Document and Entity Information
Document and Entity Information | 3 Months Ended |
Mar. 31, 2023 shares | |
Entity Information [Abstract] | |
Document Type | 10-Q |
Amendment Flag | false |
Document Quarterly Report | true |
Document Period End Date | Mar. 31, 2023 |
Current Fiscal Year End Date | --12-31 |
Document Fiscal Year Focus | 2023 |
Document Fiscal Period Focus | Q1 |
Document Transition Report | false |
Entity File Number | 000-50264 |
Entity Registrant Name | CAMPBELL FUND TRUST |
Entity Central Index Key | 0001043951 |
Entity Incorporation, State or Country Code | DE |
Entity Tax Identification Number | 94-6260018 |
Entity Address, Address Line One | 2850 Quarry Lake Drive |
Entity Address, City or Town | Baltimore |
Entity Address, State or Province | MD |
Entity Address, Postal Zip Code | 21209 |
City Area Code | 410 |
Local Phone Number | 413-2600 |
Entity Current Reporting Status | Yes |
Entity Interactive Data Current | Yes |
Entity Filer Category | Non-accelerated Filer |
Entity Small Business | false |
Entity Emerging Growth Company | false |
Entity Shell Company | false |
Series A [Member] | |
Entity Information [Abstract] | |
Entity Common Stock, Shares Outstanding | 92,118.58 |
Series B [Member] | |
Entity Information [Abstract] | |
Entity Common Stock, Shares Outstanding | 9,894.417 |
Series D [Member] | |
Entity Information [Abstract] | |
Entity Common Stock, Shares Outstanding | 15,317.275 |
Series W [Member] | |
Entity Information [Abstract] | |
Entity Common Stock, Shares Outstanding | 11,548.564 |
CONDENSED SCHEDULE OF INVESTMEN
CONDENSED SCHEDULE OF INVESTMENTS - USD ($) | Mar. 31, 2023 | Dec. 31, 2022 | |||
Schedule of Investments | |||||
Short term investments | $ 18,811,513 | $ 3,954,316 | |||
Net unrealized gain (loss) on open futures contracts | 10,946,442 | 2,626,404 | |||
Net unrealized gain (loss) on open forward currency contracts | 1,350,290 | 1,967,750 | |||
Fixed Income Securities [Member] | |||||
Schedule of Investments | |||||
Investment | $ 338,418,927 | [1] | $ 353,170,435 | [2] | |
% of Net Asset Value | 66.73% | 74.20% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | |||||
Schedule of Investments | |||||
Investment | $ 25,659,531 | $ 29,271,029 | |||
% of Net Asset Value | 5.06% | 6.15% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Auto Loans [Member] | |||||
Schedule of Investments | |||||
Investment | $ 22,460,085 | $ 26,555,513 | |||
% of Net Asset Value | 4.43% | 5.58% | |||
Fixed Income Securities [Member] | Asset Backed Securities [Member] | United States [Member] | Equipment Loans [Member] | |||||
Schedule of Investments | |||||
Investment | $ 3,199,446 | $ 2,715,516 | |||
% of Net Asset Value | 0.63% | 0.57% | |||
Fixed Income Securities [Member] | Bank Deposits [Member] | |||||
Schedule of Investments | |||||
Investment | $ 6,568,615 | $ 6,663,278 | |||
% of Net Asset Value | 1.30% | 1.40% | |||
Fixed Income Securities [Member] | Bank Deposits [Member] | United States [Member] | Financials [Member] | |||||
Schedule of Investments | |||||
Investment | $ 6,568,615 | $ 6,663,278 | |||
% of Net Asset Value | 1.30% | 1.40% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | |||||
Schedule of Investments | |||||
Investment | $ 155,713,995 | $ 162,378,573 | |||
% of Net Asset Value | 30.70% | 34.10% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | Canada [Member] | Materials [Member] | |||||
Schedule of Investments | |||||
Investment | $ 2,342,684 | ||||
% of Net Asset Value | 0.46% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | France [Member] | Financials [Member] | |||||
Schedule of Investments | |||||
Investment | $ 1,538,394 | ||||
% of Net Asset Value | 0.30% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | Ireland [Member] | Financials [Member] | |||||
Schedule of Investments | |||||
Investment | $ 4,561,133 | ||||
% of Net Asset Value | 0.96% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | Sweden [Member] | Financials [Member] | |||||
Schedule of Investments | |||||
Investment | $ 2,813,493 | ||||
% of Net Asset Value | 0.59% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | United Kingdom [Member] | Financials [Member] | |||||
Schedule of Investments | |||||
Investment | $ 1,307,275 | ||||
% of Net Asset Value | 0.26% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | |||||
Schedule of Investments | |||||
Investment | $ 150,525,642 | $ 155,003,947 | |||
% of Net Asset Value | 29.68% | 32.55% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Communications [Member] | |||||
Schedule of Investments | |||||
Investment | $ 2,619,984 | $ 4,693,791 | |||
% of Net Asset Value | 0.52% | 0.99% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Consumer Discretionary [Member] | |||||
Schedule of Investments | |||||
Investment | $ 17,936,717 | $ 12,966,134 | |||
% of Net Asset Value | 3.54% | 2.72% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Consumer Staples [Member] | |||||
Schedule of Investments | |||||
Investment | $ 1,017,661 | $ 1,158,739 | |||
% of Net Asset Value | 0.20% | 0.24% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Financials [Member] | |||||
Schedule of Investments | |||||
Investment | $ 70,176,690 | $ 54,722,559 | |||
% of Net Asset Value | 13.83% | 11.49% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Health Care [Member] | |||||
Schedule of Investments | |||||
Investment | $ 748,141 | ||||
% of Net Asset Value | 0.15% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Industrials [Member] | |||||
Schedule of Investments | |||||
Investment | $ 1,226,223 | $ 5,940,791 | |||
% of Net Asset Value | 0.24% | 1.25% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Materials [Member] | |||||
Schedule of Investments | |||||
Investment | $ 8,536,145 | ||||
% of Net Asset Value | 1.79% | ||||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Real Estate [Member] | |||||
Schedule of Investments | |||||
Investment | $ 7,904,917 | $ 12,600,960 | |||
% of Net Asset Value | 1.56% | 2.65% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Technology [Member] | |||||
Schedule of Investments | |||||
Investment | $ 9,046,998 | $ 16,920,786 | |||
% of Net Asset Value | 1.78% | 3.55% | |||
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | Utilities [Member] | |||||
Schedule of Investments | |||||
Investment | $ 39,848,311 | $ 37,464,042 | |||
% of Net Asset Value | 7.86% | 7.87% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | |||||
Schedule of Investments | |||||
Investment | $ 91,594,583 | $ 99,548,893 | |||
% of Net Asset Value | 18.07% | 20.92% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Australia [Member] | Financials [Member] | |||||
Schedule of Investments | |||||
Investment | $ 1,253,778 | $ 3,591,929 | |||
% of Net Asset Value | 0.25% | 0.75% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Canada [Member] | |||||
Schedule of Investments | |||||
Investment | $ 14,857,566 | $ 16,391,830 | |||
% of Net Asset Value | 2.92% | 3.45% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Canada [Member] | Energy [Member] | |||||
Schedule of Investments | |||||
Investment | $ 3,275,644 | $ 1,986,796 | |||
% of Net Asset Value | 0.65% | 0.42% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Canada [Member] | Financials [Member] | |||||
Schedule of Investments | |||||
Investment | $ 11,581,922 | $ 14,405,034 | |||
% of Net Asset Value | 2.27% | 3.03% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Germany [Member] | |||||
Schedule of Investments | |||||
Investment | $ 3,125,149 | $ 3,126,227 | |||
% of Net Asset Value | 0.62% | 0.66% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Germany [Member] | Consumer Discretionary [Member] | |||||
Schedule of Investments | |||||
Investment | $ 1,167,736 | $ 1,167,942 | |||
% of Net Asset Value | 0.23% | 0.25% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Germany [Member] | Industrials [Member] | |||||
Schedule of Investments | |||||
Investment | $ 1,957,413 | $ 1,958,285 | |||
% of Net Asset Value | 0.39% | 0.41% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Japan [Member] | Financials [Member] | |||||
Schedule of Investments | |||||
Investment | $ 1,221,381 | ||||
% of Net Asset Value | 0.24% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Spain [Member] | |||||
Schedule of Investments | |||||
Investment | $ 2,547,603 | ||||
% of Net Asset Value | 0.54% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Spain [Member] | Financials [Member] | |||||
Schedule of Investments | |||||
Investment | $ 2,542,857 | ||||
% of Net Asset Value | 0.50% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Switzerland [Member] | |||||
Schedule of Investments | |||||
Investment | $ 3,413,800 | ||||
% of Net Asset Value | 0.72% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | Switzerland [Member] | Financials [Member] | |||||
Schedule of Investments | |||||
Investment | $ 3,465,665 | ||||
% of Net Asset Value | 0.68% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | |||||
Schedule of Investments | |||||
Investment | $ 1,851,153 | ||||
% of Net Asset Value | 0.39% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | Financials [Member] | |||||
Schedule of Investments | |||||
Investment | $ 1,853,690 | ||||
% of Net Asset Value | 0.37% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | |||||
Schedule of Investments | |||||
Investment | $ 63,274,497 | $ 68,626,351 | |||
% of Net Asset Value | 12.49% | 14.41% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Communications [Member] | |||||
Schedule of Investments | |||||
Investment | $ 247,101 | $ 246,408 | |||
% of Net Asset Value | 0.05% | 0.05% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Consumer Discretionary [Member] | |||||
Schedule of Investments | |||||
Investment | $ 9,346,240 | $ 7,230,970 | |||
% of Net Asset Value | 1.84% | 1.52% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Consumer Staples [Member] | |||||
Schedule of Investments | |||||
Investment | $ 1,183,951 | ||||
% of Net Asset Value | 0.25% | ||||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Energy [Member] | |||||
Schedule of Investments | |||||
Investment | $ 4,800,952 | $ 5,993,767 | |||
% of Net Asset Value | 0.95% | 1.26% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Financials [Member] | |||||
Schedule of Investments | |||||
Investment | $ 20,868,206 | $ 22,087,716 | |||
% of Net Asset Value | 4.11% | 4.64% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Health Care [Member] | |||||
Schedule of Investments | |||||
Investment | $ 3,890,763 | $ 7,699,345 | |||
% of Net Asset Value | 0.77% | 1.62% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Industrials [Member] | |||||
Schedule of Investments | |||||
Investment | $ 7,965,993 | $ 8,344,061 | |||
% of Net Asset Value | 1.57% | 1.75% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Materials [Member] | |||||
Schedule of Investments | |||||
Investment | $ 5,202,788 | $ 5,188,545 | |||
% of Net Asset Value | 1.03% | 1.09% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Real Estate [Member] | |||||
Schedule of Investments | |||||
Investment | $ 2,105,405 | $ 2,100,455 | |||
% of Net Asset Value | 0.42% | 0.44% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Technology [Member] | |||||
Schedule of Investments | |||||
Investment | $ 2,880,112 | $ 3,779,829 | |||
% of Net Asset Value | 0.57% | 0.79% | |||
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | Utilities [Member] | |||||
Schedule of Investments | |||||
Investment | $ 5,966,937 | $ 4,771,304 | |||
% of Net Asset Value | 1.18% | 1% | |||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | |||||
Schedule of Investments | |||||
Investment | $ 58,882,203 | $ 55,308,662 | |||
% of Net Asset Value | 11.60% | 11.63% | |||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 04/20/2023 [Member] | |||||
Schedule of Investments | |||||
Investment | [3] | $ 1,496,687 | |||
% of Net Asset Value | 0.30% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 04/13/2023 [Member] | |||||
Schedule of Investments | |||||
Investment | [3] | $ 6,192,269 | |||
% of Net Asset Value | 1.22% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 05/04/2023 [Member] | |||||
Schedule of Investments | |||||
Investment | [3] | $ 19,098,721 | |||
% of Net Asset Value | 3.77% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 05/11/2023 [Member] | |||||
Schedule of Investments | |||||
Investment | [3] | $ 19,902,880 | |||
% of Net Asset Value | 3.91% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 06/20/2023 [Member] | |||||
Schedule of Investments | |||||
Investment | [3] | $ 3,266,868 | |||
% of Net Asset Value | 0.64% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 06/08/2023 [Member] | |||||
Schedule of Investments | |||||
Investment | [3] | $ 8,924,778 | |||
% of Net Asset Value | 1.76% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 01/19/2023 [Member] | |||||
Schedule of Investments | |||||
Investment | [3] | $ 10,642,848 | |||
% of Net Asset Value | 2.24% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 02/09/2023 [Member] | |||||
Schedule of Investments | |||||
Investment | [3] | $ 29,780,729 | |||
% of Net Asset Value | 6.26% | ||||
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 03/09/2023 [Member] | |||||
Schedule of Investments | |||||
Investment | [3] | $ 14,885,085 | |||
% of Net Asset Value | 3.13% | ||||
Short Term Investments [Member] | |||||
Schedule of Investments | |||||
Short term investments | $ 18,811,513 | $ 3,954,316 | |||
% of Net Asset Value | 3.71% | 0.83% | |||
Short Term Investments [Member] | Money Market Funds [Member] | United States [Member] | |||||
Schedule of Investments | |||||
Short term investments | $ 18,811,513 | $ 3,954,316 | |||
% of Net Asset Value | 3.71% | 0.83% | |||
Futures Contracts [Member] | |||||
Schedule of Investments | |||||
Net unrealized gain (loss) on open futures contracts | $ 10,946,442 | $ 2,626,404 | |||
% of Net Asset Value | 2.16% | 0.55% | |||
Futures Contracts [Member] | Long [Member] | |||||
Schedule of Investments | |||||
Net unrealized gain (loss) on open futures contracts | $ 15,338,526 | $ (3,143,418) | |||
% of Net Asset Value | 3.03% | (0.66%) | |||
Futures Contracts [Member] | Long [Member] | Agriculture [Member] | |||||
Schedule of Investments | |||||
Net unrealized gain (loss) on open futures contracts | $ 4,452,517 | $ (225,065) | |||
% of Net Asset Value | 0.88% | (0.05%) | |||
Futures Contracts [Member] | Long [Member] | Energy [Member] | |||||
Schedule of Investments | |||||
Net unrealized gain (loss) on open futures contracts | $ 927,691 | $ 2,614,383 | |||
% of Net Asset Value | 0.18% | 0.55% | |||
Futures Contracts [Member] | Long [Member] | Metals [Member] | |||||
Schedule of Investments | |||||
Net unrealized gain (loss) on open futures contracts | $ 3,400,653 | $ 3,084,398 | |||
% of Net Asset Value | 0.67% | 0.65% | |||
Futures Contracts [Member] | Long [Member] | Stock Indices [Member] | |||||
Schedule of Investments | |||||
Net unrealized gain (loss) on open futures contracts | $ 6,014,182 | $ (3,155,432) | |||
% of Net Asset Value | 1.19% | (0.66%) | |||
Futures Contracts [Member] | Long [Member] | Short-Term Interest Rates [Member] | |||||
Schedule of Investments | |||||
Net unrealized gain (loss) on open futures contracts | $ 89,406 | ||||
% of Net Asset Value | 0.02% | ||||
Futures Contracts [Member] | Long [Member] | Long-Term Interest Rates [Member] | |||||
Schedule of Investments | |||||
Net unrealized gain (loss) on open futures contracts | $ 454,077 | $ (5,461,702) | |||
% of Net Asset Value | 0.09% | (1.15%) | |||
Futures Contracts [Member] | Short [Member] | |||||
Schedule of Investments | |||||
Net unrealized gain (loss) on open futures contracts | $ (4,392,084) | $ 5,769,822 | |||
% of Net Asset Value | (0.87%) | 1.21% | |||
Futures Contracts [Member] | Short [Member] | Agriculture [Member] | |||||
Schedule of Investments | |||||
Net unrealized gain (loss) on open futures contracts | $ (2,917,271) | $ (1,942,253) | |||
% of Net Asset Value | (0.58%) | (0.41%) | |||
Futures Contracts [Member] | Short [Member] | Energy [Member] | |||||
Schedule of Investments | |||||
Net unrealized gain (loss) on open futures contracts | $ 557,540 | $ (210,280) | |||
% of Net Asset Value | 0.11% | (0.04%) | |||
Futures Contracts [Member] | Short [Member] | Metals [Member] | |||||
Schedule of Investments | |||||
Net unrealized gain (loss) on open futures contracts | $ (93,319) | $ (1,133,335) | |||
% of Net Asset Value | (0.02%) | (0.24%) | |||
Futures Contracts [Member] | Short [Member] | Stock Indices [Member] | |||||
Schedule of Investments | |||||
Net unrealized gain (loss) on open futures contracts | $ (2,046,589) | $ 1,005,017 | |||
% of Net Asset Value | (0.40%) | 0.21% | |||
Futures Contracts [Member] | Short [Member] | Short-Term Interest Rates [Member] | |||||
Schedule of Investments | |||||
Net unrealized gain (loss) on open futures contracts | $ 674,939 | $ 1,845,983 | |||
% of Net Asset Value | 0.13% | 0.39% | |||
Futures Contracts [Member] | Short [Member] | Long-Term Interest Rates [Member] | |||||
Schedule of Investments | |||||
Net unrealized gain (loss) on open futures contracts | $ (567,384) | $ 6,204,690 | |||
% of Net Asset Value | (0.11%) | 1.30% | |||
Forward Currency Contracts [Member] | |||||
Schedule of Investments | |||||
Net unrealized gain (loss) on open forward currency contracts | $ 1,350,290 | $ 1,967,750 | |||
% of Net Asset Value | 0.27% | 0.41% | |||
Forward Currency Contracts [Member] | Long [Member] | |||||
Schedule of Investments | |||||
Net unrealized gain (loss) on open forward currency contracts | $ 35,432,763 | $ 14,941,445 | |||
% of Net Asset Value | 6.99% | 3.14% | |||
Forward Currency Contracts [Member] | Short [Member] | |||||
Schedule of Investments | |||||
Net unrealized gain (loss) on open forward currency contracts | $ (34,082,473) | $ (12,973,695) | |||
% of Net Asset Value | (6.72%) | (2.73%) | |||
Credit Default Index Swaps [Member] | Centrally Cleared - Sell Protection [Member] | |||||
Schedule of Investments | |||||
Credit default swaps | [4] | $ 381,247 | |||
% of Net Asset Value | 0.08% | ||||
Credit Default Index Swaps [Member] | Centrally Cleared - Buy Protection [Member] | |||||
Schedule of Investments | |||||
Credit default swaps | [5] | $ (1,492,089) | |||
% of Net Asset Value | (0.29%) | ||||
Interest Rate Swap [Member] | Centrally Cleared - Pay Fixed [Member] | |||||
Schedule of Investments | |||||
Interest rate swaps | [6] | $ (3,355,938) | |||
% of Net Asset Value | (0.66%) | ||||
Interest Rate Swap [Member] | Centrally Cleared - Receive Fixed [Member] | |||||
Schedule of Investments | |||||
Interest rate swaps | [7] | $ 3,287,237 | |||
% of Net Asset Value | 0.69% | ||||
[1]Included in fixed income securities are U.S. Treasury Bills with a fair value of $58,882,203 deposited with the futures brokers.[2]Included in fixed income securities are U.S. Treasury Bills with a fair value of $55,308,662 deposited with the futures brokers.[3]Pledged as collateral for the trading of futures positions.[4]Includes $345,093 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in the statement of financial condition.[5]Includes $1,873,254 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable.Variation margin amount is included within cash at swaps broker in the statement of financial condition.[6]Includes $2,792,118 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable.Variation margin amount is included within cash at swaps broker in the statement of financial condition.[7]Includes $286,060 of cumulative appreciation/(depreciation) of swaps contracts that is considered variation margin receivable. Variation margin amount is included within cash at swaps broker in the statement of financial condition. |
CONDENSED SCHEDULE OF INVESTM_2
CONDENSED SCHEDULE OF INVESTMENTS (Parenthetical) - USD ($) | Mar. 31, 2023 | Dec. 31, 2022 |
Fixed Income Securities [Member] | ||
Schedule of Investments | ||
Cost | $ 339,533,407 | $ 354,879,792 |
Fixed Income Securities [Member] | Asset Backed Securities [Member] | ||
Schedule of Investments | ||
Cost | 25,863,531 | 29,695,821 |
Fixed Income Securities [Member] | Bank Deposits [Member] | ||
Schedule of Investments | ||
Cost | 6,585,402 | 6,693,346 |
Fixed Income Securities [Member] | Bank Deposits [Member] | United States [Member] | Financials [Member] | ||
Schedule of Investments | ||
Cost | 6,585,402 | 6,693,346 |
Fixed Income Securities [Member] | Commercial Paper [Member] | ||
Schedule of Investments | ||
Cost | 155,742,757 | 162,430,422 |
Fixed Income Securities [Member] | Commercial Paper [Member] | Canada [Member] | Materials [Member] | ||
Schedule of Investments | ||
Cost | 2,344,122 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | France [Member] | Financials [Member] | ||
Schedule of Investments | ||
Cost | 1,538,926 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | Ireland [Member] | Financials [Member] | ||
Schedule of Investments | ||
Cost | 4,562,289 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | Sweden [Member] | Financials [Member] | ||
Schedule of Investments | ||
Cost | 2,817,803 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | United Kingdom [Member] | Financials [Member] | ||
Schedule of Investments | ||
Cost | 1,306,839 | |
Fixed Income Securities [Member] | Commercial Paper [Member] | United States [Member] | ||
Schedule of Investments | ||
Cost | 150,552,870 | 155,050,330 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | ||
Schedule of Investments | ||
Cost | 92,478,942 | 100,765,136 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Australia [Member] | Financials [Member] | ||
Schedule of Investments | ||
Cost | 1,244,445 | 3,579,373 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Canada [Member] | ||
Schedule of Investments | ||
Cost | 15,012,779 | 16,602,020 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Germany [Member] | ||
Schedule of Investments | ||
Cost | 3,140,553 | 3,140,636 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Japan [Member] | Financials [Member] | ||
Schedule of Investments | ||
Cost | 1,240,000 | |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Spain [Member] | Financials [Member] | ||
Schedule of Investments | ||
Cost | 2,599,995 | 2,599,997 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | Switzerland [Member] | Financials [Member] | ||
Schedule of Investments | ||
Cost | 3,579,969 | 3,579,916 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | United Kingdom [Member] | Financials [Member] | ||
Schedule of Investments | ||
Cost | 1,893,286 | 1,893,025 |
Fixed Income Securities [Member] | Corporate Bonds [Member] | United States [Member] | ||
Schedule of Investments | ||
Cost | 63,767,915 | 69,370,169 |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | ||
Schedule of Investments | ||
Cost | 58,862,775 | 55,295,067 |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills [Member] | ||
Schedule of Investments | ||
Fixed income securities deposited with futures brokers | 58,882,203 | 55,308,662 |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 04/20/2023 [Member] | ||
Schedule of Investments | ||
Maturity face value | $ 1,500,000 | |
Due date | Apr. 20, 2023 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 04/13/2023 [Member] | ||
Schedule of Investments | ||
Maturity face value | $ 6,200,000 | |
Due date | Apr. 13, 2023 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 05/04/2023 [Member] | ||
Schedule of Investments | ||
Maturity face value | $ 19,175,000 | |
Due date | May 04, 2023 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 05/11/2023 [Member] | ||
Schedule of Investments | ||
Maturity face value | $ 20,000,000 | |
Due date | May 11, 2023 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 06/20/2023 [Member] | ||
Schedule of Investments | ||
Maturity face value | $ 3,300,000 | |
Due date | Jun. 20, 2023 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 06/08/2023 [Member] | ||
Schedule of Investments | ||
Maturity face value | $ 9,000,000 | |
Due date | Jun. 08, 2023 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 01/19/2023 [Member] | ||
Schedule of Investments | ||
Maturity face value | $ 10,660,000 | |
Due date | Jan. 19, 2023 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 02/09/2023 [Member] | ||
Schedule of Investments | ||
Maturity face value | $ 29,900,000 | |
Due date | Feb. 09, 2023 | |
Fixed Income Securities [Member] | Government and Agency Obligations [Member] | United States [Member] | U.S. Treasury Bills Due 03/09/2023 [Member] | ||
Schedule of Investments | ||
Maturity face value | $ 15,000,000 | |
Due date | Mar. 09, 2023 | |
Short Term Investments [Member] | ||
Schedule of Investments | ||
Cost | $ 18,811,513 | $ 3,954,316 |
Short Term Investments [Member] | Money Market Funds [Member] | United States [Member] | ||
Schedule of Investments | ||
Cost | 18,811,513 | 3,954,316 |
Credit Default Swap [Member] | Centrally Cleared - Sell Protection [Member] | ||
Schedule of Investments | ||
Cost | 263,252 | |
Variation margin receivable | 345,093 | |
Credit Default Swap [Member] | Centrally Cleared - Buy Protection [Member] | ||
Schedule of Investments | ||
Cost | 3,079,648 | |
Variation margin receivable | 1,873,254 | |
Interest Rate Swaps [Member] | Centrally Cleared - Pay Fixed [Member] | ||
Schedule of Investments | ||
Cost | 1,290,022 | |
Variation margin receivable | $ 2,792,118 | |
Interest Rate Swaps [Member] | Centrally Cleared - Receive Fixed [Member] | ||
Schedule of Investments | ||
Cost | 389,362 | |
Variation margin receivable | $ 286,060 |
STATEMENTS OF FINANCIAL CONDITI
STATEMENTS OF FINANCIAL CONDITION - USD ($) | Mar. 31, 2023 | Dec. 31, 2022 |
Equity in futures brokers trading accounts | ||
Cash | $ 45,914,684 | $ 33,417,908 |
Restricted cash | 89,930 | 5,709,117 |
Fixed income securities (cost $58,862,775 and $55,295,067, respectively) | 58,882,203 | 55,308,662 |
Net unrealized gain on open futures contracts | 10,946,442 | 2,626,404 |
Total equity in futures brokers trading accounts | 115,833,259 | 97,062,091 |
Cash and cash equivalents | 5,501,684 | 8,763,179 |
Cash at interbank market maker | 10,141,352 | 4,445,935 |
Restricted cash at interbank market maker | 55,635,441 | 50,629,684 |
Short term investments (cost $18,811,513 and $3,954,316, respectively) | 18,811,513 | 3,954,316 |
Cash at swaps broker | 0 | 6,713,855 |
Restricted cash at swaps broker | 22,802,173 | 7,712,162 |
Fixed income securities (cost $280,670,632 and $299,584,725, respectively) | 279,536,724 | 297,861,773 |
Credit default index swaps | 381,165 | 36,154 |
Interest rate swaps | 0 | 3,001,177 |
Due from swaps broker | 95,545 | 63,523 |
Net unrealized gain on open forward currency contracts | 1,350,290 | 1,967,750 |
Interest receivable | 1,471,476 | 990,528 |
Subscriptions receivable | 29,257 | 341,433 |
Total assets | 511,589,879 | 483,543,560 |
LIABILITIES | ||
Accounts payable | 375,342 | 264,610 |
Management fee payable | 841,951 | 791,085 |
Interest rate swaps | 563,820 | 0 |
Cash deficit at swaps broker | 433,606 | 0 |
Accrued commissions and other trading fees on open contracts | 121,360 | 67,321 |
Offering costs payable | 148,697 | 179,549 |
Sales commission payable | 689,301 | 639,495 |
Redemptions payable | 1,246,357 | 5,532,899 |
Total liabilities | 4,420,434 | 7,474,959 |
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Total unitholders' capital (Net Asset Value) | 507,169,445 | 476,068,601 |
Total liabilities and unitholders' capital (Net Asset Value) | 511,589,879 | 483,543,560 |
Series A Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | 378,697,030 | 352,416,060 |
Series B Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | 44,945,784 | 43,597,613 |
Series D Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | 25,234,996 | 23,615,197 |
Series W Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders | $ 58,291,635 | $ 56,439,731 |
STATEMENTS OF FINANCIAL CONDI_2
STATEMENTS OF FINANCIAL CONDITION (Parenthetical) - USD ($) | Mar. 31, 2023 | Dec. 31, 2022 |
Equity in futures brokers trading accounts | ||
Fixed income securities, cost | $ 58,862,775 | $ 55,295,067 |
Short term investments, cost | 18,811,513 | 3,954,316 |
Fixed income securities, cost | $ 280,670,632 | $ 299,584,725 |
Series A Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 92,118.58 | 89,254.537 |
Series B Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 9,894.417 | 10,002.807 |
Series D Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 15,317.275 | 14,967.333 |
Series W Units - Redeemable [Member] | ||
UNITHOLDERS' CAPITAL (Net Asset Value) | ||
Other Unitholders, units outstanding (in units) | 11,548.564 | 11,697.747 |
STATEMENTS OF OPERATIONS
STATEMENTS OF OPERATIONS - USD ($) | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Futures trading gains (losses) | ||
Realized | $ (692,746) | $ 42,007,020 |
Change in unrealized | 8,320,038 | 6,562,924 |
Brokerage commissions | (621,320) | (345,972) |
Net gain (loss) from futures trading | 7,005,972 | 48,223,972 |
Forward currency trading gains (losses) | ||
Realized | 14,176,403 | 7,497,056 |
Change in unrealized | (617,460) | 10,119,250 |
Brokerage commissions | (152,898) | (64,191) |
Net gain (loss) from forward currency trading | 13,406,045 | 17,552,115 |
Swap trading gains (losses) | ||
Realized | 3,427,298 | (613,017) |
Change in unrealized | (4,020,731) | 1,122,983 |
Net gain (loss) from swap trading | (593,433) | 509,966 |
Total net trading gain (loss) | 19,818,584 | 66,286,053 |
Investment income | ||
Interest income | 6,894,773 | 214,695 |
Realized gain (loss) on fixed income securities | (1,972,055) | (17,398) |
Change in unrealized gain (loss) on fixed income securities | 594,877 | (538,800) |
Total investment income (loss) | 5,517,595 | (341,503) |
Expenses | ||
Management fee | 2,510,527 | 1,683,378 |
Performance fee | 122 | 1,530,801 |
Operating expenses | 321,600 | 215,236 |
Sales commission | 2,139,953 | 1,460,348 |
Total expenses | 4,972,202 | 4,889,763 |
Net investment income (loss) | 545,393 | (5,231,266) |
NET INCOME (LOSS) | $ 20,363,977 | $ 61,054,787 |
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) | $ 164.29 | $ 600.02 |
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (in dollars per unit) | $ 162.53 | $ 594.36 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 90,183.02 | 77,571.617 |
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) | $ 183.95 | $ 645.5 |
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (in dollars per unit) | $ 184 | $ 645.43 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 10,001.246 | 10,232.838 |
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) | $ 71.2 | $ 201.55 |
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (in dollars per unit) | $ 69.71 | $ 195.25 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 15,019.156 | 7,732.918 |
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) | $ 227.91 | $ 665.58 |
INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS' UNIT (in dollars per unit) | $ 222.68 | $ 655.47 |
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD (in units) | 11,576.046 | 9,535.187 |
STATEMENTS OF CASH FLOWS
STATEMENTS OF CASH FLOWS - USD ($) | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Cash flows from (for) operating activities | ||
Net income (loss) | $ 20,363,977 | $ 61,054,787 |
Adjustments to reconcile net income (loss) to net cash from (for) operating activities | ||
Net change in unrealized on futures, forwards, swaps and investments | (4,276,724) | (17,266,357) |
(Increase) decrease in interest receivable | (480,948) | (22,193) |
(Increase) decrease in due from swaps broker | (32,022) | 24,859 |
Increase in cash deficit at swaps broker | 433,606 | 0 |
Increase (decrease) in accounts payable and accrued expenses | 265,443 | 1,808,478 |
Net purchases from swaps broker | (800,743) | 1,407,159 |
Purchases of investments | (924,373,686) | (771,103,238) |
Sales/maturities of investments | 924,862,872 | 713,166,946 |
Net cash from (for) operating activities | 15,961,775 | (10,929,559) |
Cash flows from (for) financing activities | ||
Addition of units | 17,716,163 | 20,372,622 |
Redemption of units | (10,475,997) | (3,644,235) |
Offering costs paid | (508,517) | (347,883) |
Net cash from (for) financing activities | 6,731,649 | 16,380,504 |
Net increase (decrease) in cash, cash equivalents and restricted cash | 22,693,424 | 5,450,945 |
Cash, cash equivalents and restricted cash at beginning of period | 117,391,840 | 86,100,689 |
Cash, cash equivalents and restricted cash at end of period | $ 140,085,264 | $ 91,551,634 |
STATEMENTS OF CASH FLOWS (Paren
STATEMENTS OF CASH FLOWS (Parenthetical) - USD ($) | Mar. 31, 2023 | Dec. 31, 2022 | Mar. 31, 2022 | Dec. 31, 2021 |
Equity in futures brokers trading accounts: | ||||
Cash | $ 45,914,684 | $ 33,417,908 | ||
Restricted cash | 89,930 | 5,709,117 | ||
Cash and cash equivalents | 5,501,684 | 8,763,179 | ||
Cash at interbank market maker | 10,141,352 | 4,445,935 | ||
Restricted cash at interbank market maker | 55,635,441 | 50,629,684 | ||
Cash at swaps broker | 0 | 6,713,855 | ||
Restricted cash at swaps broker | 22,802,173 | 7,712,162 | ||
Total cash, cash equivalents and restricted cash at end of period | $ 140,085,264 | $ 117,391,840 | $ 91,551,634 | $ 86,100,689 |
STATEMENTS OF CHANGES IN UNITHO
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE) - USD ($) | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Balances | $ 476,068,601 | $ 297,382,219 |
Net income (loss) | 20,363,977 | 61,054,787 |
Additions | 17,403,987 | 20,372,622 |
Redemptions | (6,189,455) | (3,457,011) |
Offering costs | (477,665) | (374,998) |
Balances | 507,169,445 | 374,977,619 |
Series A [Member] | Other Unitholders [Member] | ||
Balances | $ 352,416,060 | $ 222,737,822 |
Balances (in units) | 89,254.537 | 76,728.203 |
Net income (loss) | $ 14,816,600 | $ 46,544,538 |
Additions | $ 13,805,592 | $ 13,531,965 |
Additions (in units) | 3,341.433 | 4,143.585 |
Redemptions | $ (1,967,848) | $ (3,069,663) |
Redemptions (in units) | (477.39) | (973.22) |
Offering costs | $ (373,374) | $ (314,386) |
Balances | $ 378,697,030 | $ 279,430,276 |
Balances (in units) | 92,118.58 | 79,898.568 |
Series B [Member] | Other Unitholders [Member] | ||
Balances | $ 43,597,613 | $ 32,886,235 |
Balances (in units) | 10,002.807 | 10,247.759 |
Net income (loss) | $ 1,839,702 | $ 6,605,252 |
Additions | $ 30,318 | $ 21,994 |
Additions (in units) | 6.658 | 6.169 |
Redemptions | $ (521,849) | $ (87,348) |
Redemptions (in units) | (115.048) | (25.462) |
Offering costs | $ 0 | $ 0 |
Balances | $ 44,945,784 | $ 39,426,133 |
Balances (in units) | 9,894.417 | 10,228.466 |
Series D [Member] | Other Unitholders [Member] | ||
Balances | $ 23,615,197 | $ 8,222,341 |
Balances (in units) | 14,967.333 | 6,875.564 |
Net income (loss) | $ 1,069,324 | $ 1,558,591 |
Additions | $ 1,507,596 | $ 2,918,655 |
Additions (in units) | 913.289 | 2,244.108 |
Redemptions | $ (926,063) | $ 0 |
Redemptions (in units) | (563.347) | 0 |
Offering costs | $ (31,058) | $ (12,943) |
Balances | $ 25,234,996 | $ 12,686,644 |
Balances (in units) | 15,317.275 | 9,119.672 |
Series W [Member] | Other Unitholders [Member] | ||
Balances | $ 56,439,731 | $ 33,535,821 |
Balances (in units) | 11,697.747 | 9,386.736 |
Net income (loss) | $ 2,638,351 | $ 6,346,406 |
Additions | $ 2,060,481 | $ 3,900,008 |
Additions (in units) | 413.439 | 956.93 |
Redemptions | $ (2,773,695) | $ (300,000) |
Redemptions (in units) | (562.622) | (70.953) |
Offering costs | $ (73,233) | $ (47,669) |
Balances | $ 58,291,635 | $ 43,434,566 |
Balances (in units) | 11,548.564 | 10,272.713 |
STATEMENTS OF CHANGES IN UNIT_2
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE) (Parenthetical) - $ / shares | Mar. 31, 2023 | Dec. 31, 2022 | Mar. 31, 2022 | Dec. 31, 2021 |
Series A [Member] | ||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | $ 4,110.97 | $ 3,948.44 | $ 3,497.31 | $ 2,902.95 |
Series B [Member] | ||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | 4,542.54 | 4,358.54 | 3,854.55 | 3,209.12 |
Series D [Member] | ||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | 1,647.49 | 1,577.78 | 1,391.13 | 1,195.88 |
Series W [Member] | ||||
Net Asset Value per Other Unitholders' Unit (in dollars per unit) | $ 5,047.52 | $ 4,824.84 | $ 4,228.15 | $ 3,572.68 |
FINANCIAL HIGHLIGHTS
FINANCIAL HIGHLIGHTS - $ / shares | 3 Months Ended | ||
Mar. 31, 2023 | Mar. 31, 2022 | ||
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) | $ 3,948.44 | $ 2,902.95 | |
Income (loss) from operations: | |||
Total net trading gains (losses) (in dollars per unit) | [1] | 165.24 | 636.19 |
Net investment income (loss) (in dollars per unit) | [1] | 1.43 | (37.78) |
Total net income (loss) from operations (in dollars per unit) | 166.67 | 598.41 | |
Offering costs (in dollars per unit) | [1] | (4.14) | (4.05) |
Net asset value per unit at end of period (in dollars per unit) | $ 4,110.97 | $ 3,497.31 | |
Total Return | [2] | 4.12% | 20.47% |
Ratios to average net asset value: | |||
Expenses prior to performance fee | [3] | 4.32% | 4.36% |
Performance fee | [2] | 0% | 0% |
Total expenses | 4.32% | 4.36% | |
Net investment income (loss) | [3],[4] | 0.12% | (4.80%) |
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) | $ 4,358.54 | $ 3,209.12 | |
Income (loss) from operations: | |||
Total net trading gains (losses) (in dollars per unit) | [5] | 182.39 | 703.65 |
Net investment income (loss) (in dollars per unit) | [5] | 1.61 | (58.22) |
Total net income (loss) from operations (in dollars per unit) | 184 | 645.43 | |
Net asset value per unit at end of period (in dollars per unit) | $ 4,542.54 | $ 3,854.55 | |
Total Return | [2] | 4.22% | 20.11% |
Ratios to average net asset value: | |||
Expenses prior to performance fee | [3] | 4.32% | 4.40% |
Performance fee | [2] | 0% | 0.47% |
Total expenses | 4.32% | 4.87% | |
Net investment income (loss) | [3],[4] | 0.16% | (4.80%) |
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) | $ 1,577.78 | $ 1,195.88 | |
Income (loss) from operations: | |||
Total net trading gains (losses) (in dollars per unit) | [1] | 66.03 | 261.52 |
Net investment income (loss) (in dollars per unit) | [1] | 5.75 | (64.6) |
Total net income (loss) from operations (in dollars per unit) | 71.78 | 196.92 | |
Offering costs (in dollars per unit) | [1] | (2.07) | (1.67) |
Net asset value per unit at end of period (in dollars per unit) | $ 1,647.49 | $ 1,391.13 | |
Total Return | [2] | 4.42% | 16.33% |
Ratios to average net asset value: | |||
Expenses prior to performance fee | [3] | 3.04% | 3.08% |
Performance fee | [2] | 0% | 4.06% |
Total expenses | 3.04% | 7.14% | |
Net investment income (loss) | [3],[4] | 1.40% | (3.48%) |
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) | $ 4,824.84 | $ 3,572.68 | |
Income (loss) from operations: | |||
Total net trading gains (losses) (in dollars per unit) | [1] | 201.88 | 786.86 |
Net investment income (loss) (in dollars per unit) | [1] | 27.13 | (126.39) |
Total net income (loss) from operations (in dollars per unit) | 229.01 | 660.47 | |
Offering costs (in dollars per unit) | [1] | (6.33) | (5) |
Net asset value per unit at end of period (in dollars per unit) | $ 5,047.52 | $ 4,228.15 | |
Total Return | [2] | 4.62% | 18.35% |
Ratios to average net asset value: | |||
Expenses prior to performance fee | [3] | 2.28% | 2.32% |
Performance fee | [2] | 0% | 2.57% |
Total expenses | 2.28% | 4.89% | |
Net investment income (loss) | [3],[4] | 2.16% | (2.76%) |
[1]Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.[2]Not annualized.[3]Annualized.[4]Excludes performance fee.[5]Net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. |
ORGANIZATION AND SUMMARY OF SIG
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES | 3 Months Ended |
Mar. 31, 2023 | |
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, forward currency contracts, and centrally cleared swap contracts. Effective August 31, 2008, the Trust began offering units of beneficial interest classified into Series A units, Series B units and Series W units. Effective July 1, 2017, the Trust began offering units of beneficial interest classified into Series D units. The rights of the Series A units, Series B units, Series D units and Series W units are identical, except that the fees and commissions vary on a Series-by-Series basis. Series A, Series D and Series W commenced trading on October 1, 2008, October 1, 2017 and March 1, 2009, respectively. The initial minimum subscription for Series A units, Series D units and Series W units is $25,000. Series B units are only available for additional investments by existing holders of Series B units. See Note 1.G., Note 1.I., Note 2, Note 3 and Note 10 for an explanation of allocations and Series specific charges. B. Regulation As a registrant with the Securities and Exchange Commission (the “SEC”), the Trust is subject to the regulatory requirements under the Securities and Exchange Act of 1934. As a commodity investment pool, the Trust is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Trust executes transactions. Additionally, the Trust is subject to the requirements of futures commission merchants (the “futures brokers”) and interbank market maker through which the Trust trades. C. Method of Reporting The Trust’s financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which may require the use of certain estimates made by the Trust’s management. Actual results may differ from these estimates. The Trust meets the definition of an investment company according to the provisions of Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946-10, Financial Services – Investment Companies. Investment transactions, including futures, forwards and fixed income securities are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Realized gains or losses on spot trades associated with forward currency contract trading are included in realized gains or losses from forward currency trading. Unrealized gains and losses on open contracts (the difference between contract trade value and fair value) are reported in the Statements of Financial Condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with ASC 210-20, Offsetting - Balance Sheet. The fair value of futures (exchange-traded) contracts is based on various futures exchanges, and reflects the settlement price for each contract as of the close on the last business day of the reporting period. The fair value of forward currency (non-exchange traded) contracts was extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period. The daily exchange of variation margin associated with a Central Counterparty Clearing House derivative instrument is legally characterized as the daily settlement of the derivative instrument itself. Accordingly, the Trust accounts for the daily receipt or payment of variation margin associated with its centrally cleared swaps and futures as a direct reduction to the carrying value of the centrally cleared swaps and futures derivative asset or liability, respectively. The carrying amount of centrally cleared swaps and futures reflected in the Trust’s Statements of Financial Condition is equal to the unsettled fair value of such instruments, which generally represents the change in fair value that occurred on the last day of the reporting period. Centrally cleared credit default index swaps and interest rate swap transactions are recorded on the trade date. Realized gains or losses are determined using the identified cost method. The fair value of centrally cleared swap contracts is determined by using current market quotations provided by an independent external pricing source. Valuation using an external pricing source involves the use of observable inputs in accordance with the fair value hierarchy. Any change in net unrealized gain or loss from the prior period is reported in Swap trading gains (losses) - Change in unrealized in the Statements of Operations. Period payments received or paid on swap contracts, commissions and fees associated with trading the swap contracts and cash payments received or made due to the underlying obligation in the event of a credit event are recorded as part of “Swap trading gains (losses) – Realized” in the Statements of Operations. The fixed income investments are marked to market on the last business day of the reporting period using a third party vendor hierarchy of pricing providers who specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Premiums and discounts on fixed income securities are amortized and accreted for financial reporting purposes. The short term investments represent cash held at the custodian and invested overnight in a money market fund. For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value by the number of outstanding units. D. Fair Value The Trust follows the provisions of ASC 820, “Fair Value Measurements and Disclosures” (“ASC 820”). ASC 820 provides guidance for determining fair value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Trust has the ability to access at the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of the Trust’s exchange-traded futures contracts and short term investments fall into this category. Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts that the Trust values using models or other valuation methodologies derived from observable market data. For centrally cleared swap contracts, the Trust uses current market quotations provided by an independent external pricing source to determine fair value. This category also includes fixed income investments. Level 3 inputs are unobservable inputs for an asset or liability (including the Trust’s own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of March 31, 2023 and December 31, 2022, and for the periods ended March 31, 2023 and 2022 the Trust did not have any Level 3 assets or liabilities. The following tables set forth by level within the fair value hierarchy the Trust’s investments accounted for at fair value on a recurring basis as of March 31, 2023 and December 31, 2022. Fair Value at March 31, 2023 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 18,811,513 $ 0 $ 0 $ 18,811,513 Fixed income securities 0 338,418,927 0 338,418,927 Other Financial Instruments Exchange-traded futures contracts 10,946,442 0 0 10,946,442 Forward currency contracts 0 1,350,290 0 1,350,290 Credit default index swap contracts 0 (1,492,089 ) 0 (1,492,089 ) Interest rate swap contracts 0 (3,355,938 ) 0 (3,355,938 ) Total $ 29,757,955 $ 334,921,190 $ 0 $ 364,679,145 Fair Value at December 31, 2022 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 3,954,316 $ 0 $ 0 $ 3,954,316 Fixed income securities 0 353,170,435 0 353,170,435 Other Financial Instruments Exchange-traded futures contracts 2,626,404 0 0 2,626,404 Forward currency contracts 0 1,967,750 0 1,967,750 Credit default index swap contracts 0 381,247 0 381,247 Interest rate swap contracts 0 3,287,237 0 3,287,237 Total $ 6,580,720 $ 358,806,669 $ 0 $ 365,387,389 The gross presentation of the fair value of the Trust’s derivatives by instrument type is shown in Note 12. See Condensed Schedules of Investments for additional detail categorization. E. Cash and Cash Equivalents Cash and cash equivalents includes cash and overnight money market investments at financial institutions. F. Income Taxes The Trust prepares calendar year U.S. federal and applicable state tax returns and reports to the unitholders their allocable shares of the Trust’s income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each unitholder is individually responsible for reporting income or loss based on such unitholder’s respective share of the Trust’s income and expenses as reported for income tax purposes. Management has continued to evaluate the application of ASC 740, Income Taxes, to the Trust, and has determined that 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 2019 through 2022 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 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 March 31, 2023 and December 31, 2022, the amount of unreimbursed offering costs incurred by Campbell & Company is $113,993 and $149,854 for Series A units, $142,226 and $141,935 for Series D units and $274,171 and $286,440 for Series W units, respectively. H. Foreign Currency Transactions The Trust’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income. I. Allocations Income or loss (prior to calculation of the management fee, offering costs and performance fee) is allocated pro rata to each Series of units. Each Series of units is then charged the management fee, offering costs and performance fee applicable to such Series of units. J. Recently Issued Accounting Pronouncements In April 2020, the FASB issued ASU-2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting to provide optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. In July 2017, the head of the United Kingdom Financial Conduct Authority announced the desire to phase out the use of the London Interbank Offered Rate (“LIBOR”) and other Interbank offered rates (IBORs). In November 2020, United States and United Kingdom regulators made announcements planning to cease publication of overnight, one-month, three-month, six-month and one-year LIBOR and IBOR tenors after June 2023. As such, management has completed the transition of the affected rates and evaluated any future impact to be immaterial to the Trust. |
MANAGING OPERATOR AND COMMODITY
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR | 3 Months Ended |
Mar. 31, 2023 | |
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, Series B units, Series D units and Series W units pay the managing operator a monthly management fee equal to 1/12 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. |
SALES COMMISSION
SALES COMMISSION | 3 Months Ended |
Mar. 31, 2023 | |
SALES COMMISSION [Abstract] | |
SALES COMMISSION | Note 3. SALES COMMISSION The managing operator pays an upfront sales commission based on Series A units sold by selling agents who have executed selling agreements with the Trust. The Trust pays commissions based on Series A, Series B, and Series D units. For Series A, there is an upfront sales commission paid by the managing operator of 2% of the subscription amount of each subscription for units. For up to twelve months after the sale of units, the managing operator will receive from the Trust a monthly reimbursement of 1/12 of 2% 1/12 of 2% Series B and Series D units pay a monthly trail commission of 1/12 of 2% 1/12 of 0.75% Any monthly trail commission which is not paid to a selling agent pursuant to an executed selling or servicing agreement with the Trust will be rebated to unitholders in the form of a capital addition and is reported as such in the financial statements. |
TRUSTEE
TRUSTEE | 3 Months Ended |
Mar. 31, 2023 | |
TRUSTEE [Abstract] | |
TRUSTEE | Note 4. TRUSTEE The trustee of the Trust is U.S. Bank National Association, a national banking corporation. The trustee has delegated to the managing operator the duty and authority to manage the business and affairs of the Trust and has only nominal duties and liabilities with respect to the Trust. |
ADMINISTRATOR AND TRANSFER AGEN
ADMINISTRATOR AND TRANSFER AGENT | 3 Months Ended |
Mar. 31, 2023 | |
ADMINISTRATOR AND TRANSFER AGENT [Abstract] | |
ADMINISTRATOR AND TRANSFER AGENT | Note 5. ADMINISTRATOR AND TRANSFER AGENT NAV Consulting, Inc. 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. NAV Consulting, Inc. serves as the Transfer Agent of the Trust. The Transfer Agent receives fees at rates agreed upon between the Trust and the Transfer Agent and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties. |
CASH MANAGER AND CUSTODIAN
CASH MANAGER AND CUSTODIAN | 3 Months Ended |
Mar. 31, 2023 | |
CASH MANAGER AND CUSTODIAN [Abstract] | |
CASH MANAGER AND CUSTODIAN | Note 6. CASH MANAGER AND CUSTODIAN PNC Capital Advisors, LLC serves as the cash manager under the Investment Advisory Agreement to manage and control the liquid assets of the Trust. PNC Capital Advisors, LLC is registered as an investment adviser with the SEC of the United States under the Investment Advisers Act of 1940. The Trust opened a custodial account at the Northern Trust Company (the “custodian”) and has granted the cash manager authority to make certain investments on behalf of the Trust provided such investments are consistent with the investment guidelines created by the managing operator. All securities purchased by the cash manager on behalf of the Trust will be held in the Trust’s custody account at the custodian. The cash manager will have no beneficial or other interest in the securities and cash in such custody account. |
DEPOSITS WITH FUTURES BROKERS
DEPOSITS WITH FUTURES BROKERS | 3 Months Ended |
Mar. 31, 2023 | |
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., subject to Commodity Futures Trading Commission regulations and various exchange and futures broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with such futures brokers. The Trust typically earns interest income on its assets deposited with the futures brokers. |
DEPOSITS WITH INTERBANK MARKET
DEPOSITS WITH INTERBANK MARKET MAKER | 3 Months Ended |
Mar. 31, 2023 | |
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”). The Trust has entered into an International Swap and Derivatives Association, Inc. agreement (“ISDA Agreement”) with NatWest which governs these transactions. The credit ratings reported by the three major rating agencies for NatWest were considered investment grade as of March 31, 2023. Margin requirements are satisfied by the deposit of cash with NatWest. The Trust typically earns interest income on its assets deposited with NatWest. |
DEPOSITS WITH SWAPS BROKER
DEPOSITS WITH SWAPS BROKER | 3 Months Ended |
Mar. 31, 2023 | |
DEPOSITS WITH SWAPS BROKER [Abstract] | |
DEPOSITS WITH SWAPS BROKER | Note 9. DEPOSITS WITH SWAPS BROKER The Trust deposits cash with Goldman, Sachs & Co. to act as swaps broker for its centrally cleared swap contracts, subject to Commodity Futures Trading Commission regulations and central counterparty and broker requirements. Margin requirements are satisfied by the deposit of cash with such swaps broker. Accordingly, assets used to meet margin and other broker or regulatory requirements are partially restricted. The Trust typically earns interest on its credit balances and pays interest on debit balances with the swaps broker. The Trust pays commissions to the swaps broker on a transaction basis at rates agreed upon between the Trust and the swaps broker. |
SUBSCRIPTIONS, DISTRIBUTIONS AN
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS | 3 Months Ended |
Mar. 31, 2023 | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS [Abstract] | |
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS | Note 10. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS Investments in the Trust are made by subscription agreement, subject to acceptance by Campbell & Company. The Trust is not required to make distributions, but may do so at the sole discretion of Campbell & Company. A unitholder may request and receive redemption of units owned, subject to restrictions in the Declaration of Trust and Trust Agreement. Units are transferable, but no market exists for their sale and none is expected to develop. Monthly redemptions are permitted upon ten (10) business days advance written notice to Campbell & Company. Redemption fees, which are paid to Campbell & Company, apply to Series A units through the first twelve month-ends following purchase (the month-end as of which the unit is purchased is counted as the first month-end) as follows: 1.833% of Net Asset Value per unit redeemed through the second month-end, 1.666% of Net Asset Value per unit redeemed through the third month-end, 1.500% of Net Asset Value per unit redeemed through the fourth month-end, 1.333% of Net Asset Value per unit redeemed through the fifth month-end, 1.167% of Net Asset Value per unit redeemed through the sixth month-end, 1.000% of Net Asset Value per unit redeemed through the seventh month-end, 0.833% of Net Asset Value per unit redeemed through the eighth month-end, 0.667% of Net Asset Value per unit redeemed through the ninth month-end, 0.500% of Net Asset Value per unit redeemed through the tenth month-end, 0.333% of Net Asset Value per unit redeemed through the eleventh month-end and 0.167% of Net Asset Value per unit redeemed through the twelfth month end. For the three months ended March 31, 2023 and 2022, Campbell & Company received redemption fees of $608 and $0, respectively. |
CREDIT DERIVATIVES AND CREDIT-R
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES | 3 Months Ended |
Mar. 31, 2023 | |
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES [Abstract] | |
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES | Note 11. CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES Credit derivatives generally require the seller to make a payment to the buyer in the event the underlying referenced security or index to the contract defaults or another triggering event, as defined in the applicable derivative contract, occurs. The Trust sells credit derivative contracts for speculative investment purposes. The following table summarizes the notional amounts of credit derivative contracts sold by the Trust by their maturity for contracts which are outstanding at March 31, 2023 and December 31, 2022. Notional amounts are disclosed as they represent the maximum potential payout, however, management believes that the carrying value of these contracts is a more relevant measure of these obligations. At March 31, 2023, the carrying value of such credit derivative contracts purchased was $(1,492,089). At December 31, 2022, the carrying value of such credit derivative contracts sold was $381,247. March 31, 2023 December 31, 2022 Credit Default Index Swaps Maturity Date: June 2028 Maturity Date: December 2027 Investment grade $ 57,905,714 $ 73,504,094 Non-investment grade 82,410,791 25,156,817 Total $ 140,316,505 $ 98,660,911 The Trust does not monitor its exposure to credit derivatives based on the notional amounts because that measure does not take into consideration the probability of a credit default event, the legal right to offset assets and liabilities by a counterparty, or collateral posted. However, the notional value of these credit derivative contracts has been included to provide information about the magnitude of involvement with these types of contracts. |
TRADING ACTIVITIES AND RELATED
TRADING ACTIVITIES AND RELATED RISKS | 3 Months Ended |
Mar. 31, 2023 | |
TRADING ACTIVITIES AND RELATED RISKS [Abstract] | |
TRADING ACTIVITIES AND RELATED RISKS | Note 12. TRADING ACTIVITIES AND RELATED RISKS The Trust engages in the speculative trading of U.S. and foreign futures contracts, forward currency contracts and centrally cleared swap contracts (collectively, “derivatives”). Specifically, the Trust trades a portfolio focused on futures, forward, credit default index swap and interest rate swap contracts, which are instruments designed to hedge changes in interest rates, currency exchange rates, stock index values, metals, energy, agriculture values, and credit risks. The Trust is exposed to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract. Market Risk For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the fair value of the Trust’s open positions and, consequently, in its earnings and cash flow. The Trust’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Trust’s open positions and the liquidity of the markets in which it trades. Theoretically, the Trust is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. The value of an interest rate swap will change as market interest rates rise and fall in conjunction with whether the contract is to receive or pay a fixed interest rate. As a purchaser of credit default index swaps, the Trust’s risk of loss is limited to any cash payments required under the swap contracts. Written credit default contracts (i.e., sell protection) expose the Trust to a market risk equal to the notional value of such swap contracts and any cash payments required under the swap contracts. See Note 1.C. for an explanation of how the Trust determines its valuation for derivatives as well as the netting of derivatives. The following tables summarize quantitative information required by ASC 815, Derivatives and Hedging, (“ASC 815”). Type of Instrument * Statements of Financial Condition Location Asset Derivatives at March 31, 2023 Fair Value Liability Derivatives at March 31, 2023 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 7,252,161 $ (5,716,915 ) $ 1,535,246 Energy Contracts Net unrealized gain (loss) on open futures contracts 2,302,936 (817,705 ) 1,485,231 Metal Contracts Net unrealized gain (loss) on open futures contracts 8,087,927 (4,780,593 ) 3,307,334 Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 6,312,703 (2,345,110 ) 3,967,593 Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 956,136 (191,791 ) 764,345 Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 1,376,568 (1,489,875 ) (113,307) Forward Currency Contracts Net unrealized gain (loss) on open Forward Currency Contracts 42,199,875 (40,849,585 ) 1,350,290 Credit Default Index Swap Contracts** Credit default index swaps 1,494,922 (2,987,011 ) (1,492,089) Interest Rate Swap Contracts** Interest rate swaps 2,572,752 (5,928,690 ) (3,355,938) Totals $ 72,555,980 $ (65,107,275 ) $ 7,448,705 * Derivatives not designated as hedging instruments under ASC 815 ** Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition. Type of Instrument * Statements of Financial Condition Location Asset Derivatives at December 31, 2022 Fair Value Liability Derivatives at December 31, 2022 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 2,362,910 $ (4,530,228 ) $ (2,167,318 ) Energy Contracts Net unrealized gain (loss) on open futures contracts 2,696,056 (291,953 ) 2,404,103 Metal Contracts Net unrealized gain (loss) on open futures contracts 6,724,134 (4,773,071 ) 1,951,063 Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 1,794,093 (3,944,508 ) (2,150,415 ) Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 2,220,136 (374,153 ) 1,845,983 Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 6,290,661 (5,547,673 ) 742,988 Forward Currency Contracts Net unrealized gain (loss) on open Forward Currency Contracts 23,501,515 (21,533,765 ) 1,967,750 Credit Default Index Swap Contracts** Credit default index swaps 508,868 (127,621 ) 381,247 Interest Rate Swap Contracts** Interest rate swaps 4,972,588 (1,685,351 ) 3,287,237 Totals $ 51,070,961 $ (42,808,323 ) $ 8,262,638 * Derivatives not designated as hedging instruments under ASC 815 ** Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition. The trading gains and losses of the Trust’s derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three months ended March 31, 2023 and 2022 are as follows: Type of Instrument Trading Gains (Losses) for the Three Months Ended March 31, 2023 Trading Gains (Losses) for the Three Months Ended March 31, 2022 Agriculture Contracts $ (417,774) $ 5,200,704 Energy Contracts 716,456 19,565,308 Metal Contracts 4,464,974 6,975,988 Stock Indices Contracts 531,775 1,168,001 Short-Term Interest Rate Contracts 1,088,311 4,905,169 Long-Term Interest Rate Contracts 1,243,550 10,754,775 Forward Currency Contracts 13,558,943 17,616,305 Credit default index swap contracts (300,706 ) (1,394,715) Interest rate swap contracts (292,727) 1,904,681 Total $ 20,592,802 $ 66,696,216 Line Item in the Statements of Operations Trading Gains (Losses) for the Three Months Ended March 31, 2023 Trading Gains (Losses) for the Three Months Ended March 31, 2022 Futures trading gains (losses): Realized*** $ (692,746) $ 42,007,020 Change in unrealized 8,320,038 6,562,924 Forward currency trading gains (losses): Realized*** 14,176,403 7,497,056 Change in unrealized (617,460) 10,119,250 Swap trading gains (losses): Realized 3,427,298 (613,017 ) Change in unrealized (4,020,731) 1,122,983 Total $ 20,592,802 $ 66,696,216 *** For the three months ended March 31, 2023 and 2022, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $12,932 and $19,768, respectively; and gains and losses on spot trades in connection with forward currency trading at the interbank market makers of $(445,194) and $1,095,494, respectively . For the three months ended March 31, 2023 and 2022, the monthly average of futures contracts bought and sold was approximately 52,100 and 30,300, respectively; the monthly average of notional value of centrally cleared swap contracts was approximately $3,854,200,000 and $1,348,700,000, respectively; and the monthly average of notional value of forward currency contracts was $5,393,700,000 and $3,250,200,000, respectively. Open contracts generally mature within three months; as of March 31, 2023, the latest maturity date for open futures contracts is June 2024 June 2023 June 2028 Credit Risk The Trust trades futures contracts on exchanges that require margin deposits with the futures brokers and centrally cleared swap contracts that require margin deposits with the swaps broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a futures broker or swaps broker to segregate all customer transactions and assets from such futures broker’s or swaps broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury Bills) deposited with a futures broker or swaps broker are considered commingled with all other customer funds subject to the futures broker’s or swaps broker’s segregation requirements. In the event of a futures broker’s or swaps broker’s insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property deposited. The Trust trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward currency contracts are generally greater than those associated with exchange traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency contracts typically involves delayed cash settlement. The Trust has a portion of its assets on deposit with PNC Bank. In the event of a financial institution’s insolvency, recovery of the Trust’s assets on deposit may be limited to account insurance or other protection afforded such deposits. The Trust has entered into ISDA Agreements with NatWest. Under the terms of the ISDA Agreement, upon the designation of an Event of Default, as defined in the ISDA Agreement, the non-defaulting party may set-off any sum or obligation owed by the defaulting party to the non-defaulting party against any sum or obligation owed by the non-defaulting party to the defaulting party. If any sum or obligation is unascertained, the non-defaulting party may in good faith estimate that sum or obligation and set-off in respect to that estimate, accounting to the other party when such sum or obligation is ascertained. Under the terms of each master netting agreement with UBS Securities LLC and Goldman, Sachs & Co., upon occurrence of a default by the Trust, as defined in respective account documents, UBS Securities LLC and Goldman, Sachs & Co. have the right to close out any or all open contracts held in the Trust’s account; sell any or all of the securities held; and borrow or buy any securities, contracts or other property for the Trust’s account. The Trust would be liable for any deficiency in its account resulting from such transactions. The amount of required margin and good faith deposits with the futures brokers, swaps broker, and interbank market maker usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at March 31, 2023 and December 31, 2022 was $58,882,203 and $55,308,662, respectively, which equals approximately 12% and 12% of Net Asset Value, respectively. Included in cash deposits with the futures brokers, swaps broker and interbank market maker at March 31, 2023 and December 31, 2022 was restricted cash for margin requirements of $78,527,544 and $64,050,963, respectively, which equals approximately 15% and 13% 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 by Counterparty As of March 31, 2023 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 $ 13,442,376 $ (7,714,115 ) $ 5,728,261 Futures contracts Goldman, Sachs & Co. 12,846,055 (7,627,874 ) 5,218,181 Forward currency contracts NatWest Markets Plc 42,199,875 (40,849,585 ) 1,350,290 Centrally cleared swap contracts Centrally Cleared 4,067,674 (4,067,674 ) 0 Total derivatives $ 72,555,980 $ (60,259,248 ) $ 12,296,732 Derivative Assets and Collateral Received by Counterparty As of March 31, 2023 Net Amounts of Unrealized Gain Presented in the Gross Amounts Not Offset in the Statements of Financial Condition Counterparty Statements of Financial Condition Financial Instruments Cash Collateral Received Net Amount UBS Securities LLC $ 5,728,261 $ 0 $ 0 $ 5,728,261 Goldman Sachs & Co. LLC 5,218,181 0 0 5,218,181 NatWest Markets Plc 1,350,290 0 0 1,350,290 Centrally Cleared 0 0 0 0 Total $ 12,296,732 $ 0 $ 0 $ 12,296,732 Offsetting of Derivative Liabilities by Counterparty As of March 31, 2023 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 $ 7,714,115 $ (7,714,115 ) $ 0 Futures contracts Goldman, Sachs & Co. 7,627,874 (7,627,874 ) 0 Forward currency contracts NatWest Markets Plc 40,849,585 (40,849,585 ) 0 Centrally cleared swap contracts* Centrally Cleared 8,915,701 (4,067,674 ) 4,848,027 Total derivatives $ 65,107,275 $ (60,259,248 ) $ 4,848,027 * Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition. Derivative Liabilities and Collateral Pledged by Counterparty As of March 31, 2023 Net Amounts of Unrealized Loss Presented in the Gross Amounts Not Offset in the Statements of Financial Condition Counterparty Statements of Financial Condition Financial Instruments Cash Collateral Pledged Net Amount UBS Securities LLC $ 0 $ 0 $ 0 $ 0 Goldman, Sachs & Co. 0 0 0 0 NatWest Markets Plc 0 0 0 0 Centrally Cleared 4,848,027 0 (4,848,027) 0 Total $ 4,848,027 $ 0 $ (4,848,027 ) $ 0 Offsetting of Derivative Assets by Counterparty As of December 31, 2022 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 $ 11,125,617 $ (9,805,944 ) $ 1,319,673 Futures contracts Goldman, Sachs & Co. 10,962,373 (9,655,642 ) 1,306,731 Forward currency contracts NatWest Markets Plc 23,501,515 (21,533,765 ) 1,967,750 Centrally cleared swap contracts* Centrally Cleared 5,481,456 (1,812,972 ) 3,668,484 Total derivatives $ 51,070,961 $ (42,808,323 ) $ 8,262,638 * Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition. Derivative Assets and Collateral Received by Counterparty As of December 31, 2022 Net Amounts of Unrealized Gain Presented in the Gross Amounts Not Offset in the Statements of Financial Condition Counterparty Statements of Financial Condition Financial Instruments Cash Collateral Received Net Amount UBS Securities LLC $ 1,319,673 $ 0 $ 0 $ 1,319,673 Goldman, Sachs & Co. 1,306,731 0 0 1,306,731 NatWest Markets Plc 1,967,750 0 0 1,967,750 Centrally Cleared 3,668,484 0 0 3,668,484 Total $ 8,262,638 $ 0 $ 0 $ 8,262,638 Offsetting of Derivative Liabilities by Counterparty As of December 31, 2022 Type of Instrument Counterparty Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 9,805,944 $ (9,805,944 ) $ 0 Futures contracts Goldman, Sachs & Co. 9,655,642 (9,655,642 ) 0 Forward currency contracts NatWest Markets Plc 21,533,765 (21,533,765 ) 0 Centrally cleared swap contracts Centrally Cleared 1,812,972 (1,812,972 ) 0 Total derivatives $ 42,808,323 $ (42,808,323 ) $ 0 Derivative Liabilities and Collateral Pledged by Counterparty As of December 31, 2022 Net Amounts of Unrealized Loss Presented in the Gross Amounts Not Offset in the Statements of Financial Condition Counterparty Statements of Financial Condition Financial Instruments Cash Collateral Pledged Net Amount UBS Securities LLC $ 0 $ 0 $ 0 $ 0 Goldman, Sachs & Co. 0 0 0 0 NatWest Markets Plc 0 0 0 0 Centrally Cleared 0 0 0 0 Total $ 0 $ 0 $ 0 $ 0 Campbell & Company has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. Campbell & Company’s basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%. Campbell & Company’s attempt to manage the risk of the Trust’s open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses. Campbell & Company controls the risk of the Trust’s non-trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments. Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Trust’s assets at financial institutions and brokers which Campbell & Company believes to be credit worthy. The unitholder bears the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received. |
INDEMNIFICATIONS
INDEMNIFICATIONS | 3 Months Ended |
Mar. 31, 2023 | |
INDEMNIFICATIONS [Abstract] | |
INDEMNIFICATIONS | Note 13. INDEMNIFICATIONS In the normal course of business, the Trust enters into contracts and agreements that contain a variety of representations and warranties which provide general indemnifications. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. The Trust expects the risk of any future obligation under these indemnifications to be remote. |
INTERIM FINANCIAL STATEMENTS
INTERIM FINANCIAL STATEMENTS | 3 Months Ended |
Mar. 31, 2023 | |
INTERIM FINANCIAL STATEMENTS [Abstract] | |
INTERIM FINANCIAL STATEMENTS | Note 14. INTERIM FINANCIAL STATEMENTS The Statements of Financial Condition, including the Condensed Schedules of Investments, as of March 31, 2023 and December 31, 2022, the Statements of Operations and Financial Highlights for the three months ended March 31, 2023 and 2022, and the Statements of Cash Flows and Changes in Unitholders’ Capital (Net Asset Value) for the three months ended March 31, 2023 and 2022 are unaudited. In the opinion of management, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of March 31, 2023 and December 31, 2022, the results of operations and financial highlights for the three months ended March 31, 2023 and 2022, and cash flows and changes in unitholders’ capital (Net Asset Value) for the three months ended March 31, 2023 and 2022. |
SUBSEQUENT EVENTS
SUBSEQUENT EVENTS | 3 Months Ended |
Mar. 31, 2023 | |
SUBSEQUENT EVENTS [Abstract] | |
SUBSEQUENT EVENTS | Note 15. SUBSEQUENT EVENTS Management of the Trust has evaluated subsequent events through the date the financial statements were filed. There are no subsequent events to disclose or record. |
ORGANIZATION AND SUMMARY OF S_2
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Policies) | 3 Months Ended |
Mar. 31, 2023 | |
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 | The Trust meets the definition of an investment company according to the provisions of Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946-10, Financial Services – Investment Companies. Investment transactions, including futures, forwards and fixed income securities are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Realized gains or losses on spot trades associated with forward currency contract trading are included in realized gains or losses from forward currency trading. Unrealized gains and losses on open contracts (the difference between contract trade value and fair value) are reported in the Statements of Financial Condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with ASC 210-20, Offsetting - Balance Sheet. The fair value of futures (exchange-traded) contracts is based on various futures exchanges, and reflects the settlement price for each contract as of the close on the last business day of the reporting period. The fair value of forward currency (non-exchange traded) contracts was extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period. The daily exchange of variation margin associated with a Central Counterparty Clearing House derivative instrument is legally characterized as the daily settlement of the derivative instrument itself. Accordingly, the Trust accounts for the daily receipt or payment of variation margin associated with its centrally cleared swaps and futures as a direct reduction to the carrying value of the centrally cleared swaps and futures derivative asset or liability, respectively. The carrying amount of centrally cleared swaps and futures reflected in the Trust’s Statements of Financial Condition is equal to the unsettled fair value of such instruments, which generally represents the change in fair value that occurred on the last day of the reporting period. Centrally cleared credit default index swaps and interest rate swap transactions are recorded on the trade date. Realized gains or losses are determined using the identified cost method. The fair value of centrally cleared swap contracts is determined by using current market quotations provided by an independent external pricing source. Valuation using an external pricing source involves the use of observable inputs in accordance with the fair value hierarchy. Any change in net unrealized gain or loss from the prior period is reported in Swap trading gains (losses) - Change in unrealized in the Statements of Operations. Period payments received or paid on swap contracts, commissions and fees associated with trading the swap contracts and cash payments received or made due to the underlying obligation in the event of a credit event are recorded as part of “Swap trading gains (losses) – Realized” in the Statements of Operations. The fixed income investments are marked to market on the last business day of the reporting period 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”). ASC 820 provides guidance for determining fair value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Trust has the ability to access at the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of the Trust’s exchange-traded futures contracts and short term investments fall into this category. Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts that the Trust values using models or other valuation methodologies derived from observable market data. For centrally cleared swap contracts, the Trust uses current market quotations provided by an independent external pricing source to determine fair value. This category also includes fixed income investments. Level 3 inputs are unobservable inputs for an asset or liability (including the Trust’s own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of March 31, 2023 and December 31, 2022, and for the periods ended March 31, 2023 and 2022 the Trust did not have any Level 3 assets or liabilities. The following tables set forth by level within the fair value hierarchy the Trust’s investments accounted for at fair value on a recurring basis as of March 31, 2023 and December 31, 2022. Fair Value at March 31, 2023 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 18,811,513 $ 0 $ 0 $ 18,811,513 Fixed income securities 0 338,418,927 0 338,418,927 Other Financial Instruments Exchange-traded futures contracts 10,946,442 0 0 10,946,442 Forward currency contracts 0 1,350,290 0 1,350,290 Credit default index swap contracts 0 (1,492,089 ) 0 (1,492,089 ) Interest rate swap contracts 0 (3,355,938 ) 0 (3,355,938 ) Total $ 29,757,955 $ 334,921,190 $ 0 $ 364,679,145 Fair Value at December 31, 2022 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 3,954,316 $ 0 $ 0 $ 3,954,316 Fixed income securities 0 353,170,435 0 353,170,435 Other Financial Instruments Exchange-traded futures contracts 2,626,404 0 0 2,626,404 Forward currency contracts 0 1,967,750 0 1,967,750 Credit default index swap contracts 0 381,247 0 381,247 Interest rate swap contracts 0 3,287,237 0 3,287,237 Total $ 6,580,720 $ 358,806,669 $ 0 $ 365,387,389 The gross presentation of the fair value of the Trust’s derivatives by instrument type is shown in Note 12. See Condensed Schedules of Investments for additional detail categorization. |
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 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 2019 through 2022 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 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 March 31, 2023 and December 31, 2022, the amount of unreimbursed offering costs incurred by Campbell & Company is $113,993 and $149,854 for Series A units, $142,226 and $141,935 for Series D units and $274,171 and $286,440 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, offering costs and performance fee) is allocated pro rata to each Series of units. Each Series of units is then charged the management fee, offering costs and performance fee applicable to such Series of units. |
Recently Issued Accounting Pronouncements | J. Recently Issued Accounting Pronouncements In April 2020, the FASB issued ASU-2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting to provide optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. In July 2017, the head of the United Kingdom Financial Conduct Authority announced the desire to phase out the use of the London Interbank Offered Rate (“LIBOR”) and other Interbank offered rates (IBORs). In November 2020, United States and United Kingdom regulators made announcements planning to cease publication of overnight, one-month, three-month, six-month and one-year LIBOR and IBOR tenors after June 2023. As such, management has completed the transition of the affected rates and evaluated any future impact to be immaterial to the Trust. |
ORGANIZATION AND SUMMARY OF S_3
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES [Abstract] | |
Investments Accounted for at Fair Value on a Recurring Basis | The following tables set forth by level within the fair value hierarchy the Trust’s investments accounted for at fair value on a recurring basis as of March 31, 2023 and December 31, 2022. Fair Value at March 31, 2023 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 18,811,513 $ 0 $ 0 $ 18,811,513 Fixed income securities 0 338,418,927 0 338,418,927 Other Financial Instruments Exchange-traded futures contracts 10,946,442 0 0 10,946,442 Forward currency contracts 0 1,350,290 0 1,350,290 Credit default index swap contracts 0 (1,492,089 ) 0 (1,492,089 ) Interest rate swap contracts 0 (3,355,938 ) 0 (3,355,938 ) Total $ 29,757,955 $ 334,921,190 $ 0 $ 364,679,145 Fair Value at December 31, 2022 Description Level 1 Level 2 Level 3 Total Investments Short term investments $ 3,954,316 $ 0 $ 0 $ 3,954,316 Fixed income securities 0 353,170,435 0 353,170,435 Other Financial Instruments Exchange-traded futures contracts 2,626,404 0 0 2,626,404 Forward currency contracts 0 1,967,750 0 1,967,750 Credit default index swap contracts 0 381,247 0 381,247 Interest rate swap contracts 0 3,287,237 0 3,287,237 Total $ 6,580,720 $ 358,806,669 $ 0 $ 365,387,389 |
CREDIT DERIVATIVES AND CREDIT_2
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES [Abstract] | |
Credit Default Index Swaps | The following table summarizes the notional amounts of credit derivative contracts sold by the Trust by their maturity for contracts which are outstanding at March 31, 2023 and December 31, 2022. Notional amounts are disclosed as they represent the maximum potential payout, however, management believes that the carrying value of these contracts is a more relevant measure of these obligations. At March 31, 2023, the carrying value of such credit derivative contracts purchased was $(1,492,089). At December 31, 2022, the carrying value of such credit derivative contracts sold was $381,247. March 31, 2023 December 31, 2022 Credit Default Index Swaps Maturity Date: June 2028 Maturity Date: December 2027 Investment grade $ 57,905,714 $ 73,504,094 Non-investment grade 82,410,791 25,156,817 Total $ 140,316,505 $ 98,660,911 |
TRADING ACTIVITIES AND RELATE_2
TRADING ACTIVITIES AND RELATED RISKS (Tables) | 3 Months Ended |
Mar. 31, 2023 | |
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, Derivatives and Hedging, (“ASC 815”). Type of Instrument * Statements of Financial Condition Location Asset Derivatives at March 31, 2023 Fair Value Liability Derivatives at March 31, 2023 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 7,252,161 $ (5,716,915 ) $ 1,535,246 Energy Contracts Net unrealized gain (loss) on open futures contracts 2,302,936 (817,705 ) 1,485,231 Metal Contracts Net unrealized gain (loss) on open futures contracts 8,087,927 (4,780,593 ) 3,307,334 Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 6,312,703 (2,345,110 ) 3,967,593 Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 956,136 (191,791 ) 764,345 Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 1,376,568 (1,489,875 ) (113,307) Forward Currency Contracts Net unrealized gain (loss) on open Forward Currency Contracts 42,199,875 (40,849,585 ) 1,350,290 Credit Default Index Swap Contracts** Credit default index swaps 1,494,922 (2,987,011 ) (1,492,089) Interest Rate Swap Contracts** Interest rate swaps 2,572,752 (5,928,690 ) (3,355,938) Totals $ 72,555,980 $ (65,107,275 ) $ 7,448,705 * Derivatives not designated as hedging instruments under ASC 815 ** Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition. Type of Instrument * Statements of Financial Condition Location Asset Derivatives at December 31, 2022 Fair Value Liability Derivatives at December 31, 2022 Fair Value Net Agriculture Contracts Net unrealized gain (loss) on open futures contracts $ 2,362,910 $ (4,530,228 ) $ (2,167,318 ) Energy Contracts Net unrealized gain (loss) on open futures contracts 2,696,056 (291,953 ) 2,404,103 Metal Contracts Net unrealized gain (loss) on open futures contracts 6,724,134 (4,773,071 ) 1,951,063 Stock Indices Contracts Net unrealized gain (loss) on open futures contracts 1,794,093 (3,944,508 ) (2,150,415 ) Short-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 2,220,136 (374,153 ) 1,845,983 Long-Term Interest Rate Contracts Net unrealized gain (loss) on open futures contracts 6,290,661 (5,547,673 ) 742,988 Forward Currency Contracts Net unrealized gain (loss) on open Forward Currency Contracts 23,501,515 (21,533,765 ) 1,967,750 Credit Default Index Swap Contracts** Credit default index swaps 508,868 (127,621 ) 381,247 Interest Rate Swap Contracts** Interest rate swaps 4,972,588 (1,685,351 ) 3,287,237 Totals $ 51,070,961 $ (42,808,323 ) $ 8,262,638 * Derivatives not designated as hedging instruments under ASC 815 ** Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition. |
Trading Gains and Losses of the Trust's Derivatives by Instrument Type and Location of Gains and Losses on the Statements of Operations | The trading gains and losses of the Trust’s derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three months ended March 31, 2023 and 2022 are as follows: Type of Instrument Trading Gains (Losses) for the Three Months Ended March 31, 2023 Trading Gains (Losses) for the Three Months Ended March 31, 2022 Agriculture Contracts $ (417,774) $ 5,200,704 Energy Contracts 716,456 19,565,308 Metal Contracts 4,464,974 6,975,988 Stock Indices Contracts 531,775 1,168,001 Short-Term Interest Rate Contracts 1,088,311 4,905,169 Long-Term Interest Rate Contracts 1,243,550 10,754,775 Forward Currency Contracts 13,558,943 17,616,305 Credit default index swap contracts (300,706 ) (1,394,715) Interest rate swap contracts (292,727) 1,904,681 Total $ 20,592,802 $ 66,696,216 Line Item in the Statements of Operations Trading Gains (Losses) for the Three Months Ended March 31, 2023 Trading Gains (Losses) for the Three Months Ended March 31, 2022 Futures trading gains (losses): Realized*** $ (692,746) $ 42,007,020 Change in unrealized 8,320,038 6,562,924 Forward currency trading gains (losses): Realized*** 14,176,403 7,497,056 Change in unrealized (617,460) 10,119,250 Swap trading gains (losses): Realized 3,427,298 (613,017 ) Change in unrealized (4,020,731) 1,122,983 Total $ 20,592,802 $ 66,696,216 *** For the three months ended March 31, 2023 and 2022, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $12,932 and $19,768, respectively; and gains and losses on spot trades in connection with forward currency trading at the interbank market makers of $(445,194) and $1,095,494, respectively . |
Offsetting of Derivative Assets and Collateral Received by Counterparty | Offsetting of Derivative Assets by Counterparty As of March 31, 2023 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 $ 13,442,376 $ (7,714,115 ) $ 5,728,261 Futures contracts Goldman, Sachs & Co. 12,846,055 (7,627,874 ) 5,218,181 Forward currency contracts NatWest Markets Plc 42,199,875 (40,849,585 ) 1,350,290 Centrally cleared swap contracts Centrally Cleared 4,067,674 (4,067,674 ) 0 Total derivatives $ 72,555,980 $ (60,259,248 ) $ 12,296,732 Derivative Assets and Collateral Received by Counterparty As of March 31, 2023 Net Amounts of Unrealized Gain Presented in the Gross Amounts Not Offset in the Statements of Financial Condition Counterparty Statements of Financial Condition Financial Instruments Cash Collateral Received Net Amount UBS Securities LLC $ 5,728,261 $ 0 $ 0 $ 5,728,261 Goldman Sachs & Co. LLC 5,218,181 0 0 5,218,181 NatWest Markets Plc 1,350,290 0 0 1,350,290 Centrally Cleared 0 0 0 0 Total $ 12,296,732 $ 0 $ 0 $ 12,296,732 Offsetting of Derivative Assets by Counterparty As of December 31, 2022 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 $ 11,125,617 $ (9,805,944 ) $ 1,319,673 Futures contracts Goldman, Sachs & Co. 10,962,373 (9,655,642 ) 1,306,731 Forward currency contracts NatWest Markets Plc 23,501,515 (21,533,765 ) 1,967,750 Centrally cleared swap contracts* Centrally Cleared 5,481,456 (1,812,972 ) 3,668,484 Total derivatives $ 51,070,961 $ (42,808,323 ) $ 8,262,638 * Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition. Derivative Assets and Collateral Received by Counterparty As of December 31, 2022 Net Amounts of Unrealized Gain Presented in the Gross Amounts Not Offset in the Statements of Financial Condition Counterparty Statements of Financial Condition Financial Instruments Cash Collateral Received Net Amount UBS Securities LLC $ 1,319,673 $ 0 $ 0 $ 1,319,673 Goldman, Sachs & Co. 1,306,731 0 0 1,306,731 NatWest Markets Plc 1,967,750 0 0 1,967,750 Centrally Cleared 3,668,484 0 0 3,668,484 Total $ 8,262,638 $ 0 $ 0 $ 8,262,638 |
Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty | Offsetting of Derivative Liabilities by Counterparty As of March 31, 2023 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 $ 7,714,115 $ (7,714,115 ) $ 0 Futures contracts Goldman, Sachs & Co. 7,627,874 (7,627,874 ) 0 Forward currency contracts NatWest Markets Plc 40,849,585 (40,849,585 ) 0 Centrally cleared swap contracts* Centrally Cleared 8,915,701 (4,067,674 ) 4,848,027 Total derivatives $ 65,107,275 $ (60,259,248 ) $ 4,848,027 * Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition. Derivative Liabilities and Collateral Pledged by Counterparty As of March 31, 2023 Net Amounts of Unrealized Loss Presented in the Gross Amounts Not Offset in the Statements of Financial Condition Counterparty Statements of Financial Condition Financial Instruments Cash Collateral Pledged Net Amount UBS Securities LLC $ 0 $ 0 $ 0 $ 0 Goldman, Sachs & Co. 0 0 0 0 NatWest Markets Plc 0 0 0 0 Centrally Cleared 4,848,027 0 (4,848,027) 0 Total $ 4,848,027 $ 0 $ (4,848,027 ) $ 0 Offsetting of Derivative Liabilities by Counterparty As of December 31, 2022 Type of Instrument Counterparty Gross Amounts of Recognized Liabilities Gross Amounts Offset in the Statements of Financial Condition Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition Futures contracts UBS Securities LLC $ 9,805,944 $ (9,805,944 ) $ 0 Futures contracts Goldman, Sachs & Co. 9,655,642 (9,655,642 ) 0 Forward currency contracts NatWest Markets Plc 21,533,765 (21,533,765 ) 0 Centrally cleared swap contracts Centrally Cleared 1,812,972 (1,812,972 ) 0 Total derivatives $ 42,808,323 $ (42,808,323 ) $ 0 Derivative Liabilities and Collateral Pledged by Counterparty As of December 31, 2022 Net Amounts of Unrealized Loss Presented in the Gross Amounts Not Offset in the Statements of Financial Condition Counterparty Statements of Financial Condition Financial Instruments Cash Collateral Pledged Net Amount UBS Securities LLC $ 0 $ 0 $ 0 $ 0 Goldman, Sachs & Co. 0 0 0 0 NatWest Markets Plc 0 0 0 0 Centrally Cleared 0 0 0 0 Total $ 0 $ 0 $ 0 $ 0 |
ORGANIZATION AND SUMMARY OF S_4
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, General Description of the Trust (Details) | 3 Months Ended |
Mar. 31, 2023 USD ($) | |
Series A [Member] | |
General Description of the Trust [Abstract] | |
Initial minimum subscription | $ 25,000 |
Series D [Member] | |
General Description of the Trust [Abstract] | |
Initial minimum subscription | 25,000 |
Series W [Member] | |
General Description of the Trust [Abstract] | |
Initial minimum subscription | $ 25,000 |
ORGANIZATION AND SUMMARY OF S_5
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Fair Value (Details) - Fair Value on a Recurring Basis [Member] - USD ($) | Mar. 31, 2023 | Dec. 31, 2022 |
Investments [Abstract] | ||
Short term investments | $ 18,811,513 | $ 3,954,316 |
Fixed income securities | 338,418,927 | 353,170,435 |
Total | 364,679,145 | 365,387,389 |
Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 10,946,442 | 2,626,404 |
Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 1,350,290 | 1,967,750 |
Credit Default Index Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | (1,492,089) | 381,247 |
Interest Rate Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | (3,355,938) | 3,287,237 |
Level 1 [Member] | ||
Investments [Abstract] | ||
Short term investments | 18,811,513 | 3,954,316 |
Fixed income securities | 0 | 0 |
Total | 29,757,955 | 6,580,720 |
Level 1 [Member] | Exchange-Traded Futures Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 10,946,442 | 2,626,404 |
Level 1 [Member] | Forward Currency Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 1 [Member] | Credit Default Index Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 1 [Member] | Interest Rate Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 2 [Member] | ||
Investments [Abstract] | ||
Short term investments | 0 | 0 |
Fixed income securities | 338,418,927 | 353,170,435 |
Total | 334,921,190 | 358,806,669 |
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 | 1,350,290 | 1,967,750 |
Level 2 [Member] | Credit Default Index Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | (1,492,089) | 381,247 |
Level 2 [Member] | Interest Rate Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | (3,355,938) | 3,287,237 |
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 |
Level 3 [Member] | Credit Default Index Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | 0 | 0 |
Level 3 [Member] | Interest Rate Swap Contracts [Member] | ||
Investments [Abstract] | ||
Other financial instruments | $ 0 | $ 0 |
ORGANIZATION AND SUMMARY OF S_6
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Income Taxes (Details) | 3 Months Ended |
Mar. 31, 2023 USD ($) | |
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] | Earliest Tax Year [Member] | |
Income Taxes [Abstract] | |
Open tax year | 2019 |
Federal Tax Authority [Member] | Latest Tax Year [Member] | |
Income Taxes [Abstract] | |
Open tax year | 2022 |
State Tax Authorities [Member] | Earliest Tax Year [Member] | |
Income Taxes [Abstract] | |
Open tax year | 2019 |
State Tax Authorities [Member] | Latest Tax Year [Member] | |
Income Taxes [Abstract] | |
Open tax year | 2022 |
ORGANIZATION AND SUMMARY OF S_7
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES, Offering Costs (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2023 | Dec. 31, 2022 | |
Series A [Member] | ||
Offering Costs [Abstract] | ||
Monthly offering costs percentage | 0.04167% | |
Annualized offering costs percentage | 0.50% | |
Unreimbursed offering costs | $ 113,993 | $ 149,854 |
Series D [Member] | ||
Offering Costs [Abstract] | ||
Monthly offering costs percentage | 0.04167% | |
Annualized offering costs percentage | 0.50% | |
Unreimbursed offering costs | $ 142,226 | 141,935 |
Series W [Member] | ||
Offering Costs [Abstract] | ||
Monthly offering costs percentage | 0.04167% | |
Annualized offering costs percentage | 0.50% | |
Unreimbursed offering costs | $ 274,171 | $ 286,440 |
MANAGING OPERATOR AND COMMODI_2
MANAGING OPERATOR AND COMMODITY TRADING ADVISOR (Details) | 3 Months Ended |
Mar. 31, 2023 | |
Series A [Member] | |
Managing Operator and Commodity Trading Advisor [Abstract] | |
Monthly management fee percentage | 0.167% |
Annualized management fee percentage | 2% |
Quarterly performance fee percentage | 20% |
Series B [Member] | |
Managing Operator and Commodity Trading Advisor [Abstract] | |
Monthly management fee percentage | 0.167% |
Annualized management fee percentage | 2% |
Quarterly performance fee percentage | 20% |
Series D [Member] | |
Managing Operator and Commodity Trading Advisor [Abstract] | |
Monthly management fee percentage | 0.167% |
Annualized management fee percentage | 2% |
Quarterly performance fee percentage | 20% |
Series W [Member] | |
Managing Operator and Commodity Trading Advisor [Abstract] | |
Monthly management fee percentage | 0.167% |
Annualized management fee percentage | 2% |
Quarterly performance fee percentage | 20% |
SALES COMMISSION (Details)
SALES COMMISSION (Details) | 3 Months Ended |
Mar. 31, 2023 | |
Series A [Member] | |
Sales Commission [Abstract] | |
Upfront sales commission percentage paid by managing operator | 2% |
Period of time monthly reimbursement percentage is paid after sale of units | 12 months |
Monthly reimbursement percentage | 0.167% |
Annualized reimbursement percentage | 2% |
Period of time after sale of units monthly trail commission percentage commences | 13 months |
Monthly trail commission percentage | 0.167% |
Annualized trail commission percentage | 2% |
Series B [Member] | |
Sales Commission [Abstract] | |
Monthly trail commission percentage | 0.167% |
Annualized trail commission percentage | 2% |
Series D [Member] | |
Sales Commission [Abstract] | |
Monthly trail commission percentage | 0.063% |
Annualized trail commission percentage | 0.75% |
DEPOSITS WITH INTERBANK MARKE_2
DEPOSITS WITH INTERBANK MARKET MAKER (Details) | Mar. 31, 2023 Counterparty |
DEPOSITS WITH INTERBANK MARKET MAKER [Abstract] | |
Number of major rating agencies reporting credit ratings considered investment grade for NatWest | 3 |
SUBSCRIPTIONS, DISTRIBUTIONS _2
SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
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% | |
Redemption fee percentage of Net Asset Value per unit redeemed through the eighth 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 | $ 608 | $ 0 |
CREDIT DERIVATIVES AND CREDIT_3
CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES (Details) - USD ($) | 3 Months Ended | 12 Months Ended |
Mar. 31, 2023 | Dec. 31, 2022 | |
Summary of Derivative Instruments [Abstract] | ||
Carrying value of credit default index swaps purchased | $ (1,492,089) | |
Carrying value of credit default index swaps sold | $ 381,247 | |
Credit Default Index Swaps [Member] | ||
Summary of Derivative Instruments [Abstract] | ||
Maturity date | Jun. 30, 2028 | Dec. 31, 2027 |
Notional amount | $ 140,316,505 | $ 98,660,911 |
Credit Default Index Swaps [Member] | Investment Grade [Member] | ||
Summary of Derivative Instruments [Abstract] | ||
Notional amount | 57,905,714 | 73,504,094 |
Credit Default Index Swaps [Member] | Non-Investment Grade [Member] | ||
Summary of Derivative Instruments [Abstract] | ||
Notional amount | $ 82,410,791 | $ 25,156,817 |
TRADING ACTIVITIES AND RELATE_3
TRADING ACTIVITIES AND RELATED RISKS, Derivatives by Instrument Type and Location of Instruments on the Statements of Financial Condition (Details) - USD ($) | Mar. 31, 2023 | Dec. 31, 2022 | |
Derivatives at Fair Value, Net [Abstract] | |||
Asset derivatives at fair value | $ 12,296,732 | $ 8,262,638 | |
Liability derivatives at fair value | (4,848,027) | 0 | |
Not Designated as Hedging Instruments [Member] | |||
Derivatives at Fair Value, Net [Abstract] | |||
Asset derivatives at fair value | 72,555,980 | 51,070,961 | |
Liability derivatives at fair value | (65,107,275) | (42,808,323) | |
Net | 7,448,705 | 8,262,638 | |
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 | 7,252,161 | 2,362,910 | |
Liability derivatives at fair value | (5,716,915) | (4,530,228) | |
Net | 1,535,246 | (2,167,318) | |
Energy Contracts [Member] | Not Designated as Hedging Instruments [Member] | Net Unrealized Gain (Loss) on Open Futures Contracts [Member] | |||
Derivatives at Fair Value, Net [Abstract] | |||
Asset derivatives at fair value | 2,302,936 | 2,696,056 | |
Liability derivatives at fair value | (817,705) | (291,953) | |
Net | 1,485,231 | 2,404,103 | |
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 | 8,087,927 | 6,724,134 | |
Liability derivatives at fair value | (4,780,593) | (4,773,071) | |
Net | 3,307,334 | 1,951,063 | |
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 | 6,312,703 | 1,794,093 | |
Liability derivatives at fair value | (2,345,110) | (3,944,508) | |
Net | 3,967,593 | (2,150,415) | |
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 | 956,136 | 2,220,136 | |
Liability derivatives at fair value | (191,791) | (374,153) | |
Net | 764,345 | 1,845,983 | |
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 | 1,376,568 | 6,290,661 | |
Liability derivatives at fair value | (1,489,875) | (5,547,673) | |
Net | (113,307) | 742,988 | |
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 | 42,199,875 | 23,501,515 | |
Liability derivatives at fair value | (40,849,585) | (21,533,765) | |
Net | 1,350,290 | 1,967,750 | |
Credit Default Index Swap Contracts [Member] | Not Designated as Hedging Instruments [Member] | Credit Default Index Swaps [Member] | |||
Derivatives at Fair Value, Net [Abstract] | |||
Asset derivatives at fair value | [1] | 1,494,922 | 508,868 |
Liability derivatives at fair value | [1] | (2,987,011) | (127,621) |
Net | [1] | (1,492,089) | 381,247 |
Interest Rate Swap Contracts [Member] | Not Designated as Hedging Instruments [Member] | Interest Rate Swaps [Member] | |||
Derivatives at Fair Value, Net [Abstract] | |||
Asset derivatives at fair value | [1] | 2,572,752 | 4,972,588 |
Liability derivatives at fair value | [1] | (5,928,690) | (1,685,351) |
Net | [1] | $ (3,355,938) | $ 3,287,237 |
[1]Amount of centrally cleared swap contracts is not reconciled with the statements of financial condition due to variation margin amount included within cash at swaps broker in the statements of financial condition. |
TRADING ACTIVITIES AND RELATE_4
TRADING ACTIVITIES AND RELATED RISKS, Derivatives by Instrument Type (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2023 | Mar. 31, 2022 | |
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains (losses) | $ 20,592,802 | $ 66,696,216 |
Agriculture Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains (losses) | (417,774) | 5,200,704 |
Energy Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains (losses) | 716,456 | 19,565,308 |
Metal Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains (losses) | 4,464,974 | 6,975,988 |
Stock Indices Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains (losses) | 531,775 | 1,168,001 |
Short-Term Interest Rate Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains (losses) | 1,088,311 | 4,905,169 |
Long-Term Interest Rate Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains (losses) | 1,243,550 | 10,754,775 |
Forward Currency Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains (losses) | 13,558,943 | 17,616,305 |
Credit Default Index Swap Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains (losses) | (300,706) | (1,394,715) |
Interest Rate Swap Contracts [Member] | ||
Gains (Losses) Recognized in Income, Net [Abstract] | ||
Trading gains (losses) | $ (292,727) | $ 1,904,681 |
TRADING ACTIVITIES AND RELATE_5
TRADING ACTIVITIES AND RELATED RISKS, Location of Gains and Losses on the Statements of Operations (Details) | 3 Months Ended | ||
Mar. 31, 2023 USD ($) Contract | Mar. 31, 2022 USD ($) Contract | ||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains (losses) | $ 20,592,802 | $ 66,696,216 | |
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] | $ (692,746) | 42,007,020 |
Gains/(losses) on foreign currency cash balances at futures brokers | 12,932 | 19,768 | |
Futures Trading Gains (Losses) - Change in Unrealized [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains (losses) | 8,320,038 | 6,562,924 | |
Forward Currency Trading Gains (Losses) - Realized [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains (losses) | [1] | 14,176,403 | 7,497,056 |
Gains/(losses) on spot trades in connection with forward currency trading at interbank market maker | (445,194) | 1,095,494 | |
Forward Currency Trading Gains (Losses) - Change in Unrealized [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains (losses) | (617,460) | 10,119,250 | |
Swap Trading Gains (Losses) - Realized [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains (losses) | [1] | 3,427,298 | (613,017) |
Swap Trading Gains (Losses) - Change in Unrealized [Member] | |||
Gains (Losses) Recognized in Income, Net [Abstract] | |||
Trading gains (losses) | $ (4,020,731) | $ 1,122,983 | |
Futures Contracts [Member] | |||
Derivatives [Abstract] | |||
Monthly average of contracts bought and sold | Contract | 52,100 | 30,300 | |
Futures Contracts [Member] | Maximum [Member] | |||
Derivatives [Abstract] | |||
Maturity date for open contracts | Jun. 30, 2024 | ||
Forward Currency Contracts [Member] | |||
Derivatives [Abstract] | |||
Monthly average notional value | $ 5,393,700,000 | $ 3,250,200,000 | |
Forward Currency Contracts [Member] | Maximum [Member] | |||
Derivatives [Abstract] | |||
Maturity date for open contracts | Jun. 30, 2023 | ||
Centrally Cleared Swap Contracts [Member] | |||
Derivatives [Abstract] | |||
Monthly average notional value | $ 3,854,200,000 | $ 1,348,700,000 | |
Centrally Cleared Swap Contracts [Member] | Maximum [Member] | |||
Derivatives [Abstract] | |||
Maturity date for open contracts | Jun. 30, 2028 | ||
[1]For the three months ended March 31, 2023 and 2022, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $12,932 and $19,768, respectively; and gains and losses on spot trades in connection with forward currency trading at the interbank market makers of $(445,194) and $1,095,494, respectively. |
TRADING ACTIVITIES AND RELATE_6
TRADING ACTIVITIES AND RELATED RISKS, Credit Risk (Details) - USD ($) | 3 Months Ended | |
Mar. 31, 2023 | Dec. 31, 2022 | |
TRADING ACTIVITIES AND RELATED RISKS [Abstract] | ||
Percentage of Net Asset Value required for margin and good faith deposits, low end | 10% | |
Percentage of Net Asset Value required for margin and good faith deposits, high end | 30% | |
Fair value of securities held to satisfy margin and good faith deposits | $ 58,882,203 | $ 55,308,662 |
Margin and good faith deposits as a percentage of Net Asset Value | 12% | 12% |
Restricted cash for margin requirements | $ 78,527,544 | $ 64,050,963 |
Restricted cash for margin requirements as a percentage of Net Asset Value | 15% | 13% |
Maximum margin-to-equity ratio | 30% |
TRADING ACTIVITIES AND RELATE_7
TRADING ACTIVITIES AND RELATED RISKS, Offsetting of Derivative Assets and Collateral Received by Counterparty (Details) - USD ($) | Mar. 31, 2023 | Dec. 31, 2022 |
Offsetting of Derivative Assets by Counterparty [Abstract] | ||
Gross amounts of recognized assets | $ 72,555,980 | $ 51,070,961 |
Gross amounts offset in the Statements of Financial Condition | (60,259,248) | (42,808,323) |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 12,296,732 | 8,262,638 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain presented in the Statements of Financial Condition | 12,296,732 | 8,262,638 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral received | 0 | 0 |
Net amount | 12,296,732 | 8,262,638 |
Futures Contracts [Member] | UBS Securities LLC [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Assets by Counterparty [Abstract] | ||
Gross amounts of recognized assets | 13,442,376 | 11,125,617 |
Gross amounts offset in the Statements of Financial Condition | (7,714,115) | (9,805,944) |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 5,728,261 | 1,319,673 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain presented in the Statements of Financial Condition | 5,728,261 | 1,319,673 |
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 | 5,728,261 | 1,319,673 |
Futures Contracts [Member] | Goldman, Sachs & Co. [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Assets by Counterparty [Abstract] | ||
Gross amounts of recognized assets | 12,846,055 | 10,962,373 |
Gross amounts offset in the Statements of Financial Condition | (7,627,874) | (9,655,642) |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 5,218,181 | 1,306,731 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain presented in the Statements of Financial Condition | 5,218,181 | 1,306,731 |
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 | 5,218,181 | 1,306,731 |
Forward Currency Contracts [Member] | NatWest Markets Plc [Member] | Over-the-Counter [Member] | ||
Offsetting of Derivative Assets by Counterparty [Abstract] | ||
Gross amounts of recognized assets | 42,199,875 | 23,501,515 |
Gross amounts offset in the Statements of Financial Condition | (40,849,585) | (21,533,765) |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 1,350,290 | 1,967,750 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain presented in the Statements of Financial Condition | 1,350,290 | 1,967,750 |
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 | 1,350,290 | 1,967,750 |
Centrally Cleared Swap Contracts [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Assets by Counterparty [Abstract] | ||
Gross amounts of recognized assets | 4,067,674 | 5,481,456 |
Gross amounts offset in the Statements of Financial Condition | (4,067,674) | (1,812,972) |
Net amounts of unrealized gain presented in the Statements of Financial Condition | 0 | 3,668,484 |
Derivative Assets and Collateral Received by Counterparty [Abstract] | ||
Net amounts of unrealized gain presented in the Statements of Financial Condition | 0 | 3,668,484 |
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 | $ 0 | $ 3,668,484 |
TRADING ACTIVITIES AND RELATE_8
TRADING ACTIVITIES AND RELATED RISKS, Offsetting of Derivative Liabilities and Collateral Pledged by Counterparty (Details) - USD ($) | Mar. 31, 2023 | Dec. 31, 2022 |
Offsetting of Derivative Liabilities by Counterparty [Abstract] | ||
Gross amounts of recognized liabilities | $ 65,107,275 | $ 42,808,323 |
Gross amounts offset in the Statements of Financial Condition | (60,259,248) | (42,808,323) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 4,848,027 | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss presented in the Statements of Financial Condition | 4,848,027 | 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 | (4,848,027) | 0 |
Net amount | 0 | 0 |
Futures Contracts [Member] | UBS Securities LLC [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Liabilities by Counterparty [Abstract] | ||
Gross amounts of recognized liabilities | 7,714,115 | 9,805,944 |
Gross amounts offset in the Statements of Financial Condition | (7,714,115) | (9,805,944) |
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 presented in the Statements of Financial Condition | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Futures Contracts [Member] | Goldman, Sachs & Co. [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Liabilities by Counterparty [Abstract] | ||
Gross amounts of recognized liabilities | 7,627,874 | 9,655,642 |
Gross amounts offset in the Statements of Financial Condition | (7,627,874) | (9,655,642) |
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 presented in the Statements of Financial Condition | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Forward Currency Contracts [Member] | NatWest Markets Plc [Member] | Over-the-Counter [Member] | ||
Offsetting of Derivative Liabilities by Counterparty [Abstract] | ||
Gross amounts of recognized liabilities | 40,849,585 | 21,533,765 |
Gross amounts offset in the Statements of Financial Condition | (40,849,585) | (21,533,765) |
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 presented in the Statements of Financial Condition | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Financial instruments | 0 | 0 |
Gross amounts not offset in the Statements of Financial Condition - Cash collateral pledged | 0 | 0 |
Net amount | 0 | 0 |
Centrally Cleared Swap Contracts [Member] | Exchange-Traded [Member] | ||
Offsetting of Derivative Liabilities by Counterparty [Abstract] | ||
Gross amounts of recognized liabilities | 8,915,701 | 1,812,972 |
Gross amounts offset in the Statements of Financial Condition | (4,067,674) | (1,812,972) |
Net amounts of unrealized loss presented in the Statements of Financial Condition | 4,848,027 | 0 |
Derivative Liabilities and Collateral Pledged by Counterparty [Abstract] | ||
Net amounts of unrealized loss presented in the Statements of Financial Condition | 4,848,027 | 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 | (4,848,027) | 0 |
Net amount | $ 0 | $ 0 |