Document and Entity Information
Document and Entity Information | 3 Months Ended |
Mar. 31, 2016shares | |
Entity Information [Line Items] | |
Entity Registrant Name | CAMPBELL FUND TRUST |
Entity Central Index Key | 1,043,951 |
Current Fiscal Year End Date | --12-31 |
Entity Well-known Seasoned Issuer | No |
Entity Voluntary Filers | No |
Entity Current Reporting Status | Yes |
Entity Filer Category | Non-accelerated Filer |
Document Fiscal Year Focus | 2,016 |
Document Fiscal Period Focus | Q1 |
Document Type | 10-Q |
Amendment Flag | false |
Document Period End Date | Mar. 31, 2016 |
Series A [Member] | |
Entity Information [Line Items] | |
Entity Common Stock, Shares Outstanding | 248,955.394 |
Series B [Member] | |
Entity Information [Line Items] | |
Entity Common Stock, Shares Outstanding | 41,963.728 |
Series W [Member] | |
Entity Information [Line Items] | |
Entity Common Stock, Shares Outstanding | 25,511.384 |
CONDENSED SCHEDULE OF INVESTMEN
CONDENSED SCHEDULE OF INVESTMENTS (Unaudited) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 | |||
Investment Owned | |||||
Short term investments | $ 1,575 | $ 2,104 | |||
Net unrealized gain (loss) on open forward currency contracts | 105,219 | 2,415,311 | |||
Fixed Income Securities [Member] | |||||
Investment Owned | |||||
Fair value | $ 853,096,313 | [1] | $ 836,554,075 | [2] | |
% of Net Asset Value | 91.05% | 90.14% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | |||||
Investment Owned | |||||
Fair value | $ 64,808,276 | $ 58,857,770 | |||
% of Net Asset Value | 6.92% | 6.34% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Auto Loans [Member] | |||||
Investment Owned | |||||
Fair value | $ 33,650,248 | $ 32,296,389 | |||
% of Net Asset Value | 3.59% | 3.48% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Credit Cards [Member] | |||||
Investment Owned | |||||
Fair value | $ 24,074,959 | $ 21,617,224 | |||
% of Net Asset Value | 2.57% | 2.33% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Equipment Loans [Member] | |||||
Investment Owned | |||||
Fair value | $ 5,412,247 | $ 3,276,502 | |||
% of Net Asset Value | 0.58% | 0.35% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Utility Rate Reduction Bonds [Member] | |||||
Investment Owned | |||||
Fair value | $ 1,670,822 | $ 1,667,655 | |||
% of Net Asset Value | 0.18% | 0.18% | |||
Fixed Income Securities [Member] | Bank Deposits [Member] | |||||
Investment Owned | |||||
Fair value | $ 8,917,008 | ||||
% of Net Asset Value | 0.95% | ||||
Fixed Income Securities [Member] | Bank Deposits [Member] | Switzerland [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 8,917,008 | ||||
% of Net Asset Value | 0.95% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | |||||
Investment Owned | |||||
Fair value | $ 315,323,540 | $ 281,322,005 | |||
% of Net Asset Value | 33.65% | 30.31% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | Switzerland [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 3,377,957 | ||||
% of Net Asset Value | 0.36% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | |||||
Investment Owned | |||||
Fair value | $ 311,945,583 | ||||
% of Net Asset Value | 33.29% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Communications [Member] | |||||
Investment Owned | |||||
Fair value | $ 8,388,809 | $ 11,572,012 | |||
% of Net Asset Value | 0.90% | 1.25% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Consumer Discretionary [Member] | |||||
Investment Owned | |||||
Fair value | $ 65,596,710 | $ 45,284,606 | |||
% of Net Asset Value | 7.00% | 4.88% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Consumer Staples [Member] | |||||
Investment Owned | |||||
Fair value | $ 39,093,773 | $ 17,825,018 | |||
% of Net Asset Value | 4.17% | 1.92% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Energy [Member] | |||||
Investment Owned | |||||
Fair value | $ 18,109,535 | $ 3,511,542 | |||
% of Net Asset Value | 1.93% | 0.38% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 72,272,301 | $ 60,228,274 | |||
% of Net Asset Value | 7.70% | 6.49% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Health Care [Member] | |||||
Investment Owned | |||||
Fair value | $ 6,437,277 | $ 25,701,714 | |||
% of Net Asset Value | 0.69% | 2.77% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Industrials [Member] | |||||
Investment Owned | |||||
Fair value | $ 25,633,237 | $ 37,091,707 | |||
% of Net Asset Value | 2.74% | 4.00% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Materials [Member] | |||||
Investment Owned | |||||
Fair value | $ 4,218,599 | ||||
% of Net Asset Value | 0.45% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Technology [Member] | |||||
Investment Owned | |||||
Fair value | $ 26,565,483 | $ 25,109,992 | |||
% of Net Asset Value | 2.84% | 2.70% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Utilities [Member] | |||||
Investment Owned | |||||
Fair value | $ 45,629,859 | $ 54,997,140 | |||
% of Net Asset Value | 4.87% | 5.92% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | |||||
Investment Owned | |||||
Fair value | $ 275,046,214 | $ 287,043,604 | |||
% of Net Asset Value | 29.36% | 30.93% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Japan [Member] | Consumer Discretionary [Member] | |||||
Investment Owned | |||||
Fair value | $ 4,857,419 | ||||
% of Net Asset Value | 0.52% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | |||||
Investment Owned | |||||
Fair value | $ 282,186,185 | ||||
% of Net Asset Value | 30.41% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Communications [Member] | |||||
Investment Owned | |||||
Fair value | $ 36,572,455 | $ 36,566,791 | |||
% of Net Asset Value | 3.90% | 3.94% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Consumer Discretionary [Member] | |||||
Investment Owned | |||||
Fair value | $ 48,016,663 | $ 44,277,095 | |||
% of Net Asset Value | 5.12% | 4.77% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Consumer Staples [Member] | |||||
Investment Owned | |||||
Fair value | $ 20,791,872 | $ 28,814,680 | |||
% of Net Asset Value | 2.22% | 3.11% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Energy [Member] | |||||
Investment Owned | |||||
Fair value | $ 4,979,347 | ||||
% of Net Asset Value | 0.53% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 117,176,838 | $ 143,372,999 | |||
% of Net Asset Value | 12.52% | 15.45% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Health Care [Member] | |||||
Investment Owned | |||||
Fair value | $ 12,101,380 | $ 12,187,502 | |||
% of Net Asset Value | 1.29% | 1.31% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Industrials [Member] | |||||
Investment Owned | |||||
Fair value | $ 9,813,169 | ||||
% of Net Asset Value | 1.05% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Technology [Member] | |||||
Investment Owned | |||||
Fair value | $ 25,594,490 | $ 16,967,118 | |||
% of Net Asset Value | 2.73% | 1.83% | |||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | |||||
Investment Owned | |||||
Fair value | $ 189,001,275 | $ 209,330,696 | |||
% of Net Asset Value | 20.17% | 22.56% | |||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 04/14/2016 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 14,199,460 | |||
% of Net Asset Value | 1.52% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 04/21/2016 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 20,998,698 | |||
% of Net Asset Value | 2.24% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 04/28/2016 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 64,992,005 | |||
% of Net Asset Value | 6.93% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 05/26/2016 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 42,839,245 | |||
% of Net Asset Value | 4.57% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 06/23/2016 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 20,990,151 | |||
% of Net Asset Value | 2.24% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 06/30/2016 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 24,981,716 | |||
% of Net Asset Value | 2.67% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 01/28/2016 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 64,994,670 | |||
% of Net Asset Value | 7.00% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 02/04/2016 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 8,599,329 | |||
% of Net Asset Value | 0.93% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 02/25/2016 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 135,736,697 | |||
% of Net Asset Value | 14.63% | ||||
Short Term Investments [Member] | |||||
Investment Owned | |||||
Short term investments | $ 1,575 | $ 2,104 | |||
% of Net Asset Value | 0.00% | 0.00% | |||
Short Term Investments [Member] | Money Market Funds [Member] | United States [Member] | |||||
Investment Owned | |||||
Short term investments | $ 1,575 | $ 2,104 | |||
% of Net Asset Value | 0.00% | 0.00% | |||
Futures Contracts [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 12,582,958 | $ (13,809,470) | |||
% of Net Asset Value | 1.35% | (1.49%) | |||
Futures Contracts [Member] | Long Contracts [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 8,106,257 | $ 60,229 | |||
% of Net Asset Value | 0.87% | 0.01% | |||
Futures Contracts [Member] | Long Contracts [Member] | Agriculture [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (777,212) | $ 51,896 | |||
% of Net Asset Value | (0.08%) | 0.00% | |||
Futures Contracts [Member] | Long Contracts [Member] | Energy [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 70,405 | ||||
% of Net Asset Value | 0.01% | ||||
Futures Contracts [Member] | Long Contracts [Member] | Metals [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (1,079,485) | $ 459,326 | |||
% of Net Asset Value | (0.12%) | 0.05% | |||
Futures Contracts [Member] | Long Contracts [Member] | Stock Indices [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 268,807 | $ (658,566) | |||
% of Net Asset Value | 0.03% | (0.07%) | |||
Futures Contracts [Member] | Long Contracts [Member] | Short-Term Interest Rates [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 1,585,476 | $ (671,792) | |||
% of Net Asset Value | 0.17% | (0.07%) | |||
Futures Contracts [Member] | Long Contracts [Member] | Long-Term Interest Rates [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 8,108,671 | $ 808,960 | |||
% of Net Asset Value | 0.87% | 0.09% | |||
Futures Contracts [Member] | Short Contracts [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 4,476,701 | $ (13,869,699) | |||
% of Net Asset Value | 0.48% | 1.50% | |||
Futures Contracts [Member] | Short Contracts [Member] | Agriculture [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 2,767,134 | $ 1,008,869 | |||
% of Net Asset Value | 0.30% | 0.11% | |||
Futures Contracts [Member] | Short Contracts [Member] | Energy [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 1,081,311 | $ (9,719,336) | |||
% of Net Asset Value | 0.12% | (1.05%) | |||
Futures Contracts [Member] | Short Contracts [Member] | Metals [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 1,444,374 | $ (4,592,137) | |||
% of Net Asset Value | 0.15% | (0.49%) | |||
Futures Contracts [Member] | Short Contracts [Member] | Stock Indices [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 602,623 | $ (152,521) | |||
% of Net Asset Value | 0.06% | (0.02%) | |||
Futures Contracts [Member] | Short Contracts [Member] | Short-Term Interest Rates [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (531,497) | $ (75,529) | |||
% of Net Asset Value | (0.06%) | (0.01%) | |||
Futures Contracts [Member] | Short Contracts [Member] | Long-Term Interest Rates [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (887,244) | $ (339,045) | |||
% of Net Asset Value | (0.09%) | (0.04%) | |||
Forward Currency Contracts [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open forward currency contracts | $ 105,219 | $ 2,415,311 | |||
% of Net Asset Value | 0.01% | 0.26% | |||
Forward Currency Contracts [Member] | Long Contracts [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open forward currency contracts | $ 57,968,290 | $ (11,389,490) | |||
% of Net Asset Value | 6.19% | (1.23%) | |||
Forward Currency Contracts [Member] | Short Contracts [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open forward currency contracts | $ (57,863,071) | $ 13,804,801 | |||
% of Net Asset Value | (6.18%) | 1.49% | |||
[1] | Included in fixed income securities are U.S. Treasury Bills with a fair value of $127,975,583 deposited with the futures brokers and $61,025,692 deposited with the interbank market maker. | ||||
[2] | Included in fixed income securities are U.S. Treasury Bills with a fair value of $124,988,790 deposited with the futures brokers and $84,341,906 deposited with the interbank market maker. | ||||
[3] | Pledged as collateral for the trading of futures or forward positions. |
CONDENSED SCHEDULE OF INVESTME3
CONDENSED SCHEDULE OF INVESTMENTS (Unaudited) (Parenthetical) - USD ($) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2016 | Dec. 31, 2015 | |
Investment Owned | ||
Fixed income securities deposited with futures brokers | $ 127,975,583 | $ 124,988,790 |
Fixed income securities deposited with interbank market maker | 725,120,730 | 711,565,285 |
Fixed Income Securities [Member] | ||
Investment Owned | ||
Cost | 853,039,827 | 837,171,775 |
Fixed Income Securities [Member] | Asset Backed Securities [Member] | ||
Investment Owned | ||
Cost | 64,812,680 | 58,983,770 |
Fixed Income Securities [Member] | Bank Deposits [Member] | ||
Investment Owned | ||
Cost | 8,911,218 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | ||
Investment Owned | ||
Cost | 315,323,802 | 281,294,649 |
Fixed Income Securities [Member] | Commercial Paper [Member] | Switzerland [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 3,377,961 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | ||
Investment Owned | ||
Cost | 311,945,841 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | ||
Investment Owned | ||
Cost | 275,009,715 | 287,545,890 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Japan [Member] | Consumer Discretionary [Member] | ||
Investment Owned | ||
Cost | 4,881,998 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | ||
Investment Owned | ||
Cost | 282,663,892 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | ||
Investment Owned | ||
Cost | 188,982,412 | 209,347,466 |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | ||
Investment Owned | ||
Fixed income securities deposited with futures brokers | 127,975,583 | 124,988,790 |
Fixed income securities deposited with interbank market maker | 61,025,692 | 84,341,906 |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 04/14/2016 [Member] | ||
Investment Owned | ||
Maturity face value | $ 14,200,000 | |
Due date | Apr. 14, 2016 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 04/21/2016 [Member] | ||
Investment Owned | ||
Maturity face value | $ 21,000,000 | |
Due date | Apr. 21, 2016 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 04/28/2016 [Member] | ||
Investment Owned | ||
Maturity face value | $ 65,000,000 | |
Due date | Apr. 28, 2016 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 05/26/2016 [Member] | ||
Investment Owned | ||
Maturity face value | $ 42,850,000 | |
Due date | May 26, 2016 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 06/23/2016 [Member] | ||
Investment Owned | ||
Maturity face value | $ 21,000,000 | |
Due date | Jun. 23, 2016 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 06/30/2016 [Member] | ||
Investment Owned | ||
Maturity face value | $ 25,000,000 | |
Due date | Jun. 30, 2016 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 01/28/2016 [Member] | ||
Investment Owned | ||
Maturity face value | $ 65,000,000 | |
Due date | Jan. 28, 2016 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 02/04/2016 [Member] | ||
Investment Owned | ||
Maturity face value | $ 8,600,000 | |
Due date | Feb. 4, 2016 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 02/25/2016 [Member] | ||
Investment Owned | ||
Maturity face value | $ 135,750,000 | |
Due date | Feb. 25, 2016 | |
Short Term Investments [Member] | ||
Investment Owned | ||
Cost | $ 1,575 | $ 2,104 |
Short Term Investments [Member] | Money Market Funds [Member] | United States [Member] | ||
Investment Owned | ||
Cost | $ 1,575 | $ 2,104 |
STATEMENTS OF FINANCIAL CONDITI
STATEMENTS OF FINANCIAL CONDITION (Unaudited) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
Equity in futures broker trading accounts | ||
Cash | $ 71,829,254 | $ 99,353,162 |
Restricted cash | 0 | 8,747,696 |
Fixed income securities (cost $127,959,346 and $124,998,065, respectively) | 127,975,583 | 124,988,790 |
Net unrealized gain (loss) on open futures contracts | 12,582,958 | (13,809,470) |
Total equity in futures broker trading accounts | 212,387,795 | 219,280,178 |
Cash | 11,878,751 | 5,183,930 |
Short term investments (cost $1,575 and $2,104, respectively) | 1,575 | 2,104 |
Fixed income securities (cost $725,080,481 and $712,713,710, respectively) | 725,120,730 | 711,565,285 |
Net unrealized gain (loss) on open forward currency contracts | 105,219 | 2,415,311 |
Interest receivable | 645,764 | 1,061,401 |
Total assets | 950,139,834 | 939,508,209 |
LIABILITIES | ||
Accounts payable | 336,808 | 406,928 |
Management fee payable | 2,990,622 | 2,981,991 |
Service fee payable | 17,030 | 16,452 |
Accrued commissions and other trading fees on open contracts | 124,580 | 160,693 |
Offering costs payable | 334,866 | 332,313 |
Redemptions payable | 9,271,202 | 7,528,426 |
Subscription deposits | 126,400 | 0 |
Total liabilities | 13,201,508 | 11,426,803 |
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Total unitholders' capital (Net Asset Value) | 936,938,326 | 928,081,406 |
Total liabilities and unitholders' capital (Net Asset Value) | 950,139,834 | 939,508,209 |
Series A Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | 724,091,598 | 711,962,948 |
Series B Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | 131,220,418 | 135,564,706 |
Series W Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | $ 81,626,310 | $ 80,553,752 |
STATEMENTS OF FINANCIAL CONDIT5
STATEMENTS OF FINANCIAL CONDITION (Unaudited) (Parenthetical) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
Equity in futures broker trading accounts | ||
Fixed income securities, cost | $ 127,949,346 | $ 124,998,065 |
Short term investments, cost | 1,575 | 2,104 |
Fixed income securities, cost | $ 725,080,481 | $ 712,173,710 |
Series A Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 248,955.394 | 243,788.567 |
Series B Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 41,963.728 | 43,230.672 |
Series W Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 25,511.384 | 25,184.916 |
STATEMENTS OF OPERATIONS (Unaud
STATEMENTS OF OPERATIONS (Unaudited) - USD ($) | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Futures trading gains (losses) | ||
Realized | $ (32,239,870) | $ 59,641,889 |
Change in unrealized | 26,392,428 | (7,822,690) |
Brokerage commissions | (1,088,967) | (963,135) |
Net gain (loss) from futures trading | (6,936,409) | 50,856,064 |
Forward currency trading gains (losses) | ||
Realized | 14,240,299 | 19,653,871 |
Change in unrealized | (2,310,092) | 5,050,138 |
Brokerage commissions | (79,768) | (79,242) |
Net gain (loss) from forward currency trading | 11,850,439 | 24,624,767 |
Total net trading gain (loss) | 4,914,030 | 75,480,831 |
Investment income | ||
Interest income | 1,417,413 | 856,693 |
Realized gain (loss) on fixed income securities | 0 | 146,800 |
Change in unrealized gain (loss) on fixed income securities | 674,186 | 2,082 |
Total investment income | 2,091,599 | 1,005,575 |
Expenses | ||
Management fee | 9,116,689 | 7,756,411 |
Service fee | 48,587 | 52,027 |
Performance fee | 0 | 13,671,976 |
Operating expenses | 445,359 | 331,256 |
Total expenses | 9,610,635 | 21,811,670 |
Net investment income (loss) | (7,519,036) | (20,806,095) |
NET INCOME (LOSS) | $ (2,605,006) | $ 54,674,736 |
Series A [Member] | ||
NET INCOME (LOSS) PER OTHER UNITHOLDERS UNIT | ||
NET INCOME (LOSS) PER OTHER UNITHOLDERS UNIT (based on weighted average outstanding during the period) (in dollars per unit) | $ (9.63) | $ 222.22 |
INCREASE (DECREASE) IN NET ASSET VALUE PER OTHER UNITHOLDERS UNIT (in dollars per unit) | (11.89) | 219.72 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 245,189.794 | 168,673.522 |
Series B [Member] | ||
NET INCOME (LOSS) PER OTHER UNITHOLDERS UNIT | ||
NET INCOME (LOSS) PER OTHER UNITHOLDERS UNIT (based on weighted average outstanding during the period) (in dollars per unit) | $ (7.98) | $ 241.69 |
INCREASE (DECREASE) IN NET ASSET VALUE PER OTHER UNITHOLDERS UNIT (in dollars per unit) | (8.85) | 240.38 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 42,998.802 | 46,755.341 |
Series W [Member] | ||
NET INCOME (LOSS) PER OTHER UNITHOLDERS UNIT | ||
NET INCOME (LOSS) PER OTHER UNITHOLDERS UNIT (based on weighted average outstanding during the period) (in dollars per unit) | $ 3.96 | $ 254.79 |
INCREASE (DECREASE) IN NET ASSET VALUE PER OTHER UNITHOLDERS UNIT (in dollars per unit) | 1.11 | 250.70 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 25,337.629 | 23,121.039 |
STATEMENTS OF CASH FLOWS (Unaud
STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Cash flows from (for) operating activities | ||
Net income (loss) | $ (2,605,006) | $ 54,674,736 |
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | ||
Net change in unrealized on futures, forwards and investments | (24,756,522) | 2,770,470 |
(Increase) decrease in restricted cash | 8,747,696 | (18,430,653) |
(Increase) decrease in interest receivable | 415,637 | 464,189 |
Increase (decrease) in payable for securities purchased | 0 | 3,301,425 |
Increase (decrease) in accounts payable and accrued expenses | (97,024) | (2,850,341) |
Purchases of investments | (2,667,339,727) | (2,713,339,984) |
Sales/maturities of investments | 2,651,472,204 | 2,662,790,263 |
Net cash from (for) operating activities | (34,162,742) | (10,619,895) |
Cash flows from (for) financing activities | ||
Addition of units | 33,746,006 | 65,450,900 |
Subscription deposits | 126,400 | 0 |
Redemption of units | (19,522,288) | (10,915,998) |
Offering costs paid | (1,016,463) | (775,299) |
Net cash from (for) financing activities | 13,333,655 | 53,759,603 |
Net increase (decrease) in cash | (20,829,087) | 43,139,708 |
Unrestricted cash | ||
Beginning of period | 104,537,092 | 98,388,222 |
End of period | 83,708,005 | 141,527,930 |
End of period cash consists of: | ||
Cash in futures broker trading accounts | 71,829,254 | 115,223,737 |
Cash | 11,878,751 | 26,304,193 |
End of period | $ 83,708,005 | $ 141,527,930 |
STATEMENTS OF CHANGES IN UNITHO
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE) (Unaudited) - USD ($) | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
Balances at beginning of year | $ 928,081,406 | $ 748,010,019 |
Net income (loss) | (2,605,006) | 54,674,736 |
Additions | 33,746,006 | 68,504,987 |
Redemptions | (21,265,064) | (10,040,238) |
Offering costs | (1,019,016) | (812,253) |
Balances at end of period | 936,938,326 | 860,337,251 |
Series A [Member] | Other Unitholders [Member] | ||
Balances at beginning of year | $ 711,962,948 | $ 512,679,918 |
Balances at beginning of year (in units) | 243,788.567 | 163,776.415 |
Net income (loss) | $ (2,362,163) | $ 37,483,341 |
Additions | $ 30,057,458 | $ 65,415,429 |
Additions (in units) | 10,097.935 | 19,785.801 |
Redemptions | $ (14,651,375) | $ (6,141,415) |
Redemptions (in units) | (4,931.108) | (1,856.113) |
Offering costs | $ (915,270) | $ (707,660) |
Balances at end of period | $ 724,091,598 | $ 608,729,613 |
Balances at end of period (in units) | 248,955.394 | 181,706.103 |
Series B [Member] | Other Unitholders [Member] | ||
Balances at beginning of year | $ 135,564,706 | $ 158,156,273 |
Balances at beginning of year (in units) | 43,230.672 | 47,305.148 |
Net income (loss) | $ (343,169) | $ 11,300,500 |
Additions | $ 0 | $ 0 |
Additions (in units) | 0 | 0 |
Redemptions | $ (4,001,119) | $ (3,612,407) |
Redemptions (in units) | (1,266.944) | (1,027.672) |
Offering costs | $ 0 | $ 0 |
Balances at end of period | $ 131,220,418 | $ 165,844,366 |
Balances at end of period (in units) | 41,963.728 | 46,277.476 |
Series W [Member] | Other Unitholders [Member] | ||
Balances at beginning of year | $ 80,553,752 | $ 77,173,828 |
Balances at beginning of year (in units) | 25,184.916 | 22,899.655 |
Net income (loss) | $ 100,326 | $ 5,890,895 |
Additions | $ 3,688,548 | $ 3,089,558 |
Additions (in units) | 1,131.778 | 867.282 |
Redemptions | $ (2,612,570) | $ (286,416) |
Redemptions (in units) | (805.310) | (80.601) |
Offering costs | $ (103,746) | $ (104,593) |
Balances at end of period | $ 81,626,310 | $ 85,763,272 |
Balances at end of period (in units) | 25,511.384 | 23,686.336 |
STATEMENTS OF CHANGES IN UNITH9
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE) (Unaudited) (Parenthetical) - $ / shares | Mar. 31, 2016 | Dec. 31, 2015 | Mar. 31, 2015 | Dec. 31, 2014 |
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | 2,920.41 | 3,130.36 | ||
Series A [Member] | ||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | 2,908.52 | 2,920.41 | 3,350.08 | 3,130.36 |
Series B [Member] | ||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | 3,127 | 3,135.85 | 3,583.70 | 3,343.32 |
Series W [Member] | ||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | 3,199.60 | 3,198.49 | 3,620.79 | 3,370.09 |
FINANCIAL HIGHLIGHTS
FINANCIAL HIGHLIGHTS - $ / shares | 3 Months Ended | ||
Mar. 31, 2016 | Mar. 31, 2015 | ||
Per Unit Performance (for a unit outstanding throughout the entire period) | |||
Net asset value per unit at beginning of period (in dollars per unit) | 2,920.41 | 3,130.36 | |
Series A [Member] | |||
Per Unit Performance (for a unit outstanding throughout the entire period) | |||
Net asset value per unit at beginning of period (in dollars per unit) | 2,920.41 | 3,130.36 | |
Income (loss) from operations: | |||
Total net trading gains (losses) (in dollars per unit) | [1] | 16.54 | 310.74 |
Net investment income (loss) (in dollars per unit) | [1] | (24.70) | (86.82) |
Total net income (loss) from operations (in dollars per unit) | (8.16) | 223.92 | |
Offering costs (in dollars per unit) | [1] | (3.73) | (4.20) |
Net asset value per unit at end of period (in dollars per unit) | 2,908.52 | 3,350.08 | |
Total Return | [2] | (0.41%) | 7.02% |
Ratios to average net asset value: | |||
Expenses prior to performance fee | [3] | 4.21% | 4.25% |
Performance fee | [2] | 0.00% | 1.70% |
Total expenses | 4.21% | 5.95% | |
Net investment income (loss) | [3],[4] | (3.33%) | (3.75%) |
Series B [Member] | |||
Per Unit Performance (for a unit outstanding throughout the entire period) | |||
Net asset value per unit at beginning of period (in dollars per unit) | 3,135.85 | 3,343.32 | |
Income (loss) from operations: | |||
Total net trading gains (losses) (in dollars per unit) | [5] | 17.71 | 332.67 |
Net investment income (loss) (in dollars per unit) | [5] | (26.56) | (92.29) |
Total net income (loss) from operations (in dollars per unit) | (8.85) | 240.38 | |
Net asset value per unit at end of period (in dollars per unit) | 3,127 | 3,583.70 | |
Total Return | [2] | (0.28%) | 7.19% |
Ratios to average net asset value: | |||
Expenses prior to performance fee | [3] | 4.23% | 4.30% |
Performance fee | [2] | 0.00% | 1.71% |
Total expenses | 4.23% | 6.01% | |
Net investment income (loss) | [3],[4] | (3.34%) | (3.78%) |
Series W [Member] | |||
Per Unit Performance (for a unit outstanding throughout the entire period) | |||
Net asset value per unit at beginning of period (in dollars per unit) | 3,198.49 | 3,370.09 | |
Income (loss) from operations: | |||
Total net trading gains (losses) (in dollars per unit) | [1] | 17.84 | 335.10 |
Net investment income (loss) (in dollars per unit) | [1] | (12.64) | (79.88) |
Total net income (loss) from operations (in dollars per unit) | 5.20 | 255.22 | |
Offering costs (in dollars per unit) | [1] | (4.09) | (4.52) |
Net asset value per unit at end of period (in dollars per unit) | 3,199.60 | 3,620.79 | |
Total Return | [2] | 0.03% | 7.44% |
Ratios to average net asset value: | |||
Expenses prior to performance fee | [3] | 2.44% | 2.48% |
Performance fee | [2] | 0.00% | 1.77% |
Total expenses | 2.44% | 4.25% | |
Net investment income (loss) | [3],[4] | (1.55%) | (1.97%) |
[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] | Not annualized. | ||
[3] | Annualized. | ||
[4] | Excludes performance fee. | ||
[5] | 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. |
ORGANIZATION AND SUMMARY OF SIG
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 3 Months Ended |
Mar. 31, 2016 | |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES A. General Description of the Trust The Campbell Fund Trust (the Trust) is a Delaware statutory trust which operates as a commodity investment pool. The Trust engages in the speculative trading of futures contracts and forward currency 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. The rights of the Series A units, Series B units and Series W units are identical, except that the fees and commissions vary on a Series-by-Series basis. Series A and Series W commenced trading on October 1, 2008 and March 1, 2009, respectively. The initial minimum subscription for Series A 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 1F, Note 1H, Note 2 and Note 6 for an explanation of allocations and Series specific charges. B. Regulation The Trust is a registrant with the Securities and Exchange Commission (the "SEC") pursuant to the Securities Exchange Act of 1934 (the "Act"). As a registrant, the Trust is subject to the regulations of the SEC and the informational requirements of the Act. 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 "brokers") and interbank market makers 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, 2015. All adjustments of a normal recurring nature considered necessary for a fair presentation have been included. 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 are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. 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 the various futures exchanges, and reflects the settlement price for each contract as of the close on the last business day of the reporting period. The fair value of forward currency (non-exchange 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 fixed income investments are marked to market on the last business day of the reporting period by the Administrator using a third party vendor hierarchy of pricing providers who specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Premiums and discounts on fixed income securities are amortized and accreted for financial reporting purposes. The short term investments represent cash held at the custodian and invested overnight in a money market fund. For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value by the number of outstanding units. D. Fair Value The Trust follows the provisions of ASC 820, "Fair Value Measurements and Disclosures." 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 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. This category also includes fixed income investments. Level 3 inputs are unobservable inputs for an asset or liability (including the Trust's own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of March 31, 2016 and December 31, 2015 and for the periods ended March 31, 2016 and 2015, the Trust did not have any Level 3 assets or liabilities. The following tables set forth by level within the fair value hierarchy the Trust's investments accounted for at fair value on a recurring basis as of March 31, 2016 and December 31, 2015. Fair Value at March 31, 2016 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 1,575 $ 0 $ 0 $ 1,575 Fixed income securities 0 853,096,313 0 853,096,313 Other Financial Instruments Exchange-traded futures contracts 12,582,958 0 0 12,582,958 Forward currency contracts 0 105,219 0 105,219 Total $ 12,584,533 $ 853,201,532 $ 0 $ 865,786,065 Fair Value at December 31, 2015 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 2,104 $ 0 $ 0 $ 2,104 Fixed income securities 0 836,554,075 0 836,554,075 Other Financial Instruments Exchange-traded futures contracts (13,809,470 ) 0 0 (13,809,470 ) Forward currency contracts 0 2,415,311 0 2,415,311 Total $ (13,807,366 ) $ 838,969,386 $ 0 $ 825,162,020 The Trust recognizes transfers between fair value hierarchy levels at the beginning of the reporting period. There were no transfers to or from Level 1 to Level 2 for the period ended March 31, 2016 or the year ended December 31, 2015. The gross presentation of the fair value of the Trust's derivatives by instrument type is shown in Note 10. See Condensed Schedules of Investments for additional detail categorization. E. Income Taxes The Trust prepares calendar year U.S. federal and applicable state information tax returns and reports to the unitholders their allocable shares of the Trust's income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each unitholder is individually responsible for reporting income or loss based on such unitholder's respective share of the Trust's income and expenses as reported for income tax purposes. Management has continued to evaluate the application of ASC 740, Income Taxes, to the Trust, and has determined that no reserves for uncertain tax positions were required. There are no tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Trust files federal and state tax returns. The 2012 through 2015 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. F. 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 and Series W units will each bear the offering costs incurred in the relation to the offering of Series A units and Series W units, respectively. Offering costs are charged to Series A 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 and Series W are only liable for payment of offering costs on a monthly basis. The offering costs allocable to the Series B units are borne by Campbell & Company. If the Trust terminates prior to completion of payment to Campbell & Company for the unreimbursed offering costs incurred through the date of such termination, Campbell & Company will not be entitled to any additional payments, and Series A units and Series W units will have no further obligation to Campbell & Company. At March 31, 2016 and December 31, 2015, the amount of unreimbursed offering costs incurred by Campbell & Company is $2,261,604 and $2,643,803 for Series A units and $464,486 and $500,923 for Series W units, respectively. G. 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. H. Allocations Income or loss (prior to calculation of the management fee, service fee, offering costs and performance fee) is allocated pro rata to each Series of units. Each Series of units is then charged the management fee, service fee, offering costs and performance fee applicable to such Series of units. |
MANAGING OPERATOR AND COMMODITY
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR | 3 Months Ended |
Mar. 31, 2016 | |
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR [Abstract] | |
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR | Note 2. MANAGING OPERATOR AND COMMODITY TRADING ADVISOR The managing operator of the Trust is Campbell & Company which conducts and manages the business of the Trust. Campbell & Company is also the commodity trading advisor of the Trust. Series A units and Series B units pay the managing operator a monthly management fee equal to 1/12 of 4% (4% annually) of the Net Assets (as defined) of Series A units and Series B units, respectively, as of the end of each month. 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 W units as of the end of each month. Each Series of units will pay the managing operator a quarterly performance fee equal to 20% of the aggregate cumulative appreciation in Net Asset Value per Unit (as defined) exclusive of appreciation attributable to interest income on a Series-by-Series basis. The performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark). In determining the management fee and performance fee (the "fees"), adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The fees are typically paid in the month following the month in which they are earned. The fees are paid from the available cash at the Trust's bank, broker or cash management custody accounts. Effective December 2, 2014, Campbell & Company, Inc. changed its name and form of entity to Campbell & Company, LP. Campbell & Company refers to either Campbell & Company, Inc. or Campbell & Company, LP depending on the applicable period discussed. |
TRUSTEE
TRUSTEE | 3 Months Ended |
Mar. 31, 2016 | |
TRUSTEE [Abstract] | |
TRUSTEE | Note 3. TRUSTEE The trustee of the Trust is U.S. Bank Trust National Association, a national banking corporation. The trustee has delegated to the managing operator the duty and authority to manage the business and affairs of the Trust and has only nominal duties and liabilities with respect to the Trust. |
ADMINISTRATOR
ADMINISTRATOR | 3 Months Ended |
Mar. 31, 2016 | |
ADMINISTRATOR [Abstract] | |
ADMINISTRATOR | Note 4. ADMINISTRATOR Northern Trust Hedge Fund Services LLC became the Administrator of the Trust effective January 1, 2015. 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. |
CASH MANAGER AND CUSTODIAN
CASH MANAGER AND CUSTODIAN | 3 Months Ended |
Mar. 31, 2016 | |
CASH MANAGER AND CUSTODIAN [Abstract] | |
CASH MANAGER AND CUSTODIAN | Note 5. 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 has 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 its custody account at the custodian. The cash manager will have no beneficial or other interest in the securities and cash in such custody account. |
SERVICE FEE
SERVICE FEE | 3 Months Ended |
Mar. 31, 2016 | |
SERVICE FEE [Abstract] | |
SERVICE FEE | Note 6. SERVICE FEE The selling firms who sell Series W units receive a monthly service fee equal to 1/12 of 0.25% of the month-end Net Asset Value (as defined) of the Series W units, totaling approximately 0.25% per year. |
DEPOSITS WITH FUTURES BROKERS
DEPOSITS WITH FUTURES BROKERS | 3 Months Ended |
Mar. 31, 2016 | |
DEPOSITS WITH FUTURES BROKERS [Abstract] | |
DEPOSITS WITH FUTURES BROKERS | Note 7. DEPOSITS WITH FUTURES BROKERS The Trust deposits assets with UBS Securities LLC and Goldman, Sachs & Co. as the futures brokers, subject to Commodity Futures Trading Commission regulations and various exchange and futures broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with such futures brokers. The Trust typically earns interest income on its assets deposited with the futures brokers. |
DEPOSITS WITH INTERBANK MARKET
DEPOSITS WITH INTERBANK MARKET MAKER | 3 Months Ended |
Mar. 31, 2016 | |
DEPOSITS WITH INTERBANK MARKET MAKER [Abstract] | |
DEPOSITS WITH INTERBANK MARKET MAKER | Note 8. DEPOSITS WITH INTERBANK MARKET MAKER The Trust's counterparty with regard to its forward currency transactions is the Royal Bank of Scotland PLC ("RBS"). The Trust has entered into an International Swaps and Derivatives Association Master Agreement ("ISDA Agreement") with RBS which governs these transactions. The credit ratings reported by the three major rating agencies for RBS were considered investment grade as of March 31, 2016. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with RBS. The Trust typically earns interest income on its assets deposited with RBS. |
SUBSCRIPTIONS, DISTRIBUTIONS AN
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS | 3 Months Ended |
Mar. 31, 2016 | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS [Abstract] | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS | Note 9. 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 eight month-end, 0.667% of Net Asset Value per unit redeemed through the ninth month-end, 0.500% of Net Asset Value per unit redeemed through the tenth month-end, 0.333% of Net Asset Value per unit redeemed through the eleventh month-end and 0.167% of Net Asset Value per unit redeemed through the twelfth month end. For the three months ended March 31, 2016 and 2015, Campbell & Company received redemption fees of $12,835 and $199, respectively. |
TRADING ACTIVITIES AND RELATED
TRADING ACTIVITIES AND RELATED RISKS | 3 Months Ended |
Mar. 31, 2016 | |
TRADING ACTIVITIES AND RELATED RISKS [Abstract] | |
TRADING ACTIVITIES AND RELATED RISKS | Note 10. TRADING ACTIVITIES AND RELATED RISKS The Trust engages in the speculative trading of U.S. and foreign futures contracts and forward currency contracts (collectively, "derivatives"). Specifically, the Trust trades a portfolio focused on financial futures, which are instruments designed to hedge changes in interest rates, currency exchange rates, stock index values, metals, energy and agriculture values. The Trust is exposed to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract. Market Risk For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the fair value of the Trust's open positions and, consequently, in its earnings and cash flow. The Trust's market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Trust's open positions and the liquidity of the markets in which it trades. Theoretically, the Trust is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. 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. 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 March 31, 2016 and December 31, 2015 is as follows: Type of Instrument * Statements of Financial Condition Location Asset Derivatives at March 31, 2016 Fair Value Liability Derivatives at March 31, 2016 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 4,201,349 $ (2,211,427 ) $ 1,989,922 Energy Contracts Net unrealized gain (loss) on open futures contracts 2,298,652 (1,217,341 ) 1,081,311 Metal Contracts Net unrealized gain (loss) on open futures contracts 2,870,173 (2,505,284 ) 364,889 Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 3,875,916 (3,004,486 ) 871,430 Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 1,746,819 (692,840 ) 1,053,979 Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 8,815,313 (1,593,886 ) 7,221,427 Forward Currency Contracts Net unrealized gain (loss) on open forward currency contracts 59,545,123 (59,439,904 ) 105,219 Totals $ 83,353,345 $ (70,665,168 ) $ 12,688,177 * Derivatives not designated as hedging instruments under ASC 815 Type of Instrument * Statements of Financial Condition Location Asset Derivatives at December 31, 2015 Fair Value Liability Derivatives at December 31, 2015 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 4,246,840 $ (3,186,075 ) $ 1,060,765 Energy Contracts Net unrealized gain (loss) on open futures contracts 2,219,147 (11,868,078 ) (9,648,931 ) Metal Contracts Net unrealized gain (loss) on open futures contracts 2,238,119 (6,370,930 ) (4,132,811 ) Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 974,091 (1,785,178 ) (811,087 ) Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 18,382 (765,703 ) (747,321 ) Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 2,669,840 (2,199,925 ) 469,915 Forward Currency Contracts Net unrealized gain (loss) on open forward currency contracts 52,468,667 (50,053,356 ) 2,415,311 Totals $ 64,835,086 $ (76,229,245 ) $ (11,394,159 ) * Derivatives not designated as hedging instruments under ASC 815 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 periods ended March 31, 2016 and 2015 is as follows: Type of Instrument Trading Gains / (Losses) for the Three Months Ended March 31, 2016 Trading Gains / (Losses) for the Three Months Ended March 31, 2015 Agriculture Contracts $ (14,015,771 ) $ 5,299,895 Energy Contracts 5,069,315 1,011,798 Metal Contracts (13,349,306 ) (3,042,124 ) Stock Indices Contracts (8,723,880 ) 22,407,829 Short-Term Interest Rate Contracts 882,809 (2,054,454 ) Long Term Interest Rate Contracts 24,130,367 28,492,297 Forward Currency Contracts 11,930,207 24,704,009 Total $ 5,923,741 $ 76,819,250 Line Item in the Statement of Operations Trading Gains / (Losses) for the Three Months Ended March 31, 2016 Trading Gains / (Losses) for the Three Months Ended March 31, 2015 Futures trading gains (losses): Realized** $ (32,398,894 ) $ 59,937,931 Change in unrealized 26,392,428 (7,822,690 ) Forward currency trading gains (losses): Realized 14,240,299 19,653,871 Change in unrealized (2,310,092 ) 5,050,138 Total $ 5,923,741 $ 76,819,250 ** Amounts differ from the amounts on the Statements of Operations as the amounts above do not include gains and losses on foreign currency cash balances at the futures broker. For the three months ended March 31, 2016 and 2015, the monthly average of futures contracts bought and sold was approximately 92,900 and 85,400, respectively, and the monthly average of notional value of forward currency contracts was $5,308,000,000 and $4,681,000,000, respectively Open contracts generally mature within three months; as of March 31, 2016, the latest maturity date for open futures contracts is June 2017 and the latest maturity date for open forward currency contracts is June 2016. However, the Trust intends to close all futures and forward currency contracts prior to maturity. Credit Risk The Trust trades futures contracts on exchanges that require margin deposits with the futures broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a futures broker to segregate all customer transactions and assets from such futures broker's proprietary activities. A customer's cash and other property (for example, U.S. Treasury Bills) deposited with a futures broker are considered commingled with all other customer funds subject to the futures broker's segregation requirements. In the event of a futures 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. Under the terms of the ISDA Agreement with RBS, 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 of the master netting agreement with UBS Securities and Goldman Sachs, upon occurrence of a default by the Trust, as defined in respective account documents, UBS Securities and Goldman Sachs 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 broker and interbank market maker usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at March 31, 2016 and December 31, 2015 was $189,001,275 and $209,330,696, respectively, which equals approximately 20% and 23% of Net Asset Value, respectively. The cash deposited with the interbank market maker at March 31, 2016 and December 31, 2015 was $100,603 and $147,386, respectively, which equals approximately 0% and 0% of Net Asset Value, respectively. These amounts are included in cash. Included in cash deposits with the broker and interbroker market maker at March 31, 2016 and December 31, 2015 was restricted cash for margin requirements of $0 and $8,747,696, respectively, which equals approximately 0% and 1 % of Net Asset Value, respectively. Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the Statements of Financial Condition and instruments and transactions that are subject to a master netting agreement as well as amounts related to financial collateral (including U.S. Treasury Bills and cash collateral) held at clearing brokers and counterparties. Margin reflected in the Collateral tables is limited to the net amount of unrealized loss at each counterparty. Actual margin amounts required at each counterparty are based on the notional amounts or the number of contracts outstanding and may exceed the margin presented in the Collateral tables. Offsetting of Derivative Assets As of March 31, 2016 Type of Instrument Counterparty Gross Amount of Recognized Assets Gross Amount Offset in the Statements of Financial Condition Net Amount of Unrealized Gain Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 11,874,792 $ (5,573,780 ) $ 6,301,012 Goldman Sachs 11,933,430 (5,651,484 ) 6,281,946 Forward currency contracts Royal Bank of Scotland 59,545,123 (59,439,904 ) 105,219 Total derivatives $ 83,353,345 $ (70,665,168 ) $ 12,688,177 Derivatives Assets and Collateral Received by Counterparty As of March 31, 2016 Gross Amounts Not Offset in the Statements of Financial Condition Counterparty Net Amount of Unrealized Gain in the Statements of Financial Condition Financial Instruments Cash Collateral Received Net Amount UBS Securities LLC $ 6,301,012 $ 0 $ 0 $ 6,301,012 Goldman Sachs 6,281,946 0 0 6,281,946 Royal Bank of Scotland 105,219 0 0 105,219 Total $ 12,688,177 $ 0 $ 0 $ 12,688,177 Offsetting of Derivative Liabilities As of March 31, 2016 Type of Instrument Counterparty Gross Amount of Recognized Assets Gross Amount Offset in the Statements of Financial Condition Net Amount of Unrealized Gain Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 5,573,780 $ (5,573,780 ) $ 0 Goldman Sachs 5,651,484 (5,651,484 ) 0 Forward currency contracts Royal Bank of Scotland 59,439,904 (59,439,904 ) 0 Total derivatives $ 70,665,168 $ (70,665,168 ) $ 0 Derivatives Liabilities and Collateral Pledged by Counterparty As of March 31, 2016 Gross Amounts Not Offset in the Statements of Financial Condition Counterparty Net Amount of Unrealized Gain in the Statements of Financial Condition Financial Instruments Cash Collateral Received Net Amount UBS Securities LLC $ 0 $ 0 $ 0 $ 0 Goldman Sachs 0 0 0 0 Royal Bank of Scotland 0 0 0 0 Total $ 0 $ 0 $ 0 $ 0 Offsetting of Derivative Assets As of December 31, 2015 Type of Instrument Counterparty Gross Amount of Recognized Assets Gross Amount Offset in the Statements of Financial Condition Net Amount of Unrealized Gain Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 6,203,954 $ (6,203,954 ) $ 0 Goldman Sachs 6,162,464 (6,162,464 ) 0 Forward currency contracts Royal Bank of Scotland 52,468,667 (50,053,356 ) 2,415,311 Total derivatives $ 64,835,085 $ (62,419,774 ) $ 2,415,311 Derivatives Assets and Collateral Received by Counterparty As of December 31, 2015 Gross Amounts Not Offset in the Statements of Financial Condition Counterparty Net Amount of Unrealized Gain in the Statements of Financial Condition Financial Instruments Cash Collateral Received Net Amount UBS Securities LLC $ 0 $ 0 $ 0 $ 0 Goldman Sachs 0 0 0 0 Royal Bank of Scotland 2,415,311 0 0 2,415,311 Total $ 2,415,311 $ 0 $ 0 $ 2,415,311 Offsetting of Derivative Liabilities As of December 31, 2015 Type of Instrument Counterparty Gross Amount of Recognized Liabilities Gross Amount Offset in the Statements of Financial Condition Net Amount of Unrealized Loss Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 13,056,095 $ (6,203,954 ) $ 6,852,141 Goldman Sachs 13,119,793 (6,162,464 ) 6,957,329 Forward currency contracts Royal Bank of Scotland 50,053,356 (50,053,356 ) 0 Total derivatives $ 76,229,244 $ (62,419,774 ) $ 13,809,470 Derivatives Liabilities and Collateral Pledged by Counterparty As of December 31, 2015 Gross Amounts Not Offset in the Statements of Financial Condition Counterparty Net Amount of Unrealized Loss in the Statements of Financial Condition Financial Instruments Cash Collateral Pledged Net Amount UBS Securities LLC $ 6,852,141 $ 0 $ (6,852,141 ) $ 0 Goldman Sachs 6,957,329 0 (6,957,329 ) 0 Royal Bank of Scotland 0 0 0 0 Total $ 13,809,470 $ 0 $ (13,809,470 ) $ 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. |
INDEMNIFICATIONS
INDEMNIFICATIONS | 3 Months Ended |
Mar. 31, 2016 | |
INDEMNIFICATIONS [Abstract] | |
INDEMNIFICATIONS | Note 11. INDEMNIFICATIONS In the normal course of business, the Trust enters into contracts and agreements that contain a variety of representations and warranties which provide general indemnifications. The Trust's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. The Trust expects the risk of any future obligation under these indemnifications to be remote. |
INTERIM FINANCIAL STATEMENTS
INTERIM FINANCIAL STATEMENTS | 3 Months Ended |
Mar. 31, 2016 | |
INTERIM FINANCIAL STATEMENTS [Abstract] | |
INTERIM FINANCIAL STATEMENTS | Note 12. INTERIM FINANCIAL STATEMENTS The statements of financial condition, including the condensed schedules of investments, as of March 31, 2016 and December 31, 2015, and the statements of operations, cash flows, changes in unitholders' capital (Net Asset Value) and financial highlights for the three months ended March 31, 2016 and 2015 are unaudited. In the opinion of management, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of March 31, 2016 and December 31, 2015, and the results of operations, cash flows, changes in unitholders' capital (Net Asset Value) and financial highlights for the three months ended March 31, 2016 and 2015. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 3 Months Ended |
Mar. 31, 2016 | |
SUBSEQUENT EVENTS [Abstract] | |
SUBSEQUENT EVENTS | Note 13. 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. |
ORGANIZATION AND SUMMARY OF S24
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies) | 3 Months Ended |
Mar. 31, 2016 | |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | |
Use of Estimates | 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. |
Investments | The Trust meets the definition of an investment company according to the provisions of Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 946-10, Financial Services - Investment Companies. Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. 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 the various futures exchanges, and reflects the settlement price for each contract as of the close on the last business day of the reporting period. The fair value of forward currency (non-exchange 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 fixed income investments are marked to market on the last business day of the reporting period by the Administrator using a third party vendor hierarchy of pricing providers who specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Premiums and discounts on fixed income securities are amortized and accreted for financial reporting purposes. The short term investments represent cash held at the custodian and invested overnight in a money market fund. |
Net Asset Value per Unit | For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value by the number of outstanding units. |
Fair Value | D. Fair Value The Trust follows the provisions of ASC 820, "Fair Value Measurements and Disclosures." 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 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. This category also includes fixed income investments. Level 3 inputs are unobservable inputs for an asset or liability (including the Trust's own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of March 31, 2016 and December 31, 2015 and for the periods ended March 31, 2016 and 2015, the Trust did not have any Level 3 assets or liabilities. The following tables set forth by level within the fair value hierarchy the Trust's investments accounted for at fair value on a recurring basis as of March 31, 2016 and December 31, 2015. Fair Value at March 31, 2016 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 1,575 $ 0 $ 0 $ 1,575 Fixed income securities 0 853,096,313 0 853,096,313 Other Financial Instruments Exchange-traded futures contracts 12,582,958 0 0 12,582,958 Forward currency contracts 0 105,219 0 105,219 Total $ 12,584,533 $ 853,201,532 $ 0 $ 865,786,065 Fair Value at December 31, 2015 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 2,104 $ 0 $ 0 $ 2,104 Fixed income securities 0 836,554,075 0 836,554,075 Other Financial Instruments Exchange-traded futures contracts (13,809,470 ) 0 0 (13,809,470 ) Forward currency contracts 0 2,415,311 0 2,415,311 Total $ (13,807,366 ) $ 838,969,386 $ 0 $ 825,162,020 The Trust recognizes transfers between fair value hierarchy levels at the beginning of the reporting period. There were no transfers to or from Level 1 to Level 2 for the period ended March 31, 2016 or the year ended December 31, 2015. The gross presentation of the fair value of the Trust's derivatives by instrument type is shown in Note 10. See Condensed Schedules of Investments for additional detail categorization. |
Income Taxes | E. Income Taxes The Trust prepares calendar year U.S. federal and applicable state information tax returns and reports to the unitholders their allocable shares of the Trust's income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each unitholder is individually responsible for reporting income or loss based on such unitholder's respective share of the Trust's income and expenses as reported for income tax purposes. Management has continued to evaluate the application of ASC 740, Income Taxes, to the Trust, and has determined that no reserves for uncertain tax positions were required. There are no tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Trust files federal and state tax returns. The 2012 through 2015 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. |
Offering Costs | F. 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 and Series W units will each bear the offering costs incurred in the relation to the offering of Series A units and Series W units, respectively. Offering costs are charged to Series A 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 and Series W are only liable for payment of offering costs on a monthly basis. The offering costs allocable to the Series B units are borne by Campbell & Company. If the Trust terminates prior to completion of payment to Campbell & Company for the unreimbursed offering costs incurred through the date of such termination, Campbell & Company will not be entitled to any additional payments, and Series A units and Series W units will have no further obligation to Campbell & Company. At March 31, 2016 and December 31, 2015, the amount of unreimbursed offering costs incurred by Campbell & Company is $2,261,604 and $2,643,803 for Series A units and $464,486 and $500,923 for Series W units, respectively. |
Foreign Currency Transactions | G. 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. |
Allocations | H. Allocations Income or loss (prior to calculation of the management fee, service fee, offering costs and performance fee) is allocated pro rata to each Series of units. Each Series of units is then charged the management fee, service fee, offering costs and performance fee applicable to such Series of units. |
ORGANIZATION AND SUMMARY OF S25
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | |
Investments Accounted for at Fair Value on a Recurring Basis | The following tables set forth by level within the fair value hierarchy the Trust's investments accounted for at fair value on a recurring basis as of March 31, 2016 and December 31, 2015. Fair Value at March 31, 2016 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 1,575 $ 0 $ 0 $ 1,575 Fixed income securities 0 853,096,313 0 853,096,313 Other Financial Instruments Exchange-traded futures contracts 12,582,958 0 0 12,582,958 Forward currency contracts 0 105,219 0 105,219 Total $ 12,584,533 $ 853,201,532 $ 0 $ 865,786,065 Fair Value at December 31, 2015 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 2,104 $ 0 $ 0 $ 2,104 Fixed income securities 0 836,554,075 0 836,554,075 Other Financial Instruments Exchange-traded futures contracts (13,809,470 ) 0 0 (13,809,470 ) Forward currency contracts 0 2,415,311 0 2,415,311 Total $ (13,807,366 ) $ 838,969,386 $ 0 $ 825,162,020 |
TRADING ACTIVITIES AND RELATE26
TRADING ACTIVITIES AND RELATED RISKS (Tables) | 3 Months Ended |
Mar. 31, 2016 | |
TRADING ACTIVITIES AND RELATED RISKS [Abstract] | |
Fair Value of the Trust's Derivatives by Instrument Type and Location of Instruments on the Statements of Financial Condition | The following tables summarize quantitative information required by ASC 815. The fair value of the Trust's derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of March 31, 2016 and December 31, 2015 is as follows: Type of Instrument * Statements of Financial Condition Location Asset Derivatives at March 31, 2016 Fair Value Liability Derivatives at March 31, 2016 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 4,201,349 $ (2,211,427 ) $ 1,989,922 Energy Contracts Net unrealized gain (loss) on open futures contracts 2,298,652 (1,217,341 ) 1,081,311 Metal Contracts Net unrealized gain (loss) on open futures contracts 2,870,173 (2,505,284 ) 364,889 Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 3,875,916 (3,004,486 ) 871,430 Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 1,746,819 (692,840 ) 1,053,979 Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 8,815,313 (1,593,886 ) 7,221,427 Forward Currency Contracts Net unrealized gain (loss) on open forward currency contracts 59,545,123 (59,439,904 ) 105,219 Totals $ 83,353,345 $ (70,665,168 ) $ 12,688,177 * Derivatives not designated as hedging instruments under ASC 815 Type of Instrument * Statements of Financial Condition Location Asset Derivatives at December 31, 2015 Fair Value Liability Derivatives at December 31, 2015 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 4,246,840 $ (3,186,075 ) $ 1,060,765 Energy Contracts Net unrealized gain (loss) on open futures contracts 2,219,147 (11,868,078 ) (9,648,931 ) Metal Contracts Net unrealized gain (loss) on open futures contracts 2,238,119 (6,370,930 ) (4,132,811 ) Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 974,091 (1,785,178 ) (811,087 ) Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 18,382 (765,703 ) (747,321 ) Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 2,669,840 (2,199,925 ) 469,915 Forward Currency Contracts Net unrealized gain (loss) on open forward currency contracts 52,468,667 (50,053,356 ) 2,415,311 Totals $ 64,835,086 $ (76,229,245 ) $ (11,394,159 ) * Derivatives not designated as hedging instruments under ASC 815 |
Trading Gains and Losses of the Trust's Derivatives by Instrument Type and Location of Gains and Losses on the Statements of Operations | The trading gains and losses of the Trust's derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the periods ended March 31, 2016 and 2015 is as follows: Type of Instrument Trading Gains / (Losses) for the Three Months Ended March 31, 2016 Trading Gains / (Losses) for the Three Months Ended March 31, 2015 Agriculture Contracts $ (14,015,771 ) $ 5,299,895 Energy Contracts 5,069,315 1,011,798 Metal Contracts (13,349,306 ) (3,042,124 ) Stock Indices Contracts (8,723,880 ) 22,407,829 Short-Term Interest Rate Contracts 882,809 (2,054,454 ) Long Term Interest Rate Contracts 24,130,367 28,492,297 Forward Currency Contracts 11,930,207 24,704,009 Total $ 5,923,741 $ 76,819,250 Line Item in the Statement of Operations Trading Gains / (Losses) for the Three Months Ended March 31, 2016 Trading Gains / (Losses) for the Three Months Ended March 31, 2015 Futures trading gains (losses): Realized** $ (32,398,894 ) $ 59,937,931 Change in unrealized 26,392,428 (7,822,690 ) Forward currency trading gains (losses): Realized 14,240,299 19,653,871 Change in unrealized (2,310,092 ) 5,050,138 Total $ 5,923,741 $ 76,819,250 ** Amounts differ from the amounts on the Statements of Operations as the amounts above do not include gains and losses on foreign currency cash balances at the futures broker. |
Offsetting of Derivative Assets and Collateral Received by Counterparty | Offsetting of Derivative Assets As of March 31, 2016 Type of Instrument Counterparty Gross Amount of Recognized Assets Gross Amount Offset in the Statements of Financial Condition Net Amount of Unrealized Gain Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 11,874,792 $ (5,573,780 ) $ 6,301,012 Goldman Sachs 11,933,430 (5,651,484 ) 6,281,946 Forward currency contracts Royal Bank of Scotland 59,545,123 (59,439,904 ) 105,219 Total derivatives $ 83,353,345 $ (70,665,168 ) $ 12,688,177 Derivatives Assets and Collateral Received by Counterparty As of March 31, 2016 Gross Amounts Not Offset in the Statements of Financial Condition Counterparty Net Amount of Unrealized Gain in the Statements of Financial Condition Financial Instruments Cash Collateral Received Net Amount UBS Securities LLC $ 6,301,012 $ 0 $ 0 $ 6,301,012 Goldman Sachs 6,281,946 0 0 6,281,946 Royal Bank of Scotland 105,219 0 0 105,219 Total $ 12,688,177 $ 0 $ 0 $ 12,688,177 Offsetting of Derivative Assets As of December 31, 2015 Type of Instrument Counterparty Gross Amount of Recognized Assets Gross Amount Offset in the Statements of Financial Condition Net Amount of Unrealized Gain Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 6,203,954 $ (6,203,954 ) $ 0 Goldman Sachs 6,162,464 (6,162,464 ) 0 Forward currency contracts Royal Bank of Scotland 52,468,667 (50,053,356 ) 2,415,311 Total derivatives $ 64,835,085 $ (62,419,774 ) $ 2,415,311 Derivatives Assets and Collateral Received by Counterparty As of December 31, 2015 Gross Amounts Not Offset in the Statements of Financial Condition Counterparty Net Amount of Unrealized Gain in the Statements of Financial Condition Financial Instruments Cash Collateral Received Net Amount UBS Securities LLC $ 0 $ 0 $ 0 $ 0 Goldman Sachs 0 0 0 0 Royal Bank of Scotland 2,415,311 0 0 2,415,311 Total $ 2,415,311 $ 0 $ 0 $ 2,415,311 |
Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty | Offsetting of Derivative Liabilities As of March 31, 2016 Type of Instrument Counterparty Gross Amount of Recognized Assets Gross Amount Offset in the Statements of Financial Condition Net Amount of Unrealized Gain Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 5,573,780 $ (5,573,780 ) $ 0 Goldman Sachs 5,651,484 (5,651,484 ) 0 Forward currency contracts Royal Bank of Scotland 59,439,904 (59,439,904 ) 0 Total derivatives $ 70,665,168 $ (70,665,168 ) $ 0 Derivatives Liabilities and Collateral Pledged by Counterparty As of March 31, 2016 Gross Amounts Not Offset in the Statements of Financial Condition Counterparty Net Amount of Unrealized Gain in the Statements of Financial Condition Financial Instruments Cash Collateral Received Net Amount UBS Securities LLC $ 0 $ 0 $ 0 $ 0 Goldman Sachs 0 0 0 0 Royal Bank of Scotland 0 0 0 0 Total $ 0 $ 0 $ 0 $ 0 Offsetting of Derivative Liabilities As of December 31, 2015 Type of Instrument Counterparty Gross Amount of Recognized Liabilities Gross Amount Offset in the Statements of Financial Condition Net Amount of Unrealized Loss Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 13,056,095 $ (6,203,954 ) $ 6,852,141 Goldman Sachs 13,119,793 (6,162,464 ) 6,957,329 Forward currency contracts Royal Bank of Scotland 50,053,356 (50,053,356 ) 0 Total derivatives $ 76,229,244 $ (62,419,774 ) $ 13,809,470 Derivatives Liabilities and Collateral Pledged by Counterparty As of December 31, 2015 Gross Amounts Not Offset in the Statements of Financial Condition Counterparty Net Amount of Unrealized Loss in the Statements of Financial Condition Financial Instruments Cash Collateral Pledged Net Amount UBS Securities LLC $ 6,852,141 $ 0 $ (6,852,141 ) $ 0 Goldman Sachs 6,957,329 0 (6,957,329 ) 0 Royal Bank of Scotland 0 0 0 0 Total $ 13,809,470 $ 0 $ (13,809,470 ) $ 0 |
ORGANIZATION AND SUMMARY OF S27
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Details) | 3 Months Ended | |
Mar. 31, 2016USD ($)$ / shares | Dec. 31, 2015USD ($) | |
Income Taxes [Abstract] | ||
Reserves for uncertain tax positions | $ 0 | |
Increase in unrecognized tax benefits within twelve months | 0 | |
Decrease in unrecognized tax benefits within twelve months | 0 | |
Fair Value on a Recurring Basis [Member] | ||
Investments [Abstract] | ||
Short term investments | 1,575 | $ 2,104 |
Fixed income securities | 853,096,313 | 836,554,075 |
Other Financial Instruments [Abstract] | ||
Exchange-traded futures contracts | 12,582,958 | (13,809,470) |
Forward currency contracts | 105,219 | 2,415,311 |
Total | 865,786,065 | 825,162,020 |
Transfers from Level 1 to Level 2 | 0 | 0 |
Transfers from Level 2 to Level 1 | 0 | 0 |
Fair Value on a Recurring Basis [Member] | Level 1 [Member] | ||
Investments [Abstract] | ||
Short term investments | 1,575 | 2,104 |
Fixed income securities | 0 | 0 |
Other Financial Instruments [Abstract] | ||
Exchange-traded futures contracts | 12,582,958 | (13,809,470) |
Forward currency contracts | 0 | 0 |
Total | 12,584,533 | (13,807,366) |
Fair Value on a Recurring Basis [Member] | Level 2 [Member] | ||
Investments [Abstract] | ||
Short term investments | 0 | 0 |
Fixed income securities | 853,096,313 | 836,554,075 |
Other Financial Instruments [Abstract] | ||
Exchange-traded futures contracts | 0 | 0 |
Forward currency contracts | 105,219 | 2,415,311 |
Total | 853,201,532 | 838,969,386 |
Fair Value on a Recurring Basis [Member] | Level 3 [Member] | ||
Investments [Abstract] | ||
Short term investments | 0 | 0 |
Fixed income securities | 0 | 0 |
Other Financial Instruments [Abstract] | ||
Exchange-traded futures contracts | 0 | 0 |
Forward currency contracts | 0 | 0 |
Total | $ 0 | 0 |
Federal Tax Authority [Member] | Minimum [Member] | ||
Income Taxes [Abstract] | ||
Open tax year | 2,012 | |
Federal Tax Authority [Member] | Maximum [Member] | ||
Income Taxes [Abstract] | ||
Open tax year | 2,015 | |
State Tax Authorities [Member] | Minimum [Member] | ||
Income Taxes [Abstract] | ||
Open tax year | 2,012 | |
State Tax Authorities [Member] | Maximum [Member] | ||
Income Taxes [Abstract] | ||
Open tax year | 2,015 | |
Series A [Member] | ||
General Description of the Trust [Abstract] | ||
Initial minimum subscription | $ / shares | 25,000 | |
Offering Costs [Abstract] | ||
Monthly offering costs percentage | 0.04167% | |
Annualized offering costs percentage | 0.50% | |
Unreimbursed offering costs | $ 2,261,604 | 2,643,803 |
Series W [Member] | ||
General Description of the Trust [Abstract] | ||
Initial minimum subscription | $ / shares | 25,000 | |
Offering Costs [Abstract] | ||
Unreimbursed offering costs | $ 464,486 | $ 500,923 |
MANAGING OPERATOR AND COMMODI28
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR (Details) | 3 Months Ended |
Mar. 31, 2016 | |
Series A [Member] | |
Management and Performance Fees [Abstract] | |
Monthly management fee percentage | 0.33% |
Annualized management fee percentage | 4.00% |
Quarterly performance fee percentage | 20.00% |
Series B [Member] | |
Management and Performance Fees [Abstract] | |
Monthly management fee percentage | 0.33% |
Annualized management fee percentage | 4.00% |
Quarterly performance fee percentage | 20.00% |
Series W [Member] | |
Management and Performance Fees [Abstract] | |
Monthly management fee percentage | 0.167% |
Annualized management fee percentage | 2.00% |
Quarterly performance fee percentage | 20.00% |
SERVICE FEE (Details)
SERVICE FEE (Details) - Series W [Member] | 3 Months Ended |
Mar. 31, 2016 | |
Service Fees [Abstract] | |
Monthly service fee percentage | 0.02083% |
Annualized service fee percentage | 0.25% |
DEPOSITS WITH INTERBANK MARKE30
DEPOSITS WITH INTERBANK MARKET MAKER (Details) | 3 Months Ended |
Mar. 31, 2016Counterparty | |
DEPOSITS WITH INTERBANK MARKET MAKER [Abstract] | |
Number of major rating agencies reporting credit ratings for RBS and UBS as investment grade | 3 |
SUBSCRIPTIONS, DISTRIBUTIONS 31
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2016 | Mar. 31, 2015 | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS [Abstract] | ||
Number of business days advance written notice is required for monthly redemptions | 10 days | |
Series A [Member] | ||
Redemption Fees [Abstract] | ||
Period for which redemption fees apply following purchase | 12 months | |
Redemption fee percentage of Net Asset Value per unit redeemed through the second month-end | 1.833% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the third month-end | 1.666% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the fourth month-end | 1.50% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the fifth month-end | 1.333% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the sixth month-end | 1.167% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the seventh month-end | 1.00% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the eight month-end | 0.833% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the ninth month-end | 0.667% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the tenth month-end | 0.50% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the eleventh month-end | 0.333% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the twelfth month-end | 0.167% | |
Redemption fees received by Campbell & Company | $ 12,835 | $ 199 |
TRADING ACTIVITIES AND RELATE32
TRADING ACTIVITIES AND RELATED RISKS, Derivatives by Instrument Type and Location of Instruments on the Statements of Financial Condition (Details) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | $ 12,688,177 | $ 2,415,311 |
Liability derivatives at fair value | 0 | (13,809,470) |
Not Designated as Hedging Instruments [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 83,353,345 | 64,835,086 |
Liability derivatives at fair value | (70,665,168) | (76,229,245) |
Net | 12,688,177 | (11,394,159) |
Agriculture Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain/Loss on Open Futures Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 4,201,349 | 4,246,840 |
Liability derivatives at fair value | (2,211,427) | (3,186,075) |
Net | 1,989,922 | 1,060,765 |
Energy Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain/Loss on Open Futures Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 2,298,652 | 2,219,147 |
Liability derivatives at fair value | (1,217,341) | (11,868,078) |
Net | 1,081,311 | (9,648,931) |
Metal Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain/Loss on Open Futures Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 2,870,173 | 2,238,119 |
Liability derivatives at fair value | (2,505,284) | (6,370,930) |
Net | 364,889 | (4,132,811) |
Stock Indices Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain/Loss on Open Futures Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 3,875,916 | 974,091 |
Liability derivatives at fair value | (3,004,486) | (1,785,178) |
Net | 871,430 | (811,087) |
Short-Term Interest Rate Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain/Loss on Open Futures Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 1,746,819 | 18,382 |
Liability derivatives at fair value | (692,840) | (765,703) |
Net | 1,053,979 | (747,321) |
Long-Term Interest Rate Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain/Loss on Open Futures Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 8,815,313 | 2,669,840 |
Liability derivatives at fair value | (1,593,886) | (2,199,925) |
Net | 7,221,427 | 469,915 |
Forward Currency Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Forward Currency Contracts [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 59,545,123 | 52,468,667 |
Liability derivatives at fair value | (59,439,904) | (50,053,356) |
Net | $ 105,219 | $ 2,415,311 |
TRADING ACTIVITIES AND RELATE33
TRADING ACTIVITIES AND RELATED RISKS, Derivatives by Instrument Type and Location of Gains and Losses on the Statements of Operations (Details) | 3 Months Ended | ||
Mar. 31, 2016USD ($)Contract | Mar. 31, 2015USD ($)Contract | ||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains / (losses) | $ 5,923,741 | $ 76,819,250 | |
Derivatives [Abstract] | |||
Average number of months until maturity for open contracts | 3 months | ||
Futures Trading Gains (Losses) - Realized [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains / (losses) | [1] | $ (32,398,894) | 59,937,931 |
Futures Trading Gains (Losses) - Change in Unrealized [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains / (losses) | 26,392,428 | (7,822,690) | |
Forward Currency Trading Gains (Losses) - Realized [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains / (losses) | 14,240,299 | 19,653,871 | |
Forward Currency Trading Gains (Losses) - Change in Unrealized [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains / (losses) | $ (2,310,092) | $ 5,050,138 | |
Futures Contracts [Member] | |||
Derivatives [Abstract] | |||
Monthly average of contracts bought and sold | Contract | 92,900 | 85,400 | |
Futures Contracts [Member] | Maximum [Member] | |||
Derivatives [Abstract] | |||
Latest maturity date for open contracts | Jun. 30, 2017 | ||
Forward Currency Contracts [Member] | |||
Derivatives [Abstract] | |||
Monthly average notional value | $ 5,308,000,000 | $ 4,681,000,000 | |
Forward Currency Contracts [Member] | Maximum [Member] | |||
Derivatives [Abstract] | |||
Latest maturity date for open contracts | Jun. 30, 2016 | ||
Agriculture Contracts [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains / (losses) | $ (14,015,771) | 5,299,895 | |
Energy Contracts [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains / (losses) | 5,069,315 | 1,011,798 | |
Metal Contracts [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains / (losses) | (13,349,306) | (3,042,124) | |
Stock Indices Contracts [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains / (losses) | (8,723,880) | 22,407,829 | |
Short-Term Interest Rate Contracts [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains / (losses) | 882,809 | (2,054,454) | |
Long-Term Interest Rate Contracts [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains / (losses) | 24,130,367 | 28,492,297 | |
Forward Currency Contracts [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains / (losses) | $ 11,930,207 | $ 24,704,009 | |
[1] | Amounts differ from the amounts on the Statements of Operations as the amounts above do not include gains and losses on foreign currency cash balances at the futures broker. |
TRADING ACTIVITIES AND RELATE34
TRADING ACTIVITIES AND RELATED RISKS, Credit Risk (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2016 | Dec. 31, 2015 | |
TRADING ACTIVITIES AND RELATED RISKS [Abstract] | ||
Percentage of Net Asset Value required for margin and good faith deposits, low end | 10.00% | |
Percentage of Net Asset Value required for margin and good faith deposits, high end | 30.00% | |
Fair value of securities held to satisfy margin and good faith deposits | $ 189,001,275 | $ 209,330,696 |
Fair value of securities held to satisfy margin and good faith deposits as a percentage of Net Asset Value | 20.00% | 23.00% |
Cash deposited with interbank market makers | $ 100,603 | $ 147,386 |
Cash deposited with interbank market makers as a percentage of Net Asset Value | 0.00% | 0.00% |
Restricted cash for margin requirements | $ 0 | $ 8,747,696 |
Restricted cash for margin requirements as a percentage of Net Asset Value | 0.00% | 1.00% |
Maximum margin-to-equity ratio | 30.00% |
TRADING ACTIVITIES AND RELATE35
TRADING ACTIVITIES AND RELATED RISKS, Offsetting of Derivative Assets and Collateral Received by Counterparty (Details) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
Offsetting of Derivative Assets [Abstract] | ||
Gross amount of recognized assets | $ 83,353,345 | $ 64,835,085 |
Gross amount offset in the Statements of Financial Condition | (70,665,168) | (62,419,774) |
Net amount of unrealized gain presented in the Statements of Financial Condition | 12,688,177 | 2,415,311 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amount of unrealized gain presented in the Statements of Financial Condition | 12,688,177 | 2,415,311 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 |
Net amount | 12,688,177 | 2,415,311 |
Futures Contracts [Member] | UBS Securities LLC [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Assets [Abstract] | ||
Gross amount of recognized assets | 11,874,792 | 6,203,954 |
Gross amount offset in the Statements of Financial Condition | (5,573,780) | (6,203,954) |
Net amount of unrealized gain presented in the Statements of Financial Condition | 6,301,012 | 0 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amount of unrealized gain presented in the Statements of Financial Condition | 6,301,012 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 |
Net amount | 6,301,012 | 0 |
Futures Contracts [Member] | Goldman, Sachs & Co. [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Assets [Abstract] | ||
Gross amount of recognized assets | 11,933,430 | 6,162,464 |
Gross amount offset in the Statements of Financial Condition | (5,651,484) | (6,162,464) |
Net amount of unrealized gain presented in the Statements of Financial Condition | 6,281,946 | 0 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amount of unrealized gain presented in the Statements of Financial Condition | 6,281,946 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 |
Net amount | 6,281,946 | 0 |
Forward Currency Contracts [Member] | Royal Bank of Scotland [Member] | Over-the-Counter [Member] | ||
Offsetting of Derivative Assets [Abstract] | ||
Gross amount of recognized assets | 59,545,123 | 52,468,667 |
Gross amount offset in the Statements of Financial Condition | (59,439,904) | (50,053,356) |
Net amount of unrealized gain presented in the Statements of Financial Condition | 105,219 | 2,415,311 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amount of unrealized gain presented in the Statements of Financial Condition | 105,219 | 2,415,311 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 |
Net amount | $ 105,219 | $ 2,415,311 |
TRADING ACTIVITIES AND RELATE36
TRADING ACTIVITIES AND RELATED RISKS, Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty (Details) - USD ($) | Mar. 31, 2016 | Dec. 31, 2015 |
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amount of recognized liabilities | $ 70,665,168 | $ 76,229,244 |
Gross amount offset in the Statements of Financial Condition | (70,665,168) | (62,419,774) |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 13,809,470 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 13,809,470 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | (13,809,470) |
Net amount | 0 | 0 |
Futures Contracts [Member] | UBS Securities LLC [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amount of recognized liabilities | 5,573,780 | 13,056,095 |
Gross amount offset in the Statements of Financial Condition | (5,573,780) | (6,203,954) |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 6,852,141 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 6,852,141 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | (6,852,141) |
Net amount | 0 | 0 |
Futures Contracts [Member] | Goldman, Sachs & Co. [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amount of recognized liabilities | 5,651,484 | 13,119,793 |
Gross amount offset in the Statements of Financial Condition | (5,651,484) | (6,162,464) |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 6,957,329 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 6,957,329 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | (6,957,329) |
Net amount | 0 | 0 |
Forward Currency Contracts [Member] | Royal Bank of Scotland [Member] | Over-the-Counter [Member] | ||
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amount of recognized liabilities | 59,439,904 | 50,053,356 |
Gross amount offset in the Statements of Financial Condition | (59,439,904) | (50,053,356) |
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amount of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | 0 |
Net amount | $ 0 | $ 0 |