discuss the possibility of once again needing to shutdown economies to halt the spread which led to rapid risk-off sentiment in equity markets leading to lower prices. Commodity trading generated the best partially offsetting profits for the Trust. Long positioning on silver and gold proved profitable as both metals showed strong monthly gains. The aforementioned drivers of US dollar weakness were the primary cause of precious metal subsector gains. Some partially offsetting losses came from the grain and energy subsectors. Short grain holdings generated losses as the grain complex rallied during the month on poor crop conditions in the US Plains. Short positioning on natural gas suffered as high summer electric demand in the US sparked high price volatility that the systematic models failed to trade profitably. Interest rate positions from both short-dated and long-dated instruments also contributed gains during July. Long positioning on fixed income instruments profited as prices rose (yields fell) amid US/Chinese geopolitical tensions and as high uncertainty over the course of the COVID-19 crisis led to demand for safe haven assets.
Interest rate positions from both short-dated and long-dated instruments contributed some of the largest losses for the Trust during August. Long positioning on a variety of global fixed income instruments suffered as prices fell (yields rose). The COVID-19 crisis and related emergency fiscal spending has created the need for many governments around the world to finance this spending with new and, in some cases, record levels of debt issuance. That issuance put downward pressure on most global sovereign bond instruments which created losses for the Trust. Commodity trading also experienced sizeable losses for the Trust. A short position on natural gas generated large losses as that commodity rose over 30% during the month. Hot temperatures across the United States drove demand for natural gas for electricity generation to power air conditioning while inventory data showed storage at lower than expected levels. Some partially offsetting gains were experienced in long industrial metals positioning. Longs on copper and nickel profited as prices rose amid signs of a global supply shortage in the face of rising demand from countries such as China. Stock index trading generated partially offsetting gains for the Trust during August. Long positioning, especially in the United States, Canada, Japan, and Germany, produced profits as indexes in those countries experienced strong gains. A lessening of COVID-19 infections, signs that some governments were less willing to renew economic shutdowns to manage the virus crisis, and ongoing monetary and fiscal stimulus actions were all supportive of global stocks during the month. Lastly, foreign exchange trading contributed small additional gains during the month. Losses in emerging FX markets were more than offset by gains in developed FX positions, leading to a net profit within the asset class.
The Trust showed a small loss in September, with interest rate positions from long-dated securities once again contributing some of the largest Trust profits during September. Long positioning on a variety of global fixed income instruments gained as prices rose (yields fell). September had a pronounced risk-off tone that benefitted fixed income holdings due to their attractive safe haven qualities. Overbought conditions in US tech stocks, a lack of progress on another US fiscal stimulus package, some signs that the global economic recovery was stalling, US Presidential election uncertainty, and signs that a new wave of COVID-19 cases was emerging in a variety of regions around the globe all led to the general risk-off malaise. Commodity trading also added gains for the Trust. A short position on natural gas generated profits as that market fell over 10% during the month. Swelling inventories linked with cooler temperatures in much of the United States were the catalyst to lower natural gas prices. A short position on gasoil also proved profitable amid anemic demand as the COVID-19 pandemic crimped diesel fuel purchases. Some partially offsetting losses were experienced in long industrial metal and long grain holdings. Prices in these two subsectors were depressed during the month by a strengthening US dollar on flight to safety buying. Foreign exchange trading contributed small losses during the month. Gains in emerging FX markets were more than offset by losses in developed FX positions, leading to a small net loss within the asset class. Stock index trading generated the largest losses for the Trust during September. Long positioning, especially in Europe, Australia, the UK, and Canada, produced losses as indexes in those countries declined amid the risk-off environment that dominated the month. Fresh virus outbreaks in the UK and Europe linked with concerns that the UK and the European Union were headed for a “no deal” Brexit weighed on equities in those countries. Falling commodity markets due to US dollar strength and concern over global growth prospects depressed equities in Australia and Canada.
The Trust showed a gain in October with profits coming from commodity and FX positions, while stock index and interest rate holdings produced some partially offsetting losses. Commodity trading drove gains for the Trust. Long positioning on the industrial metals complex profited as prices rallied across the subsector with strengthening fundamentals outweighing concerns over a new wave of COVID-19 infections in Europe and the US. Nickel led monthly gains as multiple typhoons in the Philippines threatened exports and COVID-induced mine closures dented supply. Long holdings on the soft commodities also proved profitable. Sugar and cotton both advanced on poor crop conditions driven by adverse weather in their respective growing regions. Foreign exchange trading contributed additional profits during October. Gains were concentrated in emerging FX markets. Short positioning on the Polish Zloty (versus long US dollar) profited amid renewed COVID-19 lockdown measures across Europe. Long holdings on the Korean won and Chinese renminbi (versus short US dollar) experienced gains as both currencies appreciated due to improving economic growth as many Asian countries maintained better control over new COVID-19 outbreaks. Stock index trading generated the largest partially offsetting losses for the Trust. Regionally, stock index performance varied widely and many indexes experienced volatile price action amid a cross current of news and events. European indices saw steep losses and to a lesser extent so did US indexes, while many markets in Asia actually produced gains. This varied and erratic price action proved difficult for the Trust’s systematic trading systems to successfully navigate. Interest rate positions also contributed losses during the month with declines most pronounced in short-dated instruments. Short positioning on European short-end paper was hurt as prices advanced after a resurgence of COVID-19 infections in the region prompted flight-to-safety buying as governments announced new lockdown measures in an attempt to slow the viral outbreak.
The Trust showed a gain in November with profits coming from stock index, commodity, and credit positions, while interest rate and FX holdings produced some partially offsetting losses. Long positioning on global stock indexes drove profits for the Trust during November. Stock markets around the globe started the month strong after the US presidential and congressional election results indicated a divided government in the US and as concerns over a disputed presidential election result began to fade. Bull market optimism continued through the second half of the month as several pharmaceutical companies reported promising results from COVID-19 vaccine trials. Commodity trading also generated gains. Long grain holdings were additive to the Trust with the soy complex providing the largest gains. Soy prices advanced on a bearish supply outlook and expectations that Chinese demand for soybeans will climb next year. Long positioning on the industrial metals complex also generated gains, driven by a weaker US dollar and improving Chinese economic data which sparked a rally as base metal demand expectations improved. In credit trading, short protection positions generated gains as US and European credit spreads narrowed on the same risk-on drivers that drove global stocks higher during the month. Interest rate positions contributed losses during November with declines most pronounced in long-dated instruments. Long positioning on Australian and UK 10-year notes were hurt as yields surged (prices fell) as the flight-to-safety bid dried up following encouraging announcements from COVID-19 vaccine trials. The absence of US election surprises also saw the US long bond sell-off (yields rose) which generated a loss for long positioning on that market as well FX trading contributing small additional losses during November. Losses were realized from trading both the developed and emerging FX markets against the US dollar, which continued its long-term bear trend lower during the month.
The Trust showed a gain in December with profits coming from commodity, stock index, FX, and credit positions, while interest rate holdings produced some partially offsetting losses. Commodity trading drove profits for the Trust during December. Long holdings on the soy complex produced the best results within the sector. Soybeans and related products rallied to multiyear highs on dry weather in key growing regions as Chinese demand continues to rise. Long positioning on the precious metals, softs, and industrial metals generated gains driven by a weaker US dollar and expectations for improving global demand. A short position on natural gas added to profits as warmer weather and abundant supply pushed prices lower in the second half of the month. Long positioning on global stock indexes also generated gains amid a risk-on environment. Stock markets around the globe mostly rallied as COVID-19 vaccines began to be distributed, the US Congress passed a long-awaited COVID fiscal stimulus package that President Trump signed into law, and as the UK and European Union came to a settlement on a Brexit separation agreement late in the month. In credit trading, short protection positions generated gains as US and European credit spreads narrowed on the same risk-on drivers that drove most global stocks higher. Foreign exchange trading contributed additional gains during December. Profits were realized from trading both the emerging and developed FX markets against the US dollar, which continued its long-term bear trend lower during the month. Interest rate positions produced some partially offsetting losses during the month with declines most pronounced in long-dated instruments. Short positioning in UK and German 10-year notes suffered as Brexit uncertainty throughout the month pushed prices higher (yields fell). Long positioning in Australian fixed income instruments and US Treasuries also created losses as prices fell (yields rose) with encouraging vaccine news and prospects for US fiscal stimulus outweighing increasing COVID cases.
2019 (For the Year Ended December 31)
Of the 7.75% return for the year ended December 31, 2019 for Series A, approximately 10.78% was due to trading gains (before commissions) and approximately 2.59% due to investment income, offset by approximately (5.62)% due to brokerage fees, management fees, offering costs and operating costs borne by Series A.
Of the 8.29% return for year ended December 31, 2019 for Series B, approximately 10.78% was due to trading gains (before commissions) and approximately 2.59% due to investment income, offset by approximately (5.08)% due to brokerage fees, management fees and operating costs borne by Series B.
Of the 7.79% return for the year ended December 31, 2019 for Series D, approximately 10.78% was due to trading gains (before commissions) and approximately 2.59% due to investment income, offset by approximately (5.58)% due to brokerage fees, management fees, performance fees, offering costs and operating costs borne by Series D.
Of the 9.93% return for the year ended December 31, 2019 for Series W, approximately 10.78% was due to trading gains (before commissions) and approximately 2.59% due to investment income, offset by approximately (3.44)% due to brokerage fees, management fees, offering costs and operating costs borne by Series W.
An analysis of the 10.78% gross trading gains for the Trust for the year by sector is as follows:
Sector | | % Gain (Loss) | |
Commodities | | | (8.12 | )% |
CurrenciesForeign Exchange | | | (3.76 | )% |
Interest Rates | | | 12.88 | % |
StockEquity Indices | | | 9.78 | % |
| | | 10.78 | % |
The Trust which consists of trend following, systematic macro, and short-term strategies, was lower in January. Losses cameJanuary with losses coming from commodity and foreign exchange positions, while fixed income and stock holdings produced partially offsetting gains for the Trust. Commodity trading generated losses for the Trust in January. Short energy positions suffered as the complex rebounded from multi-year lows on back of bullish fundamental developments and a general increase in risk sentiment. Short grain positioning also detracted as the sector traded higher amid adverse weather conditions in key growing regions, and some optimism surrounding the latest round of trade talks between the US and China. Foreign exchange positioning produced additional losses, with gains in long emerging market currencies (versus the USD) being overshadowed by losses in the developed markets, where we were net short against the greenback. The USD was broadly weaker on the month with the notable themes being the US government shutdown and a less hawkish FOMC. Short positioning on several of the commodity currencies produced the largest losses as those currencies rallied on back of the increase in prices across the petroleum complex during the month. Interest rate positions from long-dated instruments provided offsetting profits during the month. Long positioning on bonds issued by Australia, Canada, and France generated the largest gains. The shift in central bank rhetoric to a more dovish tone caused global fixed income markets to rise to start the year. Stock index positions also produced some offsetting gains during the month. Despite a myriad of global headwinds, stock markets recovered from their December sell-off, encouraged by a resumption of trade talks, dovish Fed takeaways, and the start of US Q4 earnings that mostly met expectations. Shorter term strategies moved from short to long, flipping net Trust positioning in time to capitalize on rallying equity markets, especially in the Hang Seng index.
The Trust showed a profit in February with gains coming from commodity and stock index positions, while interest rate holdings produced some partially offsetting losses. Foreign Exchange (FX) had little P&L impact on the Trust during the month. Commodity trading generated profits for the Trust in February. Short positioning across the grain subsector produced some of the best sector gains. Wheat extended a sell-off to a ten-month low following a year-over-year improvement in winter crop conditions. A long position on palladium led gains in the precious metals subsector. Palladium rose to a record high amid tight supplies and steadily rising demand for the rare metal. Some partially offsetting losses came from the industrial metal subsector. Short positioning on copper and nickel suffered as prices rose, driven by signs of progress on US / Chinese trade talks and amid tight supplies. Stock index positions produced additional gains. Long positioning on European, US, and Asia-Pacific indices produced the best profits within the sector. European stock indices benefitted from signs of progress for a successful Brexit (the UK divorce from the European Union) with the Euro Stoxx 50 and the French CAC 40 producing some of the greatest sector returns. Asia-Pacific stocks rallied amid signs that a US / Chinese trade deal was also making positive progress. President Trump delayed a March 1st tariff increase on China as he cited “significant progress” on the trade talks. Some of the biggest gains within the region came from Australia and Hong Kong. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting losses during the month. Long positioning on the United Kingdom (UK) gilt (10-year note) contributed the largest losses to the sector. Signs of positive progress on Brexit and hawkish comments from the UK central bank head Mark Carney conspired to send gilt prices down sharply from near-term highs. In the foreign exchange sector, gains in developed market currencies were almost equally offset by losses in the emerging market currencies, leading to negligible P&L for currencies overall. Long US dollar positioning was profitable against developed market currencies but losses in the emerging markets, especially from the Brazilian real and the South African rand, mostly negated any FX sector gains.
The Trust showed a profit in March with gains coming from interest rate and stock index holdings. Foreign exchange positions produced some partially offsetting losses while commodities had little impact on the Trust. Interest rate positions in long- and short-dated instruments spearheaded Trust gains in March. More dovish than expected commentary from central bankers, growing global growth concerns, and persistently weak economic data ignited a sharp rally in bonds worldwide. Long positioning on the UK gilt provided the biggest gain as investors sought safe havens amidst Brexit gridlock. Net long positioning in US bonds generated additional gains after the FOMC scaled back projected interest-rate increases this year to zero and said they would end the drawdown of the central bank bond holdings in September. One of the most discussed bond headlines this month was the inversion of the US yield curve (3-month bills and 10-year note) for the first time since the global financial crisis. Long positioning on a variety of global stock indices also added to the positive monthly result. Stock index returns ebbed and flowed on the various themes of stalling global economy growth, dovish central bank rhetoric, US-China trade talks, and Brexit. Some of the best monthly stock index gains were found in Europe and the United States. Foreign exchange positioning on developed FX markets drove the sector’s losses during the month. The Trust started the month long the Canadian dollar (versus the USD) which ultimately weakened after a worse than expected Canadian GDP release. Small gains in the emerging market currencies helped offset some of the losses. Commodity holdings produced mixed results in March. Long energy positions detracted as upside momentum in the complex stalled alongside a pause in global risk sentiment. Precious metals also registered a negative contribution to the Trust, primarily from a long palladium position. After hitting new all-time highs, palladium prices plummeted in the waning days of the month as slowing global economic growth sparked demand worries. Short grains holdings provided offsetting gains as the complex sold-off into month-end following a bearish USDA grain report.
The Trust showed a profit in April, with gains coming from stock index and commodity positions, while interest rate and foreign exchange holdings produced some partially offsetting losses during the month. Stock index positions produced the best Trust gains. Long positioning on European and Asia-Pacific indexes generated the largest profits within the sector. Global stock indexes generally produced strong gains during April. Those gains were driven by dovish statements from several major central banks, signs of improving economic growth from China, some better-than-expected economic releases from the United States, and amid mostly robust Q1 corporate earnings reports. Commodity trading also generated profits for the Trust in April. Short positioning across the grain subsector produced some of the best sector gains driven by a stronger US dollar and ample global supply expectations. Soybeans traded to a 6-month low while wheat fell to a 6-week low during the month. Long positioning on the energy subsector also added to gains. The subsector benefited from a combination of broad demand for global risk assets and increasing concerns over an undersupplied market. Some partially offsetting losses came from the industrial metals subsector. Long positioning in zinc and copper led losses as the complex suffered its biggest monthly decline on a year-to-date basis. Base metals faced headwinds from a stronger US dollar and climbing inventory stockpiles. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting losses during the month. Long positioning on the United Kingdom gilt (10-year note) and short sterling (90-day bill) contributed the largest losses to the sector. A 6-month Brexit extension sent UK fixed income prices lower as traders liquidated safe-haven positions as the threat of a “hard” UK separation from the European Union (EU) diminished. In the foreign exchange sector, losses were generated in the emerging market (EM) currencies. The trading strategy failed to successfully navigate some choppy price action in the South African rand (against the US dollar) which contributed more than half of the monthly losses within the EM FX sector.
The Trust showed a loss in May, with losses coming from stock index and commodity positions, while interest rate and foreign exchange holdings produced some partially offsetting gains during the month. Stock index positions produced the largest Trust losses. Global stock indexes generally saw steep sell-offs during the month and long positioning on global indexes generated losses within the sector, particularly across Europe and in the United States. Those losses were driven by a sharp escalation of trade tension between the US and both China and Mexico, signs that global growth is decelerating, and as the inverted US Treasury yield curve signaled a higher-than-normal recession risk. Commodity trading also generated losses for the Trust in May. Short positioning across the grain subsector produced the worst sector losses as heavy rains across the Midwest prevented a considerable amount of crop planting in the US. Weekly USDA crop progress reports painted a bullish outlook for prices, especially for corn, which rose sharply to a near three-year high. Long holdings on the energy subsector also added to losses. The energy complex suffered amid weakening demand and as US inventory levels rose to a 22-month high. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting gains during the month. Long positioning on 10-year notes from Australia and the United Kingdom were two of the best performing holdings. Australia’s central bank indicated that interest rate cuts were likely in the coming months sending their notes sharply higher (interest rates fell). In the UK, the Brexit impasse became more uncertain as Prime Minister May stepped down and the future leadership of Britain became less clear. Flight to safety flows benefitted the UK gilt. In the foreign exchange sector, gains were generated in the developed market and emerging market currencies. A short position on the Australian dollar drove gains in the developed FX subsector as that currency sold-off amid some weaker than expected economic data releases and dovish comments from the Governor of the Reserve Bank of Australia. A short position on the Chilean peso proved profitable in the EM subsector as that currency weakened on trade angst and weaker copper prices.
The Trust showed a profit in June with gains coming from stock index and interest rate positions, while foreign exchange and commodity holdings produced some partially offsetting losses during the month. Stock index positions produced the largest Trust profits. Global stock indices bounced back sharply from May’s steep sell-off. Long positioning across most global indexes benefited from signs that major central banks stand ready to provide new stimulus to slowing global economies. Fed Chairman Powell at the June FOMC meeting strongly hinted that rate cuts are coming and ECB President Draghi stated that “in the absence of improvement” in inflation data, “additional stimulus will be required.” Interest rate positions from both long-dated and short-dated instruments provided additional gains during the month. Long positioning in Australia, the United States, Japan, and Europe all benefited from the possibility of renewed central bank easing. Early in the month, the Reserve Bank of Australia became one of the first G10 central banks to actually cut interest rates amid sluggish economic growth and a decline in real estate prices in the country, and then strongly hinted that additional cuts might be warranted. In the foreign exchange sector, losses were generated in the developed market currencies. A short position on the Norwegian krone (versus the US dollar) led sector losses. The Norges Bank bucked the dovish central bank trend and actually hiked interest rates during the month. The hike marked the third increase over the past nine months amid a surge in oil investments, low unemployment, and inflation running above the central bank’s target. Commodity trading provided some small losses for the Trust in June. Industrial metals were the worst performing sub-sector. A short holding on nickel suffered on the back of US dollar weakness and mounting optimism over a Trump-Xi trade meeting on the sidelines of the G-20 summit near month-end. Some partially offsetting gains were seen in long energy holdings. A long position on gasoline profited after a massive fire shut-down one of the East Coast’s largest refineries, crimping supply and sending gas prices sharply higher.
The Trust showed a profit in July with interest rate positions from long-dated instruments providing the best gains during the month. Long positioning, especially in Europe and Australia, benefited from mounting global growth concerns, escalating fears over a “hard” UK Brexit from the EU, and ongoing uncertainty over the US/Chinese trade war. This confluence of headwinds worked to keep major global central banks in accommodation mode which has been supportive of most global bond markets (higher prices and lower interest rates). Most notably, the US FOMC cut interest rates on the last day of the month and the European Central Bank has given clear indications that it expects to provide new stimulus in September. In the foreign exchange sector, gains were generated in the developed market currencies. Short positions on the euro, Swedish krona, British pound, and Norwegian krone (all long against the US dollar) provided some of the best profits. US economic data has proven to be more resilient than many other regions of the globe to the benefit of the dollar. Concerns over a “hard” Brexit in the UK increased after hardliner Boris Johnson was elected as Prime Minister. The pound was the worst performing G10 currency (against the US dollar) during the month. Stock index positions produced additional Trust profits. Long positions in the United Kingdom and Australia were two of the most profitable positions in the sector during July. Stocks in both export-heavy countries rallied strongly as falling currency values in their respective countries fueled gains in companies linked to export activity. Commodity trading also provided some gains for the Trust in July. Short positioning on the grains and softs sub-sectors benefitted from the stronger US dollar and some improving growing conditions. Long positioning on gold and silver profited from flight-to-safety flows amid heightened global uncertainty. Some partially offsetting losses were experience in the industrial metals sub-sector as choppy price action during the month proved challenging.
The Trust showed a profit in August, with interest rate positions from long-dated and short-dated instruments provided the best gains during August. Long positioning, especially in Europe, Australia, Japan, and the US benefited from an escalation of trade tensions between the US and China which heightened global growth concerns. Global bond yields sank sharply as safe-haven demand drove bond prices higher. In addition to the above-mentioned growth concerns, markets had plenty to fret about including a growing likelihood of a no-date (aka “hard”) UK Brexit from the EU, civil unrest in Hong Kong, and an inverted US yield curve which could be signaling a looming US recession. Commodity trading also provided some gains for the Trust during the month. Short holdings on grains and softs were two of the best performing sub-sectors. Corn futures sank in value after US government reports sparked concerns about oversupply. Cotton prices fell amid the widening trade war which dampened demand expectations. Some partially offsetting losses were experienced in the energy sub-sector as choppy price action proved challenging for our trading systems to profitably navigate. Stock index positions contributed losses to the portfolio during August. Long positions in the UK and Australia were two of the biggest losing positions within the sector. Global stocks mostly dropped during the month amid the expanding trade war and generally weaker than expected economic data outside the US. A short position on the Hong Kong Hang Seng index provided some partially offsetting gains as civil unrest and threats of Chinese intervention unnerved investors which helped our bearish position. In the foreign exchange sector, losses from the emerging markets (EM) overwhelmed gains from the developed markets. Long positioning on EM currencies, such as the Brazilian real and South African rand, suffered after a landslide result from the Argentinian primary election. A possible return to left-wing populism sparked a sharp sell-off in the Argentine peso and the fear quickly spilled over into other EM currencies.
The Trust showed a loss in September, with losses coming from interest rate and commodity positions, while stock index holdings produced some partially offsetting gains for the portfolio. Foreign exchange holdings had little impact on the portfolio during the month. Interest rate positions from both short-dated and long-dated instruments provided losses during September. Long positioning, especially in Australia and Europe, contributed the largest losses to the sector as progress on the US-Chinese trade talks overshadowed the US political situation. European fixed income markets took an additional leg lower after the ECB’s hawkish rate cut and commentary which emphasized fiscal policy over additional monetary stimulus. Partially offsetting those losses were gains from short positions on the US 10 year and 30 year Treasury bonds. Commodity trading produced additional losses for the portfolio during the month. Short positioning in some energy markets suffered after the petroleum complex initially spiked higher following the September 14th rebel attacks on a Saudi Arabian oil field and processing facility. In the softs, a short sugar holding incurred losses as the commodity was boosted by signs of tightening supplies. Additional losses were produced from our short grain holdings. The grain markets rose as potential purchases of US agricultural goods by China were said to be in focus in discussions between the countries’ trade representatives. Foreign exchange positions had little net P&L impact to the portfolio during September. Gains in our emerging market positions were overwhelmed by a short position on the Australian dollar. The Aussie currency moved higher on back of the improvements in US-Chinese trade talks and the Australian central bank pausing their monetary policy easing measures. Long global stock positioning provided the portfolio with some partially offsetting gains. Stock indexes closed higher in September but ebbed and flowed throughout the month as the markets focused on better US-Chinese trade headlines, improving US macro data, geopolitical concerns, and expectations for more central bank policy support. The best monthly stock index gains were found in Europe.
Losses in October were from foreign exchange, interest rate, commodity, and stock index positions as the Trust’s foreign exchangeFX holdings contributed the largest declines during the month. Losses were dominated by short positions in the developed market currencies (versus long the USD), specifically in the British pound, and Australian and New Zealand dollars. The US dollar was broadly weaker during the month amid a US interest rate cut and as risk-on flows were fueled by improving sentiment around both US-China trade relations and the Brexit outlook. The British pound rallied throughout the month on back of Brexit-related enthusiasm. The Australian and New Zealand dollars benefited from the generally positive progress on US-China trade negotiations. Interest rate positions from both short-dated and long-dated instruments contributed additional losses. Long positioning in Japan, Australia, and Europe all suffered amid improving risk sentiment driven by signs that the US and China were making concrete advancements with “Phase One” of the trade deal. Progress towards an orderly United Kingdom exit from the European Union also helped drive investors out of fixed income and into riskier assets which hurt the Trust’s rate positioning. Commodity trading also produced losses for the Trust during October. The energy sub-sector was the main detractor as a short position on natural gas suffered amid cooler than expected temperatures in the US, which sent prices sharply higher. In addition, choppy price action within the petroleum complex proved challenging for our trading systems to profitably navigate. Some partially offsetting gains were achieved in the precious metals, meats, and grains sub-sectors. Global stock index trading was also a drag on the Trust during the month. Short-term strategies experienced losses in the United Kingdom’s FTSE 100 index as they were whipsawed by a sharp sell-off early in October, followed by a recovery later in the month. Some partially offsetting gains were seen from long positioning on US and Japanese stock indices which rose driven by the risk-on tailwinds and better than expected earnings reports seen during the month. Losses in the UK overwhelmed any gains experienced in other regions of the world.
The Trust had a gain in November led by stock index, foreign exchange, and interest rate positions while commodity holdings created some partially offsetting losses for the portfolio. Global stock index trading produced some of the best gains for the Trust during the month. Long positioning across most global stock indexes proved profitable as equities generally moved higher. Investors were driven to deploy sidelined cash amid positive US-China “phase one” trade deal expectations, traction from the global monetary policy pivot, Fed and ECB balance sheet expansion, and some signs of global growth stabilization. In the foreign exchange sector, gains were generated in the developed market and emerging market currencies. A short position on the Australian dollar drove gains in the developed FX subsector as that currency sold-off amid weaker than expected employment data and expectations for easier monetary policy in the foreseeable future. A short position on the Chilean peso proved profitable in the emerging market subsector. What started as a “national strike” in Chile’s capital city quickly developed into rioting and significant social unrest across the country, causing a sharp sell-off in their local currency. Interest rate positions contributed to profits with gains in long-dated bonds overwhelming losses in short-dated notes. The UK parliament voted in favor of a December general election which calmed Brexit jitters and prompted UK 10-year bonds to sell off, creating profits for our short positioning. Partially offsetting losses came from long US 2-year Treasury note holdings which slumped on the back of improving trade talks. Commodity holdings contributed the largest declines to the Trust during the month. Losses were dominated by the energy and industrial metal sub-sectors. Choppy price action within the petroleum complex proved challenging for our trading systems to profitably navigate. The industrial metal sub-sector detracted as long nickel and zinc positions suffered losses. Nickel trended lower throughout the month as concerns over tight supply eased, while zinc fell on increasingly bearish fundamentals.
The Trust generated losses in December with its interest rate, foreign exchange, and commodity positions, while stock index holdings created some partially offsetting gains for the Trust. The interest rate sector generated some of the largest monthly losses. Long positioning on both long-dated and short-dated instruments suffered as prices fell (yields rose) as safe-haven assets were sold due to a resurgent risk-on environment driven by positive progress on a US-China trade agreement. A long position on the Australian 10-year note generated the largest losses within the sector as that instrument sold-off throughout the month. Foreign exchange trading was also a major detractor to the Trust during December. Short positions on the Norwegian krone and Australian dollar (both versus long US dollar) suffered amid an improvement in risk-on sentiment. A cooling of trade tensions between the US and China helped to fuel monthly gains for both of these so-called “commodity currencies” which hurt the Trust’s short positioning. Some partially offsetting gains were found in the emerging FX sub-sector. A long position on the Brazilian real (versus short US dollar) benefitted from the same risk-on dynamic. Commodity holdings contributed small additional losses during the month. Short positioning on the grain markets, most notably a short on soybeans, were hurt by progress on a new US-Chinese trade accord where China agreed to purchase large quantities of US crops which sent prices higher. Mostly offsetting gains were generated by the energy sub-sector. Long positioning on Brent and crude produced some of the best profits as those products benefitted from lower inventory levels, some rising geopolitical risks, and a weaker US dollar. Global stock index trading produced the only gains for the Trust during December. Long positioning across most global stock indexes proved profitable as equities generally moved higher during the month. Diminished trade tensions, supportive central bank policies, and dampened risk related to Brexit all provided a tailwind for stocks to close out the decade.
2018 (For the Year Ended December 31)
Of the (9.03)% return for the year ended December 31, 2018 for Series A, approximately (5.87)% was due to trading losses (before commissions) and approximately (5.14)% due to brokerage fees, management fees, offering costs and operating costs, offset by approximately 1.98% due to investment income earned by Series A.
Of the (8.66)% return for year ended December 31, 2018 for Series B, approximately (5.87)% was due to trading losses (before commissions) and approximately (4.77)% due to brokerage fees, management fees and operating costs, offset by approximately 1.98% due to investment income earned by Series B.
Of the (8.15)% return for the year ended December 31, 2018 for Series D, approximately (5.87)% was due to trading losses (before commissions) and approximately (4.26)% due to brokerage fees, management fees, offering costs and operating costs, offset by approximately 1.98% due to investment income earned by Series D.
Of the (7.28)% return for the year ended December 31, 2018 for Series W, approximately (5.87)% was due to trading losses (before commissions) and approximately (3.39)% due to brokerage fees, management fees, offering costs and operating costs, offset by approximately 1.98% due to investment income earned by Series W.
An analysis of the (5.87)% gross trading losses for the Trust for the year by sector is as follows:
Sector | | % Gain (Loss) | |
Commodities | | | (2.00 | )% |
Currencies | | | 3.47 | % |
Interest Rates | | | 1.79 | % |
Stock Indices | | | (9.13 | )% |
| | | (5.87 | )% |
The Trust showed a profit in January as gains came from foreign exchange, stock index, and interest rate holdings. Commodity positions showed some losses. Foreign exchange positioning, in both developed and emerging FX markets, generated gains during January. The Trust was predominately positioned short the US dollar against other traded currencies and benefitted from a weaker greenback during the month. The weakness can be attributed to a few different themes, including expected hawkish central bank policy shifts outside the US as growth exceeds expectations, trade tensions, and US deficit concerns. The best gains came from long positioning on the British pound, Norwegian krone, and euro all versus short the US dollar. Long positioning on global stock indices also drove profits for the Trust. Most global stock indices welcomed 2018 with robust gains driven by a variety of factors. A synchronized upswing of global economic growth, stronger than expected corporate earnings results, and a major tailwind from the recently passed tax reform in the US all drove equities higher. The so-called “fear of missing out” dynamic only intensified the demand for equity exposure. The best profits were generated in the United States and across Asia, specifically in Hong Kong and Taiwan. Interest rate positions, from long-dated and short-dated bond markets, created additional gains for the Trust. Short positioning on US markets, specifically the 10-year and 5-year notes along with 90-day Eurodollar and 2-year notes, drove a bulk of the profits in the sector. US yields marched higher throughout the month as bond prices dropped amid expectations that the US Federal Reserve will continue its gradual interest rate policy tightening, as US inflation expectations continue to firm against a positive economic backdrop. Commodity holdings produced losses during the month. Profits from long positioning on precious and industrial metals and energy markets were overwhelmed by losses from short grain holdings. The weaker US dollar and stronger economic environment helped the metal and energy longs while strong export sales data hurt the grain shorts.
The Trust declined in February due to losses from stock index, commodity, and foreign exchange holdings. Fixed income positions showed partially offsetting gains. Long positioning on global stock indices drove losses for the Trust. After extending the long-term rally to start 2018, global equity markets spiked lower in the first half of the month. The sell-off was led by US stocks as markets experienced a sharp increase in volatility. While crowded equity positions sold off on profit-taking, the VIX (a measure of volatility on the S&P 500) had its largest ever daily climb on February 5th. The largest Trust loss came out of the US, specifically on the short VIX contract. Commodity holdings produced additional losses. The biggest commodity sub-sector losses were found within the energy markets as long positioning across the complex suffered on the back of increasing US supplies. Additionally, short grain positions generated losses as those markets rallied on strong export sales activity and weather concerns in key growing regions. Long precious metal positions also produced losses amid the stronger US dollar, firmer inflation, and quicker Fed tightening expectations. Foreign exchange positioning, in both developed and emerging FX markets, generated losses during February. After the recent trend of a weakening US dollar, the Trust was positioned short the USD against all of our traded currencies and suffered from a broad correction in the greenback during the month. The reaction from the FX markets to the equity sell-off early in the month was relatively muted, and the market instead focused on higher US yields and heightened inflation expectations. Interest rate positions created some offsetting gains for the Trust. Short positioning on US markets drove the bulk of the profits in the sector. After global fixed income markets rallied on the risk-off trade early in February, Treasuries saw a greater correction than other government bond markets. US yields ultimately moved higher on the month amid expectations that the Federal Reserve will continue its path of tightening, while inflation expectations continue to firm against a positive economic backdrop.
March for the Trust was comprised of gains from commodity holdings while stock index and foreign exchange positions showed partially offsetting losses. Interest rate positions had little impact on the Trust during the month. Commodity holdings produced the best gains during March. Long positioning on the crude complex within the energy sub-sector generated profits. Geopolitical concerns around the US potentially pulling out of the Iran nuclear deal, bullish inventory data, and speculation that the Organization of Petroleum Exporting Countries (“OPEC”) might extend existing production cuts all combined to push energy prices higher during the month. Mixed positioning across the softs sub-sector proved profitable in March as well. A short sugar position gained amid ongoing global surplus concerns while a long cocoa holding also experienced profits as output worries from the Ivory Coast lifted prices. Long positioning on global stock indices produced some losses for the Trust. Holdings in Australia, Singapore, Hong Kong, Japan, and the US contributed to some of the worst performance within the sector. Fear over a potential global trade war, tightening financial conditions after the US Federal Reserve raised interest rates, and concern over additional turnover among senior members of President Trump’s inner circle all put pressure on global equity markets during the month. Foreign exchange positioning on developed FX markets drove the sector’s losses during March. A late month rally in the US dollar produced losses from short dollar positions. The largest loss came from short US dollar versus a long euro holding. Dampening of concerns around a global trade war and quarter-end flows into the greenback both helped to boost the currency in the waning days of the month. Positioning on emerging market currencies produced almost no P&L effect for the Trust during March. Interest rate positions contributed a negligible P&L impact for the Trust. Gains from long-term markets were offset by losses in short-term markets leaving the sector nearly unchanged for the month.
The Trust had losses in April which came from foreign exchange and commodity positions while fixed income and stock index holdings produced some partially offsetting gains for the Trust. Foreign exchange positioning, in both developed and emerging FX markets, generated losses in April. After the recent trend of a weakening US dollar, the Trust was positioned short the US dollar against most of our traded currencies and suffered from a broad correction in the greenback. Early in the month, FX markets focused more on trade frictions and geopolitical tension but as those concerns eased, the market instead looked to higher US interest rates and heightened inflation expectations, causing a US dollar rally. Commodity holdings produced additional losses during April. The biggest sub-sector detractor was found within the industrial metals complex. Short positioning on aluminum suffered when the commodity pushed higher on supply worries following Russian sanctions by the White House. Energy and soft commodity holdings produced partially offsetting gains. Long positioning across the crude complex generated profits as the sub-sector rose to multi-year highs on supply disruptions. Interest rate positions, from long-dated and short-dated bond markets, created gains for the Trust. Short positioning on US markets, specifically the 10-year and 5-year notes along with Eurodollar and 2-year notes, drove profits in the sector. US bond prices fell and yields trended higher with the 10-year note yield piercing the widely scrutinized 3% level intra-month. Firming inflation expectations and the rebound in the US dollar provided support to yields. Long positioning on several stock indices produced additional gains as global stock markets rose in April. Reduced tariff tensions, strong US earnings, and eased geopolitical concerns on the Korean peninsula provided a tailwind for equities during the month. Additionally, European stocks were supported after the European Central Bank (“ECB”) steered away from any surprises during their April meeting.
Losses in May came from all four asset classes traded by the Trust – Interest Rates, FX, Commodities, and Stock Indices. Interest rate positions generated some of the largest losses for the Trust during May. Long positioning on the Italian 10-year note suffered amid a sharp sell-off due to political turmoil in the country which sparked speculation that Italy might leave the European Union. That same turmoil sent US interest rate markets higher due to safe-haven buying which hurt the Trust as it was positioned short across the entire US interest rate curve in anticipation of further FOMC rate hikes later this year. Foreign exchange positioning, in both developed and emerging FX markets, also generated losses during the month. A long position on the British pound (versus short US dollar) declined in value as the ongoing BREXIT impasse, weaker UK economic data, and fading Bank of England rate-hike expectations all conspired to push the currency lower. A long position on the Turkish lira added to sector losses as economic and political woes in that country sent the EM currency to record lows against the dollar. Commodity holdings produced additional losses as well. A short sugar position suffered as the soft commodity advanced as Brazilian supply concerns boosted prices amid a trucker strike in the country. Other sub-sector losses were experienced in the grains, meats, and precious metals. The energy sub-sector, however, provided some partially offsetting gains. Long positioning across the crude complex benefitted as prices generally stayed in the uptrend that began almost one year ago. Long positioning on a variety of global stock indices produced some good profits for the Trust early in the month as most world indices experienced gains. Unfortunately, later in May, the political concerns that flared in Italy and renewed trade tensions between the US and China triggered a sharp reversal in prices, especially in Europe and Asia, which resulted in losses for some of the holdings. A long position on the Italian stock index was one of the worst performing markets for the sector.
Gains in June came from all four asset classes traded by the Trust – FX, Interest Rates, Commodities, and Stock Indices. Foreign exchange positioning generated some of the strongest gains during the month. While the positive returns were dominated by our short developed market positions (versus long the USD), we also saw gains across various emerging market currencies as well. The US dollar saw choppy trading early in June but ultimately continued the uptrend from the first two months of the second quarter. The DXY dollar index hit fresh 2018 highs and the greenback finished the month stronger versus the majority of our tradeable currencies. The back and forth headlines on a potential global trade war, coupled with dovish policies outside of the US, proved to be the major macro themes driving foreign exchange markets during the month. Interest rate positions generated additional gains for the Trust during June. Short positioning in US markets, specifically the 90-day Eurodollar and 2-year notes, created the bulk of fixed income gains as yields rose (prices fell) on the back of a 25 basis point FOMC rate hike, hawkish US Fed commentary, and a higher-than-expected projection for two additional US rate hikes this year. Policy divergence between the Fed and other central banks, such as the ECB and the Bank of Japan, benefitted our positioning. Commodity holdings produced small additional profits as well. A short corn position experienced strong profits as the grain fell to multi-month lows amid above-average crop progress and on concerns that trade tensions between the US and China could hurt US exports. Long energy positions produced profits after a larger-than-expected reduction in US oil inventories. Long positioning on a variety of global stock indices added slightly to the positive monthly result. Stock index returns ebbed and flowed on the numerous headlines surrounding trade tensions between the US and her trading partners. Some of the best monthly stock index gains were found in Australia, Canada, and the United States.
Losses in July came from commodities, FX and interest rates, while stock indices provided some partially offsetting gains. Commodity holdings produced some of the largest monthly losses for the Trust. Long energy positions declined as the complex fell from multi-year highs amid a myriad of bearish developments including global trade tensions and climbing output from OPEC. Short grain positions suffered as the agricultural complex rallied sharply sparking a short squeeze amid supply concerns. Long positioning on the industrial metals also created losses due to a sell-off created by fears over a global trade war and related concerns about future demand from China. Foreign exchange positioning generated additional losses during the month. Short commodity currency holdings (versus long US dollar) produced losses for the Trust as those markets rose as trade war fears dampened somewhat in the second half of the month. Short European foreign exchange positioning (versus long US dollar) also experienced losses, most notably from the Swedish krona which rallied after the Riksbank (Sweden’s central bank) turned more hawkish amid stronger economic data in that country during the month. Interest rate positions were also a drag on the Trust during July. Long positioning in Europe and the APAC region suffered as bond investors grew more concerned that global central banks are beginning to slowly withdraw stimulus with an eye towards higher interest rates in the future. Short positioning across much of the US interest rate curve provided some partially offsetting gains as US fixed income prices fell with other global bond markets. Long positioning on a variety of global stock indices added some partially offsetting gains to the Trust during the month. Most stock indices enjoyed a bullish tailwind from a stronger-than-expected second quarter earnings season which eclipsed the uncertainty caused by on-again, off-again international trade tensions.
Profits in August came from commodities and FX while interest rates and stock indices provided some partially offsetting losses during the month. Commodity holdings produced some of the largest monthly gains for the Trust. Short grain positions profited as the sub-sector sold off amid trade turmoil, beneficial weather, and higher yield estimates. Long energy holdings across the crude complex experienced gains as looming US sanctions on Iran, which are expected to cripple the nation’s oil exports, as well as larger than expected US inventory draws, fueled prices higher. The soft commodity sub-sector also added gains to the bottom-line, led by a short coffee holding. Coffee prices were pressured to a 12-year low amid a weaker Brazilian real and record harvest forecasts in Brazil. Foreign exchange positioning generated additional profits during the month. Long US dollar positions, against both developed and emerging market currencies, generated the gains. A short New Zealand dollar holding (versus long US dollar) experienced some of the greatest gains as weaker economic data and a dovish central bank caused the kiwi to sell-off. In emerging markets, a short holding on the South African rand (versus long US dollar) provided profits as expectations for further increases in US interest rates continued to put pressure on emerging market currencies. Interest rate positions were a drag on the Trust during August. Short positioning on US and United Kingdom fixed income markets suffered amid flight-to-safety buying and short-covering. Mounting concerns over the stability of emerging markets, especially in countries such as Argentina and Turkey, fueled demand for the relative safety of fixed income instruments as potential contagion fears spread. Long positioning on a variety of global stock indices also detracted from the monthly gains of the Trust. European and Asia long holdings generated most of the losses. Ongoing global trade tensions linked with uncertainty over BREXIT negotiations in the UK, and weaker than expected tech earnings, in Asia pressured those regions lower.
The Trust declined in September due to losses from FX and stock index positions, while commodity and fixed income holdings produced offsetting gains for the Trust. Foreign exchange positioning, in both developed and emerging markets, generated losses in September. After the recent trend of a strengthening US dollar and emerging market weakness, the Trust was positioned long the US dollar against most of our traded currencies and suffered from a correction in the greenback. Early in the month, FX markets focused more on trade frictions and geopolitical tension but those concerns gradually eased and emerging market currencies saw their first monthly gain since March. Stock index holdings produced additional losses for the Trust. Long positioning on a variety of indices suffered from choppy markets that were whipsawed by global trade concerns between the US and her major economic partners. Balancing losses were gains seen from the Nikkei, which posted its best month in a year. Japanese shares were helped by a weaker yen which acted as a tailwind to exporters and a government which may be willing to make a trade deal. Interest rate positions from short US fixed income markets created gains for the Trust during the month. US bond markets fell and yields rose due to firming inflation data, a hike by the US Federal Reserve, and the decreasing risk of emerging market contagion. Providing smaller offsetting losses were our long positions on the long-dated European bond markets. Commodity holdings produced additional offsetting gains for the Trust during the month. The largest sub-sector gains were found in energies as long WTI and Brent oil positions profited. Oil prices rose on the potential for refinery disruptions from tropical storms and fears of a supply crunch from looming US-lead sanctions on Iran, outweighing the bearish effects of escalating disputes over global trade.
Stock index holdings generated steep losses for the Trust during October as long positioning on a variety of global indices suffered as most world stocks sold-off sharply. A myriad of negative headwinds for global equities contributed to the sudden risk-off tone including peak earnings concerns, tighter financial conditions, trade-war fears, decelerating Chinese economic growth, the strong US dollar, waning benefits from US tax reform, geopolitical tensions on several fronts, a slowdown in corporate buyback activity ahead of Q3 earnings reports, and a weakening US housing market. Commodity holdings caused additional losses for the Trust during October. The energy and softs sub-sectors produced the worst results. Long positioning on the petroleum complex sold-off in sympathy with global stocks. In the softs, a short position on coffee produced losses as that commodity rose about 10% during the month, fueled by Brazilian real strength that triggered a bout of short covering. The grains sub-sector provided some offsetting gains as short holdings profited as the complex traded lower during the month amid the stronger US dollar. Foreign exchange positioning, in both developed and emerging markets, generated some partially offsetting gains in October. Long positioning on the US dollar, the highest yielding G10 currency, profited as key European currencies stumbled following renewed BREXIT-related concerns and some disappointing economic data in the region. In the G10 basket of currencies, only the Japanese yen outperformed the US dollar as safe-haven buying benefitted the yen over the dollar. Interest rate positions from long German and Japanese markets created additional partially offsetting gains. Safe-haven demand pushed fixed income prices up (yields fell) which boosted the Trust’s long holdings, leading to a positive sector outcome during October.
In November, losses came from foreign exchange, fixed income, and stock index positions, while commodity holdings produced some partially offsetting gains for the Trust. Foreign exchange positioning, in both developed and emerging markets, generated the largest losses in November. Long positioning on the US dollar against most of our traded currencies proved to be a headwind for the Trust. After having one of its best months in two years in October, the US dollar saw choppy trading throughout the month of November. A potential shift in US FOMC interest rate policy, trade war headlines, and a softening US inflation outlook helped prevent the dollar from a continuation of its broader move higher. Interest rate positions from short US 2-year notes and short US 90-day Eurodollars led to sector losses. Short-dated fixed income markets rallied in the US (yields fell) as several dovish speeches by US FOMC members, including Chairman Powell, indicated that the Fed might be closer to pausing US interest rate hikes than the market previously expected. Stock index positions also detracted during the month. The Trust held a mix of long and short positioning across the traded universe of global indices. Most global indices experienced a choppy month as traders weighed a mix of news related to trade wars, US Fed policy, global economic growth, and BREXIT. Some small gains were found in North America, but more than offsetting losses were realized in Europe and Asia. Commodity holdings produced some partially offsetting gains for the Trust during November, with the energy sub-sector realizing the best results. Long positioning on natural gas proved profitable as colder than expected temperatures in the US set-off a rally that led to a massive short-squeeze, sending prices higher by almost 40% during the month. A short on gasoline was also profitable as the petroleum complex continued its recent sell-off. Some partially offsetting losses were seen in a short soybean position as hopes for a truce in the US-Chinese trade war sent prices higher.
Profits in December were seen across all major asset classes traded - foreign exchange, commodities, interest rates, and stock indices. Foreign exchange positioning, mostly from developed markets, generated some robust gains in December. Short positioning on several of the so-called commodity currencies, primarily the Australian dollar and Canadian dollar (all versus long the US dollar), produced the best gains. The Canadian dollar sold off in sympathy with the meltdown in prices across the petroleum complex during the month. The Aussie dollar fell in value as China, a major export market for Australian commodities, reported weaker than expected economic data, generating concern about future demand. Commodity holdings also produced solid gains for the Trust during December, with the softs, grains, and industrial metals sub-sectors realizing the best results. Short positioning on cotton profited as prices fell due to concerns surrounding a recent slowdown in export sales activity. A short holding on soybeans proved profitable as prices fell amid a slowdown in US exports due to the ongoing US trade dispute with China. Short positioning on aluminum also produced profits from falling prices fueled by a barrage of weaker than expected economic data out of China. Interest rate positions from short-dated instruments provided additional profits during the month. Long positioning on short-term notes issued by the US, Europe, Canada, and the United Kingdom all generated gains. These positions benefitted from flight-to-safety flows seen during December as investors aggressively sold stocks and sought the relative safety that fixed income instruments provide. Stock index positions also added to gains during December. Short positioning on several global indices generated profits as most global stocks experienced a steep sell-off. A myriad of headwinds sent stocks reeling including higher US interest rates, signs of a global economic slowdown, ongoing tensions between the US and China over trade policies, and a partial US government shutdown fueled by bipartisan tensions.
2017 (For the Year Ended December 31)
Of the 2.58% return for the year ended December 31, 2017 for Series A, approximately 6.70% was due to trading gains (before commissions) and approximately 1.15% due to investment income, offset by approximately (5.27)% due to brokerage fees, management fees, offering costs and operating costs borne by Series A.
Of the 3.09% return for the year ended December 31, 2017 for Series B, approximately 6.70% was due to trading gains (before commissions) and approximately 1.15% due to investment income, offset by approximately (4.76)% due to brokerage fees, management fees and operating costs borne by Series B.
Of the 5.23% return for the year ended December 31, 2017 for Series D, which commenced trading on October 1, 2017, approximately 6.92% was due to trading gains (before commissions) and approximately 0.19% due to investment income, offset by approximately (1.88)% due to brokerage fees, management fees, performance fees, offering costs and operating costs borne by Series D.
Of the 4.62% return for the year ended December 31, 2017 for Series W, approximately 6.70% was due to trading gains (before commissions) and approximately 1.15% due to investment income, offset by approximately (3.23)% due to brokerage fees, management fees, service fees, offering costs and operating costs borne by Series W.
An analysis of the 6.70% gross trading gains for the Trust for the year by sector is as follows:
Sector | | % Gain (Loss) | |
Commodities | | | (5.04 | )% |
Currencies | | | (5.05 | )% |
Interest Rates | | | (4.29 | )% |
Stock Indices | | | 21.08 | % |
| | | 6.70 | % |
FX and commodity losses offset gains in stock indices and led to a down January as losses came from foreign exchange, commodity, and interest rate positions while stock index holdings produced some partially offsetting gains. Foreign exchange (FX) produced some of the largest losses during the month. Positioning within FX was broadly long the US dollar versus most other major currencies. Following the election of Donald Trump, the US dollar strengthened and our trading systems generally aligned positioning with that momentum. However, January saw a reversal of this trend as investors pared back their bullish bets on the greenback amid worries that President Trump was focusing more on protectionism than on pro-growth economic policies. Our FX holdings suffered as a result of this broad reversal in the US dollar. Commodity holdings added to the January losses. Within the energy sub-sector, long positioning on gasoline produced losses amid bearish inventory data. Short soybean holdings, part of the grains sub-sector, experienced losses due to a weakening US dollar and flood conditions in Argentina. In the softs sub-sector, a short on coffee saw losses due to a stronger Brazilian real and a downgrade to Brazil’s output forecast. Some partially offsetting gains came from the industrial metals sub-sector. Long positioning on zinc, copper, and aluminum all saw gains amid a combination of bullish fundamentals, especially from China, and some supply disruptions. Interest rate holdings also produced losses. Long holdings on the German 10-year note saw declines as bond prices fell amid rising inflation in the Eurozone. Inflation reached a 4-year high and approached the ECB’s stated 2% target. Stock index holdings contributed some offsetting gains. Long holdings across our universe of global stock indices benefited from a continuation of the rally that started with the election of Trump and his expected reflationary policies. Concerns over President Trump’s Executive Order limiting some immigration into the US capped gains late in the month as some investors became unnerved by the action.
Gains in stock indices, FX, and interest rates led to a profitable February as profits came from stock indices, foreign exchange, and interest rate positions while commodity holdings produced some partially offsetting losses for the Trust. Stock index holdings contributed some of the strongest gains to the Trust. Long holdings across the Trust’s universe of global stock indices benefited from generally better than expected economic data. The Bloomberg US indicator of economic surprises reached its strongest level since 2012. Solid fourth quarter 2016 corporate earnings reports also helped to fuel the rally, along with a steadily improving US labor market. Stock markets continued to look past the new Trump administration’s lack of policy implementation details and focused more on the potential benefits that tax reform, deregulation, and infrastructure spending might provide to global economies. Foreign exchange (FX) produced some additional gains as the Trust’s models took advantage of the mixed performance among the developed and emerging FX markets. Long positioning on higher-yielding currencies, such as the South African rand which rallied over 3% in February, proved profitable. A short position on the euro also showed a gain when it weakened on the back of French election concerns in the EU. Interest rate holdings also produced profits. Long positioning on longer-dated instruments within Germany provided some of the best gains. German 5-year and 10-year notes both rallied on a flight to quality move as investors grew more concerned about the spring French Presidential election. Marine Le Pen, the head of the far-right French Front National Party who has threatened to try to pull France out of the EU if elected, rose in the polls during the month. Commodity holdings modestly detracted from the February gains for the Trust. Profits from precious metals (mostly from silver) and industrial metals (mostly from aluminum) were more than offset by losses in the other sub-sectors. Grains were one of the worst performing sub-sectors as a short position on wheat suffered as the market rose to a 7-month high amid tight global ending stock projections.
Mixed performance across the asset classes traded led to a down March as losses came from interest rate, foreign exchange, and commodity positions while stock index holdings produced some partially offsetting gains. Interest rate holdings produced some of the largest losses during the month. Long positioning on instruments within Germany sold off on higher EU inflation readings and as investors grew more comfortable that anti-EU political populism in France and the Netherlands was stalling. Short positioning within the US was hurt when fixed income instruments reversed the recent downtrend mid-month amid a less hawkish Federal Open Market Committee (“FOMC”) message communicated after their decision to hike interest rates on March 15th. Foreign exchange produced some additional losses as our models failed to successfully navigate a choppy month of price action for the US dollar. For example, long positioning on the New Zealand dollar (kiwi) suffered early in the month as that currency weakened against the US dollar leading up to the mid-month FOMC meeting which was widely expected to be hawkish. Our models then flipped to short the kiwi only to see the currency begin to strengthen when the US dollar sold off on the more dovish than expected message delivered by the Federal Reserve. Commodity holdings modestly detracted from the Trust during March. Some of the largest monthly losses came from the energy, precious metal, industrial metal, and meat sub-sectors. Partially offsetting gains were found in the soft commodity and grain sub-sectors, with some of the best profits coming from sugar and wheat. Stock index holdings contributed the strongest profits to the Trust during the month. Some of the best gains were found via long positions on European stock indices which benefited from the ongoing global reflation trade and dampening concerns around anti-EU political populism in the region. Our models also saw success in Asia as long positioning within Australia, Hong Kong, and Taiwan proved profitable as ongoing improvements in the Chinese economy, linked with enduring hopes for US tax reform and infrastructure spending, supported shares around the globe.
April gains came from stock index, foreign exchange, and interest rate holdings while commodities produced some partially offsetting losses for the Trust. Stock index holdings contributed the strongest profits to the Trust during the month. Global stock markets generally shook off new tensions with North Korea and a US cruise-missile strike on targets in Syria. A market-friendly French election outcome, above-trend US earnings growth, and movement on a number of policies by the White House all provided a positive offset to the worrisome news. Long positioning on global stock indices benefitted from the gains shown by equities during the month with some of the best profits coming from the United States and Hong Kong. Foreign exchange holdings added to the Trust gains during April. A short position on the Canadian dollar (versus the US dollar) benefitted as the loonie fell in value after President Trump announced a planned tariff on softwood lumber imports from Canada and also threatened to withdraw from the North American Free Trade Agreement (NAFTA). Some partially offsetting losses were seen from a short on the euro (versus the US dollar) when currency markets cheered the French election outcome and sent the euro sharply higher late in the month. Interest rate positions produced some additional profits. Long positioning on 10-year notes in Canada and Japan saw some of the best monthly gains within the sector as yields fell in those countries which sent bond prices higher. Commodity holdings produced losses during the month. Long positioning on crude suffered when that market saw a price drop as record US crude stockpiles began to raise doubts about OPEC’s ability to curtail a global supply glut. Long holdings on the industrial metals showed losses when an unwind of the global reflation trade pushed commodity prices lower. Some gains were found in long positioning on live cattle which saw sharp price gains amid supply concerns following declines in slaughter estimates and a drop in cold storage inventories.
May showed losses caused by foreign exchange and commodity positions, while stock index and interest rate holdings produced partially offsetting gains for the Trust. Foreign exchange holdings produced some of the largest losses during May. Long positioning on the US dollar against most developed currencies drove the decline. An ongoing unwind of the Trump-induced reflation-trade, linked with some mixed US economic data and generally stronger European data, conspired to send the greenback lower during the month. The political turmoil that gripped Washington DC added to the US dollar angst while a soothing of political tensions in Europe, due to the election of Emmanuel Macron in France, helped support European currencies. Commodity holdings also produced losses during the month. Long positioning on natural gas suffered when that market saw a price drop as mild weather in the US reduced demand and as a new trade agreement with China is expected to encourage US drillers to produce more of the commodity. A short cocoa position suffered amid flood conditions and unrest in the Ivory Coast which sent prices higher. The grains produced some partially offsetting gains as a short soybean position profited from a sell-off in that market due to continued concerns surrounding increased South American planting expectations and steady US planting progress. Long holdings on global stock indices contributed some of the strongest profits to the Trust. Some of the best gains were seen in Hong Kong and the US as technology stocks performed particularly well. Improving global growth, linked with still-accommodative central banks and ongoing hope the Trump administration will ultimately get tax reform and infrastructure spending passed, kept the buy-the-dip mentality firmly in place. Interest rate positions produced additional profits. Long positioning on 10-year notes in Canada, Australia, and Germany produced gains as central banks in those regions indicated they planned to remain patient with their accommodative policies.
The Trust showed a loss in June led down by Interest Rate Holdings as losses came from interest rate, commodities and foreign exchange positions, while stock index holdings had little impact on the Trust’s profit & loss (P&L) during the month. Interest rate positions produced the largest losses for the Trust during June. Long positioning on European, Australian, United Kingdom, and Canadian interest rate notes were some of the worst performing markets within the sector for the Trust. Late in the month, Mario Draghi, President of the European Central Bank (ECB), gave a speech at the opening of the ECB’s Forum on Central Banking which heightened expectations for monetary policy tapering in Europe. In subsequent days, several other major central banks, such as the Bank of England (BOE) and the Bank of Canada (BOC), also delivered more hawkish messages. The US has already embarked on a series of interest rate hikes and the Federal Open Market Committee (FOMC) has indicated that more hikes are likely to come. The specter of an end to ultra-loose monetary policy on both sides of the Atlantic triggered a widespread sell-off in global fixed income markets which sent global yields higher and had a detrimental impact on the Trust. Commodity holdings produced additional losses during June. Some of the worst losses came from short positioning on wheat which rose amid declines in crop conditions, strong export sales, and a weaker US dollar. Partially-offsetting gains were found in short energy positions as the crude complex saw a broad-based sell-off. Short soft commodity holdings benefitted from a decline fueled by ample supply expectations. Foreign exchange markets also contributed to losses this month. Long holdings on the US dollar against the Canadian dollar was one of the worst performing FX positions. The loonie appreciated about 4% versus the US dollar as the BOC kick-started the theme of policy normalization which led to losses. Long holdings on global stock indices ended the month showing little impact on the Trust. Early month gains were given back late in June as investors were unnerved by the global rise in rates which pushed many markets down from recent highs.
The Trust showed a gain in July led by foreign exchange and stock index positions, while commodity and interest rate holdings produced partially offsetting losses during the month. Foreign exchange positions produced some of the strongest monthly gains for the Trust. Broad-based US dollar weakness during July was the result of expectations that the US Federal Reserve would have to pause their recent path of higher interest rates due to weaker inflation readings for the US economy. In addition, the unpredictability of the Trump administration and the general inability of the US Congress to make progress on any substantive policy priorities weighed on the US currency. Some of the best gains were found in long positioning on the Australian dollar, euro, Canadian dollar, and Norwegian krone (all versus short US dollars). Long holdings on global stock indices also contributed to profits. Some of the best returns were found in Hong Kong, the United States, India, and the Netherlands. Second quarter earnings reports were generally stronger than expected and a less hawkish US Federal Reserve both provided a tailwind for stocks. Equities saw a period of unusually low volatility with the S&P VIX index touching an all-time low during July. Commodity holdings produced some of the largest losses during July. A short soybean holding drove losses in the grains sub-sector as the market rallied amid lowered crop conditions. A short position on silver was hurt amid higher demand and a weaker US dollar which conspired to send the price of the precious metal higher. In the softs sub-sector, a coffee short suffered as that market advanced to a 3-month high amid the weaker dollar and falling expectations for the Brazilian crop. Small offsetting gains were found in the energy sub-sector where a long on gasoline benefited from higher prices as crude inventories showed a contraction during the month. Interest rate positions produced some smaller losses for the Trust. Choppy price action was difficult for the trading systems to navigate as rate markets grappled with changing central bank messaging and a consolidation of the sharp sell-off seen in June.
The Trust showed a gain in August led by interest rate and commodity holdings, while foreign exchange and stock index positions produced some partially offsetting losses during the month. Interest rate positions produced the best gains for the Trust. Long positioning on German and Japanese long-term interest rate notes contributed some of the best sector gains. Early in the month, a spike in demand for safe-haven assets drove bond prices higher amid new threats by North Korea to launch missiles at the US territory of Guam. Later in the month, bonds benefitted again when North Korea launched a missile that flew over Japan, triggering a new round of safety-seeking trades. Commodity holdings produced some additional profits during August. Long positioning on copper and zinc experienced gains on the back of strengthening Chinese demand and improving macro conditions. Short wheat positions also produced profits as those markets sold-off amid steady harvest progress and improved crop ratings. The Trust experienced some partially offsetting losses in the energies, precious metals, and meats sub-sectors. Foreign exchange positions produced losses for the Trust. Long positioning on the New Zealand dollar (versus the US dollar) suffered when that country’s central bank took a more dovish tone in the monetary policy statement they issued early in August. The head of their central bank, Graeme Wheeler, then continued to jaw-bone down the currency in speeches later in the month. Long positioning on the British pound (versus the US dollar) also caused losses when that currency fell in value as UK economic data lagged Europe and prospects for higher UK interest rates diminished. Global stock indices also contributed to losses during the month. Short positioning on the S&P 500 Volatility Index (also known as the VIX) produced losses for the Trust as that index shot up more than 30% amid the North Korean missile threats early in August. Some partially offsetting gains were found in a long holding on the Hang Seng Index in Hong Kong which continued its strong year-to-date uptrend.
September shows losses from foreign exchange, commodity, and interest rate holdings, while stock index positions produced some partially offsetting gains during the month. Foreign exchange positions produced losses for the Trust. Short US dollar positioning against a variety of developed market and emerging market currencies drove the Trust declines. The US dollar began to strengthen post the September 20th Federal Open Market Committee (FOMC) interest rate meeting. On balance, the FOMC communication was more hawkish than expected. Later in the month, several FOMC members reinforced the hawkish rhetoric which cemented expectations for one more interest rate hike in 2017 which fueled the US dollar higher, hurting the Trust. Commodity holdings produced additional losses during September. The biggest sub-sector losses were found within the industrial metals complex. Long positioning on copper and nickel suffered due to the stronger US dollar and amid several bearish developments in China. Long positioning on gasoline also led to losses when that market sold-off as the impact from Hurricane Harvey on the Gulf Coast refinery infrastructure was less severe than originally expected. Interest rate positions created further losses for the Trust. Long positioning on German government notes produced some of the largest losses within the sector. German notes fell in tandem with US notes as a reflation trade fueled by President Trump’s tax overhaul plan generally pushed global yields higher. Global stock indices contributed some partially offsetting gains for the Trust. Long positioning in Japan, the United States, and continental Europe produced some of the best gains. A weaker yen helped boost shares in Japan. In the US, shares traded higher as prospects for tax reform trumped two major hurricanes and threats from North Korea. A still accommodative European central bank and the reelection of Chancellor Angela Merkel in Germany kept a strong tailwind behind stocks in that region.
The Trust showed gains in October from stock index, commodity, and interest rate holdings, while foreign exchange positions produced some partially offsetting losses during the month. Long positioning on global stock indices drove some of the strongest gains for the Trust during the month. A synchronized upswing in global growth, earnings recovery, and still-supportive global monetary policy have been the key tenets of a fundamental narrative that has boosted stocks this year. All three dynamics were on display during October. Global economic data was generally better-than-expected, as were third quarter corporate earnings reports. Most global central banks continued to maintain a dovish bias. The European Central Bank (ECB) announced a “dovish taper” to their quantitative easing program that was well received by global markets. Traction in Washington DC around US tax reform provided an added tailwind for equity prices. Commodity holdings produced some additional profits during October. A long position on Brent crude produced some of the best gains within the energy sub-sector. A combination of ongoing production cuts from OPEC and supply disruptions combined to push prices higher. Long positioning on copper, nickel, and zinc produced gains as industrial metal prices rose amid bullish dynamics emanating from China. Interest rate positions added to the gains for the Trust. Long holdings on sovereign European notes benefitted when the ECB monetary policy announcement was more dovish than expected which pushed the securities higher as yields fell. Tensions in Spain around Catalonia’s bid for independence also drove flight-to-safety buying in the instruments. Foreign exchange positions contributed some partially offsetting losses for the Trust. Short US dollar positioning (against a variety of currencies) suffered amid a broad-based rise in the greenback during the month. The possibility for tax reform in the US linked with expectations for yet another interest rate hike from the Federal Reserve in December helped to boost the US currency to three-month highs.
November gains came from stock indices, interest rates, and foreign exchange, while commodity positions produced some partially offsetting losses. Long positioning on global stock indices drove the strongest gains for the Trust during the month with the US, Hong Kong, and Japan producing some of the best returns. Positive developments out of Washington DC regarding US tax reform proved to be a major tailwind for many indices, as was a stronger-than-expected third quarter corporate earnings season. European indices produced some partially offsetting losses during the month as a stronger euro and some regional political angst produced underperformance from those markets. Interest rate positions provided small gains to the Trust. Gains in Australia, France, Japan, and Italy were partially offset by losses in the US, Germany, and the United Kingdom. Trendless, range bound price action was seen across most of the global interest rate markets traded within the Trust, leading to subdued profits. Foreign exchange positions contributed some additional profits. A long holding on the euro (versus the US dollar) was one of the best performing positions. The euro rose in value against the US dollar amid steadily improving economic fundamentals in the euro-zone as evidenced by Germany’s economy, Europe’s largest, reporting its best Gross Domestic Product (GDP) number since 2011. Commodity holdings produced the largest offsetting losses during November. Precious metals were one of the worst performing sub-sectors. Both gold and silver experienced choppy intra-month price action caused by conflicting drivers which proved difficult for our quantitative trading systems to successfully navigate. Long positioning on the meat complex suffered as prices fell amid supply concerns. Falling industrial metal prices produced some losses as long positioning suffered from signs of a Chinese economic slowdown as that government looks to reign in growth.
December gains came from commodity and stock index holdings, while interest rate and foreign exchange positions produced some partially offsetting losses. Commodity holdings produced some of the largest Trust gains during the month. Long positioning within the crude complex, specifically on Brent, Gasoil, and WTI Crude, produced some of the best profits. The Brent holding profited as that product rose to two-and-a-half year highs due to supply concerns. Long holdings on the base metals complex, notably on zinc, aluminum, and copper, also showed gains as a slew of Chinese supply disruptions set a year-end rally into motion, benefitting the Trust. Long positioning on global stock indices drove additional profits for the Trust. Global stock indices showed some mixed returns during the month. Long positioning on indices within the United States, the United Kingdom, Australia, and Canada produced some of the best results. Successful passage of US tax reform helped US indices, while bullish commodity price action was supportive of the other indices as they have more concentrated exposure to stocks tied to the oil and metals markets. Interest rate positions, primarily from long-dated bond markets, created some of the largest losses for the Trust. Long positioning on sovereign bond markets in Australia, Germany, Italy, and the United States experienced some of the worst losses amid a synchronized global sell-off which caused yields to rise. The sell-off was sparked by an amalgamation of bearish drivers including more hawkish central banks, higher expected issuance by governments, and growing concern that US tax reform, linked with persistently stronger global growth, will start to increase inflationary pressures. Foreign exchange positioning, specifically in developed FX markets, also generated losses during December. Short positioning across some of the commodity currencies, the New Zealand dollar, Australian dollar, and Canadian dollar (all versus the US dollar) suffered as those currencies appreciated in value. Intra-month strength in the energy and industrial metal complexes provided a tailwind for these currencies.
| Quantitative and Qualitative Disclosures About Market Risk. |
Introduction
Past Results Not Necessarily Indicative of Future Performance
The Trust is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or a substantial amount of the Trust’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Trust’s main line of business.
Market movements result in frequent changes in the fair market value of the Trust’s open positions and, consequently, in its earnings and cash flow. The Trust’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Trust’s open positions and the liquidity of the markets in which it trades.
The Trust rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Trust’s past performance is not necessarily indicative of its future results.
Standard of Materiality
Materiality as used in this section, “Quantitative and Qualitative Disclosures About Market Risk,” is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage and multiplier features of the Trust’s market sensitive instruments.
Quantifying the Trust’s Trading Value at Risk
Quantitative Forward-Looking Statements
The following quantitative disclosures regarding the Trust’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact (such as the dollar amount of maintenance margin required for market risk sensitive instruments held at the end of the reporting period).
The Trust’s risk exposure in the various market sectors traded is estimated in terms of Value at Risk (VaR). The Trust estimates VaR using a model based upon historical simulation (with a confidence level of 97.5%) which involves constructing a distribution of hypothetical daily changes in the value of a trading portfolio. The VaR model takes into account linear exposures to risks, including equity and commodity prices, interest rates, foreign exchange rates, credit, and correlation among these variables. The hypothetical changes in portfolio value are based on daily percentage changes observed in key market indices or other market factors to which the portfolio is sensitive. The Trust’s VaR at a one day 97.5% confidence level corresponds to the negative change in portfolio value that, based on observed market risk factors, would have been exceeded once in 40 trading days or one day in 40. VaR typically does not represent the worst case outcome.
The Trust uses approximately one quarter of daily market data and revalues its portfolio for each of the historical market moves that occurred over this time period. This generates a probability distribution of daily “simulated profit and loss” outcomes. The VaR is the 2.5 percentile of this distribution.
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The current methodology used to calculate the aggregate VaR represents the VaR of the Trust’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
The Trust’s VaR computations are based on the risk representation of the underlying benchmark for each instrument or contract and does not distinguish between exchange and non-exchange dealer-based instruments. It is also not based on exchange and/or dealer-based maintenance margin requirements.
VaR models, including the Trust’s, are continually evolving as trading portfolios become more diverse and modeling techniques and systems capabilities improve. Please note that the VaR model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by the Trust in its daily risk management activities. Please further note that VaR as described above may not be comparable to similarly titled measures used by other entities.
Because the business of the Trust is the speculative trading of futures, forwards, and forwards,swaps, the composition of the Trust’s trading portfolio can change significantly over any given time period, or even within a single trading day, which could positively or negatively materially impact market risk as measured by VaR.
The Trust’s Trading Value at Risk in Different Market Sectors
The following tables indicate the trading Value at Risk associated with the Trust’s open positions by market category as of December 31, 2019, 20182021, 2020 and 20172019 and the trading gains/losses by market category for the years then ended.
| | December 31, 2019 | | | December 31, 2021 | |
Market Sector | | Value at Risk* | | Trading Gain/(Loss)** | | | Value at Risk* | | | Trading Gain/(Loss)** | |
Credit | | | 0.07 | % | | (0.59 | )% |
Commodities | | | 0.51 | % | | | (8.12 | )% | | 0.91 | % | | 11.16 | % |
Currencies | | | 0.60 | % | | | (3.76 | )% | |
Foreign Exchange | | | 0.90 | % | | 8.25 | % |
Interest Rates | | | 0.61 | % | | | 12.88 | | | 0.58 | % | | (9.78 | )% |
Stock Indices | | | 0.71 | % | | | 9.78 | % | | 0.92 | % | | | 8.89 | % |
Aggregate/Total | | | 1.19 | % | | | 10.78 | % | | 2.09 | % | | | 17.93 | % |
* | The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Trust’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes. |
** | Represents the gross trading for the Trust for the year ended December 31, 2019.2021. |
Of the 7.75%12.52% return for the year ended December 31, 20192021 for Series A, approximately 10.78%17.93% was due to trading gains (before commissions) and approximately 2.59%0.39% due to investment income, offset by approximately (5.62)(5.80)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series A.
Of the 8.29%13.09% return for year ended December 31, 20192021 for Series B, approximately 10.78%17.93% was due to trading gains (before commissions) and approximately 2.59%0.39% due to investment income, offset by approximately (5.08)(5.23)% due to brokerage fees, management fees, sales commissions and operating costs borne by Series B.
Of the 7.79%12.83% return for the year ended December 31, 20192021 for Series D, approximately 10.78%17.93% was due to trading gains (before commissions) and approximately 2.59%0.39% due to investment income, offset by approximately (5.58)(5.49)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series D.
Of the 9.93%14.80% return for the year ended December 31, 20192021 for Series W, approximately 10.78%17.93% was due to trading gains (before commissions) and approximately 2.59%0.39% due to investment income, offset by approximately (3.44)(3.52)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series W.
| | December 31, 2018 | |
Market Sector | | Value at Risk* | | | Trading Gain/(Loss)** | |
Commodities | | | 0.87 | % | | | (2.00 | )% |
Currencies | | | 0.80 | % | | | 3.47 | % |
Interest Rates | | | 0.47 | % | | | 1.79 | % |
Stock Indices | | | 0.76 | % | | | (9.13 | )% |
Aggregate/Total | | | 2.11 | % | | | (5.87 | )% |
| | December 31, 2020 | |
Market Sector | | Value at Risk* | | | Trading Gain/(Loss)** | |
Credit | | | 0.11 | % | | | 0.08 | % |
Commodities | | | 0.71 | % | | | 10.33 | % |
Foreign Exchange | | | 0.51 | % | | | 4.31 | % |
Interest Rates | | | 0.87 | % | | | 2.63 | % |
Stock Indices | | | 0.63 | % | | | (12.32 | )% |
Aggregate/Total | | | 1.43 | % | | | 5.03 | % |
* | The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Trust’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes. |
** | Represents the gross trading for the Trust for the year ended December 31, 2018.2020. |
Of the (9.03)%0.46% return for the year ended December 31, 20182020 for Series A, approximately (5.87)%5.03% was due to trading lossesgains (before commissions) and approximately (5.14)1.10% due to investment income, offset by approximately (5.67)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs offset by approximately 1.98% due to investment income earnedborne by Series A.
Of the (8.66)%0.97% return for year ended December 31, 20182020 for Series B, approximately (5.87)%5.03% was due to trading lossesgains (before commissions) and approximately (4.77)1.10% due to investment income, offset by approximately (5.16)% due to brokerage fees, management fees, sales commissions, and operating costs offset by approximately 1.98% due to investment income earnedborne by Series B.
Of the (8.15)%1.73% return for the year ended December 31, 20182020 for Series D, approximately (5.87)%5.03% was due to trading lossesgains (before commissions) and approximately (4.26)1.10% due to investment income, offset by approximately (4.40)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs offset by approximately 1.98% due to investment income earnedborne by Series D.
Of the (7.28)%2.50% return for the year ended December 31, 20182020 for Series W, approximately (5.87)%5.03% was due to trading lossesgains (before commissions) and approximately (3.39)1.10% due to investment income, offset by approximately (3.63)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs offset by approximately 1.98% due to investment income earnedborne by Series W.
| | December 31, 2017 | | | December 31, 2019 | |
Market Sector | | Value at Risk* | | | Trading Gain/(Loss)** | | | Value at Risk* | | | Trading Gain/(Loss)** | |
Commodities | | 0.53 | % | | (5.04 | )% | | | 0.51 | % | | | (8.12 | )% |
Currencies | | 0.42 | % | | (5.05 | )% | |
Foreign Exchange | | | | 0.60 | % | | | (3.76 | )% |
Interest Rates | | 0.52 | % | | (4.29 | )% | | | 0.61 | % | | | 12.88 | % |
Stock Indices | | 0.74 | % | | | 21.08 | % | |
Equity Indices | | | | 0.71 | % | | | 9.7 | % |
Aggregate/Total | | 1.24 | % | | | 6.70 | % | | | 1.19 | % | | | 10.78 | |
* | The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Trust’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes. |
** | Represents the gross trading for the Trust for the year ended December 31, 2017.2019. |
Of the 2.58%7.75% return for the year ended December 31, 20172019 for Series A, approximately 6.70%10.78% was due to trading gains (before commissions) and approximately 1.15%2.59% due to investment income, offset by approximately (5.27)(5.62)% due to brokerage fees, management fees, offering costs and operating costs borne by Series A.
Of the 3.09%8.29% return for the year ended December 31, 20172019 for Series B, approximately 6.70%10.78% was due to trading gains (before commissions) and approximately 1.15%2.59% due to investment income, offset by approximately (4.76)(5.08)% due to brokerage fees, management fees and operating costs borne by Series B.
Of the 5.23%7.79% return for the year ended December 31, 20172019 for Series D, which commenced trading on October 1, 2017, approximately 6.92%10.78% was due to trading gains (before commissions) and approximately 0.19%2.59% due to investment income, offset by approximately (1.88)(5.58)% due to brokerage fees, management fees, performance fees, offering costs and operating costs borne by Series D.
Of the 4.62%9.93% return for the year ended December 31, 20172019 for Series W, approximately 6.70%10.78% was due to trading gains (before commissions) and approximately 1.15%2.59% due to investment income, offset by approximately (3.23)(3.44)% due to brokerage fees, management fees, service fees, offering costs and operating costs borne by Series W.
Material Limitations of Value at Risk as an Assessment of Market Risk
The following limitations of VaR as an assessment of market risk should be noted:
1) | Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements; |
2) | Changes in portfolio value caused by market movements may differ from those of the VaR model; |
3) | VaR results reflect past trading positions while future risk depends on future positions; |
4) | VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and |
5) | The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements. |
VaR is not necessarily representative of historic risk nor should it be used to predict the Trust’s future financial performance or its ability to manage and monitor risk. There can be no assurance that the Trust’s actual losses on a particular day will not exceed the VaR amounts indicated or that such losses will not occur more than once in 40 trading days.
Non-Trading Risk
The Trust has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Trust also has non-trading market risk as a result of investing a portion of its available assets in U.S. Treasury Bills held at the broker and over-the-counter counterparty. The market risk represented by these investments is minimal. Finally, the Trust has non-trading market risk on fixed income securities held as part of its cash management program. The cash manager will use its best endeavors in the management of the assets of the Trust but provide no guarantee that any profit or interest will accrue to the Trust as a result of such management.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Trust’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Trust manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Trust’s primary market risk exposures as well as the strategies used and to be used by Campbell & Company for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Trust’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Trust. There can be no assurance that the Trust’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Trust.
The following represent the primary trading risk exposures of the Trust as of December 31, 20192021 by market sector.
CurrenciesForeign Exchange
The Trust’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Trust trades in a large number of currencies, including cross-rates — i.e., positions between two currencies other than the U.S. Dollar. Campbell & Company does not anticipate that the risk profile of the Trust’s currency sector will change significantly in the future.
Interest Rates
Interest rate movements directly affect the price of the sovereign bond positions and interest rate swap contracts held by the Trust and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Trust’s profitability. The Trust’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. Campbell & Company anticipatesdoes not anticipate that G-7 interest rates will remain the primary rate exposurerisk profile of the Trust for the foreseeable future. ChangesTrust’s interest rate sector will change significantly in the interest rate environment will have the most impact on longer dated fixed income positions, at points of time throughout the year the majority of the speculative positions held by the Trust may be held in medium to long-term fixed income positions.future.
StockEquity Indices
The Trust’s primary equity exposure is to equity price risk in the G-7 countries as well as Australia, Hong Kong, Singapore, Spain, Taiwan, Netherlands, India, South Africa and Sweden. The stock index futures traded by the Trust are by law limited to futures on broadly based indices. The Trust is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices. Markets that trade in a narrow range could result in the Trust’s positions being “whipsawed” into numerous small losses.
EnergyCredit
The Trust’s primary credit exposure is through fluctuations in the credit worthiness of a particular reference entity, basket of reference entities, or an index.
Energy
The Trust’s primary energy market exposure is to natural gas, crude oil and derivative product price movements often resulting from international political developments and ongoing conflicts in the Middle East and the perceived outcome. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.
Metals
The Trust’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, palladium, platinum, silver and zinc.
Agricultural
The Trust’s agricultural exposure is to fluctuations of the price of cattle, cocoa, coffee, corn, cotton, hogs, soy, sugar and wheat.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the primary non-trading risk exposures of the Trust as of December 31, 2019.2021.
Foreign Currency Balances
The Trust’s primary foreign currency balances are in Australian Dollar, British Pounds, Canadian Dollar, Euros, Hong Kong Dollar, Japanese Yen, Singapore Dollar, South African Rand and Swedish Krona. The Trust controls the non-trading risk of these balances by regularly converting these balances back into dollars (no less frequently than twice a month, and more frequently if a particular foreign currency balance becomes unusually large).
Fixed Income Securities and Short Term Investments
The Trust’s primary market exposure in instruments (other than treasury positions described in the subsequent section) held other than for trading is in its fixed income portfolio. The cash manager, PNC, has authority to make certain investments on behalf of the Trust. All securities purchased by the cash manager on behalf of the Trust will be held in the Trust’s custody account at the custodian. The cash manager will use its best endeavors in the management of the assets of the Trust but provides no guarantee that any profit or interest will accrue to the Trust as a result of such management.
U.S. Treasury Bill Positions Held for Margin Purposes
The Trust also has market exposure in its U.S. Treasury Bill portfolio. The Trust holds U.S. Treasury Bills with maturities no longer than six months. Violent fluctuations in prevailing interest rates could cause minimal mark-to-market losses on the Trust’s U.S. Treasury Bills, although substantially all of these short-term investments are held to maturity.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The means by which the Trust and Campbell & Company, severally, attempt to manage the risk of the Trust’s open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses.
General
The Trust is unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations. From time to time, certain regulatory agencies have proposed increased margin requirements on futures contracts. Because the Trust generally will use a small percentage of assets as margin, the Trust does not believe that any increase in margin requirements, as proposed, will have a material effect on the Trust’s operations.
During 2021, the Trust operated as normal during the coronavirus outbreak. The Trust had access to and the ability to trade in approved markets. There were no disruptions in the Trust’s accounting processes, transfer agent processes or cash processes, including the ability to pay redemptions and meet margin requirements.
The future impact of COVID-19 on the financial performance of the Trust’s investments will depend on future developments, including the effectiveness of vaccines and their recent rollout to the public as new strains of the virus emerge, and related advisories and restrictions. These developments and the impact of COVID-19 on the financial markets and the overall economy are highly uncertain and cannot be predicted. If the financial markets and/or the overall economy are impacted for an extended period, the Trust’s ability to trade and investment results may be materially affected.
Item 8. | Financial Statements and Supplementary Data. |
Financial statements meeting the requirements of Regulation S-X appear beginning on Page 5455 of this report. The supplementary financial information specified by Item 302 of Regulation S-K is included in Item 6 — Selected Financial Data.
Item 9. | Changes in and Disagreements with Accountants on Accounting and Financial Disclosure. |
None.
Campbell & Company, the managing operator of the Trust, with the participation of the managing operator’s chief executive officer and chief operating officer,managing director, operations and finance, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in the Securities Exchange Act of 1934 Rules 13a-15(e) or 15d-15(e)) with respect to the Trust as of the end of the period covered by this annual report. Based on their evaluation, the chief executive officer and chief operating officermanaging director, operations and finance have concluded that these disclosure controls and procedures are effective. There were no changes in the managing operator’s internal control over financial reporting applicable to the Trust identified in connection with the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or 15d-15 that occurred during the last fiscal quarter that have materially affected, or is reasonably likely to materially affect, internal control over financial reporting applicable to the Trust.
Management’s Annual Report on Internal Control over Financial Reporting
Campbell & Company, LP (“Campbell & Company”), the managing operator of the Trust, is responsible for the management of the Trust. Management of Campbell & Company (“Management”) is responsible for establishing and maintaining adequate internal control over financial reporting. The internal control over financial reporting is designed 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.
The Trust’s internal control over financial reporting includes those policies and procedures that:
| ● | Pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Trust; |
| ● | Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that the Trust’s transactions are being made only in accordance with authorizations of Management and; |
| ● | Provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Trust’s assets that could have a material effect on the financial statements. |
Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.
Management assessed the effectiveness of the Trust’s internal control over financial reporting as of December 31, 2019.2021. In making this assessment, Management used the framework established in Internal Control – Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission (“COSO”). As a result of this assessment and based on the criteria in the COSO framework, management has concluded that, as of December 31, 2019,2021, the Trust’s internal control over financial reporting was effective.
Management’s report was not subject to attestation by the Trust’s independent registered public accounting firm pursuant to rules of the Securities and Exchange Commission that permit the company to provide only management’s report in this annual report.
Item 9B. | Other Information. |
None.
PART III
Item 10. | Directors, Executive Officers and Corporate Governance. |
The Registrant has no directors or executive officers. The Registrant has no employees. It is managed by Campbell & Company in its capacity as managing operator. Campbell & Company has been registered as a commodity pool operator (CPO) since September 1982. Its main business address is 2850 Quarry Lake Drive, Baltimore, Maryland, 21209, (410) 413-2600. Campbell & Company’s directors and executive officers are as follows:
G. William Andrews, Dr. Kevin D. Cole,bornin 1972, joined Campbell & Company in April 1997 and, since November 2012, hasOctober 2003, served as the Chief ExecutiveInvestment Officer of both Campbell & Company and Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor and an SEC registeredSEC-registered investment adviser. Mr. Andrewsadviser, since June 2017, and assumed the combined role of Chief Executive Officer & Chief Investment Officer (CEO, CIO) in January of 2022. In his role as CEO, CIO, he is a member ofresponsible for leading the firm’s overall strategic direction while also establishing and managing the firm’s investment research agenda. Dr. Cole has served on the Board of Directors and as an officer of various organizations, including Campbell & Company, LLC, the general partner of Campbell & Company; Campbell Core Offshore Limited and Campbell Advantage Offshore Limited, each an international business company incorporated in the Cayman Islands; The Campbell Offshore Fund Limited SPC (formerly known as The Campbell Global Assets Fund Limited SPC), a segregated portfolio company incorporated in the Cayman Islands; Campbell Managed Futures Offshore Fund – CAD, an exempted company incorporated in the Cayman Islands; Campbell Equity Alpha Offshore Fund Limited, an exempted company incorporated in the Cayman Islands; Campbell Equity Alpha Master Fund LP, an exempted limited partnership registered in the Cayman Islands; and Campbell Financial Services, LLC, an SEC-registered broker-dealer and FINRA member. Since August 2017, Mr. Andrews has served as an officer of Campbell & Company, Delaware, LLC, the general partner of the Campbell Equity Alpha Onshore Fund, LP, a limited partnership formed in Delaware, the Campbell Equity Alpha Cayman, LP, an exempted limited partnership registered in the Cayman Islands, and the Campbell Equity Alpha Master Fund LP. Since November 2014, Mr. Andrews has also served as an officer of Campbell & Company, LLC.since January 2019. Since August 2018 Mr. AndrewsDr. Cole has served on the firm’s Executive Committee. Since March 2010, Mr. Andrews has served onDr. Cole was appointed to the firm’s Investment Committee. Mr. AndrewsCommittee in January 2016. Dr. Cole formerly served as Co-Director ofDeputy Chief Research from November 2011 until October 2012; Chief Operating Officer from January 20102016 to May 2012; Vice President,June 2017; Director, of OperationsInvestment Strategies from April 2007October 2013 to January 2010; Vice President: Director ofDecember 2015; Research OperationsManager from MarchOctober 2006 to April 2007September 2013; and Research AssistantSenior Researcher from March 2005October 2003 to FebruarySeptember 2006. Mr. Andrews has also served as the Vice PresidentDr. Cole holds a B.A. in Economics from Georgetown University, and Chief Operating Officer of Campbell & Company Investment Adviser LLC from March 2010 to June 2012. Mr. Andrews holds an M.B.A.received a Ph.D. in Economics with a concentration in Finance from Loyola College in Maryland and a Bachelorthe University of Social Science from Waikato University, New Zealand. Mr. Andrews becameCalifornia, Berkeley. Dr. Cole was listed as a Principal of Campbell & Company and Campbell & Company Investment Adviser LLC effective June 21, 2006 and March 29, 2010, respectively and registered as an NFA Associate Member and an Associated Person of Campbell & Company effective April 10, 2013 and April 11, 2013, respectively.20, 2017.
D. Keith Campbell, born in 1942, has served as Chairman of the Board of Directors of Campbell & Company since its inception in January 1972. Mr. Campbell currently serves as the Chairman of the Board of Directors of Campbell & Company, LLC, which is the general partner of Campbell & Company. Since August 2018 Mr. Campbell has served on the firm’s Executive Committee. Mr. Campbell served as the President of Campbell & Company until January 1994, and was Chief Executive Officer until January 1998. Mr. Campbell has acted as a commodity trading advisor since January 1972 when, as general partner of the Campbell Fund Trust, a limited partnership engaged in commodity futures trading, he assumed sole responsibility for trading decisions made on its behalf. Since then, he has applied various technical trading models to numerous discretionary futures trading accounts. Mr. Campbell, as a sole proprietor, has been registered with the CFTC as a commodity pool operator sincefrom June 30, 1982 to May 14, 2020 and a NFA Associate Member sincefrom July 1, 1984.1984 to May 14, 2020. Mr. Campbell became listed as a principal of Campbell & Company effective September 29, 1978 and as a NFA Associate Member and an Associated Person effective September 29, 1997 and October 29, 1997, respectively. Mr. Campbell became listed as a principal of Campbell & Company Investment Adviser LLC effective July 9, 2008. With respect to Mr. Campbell’s previously referencedpreviously-referenced commodity pool operator registration, Mr. Campbell becamewas listed as a Principal effective March 10, 1975 through May 14, 2020 and becamewas registered as an Associated Person and a Swap Associated Person oneffective February 28, 2013 through May 14, 2020 and March 1, 2013, respectively.
Dr. Kevin Cole, born in 1972, joined Campbell & Company in October 2003 and has served as Chief Investment Officer of both Campbell & Company and Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor and an SEC-registered investment adviser, since June 2017. Since December 2019, Dr. Cole has served as both a director and an officer of Campbell & Company, LLC, the general partner of Campbell & Company. Since August 2018, Mr. Cole has served on the firm’s Executive Committee. In February 2017, Dr. Cole was appointed to serve Campbell & Company and Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor and an SEC-registered investment adviser, as an executive officer. Since he joined the firm Dr. Cole has had a significant role in the ongoing research and development of Campbell & Company’s trading systems. Dr. Cole formerly served as Deputy Chief Research Officer from January 2016 to June 2017, Director, Investment Strategies from October 2013 to December 2015, Research Manager from October 2006 to September 2013 and Senior Researcher from October 2003 to September 2006. He was appointed to the firm’s Investment Committee in January 2016. As Chief Research Officer, Dr. Cole is responsible for the management of the research and investment process at the firm. Dr. Cole holds a B.A. in Economics from Georgetown University, and received a Ph.D. in Economics with a concentration in Finance from the University of California, Berkeley. Dr. Cole was listed as a Principal of Campbell & Company and Campbell & Company Investment Adviser LLCForex Associated Person effective March 20, 2017.15, 2013 through July 7, 2019.
Thomas P. Lloyd, born in 1959, joined Campbell & Company in September 2005 as General Counsel and sinceExecutive Vice President-Legal and Compliance. Since December 2018, Mr. Lloyd has served as General Counsel, Chief Compliance Officer, and Secretary of both Campbell & Company and Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor, and an SEC-registered investment adviser. In this capacity, Mr. Lloydhe is currently involved in all aspects of legal affairs, compliance and regulatory oversight.oversight, including, between April 2007 and August 2018, overseeing Campbell & Company’s fund administration function. Since joining the firm,January 2019, Mr. Lloyd has also served as an officer of Campbell & Company and its affiliates in multiple capacities, including: Co-General Counsel; Chief Compliance Officer; President; Vice President; Secretary; and Assistant Treasurer. Since joining the firm, Mr. Lloyd has also served as an officer and/or a member ofon the Board of Directors of entities affiliated with Campbell & Company, including: Campbell & Company Investment Adviser LLC; Campbell Financial Services, LLC, a wholly-owned subsidiary of Campbell & Company, an SEC-registered broker-dealer, and a FINRA member; Campbell & Company, LLC, the general partner of Campbell & Company;Company. Between August and December 2018, Mr. Lloyd served as Co-General Counsel of Campbell & Company, LP. Mr. Lloyd served as the Secretary of Campbell & Company between October 2011 and August 2018. Since August 2017, Mr. Lloyd has served as an officer of Campbell & Company Delaware, LLC, the general partner of the Campbell Equity Alpha Onshore Fund, LP, a limited partnership formed in Delaware, and the Campbell Equity Alpha Cayman, LP and the Campbell Equity Alpha Master Fund LP, botheach an exempted limited partnershipspartnership registered in the Cayman Islands; andIslands. Since November 2014, Mr. Lloyd has served as an officer of Campbell & Company, LLC, which is the general partner of Campbell & Company. Mr. Lloyd is a member of the Board of Directors of Campbell Core Offshore Limited and Campbell Advantage Offshore Limited, and the Campbell Managed Futures Offshore Fund – CAD, each an international business company incorporated in the Cayman Islands. Mr. Lloyd served as the Secretary and Assistant Treasurer, between September 2005 and August 2018, and as the General Counsel, between September 2013 and August 2018, of Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor and an SEC-registered investment adviser. Mr. Lloyd served as a Director, Vice President, and Secretary of Campbell Financial Services, LLC, an SEC-registered broker-dealer and FINRA member, between October 2009 and August 2018. Mr. Lloyd also served as Chief Compliance Officer of Campbell Financial Services, LLC between October 2009 and September 2013. In November 2012 Mr. Lloyd was appointed as President of Campbell Financial Services, LLC and held the position until April 2014. Mr. Lloyd was the General Counsel of Campbell Financial Services, LLC between April 2014 and August 2018. From July 1999 to September 2005, Mr. Lloyd was employed by DBSI,Deutsche Bank Securities Inc., a broker/dealer subsidiary of a global investment bank, in several positions, including Managing Director and head of the legal group for Deutsche Bank Alex. Brown, the Private Client Division of DBSI.Deutsche Bank Securities Inc. Mr. Lloyd holds a B.A. in Economics from the University of Maryland and a J.D. from the University of Baltimore School of Law. Mr. Lloyd is a member of the Bars of the State of Maryland and the United States Supreme Court. Mr. Lloyd initially becamehas been listed as a Principal of Campbell & Company and Campbell & Company Investment Adviser LLC effectivesince January 2, 2019. Mr. Lloyd was previously listed as a Principal of Campbell & Company and Campbell & Company Investment Adviser LLC from October 20, 2005 to August 1, 2018 and December 12, 2005 to August 15, 2018, respectively. Mr. Lloyd became registered as a NFA Associate Member and an Associated Person of Campbell & Company effective August 30, 2010. Mr. Lloyd was designated as a Branch Manager of Campbell & Company, LP from January 15, 2020 until December 28, 2020.
Gabriel Morris, CFA, Chief Operating Officer,John R. Radle, born in 1977,1967, joined Campbell & Company in October 2006June 2005, and since July 2019 has served asin January 2022 was appointed Chief Operating Officer of both Campbell & Company, LP and Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, LP, a registered commodity trading advisor and an SEC- registeredSEC-registered investment adviser. In this capacity, Mr. MorrisRadle is responsible for overseeing the firm’s middle office, back office, human resources and corporate finance functions. Since joining the firm, Mr. Morris has also served as an officer and/or a member ofRadle was appointed to the Board of Directors of entities affiliated with Campbell & Company, including: Campbell & Company Investment Adviser LLC; Campbell Financial Services, LLC, a wholly-owned subsidiary of Campbell & Company,and as an SEC-registered broker-dealer, and a FINRA member;officer of Campbell & Company, LLC, the general partner of Campbell & Company; Campbell & Company, Delaware, LLC, the general partnerLP in January 2022. Mr. Radle has been a member of the Campbell Equity Alpha Onshore Fund, LP, a limited partnership formed in Delaware, and Campbell Equity Alpha Cayman, LPInvestment Committee and the Campbell Equity Alpha Master Fund LP, both exempted limited partnerships registered in the Cayman Islands;Best Execution Committee since April 2013 and Campbell Core Offshore Limited, Campbell Advantage Offshore Limited, and the Campbell Managed Futures Offshore Fund – CAD, each an international business company incorporated in the Cayman Islands.November 2006, respectively. Mr. Morris hasRadle also served as the Equity Trading Manager from June 2005 to December 2010, Manager - Equity & Rule-Based Execution from December 2010 to October 2012, and Managing Director, Operations &Global Head of Trading from October 2012 to January 2022. In this capacity Mr. Radle provided oversight of all aspects of the firm’s trade activities and assessed trade algorithms. Mr. Radle holds a BBA in Finance from August 2018 to June 2019, Director of Market Data from March 2017 to July 2018, and Director of Investment Operations from September 2013 to March 2017. Mr. MorrisTexas Christian University. He also held the positions of Director of Performance Reporting, Performance Reporting Analyst, Assistant Manager of Fund Administration and Fund Administration Associate. Prior to his employment at Campbell & Company, Mr. Morris was employed by Johns Hopkins University from October 2003 to October 2006. Mr. Morris holds a M.S. in Technology Management from Columbia University and a B.S. in Business & Managementan MBA from Johns Hopkins University. Mr. Morris isRadle was listed as a CFA charterholderprincipal of Campbell & Company, LP and holds Series 3, 7Campbell & Company Investment Adviser LLC from June 2013 to September 2018. Mr. Radle became listed as a principal of Campbell & Company, LP and 27 licenses.
Campbell & Company Investment Adviser, LLC in January 2022. Mr. Radle became registered as a NFA Associate Member and an Associated Person of Campbell & Company, LP effective November 5, 2007 and November 15, 2007, respectively.
There has never been a material administrative, civil or criminal action brought against Campbell & Company or any of its directors, executive officers, promoters or control persons.
No Forms 3, 4, or 5 have been furnished to the Registrant since inception. To the best49
Audit Committee Financial Expert
No individual is named as the “audit committee expert’ because no member of the Audit Committee (“Committee”) individually meets all five qualifications in the SEC definition of an “audit committee financial expert”; however, management has determined that the members of the Committee collectively possess the attributes necessary to perform this function.
Code of Ethics
Campbell & Company has adopted a code of ethics for its Chief Executive Officer, Chief Operating Officer, Director of Fund Accounting, Accounting Managers, and persons performing similar functions. A copy of the code of ethics may be obtained at no charge by written request to Campbell & Company’s corporate secretary, 2850 Quarry Lake Drive, Baltimore, Maryland 21209 or by calling 1-800-698-7235.
Item 11. | Executive Compensation. |
The Trust does not itself have any officers, directors or employees. The Trust pays management fees and performance fees to Campbell & Company. The directors and managing officers of Campbell & Company are remunerated by Campbell & Company in their respective positions. The directors and managing officers receive no “other compensation” from the Trust. There are no compensation plans or arrangements relating to a change in control of either the Trust or Campbell & Company.
Campbell & Company receives (i) a monthly management fee of 1/12 of 4%2% of the month-end net assets of the Series A Units, Series B Units, Series D Units and Series W Units without reductions for distributions, redemptions or withdrawals during said month, totaling approximately 2% of the average month-end net assets per year of the Series A Units, Series B Units, Series D Units and Series W Units; (ii) a monthly sales fee of 1/12 of 2% of the month-end net assets of the Series A Units and Series B Units without reductions for distributions, redemptions or withdrawals during said month, totaling approximately 4%2% of the average month-end net assets per year of the Series A Units and Series B Units; (ii)(iii) a monthly managementsales fee of 1/12 of 2.75%0.75% of the month-end net assets of the Series D Units without reductions for distributions, redemptions or withdrawals during said month, totaling approximately 2.75%0.75% of average month-end net assets per year of the Series D Units; (iii) a monthly management fee of 1/12 of 2% of the month-end net assets of the Series W Units without reductions for distributions, redemptions or withdrawals during said month, totaling approximately 2% of average month-end net assets per year of the Series W Units; and (iv) a quarterly performance fee of 20% of the aggregate cumulative appreciation (if any) in the net asset value per unit of the Series A Units, Series B Units, Series D Units and Series W Units at the end of each quarter, exclusive of appreciation attributable to interest income, allocable to such Series of Units, and as adjusted for subscriptions and redemptions, on a cumulative high water mark basis, charged quarterly. In determining the fees in this paragraph, net assets shall not be reduced by the performance fees being calculated for such current period. In respect of each Series of Units, “aggregate cumulative appreciation” means the total increase in Unit value of such Series of Units from the commencement of trading, minus the total increase in Unit value of such Series of Units for all prior quarters, multiplied by the number of Units of such Series outstanding. The performance fee is paid only on profits attributable to each Series of Units outstanding. The performance fee is accrued monthly and paid quarterly.
Item 12. | Security Ownership of Certain Beneficial Owners and Management and Related Shareholder Matters. |
| (a) | Security Ownership of Certain Beneficial Owners. As of December 31, 2019,2021, no Units of Beneficial Interest are owned or held by an officer of Campbell & Company. |
| (b) | Security Ownership of Management. As of December 31, 2019,2021, Campbell & Company did not own any Series A, Series B, Series D or Series W Units. |
Item 13. | Certain Relationships and Related Transactions, and Director Independence. |
See Item 11 – Executive Compensation and Item 12 – Security Ownership of Certain Beneficial Owners and Management and Related Shareholder Matters.
Item 14. | Principal Accounting Fees and Services. |
The principal accountant for the years ended December 31, 20192021 and 20182020 was Deloitte & Touche LLP.
The aggregate fees billed for professional services rendered by the principal accountant for the audit of the Trust’s annual financial statements, for review of financial statements included in the Trust’s Forms 10-Q and other services normally provided in connection with regulatory filings for the years ended December 31, 20192021 and 20182020 were $224,250$229,125 and $224,250,$229,125, respectively.
None.
None.
None.
| (e) | The Board of Directors of Campbell & Company approved all of the services described above. The Board of Directors has determined that the payments made to its independent accountants for these services are compatible with maintaining such auditors’ independence. The Board of Directors explicitly pre-approves all audit and non-audit services and all engagement fees and terms. |
PART IV
Item 15. | Exhibits,Exhibit and Financial Statement Schedules. |
| (a) | The Following documents are filed as part of this report: |
| (1) | See Financial Statements beginning on Page 54 hereof. page 55 thereof. |
Financial statement schedules have been omitted because they are not included in the financial statements or notes hereto applicable or because equivalent information has been included in the financial statements or notes thereto.
Exhibit Number | | Description of Document |
| | |
3.01 | | |
| | |
3.02 | | |
| | |
10.01 | | |
| | |
10.02 | | |
| | |
10.03 | | |
| | |
| | Certification of G. William Andrews,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 Gabriel A. Morris,John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934. |
| | |
| | Certification of G. William Andrews,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 Gabriel A. Morris,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. |
| | |
101.01 | | Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of December 31, 20192021 and 2018,2020, (ii) Statements of Financial Condition as of December 31, 20192021 and 2018,2020, (iii) Statements of Operations For the Years Ended December 31, 2019, 20182021, 2020 and 2017,2019, (iv) Statements of Cash Flows For the Years Ended December 31, 2019, 20182021, 2020 and 2017,2019, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the Years Ended December 31, 2019, 20182021, 2020 and 2017,2019, (vi) Financial Highlights For the Years Ended December 31, 2019, 20182021, 2020 and 2017,2019, (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 on 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. |
Item 16. | Form 10-K Summary. |
None.
EXHIBIT INDEX
| | Certification of G. William Andrews,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 Gabriel A. Morris,John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934. |
| | |
| | Certification of G. William Andrews,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 Gabriel A. Morris,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. |
| | |
101.01 | | Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of December 31, 20192021 and 2018,2020, (ii) Statements of Financial Condition as of December 31, 20192021 and 2018,2020, (iii) Statements of Operations For the Years Ended December 31, 2019, 20182021, 2020 and 2017,2019, (iv) Statements of Cash Flows For the Years Ended December 31, 2019, 20182021, 2020 and 2017,2019, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the Years Ended December 31, 2019, 20182021, 2020 and 2017,2019, (vi) Financial Highlights For the Years Ended December 31, 2019, 20182021, 2020 and 2017,2019, (vii) Notes to Financial Statements. |
| | |
104 | | Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101). |
Pursuant to the requirements of Section 13 or 15 (d) of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized on March 27, 2020.25, 2022.
| THE CAMPBELL FUND TRUST | |
| | |
| By: | CAMPBELL & COMPANY, LP | |
| | Managing Operator | |
| | | |
| By: | /s/ G. William AndrewsKevin D. Cole | |
| | G. William AndrewsKevin D. Cole | |
| | Chief Executive Officer & Chief Investment Officer | |
Pursuant to the requirements of the Securities Exchange Act of 1934, this report has been signed below by the following persons on behalf of the Registrant in the capacities of Campbell & Company, LP, the Managing Operator of the Registrant, indicated on March 27, 2020.25, 2022.
Signature | | Capacity | |
| | | |
/s/ G. William AndrewsKevin D. Cole | | Chief Executive Officer & Chief Investment Officer | |
G. William AndrewsKevin D. Cole | | | |
| | | |
/s/ Thomas P. Lloyd | | General Counsel and& Chief Compliance Officer | |
Thomas P. Lloyd | | | |
| | | |
/s/ Gabriel A. MorrisJohn R Radle | | Chief Operating Officer | |
Gabriel A. MorrisJohn R. Radle | | | |
THE CAMPBELL FUND TRUST
ANNUAL REPORT
December 31, 2021
THE CAMPBELL FUND TRUST
ANNUAL REPORT
December 31, 2019
THE CAMPBELL FUND TRUST
INDEX
| PAGES |
| |
| 5657 |
| |
Financial Statements | |
| |
| 57-6058-63 |
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| 6164 |
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| 6265 |
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| 6366 |
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| 64-6567-68 |
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| 66-6969-72 |
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| 70-7973-84 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Unitholders of The Campbell Fund Trust
Opinion on the Financial Statements
We have audited the accompanying statements of financial condition of The Campbell Fund Trust (the “Trust”), including the condensed schedules of investments, as of December 31, 20192021 and 2018,2020, the related statements of operations, cash flows, changes in unitholders’ capital (net asset value) and financial highlights for each of the three years in the period ended December 31, 2019,2021, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Trust as of December 31, 20192021 and 2018,2020, and the results of its operations, its cash flows, changes in its unitholders’ capital (net asset value) and the financial highlights for each of the three years in the period ended December 31, 2019,2021, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Trust’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
Critical Audit Matters
Critical audit matters are matters arising from the current-period audit of the financial statements that were communicated or required to be communicated to the audit committee and that (1) relate to accounts or disclosures that are material to the financial statements and (2) involved our especially challenging, subjective, or complex judgments. We determined that there are no critical audit matters.
/s/ Deloitte & Touche LLP
McLean, Virginia
March 27, 202025, 2022
We have served as the Trust’s auditor since 2005.
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 20192021
Maturity | | | | Fair | | | % of Net | |
Face Value | | Description | | Value ($) | | | Asset Value | |
|
| | Asset Backed Securities | | | | | | |
| | | United States | | | | | | |
| | | Auto Loans | | $ | 13,032,001 | | | | 4.38 | % |
| | | Equipment Loans | | | 1,314,876 | | | | 0.44 | % |
| | | Total Asset Backed Securities (cost $14,377,009) | | | 14,346,877 | | | | 4.82 | % |
| | | | | | | | | | | |
| | | Bank Deposits | | | | | | | | |
| | | United States | | | | | | | | |
| | | Financials (cost $1,750,000) | | | 1,749,055 | | | | 0.59 | % |
| | | | | | | | | | | |
| | | Commercial Paper | | | | | | | | |
| | | United Kingdom | | | | | | | | |
| | | Financials (cost $1,664,351) | | | 1,664,326 | | | | 0.56 | % |
| | | United States | | | | | | | | |
| | | Communications | | | 3,904,457 | | | | 1.31 | % |
| | | Consumer Discretionary | | | 7,014,034 | | | | 2.36 | % |
| | | Financials | | | 22,969,552 | | | | 7.72 | % |
| | | Industrials | | | 3,989,738 | | | | 1.34 | % |
| | | Materials | | | 4,499,654 | | | | 1.51 | % |
| | | Real Estate | | | 18,286,034 | | | | 6.15 | % |
| | | Technology | | | 2,464,769 | | | | 0.83 | % |
| | | Utilities | | | 17,623,039 | | | | 5.93 | % |
| | | Total United States (cost $80,761,680) | | | 80,751,277 | | | | 27.15 | % |
| | | Total Commercial Paper (cost $82,426,031) | | | 82,415,603 | | | | 27.71 | % |
| | | | | | | | | | | |
| | | Corporate Bonds | | | | | | | | |
| | | Australia | | | | | | | | |
| | | Financials (cost $3,585,000) | | | 3,598,062 | | | | 1.21 | % |
| | | Canada | | | | | | | | |
| | | Energy | | | 1,408,341 | | | | 0.47 | % |
| | | Financials | | | 10,355,575 | | | | 3.48 | % |
| | | Total Canada (cost $11,778,745) | | | 11,763,916 | | | | 3.95 | % |
| | | Germany | | | | | | | | |
| | | Consumer Discretionary (cost $2,760,000) | | | 2,763,989 | | | | 0.93 | % |
| | | Japan | | | | | | | | |
| | | Financials (cost $2,435,486) | | | 2,435,503 | | | | 0.82 | % |
| | | Switzerland | | | | | | | | |
| | | Financials (cost $3,899,594) | | | 3,902,371 | | | | 1.31 | % |
| | | United Kingdom | | | | | | | | |
| | | Financials | | | 604,915 | | | | 0.20 | % |
| | | Health Care | | | 1,330,920 | | | | 0.45 | % |
| | | Total United Kingdom (cost $1,937,907) | | $ | 1,935,835 | | | | 0.65 | % |
Maturity Face Value | | Description | | Fair Value ($) | | | % of Net Asset Value | |
|
| | Asset Backed Securities | | | | | | |
| | | United States | | | | | | |
| | | Auto Loans | | $ | 15,837,798 | | | | 5.12 | % |
| | | Credit Cards | | | 2,675,309 | | | | 0.86 | % |
| | | Equipment Loans | | | 618,295 | | | | 0.20 | % |
| | | Utilities | | | 544,640 | | | | 0.18 | % |
| | | Total Asset Backed Securities (cost $19,601,083) | | | 19,676,042 | | | | 6.36 | % |
| | | | | | | | | | | |
| | | Bank Deposits | | | | | | | | |
| | | Singapore | | | | | | | | |
| | | Financials (cost $2,837,086) | | | 2,837,107 | | | | 0.92 | % |
| | | United States | | | | | | | | |
| | | Financials (cost $2,392,198) | | | 2,393,483 | | | | 0.77 | % |
| | | Total Bank Deposits (cost $5,229,284) | | | 5,230,590 | | | | 1.69 | % |
| | | | | | | | | | | |
| | | Commercial Paper | | | | | | | | |
| | | Australia | | | | | | | | |
| | | Financials (cost $2,486,462) | | | 2,485,923 | | | | 0.80 | % |
| | | Canada | | | | | | | | |
| | | Financials (cost $999,632) | | | 999,620 | | | | 0.32 | % |
| | | Sweden | | | | | | | | |
| | | Financials (cost $2,990,273) | | | 2,990,613 | | | | 0.97 | % |
| | | Switzerland | | | | | | | | |
| | | Financials (cost $4,296,981) | | | 4,297,185 | | | | 1.39 | % |
| | | United States | | | | | | | | |
| | | Communications | | | 2,995,139 | | | | 0.97 | % |
| | | Consumer Discretionary | | | 26,514,040 | | | | 8.57 | % |
| | | Consumer Staples | | | 4,537,769 | | | | 1.47 | % |
| | | Financials | | | 23,493,503 | | | | 7.59 | % |
| | | Industrials | | | 1,997,585 | | | | 0.64 | % |
| | | Utilities | | | 24,091,267 | | | | 7.78 | % |
| | | Total United States (cost $83,630,421) | | | 83,629,303 | | | | 27.02 | % |
| | | Total Commercial Paper (cost $94,403,769) | | | 94,402,644 | | | | 30.50 | % |
| | | | | | | | | | | |
| | | Corporate Bonds | | | | | | | | |
| | | Canada | | | | | | | | |
| | | Financials | | | 5,910,253 | | | | 1.91 | % |
| | | Industrials | | | 1,595,400 | | | | 0.52 | % |
| | | Total Canada (cost $7,494,451) | | | 7,505,653 | | | | 2.43 | % |
| | | Germany | | | | | | | | |
| | | Consumer Discretionary (cost $5,147,253) | | | 5,166,625 | | | | 1.67 | % |
| | | Japan | | | | | | | | |
| | | Financials (cost $2,020,000) | | | 2,020,373 | | | | 0.65 | % |
| | | United Kingdom | | | | | | | | |
| | | Energy | | | 2,120,364 | | | | 0.69 | % |
| | | Financials | | | 3,873,831 | | | | 1.25 | % |
| | | Total United Kingdom (cost $5,979,474) | | | 5,994,195 | | | | 1.94 | % |
| | | United States | | | | | | | | |
| | | Communications | |
| 3,078,403 | | | | 0.99 | % |
| | | Consumer Discretionary | | | 14,140,035 | | | | 4.57 | % |
| | | Consumer Staples | | | 3,547,193 | | | | 1.14 | % |
| | | Energy | | | 6,047,117 | | | | 1.95 | % |
| | | Financials | | | 23,371,727 | | | | 7.55 | % |
| | | Industrials | | | 5,427,486 | | | | 1.75 | % |
| | | Materials | | | 884,220 | | | | 0.29 | % |
| | | Technology | | | 5,066,126 | | | | 1.64 | % |
| | | Utilities | | | 2,348,096 | | | | 0.76 | % |
| | | Total United States (cost $63,778,285) | | | 63,910,403 | | | | 20.64 | % |
| | | Total Corporate Bonds (cost $84,419,463) | | | 84,597,249 | | | | 27.33 | % |
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 20192021
Maturity Face Value | | Description | | Fair Value ($) | | | % of Net Asset Value | |
| | Government And Agency Obligations | | | | | | |
| | United States | | | | | | |
| | U.S. Treasury Bills | | | | | | |
$ | 4,160,000 | | U.S. Treasury Bills Due 01/02/2020* | | | 4,160,000 | | | | 1.35 | % |
$ | 4,500,000 | | U.S. Treasury Bills Due 01/16/2020* | | | 4,497,563 | | | | 1.45 | % |
$ | 27,690,000 | | U.S. Treasury Bills Due 02/13/2020* | | | 27,642,108 | | | | 8.93 | % |
$ | 17,392,500 | | U.S. Treasury Bills Due 03/12/2020* | | | 17,341,856 | | | | 5.60 | % |
| | | Total Government And Agency Obligations (cost $53,635,500) | | | 53,641,527 | | | | 17.33 | % |
| | | Total Fixed Income Securities ** (cost $257,289,099) | | $ | 257,548,052 | | | | 83.21 | % |
Description | | Fair Value ($) | | | % of Net Asset Value | |
Money Market Funds | | | | | | |
United States | | | | | | |
Money Market Funds (cost $4,780) | | $ | 4,780 | | | | 0.00 | % |
Total Short Term Investments (cost $4,780) | | $ | 4,780 | | | | 0.00 | % |
Maturity | | | | Fair | | | % of Net | |
Face Value | | Description | | Value ($) | | | Asset Value | |
|
| | Corporate Bonds (continued) | | | | | | |
| | | United States | | | | | | |
| | | Consumer Discretionary | | $ | 4,752,690 | | | | 1.60 | % |
| | | Consumer Staples | | | 2,744,448 | | | | 0.92 | % |
| | | Energy | | | 4,874,684 | | | | 1.64 | % |
| | | Financials | | | 9,708,375 | | | | 3.26 | % |
| | | Health Care | | | 3,960,029 | | | | 1.33 | % |
| | | Industrials | | | 4,590,168 | | | | 1.54 | % |
| | | Materials | | | 1,043,902 | | | | 0.35 | % |
| | | Real Estate | | | 1,573,554 | | | | 0.53 | % |
| | | Technology | | | 3,690,160 | | | | 1.24 | % |
| | | Utilities | | | 2,547,665 | | | | 0.86 | % |
| | | Total United States (cost $39,522,537) | | | 39,485,675 | | | | 13.27 | % |
| | | Total Corporate Bonds (cost $65,919,269) | | | 65,885,351 | | | | 22.14 | % |
| | | | | | | | | | | |
| | | Government and Agency Obligations | | | | | | | | |
| | | United States | | | | | | | | |
| | | U.S. Treasury Bills | | | | | | | | |
$ | 5,660,000 | | U.S. Treasury Bills Due 01/20/2022 (1) | |
| 5,659,966 | | | | 1.90 | % |
$ | 3,100,000 | | U.S. Treasury Bills Due 03/17/2022 (1) | | | 3,099,653 | | | | 1.04 | % |
$ | 24,500,000 | | U.S. Treasury Bills Due 05/12/2022 (1) | | | 24,492,086 | | | | 8.24 | % |
| | | Total Government And Agency Obligations (cost $33,254,967) | | | 33,251,705 | | | | 11.18 | % |
| | | | | | | | | | | |
| | | Total Fixed Income Securities (cost $197,727,276) (2) | | $ | 197,648,591 | | | | 66.44 | % |
Description | | Fair Value ($) | | | % of Net Asset Value | |
Agriculture | | $ | 111,797 | | | | 0.04 | % |
Energy | | | 897,502 | | | | 0.29 | % |
Metals | | | 2,205,166 | | | | 0.71 | % |
Stock indices | | | 91,738 | | | | 0.03 | % |
Short-term interest rates | | | (765,294 | ) | | | (0.25 | )% |
Long-term interest rates | | | (4,935,840 | ) | | | (1.59 | )% |
Net unrealized gain (loss) on long futures contracts | | | (2,394,931 | ) | | | (0.77 | )% |
SHORT FUTURES CONTRACTS
Description | | Fair Value ($) | | | % of Net Asset Value | |
Agriculture | | | (2,850,079 | ) | | | (0.92 | )% |
Energy | | | 588,691 | | | | 0.19 | % |
Metals | | | (4,618,405 | ) | | | (1.49 | )% |
Stock indices | | | 79,410 | | | | 0.03 | % |
Short-term interest rates | | | (412 | ) | | | 0.00 | % |
Long-term interest rates | | | 1,055,789 | | | | 0.34 | % |
Net unrealized gain (loss) on short futures contracts | | | (5,745,006 | ) | | | (1.85 | )% |
Net unrealized gain (loss) on open futures contracts | | $ | (8,139,937 | ) | | | (2.62 | )% |
FORWARD CURRENCY CONTRACTS
Description | | Fair Value ($) | | | % of Net Asset Value | |
Various long forward currency contracts | | $ | 22,090,636 | | | | 7.14 | % |
Various short forward currency contracts | | | (24,754,313 | ) | | | (8.00 | )% |
Net unrealized gain (loss) on open forward currency contracts | | $ | (2,663,677 | ) | | | (0.86 | )% |
*(1) | Pledged as collateral for the trading of futures positions. |
**(2) | Included in fixed income securities are U.S. Treasury Bills with a fair value of $53,641,527$33,251,705 deposited with the futures brokers. |
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
FIXED INCOME SECURITIES
Maturity Face Value | | Description | | Fair Value ($) | | | % of Net Asset Value | |
| | | Asset Backed Securities | | | | | | |
| | | United States | | | | | | |
| | | Auto Loans | | $ | 11,260,081 | | | | 3.37 | % |
| | | Credit Cards | | | 7,922,740 | | | | 2.37 | % |
| | | Equipment Loans | | | 949,326 | | | | 0.29 | % |
| | | Total Asset Backed Securities (cost $20,184,656) | | | 20,132,147 | | | | 6.03 | % |
| | | | | | | | | | | |
| | | Bank Deposits | | | | | | | | |
| | | United States | | | | | | | | |
| | | Financials | | | 4,348,492 | | | | 1.30 | % |
| | | Total Bank Deposits (cost $4,350,132) | | | 4,348,492 | | | | 1.30 | % |
| | | | | | | | | | | |
| | | Commercial Paper | | | | | | | | |
| | | United States | | | | | | | | |
| | | Communications | | | 3,728,528 | | | | 1.11 | % |
| | | Consumer Discretionary | | | 8,545,981 | | | | 2.56 | % |
| | | Consumer Staples | | | 18,595,739 | | | | 5.57 | % |
| | | Financials | | | 2,026,496 | | | | 0.61 | % |
| | | Industrials | | | 4,103,477 | | | | 1.23 | % |
| | | Utilities | | | | | | | | |
$ | 7,301,000 | | Kentucky Utilities Company Due 01/02/2019 | | | 7,299,939 | | | | 2.19 | % |
$ | 885,000 | | Kentucky Utilities Company Due 01/08/2019 | | | 884,469 | | | | 0.26 | % |
$ | 2,280,000 | | Kentucky Utilities Company Due 01/14/2019 | | | 2,277,534 | | | | 0.68 | % |
$ | 6,750,000 | | Kentucky Utilities Company Due 01/23/2019 | | | 6,737,718 | | | | 2.02 | % |
| | | Other | | | 16,156,320 | | | | 4.84 | % |
| | | Total Commercial Paper (cost $70,360,185) | | | 70,356,201 | | | | 21.07 | % |
| | | | | | | | | | | |
| | | Corporate Bonds | | | | | | | | |
| | | Canada | | | | | | | | |
| | | Financials (cost $13,018,958) | | | 12,960,949 | | | | 3.88 | % |
| | | Japan | | | | | | | | |
| | | Financials (cost $2,697,498) | | | 2,681,988 | | | | 0.80 | % |
| | | United Kingdom | | | | | | | | |
| | | Financials (cost $9,746,548) | | | 9,700,528 | | | | 2.91 | % |
| | | United States | | | | | | | | |
| | | Communications | | | 12,685,658 | | | | 3.80 | % |
| | | Consumer Discretionary | | | 9,534,815 | | | | 2.85 | % |
| | | Consumer Staples | | | 12,644,398 | | | | 3.79 | % |
| | | Energy | | | 2,760,187 | | | | 0.83 | % |
| | | Financials | | | 39,791,199 | | | | 11.92 | % |
| | | Industrials | | | 7,322,498 | | | | 2.19 | % |
| | | Technology | | | 6,235,512 | | | | 1.87 | % |
| | | Utilities | | | 942,078 | | | | 0.28 | % |
| | | Total United States (cost $92,174,110) | | | 91,916,345 | | | | 27.53 | % |
| | | Total Corporate Bonds (cost $117,637,114) | | | 117,259,810 | | | | 35.12 | % |
| | | | | | | | | | | |
| | | Government And Agency Obligations | | | | | | | | |
| | | United States | | | | | | | | |
| | | U.S. Treasury Bills | | | | | | | | |
$ | 8,735,000 | | U.S. Treasury Bills Due 01/17/2019* | | | 8,726,578 | | | | 2.61 | % |
$ | 14,392,500 | | U.S. Treasury Bills Due 02/21/2019* | | | 14,344,561 | | | | 4.30 | % |
$ | 28,162,500 | | U.S. Treasury Bills Due 03/28/2019* | | | 28,002,067 | | | | 8.39 | % |
| | | Total Government And Agency Obligations (cost $51,077,094) | | | 51,073,206 | | | | 15.30 | % |
| | | Total Fixed Income Securities ** (cost $263,609,181) | | $ | 263,169,856 | | | | 78.82 | % |
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 20182021
| | | Fair | | | % of Net | |
Description | | Fair Value ($) | | | % of Net Asset Value | | | Value ($) | | | Asset Value | |
Money Market Funds | | | | | | | | | | | | |
United States | | | | | | | | | | | | |
Money Market Funds (cost $2,868) | | $ | 2,868 | | | | 0.00 | % | |
Total Short Term Investments (cost $2,868) | | $ | 2,868 | | | | 0.00 | % | |
Money Market Funds (cost $16,805,816) | | | $ | 16,805,816 | | | | 5.65 | % |
Total Short Term Investments (cost $16,805,816) | | | $ | 16,805,816 | | | | 5.65 | % |
Description | | Fair Value ($) | | | % of Net Asset Value | |
Agriculture | | $ | 245,490 | | | | 0.07 | % |
Energy | | | (1,580,415 | ) | | | (0.47 | )% |
Metals | | | (3,242,497 | ) | | | (0.97 | )% |
Stock indices | | | (177,210 | ) | | | (0.05 | )% |
Short-term interest rates | | | 1,926,368 | | | | 0.57 | % |
Long-term interest rates | | | 2,133,111 | | | | 0.64 | % |
Net unrealized gain (loss) on long futures contracts | | | (695,153 | ) | | | (0.21 | )% |
| | Fair | | | % of Net | |
Description | | Value ($) | | | Asset Value | |
Agriculture | | $ | (119,097 | ) | | | (0.04 | )% |
Energy | | | 564,654 | | | | 0.19 | % |
Metals | | | 5,925,856 | | | | 1.99 | % |
Stock indices | | | 1,630,380 | | | | 0.55 | % |
Short-term interest rates | | | (396,557 | ) | | | (0.13 | )% |
Long-term interest rates | | | (2,270,766 | ) | | | (0.76 | )% |
Net unrealized gain (loss) on long futures contracts | | | 5,334,470 | | | | 1.80 | % |
| | | Fair | | | % of Net | |
Description | | Fair Value ($) | | | % of Net Asset Value | | | Value ($) | | | Asset Value | |
Agriculture | | 3,069,621 | | | 0.92 | % | | | 847,345 | | | | 0.28 | % |
Energy | | 906,219 | | | 0.27 | % | | | (502,467 | ) | | | (0.17 | )% |
Metals | | 4,581,047 | | | 1.37 | % | | | (6,686,832 | ) | | | (2.25 | )% |
Stock indices | | 49,319 | | | 0.01 | % | | | (58,118 | ) | | | (0.02 | )% |
Short-term interest rates | | (10,448 | ) | | 0.00 | % | | | 363,140 | | | | 0.12 | % |
Long-term interest rates | | | (2,215,414 | ) | | | (0.66 | )% | | | 1,295,615 | | | | 0.44 | % |
Net unrealized gain (loss) on short futures contracts | | | 6,380,344 | | | | 1.91 | % | | | (4,741,317 | ) | | | (1.60 | )% |
Net unrealized gain (loss) on open futures contracts | | $ | 5,685,191 | | | | 1.70 | % | | $ | 593,153 | | | | 0.20 | % |
FORWARD CURRENCY CONTRACTS
| | | Fair | | | % of Net | |
Description | | Fair Value ($) | | | % of Net Asset Value | | | Value ($) | | | Asset Value | |
Various long forward currency contracts | | $ | 6,864,179 | | | 2.06 | % | | $ | 8,600,251 | | | | 2.89 | % |
Various short forward currency contracts | | | 1,503,207 | | | | 0.45 | % | | | (10,378,226 | ) | | | (3.49 | )% |
Net unrealized gain (loss) on open forward currency contracts | | $ | 8,367,386 | | | | 2.51 | % | | $ | (1,777,975 | ) | | | (0.60 | )% |
CREDIT DEFAULT INDEX SWAPS
| | Fair | | | % of Net | |
Description | | Value ($) | | | Asset Value | |
Centrally cleared credit default index swaps - Sell protection (net cost $3,180,504) (3) | | $ | 3,214,681 | | | | 1.08 | % |
(3) | Includes $3,195,050 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in the statement of financial condition. |
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2020
Maturity | | | | Fair | | | % of Net | |
Face Value | | Description | | Value ($) | | | Asset Value | |
|
| | Asset Backed Securities | | | | | | |
| | | United States | | | | | | |
| | | Auto Loans | | $ | 9,566,590 | | | | 3.42 | % |
| | | Credit Cards | | | 1,030,754 | | | | 0.37 | % |
| | | Equipment Loans | | | 2,477,072 | | | | 0.89 | % |
| | | Total Asset Backed Securities (cost $13,025,886) | | | 13,074,416 | | | | 4.68 | % |
| | | | | | | | | | | |
| | | Bank Deposits | | | | | | | | |
| | | United States | | | | | | | | |
| | | Financials (cost $1,625,203) | | | 1,624,998 | | | | 0.58 | % |
| | | Total Bank Deposits (cost $1,625,203) | | | 1,624,998 | | | | 0.58 | % |
| | | | | | | | | | | |
| | | Commercial Paper | | | | | | | | |
| | | United Kingdom | | | | | | | | |
| | | Financials (cost $2,862,221) | | | 2,861,876 | | | | 1.02 | % |
| | | United States | | | | | | | | |
| | | Consumer Discretionary | | | 5,728,110 | | | | 2.05 | % |
| | | Consumer Staples | | | 2,914,818 | | | | 1.04 | % |
| | | Energy | | | 2,249,654 | | | | 0.80 | % |
| | | Financials | | | 20,087,107 | | | | 7.19 | % |
| | | Industrials | | | 7,101,081 | | | | 2.54 | % |
| | | Utilities | | | 22,208,787 | | | | 7.94 | % |
| | | Total United States (cost $60,285,304) | | | 60,289,557 | | | | 21.56 | % |
| | | Total Commercial Paper (cost $63,147,525) | | | 63,151,433 | | | | 22.58 | % |
| | | | | | | | | | | |
| | | Corporate Bonds | | | | | | | | |
| | | Australia | | | | | | | | |
| | | Financials (cost $3,585,000) | | | 3,600,764 | | | | 1.29 | % |
| | | Canada | | | | | | | | |
| | | Financials (cost $7,600,479) | | | 7,614,047 | | | | 2.72 | % |
| | | Germany | | | | | | | | |
| | | Consumer Discretionary (cost $3,814,460) | | | 3,839,645 | | | | 1.37 | % |
| | | Switzerland | | | | | | | | |
| | | Financials (cost $2,449,548) | | | 2,481,960 | | | | 0.89 | % |
| | | United Kingdom | | | | | | | | |
| | | Financials (cost $3,860,000) | | $ | 3,867,214 | | | | 1.38 | % |
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2020
FIXED INCOME SECURITIES
Maturity | | | | Fair | | | % of Net | |
Face Value | | Description | | Value ($) | | | Asset Value | |
|
| | Corporate Bonds (continued) |
|
|
|
|
|
|
| | | United States |
|
|
|
|
|
|
| | | Communications |
| $
| 966,203 |
|
|
| 0.35% |
|
| | | Consumer Discretionary |
|
| 10,765,095 |
|
|
| 3.85% |
|
| | | Consumer Staples |
|
| 1,595,495 |
|
|
| 0.57% |
|
| | | Energy |
|
| 4,485,906 |
|
|
| 1.60% |
|
| | | Financials |
|
| 18,489,405 |
|
|
| 6.61% |
|
| | | Industrials |
|
| 4,363,075 |
|
|
| 1.56% |
|
| | | Technology |
|
| 5,846,415 |
|
|
| 2.09% |
|
| | | Total United States (cost $46,301,246) |
|
| 46,511,594 |
|
|
| 16.63% |
|
| | | Total Corporate Bonds (cost $67,610,733) |
|
| 67,915,224 |
|
|
| 24.28% |
|
| | | |
|
|
|
|
|
|
|
|
| | | Government and Agency Obligations |
|
|
|
|
|
|
|
|
| | | United States | | | | | | | | |
| | | U.S. Treasury Bills | | | | | | | | |
$ | 6,660,000 | | U.S. Treasury Bills Due 01/14/2021 (1) | | | 6,659,913 | | | | 2.38% | |
$ | 25,125,000 | | U.S. Treasury Bills Due 02/11/2021 (1) | | | 25,123,417 | | | | 8.99% | |
$ | 13,092,500 | | U.S. Treasury Bills Due 03/11/2021 (1) | | | 13,090,693 | | | | 4.68% | |
| | | Total Government And Agency Obligations (cost $44,873,315) | | | 44,874,023 | | | | 16.05% | |
| | | Total Fixed Income Securities (cost $190,282,662) (2) | | $ | 190,640,094 | | | | 68.17% | |
*(1) | Pledged as collateral for the trading of futuresfuture positions. |
**(2) | Included in fixed income securities are U.S. Treasury Bills with a fair value of $51,073,206$44,874,023 deposited with the futures brokers. |
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2020
| Fair | | % of Net | |
Description | Value ($) | | Asset Value | |
Money Market Funds | | | | |
United States | | | | |
Money Market Funds (cost $15,831,488) | | $ | 15,831,488 | | | | 5.66 | % |
Total Short Term Investments (cost $15,831,488) | | $ | 15,831,488 | | | | 5.66 | % |
| | Fair | | | % of Net | |
Description | | Value ($) | | | Asset Value | |
Agriculture | | $ | 2,923,345 | | | | 1.05 | % |
Energy | | | 478,661 | | | | 0.17 | % |
Metals | | | 4,159,062 | | | | 1.49 | % |
Stock indices | | | 1,949,033 | | | | 0.69 | % |
Short-term interest rates | | | 337,344 | | | | 0.12 | % |
Long-term interest rates | | | 1,985,635 | | | | 0.71 | % |
Net unrealized gain (loss) on long futures contracts | | | 11,833,080 | | | | 4.23 | % |
| | Fair | | | % of Net | |
Description | | Value ($) | | | Asset Value | |
Agriculture | |
| (266,908 | ) | | | (0.10 | )% |
Energy | | | 128,596 | | | | 0.05 | % |
Metals | | | (1,857,847 | ) | | | (0.66 | )% |
Stock indices | | | 18,349 | | | | 0.01 | % |
Short-term interest rates | | | 68,223 | | | | 0.02 | % |
Long-term interest rates | | | (222,174 | ) | | | (0.08 | )% |
Net unrealized gain (loss) on short futures contracts | | | (2,131,761 | ) | | | (0.76 | )% |
Net unrealized gain (loss) on open futures contracts | | $ | 9,701,319 | | | | 3.47 | % |
FORWARD CURRENCY CONTRACTS
| Fair | | % of Net | |
Description | Value ($) | | Asset Value | |
Various long forward currency contracts | |
| 10,221,810 | | | | 3.66 | % |
Various short forward currency contracts | | | (7,895,091 | ) | | | (2.82 | )% |
Net unrealized gain (loss) on open forward currency contracts | |
| 2,326,719 | | | | 0.84 | % |
CREDIT DEFAULT INDEX SWAPS
| | Fair | | | % of Net | |
Description | | Value ($) | | | Asset Value | |
Centrally cleared credit default index swaps - Sell protection (net cost $1,697,355) (3) | | $ | 2,611,165 | | | | 0.93 | % |
| | Fair | | | % of Net | |
Description | | Value ($) | | | Asset Value | |
Centrally cleared interest rate swaps - Receive fixed (net cost $229,351) (4) | | $ | 809,670 | | | | 0.29 | % |
(3) | Includes $2,603,209 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in the statement of financial condition. |
(4) | Includes $958,613 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in the statement of financial condition. |
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
STATEMENTS OF FINANCIAL CONDITION DECEMBER 31, 2021 AND 2020
| | 2021
| | | 2020
| |
ASSETS | | | | | | |
Equity in futures brokers trading accounts | | | | | | |
Cash | | $ | 33,259,944 | | | $ | 18,771,895 | |
Restricted cash | | | 2,296,459 | | | | 0 | |
Fixed income securities (cost $33,254,967 and $44,873,315, respectively) | | | 33,251,705 | | | | 44,874,023 | |
Net unrealized gain (loss) on open futures contracts | | | 593,153 | | | | 9,701,319 | |
Total equity in futures brokers trading accounts | | | 69,401,261 | | | | 73,347,237 | |
| | | | | | | | |
Cash and cash equivalents | | | 2,650,894 | | | | 2,026,150 | |
Cash at interbank market maker | | | 11,026,620 | | | | 13,343,832 | |
Restricted cash at interbank market maker | | | 26,299,559 | | | | 19,627,499 | |
Short term investments (cost $16,805,816 and $15,831,488, respectively) | | | 16,805,816 | | | | 15,831,488 | |
Cash at swaps broker | | | 9,578,262 | | | | 6,495,743 | |
Restricted cash at swaps broker | | | 988,951 | | | | 8,338,403 | |
Fixed income securities (cost $164,472,309 and $145,409,347, respectively) | | | 164,396,886 | | | | 145,766,071 | |
Credit default index swaps | | | 19,631 | | | | 7,956 | |
Due from swaps broker | | | 60,858 | | | | 45,134 | |
Net unrealized gain on open forward currency contracts | | | 0 | | | | 2,326,719 | |
Interest receivable | | | 160,341 | | | | 197,660 | |
Subscriptions receivable | | | 0 | | | | 500,000 | |
Total assets | | $ | 301,389,079 | | | $ | 287,853,892 | |
| | | | | | | | |
LIABILITIES | | | | | | | | |
Accounts payable | | $ | 164,328 | | | $ | 178,723 | |
Management fee payable | | | 495,742 | | | | 477,700 | |
Net unrealized loss on open forward currency contracts | | | 1,777,975 | | | | 0 | |
Interest rate swaps | | | 0 | | | | 148,943 | |
Accrued commissions and other trading fees on open contracts | | | 38,562 | | | | 56,032 | |
Offering costs payable | | | 110,066 | | | | 105,926 | |
Sales commission payable | | | 420,687 | | | | 417,647 | |
Redemptions payable | | | 999,500 | | | | 6,903,229 | |
Total liabilities | | | 4,006,860 | | | | 8,288,200 | |
| | | | | | | | |
UNITHOLDERS’ CAPITAL (Net Asset Value) | | | | | | | | |
| | | | | | | | |
Series A Units - Redeemable | | | | | | | | |
Other Unitholders - 76,728.203 and 83,925.461 units outstanding at December 31, 2021 and December 31, 2020 | | | 222,737,822 | | | | 216,523,843 | |
Series B Units – Redeemable | | | | | | | | |
Other Unitholders - 10,247.759 and 11,380.986 units outstanding at December 31, 2021 and December 31, 2020 | | | 32,886,235 | | | | 32,296,756 | |
Series D Units – Redeemable | | | | | | | | |
Other Unitholders - 6,875.564 and 4,757.939 units outstanding at December 31, 2021 and December 31, 2020 | | | 8,222,341 | | | | 5,043,054 | |
Series W Units – Redeemable | | | | | | | | |
Other Unitholders - 9,386.736 and 8,258.693 units outstanding at December 31, 2021 and December 31, 2020 | | | 33,535,821 | | | | 25,702,039 | |
Total unitholders’ capital (Net Asset Value) | | | 297,382,219 | | | | 279,565,692 | |
Total liabilities and unitholders’ capital (Net Asset Value) | | $ | 301,389,079 | | | $ | 287,853,892 | |
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
STATEMENTS OF
FINANCIAL CONDITIONOPERATIONSFOR THE YEARS ENDED DECEMBER 31, 20192021, 2020 AND 20182019
| | 2019 | | | 2018 | |
| | | | | | |
ASSETS | | | | | | |
Equity in futures brokers trading accounts | | | | | | |
Cash | | $ | 15,751,729 | | | $ | 29,264,709 | |
Restricted cash | | | 4,648,990 | | | | 0 | |
Fixed income securities (cost $53,635,500 and $51,077,094, respectively) | | | 53,641,527 | | | | 51,073,206 | |
Net unrealized gain (loss) on open futures contracts | | | (8,139,937 | ) | | | 5,685,191 | |
Total equity in futures brokers trading accounts | | | 65,902,309 | | | | 86,023,106 | |
| | | | | | | | |
Cash and cash equivalents | | | 15,970,752 | | | | 22,653,467 | |
Restricted cash at interbank market maker | | | 29,815,239 | | | | 15,828,352 | |
Short term investments (cost $4,780 and $2,868, respectively) | | | 4,780 | | | | 2,868 | |
Fixed income securities (cost $203,653,599 and $212,532,087, respectively) | | | 203,906,525 | | | | 212,096,650 | |
Net unrealized gain on open forward currency contracts | | | 0 | | | | 8,367,386 | |
Interest receivable | | | 635,953 | | | | 865,914 | |
Total assets | | $ | 316,235,558 | | | $ | 345,837,743 | |
| | | | | | | | |
LIABILITIES | | | | | | | | |
Accounts payable | | $ | 327,900 | | | $ | 315,936 | |
Management fee payable | | | 995,719 | | | | 1,104,485 | |
Net unrealized loss on open forward currency contracts | | | 2,663,677 | | | | 0 | |
Accrued commissions and other trading fees on open contracts | | | 183,841 | | | | 65,526 | |
Offering costs payable | | | 114,869 | | | | 126,325 | |
Redemptions payable | | | 2,442,931 | | | | 10,333,537 | |
Total liabilities | | | 6,728,937 | | | | 11,945,809 | |
| | | | | | | | |
UNITHOLDERS’ CAPITAL (Net Asset Value) | | | | | | | | |
Series A Units - Redeemable | | | | | | | | |
Other Unitholders - 95,005.038 and 111,488.756 units outstanding at December 31, 2019 and December 31, 2018 | | | 243,974,281 | | | | 265,715,642 | |
Series B Units – Redeemable | | | | | | | | |
Other Unitholders - 13,005.349 and 15,779.825 units outstanding at December 31, 2019 and December 31, 2018 | | | 36,551,654 | | | | 40,954,227 | |
Series D Units – Redeemable | | | | | | | | |
Other Unitholders - 3,366.350 and 1,569.589 units outstanding at December 31, 2019 and December 31, 2018 | | | 3,507,300 | | | | 1,517,078 | |
Series W Units – Redeemable | | | | | | | | |
Other Unitholders - 8,389.889 and 9,306.953 units outstanding at December 31, 2019 and December 31, 2018 | | | 25,473,386 | | | | 25,704,987 | |
Total unitholders’ capital (Net Asset Value) | | | 309,506,621 | | | | 333,891,934 | |
Total liabilities and unitholders’ capital (Net Asset Value) | | $ | 316,235,558 | | | $ | 345,837,743 | |
| | 2021
| | | 2020
| | | 2019
| |
TRADING GAINS (LOSSES) | | | | | | | | | |
Futures trading gains (losses) | | | | | | | | | |
Realized | | $ | 35,560,622 | | | $ | (17,868,713 | ) | | $ | 59,284,141 | |
Change in unrealized | | | (9,108,166 | ) | | | 17,841,256 | | | | (13,825,128 | ) |
Brokerage commissions | | | (2,195,564 | ) | | | (2,279,106 | ) | | | (2,033,950 | ) |
Net gain (loss) from futures trading | | | 24,256,892 | | | | (2,306,563 | ) | | | 43,425,063 | |
| | | | | | | | | | | | |
Forward currency trading gains (losses) | | | | | | | | | | | | |
Realized | | | 26,828,250 | | | | 8,601,490 | | | | 98,082 | |
Change in unrealized | | | (4,104,694 | ) | | | 4,990,396 | | | | (11,031,063 | ) |
Brokerage commissions | | | (327,260 | ) | | | (191,737 | ) | | | (264,320 | ) |
Net gain (loss) from forward currency trading | | | 22,396,296 | | | | 13,400,149 | | | | (11,197,301 | ) |
| | | | | | | | | | | | |
Swap trading gains (losses) | | | | | | | | | | | | |
Realized | | | 1,344,538 | | | | (722,569 | ) | | | 0 | |
Change in unrealized | | | (1,459,952 | ) | | | 1,494,129 | | | | 0 | |
Net gain (loss) from swap trading | | | (115,414 | ) | | | 771,560 | | | | 0 | |
Total net trading gain (loss) | | | 46,537,774 | | | | 11,865,146 | | | | 32,227,762 | |
| | | | | | | | | | | | |
NET INVESTMENT INCOME (LOSS) | | | | | | | | | | | | |
Investment income | | | | | | | | | | | | |
Interest income | | | 759,462 | | | | 3,088,249 | | | | 7,783,398 | |
Realized gain (loss) on fixed income securities | | | (107,345 | ) | | | 53,315 | | | | 17,516 | |
Change in unrealized gain (loss) on fixed income securities | | | (436,117 | ) | | | 98,479 | | | | 698,278 | |
Total investment income (loss) | | | 216,000 | | | | 3,240,043 | | | | 8,499,192 | |
| | | | | | | | | | | | |
Expenses | | | | | | | | | | | | |
Management fee | | | 5,813,446 | | | | 8,472,866 | | | | 12,792,990 | |
Performance fee | | | 54,801 | | | | 0 | | | | 21,165 | |
Operating expenses | | | 827,947 | | | | 865,291 | | | | 1,045,001 | |
Sales commission | | | 5,162,106 | | | | 2,990,891 | | | | 0 | |
Total expenses | | | 11,858,300 | | | | 12,329,048 | | | | 13,859,156 | |
Net investment income (loss) | | | (11,642,300 | ) | | | (9,089,005 | ) | | | (5,359,964 | ) |
NET INCOME (LOSS) | | $ | 34,895,474 | | | $ | 2,776,141 | | | $ | 26,867,798 | |
| | | | | | | | | | | | |
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT | | | | | | | | | | | | |
(based on weighted average number of units outstanding during the year) | | | | | | | | | | | | |
Series A | | $ | 335.69 | | | $ | 20.10 | | | $ | 206.88 | |
Series B | | $ | 377.58 | | | $ | 16.90 | | | $ | 229.60 | |
Series D | | $ | 133.84 | | | $ | 16.02 | | | $ | 7.56 | |
Series W | | $ | 462.17 | | | $ | 77.63 | | | $ | 296.97 | |
| | | | | | | | | | | | |
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT | | | | | | | | | | | | |
Series A | | $ | 323.00 | | | $ | 11.94 | | | $ | 184.67 | |
Series B | | $ | 371.33 | | | $ | 27.27 | | | $ | 215.16 | |
Series D | | $ | 135.96 | | | $ | 18.05 | | | $ | 75.33 | |
Series W | | $ | 460.56 | | | $ | 75.92 | | | $ | 274.29 | |
| | | | | | | | | | | | |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE YEAR
| | | | | | | | | | | | |
Series A | | | 78,287.000 | | | | 91,231.644 | | | | 101,873.281 | |
Series B | | | 10,810.165 | | | | 12,412.838 | | | | 13,936.620 | |
Series D | | | 5,079.642 | | | | 4,347.817 | | | | 1,923.132 | |
Series W | | | 8,338.105 | | | | 8,541.151 | | | | 8,679.578 | |
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
STATEMENTS OF
OPERATIONSCASH FLOWSFOR THE YEARS ENDED DECEMBER 31, 2019, 20182021, 2020 AND 20172019
| | 2019 | | | 2018 | | | 2017 | |
TRADING GAINS (LOSSES) | | | | | | | | | |
Futures trading gains (losses) | | | | | | | | | |
Realized | | $ | 59,284,141 | | | $ | (41,063,148 | ) | | $ | 66,030,994 | |
Change in unrealized | | | (13,825,128 | ) | | | (3,309,269 | ) | | | 5,322,374 | |
Brokerage commissions | | | (2,033,950 | ) | | | (1,883,439 | ) | | | (2,870,975 | ) |
Net gain (loss) from futures trading | | | 43,425,063 | | | | (46,255,856 | ) | | | 68,482,393 | |
| | | | | | | | | | | | |
Forward currency trading gains (losses) | | | | | | | | | | | | |
Realized | | | 98,082 | | | | 7,468,040 | | | | (31,295,280 | ) |
Change in unrealized | | | (11,031,063 | ) | | | 5,265,522 | | | | (2,785,471 | ) |
Brokerage commissions | | | (264,320 | ) | | | (158,621 | ) | | | (143,438 | ) |
Net gain (loss) from forward currency trading | | | (11,197,301 | ) | | | 12,574,941 | | | | (34,224,189 | ) |
Total net trading gain (loss) | | | 32,227,762 | | | | (33,680,915 | ) | | | 34,258,204 | |
| | | | | | | | | | | | |
NET INVESTMENT INCOME (LOSS) | | | | | | | | | | | | |
Investment income | | | | | | | | | | | | |
Interest income | | | 7,783,398 | | | | 9,144,196 | | | | 7,357,870 | |
Realized gain (loss) on fixed income securities | | | 17,516 | | | | (68,489 | ) | | | 28,191 | |
Change in unrealized gain (loss) on fixed income securities | | | 698,278 | | | | (329,773 | ) | | | (176,663 | ) |
Total investment income | | | 8,499,192 | | | | 8,745,934 | | | | 7,209,398 | |
| | | | | | | | | | | | |
Expenses | | | | | | | | | | | | |
Management fee | | | 12,792,990 | | | | 16,863,539 | | | | 24,073,819 | |
Service fee | | | 0 | | | | 0 | | | | 25,238 | |
Performance fee | | | 21,165 | | | | 0 | | | | 3,207 | |
Operating expenses | | | 1,045,001 | | | | 1,083,249 | | | | 1,312,796 | |
Total expenses | | | 13,859,156 | | | | 17,946,788 | | | | 25,415,060 | |
Net investment income (loss) | | | (5,359,964 | ) | | | (9,200,854 | ) | | | (18,205,662 | ) |
NET INCOME (LOSS) | | $ | 26,867,798 | | | $ | (42,881,769 | ) | | $ | 16,052,542 | |
| | | | | | | | | | | | |
NET INCOME (LOSS) PER OTHER | | | | | | | | | | | | |
UNITHOLDERS’ UNIT (1) | | | | | | | | | | | | |
(based on weighted average number of units outstanding during the year) | | | | | | | | | | | | |
Series A | | $ | 206.88 | | | $ | (241.12 | ) | | $ | 55.84 | |
Series B | | $ | 229.60 | | | $ | (268.63 | ) | | $ | 64.98 | |
Series D | | $ | 7.56 | | | $ | (55.90 | ) | | $ | 38.87 | |
Series W | | $ | 296.97 | | | $ | (226.75 | ) | | $ | 147.87 | |
| | | | | | | | | | | | |
INCREASE (DECREASE) IN NET ASSET VALUE | | | | | | | | | | | | |
PER OTHER UNITHOLDERS’ UNIT (1) | | | | | | | | | | | | |
Series A | | $ | 184.67 | | | $ | (236.45 | ) | | $ | 65.85 | |
Series B | | $ | 215.16 | | | $ | (246.07 | ) | | $ | 85.28 | |
Series D | | $ | 75.33 | | | $ | (85.71 | ) | | $ | 52.25 | |
Series W | | $ | 274.29 | | | $ | (216.72 | ) | | $ | 131.44 | |
| | | | | | | | | | | | |
WEIGHTED AVERAGE NUMBER OF UNITS | | | | | | | | | | | | |
OUTSTANDING DURING THE YEAR (1) | | | | | | | | | | | | |
Series A | | | 101,873.281 | | | | 136,862.599 | | | | 190,971.399 | |
Series B | | | 13,936.620 | | | | 20,850.911 | | | | 30,486.440 | |
Series D | | | 1,923.132 | | | | 1,054.474 | | | | 164.537 | |
Series W | | | 8,679.578 | | | | 18,617.272 | | | | 22,999.170 | |
| | 2021
| | | 2020
| | | 2019
| |
Cash flows from (for) operating activities | | | | | | | | | |
Net income (loss) | | $ | 34,895,474 | | | $ | 2,776,141 | | | $ | 26,867,798 | |
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | | | | | | | | | | | | |
Net change in unrealized on futures, forwards, swaps and investments | | | 15,108,929 | | | | (24,424,260 | ) | | | 24,157,913 | |
(Increase) decrease in interest receivable | | | 37,319 | | | | 438,293 | | | | 229,961 | |
(Increase) decrease in due from swaps broker | | | (15,724 | ) | | | (45,134 | ) | | | 0 | |
Increase (decrease) in accounts payable and accrued expenses | | | (10,783 | ) | | | (377,358 | ) | | | 21,513 | |
Net purchases from swap broker | | | (1,620,569 | ) | | | 912,546 | | | | 0 | |
Purchases of investments | | | (2,759,726,909 | ) | | | (2,493,212,413 | ) | | | (3,432,774,078 | ) |
Sales/maturities of investments | | | 2,751,307,966 | | | | 2,545,114,712 | | | | 3,439,092,248 | |
Net cash from (for) operating activities | | | 39,975,703 | | | | 31,182,527 | | | | 57,595,355 | |
| | | | | | | | | | | | |
Cash flows from (for) financing activities | | | | | | | | | | | | |
Addition of units | | | 18,704,677 | | | | 9,681,771 | | | | 17,036,486 | |
Redemption of units | | | (39,903,054 | ) | | | (37,108,487 | ) | | | (74,709,778 | ) |
Offering costs paid | | | (1,280,159 | ) | | | (1,338,999 | ) | | | (1,481,881 | ) |
Net cash from (for) financing activities | | | (22,478,536 | ) | | | (28,765,715 | ) | | | (59,155,173 | ) |
| | | | | | | | | | | | |
Net increase (decrease) in cash, cash equivalents and restricted cash | | | 17,497,167 | | | | 2,416,812 | | | | (1,559,818 | ) |
| | | | | | | | | | | | |
Cash, cash equivalents and restricted cash at beginning of year
| | | 68,603,522 | | | | 66,186,710 | | | | 67,746,528 | |
Cash, cash equivalents and restricted cash at end of year
| | $ | 86,100,689 | | | $ | 68,603,522 | | | $ | 66,186,710 | |
(1) | Series D Units commenced trading on October 1, 2017
|
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
STATEMENTS OF CASH FLOWS
FOR THE YEARS ENDED DECEMBER 31, 2019, 2018 AND 2017 | | 2019 | | | 2018 | | | 2017 | |
Cash flows from (for) operating activities | | | | | | | | | |
Net income (loss) | | $ | 26,867,798 | | | $ | (42,881,769 | ) | | $ | 16,052,542 | |
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | | | | | | | | | | | | |
Net change in unrealized on futures, forwards and investments | | | 24,157,913 | | | | (1,626,480 | ) | | | (2,360,240 | ) |
(Increase) decrease in interest receivable | | | 229,961 | | | | 85,383 | | | | 246,139 | |
Increase (decrease) in accounts payable and accrued expenses | | | 21,513 | | | | (667,896 | ) | | | (799,541 | ) |
Purchases of investments | | | (3,432,774,078 | ) | | | (4,845,927,971 | ) | | | (7,174,807,190 | ) |
Sales/maturities of investments | | | 3,439,092,248 | | | | 5,076,894,272 | | | | 7,396,586,326 | |
Net cash from (for) operating activities | | | 57,595,355 | | | | 185,875,539 | | | | 234,918,036 | |
| | | | | | | | | | | | |
Cash flows from (for) financing activities | | | | | | | | | | | | |
Addition of units | | | 17,036,486 | | | | 24,249,599 | | | | 24,768,797 | |
Redemption of units | | | (74,709,778 | ) | | | (190,372,928 | ) | | | (254,787,739 | ) |
Offering costs paid | | | (1,481,881 | ) | | | (1,685,691 | ) | | | (2,830,682 | ) |
Net cash from (for) financing activities | | | (59,155,173 | ) | | | (167,809,020 | ) | | | (232,849,624 | ) |
| | | | | | | | | | | | |
Net increase (decrease) in cash, cash equivalents and restricted cash | | | (1,559,818 | ) | | | 18,066,519 | | | | 2,068,412 | |
| | | | | | | | | | | | |
Cash, cash equivalents and restricted cash at beginning of year | | | 67,746,528 | | | | 49,680,009 | | | | 47,611,597 | |
Cash, cash equivalents and restricted cash at end of year | | $ | 66,186,710 | | | $ | 67,746,528 | | | $ | 49,680,009 | |
The following table provides a reconciliation of cash, cash equivalents and restricted cash reported within the Statements of Financial Condition that sum to the total of the same such amounts shown in the Statements of Cash Flows.
| | 2019 | | | 2018 | | | 2017 | | | 2021
| | 2020
| | 2019
| |
Cash, cash equivalents and restricted cash at end of year consists of: | | | | | | | | | | |
Cash in futures brokers trading accounts | | $ | 15,751,729 | | | $ | 29,264,709 | | | $ | 46,914,581 | | |
Restricted cash in futures brokers trading accounts | | 4,648,990 | | | 0 | | | 936,583 | | |
Cash, cash equivalents and restricted cash at end of year consist of: | | | | | | | | | | |
Equity in futures brokers trading accounts: | | | | | | | | | | |
Cash | | | $ | 33,259,944 | | | $ | 18,771,895 | | | $ | 15,751,729 | |
Restricted cash | | | 2,296,459 | | | 0 | | | 4,648,990 | |
Cash and cash equivalents | | 15,970,752 | | | 22,653,467 | | | 1,828,845 | | | 2,650,894 | | | 2,026,150 | | | 1,136,488 | |
Cash at interbank market maker | | | 11,026,620 | | | 13,343,832 | | | 14,834,264 | |
Restricted cash at interbank market maker | | | 29,815,239 | | | | 15,828,352 | | | | 0 | | | 26,299,559 | | | 19,627,499 | | | 29,815,239 | |
Cash at swaps broker | | | 9,578,262 | | | 6,495,743 | | | 0 | |
Restricted cash at swaps broker | | | | 988,951 | | | | 8,338,403 | | | | 0 | |
Total cash, cash equivalents and restricted cash at end of year | | $ | 66,186,710 | | | $ | 67,746,528 | | | $ | 49,680,009 | | | $ | 86,100,689 | | | $ | 68,603,522 | | | $ | 66,186,710 | |
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
STATEMENT OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)
FOR THE YEARS ENDED DECEMBER 31, 2019, 20182021, 2020 AND 20172019
| | Series A - Other Unitholders | | | Series B - Other Unitholders | |
| | Units | | | Amount | | | Units | | | Amount | |
Balances at December 31, 2018 | | | 111,488.756 | | | $ | 265,715,642 | | | | 15,779.825 | | | $ | 40,954,227 | |
Net income (loss) | | | | | | | 21,075,846 | | | | | | | | 3,199,864 | |
Additions | | | 5,196.680 | | | | 13,815,772 | | | | 29.109
| | | | 78,844 | |
Redemptions | | | (21,680.398 | ) | | | (55,305,132 | ) | | | (2,803.585 | ) | | | (7,681,281 | ) |
Offering costs | | | | | | | (1,327,847 | ) | | | | | | | 0 | |
Balances at December 31, 2019 | | | 95,005.038 | | | $ | 243,974,281 | | | | 13,005.349 | | | $ | 36,551,654 | |
| | | | | | | | | | | | | | | | |
Net income (loss) | | | | | | | 1,833,660 | | | | | | | | 209,773 | |
Additions | | | 1,637.034 | | | | 4,286,188 | | | | 15.956 | | | | 43,330 | |
Redemptions | | | (12,716.611 | ) | | | (32,394,079 | ) | | | (1,640.319 | ) | | | (4,508,001 | ) |
Offering costs | | | | | | | (1,176,207 | ) | | | | | | | 0 | |
Balances at December 31, 2020 | | | 83,925.461 | | | $ | 216,523,843 | | | | 11,380.986 | | | $ | 32,296,756 | |
| | | | | | | | | | | | | | | | |
Net income (loss) | | | | | | | 26,280,321 | | | | | | | | 4,081,664 | |
Additions | | | 3,009.738 | | | | 8,654,342 | | | | 26.358 | | | | 82,258 | |
Redemptions | | | (10,206.996 | ) | | | (27,610,361 | ) | | | (1,159.585 | ) | | | (3,574,443 | ) |
Offering costs | | | | | | | (1,110,323 | ) | | | | | | | 0 | |
Balances at December 31, 2021 | | | 76,728.203 | | | $ | 222,737,822 | | | | 10,247.759 | | | $ | 32,886,235 | |
| | Series A - Other Unitholders | | | Series B - Other Unitholders | |
| | Units | | | Amount | | | Units | | | Amount | |
Balances at December 31, 2016 | | | 224,143.366 | | | $ | 572,449,293 | | | | 36,691.856 | | | $ | 101,127,802 | |
Net income (loss) | | | | | | | 10,664,096 | | | | | | | | 1,981,153 | |
Additions | | | 5,671.031 | | | | 14,279,057 | | | | 14.356 | | | | 40,002 | |
Redemptions | | | (74,158.124 | ) | | | (187,180,241 | ) | | | (12,096.895 | ) | | | (33,223,597 | ) |
Offering costs | | | | | | | (2,425,772 | ) | | | | | | | 0 | |
Balances at December 31, 2017 | | | 155,656.273 | | | $ | 407,786,433 | | | | 24,609.317 | | | $ | 69,925,360 | |
| | | | | | | | | | | | | | | | |
Net income (loss) | | | | | | | (33,000,037 | ) | | | | | | | (5,601,242 | ) |
Additions | | | 6,664.265 | | | | 16,077,415 | | | | 0.000 | | | | 0 | |
Redemptions | | | (50,831.782 | ) | | | (123,807,843 | ) | | | (8,829.492 | ) | | | (23,369,891 | ) |
Offering costs | | | | | | | (1,340,326 | ) | | | | | | | 0 | |
Balances at December 31, 2018 | | | 111,488.756 | | | $ | 265,715,642 | | | | 15,779.825 | | | $ | 40,954,227 | |
| | | | | | | | | | | | | | | | |
Net income (loss) | | | | | | | 21,075,846 | | | | | | | | 3,199,864 | |
Additions | | | 5,196.680 | | | | 13,815,772 | | | | 29.109 | | | | 78,844 | |
Redemptions | | | (21,680.398 | ) | | | (55,305,132 | ) | | | (2,803.585 | ) | | | (7,681,281 | ) |
Offering costs | | | | | | | (1,327,847 | ) | | | | | | | 0 | |
Balances at December 31, 2019 | | | 95,005.038 | | | $ | 243,974,281 | | | | 13,005.349 | | | $ | 36,551,654 | |
Net Asset Value per Other Unitholders’ Unit - Series A | |
December 31, 2021 | | | December 31, 2020 | | | December 31, 2019 | |
$ | 2,902.95 | | | $ | 2,579.95 | | | $ | 2,568.01 | |
Net Asset Value per Other Unitholders’ Unit - Series A | | |
| | |
December 31, 2019 | | | December 31, 2018 | | | December 31, 2017 | | |
Net Asset Value per Other Unitholders’ Unit - Series B | | Net Asset Value per Other Unitholders’ Unit - Series B | |
December 31, 2021 | | December 31, 2021 | | December 31, 2020 | | December 31, 2019 | |
$ | 2,568.01 | | | $ | 2,383.34 | | | $ | 2,619.79 | | 3,209.12 | | $ | 2,837.78 | | $ | 2,810.51 | |
| | |
Net Asset Value per Other Unitholders’ Unit - Series B | | |
| | |
December 31, 2019 | | | December 31, 2018 | | | December 31, 2017 | | |
$ | 2,810.51 | | | $ | 2,595.35 | | | $ | 2,841.42 | | |
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
STATEMENT OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)
FOR THE YEARS ENDED DECEMBER 31, 2019, 20182021, 2020 AND 20172019
| | Series D - Other Unitholders(1) | | | Series W - Other Unitholders | | | Trust | |
| | Units | | | Amount | | | Units | | | Amount | | | Total Amount | |
Balances at December 31, 2016 | | | 0.000 | | | $ | 0 | | | | 23,481.665 | | | $ | 66,856,645 | | | $ | 740,433,740 | |
Net income (loss) | | | | | | | 6,394 | | | | | | | | 3,400,899 | | | | 16,052,542 | |
Additions | | | 259.610 | | | | 267,000 | | | | 3,627.522 | | | | 10,232,738 | | | | 24,818,797 | |
Redemptions | | | 0.000 | | | | 0 | | | | (4,334.223 | ) | | | (12,323,261 | ) | | | (232,727,099 | ) |
Offering costs | | | | | | | (219 | ) | | | | | | | (328,834 | ) | | | (2,754,825 | ) |
Balances at December 31, 2017 | | | 259.610 | | | $ | 273,175 | | | | 22,774.964 | | | $ | 67,838,187 | | | $ | 545,823,155 | |
| | | | | | | | | | | | | | | | | | | | |
Net income (loss) | | | | | | | (58,946 | ) | | | | | | | (4,221,544 | ) | | | (42,881,769 | ) |
Additions | | | 1,361.229 | | | | 1,357,448 | | | | 2,393.603 | | | | 6,764,736 | | | | 24,199,599 | |
Redemptions | | | (51.250 | ) | | | (49,436 | ) | | | (15,861.614 | ) | | | (44,411,881 | ) | | | (191,639,051 | ) |
Offering costs | | | | | | | (5,163 | ) | | | | | | | (264,511 | ) | | | (1,610,000 | ) |
Balances at December 31, 2018 | | | 1,569.589 | | | $ | 1,517,078 | | | | 9,306.953 | | | $ | 25,704,987 | | | $ | 333,891,934 | |
| | | | | | | | | | | | | | | | | | | | |
Net income (loss) | | | | | | | 14,533 | | | | | | | | 2,577,555 | | | | 26,867,798 | |
Additions | | | 1,848.016 | | | | 2,039,148 | | | | 353.915 | | | | 1,102,722 | | | | 17,036,486 | |
Redemptions | | | (51.255 | ) | | | (53,221 | ) | | | (1,270.979 | ) | | | (3,779,538 | ) | | | (66,819,172 | ) |
Offering costs | | | | | | | (10,238 | ) | | | | | | | (132,340 | ) | | | (1,470,425 | ) |
Balances at December 31, 2019 | | | 3,366.350 | | | $ | 3,507,300 | | | | 8,389.889 | | | $ | 25,473,386 | | | $ | 309,506,621 | |
Net Asset Value per Other Unitholders’ Unit - Series D(1) | |
| |
December 31, 2019 | |
| December 31, 2018 | |
| December 31, 2017 | |
$ | 1,041.87 | | | $ | 966.54 | | | $ | 1,052.25 | |
| | Series D - Other Unitholders | | | Series W - Other Unitholders | | | Trust | |
| | Units | | | Amount | | | Units | | | Amount | | | Total Amount | |
Balances at December 31, 2018 | | | 1,569.589 | | | $ | 1,517,078 | | | | 9,306.953 | | | $ | 25,704,987 | | | $ | 333,891,934 | |
Net income (loss) | | | | | | | 14,533 | | | | | | | | 2,577,555 | | | | 26,867,798 | |
Additions | | | 1,848.016 | | | | 2,039,148 | | | | 353.915 | | | | 1,102,722 | | | | 17,036,486 | |
Redemptions | | | (51.255 | ) | | | (53,221 | ) | | | (1,270.979 | ) | | | (3,779,538 | ) | | | (66,819,172 | ) |
Offering costs | | | | | | | (10,238 | ) | | | | | | | (132,340 | ) | | | (1,470,425 | ) |
Balances at December 31, 2019 | | | 3,366.350 | | | $ | 3,507,300 | | | | 8,389.889 | | | $ | 25,473,386 | | | $ | 309,506,621 | |
| | | | | | | | | | | | | | | | | | | | |
Net income (loss) | | | | | | | 69,662 | | | | | | | | 663,046 | | | | 2,776,141 | |
Additions | | | 1,980.394 | | | | 2,100,222 | | | | 1,200.819 | | | | 3,752,031 | | | | 10,181,771 | |
Redemptions | | | (588.805 | ) | | | (611,407 | ) | | | (1,332.015 | ) | | | (4,055,298 | ) | | | (41,568,785 | ) |
Offering costs | | | | | | | (22,723 | ) | | | | | | | (131,126 | ) | | | (1,330,056 | ) |
Balances at December 31, 2020 | | | 4,757.939 | | | $ | 5,043,054 | | | | 8,258.693 | | | $ | 25,702,039 | | | $ | 279,565,692 | |
| | | | | | | | | | | | | | | | | | | | |
Net income (loss) | | | | | | | 679,838 | | | | | | | | 3,853,651 | | | | 34,895,474 | |
Additions | | | 2,504.957 | | | | 2,964,198 | | | | 1,836.092 | | | | 6,503,879 | | | | 18,204,677 | |
Redemptions | | | (387.332 | ) | | | (435,037 | ) | | | (708.049 | ) | | | (2,379,484 | ) | | | (33,999,325 | ) |
Offering costs | | | | | | | (29,712 | ) | | | | | | | (144,264 | ) | | | (1,284,299 | ) |
Balances at December 31, 2021 | | | 6,875.564 | | | $ | 8,222,341 | | | | 9,386.736 | | | $ | 33,535,821 | | | $ | 297,382,219 | |
Net Asset Value per Other Unitholders’ Unit - Series W | |
| |
December 31, 2019 | |
| December 31, 2018 | |
| December 31, 2017 | |
$ | 3,036.20 | | | $ | 2,761.91 | | | $ | 2,978.63 | |
Net Asset Value per Other Unitholders’ Unit - Series D | |
December 31, 2021 | | | December 31, 2020 | | | December 31, 2019 | |
$ | 1,195.88 | | | $ | 1,059.92 | | | $ | 1,041.87 | |
Net Asset Value per Other Unitholders’ Unit - Series W | |
December 31, 2021 | | | December 31, 2020 | | | December 31, 2019 | |
$ | 3,572.68 | | | $ | 3,112.12 | | | $ | 3,036.20 | |
(1) | Series D Units commenced trading on October 1, 2017
|
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
FOR THE YEARS ENDED DECEMBER 31, 2019, 20182021, 2020 AND 20172019
The following information presents per unit operating performance data and other supplemental financial data for Series A units for the years ended December 31, 2019, 20182021, 2020 and 2017.2019. This information has been derived from information presented in the financial statements.
| | Series A | | | Series A | |
| | 2019 | | | 2018 | | | 2017 | | | 2021
| | | 2020
| | | 2019
| |
Per Unit Performance | | | | | | | | | | | | | | | | | | |
(for a unit outstanding throughout the entire year) | | | | | | | | | | | | | | | | | | |
Net asset value per unit at beginning of year | | $ | 2,383.34 | | | $ | 2,619.79 | | | $ | 2,553.94 | | | $ | 2,579.95 | | | $ | 2,568.01 | | | $ | 2,383.34 | |
| | | | | | | | | | | | | | | | | | | | | |
Income (loss) from operations: | | | | | | | | | | | | | | | | | | | | | |
Total net trading gains (losses) (1) | | 243.73 | | | (169.98 | ) | | 156.57 | | | | 456.59 | | | | 107.57 | | | | 243.73 | |
Net investment income (loss) (1) | | | (46.03 | ) | | | (56.68 | ) | | | (78.02 | ) | | | (119.41 | ) | | | (82.74 | ) | | | (46.03 | ) |
Total net income (loss) from operations | | | 197.70 | | | | (226.66 | ) | | | 78.55 | | | | 337.18 | | | | 24.83 | | | | 197.70 | |
Offering costs (1) | | | (13.03 | ) | | | (9.79 | ) | | | (12.70 | ) | | | (14.18 | ) | | | (12.89 | ) | | | (13.03 | ) |
Net asset value per unit at end of year | | $ | 2,568.01 | | | $ | 2,383.34 | | | $ | 2,619.79 | | | $ | 2,902.95 | | | $ | 2,579.95 | | | $ | 2,568.01 | |
Total Return | | | 7.75 | % | | | (9.03 | )% | | | 2.58 | % | | | 12.52 | % | | | 0.46 | % | | | 7.75 | % |
| | | | | | | | | | | | | | | | | | | | | |
Supplemental Data | | | | | | | | | | | | | | | | | | | | | |
Ratios to average net asset value: | | | | | | | | | | | | | | | | | | | | | |
Expenses prior to performance fee | | 4.38 | % | | 4.29 | % | | 4.27 | % | | | 4.34 | % | | | 4.32 | % | | | 4.38 | % |
Performance fee | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % | | | 0.00% | % | | | 0.00% | % | | | 0.00% | % |
Total expenses | | | 4.38 | % | | | 4.29 | % | | | 4.27 | % | | | 4.34 | % | | | 4.32 | % | | | 4.38 | % |
Net investment income (loss) (2) | | | (1.79 | )% | | | (2.32 | )% | | | (3.12 | )% | | | (4.26 | )% | | | (3.23 | )% | | | (1.79 | )% |
Total returns are calculated based on the change in value of a unit during the year. An individual unitholder’s total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.
(1) | Net investment income (loss) per unit is calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the year. 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. |
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE YEARS ENDED DECEMBER 31, 2021, 2020 AND 2019
2019
The following information presents per unit operating performance data and other supplemental financial data for Series B units for the years ended December 31, 2021, 2020 and 2019. This information has been derived from information presented in the financial statements.
| | Series B | |
| | 2021
| | | 2020
| | | 2019
| |
Per Unit Performance | | | | | | | | | |
(for a unit outstanding throughout the entire year) | | | | | | | | | |
Net asset value per unit at beginning of year | | $ | 2,837.78 | | | $ | 2,810.51 | | | $ | 2,595.35 | |
| | | | | | | | | | | | |
Income (loss) from operations: | | | | | | | | | | | | |
Total net trading gains (losses) (1) | | | 503.00 | | | | 117.89 | | | | 265.18 | |
Net investment income (loss) (1) | | | (131.66 | ) | | | (90.62 | ) | | | (50.02 | ) |
Total net income (loss) from operations | | | 371.34 | | | | 27.27 | | | | 215.16 | |
Net asset value per unit at end of year | | $ | 3,209.12 | | | $ | 2,837.78 | | | $ | 2,810.51 | |
Total Return | | | 13.09 | % | | | 0.97 | % | | | 8.29 | % |
| | | | | | | | | | | | |
Supplemental Data | | | | | | | | | | | | |
Ratios to average net asset value: | | | | | | | | | | | | |
Expenses prior to performance fee | | | 4.34 | % | | | 4.32 | % | | | 4.38 | % |
Performance fee | | | 0.00% | % | | | 0.00% | % | | | 0.00% | % |
Total expenses | | | 4.34 | % | | | 4.32 | % | | | 4.38 | % |
Net investment income (loss) (2) | | | (4.27 | )% | | | (3.23 | )% | | | (1.79 | )% |
Total returns are calculated based on the change in value of a unit during the year. An individual unitholder’s total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.
(1) | Net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of units outstanding during the year. 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. |
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE YEARS ENDED DECEMBER 31, 2021, 2020 AND 2019
The following information presents per unit operating performance data and other supplemental financial data for Series D units for the years ended December 31, 2021, 2020 and 2019. This information has been derived from information presented in the financial statements.
| | Series D | |
| | 2021
| | | 2020
| | | 2019
| |
Per Unit Performance | | | | | | | | | |
(for a unit outstanding throughout the entire year) | | | | | | | | | |
Net asset value per unit at beginning of year | | $ | 1,059.92 | | | $ | 1,041.87 | | | $ | 966.54 | |
| | | | | | | | | | | | |
Income (loss) from operations: | | | | | | | | | | | | |
Total net trading gains (losses) (1) | | | 187.36 | | | | 44.65 | | | | 98.30 | |
Net investment income (loss) (1) | | | (45.55 | ) | | | (21.37 | ) | | | (17.65 | ) |
Total net income (loss) from operations | | | 141.81 | | | | 23.28 | | | | 80.65 | |
Offering costs (1) | | | (5.85 | ) | | | (5.23 | ) | | | (5.32 | ) |
Net asset value per unit at end of year | | $ | 1,195.88 | | | $ | 1,059.92 | | | $ | 1,041.87 | |
Total Return | | | 12.83 | % | | | 1.73 | % | | | 7.79 | % |
| | | | | | | | | | | | |
Supplemental Data | | | | | | | | | | | | |
Ratios to average net asset value: | | | | | | | | | | | | |
Expenses prior to performance fee | | | 3.00 | % | | | 3.02 | % | | | 2.93 | % |
Performance fee | | | 0.91 | % | | | 0.00 | % | | | 0.99 | % |
Total expenses | | | 3.91 | % | | | 3.02 | % | | | 3.92 | % |
Net investment income (loss) (2) | | | (2.94 | )% | | | (2.03 | )% | | | (0.60 | )% |
Total returns are calculated based on the change in value of a unit during the year. An individual unitholder’s total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.
(1) | Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) by the average number of units outstanding during the year. 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. |
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE YEARS ENDED DECEMBER 31, 2021, 2020 AND 2019
The following information presents per unit operating performance data and other supplemental financial data for Series W units for the years ended December 31, 2021, 2020 and 2019. This information has been derived from information presented in the financial statements.
| | Series W | |
| | 2021
| | | 2020
| | | 2019
| |
Per Unit Performance | | | | | | | | | |
(for a unit outstanding throughout the entire year) | | | | | | | | | |
Net asset value per unit at beginning of year | | $ | 3,112.12 | | | $ | 3,036.20 | | | $ | 2,761.91 | |
| | | | | | | | | | | | |
Income (loss) from operations: | | | | | | | | | | | | |
Total net trading gains (losses) (1) | | | 554.52 | | | | 129.07 | | | | 282.59 | |
Net investment income (loss) (1) | | | (76.66 | ) | | | (37.80 | ) | | | 6.95 | |
Total net income (loss) from operations | | | 477.86 | | | | 91.27 | | | | 289.54 | |
Offering costs (1) | | | (17.30 | ) | | | (15.35 | ) | | | (15.25 | ) |
Net asset value per unit at end of year | | $ | 3,572.68 | | | $ | 3,112.12 | | | $ | 3,036.20 | |
Total Return | | | 14.80 | % | | | 2.50 | % | | | 9.93 | % |
| | | | | | | | | | | | |
Supplemental Data | | | | | | | | | | | | |
Ratios to average net asset value: | | | | | | | | | | | | |
Expenses prior to performance fee | | | 2.29 | % | | | 2.30 | % | | | 2.34 | % |
Performance fee | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
Total expenses | | | 2.29 | % | | | 2.30 | % | | | 2.34 | % |
Net investment income (loss) (2) | | | (2.22 | )% | | | (1.24 | )% | | | 0.23 | % |
Total returns are calculated based on the change in value of a unit during the year. An individual unitholder’s total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.
(1) | Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the year. 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. |
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE YEARS ENDED DECEMBER 31, 2019, 2018 AND 2017
The following information presents per unit operating performance data and other supplemental financial data for Series B units for the years ended December 31, 2019, 2018 and 2017. This information has been derived from information presented in the financial statements.
| | Series B | |
| | 2019 | | | 2018 | | | 2017 | |
Per Unit Performance | | | | | | | | | |
(for a unit outstanding throughout the entire year) | | | | | | | | | |
Net asset value per unit at beginning of year | | $ | 2,595.35 | | | $ | 2,841.42 | | | $ | 2,756.14 | |
| | | | | | | | | | | | |
Income (loss) from operations: | | | | | | | | | | | | |
Total net trading gains (losses) (1) | | | 265.18 | | | | (184.39 | ) | | | 169.72 | |
Net investment income (loss) (1) | | | (50.02 | ) | | | (61.68 | ) | | | (84.44 | ) |
Total net income (loss) from operations | | | 215.16 | | | | (246.07 | ) | | | 85.28 | |
Net asset value per unit at end of year | | $ | 2,810.51 | | | $ | 2,595.35 | | | $ | 2,841.42 | |
Total Return | | | 8.29 | % | | | (8.66 | )% | | | 3.09 | % |
| | | | | | | | | | | | |
Supplemental Data | | | | | | | | | | | | |
Ratios to average net asset value: | | | | | | | | | | | | |
Expenses prior to performance fee | | | 4.38 | % | | | 4.29 | % | | | 4.28 | % |
Performance fee | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
Total expenses | | | 4.38 | % | | | 4.29 | % | | | 4.28 | % |
Net investment income (loss) (2) | | | (1.79 | )% | | | (2.33 | )% | | | (3.12 | )% |
Total returns are calculated based on the change in value of a unit during the year. An individual unitholder’s total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.
(1) | Net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of units outstanding during the year. 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.
|
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE YEARS ENDED DECEMBER 31, 2019, 2018 AND 2017
The following information presents per unit operating performance data and other supplemental financial data for Series D units for the years ended December 31, 2019, 2018 and for the period October 1, 2017 (commencement of trading) to December 31, 2017. This information has been derived from information presented in the financial statements.
| | Series D(1) | |
| | 2019 | | | 2018 | | | 2017 | |
Per Unit Performance | | | | | | | | | |
(for a unit outstanding throughout the entire period) | | | | | | | | | |
Net asset value per unit at beginning of period
| | $ | 966.54 | | | $ | 1,052.25 | | | $ | 1,000.00 | |
| | | | | | | | | | | | |
Income (loss) from operations: | | | | | | | | | | | | |
Total net trading gains (losses) (2) | | | 98.30 | | | | (72.14 | ) | | | 77.90 | |
Net investment income (loss) (2) | | | (17.65 | ) | | | (8.67 | ) | | | (24.32 | ) |
Total net income (loss) from operations | | | 80.65 | | | | (80.81 | ) | | | 53.58 | |
Offering costs (2) | | | (5.32 | ) | | | (4.90 | ) | | | (1.33 | ) |
Net asset value per unit at end of period
| | $ | 1,041.87 | | | $ | 966.54 | | | $ | 1,052.25 | |
Total Return | | | 7.79 | % | | | (8.15 | )% | | | 5.23 | % |
| | | | | | | | | | | | |
Supplemental Data | | | | | | | | | | | | |
Ratios to average net asset value: | | | | | | | | | | | | |
Expenses prior to performance fee(4) | | | 2.93 | % | | | 2.89 | % | | | 2.65 | % |
Performance fee | | | 0.99 | % | | | 0.00 | % | | | 1.63 | % |
Total expenses | | | 3.92 | % | | | 2.89 | % | | | 4.28 | % |
Net investment income (loss) (3)(4) | | | (0.60 | )% | | | (0.85 | )% | | | (1.62 | )% |
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) | Series D Units commenced trading on October 1, 2017.
|
(2) | 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. |
(3) | Excludes performance fee.
|
See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL HIGHLIGHTSSTATEMENTS
FOR THE YEARS ENDED DECEMBER 31, 2019, 2018 AND 20172021
The following information presents per unit operating performance data and other supplemental financial data for Series W units for the years ended December 31, 2019, 2018 and 2017. This information has been derived from information presented in the financial statements.
| | Series W | |
| | 2019 | | | 2018 | | | 2017 | |
Per Unit Performance | | | | | | | | | |
(for a unit outstanding throughout the entire year) | | | | | | | | | |
Net asset value per unit at beginning of year | | $ | 2,761.91 | | | $ | 2,978.63 | | | $ | 2,847.19 | |
| | | | | | | | | | | | |
Income (loss) from operations: | | | | | | | | | | | | |
Total net trading gains (losses) (1) | | | 282.59 | | | | (194.56 | ) | | | 177.38 | |
Net investment income (loss) (1) | | | 6.95 | | | | (7.95 | ) | | | (31.64 | ) |
Total net income (loss) from operations | | | 289.54 | | | | (202.51 | ) | | | 145.74 | |
Offering costs (1) | | | (15.25 | ) | | | (14.21 | ) | | | (14.30 | ) |
Net asset value per unit at end of year | | $ | 3,036.20 | | | $ | 2,761.91 | | | $ | 2,978.63 | |
Total Return | | | 9.93 | % | | | (7.28 | )% | | | 4.62 | % |
| | | | | | | | | | | | |
Supplemental Data | | | | | | | | | | | | |
Ratios to average net asset value: | | | | | | | | | | | | |
Expenses prior to performance fee | | | 2.34 | % | | | 2.32 | % | | | 2.25 | % |
Performance fee | | | 0.00 | % | | | 0.00 | % | | | 0.00 | % |
Total expenses | | | 2.34 | % | | | 2.32 | % | | | 2.25 | % |
Net investment income (loss) (2) | | | 0.23 | % | | | (0.29 | )% | | | (1.11 | )% |
Total returns are calculated based on the change in value of a unit during the year. An individual unitholder’s total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.
(1) | Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the year. 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.
|
See Accompanying Notes to Financial Statements.
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, and 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 1G,1.G., Note 1I,1.I., Note 2, Note 3 and Note 610 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. Net unrealizedUnrealized 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 the 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(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 by the Administrator 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.”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 and for the years ended December 31, 20192021 and December 31, 2018,2020, 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 December 31, 20192021 and December 31, 2018.2020.
| | Fair Value at December 31, 2019 | | | Fair Value at December 31, 2021 | |
Description | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | |
Short term investments | | $ | 4,780 | | | $ | 0 | | | $ | 0 | | | $ | 4,780 | | | $ | 16,805,816 | | | $ | 0 | | | $ | 0 | | | $ | 16,805,816 | |
Fixed income securities | | 0 | | | 257,548,052 | | | 0 | | | 257,548,052 | | | | 0 | | | | 197,648,591 | | | | 0 | | | | 197,648,591 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange-traded futures contracts | | (8,139,937 | ) | | 0 | | | 0 | | | (8,139,937 | ) | | | 593,153 | | | | 0 | | | | 0 | | | | 593,153 | |
Forward currency contracts | | | 0 | | | | (2,663,677 | ) | | | 0 | | | | (2,663,677 | ) | | | 0 | | | | (1,777,975 | ) | | | 0 | | | | (1,777,975 | ) |
Credit default index swap contracts | | | | 0
| | | | 3,214,681
| | | | 0
| | | | 3,214,681
| |
Total | | $ | (8,135,157 | ) | | $ | 254,884,375 | | | $ | 0 | | | $ | 246,749,218 | | | $ | 17,398,969 | | | $ | 199,085,297 | | | $ | 0 | | | $ | 216,484,266 | |
| | Fair Value at December 31, 2018 | | | Fair Value at December 31, 2020 | |
Description | | Level 1 | | | Level 2 | | | Level 3 | | | Total | | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Investments | | | | | | | | | | | | | | | | | | | | | | | | |
Short term investments | | $ | 2,868 | | | $ | 0 | | | $ | 0 | | | $ | 2,868 | | | $ | 15,831,488 | | | $ | 0 | | | $ | 0 | | | $ | 15,831,488 | |
Fixed income securities | | 0 | | | 263,169,856 | | | 0 | | | 263,169,856 | | | | 0 | | | | 190,640,094 | | | | 0 | | | | 190,640,094 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Other Financial Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Exchange-traded futures contracts | | 5,685,191 | | | 0 | | | 0 | | | 5,685,191 | | | | 9,701,319 | | | | 0 | | | | 0 | | | | 9,701,319 | |
Forward currency contracts | | | 0 | | | | 8,367,386 | | | | 0 | | | | 8,367,386 | | | | 0 | | | | 2,326,719 | | | | 0 | | | | 2,326,719 | |
Credit default index swap contracts | | | | 0 | | | | 2,611,165 | | | | 0 | | | | 2,611,165 | |
Interest rate swap contracts | | | | 0
| | | | 809,670
| | | | 0
| | | | 809,670
| |
Total | | $ | 5,688,059 | | | $ | 271,537,242 | | | $ | 0 | | | $ | 277,225,301 | | | $ | 25,532,807 | | | $ | 196,387,648 | | | $ | 0 | | | $ | 221,920,455 | |
The gross presentation of the fair value of the Trust’s derivatives by instrument type is shown in Note 10.12. 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 information 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 no0 reserves for uncertain tax positions were required. There are no0 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 20162018 through 20192021 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.
G. Offering Costs
Campbell & Company, LP (“Campbell & Company”) has incurred all costs in connection with the initial and continuous offering of units of the Trust (“offering costs”). Series A units, Series D units and Series W units will each bear the offering costs incurred in relation to the offering of Series A units, Series D units and Series W units, respectively. Offering costs are charged to Series A, Series D and Series W at a monthly rate of 1/12 of 0.5%% (0.5% annualized) of each Series’ month-end net asset value (as defined in the Declaration of Trust and Trust Agreement) until such amounts are fully reimbursed. Such amounts are charged directly to unitholders’ capital. Series A, Series D and Series W are only liable for payment of offering costs on a monthly basis. The offering costs allocable to the Series B units are borne by Campbell & Company.
If the Trust terminates prior to completion of payment to Campbell & Company for the unreimbursed offering costs incurred through the date of such termination, Campbell & Company will not be entitled to any additional payments, and Series A units, Series D units and Series W units will have no further obligation to Campbell & Company. At December 31, 20192021 and 2018,December 31, 2020, the amount of unreimbursed offering costs incurred by Campbell & Company is $245,152$270,988 and $116,422$258,084 for Series A units, $78,736$106,480 and $53,235$94,736 for Series D units and $240,264$285,076 and $215,298$258,866 for Series W units, respectively.
H. Foreign Currency Transactions
The Trust’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income.
I. Allocations
Income or loss (prior to calculation of the management fee, service 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, service fee, offering costs and performance fee applicable to such Series of units.
J. Recently Issued Accounting Pronouncements
In August 2018,April 2020, the FASB issued ASU 2018-13, Fair Value MeasurementASU-2020-04, Reference Rate Reform (Topic 820)848): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement. The primary focus of ASU 2018-13 is to improve the effectivenessFacilitation of the disclosure requirementsEffects of Reference Rate Reform on Financial Reporting to provide optional guidance for fair value measurements. The changes affect all companies that are requireda limited period of time to include fair value measurement disclosures.ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. In general,July 2017, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoptionhead of the additional disclosures, which are required for public companies only, until their effective date. Campbell & Company has adoptedUnited Kingdom Financial Conduct Authority announced the new guidance,desire to phase out the use of the London Interbank Offered Rate (“LIBOR”) and management has determined its adoption hasother Interbank offered rates (IBORs). In November 2020, United States and United Kingdom regulators made announcements planning to cease publication of overnight, one-month, three-month, six-month and one-year LIBOR and IBOR tenors after June 2023. If LIBOR and IBORs prematurely cease to exist, the Trust may need to renegotiate outstanding swaps to replace affected rates with the identified replacement rates. There is currently no material impactdefinitive information regarding the future discontinuance of LIBORs or IBORs prior to 2023. As such, the potential effect of any such event on the Trust’s financial statement disclosures.our cost of capital and net investment income cannot yet be determined.
In July 2019, the FASB issued ASU 2019-07, Codification Updates to SEC Sections – Amendments to SEC Paragraphs Pursuant to SEC Final Rule Releases No. 33-10532, Disclosure Update and Simplification, and Nos. 33-10231 and 33-10442, Investment Company Reporting Modernization, and Miscellaneous Updates. The primary focus of ASU 2019-07 is to clarify amendments made by the SEC with the intention of facilitating the disclosure of information to investors and simplifying compliance without significantly altering the total mix of information provided to investors. As a result of these amendments, an analysis of changes in equity is required for the current and comparative interim periods, with subtotals for each interim period. Campbell & Company has adopted the new guidance, and management has determined its adoption has no material impact on the Trust’s financial statement disclosures.
K. Reclassifications
Certain 2017 amounts in the Statements of Cash Flows were reclassified to conform with the adoption of ASU 2016-18 in the 2018 presentation. Specifically, restricted cash is no longer included as a cash flow from (for) operating activities; and a reconciliation of cash, cash equivalents and restricted cash to amounts on the Statements of Financial Condition is presented on a gross basis.
Certain 2018 and 2017 amounts in the Notes to the Financial Statements were reclassified to conform with the 2019 presentation. Specifically, trading gains and losses in Note 8 were reclassified to include and disclose the amounts of gains and losses on foreign currency cash balances at the futures brokers.
Note 2. MANAGING OPERATOR AND COMMODITY TRADING ADVISOR
The managing operator of the Trust is Campbell & Company which conducts and manages the business of the Trust. Campbell & Company is also the commodity trading advisor of the Trust.
Effective June 1, 2020, Series A units, Series B units, Series D units and Series BW units pay the managing operator a monthly management fee equal to 1/12 of 2%% (2% annually) of the Net Assets (as defined) of Series A units, Series B units, Series D units and Series W units as of the end of each month.
Prior to June 1, 2020, Series A units and Series B units paid the managing operator a monthly management fee equal to 1/12 of 4%% (4% annually)annually of which half, or 2%, was used to compensate selling agents for ongoing services) of the Net Assets (as defined) of Series A units and Series B units, respectively, as of the end of each month. Series D units paypaid the managing operator a monthly management fee equal to 1/12 of 2.75%% (2.75% annually)annually of which 0.75% was used to compensate selling agents) of the Net Assets (as defined) of Series D units as of the end of each month. Series W units paypaid the managing operator a monthly management fee equal to 1/12 of 2%% (2% annually) of the Net Assets (as defined) of Series W units as of the end of each month.
Each Series of units will pay the managing operator a quarterly performance fee equal to 20% of the aggregate cumulative appreciation in Net Asset Value per Unit (as defined) exclusive of appreciation attributable to interest income on a Series-by-SeriesSeries-by- Series basis.
The performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark). In determining the management fee and performance fee (the “fees”), adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The fees are typically paid in the month following the month in which they are earned. The fees are paid from the available cash at the Trust’s bank, broker or cash management custody accounts.
Note 3. SALES COMMISSION
Effective June 1, 2020, the managing operator pays an upfront sales commission based on Series A units sold by selling agents who have executed selling agreements with the Trust. The Trust pays commissions based on Series A, Series B, and Series D units. Prior to June 1, 2020 the commissions were included with the management fee and paid by the Trust to managing operator.
For Series A, there is an upfront sales commission paid by the managing operator of 2% of the subscription amount of each subscription for units. For up to twelve months after the sale of units, the managing operator will receive from the Trust a monthly reimbursement of 1/12 of 2%% (2% annually) of the current net asset value of the units the selling agent has sold and which are outstanding at the end of such month. In the event that the units are redeemed before the twelfth month, the managing operator will receive the redemption fee the Trust deducts from the redemption proceeds. In addition, commencing thirteen months after the sale of units and in return for providing ongoing services to the unitholder, the Trust will pay the selling agent (or its assignees) a monthly trail commission of 1/12 of 2%% (2% annually) of the current net asset value of the units it has sold and which are outstanding at the end of such month in respect of which the selling agent provides ongoing services.
Series B and Series D units pay a monthly trail commission of 1/12 of 2%% (2% annually) and 1/12 of 0.75%% (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.
Note 4. TRUSTEE
The trustee of the Trust is U.S. Bank National Association, a national banking corporation. The trustee has delegated to the managing operator the duty and authority to manage the business and affairs of the Trust and has only nominal duties and liabilities with respect to the Trust.
Note 4.5. ADMINISTRATOR AND TRANSFER AGENT
Northern Trust Hedge Fund Services LLC serves asEffective January 1, 2020, NAV Consulting, Inc. became the Administrator of the Trust. The Administrator receives fees at rates agreed upon between the Trust and the Administrator and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties. The Administrator’s primary responsibilities are portfolio accounting and fund accounting services.
Effective Prior to January 1, 2019, 2020, Northern Trust Hedge Fund Services LLC served as the Administrator of the Trust.
NAV Consulting, Inc. serves as the Transfer Agent forof 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.
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Table of Contents
| THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 2019
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Note 5.6. 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 hasopened 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 itsthe 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.