Document and Entity Information
Document and Entity Information | 6 Months Ended |
Jun. 30, 2018shares | |
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 | 2,018 |
Document Fiscal Period Focus | Q2 |
Document Type | 10-Q |
Amendment Flag | false |
Document Period End Date | Jun. 30, 2018 |
Series A [Member] | |
Entity Information [Line Items] | |
Entity Common Stock, Shares Outstanding | 132,921.154 |
Series B [Member] | |
Entity Information [Line Items] | |
Entity Common Stock, Shares Outstanding | 22,077.786 |
Series D [Member] | |
Entity Information [Line Items] | |
Entity Common Stock, Shares Outstanding | 1,335.598 |
Series W [Member] | |
Entity Information [Line Items] | |
Entity Common Stock, Shares Outstanding | 21,575.737 |
CONDENSED SCHEDULE OF INVESTMEN
CONDENSED SCHEDULE OF INVESTMENTS (Unaudited) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 | |||
Investment Owned | |||||
Short term investments | $ 7,853 | $ 12,271 | |||
Net unrealized gain (loss) on open futures contracts | 4,211,577 | 8,994,460 | |||
Net unrealized gain (loss) on open forward currency contracts | 11,440,094 | 3,101,864 | |||
Fixed Income Securities [Member] | |||||
Investment Owned | |||||
Fair value | $ 383,438,987 | [1] | $ 494,456,527 | [2] | |
% of Net Asset Value | 85.39% | 90.59% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | |||||
Investment Owned | |||||
Fair value | $ 30,083,676 | $ 38,319,000 | |||
% of Net Asset Value | 6.70% | 7.02% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Auto Loans [Member] | |||||
Investment Owned | |||||
Fair value | $ 19,118,281 | $ 23,525,701 | |||
% of Net Asset Value | 4.26% | 4.31% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Credit Cards [Member] | |||||
Investment Owned | |||||
Fair value | $ 10,965,395 | $ 13,664,555 | |||
% of Net Asset Value | 2.44% | 2.50% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Equipment Loans [Member] | |||||
Investment Owned | |||||
Fair value | $ 1,128,744 | ||||
% of Net Asset Value | 0.21% | ||||
Fixed Income Securities [Member] | Bank Deposits [Member] | |||||
Investment Owned | |||||
Fair value | $ 7,548,447 | $ 3,693,397 | |||
% of Net Asset Value | 1.68% | 0.68% | |||
Fixed Income Securities [Member] | Bank Deposits [Member] | United States [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 7,548,447 | $ 3,693,397 | |||
% of Net Asset Value | 1.68% | 0.68% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | |||||
Investment Owned | |||||
Fair value | $ 134,724,300 | $ 184,690,847 | |||
% of Net Asset Value | 30.00% | 33.84% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | Canada [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 9,590,478 | ||||
% of Net Asset Value | 2.14% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | Japan [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 6,720,957 | ||||
% of Net Asset Value | 1.23% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | Switzerland [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,997,430 | ||||
% of Net Asset Value | 0.55% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | |||||
Investment Owned | |||||
Fair value | $ 125,133,822 | $ 174,972,460 | |||
% of Net Asset Value | 27.86% | 32.06% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Communications [Member] | |||||
Investment Owned | |||||
Fair value | $ 29,118,788 | $ 5,625,384 | |||
% of Net Asset Value | 6.48% | 1.03% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Consumer Discretionary [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,392,091 | $ 19,828,222 | |||
% of Net Asset Value | 0.53% | 3.63% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Consumer Staples [Member] | |||||
Investment Owned | |||||
Fair value | $ 22,089,851 | ||||
% of Net Asset Value | 4.05% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Energy [Member] | |||||
Investment Owned | |||||
Fair value | $ 12,640,662 | $ 13,133,181 | |||
% of Net Asset Value | 2.82% | 2.41% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 3,600,085 | $ 41,070,220 | |||
% of Net Asset Value | 0.80% | 7.52% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Industrials [Member] | |||||
Investment Owned | |||||
Fair value | $ 14,589,688 | $ 32,138,351 | |||
% of Net Asset Value | 3.25% | 5.89% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Utilities [Member] | |||||
Investment Owned | |||||
Fair value | $ 62,792,508 | $ 41,087,251 | |||
% of Net Asset Value | 13.98% | 7.53% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | |||||
Investment Owned | |||||
Fair value | $ 151,823,546 | $ 169,235,741 | |||
% of Net Asset Value | 33.81% | 31.00% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Canada [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 12,966,241 | $ 2,480,289 | |||
% of Net Asset Value | 2.89% | 0.45% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Ireland [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,963,341 | ||||
% of Net Asset Value | 0.66% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Japan [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,673,381 | ||||
% of Net Asset Value | 0.60% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | |||||
Investment Owned | |||||
Fair value | $ 14,607,834 | $ 8,427,064 | |||
% of Net Asset Value | 3.25% | 1.54% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | Energy [Member] | |||||
Investment Owned | |||||
Fair value | $ 4,873,476 | $ 4,884,470 | |||
% of Net Asset Value | 1.08% | 0.89% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 9,734,358 | $ 3,542,594 | |||
% of Net Asset Value | 2.17% | 0.65% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | |||||
Investment Owned | |||||
Fair value | $ 118,612,749 | $ 158,328,388 | |||
% of Net Asset Value | 26.41% | 29.01% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Communications [Member] | |||||
Investment Owned | |||||
Fair value | $ 12,704,364 | $ 37,630,534 | |||
% of Net Asset Value | 2.83% | 6.89% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Consumer Discretionary [Member] | |||||
Investment Owned | |||||
Fair value | $ 13,850,914 | $ 17,008,422 | |||
% of Net Asset Value | 3.08% | 3.12% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Consumer Staples [Member] | |||||
Investment Owned | |||||
Fair value | $ 12,661,847 | $ 11,818,118 | |||
% of Net Asset Value | 2.82% | 2.17% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Energy [Member] | |||||
Investment Owned | |||||
Fair value | $ 2,772,131 | $ 7,713,153 | |||
% of Net Asset Value | 0.62% | 1.41% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Financials [Member] | |||||
Investment Owned | |||||
Fair value | $ 62,959,188 | $ 69,000,751 | |||
% of Net Asset Value | 14.02% | 12.65% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Industrials [Member] | |||||
Investment Owned | |||||
Fair value | $ 5,895,913 | $ 10,972,758 | |||
% of Net Asset Value | 1.31% | 2.01% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Technology [Member] | |||||
Investment Owned | |||||
Fair value | $ 6,275,616 | $ 2,692,739 | |||
% of Net Asset Value | 1.40% | 0.49% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Utilities [Member] | |||||
Investment Owned | |||||
Fair value | $ 1,492,776 | $ 1,491,913 | |||
% of Net Asset Value | 0.33% | 0.27% | |||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | |||||
Investment Owned | |||||
Fair value | $ 59,259,018 | $ 98,517,542 | |||
% of Net Asset Value | 13.20% | 18.05% | |||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 07/19/2018 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 10,976,084 | |||
% of Net Asset Value | 2.44% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 08/23/2018 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 19,241,782 | |||
% of Net Asset Value | 4.29% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 09/20/2018 [Member] | |||||
Investment Owned | |||||
Fair value | [3] | $ 29,041,152 | |||
% of Net Asset Value | 6.47% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 02/22/2018 [Member] | |||||
Investment Owned | |||||
Fair value | [4] | $ 25,247,353 | |||
% of Net Asset Value | 4.63% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 03/29/2018 [Member] | |||||
Investment Owned | |||||
Fair value | [4] | $ 37,744,133 | |||
% of Net Asset Value | 6.91% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 04/26/2018 [Member] | |||||
Investment Owned | |||||
Fair value | [4] | $ 35,526,056 | |||
% of Net Asset Value | 6.51% | ||||
Short Term Investments [Member] | |||||
Investment Owned | |||||
Short term investments | $ 7,853 | $ 12,271 | |||
% of Net Asset Value | 0.00% | 0.00% | |||
Short Term Investments [Member] | Money Market Funds [Member] | United States [Member] | |||||
Investment Owned | |||||
Short term investments | $ 7,853 | $ 12,271 | |||
% of Net Asset Value | 0.00% | 0.00% | |||
Futures Contracts [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 4,211,577 | $ 8,994,460 | |||
% of Net Asset Value | 0.94% | 1.65% | |||
Futures Contracts [Member] | Long Contracts [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (1,125,008) | $ 10,625,965 | |||
% of Net Asset Value | (0.25%) | 1.95% | |||
Futures Contracts [Member] | Long Contracts [Member] | Agriculture [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (814,187) | $ 924,150 | |||
% of Net Asset Value | (0.18%) | 0.17% | |||
Futures Contracts [Member] | Long Contracts [Member] | Energy [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 4,663,463 | $ 4,224,681 | |||
% of Net Asset Value | 1.04% | 0.78% | |||
Futures Contracts [Member] | Long Contracts [Member] | Metals [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (6,814,587) | $ 6,713,170 | |||
% of Net Asset Value | (1.52%) | 1.23% | |||
Futures Contracts [Member] | Long Contracts [Member] | Stock Indices [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (2,090,761) | $ 4,003,518 | |||
% of Net Asset Value | (0.47%) | 0.73% | |||
Futures Contracts [Member] | Long Contracts [Member] | Short-Term Interest Rates [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 373 | $ (239,756) | |||
% of Net Asset Value | 0.00% | (0.04%) | |||
Futures Contracts [Member] | Long Contracts [Member] | Long-Term Interest Rates [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 3,930,691 | $ (4,999,798) | |||
% of Net Asset Value | 0.88% | (0.92%) | |||
Futures Contracts [Member] | Short Contracts [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 5,336,585 | $ (1,631,505) | |||
% of Net Asset Value | 1.19% | (0.30%) | |||
Futures Contracts [Member] | Short Contracts [Member] | Agriculture [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 2,780,509 | $ 2,408,552 | |||
% of Net Asset Value | 0.62% | 0.44% | |||
Futures Contracts [Member] | Short Contracts [Member] | Energy [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (1,761,620) | ||||
% of Net Asset Value | (0.32%) | ||||
Futures Contracts [Member] | Short Contracts [Member] | Metals [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 3,913,004 | $ (2,785,648) | |||
% of Net Asset Value | 0.88% | (0.51%) | |||
Futures Contracts [Member] | Short Contracts [Member] | Stock Indices [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ 9,116 | $ (113,440) | |||
% of Net Asset Value | 0.00% | (0.02%) | |||
Futures Contracts [Member] | Short Contracts [Member] | Short-Term Interest Rates [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (613,504) | $ 250,252 | |||
% of Net Asset Value | (0.14%) | 0.04% | |||
Futures Contracts [Member] | Short Contracts [Member] | Long-Term Interest Rates [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open futures contracts | $ (752,540) | $ 370,399 | |||
% of Net Asset Value | (0.17%) | 0.07% | |||
Forward Currency Contracts [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open forward currency contracts | $ 11,440,094 | $ 3,101,864 | |||
% of Net Asset Value | 2.55% | 0.57% | |||
Forward Currency Contracts [Member] | Long Contracts [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open forward currency contracts | $ (5,786,620) | $ 15,396,303 | |||
% of Net Asset Value | (1.29%) | 2.82% | |||
Forward Currency Contracts [Member] | Short Contracts [Member] | |||||
Investment Owned | |||||
Net unrealized gain (loss) on open forward currency contracts | $ 17,226,714 | $ (12,294,439) | |||
% of Net Asset Value | 3.84% | (2.25%) | |||
[1] | Included in fixed income securities are U.S. Treasury Bills with a fair value of $59,259,018 deposited with the futures brokers. | ||||
[2] | Included in fixed income securities are U.S. Treasury Bills with a fair value of $67,430,443 deposited with the futures brokers and $31,087,099 deposited with the interbank market maker. | ||||
[3] | Pledged as collateral for the trading of futures positions. | ||||
[4] | Pledged as collateral for the trading of futures and forward positions. |
CONDENSED SCHEDULE OF INVESTME3
CONDENSED SCHEDULE OF INVESTMENTS (Unaudited) (Parenthetical) - USD ($) | 6 Months Ended | 12 Months Ended |
Jun. 30, 2018 | Dec. 31, 2017 | |
Investment Owned | ||
Fixed income securities deposited with futures brokers | $ 59,259,018 | $ 67,430,443 |
Fixed income securities deposited with interbank market maker | 324,179,969 | 427,026,084 |
Fixed Income Securities [Member] | ||
Investment Owned | ||
Cost | 383,762,085 | 494,566,079 |
Fixed Income Securities [Member] | Asset Backed Securities [Member] | ||
Investment Owned | ||
Cost | 30,218,619 | 38,400,582 |
Fixed Income Securities [Member] | Bank Deposits [Member] | ||
Investment Owned | ||
Cost | 7,548,618 | 3,692,357 |
Fixed Income Securities [Member] | Commercial Paper [Member] | ||
Investment Owned | ||
Cost | 134,740,783 | 184,721,010 |
Fixed Income Securities [Member] | Commercial Paper [Member] | Canada [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 9,595,508 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | Japan [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 6,721,959 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | Switzerland [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 2,999,246 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | ||
Investment Owned | ||
Cost | 125,145,275 | 174,999,805 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | ||
Investment Owned | ||
Cost | 152,000,837 | 169,194,677 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Canada [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 13,013,852 | 2,498,830 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Ireland [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 2,976,072 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Japan [Member] | Financials [Member] | ||
Investment Owned | ||
Cost | 2,695,163 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | ||
Investment Owned | ||
Cost | 14,634,834 | 8,448,898 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | ||
Investment Owned | ||
Cost | 118,680,916 | 158,246,949 |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | ||
Investment Owned | ||
Cost | 59,253,228 | 98,557,453 |
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 | 59,259,018 | 67,430,443 |
Fixed income securities deposited with interbank market maker | 31,087,099 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 07/19/2018 [Member] | ||
Investment Owned | ||
Maturity face value | $ 10,985,000 | |
Due date | Jul. 19, 2018 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 08/23/2018 [Member] | ||
Investment Owned | ||
Maturity face value | $ 19,292,500 | |
Due date | Aug. 23, 2018 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 09/20/2018 [Member] | ||
Investment Owned | ||
Maturity face value | $ 29,162,500 | |
Due date | Sep. 20, 2018 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 02/22/2018 [Member] | ||
Investment Owned | ||
Maturity face value | $ 25,292,500 | |
Due date | Feb. 22, 2018 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 03/29/2018 [Member] | ||
Investment Owned | ||
Maturity face value | $ 37,867,500 | |
Due date | Mar. 29, 2018 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | U.S. Treasury Bills Due 04/26/2018 [Member] | ||
Investment Owned | ||
Maturity face value | $ 35,680,000 | |
Due date | Apr. 26, 2018 | |
Short Term Investments [Member] | ||
Investment Owned | ||
Cost | $ 7,853 | $ 12,271 |
Short Term Investments [Member] | Money Market Funds [Member] | United States [Member] | ||
Investment Owned | ||
Cost | $ 7,853 | $ 12,271 |
STATEMENTS OF FINANCIAL CONDITI
STATEMENTS OF FINANCIAL CONDITION (Unaudited) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Equity in futures brokers trading accounts | ||
Cash | $ 36,936,692 | $ 46,914,581 |
Restricted cash | 0 | 936,583 |
Fixed income securities (cost $59,253,228 and $67,458,506, respectively) | 59,259,018 | 67,430,443 |
Net unrealized gain (loss) on open futures contracts | 4,211,577 | 8,994,460 |
Total equity in futures brokers trading accounts | 100,407,287 | 124,276,067 |
Cash and cash equivalents | 18,595,684 | 1,828,845 |
Restricted cash at interbank market maker | 17,863,894 | 0 |
Short term investments (cost $7,853 and $12,271, respectively) | 7,853 | 12,271 |
Fixed income securities (cost $324,508,857 and $427,107,573, respectively) | 324,179,969 | 427,026,084 |
Net unrealized gain (loss) on open forward currency contracts | 11,440,094 | 3,101,864 |
Interest receivable | 1,059,863 | 951,297 |
Subscriptions receivable | 101,836 | 50,000 |
Total assets | 473,656,480 | 557,246,428 |
LIABILITIES | ||
Accounts payable | 371,563 | 330,154 |
Management fee payable | 1,470,128 | 1,740,589 |
Accrued commissions and other trading fees on open contracts | 79,539 | 79,893 |
Offering costs payable | 127,109 | 202,016 |
Performance fee payable | 0 | 3,207 |
Redemptions payable | 22,563,629 | 9,067,414 |
Total liabilities | 24,611,968 | 11,423,273 |
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Total unitholders' capital (Net Asset Value) | 449,044,512 | 545,823,155 |
Total liabilities and unitholders' capital (Net Asset Value) | 473,656,480 | 557,246,428 |
Series A Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | 327,578,957 | 407,786,433 |
Series B Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | 59,117,983 | 69,925,360 |
Series D Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | 1,326,880 | 273,175 |
Series W Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | $ 61,020,692 | $ 67,838,187 |
STATEMENTS OF FINANCIAL CONDIT5
STATEMENTS OF FINANCIAL CONDITION (Unaudited) (Parenthetical) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Equity in futures brokers trading accounts | ||
Fixed income securities, cost | $ 59,253,228 | $ 67,458,506 |
Short term investments, cost | 7,853 | 12,271 |
Fixed income securities, cost | $ 324,508,857 | $ 427,107,573 |
Series A Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 132,921.154 | 155,656.273 |
Series B Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 22,077.786 | 24,609.317 |
Series D Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 1,335.598 | 259.610 |
Series W Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 21,575.737 | 22,774.964 |
STATEMENTS OF OPERATIONS (Unaud
STATEMENTS OF OPERATIONS (Unaudited) - USD ($) | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |||
Futures trading gains (losses) | ||||||
Realized | $ 1,011,980 | $ 28,497,527 | $ (19,687,394) | $ 48,928,325 | ||
Change in unrealized | (4,735,980) | (35,844,875) | (4,782,883) | (33,197,652) | ||
Brokerage commissions | (499,776) | (902,457) | (971,455) | (1,710,074) | ||
Net gain (loss) from futures trading | (4,223,776) | (8,249,805) | (25,441,732) | 14,020,599 | ||
Forward currency trading gains (losses) | ||||||
Realized | (17,394,872) | (21,901,706) | (7,284,977) | (27,404,594) | ||
Change in unrealized | 14,659,782 | 7,207,824 | 8,338,230 | (7,656,989) | ||
Brokerage commissions | (43,877) | (37,076) | (79,217) | (76,310) | ||
Net gain (loss) from forward currency trading | (2,778,967) | (14,730,958) | 974,036 | (35,137,893) | ||
Total net trading gain (loss) | (7,002,743) | (22,980,763) | (24,467,696) | (21,117,294) | ||
Investment income | ||||||
Interest income | 2,540,361 | 1,891,168 | 4,696,776 | 3,621,731 | ||
Realized gain (loss) on fixed income securities | (48,217) | (11,469) | (47,585) | 9,230 | ||
Change in unrealized gain (loss) on fixed income securities | 160,493 | 38,657 | (213,546) | 133,946 | ||
Total investment income | 2,652,637 | 1,918,356 | 4,435,645 | 3,764,907 | ||
Expenses | ||||||
Management fee | 4,517,057 | 6,318,438 | 9,548,623 | 13,201,962 | ||
Service fee | 0 | 0 | 0 | 25,238 | ||
Operating expenses | 276,672 | 352,824 | 571,888 | 716,156 | ||
Total expenses | 4,793,729 | 6,671,262 | 10,120,511 | 13,943,356 | ||
Net investment income (loss) | (2,141,092) | (4,752,906) | (5,684,866) | (10,178,449) | ||
NET INCOME (LOSS) | $ (9,143,835) | $ (27,733,669) | $ (30,152,562) | $ (31,295,743) | ||
Series A [Member] | ||||||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT | ||||||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (based on weighted average number of units outstanding during the period) (in dollars per unit) | $ (48.51) | $ (106.56) | $ (153.17) | $ (116.63) | ||
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (in dollars per unit) | (47.75) | (116.14) | (155.33) | (131.95) | ||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 145,474.670 | 202,463.071 | 149,848.919 | 210,814.718 | ||
Series B [Member] | ||||||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT | ||||||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (based on weighted average number of units outstanding during the period) (in dollars per unit) | $ (51.01) | $ (111.75) | $ (165.64) | $ (120.67) | ||
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (in dollars per unit) | (50.45) | (122.20) | (163.71) | (135.83) | ||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 22,878.199 | 31,776.749 | 23,615.439 | 33,721.597 | ||
Series D [Member] | ||||||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT | ||||||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (based on weighted average number of units outstanding during the period) (in dollars per unit) | $ (11.52) | [1] | $ (43) | [1] | ||
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (in dollars per unit) | (16.82) | [1] | (58.78) | [1] | ||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 1,084.928 | [1] | 710.889 | [1] | ||
Series W [Member] | ||||||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT | ||||||
NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (based on weighted average number of units outstanding during the period) (in dollars per unit) | $ (40.67) | $ (112.99) | $ (144.87) | $ (113.62) | ||
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (in dollars per unit) | (42.47) | (116.43) | (150.42) | (120.93) | ||
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 22,297.407 | 23,085.060 | 22,487.301 | 23,226.914 | ||
[1] | Series D Units commenced trading on October 1, 2017. |
STATEMENTS OF CASH FLOWS (Unaud
STATEMENTS OF CASH FLOWS (Unaudited) - USD ($) | 6 Months Ended | |
Jun. 30, 2018 | Jun. 30, 2017 | |
Cash flows from (for) operating activities | ||
Net income (loss) | $ (30,152,562) | $ (31,295,743) |
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | ||
Net change in unrealized on futures, forwards and investments | (3,341,801) | 40,720,695 |
(Increase) decrease in interest receivable | (108,566) | 156,800 |
Increase (decrease) in accounts payable and accrued expenses | (232,613) | (578,480) |
Purchases of investments | (2,883,153,213) | (3,778,268,643) |
Sales/maturities of investments | 2,993,961,625 | 3,906,796,240 |
Net cash from (for) operating activities | 76,972,870 | 137,530,869 |
Cash flows from (for) financing activities | ||
Addition of units | 6,777,747 | 15,691,207 |
Redemption of units | (59,111,754) | (138,741,498) |
Offering costs paid | (922,602) | (1,555,914) |
Net cash from (for) financing activities | (53,256,609) | (124,606,205) |
Net increase (decrease) in cash, cash equivalents and restricted cash | 23,716,261 | 12,924,664 |
Cash, cash equivalents and restricted cash at beginning of period | 49,680,009 | 47,611,597 |
Cash, cash equivalents and restricted cash at end of period | $ 73,396,270 | $ 60,536,261 |
STATEMENTS OF CASH FLOWS (Unau8
STATEMENTS OF CASH FLOWS (Unaudited) (Parenthetical) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 | Jun. 30, 2017 | Dec. 31, 2016 |
Cash, cash equivalents and restricted cash at end of period consists of: | ||||
Cash in futures brokers trading accounts | $ 36,936,692 | $ 46,914,581 | ||
Restricted cash in futures brokers trading accounts | 0 | 936,583 | ||
Cash and cash equivalents | 18,595,684 | 1,828,845 | ||
Restricted cash at interbank market maker | 17,863,894 | 0 | ||
Total cash and restricted cash at end of period | $ 73,396,270 | $ 49,680,009 | $ 60,536,261 | $ 47,611,597 |
STATEMENTS OF CHANGES IN UNITHO
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE) (Unaudited) - USD ($) | 3 Months Ended | 6 Months Ended | ||||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |||
Balances at beginning of year | $ 545,823,155 | $ 740,433,740 | ||||
Net income (loss) | $ (9,143,835) | $ (27,733,669) | (30,152,562) | (31,295,743) | ||
Additions | 6,829,583 | 15,766,003 | ||||
Redemptions | (72,607,969) | (124,283,480) | ||||
Offering costs | (847,695) | (1,501,589) | ||||
Balances at end of period | 449,044,512 | 599,118,931 | 449,044,512 | 599,118,931 | ||
Series A [Member] | Other Unitholders [Member] | ||||||
Balances at beginning of year | $ 407,786,433 | $ 572,449,293 | ||||
Balances at beginning of year (in units) | 155,656.273 | 224,143.366 | ||||
Net income (loss) | $ (22,952,697) | $ (24,587,687) | ||||
Additions | $ 4,160,018 | $ 10,936,571 | ||||
Additions (in units) | 1,665.740 | 4,342.487 | ||||
Redemptions | $ (60,731,287) | $ (96,953,218) | ||||
Redemptions (in units) | (24,400.859) | (38,349.975) | ||||
Offering costs | $ (683,510) | $ (1,336,820) | ||||
Balances at end of period | $ 327,578,957 | $ 460,508,139 | $ 327,578,957 | $ 460,508,139 | ||
Balances at end of period (in units) | 132,921.154 | 190,135.878 | 132,921.154 | 190,135.878 | ||
Series B [Member] | Other Unitholders [Member] | ||||||
Balances at beginning of year | $ 69,925,360 | $ 101,127,802 | ||||
Balances at beginning of year (in units) | 24,609.317 | 36,691.856 | ||||
Net income (loss) | $ (3,911,570) | $ (4,069,125) | ||||
Additions | $ 0 | $ 40,002 | ||||
Additions (in units) | 0 | 14.356 | ||||
Redemptions | $ (6,895,807) | $ (20,866,700) | ||||
Redemptions (in units) | (2,531.531) | (7,613.470) | ||||
Offering costs | $ 0 | $ 0 | ||||
Balances at end of period | $ 59,117,983 | $ 76,231,979 | $ 59,117,983 | $ 76,231,979 | ||
Balances at end of period (in units) | 22,077.786 | 29,092.742 | 22,077.786 | 29,092.742 | ||
Series D [Member] | Other Unitholders [Member] | ||||||
Balances at beginning of year | $ 273,175 | [1] | ||||
Balances at beginning of year (in units) | 259.610 | [1] | ||||
Net income (loss) | $ (30,570) | [1] | ||||
Additions | $ 1,086,054 | [1] | ||||
Additions (in units) | 1,075.988 | [1] | ||||
Redemptions | $ 0 | [1] | ||||
Redemptions (in units) | 0 | [1] | ||||
Offering costs | $ (1,779) | [1] | ||||
Balances at end of period | $ 1,326,880 | [1] | $ 1,326,880 | [1] | ||
Balances at end of period (in units) | 1,335.598 | [1] | 1,335.598 | [1] | ||
Series W [Member] | Other Unitholders [Member] | ||||||
Balances at beginning of year | $ 67,838,187 | $ 66,856,645 | ||||
Balances at beginning of year (in units) | 22,774.964 | 23,481.665 | ||||
Net income (loss) | $ (3,257,725) | $ (2,638,931) | ||||
Additions | $ 1,583,511 | $ 4,789,430 | ||||
Additions (in units) | 556.428 | 1,683.098 | ||||
Redemptions | $ (4,980,875) | $ (6,463,562) | ||||
Redemptions (in units) | (1,755.655) | (2,284.069) | ||||
Offering costs | $ (162,406) | $ (164,769) | ||||
Balances at end of period | $ 61,020,692 | $ 62,378,813 | $ 61,020,692 | $ 62,378,813 | ||
Balances at end of period (in units) | 21,575.737 | 22,880.694 | 21,575.737 | 22,880.694 | ||
[1] | Series D Units commenced trading on October 1, 2017. |
STATEMENTS OF CHANGES IN UNIT10
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE) (Unaudited) (Parenthetical) - $ / shares | Jun. 30, 2018 | Mar. 31, 2018 | Dec. 31, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2016 | ||
Series A [Member] | ||||||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | 2,464.46 | 2,512.21 | 2,619.79 | 2,421.99 | 2,538.13 | 2,553.94 | ||
Series B [Member] | ||||||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | 2,677.71 | 2,728.16 | 2,841.42 | 2,620.31 | 2,742.51 | 2,756.14 | ||
Series D [Member] | ||||||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | 993.47 | 1,010.29 | 1,052.25 | [1] | [1] | |||
Series W [Member] | ||||||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | 2,828.21 | 2,870.68 | 2,978.63 | 2,726.26 | 2,842.69 | 2,847.19 | ||
[1] | Series D Units commenced trading on October 1, 2017. |
FINANCIAL HIGHLIGHTS (Unaudited
FINANCIAL HIGHLIGHTS (Unaudited) - $ / shares | 3 Months Ended | 6 Months Ended | |||||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | ||||
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) | 2,512.21 | 2,538.13 | 2,619.79 | 2,553.94 | |||
Income (loss) from operations: | |||||||
Total net trading gains (losses) (in dollars per unit) | [1] | (33.97) | (93.64) | (119.28) | (86.04) | ||
Net investment income (loss) (in dollars per unit) | [1] | (12.52) | (19.34) | (31.49) | (39.57) | ||
Total net income (loss) from operations (in dollars per unit) | (46.49) | (112.98) | (150.77) | (125.61) | |||
Offering costs (in dollars per unit) | [1] | (1.26) | (3.16) | (4.56) | (6.34) | ||
Net asset value per unit at end of period (in dollars per unit) | 2,464.46 | 2,421.99 | 2,464.46 | 2,421.99 | |||
Total Return | [2] | (1.90%) | (4.58%) | (5.93%) | (5.17%) | ||
Ratios to average net asset value: | |||||||
Expenses prior to performance fee | [3] | 4.25% | 4.26% | 4.25% | 4.26% | ||
Performance fee | [2] | 0.00% | 0.00% | 0.00% | 0.00% | ||
Total expenses | 4.25% | 4.26% | 4.25% | 4.26% | |||
Net investment income (loss) | [3],[4] | (2.04%) | (3.09%) | (2.50%) | (3.16%) | ||
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) | 2,728.16 | 2,742.51 | 2,841.42 | 2,756.14 | |||
Income (loss) from operations: | |||||||
Total net trading gains (losses) (in dollars per unit) | [5] | (36.84) | (101.29) | (129.50) | (93.06) | ||
Net investment income (loss) (in dollars per unit) | [5] | (13.61) | (20.91) | (34.21) | (42.77) | ||
Total net income (loss) from operations (in dollars per unit) | (50.45) | (122.20) | (163.71) | (135.83) | |||
Net asset value per unit at end of period (in dollars per unit) | 2,677.71 | 2,620.31 | 2,677.71 | 2,620.31 | |||
Total Return | [2] | (1.85%) | (4.46%) | (5.76%) | (4.93%) | ||
Ratios to average net asset value: | |||||||
Expenses prior to performance fee | [3] | 4.24% | 4.28% | 4.24% | 4.28% | ||
Performance fee | [2] | 0.00% | 0.00% | 0.00% | 0.00% | ||
Total expenses | 4.24% | 4.28% | 4.24% | 4.28% | |||
Net investment income (loss) | [3],[4] | (2.04%) | (3.11%) | (2.50%) | (3.18%) | ||
Series D [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) | 1,010.29 | 1,052.25 | [6] | ||||
Income (loss) from operations: | |||||||
Total net trading gains (losses) (in dollars per unit) | [1] | (13.60) | (51.25) | ||||
Net investment income (loss) (in dollars per unit) | [1] | (1.98) | (5.03) | ||||
Total net income (loss) from operations (in dollars per unit) | (15.58) | (56.28) | |||||
Offering costs (in dollars per unit) | [1] | (1.24) | (2.50) | ||||
Net asset value per unit at end of period (in dollars per unit) | 993.47 | [6] | 993.47 | [6] | |||
Total Return | [2] | (1.66%) | (5.59%) | ||||
Ratios to average net asset value: | |||||||
Expenses prior to performance fee | [3] | 2.89% | 2.70% | ||||
Performance fee | [2] | 0.00% | 0.00% | ||||
Total expenses | 2.89% | 2.70% | |||||
Net investment income (loss) | [3],[4] | (0.77%) | (0.91%) | ||||
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) | 2,870.68 | 2,842.69 | 2,978.63 | 2,847.19 | |||
Income (loss) from operations: | |||||||
Total net trading gains (losses) (in dollars per unit) | [1] | (38.70) | (105.39) | (136.31) | (96.87) | ||
Net investment income (loss) (in dollars per unit) | [1] | (0.25) | (7.50) | (6.89) | (16.97) | ||
Total net income (loss) from operations (in dollars per unit) | (38.95) | (112.89) | (143.20) | (113.84) | |||
Offering costs (in dollars per unit) | [1] | (3.52) | (3.54) | (7.22) | (7.09) | ||
Net asset value per unit at end of period (in dollars per unit) | 2,828.21 | 2,726.26 | 2,828.21 | 2,726.26 | |||
Total Return | [2] | (1.48%) | (4.10%) | (5.05%) | (4.25%) | ||
Ratios to average net asset value: | |||||||
Expenses prior to performance fee | [3] | 2.23% | 2.22% | 2.23% | 2.29% | ||
Performance fee | [2] | 0.00% | 0.00% | 0.00% | 0.00% | ||
Total expenses | 2.23% | 2.22% | 2.23% | 2.29% | |||
Net investment income (loss) | [3],[4] | (0.04%) | (1.06%) | (0.48%) | (1.20%) | ||
[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. | ||||||
[6] | Series D Units commenced trading on October 1, 2017. |
ORGANIZATION AND SUMMARY OF SIG
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 6 Months Ended |
Jun. 30, 2018 | |
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. Effective July 1, 2017, the Trust began offering units of beneficial interest classified into Series D units. The rights of the Series A units, Series B units, Series D units and Series W units are identical, except that the fees and commissions vary on a Series-by-Series basis. Series A, Series D and Series W commenced trading on October 1, 2008, October 1, 2017 and March 1, 2009, respectively. The initial minimum subscription for Series A units, Series D units and Series W units is $25,000. Series B units are only available for additional investments by existing holders of Series B units. See Note 1G, Note 1I, Note 2 and Note 6 for an explanation of allocations and Series specific charges. B. Regulation As a registrant with the Securities and Exchange Commission (the “SEC”), the Trust is subject to the regulatory requirements under the Securities and Exchange Act of 1934. As a commodity investment pool, the Trust is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Trust executes transactions. Additionally, the Trust is subject to the requirements of futures commission merchants (the “futures brokers”) and interbank market maker through which the Trust trades. C. Method of Reporting The Trust’s financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which may require the use of certain estimates made by the Trust’s management. Actual results may differ from these estimates. These financial statements should be read in conjunction with the financial statements and notes thereto included in the Trust’s Annual Report Form 10-K filed with the SEC for the year ended December 31, 2017. All adjustments of a normal recurring nature considered necessary for a fair presentation have been included herein. The Trust meets the definition of an investment company according to the provisions of Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946-10, Financial Services - Investment Companies. Investment transactions 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 June 30, 2018 and December 31, 2017, and for the periods ended June 30, 2018 and 2017, 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 June 30, 2018 and December 31, 2017. Fair Value at June 30, 2018 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 7,853 $ 0 $ 0 $ 7,853 Fixed income securities 0 383,438,987 0 383,438,987 Other Financial Instruments Exchange-traded futures contracts 4,211,577 0 0 4,211,577 Forward currency contracts 0 11,440,094 0 11,440,094 Total $ 4,219,430 $ 394,879,081 $ 0 $ 399,098,511 Fair Value at December 31, 2017 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 12,271 $ 0 $ 0 $ 12,271 Fixed income securities 0 494,456,527 0 494,456,527 Other Financial Instruments Exchange-traded futures contracts 8,994,460 0 0 8,994,460 Forward currency contracts 0 3,101,864 0 3,101,864 Total $ 9,006,731 $ 497,558,391 $ 0 $ 506,565,122 There were no transfers to or from Level 1 to Level 2 for the period ended June 30, 2018 or the year ended December 31, 2017. 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. Cash and Cash Equivalents Cash and cash equivalents includes cash and overnight money market investments at financial institutions. F. Income Taxes The Trust prepares calendar year U.S. federal and applicable state information tax returns and reports to the unitholders their allocable shares of the Trust’s income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each unitholder is individually responsible for reporting income or loss based on such unitholder’s respective share of the Trust’s income and expenses as reported for income tax purposes. Management has continued to evaluate the application of ASC 740, Income Taxes, to the Trust, and has determined that 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 2014 through 2017 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. G. Offering Costs Campbell & Company, LP (“Campbell & Company”) has incurred all costs in connection with the initial and continuous offering of units of the Trust (“offering costs”). Series A units, Series D units and Series W units will each bear the offering costs incurred in relation to the offering of Series A units, Series D units and Series W units, respectively. Offering costs are charged to Series A, Series D and Series W at a monthly rate of 1/12 of 0.5% (0.5% annualized) of each Series’ month-end net asset value (as defined in the Declaration of Trust and Trust Agreement) until such amounts are fully reimbursed. Such amounts are charged directly to unitholders’ capital. Series A, Series D and Series W are only liable for payment of offering costs on a monthly basis. The offering costs allocable to the Series B units are borne by Campbell & Company. If the Trust terminates prior to completion of payment to Campbell & Company for the unreimbursed offering costs incurred through the date of such termination, Campbell & Company will not be entitled to any additional payments, and Series A units, Series D units and Series W units will have no further obligation to Campbell & Company. At June 30, 2018, and December 31, 2017, the amount of unreimbursed offering costs incurred by Campbell & Company is $100,721 and $206,222 for Series A units, $35,542 and $19,412 for Series D units and $237,803 and $285,675 for Series W units, respectively. H. Foreign Currency Transactions The Trust’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income. I. Allocations Income or loss (prior to calculation of the management fee, service fee, offering costs and performance fee) is allocated pro rata to each Series of units. Each Series of units is then charged the management fee, service fee, offering costs and performance fee applicable to such Series of units. J. Recently Issued Accounting Pronouncements In November 2016, the FASB issued Accounting Standards Update (“ASU”) 2016-18, Statement of Cash Flows (Topic 230): Restricted Cash, which aims to reduce diversity in the presentation of restricted cash and restricted cash equivalents in the statement. The amendment is effective for the interim and annual reporting periods beginning after December 15, 2017. Campbell & Company has adopted the new guidance, and management has determined its adoption has no material impact on the Trust’s financial statement disclosures. K. Reclassification Certain 2017 amounts in the Statements of Cash Flows were reclassified to conform with the adoption of ASU 2016-18 in the 2018 presentation. Specifically, restricted cash is no longer included as a cash flow from (for) operating activities; and a reconciliation of cash, cash equivalents and restricted cash to amounts on the Statements of Financial Condition is presented on a gross basis. |
MANAGING OPERATOR AND COMMODITY
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR | 6 Months Ended |
Jun. 30, 2018 | |
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 D units pay the managing operator a monthly management fee equal to 1/12 of 2.75% (2.75% annually) of the Net Assets (as defined) of Series D units 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. |
TRUSTEE
TRUSTEE | 6 Months Ended |
Jun. 30, 2018 | |
TRUSTEE [Abstract] | |
TRUSTEE | Note 3. TRUSTEE The trustee of the Trust is U.S. Bank National Association, a national banking corporation. The trustee has delegated to the managing operator the duty and authority to manage the business and affairs of the Trust and has only nominal duties and liabilities with respect to the Trust. |
ADMINISTRATOR
ADMINISTRATOR | 6 Months Ended |
Jun. 30, 2018 | |
ADMINISTRATOR [Abstract] | |
ADMINISTRATOR | Note 4. ADMINISTRATOR Northern Trust Hedge Fund Services LLC serves as the Administrator of the Trust. The Administrator receives fees at rates agreed-upon between the Trust and the Administrator and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties. The Administrator’s primary responsibilities are portfolio accounting and fund accounting services. |
CASH MANAGER AND CUSTODIAN
CASH MANAGER AND CUSTODIAN | 6 Months Ended |
Jun. 30, 2018 | |
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 | 6 Months Ended |
Jun. 30, 2018 | |
SERVICE FEE [Abstract] | |
SERVICE FEE | Note 6. SERVICE FEE Prior to March 1, 2017, the selling firms who sold Series W units received 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. Effective March 1, 2017, a monthly service fee will no longer be paid by the Series W Units. |
DEPOSITS WITH FUTURES BROKERS
DEPOSITS WITH FUTURES BROKERS | 6 Months Ended |
Jun. 30, 2018 | |
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 | 6 Months Ended |
Jun. 30, 2018 | |
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 NatWest Markets plc (“NatWest”), formerly the Royal Bank of Scotland. The Trust has entered into an International Swaps and Derivatives Association Master Agreement (“ISDA Agreement”) with NatWest which governs these transactions. The credit ratings reported by the three major rating agencies for NatWest were considered investment grade as of June 30, 2018. Margin requirements are satisfied by the deposit of cash with NatWest. The Trust typically earns interest income on its assets deposited with NatWest. |
SUBSCRIPTIONS, DISTRIBUTIONS AN
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS | 6 Months Ended |
Jun. 30, 2018 | |
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 six months ended June 30, 2018 and 2017, Campbell & Company received redemption fees of $245 and $9,752, respectively. |
TRADING ACTIVITIES AND RELATED
TRADING ACTIVITIES AND RELATED RISKS | 6 Months Ended |
Jun. 30, 2018 | |
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 futures and forward contracts, 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 June 30, 2018 and December 31, 2017 is as follows: Type of Instrument * Statements of Financial Condition Location Asset Derivatives at June 30, 2018 Fair Value Liability Derivatives at June 30, 2018 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 3,727,341 $ (1,761,019 ) $ 1,966,322 Energy Contracts Net unrealized gain (loss) on open futures contracts 4,904,223 (240,760 ) 4,663,463 Metal Contracts Net unrealized gain (loss) on open futures contracts 4,845,409 (7,746,992 ) (2,901,583 ) Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 1,286,744 (3,368,389 ) (2,081,645 ) Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 111,495 (724,626 ) (613,131 ) Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 4,092,654 (914,503 ) 3,178,151 Forward Currency Contracts Net unrealized gain (loss) on open forward currency contracts 19,923,547 (8,483,453 ) 11,440,094 Totals $ 38,891,413 $ (23,239,742 ) $ 15,651,671 * Derivatives not designated as hedging instruments under ASC 815 Type of Instrument * Statements of Financial Condition Location Asset Derivatives at December 31, 2017 Fair Value Liability Derivatives at December 31, 2017 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 3,638,592 $ (305,890 ) $ 3,332,702 Energy Contracts Net unrealized gain (loss) on open futures contracts 4,230,158 (1,767,097 ) 2,463,061 Metal Contracts Net unrealized gain (loss) on open futures contracts 6,733,650 (2,806,128 ) 3,927,522 Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 6,430,613 (2,540,535 ) 3,890,078 Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 509,198 (498,702 ) 10,496 Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 853,564 (5,482,963 ) (4,629,399 ) Forward Currency Contracts Net unrealized gain (loss) on open forward currency contracts 17,067,988 (13,966,124 ) 3,101,864 Totals $ 39,463,763 $ (27,367,439 ) $ 12,096,324 * Derivatives not designated as hedging instruments under ASC 815 The trading revenue of the Trust’s derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three and six months ended June 30, 2018 and 2017 is as follows: Type of Instrument Trading Gains/Losses) for the Three Months Ended June 30, 2018 Trading Gains/(Losses) for the Three Months Ended June 30, 2017 Agriculture Contracts $ (4,093,993 ) $ 15,331 Energy Contracts 10,859,812 (9,310,552 ) Metal Contracts (9,866,141 ) (6,380,724 ) Stock Indices Contracts (426,669 ) 23,693,161 Short-Term Interest Rate Contracts 1,799,680 (1,784,906 ) Long-Term Interest Rate Contracts (1,932,596 ) (13,680,719 ) Forward Currency Contracts (2,735,090 ) (14,693,882 ) Total $ (6,394,997 ) $ (22,142,291 ) Type of Instrument Trading Gains/(Losses) for the Six Months Ended June 30, 2018 Trading Gains/(Losses) for the Six Months Ended June 30, 2017 Agriculture Contracts $ (8,423,327 ) $ (11,040,317 ) Energy Contracts 13,163,132 (24,880,167 ) Metal Contracts (10,338,405 ) 2,580,087 Stock Indices Contracts (27,942,949 ) 77,436,130 Short-Term Interest Rate Contracts 5,916,146 (3,947,007 ) Long-Term Interest Rate Contracts 3,193,528 (24,610,756 ) Forward Currency Contracts 1,053,253 (35,061,583 ) Total $ (23,378,622 ) $ (19,523,613 ) Line Item in the Statements of Operations Trading Gains/(Losses) for the Three Months Ended June 30, 2018 Trading Gains/(Losses) for the Three Months Ended June 30, 2017 Futures trading gains (losses): Realized** $ 1,076,073 $ 28,396,466 Change in unrealized (4,735,980 ) (35,844,875 ) Forward currency trading gains (losses): Realized (17,394,872 ) (21,901,706 ) Change in unrealized 14,659,782 7,207,824 Total $ (6,394,997 ) $ (22,142,291 ) Line Item in the Statements of Operations Trading Gains/(Losses) for the Six Months Ended June 30, 2018 Trading Gains/(Losses) for the Six Months Ended June 30, 2017 Futures trading gains (losses): Realized** $ (19,648,992 ) $ 48,735,622 Change in unrealized (4,782,883 ) (33,197,652 ) Forward currency trading gains (losses): Realized (7,284,977 ) (27,404,594 ) Change in unrealized 8,338,230 (7,656,989 ) Total $ (23,378,622 ) $ (19,523,613 ) ** 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 brokers. For the three months ended June 30, 2018 and 2017, the monthly average of futures contracts bought and sold was approximately 42,600 and 75,200, respectively, and the monthly average of notional value of forward currency contracts was $2,242,600,000 and $2,752,800,000, respectively For the six months ended June 30, 2018 and 2017, the monthly average of futures contracts bought and sold was approximately 43,500 and 71,000, respectively, and the monthly average of notional value of forward currency contracts was $2,149,500,000 and $2,758,900,000, respectively Open contracts generally mature within three months; as of June 30, 2018, the latest maturity date for open futures contracts is September 2019 and the latest maturity date for open forward currency contracts is September 2018. 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 brokers. 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 NatWest, 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 June 30, 2018 and December 31, 2017 was $59,259,018 and $98,517,542, respectively, which equals approximately 13% and 18% of Net Asset Value, respectively. The cash deposited with the interbank market maker at June 30, 2018 and December 31, 2017 was $26,423,461 and $265,952, respectively, which equals approximately 6% and 0% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. Included in cash deposits with the brokers and interbroker market maker at June 30, 2018 and December 31, 2017 was restricted cash for margin requirements of $17,863,894 and $936,583, respectively, which equals approximately 4% and 0% 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 June 30, 2018 Type of Instrument Counterparty Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 9,690,986 $ (7,531,837 ) $ 2,159,149 Futures contracts Goldman Sachs 9,276,880 (7,224,452 ) 2,052,428 Forward currency contracts NatWest Markets plc 19,923,547 (8,483,453 ) 11,440,094 Total derivatives $ 38,891,413 $ (23,239,742 ) $ 15,651,671 Derivative Assets and Collateral Received by Counterparty As of June 30, 2018 Net Amounts of Unrealized Gain in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Net Amount Counterparty Financial Instruments Cash Collateral Received UBS Securities LLC $ 2,159,149 $ 0 $ 0 $ 2,159,149 Goldman Sachs 2,052,428 0 0 2,052,428 NatWest Markets plc 11,440,094 0 0 11,440,094 Total $ 15,651,671 $ 0 $ 0 $ 15,651,671 Offsetting of Derivative Liabilities As of June 30, 2018 Type of Instrument Counterparty Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 7,531,837 $ (7,531,837 ) $ 0 Futures contracts Goldman Sachs 7,224,452 (7,224,452 ) 0 Forward currency contracts NatWest Markets plc 8,483,453 (8,483,453 ) 0 Total derivatives $ 23,239,742 $ (23,239,742 ) $ 0 Derivative Liabilities and Collateral Pledged by Counterparty As of June 30, 2018 Net Amounts of Unrealized Loss in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Net Amount Counterparty Financial Instruments Cash Collateral Pledged UBS Securities LLC $ 0 $ 0 $ 0 $ 0 Goldman Sachs 0 0 0 0 NatWest Markets plc 0 0 0 0 Total $ 0 $ 0 $ 0 $ 0 Offsetting of Derivative Assets As of December 31, 2017 Type of Instrument Counterparty Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 11,246,678 $ (6,805,740 ) $ 4,440,938 Futures contracts Goldman Sachs 11,149,097 (6,595,575 ) 4,553,522 Forward currency contracts NatWest Markets plc 17,067,988 (13,966,124 ) 3,101,864 Total derivatives $ 39,463,763 $ (27,367,439 ) $ 12,096,324 Derivative Assets and Collateral Received by Counterparty As of December 31, 2017 Net Amounts of Unrealized Gain in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Net Amount Counterparty Financial Instruments Cash Collateral Received UBS Securities LLC $ 4,440,938 $ 0 $ 0 $ 4,440,938 Goldman Sachs 4,553,522 0 0 4,553,522 NatWest Markets plc 3,101,864 0 0 3,101,864 Total $ 12,096,324 $ 0 $ 0 $ 12,096,324 Offsetting of Derivative Liabilities As of December 31, 2017 Type of Instrument Counterparty Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 6,805,740 $ (6,805,740 ) $ 0 Futures contracts Goldman Sachs 6,595,575 (6,595,575 ) 0 Forward currency contracts NatWest Markets plc 13,966,124 (13,966,124 ) 0 Total derivatives $ 27,367,439 $ (27,367,439 ) $ 0 Derivative Liabilities and Collateral Pledged by Counterparty As of December 31, 2017 Net Amounts of Unrealized Loss in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Net Amount Counterparty Financial Instruments Cash Collateral Pledged UBS Securities LLC $ 0 $ 0 $ 0 $ 0 Goldman Sachs 0 0 0 0 NatWest Markets plc 0 0 0 0 Total $ 0 $ 0 $ 0 $ 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 | 6 Months Ended |
Jun. 30, 2018 | |
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 | 6 Months Ended |
Jun. 30, 2018 | |
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 June 30, 2018 and December 31, 2017, the Statements of Operations and Financial Highlights for the three months and six months ended June 30, 2018 and 2017, and the Statements of Cash Flows and Changes in Unitholders’ Capital (Net Asset Value) for the six months ended June 30, 2018 and 2017 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 June 30, 2018 and December 31, 2017, the results of operations and financial highlights for the three months and six months ended June 30, 2018 and 2017, and cash flows and changes in unitholders’ capital (Net Asset Value) for the six months ended June 30, 2018 and 2017. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 6 Months Ended |
Jun. 30, 2018 | |
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 S25
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies) | 6 Months Ended |
Jun. 30, 2018 | |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | |
Basis of Accounting | 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 | 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 June 30, 2018 and December 31, 2017, and for the periods ended June 30, 2018 and 2017, 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 June 30, 2018 and December 31, 2017. Fair Value at June 30, 2018 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 7,853 $ 0 $ 0 $ 7,853 Fixed income securities 0 383,438,987 0 383,438,987 Other Financial Instruments Exchange-traded futures contracts 4,211,577 0 0 4,211,577 Forward currency contracts 0 11,440,094 0 11,440,094 Total $ 4,219,430 $ 394,879,081 $ 0 $ 399,098,511 Fair Value at December 31, 2017 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 12,271 $ 0 $ 0 $ 12,271 Fixed income securities 0 494,456,527 0 494,456,527 Other Financial Instruments Exchange-traded futures contracts 8,994,460 0 0 8,994,460 Forward currency contracts 0 3,101,864 0 3,101,864 Total $ 9,006,731 $ 497,558,391 $ 0 $ 506,565,122 There were no transfers to or from Level 1 to Level 2 for the period ended June 30, 2018 or the year ended December 31, 2017. 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. |
Cash and Cash Equivalents | E. Cash and Cash Equivalents Cash and cash equivalents includes cash and overnight money market investments at financial institutions. |
Income Taxes | F. Income Taxes The Trust prepares calendar year U.S. federal and applicable state information tax returns and reports to the unitholders their allocable shares of the Trust’s income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each unitholder is individually responsible for reporting income or loss based on such unitholder’s respective share of the Trust’s income and expenses as reported for income tax purposes. Management has continued to evaluate the application of ASC 740, Income Taxes, to the Trust, and has determined that 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 2014 through 2017 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. |
Offering Costs | G. Offering Costs Campbell & Company, LP (“Campbell & Company”) has incurred all costs in connection with the initial and continuous offering of units of the Trust (“offering costs”). Series A units, Series D units and Series W units will each bear the offering costs incurred in relation to the offering of Series A units, Series D units and Series W units, respectively. Offering costs are charged to Series A, Series D and Series W at a monthly rate of 1/12 of 0.5% (0.5% annualized) of each Series’ month-end net asset value (as defined in the Declaration of Trust and Trust Agreement) until such amounts are fully reimbursed. Such amounts are charged directly to unitholders’ capital. Series A, Series D and Series W are only liable for payment of offering costs on a monthly basis. The offering costs allocable to the Series B units are borne by Campbell & Company. If the Trust terminates prior to completion of payment to Campbell & Company for the unreimbursed offering costs incurred through the date of such termination, Campbell & Company will not be entitled to any additional payments, and Series A units, Series D units and Series W units will have no further obligation to Campbell & Company. At June 30, 2018, and December 31, 2017, the amount of unreimbursed offering costs incurred by Campbell & Company is $100,721 and $206,222 for Series A units, $35,542 and $19,412 for Series D units and $237,803 and $285,675 for Series W units, respectively. |
Foreign Currency Transactions | H. Foreign Currency Transactions The Trust’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income. |
Allocations | I. Allocations Income or loss (prior to calculation of the management fee, service fee, offering costs and performance fee) is allocated pro rata to each Series of units. Each Series of units is then charged the management fee, service fee, offering costs and performance fee applicable to such Series of units. |
Recently Issued Accounting Pronouncements | J. Recently Issued Accounting Pronouncements In November 2016, the FASB issued Accounting Standards Update (“ASU”) 2016-18, Statement of Cash Flows (Topic 230): Restricted Cash, which aims to reduce diversity in the presentation of restricted cash and restricted cash equivalents in the statement. The amendment is effective for the interim and annual reporting periods beginning after December 15, 2017. Campbell & Company has adopted the new guidance, and management has determined its adoption has no material impact on the Trust’s financial statement disclosures. |
Reclassification | K. Reclassification Certain 2017 amounts in the Statements of Cash Flows were reclassified to conform with the adoption of ASU 2016-18 in the 2018 presentation. Specifically, restricted cash is no longer included as a cash flow from (for) operating activities; and a reconciliation of cash, cash equivalents and restricted cash to amounts on the Statements of Financial Condition is presented on a gross basis. |
ORGANIZATION AND SUMMARY OF S26
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
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 June 30, 2018 and December 31, 2017. Fair Value at June 30, 2018 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 7,853 $ 0 $ 0 $ 7,853 Fixed income securities 0 383,438,987 0 383,438,987 Other Financial Instruments Exchange-traded futures contracts 4,211,577 0 0 4,211,577 Forward currency contracts 0 11,440,094 0 11,440,094 Total $ 4,219,430 $ 394,879,081 $ 0 $ 399,098,511 Fair Value at December 31, 2017 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 12,271 $ 0 $ 0 $ 12,271 Fixed income securities 0 494,456,527 0 494,456,527 Other Financial Instruments Exchange-traded futures contracts 8,994,460 0 0 8,994,460 Forward currency contracts 0 3,101,864 0 3,101,864 Total $ 9,006,731 $ 497,558,391 $ 0 $ 506,565,122 |
TRADING ACTIVITIES AND RELATE27
TRADING ACTIVITIES AND RELATED RISKS (Tables) | 6 Months Ended |
Jun. 30, 2018 | |
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 June 30, 2018 and December 31, 2017 is as follows: Type of Instrument * Statements of Financial Condition Location Asset Derivatives at June 30, 2018 Fair Value Liability Derivatives at June 30, 2018 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 3,727,341 $ (1,761,019 ) $ 1,966,322 Energy Contracts Net unrealized gain (loss) on open futures contracts 4,904,223 (240,760 ) 4,663,463 Metal Contracts Net unrealized gain (loss) on open futures contracts 4,845,409 (7,746,992 ) (2,901,583 ) Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 1,286,744 (3,368,389 ) (2,081,645 ) Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 111,495 (724,626 ) (613,131 ) Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 4,092,654 (914,503 ) 3,178,151 Forward Currency Contracts Net unrealized gain (loss) on open forward currency contracts 19,923,547 (8,483,453 ) 11,440,094 Totals $ 38,891,413 $ (23,239,742 ) $ 15,651,671 * Derivatives not designated as hedging instruments under ASC 815 Type of Instrument * Statements of Financial Condition Location Asset Derivatives at December 31, 2017 Fair Value Liability Derivatives at December 31, 2017 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 3,638,592 $ (305,890 ) $ 3,332,702 Energy Contracts Net unrealized gain (loss) on open futures contracts 4,230,158 (1,767,097 ) 2,463,061 Metal Contracts Net unrealized gain (loss) on open futures contracts 6,733,650 (2,806,128 ) 3,927,522 Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 6,430,613 (2,540,535 ) 3,890,078 Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 509,198 (498,702 ) 10,496 Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 853,564 (5,482,963 ) (4,629,399 ) Forward Currency Contracts Net unrealized gain (loss) on open forward currency contracts 17,067,988 (13,966,124 ) 3,101,864 Totals $ 39,463,763 $ (27,367,439 ) $ 12,096,324 * 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 revenue of the Trust’s derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three and six months ended June 30, 2018 and 2017 is as follows: Type of Instrument Trading Gains/Losses) for the Three Months Ended June 30, 2018 Trading Gains/(Losses) for the Three Months Ended June 30, 2017 Agriculture Contracts $ (4,093,993 ) $ 15,331 Energy Contracts 10,859,812 (9,310,552 ) Metal Contracts (9,866,141 ) (6,380,724 ) Stock Indices Contracts (426,669 ) 23,693,161 Short-Term Interest Rate Contracts 1,799,680 (1,784,906 ) Long-Term Interest Rate Contracts (1,932,596 ) (13,680,719 ) Forward Currency Contracts (2,735,090 ) (14,693,882 ) Total $ (6,394,997 ) $ (22,142,291 ) Type of Instrument Trading Gains/(Losses) for the Six Months Ended June 30, 2018 Trading Gains/(Losses) for the Six Months Ended June 30, 2017 Agriculture Contracts $ (8,423,327 ) $ (11,040,317 ) Energy Contracts 13,163,132 (24,880,167 ) Metal Contracts (10,338,405 ) 2,580,087 Stock Indices Contracts (27,942,949 ) 77,436,130 Short-Term Interest Rate Contracts 5,916,146 (3,947,007 ) Long-Term Interest Rate Contracts 3,193,528 (24,610,756 ) Forward Currency Contracts 1,053,253 (35,061,583 ) Total $ (23,378,622 ) $ (19,523,613 ) Line Item in the Statements of Operations Trading Gains/(Losses) for the Three Months Ended June 30, 2018 Trading Gains/(Losses) for the Three Months Ended June 30, 2017 Futures trading gains (losses): Realized** $ 1,076,073 $ 28,396,466 Change in unrealized (4,735,980 ) (35,844,875 ) Forward currency trading gains (losses): Realized (17,394,872 ) (21,901,706 ) Change in unrealized 14,659,782 7,207,824 Total $ (6,394,997 ) $ (22,142,291 ) Line Item in the Statements of Operations Trading Gains/(Losses) for the Six Months Ended June 30, 2018 Trading Gains/(Losses) for the Six Months Ended June 30, 2017 Futures trading gains (losses): Realized** $ (19,648,992 ) $ 48,735,622 Change in unrealized (4,782,883 ) (33,197,652 ) Forward currency trading gains (losses): Realized (7,284,977 ) (27,404,594 ) Change in unrealized 8,338,230 (7,656,989 ) Total $ (23,378,622 ) $ (19,523,613 ) ** 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 brokers. |
Offsetting of Derivative Assets and Collateral Received by Counterparty | Offsetting of Derivative Assets As of June 30, 2018 Type of Instrument Counterparty Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 9,690,986 $ (7,531,837 ) $ 2,159,149 Futures contracts Goldman Sachs 9,276,880 (7,224,452 ) 2,052,428 Forward currency contracts NatWest Markets plc 19,923,547 (8,483,453 ) 11,440,094 Total derivatives $ 38,891,413 $ (23,239,742 ) $ 15,651,671 Derivative Assets and Collateral Received by Counterparty As of June 30, 2018 Net Amounts of Unrealized Gain in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Net Amount Counterparty Financial Instruments Cash Collateral Received UBS Securities LLC $ 2,159,149 $ 0 $ 0 $ 2,159,149 Goldman Sachs 2,052,428 0 0 2,052,428 NatWest Markets plc 11,440,094 0 0 11,440,094 Total $ 15,651,671 $ 0 $ 0 $ 15,651,671 Offsetting of Derivative Assets As of December 31, 2017 Type of Instrument Counterparty Gross Amounts of Recognized Assets Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 11,246,678 $ (6,805,740 ) $ 4,440,938 Futures contracts Goldman Sachs 11,149,097 (6,595,575 ) 4,553,522 Forward currency contracts NatWest Markets plc 17,067,988 (13,966,124 ) 3,101,864 Total derivatives $ 39,463,763 $ (27,367,439 ) $ 12,096,324 Derivative Assets and Collateral Received by Counterparty As of December 31, 2017 Net Amounts of Unrealized Gain in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Net Amount Counterparty Financial Instruments Cash Collateral Received UBS Securities LLC $ 4,440,938 $ 0 $ 0 $ 4,440,938 Goldman Sachs 4,553,522 0 0 4,553,522 NatWest Markets plc 3,101,864 0 0 3,101,864 Total $ 12,096,324 $ 0 $ 0 $ 12,096,324 |
Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty | Offsetting of Derivative Liabilities As of June 30, 2018 Type of Instrument Counterparty Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 7,531,837 $ (7,531,837 ) $ 0 Futures contracts Goldman Sachs 7,224,452 (7,224,452 ) 0 Forward currency contracts NatWest Markets plc 8,483,453 (8,483,453 ) 0 Total derivatives $ 23,239,742 $ (23,239,742 ) $ 0 Derivative Liabilities and Collateral Pledged by Counterparty As of June 30, 2018 Net Amounts of Unrealized Loss in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Net Amount Counterparty Financial Instruments Cash Collateral Pledged UBS Securities LLC $ 0 $ 0 $ 0 $ 0 Goldman Sachs 0 0 0 0 NatWest Markets plc 0 0 0 0 Total $ 0 $ 0 $ 0 $ 0 Offsetting of Derivative Liabilities As of December 31, 2017 Type of Instrument Counterparty Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 6,805,740 $ (6,805,740 ) $ 0 Futures contracts Goldman Sachs 6,595,575 (6,595,575 ) 0 Forward currency contracts NatWest Markets plc 13,966,124 (13,966,124 ) 0 Total derivatives $ 27,367,439 $ (27,367,439 ) $ 0 Derivative Liabilities and Collateral Pledged by Counterparty As of December 31, 2017 Net Amounts of Unrealized Loss in the Statements of Financial Condition Gross Amounts Not Offset in the Statements of Financial Condition Net Amount Counterparty Financial Instruments Cash Collateral Pledged UBS Securities LLC $ 0 $ 0 $ 0 $ 0 Goldman Sachs 0 0 0 0 NatWest Markets plc 0 0 0 0 Total $ 0 $ 0 $ 0 $ 0 |
ORGANIZATION AND SUMMARY OF S28
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, General Description of the Trust (Details) | 6 Months Ended |
Jun. 30, 2018$ / shares | |
Series A [Member] | |
General Description of the Trust [Abstract] | |
Initial minimum subscription (in dollars per unit) | 25,000 |
Series D [Member] | |
General Description of the Trust [Abstract] | |
Initial minimum subscription (in dollars per unit) | 25,000 |
Series W [Member] | |
General Description of the Trust [Abstract] | |
Initial minimum subscription (in dollars per unit) | 25,000 |
ORGANIZATION AND SUMMARY OF S29
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Fair Value (Details) - Fair Value on a Recurring Basis [Member] - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Investments [Abstract] | ||
Short term investments | $ 7,853 | $ 12,271 |
Fixed income securities | 383,438,987 | 494,456,527 |
Total | 399,098,511 | 506,565,122 |
Transfers from Level 1 to Level 2 | 0 | 0 |
Transfers from Level 2 to Level 1 | 0 | 0 |
Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 4,211,577 | 8,994,460 |
Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 11,440,094 | 3,101,864 |
Level 1 [Member] | ||
Investments [Abstract] | ||
Short term investments | 7,853 | 12,271 |
Fixed income securities | 0 | 0 |
Total | 4,219,430 | 9,006,731 |
Level 1 [Member] | Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 4,211,577 | 8,994,460 |
Level 1 [Member] | Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 2 [Member] | ||
Investments [Abstract] | ||
Short term investments | 0 | 0 |
Fixed income securities | 383,438,987 | 494,456,527 |
Total | 394,879,081 | 497,558,391 |
Level 2 [Member] | Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 2 [Member] | Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 11,440,094 | 3,101,864 |
Level 3 [Member] | ||
Investments [Abstract] | ||
Short term investments | 0 | 0 |
Fixed income securities | 0 | 0 |
Total | 0 | 0 |
Level 3 [Member] | Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 3 [Member] | Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | $ 0 | $ 0 |
ORGANIZATION AND SUMMARY OF S30
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Income Taxes (Details) | 6 Months Ended |
Jun. 30, 2018USD ($) | |
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 |
Federal Tax Authority [Member] | |
Income Taxes [Abstract] | |
Open tax year | 2014 2015 2016 2017 |
State Tax Authorities [Member] | |
Income Taxes [Abstract] | |
Open tax year | 2014 2015 2016 2017 |
ORGANIZATION AND SUMMARY OF S31
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Offering Costs (Details) - USD ($) | 6 Months Ended | |
Jun. 30, 2018 | Dec. 31, 2017 | |
Series A [Member] | ||
Offering Costs [Abstract] | ||
Monthly offering costs percentage | 0.04167% | |
Annualized offering costs percentage | 0.50% | |
Unreimbursed offering costs | $ 100,721 | $ 206,222 |
Series D [Member] | ||
Offering Costs [Abstract] | ||
Monthly offering costs percentage | 0.04167% | |
Annualized offering costs percentage | 0.50% | |
Unreimbursed offering costs | $ 35,542 | 19,412 |
Series W [Member] | ||
Offering Costs [Abstract] | ||
Monthly offering costs percentage | 0.04167% | |
Annualized offering costs percentage | 0.50% | |
Unreimbursed offering costs | $ 237,803 | $ 285,675 |
MANAGING OPERATOR AND COMMODI32
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR (Details) | 6 Months Ended |
Jun. 30, 2018 | |
Series A [Member] | |
Management and Performance Fees [Abstract] | |
Monthly management fee percentage | 0.333% |
Annualized management fee percentage | 4.00% |
Quarterly performance fee percentage | 20.00% |
Series B [Member] | |
Management and Performance Fees [Abstract] | |
Monthly management fee percentage | 0.333% |
Annualized management fee percentage | 4.00% |
Quarterly performance fee percentage | 20.00% |
Series D [Member] | |
Management and Performance Fees [Abstract] | |
Monthly management fee percentage | 0.229% |
Annualized management fee percentage | 2.75% |
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] | 2 Months Ended | 4 Months Ended |
Feb. 28, 2017 | Jun. 30, 2017 | |
Service Fees [Abstract] | ||
Monthly service fee percentage | 0.02083% | 0.00% |
Annualized service fee percentage | 0.25% |
DEPOSITS WITH INTERBANK MARKE34
DEPOSITS WITH INTERBANK MARKET MAKER (Details) | Jun. 30, 2018Counterparty |
DEPOSITS WITH INTERBANK MARKET MAKER [Abstract] | |
Number of major rating agencies reporting credit ratings considered investment grade for NatWest | 3 |
SUBSCRIPTIONS, DISTRIBUTIONS 35
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (Details) - USD ($) | 6 Months Ended | |
Jun. 30, 2018 | Jun. 30, 2017 | |
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 | $ 245 | $ 9,752 |
TRADING ACTIVITIES AND RELATE36
TRADING ACTIVITIES AND RELATED RISKS, Derivatives by Instrument Type and Location of Instruments on the Statements of Financial Condition (Details) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | $ 15,651,671 | $ 12,096,324 |
Liability derivatives at fair value | 0 | 0 |
Not Designated as Hedging Instruments [Member] | ||
Derivatives at Fair Value, Net [Abstract] | ||
Asset derivatives at fair value | 38,891,413 | 39,463,763 |
Liability derivatives at fair value | (23,239,742) | (27,367,439) |
Net | 15,651,671 | 12,096,324 |
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 | 3,727,341 | 3,638,592 |
Liability derivatives at fair value | (1,761,019) | (305,890) |
Net | 1,966,322 | 3,332,702 |
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 | 4,904,223 | 4,230,158 |
Liability derivatives at fair value | (240,760) | (1,767,097) |
Net | 4,663,463 | 2,463,061 |
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 | 4,845,409 | 6,733,650 |
Liability derivatives at fair value | (7,746,992) | (2,806,128) |
Net | (2,901,583) | 3,927,522 |
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 | 1,286,744 | 6,430,613 |
Liability derivatives at fair value | (3,368,389) | (2,540,535) |
Net | (2,081,645) | 3,890,078 |
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 | 111,495 | 509,198 |
Liability derivatives at fair value | (724,626) | (498,702) |
Net | (613,131) | 10,496 |
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 | 4,092,654 | 853,564 |
Liability derivatives at fair value | (914,503) | (5,482,963) |
Net | 3,178,151 | (4,629,399) |
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 | 19,923,547 | 17,067,988 |
Liability derivatives at fair value | (8,483,453) | (13,966,124) |
Net | $ 11,440,094 | $ 3,101,864 |
TRADING ACTIVITIES AND RELATE37
TRADING ACTIVITIES AND RELATED RISKS, Derivatives by Instrument Type (Details) - USD ($) | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Jun. 30, 2018 | Jun. 30, 2017 | |
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains / (losses) | $ (6,394,997) | $ (22,142,291) | $ (23,378,622) | $ (19,523,613) |
Agriculture Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains / (losses) | (4,093,993) | 15,331 | (8,423,327) | (11,040,317) |
Energy Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains / (losses) | 10,859,812 | (9,310,552) | 13,163,132 | (24,880,167) |
Metal Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains / (losses) | (9,866,141) | (6,380,724) | (10,338,405) | 2,580,087 |
Stock Indices Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains / (losses) | (426,669) | 23,693,161 | (27,942,949) | 77,436,130 |
Short-Term Interest Rate Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains / (losses) | 1,799,680 | (1,784,906) | 5,916,146 | (3,947,007) |
Long-Term Interest Rate Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains / (losses) | (1,932,596) | (13,680,719) | 3,193,528 | (24,610,756) |
Forward Currency Contracts [Member] | ||||
Gains (Losses) Recognized in Income, Net [Abstract] | ||||
Trading gains / (losses) | $ (2,735,090) | $ (14,693,882) | $ 1,053,253 | $ (35,061,583) |
TRADING ACTIVITIES AND RELATE38
TRADING ACTIVITIES AND RELATED RISKS, Location of Gains and Losses on the Statements of Operations (Details) | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2018USD ($)Contract | Jun. 30, 2017USD ($)Contract | Jun. 30, 2018USD ($)Contract | Jun. 30, 2017USD ($)Contract | ||
Gains (Losses) Recognized in Income, Net [Abstract] | |||||
Trading gains / (losses) | $ (6,394,997) | $ (22,142,291) | $ (23,378,622) | $ (19,523,613) | |
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] | 1,076,073 | 28,396,466 | $ (19,648,992) | 48,735,622 |
Futures Trading Gains (Losses) - Change in Unrealized [Member] | |||||
Gains (Losses) Recognized in Income, Net [Abstract] | |||||
Trading gains / (losses) | (4,735,980) | (35,844,875) | (4,782,883) | (33,197,652) | |
Forward Currency Trading Gains (Losses) - Realized [Member] | |||||
Gains (Losses) Recognized in Income, Net [Abstract] | |||||
Trading gains / (losses) | (17,394,872) | (21,901,706) | (7,284,977) | (27,404,594) | |
Forward Currency Trading Gains (Losses) - Change in Unrealized [Member] | |||||
Gains (Losses) Recognized in Income, Net [Abstract] | |||||
Trading gains / (losses) | $ 14,659,782 | $ 7,207,824 | $ 8,338,230 | $ (7,656,989) | |
Futures Contracts [Member] | |||||
Derivatives [Abstract] | |||||
Monthly average of contracts bought and sold | Contract | 42,600 | 75,200 | 43,500 | 71,000 | |
Futures Contracts [Member] | Maximum [Member] | |||||
Derivatives [Abstract] | |||||
Latest maturity date for open contracts | Sep. 30, 2019 | ||||
Forward Currency Contracts [Member] | |||||
Derivatives [Abstract] | |||||
Monthly average notional value | $ 2,242,600,000 | $ 2,752,800,000 | $ 2,149,500,000 | $ 2,758,900,000 | |
Forward Currency Contracts [Member] | Maximum [Member] | |||||
Derivatives [Abstract] | |||||
Latest maturity date for open contracts | Sep. 30, 2018 | ||||
[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 brokers. |
TRADING ACTIVITIES AND RELATE39
TRADING ACTIVITIES AND RELATED RISKS, Credit Risk (Details) - USD ($) | 6 Months Ended | |
Jun. 30, 2018 | Dec. 31, 2017 | |
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 | $ 59,259,018 | $ 98,517,542 |
Fair value of securities held to satisfy margin and good faith deposits as a percentage of Net Asset Value | 13.00% | 18.00% |
Cash deposited with interbank market maker | $ 26,423,461 | $ 265,952 |
Cash deposited with interbank market maker as a percentage of Net Asset Value | 6.00% | 0.00% |
Restricted cash for margin requirements | $ 17,863,894 | $ 936,583 |
Restricted cash for margin requirements as a percentage of Net Asset Value | 4.00% | 0.00% |
Maximum margin-to-equity ratio | 30.00% |
TRADING ACTIVITIES AND RELATE40
TRADING ACTIVITIES AND RELATED RISKS, Offsetting of Derivative Assets and Collateral Received by Counterparty (Details) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Offsetting of Derivative Assets [Abstract] | ||
Gross amounts of recognized assets | $ 38,891,413 | $ 39,463,763 |
Gross amounts offset in the Statements of Financial Condition | (23,239,742) | (27,367,439) |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 15,651,671 | 12,096,324 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain in the Statements of Financial Condition | 15,651,671 | 12,096,324 |
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 | 15,651,671 | 12,096,324 |
Futures Contracts [Member] | UBS Securities LLC [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Assets [Abstract] | ||
Gross amounts of recognized assets | 9,690,986 | 11,246,678 |
Gross amounts offset in the Statements of Financial Condition | (7,531,837) | (6,805,740) |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 2,159,149 | 4,440,938 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain in the Statements of Financial Condition | 2,159,149 | 4,440,938 |
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 | 2,159,149 | 4,440,938 |
Futures Contracts [Member] | Goldman Sachs [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Assets [Abstract] | ||
Gross amounts of recognized assets | 9,276,880 | 11,149,097 |
Gross amounts offset in the Statements of Financial Condition | (7,224,452) | (6,595,575) |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 2,052,428 | 4,553,522 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain in the Statements of Financial Condition | 2,052,428 | 4,553,522 |
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 | 2,052,428 | 4,553,522 |
Forward Currency Contracts [Member] | NatWest Markets plc [Member] | Over-the-Counter [Member] | ||
Offsetting of Derivative Assets [Abstract] | ||
Gross amounts of recognized assets | 19,923,547 | 17,067,988 |
Gross amounts offset in the Statements of Financial Condition | (8,483,453) | (13,966,124) |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 11,440,094 | 3,101,864 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain in the Statements of Financial Condition | 11,440,094 | 3,101,864 |
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 | $ 11,440,094 | $ 3,101,864 |
TRADING ACTIVITIES AND RELATE41
TRADING ACTIVITIES AND RELATED RISKS, Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty (Details) - USD ($) | Jun. 30, 2018 | Dec. 31, 2017 |
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amounts of recognized liabilities | $ 23,239,742 | $ 27,367,439 |
Gross amounts offset in the Statements of Financial Condition | (23,239,742) | (27,367,439) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss 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 |
Futures Contracts [Member] | UBS Securities LLC [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amounts of recognized liabilities | 7,531,837 | 6,805,740 |
Gross amounts offset in the Statements of Financial Condition | (7,531,837) | (6,805,740) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss 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 |
Futures Contracts [Member] | Goldman Sachs [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amounts of recognized liabilities | 7,224,452 | 6,595,575 |
Gross amounts offset in the Statements of Financial Condition | (7,224,452) | (6,595,575) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss 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 |
Forward Currency Contracts [Member] | NatWest Markets plc [Member] | Over-the-Counter [Member] | ||
Offsetting of Derivative Liabilities [Abstract] | ||
Gross amounts of recognized liabilities | 8,483,453 | 13,966,124 |
Gross amounts offset in the Statements of Financial Condition | (8,483,453) | (13,966,124) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 0 | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss 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 |