EDGAR 10-K Filing

Company CIK: 1043951
Filing Year: 2024
Filename: 1043951_10-K_2024_0001140361-24-014821.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 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, 2023, the aggregate capitalization of the Trust was $496,580,382 with Series A, Series B, Series D and Series W comprising $378,102,257, $38,104,608, $28,301,256 and $52,072,261, respectively, of the total. The Net Asset Value per Unit was $3,752.86 for Series A, $4,157.17 for Series B, $1,516.25 for Series D and $4,671.72 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 Trust 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, 2023 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 Trust deposits its assets which 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 “Custodian”). The assets deposited in the custodial account with the Custodian are segregated. Such custodial account constitutes approximately 40% to 80% of the Trust’s assets and is invested directly by PNC Capital Advisors, LLC (the “Cash Manager”). The Cash Manager is registered with the Securities and Exchange Commission as an investment adviser under the Invest-ment Advisers Act of 1940. The Cash Manager does not guarantee any interest or profits will accrue on the Trust’s assets in the custodial account. The Cash Manager will invest in accordance with the agreed upon investment guidelines. The Cash Manager may invest the Trust assets in: (i) U.S. government, agency, or municipal securities; (ii) banker acceptances or certificates of deposits; (iii) commercial paper or money market securities; (iv) short-term, investment-grade corporate debt securities; or (v) investment-grade, 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
The Trust has engaged the Cash Manager, a wholly owned subsidiary of PNC Bank National Association, as cash manager to manage and control the liquid assets of the Trust. The Cash Manager is incorporated in the State of Delaware, U.S.A., and is registered as an investment adviser with the Securities and Exchange Commission 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
3-Month SOFR
Amsterdam IDX
Australian Dollar (2)
CDX Emerging Markets
Czech Koruna
Canola
3MTH SONIA
CAC 40 Stock Index
Brazilian Real (3)
CDX High Yield North American Index
Hong Kong Dollar
China Iron Ore 62%
Australian 3-Year Bond
DAX Index
British Pound (2)
CDX Investment Grade North American Index
Mexican Peso
Cocoa
Australian 10-Year Bond
DJ Euro Stoxx 50
Canadian Dollar (2)
iTraxx Crossover Europe Index
New Zealand Dollar
Coffee
Australian 90-Day Bill
DJ Index
Chilean Peso (3)
iTraxx Investment Grade Europe Index
Norwegian Krone
Copper
Canadian 10-Year Bond
E-Mini S&P 500 ESG
Chinese Yuan (3)
iTraxx Senior Financials Europe Index
Polish Zloty
Corn
Canadian 90-Day Bill
FTSE 100 Index
Colombian Peso
Singapore Dollar
Cotton
Euro-BOBL
FTSE China A50
Czech Koruna
South African Rand
Crude Oil
Euro-BTP Italian Gov Bond
FTSE JSE Top 40
Euro (2)
Swedish Krona
ECX Emissions Allowance
Euribor
FTSE MIB Index
Hungarian Forint
Swiss Franc
Feeder Cattle
Eurodollar
FTSE Taiwan Index
Gold
Euro-Bono Spanish Gov. Bond
Hang Seng China Enterprises Index
Indian Rupee (3)
Heating Oil
Euro-BUND
Hang Seng Index
Indonesian Rupiah
High Grade Copper
Euro-Buxl 30-Year Bond
IBEX35 Stock Index
Japanese Yen (2)
KC Hard Red-Winter Wheat
Euro-OAT French 10-Year Bond
IFSC Nifty 50 Index
Mexican Peso
Live Cattle
Euro-Schatz
Mini MSCI EAFE Index
New Zealand Dollar
London Brent Crude
Japanese 10-Year Bond
Mini MSCI Emerging Markets
Norwegian Krone
London Gas Oil
Long Gilt
MSCI Singapore
Philippine Peso (3)
Natural Gas
Short Term Euro-BTP
NASDAQ 100 Index
Singapore Dollar
NY Gasoline RBOB
Treasury Notes/2-Year
Nikkei
Polish Zloty
Palladium
Treasury Notes/5-Year
OMX Stock Index
South African Rand
Platinum
Treasury Notes/10-Year
Russell 2000 Index
South Korean Won (3)
Robusta Coffee Future
Treasury Notes/30-Year
S&P 400 Index
Swedish Krona
Silver
Treasury Ultra Long Bond
S&P 500 Index
Swiss Franc (2)
Soybean Meal
S&P Canada 60 Index
Taiwan Dollar (3)
Soybean Oil
SGX Nifty 50 Index
Soybeans
SPI 200 Index
Sugar #11 (World)
STOXX Europe 600 ESG
Wheat
TOPIX
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
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.
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
The managing operator pays an upfront sales commission based on Series A units sold by selling agents who have executed selling agreements with the Trust. The Trust pays commissions based on Series A, Series B, and Series D units.
For Series A, there is an upfront sales commission paid by the managing operator of 2% of the subscription amount of each subscription for units. For up to twelve months after the sale of units, the managing operator will receive from the Trust a monthly reimbursement of 1/12 of 2% (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.
UBS Securities, LLC and Goldman Sachs & Co.
Brokerage Commissions
The Trust pays clearing and brokerage commissions and fees at a rate of approximately $4 for each round-turn trade, or approximately 0.60% of average month-end net assets per year of each Series of Units. This estimated amount includes futures clearing and execution commissions and other related fees, such as exchange, regulatory and transfer fees.
NatWest Markets plc
Over-the-Counter Counterparty Execution and Clearing Costs
The Trust pays the over-the-counter counterparty prime brokerage fees of approximately $4 per $1 million of over-the-counter contracts it facilitates on behalf of the Trust, plus any additional electronic trading platform fees. These prime brokerage and electronic trading platform fees will equal approximately 0.05% of the Trust’s average month-end net assets per year of each Series of Units. The Trust also incurs implicit costs included in the spread between the bid and ask prices of foreign exchange contracts purchased or sold by the Trust.
Goldman Sachs & Co.
Swap Trading Fees
With regard to the trading of certain swap contracts, the Trust pays swap execution fees, central clearing counterparty fees, broker fees, and initial margin charges which equal approximately 0.05% of the Trust’s average month-end net assets per year of each Series of Units.
These swap trading fees, combined with the prime brokerage fees and the futures brokers’ charges, will equal approximately 0.70% of the Trust’s month-end average 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.
Other
Operating Expenses
The Trust pays operating expenses (other than the cost of the Units), including, but not limited to, administrative, transfer agency, legal and accounting fees, insurance, 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 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. 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 clearing houses. OTC trades submitted for clearing are subject to minimum initial and variation margin requirements set by the relevant clearing house, 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 clearing house 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 came into effect in late 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 clearing houses 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 increased and may 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.
The SEC and the CFTC under Dodd-Frank require that certain categories of swaps (in the case of the CFTC) and security-based swaps (in the case of the SEC) be traded and executed on trading facilities and cleared through central clearing counterparties.
Using such a 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. The SEC has adopted similar reporting requirements, which have been in effect since 2021. 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.
Many of the OTC derivatives dealers that the Trust is facing are required to register with the CFTF as swap dealers and 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) and epidemics, pandemics (e.g., COVID-19) or other outbreaks of serious contagious diseases. The occurrence of a natural disaster, epidemic or pandemic could 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 programs or Campbell & Company’s ability to do business. The impact of infectious diseases on the health of Campbell & Company’s employees could materially disrupt Campbell & Company’s business activities and negatively affect Campbell & Company’s ability to effectively monitor and manage the Fund’s portfolio and operate the Fund in general. Infectious diseases or other public health crises can result in volatility in financial markets, which may disrupt historical pricing relationships or trends that Campbell & Company’s strategies and models are based on, resulting in substantial and sudden losses to the Fund. This risk of loss can be compounded by the fact that in disrupted markets positions may become illiquid and financing might become unavailable. Volatility may also make it more difficult or costly to rebalance portfolios or keep them within investment guidelines or targets.
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, actual or threatened 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.
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. 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 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. 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 interest 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.
Currency/Cross Rates Trading
The Trust may trade currencies through cross rates trading, which is the off-exchange trading of the exchange rate between two retail currency pairs. This may include cross rates trading of the exchange rate between two currency pairs other than the U.S. Dollar. The risk of loss in cross rates trading can be substantial. Investors should be aware that cross rates transactions are not traded on an exchange, and those funds deposited with the counterparty for cross rates 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 OTC derivative products in which two parties agree to exchange payment streams that may be calculated in relation to a rate, index, instrument or certain securities, and a particular “notional amount”.
While there are many benefits to trading via swap, there are also costs. In some markets, including the U.S. where directed orders are not permitted via swaps, there may be more latency associated with trading equity securities via swap since the Fund cannot directly access certain trading venues when trading via swap. In such cases, the reference price for a swap may be less favorable than it would have been had the Fund been able to access the trading venue directly. In addition, because swap counterparties may be unwilling to provide exposure to specific securities when unable to hedge their resulting exposure, the Fund may not be able to gain exposure to certain issuers when trading via swap. Further, in many markets, swap counterparties will not accept “give up” hedges executed by other counterparties. In those markets (which include the United States), the Fund will not be able to execute positions with a different broker than the broker that provides financing to the Fund.
Swaps may be subject to various types of risks, 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 equity securities, long-term or short-term interest rates, non-U.S. currency values, 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 will not be limited to any particular form of swap agreement if Campbell & Company determines that other forms are consistent with the Trust’s investment objective and policies. The most significant factor in the performance of swaps is the change in individual equity values, specific interest rate, currency or other factors that determine the amounts of payments due to and from the counterparties. If a swap calls for payments by the Trust, the Trust must have sufficient cash availability to make such payments when due.
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.
Interest Rate Swaps
An interest rate swap is an agreement between two parties to exchange one stream of interest payments for another over a set period of time. Although there are a number of types of interest rate swaps, the most commonly traded and most liquid interest rate swaps, “plain vanilla swaps,” which exchange fixed-rate payments for floating-rate payments based on an established reference rate, usually set daily.
Interest-rate swaps involve two primary risks: interest rate risk and credit risk/counterparty risk. Because actual interest rate movements do not always match expectations, interest rate swaps entail interest-rate risk. For example, in a plain vanilla swap, the receiver (the counterparty receiving a fixed-rate payment stream) profits if interest rates fall and loses if interest rates rise. Conversely, the payer (the counterparty paying a fixed-rate payment stream) profits if rates rise and loses if rates fall. Interest rate swaps are also subject to the counterparty’s credit risk; that is, the chance that the other party to the contract will default on its obligations. This risk has been partially mitigated by CFTC mandated, central counterparty, clearing for a significant number of interest rate swaps. However, the risk is still higher than that of investing in a “risk-free” U.S. Treasury bond.
Regulatory
The Current Markets are Subject to Governmental Intervention That May Be a Detriment to Your Investment
The legal and regulatory environment worldwide for the financial services industry (such as Campbell & Company and the Fund) and is subject to change. Changes in the regulation of investment funds, their managers, and their trading and investing activities may have a material adverse effect on the ability of the Fund to pursue its investment program and on the value of investments held by the Fund.
There has been an increase in regulatory scrutiny of the financial markets and the investment fund industry, resulting in an unprecedented amount of legislation that impacts the Fund and Campbell & Company: principally, the Dodd-Frank Act and the JOBS Act. Such regulatory changes have impacted the investment fund industry through, among other things: (i) establishing minimum amounts of initial margin that must be posted for certain financial instruments; (ii) requiring certain derivatives to be cleared through central clearing houses; (iii) changing pre- and post-trade transparency obligations applicable to financial instruments admitted to trading on certain trading venues; and (iv) introducing a new focus on regulation of algorithmic and high frequency trading. In addition, Campbell & Company may, in its sole discretion, cause the Fund to be subject to certain laws and regulations if it believes that an investment or business activity is in the Fund’s interest, even if such laws and regulations may have a detrimental effect on one or more investors. These reforms and any other new laws and regulations or actions taken by regulators that restrict or impair the ability of the Fund to pursue its investment program or employ brokers and other counterparties could have a material adverse effect on the Trust.
In addition, increased regulation (whether promulgated under securities laws or any other applicable law) and regulatory oversight of and changes in law applicable to investment funds and their managers may impose administrative burdens on Campbell & Company, including responding to examinations and other regulatory inquiries and implementing policies and procedures. Such administrative burdens may divert Campbell & Company’s time, attention and resources from portfolio management activities to responding to inquiries, examinations and enforcement actions (or threats thereof).
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 and the CFTC imposes similar limits on certain economically equivalent OTC derivatives. 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. Dodd-Frank mandates that a substantial portion of OTC derivatives be executed in regulated markets and be submitted for clearing to regulated clearing houses, gives the CFTC and the SEC the authority to limit and/or suspend trading in such instruments, and imposes certain reporting and recordkeeping requirements relating to transactions in connection with such instruments. OTC trades submitted for clearing will be subject to minimum initial and variation margin requirements set by the relevant clearing house, as well as margin requirements mandated by the CFTC, the SEC and/or federal prudential regulators. OTC derivative dealers also typically demand the unilateral ability to increase the Trust’s collateral requirements for cleared OTC trades beyond any regulatory and clearing house minimums. The regulators also have broad discretion to impose margin requirements on non-cleared OTC derivatives and have imposed requirements that require OTC derivative dealers to hold customer collateral in connection with many types of derivatives transactions. 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 clearing houses through which they clear their customers’ trades instead of using such margin in their operations, as was widely permitted before the Dodd-Frank Act. This has increased 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.
With respect to cleared OTC derivatives, the Trust will not face a clearing house directly but rather will do so through an OTC derivative dealer that is registered with the CFTC or SEC and that acts 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 clearing house, triggered by a customer’s failure to meet its obligations to the clearing member.
The CFTC also now 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. Many CFTC-regulated derivatives trades are now subject to these rules, and it is expected that additional types of derivatives transactions will be subject to clearing mandates in the future. 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 these 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 execute derivatives transactions through such exchanges or execution facilities-and especially if it decides to become a direct member of one or more of these exchanges or execution facilities, the Trust would be subject to the rules of the exchange or execution facility, which would bring additional risks and liabilities, and potential requirements under applicable regulations and under rules of the relevant exchange or execution facility.
OTC derivatives dealers are now required to register with the CFTC as swap dealers and, since late 2021, many have been required to register with the SEC as security-based swap dealers. Registered dealers are (or will be) subject to various regulatory requirements, including 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 have and will continue to increase the overall costs for OTC derivative dealers, which costs may be passed along to market participants including the Trust. The full impact of Dodd-Frank on the Trust remains uncertain, as well as the impact of 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 in various capacities and may ultimately be required to register with the SEC. Campbell & Company is registered as a Swap Firm with the National Futures Association and could potentially 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 uncertain.
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 clearing house, 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, clearing houses 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 clearing house 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 gone through periods of pervasive and fundamental disruptions, which have led, to extensive and unprecedented government intervention. Such intervention was in certain cases 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 at times 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 interests 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. Accordingly, you do not have the protections afforded by that statute which, for example, requires investment companies to have a majority of disinterested directors and regulates the relationship between the adviser and the investment company.
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.
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, a non-corporate Investor’s tax liability would likely increase. 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.
Partnership Audit Rules
Absent an election, 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 brokers have 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 managing operator. 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 managing operator’s principals could have a material and adverse effect on the managing operator’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 Managing Operator. See “Appendix A - Fifth Amended and Restated Declaration of Trust and Trust Agreement” in the Prospectus.
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. Accordingly, all investors should carefully read “Investment by Employee Benefit Plans” in Part One of the Prospectus.
When considering an investment in the Trust of the assets of an employment benefit plan subject to Title I of ERISA, a fiduciary with respect to such plan should consider, among other things: (i) the definition of “Plan assets” under section 3(42) of ERISA and the regulations issued by the Department of Labor (“DOL”) regarding the definition of Plan assets; (ii) whether the investment satisfies the diversification requirements of Section 404(a)(1) of ERISA; (iii) whether the investment satisfies the prudence requirements of Section 404(a)(1) of ERISA; and (iv) that there will be no secondary market in which such fiduciary can sell or otherwise dispose of the Units.
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’s 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
The Trust is subject to actual and potential conflicts of interest. Investors are dependent on the good faith of the respective parties subject to such conflicts to resolve them equitably. Although Campbell & Company attempts to monitor these conflicts, it is extremely difficult, if not impossible, for Campbell & Company to ensure that these conflicts do not, in fact, result in adverse consequences to the Investors.
Campbell & Company has a conflict of interest because it acts as the Managing Operator and sole trading advisor for the Trust. Since Campbell & Company acts as both trading advisor and Managing Operator 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. Campbell & Company, as Managing Operator, 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 fact, 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 Units 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 Units 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 each Series of 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 any of the Trust’s Series of Units.
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 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, 2023, there were 2,210 Unitholders and 100,750.468 Units of Beneficial Interest outstanding in Series A, 112 Unitholders and 9,165.999 Units of Beneficial Interest outstanding in Series B, 259 Unitholders and 18,665.278 Units of Beneficial Interest outstanding in Series D, and 433 Unitholders and 11,146.280 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.
[Reserved]

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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, 2023, the aggregate capitalization of the Trust was $496,580,382 with Series A, Series B, Series D and Series W comprising $378,102,257, $38,104,608, $28,301,256 and $52,072,261, respectively, of the total. The Net Asset Value per Unit was $3,752.86 for Series A, $4,157.17 for Series B, $1,516.25 for Series D and $4,671.72 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 clearing house associated with such exchange. In general, clearing houses are backed by the corporate members of the clearing house 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 clearing house 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, clearing house 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, 2023, 2022 and 2021 for Series A were (4.95)%, 36.01% and 12.52%, Series B were (4.62)%, 35.82% and 13.09%, Series D were (3.90)%, 31.93% and 12.83% and Series W were (3.17)%, 35.05% and 14.80% respectively.
During the years ended December 31, 2023, 2022 and 2021, the Trust accrued management fees in the amounts of $10,061,215, $8,539,297, and $5,813,446, respectively, and paid management fees in the amounts of $10,057,263, $8,243,954, and $5,795,404, respectively. During the years ended December 31, 2023, 2022 and 2021, the Trust accrued sales commissions in the amounts of $8,567,703, $7,327,108, and $5,162,106, respectively, and paid sales commissions in the amounts of $8,548,679, $7,108,300, and $5,159,066, respectively. During the years ended December 31, 2023, 2022 and 2021, the Trust accrued performance fees in the amounts of $122, $20,446,581, and $54,801, respectively, and paid performance fees in the amounts of $122, $20,446,581, and $54,801, respectively.
2023 (For the Year Ended December 31)
Of the (4.95)% return for the year ended December 31, 2023 for Series A, approximately (4.91)% was due to trading losses (before commissions) and approximately 5.25% due to investment income, offset by approximately (5.29)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series A.
Of the (4.62)% return for year ended December 31, 2023 for Series B, approximately (4.91)% was due to trading losses (before commissions) and approximately 5.25% due to investment income, offset by approximately (4.96)% due to brokerage fees, management fees, performance fees, sales commissions and operating costs borne by Series B.
Of the (3.90)% return for the year ended December 31, 2023 for Series D, approximately (4.91)% was due to trading losses (before commissions) and approximately 5.25% due to investment income, offset by approximately (4.24)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series D.
Of the (3.17)% return for the year ended December 31, 2023 for Series W, approximately (4.91)% was due to trading losses (before commissions) and approximately 5.25% due to investment income, offset by approximately (3.51)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series W.
An analysis of the (4.91)% gross trading losses for the Trust for the year by sector is as follows:
Sector
% Gain (Loss)
Credit
(0.22
)%
Commodities
0.10
Foreign Exchange
(2.02
)
Interest Rates
(3.51
)
Equity Indices
0.74
(4.91
)%
The Trust showed a profit in January. Gains came from stock index, commodity, foreign exchange (FX), and credit positions, while interest rate holdings produced some partially offsetting losses. Global stock indexes generated the largest gains for the Trust in January. Net long positioning on a variety of equity holdings gained as most major global stock indexes finished the month in the green. The general risk-on sentiment was fueled by China reopening optimism and the hopes that the world’s Central Banks ease off their aggressive rate-hike cycle. A slew of mixed Q4 earnings reports and continued layoff announcements were largely ignored as money flowed into riskier assets. Commodity trading also provided gains for the Trust to start the year. Long coffee and sugar holdings generated the biggest wins within the softs sub-sector as those prices rallied on supply concerns. Industrial metals generated additional gains for the Trust spearheaded by a long LME copper position. The base metals complex experienced a significant monthly rally on back of the weak US dollar, ongoing China reopening optimism, and increasing concern over dwindling stockpiles. Foreign exchange trading produced additional Trust profits. The US dollar experienced a sell-off in January and the gains on long Emerging Market (EM) positions, versus short the USD, more than offset the losses incurred in the short Developed Market (DM) currencies. Longs in Latin American currencies were the main EM gainers as risky assets and carry trades were bought in the risk-on environment. Interest rate positions generated partially offsetting losses on the month. US Treasuries advanced (yields fell) after easing US inflation data strengthened the case for the Fed to turn less aggressive, hurting short positioning along the curve. In Europe, short positioning on German bonds added to Trust losses as prices followed Treasuries higher despite hawkish rhetoric from Lagarde and other European Central Bankers. Long positioning on UK gilts and the Aussie 10-year bond generated partially offsetting gains.Short protection positions in the credit indices which narrowed sharply alongside the broader rally in risk assets generated gains for the Trust.
The Trust showed a robust profit in February. Gains came from fixed income, foreign exchange (FX), and commodity positions, while stock indices produced some partially offsetting losses. Credit holdings had limited P&L impact on the month. Interest rate positions dominated Trust gains in February with long-dated and short-dated instruments equally contributing to profits. US Treasury prices fell (yields rose) as hotter-than-expected inflation data and an extraordinary jump in payrolls elicited increasingly hawkish commentary from Fed members throughout the month, benefiting short positioning. Euro-area core inflation accelerated to a record, prompting money markets to price in a higher ECB terminal rate, which created gains for short German bond positioning. Interest rate swap holdings were also additive, led by a payer position in Mexican rates as yields moved higher after a larger-than-expected rate hike from Mexico’s Central Bank. Foreign exchange trading produced additional Trust returns. The US dollar rallied over the course of the month and the Trust’s short positions in the Developed Market (DM), versus long the US dollar, drove sector gains. A short Norwegian krone holding (against long USD) was a major P&L contributor in the FX sector as the krone continued to be susceptible to weakness in energies, ultimately ending the month as the worst performing G-10 currency in 2023. Commodities provided additional profits for the Trust in February. Short holdings across the industrial and precious metal sub-sectors profited as increasing expectations for further Fed policy tightening and a stronger US dollar weighed on metals prices. Net long global stock index positioning generated some offsetting losses during the month. After a strong start to the year, February saw equity markets retrace in North America and Asia. In the US, stronger-than-expected economic releases, which included labor and inflation data, spurred a meaningful repricing of FOMC rate expectations. In the APAC region, strained US-China geopolitical relations and weaker near-term demand outlooks for China further weighed on risk sentiment. Long positioning on European equities provided some offsetting gains as markets proved more resilient to higher rates in the region.
The Trust realized a loss in March. Losses came from interest rate, stock, commodity, and credit holdings, while foreign exchange (FX) produced some partially offsetting gains during the month. Interest rate positions dominated Trust losses on the month, with both long-dated and short-dated instruments suffering in the wake of the banking crisis that drove global bond prices higher (yields lower). The negative impact on the financial sector from the US Fed’s policy tightening campaign prompted traders to scale back rate hike bets, hurting short US Treasury positioning across most tenors. Partially offsetting gains came from long UK Gilt and Aussie 10-year bond positioning, both of which benefited from the rapid shift to less risky assets. Stock holdings also weighed on Trust performance amid a volatile month of trading. Predominantly long stock positioning was negatively impacted after the collapse of Silicon Valley Bank and the ensuing fears of contagion. Some stock P&L losses were recovered with prices rallying off mid-month lows as the banking sector stabilized and investors weighed the possibility of the Fed pausing its rate increases. Commodity positions added to Trust losses in March. Short precious metal holdings generated the largest sub-sector losses as bullion prices rose amid the banking sector turmoil, diminished expectations for further Fed tightening, and a softer US dollar. Credit trading generated additional losses as a short protection position in the iTraxx Senior Financial index suffered after credit spreads widened sharply in the wake of the Silicon Valley Bank and Credit Suisse fiascos. Foreign exchange trading provided some partially offsetting Trust gains. While the DXY index traded lower during the month on back of the shift to a more dovish outlook on the US Federal Reserve, a few of the so-called commodity currencies were the exceptions. The Trust profited from short-positions on the Aussie dollar and Norwegian krone, which both traded softer on back of weakness in oil markets.
The Trust was close to unchanged in April. Commodity and foreign exchange (FX) positions produced gains, while fixed income holdings generated offsetting losses. Credit and stock holdings had little effect on the Trust. The commodity sector was additive for the Trust during the month. A long sugar holding produced a significant gain as the soft commodity rallied to an 11-year high on Brazilian supply concerns following above-average rainfall in the region. Some long energy holdings generated partially offsetting losses amid a mid-month sector-wide selloff that was spurred by recession worries and potentially tighter financial conditions which clouded the outlook for fuel demand. FX trading contributed modest gains in April. Varied performance in the global FX markets (versus the dollar), coupled with mixed positioning led to negligible sector P&L. Short positions on the Norwegian krone and Australian dollar, which continued their 2023 weakening trends, resulted in gains for the Trust. Partially offsetting losses were realized in certain emerging market currencies, where long positioning was a detractor in the risk-off environment. Mixed credit positions produced de minimis gains for the Trust as credit spreads widened alongside the sell-off in other risky assets. Interest rate positions added modest losses to the Trust over the month. UK Gilts underperformed after data showed inflation remained in the double digits, prompting traders to raise bets on the peak BOE rate, hurting long positioning. Aussie bonds also contributed to losses after minutes showed the RBA discussed a quarter-point hike before deciding on a pause in April. Short US Treasury positions generated some partially offsetting gains. Stocks indexes trading was flat for the Trust in April. Gains were seen from Asian and European stock holdings while US index positions generated offsetting losses as markets weighed the potential higher-for-longer dynamic, the debt ceiling stalemate, renewed banking sector turmoil, and a pickup in growth worries with better than feared earnings and guidance.
The Trust produced a gain during May. Profits came from commodity and foreign exchange (FX) positions, while stock index and interest rates produced some partially offsetting losses. Credit holdings had little impact on the Trust. The commodity sector led Trust gains during the month of May. Short copper positions generated the best sector gains with prices falling to 6-month lows as sentiment soured on the back of China’s disappointing economic recovery and on the stronger US dollar. Additionally, copper stockpiles rebounded from multi-year lows. A short natural gas position also provided gains as the energy dropped amid ample supplies following persistent milder weather in the US. Foreign exchange trading generated additional Trust profits. Despite debt-ceiling concerns in the United States, the US dollar rallied during the month and the Trust’s gains on short Developed Market (DM) positions (versus long the USD) marginally offset the losses incurred in some long Emerging Market (EM) currencies. Shorts in commodity-linked currencies like the Norwegian krone and Australian dollar were the big DM gainers with those FX markets depreciating as oil prices sold off and as China growth concerns increased. Global stock index trading resulted in losses to the Trust. Net-long positioning for much of the month generated losses as recession fears, a ‘higher-for-longer’ stance from many Central Banks, US debt ceiling concerns, and China’s lackluster recovery weighed on sentiment. A strong AI-driven rally following Nvidia’s upbeat earnings and blow-out guidance at month-end capped losses. Interest rate positions were also a negative contributor in May. Long positioning on the UK Gilt led losses as a higher-than-expected UK inflation print put pressure on the Bank of England to continue hiking and caused Gilts to weaken (yields higher). Partially offsetting gains came from Canadian and New Zealand interest rate instruments. Canada’s inflation also came in hotter-than-expected which proved beneficial to short CGB positioning as prices declined. Payer NZD IRS positioning (which is profitable with higher yields) experienced monthly gains as Kiwi yields pushed higher prior to the late May RBNZ meeting.
The Trust produced a loss in June. Losses came from commodity and foreign exchange holdings while interest rate, stock index, and credit positions produced some partially offsetting gains during the month. The commodity sector led Trust losses during the month of June. Energy positions generated the largest sub-sector loss, namely from a short natural gas holding. Futures on natural gas rallied throughout the month as warmer temperatures continued to drive up cooling demand. A short on cocoa futures added to monthly losses as the soft commodity surged on fears heavy rains in major producing countries will disrupt harvests. Foreign exchange trading generated additional Trust losses as short positions in the Developed Market currencies (versus long the USD) more than offset the gains experienced in the Emerging Markets. The dominant story for the USD and monetary policy was that the Fed “skipped” a rate hike at its June meeting while other central banks like the ECB remained focused on tightening. This divergence resulted in the dollar index trading weaker on the month, hurting our net long USD position. Interest rate positions resulted in some offsetting gains in June with the positive P&L being led by short-dated instruments. With the exception of the Federal Reserve, major central banks continued raising rates with several delivering larger-than-expected hikes against a backdrop of better-than-expected economic data and persistent inflation. Short positioning on Euribor and German 2-year bonds benefited as yields rallied (prices fell) in the wake of a 25bps ECB hike and ongoing hawkish commentary from ECB President Lagarde. Short protection positions on the credit indices generated additional gains for the Trust. Credit spreads narrowed amid the broader rally in risk and the Trust benefited as a result. Global stock indexes generated profits for the Trust. Net long positioning on a variety of equity holdings benefited as most major indices finished the month in positive territory. Despite aggressive monetary policy tightening and geopolitical tensions, risk-on sentiment prevailed on optimistic soft-landing expectations and AI sector growth tailwinds.
The Trust produced a loss in July. Losses came from foreign exchange (FX) and interest rate holdings while credit and commodity positions produced some partially offsetting gains during the month. Stock indexes had little impact. Foreign exchange trading generated Trust losses with short positions in the Developed Market currencies (versus long USD) dominating FX P&L. The main story around US policy was that while the Fed hiked 25bps in July, the market is pricing in a terminal rate that is close to its peak, which caused weakness in the greenback relative to its peers. The biggest Trust loss came from a short on the Norwegian krone, which saw additional appreciation on back of the continued strength in crude prices. Interest rate positions were also a negative contributor in July. Mixed fixed income positions generated losses as yields traded choppy as the markets weighed cooling inflation trends, “peak Fed” expectations, sticky employment, and strong economic data. Offsetting gains were experienced in a payer position on the NOK as yields continued their move higher with Norway’s economy seen as more resilient than neighboring Sweden. Short protection positions on the credit indices generated partially offsetting gains for the Trust. Credit spreads narrowed amid the broader rally in risk and the Trust benefited as a result. The commodity sector added further gains for the Trust in July. Long energy positions were the largest sector contributor as the complex rallied amid signs of tightening global supply and an improving demand outlook. Industrial and precious metals posted partially offsetting losses with short positions suffering as prices rallied on the weaker USD and positive US macroeconomic trends. Stock index holdings had little impact on the Trust in the month of July amid mixed positioning across the global indices. Stock markets advanced during the month on soft landing expectations and disinflation traction. Positive earnings takeaways provided additional support for stocks.
The Trust produced a gain in August. Gains came from foreign exchange (FX) and commodity holdings while stock indexes, interest rate, and credit positions produced some partially offsetting losses during the month. Foreign exchange trading led Trust gains in August. Shorts in the developed market currencies (versus long USD) benefited as the USD rallied sharply, following US Treasury yields which hit a 15-year high. The dollar bloc (AUD, NZD, CAD) and the Scandis (NOK and SEK) were the major underperformers on the month, with short AUDUSD leading Trust gains on weaker Chinese data and a rate hold from the RBA. Commodity trading was also additive for the Trust in August. Grains generated the largest sub-sector returns by way of a short wheat holding, which benefitted as prices fell on weak demand for US exports. Short industrial metal positions produced additional gains for the Trust as the base metals complex weakened on concerns about China’s economy. Mixed positioning across the global stock indexes generated partially offsetting losses for the Trust. Equity indices weakened during the month as the hard vs soft landing debate continued, fueled by persistent inflation concerns and some weak US data that supported the peak-Fed narrative. Further, equity markets reacted to the steep rise in US yields along with an unexpected Fitch downgrade of the US. Fixed income instruments also detracted on the month. August kicked off with Fitch downgrading the US credit rating, which pushed Treasuries yields lower (prices higher), but weak auctions and hawkish Fed minutes sharply reversed that trend in the back half of August. US Treasuries ultimately ended the month lower, leaving gains in short US 30yr positioning evenly matched with losses on mixed positioning in the US 10yr note. A dismal Eurozone PMI print sparked a rally in German bonds as investors pared bets on another ECB hike, hurting short positioning. Short protection positions on the credit indices generated additional offsetting losses for the Trust. Credit spreads widened amid the broader sell-off in risk and the Trust suffered as a result.
The Trust produced a gain in September. Profits came from interest rate, commodities, and foreign exchange (FX) holdings, while stock and credit index positions produced some partially offsetting losses during the month. Fixed income instruments led Trust gains with short positioning profiting as global bond prices tumbled (yield jumped). US Treasuries sold off sharply as investors responded to the Fed’s messaging that rates are set to stay higher for longer than previously expected. Adding to the retreat in the global bond markets, the Fed revised down their forecast for the number of 2024 interest rate cuts and the ECB signaled rates will be held higher for a “sufficiently long” period of time to quell inflation. Commodity trading also provided gains during the month. Precious metals generated the best sub-sector commodity returns for the Trust. Shorts held across the sector performed positively as continued strength in the US dollar and upward pressure on yields weighed on precious metal prices. Long positioning on the petroleum complex also generated gains as those energy markets advanced on tight supplies with OPEC+ leaders Saudi Arabia and Russia constricting output. The foreign exchange markets contributed additional gains for the Trust. Shorts in the developed market currencies (versus long the US dollar) benefited as the USD rallied sharply on back of Treasury yields, which made new highs not seen since before the Global Financial Crisis. While yields moved higher across many of the developed markets, US rates experienced a divergence higher during the month on back of the hawkish Fed, driving the relative strength in the greenback. Stock indices had a negative P&L impact in September, with losses concentrated in long European holdings. Nearly all major benchmarks logged losses for the month with the risk-off trading fueled by the higher-for-longer Fed and accompanying upward pressure on yields. The pickup in consumer headwinds with higher energy prices and the resumption of student loans, as well as the UAW strike and looming government shutdown, also pressured equity markets lower. Short protection positions on the credit indices generated additional offsetting losses for the Trust as credit spreads widened amid the broader sell-off in risk.
The Trust realized a loss in October. Losses came from commodity, interest rates, and credit holdings, while foreign exchange (FX) and stock positions produced some partially offsetting gains during the month. Commodity trading led Trust losses in October. Net long positions across the petroleum complex generated the largest commodity sub-sector declines as energy markets generally weakened. Energy prices came under pressure amid the lack of any immediate supply disruptions in the Middle East, as the Israel-Hamas conflict remained largely contained. Precious metals also had a negative impact on the Trust. Short positioning, particularly in gold, suffered as geopolitical concerns prompted demand for safe haven assets. Fixed income instruments generated additional losses amid mixed positioning and heightened volatility. Long positioning on Aussie 10yr bonds suffered as prices slipped (yields rose) after Australian inflation came in hotter-than-expected while the Reserve Bank of Australia held rates steady but retained their tightening bias. Short positioning in short-dated European government bonds added to losses after the European Central Bank kept interest rates unchanged for the first time in more than a year and indicated the hiking cycle may be nearing an end. Short protection positions on the credit indices contributed additional losses as spreads widened amid the weakness in risk assets, and the Trust suffered as a result. The foreign exchange markets provided partially offsetting gains for the Trust. Shorts in the developed market currencies (versus long the USD) were additive as the US dollar rallied amid demand for flight-to-quality assets, benefiting markets like the greenback and Swiss franc. The biggest gains came from the short on the Canadian dollar, which declined on a weaker CPI print and a rate hold from the Bank of Canada. Stock indices added further gains in October. Short holdings in the United States and Europe produced the bulk of the monthly gains. Equity markets declined on risk-off trading amid higher-for-longer Fed expectations, elevated bond market volatility, and heightened geopolitical tensions following the eruption of the Israel-Hamas conflict.
The Trust realized a loss in November. Losses came from foreign exchange (FX) and interest rates, while credit index and commodity positions produced some partially offsetting gains during the month. Stock indexes had little impact. Foreign exchange trading led Trust losses during the month with short positions in the developed currencies (versus long the USD) suffering while emerging market long positions produced some partially offsetting gains. The flight-to-quality trade that dominated the start of the fourth quarter sharply reversed in November on the back of easing financial conditions around the globe, and especially in the United States. The weaker US CPI reading mid-month provided a strong catalyst to sell the greenback as the market started to price in Fed rate cuts sooner than previously expected. Fixed income instruments also detracted from P&L with net short positions producing losses as global bonds soared at the fastest monthly pace since 2008. Softer-than-expected US inflation and increasingly dovish-leaning Fed commentary heightened expectations that the Fed is done with policy tightening. In response, US Treasuries rallied sharply (yields plummeted) hurting short US long-bond and SOFR positions. European government bond prices advanced after EU CPI decelerated for the 8th straight month, to the detriment of short holdings in German 10-year bonds. Short protection positions on the credit indices generated partially offsetting gains as spreads narrowed significantly on the month amid a broader rally in risk assets. Commodity markets also provided partially offsetting gains for the Trust. Energy positions generated the largest sub-sector gain, led by a short natural gas position. Natural gas futures fell as unseasonably warm weather and high inventories continued to depress prices. Short cattle holdings were also additive as meat markets weakened in November after the USDA increased its forecast for 2024 beef production. Stock indices had little impact on the Trust during the month as mixed positioning led to muted P&L. Global stock markets advanced as easing financial conditions and soft-landing momentum supported equities throughout the month.
The Trust realized in a loss in December. Losses came from interest rates, commodities, and foreign exchange (FX) positions, while trading in the credit and equity indices produced partially offsetting gains during the month. Fixed income instruments led Trust losses. Bonds rallied (yields fell) across tenors as the ongoing global disinflation trend intensified bets that many central banks will begin cutting rates in 2024. The Fed delivered its first concrete sign of a pivot as the dot plot revealed policymakers penciled in no further hikes for the first time since March 2021, hurting short US long bond positioning. The Fed’s actions had a strong knock-on effect around the globe. Traders also increased bets on ECB rate cuts next year, creating losses in short Euribor and German Bund positioning. Partially offsetting gains came courtesy of scattered long positioning, such as Aussie 10-year bonds. Within commodities, short industrial metals positions contributed the largest sub-sector loss for the Trust. The complex rallied across the board as the US dollar weakened, making the USD-backed metals more attractive to buyers using other currencies. Grain holdings also generated losses, dominated by a short wheat position which rallied amid supply concerns. FX trading added to Trust losses with short positions in the developed currencies (versus long the USD) suffering while emerging market long positions produced partially offsetting gains. While the US dollar experienced broad strength to start December, it reversed sharply after the mid-month Fed meeting and on the back of easing financial conditions around the globe. Short positioning in the Norwegian krone (versus long USD) was the main detractor as the Norges Bank shocked markets by hiking interest rates at their final meeting of the year, causing a rally in the NOK. Short protection positions on the credit indices generated partially offsetting gains as spreads narrowed significantly on the month amid the broader rally in risk assets. Predominantly long positioning in global stock indices also produced partially offsetting gains for the Trust in December. Most major benchmarks posted gains to close out the year as the Fed’s dovish pivot and soft landing momentum fueled risk-on trading.
2022 (For the Year Ended December 31)
Of the 36.01% return for the year ended December 31, 2022 for Series A, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by approximately (9.78)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series A.
Of the 35.82% return for year ended December 31, 2022 for Series B, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by approximately (9.97)% due to brokerage fees, management fees, performance fees, sales commissions and operating costs borne by Series B.
Of the 31.93% return for the year ended December 31, 2022 for Series D, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by approximately (13.86)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series D.
Of the 35.05% return for the year ended December 31, 2022 for Series W, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by approximately (10.74)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series W.
An analysis of the 44.33% gross trading gains for the Trust for the year by sector is as follows:
Sector
% Gain (Loss)
Credit
1.25
%
Commodities
8.88
Foreign Exchange
16.83
Interest Rates
16.26
Equity Indices
1.11
44.33
%
The Trust showed a gain in January with gains coming from interest rate, commodity, and foreign exchange (FX) positions, while stock index and credit holdings produced some partially offsetting losses. Interest rate positions produced the largest gains for the Trust during January, with profits most pronounced in long-dated instruments. Global yields jumped (prices fell) as persistent, rising inflation prompted central banks to increase efforts in tightening monetary policy. Short UK gilt positioning contributed the most sizable gains after UK inflation hit its highest reading since 1992 on surging demand, higher energy costs, and supply chain disruptions. Commodity trading provided additional profits for the Trust during the month. Long positioning on the petroleum complex generated the best sector gains. Energy markets advanced as supply constraints and heightened geopolitical tensions coincided with a recovery in demand amid easing concerns surrounding the severity of the Omicron variant. Longs on soy products also produced gains as soy markets advanced on tight supply expectations amid persistent South American weather concerns. Foreign exchange trading produced additional gains for the Trust with long US dollar positions (versus short foreign currency) benefiting. The greenback rallied during the second half of January with the DXY dollar index reaching a multi-year high on back of the decidedly hawkish approach from the Federal Reserve. At the January FOMC meeting, the Fed signaled they intend to raise interest rates as early as March and the market subsequently priced in five hikes during 2022. Largely long positioning on global stock indices produced losses for the Trust in January, with most major benchmarks posting large losses for the month. Investor worries about inflation, persistent supply chain issues, and the upcoming rate hikes from the Federal Reserve fueled the risk-off trading. In credit trading, short protection positions generated further offsetting losses as US and European credit spreads widened sharply alongside the unwind of risky assets.
The Trust showed a modest loss in February with losses came from foreign exchange, credit, fixed income, and stock index positions as commodity holdings produced some partially offsetting gains. Foreign exchange trading produced losses for the Trust. Short positions in developed market currencies (against long USD) were overwhelmed as the recent strength in the greenback was countered by this month’s demand for commodity currencies like the Australian and New Zealand dollars. Short positions in some Eastern European currencies (against long USD) provided partially offsetting gains as Russian contagion fears drove weakness in Polish and Hungarian assets. In credit trading, short protection positions generated further losses as US and European credit spreads widened sharply alongside the unwind of risky assets. Interest rate positions caused additional losses in February. A late month flight-to-safety rally sparked by the intensifying Russia/Ukraine conflict reversed earlier weakness. Losses in German and Australian 10-year bonds overwhelmed gains made in UK Gilts and US Treasuries. Global stock indices also detracted from the Trust amid mixed positioning during the month. February began with most major indexes fluctuating as investors focused on hotter than expected inflation and assessed prospects for rate hikes and quantitative tightening. By mid-month sentiment turned negative as the focus shifted from monetary policy to geopolitical concerns and the unprecedented Russian sanctions. Commodity trading provided positive returns for the Trust during the month. Long positioning on the petroleum complex generated the best sector gains as energy markets advanced amid continued supply constraints and elevated risk premiums stemming from geopolitical tensions between Russia and Ukraine. Some long grain holdings also generated gains as grain markets rallied sharply across the board on supply concerns following Russia’s attack on Ukraine.
The Trust showed a strong gain in March with gains coming from commodity, foreign exchange, fixed income, stock index, and credit positions. Commodity trading provided the strongest returns for the Trust during the month. Long positioning across the energy complex resulted in the best sub-sector gains as global demand continued to recover from the pandemic while the war in Europe further squeezed an already tight market. Base metal holdings also contributed gains as long positioning profited from a sharp rally across the complex as Russia’s invasion of Ukraine coincided with a historic supply shortage. Nickel dominated industrial metal returns following outperformance on the back of a short-squeeze that saw prices leap 85% over two days, a move that ultimately resulted in an unprecedented 6-day trading halt on the LME. Foreign exchange trading produced additional profits for the Trust with both the developed market (DM) and emerging market (EM) currencies contributing. A short position on the Japanese yen drove the largest DM gains as the JPY weakened on the continued ultra-loose monetary policy in Japan relative to rising yields in the US. A long position on the Brazilian real was also profitable as the BRL benefited from price increases in Brazilian exports as well as general demand for higher yielding currencies. Interest rate positions also contributed gains with short positioning on Treasuries leading profits. The Federal Reserve’s policy normalization began in March and leaned more hawkish than expected which proved profitable for short 2-year and 10-year UST positions. Global stock indices further added to profits as momentum and short-term strategies were able to navigate the significant mid-month reversal in equities. Short positions to start the month were profitable as stocks traded lower on geopolitical concerns, an FOMC rate hike, and hawkish Fed commentary. However, risk sentiment turned positive on war de-escalation prospects during the latter half of the month and a shift in model positioning captured additional gains. In credit trading, short protection positions generated nominal gains as US and European credit spreads tightened alongside stock indices and other risky assets.
The Trust produced a gain during April. Profits came from foreign exchange, interest rate, and commodity holdings, while credit positions and stock index trading had little P&L impact. Foreign exchange trading produced the largest Trust returns in April. Long US dollar exposure proved profitable as the greenback saw a sharp rally over the month. The USD gained on the increasingly aggressive US monetary policy and the significant rise in longer dated interest rate yields. The greenback also benefited from global growth concerns as Europe continues to struggle with the fallout from Russia’s invasion of Ukraine, and China enacted lockdowns in a bid to curtail the spread of the latest COVID-19 variant. Interest rate positions produced additional profits during April, with gains concentrated in long-dated instruments. Short positioning on US Treasuries produced the greatest profits for the sector as the Fed prepared the double act of rate hikes with quantitative tightening. The prospect of tighter monetary policy coupled with concerns over surging inflation around the world sent bond prices lower and real yields higher.
Commodity positions also generated gains during the month. Long holdings on the energy complex generated the best commodity sub-sector returns as energy markets advanced on continued supply concerns, although gains were capped as China’s extended coronavirus lockdowns curbed demand for energies. Grain holdings provided additional returns for the Trust as the war in Ukraine, drought concerns, and increased biofuel demand lifted prices higher. Credit trading was relatively flat as short protection positions generated additional offsetting losses as US and European credit spreads widened amid the risk-off environment. Mixed positioning in global stock indices had little impact on the Trust in April, with nearly all major benchmarks logging losses for the month. The risk-off trading was fueled by the hawkish shift in global monetary policy, demand destruction from China’s Covid lockdowns, and continued geopolitical uncertainty centered on Ukraine.
The Trust produced a loss during May. Losses came from foreign exchange, stock index, and commodity positions. Fixed income and credit index trading had little P&L impact on the month. Foreign exchange trading produced the largest losses for the Trust during May. Long US dollar positions (versus short the foreign currency) experienced losses amid the broader weakness in the USD. While the greenback remains stronger on the year, the DXY dollar index experienced a reversal during May. The foreign exchange market is reconsidering whether US policy makers might slow or potentially pause the tightening cycle in the latter half of 2022, which limited the demand for the US currency. Additionally, data over the course of the month showed the potential of a weaker US consumer which also contributed to the weakness in the buck. Stock index positioning generated additional losses over the course of the month. Global equity returns were mixed during May amid volatility across the global indices as markets weighed accelerating inflation concerns in Europe with easing Covid restrictions in China and some investor expectations of a possible slowdown in US monetary tightening. Commodity holdings generated modest losses during the month. Net long positioning on the grain complex incurred losses for the Trust as grain markets plummeted into month-end on the possibility that Russia will allow exports of Ukrainian grain through the Black Sea. Long holdings on energies generated partially offsetting gains as those markets advanced on continued fallout from the war in Ukraine, in addition to easing Covid restrictions in Asia, a busy travel season, and low inventories. Mixed positioning in fixed income had little impact on the Trust in May. Longs on European interest rate instruments produced losses as those markets declined (yields rose) as record inflation prints increased bets the BoE and ECB will have to quicken the pace of rate hikes to quell surging prices. Canadian Government Bonds produced some offsetting gains amid a hawkish approach from the BoC. Finally in credit trading, short protection positions also had little impact on the Trust during the month.
The Trust produced a gain during June. Profits came from foreign exchange (FX), interest rate, and stock index holdings. The commodity sector and credit positions had little P&L impact. Foreign exchange trading generated the largest gains for the Trust during the month. Long USD positions (versus short the foreign currency) benefited from the broad-based rally in the greenback. Dominating the market narrative, inflation remains stubbornly high and the Federal Reserve continues to lead the hawkish charge. Following the hotter US CPI print early in the month, the Fed indicated that slowing inflation is more important than the possibility of slower economic growth as a result of higher rates, which helped drive the wide-reaching appreciation in the dollar. Fixed income positions produced additional returns with gains concentrated in long-dated instruments. Persistent inflation prompted central banks to take more aggressive action in their hiking cycles, leading to several greater-than-expected rate increases. Short positioning on Australia and US 10-year instruments profited as yields rose (prices fell) in reaction to the RBA and Fed both delivering rate hikes that exceeded expectations. A fifth consecutive rate hike from the Bank of England, accompanied by hawkish guidance, pushed UK yields higher (prices lower) to the benefit of short Gilt positioning. Net short stock index positioning provided additional gains during the month. Global stock indices sold-off sharply as investors became increasingly convinced that the pace of rising interest rates will trigger a recession. Comments from global central bank speakers throughout the month remained hawkish and Fed Chair Powell even conceded that a soft landing could be “very challenging.” In credit trading, short protection positions were relative flat as US and European credit spreads widened sharply alongside the selloff in risky assets. The models flipped to long protection at the end of June and recovered some of their earlier losses. Commodity trading had little impact on the Trust during the month as gains made from short wheat holdings were offset by losses generated from energy positions.
The Trust produced a loss in July. Losses came from interest rate and foreign exchange (FX) holdings, while commodity positions produced some partially offsetting gains. The stock and credit sectors had little P&L impact. Interest rate positions produced the largest losses for the Trust with declines most notable in long-dated instruments. Bonds rallied (yields fell) amid ongoing fears that tightening monetary policy will drag leading economies into recession. Net short positioning on US Treasuries produced losses as prices jumped after two consecutive quarters of negative GDP confirmed the US economy is in technical recession. Despite a surprise full percentage point rate hike from the Bank of Canada, short positioning in Canada 10-year bonds added to losses after a softer inflation print blunted the case for another 100bps hike, which sent bond prices higher. Foreign exchange trading produced additional losses for the Trust. A short position on the Japanese yen was a detractor for the Trust as the JPY experienced strong gains versus the dollar following the weaker US data and the prospects of a less aggressive Fed. Partially offsetting gains were experienced in the euro as EURUSD reached parity for the first time since 2002 on back of the energy crisis in Europe and a series of poor European data. Commodity trading generated profits for the Trust during the month. Short wheat positioning provided the best sub-sector gains as the grain traded lower on strong US crop expectations, which could help relieve global supply shortfalls caused by turmoil in the Black Sea region. A short sugar position also produced gains as prices fell amid lingering global demand uncertainty and healthy supply expectations from Brazil. Global stock index trading had little P&L impact as gains made on European and Asian stock holdings were overwhelmed by losses sustained from the North American region. Stock indices advanced in July as easing rate rise expectations and generally strong big tech earnings sparked a broad-based rally.
The Trust produced a gain in August. Profits came from interest rate and foreign exchange (FX) holdings, while commodities and credit index positions produced some partially offsetting losses during the month. The stock index sector had little P&L impact. Interest rate positions produced the largest gains for the Trust in August. Bond yields surged (prices fell) as hawkish commentary from policymakers heightened fears of aggressive monetary policy action aimed at curtailing inflation, despite the risk of dragging economies into recession. Short positioning on Canadian bonds, US Treasuries, and UK gilts led gains. Canadian bonds fell after core inflation rose to a record 5.3% while US Treasury prices declined after a chorus of Fed officials reiterated their resolve to keep hiking rates and to maintain a restrictive stance “for some time.” Foreign exchange trading produced additional gains. August saw a steady rally in the greenback throughout the month and the Trust’s long US dollar positions benefited, especially against the developed market currencies. A short position on the Japanese yen was the largest FX contributor as a hawkish approach from the Fed, coupled with the continued easing policy from the Bank of Japan, caused the yen to resume its weakening trend versus the USD. Commodity holdings produced some offsetting losses for the Trust. Long energy positions generated the largest sector losses as energy markets came under pressure on global recession worries. Short precious metal positioning created some of the best offsetting profits within the commodities sector as a continually hawkish Fed, the stronger US dollar, and rising Treasury yields weighed on metal prices. Credit trading was unprofitable as short protection positions generated losses as US and European credit spreads widened amid the risk-off environment. Stock index trading had little P&L impact as gains made on North American stock index holdings were overwhelmed by losses sustained from the Asian region; European positions had a negligible impact. The global equities markets sold-off in the latter half of the month on expectations of tighter global monetary policy conditions.
The Trust, which consists of momentum, macro, and short-term strategies, produced a gain in September. Profits came from foreign exchange (FX), interest rate, and stock holdings, while commodities and credit index positions produced some partially offsetting losses during the month. FX positions produced the largest gains for the Trust in September. The US dollar experienced a sharp rally during the month and the Trust’s long USD positions benefited, especially against shorts in the developed market currencies. The narrative in FX was dominated by the US Federal Reserve hiking rates and the greenback serving as a high yielding safe-haven asset. The largest gains came from shorts on the Norwegian krone (versus long USD), which weakened amid the worsening European oil and gas crisis. Interest rate positions generated additional profits. Aggressive monetary policy around the globe, elevated inflation, and the European energy crisis pressured bond prices and produced gains for short positioning on fixed income instruments. Partially offsetting losses came from long Gilt positioning. UK yields surged (prices fell) after British policy makers announced sweeping tax reform and the market braced for an onslaught of bond supply and aggressive rate hikes. Short stock index positioning also produced gains for the Trust during the month. Investors shed risk assets, sending benchmarks lower across the globe, amid the tightening of financial conditions driven by unrelenting global rate hikes aimed at containing inflation. Commodity holdings detracted from the Trust during September. Some long positioning, namely in cotton, energies, and industrial metals, produced losses as commodities generally underperformed on the back of the weakening demand outlook, heightened global recession fears, and the rapidly strengthening US dollar. Wheat prices were an exception and rose during the month as supply worries amid war risks outweighed the stronger dollar, and hurt our short positioning. Credit trading was unprofitable as short protection positions generated losses as US and European credit spreads widened amid the risk-off environment.
The Trust produced a gain in October. Profits came from interest rate, commodity, and credit holdings, while stock and foreign exchange (FX) positions produced some partially offsetting losses during the month. Interest rate positions, in both listed and interest rate swap products, generated profits in October. With a few notable exceptions, bond prices broadly fell (yields rose) after inflation releases around the globe continued to exceed forecasts. Short positioning on 5yr and 10yr Treasuries profited after a hotter-than-expected CPI print. While US yields pushed above 4% across the curve early in the month, in the latter half of October yields fell from their multi-year highs on hopes of a slowdown in rate hikes. Elsewhere, UK Gilts experienced a volatile month due to political turmoil though Gilts ultimately ended October higher to the benefit of long positioning. Commodity trading provided additional profits for the Trust with energies being the best performing commodity sub-sector in October. Long positioning across the complex benefitted as energy markets were boosted at the start of month after OPEC+ opted to lower their output targets. Trust gains were maintained with prices rallying into month-end as US fuel stockpiles dropped and exports rose to a record, which signaled strong demand despite some recent bearish economic indicators. Grain holdings provided additional gains for the Trust during the month. In credit trading, short protection positions also generated gains as US and European credit spreads widened sharply alongside the broader rally in risky assets. Stock indices detracted from P&L in October with losses stemming from European and US positions. Global stock markets rebounded in October on hopes that the Fed may soon ‘pivot’ from its series of aggressive rate hikes to fight high inflation. FX positions also had a negative impact on the Trust during the month. The Trust’s largest losses came in the Norwegian krone (versus long USD), which experienced a significant price correction during October after its sell-off for most of 2022. In the Emerging Market currencies, the continuation of trends like the weakness in the Hungarian forint helped drive some offsetting gains.
The Trust realized a loss in November. Losses came from foreign exchange (FX), interest rate, and commodity holdings, while stock and credit positions produced some partially offsetting gains during the month. Foreign exchange trading generated the largest losses for the Trust. The US dollar experienced a sharp sell-off and the Trust’s long USD positions suffered, most notably against short positions in the developed market currencies. Lower-than-expected US CPI at the start of November caused a downshift in Fed hike expectations, taking the wind out of recent USD strength. Furthermore, risk assets outside of the United States outperformed which added to the weakness in the greenback. Interest rate positions contributed to Trust losses as global bond prices ended the month higher (yields lower). Short German bund positioning suffered after Eurozone inflation showed signs of stabilizing, with the market paring back European Central Bank tightening bets. Partially offsetting gains came from long Australian 10 yr bond holdings. Aussie yields fell after the Reserve Bank of Australia raised their cash target rate less than analysts expected, despite the committee raising inflation forecasts. Commodities also detracted from the Trust during November. Long positioning on the petroleum complex suffered as China’s commitment to zero-COVID continued to derail a global demand recovery and stressed an already volatile sector. In precious metals, short gold positioning generated some losses as bullion prices rose on signs the Federal Reserve is preparing to slow the pace of interest rate hikes. Net long positioning in stock index futures generated some partially offsetting gains in November as the softer US CPI report propelled equity prices higher across the globe. Support for the surge in risk assets was bolstered by a dovish tilt from some ECB and Fed members who reiterated the need to slow the pace of rate hikes soon citing concerns around risks to growth and the lagged effects of policy. In credit trading, short protection positions also generated gains as US and European credit spreads widened sharply alongside the broader rally in risk assets.
The Trust produced a loss during December. Losses came from stock index, commodity, foreign exchange, and credit index holdings, while interest rate positions contributed partially offsetting gains. Global stock index trading was the biggest drag on the Trust during the month. Net-long positioning for the first-half of the month generated losses on recession fears, rate hikes, and the higher-for-longer stance from many Central Banks. Furthermore, equity sentiment dampened amid a gloomier outlook for corporate earnings in 2023. Commodities also detracted from the Trust in December. Energies were the worst performing commodity sub-sector as net-long positioning suffered with energy markets trading lower on economic slowdown concerns as Central Banks continue to tighten policy in order to fight inflation. Additionally, while China relaxed its zero-Covid measures during the month, a recent surge in Covid cases dimmed hopes of an immediate demand boost. A long soybean oil position generated additional losses for the Trust as prices tumbled early in the month after the EPA surprised markets with a smaller-than-expected proposed Renewable Fuels Standard. Foreign exchange trading produced additional Trust losses. The US dollar experienced a sell-off in December and the Trust’s long USD positions suffered, most notably against short holdings in the developed market currencies. A hawkish approach from the European Central Bank, and a potential regime shift in Japan away from Governor Kuroda’s commitment to ultra-loose policy, caused broad-based strengthening in the major currencies relative to the greenback. Interest rate positions provided partially offsetting gains. Global bond prices ended the month lower (yields higher) as persistently high inflation kept pressure on Central Banks to continue tightening policy. Short positioning across the US Treasury curve benefited after the Fed delivered a hawkish tilt by upwardly revising its peak rate. Similarly, short German bond positioning profited in the wake of hawkish ECB comments coupled with a 50bps hike. In credit trading, short protection positions detracted as US and European credit spreads widened alongside the weakness in risk assets.
2021 (For the Year Ended December 31)
Of the 12.52% return for the year ended December 31, 2021 for Series A, approximately 17.93% was due to trading gains (before commissions) and approximately 0.39% due to investment income, offset by approximately (5.80)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series A.
Of the 13.09% return for year ended December 31, 2021 for Series B, approximately 17.93% was due to trading gains (before commissions) and approximately 0.39% due to investment income, offset by approximately (5.23)% due to brokerage fees, management fees, sales commissions and operating costs borne by Series B.
Of the 12.83% return for the year ended December 31, 2021 for Series D, approximately 17.93% was due to trading gains (before commissions) and approximately 0.39% due to investment income, offset by approximately (5.49)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series D.
Of the 14.80% return for the year ended December 31, 2021 for Series W, approximately 17.93% was due to trading gains (before commissions) and approximately 0.39% due to investment income, offset by approximately (3.52)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series W.
An analysis of the 17.93% gross trading gains for the Trust for the year by sector is as follows:
Sector
% Gain (Loss)
Credit
(0.59
)%
Commodities
11.16
Foreign Exchange
8.25
Interest Rates
(9.78
)
Equity Indices
8.89
17.93
%
The Trust showed a decline in January with losses coming from interest rate, foreign exchange (FX), stock index, and credit positions, while commodity holdings produced some partially offsetting gains. Interest rate positions produced the largest losses during the month with declines most pronounced in long-dated instruments. Long positions on US rate markets suffered as the Democrats took control of the Senate which sent yields higher (prices lower) amid increased expectations for a large scale fiscal stimulus package being passed. Long positioning on Australian and Canadian rates also generated losses when prices fell (yields rose). Australian inflation was higher than expected and the Bank of Canada indicated the country would not need as much quantitative easing as initially expected. Foreign exchange trading contributed additional losses during January. The largest FX losses came from long emerging market positions (against the USD), specifically in the Colombian peso and Brazilian real. The Latin American currencies were the top underperformers during the month, sinking on regional spreading of the COVID-19 virus and slow vaccine rollouts in the region. Global stock index trading also added losses to the Trust during the month. Long positioning on many global stock indexes saw gains early in the month, however late month risk aversion erased those gains and ultimately generated losses. Concerns about liquidity induced asset bubbles, retail driven stock volatility in companies with high levels of short interest, and limited vaccine availability and distribution hurdles all contributed to the risk-off sentiment late in the month. In credit trading, short protection positions generated losses as European and US credit spreads widened amid risk-off sentiment, especially within Europe. Commodities generated some partially offsetting gains for the Trust. Long positions on the grain complex profited as strong Chinese demand linked with supply concerns pushed prices to multi-year highs during the month. A long holding on gasoline also added to gains as prices rose driven by fiscal stimulus payments to consumers and hopes for economic reopening on the back of mass COVID-19 vaccinations.
In February, the Trust showed a gain with profits coming from commodity, stock index, foreign exchange, and credit positions, while interest rate holdings produced some partially offsetting losses. Commodities trading produced the largest Trust gains during February. Long holdings on the petroleum complex, specifically on gasoline, Brent, and WTI, generated gains on declining COVID infection trends and a deep freeze in Texas that negatively impacted production. Long positioning on the grains, softs, and industrial metals also proved profitable amid US dollar weakness and strong expected demand from healing world economies. Global stock indexes generated additional profits during the month. Long positioning on many global stock indexes profited as most major equity indexes advanced during the month. Declining COVID infection rates, improving COVID vaccine distribution trends, and expectations for the passage of President Biden’s large US fiscal stimulus package all served as major tailwinds for global stock markets. Foreign exchange trading in the developed markets produced gains for the Trust. A long British pound holding (against short USD) was among the best performers as the GBP benefited from an efficient vaccine roll-out and optimism about the economic recovery in the United Kingdom. Mixed positioning in the FX markets proved beneficial as a short holding on the Japanese yen (versus long the greenback) benefited from the strength in the US markets relative to those in Japan. Interest rate positions produced the largest offsetting losses during the month with declines most pronounced in long-dated instruments. Long positioning on long-dated rate instruments in Australia and Canada led sector losses as note prices in those countries fell sharply (yields rose) during February. Growing global concerns about mounting inflationary pressures sparked by pent-up demand from COVID lockdowns linked with massive monetary and fiscal stimulus sent most global yields sharply higher, depressing bond prices and generating losses for the Trust.
March saw all the Trust’s asset classes produce gains with profits coming from foreign exchange, stock index, commodity, interest rate, and credit positions. Foreign exchange trading in both the developed and emerging markets produced the largest Trust gains during March. A short Japanese yen holding (against long USD) was the best performing FX position as the JPY sank to its lowest level in a year. The move was primarily driven by the stronger greenback as the COVID-19 vaccine rollout and stimulus efforts in the US caused the dollar to strengthen. Short positioning on the Australian and New Zealand dollars (against long USD) was also profitable after the Reserve Bank of Australia (RBA) continued its bond purchase program and following the New Zealand government’s efforts to curb property speculation. Global stock indexes generated additional profits for the Trust. Long positioning on many global stock indexes profited as most major equity indexes advanced during the month. Positive progress with the COVID-19 vaccine rollout along with fiscal and monetary stimulus support continued to underpin the rally in most global equities. Commodity holdings also produced gains during March. The Trust’s nimble short-term suite of models profitably traded the intra-month volatility within the petroleum complex. A short natural gas position benefited from warmer domestic weather forecasts which led to additional energy sub-sector gains. Long grain positions also produced profits for the Trust as the grain complex advanced sharply into month-end after a USDA report showed planting estimates below market expectations. Interest rate positions contributed small additional profits during the month with gains most notable in long-dated instruments. Long positioning on Australian 3- and 10-year notes produced profits after the RBA doubled down on bond purchases and policymakers expressed concern over the speed of the nation’s economic recovery. Credit trading was also profitable during March as short protection positions generated gains as most US and European credit spreads narrowed amid the risk-on environment.
In April, the Trust showed a gain with profits coming from commodity, stock index, and credit holdings, while foreign exchange and fixed income positions created some partially offsetting losses. Commodity holdings produced the best Trust gains during April. Long grain holdings provided profits as the complex rallied sharply throughout the month amid crop concerns in key planting regions and strong demand from top importer China. Long positions on the petroleum and industrial metal complexes proved profitable as prices rose during April driven by rising demand expectations as global economies begin to emerge from the COVID-19 pandemic. Global stock indexes generated additional profits for the Trust. Long positioning on many global stock indexes profited as most major equity indexes advanced during the month. Ongoing fiscal and monetary stimulus, especially from the US, along with strong corporate earnings and improving COVID-19 vaccination rates created an ideal environment for equity appreciation. Credit trading was also profitable during April as short protection positions generated gains as most US and European credit spreads narrowed amid the risk-on environment. Foreign exchange trading in both the developed and emerging markets produced losses for the Trust. The US dollar experienced a wide-breadth selloff given the Fed’s dovish assurances and President Biden’s expansionary fiscal policy measures. While a long CAD position (versus short USD) further benefited from the Bank of Canada acting as the first G10 central bank to formally begin a monetary policy normalization process, it was more than offset by losses elsewhere in the FX portfolio. Interest rate positions contributed additional losses during the month. Long positioning on German 5- and 10-year notes suffered while short holdings on US Treasuries produced some partially offsetting gains as most global yields rose (prices fell) due to growing inflation concerns.
The Trust produced a gain in May with profits coming from commodity, foreign exchange, stock index, and credit holdings, while fixed income positions created some partially offsetting losses. Commodity holdings produced the best Trust gains during May. In the precious metals sub-sector, a long position on gold proved profitable amid a drumbeat of dovish commentary from FOMC officials who insisted that any inflationary pressures will be transitory which helped weaken the US dollar and sent gold futures higher by over 7% during the month. Other commodity sub-sectors that contributed to monthly gains included grains, energies, softs, and industrial metals. Foreign exchange trading in both the emerging and developed market currencies was profitable for the Trust. A long South African rand holding (against short USD) was the best performer in the EM space as the ZAR rose to its highest level in almost two years, helped along by strong demand for energies and metals. Long positioning on the Canadian dollar (against short USD) was also profitable on back of the bid in commodities as well as the Bank of Canada’s pivot to a more hawkish stance. The overall weaker greenback benefited other short USD holdings, adding to sector gains. Global stock indexes generated additional profits for the Trust. Long positioning on many global stock indexes profited as most major equity indexes advanced during the month. Economic reopening progress from the pandemic linked with ongoing monetary and fiscal stimulus created a risk-on backdrop for stocks. Credit trading was also profitable during May as short protection positions produced gains as most US and European credit spreads narrowed amid the risk-on environment. Interest rate positions created some partially offsetting losses during the month. Short positioning on some European and US instruments suffered as prices rose (yields fell) as multiple ECB and Federal Reserve officials pushed back against market expectations that both central banks were close to considering reducing quantitative easing measures.
The Trust was down slightly in June with profits coming from commodity, stock index, and credit holdings, while interest rate and foreign exchange positions created some partially offsetting losses for the Trust. Commodity holdings produced the best Trust profits during June. The dominant gains were found in long positioning on the petroleum and natural gas markets. WTI and Brent crude oil rallied amid improving demand dynamics linked with tighter supplies. Natural gas rose sharply on the back of a US heat wave that saw increased gas demand for electric generation for air conditioning. Global stock indexes generated additional gains for the Trust. Long positioning in the United States and Canada generated the best sector profits. Ongoing monetary and fiscal stimulus, accompanied by improving COVID vaccination rates and expanding economic reopening, provided a tailwind for equities. The US NASDAQ and S&P 500 indexes, along with the Canadian S&P/TSX index, printed new all-time highs during the month benefitting our long positioning. Credit trading was also profitable during June as short protection positions generated gains as US and European credit spreads narrowed amid the risk-on environment. Interest rate positions generated the largest partially offsetting losses during the month. Short positioning on the US 10-year note, US 30-year bond, and UK Gilts led sector losses as reassuring commentary from the FOMC and the Bank of England on the transitory nature of higher inflation sent long-term yields lower (prices higher). A long position on the policy-sensitive US 2-year note suffered when the FOMC turned surprisingly hawkish mid-month sending short-term yields higher (prices lower). Foreign exchange trading in the emerging market (EM) currencies was a drag on the Trust as well. Long EM currency positions (versus short the US dollar) suffered after the mid-month FOMC meeting. Chairman Powell surprised markets with an unexpected hawkish shift which sent the greenback sharply higher, hurting our US dollar shorts.
The Trust, which consists of momentum, macro, and short-term strategies, produced a gain during July. Profits came from interest rate and commodity holdings, while foreign exchange (FX), stock index, and credit positions produced some partially offsetting losses. Interest rate positions contributed the best Trust profits during the month with gains most notable in long-dated instruments. The growing risks to economic growth due to rising Delta variant infections, inflation, and supply-side disruptions prompted buying of safe-haven assets. Long positioning on German notes were profitable after the ECB raised its inflation goal and made a dovish shift on forward guidance. Commodity holdings produced additional gains for the Trust in July. Long energy positions generated profits for the Trust as the energy complex advanced amid increasing demand and rising inflation concerns. Long nickel positioning outperformed as the base metal rallied to multi-year highs on booming demand for the metal used in stainless steel and electric-vehicle batteries. Foreign exchange trading, primarily in the developed market currencies, produced offsetting losses for the Trust. The Federal Reserve said the US job market still had “some ground to cover” which contributed to losses in short US dollar holdings (against long foreign currencies). Short positioning on the Japanese yen, our biggest loser on the month, strengthened on the Fed commentary as well as the bid for safe-haven assets given the concerns about the Delta variant. Global stock indexes generated additional offsetting losses for the Trust. Long positioning on Asian stock index holdings were a drag for the Trust as concerns that the spread of the Delta variant could dampen recovery momentum and additional Chinese tech regulation weighed on prices. However, long positioning in the United States provided some counteracting gains as ongoing policy accommodation and strong Q2 earnings results provided a tailwind for US equities. Credit positions had little impact on performance as spreads remained range-bound amid a lack of meaningful directional drivers.
The Trust, which consists of momentum, macro, and short-term strategies, produced a loss during August. Losses came from commodity, interest rate, and foreign exchange holdings, while stock index and credit positions produced some partially offsetting gains during the month. Commodity holdings produced the largest losses for the Trust in August. Long positioning on the petroleum and industrial metal complexes suffered as the surging Delta variant of the COVID-19 virus called into question the outlook for global economic growth which helped to send the prices of those commodities lower. In the grain subsector, long holdings on the soy complex created losses amid prospects for higher production from Brazil and beneficial rain in the US Farm Belt. Interest rate positions contributed additional losses for the Trust with declines most notable in long-dated instruments. Long positioning on US and German notes produced losses as the US Federal Reserve and European Central Bank began to prepare markets for a possible scaling back of quantitative easing measures amid elevated inflation readings. Foreign exchange trading across both emerging market (EM) and developed market (DM) currencies produced additional losses for the Trust during the month. After the US dollar’s slightly weaker July, the greenback had mixed returns over the month. Risk markets generally fared well in August despite the spread of the Delta variant and many EM currencies outperformed (versus the USD) as a result, hurting Trust short positions in those markets. Global stock indexes generated the best partially offsetting gains. Long positioning on a variety of global equity indexes drove sector profits as most major global stock indexes finished August with gains. The ongoing fiscal and monetary support globally continued to provide a tailwind behind equities even as the Delta variant surged. An increase in vaccination rates also helped drive risk-on buying. Credit trading was also profitable as short protection positions generated gains as US and European credit spreads narrowed amid the risk-on environment.
The Trust, which consists of momentum, macro, and short-term strategies, produced a loss during September. Losses came from interest rate and stock index positions, while commodity and foreign exchange (FX) holdings produced some partially offsetting gains during the month. Interest rate positions contributed the largest partially offsetting losses for the Trust with declines most notable in long-dated instruments. Long positioning on German and Australian notes produced losses as major central banks began to prepare markets for a scaling back of quantitative easing measures amid elevated inflation readings which sent yields higher as bond prices fell. Global stock indexes also generated losses in September. Long positioning on a variety of global equity indexes drove sector declines as most major global stock indexes finished the month with losses. The general risk-off sentiment that intensified during the month put an end to the relentless equity rally seen for most of 2021. Commodity holdings produced the largest gains for the Trust. Long positioning on the petroleum complex created some of the best profits. Brent and WTI crude both showed strong monthly gains as a significant percentage of US Gulf Coast output remained offline following Hurricane Ida, while at the same time, the UK grappled with a fuel shortage crisis. A long position on cotton was also profitable. Cotton advanced sharply during the month as adverse US weather and strong demand from China, Turkey, and Pakistan threatened to further tighten global supplies. Foreign exchange trading produced additional gains. Long US dollar exposure proved profitable as the greenback saw a sharp rally over the month, trading stronger against most developed and emerging market currencies. The dollar benefitted from flight-to-safety buying as some major central banks turned more hawkish, supply chain bottlenecks kept inflation concerns elevated, contagion fears surrounding Chinese company Evergrande were heightened, and as dysfunction among US lawmakers threatened to derail fiscal stimulus. Credit trading was relatively flat as short protection positions generated losses as US and European credit spreads widened amid the risk-off environment.
The Trust produced a gain during October with profits coming from commodity and stock index positions. Interest rate positions and foreign exchange holdings produced some partially offsetting losses while credit index trading contributed positive returns during the month. Commodity holdings produced the largest gains for the Trust during October. Long positioning on the petroleum complex provided the best sector gains. Rising demand for energy products amid falling stockpiles fueled strong gains for the complex with WTI crude rising to levels not seen since 2014. Long holdings on the industrial metal complex added to sector profits. Power shortages in production regions and supply woes sent the complex rocketing to all-time highs during the month. Global stock indexes also generated profits for the Trust. Long holdings in the United States and Europe produced the bulk of the monthly gains. Equity markets benefitted from a strong third quarter corporate earnings season. Inflationary pressures linked to supply-chain woes have not yet hit corporate earnings with many companies reporting high demand as the COVID-19 pandemic begins to recede. Foreign exchange trading produced small losses. The US dollar was mixed versus the other G10 currencies. A short position on the Japanese yen (vs long US dollar) proved profitable as the yen fell to its lowest level in about three years versus the greenback on interest rate differentials. A long position on the Canadian dollar (vs short US dollar) added to profits as the Canadian dollar appreciated amid strong energy prices and a hawkish shift from the Bank of Canada. Interest rate positions produced partially offsetting losses during October, with declines concentrated in short-dated instruments. Persistent, elevated inflation data and growing concerns over imminent monetary policy tightening pushed yields higher (prices lower) across most global yield curves. Long positioning on US Eurodollar and 2-year notes produced the largest losses as prices fell (yields rose) throughout the month. Credit offered gains to the Trust as the CDX and iTraxx indices experienced mixed performance.
The Trust produced a loss during November with losses coming from commodity, stock index, interest rate and credit index holdings, while foreign exchange positions produced partially offsetting gains. Commodity positions generated the largest losses during the month. The dominant losses were found in long positioning on the petroleum markets as the complex weakened amid demand concerns with the new Omicron strain sparking fears of renewed lockdowns and threatening the recovery outlook. Grain holdings produced additional losses for the Trust, driven by the soybean complex which weakened alongside other commodities as investors weighed the impact of the new coronavirus variant on global demand. A long cotton holding produced additional losses as cotton futures slid amid favorable US harvest conditions. Largely long positioning in global stock indices detracted from performance in November as markets sold-off sharply on Black Friday amid the potential threat of the new Covid-19 variant. Concerns about the efficacy of existing vaccines against the new coronavirus strain, as well as comments from Fed Chair Powell that it may be appropriate for the Fed to consider wrapping up its taper a few months sooner, pressured global stocks even lower into month-end. Interest rate positions added modest losses as rising Covid cases and the emergence of a new variant rattled markets, sparking flight to safety which pushed prices higher (yields lower). Mixed global positioning helped contain sector losses as gains made on German Bund holdings were offset by losses from UK Gilts and Canadian bonds. Credit trading was also unprofitable as short protection positions generated losses as US and European credit spreads widened amid the risk-off environment. Foreign exchange trading produced offsetting gains for the Trust in November. The US dollar experienced a strong rally for most of the month but was stopped in its tracks when Omicron news hit the tapes on Thanksgiving. The greenback held on to its gains versus most of its trading peers on back of sticky US inflation and a faster normalization schedule from the Federal Reserve, benefiting the Trust’s long USD positions.
December brought a gain for the Trust with profits coming from stock index, commodity, and credit positions, while interest rate and foreign exchange holdings produced some partially offsetting losses. Largely long positioning in global stock indices produced gains for the Trust in December, with most major benchmarks logging gains for the month. The risk-on appetite returned into month-end as more studies showed Omicron causes mild illness in most cases. Strong 2022 margin outlooks and a still-accommodative monetary policy backdrop also supported prices, though concerns remain about lingering inflationary pressures. Commodity trading provided additional profits for the Trust during December. Long holdings on the energy complex generated the best commodity sub-sector returns as energy markets advanced with the Omicron Covid-19 variant appearing to be less severe than previous strains, easing demand concerns. Additional gains were produced from long corn and soy holdings. Grains rose during the months as prices were bolstered amid mounting concerns over the crop outlook in South America. In credit trading, short protection positions generated gains as US and European credit spreads tightened alongside stock indices and other risky assets. Interest rate positions produced some partially offsetting losses during the month with declines most pronounced in long-dated instruments. Long positioning in the German 10-year notes contributed the largest losses as prices fell (yields rose) on the potential that loose monetary policy will come to an end and the PEPP (Pandemic Emergency Purchase Programme) will stop in March. Foreign exchange trading contributed modest losses during December with the largest detraction coming from developed FX markets. While most of the G-10 currencies started the month trading lower versus the US dollar, they experienced a reversal to close out the year, rallying alongside the broader move in risk assets. The one exception was the low-yielding Japanese yen, which weakened on the month and provided some gains to the Trust.

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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, 2023, 2022 and 2021 and the trading gains/losses by market category for the years then ended.
December 31, 2023
Market Sector
Value
at Risk*
Trading
Gain/(Loss)**
Credit
0.20
%
(0.22
)%
Commodities
0.73
%
0.10
%
Foreign Exchange
0.73
%
(2.02
)%
Interest Rates
0.72
%
(3.51
)%
Stock Indices
0.44
%
0.74
%
Aggregate/Total
1.59
%
(4.91
)%
*
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, 2023.
Of the (4.95)% return for the year ended December 31, 2023 for Series A, approximately (4.91)% was due to trading losses (before commissions) and approximately 5.25% due to investment income, offset by approximately (5.29)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series A.
Of the (4.62)% return for year ended December 31, 2023 for Series B, approximately (4.91)% was due to trading losses (before commissions) and approximately 5.25% due to investment income, offset by approximately (4.96)% due to brokerage fees, management fees, performance fees, sales commissions and operating costs borne by Series B.
Of the (3.90)% return for the year ended December 31, 2023 for Series D, approximately (4.91)% was due to trading losses (before commissions) and approximately 5.25% due to investment income, offset by approximately (4.24)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series D.
Of the (3.17)% return for the year ended December 31, 2023 for Series W, approximately (4.91)% was due to trading losses (before commissions) and approximately 5.25% due to investment income, offset by approximately (3.51)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series W.
December 31, 2022
Market Sector
Value
at Risk*
Trading
Gain/(Loss)**
Credit
0.09
%
1.25
%
Commodities
0.54
%
8.88
%
Foreign Exchange
1.15
%
16.83
%
Interest Rates
0.98
%
16.26
%
Stock Indices
0.53
%
1.11
%
Aggregate/Total
1.66
%
44.33
%
*
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, 2022.
Of the 36.01% return for the year ended December 31, 2022 for Series A, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by approximately (9.78)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series A.
Of the 35.82% return for year ended December 31, 2022 for Series B, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by approximately (9.97)% due to brokerage fees, management fees, performance fees, sales commissions and operating costs borne by Series B.
Of the 31.93% return for the year ended December 31, 2022 for Series D, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by approximately (13.86)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series D.
Of the 35.05% return for the year ended December 31, 2022 for Series W, approximately 44.33% was due to trading gains (before commissions) and approximately 1.46% due to investment income, offset by approximately (10.74)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series W.
December 31, 2021
Market Sector
Value
at Risk*
Trading
Gain/(Loss)**
Credit
0.07
%
(0.59
)%
Commodities
0.91
%
11.16
%
Foreign Exchange
0.90
%
8.25
%
Interest Rates
0.58
%
(9.78
)%
Stock Indices
0.92
%
8.89
%
Aggregate/Total
2.09
%
17.93
%
*
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, 2021.
Of the 12.52% return for the year ended December 31, 2021 for Series A, approximately 17.93% was due to trading gains (before commissions) and approximately 0.39% due to investment income, offset by approximately (5.80)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series A.
Of the 13.09% return for year ended December 31, 2021 for Series B, approximately 17.93% was due to trading gains (before commissions) and approximately 0.39% due to investment income, offset by approximately (5.23)% due to brokerage fees, management fees, sales commissions and operating costs borne by Series B.
Of the 12.83% return for the year ended December 31, 2021 for Series D, approximately 17.93% was due to trading gains (before commissions) and approximately 0.39% due to investment income, offset by approximately (5.49)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series D.
Of the 14.80% return for the year ended December 31, 2021 for Series W, approximately 17.93% was due to trading gains (before commissions) and approximately 0.39% due to investment income, offset by approximately (3.52)% due to brokerage fees, management fees, sales commissions, offering costs and operating costs borne by Series W.
Material Limitations of Value at Risk as an Assessment of Market Risk
The following limitations of VaR as an assessment of market risk should be noted:
1)
Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;
2)
Changes in portfolio value caused by market movements may differ from those of the VaR model;
3)
VaR results reflect past trading positions while future risk depends on future positions;
4)
VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and
5)
The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.
VaR is not necessarily representative of historic risk nor should it be used to predict the Trust’s future financial performance or its ability to manage and monitor risk. There can be no assurance that the Trust’s actual losses on a particular day will not exceed the VaR amounts indicated or that such losses will not occur more than once in 40 trading days.
Non-Trading Risk
The Trust has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Trust also has non-trading market risk as a result of investing a portion of its available assets in U.S. Treasury Bills held at the 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, 2023 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, 2023.
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.

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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 56 of this report.

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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, 2023. 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, 2023, 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.

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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:
Dr. Kevin D. Cole, born in 1972, joined Campbell & Company in October 2003, served as Chief Investment 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, and assumed the combined role of Chief Executive Officer & Chief Investment Officer (CEO, CIO) in January of 2022. In his role as CEO, CIO, he is responsible for leading the firm’s overall strategic direction while also establishing and managing the firm’s investment research agenda. Dr. Cole has served on the Board of Directors and as an officer of Campbell & Company, LLC, the general partner of Campbell & Company, since January 2019. Since August 2018 Dr. Cole has served on the firm’s Executive Committee. Dr. Cole was appointed to the firm’s Investment Committee in January 2016. 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. 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.
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 from June 30, 1982 to May 14, 2020 and a NFA Associate Member from July 1, 1984 to May 14, 2020. 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 was listed as a Principal effective March 10, 1975 through May 14, 2020 and was registered as an Associated Person effective February 28, 2013 through May 14, 2020 and a Forex Associated Person effective March 15, 2013 through July 7, 2019.
Thomas P. Lloyd, born in 1959, joined Campbell & Company in September 2005 as General Counsel and Executive Vice President-Legal and Compliance. Since December 2018, Mr. Lloyd 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, he is involved in all aspects of legal affairs, compliance and regulatory oversight, including, between April 2007 and August 2018, overseeing Campbell & Company’s fund administration function. Since January 2019, Mr. Lloyd has served on the Board of Directors of Campbell & Company, LLC, the general partner of Campbell & Company. Between August and December 2018, Mr. Lloyd served as Co-General Counsel of Campbell & Company, LP. Mr. Lloyd served as the Secretary of Campbell & Company between October 2011 and August 2018. Since August 2017, Mr. Lloyd 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, and the Campbell Equity Alpha Cayman, LP and the Campbell Equity Alpha Master Fund LP, each an exempted limited partnership registered in the Cayman Islands. Since November 2014, Mr. Lloyd has served as an officer of Campbell & Company, LLC, which is the general partner of Campbell & Company. Mr. Lloyd is a member of the Board of Directors of Campbell Core Offshore Limited and Campbell Advantage Offshore Limited, each an international business company incorporated in the Cayman Islands. Mr. Lloyd served as the Secretary and Assistant Treasurer, between September 2005 and August 2018, and as the General Counsel, between September 2013 and August 2018, of Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered commodity trading advisor and an SEC-registered investment adviser. Mr. Lloyd served as a Director, Vice President, and Secretary of Campbell Financial Services, LLC, an SEC-registered broker-dealer and FINRA member, between October 2009 and August 2018. Mr. Lloyd also served as Chief Compliance Officer of Campbell Financial Services, LLC between October 2009 and September 2013. In November 2012 Mr. Lloyd was appointed as President of Campbell Financial Services, LLC and held the position until April 2014. Mr. Lloyd was the General Counsel of Campbell Financial Services, LLC between April 2014 and August 2018. From July 1999 to September 2005, Mr. Lloyd was employed by Deutsche Bank Securities Inc., 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 Deutsche Bank Securities Inc. 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 has been listed as a Principal of Campbell & Company and Campbell & Company Investment Adviser LLC since January 2, 2019. Mr. Lloyd was previously listed as a Principal of Campbell & Company and Campbell & Company Investment Adviser LLC from October 20, 2005 to August 1, 2018 and December 12, 2005 to August 15, 2018, respectively. Mr. Lloyd became registered as a NFA Associate Member and an Associated Person of Campbell & Company effective August 30, 2010. Mr. Lloyd became registered as a NFA Associate Member Person of Campbell & Company Investment Adviser, LLC effective December 12, 2022. Mr. Lloyd was designated as a Branch Manager of Campbell & Company, LP from January 15, 2020 until December 28, 2020.
John R. Radle, born in 1967, joined Campbell & Company in June 2005, and in January 2022 was appointed Chief Operating Officer of both Campbell & Company, LP and Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, LP, a registered commodity trading advisor and an SEC-registered investment adviser. In this capacity, Mr. Radle is responsible for overseeing the firm’s middle office, back office, and corporate finance functions. Mr. Radle was appointed to the Board of Directors and as an officer of Campbell & Company, LLC, the general partner of Campbell & Company, LP in January 2022. Mr. Radle has been a member of the Investment Committee and the Best Execution Committee since April 2013 and November 2006, respectively. Mr. Radle also served as the Equity Trading Manager from June 2005 to December 2010, Manager - Equity & Rule-Based Execution from December 2010 to October 2012, and Managing Director, Global Head of Trading from October 2012 to January 2022. In this capacity Mr. Radle provided oversight of all aspects of the firm’s trade activities and assessed trade algorithms. Mr. Radle holds a BBA in Finance from Texas Christian University. He also holds an MBA from Johns Hopkins University. Mr. Radle was listed as a principal of Campbell & Company, LP and Campbell & Company Investment Adviser LLC from June 2013 to September 2018. Mr. Radle became listed as a principal of Campbell & Company, LP and Campbell & Company Investment Adviser, LLC in January 2022. Mr. Radle became registered as a NFA Associate Member and an Associated Person of Campbell & Company, LP effective November 5, 2007 and November 15, 2007, respectively.
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.
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, Chief Operating Officer, 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, 2023, no Units of Beneficial Interest are owned or held by an officer of Campbell & Company.
(b)
Security Ownership of Management. As of December 31, 2023, 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, 2023 and 2022 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, 2023 and 2022 were $300,000 and $278,425 , 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 59 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 Kevin D. Cole, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.
31.02
Certification of John R. Radle, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
32.01
Certification of Kevin D. Cole, 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 John R. Radle, 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, 2023 and 2022, (ii) Statements of Financial Condition as of December 31, 2023 and 2022, (iii) Statements of Operations For the Years Ended December 31, 2023, 2022 and 2021, (iv) Statements of Cash Flows For the Years Ended December 31, 2023, 2022 and 2021, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the Years Ended December 31, 2023, 2022 and 2021, (vi) Financial Highlights For the Years Ended December 31, 2023, 2022 and 2021, (vii) Notes to Financial Statements.
Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101).
(1)
Incorporated by reference to the respective exhibit to the Registrant’s Form 10 filed on April 30, 2003.
(2)
Incorporated by reference to the respective exhibit to the Registrant’s Quarterly Report on Form 10-Q filed 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.