☑ | Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
☐ | Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
Delaware | 94-6260018 | |
(State or other jurisdiction of | (IRS Employer Identification Number) |
2850 Quarry Lake Drive | ||
Baltimore, Maryland 21209 | ||
(410) 413-2600 | ||
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||
Not applicable. | Not applicable. | Not applicable. |
Large accelerated filer ☐ | Accelerated filer ☐ | Non-accelerated filer ☑ | Smaller reporting company ☐ |
Emerging growth company ☐ |
Page | |||
PART I — FINANCIAL INFORMATION | |||
Item 1. | Financial Statements. | ||
1-4 | |||
5 | |||
6 | |||
7 | |||
8-9 | |||
10-13 | |||
Item 2. | |||
Item 3. | |||
Item 4. | |||
PART II — OTHER INFORMATION | |||
Item 1. | |||
Item 1A. | |||
Item 2. | |||
Item 3. | |||
Item 4. | |||
Item 5. | |||
Item 6. | |||
Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | ||||||||
Asset Backed Securities | |||||||||||
United States | |||||||||||
Auto Loans | $ | 17,753,372 | 5.52 | % | |||||||
Equipment Loans | 306,533 | 0.10 | % | ||||||||
Utilities | 544,119 | 0.17 | % | ||||||||
Total Asset Backed Securities (cost $18,553,654) | 18,604,024 | 5.79 | % | ||||||||
Bank Deposits | |||||||||||
United States | |||||||||||
Financials | 3,558,164 | 1.11 | % | ||||||||
Total Bank Deposits (cost $3,546,737) | 3,558,164 | 1.11 | % | ||||||||
Commercial Paper | |||||||||||
Australia | |||||||||||
Financials (cost $2,498,054) | 2,498,283 | 0.78 | % | ||||||||
Netherlands | |||||||||||
Energy (cost $2,183,527) | 2,191,369 | 0.68 | % | ||||||||
Spain | |||||||||||
Financials (cost $499,264) | 499,324 | 0.16 | % | ||||||||
Switzerland | |||||||||||
Financials (cost $3,505,422) | 3,509,331 | 1.09 | % | ||||||||
United Kingdom | |||||||||||
Financials (cost $2,025,564) | 2,026,327 | 0.63 | % | ||||||||
United States | |||||||||||
Communications | 1,882,860 | 0.59 | % | ||||||||
Consumer Discretionary | 16,357,301 | 5.10 | % | ||||||||
Consumer Staples | 5,758,881 | 1.79 | % | ||||||||
Energy | 1,495,730 | 0.47 | % | ||||||||
Financials | 25,866,304 | 8.05 | % | ||||||||
Industrials | 10,485,787 | 3.27 | % | ||||||||
Materials | 14,924,029 | 4.65 | % | ||||||||
Utilities | 23,572,289 | 7.34 | % | ||||||||
Total United States (cost $100,369,200) | 100,343,181 | 31.26 | % | ||||||||
Total Commercial Paper (cost $111,081,031) | 111,067,815 | 34.60 | % | ||||||||
Corporate Bonds | |||||||||||
Australia | |||||||||||
Financials (cost $3,585,000) | 3,390,146 | 1.06 | % | ||||||||
Canada | |||||||||||
Financials (cost $6,615,000) | 6,507,997 | 2.03 | % | ||||||||
Germany | |||||||||||
Consumer Discretionary (cost $3,813,917) | 3,684,989 | 1.15 | % | ||||||||
Switzerland | |||||||||||
Financials (cost $1,315,000) | 1,231,793 | 0.38 | % | ||||||||
United Kingdom | |||||||||||
Financials (cost $5,928,194) | 5,660,639 | 1.76 | % | ||||||||
United States | |||||||||||
Communications | 2,506,252 | 0.78 | % | ||||||||
Consumer Discretionary | 12,312,708 | 3.84 | % | ||||||||
Consumer Staples | 3,279,278 | 1.02 | % | ||||||||
Energy | 2,457,659 | 0.77 | % | ||||||||
Financials | 18,127,305 | 5.64 | % | ||||||||
Industrials | 5,897,217 | 1.84 | % | ||||||||
Materials | 874,864 | 0.27 | % | ||||||||
Technology | 5,013,434 | 1.56 | % | ||||||||
Utilities | 2,287,879 | 0.71 | % | ||||||||
Total United States (cost $53,652,821) | 52,756,596 | 16.43 | % | ||||||||
Total Corporate Bonds (cost $74,909,932) | $ | 73,232,160 | 22.81 | % |
Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | ||||||||
Asset Backed Securities | |||||||||||
United States | |||||||||||
Auto Loans | $ | 11,543,668 | 4.24 | % | |||||||
Credit Cards | 1,036,645 | 0.38 | % | ||||||||
Equipment Loans | 2,449,705 | 0.90 | % | ||||||||
Utility Rate Reduction Bonds | 17,284 | 0.01 | % | ||||||||
Total Asset Backed Securities (cost $14,947,861) | 15,047,302 | 5.53 | % | ||||||||
Bank Deposits | |||||||||||
United States | |||||||||||
Financials | 3,126,104 | 1.15 | % | ||||||||
Total Bank Deposits (cost $3,125,294) | 3,126,104 | 1.15 | % | ||||||||
Commercial Paper | |||||||||||
Australia | |||||||||||
Financials (cost $399,685) | 399,953 | 0.15 | % | ||||||||
Norway | |||||||||||
Financials (cost $1,339,302) | 1,339,526 | 0.49 | % | ||||||||
United Kingdom | |||||||||||
Financials (cost $1,363,162) | 1,363,112 | 0.50 | % | ||||||||
United States | |||||||||||
Communications | 5,601,715 | 2.06 | % | ||||||||
Consumer Discretionary | 6,517,579 | 2.40 | % | ||||||||
Consumer Staples | 2,374,292 | 0.87 | % | ||||||||
Energy | 8,102,539 | 2.98 | % | ||||||||
Financials | 34,456,178 | 12.67 | % | ||||||||
Industrials | 2,278,992 | 0.84 | % | ||||||||
Utilities | 12,568,954 | 4.62 | % | ||||||||
Total United States (cost $71,865,587) | 71,900,249 | 26.44 | % | ||||||||
Total Commercial Paper (cost $74,967,736) | 75,002,840 | 27.58 | % | ||||||||
Corporate Bonds | |||||||||||
Australia | |||||||||||
Financials (cost $3,585,000) | 3,598,849 | 1.32 | % | ||||||||
Canada | |||||||||||
Financials (cost $7,599,938) | 7,616,962 | 2.80 | % | ||||||||
Germany | |||||||||||
Consumer Discretionary (cost $3,814,278) | 3,836,865 | 1.41 | % | ||||||||
Switzerland | |||||||||||
Financials (cost $2,449,461) | 2,484,933 | 0.91 | % | ||||||||
United Kingdom | |||||||||||
Financials (cost $3,860,000) | 3,871,169 | 1.42 | % | ||||||||
United States | |||||||||||
Communications | 966,606 | 0.36 | % | ||||||||
Consumer Discretionary | 10,782,568 | 3.96 | % | ||||||||
Energy | 4,495,111 | 1.65 | % | ||||||||
Financials | 18,564,627 | 6.83 | % | ||||||||
Health Care | 1,599,609 | 0.59 | % | ||||||||
Industrials | 4,895,487 | 1.80 | % | ||||||||
Materials | 875,610 | 0.32 | % | ||||||||
Technology | 5,862,540 | 2.16 | % | ||||||||
Total United States (cost $47,748,676) | 48,042,158 | 17.67 | % | ||||||||
Total Corporate Bonds (cost $69,057,353) | $ | 69,450,936 | 25.53 | % |
Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | ||||||||
Government And Agency Obligations | |||||||||||
United States | |||||||||||
U.S. Treasury Bills | |||||||||||
$ | 8,660,000 | U.S. Treasury Bills Due 04/16/2020* | $ | 8,659,732 | 2.70 | % | |||||
$ | 27,690,000 | U.S. Treasury Bills Due 05/14/2020* | 27,687,424 | 8.63 | % | ||||||
$ | 14,092,500 | U.S. Treasury Bills Due 06/11/2020* | 14,089,963 | 4.39 | % | ||||||
Total Government And Agency Obligations (cost $50,375,523) | | 50,437,119 | 15.72 | % | |||||||
Total Fixed Income Securities ** (cost $258,466,877) | $ | 256,899,282 | 80.03 | % |
Maturity Face Value | Description | Fair Value ($) | % of Net Asset Value | ||||||||
Government and Agency Obligations | |||||||||||
United States | |||||||||||
U.S. Treasury Bills | |||||||||||
$ | 4,660,000 | U.S. Treasury Bills * Due 10/15/2020 | $ | 4,659,860 | 1.71 | % | |||||
$ | 25,125,000 | U.S. Treasury Bills * Due 11/12/2020 | 25,122,337 | 9.24 | % | ||||||
$ | 14,092,500 | U.S. Treasury Bills * Due 12/17/2020 | 14,089,710 | 5.18 | % | ||||||
Total Government and Agency Obligations (cost $43,871,616) | 43,871,907 | 16.13 | % | ||||||||
Total Fixed Income Securities ** | |||||||||||
(cost $205,969,860) | $ | 206,499,089 | 75.92 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Money Market Funds | ||||||||
United States | ||||||||
Money Market Funds (cost $8,998) | $ | 8,998 | 0.00 | % | ||||
Total Short Term Investments (cost $8,998) | $ | 8,998 | 0.00 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Agriculture | $ | 65,111 | 0.02 | % | ||||
Energy | 15,089 | 0.00 | % | |||||
Metals | (9,903,993 | ) | (3.08 | )% | ||||
Stock indices | (350,928 | ) | (0.11 | )% | ||||
Short-term interest rates | 53,859 | 0.02 | % | |||||
Long-term interest rates | 418,476 | 0.13 | % | |||||
Net unrealized gain (loss) on long futures contracts | (9,702,386 | ) | (3.02 | )% |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Agriculture | $ | 1,379,894 | 0.51 | % | ||||
Energy | (9,120 | ) | 0.00 | % | ||||
Metals | 451,282 | 0.16 | % | |||||
Stock indices | (514,745 | ) | (0.19 | )% | ||||
Short-term interest rates | 72,431 | 0.03 | % | |||||
Long-term interest rates | 1,159,312 | 0.43 | % | |||||
Net unrealized gain (loss) on long futures contracts | 2,539,054 | 0.94 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Agriculture | (3,964 | ) | 0.00 | % | ||||
Energy | 828,126 | 0.26 | % | |||||
Metals | 16,096,479 | 5.01 | % | |||||
Stock indices | (1,402,028 | ) | (0.44 | )% | ||||
Long-term interest rates | (754,214 | ) | (0.23 | )% | ||||
Net unrealized gain (loss) on short futures contracts | 14,764,399 | 4.60 | % | |||||
Net unrealized gain (loss) on open futures contracts | $ | 5,062,013 | 1.58 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Agriculture | (149,188 | ) | (0.06 | )% | ||||
Energy | 1,692,435 | 0.62 | % | |||||
Metals | 565,611 | 0.21 | % | |||||
Stock indices | (143,834 | ) | (0.05 | )% | ||||
Short-term interest rates | 69,424 | 0.03 | % | |||||
Long-term interest rates | (93,919 | ) | (0.04 | )% | ||||
Net unrealized gain (loss) on short futures contracts | 1,940,529 | 0.71 | % | |||||
Net unrealized gain (loss) on open futures contracts | $ | 4,479,583 | 1.65 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Various long forward currency contracts | $ | (29,365,939 | ) | (9.15 | )% | |||
Various short forward currency contracts | 46,697,424 | 14.55 | % | |||||
Net unrealized gain (loss) on open forward currency contracts | $ | 17,331,485 | 5.40 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Various long forward currency contracts | $ | (9,748,120 | ) | (3.58 | )% | |||
Various short forward currency contracts | 8,328,331 | 3.06 | % | |||||
Net unrealized gain (loss) on open forward currency contracts | $ | (1,419,789 | ) | (0.52 | )% |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Centrally cleared credit default index swaps - Sell protection (net cost $988,242) | $ | 828,546 | 0.30 | % | ||||
Total credit default swaps (net cost $988,242) | $ | 828,546 | 0.30 | % |
Description | Fair Value ($) | % of Net Asset Value | ||||||
Centrally cleared interest rate swaps - Receive fixed (net cost $561,006) | $ | 911,130 | 0.33 | % | ||||
Centrally cleared interest rate swaps - Pay fixed (net cost $4,695) | (2,962 | ) | 0.00 | % | ||||
Total interest rate swaps (net cost $565,701) | $ | 908,168 | 0.33 | % |
* | Pledged as collateral for the trading of futures positions. |
** | Included in fixed income securities are U.S. Treasury Bills with a fair value of |
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 | % | ||||||||
Utility Rate Reduction Bond | 544,640 | 0.18 | % | ||||||||
Total Asset Backed Securities (cost $19,601,083) | 19,676,042 | 6.36 | % | ||||||||
Bank Deposits | |||||||||||
Singapore | |||||||||||
Financials ($2,837,086) | 2,837,107 | 0.92 | % | ||||||||
United States | |||||||||||
Financials ($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 | % |
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 | % |
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 | 1.34 | % | |||||
$ | 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 | 17.32 | % | ||||||||
Total Fixed Income Securities ** (cost $257,289,099) | $ | 257,548,052 | 83.20 | % |
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 | % |
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 | )% |
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 | )% |
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 | )% |
* | Pledged as collateral for the trading of futures positions. |
** | Included in fixed income securities are U.S. Treasury Bills with a fair value of $53,641,527 deposited with the futures brokers. |
March 31, 2020 | December 31, 2019 | September 30, 2019 | December 31, 2019 | |||||||||||||
ASSETS | ||||||||||||||||
Equity in futures brokers trading accounts | ||||||||||||||||
Cash | $ | 23,138,099 | $ | 15,751,729 | $ | 16,137,322 | $ | 15,751,729 | ||||||||
Restricted cash | 1,700,164 | 4,648,990 | 566,829 | 4,648,990 | ||||||||||||
Fixed income securities (cost $50,375,523 and $53,635,500, respectively) | 50,437,119 | 53,641,527 | ||||||||||||||
Fixed income securities (cost $43,871,616 and $53,635,500, respectively) | 43,871,907 | 53,641,527 | ||||||||||||||
Net unrealized gain (loss) on open futures contracts | 5,062,013 | (8,139,937 | ) | 4,479,583 | (8,139,937 | ) | ||||||||||
Total equity in futures brokers trading accounts | 80,337,395 | 65,902,309 | 65,055,641 | 65,902,309 | ||||||||||||
Cash and cash equivalents | 26,056,850 | 15,970,752 | 1,151,191 | 1,118,945 | ||||||||||||
Cash at interbank market maker | 11,910,603 | 14,851,807 | ||||||||||||||
Restricted cash at interbank market maker | 0 | 29,815,239 | 23,420,947 | 29,815,239 | ||||||||||||
Short term investments (cost $8,998 and $4,780, respectively) | 8,998 | 4,780 | ||||||||||||||
Fixed income securities (cost $208,091,354 and $203,653,599, respectively) | 206,462,163 | 203,906,525 | ||||||||||||||
Net unrealized gain on open forward currency contracts | 17,331,485 | 0 | ||||||||||||||
Cash at swaps broker | 3,592,697 | 0 | ||||||||||||||
Restricted cash at swaps broker | 9,338,134 | 0 | ||||||||||||||
Short term investments (cost $0 and $4,780, respectively) | 0 | 4,780 | ||||||||||||||
Fixed income securities (cost $162,098,244 and $203,653,599, respectively) | 162,627,182 | 203,906,525 | ||||||||||||||
Credit default index swaps (cost $988,242 and $0, respectively) | 828,546 | 0 | ||||||||||||||
Interest rate swaps (cost $565,701 and $0, respectively) | 908,168 | 0 | ||||||||||||||
Due from swaps broker | 32,839 | 0 | ||||||||||||||
Interest receivable | 416,871 | 635,953 | 278,900 | 635,953 | ||||||||||||
Total assets | $ | 330,613,762 | $ | 316,235,558 | $ | 279,144,848 | $ | 316,235,558 | ||||||||
LIABILITIES | ||||||||||||||||
Accounts payable | $ | 307,402 | $ | 327,900 | $ | 195,062 | $ | 327,900 | ||||||||
Management fee payable | 1,035,268 | 995,719 | 461,939 | 995,719 | ||||||||||||
Payable for securities purchased | 3,194,801 | 0 | ||||||||||||||
Net unrealized loss on open forward currency contracts | 0 | 2,663,677 | ||||||||||||||
Net unrealized loss on forward currency contracts | 1,419,789 | 2,663,677 | ||||||||||||||
Accrued commissions and other trading fees on open contracts | 95,143 | 183,841 | 60,309 | 183,841 | ||||||||||||
Offering costs payable | 119,659 | 114,869 | 102,095 | 114,869 | ||||||||||||
Sales commission payable | 404,029 | 0 | ||||||||||||||
Redemptions payable | 4,859,322 | 2,442,931 | 4,521,281 | 2,442,931 | ||||||||||||
Total liabilities | 9,611,595 | 6,728,937 | 7,164,504 | 6,728,937 | ||||||||||||
UNITHOLDERS’ CAPITAL (Net Asset Value) | ||||||||||||||||
Series A Units - Redeemable | ||||||||||||||||
Other Unitholders - 93,078.451 and 95,005.038 units outstanding at March 31, 2020 and December 31, 2019 | 251,707,605 | 243,974,281 | ||||||||||||||
Series B Units – Redeemable | ||||||||||||||||
Other Unitholders - 12,765.840 and 13,005.349 units outstanding at March 31, 2020 and December 31, 2019 | 37,829,362 | 36,551,654 | ||||||||||||||
Series D Units – Redeemable | ||||||||||||||||
Other Unitholders - 3,917.158 and 3,366.350 units outstanding at March 31, 2020 and December 31, 2019 | 4,311,179 | 3,507,300 | ||||||||||||||
Series W Units – Redeemable | ||||||||||||||||
Other Unitholders - 8,450.378 and 8,389.889 units outstanding at March 31, 2020 and December 31, 2019 | 27,154,021 | 25,473,386 | ||||||||||||||
Other Unitholders - 88,379.280 and 95,005.038 units outstanding at September 30, 2020 and December 31, 2019 | 210,687,834 | 243,974,281 | ||||||||||||||
Series B Units - Redeemable | ||||||||||||||||
Other Unitholders - 11,973.383 and 13,005.349 units outstanding at September 30, 2020 and December 31, 2019 | 31,356,539 | 36,551,654 | ||||||||||||||
Series D Units - Redeemable | ||||||||||||||||
Other Unitholders - 5,010.803 and 3,366.350 units outstanding at September 30, 2020 and December 31, 2019 | 4,892,124 | 3,507,300 | ||||||||||||||
Series W Units - Redeemable | ||||||||||||||||
Other Unitholders - 8,752.772 and 8,389.889 units outstanding at September 30, 2020 and December 31, 2019 | 25,043,847 | 25,473,386 | ||||||||||||||
Total unitholders’ capital (Net Asset Value) | 321,002,167 | 309,506,621 | 271,980,344 | 309,506,621 | ||||||||||||
Total liabilities and unitholders’ capital (Net Asset Value) | $ | 330,613,762 | $ | 316,235,558 | $ | 279,144,848 | $ | 316,235,558 |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | 2020 | 2019 | |||||||||||||||||||
TRADING GAINS (LOSSES) | ||||||||||||||||||||||||
Futures trading gains (losses) | ||||||||||||||||||||||||
Realized | $ | (17,005,356 | ) | $ | 11,332,347 | $ | (14,195,388 | ) | $ | 30,127,764 | $ | (31,779,232 | ) | $ | 68,472,848 | |||||||||
Change in unrealized | 13,201,950 | 7,608,895 | 2,984,104 | (10,072,681 | ) | 12,619,520 | (5,644,585 | ) | ||||||||||||||||
Brokerage commissions | (593,239 | ) | (510,955 | ) | (631,218 | ) | (470,721 | ) | (1,683,521 | ) | (1,491,863 | ) | ||||||||||||
Net gain (loss) from futures trading | (4,396,645 | ) | 18,430,287 | (11,842,502 | ) | 19,584,362 | (20,843,233 | ) | 61,336,400 | |||||||||||||||
Forward currency trading gains (losses) | ||||||||||||||||||||||||
Realized | 5,155,862 | 7,832,537 | (6,854,797 | ) | (573,244 | ) | 5,916,594 | 3,800,316 | ||||||||||||||||
Change in unrealized | 19,995,162 | (11,358,215 | ) | 2,286,601 | 5,440,788 | 1,243,888 | (5,569,805 | ) | ||||||||||||||||
Brokerage commissions | (40,206 | ) | (67,001 | ) | (56,133 | ) | (56,975 | ) | (144,436 | ) | (208,988 | ) | ||||||||||||
Net gain (loss) from forward currency trading | 25,110,818 | (3,592,679 | ) | (4,624,329 | ) | 4,810,569 | 7,016,046 | (1,978,477 | ) | |||||||||||||||
Swap trading gains (losses) | ||||||||||||||||||||||||
Realized | 525,424 | 0 | 525,424 | 0 | ||||||||||||||||||||
Change in unrealized | 182,771 | 0 | 182,771 | 0 | ||||||||||||||||||||
Net gain (loss) from swap trading | 708,195 | 0 | 708,195 | 0 | ||||||||||||||||||||
Total net trading gain (loss) | 20,714,173 | 14,837,608 | (15,758,636 | ) | 24,394,931 | (13,118,992 | ) | 59,357,923 | ||||||||||||||||
NET INVESTMENT INCOME (LOSS) | ||||||||||||||||||||||||
Investment income (loss) | ||||||||||||||||||||||||
Investment income | ||||||||||||||||||||||||
Interest income | 1,451,917 | 2,035,444 | 438,509 | 1,963,269 | 2,770,031 | 6,063,413 | ||||||||||||||||||
Realized gain (loss) on fixed income securities | 13,325 | 518 | 37,264 | 10,418 | 65,675 | 14,468 | ||||||||||||||||||
Change in unrealized gain (loss) on fixed income securities | (1,826,548 | ) | 457,530 | (91,915 | ) | 39,047 | 270,276 | 709,628 | ||||||||||||||||
Total investment income (loss) | (361,306 | ) | 2,493,492 | |||||||||||||||||||||
Total investment income | 383,858 | 2,012,734 | 3,105,982 | 6,787,509 | ||||||||||||||||||||
Expenses | ||||||||||||||||||||||||
Management fee | 3,135,806 | 3,169,297 | 1,428,214 | 3,359,726 | 7,077,889 | 9,695,861 | ||||||||||||||||||
Performance fee | 0 | 21,165 | 0 | 21,165 | ||||||||||||||||||||
Operating expenses | 229,608 | 263,524 | 239,824 | 273,180 | 706,390 | 800,984 | ||||||||||||||||||
Sales commission | 1,285,066 | 0 | 1,738,565 | 0 | ||||||||||||||||||||
Total expenses | 3,365,414 | 3,432,821 | 2,953,104 | 3,654,071 | 9,522,844 | 10,518,010 | ||||||||||||||||||
Net investment income (loss) | (3,726,720 | ) | (939,329 | ) | (2,569,246 | ) | (1,641,337 | ) | (6,416,862 | ) | (3,730,501 | ) | ||||||||||||
NET INCOME (LOSS) | $ | 16,987,453 | $ | 13,898,279 | $ | (18,327,882 | ) | $ | 22,753,594 | $ | (19,535,854 | ) | $ | 55,627,422 | ||||||||||
NET INCOME (LOSS) PER OTHER UNITHOLDERS’ UNIT | ||||||||||||||||||||||||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT | ||||||||||||||||||||||||
(based on weighted average number of units outstanding during the period) | ||||||||||||||||||||||||
Series A | $ | 140.53 | $ | 100.68 | $ | (158.43 | ) | $ | 182.38 | $ | (166.55 | ) | $ | 425.47 | ||||||||||
Series B | $ | 153.56 | $ | 106.90 | $ | (173.13 | ) | $ | 201.33 | $ | (181.64 | ) | $ | 463.18 | ||||||||||
Series D | $ | 54.93 | $ | 45.29 | $ | (62.26 | ) | $ | 54.96 | $ | (83.13 | ) | $ | 164.08 | ||||||||||
Series W | $ | 180.16 | $ | 133.18 | $ | (175.47 | ) | $ | 230.00 | $ | (172.20 | ) | $ | 544.22 | ||||||||||
INCREASE (DECREASE) IN NET ASSET VALUE PER OTHER UNITHOLDERS’ UNIT | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT | ||||||||||||||||||||||||
Series A | $ | 136.24 | $ | 100.41 | $ | (161.64 | ) | $ | 178.01 | $ | (184.10 | ) | $ | 424.18 | ||||||||||
Series B | $ | 152.82 | $ | 113.23 | $ | (174.07 | ) | $ | 198.18 | $ | (191.66 | ) | $ | 473.43 | ||||||||||
Series D | $ | 58.72 | $ | 44.07 | $ | (62.93 | ) | $ | 62.39 | $ | (65.55 | ) | $ | 168.93 | ||||||||||
Series W | $ | 177.15 | $ | 131.35 | $ | (178.73 | ) | $ | 224.89 | $ | (174.95 | ) | $ | 540.86 | ||||||||||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD | ||||||||||||||||||||||||
Series A | 94,522.042 | 108,849.717 | 90,597.713 | 98,909.779 | 92,561.559 | 103,422.686 | ||||||||||||||||||
Series B | 12,972.774 | 15,312.285 | 12,370.216 | 13,322.219 | 12,672.240 | 14,214.142 | ||||||||||||||||||
Series D | 3,629.866 | 1,569.589 | 4,754.203 | 1,724.770 | 4,146.531 | 1,609.926 | ||||||||||||||||||
Series W | 8,395.537 | 9,241.854 | 8,757.813 | 8,422.307 | 8,556.163 | 8,776.466 |
Three Months Ended March 31, | Nine Months Ended September 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Cash flows from (for) operating activities | ||||||||||||||||
Net income (loss) | $ | 16,987,453 | $ | 13,898,279 | $ | (19,535,854 | ) | $ | 55,627,422 | |||||||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | ||||||||||||||||
Net change in unrealized on futures, forwards and investments | (31,370,564 | ) | 3,291,790 | |||||||||||||
Net change in unrealized on futures, forwards, swaps and investments | (14,316,455 | ) | 10,504,762 | |||||||||||||
(Increase) decrease in interest receivable | 219,082 | 269,470 | 357,053 | 267,540 | ||||||||||||
Increase (decrease) in payable for securities purchased | 3,194,801 | 1,895,106 | ||||||||||||||
(Increase) decrease in due from swaps broker | (32,839 | ) | 0 | |||||||||||||
Increase (decrease) in accounts payable and accrued expenses | (69,647 | ) | 19,124 | (386,121 | ) | 50,756 | ||||||||||
Payments for swap contracts | (11,120,872 | ) | 0 | |||||||||||||
Proceeds from swap contracts | 9,566,929 | 0 | ||||||||||||||
Purchases of investments | (805,520,518 | ) | (902,961,960 | ) | (1,912,501,506 | ) | (1,287,177,662 | ) | ||||||||
Sales/maturities of investments | 804,338,522 | 910,393,255 | 1,963,825,525 | 1,284,874,509 | ||||||||||||
Net cash from (for) operating activities | (12,220,871 | ) | 26,805,064 | 15,855,860 | 64,147,327 | |||||||||||
Cash flows from (for) financing activities | ||||||||||||||||
Addition of units | 3,220,581 | 1,088,823 | 8,610,446 | 11,853,876 | ||||||||||||
Redemption of units | (5,934,095 | ) | (27,107,021 | ) | (23,501,498 | ) | (64,014,197 | ) | ||||||||
Offering costs paid | (357,212 | ) | (366,791 | ) | (1,033,795 | ) | (1,111,234 | ) | ||||||||
Net cash from (for) financing activities | (3,070,726 | ) | (26,384,989 | ) | (15,924,847 | ) | (53,271,555 | ) | ||||||||
Net increase (decrease) in cash, cash equivalents and restricted cash | (15,291,597 | ) | 420,075 | (68,987 | ) | 10,875,772 | ||||||||||
Cash, cash equivalents and restricted cash at beginning of period | 66,186,710 | 67,746,528 | 66,186,710 | 67,746,528 | ||||||||||||
Cash, cash equivalents and restricted cash at end of period | $ | 50,895,113 | $ | 68,166,603 | $ | 66,117,723 | $ | 78,622,300 |
March 31, 2020 | December 31, 2019 | September 30, 2020 | December 31, 2019 | |||||||||||||
Cash, cash equivalents and restricted cash at end of period consists of: | ||||||||||||||||
Cash in futures brokers trading accounts | $ | 23,138,099 | $ | 15,751,729 | ||||||||||||
Restricted cash in futures brokers trading accounts | 1,700,164 | 4,648,990 | ||||||||||||||
Equity in futures brokers trading accounts: | ||||||||||||||||
Cash | $ | 16,137,322 | $ | 15,751,729 | ||||||||||||
Restricted cash | 566,829 | 4,648,990 | ||||||||||||||
Cash and cash equivalents | 26,056,850 | 15,970,752 | 1,151,191 | 1,118,945 | ||||||||||||
Cash at interbank market maker | 11,910,603 | 14,851,807 | ||||||||||||||
Restricted cash at interbank market maker | 0 | 29,815,239 | 23,420,947 | 29,815,239 | ||||||||||||
Cash at swaps broker | 3,592,697 | 0 | ||||||||||||||
Restricted cash at swaps broker | 9,338,134 | 0 | ||||||||||||||
Total cash, cash equivalents and restricted cash at end of period | $ | 50,895,113 | $ | 66,186,710 | $ | 66,117,723 | $ | 66,186,710 |
Series A - Other Unitholders | Series B - Other Unitholders | Series A - Other Unitholders | Series B - Other Unitholders | |||||||||||||||||||||||||||||
Units | Amount | Units | Amount | Units | Amount | Units | Amount | |||||||||||||||||||||||||
Three Months Ended March 31, 2020 | ||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2020 | ||||||||||||||||||||||||||||||||
Balances at December 31, 2019 | 95,005.038 | $ | 243,974,281 | 13,005.349 | $ | 36,551,654 | 95,005.038 | $ | 243,974,281 | 13,005.349 | $ | 36,551,654 | ||||||||||||||||||||
Net income (loss) for the three months ended March 31, 2020 | 13,283,425 | 1,992,123 | 13,283,425 | 1,992,123 | ||||||||||||||||||||||||||||
Additions | 380.679 | 1,036,884 | 0.000 | 0 | 380.679 | 1,036,884 | 0.000 | 0 | ||||||||||||||||||||||||
Redemptions | (2,307.266 | ) | (6,263,995 | ) | (239.509 | ) | (714,415 | ) | (2,307.266 | ) | (6,263,995 | ) | (239.509 | ) | (714,415 | ) | ||||||||||||||||
Offering costs | (322,990 | ) | 0 | (322,990 | ) | 0 | ||||||||||||||||||||||||||
Balances at March 31, 2020 | 93,078.451 | $ | 251,707,605 | 12,765.840 | $ | 37,829,362 | 93,078.451 | $ | 251,707,605 | 12,765.840 | $ | 37,829,362 | ||||||||||||||||||||
Three Months Ended March 31, 2019 | ||||||||||||||||||||||||||||||||
Net income (loss) for the three months ended June 30, 2020 | (14,345,960 | ) | (2,152,270 | ) | ||||||||||||||||||||||||||||
Additions | 783.671 | 2,071,421 | 2.349 | 6,564 | ||||||||||||||||||||||||||||
Redemptions | (2,458.985 | ) | (6,456,980 | ) | (184.065 | ) | (537,159 | ) | ||||||||||||||||||||||||
Offering costs | (304,760 | ) | 0 | |||||||||||||||||||||||||||||
Balances at June 30, 2020 | 91,403.137 | $ | 232,671,326 | 12,584.124 | $ | 35,146,497 | ||||||||||||||||||||||||||
Net income (loss) for the three months ended September 30, 2020 | (14,353,400 | ) | (2,141,697 | ) | ||||||||||||||||||||||||||||
Additions | 159.755 | 390,582 | 6.992 | 18,750 | ||||||||||||||||||||||||||||
Redemptions | (3,183.612 | ) | (7,743,225 | ) | (617.733 | ) | (1,667,011 | ) | ||||||||||||||||||||||||
Offering costs | (277,449 | ) | 0 | |||||||||||||||||||||||||||||
Balances at September 30, 2020 | 88,379.280 | $ | 210,687,834 | 11,973.383 | $ | 31,356,539 | ||||||||||||||||||||||||||
Nine Months Ended September 30, 2019 | ||||||||||||||||||||||||||||||||
Balances at December 31, 2018 | 111,488.756 | $ | 265,715,642 | 15,779.825 | $ | 40,954,227 | 111,488.756 | $ | 265,715,642 | 15,779.825 | $ | 40,954,227 | ||||||||||||||||||||
Net income (loss) for the three months ended March 31, 2019 | 10,959,406 | 1,636,947 | 10,959,406 | 1,636,947 | ||||||||||||||||||||||||||||
Additions | 402.786 | 966,271 | 29.109 | 78,844 | 402.786 | 966,271 | 29.109 | 78,844 | ||||||||||||||||||||||||
Redemptions | (8,230.105 | ) | (19,795,854 | ) | (1,684.043 | ) | (4,411,610 | ) | (8,230.105 | ) | (19,795,854 | ) | (1,684.043 | ) | (4,411,610 | ) | ||||||||||||||||
Offering costs | (376,105 | ) | 0 | (376,105 | ) | 0 | ||||||||||||||||||||||||||
Balances at March 31, 2019 | 103,661.437 | $ | 257,469,360 | 14,124.891 | $ | 38,258,408 | 103,661.437 | $ | 257,469,360 | 14,124.891 | $ | 38,258,408 | ||||||||||||||||||||
Net income (loss) for the three months ended June 30, 2019 | 15,004,346 | 2,264,553 | ||||||||||||||||||||||||||||||
Additions | 2,299.229 | 5,873,079 | 0.000 | 0 | ||||||||||||||||||||||||||||
Redemptions | (6,398.768 | ) | (16,266,862 | ) | (643.330 | ) | (1,822,852 | ) | ||||||||||||||||||||||||
Offering costs | (281,414 | ) | 0 | |||||||||||||||||||||||||||||
Balances at June 30, 2019 | 99,561.898 | $ | 261,798,509 | 13,481.561 | $ | 38,700,109 | ||||||||||||||||||||||||||
Net income (loss) for the three months ended September 30, 2019 | 18,039,515 | 2,682,188 | ||||||||||||||||||||||||||||||
Additions | 1,804.464 | 5,154,277 | 0.000 | 0 | ||||||||||||||||||||||||||||
Redemptions | (3,331.196 | ) | (9,407,495 | ) | (369.314 | ) | (1,143,746 | ) | ||||||||||||||||||||||||
Offering costs | (349,413 | ) | 0 | |||||||||||||||||||||||||||||
Balances at September 30, 2019 | 98,035.166 | $ | 275,235,393 | 13,112.247 | $ | 40,238,551 |
Net Asset Value per Other Unitholders’ Unit - Series A | ||||||||||||||
March 31, 2020 | December 31, 2019 | March 31, 2019 | December 31, 2018 | |||||||||||
$ | 2,704.25 | $ | 2,568.01 | $ | 2,483.75 | $ | 2,383.34 |
Net Asset Value per Other Unitholders’ Unit - Series A | Net Asset Value per Other Unitholders’ Unit - Series A | |||||||||||||||||||||||||||
September 30, 2020 | June 30, 2020 | March 31, 2020 | December 31, 2019 | |||||||||||||||||||||||||
$ | 2,383.91 | $ | 2,545.55 | $ | 2,704.25 | $ | 2,568.01 | |||||||||||||||||||||
September 30, 2019 | June 30, 2019 | March 31, 2019 | December 31, 2018 | |||||||||||||||||||||||||
$ | 2,807.52 | $ | 2,629.51 | $ | 2,483.75 | $ | 2,383.34 | |||||||||||||||||||||
Net Asset Value per Other Unitholders’ Unit - Series B | Net Asset Value per Other Unitholders’ Unit - Series B | Net Asset Value per Other Unitholders’ Unit - Series B | ||||||||||||||||||||||||||
September 30, 2020 | June 30, 2020 | March 31, 2020 | December 31, 2019 | |||||||||||||||||||||||||
March 31, 2020 | December 31, 2019 | March 31, 2019 | December 31, 2018 | |||||||||||||||||||||||||
$ | 2,963.33 | $ | 2,810.51 | $ | 2,708.58 | $ | 2,595.35 | 2,618.85 | $ | 2,792.92 | $ | 2,963.33 | $ | 2,810.51 | ||||||||||||||
September 30, 2019 | June 30, 2019 | March 31, 2019 | December 31, 2018 | |||||||||||||||||||||||||
$ | 3,068.78 | $ | 2,870.60 | $ | 2,708.58 | $ | 2,595.35 |
Series D - Other Unitholders | Series W - Other Unitholders | Trust | Series D - Other Unitholders | Series W - Other Unitholders | Trust | |||||||||||||||||||||||||||||||||||
Units | Amount | Units | Amount | Total Amount | Units | Amount | Units | Amount | Total Amount | |||||||||||||||||||||||||||||||
Three Months Ended March 31, 2020 | ||||||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2020 | ||||||||||||||||||||||||||||||||||||||||
Balances at December 31, 2019 | 3,366.350 | $ | 3,507,300 | 8,389.889 | $ | 25,473,386 | $ | 309,506,621 | 3,366.350 | $ | 3,507,300 | 8,389.889 | $ | 25,473,386 | $ | 309,506,621 | ||||||||||||||||||||||||
Net income (loss) for the three months ended March 31, 2020 | 199,390 | 1,512,515 | 16,987,453 | 199,390 | 1,512,515 | 16,987,453 | ||||||||||||||||||||||||||||||||||
Additions | 645.496 | 713,740 | 454.565 | 1,469,957 | 3,220,581 | 645.496 | 713,740 | 454.565 | 1,469,957 | 3,220,581 | ||||||||||||||||||||||||||||||
Redemptions | (94.688 | ) | (104,213 | ) | (394.076 | ) | (1,267,863 | ) | (8,350,486 | ) | (94.688 | ) | (104,213 | ) | (394.076 | ) | (1,267,863 | ) | (8,350,486 | ) | ||||||||||||||||||||
Offering costs | (5,038 | ) | (33,974 | ) | (362,002 | ) | (5,038 | ) | (33,974 | ) | (362,002 | ) | ||||||||||||||||||||||||||||
Balances at March 31, 2020 | 3,917.158 | $ | 4,311,179 | 8,450.378 | $ | 27,154,021 | $ | 321,002,167 | 3,917.158 | $ | 4,311,179 | 8,450.378 | $ | 27,154,021 | $ | 321,002,167 | ||||||||||||||||||||||||
Three Months Ended March 31, 2019 | ||||||||||||||||||||||||||||||||||||||||
Net income (loss) for the three months ended June 30, 2020 | (248,077 | ) | (1,449,118 | ) | (18,195,425 | ) | ||||||||||||||||||||||||||||||||||
Additions | 815.382 | 866,454 | 308.715 | 969,559 | 3,913,998 | |||||||||||||||||||||||||||||||||||
Redemptions | (99.350 | ) | (109,065 | ) | (81.679 | ) | (261,959 | ) | (7,365,163 | ) | ||||||||||||||||||||||||||||||
Offering costs | (5,435 | ) | (33,359 | ) | (343,554 | ) | ||||||||||||||||||||||||||||||||||
Balances at June 30, 2020 | 4,633.190 | $ | 4,815,056 | 8,677.414 | $ | 26,379,144 | $ | 299,012,023 | ||||||||||||||||||||||||||||||||
Net income (loss) for the three months ended September 30, 2020 | (296,012 | ) | (1,536,773 | ) | (18,327,882 | ) | ||||||||||||||||||||||||||||||||||
Additions | 377.613 | 379,026 | 231.505 | 687,509 | 1,475,867 | |||||||||||||||||||||||||||||||||||
Redemptions | 0.000 | 0 | (156.147 | ) | (453,963 | ) | (9,864,199 | ) | ||||||||||||||||||||||||||||||||
Offering costs | (5,946 | ) | (32,070 | ) | (315,465 | ) | ||||||||||||||||||||||||||||||||||
Balances at September 30, 2020 | 5,010.803 | $ | 4,892,124 | 8,752.772 | $ | 25,043,847 | $ | 271,980,344 | ||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2019 | ||||||||||||||||||||||||||||||||||||||||
Balances at December 31, 2018 | 1,569.589 | $ | 1,517,078 | 9,306.953 | $ | 25,704,987 | $ | 333,891,934 | 1,569.589 | $ | 1,517,078 | 9,306.953 | $ | 25,704,987 | $ | 333,891,934 | ||||||||||||||||||||||||
Net income (loss) for the three months ended March 31, 2019 | 71,088 | 1,230,838 | 13,898,279 | 71,088 | 1,230,838 | 13,898,279 | ||||||||||||||||||||||||||||||||||
Additions | 0.000 | 0 | 16.012 | 43,708 | 1,088,823 | 0.000 | 0 | 16.012 | 43,708 | 1,088,823 | ||||||||||||||||||||||||||||||
Redemptions | 0.000 | 0 | (521.852 | ) | (1,483,217 | ) | (25,690,681 | ) | 0.000 | 0 | (521.852 | ) | (1,483,217 | ) | (25,690,681 | ) | ||||||||||||||||||||||||
Offering costs | (1,923 | ) | (32,369 | ) | (410,397 | ) | (1,923 | ) | (32,369 | ) | (410,397 | ) | ||||||||||||||||||||||||||||
Balances at March 31, 2019 | 1,569.589 | $ | 1,586,243 | 8,801.113 | $ | 25,463,947 | $ | 322,777,958 | 1,569.589 | $ | 1,586,243 | 8,801.113 | $ | 25,463,947 | $ | 322,777,958 | ||||||||||||||||||||||||
Net income (loss) for the three months ended June 30, 2019 | 98,275 | 1,608,375 | 18,975,549 | |||||||||||||||||||||||||||||||||||||
Additions | 45.684 | 49,023 | 63.879 | 190,008 | 6,112,110 | |||||||||||||||||||||||||||||||||||
Redemptions | (51.255 | ) | (53,220 | ) | (431.580 | ) | (1,272,851 | ) | (19,415,785 | ) | ||||||||||||||||||||||||||||||
Offering costs | (2,009 | ) | (32,463 | ) | (315,886 | ) | ||||||||||||||||||||||||||||||||||
Balances at June 30, 2019 | 1,564.018 | $ | 1,678,312 | 8,433.412 | $ | 25,957,016 | $ | 328,133,946 | ||||||||||||||||||||||||||||||||
Net income (loss) for the three months ended September 30, 2019 | 94,797 | 1,937,094 | 22,753,594 | |||||||||||||||||||||||||||||||||||||
Additions | 819.067 | 935,309 | 61.448 | 202,023 | 6,291,609 | |||||||||||||||||||||||||||||||||||
Redemptions | 0.000 | 0 | (154.739 | ) | (515,786 | ) | (11,067,027 | ) | ||||||||||||||||||||||||||||||||
Offering costs | (2,487 | ) | (34,887 | ) | (386,787 | ) | ||||||||||||||||||||||||||||||||||
Balances at September 30, 2019 | 2,383.085 | $ | 2,705,931 | 8,340.121 | $ | 27,545,460 | $ | 345,725,335 |
Net Asset Value per Other Unitholders’ Unit - Series D | ||||||||||||||
March 31, 2020 | December 31, 2019 | March 31, 2019 | December 31, 2018 | |||||||||||
$ | 1,100.59 | $ | 1,041.87 | $ | 1,010.61 | $ | 966.54 |
Net Asset Value per Other Unitholders’ Unit - Series D | Net Asset Value per Other Unitholders’ Unit - Series D | |||||||||||||||||||||||||||
September 30, 2020 | June 30, 2020 | March 31, 2020 | December 31, 2019 | |||||||||||||||||||||||||
$ | 976.32 | $ | 1,039.25 | $ | 1,100.59 | $ | 1,041.87 | |||||||||||||||||||||
September 30, 2019 | June 30, 2019 | March 31, 2019 | December 31, 2018 | |||||||||||||||||||||||||
$ | 1,135.47 | $ | 1,073.08 | $ | 1,010.61 | $ | 966.54 | |||||||||||||||||||||
Net Asset Value per Other Unitholders’ Unit - Series W | Net Asset Value per Other Unitholders’ Unit - Series W | Net Asset Value per Other Unitholders’ Unit - Series W | ||||||||||||||||||||||||||
September 30, 2020 | June 30, 2020 | March 31, 2020 | December 31, 2019 | |||||||||||||||||||||||||
March 31, 2020 | December 31, 2019 | March 31, 2019 | December 31, 2018 | |||||||||||||||||||||||||
$ | 3,213.35 | $ | 3,036.20 | $ | 2,893.26 | $ | 2,761.91 | 2,861.25 | $ | 3,039.98 | $ | 3,213.35 | $ | 3,036.20 | ||||||||||||||
September 30, 2019 | June 30, 2019 | March 31, 2019 | December 31, 2018 | |||||||||||||||||||||||||
$ | 3,302.77 | $ | 3,077.88 | $ | 2,893.26 | $ | 2,761.91 |
Series A | Series A | |||||||||||||||||||||||
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2020 | 2019 | 2020 | 2019 | 2020 | 2019 | |||||||||||||||||||
Per Unit Performance | ||||||||||||||||||||||||
(for a unit outstanding throughout the entire period) | ||||||||||||||||||||||||
Net asset value per unit at beginning of period | $ | 2,568.01 | $ | 2,383.34 | $ | 2,545.55 | $ | 2,629.51 | $ | 2,568.01 | $ | 2,383.34 | ||||||||||||
Income (loss) from operations: | ||||||||||||||||||||||||
Total net trading gains (losses) (1) | 171.88 | 111.71 | (135.32 | ) | 195.78 | (116.40 | ) | 465.70 | ||||||||||||||||
Net investment income (loss) (1) | (32.22 | ) | (7.84 | ) | (23.26 | ) | (14.24 | ) | (57.92 | ) | (31.78 | ) | ||||||||||||
Total net income (loss) from operations | 139.66 | 103.87 | (158.58 | ) | 181.54 | (174.32 | ) | 433.92 | ||||||||||||||||
Offering costs (1) | (3.42 | ) | (3.46 | ) | (3.06 | ) | (3.53 | ) | (9.78 | ) | (9.74 | ) | ||||||||||||
Net asset value per unit at end of period | $ | 2,704.25 | $ | 2,483.75 | $ | 2,383.91 | $ | 2,807.52 | $ | 2,383.91 | $ | 2,807.52 | ||||||||||||
Total Return(4) | 5.31 | % | 4.21 | % | (6.35 | )% | 6.77 | % | (7.17 | )% | 17.80 | % | ||||||||||||
Supplemental Data | ||||||||||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||||||||||
Expenses prior to performance fee (3) | 4.36 | % | 4.37 | % | 4.31 | % | 4.41 | % | 4.34 | % | 4.39 | % | ||||||||||||
Performance fee (4) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||||||
Total expenses | 4.36 | % | 4.37 | % | 4.31 | % | 4.41 | % | 4.34 | % | 4.39 | % | ||||||||||||
Net investment income (loss) (2),(3) | (4.80 | )% | (1.31 | )% | (3.78 | )% | (2.06 | )% | (2.98 | )% | (1.66 | )% |
Series B | ||||||||
Three Months Ended March 31, | ||||||||
2020 | 2019 | |||||||
Per Unit Performance | ||||||||
(for a unit outstanding throughout the entire period) | ||||||||
Net asset value per unit at beginning of period | $ | 2,810.51 | $ | 2,595.35 | ||||
Income (loss) from operations: | ||||||||
Total net trading gains (losses) (1) | 188.08 | 121.76 | ||||||
Net investment income (loss) (1) | (35.26 | ) | (8.53 | ) | ||||
Total net income (loss) from operations | 152.82 | 113.23 | ||||||
Net asset value per unit at end of period | $ | 2,963.33 | $ | 2,708.58 | ||||
Total Return(4) | 5.44 | % | 4.36 | % | ||||
Supplemental Data | ||||||||
Ratios to average net asset value: | ||||||||
Expenses prior to performance fee(3) | 4.36 | % | 4.40 | % | ||||
Performance fee(4) | 0.00 | % | 0.00 | % | ||||
Total expenses | 4.36 | % | 4.40 | % | ||||
Net investment income (loss) (2),(3) | (4.80 | )% | (1.32 | )% |
Series D | ||||||||
Three Months Ended March 31, | ||||||||
2020 | 2019 | |||||||
Per Unit Performance | ||||||||
(for a unit outstanding throughout the entire period) | ||||||||
Net asset value per unit at beginning of period | $ | 1,041.87 | $ | 966.54 | ||||
Income (loss) from operations: | ||||||||
Total net trading gains (losses) (1) | 70.16 | 45.44 | ||||||
Net investment income (loss) (1) | (10.05 | ) | (0.14 | ) | ||||
Total net income (loss) from operations | 60.11 | 45.30 | ||||||
Offering costs (1) | (1.39 | ) | (1.23 | ) | ||||
Net asset value per unit at end of period | $ | 1,100.59 | $ | 1,010.61 | ||||
Total Return(4) | 5.64 | % | 4.56 | % | ||||
Supplemental Data | ||||||||
Ratios to average net asset value: | ||||||||
Expenses prior to performance fee(3) | 3.04 | % | 3.09 | % | ||||
Performance fee(4) | 0.00 | % | 0.00 | % | ||||
Total expenses | 3.04 | % | 3.09 | % | ||||
Net investment income (loss) (2),(3) | (3.64 | )% | (0.06 | )% |
Series W | ||||||||
Three Months Ended March 31, | ||||||||
2020 | 2019 | |||||||
Per Unit Performance | ||||||||
(for a unit outstanding throughout the entire period) | ||||||||
Net asset value per unit at beginning of period | $ | 3,036.20 | $ | 2,761.91 | ||||
Income (loss) from operations: | ||||||||
Total net trading gains (losses) (1) | 203.49 | 129.99 | ||||||
Net investment income (loss) (1) | (22.29 | ) | 4.86 | |||||
Total net income (loss) from operations | 181.20 | 134.85 | ||||||
Offering costs (1) | (4.05 | ) | (3.50 | ) | ||||
Net asset value per unit at end of period | $ | 3,213.35 | $ | 2,893.26 | ||||
Total Return(4) | 5.83 | % | 4.76 | % | ||||
Supplemental Data | ||||||||
Ratios to average net asset value: | ||||||||
Expenses prior to performance fee(3) | 2.32 | % | 2.34 | % | ||||
Performance fee(4) | 0.00 | % | 0.00 | % | ||||
Total expenses | 2.32 | % | 2.34 | % | ||||
Net investment income (loss) (2),(3) | (2.80 | )% | 0.70 | % |
(1) | Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. |
(2) | Excludes performance fee. |
(3) | Annualized. |
(4) | Not |
Series B | ||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Per Unit Performance | ||||||||||||||||
(for a unit outstanding throughout the entire period) | ||||||||||||||||
Net asset value per unit at beginning of period | $ | 2,792.92 | $ | 2,870.60 | $ | 2,810.51 | $ | 2,595.35 | ||||||||
Income (loss) from operations: | ||||||||||||||||
Total net trading gains (losses) (1) | (148.54 | ) | 213.72 | (128.19 | ) | 507.92 | ||||||||||
Net investment income (loss) (1) | (25.53 | ) | (15.54 | ) | (63.47 | ) | (34.49 | ) | ||||||||
Total net income (loss) from operations | (174.07 | ) | 198.18 | (191.66 | ) | 473.43 | ||||||||||
Net asset value per unit at end of period | $ | 2,618.85 | $ | 3,068.78 | $ | 2,618.85 | $ | 3,068.78 | ||||||||
Total Return (4) | (6.23 | )% | 6.90 | % | (6.82 | )% | 18.24 | % | ||||||||
Supplemental Data | ||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||
Expenses prior to performance fee (3) | 4.32 | % | 4.42 | % | 4.34 | % | 4.40 | % | ||||||||
Performance fee (4) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Total expenses | 4.32 | % | 4.42 | % | 4.34 | % | 4.40 | % | ||||||||
Net investment income (loss) (2),(3) | (3.78 | )% | (2.06 | )% | (2.98 | )% | (1.66 | )% |
(1) | Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. |
(2) | Excludes performance fee. |
(3) | Annualized. |
(4) | Not Annualized. |
Series D | ||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Per Unit Performance | ||||||||||||||||
(for a unit outstanding throughout the entire period) | ||||||||||||||||
Net asset value per unit at beginning of period | $ | 1,039.25 | $ | 1,073.08 | $ | 1,041.87 | $ | 966.54 | ||||||||
Income (loss) from operations: | ||||||||||||||||
Total net trading gains (losses) (1) | (55.29 | ) | 78.37 | (47.66 | ) | 189.39 | ||||||||||
Net investment income (loss) (1) | (6.39 | ) | (14.54 | ) | (13.93 | ) | (16.47 | ) | ||||||||
Total net income (loss) from operations | (61.68 | ) | 63.83 | (61.59 | ) | 172.92 | ||||||||||
Offering costs (1) | (1.25 | ) | (1.44 | ) | (3.96 | ) | (3.99 | ) | ||||||||
Net asset value per unit at end of period | $ | 976.32 | $ | 1,135.47 | $ | 976.32 | $ | 1,135.47 | ||||||||
Total Return (4) | (6.06 | )% | 5.81 | % | (6.29 | )% | 17.48 | % | ||||||||
Supplemental Data | ||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||
Expenses prior to performance fee (3) | 3.05 | % | 3.04 | % | 3.02 | % | 3.04 | % | ||||||||
Performance fee (4) | 0.00 | % | 1.06 | % | 0.00 | % | 1.23 | % | ||||||||
Total expenses | 3.05 | % | 4.10 | % | 3.02 | % | 4.27 | % | ||||||||
Net investment income (loss) (2),(3) | (2.52 | )% | (0.78 | )% | (1.74 | )% | (0.41 | )% |
(1) | Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. |
(2) | Excludes performance fee. |
(3) | Annualized. |
(4) | Not Annualized. |
Series W | ||||||||||||||||
Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||
2020 | 2019 | 2020 | 2019 | |||||||||||||
Per Unit Performance | ||||||||||||||||
(for a unit outstanding throughout the entire period) | ||||||||||||||||
Net asset value per unit at beginning of period | $ | 3,039.98 | $ | 3,077.88 | $ | 3,036.20 | $ | 2,761.91 | ||||||||
Income (loss) from operations: | ||||||||||||||||
Total net trading gains (losses) (1) | (161.88 | ) | 229.15 | (140.69 | ) | 543.94 | ||||||||||
Net investment income (loss) (1) | (13.19 | ) | (0.12 | ) | (22.64 | ) | 8.28 | |||||||||
Total net income (loss) from operations | (175.07 | ) | 229.03 | (163.33 | ) | 552.22 | ||||||||||
Offering costs (1) | (3.66 | ) | (4.14 | ) | (11.62 | ) | (11.36 | ) | ||||||||
Net asset value per unit at end of period | $ | 2,861.25 | $ | 3,302.77 | $ | 2,861.25 | $ | 3,302.77 | ||||||||
Total Return (4) | (5.88 | )% | 7.31 | % | (5.76 | )% | 19.58 | % | ||||||||
Supplemental Data | ||||||||||||||||
Ratios to average net asset value: | ||||||||||||||||
Expenses prior to performance fee (3) | 2.31 | % | 2.36 | % | 2.31 | % | 2.36 | % | ||||||||
Performance fee (4) | 0.00 | % | 0.00 | % | 0.00 | % | 0.00 | % | ||||||||
Total expenses | 2.31 | % | 2.36 | % | 2.31 | % | 2.36 | % | ||||||||
Net investment income (loss) (2),(3) | (1.78 | )% | (0.02 | )% | (0.97 | )% | 0.37 | % |
(1) | Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. |
(2) | Excludes performance fee. |
(3) | Annualized. |
(4) | Not Annualized. |
Table of Contents |
THE CAMPBELL FUND TRUST NOTES TO FINANCIAL STATEMENTS |
Fair Value at March 31, 2020 | Fair Value at September 30, 2020 | |||||||||||||||||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||||||||||
Short term investments | $ | 8,998 | $ | 0 | $ | 0 | $ | 8,998 | ||||||||||||||||||||||||
Fixed income securities | 0 | 256,899,282 | 0 | 256,899,282 | $ | 0 | $ | 206,499,089 | $ | 0 | $ | 206,499,089 | ||||||||||||||||||||
Other Financial Instruments | ||||||||||||||||||||||||||||||||
Exchange-traded futures contracts | 5,062,013 | 0 | 0 | 5,062,013 | 4,479,583 | 0 | 0 | 4,479,583 | ||||||||||||||||||||||||
Forward currency contracts | 0 | 17,331,485 | 0 | 17,331,485 | 0 | (1,419,789 | ) | 0 | (1,419,789 | ) | ||||||||||||||||||||||
Credit default index swap contracts | 0 | 828,546 | 0 | 828,546 | ||||||||||||||||||||||||||||
Interest rate swap contracts | 0 | 908,168 | 0 | 908,168 | ||||||||||||||||||||||||||||
Total | $ | 5,071,011 | $ | 274,230,767 | $ | 0 | $ | 279,301,778 | $ | 4,479,583 | $ | 206,816,014 | $ | 0 | $ | 211,295,597 |
Fair Value at December 31, 2019 | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Short term investments | $ | 4,780 | $ | 0 | $ | 0 | $ | 4,780 | ||||||||
Fixed income securities | 0 | 257,548,052 | 0 | 257,548,052 | ||||||||||||
Other Financial Instruments | ||||||||||||||||
Exchange-traded futures contracts | (8,139,937 | ) | 0 | 0 | (8,139,937 | ) | ||||||||||
Forward currency contracts | 0 | (2,663,677 | ) | 0 | (2,663,677 | ) | ||||||||||
Total | $ | (8,135,157 | ) | $ | 254,884,375 | $ | 0 | $ | 246,749,218 |
September 30, 2020 | December 31, 2019 | |||||||
Credit Default Index Swaps | Maturity Date: December 2025 | Not Applicable | ||||||
Investment grade | $ | 41,068,155 | $ | 0 | ||||
Non-investment grade | $ | 27,045,773 | $ | 0 | ||||
Total | $ | 68,113,928 | $ | 0 |
Table of Contents |
THE CAMPBELL FUND TRUST NOTES TO FINANCIAL STATEMENTS |
Type of Instrument * | Statements of Financial Condition Location | Asset Derivatives at March 31, 2020 Fair Value | Liability Derivatives at March 31, 2020 Fair Value | Net | Statements of Financial Condition Location | Asset Derivatives at September 30, 2020 Fair Value | Liability Derivatives at September 30, 2020 Fair Value | Net | ||||||||||||||||||||
Agriculture Contracts | Net unrealized gain (loss) on open futures contracts | $ | 500,486 | $ | (439,339 | ) | $ | 61,147 | Net unrealized gain (loss) on open futures contracts | $ | 1,585,973 | $ | (355,267 | ) | $ | 1,230,706 | ||||||||||||
Energy Contracts | Net unrealized gain (loss) on open futures contracts | 850,234 | (7,019 | ) | 843,215 | Net unrealized gain (loss) on open futures contracts | 1,784,870 | (101,555 | ) | 1,683,315 | ||||||||||||||||||
Metal Contracts | Net unrealized gain (loss) on open futures contracts | 16,772,328 | (10,579,842 | ) | 6,192,486 | Net unrealized gain (loss) on open futures contracts | 4,076,724 | (3,059,831 | ) | 1,016,893 | ||||||||||||||||||
Stock Indices Contracts | Net unrealized gain (loss) on open futures contracts | 139,119 | (1,892,075 | ) | (1,752,956 | ) | Net unrealized gain (loss) on open futures contracts | 802,296 | (1,460,875 | ) | (658,579 | ) | ||||||||||||||||
Short-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 268,261 | (214,402 | ) | 53,859 | Net unrealized gain (loss) on open futures contracts | 176,731 | (34,877 | ) | 141,854 | ||||||||||||||||||
Long-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 1,007,114 | (1,342,852 | ) | (335,738 | ) | Net unrealized gain (loss) on open futures contracts | 1,621,221 | (555,827 | ) | 1,065,394 | |||||||||||||||||
Forward Currency Contracts | Net unrealized gain (loss) on open Forward Currency Contracts | 54,499,080 | (37,167,595 | ) | 17,331,485 | Net unrealized gain (loss) on open Forward Currency Contracts | 13,975,697 | (15,395,486 | ) | (1,419,789 | ) | |||||||||||||||||
Credit Default Index Swap Contracts | Credit default index swaps | 1,576,178 | (747,632 | ) | 828,546 | |||||||||||||||||||||||
Interest Rate Swap Contracts | Interest rate swaps | 1,078,458 | (170,290 | ) | 908,168 | |||||||||||||||||||||||
Totals | $ | 74,036,622 | $ | (51,643,124 | ) | $ | 22,393,498 | $ | 26,678,148 | $ | (21,881,640 | ) | $ | 4,796,508 |
Type of Instrument * | Statements of Financial Condition Location | Asset Derivatives at December 31, 2019 Fair Value | Liability Derivatives at December 31, 2019 Fair Value | Net | Statements of Financial Condition Location | Asset Derivatives at December 31, 2019 Fair Value | Liability Derivatives at December 31, 2019 Fair Value | Net | ||||||||||||||||||||
Agriculture Contracts | Net unrealized gain (loss) on open futures contracts | $ | 193,039 | $ | (2,931,321 | ) | $ | (2,738,282 | ) | Net unrealized gain (loss) on open futures contracts | $ | 193,039 | $ | (2,931,321 | ) | $ | (2,738,282 | ) | ||||||||||
Energy Contracts | Net unrealized gain (loss) on open futures contracts | 1,761,936 | (275,743 | ) | 1,486,193 | Net unrealized gain (loss) on open futures contracts | 1,761,936 | (275,743 | ) | 1,486,193 | ||||||||||||||||||
Metal Contracts | Net unrealized gain (loss) on open futures contracts | 5,593,742 | (8,006,981 | ) | (2,413,239 | ) | Net unrealized gain (loss) on open futures contracts | 5,593,742 | (8,006,981 | ) | (2,413,239 | ) | ||||||||||||||||
Stock Indices Contracts | Net unrealized gain (loss) on open futures contracts | 1,340,862 | (1,169,714 | ) | 171,148 | Net unrealized gain (loss) on open futures contracts | 1,340,862 | (1,169,714 | ) | 171,148 | ||||||||||||||||||
Short-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 314,422 | (1,080,128 | ) | (765,706 | ) | Net unrealized gain (loss) on open futures contracts | 314,422 | (1,080,128 | ) | (765,706 | ) | ||||||||||||||||
Long-Term Interest Rate Contracts | Net unrealized gain (loss) on open futures contracts | 1,421,030 | (5,301,081 | ) | (3,880,051 | ) | Net unrealized gain (loss) on open futures contracts | 1,421,030 | (5,301,081 | ) | (3,880,051 | ) | ||||||||||||||||
Forward Currency Contracts | Net unrealized gain (loss) on open Forward Currency Contracts | 23,303,459 | (25,967,136 | ) | (2,663,677 | ) | Net unrealized gain (loss) on open Forward Currency Contracts | 23,303,459 | (25,967,136 | ) | (2,663,677 | ) | ||||||||||||||||
Totals | $ | 33,928,490 | $ | (44,732,104 | ) | $ | (10,803,614 | ) | $ | 33,928,490 | $ | (44,732,104 | ) | $ | (10,803,614 | ) |
Table of Contents |
THE CAMPBELL FUND TRUST NOTES TO FINANCIAL STATEMENTS |
Type of Instrument | Trading Gains/(Losses) for the Three Months Ended March 31, 2020 | Trading Gains/(Losses) for the Three Months Ended March 31, 2019 | Trading Gains/(Losses) for the Three Months Ended September 30, 2020 | Trading Gains/(Losses) for the Three Months Ended September 30, 2019 | ||||||||||||
Agriculture Contracts | $ | 3,712,427 | $ | 852,719 | $ | (6,064,325 | ) | $ | 3,759,594 | |||||||
Energy Contracts | 9,953,259 | (4,099,499 | ) | (2,844,671 | ) | (3,398,818 | ) | |||||||||
Metal Contracts | 8,243,449 | (1,676,556 | ) | 7,813,156 | 736,004 | |||||||||||
Stock Indices Contracts | (44,993,303 | ) | 7,931,870 | (7,291,044 | ) | 5,330,232 | ||||||||||
Short-Term Interest Rate Contracts | 15,241,726 | 4,294,530 | (55,287 | ) | (205,802 | ) | ||||||||||
Long-Term Interest Rate Contracts | 4,039,036 | 11,638,178 | (2,769,114 | ) | 13,833,873 | |||||||||||
Forward Currency Contracts | 25,151,024 | (3,525,678 | ) | (4,568,196 | ) | 4,867,544 | ||||||||||
Credit default index swap contracts | 142,020 | 0 | ||||||||||||||
Interest rate swap contracts | 566,176 | 0 | ||||||||||||||
Total | $ | 21,347,618 | $ | 15,415,564 | $ | (15,071,285 | ) | $ | 24,922,627 |
Line Item in the Statements of Operations | Trading Gains/(Losses) for the Three Months Ended March 31, 2020 | Trading Gains/(Losses) for the Three Months Ended March 31, 2019 | ||||||
Futures trading gains (losses): | ||||||||
Realized** | $ | (17,005,356 | ) | $ | 11,332,347 | |||
Change in unrealized | 13,201,950 | 7,608,895 | ||||||
Forward currency trading gains (losses): | ||||||||
Realized** | 5,155,862 | 7,832,537 | ||||||
Change in unrealized | 19,995,162 | (11,358,215 | ) | |||||
Total | $ | 21,347,618 | $ | 15,415,564 |
Type of Instrument | Trading Gains/(Losses) for the Nine Months Ended September 30, 2020 | Trading Gains/(Losses) for the Nine Months Ended September 30, 2019 | ||||||
Agriculture Contracts | $ | (5,761,777 | ) | $ | (507,740 | ) | ||
Energy Contracts | 5,543,929 | (7,016,118 | ) | |||||
Metal Contracts | 14,711,177 | (3,915,875 | ) | |||||
Stock Indices Contracts | (51,620,545 | ) | 23,044,135 | |||||
Short-Term Interest Rate Contracts | 16,033,843 | 15,598,416 | ||||||
Long-Term Interest Rate Contracts | 1,932,113 | 35,625,445 | ||||||
Forward Currency Contracts | 7,160,482 | (1,769,489 | ) | |||||
Credit default index swap contracts | 142,020 | 0 | ||||||
Interest rate swap contracts | 566,176 | 0 | ||||||
Total | $ | (11,292,582 | ) | $ | 61,058,774 |
Line Item in the Statements of Operations | Trading Gains/(Losses) for the Three Months Ended September 30, 2020 | Trading Gains/(Losses) for the Three Months Ended September 30, 2019 | ||||||
Futures trading gains (losses): | ||||||||
Realized** | $ | (14,195,388 | ) | $ | 30,127,764 | |||
Change in unrealized | 2,984,104 | (10,072,681 | ) | |||||
Forward currency trading gains (losses): | ||||||||
Realized** | (6,854,797 | ) | (573,244 | ) | ||||
Change in unrealized | 2,286,601 | 5,440,788 | ||||||
Swap trading gains (losses): | ||||||||
Realized | 525,424 | 0 | ||||||
Change in unrealized | 182,771 | 0 | ||||||
Total | $ | (15,071,285 | ) | $ | 24,922,627 |
Line Item in the Statements of Operations | Trading Gains/(Losses) for the Nine Months Ended September 30, 2020 | Trading Gains/(Losses) for the Nine Months Ended September 30, 2019 | ||||||
Futures trading gains (losses): | ||||||||
Realized*** | $ | (31,780,779 | ) | $ | 68,472,848 | |||
Change in unrealized | 12,619,520 | (5,644,585 | ) | |||||
Forward currency trading gains (losses): | ||||||||
Realized*** | 5,916,594 | 3,800,316 | ||||||
Change in unrealized | 1,243,888 | (5,569,805 | ) | |||||
Swap trading gains (losses): | ||||||||
Realized | 525,424 | 0 | ||||||
Change in unrealized | 182,771 | 0 | ||||||
Total | $ | (11,292,582 | ) | $ | 61,058,774 |
** | For the three months ended |
*** | For the nine months ended September 30, 2020 and 2019, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $207,379 and $157,695, respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market maker of $(344,129) and $1,052,646, respectively. |
Table of Contents |
THE CAMPBELL FUND TRUST NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2020 |
Offsetting of Derivative Assets by Counterparty | Offsetting of Derivative Assets by Counterparty | Offsetting of Derivative Assets by Counterparty | ||||||||||||||||||||||||||
As of March 31, 2020 | ||||||||||||||||||||||||||||
As of September 30, 2020 | ||||||||||||||||||||||||||||
Type of Instrument | Counterparty | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition | Counterparty | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition | ||||||||||||||||||||
Futures contracts | UBS Securities LLC | $ | 9,810,206 | $ | (7,450,207 | ) | $ | 2,359,999 | UBS Securities LLC | $ | 5,132,933 | $ | (2,866,258 | ) | $ | 2,266,675 | ||||||||||||
Futures contracts | Goldman Sachs & Co. LLC | 9,727,336 | (7,025,322 | ) | 2,702,014 | Goldman Sachs & Co. | 4,914,882 | (2,701,974 | ) | 2,212,908 | ||||||||||||||||||
Forward currency contracts | NatWest Markets plc | 54,499,080 | (37,167,595 | ) | 17,331,485 | NatWest Markets Plc | 13,975,697 | (13,975,697 | ) | 0 | ||||||||||||||||||
Centrally cleared swap contracts | Centrally Cleared | 2,654,636 | (917,922 | ) | 1,736,714 | |||||||||||||||||||||||
Total derivatives | $ | 74,036,622 | $ | (51,643,124 | ) | $ | 22,393,498 | $ | 26,678,148 | $ | (20,461,851 | ) | $ | 6,216,297 |
Derivative Assets and Collateral Received by Counterparty | Derivative Assets and Collateral Received by Counterparty | Derivative Assets and Collateral Received by Counterparty | ||||||||||||||||||||||||||||||
As of March 31, 2020 | ||||||||||||||||||||||||||||||||
Counterparty | Net Amounts of Unrealized Gain in the Statements of Financial Condition | Gross Amounts Not Offset in the Statements of Financial Condition | ||||||||||||||||||||||||||||||
Net Amounts of Unrealized Gain | Gross Amounts Not Offset in the Statements of Financial Condition | |||||||||||||||||||||||||||||||
Counterparty | Net Amounts of Unrealized Gain in the Statements of Financial Condition | Financial Instruments | Cash Collateral Received | Net Amount | in the Statements of Financial Condition | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||||||||||||||||||
$ | 0 | $ | 0 | $ | 2,359,999 | $ | 2,266,675 | $ | 0 | $ | 0 | $ | 2,266,675 | |||||||||||||||||||
Goldman Sachs & Co. LLC | 2,702,014 | 0 | 0 | 2,702,014 | ||||||||||||||||||||||||||||
NatWest Markets plc | 17,331,485 | 0 | 0 | 17,331,485 | ||||||||||||||||||||||||||||
Goldman Sachs & Co. | 2,212,908 | 0 | 0 | 2,212,908 | ||||||||||||||||||||||||||||
NatWest Markets Plc | 0 | 0 | 0 | 0 | ||||||||||||||||||||||||||||
Centrally Cleared | 1,736,714 | 0 | 0 | 1,736,714 | ||||||||||||||||||||||||||||
Total | $ | 22,393,498 | $ | 0 | $ | 0 | $ | 22,393,498 | $ | 6,216,297 | $ | 0 | $ | 0 | $ | 6,216,297 |
Offsetting of Derivative Liabilities by Counterparty | ||||||||||||||
As of September 30, 2020 | ||||||||||||||
Type of Instrument | Counterparty | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition | ||||||||||
Futures contracts | UBS Securities LLC | $ | 2,866,258 | $ | (2,866,258 | ) | $ | 0 | ||||||
Futures contracts | Goldman Sachs & Co. | 2,701,974 | (2,701,974 | ) | 0 | |||||||||
Forward currency contracts | NatWest Markets Plc | 15,395,486 | (13,975,697 | ) | 1,419,789 | |||||||||
Centrally cleared swap contracts | Centrally Cleared | 917,922 | (917,922 | ) | 0 | |||||||||
Total derivatives | $ | 21,881,640 | $ | (20,461,851 | ) | $ | 1,419,789 |
Table of Contents |
THE CAMPBELL FUND TRUST NOTES TO FINANCIAL STATEMENTS |
Offsetting of Derivative Liabilities by Counterparty | ||||||||||||||
As of March 31, 2020 | ||||||||||||||
Type of Instrument | Counterparty | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition | ||||||||||
Futures contracts | UBS Securities LLC | $ | 7,450,207 | $ | (7,450,207 | ) | $ | 0 | ||||||
Futures contracts | Goldman Sachs & Co. LLC | 7,025,322 | (7,025,322 | ) | 0 | |||||||||
Forward currency contracts | NatWest Markets plc | 37,167,595 | (37,167,595 | ) | 0 | |||||||||
Total derivatives | $ | 51,643,124 | $ | (51,643,124 | ) | $ | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty | ||||||||||||||||
As of September 30, 2020 | ||||||||||||||||
Net Amounts of Unrealized loss | Gross Amounts Not Offset in the Statements of Financial Condition | |||||||||||||||
Counterparty | in the Statements of Financial Condition | Financial Instruments | Cash Collateral Pledged | Net Amount | ||||||||||||
UBS Securities LLC | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Goldman Sachs & Co. | 0 | 0 | 0 | 0 | ||||||||||||
NatWest Markets Plc | 1,419,789 | 0 | (1,419,789 | ) | 0 | |||||||||||
Centrally Cleared | 0 | 0 | 0 | 0 | ||||||||||||
Total | $ | 1,419,789 | $ | 0 | $ | (1,419,789 | ) | $ | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty | ||||||||||||||||
As of March 31, 2020 | ||||||||||||||||
Counterparty | Net Amounts of Unrealized loss in the Statements of Financial Condition | Gross Amounts Not Offset in the Statements of Financial Condition | Net Amount | |||||||||||||
Financial Instruments | Cash Collateral Pledged | |||||||||||||||
UBS Securities LLC | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Goldman Sachs & Co. LLC | 0 | 0 | 0 | 0 | ||||||||||||
NatWest Markets plc | 0 | 0 | 0 | 0 | ||||||||||||
Total | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
Offsetting of Derivative Assets by Counterparty | ||||||||||||||
As of December 31, 2019 | ||||||||||||||
Type of Instrument | Counterparty | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition | ||||||||||
Futures contracts | UBS Securities LLC | $ | 5,396,065 | $ | (5,396,065 | ) | $ | 0 | ||||||
Futures contracts | Goldman Sachs & Co. | 5,228,966 | (5,228,966 | ) | 0 | |||||||||
Forward currency contracts | NatWest Markets Plc | 23,303,459 | (23,303,459 | ) | 0 | |||||||||
Total derivatives | $ | 33,928,490 | $ | (33,928,490 | ) | $ | 0 |
Offsetting of Derivative Assets by Counterparty | ||||||||||||||
As of December 31, 2019 | ||||||||||||||
Type of Instrument | Counterparty | Gross Amounts of Recognized Assets | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition | ||||||||||
Futures contracts | UBS Securities LLC | $ | 5,396,065 | $ | (5,396,065 | ) | $ | 0 | ||||||
Futures contracts | Goldman Sachs & Co. LLC | 5,228,966 | (5,228,966 | ) | 0 | |||||||||
Forward currency contracts | NatWest Markets plc | 23,303,459 | (23,303,459 | ) | 0 | |||||||||
Total derivatives | $ | 33,928,490 | $ | (33,928,490 | ) | $ | 0 |
Derivative Assets and Collateral Received by Counterparty | ||||||||||||||||
As of December 31, 2019 | ||||||||||||||||
Net Amounts of Unrealized Gain | Gross Amounts Not Offset in the Statements of Financial Condition | |||||||||||||||
Counterparty | in the Statements of Financial Condition | Financial Instruments | Cash Collateral Received | Net Amount | ||||||||||||
UBS Securities LLC | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Goldman Sachs & Co. | 0 | 0 | 0 | 0 | ||||||||||||
NatWest Markets Plc | 0 | 0 | 0 | 0 | ||||||||||||
Total | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
Table of Contents |
THE CAMPBELL FUND TRUST NOTES TO FINANCIAL STATEMENTS |
Derivative Assets and Collateral Received by Counterparty | ||||||||||||||||
As of December 31, 2019 | ||||||||||||||||
Counterparty | Net Amounts of Unrealized Gain in the Statements of Financial Condition | Gross Amounts Not Offset in the Statements of Financial Condition | ||||||||||||||
Financial Instruments | Cash Collateral Received | Net Amount | ||||||||||||||
UBS Securities LLC | $ | 0 | $ | 0 | $ | 0 | $ | 0 | ||||||||
Goldman Sachs & Co. LLC | 0 | 0 | 0 | 0 | ||||||||||||
NatWest Markets plc | 0 | 0 | 0 | 0 | ||||||||||||
Total | $ | 0 | $ | 0 | $ | 0 | $ | 0 |
Offsetting of Derivative Liabilities by Counterparty | ||||||||||||||
As of December 31, 2019 | ||||||||||||||
Type of Instrument | Counterparty | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition | ||||||||||
Futures contracts | UBS Securities LLC | $ | 9,348,737 | $ | (5,396,065 | ) | $ | 3,952,672 | ||||||
Futures contracts | Goldman Sachs & Co. | 9,416,231 | (5,228,966 | ) | 4,187,265 | |||||||||
Forward currency contracts | NatWest Markets Plc | 25,967,136 | (23,303,459 | ) | 2,663,677 | |||||||||
Total derivatives | $ | 44,732,104 | $ | (33,928,490 | ) | $ | 10,803,614 |
Offsetting of Derivative Liabilities by Counterparty | ||||||||||||||
As of December 31, 2019 | ||||||||||||||
Type of Instrument | Counterparty | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in the Statements of Financial Condition | Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition | ||||||||||
Futures contracts | UBS Securities LLC | $ | 9,348,737 | $ | (5,396,065 | ) | $ | 3,952,672 | ||||||
Futures contracts | Goldman Sachs & Co. LLC | 9,416,231 | (5,228,966 | ) | 4,187,265 | |||||||||
Forward currency contracts | NatWest Markets plc | 25,967,136 | (23,303,459 | ) | 2,663,677 | |||||||||
Total derivatives | $ | 44,732,104 | $ | (33,928,490 | ) | $ | 10,803,614 |
Derivative Liabilities and Collateral Pledged by Counterparty | ||||||||||||||||
As of December 31, 2019 | ||||||||||||||||
Net Amounts of Unrealized loss | Gross Amounts Not Offset in the Statements of Financial Condition | |||||||||||||||
Counterparty | in the Statements of Financial Condition | Financial Instruments | Cash Collateral Pledged | Net Amount | ||||||||||||
UBS Securities LLC | $ | 3,952,672 | $ | 0 | $ | (3,952,672 | ) | $ | 0 | |||||||
Goldman Sachs & Co. | 4,187,265 | 0 | (4,187,265 | ) | 0 | |||||||||||
NatWest Markets Plc | 2,663,677 | 0 | (2,663,677 | ) | 0 | |||||||||||
Total | $ | 10,803,614 | $ | 0 | $ | (10,803,614 | ) | $ | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty | ||||||||||||||||
As of December 31, 2019 | ||||||||||||||||
Counterparty | Net Amounts of Unrealized loss in the Statements of Financial Condition | Gross Amounts Not Offset in the Statements of Financial Condition | ||||||||||||||
Financial Instruments | Cash Collateral Pledged | Net Amount | ||||||||||||||
UBS Securities LLC | $ | 3,952,672 | $ | 0 | $ | (3,952,672 | ) | $ | 0 | |||||||
Goldman Sachs & Co. LLC | 4,187,265 | 0 | (4,187,265 | ) | 0 | |||||||||||
NatWest Markets plc | 2,663,677 | 0 | (2,663,677 | ) | 0 | |||||||||||
Total | $ | 10,803,614 | $ | 0 | $ | (10,803,614 | ) | $ | 0 |
Sector | % Gain (Loss) | |||
Credit | 0.14 | % | ||
Commodities | 4.41 | % | ||
Currencies | 1.98 | % | ||
Interest Rates | 4.98 | % | ||
Stock Indices | ( | )% | ||
(3.99 | )% |
Sector | % Gain (Loss) | |||
Commodities | ( | )% | ||
Currencies | ( | )% | ||
Interest Rates | % | |||
Stock Indices | % | |||
% |
March 31, 2020 | September 30, 2020 | |||||||||||||||
Market Sector | Value at Risk* | Trading Gain/(Loss)** | Value at Risk* | Trading Gain/(Loss)** | ||||||||||||
Credit | 0.09 | % | 0.14 | % | ||||||||||||
Commodities | 0.78 | % | 6.52 | % | 0.96 | % | 4.41 | % | ||||||||
Currencies | 0.83 | % | 8.03 | % | 0.47 | % | 1.98 | % | ||||||||
Interest Rates | 1.00 | % | 5.83 | % | 0.78 | % | 4.98 | % | ||||||||
Stock Indices | 1.54 | % | (13.54 | )% | 0.64 | % | (15.50 | )% | ||||||||
Aggregate/Total | 1.34 | % | 6.84 | % | 1.28 | % | (3.99 | )% |
* | 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 |
December 31, 2019 | ||||||||
Market Sector | Value at Risk* | Trading Gain/(Loss)** | ||||||
Commodities | 0.51 | % | (8.12 | )% | ||||
Currencies | 0.60 | % | (3.76 | )% | ||||
Interest Rates | 0.61 | % | 12.88 | % | ||||
Stock Indices | 0.71 | % | 9.78 | % | ||||
Aggregate/Total | 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, 2019. |
1) | Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements; |
2) | Changes in portfolio value caused by market movements may differ from those of the VaR model; |
3) | VaR results reflect past trading positions while future risk depends on future positions; |
4) | VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and |
5) | The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements. |
Exhibit Number | Description of Document | |
3.01 | ||
3.02 | ||
10.01 | ||
10.02 | ||
10.03 | ||
Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934. | ||
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934. | ||
Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. | ||
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. | ||
101.01 | Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments |
(1) | Incorporated by reference to the respective exhibit to the Registrant’s Form 10 filed on April 30, 2003. |
(2) | Incorporated by reference to the respective exhibit to the Registrant’s Quarterly Report on Form 10-Q filed August 15, 2011. |
(3) | Incorporated by reference to the respective exhibit to the Registrant’s Quarterly Report on Form 10-Q filed on May 15, 2014. |
Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934. | ||
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934. | ||
Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. | ||
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. | ||
101.01 | Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments |
THE CAMPBELL FUND TRUST (Registrant) | |||
By: | Campbell & Company, LP | ||
Managing Operator | |||
Date: | By: | /s/ G. William Andrews | |
G. William Andrews | |||
Chief Executive Officer |