UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549


FORM 10-Q


☑
Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the quarterly period ended September 30, 20202021


☐
Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the transition period from __________ to __________


or


Commission File number: 000-50264


THE CAMPBELL FUND TRUST


(Exact name of Registrant as specified in charter)


Delaware
 94-6260018
  (State or other jurisdiction of incorporation or organization)Organization)   (IRS Employer Identification Number)


2850 Quarry Lake Drive

Baltimore, Maryland 21209
(Address (Address of principal executive offices, including zip code)
 
(410) 413-2600
(Registrant’s (Registrant’s telephone number, including area code)


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


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


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


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


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


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



Emerging growth company ☐




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


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


The Registrant has no voting stock. As of September 30, 2020,2021, there were 88,379.28076,921.915 Series A Units, 11,973.38310,586.657 Series B Units, 5,010.8035,767.378 Series D Units, and 8,752.7728,461.057 Series W Units of Beneficial Interest issued and outstanding.
 
TABLE OF CONTENTS


 Page
PART I — FINANCIAL INFORMATION 
    
 Item 1.Financial Statements. 
    
  
Condensed Schedules of Investments as of September 30, 20202021 and December 31, 20192020 (Unaudited)
1-41-6
    
  
Statements of Financial Condition as of September 30, 20202021 and December 31, 20192020 (Unaudited)
57
    
  
Statements of Operations for the Three Months and Nine Months Ended September 30, 20202021 and 20192020 (Unaudited)
68
    
  
Statements of Cash Flows for the Nine Months Ended September 30, 20202021 and 20192020 (Unaudited)
79
    
  
Statements of Changes in Unitholders’ Capital (Net Asset Value) for the Three Months and Nine Months Ended September 30, 20202021 and 20192020 (Unaudited)
8-910-11
    
  
Financial Highlights for the Three Months and Nine Months Ended September 30, 20202021 and 20192020 (Unaudited)
10-1312-15
    
  
Notes to Financial Statements (Unaudited)
14-2816-31
    
 Item 2.
Management’s Discussion and Analysis of Financial Condition and Results of Operations.
29-3832-42
    
 Item 3.
Quantitative and Qualitative Disclosure About Market Risk.
38-4442-48
    
 Item 4.
Controls and Procedures.
44
48
    
PART II — OTHER INFORMATION
 
    
 Item 1.
Legal Proceedings.
4549
    
 Item 1A.
Risk Factors.
4549
    
 Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds.
4549
   
 Item 3.
Defaults Upon Senior Securities.
4549
    
 Item 4.
Mine Safety Disclosures.
4549
    
 Item 5.
Other Information.
4549
    
 Item 6.
Exhibits.
46-4750-51
    
SIGNATURES
 4852


Table of Contents
THE CAMPBELL FUND TRUST

CONDENSED SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 20202021 (Unaudited)


FIXED INCOME SECURITIES


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
 


 Asset Backed Securities      
   United States      
   Auto Loans 
$
14,441,765
   
4.94
%
   Equipment Loans  
1,744,071
   
0.60
%
   
Total Asset Backed Securities (cost $16,202,243)
  
16,185,836
   
5.54
%
            
   Bank Deposits        
   Singapore        
   Financials (cost $1,545,000)  
1,545,104
   
0.53
%
   United States
        
   Financials (cost $1,750,000)  
1,749,710
   
0.60
%
   
Total Bank Deposits (cost $3,295,000)
  
3,294,814
   
1.13
%
            
   Commercial Paper        
   France        
   Financials (cost $1,539,390)  
1,539,668
   
0.53
%
   Germany        
   Financials (cost $1,499,915)  
1,499,940
   
0.51
%
   United States        
   Communications  
1,419,835
   
0.49
%
   Consumer Discretionary  
14,553,357
   
4.98
%
   Consumer Staples  
499,871
   
0.17
%
   Financials  
30,865,497
   
10.55
%
   Real Estate  
4,719,450
   
1.61
%
   Technology  
3,498,926
   
1.20
%
   Utilities  
21,547,801
   
7.37
%
   
Total United States (cost $77,106,007)
  
77,104,737
   
26.37
%
   
Total Commercial Paper (cost $80,145,312)
 
$
80,144,345
   
27.41
%


See Accompanying Notes to Financial Statements.
 
1
Table of Contents
THE CAMPBELL FUND TRUST

CONDENSED SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 20202021 (Unaudited)
FIXED INCOME SECURITIES

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
%

LONG FUTURES CONTRACTS
Maturity   Fair  % of Net 
Face Value Description Value ($)  Asset Value 


 Corporate Bonds      
   Australia      
   Financials (cost $3,585,000) $3,603,348   1.23%
   Canada        
   Energy  1,416,398   0.48%
   Financials  9,361,754   3.20%
   Total Canada (cost $10,749,010)  10,778,152   3.68%
   Germany        
   Consumer Discretionary (cost $2,760,000)  2,767,041   0.95%
   Japan        
   Financials (cost $2,451,734)  2,452,757   0.84%
   Switzerland        
   Financials (cost $3,899,453)  3,917,574   1.34%
   United Kingdom        
   Health Care (cost $1,340,909)  1,340,712   0.46%
   United States        
   Communications  463,000   0.16%
   Consumer Discretionary  5,750,344   1.97%
   Consumer Staples  4,329,277   1.48%
   Energy  4,559,335   1.56%
   Financials  11,472,273   3.92%
   Health Care  3,077,147   1.05%
   Industrials  5,112,177   1.75%
   Real Estate  1,577,537   0.54%
   Technology  3,713,003   1.27%
   Utilities  3,124,056   1.07%
   
Total United States (cost $43,094,439)
  43,178,149   14.77%
   
Total Corporate Bonds (cost $67,880,545)
  68,037,733   23.27%
            
   Government and Agency Obligations        
   United States        
   U.S. Treasury Bills        
$5,660,000 
U.S. Treasury Bills Due 10/14/2021 (1)
  5,659,955   1.94%
$21,500,000 
U.S. Treasury Bills Due 11/12/2021 (1)
  21,498,817   7.35%
$15,000,000 
U.S. Treasury Bills Due 12/09/2021 (1)
  14,999,280   5.13%
   
Total Government And Agency Obligations (cost $42,157,699)
  42,158,052   14.42%
   
Total Fixed Income Securities (cost $209,680,799) (2)
 $209,820,780   71.77%

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
%


SHORT FUTURES CONTRACTS

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
%

FORWARD CURRENCY CONTRACTS

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
)%

CREDIT DEFAULT SWAPS

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
%

INTEREST RATES SWAPS

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
%

*(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 $43,871,907$42,158,052 deposited with the futures brokers.

See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2019 (Unaudited)

FIXED INCOME SECURITIES

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
%

See Accompanying Notes to Financial Statements.
 
3
2
Table of Contents
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2021 (Unaudited)

SHORT TERM INVESTMENTS

 
Description
 
Fair
Value ($)
  
% of Net
Asset Value
 
Money Market Funds      
United States      
Money Market Funds (cost $2,628)
 
$
2,628
   
0.00
%
Total Short Term Investments (cost $2,628)
 
$
2,628
   
0.00
%

LONG FUTURES CONTRACTS

  Fair  % of Net 
Description Value ($)  Asset Value 
Agriculture 
$
358,433
   
0.12
%
Energy  
876,889
   
0.30
%
Metals  
(6,923,881
)
  
(2.37
)%
Stock indices  
(2,931,372)
   
(1.00
)%
Short-term interest rates  
(1,145,306
)
  
(0.39
)%
Long-term interest rates  
(5,862,971)
   
(2.00
)%
Net unrealized gain (loss) on long futures contracts  
(15,628,208
)
  
(5.34
)%

SHORT FUTURES CONTRACTS

  Fair  % of Net 
Description Value ($)  Asset Value 
Agriculture  
(226,102
)
  
(0.08
)%
Energy  
(116,180
)
  
(0.04
)%
Metals  
6,051,427
   
2.07
%
Stock indices  
(55,695
)
  
(0.02
)%
Short-term interest rates  
311,394
   
0.11
%
Long-term interest rates  
6,006,342
   
2.05
%
Net unrealized gain (loss) on short futures contracts  
11,971,186
   
4.09
%
Net unrealized gain (loss) on open futures contracts 
$
(3,657,022
)
  
(1.25
)%

FORWARD CURRENCY CONTRACTS

  Fair  % of Net 
Description Value ($)  Asset Value 
Various long forward currency contracts 
$
(36,144,678
)
  
(12.36
)%
Various short forward currency contracts  
40,296,280
   
13.78
%
Net unrealized gain (loss) on open forward currency contracts 
$
4,151,602
  
1.42
%

CREDIT DEFAULT INDEX SWAPS

  Fair  % of Net 
Description Value ($)  Asset Value 
Centrally cleared credit default index swaps - Sell protection (net cost $3,345,204) (3)
 
$
3,179,705
   
1.09
%

INTEREST RATE SWAPS

  Fair  % of Net 
Description Value ($)  Asset Value 
Centrally cleared interest rate swaps - Receive fixed (net cost $875,054) (4)
 
$
1,843,190
   
0.63
%

(3)Includes $3,269,008 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 $1,683,380 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.

3
Table of Contents
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2019 (Unaudited)2020


FIXED INCOME SECURITIES


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
 


 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
%


See Accompanying Notes to Financial Statements.

SHORT TERM INVESTMENTS

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
%

LONG FUTURES CONTRACTS

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
)%

4
Table of Contents
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      
   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%
   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 $53,641,527$44,874,023 deposited with the futures brokers.


See Accompanying Notes to Financial Statements.

4
5
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTSCONDENSED SCHEDULE OF FINANCIAL CONDITIONINVESTMENTS
SEPTEMBER 30, 2020 AND DECEMBER 31, 2019 (Unaudited)2020

SHORT TERM INVESTMENTS

Description 
Fair
Value ($)
  
% of Net
Asset Value
 
Money Market Funds      
United States      
Money Market Funds (cost $15,831,488)
 
$
15,831,488
   
5.66
%
Total Short Term Investments (cost $15,831,488)
 
$
15,831,488
   
5.66
%

LONG FUTURES CONTRACTS

Description 
Fair
Value ($)
  
% of Net
Asset Value
 
Agriculture 
$
2,923,345
   
1.05
%
Energy  
478,661
   
0.17
%
Metals  
4,159,062
   
1.49
%
Stock indices  
1,949,033
   
0.69
%
Short-term interest rates  
337,344
   
0.12
%
Long-term interest rates  
1,985,635
   
0.71
%
Net unrealized gain (loss) on long futures contracts  
11,833,080
   
4.23
%

SHORT FUTURES CONTRACTS

Description 
Fair
Value ($)
  
% of Net
Asset Value
 
Agriculture  
(266,908
)
  
(0.10
)%
Energy  
128,596
   
0.05
%
Metals  
(1,857,847
)
  
(0.66
)%
Stock indices  
18,349
   
0.01
%
Short-term interest rates  
68,223
   
0.02
%
Long-term interest rates  
(222,174
)
  
(0.08
)%
Net unrealized gain (loss) on short futures contracts  
(2,131,761
)
  
(0.76
)%
Net unrealized gain (loss) on open futures contracts 
$
9,701,319
   
3.47
%

FORWARD CURRENCY CONTRACTS

Description 
Fair
Value ($)
  
% of Net
Asset Value
 
Various long forward currency contracts 
$
10,221,810
   
3.66
%
Various short forward currency contracts  
(7,895,091
)
  
(2.82
)%
Net unrealized gain (loss) on open forward currency contracts 
$
2,326,719
   
0.84
%

CREDIT DEFAULT INDEX SWAPS

Description 
Fair
Value ($)
  
% of Net
Asset Value
 
Centrally cleared credit default index swaps - Sell protection (net cost $1,697,355) (3)
 
$
2,611,165
   
0.93
%

INTEREST RATE SWAPS

Description 
Fair
Value ($)
  
% of Net
Asset Value
 
Centrally cleared interest rate swaps - Receive fixed (net cost $229,351) (4)
 
$
809,670
   
0.29
%
 
  September 30, 2019  December 31, 2019 
ASSETS 
   
  
Equity in futures brokers trading accounts        
Cash 
$
16,137,322
  
$
15,751,729
 
Restricted cash  
566,829
   
4,648,990
 
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  
4,479,583
   
(8,139,937
)
Total equity in futures brokers trading accounts  
65,055,641
   
65,902,309
 
         
Cash and cash equivalents  
1,151,191
   
1,118,945
 
Cash at interbank market maker  
11,910,603
   
14,851,807
 
Restricted cash at interbank market maker  
23,420,947
   
29,815,239
 
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  
278,900
   
635,953
 
Total assets $279,144,848  $316,235,558 
         
LIABILITIES        
Accounts payable 
$
195,062
  
$
327,900
 
Management fee payable  
461,939
   
995,719
 
Net unrealized loss on forward currency contracts  
1,419,789
   
2,663,677
 
Accrued commissions and other trading fees on open contracts  
60,309
   
183,841
 
Offering costs payable  
102,095
   
114,869
 
Sales commission payable  
404,029
   
0
 
Redemptions payable  
4,521,281
   
2,442,931
 
Total liabilities  
7,164,504
   
6,728,937
 
UNITHOLDERS’ CAPITAL (Net Asset Value)        
Series A Units - Redeemable        
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)  
271,980,344
   
309,506,621
 
Total liabilities and unitholders’ capital (Net Asset Value) 
$
279,144,848
  
$
316,235,558
 

(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.

5
6
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTS OF FINANCIAL CONDITION
SEPTEMBER 30, 2021 AND DECEMBER 31, 2020 (Unaudited)

  September 30, 2021  December 31, 2020 
ASSETS      
Equity in futures brokers trading accounts      
Cash 
$
27,982,843
  
$
18,771,895
 
Restricted cash
  3,503,754   0 
Fixed income securities (cost $42,157,699 and $44,873,315, respectively)
  
42,158,052
   
44,874,023
 
Net unrealized gain (loss) on open futures contracts  
(3,657,022
)
  
9,701,319
 
Total equity in futures brokers trading accounts  
69,987,627
   
73,347,237
 
         
Cash and cash equivalents  
1,573,704
   
2,026,150
 
Cash at interbank market maker  
5,703,095
   
13,343,832
 
Restricted cash at interbank market maker  
34,331,422
   
19,627,499
 
Short term investments (cost $2,628 and $15,831,488, respectively)
  
2,628
   
15,831,488
 
Cash at swaps broker  
7,570,970
   
6,495,743
 
Restricted cash at swaps broker  
3,520,637
   
8,338,403
 
Fixed income securities (cost $167,523,100 and $145,409,347, respectively)
  
167,662,728
   
145,766,071
 
Credit default index swaps  
0
   
7,956
 
Interest rate swaps  
159,810
   
0
 
Due from swaps broker  
55,353
   
45,134
 
Net unrealized gain on open forward currency contracts  
4,151,602
   
2,326,719
 
Interest receivable  
219,762
   
197,660
 
Subscriptions receivable  
597,238
   
500,000
 
Total assets 
$
295,536,576
  
$
287,853,892
 
         
LIABILITIES        
Accounts payable 
$
143,549
  
$
178,723
 
Management fee payable  
487,693
   
477,700
 
Credit default index swaps  89,303
   0
 
Subscriptions received in advance
  503,000
   0
 
Interest rate swaps  
0
   
148,943
 
Accrued commissions and other trading fees on open contracts  
80,903
   
56,032
 
Offering costs payable  
107,815
   
105,926
 
Sales commission payable  
418,853
   
417,647
 
Redemptions payable  
1,210,698
   
6,903,229
 
Total liabilities  
3,041,814
   
8,288,200
 
         
UNITHOLDERS’ CAPITAL (Net Asset Value)        
         
Series A Units - Redeemable        
Other Unitholders - 76,921.915 and 83,925.461 units outstanding at September 30, 2021 and December 31, 2020
  
222,025,022
   
216,523,843
 
Series B Units – Redeemable        
Other Unitholders - 10,583.657 and 11,380.986 units outstanding at September 30, 2021 and December 31, 2020
  
33,727,869
   
32,296,756
 
Series D Units – Redeemable        
Other Unitholders - 5,767.378 and 4,757.939 units outstanding at September 30, 2021 and December 31, 2020
  
6,836,168
   
5,043,054
 
Series W Units – Redeemable        
Other Unitholders - 8,461.057 and 8,258.693 units outstanding at September 30, 2021 and December 31, 2020
  
29,905,703
   
25,702,039
 
Total unitholders’ capital (Net Asset Value)  
292,494,762
   
279,565,692
 
Total liabilities and unitholders’ capital (Net Asset Value) 
$
295,536,576
  
$
287,853,892
 

See Accompanying Notes to Financial Statements.

7
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTS OF OPERATIONS
FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 20202021 AND 20192020 (Unaudited)


 Three Months Ended September 30, Nine Months Ended September 30,  
Three Months Ended September 30,
  Nine Months Ended September 30, 

 2020  2019  2020  2019  
2021
  
2020
 ��2021  2020 
TRADING GAINS (LOSSES)                      
Futures trading gains (losses)                      
Realized 
$
(14,195,388
)
 
$
30,127,764
  
$
(31,779,232
)
 
$
68,472,848
  $4,554,366  $(14,195,388) $46,945,515  $(31,780,779)
Change in unrealized 
2,984,104
  
(10,072,681
)
 
12,619,520
  
(5,644,585
)
  (4,492,391)  2,984,104   (13,358,341)  12,619,520 
Brokerage commissions  
(631,218
)
  
(470,721
)
  
(1,683,521
)
  
(1,491,863
)
  (607,561)  (631,218)  (1,773,360)  (1,681,974)
Net gain (loss) from futures trading  
(11,842,502
)
  
19,584,362
   
(20,843,233
)
  
61,336,400
   (545,586)  (11,842,502)  31,813,814   (20,843,233)
                            
Forward currency trading gains (losses)                            
Realized 
(6,854,797
)
 
(573,244
)
 
5,916,594
  
3,800,316
   (8,095,369)  (6,854,797)  11,462,922   5,916,594 
Change in unrealized 
2,286,601
  
5,440,788
  
1,243,888
  
(5,569,805
)
  7,076,126   2,286,601   1,824,883   1,243,888 
Brokerage commissions  
(56,133
)
  
(56,975
)
  
(144,436
)
  
(208,988
)
  (106,196)  (56,133)  (263,928)  (144,436)
Net gain (loss) from forward currency trading  
(4,624,329
)
  
4,810,569
   
7,016,046
   
(1,978,477
)
  (1,125,439)  (4,624,329)  13,023,877   7,016,046 
                            
Swap trading gains (losses)                            
Realized 
525,424
  
0
  
525,424
  
0
   660,156   525,424   (2,886,435)  525,424 
Change in unrealized  
182,771
   
0
   
182,771
   
0
   400,312   182,771   (681,914)  182,771 
Net gain (loss) from swap trading  
708,195
   
0
   
708,195
   
0
   1,060,468   708,195   (3,568,349)  708,195 
Total net trading gain (loss)  
(15,758,636
)
  
24,394,931
   
(13,118,992
)
  
59,357,923
   (610,557)  (15,758,636)  41,269,342   (13,118,992)
                            
NET INVESTMENT INCOME (LOSS)                            
Investment income                            
Interest income 
438,509
  
1,963,269
  
2,770,031
  
6,063,413
   201,884   438,509   733,434   2,770,031 
Realized gain (loss) on fixed income securities 
37,264
  
10,418
  
65,675
  
14,468
   (82,709)  37,264   (210,930)  65,675 
Change in unrealized gain (loss) on fixed income securities  
(91,915
)
  
39,047
   
270,276
   
709,628
   (26,791)  (91,915)  (217,451)  270,276 
Total investment income  
383,858
   
2,012,734
   
3,105,982
   
6,787,509
 
Total investment income (loss)  92,384   383,858   305,053   3,105,982 
                            
Expenses                            
Management fee 
1,428,214
  
3,359,726
  
7,077,889
  
9,695,861
   1,472,367   1,428,214   4,327,806   7,077,889 
Performance fee 
0
  
21,165
  
0
  
21,165
   0   0   54,801   0 
Operating expenses 
239,824
  
273,180
  
706,390
  
800,984
   218,177   239,824   624,644   706,390 
Sales commission  
1,285,066
   
0
   
1,738,565
   
0
   1,308,308   1,285,066   3,858,879   1,738,565 
Total expenses  
2,953,104
   
3,654,071
   
9,522,844
   
10,518,010
   2,998,852   2,953,104   8,866,130   9,522,844 
Net investment income (loss)  
(2,569,246
)
  
(1,641,337
)
  
(6,416,862
)
  
(3,730,501
)
  (2,906,468)  (2,569,246)  (8,561,077)  (6,416,862)
NET INCOME (LOSS) 
$
(18,327,882
)
 
$
22,753,594
  
$
(19,535,854
)
 
$
55,627,422
  $(3,517,025) $(18,327,882) $32,708,265  $(19,535,854)
                         
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT                            
(based on weighted average number of units outstanding during the period)                            
Series A 
$
(158.43
)
 
$
182.38
  
$
(166.55
)
 
$
425.47
  $(36.55) $(158.43) $314.15  $(166.55)
Series B 
$
(173.13
)
 
$
201.33
  
$
(181.64
)
 
$
463.18
  $(40.22) $(173.13) $351.88  $(181.64)
Series D 
$
(62.26
)
 
$
54.96
  
$
(83.13
)
 
$
164.08
  $(11.43) $(62.26) $126.41  $(83.13)
Series W 
$
(175.47
)
 
$
230.00
  
$
(172.20
)
 
$
544.22
  $(26.42) $(175.47) $432.40  $(172.20)
                         
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
                            
Series A 
$
(161.64
)
 
$
178.01
  
$
(184.10
)
 
$
424.18
  $(40.22) $(161.64) $306.42  $(184.10)
Series B 
$
(174.07
)
 
$
198.18
  
$
(191.66
)
 
$
473.43
  $(40.35) 
$
(174.07
)
 $349.01  $(191.66)
Series D 
$
(62.93
)
 
$
62.39
  
$
(65.55
)
 
$
168.93
  $(12.76) 
$
(62.93
)
 $125.40  $(65.55)
Series W 
$
(178.73
)
 
$
224.89
  
$
(174.95
)
 
$
540.86
  $(31.33) $(178.73) $422.39  $(174.95)
                         
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
                            
Series A  
90,597.713
   
98,909.779
   
92,561.559
   
103,422.686
   77,038.130   
90,597.713
   78,762.657   92,561.559 
Series B  
12,370.216
   
13,322.219
   
12,672.240
   
14,214.142
   10,675.883   
12,370.216
   10,926.355   12,672.240 
Series D  
4,754.203
   
1,724.770
   
4,146.531
   
1,609.926
   4,844.070   
4,754.203
   4,743.907   4,146.531 
Series W  
8,757.813
   
8,422.307
   
8,556.163
   
8,776.466
   8,186.591   
8,757.813
   8,142.531   8,556.163 


See Accompanying Notes to Financial Statements.

6
8
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTS OF CASH FLOWS
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 20202021 AND 20192020 (Unaudited)

 Nine Months Ended September 30,  Nine Months Ended September 30, 
 2020 2019  2021  2020 
Cash flows from (for) operating activities           
Net income (loss) 
$
(19,535,854
)
 
$
55,627,422
  
$
32,708,265
  
$
(19,535,854
)
Adjustments to reconcile net income (loss) to net cash from (for) operating activities             
Net change in unrealized on futures, forwards, swaps and investments 
(14,316,455
)
 
10,504,762
   
12,432,823
   
(14,316,455
)
(Increase) decrease in interest receivable 
357,053
  
267,540
   
(22,102
)
  
357,053
 
(Increase) decrease in due from swaps broker 
(32,839
)
 
0
   
(10,219
)
  
(32,839
)
Increase (decrease) in accounts payable and accrued expenses 
(386,121
)
 
50,756
   
503,896
   
(386,121
)
Payments for swap contracts 
(11,120,872
)
 
0
 
Proceeds from swap contracts 
9,566,929
  
0
 
Net purchases from swap broker  
(893,409
)
  
(1,553,943
)
Purchases of investments 
(1,912,501,506
)
 
(1,287,177,662
)
  
(2,074,582,275
)
  
(1,912,501,506
)
Sales/maturities of investments  
1,963,825,525
   
1,284,874,509
   
2,071,012,999
   
1,963,825,525
 
Net cash from (for) operating activities  
15,855,860
   
64,147,327
   
41,149,978
   
15,855,860
 
              
Cash flows from (for) financing activities              
Addition of units 
8,610,446
  
11,853,876
   
9,439,868
   
8,610,446
 
Redemption of units 
(23,501,498
)
 
(64,014,197
)
  
(34,053,806
)
  
(23,501,498
)
Offering costs paid  
(1,033,795
)
  
(1,111,234
)
  
(953,137
)
  
(1,033,795
)
Net cash from (for) financing activities  
(15,924,847
)
  
(53,271,555
)
  
(25,567,075
)
  
(15,924,847
)
              
Net increase (decrease) in cash, cash equivalents and restricted cash 
(68,987
)
 
10,875,772
   
15,582,903
   
(68,987
)
              
Cash, cash equivalents and restricted cash at beginning of period  
66,186,710
   
67,746,528
   
68,603,522
   
66,186,710
 
Cash, cash equivalents and restricted cash at end of period 
$
66,117,723
  
$
78,622,300
  
$
84,186,425
  
$
66,117,723
 

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.

 September 30, 2020 December 31, 2019  September 30, 2021  December 31, 2020 
Cash, cash equivalents and restricted cash at end of period consists of:          �� 
Equity in futures brokers trading accounts:            
Cash 
$
16,137,322
  
$
15,751,729
  
$
27,982,843
  
$
18,771,895
 
Restricted cash 
566,829
  
4,648,990
   3,503,754   0 
Cash and cash equivalents 
1,151,191
  
1,118,945
   
1,573,704
   
2,026,150
 
Cash at interbank market maker 
11,910,603
  
14,851,807
   
5,703,095
   
13,343,832
 
Restricted cash at interbank market maker 
23,420,947
  
29,815,239
   
34,331,422
   
19,627,499
 
Cash at swaps broker 
3,592,697
  
0
   
7,570,970
   
6,495,743
 
Restricted cash at swaps broker  
9,338,134
   
0
   
3,520,637
   
8,338,403
 
Total cash, cash equivalents and restricted cash at end of period 
$
66,117,723
  
$
66,186,710
  
$
84,186,425
  
$
68,603,522
 


See Accompanying Notes to Financial Statements.

7
9
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (Unaudited)
  Series A - Other Unitholders  Series B - Other Unitholders 
  Units  Amount  Units  Amount 
Nine Months Ended September 30, 2020            
             
Balances at December 31, 2019  95,005.038  
$
243,974,281
   13,005.349  
$
36,551,654
 
Net income (loss) for the three months ended March 31, 2020      
13,283,425
       
1,992,123
 
Additions  380.679   
1,036,884
   0.000   
0
 
Redemptions  (2,307.266)  
(6,263,995
)
  (239.509)  
(714,415
)
Offering costs      
(322,990
)
      
0
 
Balances at March 31, 2020  93,078.451  
$
251,707,605
   12,765.840  
$
37,829,362
 
                 
Net 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
 
Net income (loss) for the three months ended March 31, 2019      
10,959,406
       
1,636,947
 
Additions  402.786   
966,271
   29.109   
78,844
 
Redemptions  (8,230.105)  
(19,795,854
)
  (1,684.043)  
(4,411,610
)
Offering costs      
(376,105
)
      
0
 
Balances at March 31, 2019  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
 
 
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
 
 
September 30, 2020
  June 30, 2020  March 31, 2020   December 31, 2019 
$
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
 

See Accompanying Notes to Financial Statements.
THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2021 AND 2020 AND 2019 (Unaudited)

 Series D - Other Unitholders Series W - Other Unitholders Trust  Series A - Other Unitholders  Series B - Other Unitholders 
 Units  Amount  Units  Amount 
Nine Months Ended September 30, 2021
            
            
Balances at December 31, 2020
  83,925.461  
$
216,523,843
   11,380.986  
$
32,296,756
 
Net income (loss) for the three months ended March 31, 2021
      
12,889,369
       
2,011,419
 
Additions  
279.528
   
735,305
   
6.646
   
19,012
 
Redemptions  
(6,130.245
)
  
(15,787,255
)
  
(361.739
)
  
(1,028,841
)
Offering costs      (265,637)      0 
Balances at March 31, 2021
  78,074.744  $
214,095,625   11,025.893  $
33,298,346 
                
Net income (loss) for the three months ended June 30, 2021
      14,669,516       
2,262,828
 
Additions  574.754   1,654,820   6.670   
21,349
 
Redemptions  (1,497.403)  (4,344,473)  (290.812)  
(917,357
)
Offering costs      (283,088)      0 
Balances at June 30, 2021
  77,152.095  
$
225,792,400
   10,741.751  
$
34,665,166
 
                
Net income (loss) for the three months ended September 30, 2021
      (2,815,919)      (429,430)
Additions
  902.679   2,622,514   6.548   21,028 
Redemptions  (1,132.859)  (3,292,625)  (164.642)  (528,895)
Offering costs
      (281,348)      0 
Balances at September 30, 2021  76,921.915  $
222,025,022   10,583.657  $
33,727,869 
 Units  Amount  Units  Amount  Total Amount                 
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
   95,005.038  
$
243,974,281
   13,005.349  
$
36,551,654
 
Net income (loss) for the three months ended March 31, 2020    
199,390
     
1,512,515
  
16,987,453
       
13,283,425
       
1,992,123
 
Additions 645.496  
713,740
  454.565  
1,469,957
  
3,220,581
   380.679   
1,036,884
   0   
0
 
Redemptions (94.688) 
(104,213
)
 (394.076) 
(1,267,863
)
 
(8,350,486
)
  (2,307.266)  
(6,263,995
)
  (239.509)  
(714,415
)
Offering costs      
(5,038
)
      
(33,974
)
  
(362,002
)
      (322,990)      0 
Balances at March 31, 2020 3,917.158  
$
4,311,179
  8,450.378  
$
27,154,021
  
$
321,002,167
   93,078.451  $
251,707,605   12,765.840  $
37,829,362 
                               
Net income (loss) for the three months ended June 30, 2020    
(248,077
)
    
(1,449,118
)
 
(18,195,425
)
      
(14,345,960
)
      
(2,152,270
)
Additions 815.382  
866,454
  308.715  
969,559
  
3,913,998
   783.671   
2,071,421
   2.349   
6,564
 
Redemptions (99.350) 
(109,065
)
 (81.679) 
(261,959
)
 
(7,365,163
)
  (2,458.985)  
(6,456,980
)
  (184.065)  
(537,159
)
Offering costs      
(5,435
)
      
(33,359
)
  
(343,554
)
      
(304,760
)
      0 
Balances at June 30, 2020 4,633.190  
$
4,815,056
  8,677.414  
$
26,379,144
  
$
299,012,023
   91,403.137  
$
232,671,326
   12,584.124  
$
35,146,497
 
                               
Net income (loss) for the three months ended September 30, 2020    
(296,012
)
    
(1,536,773
)
 
(18,327,882
)
      (14,353,400)       (2,141,697) 
Additions 377.613  
379,026
  231.505  
687,509
  
1,475,867
   159.755   390,582   6.992   18,750 
Redemptions 0.000  
0
  (156.147) 
(453,963
)
 
(9,864,199
)
  (3,183.612)  (7,743,225)  (617.733)  (1,667,011)
Offering costs      
(5,946
)
      
(32,070
)
  
(315,465
)
      (277,449)      0 
Balances at September 30, 2020  5,010.803  
$
4,892,124
   8,752.772  
$
25,043,847
  
$
271,980,344
   88,379.280  $
210,687,834   11,973.383  $
31,356,539 
               
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
 
Net income (loss) for the three months ended March 31, 2019    
71,088
     
1,230,838
  
13,898,279
 
Additions 0.000  
0
  16.012  
43,708
  
1,088,823
 
Redemptions 0.000  
0
  (521.852) 
(1,483,217
)
 
(25,690,681
)
Offering costs      
(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
 
               
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
 
 
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
 
 
September 30, 2020
  June 30, 2020  March 31, 2020   
December 31, 2019
 
$
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
 

Net Asset Value per Other Unitholders’ Unit - Series A

September 30, 2021  June 30, 2021  March 31, 2021  December 31, 2020 
$
2,886.37
  
$
2,926.59
  
$
2,742.19
  
$
2,579.95
 

September 30, 2020  June 30, 2020  March 31, 2020  December 31, 2019 
$
2,383.91
  
$
2,545.55
  
$
2,704.25
  
$
2,568.01
 

Net Asset Value per Other Unitholders’ Unit - Series B

September 30, 2021  June 30, 2021  March 31, 2021  December 31, 2020 
$
3,186.79
  
$
3,227.14
  
$
3,020.01
  
$
2,837.78
 

September 30, 2020  June 30, 2020  March 31, 2020  December 31, 2019 
$
2,618.85
  
$
2,792.92
  
$
2,963.33
  
$
2,810.51
 

See Accompanying Notes to Financial Statements.

9
10
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)
FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2021 AND 2020 (Unaudited)

  Series D - Other Unitholders  Series W - Other Unitholders  Trust 
  Units  Amount  Units  Amount  Total Amount 
Nine Months Ended September 30, 2021
               
                
Balances at December 31, 2020  4,757.939  
$
5,043,054
   8,258.693  
$
25,702,039
  
$
279,565,692
 
Net income (loss) for the three months ended March 31, 2021
      
328,699
       
1,753,804
   
16,983,291
 
Additions  
176.974
   
200,000
   
158.300
   
500,003
   
1,454,320
 
Redemptions  
(240.143
)
  
(259,827
)
  
(366.182
)
  
(1,159,095
)
  
(18,235,018
)
Offering costs      (6,311)      (32,265)  (304,213)
Balances at March 31, 2021
  4,694.770  $
5,305,615   8,050.811  $
26,764,486  $
279,464,072 
                     
Net income (loss) for the three months ended June 30, 2021
      
326,345
       
1,983,310
   
19,241,999
 
Additions  167.076   
199,020
   116.614   
410,001
   
2,285,190
 
Redemptions  (129.980)  
(154,811
)
  (124.443)  
(442,227
)
  
(5,858,868
)
Offering costs      (7,030)      (35,614)  
(325,732
)
Balances at June 30, 2021
  4,731.866  
$
5,669,139
   8,042.982  
$
28,679,956
  
$
294,806,661
 
                     
Net income (loss) for the three months ended September 30, 2021
      (55,376)      (216,300)  (3,517,025)
Additions  1,052.721   1,250,053   537.582   1,904,001   5,797,596 
Redemptions
  (17.209)   (20,399)   (119.507)  (425,470)  (4,267,389)
Offering costs      (7,249)      (36,484)  (325,081)
Balances at September 30, 2021  5,767.378  $6,836,168   8,461.057  $
29,905,703  $
292,494,762 
                     
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
 
Net income (loss) for the three months ended March 31, 2020
      199,390       
1,512,515
   
16,987,453
 
Additions  645.496   713,740   454.565   
1,469,957
   
3,220,581
 
Redemptions  
(94.688
)
  
(104,213
)
  (394.076)  (1,267,863)  
(8,350,486
)
Offering costs      (5,038)      (33,974)  (362,002)
Balances at March 31, 2020
  3,917.158  $
4,311,179   8,450.378  $
27,154,021  $
321,002,167 
                     
Net 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
)
  
(7,365,033
)
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
  
$
299,012,153
 
                     
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   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 

Net Asset Value per Other Unitholders’ Unit - Series D

September 30, 2021  June 30, 2021  March 31, 2021  December 31, 2020 
$
1,185.32
  
$
1,198.08
  
$
1,130.11
  
$
1,059.92
 

September 30, 2020  June 30, 2020  March 31, 2020  December 31, 2019 
$
976.32
  
$
1,039.25
  
$
1,100.59
  
$
1,041.87
 

Net Asset Value per Other Unitholders’ Unit - Series W

September 30, 2021  June 30, 2021  March 31, 2021  December 31, 2020 
$
3,534.51
  
$
3,565.84
  
$
3,324.45
  
$
3,112.12
 

September 30, 2020  June 30, 2020  March 31, 2020  December 31, 2019 
$
2,861.25
  
$
3,039.98
  
$
3,213.35
  
$
3,036.20
 

See Accompanying Notes to Financial Statements.

11
Table of Contents
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 20202021 AND 20192020 (Unaudited)


The following information presents per unit operating performance data and other supplemental financial data for Series A units for the three months and nine months ended September 30, 20202021 and 2019.2020. This information has been derived from information presented in the financial statements.

 Series A  Series A
 
 Three Months Ended September 30, Nine Months Ended September 30,  Three Months Ended September 30,  Nine Months Ended September 30, 
 2020  2019  2020  2019  2021  2020  2021  2020 
Per Unit Performance                        
(for a unit outstanding throughout the entire period)                     
Net asset value per unit at beginning of period 
$
2,545.55
 
$
2,629.51
 
$
2,568.01
 
$
2,383.34
  
$
2,926.59
  
$
2,545.55
  $2,579.95  $2,568.01 
                         
Income (loss) from operations:                         
Total net trading gains (losses) (1)
 (135.32) 195.78 (116.40) 465.70   
(6.10
)
  (135.32)  404.38   (116.40)
Net investment income (loss) (1)
  
(23.26
)
  
(14.24
)
  
(57.92
)
  
(31.78
)
  
(30.47
)
  
(23.26
)
  (87.42)  (57.92)
Total net income (loss) from operations  
(158.58
)
  
181.54
  
(174.32
)
  
433.92
   
(36.57
)
  
(158.58
)
  316.96   (174.32)
Offering costs (1)
  
(3.06
)
  
(3.53
)
  
(9.78
)
  
(9.74
)
  
(3.65
)
  
(3.06
)
  (10.54)  
(9.78
)
Net asset value per unit at end of period 
$
2,383.91
 
$
2,807.52
 
$
2,383.91
 
$
2,807.52
  
$
2,886.37
  
$
2,383.91
  $2,886.37  $2,383.91 
Total Return (4)
  
(6.35
)%
  
6.77
%
  
(7.17
)%
  
17.80
%
  
(1.37
)%
  
(6.35
)%
  11.88%  (7.17)%
                         
Supplemental Data                            
Ratios to average net asset value:                            
Expenses prior to performance fee (3)
 
4.31
%
 
4.41
%
 
4.34
%
 
4.39
%
  
4.28
%
  
4.31
%
  4.35%  4.34%
Performance fee (4)
  
0.00
%
  
0.00
%
  
0.00
%
  
0.00
%
  
0.00
%
  
0.00
%
  0.00%  0.00%
Total expenses  
4.31
%
  
4.41
%
  
4.34
%
  
4.39
%
  
4.28
%
  
4.31
%
  4.35%  4.34%
Net investment income (loss) (2),(3)
  
(3.78
)%
  
(2.06
)%
  
(2.98
)%
  
(1.66
)%
  
(4.16
)%
  
(3.78
)%
  (4.20)%  (2.98)%

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 transfersadditions and redemptions.



(1)Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2)
Excludes performance fee.
(3)
Annualized.
(4)
Not Annualized.annualized.


See Accompanying Notes to Financial Statements.

10
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Table of Contents
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 20202021 AND 20192020 (Unaudited)


The following information presents per unit operating performance data and other supplemental financial data for Series B units for the three months and nine months ended September 30, 20202021 and 2019.2020. This information has been derived from information presented in the financial statements.

 Series B  Series B 
 Three Months Ended September 30, Nine Months Ended September 30,  Three Months Ended September 30,  Nine Months Ended September 30, 
 2020  2019  2020  2019  2021  2020  2021  
2020
 
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
  
$
3,227.14
  
$
2,792.92
  $2,837.78  $2,810.51 
                         
Income (loss) from operations:                         
Total net trading gains (losses) (1)
 (148.54) 213.72 (128.19) 507.92   (6.74)  (148.54)  445.38   (128.19)
Net investment income (loss) (1)
  
(25.53
)
  
(15.54
)
  
(63.47
)
  
(34.49
)
  
(33.61
)
  
(25.53
)
  (96.37)  (63.47)
Total net income (loss) from operations  
(174.07
)
  
198.18
  
(191.66
)
  
473.43
   
(40.35
)
  
(174.07
)
  349.01   (191.66)
Net asset value per unit at end of period 
$
2,618.85
 
$
3,068.78
 
$
2,618.85
 
$
3,068.78
  
$
3,186.79
  
$
2,618.85
  $3,186.79  $2,618.85 
Total Return (4)
  
(6.23
)%
  
6.90
%
  
(6.82
)%
  
18.24
%
  
(1.25
)%
  
(6.23
)%
  12.30%  (6.82)%
                         
Supplemental Data                            
Ratios to average net asset value:                            
Expenses prior to performance fee (3)
 
4.32
%
 
4.42
%
 
4.34
%
 
4.40
%
  
4.28
%
  
4.32
%
  4.34%  4.35%
Performance fee (4)
  
0.00
%
  
0.00
%
  
0.00
%
  
0.00
%
  
0.00
%
  
0.00
%
  0.00%  0.00%
Total expenses  
4.32
%
  
4.42
%
  
4.34
%
  
4.40
%
  
4.28
%
  
4.32
%
  4.34%  4.35%
Net investment income (loss) (2),(3)
  
(3.78
)%
  
(2.06
)%
  
(2.98
)%
  
(1.66
)%
  
(4.16
)%
  
(3.78
)%
  (4.20)%  (2.99)%

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 transfersadditions and redemptions.


(1)Net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2)
Excludes performance fee.
(3)
Annualized.
(4)
Not annualized.

See Accompanying Notes to Financial Statements.

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Table of Contents
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2021 AND 2020 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series D units for the three months and nine months ended September 30, 2021 and 2020. This information has been derived from information presented in the financial statements.

  Series D 
  Three Months Ended September 30,  Nine Months Ended September 30, 
  2021  2020  2021  2020 
Per Unit Performance            
(for a unit outstanding throughout the entire period)            
Net asset value per unit at beginning of period 
$
1,198.08
  
$
1,039.25
  $1,059.92  $1,041.87 
                 
Income (loss) from operations:                
Total net trading gains (losses) (1)
  (2.52)  (55.29)  166.44   (47.66)
Net investment income (loss) (1)
  
(8.74
)
  
(6.39
)
  (36.70)  (13.93)
Total net income (loss) from operations  (11.26)  (61.68)  129.74   (61.59)
Offering costs (1)
  
(1.50
)
  
(1.25
)
  (4.34)  (3.96)
Net asset value per unit at end of period 
$
1,185.32
  
$
976.32
  $1,185.32  $976.32 
Total Return (4)
  
(1.07
)%
  
(6.06
)%
  11.83%  (6.29)%
                 
Supplemental Data                
Ratios to average net asset value:                
Expenses prior to performance fee (3)
  
3.08
%
  
3.05
%
  3.08%  3.02%
Performance fee (4)
  
0.00
%
  
0.00
%
  1.01%  0.00%
Total expenses  
3.08
%
  
3.05
%
  4.09%  3.02%
Net investment income (loss) (2),(3)
  
(2.96
)%
  
(2.52
)%
  (2.93)%  (1.74)%
Total returns are calculated based on the change in value of a unit during the period. An individual unitholder’s total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.

(1)Net investment income (loss) per unit and offering costs per unit 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.annualized.


See Accompanying Notes to Financial Statements.

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Table of Contents
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 20202021 AND 20192020 (Unaudited)


The following information presents per unit operating performance data and other supplemental financial data for Series DW units for the three months and nine months ended September 30, 20202021 and 2019.2020. This information has been derived from information presented in the financial statements.

  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
)%
  Series W
 
  Three Months Ended September 30,  Nine Months Ended September 30, 
  2021  2020  2021  2020 
Per Unit Performance            
(for a unit outstanding throughout the entire period)            
Net asset value per unit at beginning of period 
$
3,565.84
  
$
3,039.98
  $3,112.12  $3,036.20 
                 
Income (loss) from operations:                
Total net trading gains (losses) (1)
  (7.53)  (161.88)  490.27   (140.69)
Net investment income (loss) (1)
  
(19.34
)
  
(13.19
)
  (55.06)  (22.64)
Total net income (loss) from operations  
(26.87
)
  
(175.07
)
  435.21   (163.33)
Offering costs (1)
  
(4.46
)
  
(3.66
)
  (12.82)  (11.62)
Net asset value per unit at end of period 
$
3,534.51
  
$
2,861.25
  $3,534.51  $2,861.25 
Total Return (4)
  
(0.88
)%
  
(5.88
)%
  13.57%  (5.76)%
                 
Supplemental Data                
Ratios to average net asset value:                
Expenses prior to performance fee (3)
  
2.32
%
  
2.31
%
  2.32%  2.31%
Performance fee (4)
  
0.00
%
  
0.00
%
  0.00%  0.00%
Total expenses  
2.32
%
  
2.31
%
  2.32%  2.31%
Net investment income (loss) (2),(3)
  
(2.16
)%
  
(1.78
)%
  (2.17)%  (0.97)%
 
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 transfersadditions and redemptions.



(1)Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2)
Excludes performance fee.
(3)
Annualized.
(4)
Not Annualized.annualized.


See Accompanying Notes to Financial Statements.

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THE CAMPBELL FUND TRUST

NOTES TO FINANCIAL HIGHLIGHTS
FOR THE THREE MONTHS AND NINE MONTHS ENDED STATEMENTS
SEPTEMBER 30, 2020 AND 20192021 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series W units the three months and nine months ended September 30, 2020 and 2019. This information has been derived from information presented in the financial statements.
 
 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
%

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 transfers and redemptions.


(1)Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2)
Excludes performance fee.
(3)
Annualized.
(4)
Not Annualized.

See Accompanying Notes to Financial Statements.
13
Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES


A. General Description of the Trust


The Campbell Fund Trust (the “Trust”) is a Delaware statutory trust which operates as a commodity investment pool. The Trust engages in the speculative trading of futures contracts, forward currency contracts, and centrally cleared swap contracts.


Effective August 31, 2008, the Trust began offering units of beneficial interest classified into Series A units, Series B units and Series W units. Effective July 1, 2017, the Trust began offering units of beneficial interest classified into Series D units. The rights of the Series A units, Series B units, Series D units and Series W units are identical, except that the fees and commissions vary on a Series-by-Series basis. Series A, Series D and Series W commenced trading on October 1, 2008, October 1, 2017 and March 1, 2009, respectively. The initial minimum subscription for Series A units, Series D units and Series W units is $25,000. Series B units are only available for additional investments by existing holders of Series B units. See Note 1.G., Note 1.I., Note 2, Note 3 and Note 10 for an explanation of allocations and Series specific charges.


B. Regulation


As a registrant with the Securities and Exchange Commission (the “SEC”), the Trust is subject to the regulatory requirements under the Securities and Exchange Act of 1934. As a commodity investment pool, the Trust is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Trust executes transactions. Additionally, the Trust is subject to the requirements of futures commission merchants (the “futures brokers”) and interbank market maker through which the Trust trades.


C. Method of Reporting


The Trust’s financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which may require the use of certain estimates made by the Trust’s management. Actual results may differ from these estimates.

These financial statements should be read in conjunction with the financial statements and notes thereto included in the Trust’s Annual Report on Form 10-K filed with the SEC for the year ended December 31, 2019. All adjustments of a normal recurring nature considered necessary for a fair presentation have been included herein.


The Trust meets the definition of an investment company according to the provisions of Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946-10, Financial Services – Investment Companies.


Investment transactions, including futures, forwards and fixed income securities are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Realized gains or losses on spot trades associated with forward currency contract trading are included in realized gains or losses from forward currency trading. Unrealized gains and losses on open contracts (the difference between contract trade value and fair value) are reported in the Statements of Financial Condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with ASC 210-20, Offsetting - Balance Sheet. The fair value of futures (exchange-traded) contracts is based on various futures exchanges, and reflects the settlement price for each contract as of the close on the last business day of the reporting period. The fair value of forward currency (non-exchange traded) contracts was extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period.


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

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2021 (Unaudited)

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020
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 daily exchange of variation margin associated with a CCCH centrally cleared 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 interest rate swaps and futures as a direct reduction to the carrying value of the interest rate swap and future derivative asset or liability, respectively. The carrying amount of centrally cleared interest rate swaps and futures reflected in the Trust’s consolidated balance sheets is equal to the unsettled fair value of such instruments.


The fixed income investments are marked to market on the last business day of the reporting period using a third party vendor hierarchy of pricing providers who specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Premiums and discounts on fixed income securities are amortized and accreted for financial reporting purposes.


The short term investments represent cash held at the custodian and invested overnight in a money market fund.


For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value by the number of outstanding units.


D. Fair Value


The Trust follows the provisions of ASC 820, “Fair Value Measurements and Disclosures” (“ASC 820”). ASC 820 provides guidance for determining fair value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.


ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).


Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Trust has the ability to access at the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of the Trust’s exchange-traded futures contracts and short term investments fall into this category.


Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts that the Trust values using models or other valuation methodologies derived from observable market data. For centrally cleared swap contracts, the Trust uses current market quotations provided by an independent external pricing source to determine fair value. This category also includes fixed income investments.


Level 3 inputs are unobservable inputs for an asset or liability (including the Trust’s own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of SeptemberJune 30, 20202021 and December 31, 2019,2020, and for the periods ended SeptemberJune 30, 20202021 and 20192020 the Trust did not have any Level 3 assets or liabilities.


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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2021 (Unaudited)

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020
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 SeptemberJune 30, 20202021 and December 31, 2019.2020.


 Fair Value at September 30, 2020  Fair Value at September 30, 2021 
Description Level 1  Level 2  Level 3  Total  Level 1  Level 2  Level 3  Total 
Investments
                        
Short term investments $2,628  $0  $0  $2,628 
Fixed income securities 
$
0
  
$
206,499,089
  
$
0
  
$
206,499,089
   0   209,820,780   0   209,820,780 
                                
Other Financial Instruments
                                
Exchange-traded futures contracts  
4,479,583
   
0
   
0
   
4,479,583
   (3,657,022)  0   0   (3,657,022)
Forward currency contracts  
0
   
(1,419,789
)
  
0
   
(1,419,789
)
  0   4,151,602   0   4,151,602 
Credit default index swap contracts  
0
   
828,546
   
0
   
828,546
   0   3,179,705   0   3,179,705 
Interest rate swap contracts  
0
   
908,168
   
0
   
908,168
   0   1,843,190   0   1,843,190 
Total 
$
4,479,583
  
$
206,816,014
  
$
0
  
$
211,295,597
  $(3,654,394) $218,995,277  $0  $215,340,883 
  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
 


  Fair Value at December 31, 2020 
Description Level 1  Level 2  Level 3  Total 
Investments            
Short term investments $15,831,488  $0  $0  $15,831,488 
Fixed income securities  0   190,640,094   0   190,640,094 
                 
Other Financial Instruments                
Exchange-traded futures contracts  9,701,319   0   0   9,701,319 
Forward currency contracts  0   2,326,719   0   2,326,719 
Credit default index swap contracts  0   2,611,165   0   2,611,165 
Interest rate swap contracts  0   809,670   0   809,670 
Total $25,532,807  $196,387,648  $0  $221,920,455 

The gross presentation of the fair value of the Trust’s derivatives by instrument type is shown in Note 12. See Condensed Schedules of Investments for additional detail categorization.


E. Cash and Cash Equivalents


Cash and cash equivalents includes cash and overnight money market investments at financial institutions.


F. Income Taxes


The Trust prepares calendar year U.S. federal and applicable state tax returns and reports to the unitholders their allocable shares of the Trust’s income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each unitholder is individually responsible for reporting income or loss based on such unitholder’s respective share of the Trust’s income and expenses as reported for income tax purposes.


Management has continued to evaluate the application of ASC 740, Income Taxes, to the Trust, and has determined that 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 20162017 through 20192020 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.


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NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2021 (Unaudited)

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.

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NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020

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 SeptemberJune 30, 20202021 and December 31, 2019,2020, the amount of unreimbursed offering costs incurred by Campbell & Company is $259,383$284,397 and $245,152$258,084 for Series A units, $91,914$98,877 and $78,736$94,736 for Series D units and $257,121$276,021 and $240,264$258,866 for Series W units, respectively.


H. Foreign Currency Transactions


The Trust’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income.


I. Allocations


Income or loss (prior to calculation of the management fee, offering costs and performance fee) is allocated pro rata to each Series of units. Each Series of units is then charged the management fee, offering costs and performance fee applicable to such Series of units.


J. Recently Issued Accounting Pronouncements


In April 2020, the FASB issued ASU-2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting to provide optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. In July 2017, the head of the United Kingdom Financial Conduct Authority announced the desire to phase out the use of the London Interbank Offered Rate (“LIBOR”) and other Interbank offered rates (IBORs) by the end. In November 2020, United States and United Kingdom regulators made announcements planning to cease publication of 2021.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 CompanyTrust may need to renegotiate outstanding swaps which extend beyond 2021 to replace affected rates with the new standard that is established.identified replacement rates. There is currently no definitive information regarding the future utilizationdiscontinuance of LIBORs or IBORs or of any particular replacement rate.prior to 2023. As such, the potential effect of any such event on our cost of capital and net investment income cannot yet be determined.


In August 2018, the FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement. The primary focus
19
Table of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, 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 adoption of the additional disclosures, which are required for public companies only, until their effective date. Campbell & Company has adopted the new guidance, and management has determined its adoption has no material impact on the Trust’s financial statement disclosures.Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2021 (Unaudited)
K. Reclassifications

Certain 2019 amounts on the Statements of Financial Condition, Statements of Cash Flows, and in the Notes to the Financial Statements were reclassified to conform with the 2020 presentation. Specifically, a portion of cash and cash equivalents was reclassified in order to disclose the amount of cash at the interbank market maker on the Statements of Financial Condition and Statements of Cash Flows. In addition, trading gains and losses in Note 12 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 W units pay the managing operator a monthly management fee equal to 1/12 of 2% (2% annually) of the Net Assets (as defined) of Series A units, Series B units, Series D units and Series W units as of the end of each month.


Prior to June 1, 2020, Series A units and Series B units paid the managing operator a monthly management fee equal to 1/12 of 4% (4% annually of which half, or 2%, was used to compensate selling agents for ongoing services) of the Net Assets (as defined) of Series A units and Series B units, respectively, as of the end of each month. Series D units paid the managing operator a monthly management fee equal to 1/12 of 2.75% (2.75%annually of which 0.75% was used to compensate selling agents) of the Net Assets (as defined) of Series D units as of the end of each month. Series W units paid the managing operator a monthly management fee equal to 1/12 of 2% (2% annually) of the Net Assets (as defined) of Series W units as of the end of each month.

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NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020

Each Series of units will pay the managing operator a quarterly performance fee equal to 20% of the aggregate cumulative appreciation in Net Asset Value per Unit (as defined) exclusive of appreciation attributable to interest income on a Series-by-Series basis. The performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark). In determining the management fee and performance fee (the “fees”), adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The fees are typically paid in the month following the month in which they are earned. The fees are paid from the available cash at the Trust’s bank, broker or cash management custody accounts.


Note 3. SALES COMMISSION


Effective June 1, 2020, the managing operator pays an upfront sales commission based on Series A units sold by selling agents who have executed selling agreements with the Trust. The Trust pays commissions based on Series A, Series B, and Series D units. Prior to June 1, 2020 the commissions were included with the management fee and paid by the Trust to managing operator.


For Series A, there is an upfront sales commission paid by the managing operator of 2% of the subscription amount of each subscription for units. For up to twelve months after the sale of units, the managing operator will receive from the Trust a monthly reimbursement of 1/12 of 2% (2% annually) of the current net asset value of the units the selling agent has sold and which are outstanding at the end of such month. In the event that the units are redeemed before the twelfth month, the managing operator will receive the redemption fee the Trust deducts from the redemption proceeds. In addition, commencing thirteen months after the sale of units and in return for providing ongoing services to the unitholder, the Trust will pay the selling agent (or its assignees) a monthly trail commission of 1/12 of 2% (2% annually) of the current net asset value of the units it has sold and which are outstanding at the end of such month in respect of which the selling agent provides ongoing services.


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.


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NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2021 (Unaudited)

Note 4. TRUSTEE


The trustee of the Trust is U.S. Bank National Association, a national banking corporation. The trustee has delegated to the managing operator the duty and authority to manage the business and affairs of the Trust and has only nominal duties and liabilities with respect to the Trust.


Note 5. ADMINISTRATOR AND TRANSFER AGENT


Effective January 1, 2020, NAV Consulting, Inc. became the Administrator of the Trust. The Administrator receives fees at rates agreed upon between the Trust and the Administrator and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties. The Administrator’s primary responsibilities are portfolio accounting and fund accounting services. Prior to January 1, 2020, Northern Trust Hedge Fund Services LLC served as the Administrator of the Trust.


NAV Consulting, Inc. serves as the Transfer Agent of the Trust. The Transfer Agent receives fees at rates agreed upon between the Trust and the Transfer Agent and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties.


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NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020
Note 6. CASH MANAGER AND CUSTODIAN


PNC Capital Advisors, LLC serves as the cash manager under the Investment Advisory Agreement to manage and control the liquid assets of the Trust. PNC Capital Advisors, LLC is registered as an investment adviser with the SEC of the United States under the Investment Advisers Act of 1940.


The Trust opened a custodial account at the Northern Trust Company (the “custodian”) and has granted the cash manager authority to make certain investments on behalf of the Trust provided such investments are consistent with the investment guidelines created by the managing operator. All securities purchased by the cash manager on behalf of the Trust will be held in the Trust’s custody account at the custodian. The cash manager will have no beneficial or other interest in the securities and cash in such custody account.


Note 7. DEPOSITS WITH FUTURES BROKERS


The Trust deposits assets with UBS Securities LLC and Goldman, Sachs & Co., subject to Commodity Futures Trading Commission regulations and various exchange and futures broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with such futures brokers. The Trust typically earns interest income on its assets deposited with the futures brokers.


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NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2021 (Unaudited)

Note 8. DEPOSITS WITH INTERBANK MARKET MAKER


The Trust’s counterparty with regard to its forward currency transactions is NatWest Markets Plc (“NatWest”). The Trust has entered into an International Swap and Derivatives Association, Inc. agreement (“ISDA Agreement”) with NatWest which governs these transactions. The credit ratings reported by the three3 major rating agencies for NatWest were considered investment grade as of September 30, 2020.2021. Margin requirements are satisfied by the deposit of cash with NatWest. The Trust typically earns interest income on its assets deposited with NatWest.


Note 9. DEPOSITS WITH SWAPS BROKER


The Trust deposits cash with Goldman, Sachs & Co. to act as swaps broker for its centrally cleared swap contracts, subject to Commodity Futures Trading Commission regulations and central counterparty and broker requirements. Margin requirements are satisfied by the deposit of cash with such swaps broker. Accordingly, assets used to meet margin and other broker or regulatory requirements are partially restricted. The Trust typically earns interest on its credit balances and pays interest on debit balances with the swaps broker.


The Trust pays commissions to the swaps broker on a transaction basis at rates agreed upon between the Trust and the swaps broker.


Note 10. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS


Investments in the Trust are made by subscription agreement, subject to acceptance by Campbell & Company.


The Trust is not required to make distributions, but may do so at the sole discretion of Campbell & Company. A unitholder may request and receive redemption of units owned, subject to restrictions in the Declaration of Trust and Trust Agreement. Units are transferable, but no market exists for their sale and none is expected to develop. Monthly redemptions are permitted upon ten (10) business days advance written notice to Campbell & Company.


Redemption fees, which are paid to Campbell & Company, apply to Series A units through the first twelve month-ends following purchase (the month-end as of which the unit is purchased is counted as the first month-end) as follows: 1.833% of Net Asset Value per unit redeemed through the second month-end, 1.666% of Net Asset Value per unit redeemed through the third month-end, 1.500% of Net Asset Value per unit redeemed through the fourth month-end, 1.333% of Net Asset Value per unit redeemed through the fifth month-end, 1.167% of Net Asset Value per unit redeemed through the sixth month-end, 1.000% of Net Asset Value per unit redeemed through the seventh month-end, 0.833% of Net Asset Value per unit redeemed through the eighth month-end, 0.667% of Net Asset Value per unit redeemed through the ninth month-end, 0.500% of Net Asset Value per unit redeemed through the tenth month-end, 0.333% of Net Asset Value per unit redeemed through the eleventh month-end and 0.167% of Net Asset Value per unit redeemed through the twelfth month end. For the nine months ended September 30, 20202021 and 2019,2020, Campbell & Company received redemption fees of $708$787 and $36,$0, respectively.


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NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2021 (Unaudited)

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020
Note 11. CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES


Credit derivatives generally require the seller to make a payment to the buyer in the event the underlying referenced security or index to the contract defaults or another triggering event, as defined in the applicable derivative contract, occurs. The Trust sells credit derivative contracts for speculative investment purposes. The following table summarizes the notional amounts of credit derivative contracts sold by the Trust by their maturity for contracts which are outstanding at September 30, 20202021 and December 31, 2019.2020. Notional amounts are disclosed as they represent the maximum potential payout, however, management believes that the faircarrying value of these contracts is a more relevant measure of these obligations. At September 30, 20202021 and December 31, 2019,2020, the faircarrying value of such credit derivative contracts sold was $828,546$3,179,705 and $0,$2,611,165, respectively.


 September 30, 2020  December 31, 2019  September 30, 2021  December 31, 2020 
Credit Default Index Swaps 
Maturity Date:
December 2025
  Not Applicable  
Maturity Date:
December 2026
  
Maturity Date:
December 2025
 
Investment grade $41,068,155  $0  $55,507,063  $39,578,996 
Non-investment grade $27,045,773  $0  $28,430,000  $33,585,353 
Total $68,113,928  $0  $83,937,063  $73,164,349 

The Trust does not monitor its exposure to credit derivatives based on the notional amounts because that measure does not take into consideration the probability of a credit default event, the legal right to offset assets and liabilities by a counterparty, or collateral posted. However, the notional value of these credit derivative contracts has been included to provide information about the magnitude of involvement with these types of contracts.


Note 12. TRADING ACTIVITIES AND RELATED RISKS


The Trust engages in the speculative trading of U.S. and foreign futures contracts, forward currency contracts and centrally cleared swap contracts (collectively, “derivatives”). Specifically, the Trust trades a portfolio focused on futures, forward, credit default index swap and interest rate swap contracts, which are instruments designed to hedge changes in interest rates, currency exchange rates, stock index values, metals, energy, agriculture values, and credit risks. The Trust is exposed to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract. In July 2020, the Trust began trading centrally cleared swap contracts.


Market Risk


For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the fair value of the Trust’s open positions and, consequently, in its earnings and cash flow. The Trust’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Trust’s open positions and the liquidity of the markets in which it trades. Theoretically, the Trust is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. The value of an interest rate swap will change as market interest rates rise and fall in conjunction with whether the contract is to receive or pay a fixed interest rate. As a purchaser of credit default index swaps, the Trust’s risk of loss is limited to any cash payments required under the swap contracts. Written credit default contracts (i.e., sell protection) expose the Trust to a market risk equal to the notional value of such swap contracts and any cash payments required under the swap contracts. See Note 1.C. for an explanation of how the Trust determines its valuation for derivatives as well as the netting of derivatives.


The Trust adopted the provisions of ASC 815, Derivatives and Hedging, (“ASC 815”). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity’s financial position, financial performance and cash flows.


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NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2021 (Unaudited)

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NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020
The following tables summarize quantitative information required by ASC 815. The fair value of the Trust’s derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of September 30, 20202021 and December 31, 20192020 is as follows:


Type of Instrument *
 
 
 
 Statements of Financial Condition Location
 
Asset
Derivatives at
September 30, 2020
Fair Value
 
Liability
Derivatives at
September 30, 2020
Fair Value
 
Net
 
 Statements of Financial Condition Location
 
Asset
Derivatives at
September 30, 2021
Fair Value
  
Liability
Derivatives at
September 30, 2021
Fair Value
  
Net
 
 
         
Agriculture Contracts
 
Net unrealized gain (loss) on open futures contracts
 
$
1,585,973
  
$
(355,267
)
 
$
1,230,706
 
 Net unrealized gain (loss) on open futures contracts
 
$
2,498,867
  
$
(2,366,536
)
 
$
132,331
 
Energy Contracts
 
Net unrealized gain (loss) on open futures contracts
  
1,784,870
   
(101,555
)
 
1,683,315
 
 Net unrealized gain (loss) on open futures contracts
  
913,840
   
(153,131
)
  
760,709
 
Metal Contracts
 
Net unrealized gain (loss) on open futures contracts
  
4,076,724
   
(3,059,831
)
 
1,016,893
 
 Net unrealized gain (loss) on open futures contracts
  
8,855,404
   
(9,727,858
)
  
(872,454
)
Stock Indices Contracts
 
Net unrealized gain (loss) on open futures contracts
  
802,296
   
(1,460,875
)
 
(658,579
)
 Net unrealized gain (loss) on open futures contracts
  
161,181
   
(3,148,248
)
  
(2,987,067
)
Short-Term Interest Rate Contracts
 
Net unrealized gain (loss) on open futures contracts
  
176,731
   
(34,877
)
  
141,854
 
 Net unrealized gain (loss) on open futures contracts
  
385,466
   
(1,219,378
)
  
(833,912
)
Long-Term Interest Rate Contracts
 
Net unrealized gain (loss) on open futures contracts
  
1,621,221
   
(555,827
)
  
1,065,394
 
 Net unrealized gain (loss) on open futures contracts
  
6,021,486
   
(5,878,115
)
  
143,371
 
Forward Currency Contracts
 
Net unrealized gain (loss) on open Forward Currency Contracts
  
13,975,697
   
(15,395,486
)
  
(1,419,789
)
 Net unrealized gain (loss) on open Forward Currency Contracts
  
41,815,606
   
(37,664,004
)
  
4,151,602
 
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
 
Credit Default Index Swap Contracts**
 Credit default index swaps
  
3,779,734
   
(600,029
)
  
3,179,705
 
Interest Rate Swap Contracts**
 Interest rate swaps
  
2,140,761
   
(297,571
)
  
1,843,190
 
Totals
   
$
26,678,148
  
$
(21,881,640
)
 
$
4,796,508
   
$
66,572,345
  
$
(61,054,870
)
 
$
5,517,475
 


*
*Derivatives not designated as hedging instruments under ASC 815

 
 
 
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
 
Agriculture Contracts
 
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
 
Metal Contracts
 
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
 
Short-Term Interest Rate Contracts
 
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
)
Forward Currency Contracts
 
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
)

**Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.
* Derivatives not designated as hedging instruments under ASC 815
Type of Instrument *
 Statements of Financial Condition Location
 
Asset
Derivatives at
December 31, 2020
Fair Value
  
Liability
Derivatives at
December 31, 2020
Fair Value
  
Net
 
 
 
         
Agriculture Contracts
 Net unrealized gain (loss) on open futures contracts
 
$
2,986,269
  
$
(329,832
)
 
$
2,656,437
 
Energy Contracts
 Net unrealized gain (loss) on open futures contracts
  
990,714
   
(383,457
)
  
607,257
 
Metal Contracts
 Net unrealized gain (loss) on open futures contracts
  
5,414,162
   
(3,112,947
)
  
2,301,215
 
Stock Indices Contracts
 Net unrealized gain (loss) on open futures contracts
  
2,656,249
   
(688,867
)
  
1,967,382
 
Short-Term Interest Rate Contracts
 Net unrealized gain (loss) on open futures contracts
  
405,598
   
(31
)
  
405,567
 
Long-Term Interest Rate Contracts
 Net unrealized gain (loss) on open futures contracts
  
2,144,323
   
(380,862
)
  
1,763,461
 
Forward Currency Contracts
 Net unrealized gain (loss) on open Forward Currency Contracts
  
12,145,055
   
(9,818,336
)
  
2,326,719
 
Credit Default Index Swap Contracts**
 Credit default index swaps
  
2,946,685
   
(335,520
)
  
2,611,165
 
Interest Rate Swap Contracts**
 Interest rate swaps
  
1,140,930
   
(331,260
)
  
809,670
 
Totals
  
$
30,829,985
  
$
(15,381,112
)
 
$
15,448,873
 


*Derivatives not designated as hedging instruments under ASC 815
**Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.

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NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2021 (Unaudited)

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NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020
The trading gains and losses of the Trust’s derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three months and nine months ended September 30, 20202021 and 20192020 is as follows:

Type of Instrument
 
Trading Gains/(Losses) for
  the Three Months Ended
September 30, 2020
 
Trading Gains/(Losses) for
the Three Months Ended
September 30, 2019
  
Trading Gains/(Losses) for
the Three Months Ended
September 30, 2021
  
Trading Gains/(Losses) for
the Three Months Ended
September 30, 2020
 
Agriculture Contracts
 
$
(6,064,325
)
 
$
3,759,594
  
$
(2,117,388
)
 
$
(6,064,325
)
Energy Contracts
  
(2,844,671
)
  
(3,398,818
)
  
3,244,110
   
(2,844,671
)
Metal Contracts
  
7,813,156
   
736,004
   
407,512
   
7,813,156
 
Stock Indices Contracts
  
(7,291,044
)
  
5,330,232
   
570,182
  
(7,291,044
)
Short-Term Interest Rate Contracts
  
(55,287
)
  
(205,802
)
  
(10,424
)
  
(55,287
)
Long-Term Interest Rate Contracts
  
(2,769,114
)
  
13,833,873
   
(2,032,017)
   
(2,769,114
)
Forward Currency Contracts
  
(4,568,196
)
  
4,867,544
   
(1,019,242
)
  
(4,568,196
)
Credit default index swap contracts
  
142,020
   
0
   
3,030
   
142,020
 
Interest rate swap contracts
  
566,176
   
0
   
1,057,437
   
566,176
 
Total
 
$
(15,071,285
)
 
$
24,922,627
  
$
103,200
  
$
(15,071,285
)

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
  
Trading Gains/(Losses) for
the Nine Months Ended
September 30, 2021
  
Trading Gains/(Losses) for
the Nine Months Ended
September 30, 2020
 
Agriculture Contracts
 
$
(5,761,777
)
 
$
(507,740
)
 
$
11,911,128
  
$
(5,761,777
)
Energy Contracts
  
5,543,929
   
(7,016,118
)
  
17,238,164
   
5,543,929
 
Metal Contracts
  
14,711,177
   
(3,915,875
)
  
2,517,362
   
14,711,177
 
Stock Indices Contracts
  
(51,620,545
)
  
23,044,135
   
19,296,167
   
(51,620,545
)
Short-Term Interest Rate Contracts
  
16,033,843
   
15,598,416
   
(3,565,052
)
  
16,033,843
 
Long-Term Interest Rate Contracts
  
1,932,113
   
35,625,445
   
(13,810,593
)
  
1,932,113
 
Forward Currency Contracts
  
7,160,482
   
(1,769,489
)
  
13,287,804
   
7,160,482
 
Credit default index swap contracts
  
142,020
   
0
   
967,575
   
142,020
 
Interest rate swap contracts
  
566,176
   
0
   
(4,535,925
)
  
566,176
 
Total
 
$
(11,292,582
)
 
$
61,058,774
  
$
43,306,630
  
$
(11,292,582
)

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2021 (Unaudited)

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020
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
  
Trading Gains/(Losses) for
the Three Months Ended
September 30, 2021
  
Trading Gains/(Losses) for
the Three Months Ended
September 30, 2020
 
Futures trading gains (losses):           
Realized**
 
$
(14,195,388
)
 
$
30,127,764
  
$
4,554,366
  
$
(14,195,388
)
Change in unrealized
 
2,984,104
  
(10,072,681
)
  
(4,492,391
)
  
2,984,104
 
Forward currency trading gains (losses):              
Realized**
 
(6,854,797
)
 
(573,244
)
  
(8,095,369
)
  
(6,854,797
)
Change in unrealized
 
2,286,601
  
5,440,788
   
7,076,126
   
2,286,601
 
Swap trading gains (losses):              
Realized
 
525,424
 
0
   
660,156
   
525,424
 
Change in unrealized
  
182,771
  
0
   
400,312
   
182,771
 
Total
 
$
(15,071,285
)
 
$
24,922,627
  
$
103,200
  
$
(15,071,285
)

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
  
Trading Gains/(Losses) for
the Nine Months Ended
September 30, 2021
  
Trading Gains/(Losses) for
the Nine Months Ended
September 30, 2020
 
Futures trading gains (losses):           
Realized***
 
$
(31,780,779
)
 
$
68,472,848
  
$
46,945,515
  
$
(31,780,779
)
Change in unrealized
 
12,619,520
  
(5,644,585
)
  
(13,358,341
)
  
12,619,520
 
Forward currency trading gains (losses):             
Realized***
 
5,916,594
  
3,800,316
   
11,462,922
   
5,916,594
 
Change in unrealized
 
1,243,888
  
(5,569,805
)
  
1,824,883
   
1,243,888
 
Swap trading gains (losses):              
Realized
 
525,424
 
0
   
(2,886,435
)
  
525,424
 
Change in unrealized
  
182,771
  
0
   
(681,914
)
  
182,771
 
Total
 
$
(11,292,582
)
 
$
61,058,774
  
$
43,306,630
  
$
(11,292,582
)

**
For the three months ended September 30, 20202021 and 2019,2020, the amounts above include gains/gains (losses) on foreign currency cash balances at the futures brokers of $122,452 and $11,066, respectively; and $(103,622), respectively, and gains/gains (losses) on spot trades in connection with forward currency trading at the interbank market makermakers of $1,167,357$643,572 and $978,763, respectively.$1,167,357, respectively.

***
For the nine months ended September 30, 20202021 and 2019,2020, the amounts above include gains/gains (losses) on foreign currency cash balances at the futures brokers of $207,379$160,751 and $157,695,$207,379, respectively, and gains/gains (losses) on spot trades in connection with forward currency trading at the interbank market makermakers of $(344,129)$374,085 and $1,052,646,$(344,129), respectively.


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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2021 (Unaudited)

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020
For the three months ended September 30, 20202021 and 2019,2020, the monthly average of futures contracts bought and sold was approximately 59,40058,900 and 46,000,59,400, respectively; the monthly average of notional value of centrally cleared swap contracts was approximately $534,400,000$7,818,600,000 and $0,$534,400,000, respectively; and the monthly average of notional value of forward currency contracts was $2,471,300,000$3,941,100,000 and $2,868,800,000,$2,471,300,000, respectively.


For the nine months ended September 30, 20202021 and 2019,2020, the monthly average of futures contracts bought and sold was approximately 52,40057,100 and 49,200,52,400, respectively; the monthly average of notional value of centrally cleared swap contracts was approximately $534,400,000$6,067,200,000 and $0,$534,400,000, respectively; and the monthly average of notional value of forward currency contracts was $3,185,800,000 and $2,237,700,000, and $3,327,500,000, respectively.


Open contracts generally mature within three months; as of September 30, 2020,2021, the latest maturity date for open futures contracts is December 20212022 and the latest maturity date for open forward currency contracts is December 2020.2021. However, the Trust intends to close all futures and offset all forward currency contracts prior to maturity. The latest termination date for centrally cleared swap contracts is December 2025.2026.


Credit Risk


The Trust trades futures contracts on exchanges that require margin deposits with the futures brokers and centrally cleared swap contracts that require margin deposits with the swaps broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a futures broker or swaps broker to segregate all customer transactions and assets from such futures broker’s or swaps broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury Bills) deposited with a futures broker or swaps broker are considered commingled with all other customer funds subject to the futures broker’s or swaps broker’s segregation requirements. In the event of a futures broker’s or swaps broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property deposited.


The Trust trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward currency contracts are generally greater than those associated with exchange traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency contracts typically involves delayed cash settlement.


The Trust has a portion of its assets on deposit with PNC Bank. In the event of a financial institution’s insolvency, recovery of the Trust’s assets on deposit may be limited to account insurance or other protection afforded such deposits.


The Trust has entered into ISDA Agreements with NatWest. Under the terms of the ISDA Agreement, upon the designation of an Event of Default, as defined in the ISDA Agreement, the non-defaulting party may set-off any sum or obligation owed by the defaulting party to the non-defaulting party against any sum or obligation owed by the non-defaulting party to the defaulting party. If any sum or obligation is unascertained, the non-defaulting party may in good faith estimate that sum or obligation and set-off in respect to that estimate, accounting to the other party when such sum or obligation is ascertained.


Under the terms of each master netting agreement with UBS Securities LLC and Goldman, Sachs & Co., upon occurrence of a default by the Trust, as defined in respective account documents, UBS Securities LLC and Goldman, Sachs & Co. have the right to close out any or all open contracts held in the Trust’s account; sell any or all of the securities held; and borrow or buy any securities, contracts or other property for the Trust’s account. The Trust would be liable for any deficiency in its account resulting from such transactions.


The amount of required margin and good faith deposits with the futures brokers, swaps broker, and interbank market maker usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at September 30, 20202021 and December 31, 20192020 was $43,871,907$42,158,052 and $53,641,527,$44,874,023, respectively, which equals approximately 16%14% and 17%16% of Net Asset Value, respectively. Included in cash deposits with the futures brokers, swaps broker and interbank market maker at September 30, 20202021 and December 31, 20192020 was restricted cash for margin requirements of $33,325,910$41,355,813 and $34,464,229,$27,965,902, respectively, which equals approximately 12%14% and 11%10% of Net Asset Value, respectively.


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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2021 (Unaudited)

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020
Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the Statements of Financial Condition and instruments and transactions that are subject to a master netting agreement as well as amounts related to financial collateral (including U.S. Treasury Bills and cash collateral) held at clearing brokers and counterparties. Margin reflected in the collateral tables is limited to the net amount of unrealized loss at each counterparty. Actual margin amounts required at each counterparty are based on the notional amounts or the number of contracts outstanding and may exceed the margin presented in the collateral tables.


Offsetting of Derivative Assets by Counterparty
 
As of September 30, 2021
          
Type of Instrument
 Counterparty
 
Gross
Amounts of
Recognized
Assets
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
 
Futures contracts
 UBS Securities LLC
 
$
9,764,843
  
$
(9,764,843
)
 
$
0
 
Futures contracts
 Goldman, Sachs & Co.
  
9,071,401
   
(9,071,401
)
  
0
 
Forward currency contracts
 NatWest Markets Plc
  
41,815,606
   
(37,664,004
)
  
4,151,602
 
Centrally cleared swap contracts*
 Centrally Cleared
  
5,920,495
   
(897,600
)
  
5,022,895
 
Total derivatives  
$
66,572,345
  
$
(57,397,848
)
 
$
9,174,497
 

Offsetting of Derivative Assets by Counterparty 
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
 
Futures contracts 
UBS Securities LLC
 
$
5,132,933
  
$
(2,866,258
)
 
$
2,266,675
 
Futures contracts 
Goldman Sachs & Co.
  
4,914,882
   
(2,701,974
)
  
2,212,908
 
Forward currency contracts 
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   
$
26,678,148
  
$
(20,461,851
)
 
$
6,216,297
 
*Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.


Derivative Assets and Collateral Received by CounterpartyDerivative Assets and Collateral Received by Counterparty       
Derivative Assets and Collateral Received by Counterparty
 
As of September 30, 2020         
As of September 30, 2021         
 
Net Amounts of
Unrealized Gain
 
Gross Amounts Not Offset in the
Statements of Financial Condition
 

  
Net Amounts of
Unrealized Gain
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty
 
in the Statements of
Financial Condition
 
Financial
Instruments
 
Cash Collateral
Received
 
Net Amount
  
Statements of
Financial Condition
  
Financial
Instruments
  
Cash Collateral
Received
  Net Amount 
UBS Securities LLC 
$
2,266,675
  
$
0
  
$
0
  
$
2,266,675
  
$
0
  
$
0
  
$
0
  
$
0
 
Goldman Sachs & Co. 
2,212,908
  
0
  
0
  
2,212,908
 
Goldman, Sachs & Co.
  
0
   
0
   
0
   
0
 
NatWest Markets Plc 
0
  
0
  
0
  
0
   
4,151,602
   
0
   
0
   
4,151,602
 
Centrally Cleared
  
1,736,714
   
0
   
0
   
1,736,714
   
5,022,895
   
0
   
0
   
5,022,895
 
Total 
$
6,216,297
  
$
0
  
$
0
  
$
6,216,297
  
$
9,174,497
  
$
0
  
$
0
  
$
9,174,497
 

  
Offsetting of Derivative Liabilities by CounterpartyOffsetting of Derivative Liabilities by Counterparty Offsetting of Derivative Liabilities by Counterparty 
As of September 30, 2020         
As of September 30, 2021
 
         
Type of Instrument
 
 
 
 
 
Counterparty
 
Gross Amounts
of Recognized
Liabilities
 
Gross
Amounts
Offset in the
Statements of
Financial Condition
 
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
 
 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
 
 UBS Securities LLC
 
$
11,346,894
  
$
(9,764,843
)
 
$
1,582,051
 
Futures contracts 
Goldman Sachs & Co.
 
2,701,974
  
(2,701,974
)
 
0
 
 Goldman, Sachs & Co.
  
11,146,372
   
(9,071,401
)
  
2,074,971
 
Forward currency contracts 
NatWest Markets Plc
 
15,395,486
  
(13,975,697
)
 
1,419,789
 
 NatWest Markets Plc
  
37,664,004
   
(37,664,004
)
  
0
 
Centrally cleared swap contracts 
Centrally Cleared
  
917,922
   
(917,922
)
  
0
 
 Centrally Cleared
  
897,600
   
(897,600
)
  
0
 
Total derivatives   
$
21,881,640
  
$
(20,461,851
)
 
$
1,419,789
   
$
61,054,870
  
$
(57,397,848
)
 
$
3,657,022
 


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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2021 (Unaudited)

Derivative Liabilities and Collateral Pledged by Counterparty
 
As of September 30, 2021         
 
 
Net Amounts of
Unrealized Loss
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty 
Statements of
Financial Condition
  
Financial
Instruments
  
Cash Collateral
Pledged
  Net Amount 
UBS Securities LLC 
$
1,582,051
  
$
0
  
$
(1,582,051
)
 
$
0
 
Goldman, Sachs & Co.  
2,074,971
   
0
   
(2,074,971
)
  
0
 
NatWest Markets Plc  
0
   
0
   
0
   
0
 
Centrally Cleared  
0
   
0
   
0
   
0
 
Total 
$
3,657,022
  
$
0
  
$
(3,657,022
)
 
$
0
 
 
Offsetting of Derivative Assets by Counterparty
 
As of December 31, 2020
         
Type of Instrument
Counterparty
 
Gross
Amounts
of Recognized
Assets
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Gain
Presented in the
Statements of
Financial Condition
 
Futures contracts
UBS Securities LLC
 
$
7,300,844
  
$
(2,648,871
)
 
$
4,651,973
 
Futures contracts
Goldman, Sachs & Co.
  
7,296,471
   
(2,247,125
)
  
5,049,346
 
Forward currency contracts
NatWest Markets Plc
  
12,145,055
   
(9,818,336
)
  
2,326,719
 
Centrally cleared swap contracts*
Centrally Cleared
  
4,087,615
   
(666,780
)
  
3,420,835
 
Total derivatives  
$
30,829,985
  
$
(15,381,112
)
 
$
15,448,873
 

Table*Amount of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition.

Derivative Liabilities and Collateral Pledged by Counterparty 
As of September 30, 2020         
Derivative Assets and Collateral Received by CounterpartyDerivative Assets and Collateral Received by Counterparty 
As of December 31, 2020
         
 
Net Amounts of
Unrealized loss
 
Gross Amounts Not Offset in the
Statements of Financial Condition
 

  
Net Amounts of
Unrealized Gain
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty
 
in the Statements of
Financial Condition
 
Financial
Instruments
 
Cash Collateral
Pledged
 
Net Amount
  
Statements of
Financial Condition
  
Financial
Instruments
  
Cash Collateral
Received
  Net Amount 
UBS Securities LLC 
$
0
  
$
0
  
$
0
  
$
0
  
$
4,651,973
  
$
0
  
$
0
  
$
4,651,973
 
Goldman Sachs & Co. 
0
  
0
  
0
  
0
 
Goldman, Sachs & Co.  
5,049,346
   
0
   
0
   
5,049,346
 
NatWest Markets Plc 
1,419,789
  
0
  
(1,419,789
)
 
0
   
2,326,719
   
0
   
0
   
2,326,719
 
Centrally Cleared  
0
   
0
   
0
   
0
   
3,420,835
   
0
   
0
   
3,420,835
 
Total 
$
1,419,789
  
$
0
  
$
(1,419,789
)
 
$
0
  
$
15,448,873
  
$
0
  
$
0
  
$
15,448,873
 

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
 

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
 


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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2021 (Unaudited)

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020
Offsetting of Derivative Liabilities by Counterparty
 
As of December 31, 2020         
Type of Instrument
Counterparty
 
Gross
Amounts
of Recognized
Liabilities
  
Gross
Amounts
Offset in the
Statements of
Financial Condition
  
Net Amounts of
Unrealized Loss
Presented in the
Statements of
Financial Condition
 
Futures contracts
UBS Securities LLC
 
$
2,648,871
  
$
(2,648,871
)
 
$
0
 
Futures contracts
Goldman, Sachs & Co.
  
2,247,125
   
(2,247,125
)
  
0
 
Forward currency contracts
NatWest Markets Plc
  
9,818,336
   
(9,818,336
)
  
0
 
Centrally cleared swap contracts
Centrally Cleared
  
666,780
   
(666,780
)
  
0
 
Total derivatives  
$
15,381,112
  
$
(15,381,112
)
 
$
0
 

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
 
Derivative Liabilities and Collateral Pledged by Counterparty 
As of December 31, 2020
         
 
 
 
Net Amounts of
Unrealized Loss
Presented in the
  
Gross Amounts Not Offset in the
Statements of Financial Condition
    
Counterparty 
Statements of
Financial Condition
  
Financial
Instruments
  
Cash Collateral
Pledged
  Net Amount 
UBS Securities LLC 
$
0
  
$
0
  
$
0
  
$
0
 
Goldman, Sachs & Co.  
0
   
0
   
0
   
0
 
NatWest Markets Plc  
0
   
0
   
0
   
0
 
Centrally Cleared  
0
   
0
   
0
   
0
 
Total 
$
0
  
$
0
  
$
0
  
$
0
 

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
 


Campbell & Company has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. Campbell & Company’s basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%. Campbell & Company’s attempt to manage the risk of the Trust’s open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses. Campbell & Company controls the risk of the Trust’s non-trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments.


Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Trust’s assets at financial institutions and brokers which Campbell & Company believes to be credit worthy. The unitholder bears the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.


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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2021 (Unaudited)

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020
Note 13. INDEMNIFICATIONS


In the normal course of business, the Trust enters into contracts and agreements that contain a variety of representations and warranties which provide general indemnifications. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. The Trust expects the risk of any future obligation under these indemnifications to be remote.



Note 14. INTERIM FINANCIAL STATEMENTS

The Statements of Financial Condition, including the Condensed Schedules of Investments, as of September 30, 20202021 and December 31, 2019,2020, the Statements of Operations and Financial Highlights for the three months and nine months ended September 30, 20202021 and 2019,2020, and the Statements of Cash Flows and Changes in Unitholders’ Capital (Net Asset Value) for the nine months ended September 30, 20202021 and 20192020 are unaudited. In the opinion of management, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of September 30, 20202021 and December 31, 2019,2020, the results of operations and financial highlights for the three months and nine months ended September 30, 20202021 and 2019,2020, and cash flows and changes in unitholders’ capital (Net Asset Value) for the nine months ended September 30, 20202021 and 2019.2020.


Note 15. SUBSEQUENT EVENTS


Management of the Trust has evaluated subsequent events through the date the financial statements were filed. There are no subsequent events to disclose or record.


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

Introduction


The Campbell Fund Trust (the “Trust”) is a business trust organized on January 2, 1996 under the Delaware Business Trust Act, which was replaced by the Delaware Statutory Trust Act as of September 1, 2002. The Trust is a successor to the Campbell Fund Limited Partnership (formerly known as the Commodity Trend Fund) which began trading operations in January 1972. The Trust currently trades in the U.S. and international futures, forward and 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 W5W 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 September 30, 2020,2021, the aggregate capitalization of the Trust was $271,980,344$292,494,762 with Series A, Series B, Series D and Series W comprising $210,687,834, $31,356,539, $4,892,124$222,025,022, $33,727,869, $6,836,168 and $25,043,847,$29,905,703, respectively, of the total. The Net Asset Value per Unit was $2,383.91$2,886.37 for Series A, $2,618.85$3,186.79 for Series B, $976.32$1,185.32 for Series D and $2,861.25$3,534.51 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 contingent 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 gains (losses)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 levellevels of the Trust isare adjusted and positions in the instruments the Trust trades are added or liquidated if necessary, on a pro-rata basis to meet those increases or decreases in trade levels.


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Liquidity


Most United States commodityfutures exchanges limit fluctuations in the prices of 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 brokersbroker and the over-the-counter counterparties.counterparty. This does not reduce the risk of loss from trading futures, forward and swap contracts. The Trust receives all interest earned on its assets. No other person shall receive any interest or other economic benefits from the deposit of Trust assets.


Approximately 10% to 30% of the Trust’s assets normally are committed as required margin for futures contracts and held by the futures brokers, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury billsBills 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 counterpartiescounterparty or centrally cleared in order to initiate and maintain forward or swap 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 counterparties.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 investsinvest 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, agency, or municipal securities; (ii)Government Securities, Government Agency Securities, Municipal Securities, banker acceptances orand certificates of deposits; (ii) commercial paper; (iii) commercial paper or money market securities;short-term investment grade corporate debt; and (iv) short-term, investment-grade corporate debt securities; or (v) investment-grade, asset backed securities.Asset Backed Securities.


The Trust occasionally receives margin calls (requests to post more collateral) from its futures brokers or over-the-counter counterparties,counterparty, which are met by moving the required portion of the assets held in the custody accountsaccount 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.


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Off-Balance Sheet Risk


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


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


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

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


The Trust invests in futures, forward currency, and centrally cleared swap contracts. The fairmarket 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.


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Results of Operations


The returns for the nine months ended September 30, 20202021 and 20192020 for Series A were 11.88% and (7.17)% and 17.80%, Series B were 12.30% and (6.82)% and 18.24%, Series D were 11.83% and (6.29)% and 17.48%, and Series W were 13.57% and (5.76)% and 19.58%, respectively.


2021 (For the Nine Months Ended September 30)

Of the 11.88% return for the nine months ended September 30, 2021 for Series A, approximately 16.18% was due to trading gains (before commissions) and approximately 0.10% due to investment income, offset by approximately (4.40)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series A.

Of the 12.30% return for the nine months ended September 30, 2021 for Series B, approximately 16.18% was due to trading gains (before commissions) and approximately 0.10% due to investment income, offset by approximately (3.98)% due to brokerage fees, management fees, sales commissions and operating costs incurred by Series B.

Of the 11.83% return for the nine months ended September 30, 2021 for Series D, approximately 16.18% was due to trading gains (before commissions) and approximately 0.10% due to investment income, offset by approximately (4.45)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs incurred by Series D.

Of the 13.57% return for the nine months ended September 30, 2021 for Series W, approximately 16.18% was due to trading gains (before commissions) and approximately 0.10% due to investment income, offset by approximately (2.71)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series W.

During the nine months ended September 30, 2020 and 2019,2021, the Trust accrued management fees in the amount of $7,077,889 and $9,695,861, respectively,$4,327,806 and paid management fees in the amount of $7,611,669$4,317,813. During the nine months ended September 30, 2021, the Trust accrued sales commissions in the amount of $3,858,879 and $9,688,872, respectively. Thepaid sales commissions in the amount of $3,857,673.  During the nine months ended September 30, 2021, the Trust accrued performance fees in the amount of $0 and $21,165, respectively,$54,801 and paid performance fees in the amount of $0$54,801.

An analysis of the 16.18% gross trading gains for the Trust for the nine months ended September 30, 2021 by sector is as follows:

Sector% Gain (Loss)
Credit(1.78)%
Commodities11.57%
Foreign Exchange5.13%
Interest Rates(5.88)%
Equity Indices7.14%
16.18%

The Trust showed a decline in January with losses coming from interest rate, foreign exchange (FX), stock index, and $0, respectively.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.


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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.

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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.

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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.

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2020 (For the Nine Months Ended September 30)


Of the (7.17)% return for the nine months endedEnded September 30, 2020 for Series A, approximately (3.99)% was due to trading losses (before commissions) and approximately 1.02% due to investment income, offset by approximately (4.20)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series A, offset by approximately 1.02% due to investment income.A.


Of the (6.82)% return for the nine months endedEnded September 30, 2020 for Series B, approximately (3.99)% was due to trading losses (before commissions) and approximately 1.02% due to investment income, offset by approximately (3.85)% due to brokerage fees, management fees, sales commissions and operating costs incurred by Series B, offset by approximately 1.02% due to investment income.B.


Of the (6.29)% return for the nine months endedEnded September 30, 2020 for Series D, approximately (3.99)% was due to trading losses (before commissions) and approximately 1.02% due to investment income, offset by approximately (3.32)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series D, offset by approximately 1.02% due to investment income.D.


Of the (5.76)% return for the nine months endedEnded September 30, 2020 for Series W, approximately (3.99)% was due to trading losses (before commissions) and approximately 1.02% due to investment income, offset by approximately (2.79)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series W, offset by approximately 1.02% due to investment income.W.


During the nine months ended September 30, 2020, the Trust accrued management fees in the amount of $7,077,888 and paid management fees in the amount of $7,611,668. No performance fees were accrued or paid during these periods.

An analysis of the (3.99)% gross trading lossesgains for the Trust for the nine months ended September 30, 2020 by sector is as follows:


Sector % Gain (Loss) 
Credit  
0.14
%
Commodities  
4.41
%
CurrenciesForeign Exchange  
1.98
%
Interest Rates  
4.98
%
StockEquity Indices  
(15.50
)%
   
(3.99
)%

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.


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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.


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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.


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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.


2019 (For the Nine Months Ended September 30)

Of the 17.80% return for the nine months ended September 30, 2019 for Series A, approximately 20.00% was due to trading gains (before commissions) and approximately 2.06% due to investment income, offset by approximately (4.26)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series A.

Of the 18.24% return for the nine months ended September 30, 2019 for Series B, approximately 20.00% was due to trading gains (before commissions) and approximately 2.06% due to investment income, offset by approximately (3.82)% due to brokerage fees, management fees and operating costs incurred by Series B.

Of the 17.48% return for the nine months ended September 30, 2019 for Series D, approximately 20.00% was due to trading gains (before commissions) and approximately 2.06% due to investment income, offset by approximately (4.58)% due to brokerage fees, management fees, performance fees, offering costs and operating costs incurred by Series D.

Of the 19.58% return for the nine months ended September 30, 2019 for Series W, approximately 20.00% was due to trading gains (before commissions) and approximately 2.06% due to investment income, offset by approximately (2.48)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series W.

An analysis of the 20.00% trading gains by sector is as follows:

Sector% Gain (Loss)
Commodities(3.25)%
Currencies(0.75)%
Interest Rates16.64%
Stock Indices7.36%
20.00%

The Trust, which consists of trend following, systematic macro, and short-term strategies, was lower in January. Losses came 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 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.

Item 3. Quantitative and Qualitative Disclosures About Market Risk.


Introduction


Past Results Not Necessarily Indicative of Future Performance


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


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


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


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Standard of Materiality


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


Quantifying the Trust’s Trading Value at Risk


Quantitative Forward-Looking Statements


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


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


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


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


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


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


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


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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 September 30, 20202021 and December 31, 20192020 and the trading gains/losses by market category for the nine months ended September 30, 20202021 and the year ended December 31, 2019.2020.


 September 30, 2020  September 30, 2021 
Market Sector 
Value
at Risk*
  
Trading
Gain/(Loss)**
  
Value
at Risk*
  
Trading
Gain/(Loss)**
 
Credit 0.09% 0.14%  0.06%  (1.78)%
Commodities 0.96% 4.41%  0.75%  11.57%
Currencies 0.47% 1.98%
Foreign Exchange  0.92%  5.13%
Interest Rates 0.78% 4.98%  0.64%  (5.88)%
Stock Indices 0.64%  (15.50)%
Equity Indices  0.93%  7.14%
Aggregate/Total 1.28%  (3.99)%  1.20%  16.18%


*
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 nine months ended September 30, 2020.
2021.


Of the (7.17)%11.88% return for the nine months ended September 30, 20202021 for Series A, approximately (3.99)%16.18% was due to trading lossesgains (before commissions) and approximately (4.20)0.10% due to investment income, offset by approximately (4.40)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series A.

Of the 12.30% return for the nine months ended September 30, 2021 for Series B, approximately 16.18% was due to trading gains (before commissions) and approximately 0.10% due to investment income, offset by approximately (3.98)% due to brokerage fees, management fees, sales commissions and operating costs incurred by Series B.

Of the 11.83% return for the nine months ended September 30, 2021 for Series D, approximately 16.18% was due to trading gains (before commissions) and approximately 0.10% due to investment income, offset by approximately (4.45)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs incurred by Series D.

Of the 13.57% return for the nine months ended September 30, 2021 for Series W, approximately 16.18% was due to trading gains (before commissions) and approximately 0.10% due to investment income, offset by approximately (2.71)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series A, offset by approximately 1.02% due to investment income.W.


  December 31, 2020 
Market Sector 
Value
at Risk*
  
Trading
Gain/(Loss)**
 
Credit  0.11%  0.08%
Commodities  0.71%  10.33%
Foreign Exchange  0.51%  4.31%
Interest Rates  0.87%  2.63%
Equity Indices  0.63%  (12.32)%
Aggregate/Total  1.43%  5.03%
Of the (6.82)% return for the nine months ended September 30, 2020 for Series B, approximately (3.99)% was due to trading losses (before commissions) and approximately (3.85)% due to brokerage fees, management fees and operating costs incurred by Series B, offset by approximately 1.02% due to investment income.

Of the (6.29)% return for the nine months ended September 30, 2020 for Series D, approximately (3.99)% was due to trading losses (before commissions) and approximately (3.32)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series D, offset by approximately 1.02% due to investment income.

Of the (5.76)% return for the nine months ended September 30, 2020 for Series W, approximately (3.99)% was due to trading losses (before commissions) and approximately (2.79)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series W, offset by approximately 1.02% due to investment income.

  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.
2020.


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Of the 7.75%0.46% return for the year ended December 31, 20192020 for Series A, approximately 10.78%5.03% was due to trading gains (before commissions) and approximately 2.59%1.10% due to investment income, offset by approximately (5.62)(5.67)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series A.


Of the 8.29%0.97% return for year ended December 31, 20192020 for Series B, approximately 10.78%5.03% was due to trading gains (before commissions) and approximately 2.59%1.10% due to investment income, offset by approximately (5.08)(5.16)% due to brokerage fees, management fees, sales commissions, and operating costs borne by Series B.


Of the 7.79%1.73% return for the year ended December 31, 20192020 for Series D, approximately 10.78%5.03% was due to trading gains (before commissions) and approximately 2.59%1.10% due to investment income, offset by approximately (5.58)(4.40)% due to brokerage fees, management fees, performance fees,sales commissions, offering costs and operating costs borne by Series D.


Of the 9.93%2.50% return for the year ended December 31, 20192020 for Series W, approximately 10.78%5.03% was due to trading gains (before commissions) and approximately 2.59%1.10% due to investment income, offset by approximately (3.44)(3.63)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series W.


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


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


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


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


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


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


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


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


Non-Trading Risk


The Trust has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Trust also has non-trading market risk as a result of investing a portion of its available assets in U.S. Treasury Bills held at the brokersbroker and over-the-counter counterparties.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.


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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 wererepresent the primary trading risk exposures of the Trust as of September 30, 20202021 by market sector.


CurrenciesForeign Exchange


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


Interest Rates


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


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.


Credit


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


Energy


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


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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 September 30, 2020.2021.


Foreign Currency Balances


The Trust’s primary foreign currency balances are in Australian Dollar, British Pound,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 provideprovides 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 ninesix 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.


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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 the nine months ended September 30, 2020, theThe Trust operatedhas continued to operate as normal during the coronavirus (“COVID-19”) outbreak.COVID-19 pandemic.  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 the COVID-19 outbreak on the financial performance of the Trust’s investments will depend on future developments, including the durationeffectiveness of vaccines and spreadthe public’s willingness to get vaccinated as new strains of the virus andemerge, along with any related advisories and restrictions. These developments and the lasting impact of COVID-19 on the financial markets and the overall economy are highly uncertain and cannot be predicted.  If the financial markets and/or the overall economy are impacted for an extended period, the Trust’s ability to trade and investment results may be materially affected.


Item 4.  Controls and Procedures.
Campbell & Company, the managing operator of the Trust, with the participation of the managing operator’s chief executive officer and chief operating officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in the Securities Exchange Act of 1934 Rules 13a-15(e) or 15d-15(e)) with respect to the Trust as of the end of the period covered by this quarterly report. Based on their evaluation, the chief executive officer and chief operating officer have concluded that these disclosure controls and procedures are effective.  There were no changes in the managing operator’s internal control over financial reporting applicable to the Trust identified in connection with the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or 15d-15 that occurred during the last fiscal quarter that have materially affected, or is reasonably likely to materially affect, internal control over financial reporting applicable to the Trust.

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PART II-OTHER INFORMATION


Item 1.  Legal Proceedings.


None


Item 1A.  Risk Factors.


None          There are no material changes from the risk factors as previously disclosed in Form 10-K, filed March 26, 2021.


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


None


Item 3.  Defaults Upon Senior Securities.


Not applicable.


Item 4.  Mine Safety Disclosures.


Not applicable.


Item 5.  Other Information.


None


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Item 6.  Exhibits.


Exhibit Number Description of Document
3.01 
Articles and Plan of Merger of the Campbell Fund Limited Partnership with and into the Registrant dated January 2, 1996(1)
   
3.02 
Amended and Restated Declaration of Trust and Trust Agreement of the Registrant dated February 3, 2010(2)
   
10.01 
Advisory Agreement between the Registrant and Campbell & Company LP(1)
   
10.02 
Global Institutional Master Custody Agreement(2)
   
10.03 
Investment Management Agreement with PNC Capital Advisors LLC, as cash manager(3)
   
31.01
 Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the SecuritesSecurities Exchange Act of 1934.
   
31.02
 Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the SecuritesSecurities Exchange Act of 1934.
   
32.01
 Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
   
32.02
 Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
   
101.01101 Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of September 30, 20202021 and December 31, 2019,2020, (ii) Statements of Financial Condition as of September 30, 20202021 and December 31, 2019,2020, (iii) Statements of Operations For the Three Months and Nine Months Ended September 30, 20202021 and 2019,2020, (iv) Statements of Cash Flows For the Nine Months Ended September 30, 20202021 and 2019,2020, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the Nine Months Ended September 30, 20202021 and 2019,2020, (vi) Financial Highlights For the Three Months and Nine Months Ended September 30, 20202021 and 2019,2020, (vii) Notes to Financial Statements.
104Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).


(1)
Incorporated by reference to the respective exhibit to the Registrant’s Form 10 filed on April 30, 2003.
(2)
Incorporated by reference to the respective exhibit to the Registrant’s Quarterly Report on Form 10-Q filed August 15, 2011.
(3)
Incorporated by reference to the respective exhibit to the Registrant’s Quarterly Report on Form 10-Q filed on May 15, 2014.


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EXHIBIT INDEX


31.01
Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
  
31.02
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
  
32.01
Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
  
32.02
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
  
101.01101
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of September 30, 20202021 and December 31, 2019,2020, (ii) Statements of Financial Condition as of September 30, 20202021 and December 31, 2019,2020, (iii) Statements of Operations For the Three Months and Nine Months Ended September 30, 20202021 and 2019,2020, (iv) Statements of Cash Flows For the Nine Months Ended September 30, 20202021 and 2019,2020, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the Nine Months Ended September 30, 20202021 and 2019,2020, (vi) Financial Highlights For the Three Months and Nine Months Ended September 30, 20202021  and 2019,2020, (vii) Notes to Financial Statements.
104Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).


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SIGNATURES


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


 
THE CAMPBELL FUND TRUST
(Registrant)
    
 By:Campbell & Company, LP 
  Managing Operator 
   
Date: November 16, 202012, 2021By:
/s/ G. William Andrews
 
  G. William Andrews 
  Chief Executive Officer 




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