EDGAR 10-K Filing

Company CIK: 1043951
Filing Year: 2021
Filename: 1043951_10-K_2021_0001140361-21-010248.json

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ITEM 1. BUSINESS
Item 1.
Business.
General development of business
The Campbell Fund Trust (the "Registrant" or the "Trust") is a business trust organized on January 2, 1996 under the Delaware Business Trust Act, which was replaced by the Delaware Statutory Trust Act as of September 1, 2002. The Trust is a successor to the Campbell Fund Limited Partnership (formerly known as the Commodity Trend Fund) and began trading operations in January 1972. The Trust currently trades in the U.S. and international futures, forward and centrally cleared swaps markets under the sole direction of Campbell & Company, LP ("Campbell & Company" or the "managing operator"). Specifically, the Trust trades in a diverse array of global assets, including global interest rates, stock indices, currencies, credit, and commodities. The Trust is an actively managed account with speculative trading profits as its objective.
As a registrant with the Securities and Exchange Commission (the "SEC"), the Trust is subject to the regulatory requirements under the Securities Act of 1934. As a commodity investment pool, the Trust is subject to the provisions of the Commodity Exchange Act, regulations of the Commodity Futures Trading Commission (the "CFTC"), an agency of the United States government which regulates most aspects of the commodity futures industry; rules of the National Futures Association (the "NFA"), 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, interbank market makers, and centrally cleared swaps brokers through which the Trust trades.
U.S. Bank National Association, a national banking corporation, (the "Trustee"), is the sole trustee of the Trust. The Trustee is unaffiliated with the managing operator and the Trust's selling agents, and its duties and liabilities with respect to the offering of the Units of Beneficial Interest (the "Units") are limited to its express obligations under the Declaration of Trust and Trust Agreement.
Under the Amended and Restated Declaration of Trust and Trust Agreement, the Trustee has delegated the exclusive management of all aspects of the business and administration of the Trust to Campbell & Company. Campbell & Company is registered with the CFTC as a commodity pool operator and a commodity trading advisor, and is a member of the NFA in such capacities. In addition to managing all aspects of business and administration, Campbell & Company makes all trading decisions for the Trust. Campbell & Company uses a systematic trading approach combined with quantitative portfolio management analysis and seeks to identify and profit from price movements in the future, forward and swaps markets. Multiple trading models are utilized across most markets traded. Each model analyzes market movements and internal market and price configurations in order to generate signals to be executed through a variety of execution platforms.
The Trust trades pursuant to a version of the Campbell Managed Futures Portfolio (the "CMF Portfolio"). The CMF Portfolio seeks to generate attractive risk-adjusted returns across a broad range of market conditions through systematic investments in a diversified portfolio that may include swaps, futures and forward contracts in a diverse array of global investments, including global interest rates, stock indices, currencies and commodities. The CMF Portfolio consists of underlying investment strategies, including trend following, systematic macro, and short-term in nature, that aim for low correlation and are diversified by investment style, information source, investment holding period and instrument.
The Registrant will be terminated and dissolved promptly thereafter upon the happening of the earlier of: (a) the expiration of the Trust’s stated term on December 3l, 2025; (b) an election to terminate the Trust at any time by Unitholders owning more than 50% of the Units then outstanding; (c) the trading in commodity futures is terminated, suspended or for any reason
becomes impossible or economically unfeasible in the sole judgment of the managing operator; or (d) the date upon which the Trust is dissolved by operation of law or judicial decree.
Effective August 31, 2008, the Trust began offering Series A, Series B, and Series W Units. The units in the Trust prior to that date became Series B Units. Series B Units are only available for additional investment by existing holders of Series B Units. Effective August 1, 2017, the Trust began offering Series D Units.
As of December 31, 2020, the aggregate capitalization of the Trust was $279,565,692 with Series A, Series B, Series D and Series W comprising $216,523,843, $32,296,756, $5,043,054 and $25,702,039, respectively, of the total. The Net Asset Value per Unit was $2,579.95 for Series A, $2,837.78 for Series B, $1,059.92 for Series D and $3,112.12 for Series W.
Financial information about segments
The Trust's business constitutes only one segment for financial reporting purposes, i.e., a speculative "commodity pool." The Trust does not engage in the sale of goods or services.
Narrative description of business
General
The purpose of the Trust is to engage in the speculative trading, buying, selling, or otherwise acquiring, holding or disposing of commodities, including futures contracts, forward currency contracts, centrally cleared swap contracts and any other rights pertaining thereto, and for such other purposes as may be incidental or related thereto. The Fund has no employees.
The Trust trades pursuant to a version of the Campbell Managed Futures Portfolio (the "CMF Portfolio"). The CMF Portfolio seeks to generate attractive risk-adjusted returns across a broad range of market conditions through systematic investments in a diversified portfolio that may include futures, forward, and swaps contracts in a diverse array of global investments, including global interest rates, stock indices, currencies and commodities. The CMF Portfolio consists of underlying investment strategies, including trend following, systematic macro, and short-term in nature, that aim for low correlation and are diversified by investment style, information source, investment holding period and instrument.
The CMF Portfolio combines a number of quantitative investment strategies and incorporates unique alpha sources across trend following, systematic macro, and short-term strategies. Trend following strategies use statistical methods to discover and capitalize on market inefficiencies. Diversification across time horizons and model specifications is key to capturing these alpha opportunities. Systematic macro strategies recognize that macroeconomic drivers exert substantial influence on asset pricing and return potential exists for those able to identify and exploit these relationships. These strategies use price and exogenous information (such as fundamental data) including term structure information and economic linkages among markets. Short- term strategies seek to identify market dislocations which are driven by a diverse set of nontraditional factors to capture short-term profits. The strategies utilize both momentum and mean reversion methods: momentum strategies seek to identify situations when traders may be chasing recent price movements, while mean reversion strategies attempt to detect when these movements have exhausted. Additional parameters, models, markets, and/or over-the-counter contracts may be included in or eliminated from the CMF Portfolio at Campbell & Company’s sole discretion.
The average sector allocation for each sector as of the previous six month ends through December 31, 2020 is as follows: 15% to credit, 24% to interest rates, 21% to foreign exchange, 20% to commodities, and 20% to equity indices. Sector allocation for each sector is calculated using the dollar value of margin posted as collateral to support trading in each sector as a percentage of the total dollar value of margin posted to support trading in all sectors.
Use of Proceeds
Subscription Proceeds and Available Assets
The entire offering proceeds, without deductions, will be credited to the Trust's bank, brokerage and/or cash management accounts to engage in trading activities and as reserves for that trading. The Trust meets its margin requirements by depositing cash and U.S. government securities with the futures broker, centrally cleared, and the over-the-counter counterparties. In this way, substantially all (i.e., 95% or more) of the Trust's assets, whether used as margin for trading purposes or as reserves for such trading, may be invested in U.S. government securities and time deposits with U.S. banks. Investors should note that maintenance of the Trust's assets in U.S. government securities and banks does not reduce the risk of loss from trading futures, forward, and swap contracts. The Trust receives all interest earned on its assets. No other person shall receive any interest or other economic benefits from the deposit of Trust assets.
Approximately 10% to 30% of the Trust's assets normally are committed as required margin for futures contracts and held by the futures brokers, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury Bills in segregated accounts with the futures brokers pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 5% to 15% of the Trust's assets are deposited with the over-the-counter counterparty or centrally cleared in order to initiate and maintain currency forward or swap contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in cash, U.S. government securities or short-term time deposits with U.S. regulated bank affiliates of the over-the-counter counterparty.
The Trust occasionally receives margin calls (requests to post more collateral) from its futures brokers, over-the-counter, or centrally cleared counterparties, which are met by moving the required portion of the assets held in the custody accounts at Northern Trust Company to the margin accounts. In the past three years, the Trust has not needed to liquidate any position as a result of a margin call.
The managing operator deposits the majority of those assets of the Trust that are not required to be deposited as margin with the futures broker, swap, and over-the-counter counterparties in a custodial account with Northern Trust Company. The assets deposited in the custodial account with Northern Trust Company are segregated. Such custodial account constitutes approximately 60% to 75% of the Trust's assets and are invested directly by PNC Capital Advisors, LLC ("PNC"). PNC is registered with the SEC as an investment adviser under the Investment Advisers Act of 1940. PNC does not guarantee any interest or profits will accrue on the Trust's assets in the custodial account. PNC invests the assets according to agreed upon investment guidelines that first preserve capital, second allow for sufficient liquidity, and third provide a yield beyond the risk-free rate. Investments can include, but are not limited to, (i) U.S. Government Securities, Government Agency Securities, Municipal Securities, banker acceptances and certificates of deposits; (ii) commercial paper; (iii) short-term investment grade corporate debt; and (iv) Asset Backed Securities.
The Trust's assets are not and will not be, directly or indirectly, commingled with the property of any other person in violation of law or invested with or loaned to Campbell & Company or any affiliated entities. Funds may be deposited and held in the Trust's account at PNC Financial Services Group, Inc., Baltimore, Maryland, U.S.A., prior to the transfer to the Trust's trading accounts.
In the event net asset value per unit as of the end of any business day declines by 50% or more from either the prior year-end or the prior month-end unit value, Campbell & Company will suspend trading activities, notify all unitholders of the relevant facts within seven business days and declare a special redemption period.
Cash Manager and Custodian
PNC serves as the cash manager under the Investment Advisory Agreement to manage and control the liquid assets of the Trust. PNC 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 a limited power of attorney over such accounts. Such power of attorney gives the Cash Manager authority to make certain investments on behalf of the Trust provided such investments are consistent with agreed upon investment guidelines. Such investments include, but are not limited to, U.S. government agency or municipal securities, banker acceptances, certificates of deposits, commercial paper, money market securities, short term investment-grade corporate debt securities or investment-grade asset-backed securities. All securities purchased by the Cash Manager on behalf of the Trust or other liquid funds of the Trust will be held in its custody account at the Custodian. The Cash Manager will have no beneficial or other interest in the securities and cash in such custody account.
Market Sectors
Campbell & Company's CMF Portfolio trades in a fully diversified portfolio of futures, forward and swaps markets, including energy products, precious and base metals, interest rates, equity indices, foreign exchange, credit default and interest rate swaps detailed below.
Commodities
Interest Rates
Equity Indices
Foreign Exchange (1)
Credit Default Swaps
Interest Rate Swaps (5-Year)
Aluminum
Australian 90-Day Bill
Amsterdam Exchange Index
Australian Dollar (2)
CDX Emerging Markets
Czech Koruna
Cocoa
Australian 3-Year Bond
CAC 40 Stock Index
Brazilian Real (3)
CDX High Yield North American Index
Hong Kong Dollar
Coffee
Australian 10-Year Bond
DAX Index
British Pound (2)
CDX Investment Grade North American Index
Hungarian Forint
Copper
Canadian 10-Year Bond
DJ Euro Stoxx 50
Canadian Dollar (2)
iTraxx Investment Grade Europe Index
Mexican Peso
Corn
Canadian 90-Day Bill
DJ Index
Chilean Peso (3)
iTraxx Senior Financials Europe Index
New Zealand Dollar
Cotton
Euro-BOBL
FTSE 100 Index
Chinese Yuan (3)
iTraxx Crossover Europe Index
Norwegian Krone
Crude Oil
Euro-Bono Spanish Gov. Bond
FTSE China A50
Colombian Peso
Polish Zloty
Feeder Cattle
Euro-BTP Italian Gov Bond
FTSE JSE Top 40
Czech Koruna
Singapore Dollar
Gold
Euro-BUND
FTSE MIB Index
Euro (2)
South African Rand
Heating Oil
Euro-Buxl 30-Year Bond
Hang Seng China Enterprises Index
Hungarian Forint
Swedish Krona
High Grade Copper
Euro-OAT French 10-Year Bond
Hang Seng Index
Indian Rupee (3)
Swiss Franc
KC Hard Red-Winter Wheat
Euro-Schatz
IBEX35 Stock Index
Indonesian Rupiah
Lead
Euribor
MSCI Singapore
Israeli Shekel
Lean Hogs
Eurodollar
MSCI Taiwan
Japanese Yen (2)
Live Cattle
Japanese 10-Year Bond
NASDAQ 100 Index
Mexican Peso
London Brent Crude
Long Gilt
Nikkei
New Zealand Dollar
London Gas Oil
Short Sterling
OMX Stock Index
Norwegian Krone
Natural Gas
Short Term Euro-BTP
Russell 2000 Index
Philippine Peso (3)
Nickel
Treasury Notes/2-Year
S&P 400 Index
Polish Zloty
NY Gasoline RBOB
Treasury Notes/5-Year
S&P 500 Index
Russian Ruble (3)
Palladium
Treasury Notes/10-Year
S&P 500 Volatility Index
Singapore Dollar
Platinum
Treasury Notes/30-Year
S&P Canada 60 Index
South African Rand
Silver
Treasury Ultra Long Bond
SGX CNX Nifty
South Korean Won (3)
Soybean Meal
SPI 200 Index
Swedish Krona
Soybean Oil
TOPIX
Swiss Franc (2)
Soybeans
Taiwan Dollar (3)
Sugar #11 (World)
Turkish Lira
Wheat
Zinc
(1)
Traded as forward contracts, not futures
(2)
Also may be traded as cross rates
(3)
Traded as non-deliverable forward
Market Types
The Trust trades on a variety of United States and foreign futures exchanges, and in the off-exchange highly liquid, institutionally-based currency forward and swaps markets. As in the case of its market sector allocations, the Trust's commitments to different types of markets - U.S. and non-U.S., regulated and non-regulated - differ substantially from time to time, as well as over time, and may change at any time if Campbell & Company determines such change to be in the best interests of the Trust.
Charges
The following is a description of current charges to the Trust.
RECIPIENT
NATURE OF PAYMENT
AMOUNT OF PAYMENT
Campbell & Company
Management Fee
Effective June 1, 2020, Series A units, Series B units, Series D units and Series W units pay the managing operator a monthly management fee equal to 1/12 of 2% (2% annually) of the Net Assets (as defined) of Series A units, Series B units, Series D units and Series W units as of the end of each month.
Prior to June 1, 2020, Series A units and Series B units paid the managing operator a monthly management fee equal to 1/12 of 4% (4% annually of which half, or 2%, was used to compensate selling agents for ongoing services) of the Net Assets (as defined) of Series A units and Series B units, respectively, as of the end of each month. Series D units paid the managing operator a monthly management fee equal to 1/12 of 2.75% (2.75% annually of which 0.75% was used to compensate selling agents) of the Net Assets (as defined) of Series D units as of the end of each month. Series W units paid the managing operator a monthly management fee equal to 1/12 of 2% (2% annually) of the Net Assets (as defined) of Series W units as of the end of each month.
Campbell & Company
Sales Commissions
Effective June 1, 2020, the managing operator pays an upfront sales commission based on Series A units sold by selling agents who have executed selling agreements with the Trust. The Trust pays commissions based on Series A, Series B, and Series D units. Prior to June 1, 2020 the commissions were included with the management fee and paid by the Trust to managing operator.
For Series A, there is an upfront sales commission paid by the managing operator of 2% of the subscription amount of each subscription for units. For up to twelve months after the sale of units, the managing operator will receive from the Trust a monthly reimbursement of 1/12 of 2% (2% annually) of the current net asset value of the units the selling agent has sold and which are outstanding at the end of such month. In the event that the units are redeemed before the twelfth month, the managing operator will receive the redemption fee the Trust deducts from the redemption proceeds. In addition, commencing thirteen months after the sale of units and in return for providing ongoing services to the unitholder, the Trust will pay the selling agent (or its assignees) a monthly trail commission of 1/12 of 2% (2% annually) of the current net asset value of the units it has sold and which are outstanding at the end of such month in respect of which the selling agent provides ongoing services.
Series B and Series D units pay a monthly trail commission of 1/12 of 2% (2% annually) and 1/12 of 0.75%, respectively, of the current net asset value of the units the selling agent has sold and which are outstanding at the end of such month in respect of which the selling agent provides ongoing services. Such ongoing compensation shall commence the first full month after the sale of the units.
Any monthly trail commission which is not paid to a selling agent pursuant to an executed selling or servicing agreement with the Trust will be rebated to unitholders in the form of a capital addition and is reported as such in the financial statements.
Campbell & Company
Performance Fee
A quarterly performance fee of 20% of the aggregate cumulative appreciation (if any) in the net asset value per Unit of the Series A Units, Series B Units, Series D Units and Series W Units at the end of each quarter, exclusive of appreciation attributable to interest income or gains or losses derived from the Trust’s fixed income securities.
Campbell & Company
Offering Costs
The Series A Units, Series D Units and Series W Units each bear offering costs incurred in relation to the offering of the Series A Units, Series D Units and Series W Units, respectively, up to an amount equal to approximately 1/12 of 0.50% of the month-end net assets of each of the Series A Units, Series D Units and Series W Units, totaling a maximum of 0.50% of average month-end net assets per year each of the Series A Units, Series D Units and Series W Units. Such offering costs of the Trust include all fees and expenses in connection with the distribution of the Units, including legal, accounting, printing, mailing, filing fees, escrow fees, salaries and bonuses of employees while engaged in sales activities, and marketing expenses of Campbell & Company and the selling agents which are paid by the Trust.
Selling Agents
Service Fee
Prior to March 1, 2017, the selling agents (the firm and not the individual representatives) who sell Series W Units received a monthly administrative fee of 1/12 of 0.25% of the month-end net assets of the Series W Units, totaling approximately 0.25% of average month-end net assets per year of the Series W Units. Effective March 1, 2017, a monthly service fee is no longer paid by the Series W Units.
UBS Securities, LLC and
Goldman Sachs & Co. LLC
Brokerage Commissions
Brokerage commissions are paid at a rate of approximately $4 for each round-turn trade executed for the Trust, or approximately 0.55% of average month-end net assets per year of each Series of Units, although there is no limit on the amount of such commissions.
NatWest Markets plc
Over-the-Counter
Counterparty Execution
and Clearing Costs
The over-the-counter counterparty's execution costs are included in the price of each forward or option contract purchased or sold, and, accordingly, such costs cannot be determined but are charged. In addition, NatWest charges approximately $3 per $1 million, plus any additional electronic platform charges, for forward or option contracts it facilitates on behalf of the Trust with third party banks. These prime brokerage fees, combined with the futures and swaps brokers’ charges, usually equal approximately 0.60% of the Trust's net assets.
Cash Manager and Custodian
Cash Management and
Custody fees
The Trust pays a combined annualized fee of approximately 0.10% per annum of the funds managed by the Cash Manager for cash management services, custodian fees, and fees associated with monitoring the Trust's cash management portfolio. Prior to December 1, 2018, the Trust paid a combined annualized fee of approximately 0.075% per annum.
Other
Operating Expenses
The Trust pays operating expenses (other than the cost of the Units), including, but not limited to, administrative, legal and accounting fees and any taxes or extraordinary expenses payable by the Trust. These expenses are estimated at approximately 0.25% of the Trust's net assets annually, although there is no limit on the amount of such expenses.
Regulation
The U.S. futures and swaps markets are regulated under the Commodity Exchange Act, which is administered by the CFTC, a federal agency created in 1974. The CFTC licenses and regulates futures and swaps market participants, including commodity exchanges, commodity pool operators, commodity trading advisors, swap dealers and clearing firms which are referred to in the futures industry as "futures commission merchants." Campbell & Company and certain of its affiliates are registered with the CFTC in the capacity of a commodity pool operator and/or commodity trading advisor, as applicable. Futures and swaps professionals are also regulated by the NFA, a self-regulatory organization for the futures and swaps industry that supervises the dealings between futures professionals and their customers. If its pertinent CFTC licenses or NFA memberships were to lapse, be suspended or be revoked, Campbell & Company would be unable to act as the Trust's commodity pool operator and/or commodity trading advisor, as applicable.
Under existing CFTC and NFA guidance, foreign exchange forward contracts that Campbell & Company trades on behalf of its clients with the client's OTC counterparty may be characterized as swap transactions. A swap transaction is an individually negotiated, non-standardized agreement between two parties to exchange cash flows measured by different interest rates, exchange rates or prices, with payments calculated by reference to a principal ("notional") amount or quantity. The Dodd-Frank Wall Street Reform and Consumer Protection Act (the "Reform Act") established a comprehensive framework for the regulation of markets, market participants and financial instruments that were previously unregulated, including provisions that comprehensively regulate swap transactions for the first time. Under Title VII of Dodd-Frank, a substantial portion of OTC derivatives are required to be executed in regulated markets and submitted for clearing to regulated clearinghouses. OTC trades submitted for clearing are subject to minimum initial and variation margin requirements set by the relevant clearinghouse, as well as margin requirements mandated by the U.S. federal regulators. OTC derivatives dealers acting as clearing members typically demand the unilateral ability to increase collateral requirements for cleared OTC trades beyond any regulatory and clearinghouse minimums. The CFTC, as well as U.S. prudential regulators, have also imposed margin requirements on non-cleared OTC derivatives and requirements on the holding of customer collateral. The SEC has also adopted requirements imposing margin and segregation requirements with respect to the categories of non-cleared OTC derivatives subject to its jurisdiction, which requirements will into effect in 2021. These requirements may increase the amount of collateral that the Trust is required to provide and the costs associated with providing it. As OTC derivatives dealers are required under these requirements to post margin to their counterparties and to the clearinghouses through which they clear their trades instead of using such margin in their operations as they have historically been allowed to do, the costs of swap dealer have increases and will continue to increase. These costs are likely to be passed through to other swap market participants (including the Trust) in the form of higher fees and less favorable dealer marks.
With respect to swaps cleared through a central counterparty, the Trust will be subject to daily "variation" and "initial" margin requirements set by the central clearing counterparty and the Trust's clearing member. Cleared swaps are transacted through futures commission merchants ("FCMs") that are members of a clearinghouse with the clearinghouse serving as a central counterparty similar to transactions in futures contracts. The Trust posts initial and variation margin by posting collateral with its clearing member FCMs. Central clearing is expected to decrease counterparty risk and increase liquidity compared to bilateral swaps because central clearing interposes the central clearinghouse as the counterparty to each participant's swap. However, central clearing does not eliminate counterparty risk or illiquidity risk entirely. In addition, depending on the size of the Trust and other factors, the margin required by a clearing member from the Trust may be in excess of the amounts required to be posted by the Trust pursuant to the rules of the central clearinghouse and in excess of the collateral required to be posted by the Trust to support its obligations under a similar non-cleared bilateral swap.
The SEC and the CFTC under Dodd-Frank also have the authority to require that certain categories of swaps (in the case of the CFTC) and security-based swaps (in the case of the SEC) to be traded and executed on trading facilities and cleared through central clearing counterparties. The CFTC has already implemented regulations subjecting many categories of swaps to these requirements and it is expected that additional categories of swaps will become subject to these requirements in the future. The SEC is expected to impose similar trading, execution and clearing requirements on certain security-based swaps, although it is not yet clear when the parallel SEC requirements will be finalized and go into effect. Moving trading to an exchange-type system may increase market transparency and liquidity, but may require the Trust to incur increased expenses to access the same types of instruments and may make it more difficult and costly for investment fund, including the Trust, to enter into highly tailored or customized transactions. Rules adopted by the CFTC in 2012 require centralized reporting of detailed information about cleared and uncleared swaps. This information is available to regulators and, to a more limited extent and on an anonymous basis, to the public. Reporting of swap data may result in greater market transparency, which may be beneficial to funds that use swaps to implement trading strategies. However, the safeguards established to protect anonymity may not function as expected.
The OTC derivatives dealers that the Trust is facing are required to register with the CFTF as swap dealers and, beginning in 2021, many will be required to register with the SEC as security-based swap dealers. Registered dealers are subject to various regulatory burdens that have and will continue to increase the overall costs for OTC derivatives dealers, which may be passed along to the Trust.
The full impact of Dodd-Frank on the Trust and Campbell & Company remains uncertain.
Available Information
The Trust files quarterly, annual and current reports with the SEC. These reports are available to read and copy at the SEC's Public Reference Facilities in Washington, D.C. at 100 F Street, N.E., Washington, D.C. 20549. Please call the SEC's toll free number, 1-800-SEC-0330, for further information. The Trust does not maintain a website where these reports are posted. However, the Trust's filings are posted on the SEC's website at http://www.sec.gov.

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ITEM 1A. RISK FACTORS
Item 1A.
Risk Factors.
General Investment Related Risks
There are certain general market conditions in which any given investment strategy is unlikely to be profitable. Campbell & Company does not have any ability to control or predict such market conditions. The Trust is subject to certain general risks relating to its investment strategies, including, but not limited to, the following:
Potential Loss of Investment
There is a risk that an investment in the Trust will be lost entirely or in part. The Trust is not a complete investment program and should represent only a portion of an investor’s portfolio management strategy.
Short Sales May Lead to Potentially Unlimited Losses
The Trust may establish short positions in a number of investment instruments. A futures trader that is obligated to make delivery is "short" the contract or has "sold" the contract. A futures trader who establishes a short position in a futures contract would initially sell an interest at the current price and then would buy an interest at market price in order to offset such obligation. The short futures trader hopes to sell high and buy low. Short selling allows the short seller to profit from declines in market prices to the extent such declines exceed the transaction and any other related costs. A short sale creates the risk of an unlimited loss, in that the price of the underlying commodity could theoretically increase without limit, thus increasing the cost of buying those futures to offset the short position. There can be no assurance that the futures necessary to cover a short position will be available for "purchase". Establishing a long position in futures contracts to close out the short position can itself cause the price of the futures to rise further, thereby exacerbating the loss. The use of leverage combined with short selling may increase the amount of losses that the Trust experiences.
Investing Globally Subjects the Trust to International Risks
Issuers are generally subject to different accounting, auditing and financial reporting standards in different countries throughout the world. The volume of trading, the volatility of prices and the liquidity of issuers may vary in the markets of different countries. Hours of business, customs and access to these markets by outside investors may also vary. In addition, the level of government supervision and regulation of the financial markets, securities and futures exchanges, securities dealers, futures commission merchants and listed and unlisted companies is different throughout the world. There may also be a lack of adequate legal recourse for the redress of disputes and, in some countries, the pursuit of such disputes may be subject to a highly prejudiced legal system.
Different markets also have different clearance and settlement procedures. Delays in settlement could result in temporary periods when a portion of the assets of the Trust are uninvested and no return is earned thereon. The inability of the Trust to make intended investments due to settlement problems could cause the Trust to miss attractive investment opportunities. The inability to dispose of portfolio instruments due to settlement problems could result either in losses due to subsequent declines in value of the portfolio instruments or, if the Trust has entered into a contract to sell the instrument, could result in possible liability to the purchaser.
The price of any foreign investment instrument and, therefore, the potential profit and loss thereon, may be affected by any variance in the foreign exchange rate between the time a position is established and the time it is liquidated, offset or exercised.
Certain foreign exchanges may also be in a more or less developmental stage so that prior price histories may not be indicative of current price dynamics. In addition, the Trust may not have the same access to certain financial investment instruments on foreign exchanges as do local traders, and the historical market data on which Campbell & Company bases its strategies may not be as reliable or accessible as it is in the United States. The rights of clients (such as the Trust) in the event of the insolvency or bankruptcy of a non-U.S. market or broker are also likely to be more limited than in the case of U.S. markets or brokers.
With respect to different countries, there is a possibility of expropriation or confiscatory taxation, imposition of withholding taxes on dividend or interest payments, limitations on the removal of funds or other assets, managed or manipulated exchange rates and other issues affecting currency conversion, political or social instability or diplomatic developments that could adversely affect investments in those countries. The Trust may invest in instruments that may be domiciled in a country other than the country in whose currency the instrument is denominated. The values and relative yields of such investments in the financial markets of different countries, and their associated risks, are expected to change independently of each other. These risks may be greater in emerging markets.
Exchange-Rate Risk
The Trust may invest in international financial instruments such as securities of non-U.S. issuers or non-U.S. futures contracts, which are denominated in currencies other than the U.S. dollar. Consequently, the Trust is subject to the exchange-rate risk of the dollar increasing or decreasing in value against the functional currency of such investments.
Changes in Financing Policies or the Imposition of Other Credit Limitations or Restrictions Could Compel the Trust to Liquidate Positions at Disadvantageous Prices
The Trust may utilize leverage and may depend on the availability of credit in order to finance its portfolio. There can be no assurance that the Trust will be able to maintain adequate financing arrangements under all market circumstances. As a general matter, the dealers that provide financing to the Trust can apply essentially discretionary margin, haircut, financing, security and collateral valuation policies. Changes by dealers in such financing policies, or the imposition of other credit limitations or restrictions, whether due to market circumstances disruptions or governmental, regulatory or judicial action, may result in large margin calls, loss of financing, forced liquidation of positions at disadvantageous prices, termination of swap and repurchase agreements and cross-defaults to agreements with other dealers. Any such adverse effects may be exacerbated in the event that such limitations or restrictions are imposed suddenly and/or by multiple market participants at or about the same time. The imposition of such limitations or restrictions could compel the Trust to liquidate all or part of its portfolio at disadvantageous prices. From time to time, banks and dealers have substantially curtailed financing activities and increased collateral requirements, forcing many hedge funds to liquidate.
The Trust's Investments Could be Illiquid
Futures and forward positions cannot always be liquidated at the desired price; this can occur when the market is thinly traded (i.e., a relatively small volume of buy and sell orders) or in the event of disrupted markets and other extraordinary events in which historical pricing relationships become materially distorted. The Trust may incur material losses and the risk of loss from pricing distortions is compounded by the fact that in disrupted markets many positions become illiquid making it difficult or impossible to close out positions against which the markets are moving. The financing available to the Trust from banks, dealers and other counterparties is likely to be restricted in disrupted markets. For example, in 1994, 1998 and again from 2007-2009, there was a sudden restriction of credit by the dealer community that resulted in forced liquidations and major losses for a number of private investment funds. It is possible that in the future, in such situations, Campbell & Company may be unable for some time to liquidate certain unprofitable positions, thereby increasing the loss of the Trust from the trade. Additionally, foreign governments may take or be subject to political actions which disrupt the markets in their currency or major exports, such as energy products or metals. Market disruptions caused by unexpected political, military and terrorist events may from time to time cause dramatic losses for the Trust, and such events can result in otherwise historically low-risk strategies performing with unprecedented volatility and risk. Any of these actions could also result in losses to the Trust. Units should be owned only by persons financially able to maintain their investment and who can afford the loss of all or substantially all of such investment.
Your Investment in the Trust Could Be Illiquid; Suspension of Trading
There is no secondary market for the Units and none is expected to develop. While the Units have redemption rights, there are restrictions. For example, redemptions can occur only at the end of a month. If a large number of redemption requests were to be received at one time, the Trust might have to liquidate positions to satisfy the requests. Such a forced liquidation could adversely affect the Trust and consequently your investment.
Transfers of interest in the Units are subject to limitations, such as 30 days' advance notice of any intent to transfer. Also, Campbell & Company may deny a request to transfer if it determines that the transfer may result in adverse legal or tax consequences for the Trust.
Reduced Market Exposure in Times of High Volatility May Limit Profit Potential
During periods of high volatility in the markets, the Trust may reduce its market exposure. While the purpose of such reductions is to attempt to limit potential losses to the Trust, such reductions may also have the effect of limiting potential profits for such time as the Trust's market exposure remains in a reduced state.
An Investment in the Trust May Not Diversify an Overall Portfolio
Historically, alternative investments such as managed futures funds have been generally lowly correlated to the performance of other asset classes such as stocks and bonds. Low correlation means that there is no statistically valid relationship between the past performance of futures and forward contracts, on the one hand, and stocks or bonds, on the other hand. Low correlation should not be confused with negative correlation, where the performance of two asset classes would be exactly opposite.
Because of low correlation, the Trust cannot be expected to be automatically profitable during unfavorable periods for the stock market or vice versa. The futures and forward markets are fundamentally different from the securities markets in that for every gain made in futures and forward trading, there is an equal and offsetting loss.
Low correlation also does not mean that the Trust will not always move in the same direction as stocks and bonds. There may be times when the Trust gains during the same periods when stock and bonds gain and there also may be times when the Trust loses during periods when stock and bonds lose. If the Trust performs in a manner that is correlated with the general financial markets or does not perform successfully, you will obtain no diversification benefits by investing in the Units and the Trust may have no gains to offset your losses from other investments.
The Current Markets are Subject to Market Disruptions That May be Detrimental to Your Investment
The Trust may incur major losses in the event of disrupted markets and other extraordinary events in which historical pricing relationships become materially distorted. The risk of loss from pricing distortions is potentially compounded by the fact that in disrupted markets many positions become illiquid, making it difficult or impossible to close out positions against which the markets are moving. The financing available to the Trust from its banks, dealers and other counterparties is typically reduced in disrupted markets and may result in substantial losses to the Trust. Market disruptions may from time to time cause dramatic losses for the Trust, and such events can result in otherwise historically low-risk strategies performing with unprecedented volatility and risk.
Risk of Natural Disasters, Epidemics, Terrorist Attacks and War
Countries and regions in which the Trust invests, where Campbell & Company has offices or where the Trust or Campbell & Company otherwise do business are susceptible to natural disasters (e.g., fire, flood, earthquake, storm and hurricane), epidemics, pandemics or other outbreaks of serious contagious diseases. The occurrence of a natural disaster or epidemic could, directly or indirectly, adversely affect and severely disrupt the business operations, economies and financial markets of many countries (even beyond the site of the natural disaster or epidemic) and could adversely affect the Trust’s investment program or Campbell & Company’s ability to do business. In addition, terrorist attacks, or the fear of or the precautions taken in anticipation of such attacks, could, directly or indirectly, materially and adversely affect certain industries in which the Trust invests or could affect the countries and regions in which the Trust invests, where Campbell & Company has offices or where the Trust or Campbell & Company otherwise do business. Other acts of war (e.g., war, invasion, acts of foreign enemies, hostilities and insurrection, regardless of whether war is declared) could also have a material adverse impact on the financial condition of industries or countries in which the Trust invests.
The novel coronavirus (or COVID-19), and the emergence of new strains of the virus, has created and is expected to continue to create economic and social uncertainty throughout the world, even as countries begin vaccine rollout. The ultimate impact of COVID-19 is difficult to predict, but it is possible that such outbreak could have an enduring and materially adverse impact on global, national and local economies and supply chains. In particular, disruptions to commercial activity relating to the imposition of quarantines and travel restrictions, or failures to contain the virus despite these measures along with the vaccine, could materially and adversely impact the Trust’s investments, both in the near-and long-term. In addition, the imposition of travel restrictions (including “shelter-in-place” or “lock-down” directives) may impact the ability of Campbell & Company’s personnel to travel in connection with potential or existing investments, or otherwise disrupt Campbell & Company’s operations and business activities, which could negatively impact Campbell & Company’s ability to effectively identify, monitor and trade the Trust’s investments. A climate of uncertainty stemming from COVID-19 and a general economic downturn may reduce the availability of potential investment opportunities, increase the difficulty of generating reliable Models and adversely affect the Trust, its investments and Campbell & Company.
The U.S. and non-U.S. governments, central banks and other governmental entities have introduced, or are in the process of introducing, stimulus programs to mitigate the economic fallout of the COVID-19 pandemic. The implementation of such programs may be delayed due to political factors that are changing rapidly. Even if such programs are implemented, their impact is uncertain and it is impossible to predict whether any such measures will be successful. The implementation of such programs could increase the volatility of the markets in which the Trust invests, resulting in rapid shifts in the Trust’s performance. While Campbell & Company will seek to continue to manage the Trust’s portfolio in a manner that is consistent with the Trust’s investment objective, that may prove to be impossible or impracticable, requiring the Trust’s portfolio to temporarily deviate (possibly materially) from historic norms.
Fixed-Income Investments Risks
The value of fixed-income securities in which the Trust may invest will change in response to fluctuations in interest rates. Except to the extent that values are independently affected by currency exchange rate fluctuations, when interest rates decline, the value of fixed-income securities generally can be expected to rise. Conversely, when interest rates rise, the value of fixed-income securities generally can be expected to decline.
In addition, the fixed-income securities in which the Trust may invest may be subject to income risk, call risk, prepayment risk, extension risk, and/or credit risk, each of which could affect the fixed-income securities' value. Investments in lower rated or unrated fixed-income securities, while generally providing greater opportunity for gain and income than investments in higher rated securities, usually entail greater risk (including the possibility of default or bankruptcy of the issuers of such securities).
Trading Risks
There are Disadvantages to Making Trading Decisions Based Primarily on Technical Market Data
The trading systems used by Campbell & Company for the Trust are primarily technical. The profitability of trading under these systems depends on, among other things, the occurrence of significant price movements, up or down, in futures and forward prices. Such price movements may not develop; there have been periods in the past without such price movements.
The likelihood of the Units being profitable could be materially diminished during periods when events external to the markets themselves have an important impact on prices. During such periods, Campbell & Company's historic price analysis could establish positions on the wrong side of the price movements caused by such events.
Increased Competition in Alternative Asset Investments
There has been a marked increase in the number of, and flow of capital into, investment vehicles established in order to implement alternative asset investment strategies, including the strategies to be implemented by the Trust. While the precise effect cannot be determined, such an increase may result in greater competition for investment opportunities, or may result under certain circumstances in increased price volatility or decreased liquidity with respect to certain positions. Prospective investors should understand that the Trust may compete with other investment vehicles, as well as investment and commercial banking firms, which may have substantially greater resources, in terms of financial resources and research staffs, than may be available to the Trust.
Increase in Assets Under Management May Make Profitable Trading More Difficult
Campbell & Company believes that it is virtually impossible to define or quantify the capacity of a portfolio with any degree of certainty. Campbell & Company has continued to introduce new strategies designed to deliver returns which have low correlation to returns from existing strategies. Campbell & Company and its affiliates have not agreed to limit the amount of additional assets they may manage, and are actively engaged in raising assets for existing and new accounts, including the Trust. However, Campbell & Company acknowledges that there may come a time when the combination of available markets and new strategies may not be sufficient for it to add new assets without detriment to diversification. If this were to occur, Campbell & Company would expect its risk-adjusted returns to begin to degrade. Should Campbell & Company ever conclude that its ability to deliver attractive risk-adjusted returns has been unduly compromised by its growth in assets, it would not hesitate to restrict or halt the flow of new assets, and, if necessary, begin to repatriate market gains.
Should the amount of assets that Campbell & Company and its affiliates manage increase, it may be more difficult for them to trade profitably because of the difficulty of trading larger positions without adversely affecting prices and performance. Accordingly, such increases in equity under management may require Campbell & Company to modify its trading decisions for the Trust, which could have a detrimental effect on your investment. Such considerations may also cause Campbell & Company to eliminate smaller markets from consideration for inclusion in certain trading programs, reducing the range of markets in which trading opportunities may be pursued. Campbell & Company reserves the right to make distributions of profits to Limited Partners in an effort to control asset growth. In addition, Campbell & Company may have an incentive to favor other accounts because the compensation received from some other accounts exceeds the compensation it receives from managing the Trust's account. Because records with respect to other accounts are not accessible to Investors, the Investors will not be able to determine if Campbell & Company is favoring other accounts.
Investors Will Not be Able to Review the Trust's Holdings on a Daily Basis
Campbell & Company makes the Trust's trading decisions. While Campbell & Company receives daily trade confirmations from the futures brokers and over-the-counter counterparties, the Trust's trading results are reported to Investors monthly. Accordingly, an investment in the Trust does not offer Investors the same transparency, i.e., an ability to review all investment positions daily, that a personal trading account offers.
Portfolio Turnover
The Trust may dispose of its investment instruments without regard to the length of time they have been held when such actions appear advisable based on the models included in its portfolio. Since Campbell & Company trades the Trust's investment instruments based on the models included in the portfolio, it is impossible to predict, with any degree of certainty, the portfolio turnover rate for the Trust. A high portfolio turnover rate bears certain tax consequences and results in greater transaction costs, which are borne directly by the Trust.
Inadequate Models Could Negatively Affect the Trust's Investment Portfolio
Campbell & Company's trading is highly model driven, and is subject to possibly material flaws in the models. As market dynamics (for example, due to changed market conditions and participants) shift over time, a previously highly successful model may become outdated or inaccurate, possibly without Campbell & Company recognizing that fact before losses are incurred. In particular, the Trust may incur losses in the event of disrupted markets and other extraordinary events that cause Campbell & Company's pricing models to generate prices which deviate from the market. The risk of loss to the Trust in the case of disrupted markets is compounded by the number of different investment models of pricing, each of which may independently become wholly unpredictable during market disruptions. In addition, in disrupted derivatives markets, many positions may become illiquid, making it difficult or impossible to close out positions against which the markets are moving.
Even if the basic concepts of our models are sound, Campbell & Company may make errors in developing algorithms for integrating the numerous factors and variables into them or in programming the algorithms. Those errors may cause the model to generate results different from those intended. They may be difficult to detect in many market conditions, possibly influencing outcomes only in periods of stress or change in market conditions.
Campbell & Company anticipates the continued modification, enhancement and development of models. Each new generation of models (including incremental improvements to current models) exposes the Trust to the possibility of unforeseen losses from a variety of factors, including conceptual failures and implementation failures. There can be no assurance that the models used by Campbell & Company will be effective or that they will be effectively utilized by Campbell & Company. Moreover, there can be no assurance that Campbell & Company will be able to continue to develop, maintain and update the models so as to effectively implement its trading strategy.
Investors Must Not Rely on the Past Performance of Campbell & Company or the Trust in Deciding Whether to Buy Units
The future performance of the Trust is not predictable, and no assurance can be given that the Trust and Campbell & Company will perform successfully in the future in as much as past performance is not necessarily indicative of future results. Campbell & Company’s trading systems are continually evolving and the fact that the Trust and Campbell & Company may have traded successfully in the past does not mean that they will do so in the future. Additionally, the markets in which the Trust operates have been recently severely disrupted (for periods of one year or more), so results observed in periods prior to these disruptions may have little relevance to the results observable during and after these disruptions.
Reliance on the Campbell & Company's Discretion and Trading Models
The Trust's success depends on the ability of Campbell & Company to develop and employ proprietary models across debt instruments, futures-related interests and/or derivative instruments.
Campbell & Company can provide no assurance that its efforts or the proprietary trading models that it employs will be successful, that it will always recognize each situation in which the models' signals should or should not be used, or that such use or non-use of such signals will increase the Trust's profits or minimize its losses. The discretionary authority of Campbell & Company may have a significant actual effect on the Trust's performance (positive or negative).
Use of the models is unlikely to be successful unless the algorithms underlying the models are correct and remain correct in the future. Because the algorithms are based on perceived relationships between changes in technical and quantitative variables and prices or other fundamental factors, they will likely be unsuccessful in generating profitable trading signals to the extent that such perceptions are inaccurate.
To the extent that the algorithms do not reflect certain factors that may influence prices of the underlying instruments, major losses may result. For example (one of many possible examples, a number of which are unknown), a pending political event not accounted for in the algorithms of the models may be very likely to cause a major and adverse price movement, but the Trust might well continue to maintain positions that would incur major losses as a result of such movement because the models failed to reflect the pending political event.
The models may be more effective with certain underlying instruments than with others, or may not work at all with respect to certain instruments. To the extent that the models generate signals for instruments for which it does not provide optimal analysis, diminished returns or increased losses may result.
The data used in developing the models may not reflect the changing dynamics of the markets. An influx of new market participants, changes in market regulation, international political developments, demographic changes and numerous other factors can contribute to once successful strategies becoming outdated. Not all of these factors can be identified, much less quantified.
In the past, there have been periods without discernible trends in the markets in which the Trust trades and, presumably, such periods will continue to occur in the future. Any factor which would lessen the prospect of major trends occurring in the future (such as increased governmental control of, or participation in, the markets) may reduce the prospect that certain models utilized by Campbell & Company will be profitable in the future.
Moreover, any factor which would make it more difficult to execute trades at desired prices in accordance with the signals of the models (such as a significant lessening of liquidity in a particular market) would also be detrimental to profitability. Further, many advisers' trading methods utilize similar analyses in making trading decisions. Therefore, bunching of buy and sell orders can occur, which makes it more difficult for a position to be taken or liquidated. No assurance can be given that the strategies utilized by Campbell & Company will be successful under all or any market conditions.
Campbell & Company continues to test and evaluate the models, as a result of which the models may be modified from time to time. As a result of such periodic modifications, it is possible that the trading strategies used by Campbell & Company in the future may be different from the strategies presently in use, or that which were used in the past. Any modification of the models will not be subject to any requirement that Limited Partners receive notice of the change or consent to it. There can be no assurance as to the effects (positive or negative) of any modification on the Trust's performance. No assurance can be given that the trading strategy used or to be used by Campbell & Company will be successful under all or any market conditions.
Market Factors May Adversely Influence the Models
Often, the most unprofitable market conditions for the Trust are those in which prices "whipsaw," moving quickly upward, then reversing, then moving upward again, then reversing again. In such conditions, Campbell & Company may, on the basis of its models, establish positions based on incorrectly identifying both the brief upward or downward price movements as trends, whereas in fact no trends sufficient to generate profits develop. Overall market, industry or economic conditions, which neither the Trust nor Campbell & Company can predict or control, will have a material effect on performance.
Availability of Investment Opportunities
The business of identifying and structuring investments of the types contemplated by the Trust is specialized, and involves a high degree of uncertainty. The availability of investment opportunities generally is subject to market conditions as well as, in some cases, the prevailing regulatory or political climate. No assurance can be given that the Trust will be able to identify and complete attractive investments in the future or that it will be able to invest fully its subscriptions. Similarly, identification of attractive investment opportunities by Campbell & Company is difficult and involves a high degree of uncertainty. Even if attractive investment opportunities are identified by Campbell & Company, it may not be permitted to take advantage of the opportunity to the fullest extent desired. Investment funds sponsored, managed or advised by Campbell & Company or its affiliates may seek investment opportunities similar to those the Trust may be seeking, and none of these parties has an obligation to offer any opportunities it may identify to the Trust.
Holding Period of Investment Positions
Campbell & Company typically does not know the maximum - or, often, even the expected (as opposed to optimal) - duration of any particular position at the time of initiation (except in the case of certain options or derivatives positions, which have pre-established expiration dates). The length of time for which a position is maintained varies significantly, based on Campbell & Company’s subjective judgement of the appropriate point at which to liquidate a position so as to augment gains of reduce losses. There can be no assurance that the Trust will be able to maintain any particular position, or group of related positions, for the duration required to realize the expected gains, or avoid losses, from such positions.
Futures, Forwards and Swaps
Futures, Forwards and Swaps Trading Can be Highly Volatile
Futures, forwards and other derivative prices are highly volatile and increase the amount of volatility in contrast to a direct investment in the underlying physical commodities or financial products. Price movements of futures, forwards and other derivative contracts are influenced by such factors as: changes in overall market movements due to fluctuating supply and demand relationships; weather; government agricultural, trade, fiscal, monetary and exchange control programs and policies; and national and international political and economic events. In addition, governments from time to time intervene in certain markets, particularly the currency and interest-rate markets.
Futures, Forwards and Swaps Trading is Highly Speculative and Volatile
Futures, forwards and swaps trading is speculative, and is not intended to be a complete investment program. Futures, forwards and swaps have a high degree of price variability and are subject to occasional rapid and substantial changes. Thus, significant amounts can be lost in a brief period of time. Futures, forwards and swaps trading is designed only for sophisticated investors who are able to bear the risk of capital loss. There can be no assurance that your account will achieve its investment objectives. Prospective investors are cautioned that they could lose all or substantially all of their investment. Prospective investors should understand that their account's performance can be volatile.
Futures, Forwards and Swaps Trading Involves Substantial Leverage
The low margin deposits normally required in futures, forwards and swaps contracts trading permit an extremely high degree of leverage; margin requirements for futures, forwards and swaps contracts trading being in some cases as little as 2% of the face value of the contracts traded. Accordingly, the Trust is able to hold positions with face values equal to several times its net assets; therefore, a relatively small price movement in a futures, forwards or swaps contract may result in immediate and substantial losses to the investor. For example, if at the time of purchase, 10% of the price of the futures, forwards, or swaps contract is deposited as margin, a 10% decrease in the price of the futures, forwards or swaps contract would, if the contract were then closed out, result in a total loss of the margin deposit before any deduction for brokerage commissions. The Trust's ratio of margin to equity is typically 10% to 30%. As a result of this leveraging, even a small movement in the price of a contract can cause major losses.
Futures, Forwards and Swaps Trading May Be Illiquid
Most United States commodity exchanges limit fluctuations in futures contract prices during a single day by regulations referred to as "daily limits." During a single trading day no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased to the limit point, positions can be neither taken nor liquidated. Futures interest prices have occasionally moved the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Trust from promptly liquidating unfavorable positions and subject the Trust to substantial losses. Also, the CFTC or exchanges may suspend or limit trading. While daily limits reduce liquidity, they do not reduce ultimate losses, and may in fact substantially increase losses because they may prevent the liquidation of unfavorable positions. There is no limitation on daily price moves in trading currency forward contracts.
In addition, the Trust may not be able to execute trades at favorable prices if little trading in the futures, forwards, swaps or other derivatives involved is taking place. It also is possible that an exchange or the CFTC might suspend trading in a particular contract, order immediate liquidation and settlement of a particular futures interest, or order that trading in a particular futures interest be conducted for liquidation only. During periods in October 1987, for example, trading in certain stock index futures was too illiquid for markets to function efficiently and was at one point actually suspended.
Forwards Trading and its Counterparty, Regulatory and Related Risks
The Trust may, but is not limited to, trade forward contracts in currencies. A forward contract is a contractual obligation to purchase or sell a specified quantity of a commodity or currency at a specified date in the future at a specified price and, therefore, is similar to a futures contract.
Forward contracts are not traded on exchanges; rather, banks (e.g., major money center investment banks) and dealers act as principals in these over-the-counter markets. Foreign exchange swaps and foreign exchange forwards, as well as bona fide spot foreign exchange transactions, are not subject to full regulation by the CFTC (including the clearing and platform execution mandates). Therefore, the Trust will not receive any benefit of CFTC regulation of its trading activities in excluded foreign exchange swaps and forward transactions. The Trust faces the risk of non-performance by its counterparties to forward contracts and such non-performance may cause some or all of its gains to remain unrealized.
Certain markets in which the Trust effects transaction may be in over-the-counter or “interdealer” markets, and also include unregulated private markets. Unlike futures contracts, the counterparty to forward contracts is generally a single bank or other financial institution, rather than a clearing organization backed by a group of financial institutions. Furthermore, the participants in such markets are typically not subject to the same level of credit evaluation and regulatory oversight as are members of the "exchange based" markets. This exposes investors to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Trust to suffer a loss. Such "counterparty risk" is accentuated for contracts with longer maturities where events may intervene to prevent settlement, or where Campbell & Company has concentrated the Trust's transactions with a single or small group of counterparties. Campbell & Company is not restricted from dealing with any particular counterparty or from concentrating any or all transactions with one counterparty. However, Campbell & Company seeks to minimize credit risk primarily by dealing with counterparties that it believes are creditworthy. The ability of Campbell & Company and the Trust to transact business with any one or number of counterparties, the lack of any meaningful and independent evaluation of such counterparties' financial capabilities and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Trust.
The Trust may trade deliverable forward contracts in the inter-bank currency market. Such deliverable forward contracts are not currently traded on exchanges; rather, banks and dealers act as principals in these markets. As a result of Dodd-Frank, the CFTC now regulates non-deliverable forwards (including deliverable forwards where the parties do not intend to make or take delivery). Changes in the forward markets may entail increased costs and result in burdensome reporting requirements. There is currently no limitation on the daily price movements of forward contracts. Principals in the forward markets have no obligation to continue to make markets in the forward contracts traded. The imposition of credit controls by governmental authorities or the implementation of regulations pursuant to Dodd-Frank might limit such forward trading to less than that which Campbell & Company would otherwise recommend, to the possible detriment of the Trust.
In addition, there is no limitation on the daily price movements of forward contracts. Principals in the forward markets have no obligation to continue to make markets in the forward contracts traded. There have been periods during which certain banks or dealers have refused to quote prices for forward contracts or have quoted prices with an unusually wide spread between the price at which they are prepared to buy and that at which they are prepared to sell. The imposition of credit controls by governmental authorities might limit such forward trading to less than that which Campbell & Company and its affiliates would otherwise recommend, to the possible detriment of the Trust.
The Trust is a Party to Financial Instruments with Elements of Off-Balance Sheet Risk, Which May Cause the Trust to Lose All of Its Assets
The term "off-balance sheet risk" refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Trust trades in futures, forward, swaps and other derivatives and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Trust, market risk, that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Trust at the same time, and if the Trust's trading advisor was unable to offset futures interests positions of the Trust, the Trust could lose all of its assets and the limited partners would realize a 100% loss. Campbell & Company attempts to minimize potential market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%; however, these precautions may not be effective in limiting the risk of loss.
Foreign Exchange/Cross Rates Trading
The Trust may trade currencies through foreign exchange (“Forex” or “FX”) trading, which is the off-exchange trading of the exchange rate between two retail currency pairs. This may include cross rates trading, which is off-exchange trading of the exchange rate between two currency pairs other than the U.S. Dollar. The risk of loss in Forex trading can be substantial. Investors should be aware that Forex transactions are not traded on an exchange, and those funds deposited with the counterparty for Forex transactions may not receive the same protections as funds used to margin or guarantee exchange-traded futures contracts.
Swap Agreements
The Trust may enter into swap agreements. Swap agreements are privately negotiated over-the-counter derivative products in which two parties agree to exchange actual or contingent payment streams that may be calculated in relation to a rate, index, instrument, or certain securities, and a particular "notional amount." Swaps may be subject to various types of risk, including market risk, liquidity risk, structuring risk, tax risk, and the risk of non-performance by the counterparty, including risks relating to the financial soundness and creditworthiness of the counterparty. Swaps can be individually negotiated and structured to include exposure to a variety of different types of investments or market factors. Depending on their structure, swaps may increase or decrease the Trust's exposure to commodity prices, equity or debt securities, long-term or short-term interest rates (in the United States or abroad), non-U.S. currency values, mortgage-backed securities, corporate borrowing rates, or other factors such as security prices, baskets of securities, or inflation rates and may increase or decrease the overall volatility of the Trust's portfolio. Swap agreements can take many different forms and are known by a variety of names. The Trust is not limited to any particular form of swap agreement if it determines that other forms are consistent with the Trust's investment objective and policies. A significant factor in the performance of swaps is the change in individual commodity values, specific interest rates, currency values, or other factors that determine the amounts of payments due to and from the counterparties. If a swap calls for payments by the Trust, then the Trust must have sufficient cash availability to make such payments when due. In addition, if a counterparty's creditworthiness declines, the value of the swap agreement would be likely to decline, potentially resulting in losses to the Trust. Dodd-Frank will mandate that a substantial portion of swap transactions must be executed in regulated markets and submitted for clearing to regulated clearinghouses. While these provisions are intended in part to reduce counterparty credit risk related to swap transactions, Dodd-Frank's success in this regard will depend on the implementation of many rules and regulations, a process that may take several years.
These hedging techniques using swaps involve one or more of the following risks: (i) imperfect correlation between the performance and value of the instrument and the value of the Trust securities or other objective of Campbell & Company; (ii) possible lack of a secondary market for closing out a position in such instrument; (iii) losses resulting from interest rate, spread or other market movements not anticipated by Campbell & Company; (iv) the possible obligation to meet additional margin or other payment requirements, all of which could worsen the Trust's position; and (v) default or refusal to perform on the part of the counterparty with which the Trust trades. Furthermore, to the extent that any hedging strategy involves the use of over-the-counter swap transactions, such a strategy would be affected by implementation of the various regulations adopted pursuant to Dodd-Frank.
Credit Default Swaps
The Trust may invest in credit default swaps ("CDS"). CDS can be used to implement a trader’s view that a particular credit, or group of credits, will experience credit improvement or deterioration. The typical CDS requires the seller to pay to the buyer, in the event that a particular reference entity experiences specified credit events, the difference between the notional amount of the contract and the value of a portfolio of securities issued by the reference entity that the buyer delivers to the seller. In return, the buyer agrees to make periodic and/or upfront payments equal to a fixed percentage of the notional amount of the contract. The Trust may also purchase or sell CDS on a basket of reference entities or an index. In circumstances in which the Trust is the credit default swap buyer and does not own the debt securities that are deliverable under a credit default swap, the Trust is exposed to the risk that deliverable securities will not be available in the market, or will be available only at unfavorable prices, as would be the case in a so-called “short squeeze.” While the credit default swap market auction protocols reduce this risk, it is still possible that an auction will not be organized or will not be successful. In certain instances of issuer defaults or restructurings (for those CDS for which restructuring is specified as a credit event), it has been unclear under the standard industry documentation for CDS whether or not a “credit event” triggering the seller’s payment obligation had occurred. The creation of the CDS Determinations Committee in April 2009 was intended to reduce this uncertainty and create uniformity across the market, although it is possible that the efforts of the CDS Determinations Committee will not fully meet these goals. In either of these cases, the Trust would not be able to realize the full value of the credit default swap upon a default by the reference entity. As a seller of CDS, the Trust incurs leveraged exposure to the credit of the reference entity and is subject to many of the same risks it would incur if it were holding debt securities issued by the reference entity. However, the Trust will not have any legal recourse against the reference entity and will not benefit from any collateral securing the reference entity’s debt obligations. In addition, in the event the CDS Determinations Committee does not establish a cash settlement auction and identify the relevant deliverable securities, the credit default swap buyer will have broad discretion to select which of the reference entity’s debt obligations to deliver to the Trust following a credit event and will likely choose the obligations with the lowest market value in order to maximize the payment obligations of the Trust. Given the recent sharp increases in volume of CDS trading in the market, settlement of CDS may also be delayed beyond the time frame originally anticipated by counterparties. Such delays may adversely impact the Trust’s ability to otherwise productively deploy any capital that is committed with respect to such contracts.
Regulatory
The Current Markets are Subject to Governmental Intervention That May Be a Detriment to Your Investment; The
Dodd-Frank Wall Street Reform and Consumer Protection Act ("Dodd-Frank")
In response to the financial crises of 2008-2009, Dodd-Frank was enacted in July 2010. Dodd-Frank seeks to regulate markets, market participants and financial instruments that previously had been unregulated and substantially alters the regulation of many other markets, market participants and financial instruments. Because many provisions of Dodd-Frank require rulemaking by applicable regulators before becoming fully effective, not all of which have been finalized, and Dodd-Frank mandates multiple agency reports and studies (which could result in additional legislative or regulatory action), it is difficult to predict the ultimate impact of Dodd-Frank on the Trust, Campbell & Company, and the markets in which they trade and invest. Dodd-Frank could result in certain investment strategies in which the Trust engages or may have otherwise engaged becoming non-viable or non-economic to implement. Dodd-Frank and regulations adopted pursuant to the Reform Act could have a material adverse impact on the profit potential of the Trust.
Recent market turmoil has prompted certain acts of governmental intervention, and it is likely that additional measures will be implemented in the future. No assurances can be made that any such measures would be successful. Such measures could have unexpected, and potentially adverse, effects on the Trust or Campbell & Company (or any affiliates thereof), the markets in which the Trust will trade, or certain investment strategies in which the Trust engages or may have otherwise engaged.
Speculative Position Limits
The CFTC and certain exchanges have established position limits on the maximum net long or net short speculative positions that any person or group of persons acting in concert may hold or control in any particular futures contracts. Dodd-Frank significantly expands the CFTC's authority to impose position limits with respect to futures contracts, swaps that are economically equivalent to futures, and certain swaps that perform a significant price discovery function. In response to this expansion of its authority, in 2013, the CFTC proposed (a) a series of new speculative position limits with respect to futures, options on futures and swaps on 28 so-called "exempt commodities" (which includes most energy and metals contracts) and (b) aggregation requirements with respect to positions across accounts with common ownership or control. The CFTC's proposals are not yet finalized (or effective). If the CFTC is successful in these proposals, the counterparties with which the Trust deals may further limit the size or duration of positions available to the Trust. All accounts owned or managed by Campbell & Company are likely to be combined for speculative position limit purposes. The Trust could be required to liquidate positions it holds in order to comply with such limits, or may not be able to fully implement trading instructions generated by its trading models, in order to comply with such limits. Any such liquidation or limited implementation could result in substantial costs to the Trust.
Over-the-Counter Derivatives Markets
Dodd-Frank includes provisions that comprehensively regulate the OTC derivatives markets for the first time. Dodd-Frank mandates that a substantial portion of OTC derivatives must be executed in regulated markets and be submitted for clearing to regulated clearinghouses. The CFTC has now implemented mandatory clearing rules for 4 classes of interest rate swaps and 2 classes of index credit default swaps. The CFTC will also consider whether to propose mandatory clearing requirements for agricultural swaps, energy swaps, broad-based equity swaps, and foreign exchange non-deliverable forwards. OTC trades submitted for clearing will be subject to minimum initial and variation margin requirements set by the relevant clearinghouse, as well as possible SEC or CFTC mandated margin requirements. OTC derivatives dealers typically demand the unilateral ability to increase the Trust's collateral requirements for cleared OTC trades beyond any regulatory and clearinghouse minimums. The bank regulators and the CFTC have imposed margin requirements on non-cleared OTC derivatives and new requirements that apply to the holding of customer collateral by OTC derivatives dealers. These requirements may increase the amount of collateral the Trust is required to provide and the costs associated with providing it. OTC derivative dealers also are required to post margin to the clearinghouses through which they clear their customers' trades instead of using such margin in their operations, as was widely permitted before Dodd-Frank. This has and will continue to increase the OTC derivative dealers' costs, and these increased costs are generally passed through to other market participants in the form of higher upfront and mark-to-market margin, less favorable trade pricing, and the imposition of new or increased fees, including clearing account maintenance fees, and less favorable dealer marks.
With respect to cleared OTC derivatives, the Trust will not face a clearinghouse directly but rather through an OTC derivatives dealer that is registered with the CFTC or SEC to act as a clearing member. The Trust may face the indirect risk of the failure of another clearing member customer to meet its obligations to its clearing member. Such scenario could arise due to a default by the clearing member on its obligations to the clearinghouse, triggered by a customer's failure to meet its obligations to the clearing member.
The CFTC now also requires certain derivative transactions that were previously executed on a bi-lateral basis in the OTC markets to be executed through a regulated futures or swap exchange or execution facility. The SEC is also expected to impose similar requirements on certain security-based derivatives in the near future, though it is not yet clear when the parallel SEC requirements will go into effect. Such requirements may make it more difficult and costly for investment funds, including the Trust, to enter into highly tailored or customized transactions. They may also render certain strategies in which the Trust might otherwise engage impossible or so costly that they will no longer be economical to implement. If the Trust decides to become a direct member of one or more of these exchanges or execution facilities, the Trust would be subject to all of the rules of the exchange or execution facility, which could bring additional risks and liabilities, and potential additional regulatory requirements.
OTC derivatives dealers are now required to register with the CFTC and will ultimately be required to register with the SEC. Dealers are subject to new minimum capital and margin requirements, business conduct standards, disclosure requirements, reporting and recordkeeping requirements, transparency requirements, position limits, limitations on conflicts of interest, and other regulatory burdens. These requirements further increase the overall costs for OTC derivative dealers, which costs may be passed along to market participants as market changes continue to be implemented. The overall impact of Dodd-Frank on the Trust remains highly uncertain and it is unclear how the OTC derivatives markets will adapt to this new regulatory regime, along with additional, sometimes overlapping, regulatory requirements imposed by non-U.S. regulators.
Major OTC derivatives market participants are now also required to register with the CFTC and will ultimately be required to register with the SEC. Campbell & Company is registered as a Forex Firm and Swap Firm with the National Futures Association and could be required to register as a major swap participant for trading in the OTC derivatives markets. Major Swap participants are also subject to new minimum capital and margin requirements, business conduct standards, disclosure requirements, reporting and recordkeeping requirements, transparency requirements, position limits, limitations on conflicts of interest, and other regulatory burdens. These requirements may further increase the overall costs for major swap participants. The overall impact of Dodd-Frank on Campbell & Company remains highly uncertain and it is unclear how the OTC derivatives markets will adapt to this new regulatory regime along with additional, sometimes overlapping, regulatory requirements imposed by non-U.S. regulators.
Although Dodd-Frank requires many OTC derivative transactions previously entered into on a principal-to-principal basis to be submitted for clearing by a regulated clearinghouse, certain derivatives that may be traded by the Trust may remain principal-to-principal or OTC contracts between the Trust and third parties entered into privately. The risk of counterparty nonperformance can be significant in the case of these over-the-counter instruments, and "bid-ask" spreads may be unusually wide in these heretofore substantially unregulated markets. While Dodd-Frank is intended in part to reduce these risks, its success in this respect may not be evident for some time after Dodd-Frank is fully implemented, a process that may take several more years. To the extent not mitigated by implementation of Dodd-Frank, if at all, the risks posed by such instruments and techniques, which can be extremely complex, include: (1) credit risks (the exposure to the possibility of loss resulting from a counterparty's failure to meet its financial obligations); (2) market risk (adverse movements in the price of a financial asset or commodity); (3) legal risks (the characterization of a transaction or a party's legal capacity to enter into it could render the financial contract unenforceable, and the insolvency or bankruptcy of a counterparty could preempt otherwise enforceable contract rights); (4) operational risk (inadequate controls, deficient procedures, human error, system failure or fraud); (5) documentation risk (exposure to losses resulting from inadequate documentation); (6) liquidity risk (exposure to losses created by inability to prematurely terminate the derivative); (7) system risk (the risk that financial difficulties in one institution or a major market disruption will cause uncontrollable financial harm to the financial system); (8) concentration risk (exposure to losses from the concentration of closely related risks such as exposure to a particular industry or exposure linked to a particular entity); and (9) settlement risk (the risk faced when one party to a transaction has performed its obligations under a contract but has not yet received value from its counterparty).
Institutions, such as brokerage firms, banks and broker-dealers, generally have custody of the Trust's portfolio assets and may hold such assets in "street name." The Trust is subject to the risk that these firms and other brokers, counterparties, clearinghouses or exchanges with which the Trust deals may default on their obligations to the Trust. Any default by any of such parties could result in material losses to the Trust. Bankruptcy or fraud at one of these institutions could also impair the operational capabilities or the capital position of the Trust. In addition, securities and other assets deposited with custodians or brokers may not be clearly identified as being assets of the Trust, causing the Trust to be exposed to a credit risk with regard to such parties. The Trust generally will only be an unsecured creditor of its trading counterparties in the event of bankruptcy or administration of such counterparties. In some jurisdictions, the Trust may also only be an unsecured creditor of its brokers in the event of bankruptcy or administration of such brokers. The Trust attempts to limit its brokerage and custody transactions to well capitalized and established banks and brokerage firms in an effort to mitigate such risks, but the collapse in 2008 of the seemingly well capitalized and established Bear Stearns and Lehman Brothers demonstrates the limits on the effectiveness of this approach in avoiding counterparty losses.
The Trust may effect transactions in "over-the-counter" or "interdealer" markets. The participants in such markets are typically not subject to the same level of credit evaluation and regulatory oversight as are members of "exchange-based" markets. This exposes the Trust to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Trust to suffer a loss. Such "counterparty risk" is accentuated for contracts with longer maturities where events may intervene to prevent settlement, or where the Trust has concentrated its transactions with a single or small group of counterparties. The Trust is not restricted from dealing with any particular counterparty or in the size of the exposure which the Trust may provide to a given counterparty. The inability to make complete and "foolproof" evaluations of the financial capabilities of the Trust's counterparties and the absence of a regulated market to facilitate settlement increases the risk to the Trust.
While Dodd-Frank is intended to bring more stability and lower counterparty risk to derivatives market by requiring exchange clearing of derivatives trades, not all of the Trust's trades will be subject to the clearing requirements once they generally become effective, either because the trades are grandfathered or because they are bespoke. Furthermore, it is yet to be seen whether Dodd-Frank will be effective in reducing counterparty risk or if such risk may actually increase as a result of market uncertainty, mutuality of loss to clearinghouse members, or other reasons.
Regulatory Changes or Additional Government or Market Regulation or Actions May Alter the Operations and Profitability of the Trust
The global financial markets have in the past few years undergone pervasive and fundamental disruptions that have led to extensive and unprecedented governmental intervention. Such intervention has in certain cases been implemented on an "emergency" basis, suddenly and substantially eliminating market participants' ability to continue to implement certain strategies or manage the risk of their outstanding positions. In addition, as one would expect given the complexities of the financial markets and the limited time frame within which governments have felt compelled to take action, these interventions have typically been unclear in scope and application, resulting in confusion and uncertainty which in itself has been materially detrimental to the efficient functioning of the markets as well as previously successful investment strategies.
Considerable regulatory attention has been focused on non-traditional investment pools. Market disruptions and the dramatic increase in the capital allocated to alternative investment strategies have led to increased governmental as well as self-regulatory scrutiny of the "hedge fund" industry in general. Certain legislation proposing greater regulation of the industry periodically is considered by Congress, the SEC, the CFTC and the governing bodies of non-U.S. jurisdictions. It is impossible to predict what, if any, changes in the regulations applicable to the Trust, Campbell & Company, the markets in which they trade and invest or the counterparties with which they do business may be instituted in the future. Any such regulation could have a material adverse impact on the profit potential of the Trust or the ability of the Trust to continue to implement its investment strategies, as well as require increased transparency as to the identity of the Limited Partners.
The Trust, in particular, is dependent upon the use of leverage in implementing its investment strategy across the markets and instruments described herein. Any regulatory limitations may have a materially adverse impact on the Trust
The futures markets are subject to comprehensive statutes, regulations and margin requirements. In addition, the CFTC and the exchanges are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily price limits and the suspension of trading. The regulation of swaps and futures transactions in the United States is a rapidly changing area of law and is subject to modification by government and judicial action. The effect of any future regulatory change on the Trust is impossible to predict, but could be substantial and adverse.
Daily Price Fluctuation Limits Imposed by Futures Exchanges May Alter Trading Decisions for the Trust
Most U.S. futures exchanges have established "daily price fluctuation limits" which preclude the execution of trades at prices outside of the limit. Contract prices have occasionally moved the daily limit for several consecutive days with little or no trading. If prices were to approach the level of the daily limits, these limits could cause a modification of Campbell & Company's trading decisions for the Trust or force the liquidation of certain futures positions. Either of these actions may not be in the best interest of the investors. From time to time, the CFTC or the exchanges may suspend trading in market disruption circumstances. In these cases, it is possible that Campbell & Company, as trading manager, could be required to maintain a losing position that it otherwise would exit and incur significant losses or be unable to establish a position and miss a profit opportunity.
The Trust is Subject to Foreign Market Credit and Regulatory Risk
A substantial portion of Campbell & Company's trades takes place on markets or exchanges outside the United States. From time to time, over 50% of the Trust's overall market exposure could involve positions taken on foreign markets. The risk of loss in trading foreign futures contracts can be substantial. Participation in foreign futures contracts transactions involves the execution and clearing of trades on, or subject to the rules of, a foreign board of trade. Non-U.S. markets may not be subject to the same degree of regulation as their U.S. counterparts. None of the CFTC, NFA or any domestic exchange regulates activities of any foreign boards of trade, including the execution, delivery and clearing of transactions, nor do they have the power to compel enforcement of the rules of a foreign board of trade or any applicable foreign laws. Trading on foreign exchanges also presents the risks of exchange controls, expropriation, taxation and government disruptions.
Membership in a Swap Execution Facility
In an effort to facilitate the investment strategies employed by the Campbell & Company on behalf of the Trust, the Trust and/or Campbell & Company may become members of exchanges and/or swap execution facilities ("SEFs"). Such membership may subject the Trust and/or Campbell & Company to a wide range of regulation and other obligations, together with associated costs. Like any other self-regulatory organization, SEFs are expected to regularly revise and interpret their rules, and such revisions and interpretations could adversely impact the Trust. Even if the Trust opts not to trade on a SEF directly but instead through a broker, such trading may nevertheless require the Trust to consent to the SEF's jurisdiction as a self-regulatory organization and to be subject to the SEF's rulebook, which could adversely impact the Trust.
The Trust is Not a Regulated Investment Company and is Therefore Subject to Different Protections Than a Regulated Investment Company
Although the Trust and Campbell & Company are subject to regulation by the CFTC, the Trust is not an investment company subject to the Investment Company Act of 1940 and Campbell & Company is not registered as an investment adviser under the Investment Advisers Act of 1940. Accordingly, you do not have the protections afforded by those statutes which, for example, requires investment companies to have a majority of disinterested directors and regulates the relationship between the adviser and the investment company.
While Campbell & Company is registered with the CFTC as a commodity trading advisor and is subject to regulation by the CFTC, Campbell & Company is exempt from certain requirements of CFTC registration in reliance upon an exemption provided under CFTC Rule 4.7. Therefore, neither the Trust nor the Unitholders have the full benefit of the protections afforded by, nor is Campbell & Company fully subject to the restrictions contained in, such CFTC registration and regulations.
Tax Risks
Investors are Taxed Based on Their Share of Trust Income and Gain
Investors are taxed each year on their share of the Trust's income and gain, if any, irrespective of whether they redeem any Units or receive any cash distribution from the Trust. Campbell & Company has the authority to make such distributions at any time in its sole discretion.
All performance information included in this Form 10K is presented on a pre-tax basis; the investors (other than tax-exempt investors) who experienced such performance had to pay the related taxes from other sources.
Tax Could be Due from Investors on Their Share of the Trust's Ordinary Income Despite Overall Losses
Investors may be required to pay tax on their allocable share of the Trust's ordinary income, which in the case of the Trust is the Trust's interest income, gain on some foreign futures contracts, and certain other investment assets, even though the Trust incurs overall losses. Capital losses of individual taxpayers can be used only to offset capital gains and, in the case of non-corporate investors, $3,000 of ordinary income each year. Consequently, if an individual investor were allocated $5,000 of ordinary income and $10,000 of capital losses, the investor would owe tax on $2,000 of ordinary income even though the investor would have a $5,000 economic loss for the year. The remaining $7,000 capital loss could be used in subsequent years to offset capital gain and ordinary income, but subject to the same annual limitation on its deductibility against ordinary income.
There Could be a Limit on the Deductibility of Management and Performance Fees
Although the Trust treats the management and performance fees paid to Campbell & Company as ordinary and necessary business expenses, upon an IRS audit, the Trust may be required to treat such fees as "investment advisory fees" if the Trust's trading activities did not constitute a trade or business for tax purposes. If the Investor's share of expenses were deemed to be investment advisory fees, an Investor's tax liability would likely increase because of statutory limitations applicable to miscellaneous itemized deductions, including investment advisory fees, of individual taxpayers. In addition, upon audit, a portion of the management fees might be treated as a non-deductible syndication cost or might be treated as a reduction in the Trust's capital gain or as an increase in the Trust's capital loss. If the management fees were so treated, an Investor's tax liability would likely increase.
New Partnership Audit Rules
The Bipartisan Budget Act of 2015 changes the rules applicable to U.S. federal income tax audits of partnerships. Under the new rules (which are generally effective for taxable years beginning after December 31, 2017), among other changes and subject to certain exceptions, any audit adjustment to items of income, gain, loss, deduction, or credit of a partnership (and any partner's distributive share thereof) is determined, and taxes, interest, or penalties attributable thereto are assessed and collected, at the partnership level. Consult with your tax advisor with respect to these changes and their potential impact on your investment in the Trust.
Other Risks
Fees and Commissions are Charged Regardless of Profitability and are Subject to Change
The Trust is subject to substantial charges payable irrespective of profitability, in addition to performance fees which are payable based on the Trust's profitability. Included in these charges are brokerage fees and operating expenses. On the Trust's forward trading, "bid-ask" spreads are incorporated into the pricing of forward contracts by the counterparties in addition to the brokerage fees paid by the Trust. It is not possible to quantify the "bid-ask" spreads paid by the Trust because the Trust cannot determine the profit its counterparty is making on the forward transactions. Such spreads can at times be significant.
The Trust's Service Providers Could Fail
The institutions with which the Trust trades or invests may encounter financial difficulties that impair the operational capabilities or the capital position of the Trust. A futures broker is generally required by U.S. law to segregate all funds received from such broker's customers from such broker's proprietary assets. If the futures broker did not do so to the full extent required by law, the assets of the Trust might not be fully protected in the event of the bankruptcy of the futures broker. Furthermore, in the event of the futures broker's bankruptcies, the Trust could be limited to recovering only a pro rata share of all available funds segregated on behalf of the futures broker's combined customer accounts, even though certain property specifically traceable to the Trust (for example, Treasury bills deposited by the Trust with the futures broker as margin) was held by the futures broker. The futures broker has been the subject of regulatory and private causes of action, as described under "The Futures Broker" section of the Prospectus.
Although Campbell & Company regularly monitors the financial condition of the counterparties it uses, if the Trust's counterparties were to become insolvent or the subject of liquidation proceedings in the United States (either under the Securities Investor Protection Act of the United States Bankruptcy Code), there exists the risk that the recovery of the Trust's assets from such counterparty will be delayed or be a value less than the value of the assets originally entrusted to such counterparty.
Risks due to Redemption or Credit Restriction
The Trust is subject to the risk that its major institutional investors may be compelled to redeem or that the Trust's counterparties or brokers will be required to restrict the amount of credit previously granted to the Trust due to their own financial difficulties, resulting in forced liquidation of substantial portions of the Trust's trading program.
There are No Independent Experts Representing Investors
Campbell & Company has consulted with counsel, accountants and other experts regarding the formation and operation of the Trust. No counsel has been appointed to represent the Investors in connection with the offering of the Units. Accordingly, each prospective investor should consult his own legal, tax and financial advisers regarding the desirability of an investment in the Trust.
The Trust Places Significant Reliance on Campbell & Company and the Incapacity of its Principals Could Adversely Affect the Trust
Investors are not entitled to participate in the management of the Trust or the conduct of its business. Rather, the Trust is wholly dependent upon the services of the general partner. There can be no assurance that such services will be available for any length of time following the term of the Advisory Agreement. Furthermore, the incapacity of the general partner's principals could have a material and adverse effect on the general partner's ability to discharge its obligations under the Advisory Agreement. However, there is no individual principal at Campbell & Company whose absence would result in a material adverse effect on Campbell & Company's ability to adequately carry out its advisory responsibilities.
The Trust Could Terminate Before You Achieve Your Investment Objective Causing Potential Loss of Your Investment or Disruption of Your Investment Portfolio
Campbell & Company may withdraw from the Trust upon 90 days' notice, which would cause the Trust to terminate. Other events, such as a long-term substantial loss suffered by the Trust, could also cause the Trust to terminate before the expiration of its stated term. This could cause you to liquidate your investments and disrupt the overall maturity and timing of your investment portfolio. If the registrations with the CFTC or memberships in the National Futures Association of Campbell & Company or the futures broker were revoked or suspended, such entity would no longer be able to provide services to the Trust.
Transfers Could Be Restricted
Investors may transfer or assign Units only upon 30 days' prior written notice to Campbell & Company and only if Campbell & Company is satisfied that the transfer complies with applicable laws and would not result in adverse legal or tax consequences for the Trust. A transferee shall not become a substituted Investor without the written consent of the General Partner. See "Second Amended and Restated Agreement of Limited Partnership."
Restrictions on Investment by ERISA Plans, Employee Retirement Income Security Act of 1974
Campbell & Company anticipates that the underlying assets of the Trust may be considered for purposes of Title I of the Employee Retirement Income Security Act, as amended ("ERISA"), and Section 4975 of the Internal Revenue Code of 1986, as amended (the "Code"), to be assets of certain employee benefit plans and other Plans that purchase Units. Under such circumstances, the investments of the Trust and the activities of Campbell & Company will be subject to and, in certain cases, limited by, ERISA and the Code.
A Single-Advisor Trust May be More Volatile Than a Multi-Advisor Trust
The Trust is a single-advisor managed futures fund. Potential investors should understand that many managed futures funds are structured as multi-advisor funds in order to attempt to control risk and reduce volatility through combining advisors whose historical performance records have exhibited a significant degree of non-correlation with each other. As a single-advisor managed futures fund, the Trust may have increased performance volatility and a higher risk of loss than investment vehicles employing multiple advisors.
The Performance Fee Could Be an Incentive to Make Riskier Investments
Campbell & Company employs a speculative strategy for the Trust, and receives performance fees based on the trading profits earned by it for the Trust. Campbell & Company would not agree to manage the Trust's account in the absence of such a performance fee arrangement. Accordingly, Campbell & Company may make investments that are riskier than might be made if the Trust's assets were managed by Campbell & Company that did not require performance-based compensation.
The Trust May Distribute Profits to Investors at Inopportune Times
Campbell & Company reserves the right to make distributions of profits of the Trust to the Investors at any time in its sole discretion in order to control the growth of the assets under Campbell & Company's management. Investors will have no choice in receiving these distributions as income, and may receive little notice that these distributions are being made. Distributions may be made at an inopportune time for the Investors.
Potential Inability to Trade or Report Due to Systems Failure Could Adversely Affect the Trust
Campbell & Company's strategies are dependent to a significant degree on the proper functioning of its internal computer systems. Accordingly, systems failures, whether due to third party failures upon which such systems are dependent or the failure of Campbell & Company's hardware or software, could disrupt trading or make trading impossible until such failure is remedied. Any such failure, and consequential inability to trade (even for a short time), could, in certain market conditions, cause the Trust to experience significant trading losses or to miss opportunities for profitable trading. Additionally, any such failures could cause a temporary delay in reports to investors.
Failure to Receive Timely and Accurate Market Data from Third Party Vendors Could Cause Disruptions or the Inability to Trade
Campbell & Company's strategies are dependent to a significant degree on the receipt of timely and accurate market data from third party vendors. Accordingly, the failure to receive such data in a timely manner or the receipt of inaccurate data, whether due to the acts or omissions of such third party vendors or otherwise, could disrupt trading to the detriment of the Trust or make trading impossible until such failure or inaccuracy is remedied. Any such failure or inaccuracy could, in certain market conditions, cause the Trust to experience significant trading losses, effect trades in a manner which it otherwise would not have done, or miss opportunities for profitable trading. For example, the receipt of inaccurate market data may cause Campbell & Company to establish (or exit) a position which it otherwise would not have established (or exited), or fail to establish (or exit) a position which it otherwise would have established (or exited), and any subsequent correction of such inaccurate data may cause Campbell & Company to reverse such action or inaction, all of which may ultimately be to the detriment of the Trust.
Cyber Security Issues
With the increased use of technologies such as the Internet to conduct business, Campbell & Company is susceptible to operational, information security and related risks. In general, cyber incidents can result from deliberate attacks or unintentional events. Cyber-attacks include, but are not limited to, gaining unauthorized access to digital systems (e.g., through "hacking" or malicious software coding) for purposes of misappropriating assets or sensitive information, corrupting data, or causing operational disruption. Cyber-attacks may also be carried out in a manner that does not require gaining unauthorized access, such as causing denial-of-service attacks on websites (i.e., efforts to make network services unavailable to intended users). Cyber security failures or breaches by Campbell & Company, and other service providers (including, but not limited to custodians), and the issuers of securities in which Campbell & Company invests, have the ability to cause disruptions and impact business operations, potentially resulting in financial losses, interference with Campbell & Company ability to calculate its net asset value, impediments to trading, violations of applicable privacy and other laws, regulatory fines, penalties, reputational damage, reimbursement or other compensation costs, or additional compliance costs. In addition, substantial costs may be incurred in order to prevent any cyber incidents in the future. While Campbell & Company has established business continuity plans in the event of, and risk management systems to prevent, such cyber-attacks, there are inherent limitations in such plans and systems including the possibility that certain risks have not been identified. Furthermore, Campbell & Company cannot control the cyber security plans and systems put in place by service providers to Campbell & Company and issuers in which Campbell & Company invests. Campbell & Company and its clients could be negatively impacted as a result.
Conflicts of Interest Exist in the Structure and Operation of the Trust
Campbell & Company has not established any formal procedures to resolve the following conflicts of interest. Consequently, there is no independent control over how Campbell & Company resolves these conflicts which can be relied upon by investors as ensuring that the Trust is treated equitably with other Campbell & Company clients.
Campbell & Company has a conflict of interest because it acts as General Partner and sole trading advisor for the Trust. Since Campbell & Company acts as both trading advisor and General Partner for the Trust, it is very unlikely that its advisory contract will be terminated by the Trust. The fees payable to Campbell & Company were established by it and were not the subject of arm's-length negotiation. These fees consist of a brokerage fee of up to 7% (of which 3% is retained) and a 20% performance fee. Campbell & Company, as General Partner, determines whether or not distributions are made and it receives increased fees to the extent distributions are not made. Campbell & Company has the authority to make such distributions at any time in its sole discretion.
Selling agents will be entitled to ongoing compensation as a result of their clients remaining in the Trust, so a conflict exists between the selling agent's interest in maximizing compensation and in advising its clients to make investment decisions in the client's best interests.
The Value Of The Shares Will Be Adversely Affected If The Trust is Required To Make Indemnification Payments
Under the Trust's constituent document and pursuant to the service contracts, Campbell & Company and the service providers have the right to be indemnified for any liability or expense they incur, assuming that they have satisfied their standard of care and have not materially breached the applicable agreement(s). That means an indemnitee may require the assets of the Trust to be sold in order to cover losses or liability suffered by it with respect to the Trust. Any sale of that kind would reduce the value of the Shares of the Trust.
Reliance on Corporate Management and Financial Reporting
Certain of the strategies which may be implemented on behalf of the Trust rely on the financial information made available by the issuers in which the Trust invests. Campbell & Company has no ability to independently verify the financial information disseminated by the thousands of issuers in which the Trust may invest and is dependent upon the integrity of both the management of these issuers and the financial reporting process in general. Recent events have demonstrated the material losses which investors such as the Trust can incur as a result of corporate mismanagement, fraud and accounting irregularities.
The Trust's Fees and Expenses
The Trust is required to make substantial profits in order to avoid depletion or exhaustion of its assets from fees and expenses. In addition, the performance fee paid to Campbell & Company by the Trust is based on both realized and unrealized gains and losses as of the end of the applicable period. Consequently, performance fees could be paid on unrealized gains that may never be realized by the Trust.
Compulsory Redemption of Units
Campbell & Company has the right to redeem all or any portion of the Units of any Investor, for any reason or no reason, upon not less than ten (10) days' prior written notice to the Investor; provided, however, that the Trust may require a redemption of all or any portion of any Investor's Units as of any date without providing any prior notice to avoid causing the assets of the Trust to be "plan assets" within the meaning of ERISA or Section 4975 of the Code. Amounts so redeemed will be calculated and paid as provided above for voluntary redemptions.

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ITEM 1B. UNRESOLVED STAFF COMMENTS
Item 1B.
Unresolved Staff Comments.
None.

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ITEM 2. PROPERTIES
Item 2.
Properties.
The Registrant does not use any physical properties in the conduct of its business. Its assets currently consist of futures and other contracts, cash, short-term time deposits and other fixed income securities.

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ITEM 3. LEGAL PROCEEDINGS
Item 3.
Legal Proceedings.
Campbell & Company is not aware of any material legal proceedings to which the Registrant or Campbell & Company is a party or to which any of their assets are subject.

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ITEM 4. MINE SAFETY DISCLOSURE
Item 4.
Mine Safety Disclosures.
Not Applicable.
PART II

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ITEM 5. MARKET FOR REGISTRANT'S COMMON EQUITY
Item 5.
Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities.
Units of Beneficial Interest are not publicly traded. Units may be transferred or redeemed subject to the conditions imposed by the Amended and Restated Declaration of Trust and Trust Agreement. As of December 31, 2020, there were 1,999 Unitholders and 83,925.461 Units of Beneficial Interest outstanding in Series A, 135 Unitholders and 11,380.986 Units of Beneficial Interest outstanding in Series B, 64 Unitholders and 4,757.939 Units of Beneficial Interest outstanding in Series D, and 277 Unitholders and 8,258.693 Units of Beneficial Interest outstanding in Series W of the Registrant.
Campbell & Company has sole discretion in determining what distributions, if any, the Registrant will make to its Unitholders. Campbell & Company has not made any distributions as of the date hereof.
The Registrant has no securities authorized for issuance under equity compensation plans.

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ITEM 6. SELECTED FINANCIAL DATA
Item 6.
Selected Financial Data.
Dollars in thousands, except per Unit amounts
The following summarized financial information is for the years ended December 31, 2020, 2019, 2018, 2017 and 2016.
For the Year Ended December 31,
Total Assets
$
287,854
$
316,236
$
345,838
$
557,246
$
774,793
Total Unitholders' Capital
279,566
309,507
333,892
545,823
740,734
Total Net Trading Gain (Loss) (includes brokerage commissions)
11,865
32,228
(33,681
)
34,258
(82,812
)
Net Income (Loss)
2,776
26,868
(42,882
)
16,053
(111,115
)
Net Income (Loss) Per Managing Operator and Other Unitholders’ Unit*
Series A
20.10
206.88
(241.12
)
55.84
(356.40
)
Series B
16.90
229.60
(268.63
)
64.98
(377.21
)
Series D**
16.02
7.56
(55.90
)
38.87
-
Series W
77.63
296.97
(226.75
)
147.87
(336.84
)
Increase (Decrease) in Net Asset Value per Managing Operator and Other Unitholders’ Unit
Series A
11.94
184.67
(236.45
)
65.85
(366.47
)
Series B
27.27
215.16
(246.07
)
85.28
(379.71
)
Series D**
18.05
75.33
(85.71
)
52.25
-
Series W
75.92
274.29
(216.72
)
131.44
(351.30
)
Weighted Average Number of Units Outstanding
Series A
91,231.644
101,873.281
136,862.599
190,971.399
244,644.947
Series B
12,412.838
13,936.620
20,850.911
30,486.440
40,919.198
Series D**
4,347.817
1,923.132
1,054.474
164.537
-
Series W
8,541.151
8,679.578
18,617.272
22,999.170
25,201.596
*
Based on weighted average number of units outstanding during the year.
**
Series D Units commenced trading on October 1, 2017.
The following summarized quarterly financial information (unaudited) presents the results of operations for the three-month periods ended March 31, June 30, September 30 and December 31, 2020 and 2019.
1st Qtr.
2nd Qtr.
3rd Qtr.
4th Qtr.
Total Net Trading Gain (Loss) (includes brokerage commissions)
$
20,714
$
(18,075
)
$
(15,759
)
$
24,985
Net Income (Loss)
16,987
(18,195
)
(18,328
)
22,312
Net Income (Loss) per Managing Operator and Other Unitholders’ Unit *
Series A
140.53
(154.98
)
(158.43
)
197.72
Series B
153.56
(169.82
)
(173.13
)
215.87
Series D
54.93
(61.17
)
(62.26
)
83.68
Series W
180.16
(170.18
)
(175.47
)
251.46
Increase (Decrease) in Net Asset Value per Managing Operator and Other Unitholders’ Unit
Series A
136.24
(158.70
)
(161.64
)
196.04
Series B
152.82
(170.41
)
(174.07
)
218.93
Series D
58.72
(61.34
)
(62.93
)
83.60
Series W
177.15
(173.37
)
(178.73
)
250.87
Net Asset Value per Managing Operator and Other Unitholder Unit at the End of the Period
Series A
2,704.25
2,545.55
2,383.91
2,579.95
Series B
2,963.33
2,792.92
2,618.85
2,837.78
Series D
1,100.59
1,039.25
976.32
1,059.92
Series W
3,213.35
3,039.98
2,861.25
3,112.12
Weighted Average Number of Units Per Period
Series A
94,522.042
92,564.922
90,597.713
87,241.898
Series B
12,972.774
12,673.730
12,370.216
11,634.633
Series D
3,629.866
4,055.524
4,754.203
4,951.677
Series W
8,395.537
8,515.137
8,757.813
8,496.115
1st Qtr.
2nd Qtr.
3rd Qtr.
4th Qtr.
Total Net Trading Gain (Loss) (includes brokerage commissions)
$
14,838
$
20,125
$
24,395
$
(27,130
)
Net Income (Loss)
13,898
18,976
22,754
(28,760
)
Net Income (Loss) per Managing Operator and Other Unitholders’ Unit *
Series A
100.68
146.37
182.38
(235.82
)
Series B
106.90
161.66
201.33
(258.23
)
Series D
45.29
64.01
54.96
(87.20
)
Series W
133.18
185.61
230.00
(262.10
)
Increase (Decrease) in Net Asset Value per Managing Operator and Other Unitholders’ Unit
Series A
100.41
145.76
178.01
(239.51
)
Series B
113.23
162.02
198.18
(258.27
)
Series D
44.07
62.47
62.39
(93.60
)
Series W
131.35
184.62
224.89
(266.57
)
Net Asset Value per Managing Operator and Other Unitholder Unit at the End of the Period
Series A
2,483.75
2,629.51
2,807.52
2,568.01
Series B
2,708.58
2,870.60
3,068.78
2,810.51
Series D
1,010.61
1,073.08
1,135.47
1,041.87
Series W
2,893.26
3,077.88
3,302.77
3,036.20
Weighted Average Number of Units Per Period
Series A
108,849.717
102,508.562
98,909.779
97,225.066
Series B
15,312.285
14,007.921
13,322.219
13,104.057
Series D
1,569.589
1,535.419
1,724.770
2,862.750
Series W
9,241.854
8,665.237
8,422.307
8,388.917
*
Based on weighted average number of units outstanding during the period.

---

ITEM 7. MANAGEMENT'S DISCUSSION AND ANALYSIS
Item 7.
Management's Discussion and Analysis of Financial Condition and Results of Operations.
Introduction
The Campbell Fund Trust (the "Trust") is a business trust organized on January 2, 1996 under the Delaware Business Trust Act, which was replaced by the Delaware Statutory Trust Act as of September 1, 2002. The Trust is a successor to the Campbell Fund Limited Partnership (formerly known as the Commodity Trend Fund) which began trading operations in January 1972. The Trust currently trades in the U.S. and international futures, forward and centrally cleared swap markets under the sole direction of Campbell & Company, LP, the managing operator of the Trust. Specifically, the Trust trades in a diverse array of global assets, including global interest rates, stock indices, currencies, credit and commodities. The Trust is an actively managed account with speculative trading profits as its objective.
Effective August 31, 2008, the Trust began offering Series A, Series B, and Series W Units. The units in the Trust prior to that date became Series B Units. Series B Units are only available for additional investment by existing holders of Series B Units. Effective August 1, 2017, the Trust began offering Series D units.
As of December 31, 2020, the aggregate capitalization of the Trust was $279,565,692 with Series A, Series B, Series D and Series W comprising $216,523,843, $32,296,756, $5,043,054 and $25,702,039, respectively, of the total. The Net Asset Value per Unit was $2,579.95 for Series A, $2,837.78 for Series B, $1,059.92 for Series D and $3,112.12 for Series W.
Critical Accounting Policies
The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates utilized in preparing the financial statements are reasonable and prudent; however, actual results could differ from those estimates. The Trust's significant accounting policies are described in detail in Note 1 of the Financial Statements.
The Trust records all investments at fair value in its financial statements, with changes in fair value reported as a component of realized and change in unrealized trading gain (loss) in the Statements of Operations. Generally, fair values are based on market prices; however, in certain circumstances, estimates are involved in determining fair value in the absence of an active market closing price (i.e., forward contracts which are traded in the inter-bank market).
Capital Resources
The Trust will raise additional capital only through the sale of Units offered pursuant to the continuing offering, and does not intend to raise any capital through borrowing. Due to the nature of the Trust's business, it will make no capital expenditures and will have no capital assets which are not operating capital or assets.
The Trust generally maintains 60% to 75% of its net asset value in cash, cash equivalents or other liquid positions in its cash management program over and above that needed to post as collateral for trading. These funds are available to meet redemptions each month. After redemptions and additions are taken into account each month, the trade levels of the Trust are adjusted and positions in the instruments the Trust trades are added or liquidated on a pro-rata basis to meet those increases or decreases in trade levels.
Liquidity
Most United States futures exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as "daily price fluctuation limits" or "daily limits." During a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Trust from promptly liquidating unfavorable positions and subject the Trust to substantial losses which could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Trust may not be able to execute futures trades at favorable prices, if little trading in such contracts is taking place. Other than these limitations on liquidity, which are inherent in the Trust's futures trading operations, the Trust's assets are expected to be highly liquid.
The entire offering proceeds, without deductions, will be credited to the Trust's bank, custodial and/or cash management accounts. The Trust meets margin requirements for its trading activities by depositing cash and U.S. government securities with the futures broker and the over-the-counter counterparty. This does not reduce the risk of loss from trading futures, forward and swap contracts. The Trust receives all interest earned on its assets. No other person shall receive any interest or other economic benefits from the deposit of Trust assets.
Approximately 10% to 30% of the Trust's assets normally are committed as required margin for futures contracts and held by the futures brokers, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury Bills in segregated accounts with the futures brokers pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 5% to 15% of the Trust's assets are deposited with the over-the-counter counterparty or centrally cleared in order to initiate and maintain forward contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparty.
The managing operator deposits the majority of those assets of the Trust that are not required to be deposited as margin with the futures brokers and over-the-counter counterparties in a custodial account with Northern Trust Company. The assets deposited in the custodial account with Northern Trust Company are segregated. Such custodial account constitutes approximately 60% to 75% of the Trust's assets and are invested directly by PNC Capital Advisors, LLC ("PNC"). PNC is registered with the SEC as an investment adviser under the Investment Advisers Act of 1940. PNC does not guarantee any interest or profits will accrue on the Trust's assets in the custodial account. PNC invest the assets according to agreed upon investment guidelines that first preserve capital, second allow for sufficient liquidity, and third provide a yield beyond the risk-free rate. Investments can include, but are not limited to, (i) U.S. Government Securities, Government Agency Securities, Municipal Securities, banker acceptances and certificates of deposits; (ii) commercial paper; (iii) short-term investment grade corporate debt; and (iv) Asset Backed Securities.
The Trust occasionally receives margin calls (requests to post more collateral) from its futures brokers or over-the-counter counterparty, which are met by moving the required portion of the assets held in the custody account at Northern Trust Company to the margin accounts. In the past three years, the Trust has not needed to liquidate any position as a result of a margin call.
The Trust's assets are not and will not be, directly or indirectly, commingled with the property of any other person in violation of law or invested in or loaned to Campbell & Company or any affiliated entities.
Off-Balance Sheet Risk
The term "off-balance sheet risk" refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Trust trades in futures, forward and swap contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Trust, market risk, that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Trust at the same time, and if the Trust's trading advisor was unable to offset futures interests positions of the Trust, the Trust could lose all of its assets and the Unitholders would realize a 100% loss. Campbell & Company, the managing operator (who also acts as trading advisor), minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30% however, these precautions may not be effective in limiting the risk of loss.
In addition to market risk, in entering into futures, forward and swap contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Trust. The counterparty for futures contracts and centrally cleared swap contracts traded in the United States and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.
In the case of forward contracts, which are traded on the interbank market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a group of financial institutions; thus there may be a greater counterparty credit risk. Campbell & Company trades for the Trust only with those counterparties which it believes to be creditworthy. All positions of the Trust are valued each day at fair value. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Trust.
Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts Accounted for at Fair Value
The Trust invests in futures, forward currency, and centrally cleared swap contracts. The market value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of the last business day of the reporting period. The fair value of forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) of the last business day of the reporting period. The fair value of centrally cleared swap contracts is determined by using currency market quotations provided by an independent external pricing source.
Results of Operations
The returns for the years ended December 31, 2020, 2019 and 2018 for Series A were 0.46%, 7.75% and (9.03)%, Series B were 0.97%, 8.29% and (8.66)%, Series D were 1.73%, 7.79% and (8.15)% and Series W were 2.50%, 9.93% and (7.28)% respectively.
During the years ended December 31, 2020, 2019 and 2018, the Trust accrued management fees in the amounts of $8,472,866, $12,792,990, and $16,863,539, respectively, and paid management fees in the amounts of $8,990,885, $12,901,756, and $17,499,643, respectively. During the years ended December 31, 2020, 2019 and 2018, the Trust accrued sales commissions in the amounts of $2,990,891, $0, and $0, respectively, and paid sales commissions in the amounts of $2,573,244, $0, and $0, respectively. During the years ended December 31, 2020, 2019 and 2018, the Trust accrued performance fees in the amounts of $0, $21,165, and $0, respectively, and paid performance fees in the amounts of $0, $21,165, and $3,207.
2020 (For the Year Ended December 31)
Of the 0.46% return for the year ended December 31, 2020 for Series A, approximately 5.03% was due to trading gains (before commissions) and approximately 1.10% due to investment income, offset by approximately (5.67)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series A.
Of the 0.97% return for year ended December 31, 2020 for Series B, approximately 5.03% was due to trading gains (before commissions) and approximately 1.10% due to investment income, offset by approximately (5.16)% due to brokerage fees, management fees, sales commissions and operating costs borne by Series B.
Of the 1.73% return for the year ended December 31, 2020 for Series D, approximately 5.03% was due to trading gains (before commissions) and approximately 1.10% due to investment income, offset by approximately (4.40)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series D.
Of the 2.50% return for the year ended December 31, 2020 for Series W, approximately 5.03% was due to trading gains (before commissions) and approximately 1.10% due to investment income, offset by approximately (3.63)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series W.
An analysis of the 5.03% gross trading losses for the Trust for the year by sector is as follows:
Sector
% Gain (Loss)
Credit
0.08
%
Commodities
10.33
Foreign Exchange
4.31
Interest Rates
2.63
Equity Indices
(12.32
)
5.03
%
The Trust had a strong start to 2020 with gains coming from interest rate, commodity, and foreign exchange positions, while stock index holdings provided some partially offsetting losses. Long positioning in Australia, Europe, and the United States benefited as prices advanced on a flight to safety bid sparked by the worsening Wuhan coronavirus outbreak. A short position on the Canadian 10-year note created some partially offsetting losses, which were accelerated by downward pressure on yields prompted by a dovish shift by Bank of Canada policymakers. Commodity holdings produced additional profits for the Trust in January, with the energy sub-sector realizing the best results. Short positioning on natural gas proved profitable as milder weather across the US weighed on demand prospects. Additional gains were generated from short industrial metal holdings. The base metal complex traded weaker as the coronavirus epidemic raised investor concerns about its negative impact on the Chinese economy. Downward price pressure was further intensified by a strong dollar as well as technical selling. In the foreign exchange sector, positive returns were generated in the developed market currencies. Short positions on the Norwegian krone and Australian dollar (against long the US dollar) provided some of the best profits. The commodity-linked currencies came under pressure as commodity prices sold-off on concerns that the worsening coronavirus outbreak would pare Chinese demand for raw materials. A long Brazilian real holding produced some partially offsetting losses after risk fell out of favor and investors sold emerging market currencies. Global stock index trading produced losses for the Trust during January. Long positioning across most global stock indexes profited early in the month amid the ratification of the “phase one” US-China trade deal, renewed central bank balance sheet expansion, Brexit clarity, and some better than expected US earnings releases. However, profits were relinquished in the second-half of the month as stocks traded lower following risk-off trading as the coronavirus outbreak intensified.
Gains from interest rate, foreign exchange, and commodity positions led to a profitable February for the Trust, while stock index holdings produced some partially offsetting losses. Long positioning in Australia and the United States continued to benefit as prices advanced on flight to safety buying sparked by the worsening COVID-19 coronavirus epidemic. Investors aggressively sought the safety of fixed income instruments, sending global yields tumbling and expectations for further central bank stimulus soaring. In the foreign exchange sector, positive returns were generated in the developed and emerging market currencies. Short positions on the Australian dollar and Norwegian krone (against long the US dollar) provided some of the best profits for the sector. These commodity-linked currencies came under renewed selling pressure during February. The widening spread of COVID-19 to countries outside of China, such as Japan, South Korea, and Italy, sparked new concerns that global economic growth would slow materially, thus blunting the demand for raw materials. Short positioning on the industrial metal, energy, and meat complexes profited from a decline in prices. The expanding COVID-19 outbreak is widely expected to negatively impact demand for base metal, petroleum, and beef products. Downward price pressure was further intensified by a strong US dollar as well as technical selling. Global stock index trading produced losses for the Trust during February with the greatest declines seen in Australia, Japan, and the United States. Long positioning across most global stock indexes generally profited during the first two-thirds of the month. However, late in February global stock indexes experienced steep sell-offs sparked by the coronavirus’s quick spread to countries outside of China where it initially began. World economic growth fears and supply chain disruption concerns spread rapidly, sending most global stock indexes sharply lower.
The Trust had an unprofitable March, with losses coming from stock index and interest rate holdings, while foreign exchange and commodity positions contributed some partially offsetting gains during the month. Global stock index trading produced the largest losses for the Trust, with the greatest declines seen in the United States, Australia, and Canada. Long positioning across most global stock indexes suffered severely as equity indexes experienced very sharp sell-offs during the month. The COVID-19 virus spread quickly throughout Europe and North America prompting containment measures in the form of “stay at home” directives, closures, and shutdowns that sharply curtailed economic activity. Global central banks and governments took unprecedented steps in an effort to soften the financial impact from the virus, but fear over the length and depth of the growth slowdown sent risky assets sharply lower. Interest rate positions from long-dated instruments contributed small additional losses during the month. Short positioning on US 10-year notes and US long bonds suffered amid the flight-to-safety scramble that ensued due to the severe economic upheaval wrought by the COVID-19 virus. Long positioning across global short-dated instruments helped to partially offset losses within the sector. Profits were dominated by short positions on the commodity currencies (versus long the USD), specifically in the Norwegian krone. The US dollar was sharply higher during the month amid the extreme flight-to-quality moves. Adding further downward pressure on oil-linked currencies, the petroleum markets sold off severely when tensions escalated between OPEC and Russia, and Saudi Arabia made the decision to ramp up production. Commodity holdings produced additional profits for the Trust during the month. Short positioning on the industrial metal, energy, and meat complexes profited from a decline in prices. The expanding COVID-19 pandemic is widely expected to negatively impact demand for base metal, petroleum, and beef products. Downward price pressure was further intensified by a strong US dollar as well as technical selling.
The Trust’s losses in April came from foreign exchange and interest rate holdings, while stock index and commodity positions contributed some partially offsetting gains during the month. Short positioning on several of the developed market currencies, namely the Australian dollar and New Zealand dollar, produced losses when those currencies rallied on a partial lifting of COVID-19 containment measures in those countries. Interest rate positions from long-dated instruments contributed additional losses to the portfolio. Long positions on Australian 10-year bonds suffered after the RBA tapered bond-buying operations and the country became one of the first to meaningfully ease lockdown restrictions. Short German Bund positions added to losses as Germany’s debt rallied versus periphery European bonds with Germany weathering the effects of COVID-19 better than their Eurozone counterparts. Stock indexes rebounded considerably from the oversold conditions seen during March as the United States and other countries laid out plans to reopen their economies from the COVID-19 lockdown that has proven to be very damaging to local, regional, and global economic growth. The Trust held a mixture of long and short positioning across global stock indexes during the month. Ultimately the gains on long positions more than offset losses experienced on any short holdings, leading to positive net P&L within the sector. Commodity holdings produced additional partially offsetting profits for the Trust during the month. Short positioning on the petroleum complex produced a bulk of the sector’s profits. Crude oil sold off sharply on the lethal combination of COVID-19 “stay at home” induced demand destruction linked with a shortage of available storage capacity. The May WTI futures contract went below zero for the first time in history as long holders scrambled to sell before contract expiration in order to avoid taking physical delivery given the scarcity of demand and lack of available storage space.
Losses in May once again came from foreign exchange, as well as commodity and stock index holdings, while interest rate positions contributed some gains. May’s short positioning on several of the so-called commodity currencies, namely the Norwegian krone and Australian dollar, produced losses when those currencies rallied strongly. Fueling the run-up was a sharp rebound in many beaten down commodity markets, specifically the energy complex, as optimism grew that the worst of the COVID-19 crisis was over. A long position on the Canadian dollar (versus short the US dollar) contributed some partially offsetting gains for the sector on the same commodity currency drivers cited above. Commodity holdings produced additional losses for the Trust during the month. Short positioning on the energy, grain, and industrial metal complexes showed losses as those markets rallied driven by the improving COVID-19 crisis. A long holding on precious metals, specifically silver, produced some partially offsetting gains for the sector as expected industrial demand overwhelmed limited supplies of the metal. Short positioning on stock indexes in Europe and Japan suffered as most global stock indices continued to bounce higher from the March COVID-19 crisis lows. Regional economic re-openings linked with no new major spikes in coronavirus cases fueled the equity optimism. A long position on the Hong Kong Hang Seng index added to sector losses as that market was one of the few global indexes to sell-off during May. China's legislature approved a proposal to impose a highly contentious national security law in the semi-autonomous territory which sparked the regional equity sell-off. Interest rate positions from both long and short-dated instruments contributed partially offsetting gains to the Trust in May. A short position on the German 10-year note was one of the most profitable markets in the sector. The German Bund sold-off during the month (prices lower and yields higher) as signs of improvement in the coronavirus crisis caused traders to shun safe haven assets in favor of riskier ones.
Foreign exchange trading in both the emerging and developed markets produced losses for the Trust during June. The greatest declines were seen in the Norwegian krone, Australian dollar, and certain Latin American currencies. These commodity-linked currencies strengthened to start the month, causing some strategies to cover their previously held long positions, only to reverse those moves later in June. The investor exuberance over additional government stimulus and the economic re-openings quickly wore off on reports of increasing COVID-19 infection outbreaks. Short soft commodity and industrial metal holdings suffered as the dollar weakened early in the month and as optimism over a rapid recovery in economic growth bolstered prices. Short grain positions produced losses on the last trading day of the month as the grain complex rallied sharply after the USDA reported acreage that trailed estimates. Within the energy sub-sector, a short natural gas holding provided some offsetting gains amid plummeting US gas exports as well as shifting weather and market supply dynamics. Meanwhile, stock index trading generated some offsetting gains. The Trust held a mix of long and short positions across the traded universe of indexes and showed a gain in Asia and North America, but partially offsetting losses were realized in Europe. Most global indexes experienced a choppy month amid mixed coronavirus news coupled with hopes for more stimulus from central banks. Interest rate positions from long-dated instruments also contributed small offsetting gains during the month. The Bank of Japan signaled plans to buy more shorter-maturity bonds which caused the yield curve to steepen and benefited our short positioning on longer-dated Japanese government bonds.
July saw losses for the Trust, driven primarily from stock index holdings and foreign exchange trading in the emerging and developed markets. The United States’ inability to get the COVID-19 virus under control in the face of other nations of the world seemingly better able to handle the crisis generated concern that US economic growth would lag other countries, leading the FOMC to keep highly accommodative monetary easing in place longer. This dichotomy weakened the US dollar to two-year lows hurting the Trust's long US dollar positioning against many other currencies. Stock index trading also generated losses for the Trust during July. Long positioning, primarily in Asia-Pacific and Europe, produced the bulk of the sector's decline. Late in the month both the Asia-Pacific and European regions began to see an uptick in COVID-19 virus cases. Regional governments were quick to discuss the possibility of once again needing to shutdown economies to halt the spread which led to rapid risk-off sentiment in equity markets leading to lower prices. Commodity trading generated the best partially offsetting profits for the Trust. Long positioning on silver and gold proved profitable as both metals showed strong monthly gains. The aforementioned drivers of US dollar weakness were the primary cause of precious metal subsector gains. Some partially offsetting losses came from the grain and energy subsectors. Short grain holdings generated losses as the grain complex rallied during the month on poor crop conditions in the US Plains. Short positioning on natural gas suffered as high summer electric demand in the US sparked high price volatility that the systematic models failed to trade profitably. Interest rate positions from both short-dated and long-dated instruments also contributed gains during July. Long positioning on fixed income instruments profited as prices rose (yields fell) amid US/Chinese geopolitical tensions and as high uncertainty over the course of the COVID-19 crisis led to demand for safe haven assets.
Interest rate positions from both short-dated and long-dated instruments contributed some of the largest losses for the Trust during August. Long positioning on a variety of global fixed income instruments suffered as prices fell (yields rose). The COVID-19 crisis and related emergency fiscal spending has created the need for many governments around the world to finance this spending with new and, in some cases, record levels of debt issuance. That issuance put downward pressure on most global sovereign bond instruments which created losses for the Trust. Commodity trading also experienced sizeable losses for the Trust. A short position on natural gas generated large losses as that commodity rose over 30% during the month. Hot temperatures across the United States drove demand for natural gas for electricity generation to power air conditioning while inventory data showed storage at lower than expected levels. Some partially offsetting gains were experienced in long industrial metals positioning. Longs on copper and nickel profited as prices rose amid signs of a global supply shortage in the face of rising demand from countries such as China. Stock index trading generated partially offsetting gains for the Trust during August. Long positioning, especially in the United States, Canada, Japan, and Germany, produced profits as indexes in those countries experienced strong gains. A lessening of COVID-19 infections, signs that some governments were less willing to renew economic shutdowns to manage the virus crisis, and ongoing monetary and fiscal stimulus actions were all supportive of global stocks during the month. Lastly, foreign exchange trading contributed small additional gains during the month. Losses in emerging FX markets were more than offset by gains in developed FX positions, leading to a net profit within the asset class.
The Trust showed a small loss in September, with interest rate positions from long-dated securities once again contributing some of the largest Trust profits during September. Long positioning on a variety of global fixed income instruments gained as prices rose (yields fell). September had a pronounced risk-off tone that benefitted fixed income holdings due to their attractive safe haven qualities. Overbought conditions in US tech stocks, a lack of progress on another US fiscal stimulus package, some signs that the global economic recovery was stalling, US Presidential election uncertainty, and signs that a new wave of COVID-19 cases was emerging in a variety of regions around the globe all led to the general risk-off malaise. Commodity trading also added gains for the Trust. A short position on natural gas generated profits as that market fell over 10% during the month. Swelling inventories linked with cooler temperatures in much of the United States were the catalyst to lower natural gas prices. A short position on gasoil also proved profitable amid anemic demand as the COVID-19 pandemic crimped diesel fuel purchases. Some partially offsetting losses were experienced in long industrial metal and long grain holdings. Prices in these two subsectors were depressed during the month by a strengthening US dollar on flight to safety buying. Foreign exchange trading contributed small losses during the month. Gains in emerging FX markets were more than offset by losses in developed FX positions, leading to a small net loss within the asset class. Stock index trading generated the largest losses for the Trust during September. Long positioning, especially in Europe, Australia, the UK, and Canada, produced losses as indexes in those countries declined amid the risk-off environment that dominated the month. Fresh virus outbreaks in the UK and Europe linked with concerns that the UK and the European Union were headed for a "no deal" Brexit weighed on equities in those countries. Falling commodity markets due to US dollar strength and concern over global growth prospects depressed equities in Australia and Canada.
The Trust showed a gain in October with profits coming from commodity and FX positions, while stock index and interest rate holdings produced some partially offsetting losses. Commodity trading drove gains for the Trust. Long positioning on the industrial metals complex profited as prices rallied across the subsector with strengthening fundamentals outweighing concerns over a new wave of COVID-19 infections in Europe and the US. Nickel led monthly gains as multiple typhoons in the Philippines threatened exports and COVID-induced mine closures dented supply. Long holdings on the soft commodities also proved profitable. Sugar and cotton both advanced on poor crop conditions driven by adverse weather in their respective growing regions. Foreign exchange trading contributed additional profits during October. Gains were concentrated in emerging FX markets. Short positioning on the Polish Zloty (versus long US dollar) profited amid renewed COVID-19 lockdown measures across Europe. Long holdings on the Korean won and Chinese renminbi (versus short US dollar) experienced gains as both currencies appreciated due to improving economic growth as many Asian countries maintained better control over new COVID-19 outbreaks. Stock index trading generated the largest partially offsetting losses for the Trust. Regionally, stock index performance varied widely and many indexes experienced volatile price action amid a cross current of news and events. European indices saw steep losses and to a lesser extent so did US indexes, while many markets in Asia actually produced gains. This varied and erratic price action proved difficult for the Trust’s systematic trading systems to successfully navigate. Interest rate positions also contributed losses during the month with declines most pronounced in short-dated instruments. Short positioning on European short-end paper was hurt as prices advanced after a resurgence of COVID-19 infections in the region prompted flight-to-safety buying as governments announced new lockdown measures in an attempt to slow the viral outbreak.
The Trust showed a gain in November with profits coming from stock index, commodity, and credit positions, while interest rate and FX holdings produced some partially offsetting losses. Long positioning on global stock indexes drove profits for the Trust during November. Stock markets around the globe started the month strong after the US presidential and congressional election results indicated a divided government in the US and as concerns over a disputed presidential election result began to fade. Bull market optimism continued through the second half of the month as several pharmaceutical companies reported promising results from COVID-19 vaccine trials. Commodity trading also generated gains. Long grain holdings were additive to the Trust with the soy complex providing the largest gains. Soy prices advanced on a bearish supply outlook and expectations that Chinese demand for soybeans will climb next year. Long positioning on the industrial metals complex also generated gains, driven by a weaker US dollar and improving Chinese economic data which sparked a rally as base metal demand expectations improved. In credit trading, short protection positions generated gains as US and European credit spreads narrowed on the same risk-on drivers that drove global stocks higher during the month. Interest rate positions contributed losses during November with declines most pronounced in long-dated instruments. Long positioning on Australian and UK 10-year notes were hurt as yields surged (prices fell) as the flight-to-safety bid dried up following encouraging announcements from COVID-19 vaccine trials. The absence of US election surprises also saw the US long bond sell-off (yields rose) which generated a loss for long positioning on that market as well FX trading contributing small additional losses during November. Losses were realized from trading both the developed and emerging FX markets against the US dollar, which continued its long-term bear trend lower during the month.
The Trust showed a gain in December with profits coming from commodity, stock index, FX, and credit positions, while interest rate holdings produced some partially offsetting losses. Commodity trading drove profits for the Trust during December. Long holdings on the soy complex produced the best results within the sector. Soybeans and related products rallied to multiyear highs on dry weather in key growing regions as Chinese demand continues to rise. Long positioning on the precious metals, softs, and industrial metals generated gains driven by a weaker US dollar and expectations for improving global demand. A short position on natural gas added to profits as warmer weather and abundant supply pushed prices lower in the second half of the month. Long positioning on global stock indexes also generated gains amid a risk-on environment. Stock markets around the globe mostly rallied as COVID-19 vaccines began to be distributed, the US Congress passed a long-awaited COVID fiscal stimulus package that President Trump signed into law, and as the UK and European Union came to a settlement on a Brexit separation agreement late in the month. In credit trading, short protection positions generated gains as US and European credit spreads narrowed on the same risk-on drivers that drove most global stocks higher. Foreign exchange trading contributed additional gains during December. Profits were realized from trading both the emerging and developed FX markets against the US dollar, which continued its long-term bear trend lower during the month. Interest rate positions produced some partially offsetting losses during the month with declines most pronounced in long-dated instruments. Short positioning in UK and German 10-year notes suffered as Brexit uncertainty throughout the month pushed prices higher (yields fell). Long positioning in Australian fixed income instruments and US Treasuries also created losses as prices fell (yields rose) with encouraging vaccine news and prospects for US fiscal stimulus outweighing increasing COVID cases.
2019 (For the Year Ended December 31)
Of the 7.75% return for the year ended December 31, 2019 for Series A, approximately 10.78% was due to trading gains (before commissions) and approximately 2.59% due to investment income, offset by approximately (5.62)% due to brokerage fees, management fees, offering costs and operating costs borne by Series A.
Of the 8.29% return for year ended December 31, 2019 for Series B, approximately 10.78% was due to trading gains (before commissions) and approximately 2.59% due to investment income, offset by approximately (5.08)% due to brokerage fees, management fees and operating costs borne by Series B.
Of the 7.79% return for the year ended December 31, 2019 for Series D, approximately 10.78% was due to trading gains (before commissions) and approximately 2.59% due to investment income, offset by approximately (5.58)% due to brokerage fees, management fees, performance fees, offering costs and operating costs borne by Series D.
Of the 9.93% return for the year ended December 31, 2019 for Series W, approximately 10.78% was due to trading gains (before commissions) and approximately 2.59% due to investment income, offset by approximately (3.44)% due to brokerage fees, management fees, offering costs and operating costs borne by Series W.
An analysis of the 10.78% gross trading losses for the Trust for the year by sector is as follows:
Sector
% Gain (Loss)
Commodities
(8.12
)%
Foreign Exchange
(3.76
)
Interest Rates
12.88
Equity Indices
9.78
10.78
%
The Trust was lower in January with losses coming from commodity and foreign exchange positions, while fixed income and stock holdings produced partially offsetting gains for the Trust. Commodity trading generated losses for the Trust in January. Short energy positions suffered as the complex rebounded from multi-year lows on back of bullish fundamental developments and a general increase in risk sentiment. Short grain positioning also detracted as the sector traded higher amid adverse weather conditions in key growing regions, and some optimism surrounding the latest round of trade talks between the US and China. Foreign exchange positioning produced additional losses, with gains in long emerging market currencies (versus the USD) being overshadowed by losses in the developed markets, where we were net short against the greenback. The USD was broadly weaker on the month with the notable themes being the US government shutdown and a less hawkish FOMC. Short positioning on several of the commodity currencies produced the largest losses as those currencies rallied on back of the increase in prices across the petroleum complex during the month. Interest rate positions from long-dated instruments provided offsetting profits during the month. Long positioning on bonds issued by Australia, Canada, and France generated the largest gains. The shift in central bank rhetoric to a more dovish tone caused global fixed income markets to rise to start the year. Stock index positions also produced some offsetting gains during the month. Despite a myriad of global headwinds, stock markets recovered from their December sell-off, encouraged by a resumption of trade talks, dovish Fed takeaways, and the start of US Q4 earnings that mostly met expectations. Shorter term strategies moved from short to long, flipping net Trust positioning in time to capitalize on rallying equity markets, especially in the Hang Seng index.
The Trust showed a profit in February with gains coming from commodity and stock index positions, while interest rate holdings produced some partially offsetting losses. Foreign Exchange (FX) had little P&L impact on the Trust during the month. Commodity trading generated profits for the Trust in February. Short positioning across the grain subsector produced some of the best sector gains. Wheat extended a sell-off to a ten-month low following a year-over-year improvement in winter crop conditions. A long position on palladium led gains in the precious metals subsector. Palladium rose to a record high amid tight supplies and steadily rising demand for the rare metal. Some partially offsetting losses came from the industrial metal subsector. Short positioning on copper and nickel suffered as prices rose, driven by signs of progress on US / Chinese trade talks and amid tight supplies. Stock index positions produced additional gains. Long positioning on European, US, and Asia-Pacific indices produced the best profits within the sector. European stock indices benefitted from signs of progress for a successful Brexit (the UK divorce from the European Union) with the Euro Stoxx 50 and the French CAC 40 producing some of the greatest sector returns. Asia-Pacific stocks rallied amid signs that a US / Chinese trade deal was also making positive progress. President Trump delayed a March 1st tariff increase on China as he cited “significant progress” on the trade talks. Some of the biggest gains within the region came from Australia and Hong Kong. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting losses during the month. Long positioning on the United Kingdom (UK) gilt (10-year note) contributed the largest losses to the sector. Signs of positive progress on Brexit and hawkish comments from the UK central bank head Mark Carney conspired to send gilt prices down sharply from near-term highs. In the foreign exchange sector, gains in developed market currencies were almost equally offset by losses in the emerging market currencies, leading to negligible P&L for currencies overall. Long US dollar positioning was profitable against developed market currencies but losses in the emerging markets, especially from the Brazilian real and the South African rand, mostly negated any FX sector gains.
The Trust showed a profit in March with gains coming from interest rate and stock index holdings. Foreign exchange positions produced some partially offsetting losses while commodities had little impact on the Trust. Interest rate positions in long- and short-dated instruments spearheaded Trust gains in March. More dovish than expected commentary from central bankers, growing global growth concerns, and persistently weak economic data ignited a sharp rally in bonds worldwide. Long positioning on the UK gilt provided the biggest gain as investors sought safe havens amidst Brexit gridlock. Net long positioning in US bonds generated additional gains after the FOMC scaled back projected interest-rate increases this year to zero and said they would end the drawdown of the central bank bond holdings in September. One of the most discussed bond headlines this month was the inversion of the US yield curve (3-month bills and 10-year note) for the first time since the global financial crisis. Long positioning on a variety of global stock indices also added to the positive monthly result. Stock index returns ebbed and flowed on the various themes of stalling global economy growth, dovish central bank rhetoric, US-China trade talks, and Brexit. Some of the best monthly stock index gains were found in Europe and the United States. Foreign exchange positioning on developed FX markets drove the sector’s losses during the month. The Trust started the month long the Canadian dollar (versus the USD) which ultimately weakened after a worse than expected Canadian GDP release. Small gains in the emerging market currencies helped offset some of the losses. Commodity holdings produced mixed results in March. Long energy positions detracted as upside momentum in the complex stalled alongside a pause in global risk sentiment. Precious metals also registered a negative contribution to the Trust, primarily from a long palladium position. After hitting new all-time highs, palladium prices plummeted in the waning days of the month as slowing global economic growth sparked demand worries. Short grains holdings provided offsetting gains as the complex sold-off into month-end following a bearish USDA grain report.
The Trust showed a profit in April, with gains coming from stock index and commodity positions, while interest rate and foreign exchange holdings produced some partially offsetting losses during the month. Stock index positions produced the best Trust gains. Long positioning on European and Asia-Pacific indexes generated the largest profits within the sector. Global stock indexes generally produced strong gains during April. Those gains were driven by dovish statements from several major central banks, signs of improving economic growth from China, some better-than-expected economic releases from the United States, and amid mostly robust Q1 corporate earnings reports. Commodity trading also generated profits for the Trust in April. Short positioning across the grain subsector produced some of the best sector gains driven by a stronger US dollar and ample global supply expectations. Soybeans traded to a 6-month low while wheat fell to a 6-week low during the month. Long positioning on the energy subsector also added to gains. The subsector benefited from a combination of broad demand for global risk assets and increasing concerns over an undersupplied market. Some partially offsetting losses came from the industrial metals subsector. Long positioning in zinc and copper led losses as the complex suffered its biggest monthly decline on a year-to-date basis. Base metals faced headwinds from a stronger US dollar and climbing inventory stockpiles. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting losses during the month. Long positioning on the United Kingdom gilt (10-year note) and short sterling (90-day bill) contributed the largest losses to the sector. A 6-month Brexit extension sent UK fixed income prices lower as traders liquidated safe-haven positions as the threat of a “hard” UK separation from the European Union (EU) diminished. In the foreign exchange sector, losses were generated in the emerging market (EM) currencies. The trading strategy failed to successfully navigate some choppy price action in the South African rand (against the US dollar) which contributed more than half of the monthly losses within the EM FX sector.
The Trust showed a loss in May, with losses coming from stock index and commodity positions, while interest rate and foreign exchange holdings produced some partially offsetting gains during the month. Stock index positions produced the largest Trust losses. Global stock indexes generally saw steep sell-offs during the month and long positioning on global indexes generated losses within the sector, particularly across Europe and in the United States. Those losses were driven by a sharp escalation of trade tension between the US and both China and Mexico, signs that global growth is decelerating, and as the inverted US Treasury yield curve signaled a higher-than-normal recession risk. Commodity trading also generated losses for the Trust in May. Short positioning across the grain subsector produced the worst sector losses as heavy rains across the Midwest prevented a considerable amount of crop planting in the US. Weekly USDA crop progress reports painted a bullish outlook for prices, especially for corn, which rose sharply to a near three-year high. Long holdings on the energy subsector also added to losses. The energy complex suffered amid weakening demand and as US inventory levels rose to a 22-month high. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting gains during the month. Long positioning on 10-year notes from Australia and the United Kingdom were two of the best performing holdings. Australia’s central bank indicated that interest rate cuts were likely in the coming months sending their notes sharply higher (interest rates fell). In the UK, the Brexit impasse became more uncertain as Prime Minister May stepped down and the future leadership of Britain became less clear. Flight to safety flows benefitted the UK gilt. In the foreign exchange sector, gains were generated in the developed market and emerging market currencies. A short position on the Australian dollar drove gains in the developed FX subsector as that currency sold-off amid some weaker than expected economic data releases and dovish comments from the Governor of the Reserve Bank of Australia. A short position on the Chilean peso proved profitable in the EM subsector as that currency weakened on trade angst and weaker copper prices.
The Trust showed a profit in June with gains coming from stock index and interest rate positions, while foreign exchange and commodity holdings produced some partially offsetting losses during the month. Stock index positions produced the largest Trust profits. Global stock indices bounced back sharply from May’s steep sell-off. Long positioning across most global indexes benefited from signs that major central banks stand ready to provide new stimulus to slowing global economies. Fed Chairman Powell at the June FOMC meeting strongly hinted that rate cuts are coming and ECB President Draghi stated that “in the absence of improvement” in inflation data, “additional stimulus will be required.” Interest rate positions from both long-dated and short-dated instruments provided additional gains during the month. Long positioning in Australia, the United States, Japan, and Europe all benefited from the possibility of renewed central bank easing. Early in the month, the Reserve Bank of Australia became one of the first G10 central banks to actually cut interest rates amid sluggish economic growth and a decline in real estate prices in the country, and then strongly hinted that additional cuts might be warranted. In the foreign exchange sector, losses were generated in the developed market currencies. A short position on the Norwegian krone (versus the US dollar) led sector losses. The Norges Bank bucked the dovish central bank trend and actually hiked interest rates during the month. The hike marked the third increase over the past nine months amid a surge in oil investments, low unemployment, and inflation running above the central bank’s target. Commodity trading provided some small losses for the Trust in June. Industrial metals were the worst performing sub-sector. A short holding on nickel suffered on the back of US dollar weakness and mounting optimism over a Trump-Xi trade meeting on the sidelines of the G-20 summit near month-end. Some partially offsetting gains were seen in long energy holdings. A long position on gasoline profited after a massive fire shut-down one of the East Coast’s largest refineries, crimping supply and sending gas prices sharply higher.
The Trust showed a profit in July with interest rate positions from long-dated instruments providing the best gains during the month. Long positioning, especially in Europe and Australia, benefited from mounting global growth concerns, escalating fears over a “hard” UK Brexit from the EU, and ongoing uncertainty over the US/Chinese trade war. This confluence of headwinds worked to keep major global central banks in accommodation mode which has been supportive of most global bond markets (higher prices and lower interest rates). Most notably, the US FOMC cut interest rates on the last day of the month and the European Central Bank has given clear indications that it expects to provide new stimulus in September. In the foreign exchange sector, gains were generated in the developed market currencies. Short positions on the euro, Swedish krona, British pound, and Norwegian krone (all long against the US dollar) provided some of the best profits. US economic data has proven to be more resilient than many other regions of the globe to the benefit of the dollar. Concerns over a “hard” Brexit in the UK increased after hardliner Boris Johnson was elected as Prime Minister. The pound was the worst performing G10 currency (against the US dollar) during the month. Stock index positions produced additional Trust profits. Long positions in the United Kingdom and Australia were two of the most profitable positions in the sector during July. Stocks in both export-heavy countries rallied strongly as falling currency values in their respective countries fueled gains in companies linked to export activity. Commodity trading also provided some gains for the Trust in July. Short positioning on the grains and softs sub-sectors benefitted from the stronger US dollar and some improving growing conditions. Long positioning on gold and silver profited from flight-to-safety flows amid heightened global uncertainty. Some partially offsetting losses were experience in the industrial metals sub-sector as choppy price action during the month proved challenging.
The Trust showed a profit in August, with interest rate positions from long-dated and short-dated instruments provided the best gains during August. Long positioning, especially in Europe, Australia, Japan, and the US benefited from an escalation of trade tensions between the US and China which heightened global growth concerns. Global bond yields sank sharply as safe-haven demand drove bond prices higher. In addition to the above-mentioned growth concerns, markets had plenty to fret about including a growing likelihood of a no-date (aka “hard”) UK Brexit from the EU, civil unrest in Hong Kong, and an inverted US yield curve which could be signaling a looming US recession. Commodity trading also provided some gains for the Trust during the month. Short holdings on grains and softs were two of the best performing sub-sectors. Corn futures sank in value after US government reports sparked concerns about oversupply. Cotton prices fell amid the widening trade war which dampened demand expectations. Some partially offsetting losses were experienced in the energy sub-sector as choppy price action proved challenging for our trading systems to profitably navigate. Stock index positions contributed losses to the portfolio during August. Long positions in the UK and Australia were two of the biggest losing positions within the sector. Global stocks mostly dropped during the month amid the expanding trade war and generally weaker than expected economic data outside the US. A short position on the Hong Kong Hang Seng index provided some partially offsetting gains as civil unrest and threats of Chinese intervention unnerved investors which helped our bearish position. In the foreign exchange sector, losses from the emerging markets (EM) overwhelmed gains from the developed markets. Long positioning on EM currencies, such as the Brazilian real and South African rand, suffered after a landslide result from the Argentinian primary election. A possible return to left-wing populism sparked a sharp sell-off in the Argentine peso and the fear quickly spilled over into other EM currencies.
The Trust showed a loss in September, with losses coming from interest rate and commodity positions, while stock index holdings produced some partially offsetting gains for the portfolio. Foreign exchange holdings had little impact on the portfolio during the month. Interest rate positions from both short-dated and long-dated instruments provided losses during September. Long positioning, especially in Australia and Europe, contributed the largest losses to the sector as progress on the US-Chinese trade talks overshadowed the US political situation. European fixed income markets took an additional leg lower after the ECB’s hawkish rate cut and commentary which emphasized fiscal policy over additional monetary stimulus. Partially offsetting those losses were gains from short positions on the US 10 year and 30 year Treasury bonds. Commodity trading produced additional losses for the portfolio during the month. Short positioning in some energy markets suffered after the petroleum complex initially spiked higher following the September 14th rebel attacks on a Saudi Arabian oil field and processing facility. In the softs, a short sugar holding incurred losses as the commodity was boosted by signs of tightening supplies. Additional losses were produced from our short grain holdings. The grain markets rose as potential purchases of US agricultural goods by China were said to be in focus in discussions between the countries' trade representatives. Foreign exchange positions had little net P&L impact to the portfolio during September. Gains in our emerging market positions were overwhelmed by a short position on the Australian dollar. The Aussie currency moved higher on back of the improvements in US-Chinese trade talks and the Australian central bank pausing their monetary policy easing measures. Long global stock positioning provided the portfolio with some partially offsetting gains. Stock indexes closed higher in September but ebbed and flowed throughout the month as the markets focused on better US-Chinese trade headlines, improving US macro data, geopolitical concerns, and expectations for more central bank policy support. The best monthly stock index gains were found in Europe.
Losses in October were from foreign exchange, interest rate, commodity, and stock index positions as the Trust’s FX holdings contributed the largest declines during the month. Losses were dominated by short positions in the developed market currencies (versus long the USD), specifically in the British pound, and Australian and New Zealand dollars. The US dollar was broadly weaker during the month amid a US interest rate cut and as risk-on flows were fueled by improving sentiment around both US-China trade relations and the Brexit outlook. The British pound rallied throughout the month on back of Brexit-related enthusiasm. The Australian and New Zealand dollars benefited from the generally positive progress on US-China trade negotiations. Interest rate positions from both short-dated and long-dated instruments contributed additional losses. Long positioning in Japan, Australia, and Europe all suffered amid improving risk sentiment driven by signs that the US and China were making concrete advancements with “Phase One” of the trade deal. Progress towards an orderly United Kingdom exit from the European Union also helped drive investors out of fixed income and into riskier assets which hurt the Trust’s rate positioning. Commodity trading also produced losses for the Trust during October. The energy sub-sector was the main detractor as a short position on natural gas suffered amid cooler than expected temperatures in the US, which sent prices sharply higher. In addition, choppy price action within the petroleum complex proved challenging for our trading systems to profitably navigate. Some partially offsetting gains were achieved in the precious metals, meats, and grains sub-sectors. Global stock index trading was also a drag on the Trust during the month. Short-term strategies experienced losses in the United Kingdom’s FTSE 100 index as they were whipsawed by a sharp sell-off early in October, followed by a recovery later in the month. Some partially offsetting gains were seen from long positioning on US and Japanese stock indices which rose driven by the risk-on tailwinds and better than expected earnings reports seen during the month. Losses in the UK overwhelmed any gains experienced in other regions of the world.
The Trust had a gain in November led by stock index, foreign exchange, and interest rate positions while commodity holdings created some partially offsetting losses for the portfolio. Global stock index trading produced some of the best gains for the Trust during the month. Long positioning across most global stock indexes proved profitable as equities generally moved higher. Investors were driven to deploy sidelined cash amid positive US-China “phase one” trade deal expectations, traction from the global monetary policy pivot, Fed and ECB balance sheet expansion, and some signs of global growth stabilization. In the foreign exchange sector, gains were generated in the developed market and emerging market currencies. A short position on the Australian dollar drove gains in the developed FX subsector as that currency sold-off amid weaker than expected employment data and expectations for easier monetary policy in the foreseeable future. A short position on the Chilean peso proved profitable in the emerging market subsector. What started as a “national strike” in Chile’s capital city quickly developed into rioting and significant social unrest across the country, causing a sharp sell-off in their local currency. Interest rate positions contributed to profits with gains in long-dated bonds overwhelming losses in short-dated notes. The UK parliament voted in favor of a December general election which calmed Brexit jitters and prompted UK 10-year bonds to sell off, creating profits for our short positioning. Partially offsetting losses came from long US 2-year Treasury note holdings which slumped on the back of improving trade talks. Commodity holdings contributed the largest declines to the Trust during the month. Losses were dominated by the energy and industrial metal sub-sectors. Choppy price action within the petroleum complex proved challenging for our trading systems to profitably navigate. The industrial metal sub-sector detracted as long nickel and zinc positions suffered losses. Nickel trended lower throughout the month as concerns over tight supply eased, while zinc fell on increasingly bearish fundamentals.
The Trust generated losses in December with its interest rate, foreign exchange, and commodity positions, while stock index holdings created some partially offsetting gains for the Trust. The interest rate sector generated some of the largest monthly losses. Long positioning on both long-dated and short-dated instruments suffered as prices fell (yields rose) as safe-haven assets were sold due to a resurgent risk-on environment driven by positive progress on a US-China trade agreement. A long position on the Australian 10-year note generated the largest losses within the sector as that instrument sold-off throughout the month. Foreign exchange trading was also a major detractor to the Trust during December. Short positions on the Norwegian krone and Australian dollar (both versus long US dollar) suffered amid an improvement in risk-on sentiment. A cooling of trade tensions between the US and China helped to fuel monthly gains for both of these so-called "commodity currencies" which hurt the Trust's short positioning. Some partially offsetting gains were found in the emerging FX sub-sector. A long position on the Brazilian real (versus short US dollar) benefitted from the same risk-on dynamic. Commodity holdings contributed small additional losses during the month. Short positioning on the grain markets, most notably a short on soybeans, were hurt by progress on a new US-Chinese trade accord where China agreed to purchase large quantities of US crops which sent prices higher. Mostly offsetting gains were generated by the energy sub-sector. Long positioning on Brent and crude produced some of the best profits as those products benefitted from lower inventory levels, some rising geopolitical risks, and a weaker US dollar. Global stock index trading produced the only gains for the Trust during December. Long positioning across most global stock indexes proved profitable as equities generally moved higher during the month. Diminished trade tensions, supportive central bank policies, and dampened risk related to Brexit all provided a tailwind for stocks to close out the decade.
2018 (For the Year Ended December 31)
Of the (9.03)% return for the year ended December 31, 2018 for Series A, approximately (5.87)% was due to trading losses (before commissions) and approximately (5.14)% due to brokerage fees, management fees, offering costs and operating costs, offset by approximately 1.98% due to investment income earned by Series A.
Of the (8.66)% return for year ended December 31, 2018 for Series B, approximately (5.87)% was due to trading losses (before commissions) and approximately (4.77)% due to brokerage fees, management fees and operating costs, offset by approximately 1.98% due to investment income earned by Series B.
Of the (8.15)% return for the year ended December 31, 2018 for Series D, approximately (5.87)% was due to trading losses (before commissions) and approximately (4.26)% due to brokerage fees, management fees, offering costs and operating costs, offset by approximately 1.98% due to investment income earned by Series D.
Of the (7.28)% return for the year ended December 31, 2018 for Series W, approximately (5.87)% was due to trading losses (before commissions) and approximately (3.39)% due to brokerage fees, management fees, offering costs and operating costs, offset by approximately 1.98% due to investment income earned by Series W.
An analysis of the (5.87)% gross trading losses for the Trust for the year by sector is as follows:
Sector
% Gain (Loss)
Commodities
(2.00
)%
Foreign Exchange
3.47
Interest Rates
1.79
Equity Indices
(9.13
)
(5.87
)%
The Trust showed a profit in January as gains came from foreign exchange, stock index, and interest rate holdings. Commodity positions showed some losses. Foreign exchange positioning, in both developed and emerging FX markets, generated gains during January. The Trust was predominately positioned short the US dollar against other traded currencies and benefitted from a weaker greenback during the month. The weakness can be attributed to a few different themes, including expected hawkish central bank policy shifts outside the US as growth exceeds expectations, trade tensions, and US deficit concerns. The best gains came from long positioning on the British pound, Norwegian krone, and euro all versus short the US dollar. Long positioning on global stock indices also drove profits for the Trust. Most global stock indices welcomed 2018 with robust gains driven by a variety of factors. A synchronized upswing of global economic growth, stronger than expected corporate earnings results, and a major tailwind from the recently passed tax reform in the US all drove equities higher. The so-called “fear of missing out” dynamic only intensified the demand for equity exposure. The best profits were generated in the United States and across Asia, specifically in Hong Kong and Taiwan. Interest rate positions, from long-dated and short-dated bond markets, created additional gains for the Trust. Short positioning on US markets, specifically the 10-year and 5-year notes along with 90-day Eurodollar and 2-year notes, drove a bulk of the profits in the sector. US yields marched higher throughout the month as bond prices dropped amid expectations that the US Federal Reserve will continue its gradual interest rate policy tightening, as US inflation expectations continue to firm against a positive economic backdrop. Commodity holdings produced losses during the month. Profits from long positioning on precious and industrial metals and energy markets were overwhelmed by losses from short grain holdings. The weaker US dollar and stronger economic environment helped the metal and energy longs while strong export sales data hurt the grain shorts.
The Trust declined in February due to losses from stock index, commodity, and foreign exchange holdings. Fixed income positions showed partially offsetting gains. Long positioning on global stock indices drove losses for the Trust. After extending the long-term rally to start 2018, global equity markets spiked lower in the first half of the month. The sell-off was led by US stocks as markets experienced a sharp increase in volatility. While crowded equity positions sold off on profit-taking, the VIX (a measure of volatility on the S&P 500) had its largest ever daily climb on February 5th. The largest Trust loss came out of the US, specifically on the short VIX contract. Commodity holdings produced additional losses. The biggest commodity sub-sector losses were found within the energy markets as long positioning across the complex suffered on the back of increasing US supplies. Additionally, short grain positions generated losses as those markets rallied on strong export sales activity and weather concerns in key growing regions. Long precious metal positions also produced losses amid the stronger US dollar, firmer inflation, and quicker Fed tightening expectations. Foreign exchange positioning, in both developed and emerging FX markets, generated losses during February. After the recent trend of a weakening US dollar, the Trust was positioned short the USD against all of our traded currencies and suffered from a broad correction in the greenback during the month. The reaction from the FX markets to the equity sell-off early in the month was relatively muted, and the market instead focused on higher US yields and heightened inflation expectations. Interest rate positions created some offsetting gains for the Trust. Short positioning on US markets drove the bulk of the profits in the sector. After global fixed income markets rallied on the risk-off trade early in February, Treasuries saw a greater correction than other government bond markets. US yields ultimately moved higher on the month amid expectations that the Federal Reserve will continue its path of tightening, while inflation expectations continue to firm against a positive economic backdrop.
March for the Trust was comprised of gains from commodity holdings while stock index and foreign exchange positions showed partially offsetting losses. Interest rate positions had little impact on the Trust during the month. Commodity holdings produced the best gains during March. Long positioning on the crude complex within the energy sub-sector generated profits. Geopolitical concerns around the US potentially pulling out of the Iran nuclear deal, bullish inventory data, and speculation that the Organization of Petroleum Exporting Countries (“OPEC”) might extend existing production cuts all combined to push energy prices higher during the month. Mixed positioning across the softs sub-sector proved profitable in March as well. A short sugar position gained amid ongoing global surplus concerns while a long cocoa holding also experienced profits as output worries from the Ivory Coast lifted prices. Long positioning on global stock indices produced some losses for the Trust. Holdings in Australia, Singapore, Hong Kong, Japan, and the US contributed to some of the worst performance within the sector. Fear over a potential global trade war, tightening financial conditions after the US Federal Reserve raised interest rates, and concern over additional turnover among senior members of President Trump’s inner circle all put pressure on global equity markets during the month. Foreign exchange positioning on developed FX markets drove the sector’s losses during March. A late month rally in the US dollar produced losses from short dollar positions. The largest loss came from short US dollar versus a long euro holding. Dampening of concerns around a global trade war and quarter-end flows into the greenback both helped to boost the currency in the waning days of the month. Positioning on emerging market currencies produced almost no P&L effect for the Trust during March. Interest rate positions contributed a negligible P&L impact for the Trust. Gains from long-term markets were offset by losses in short-term markets leaving the sector nearly unchanged for the month.
The Trust had losses in April which came from foreign exchange and commodity positions while fixed income and stock index holdings produced some partially offsetting gains for the Trust. Foreign exchange positioning, in both developed and emerging FX markets, generated losses in April. After the recent trend of a weakening US dollar, the Trust was positioned short the US dollar against most of our traded currencies and suffered from a broad correction in the greenback. Early in the month, FX markets focused more on trade frictions and geopolitical tension but as those concerns eased, the market instead looked to higher US interest rates and heightened inflation expectations, causing a US dollar rally. Commodity holdings produced additional losses during April. The biggest sub-sector detractor was found within the industrial metals complex. Short positioning on aluminum suffered when the commodity pushed higher on supply worries following Russian sanctions by the White House. Energy and soft commodity holdings produced partially offsetting gains. Long positioning across the crude complex generated profits as the sub-sector rose to multi-year highs on supply disruptions. Interest rate positions, from long-dated and short-dated bond markets, created gains for the Trust. Short positioning on US markets, specifically the 10-year and 5-year notes along with Eurodollar and 2-year notes, drove profits in the sector. US bond prices fell and yields trended higher with the 10-year note yield piercing the widely scrutinized 3% level intra-month. Firming inflation expectations and the rebound in the US dollar provided support to yields. Long positioning on several stock indices produced additional gains as global stock markets rose in April. Reduced tariff tensions, strong US earnings, and eased geopolitical concerns on the Korean peninsula provided a tailwind for equities during the month. Additionally, European stocks were supported after the European Central Bank (“ECB”) steered away from any surprises during their April meeting.
Losses in May came from all four asset classes traded by the Trust - Interest Rates, FX, Commodities, and Stock Indices. Interest rate positions generated some of the largest losses for the Trust during May. Long positioning on the Italian 10-year note suffered amid a sharp sell-off due to political turmoil in the country which sparked speculation that Italy might leave the European Union. That same turmoil sent US interest rate markets higher due to safe-haven buying which hurt the Trust as it was positioned short across the entire US interest rate curve in anticipation of further FOMC rate hikes later this year. Foreign exchange positioning, in both developed and emerging FX markets, also generated losses during the month. A long position on the British pound (versus short US dollar) declined in value as the ongoing BREXIT impasse, weaker UK economic data, and fading Bank of England rate-hike expectations all conspired to push the currency lower. A long position on the Turkish lira added to sector losses as economic and political woes in that country sent the EM currency to record lows against the dollar. Commodity holdings produced additional losses as well. A short sugar position suffered as the soft commodity advanced as Brazilian supply concerns boosted prices amid a trucker strike in the country. Other sub-sector losses were experienced in the grains, meats, and precious metals. The energy sub-sector, however, provided some partially offsetting gains. Long positioning across the crude complex benefitted as prices generally stayed in the uptrend that began almost one year ago. Long positioning on a variety of global stock indices produced some good profits for the Trust early in the month as most world indices experienced gains. Unfortunately, later in May, the political concerns that flared in Italy and renewed trade tensions between the US and China trigged a sharp reversal in prices, especially in Europe and Asia, which resulted in losses for some of the holdings. A long position on the Italian stock index was one of the worst performing markets for the sector.
Gains in June came from all four asset classes traded by the Trust - FX, Interest Rates, Commodities, and Stock Indices. Foreign exchange positioning generated some of the strongest gains during the month. While the positive returns were dominated by our short developed market positions (versus long the USD), we also saw gains across various emerging market currencies as well. The US dollar saw choppy trading early in June but ultimately continued the uptrend from the first two months of the second quarter. The DXY dollar index hit fresh 2018 highs and the greenback finished the month stronger versus the majority of our tradeable currencies. The back and forth headlines on a potential global trade war, coupled with dovish policies outside of the US, proved to be the major macro themes driving foreign exchange markets during the month. Interest rate positions generated additional gains for the Trust during June. Short positioning in US markets, specifically the 90-day Eurodollar and 2-year notes, created the bulk of fixed income gains as yields rose (prices fell) on the back of a 25 basis point FOMC rate hike, hawkish US Fed commentary, and a higher-than-expected projection for two additional US rate hikes this year. Policy divergence between the Fed and other central banks, such as the ECB and the Bank of Japan, benefitted our positioning. Commodity holdings produced small additional profits as well. A short corn position experienced strong profits as the grain fell to multi-month lows amid above-average crop progress and on concerns that trade tensions between the US and China could hurt US exports. Long energy positions produced profits after a larger-than-expected reduction in US oil inventories. Long positioning on a variety of global stock indices added slightly to the positive monthly result. Stock index returns ebbed and flowed on the numerous headlines surrounding trade tensions between the US and her trading partners. Some of the best monthly stock index gains were found in Australia, Canada, and the United States.
Losses in July came from commodities, FX and interest rates, while stock indices provided some partially offsetting gains. Commodity holdings produced some of the largest monthly losses for the Trust. Long energy positions declined as the complex fell from multi-year highs amid a myriad of bearish developments including global trade tensions and climbing output from OPEC. Short grain positions suffered as the agricultural complex rallied sharply sparking a short squeeze amid supply concerns. Long positioning on the industrial metals also created losses due to a sell-off created by fears over a global trade war and related concerns about future demand from China. Foreign exchange positioning generated additional losses during the month. Short commodity currency holdings (versus long US dollar) produced losses for the Trust as those markets rose as trade war fears dampened somewhat in the second half of the month. Short European foreign exchange positioning (versus long US dollar) also experienced losses, most notably from the Swedish krona which rallied after the Riksbank (Sweden’s central bank) turned more hawkish amid stronger economic data in that country during the month. Interest rate positions were also a drag on the Trust during July. Long positioning in Europe and the APAC region suffered as bond investors grew more concerned that global central banks are beginning to slowly withdraw stimulus with an eye towards higher interest rates in the future. Short positioning across much of the US interest rate curve provided some partially offsetting gains as US fixed income prices fell with other global bond markets. Long positioning on a variety of global stock indices added some partially offsetting gains to the Trust during the month. Most stock indices enjoyed a bullish tailwind from a stronger-than-expected second quarter earnings season which eclipsed the uncertainty caused by on-again, off-again international trade tensions.
Profits in August came from commodities and FX while interest rates and stock indices provided some partially offsetting losses during the month. Commodity holdings produced some of the largest monthly gains for the Trust. Short grain positions profited as the sub-sector sold off amid trade turmoil, beneficial weather, and higher yield estimates. Long energy holdings across the crude complex experienced gains as looming US sanctions on Iran, which are expected to cripple the nation’s oil exports, as well as larger than expected US inventory draws, fueled prices higher. The soft commodity sub-sector also added gains to the bottom-line, led by a short coffee holding. Coffee prices were pressured to a 12-year low amid a weaker Brazilian real and record harvest forecasts in Brazil. Foreign exchange positioning generated additional profits during the month. Long US dollar positions, against both developed and emerging market currencies, generated the gains. A short New Zealand dollar holding (versus long US dollar) experienced some of the greatest gains as weaker economic data and a dovish central bank caused the kiwi to sell-off. In emerging markets, a short holding on the South African rand (versus long US dollar) provided profits as expectations for further increases in US interest rates continued to put pressure on emerging market currencies. Interest rate positions were a drag on the Trust during August. Short positioning on US and United Kingdom fixed income markets suffered amid flight-to-safety buying and short-covering. Mounting concerns over the stability of emerging markets, especially in countries such as Argentina and Turkey, fueled demand for the relative safety of fixed income instruments as potential contagion fears spread. Long positioning on a variety of global stock indices also detracted from the monthly gains of the Trust. European and Asia long holdings generated most of the losses. Ongoing global trade tensions linked with uncertainty over BREXIT negotiations in the UK, and weaker than expected tech earnings, in Asia pressured those regions lower.
The Trust declined in September due to losses from FX and stock index positions, while commodity and fixed income holdings produced offsetting gains for the Trust. Foreign exchange positioning, in both developed and emerging markets, generated losses in September. After the recent trend of a strengthening US dollar and emerging market weakness, the Trust was positioned long the US dollar against most of our traded currencies and suffered from a correction in the greenback. Early in the month, FX markets focused more on trade frictions and geopolitical tension but those concerns gradually eased and emerging market currencies saw their first monthly gain since March. Stock index holdings produced additional losses for the Trust. Long positioning on a variety of indices suffered from choppy markets that were whipsawed by global trade concerns between the US and her major economic partners. Balancing losses were gains seen from the Nikkei, which posted its best month in a year. Japanese shares were helped by a weaker yen which acted as a tailwind to exporters and a government which may be willing to make a trade deal. Interest rate positions from short US fixed income markets created gains for the Trust during the month. US bond markets fell and yields rose due to firming inflation data, a hike by the US Federal Reserve, and the decreasing risk of emerging market contagion. Providing smaller offsetting losses were our long positions on the long-dated European bond markets. Commodity holdings produced additional offsetting gains for the Trust during the month. The largest sub-sector gains were found in energies as long WTI and Brent oil positions profited. Oil prices rose on the potential for refinery disruptions from tropical storms and fears of a supply crunch from looming US-lead sanctions on Iran, outweighing the bearish effects of escalating disputes over global trade.
Stock index holdings generated steep losses for the Trust during October as long positioning on a variety of global indices suffered as most world stocks sold-off sharply. A myriad of negative headwinds for global equities contributed to the sudden risk-off tone including peak earnings concerns, tighter financial conditions, trade-war fears, decelerating Chinese economic growth, the strong US dollar, waning benefits from US tax reform, geopolitical tensions on several fronts, a slowdown in corporate buyback activity ahead of Q3 earnings reports, and a weakening US housing market. Commodity holdings caused additional losses for the Trust during October. The energy and softs sub-sectors produced the worst results. Long positioning on the petroleum complex sold-off in sympathy with global stocks. In the softs, a short position on coffee produced losses as that commodity rose about 10% during the month, fueled by Brazilian real strength that triggered a bout of short covering. The grains sub-sector provided some offsetting gains as short holdings profited as the complex traded lower during the month amid the stronger US dollar. Foreign exchange positioning, in both developed and emerging markets, generated some partially offsetting gains in October. Long positioning on the US dollar, the highest yielding G10 currency, profited as key European currencies stumbled following renewed BREXIT-related concerns and some disappointing economic data in the region. In the G10 basket of currencies, only the Japanese yen outperformed the US dollar as safe-haven buying benefitted the yen over the dollar. Interest rate positions from long German and Japanese markets created additional partially offsetting gains. Safe-haven demand pushed fixed income prices up (yields fell) which boosted the Trust’s long holdings, leading to a positive sector outcome during October.
In November, losses came from foreign exchange, fixed income, and stock index positions, while commodity holdings produced some partially offsetting gains for the Trust. Foreign exchange positioning, in both developed and emerging markets, generated the largest losses in November. Long positioning on the US dollar against most of our traded currencies proved to be a headwind for the Trust. After having one of its best months in two years in October, the US dollar saw choppy trading throughout the month of November. A potential shift in US FOMC interest rate policy, trade war headlines, and a softening US inflation outlook helped prevent the dollar from a continuation of its broader move higher. Interest rate positions from short US 2-year notes and short US 90-day Eurodollars led to sector losses. Short-dated fixed income markets rallied in the US (yields fell) as several dovish speeches by US FOMC members, including Chairman Powell, indicated that the Fed might be closer to pausing US interest rate hikes than the market previously expected. Stock index positions also detracted during the month. The Trust held a mix of long and short positioning across the traded universe of global indices. Most global indices experienced a choppy month as traders weighed a mix of news related to trade wars, US Fed policy, global economic growth, and BREXIT. Some small gains were found in North America, but more than offsetting losses were realized in Europe and Asia. Commodity holdings produced some partially offsetting gains for the Trust during November, with the energy sub-sector realizing the best results. Long positioning on natural gas proved profitable as colder than expected temperatures in the US set-off a rally that led to a massive short-squeeze, sending prices higher by almost 40% during the month. A short on gasoline was also profitable as the petroleum complex continued its recent sell-off. Some partially offsetting losses were seen in a short soybean position as hopes for a truce in the US-Chinese trade war sent prices higher.
Profits in December were seen across all major asset classes traded - foreign exchange, commodities, interest rates, and stock indices. Foreign exchange positioning, mostly from developed markets, generated some robust gains in December. Short positioning on several of the so-called commodity currencies, primarily the Australian dollar and Canadian dollar (all versus long the US dollar), produced the best gains. The Canadian dollar sold off in sympathy with the meltdown in prices across the petroleum complex during the month. The Aussie dollar fell in value as China, a major export market for Australian commodities, reported weaker than expected economic data, generating concern about future demand. Commodity holdings also produced solid gains for the Trust during December, with the softs, grains, and industrial metals sub-sectors realizing the best results. Short positioning on cotton profited as prices fell due to concerns surrounding a recent slowdown in export sales activity. A short holding on soybeans proved profitable as prices fell amid a slowdown in US exports due to the ongoing US trade dispute with China. Short positioning on aluminum also produced profits from falling prices fueled by a barrage of weaker than expected economic data out of China. Interest rate positions from short-dated instruments provided additional profits during the month. Long positioning on short-term notes issued by the US, Europe, Canada, and the United Kingdom all generated gains. These positions benefitted from flight-to-safety flows seen during December as investors aggressively sold stocks and sought the relative safety that fixed income instruments provide. Stock index positions also added to gains during December. Short positioning on several global indices generated profits as most global stocks experienced a steep sell-off. A myriad of headwinds sent stocks reeling including higher US interest rates, signs of a global economic slowdown, ongoing tensions between the US and China over trade policies, and a partial US government shutdown fueled by bipartisan tensions.

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ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
Item 7A.
Quantitative and Qualitative Disclosures About Market Risk.
Introduction
Past Results Not Necessarily Indicative of Future Performance
The Trust is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or a substantial amount of the Trust's assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Trust's main line of business.
Market movements result in frequent changes in the fair market value of the Trust's open positions and, consequently, in its earnings and cash flow. The Trust's market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Trust's open positions and the liquidity of the markets in which it trades.
The Trust rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Trust's past performance is not necessarily indicative of its future results.
Standard of Materiality
Materiality as used in this section, "Quantitative and Qualitative Disclosures About Market Risk," is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage and multiplier features of the Trust's market sensitive instruments.
Quantifying the Trust's Trading Value at Risk
Quantitative Forward-Looking Statements
The following quantitative disclosures regarding the Trust's market risk exposures contain "forward-looking statements" within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact (such as the dollar amount of maintenance margin required for market risk sensitive instruments held at the end of the reporting period).
The Trust's risk exposure in the various market sectors traded is estimated in terms of Value at Risk (VaR). The Trust estimates VaR using a model based upon historical simulation (with a confidence level of 97.5%) which involves constructing a distribution of hypothetical daily changes in the value of a trading portfolio. The VaR model takes into account linear exposures to risks, including equity and commodity prices, interest rates, foreign exchange rates, credit, and correlation among these variables. The hypothetical changes in portfolio value are based on daily percentage changes observed in key market indices or other market factors to which the portfolio is sensitive. The Trust's VaR at a one day 97.5% confidence level corresponds to the negative change in portfolio value that, based on observed market risk factors, would have been exceeded once in 40 trading days or one day in 40. VaR typically does not represent the worst case outcome.
The Trust uses approximately one quarter of daily market data and revalues its portfolio for each of the historical market moves that occurred over this time period. This generates a probability distribution of daily "simulated profit and loss" outcomes. The VaR is the 2.5 percentile of this distribution.
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The current methodology used to calculate the aggregate VaR represents the VaR of the Trust's open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
The Trust's VaR computations are based on the risk representation of the underlying benchmark for each instrument or contract and does not distinguish between exchange and non-exchange dealer-based instruments. It is also not based on exchange and/or dealer-based maintenance margin requirements.
VaR models, including the Trust's, are continually evolving as trading portfolios become more diverse and modeling techniques and systems capabilities improve. Please note that the VaR model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by the Trust in its daily risk management activities. Please further note that VaR as described above may not be comparable to similarly titled measures used by other entities.
Because the business of the Trust is the speculative trading of futures, forwards, and swaps, the composition of the Trust's trading portfolio can change significantly over any given time period, or even within a single trading day, which could positively or negatively materially impact market risk as measured by VaR.
The Trust's Trading Value at Risk in Different Market Sectors
The following tables indicate the trading Value at Risk associated with the Trust's open positions by market category as of December 31, 2020, 2019 and 2018 and the trading gains/losses by market category for the years then ended.
December 31, 2020
Market Sector
Value
at Risk*
Trading
Gain/(Loss)**
Credit
0.11
%
0.08
%
Commodities
0.71
%
10.33
%
Foreign Exchange
0.51
%
4.31
%
Interest Rates
0.87
%
2.63
%
Equity Indices
0.63
%
(12.32
)%
Aggregate/Total
1.43
%
5.03
%
*
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Trust's open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
**
Represents the gross trading for the Trust for the year ended December 31, 2020.
Of the 0.46% return for the year ended December 31, 2020 for Series A, approximately 5.03% was due to trading gains (before commissions) and approximately 1.10% due to investment income, offset by approximately (5.67)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series A.
Of the 0.97% return for year ended December 31, 2020 for Series B, approximately 5.03% was due to trading gains (before commissions) and approximately 1.10% due to investment income, offset by approximately (5.16)% due to brokerage fees, management fees, sales commissions, and operating costs borne by Series B.
Of the 1.73% return for the year ended December 31, 2020 for Series D, approximately 5.03% was due to trading gains (before commissions) and approximately 1.10% due to investment income, offset by approximately (4.40)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series D.
Of the 2.50% return for the year ended December 31, 2020 for Series W, approximately 5.03% was due to trading gains (before commissions) and approximately 1.10% due to investment income, offset by approximately (3.63)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series W.
December 31, 2019
Market Sector
Value
at Risk*
Trading
Gain/(Loss)**
Commodities
0.51
%
(8.12
)%
Foreign Exchange
0.60
%
(3.76
)%
Interest Rates
0.61
%
12.88
%
Equity Indices
0.71
%
9.78
%
Aggregate/Total
1.19
%
10.78
%
*
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Trust's open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
**
Represents the gross trading for the Trust for the year ended December 31, 2019.
Of the 7.75% return for the year ended December 31, 2019 for Series A, approximately 10.78% was due to trading gains (before commissions) and approximately 2.59% due to investment income, offset by approximately (5.62)% due to brokerage fees, management fees, offering costs and operating costs borne by Series A.
Of the 8.29% return for year ended December 31, 2019 for Series B, approximately 10.78% was due to trading gains (before commissions) and approximately 2.59% due to investment income, offset by approximately (5.08)% due to brokerage fees, management fees and operating costs borne by Series B.
Of the 7.79% return for the year ended December 31, 2019 for Series D, approximately 10.78% was due to trading gains (before commissions) and approximately 2.59% due to investment income, offset by approximately (5.58)% due to brokerage fees, management fees, performance fees, offering costs and operating costs borne by Series D.
Of the 9.93% return for the year ended December 31, 2019 for Series W, approximately 10.78% was due to trading gains (before commissions) and approximately 2.59% due to investment income, offset by approximately (3.44)% due to brokerage fees, management fees, offering costs and operating costs borne by Series W.
December 31, 2018
Market Sector
Value
at Risk*
Trading
Gain/(Loss)**
Commodities
0.87
%
(2.00
)%
Foreign Exchange
0.80
%
3.47
%
Interest Rates
0.47
%
1.79
%
Equity Indices
0.76
%
(9.13
)%
Aggregate/Total
2.11
%
(5.87
)%
*
The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Trust's open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
**
Represents the gross trading for the Trust for the year ended December 31, 2018.
Of the (9.03)% return for the year ended December 31, 2018 for Series A, approximately (5.87)% was due to trading losses (before commissions) and approximately (5.14)% due to brokerage fees, management fees, offering costs and operating costs, offset by approximately 1.98% due to investment income earned by Series A.
Of the (8.66)% return for year ended December 31, 2018 for Series B, approximately (5.87)% was due to trading losses (before commissions) and approximately (4.77)% due to brokerage fees, management fees and operating costs, offset by approximately 1.98% due to investment income earned by Series B.
Of the (8.15)% return for the year ended December 31, 2018 for Series D, approximately (5.87)% was due to trading losses (before commissions) and approximately (4.26)% due to brokerage fees, management fees, offering costs and operating costs, offset by approximately 1.98% due to investment income earned by Series D.
Of the (7.28)% return for the year ended December 31, 2018 for Series W, approximately (5.87)% was due to trading losses (before commissions) and approximately (3.39)% due to brokerage fees, management fees, offering costs and operating costs, offset by approximately 1.98% due to investment income earned by Series W.
Material Limitations of Value at Risk as an Assessment of Market Risk
The following limitations of VaR as an assessment of market risk should be noted:
1)
Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;
2)
Changes in portfolio value caused by market movements may differ from those of the VaR model;
3)
VaR results reflect past trading positions while future risk depends on future positions;
4)
VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and
5)
The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.
VaR is not necessarily representative of historic risk nor should it be used to predict the Trust's future financial performance or its ability to manage and monitor risk. There can be no assurance that the Trust's actual losses on a particular day will not exceed the VaR amounts indicated or that such losses will not occur more than once in 40 trading days.
Non-Trading Risk
The Trust has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Trust also has non-trading market risk as a result of investing a portion of its available assets in U.S. Treasury Bills held at the broker and over-the-counter counterparty. The market risk represented by these investments is minimal. Finally, the Trust has non-trading market risk on fixed income securities held as part of its cash management program. The cash manager will use its best endeavors in the management of the assets of the Trust but provide no guarantee that any profit or interest will accrue to the Trust as a result of such management.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Trust's market risk exposures - except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Trust manages its primary market risk exposures - constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Trust's primary market risk exposures as well as the strategies used and to be used by Campbell & Company for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Trust's risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Trust. There can be no assurance that the Trust's current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Trust.
The following represent the primary trading risk exposures of the Trust as of December 31, 2020 by market sector.
Foreign Exchange
The Trust's currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Trust trades in a large number of currencies, including cross-rates - i.e., positions between two currencies other than the U.S. Dollar. Campbell & Company does not anticipate that the risk profile of the Trust's currency sector will change significantly in the future.
Interest Rates
Interest rate movements directly affect the price of the sovereign bond positions and interest rate swap contracts held by the Trust and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Trust's profitability. Campbell & Company does not anticipate that the risk profile of the Trust’s interest rate sector will change significantly in the future.
Equity Indices
The Trust's primary equity exposure is to equity price risk in the G-7 countries as well as Australia, Hong Kong, Singapore, Spain, Taiwan, Netherlands, India, South Africa and Sweden. The stock index futures traded by the Trust are by law limited to futures on broadly based indices. The Trust is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices. Markets that trade in a narrow range could result in the Trust's positions being "whipsawed" into numerous small losses.
Credit
The Trust’s primary credit exposure is through fluctuations in the credit worthiness of a particular reference entity, basket of reference entities, or an index.
Energy
The Trust's primary energy market exposure is to natural gas, crude oil and derivative product price movements often resulting from international political developments and ongoing conflicts in the Middle East and the perceived outcome. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.
Metals
The Trust's metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, palladium, platinum, silver and zinc.
Agricultural
The Trust's agricultural exposure is to fluctuations of the price of cattle, cocoa, coffee, corn, cotton, hogs, soy, sugar and wheat.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the primary non-trading risk exposures of the Trust as of December 31, 2020.
Foreign Currency Balances
The Trust's primary foreign currency balances are in Australian Dollar, British Pounds, Canadian Dollar, Euros, Hong Kong Dollar, Japanese Yen, Singapore Dollar, South African Rand and Swedish Krona. The Trust controls the non-trading risk of these balances by regularly converting these balances back into dollars (no less frequently than twice a month, and more frequently if a particular foreign currency balance becomes unusually large).
Fixed Income Securities and Short Term Investments
The Trust's primary market exposure in instruments (other than treasury positions described in the subsequent section) held other than for trading is in its fixed income portfolio. The cash manager, PNC, has authority to make certain investments on behalf of the Trust. All securities purchased by the cash manager on behalf of the Trust will be held in the Trust's custody account at the custodian. The cash manager will use its best endeavors in the management of the assets of the Trust but provides no guarantee that any profit or interest will accrue to the Trust as a result of such management.
U.S. Treasury Bill Positions Held for Margin Purposes
The Trust also has market exposure in its U.S. Treasury Bill portfolio. The Trust holds U.S. Treasury Bills with maturities no longer than six months. Violent fluctuations in prevailing interest rates could cause minimal mark-to-market losses on the Trust's U.S. Treasury Bills, although substantially all of these short-term investments are held to maturity.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The means by which the Trust and Campbell & Company, severally, attempt to manage the risk of the Trust's open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per "risk unit" of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses.
General
The Trust is unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations. From time to time, certain regulatory agencies have proposed increased margin requirements on futures contracts. Because the Trust generally will use a small percentage of assets as margin, the Trust does not believe that any increase in margin requirements, as proposed, will have a material effect on the Trust's operations.
During 2020, the Trust operated as normal during the coronavirus outbreak. The Trust had access to and the ability to trade in approved markets. There were no disruptions in the Trust’s accounting processes, transfer agent processes or cash processes, including the ability to pay redemptions and meet margin requirements.
The future impact of COVID-19 on the financial performance of the Trust’s investments will depend on future developments, including the effectiveness of vaccines and their recent rollout to the public as new strains of the virus emerge, and related advisories and restrictions. These developments and the impact of COVID-19 on the financial markets and the overall economy are highly uncertain and cannot be predicted. If the financial markets and/or the overall economy are impacted for an extended period, the Trust’s ability to trade and investment results may be materially affected.

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ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA
Item 8.
Financial Statements and Supplementary Data.
Financial statements meeting the requirements of Regulation S-X appear beginning on Page 60 of this report. The supplementary financial information specified by Item 302 of Regulation S-K is included in Item 6 - Selected Financial Data.

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ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS
Item 9.
Changes in and Disagreements with Accountants on Accounting and Financial Disclosure.
None.

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ITEM 9A. CONTROLS AND PROCEDURES
Item 9A.
Controls and Procedures.
Campbell & Company, the managing operator of the Trust, with the participation of the managing operator's chief executive officer and managing director, operations and finance, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in the Securities Exchange Act of 1934 Rules 13a-15(e) or 15d-15(e)) with respect to the Trust as of the end of the period covered by this annual report. Based on their evaluation, the chief executive officer and managing director, operations and finance have concluded that these disclosure controls and procedures are effective. There were no changes in the managing operator's internal control over financial reporting applicable to the Trust identified in connection with the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or 15d-15 that occurred during the last fiscal quarter that have materially affected, or is reasonably likely to materially affect, internal control over financial reporting applicable to the Trust.
Management's Annual Report on Internal Control over Financial Reporting
Campbell & Company, LP ("Campbell & Company"), the managing operator of the Trust, is responsible for the management of the Trust. Management of Campbell & Company ("Management") is responsible for establishing and maintaining adequate internal control over financial reporting. The internal control over financial reporting is designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles.
The Trust's internal control over financial reporting includes those policies and procedures that:
•
Pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the Trust;
•
Provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that the Trust's transactions are being made only in accordance with authorizations of Management and;
•
Provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of the Trust's assets that could have a material effect on the financial statements.
Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.
Management assessed the effectiveness of the Trust's internal control over financial reporting as of December 31, 2020. In making this assessment, Management used the framework established in Internal Control - Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission ("COSO"). As a result of this assessment and based on the criteria in the COSO framework, management has concluded that, as of December 31, 2020, the Trust's internal control over financial reporting was effective.
Management's report was not subject to attestation by the Trust's independent registered public accounting firm pursuant to rules of the Securities and Exchange Commission that permit the company to provide only management's report in this annual report.

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ITEM 9B. OTHER INFORMATION
Item 9B.
Other Information.
None.
PART III

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ITEM 10. DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE
Item 10.
Directors, Executive Officers and Corporate Governance.
The Registrant has no directors or executive officers. The Registrant has no employees. It is managed by Campbell & Company in its capacity as managing operator. Campbell & Company has been registered as a commodity pool operator (CPO) since September 1982. Its main business address is 2850 Quarry Lake Drive, Baltimore, Maryland, 21209, (410) 413-2600. Campbell & Company's directors and executive officers are as follows:
G. William Andrews, born in 1972, joined Campbell & Company in April 1997 and, since November 2012, has served as the Chief Executive Officer of Campbell & Company and Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor and an SEC registered investment adviser. Mr. Andrews is a member of the Board of Directors of various organizations, including Campbell & Company, LLC, the general partner of Campbell & Company; Campbell Core Offshore Limited, an international business company incorporated in the Cayman Islands; The Campbell Offshore Fund Limited SPC (formerly known as The Campbell Global Assets Fund Limited SPC), a segregated portfolio company incorporated in the Cayman Islands; Campbell Managed Futures Offshore Fund - CAD, an exempted company incorporated in the Cayman Islands; Campbell Equity Alpha Offshore Fund Limited, an exempted company incorporated in the Cayman Islands; Campbell Equity Alpha Master Fund LP, an exempted limited partnership registered in the Cayman Islands; and Campbell Financial Services, LLC, an SEC-registered broker-dealer and FINRA member. Since August 2017, Mr. Andrews has served as an officer of Campbell & Company Delaware, LLC, the general partner of the Campbell Equity Alpha Onshore Fund, LP, a limited partnership formed in Delaware, the Campbell Equity Alpha Cayman, LP, an exempted limited partnership registered in the Cayman Islands, and the Campbell Equity Alpha Master Fund LP. Since November 2014, Mr. Andrews has also served as an officer of Campbell & Company, LLC. Since August 2018 Mr. Andrews has served on the firm’s Executive Committee. Since March 2010, Mr. Andrews has served on the firm’s Investment Committee. Mr. Andrews served as Co-Director of Research from November 2011 until October 2012; Chief Operating Officer from January 2010 to May 2012; Vice President, Director of Operations from April 2007 to January 2010; Vice President: Director of Research Operations from March 2006 to April 2007 and Research Assistant from March 2005 to February 2006. Mr. Andrews has also served as the Vice President and Chief Operating Officer of Campbell & Company Investment Adviser LLC from March 2010 to June 2012. Mr. Andrews holds an M.B.A. in Finance from Loyola College in Maryland and a Bachelor of Social Science from Waikato University, New Zealand. Mr. Andrews became listed as a Principal of Campbell & Company and Campbell & Company Investment Adviser LLC effective June 21, 2006 and March 29, 2010, respectively and registered as an NFA Associate Member and an Associated Person of Campbell & Company effective April 10, 2013 and April 11, 2013, respectively.
D. Keith Campbell, born in 1942, has served as Chairman of the Board of Directors of Campbell & Company since its inception in January 1972. Mr. Campbell currently serves as the Chairman of the Board of Directors of Campbell & Company, LLC, which is the general partner of Campbell & Company. Since August 2018 Mr. Campbell has served on the firm’s Executive Committee. Mr. Campbell served as the President of Campbell & Company until January 1994, and was Chief Executive Officer until January 1998. Mr. Campbell has acted as a commodity trading advisor since January 1972 when, as general partner of the Campbell Fund Trust, a limited partnership engaged in commodity futures trading, he assumed sole responsibility for trading decisions made on its behalf. Since then, he has applied various technical trading models to numerous discretionary futures trading accounts. Mr. Campbell, as a sole proprietor, has been registered with the CFTC as a commodity pool operator since June 30, 1982 and a NFA Associate Member since July 1, 1984. Mr. Campbell became listed as a principal of Campbell & Company effective September 29, 1978 and as a NFA Associate Member and an Associated Person effective September 29, 1997 and October 29, 1997, respectively. Mr. Campbell became listed as a principal of Campbell & Company Investment Adviser LLC effective July 9, 2008. With respect to Mr. Campbell’s previously referenced commodity pool operator registration, Mr. Campbell became listed as a Principal effective March 10, 1975 and became registered as an Associated Person, a Swap Associated Person and a Forex Associated Person on February 28, 2013, March 1, 2013 and March 15, 2013, respectively.
Dr. Kevin Cole, born in 1972, joined Campbell & Company in October 2003 and has served as Chief Research Officer of both Campbell & Company and Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor and an SEC-registered investment adviser, since June 2017. Since August 2018 Mr. Cole has served on the firm’s Executive Committee. In February 2017, Dr. Cole was appointed to serve Campbell & Company and Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor and an SEC-registered investment adviser. Since he joined the firm Dr. Cole has had a significant role in the ongoing research and development of Campbell & Company’s trading systems. Dr. Cole formerly served as Deputy Chief Research Officer from January 2016 to June 2017, Director, Investment Strategies from October 2013 to December 2015, Research Manager from October 2006 to September 2013 and Senior Researcher from October 2003 to September 2006. He was appointed to the firm’s Investment Committee in January 2016. As Chief Research Officer, Dr. Cole is responsible for the management of the research and investment process at the firm. Dr. Cole holds a B.A. in Economics from Georgetown University, and received a Ph.D. in Economics with a concentration in Finance from the University of California, Berkeley. Dr. Cole was listed as a Principal of Campbell & Company and Campbell & Company Investment Adviser LLC effective March 20, 2017.
Thomas P. Lloyd, born in 1959, joined Campbell & Company in September 2005 and, since December 2018, has served as General Counsel, Chief Compliance Officer, and Secretary of both Campbell & Company and Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor, and an SEC-registered investment adviser. In this capacity, Mr. Lloyd is currently involved in all aspects of legal affairs, compliance and regulatory oversight. Since joining the firm, Mr. Lloyd has also served as an officer of Campbell & Company and its affiliates in multiple capacities, including: Co-General Counsel; Chief Compliance Officer; President; Vice President; Secretary; and Assistant Treasurer. Since joining the firm, Mr. Lloyd has also served as an officer and/or a member of the Board of Directors of entities affiliated with Campbell & Company, including: Campbell & Company Investment Adviser LLC; Campbell Financial Services, LLC, a wholly-owned subsidiary of Campbell & Company, an SEC-registered broker-dealer, and a FINRA member; Campbell & Company, LLC, the general partner of Campbell & Company; Campbell & Company Delaware, LLC, the general partner of the Campbell Equity Alpha Onshore Fund, LP, a limited partnership formed in Delaware, and Campbell Equity Alpha Cayman, LP and the Campbell Equity Alpha Master Fund LP, both exempted limited partnerships registered in the Cayman Islands; and Campbell Core Offshore Limited and the Campbell Managed Futures Offshore Fund - CAD, both international business companies incorporated in the Cayman Islands. From July 1999 to September 2005, Mr. Lloyd was employed by DBSI, a broker/dealer subsidiary of a global investment bank, in several positions, including Managing Director and head of the legal group for Deutsche Bank Alex. Brown, the Private Client Division of DBSI. Mr. Lloyd holds a B.A. in Economics from the University of Maryland, and a J.D. from the University of Baltimore School of Law. Mr. Lloyd is a member of the Bars of the State of Maryland and the United States Supreme Court. Mr. Lloyd initially became listed as a Principal of Campbell & Company and Campbell & Company Investment Adviser LLC effective October 20, 2005 and December 12, 2005, respectively. Mr. Lloyd became registered as a NFA Associate Member and an Associated Person of Campbell & Company effective August 30, 2010.
Gabriel Morris, CFA, Chief Operating Officer, born in 1977, joined Campbell & Company in October 2006 and since July 2019 has served as Chief Operating Officer of both Campbell & Company and Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor, and an SEC- registered investment adviser. In this capacity, Mr. Morris is responsible for overseeing middle office, back office, human resources and corporate finance functions. Since joining the firm, Mr. Morris has also served as an officer and/or a member of the Board of Directors of entities affiliated with Campbell & Company, including: Campbell & Company Investment Adviser LLC; Campbell Financial Services, LLC, a wholly-owned subsidiary of Campbell & Company, an SEC-registered broker-dealer, and a FINRA member; Campbell & Company, LLC, the general partner of Campbell & Company; Campbell & Company Delaware, LLC, the general partner of the Campbell Equity Alpha Onshore Fund, LP, a limited partnership formed in Delaware, and Campbell Equity Alpha Cayman, LP and the Campbell Equity Alpha Master Fund LP, both exempted limited partnerships registered in the Cayman Islands; and Campbell Core Offshore Limited, Campbell Advantage Offshore Limited, and the Campbell Managed Futures Offshore Fund - CAD, each an international business company incorporated in the Cayman Islands. Mr. Morris has also served as Managing Director, Operations & Finance from August 2018 to June 2019, Director of Market Data from March 2017 to July 2018, and Director of Investment Operations from September 2013 to March 2017. Mr. Morris also held the positions of Director of Performance Reporting, Performance Reporting Analyst, Assistant Manager of Fund Administration and Fund Administration Associate. Prior to his employment at Campbell & Company, Mr. Morris was employed by Johns Hopkins University from October 2003 to October 2006. Mr. Morris holds a M.S. in Technology Management from Columbia University and a B.S. in Business & Management from Johns Hopkins University. Mr. Morris is a CFA charterholder and holds Series 3, 7 and 27 licenses.
There has never been a material administrative, civil or criminal action brought against Campbell & Company or any of its directors, executive officers, promoters or control persons.
No Forms 3, 4, or 5 have been furnished to the Registrant since inception. To the best of the Registrant's knowledge, no such forms have been or are required to be filed.
Audit Committee Financial Expert
No individual is named as the "audit committee expert' because no member of the Audit Committee ("Committee") individually meets all five qualifications in the SEC definition of an "audit committee financial expert"; however, management has determined that the members of the Committee collectively possess the attributes necessary to perform this function.
Code of Ethics
Campbell & Company has adopted a code of ethics for its Chief Executive Officer, Managing Director, Operations and Finance, Director of Fund Accounting, Accounting Managers and persons performing similar functions. A copy of the code of ethics may be obtained at no charge by written request to Campbell & Company's corporate secretary, 2850 Quarry Lake Drive, Baltimore, Maryland 21209 or by calling 1-800-698-7235.

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ITEM 11. EXECUTIVE COMPENSATION
Item 11.
Executive Compensation.
The Trust does not itself have any officers, directors or employees. The Trust pays management fees and performance fees to Campbell & Company. The directors and managing officers of Campbell & Company are remunerated by Campbell & Company in their respective positions. The directors and managing officers receive no "other compensation" from the Trust. There are no compensation plans or arrangements relating to a change in control of either the Trust or Campbell & Company.
Campbell & Company receives (i) a monthly management fee of 1/12 of 2% of the month-end net assets of the Series A Units, Series B Units, Series D Units and Series W Units without reductions for distributions, redemptions or withdrawals during said month, totaling approximately 2% of the average month-end net assets per year of the Series A Units, Series B Units, Series D Units and Series W Units; (ii) a monthly sales fee of 1/12 of 2% of the month-end net assets of the Series A Units and Series B Units without reductions for distributions, redemptions or withdrawals during said month, totaling approximately 2% of average month-end net assets per year of the Series A Units and Series B Units; (iii) a monthly sales fee of 1/12 of 0.75% of the month-end net assets of the Series D Units without reductions for distributions, redemptions or withdrawals during said month, totaling approximately 0.75% of average month-end net assets per year of the Series D Units; and (iv) a quarterly performance fee of 20% of the aggregate cumulative appreciation (if any) in the net asset value per unit of the Series A Units, Series B Units, Series D Units and Series W Units at the end of each quarter, exclusive of appreciation attributable to interest income, allocable to such Series of Units, and as adjusted for subscriptions and redemptions, on a cumulative high water mark basis, charged quarterly. In determining the fees in this paragraph, net assets shall not be reduced by the performance fees being calculated for such current period. In respect of each Series of Units, "aggregate cumulative appreciation" means the total increase in Unit value of such Series of Units from the commencement of trading, minus the total increase in Unit value of such Series of Units for all prior quarters, multiplied by the number of Units of such Series outstanding. The performance fee is paid only on profits attributable to each Series of Units outstanding. The performance fee is accrued monthly and paid quarterly.

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ITEM 12. SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS
Item 12.
Security Ownership of Certain Beneficial Owners and Management and Related Shareholder Matters.
(a)
Security Ownership of Certain Beneficial Owners. As of December 31, 2020, no Units of Beneficial Interest are owned or held by an officer of Campbell & Company.
(b)
Security Ownership of Management. As of December 31, 2020, Campbell & Company did not own any Series A, Series B, Series D or Series W Units.

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ITEM 13. CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS
Item 13.
Certain Relationships and Related Transactions, and Director Independence.
See Item 11 - Executive Compensation and Item 12 - Security Ownership of Certain Beneficial Owners and Management and Related Shareholder Matters.

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ITEM 14. PRINCIPAL ACCOUNTING FEES AND SERVICES
Item 14.
Principal Accounting Fees and Services.
The principal accountant for the years ended December 31, 2020 and 2019 was Deloitte & Touche LLP.
(a)
Audit Fees
The aggregate fees billed for professional services rendered by the principal accountant for the audit of the Trust's annual financial statements, for review of financial statements included in the Trust's Forms 10-Q and other services normally provided in connection with regulatory filings for the years ended December 31, 2020 and 2019 were $229,125 and $224,250, respectively.
(b)
Audit Related Fees
None.
(c)
Tax Fees
None.
(d)
All Other Fees
None.
(e)
The Board of Directors of Campbell & Company approved all of the services described above. The Board of Directors has determined that the payments made to its independent accountants for these services are compatible with maintaining such auditors' independence. The Board of Directors explicitly pre-approves all audit and non-audit services and all engagement fees and terms.
PART IV

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ITEM 15. EXHIBITS, FINANCIAL STATEMENT SCHEDULES
Item 15.
Exhibit and Financial Statement Schedules.
(a)
The Following documents are filed as part of this report:
(1)
See Financial Statements beginning on page 60 thereof.
(2)
Schedules:
Financial statement schedules have been omitted because they are not included in the financial statements or notes hereto applicable or because equivalent information has been included in the financial statements or notes thereto.
(3)
Exhibits
Exhibit Number
Description of Document
3.01
Articles and Plan of Merger of the Campbell Fund Limited Partnership with and into the Registrant dated January 2, 1996 (1)
3.02
Amended and Restated Declaration of Trust and Trust Agreement of the Registrant dated February 3, 2010 (2)
10.01
Advisory Agreement between the Registrant and Campbell & Company LP (1)
10.02
Global Institutional Master Custody Agreement (2)
10.03
Investment Management Agreement with PNC Capital Advisors LLC, as cash manager (3)
31.01
Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.
31.02
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
32.01
Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
32.02
Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
101.01
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of December 31, 2020 and 2019, (ii) Statements of Financial Condition as of December 31, 2020 and 2019, (iii) Statements of Operations For the Years Ended December 31, 2020, 2019 and 2018, (iv) Statements of Cash Flows For the Years Ended December 31, 2020, 2019 and 2018, (v) Statements of Changes in Unitholders' Capital (Net Asset Value) For the Years Ended December 31, 2020, 2019 and 2018, (vi) Financial Highlights For the Years Ended December 31, 2020, 2019 and 2018, (vii) Notes to Financial Statements.
(1)
Incorporated by reference to the respective exhibit to the Registrant's Form 10 filed on April 30, 2003.
(2)
Incorporated by reference to the respective exhibit to the Registrant's Quarterly Report on Form 10-Q filed on August 15, 2011.
(3)
Incorporated by reference to the respective exhibit to the Registrant's Quarterly Report on Form 10-Q filed on May 15, 2014.