Attached files
file | filename |
---|---|
EX-8.01 - CAMPBELL ALTERNATIVE ASSET TRUST | v188860_ex8-01.htm |
EX-23.04 - CAMPBELL ALTERNATIVE ASSET TRUST | v188860_ex23-04.htm |
EX-23.02 - CAMPBELL ALTERNATIVE ASSET TRUST | v188860_ex23-02.htm |
EX-5.01(A) - CAMPBELL ALTERNATIVE ASSET TRUST | v188860_ex5-01a.htm |
EX-5.01(B) - CAMPBELL ALTERNATIVE ASSET TRUST | v188860_ex5-01b.htm |
As
Filed with the Securities and Exchange Commission on
June
25, 2010
Registration
No. 333-[______]
UNITED
STATES
SECURITIES
AND EXCHANGE COMMISSION
WASHINGTON,
D.C. 20549
Form
S-1
REGISTRATION
STATEMENT
UNDER
THE
SECURITIES
ACT OF 1933
Campbell Alternative Asset
Trust
(Exact
name of registrant as specified in its charter)
Delaware
|
6799
|
52-2238521
|
(State
of Organization)
|
(Primary
Standard Industrial
|
(I.R.S.
Employer Identification
|
Classification
Number)
|
Number)
|
c/o
Campbell & Company, Inc.
2850
Quarry Lake Drive
Baltimore,
Maryland 21209
(410)
413-2600
(Address,
including zip code, and telephone number, including area code, of registrant's
principal executive offices)
Thomas
P. Lloyd
Campbell
& Company, Inc.
2850
Quarry Lake Drive
Baltimore,
Maryland 21209
(410)
413-2600
(Name,
address, including zip code, and telephone number, including area code, of agent
for service)
Copy
to:
Michael
J. Schmidtberger
Sidley
Austin LLP
787
Seventh Avenue
New
York, New York 10019
(212)
839-5458
Approximate date of commencement of
proposed sale to the public: As soon as practicable after the effective
date of this Registration Statement.
If any of the securities being
registered on this Form are to be offered on a delayed or continuous basis
pursuant to Rule 415 under the Securities Act of 1933 (the "Securities Act")
check the following box. x
If this
Form is filed to register additional securities for an offering pursuant to Rule
462(b) under the Securities Act, please check the following box and list the
Securities Act registration statement number of the earlier effective
registration statement for the same offering. ¨
If this
Form is a post-effective amendment filed pursuant to Rule 462(c) under the
Securities Act, check the following box and list the Securities Act registration
statement number of the earlier effective registration statement for the same
offering. ¨
If this
Form is a post-effective amendment filed pursuant to Rule 462(d) under the
Securities Act, check the following box and list the Securities Act registration
statement number of the earlier effective registration statement for the same
offering. ¨
Indicate
by checkmark whether the registrant is a large accelerated filer, an accelerated
filer, a non-accelerated filer, or a smaller reporting company. See the
definitions of “large accelerated filer,” “accelerated filer” and “smaller
reporting company” in Rule 12b2 of the Exchange Act.
Large accelerated filer
¨
|
Accelerated
filer ¨
|
Non-accelerated
filer (Do not check if a smaller reporting company) ¨
|
Smaller
reporting company x
|
CALCULATION
OF REGISTRATION FEE
Title
of Each Class of
Securities
Being Registered
|
Proposed
Maximum Aggregate
Offering
Price
|
Amount
of Registration Fee (1)
|
Units of Beneficial Interest
|
$5,000,000
|
$356.50
|
|
(1)
|
The
amount of the registration fee for Units of Beneficial Interest is
calculated in reliance upon Rule 457(o) under the Securities Act and using
the proposed maximum aggregate offering as described
above.
|
The
Registrant hereby amends this registration statement on such date or dates as
may be necessary to delay its effective date until the registrant shall file a
further amendment which specifically states that this registration statement
shall thereafter become effective in accordance with Section 8(a) of the
Securities Act of 1933 or until this registration statement shall become
effective on such date as the Commission, acting pursuant to said Section 8(a),
may determine.
The
information in this Prospectus is not complete and may be changed. We may not
sell these securities until the registration statement filed with the Securities
and Exchange Commission is effective. This Prospectus is not an offer to sell
these securities and is not soliciting an offer to buy these securities in any
state where the offer or sale is not permitted.
Subject to
completion, dated June 25, 2010.
PART
ONE — DISCLOSURE DOCUMENT
CAMPBELL
ALTERNATIVE ASSET TRUST
$5,000,000
UNITS
OF BENEFICIAL INTEREST
The
Offering
The Trust
trades speculatively in the U.S. and international futures, forward and option
markets. Specifically, the Trust trades in a portfolio primarily focused on
financial futures and forwards, which are instruments designed to hedge or
speculate on changes in interest rates, currency exchange rates or stock index
values. A secondary emphasis is on metals and energy products, soft commodities
and other commodities. Campbell & Company, Inc., a futures fund manager,
allocates the Trust's assets across a broad spectrum of markets.
As of
April 30, 2010, the net asset value per Unit was $1,527.69. There is no fixed
termination date for the offering of the Units. The Trust offers the Units
during the continuing offering at the net asset value per Unit as of each
month-end closing date on which subscriptions are accepted, subject to the next
paragraph. Campbell & Company may suspend, limit or terminate the continuing
offering period at any time.
The Units
are no longer offered to the public generally. Units are being offered
exclusively for sale to the Campbell & Company, Inc. 401(k)
Plan.
The
Risks
These are
speculative securities. Before
you decide whether to invest, read this entire prospectus carefully and consider
"The Risks You Face" and "Conflicts of Interest."
•
|
The
Trust is speculative and leveraged. The Trust's assets are leveraged at a
ratio which can range from 5:1 to
30:1.
|
•
|
Past
results of Campbell & Company are not necessarily indicative of future
performance of the Trust, and the Trust's performance can be volatile. The
net asset value per Unit may fluctuate significantly in a single
month.
|
•
|
You
could lose all or a substantial amount of your investment in the
Trust.
|
•
|
Campbell
& Company has total trading authority over the Trust and the Trust is
dependent upon the services of Campbell & Company. The use of a single
advisor applying generally similar trading programs could mean lack of
diversification and, consequently, higher
risk.
|
•
|
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.
|
•
|
Transfers
of interest in the Units are subject to limitations, such as 30 days'
advance written 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.
|
•
|
Substantial
expenses must be offset by trading profits and interest income. The Trust
must generate trading profits of 4.58% per annum to
break-even.
|
•
|
A
substantial portion of the trades executed for the Trust takes place on
foreign exchanges. No U.S. regulatory authority or exchange has the power
to compel the enforcement of the rules of a foreign board of trade or any
applicable foreign laws.
|
•
|
The
Trust is subject to conflicts of interest. There are no independent
experts representing investors.
|
Investors
are required to make representations and warranties relating to their
suitability in connection with this investment. Each investor is encouraged to
discuss the investment with his/her individual financial, legal and tax
adviser.
These securities have not been
approved or disapproved by the Securities and Exchange Commission or any state
securities commission nor has the Securities and Exchange Commission or any
state securities commission passed upon the accuracy or adequacy of this
prospectus. Any representation to the contrary is a criminal
offense.
This prospectus is in two parts: a
disclosure document and a statement of additional information. These parts are
bound together, and both contain important information.
THE COMMODITY FUTURES TRADING
COMMISSION HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN THIS POOL NOR HAS
THE COMMISSION PASSED UPON THE ADEQUACY OR ACCURACY OF THIS DISCLOSURE
DOCUMENT.
CAMPBELL
& COMPANY, INC.
Managing
Owner
[
], 2010
(This
page has been left blank intentionally.)
COMMODITY
FUTURES TRADING COMMISSION
RISK
DISCLOSURE STATEMENT
YOU
SHOULD CAREFULLY CONSIDER WHETHER YOUR FINANCIAL CONDITION PERMITS YOU TO
PARTICIPATE IN A COMMODITY POOL. IN SO DOING, YOU SHOULD BE AWARE THAT FUTURES
AND OPTIONS TRADING CAN QUICKLY LEAD TO LARGE LOSSES AS WELL AS GAINS. SUCH
TRADING LOSSES CAN SHARPLY REDUCE THE NET ASSET VALUE OF THE POOL AND
CONSEQUENTLY THE VALUE OF YOUR INTEREST IN THE POOL. IN ADDITION, RESTRICTIONS
ON REDEMPTIONS MAY AFFECT YOUR ABILITY TO WITHDRAW YOUR PARTICIPATION IN THE
POOL.
FURTHER,
COMMODITY POOLS MAY BE SUBJECT TO SUBSTANTIAL CHARGES FOR MANAGEMENT, AND
ADVISORY AND BROKERAGE FEES. IT MAY BE NECESSARY FOR THOSE POOLS THAT ARE
SUBJECT TO THESE CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETION
OR EXHAUSTION OF THEIR ASSETS. THIS DISCLOSURE DOCUMENT CONTAINS A COMPLETE
DESCRIPTION OF EACH EXPENSE TO BE CHARGED THIS POOL AT PAGE 34 AND A STATEMENT
OF THE PERCENTAGE RETURN NECESSARY TO BREAK-EVEN, THAT IS, TO RECOVER THE AMOUNT
OF YOUR INITIAL INVESTMENT, AT PAGE 4.
THIS
BRIEF STATEMENT CANNOT DISCLOSE ALL THE RISKS AND OTHER FACTORS NECESSARY TO
EVALUATE YOUR PARTICIPATION IN THIS COMMODITY POOL. THEREFORE, BEFORE YOU DECIDE
TO PARTICIPATE IN THIS COMMODITY POOL, YOU SHOULD CAREFULLY STUDY THIS
DISCLOSURE DOCUMENT, INCLUDING A DESCRIPTION OF THE PRINCIPAL RISK FACTORS OF
THIS INVESTMENT, AT PAGE 6.
ii
RISK
DISCLOSURE STATEMENT
YOU
SHOULD CAREFULLY CONSIDER WHETHER YOUR FINANCIAL CONDITION PERMITS YOU TO
PARTICIPATE IN A POOLED INVESTMENT VEHICLE. IN DOING SO, YOU SHOULD BE AWARE
THAT THIS POOL ENTERS INTO TRANSACTIONS THAT ARE NOT TRADED ON AN EXCHANGE, AND
THE FUNDS THE POOL INVESTS IN THOSE TRANSACTIONS MAY NOT RECEIVE THE SAME
PROTECTIONS AS FUNDS USED TO MARGIN OR GUARANTEE EXCHANGE-TRADED FUTURES AND
OPTIONS CONTRACTS. IF THE COUNTERPARTY BECOMES INSOLVENT AND THE POOL HAS A
CLAIM FOR AMOUNTS DEPOSITED OR PROFITS EARNED ON TRANSACTIONS WITH THE
COUNTERPARTY, THE POOL’S CLAIM MAY NOT RECEIVE A PRIORITY. WITHOUT PRIORITY, THE
POOL IS A GENERAL CREDITOR AND ITS CLAIM WILL BE PAID, ALONG WITH THE CLAIMS OF
OTHER GENERAL CREDITORS, FROM ANY MONIES STILL AVAILABLE AFTER PRIORITY CLAIMS
ARE PAID. EVEN POOL FUNDS THAT THE COUNTERPARTY KEEPS SEPARATE FROM ITS OWN
OPERATING FUNDS MAY NOT BE SAFE FROM THE CLAIMS OF OTHER GENERAL AND PRIORITY
CREDITORS.
FOREX
TRADING CAN QUICKLY LEAD TO LARGE LOSSES AS WELL AS GAINS. SUCH TRADING LOSSES
CAN SHARPLY REDUCE THE NET ASSET VALUE OF THE POOL AND CONSEQUENTLY THE VALUE OF
YOUR INTEREST IN THE POOL. IN ADDITION, RESTRICTIONS ON REDEMPTIONS MAY AFFECT
YOUR ABILITY TO WITHDRAW YOUR PARTICIPATION IN THE POOL.
INVESTMENTS
IN THE POOL MAY BE SUBJECT TO SUBSTANTIAL CHARGES FOR MANAGEMENT, ADVISORY, AND
BROKERAGE FEE, AND THE POOL MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS TO
AVOID DEPLETING OR EXHAUSTING ITS ASSETS. THIS DISCLOSURE DOCUMENT CONTAINS A
COMPLETE DESCRIPTION OF EACH EXPENSE (SEE PAGE 34), AND A STATEMENT OF THE
PERCENTAGE RETURN NECESSARY TO BREAK EVEN, THAT IS, TO RECOVER THE AMOUNT OF
YOUR INITIAL INVESTMENT (SEE PAGE 4).
THIS
BRIEF STATEMENT CANNOT DISCLOSE ALL THE RISKS AND OTHER FACTORS NECESSARY TO
EVALUATE YOUR PARTICIPATION IN THIS POOL. THEREFORE, BEFORE YOU DECIDE TO
PARTICIPATE YOU SHOULD CAREFULLY REVIEW THIS DISCLOSURE DOCUMENT, INCLUDING A
DESCRIPTION OF THE PRINCIPAL RISK FACTORS OF THIS INVESTMENT (SEE PAGE
6).
YOU
SHOULD ALSO BE AWARE THAT THIS COMMODITY POOL MAY TRADE FOREIGN FUTURES OR
OPTIONS CONTRACTS. TRANSACTIONS ON MARKETS LOCATED OUTSIDE THE UNITED STATES,
INCLUDING MARKETS FORMALLY LINKED TO A UNITED STATES MARKET, MAY BE SUBJECT TO
REGULATIONS WHICH OFFER DIFFERENT OR DIMINISHED PROTECTION TO THE POOL AND ITS
PARTICIPANTS. FURTHER, UNITED STATES REGULATORY AUTHORITIES MAY BE UNABLE TO
COMPEL THE ENFORCEMENT OF THE RULES OF REGULATORY AUTHORITIES OR MARKETS IN
NON-UNITED STATES JURISDICTIONS WHERE TRANSACTIONS FOR THE POOL MAY BE
EFFECTED.
NATIONAL
FUTURES ASSOCIATION HAS NEITHER PASSED UPON THE MERITS OF PARTICIPATING IN THIS
POOL NOR THE ADEQUACY OR ACCURACY OF THIS DISCLOSURE DOCUMENT.
This
prospectus does not include all of the information or exhibits in the Trust's
registration statement. You can read and copy the entire registration statement
at the public reference facilities maintained by the Securities and Exchange
Commission in Washington, D.C.
The
Trust files monthly, quarterly and annual reports with the SEC. You can read and
copy these reports at the SEC public reference facilities in Washington, D.C.
Please call the SEC at 1-800-SEC-0330 for further information.
The
Trust's filings will be posted at the SEC website at
http://www.sec.gov.
CAMPBELL
& COMPANY, INC.
Managing
Owner
2850
Quarry Lake Drive
Baltimore,
Maryland 21209
(410)
413-2600
iii
PART
ONE — DISCLOSURE DOCUMENT
TABLE
OF CONTENTS
Page
|
||
SUMMARY
|
1
|
|
General
|
1
|
|
Plan
of Distribution
|
1
|
|
A
Summary of Risk Factors You Should Consider Before Investing in the
Trust
|
2
|
|
Investment
Factors You Should Consider Before Investing in the Trust
|
3
|
|
Campbell
& Company, Inc.
|
3
|
|
Charges
to the Trust
|
3
|
|
Estimate
of Break-Even Level
|
4
|
|
Distributions
and Redemptions
|
4
|
|
Federal
Income Tax Aspects
|
4
|
|
CAMPBELL
ALTERNATIVE ASSET TRUST ORGANIZATIONAL CHART
|
5
|
|
THE
RISKS YOU FACE
|
6
|
|
Market
Risks
|
6
|
|
You
Could Possibly Lose Your Total Investment in the Trust
|
6
|
|
The
Trust is Highly Leveraged
|
6
|
|
Changes
in Financing Policies or the Imposition of Other Credit Limitations or
Restrictions Could Compel the Trust to Liquidate at Disadvantageous
Prices
|
6
|
|
Your
Investment Could be Illiquid
|
6
|
|
Your
Investment in the Trust Could Be Illiquid
|
6
|
|
Over-the-Counter
Transactions are Subject to Little, if Any, Regulation
|
7
|
|
Over-the-Counter
Transactions May Be Subject to the Risk of Counterparty
Default
|
7
|
|
Options
on Futures and Over-the-Counter Contracts are Speculative and Highly
Leveraged
|
7
|
|
An
Investment in the Trust May Not Diversify an Overall
Portfolio
|
7
|
|
The Current Markets are
Subject to Market Disruptions that May Be a Detriment to Your
Investments
|
7
|
|
The
Current Markets are Subject to Governmental Intervention That May Be a
Detriment to Your Investment
|
8
|
|
The
Regulatory Risk Associated with Futures Contracts Could Adversely Affect
the Trust’s Operations and The Profitability of Your
Investment
|
8
|
|
Regulatory
Changes or Actions May Alter the Operations and Profitability of the
Trust
|
8
|
|
Trading
Risks
|
8
|
|
There
are Disadvantages to Making Trading Decisions Based Primarily on Technical
Market Data
|
8
|
|
Increased
Competition from Other Trend-Following Traders Could Reduce Campbell
&Company's Profitability
|
8
|
|
Limits
Imposed by Futures Exchanges or Other Regulatory Organizations, Such as
Speculative Position Limits and Daily Price Fluctuation Limits May Alter
Trading Decisions for the Trust
|
9
|
|
Increase
in Assets Under Management May Make Profitable Trading More
Difficult
|
9
|
|
Investors
Will Not be Able to Review the Trust's Holdings on a Daily
Basis
|
9
|
|
Other
Risks
|
9
|
|
Fees
and Commissions are Charged Regardless of Profitability and are Subject to
Change
|
9
|
|
The
Trust’s Service Providers Could Fail
|
9
|
|
Inadequate
Models Could Negatively Affect the Trust’s Portfolio
|
10
|
|
Investors
Must Not Rely on the Past Performance of Either Campbell & Company or
the Trust in Deciding Whether to Buy Units
|
10
|
|
Parties
to the Trust Have Conflicts of Interest
|
10
|
|
There
are No Independent Experts Representing Investors
|
10
|
|
The
Trust Places Significant Reliance on Campbell & Company and the
Incapacity of its Principals Could Adversely Affect the
Trust
|
11
|
|
The
Trust Could Terminate Before You Achieve Your Investment Objective Causing
Potential Loss of Your Investment or Upsetting Your Investment
Portfolio
|
11
|
|
The
Trust is Not a Regulated Investment Company and is Therefore Subject to
Different Protections Than a Regulated Investment Company
|
11
|
|
Recent
U.S. Legislative Efforts May Negatively Impact Your
Investment
|
11
|
|
Forwards,
Options, Swaps, Hybrids and Other Derivatives are Not Subject to CFTC
Regulation, Therefore, the Trust Will Not Receive the Same Protections on
These Transactions
|
11
|
|
The
Trust is Subject to Foreign Market Credit and Regulatory
Risk
|
11
|
|
The
Trust is Subject to Foreign Exchange Risk
|
11
|
iv
Page
|
||
Transfers
Could Be Restricted
|
12
|
|
A
Single-Advisor Fund May Be More Volatile Than a Multi-Advisor
Fund
|
12
|
|
The
Performance Fee Could Be an Incentive to Make Riskier
Investments
|
12
|
|
The
Trust May Distribute Profits to Unitholders at Inopportune
Times
|
12
|
|
Potential
Inability to Trade or Report Due to Systems Failure Could Adversely Affect
the Trust
|
12
|
|
Failure
to Receive Timely and Accurate Market Data from Third Party Vendors Could
Cause Disruptions or the Inability to Trade
|
12
|
|
SELECTED
FINANCIAL DATA
|
13
|
|
SUPPLEMENTARY
FINANCIAL INFORMATION
|
13
|
|
CAMPBELL
& COMPANY, INC
|
15
|
|
Description
|
15
|
|
The
Trading Advisor
|
18
|
|
Trading
Systems
|
18
|
|
Trading
Capacity
|
19
|
|
MANAGEMENT'S
DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS
|
20
|
|
Introduction
|
20
|
|
Critical
Accounting Policies
|
20
|
|
Capital
Resources
|
20
|
|
Liquidity
|
20
|
|
Results
of Operations
|
21
|
|
Off-Balance
Sheet Risk
|
27
|
|
Disclosures
About Certain Trading Activities that Include Non-Exchange Traded
Contracts Accounted for at Fair Value
|
28
|
|
Quantitative
and Qualitative Disclosures About Market Risk
|
28
|
|
General
|
31
|
|
SECURITY
OWNERSHIP OF CERTAIN BENEFICIAL OWNERS
|
32
|
|
CONFLICTS
OF INTEREST
|
32
|
|
Campbell
& Company, Inc
|
32
|
|
The
Futures Broker and the Over-the-Counter Counterparty
|
33
|
|
Fiduciary
Duty and Remedies
|
33
|
|
Indemnification
and Standard of Liability
|
33
|
|
CHARGES
TO THE TRUST
|
34
|
|
Brokerage
Fee
|
34
|
|
Other
Trust Expenses
|
34
|
|
Campbell
& Company, Inc
|
35
|
|
The
Futures Broker
|
35
|
|
The
Over-the-Counter Counterparty
|
35
|
|
The
Cash Manager and the Custodian
|
36
|
|
The
Selling Agents
|
36
|
|
Organization
and Offering Expenses
|
36
|
|
Other
Expenses
|
36
|
|
Investments
Made by the Campbell & Company, Inc. 401(k) Plan
|
36
|
|
USE
OF PROCEEDS
|
36
|
|
THE
FUTURES BROKER
|
37
|
|
THE
OVER-THE-COUNTER COUNTERPARTY
|
38
|
|
THE
CASH MANAGER AND THE CUSTODIAN
|
38
|
|
CAPITALIZATION
|
39
|
|
DISTRIBUTIONS
AND REDEMPTIONS
|
39
|
|
Distributions
|
39
|
|
Redemptions
|
39
|
|
Net
Asset Value
|
39
|
|
DECLARATION
OF TRUST & TRUST AGREEMENT
|
40
|
|
Organization
and Limited Liability
|
40
|
|
Management
of Trust Affairs
|
40
|
|
The
Trustee
|
40
|
|
Sharing
of Profits and Losses
|
41
|
|
Dispositions
|
41
|
|
Dissolution
and Termination of the Trust
|
41
|
|
Amendments
and Meetings
|
42
|
v
Page
|
||
Indemnification
|
42
|
|
Reports
to Unitholders
|
42
|
|
FEDERAL
INCOME TAX ASPECTS
|
42
|
|
Unrelated
Business Taxable Income
|
43
|
|
IRS
Audits of the Trust and its Unitholders
|
43
|
|
INVESTMENT
BY ERISA ACCOUNTS
|
43
|
|
General
|
43
|
|
Special
Investment Consideration
|
43
|
|
The
Trust Should Not Be Deemed to Hold "Plan Assets"
|
43
|
|
Ineligible
Purchasers
|
44
|
|
PLAN
OF DISTRIBUTION
|
44
|
|
Subscription
Procedure
|
44
|
|
Representations
and Warranties of Investors in the Subscription Agreement
|
45
|
|
Investor
Suitability
|
45
|
|
The
Selling Agents
|
45
|
|
UNITHOLDER
PRIVACY NOTICE
|
46
|
|
LEGAL
MATTERS
|
46
|
|
EXPERTS
|
46
|
|
UNAUDITED FINANCIAL INFORMATION |
46
|
|
PROPRIETARY
PAST PERFORMANCE OF THE CAMPBELL ALTERNATIVE ASSET TRUST
|
47 | |
INDEX
TO FINANCIAL STATEMENTS
|
48
|
PART
TWO — STATEMENT OF ADDITIONAL INFORMATION
TABLE
OF CONTENTS
The
Futures, Forward, Option and Swap Markets
|
123
|
|
EXHIBITS
|
||
EXHIBIT
A: Fourth Amended and Restated Declaration of Trust and Trust
Agreement
|
A-1
|
|
EXHIBIT
B: Request for Redemption
|
B-1
|
|
EXHIBIT
C: Subscription Requirements
|
C-1
|
|
EXHIBIT
D: Subscription Agreement and Power of Attorney
|
D-1
|
vi
SUMMARY
This
summary of all material information provided in this Prospectus is intended for
quick reference only. The remainder of this Prospectus contains more detailed
information; you should read the entire Prospectus, including all exhibits to
the Prospectus, before deciding to invest in any Units. This Prospectus is dated
[
], 2010.
General
Campbell
Alternative Asset Trust, or the Trust, was formed as a Delaware statutory trust
on May 3, 2000. The Trust issues Units of beneficial interest, or
Units, which represent Units of fractional undivided beneficial interests in and
ownership of the Trust. The Trust will continue in existence until
December 31, 2030 (unless terminated earlier in certain
circumstances). The principal offices of the Trust are located at c/o
Campbell & Company, Inc., 2850 Quarry Lake Drive, Baltimore, Maryland 21209,
and its telephone number is (410) 413-2600. The books and records of
the Trust are maintained at the offices of Campbell & Company,
Inc. Unitholders or their duly authorized representatives may inspect
the Trust’s books and records during normal business hours upon reasonable
written notice to Campbell & Company, Inc. and may obtain copies of such
records (including by post upon payment of reasonable mailing costs), upon
payment of reasonable reproduction costs; provided, however, upon request by
Campbell & Company, Inc., the Unitholder will represent that the inspection
and/or copies of such records will not be for commercial purposes unrelated to
such Unitholder's interest as a beneficial owner of the Trust.
The Trust
allows you to participate in alternative or non-traditional investments, namely
the U.S. and international futures, forward and option markets. Specifically,
the Trust trades in a portfolio primarily focused on financial futures and
forwards, which are instruments designed to hedge or speculate on changes in
interest rates, currency exchange rates or stock index values. A secondary
emphasis is on metals and energy products, soft commodities and other
commodities. The Trust will attempt to generate profits through the investment
in the Financial, Metal & Energy Large Portfolio advised by Campbell &
Company, the Trust's managing owner. Campbell & Company uses its
computerized, trend-following, technical trading and risk control methods to
seek substantial medium- and long-term capital appreciation while, at the same
time, seeking to manage risk and volatility. Campbell & Company provides
advisory services to numerous other funds and individually managed accounts
similar to the services Campbell & Company provides to the Trust. Campbell
& Company has been using its technical approach since 1972 — one of the
longest performance records of any currently active futures fund manager and has
developed and refined its approach over the past 38 years. See “Proprietary
Past Performance of the Campbell Alternative Asset Trust” for the performance
data required to be disclosed for the most recent five calendar years and
year-to-date.
Futures
are standardized contracts traded on commodity exchanges that call for the
future delivery of commodities at a specified time and place. While futures
contracts are traded on a wide variety of commodities, the Trust will
concentrate its futures trading in financial instruments such as interest rates,
foreign exchange and stock index contracts, and metal and energy contracts. The
U.S. futures markets are regulated under the Commodity Exchange Act, which is
administered by the CFTC. The Trust will trade futures positions on margin,
meaning that the Trust will utilize leverage in its trading.
Currencies
and other commodities may be purchased or sold by the Trust for future delivery
or cash settlement through banks or dealers pursuant to forward and option
contracts. Unlike futures contracts, forward and option contracts are not
standardized and these markets are largely unregulated.
The
following summary provides a review in outline form of important aspects of an
investment in the Trust.
Plan
of Distribution
How
to Subscribe for Units
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•
|
During
the continuing offering period, Units will be offered at a price of net
asset value per Unit. The net assets of the Trust are its assets less its
liabilities determined in accordance with the Trust Agreement. The net
asset value per Unit equals the net assets of the Trust divided by the
number of Units outstanding as of the date of
determination.
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•
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The
continuing offering period can be terminated by Campbell & Company at
any time. Campbell & Company has no present intention to terminate the
offering.
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|
•
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Interest
earned while subscriptions are being processed will be paid to subscribers
in the form of additional Units.
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•
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There
is no limit on the number of Units that may be offered by the Trust,
provided, however, that all such Units must be registered with the U.S.
Securities and Exchange Commission prior to
issuance.
|
1
Who
May Invest in the Trust
The Trust
is being offered exclusively for sale to the Campbell & Company, Inc. 401(k)
Plan.
Is
the Campbell Alternative Asset Trust a Suitable Investment for You?
An
investment in the Trust is speculative and involves a high degree of risk. The
Trust is not a complete investment program. Campbell & Company offers the
Trust as a diversification opportunity for an investor's entire investment
portfolio, and therefore an investment in the Trust should only be a limited
portion of the investor's portfolio.
A
Summary of Risk Factors You Should Consider Before Investing in the
Trust
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•
|
The
Trust is a highly volatile and speculative investment. There can be no
assurance that the Trust will achieve its objectives or avoid substantial
losses. You must be prepared to lose all or a substantial amount of your
investment. Campbell & Company has from time to time in the past
incurred substantial losses in trading on behalf of its
clients.
|
|
•
|
Futures,
forward and option trading is a "zero-sum" economic activity in which for
every gain there is an equal and offsetting loss (disregarding
transaction
costs), as opposed to a typical securities investment, in which there is
an expectation of constant yields (in the case of debt) or participation
over time in general economic growth (in the case of equity). It is
possible that the Trust could incur major losses while stock and bond
prices rise substantially in a prospering
economy.
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|
•
|
The
Trust trades in futures, forward and option contracts. Therefore, the
Trust is a party to financial instruments with elements of off-balance
sheet market risk, including market volatility and possible illiquidity.
There is also a credit risk that a counterparty will not be able to meet
its obligations to the Trust.
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|
•
|
Notwithstanding
Campbell & Company’s research, risk and portfolio management efforts,
there may come a time when the combination of available markets and new
strategies may not be sufficient for Campbell & Company to add new
assets without detriment to diversification. Reduced diversification and
more concentrated portfolios may have a detrimental effect on your
investment.
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|
•
|
The
Trust is subject to numerous conflicts of interest including the
following:
|
|
1)
|
Campbell
& Company is both the managing owner and trading advisor of the Trust
and its fees were not negotiated at arm's length. For these reasons,
Campbell & Company has a disincentive to add or replace advisors, even
if doing so may be in the best interest of the
Trust;
|
|
2)
|
Campbell
& Company may have incentives to favor other accounts over the
Trust;
|
|
3)
|
Campbell
& Company, the Trust's futures broker, over-the-counter counterparty,
cash manager, custodian and their respective principals and affiliates may
trade in the futures, forward and option markets for their own accounts
and may take positions opposite or ahead of those taken for the Trust;
and
|
|
4)
|
Campbell
& Company operates other commodity pool offerings which may have
materially different terms and operate at a lower overall cost
structure.
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•
|
Unitholders
take no part in the management of the Trust and although Campbell &
Company is an experienced professional manager, past performance
is not necessarily indicative of future
results.
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|
•
|
Campbell
& Company will be paid a brokerage fee of up to 3.5% annually,
irrespective of profitability. Campbell & Company will also be paid
quarterly performance fees equal to 20% of aggregate cumulative
appreciation, excluding interest income, in net asset value, if any. A
portion of these fees are rebated in the form of additional Units on
investments made by the Campbell & Company, Inc. 401(k)
Plan.
|
|
•
|
The
Trust is a single-advisor fund which may be inherently more volatile than
multi-advisor managed futures
products.
|
|
•
|
Although
the Trust is liquid compared to other alternative investments such as real
estate or venture capital, liquidity is restricted, as the Units may only
be redeemed on a monthly basis, upon ten business days' advance written
notice to Campbell & Company. You may transfer or assign your Units
after 30 days' advance written notice, and only with the consent of
Campbell & Company.
|
2
Investment
Factors You Should Consider Before Investing in the Trust
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•
|
The
Trust is a leveraged investment fund managed by an experienced,
professional trading advisor and it trades in a wide range of futures,
forward and option markets.
|
|
•
|
Campbell
& Company utilizes several independent and different proprietary
trading systems for the Trust.
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|
•
|
The
Trust has the potential to help diversify traditional securities
portfolios. A diverse portfolio consisting of assets that perform in an
unrelated manner, or non-correlated assets, has the potential to increase
overall return and/or reduce the volatility (a primary measure of risk) of
a portfolio. As a risk transfer activity, futures, forward and option
trading has no inherent correlation with any other investment. However,
non-correlation will not provide any diversification advantages unless the
non-correlated assets are outperforming other portfolio assets, and there
is no guarantee that the Trust will outperform other sectors of an
investor's portfolio or not produce losses. The Trust's profitability also
depends on the success of Campbell & Company's trading techniques. If
the Trust is unprofitable, then it will not increase the return
on an investor's portfolio or achieve its diversification
objectives.
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|
•
|
Investors
in the Trust get the advantage of limited liability in highly leveraged
trading.
|
Campbell
& Company, Inc.
Campbell
& Company, the managing owner and trading advisor for the Trust, administers
the Trust and directs its trading. Campbell & Company has over 38 years of
experience trading in the futures, forward and option markets. As of April 30,
2010, Campbell & Company, and its affiliates, were managing approximately
$3.0 billion in the futures, forward and securities markets, including
approximately $2.4 billion in its Financial, Metal & Energy Large Portfolio.
The Financial, Metal & Energy Large Portfolio, to which all of the Trust’s
assets are currently allocated, seeks to generate attractive risk-adjusted
returns across a broad range of market conditions through systematic investments
in a diversified portfolio of futures, forward and option contracts in a diverse
array of global assets, including global interest rates, stock indices,
currencies and commodities. The Financial, Metal & Energy Large (“FME
Large”) Portfolio consists of underlying investment strategies that aim for low
correlation and are diversified by investment style, investment holding period
and instrument.
Two
primary portfolio sub-strategies, Diversified and Sector-Specific, look for
momentum-oriented movement across global asset classes on the basis of price or
other technical indicators, while also capturing global trends on the basis of
underlying fundamental or econometric data. Campbell & Company has sole
authority and responsibility for directing investment and reinvestment of the
Trust's assets.
Campbell
& Company uses a systematic trading approach combined with quantitative
portfolio management analysis and seeks to identify and profit from price
movements in the futures, forward and option markets. Multiple models are
utilized in most markets traded. Each model analyzes market movements and
internal market and price configurations. Campbell & Company utilizes a
proprietary, volatility-based system for allocating capital to a portfolio's
constituent markets. Each market is assigned a dollar risk value based on
contract size and volatility, which forms the basis for structuring a
risk-balanced portfolio.
Charges
to the Trust
Trust
expenses must be offset by trading gains or interest income in order to avoid
depletion of the Trust's assets. A portion of these expenses are rebated in the
form of additional Units on investments made by the Campbell & Company, Inc.
401(k) Plan. These Units will only pay up to the 0.65% which is payable to the
futures broker and the over-the-counter counterparty.
Campbell
& Company
|
•
|
Brokerage
fee of up to 3.5% of net assets per annum, of which up to 0.65% is paid to
the futures broker and the over-the-counter counterparty, 0.35% is paid to
the selling agents for administrative services and Campbell & Company
retains the remainder.
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|
•
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20%
of quarterly appreciation in the Trust's net assets, excluding interest
income and as adjusted for subscriptions and
redemptions.
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•
|
Reimbursement
of organization and offering expenses incurred in the initial and
continuous offering following incurrence of each such expense, estimated
at, and not to exceed, 0.9% of net assets per
annum.
|
Dealers
and Others
|
•
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"Bid-ask"
spreads and prime brokerage fees for off-exchange
contracts.
|
3
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•
|
Operating
expenses such as legal, auditing, administration, printing and postage, up
to a maximum of 0.4% of net assets per
year.
|
|
•
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Cash
management and custodial fees (0.10% annualized fee based on the
percentage of assets under management) for management of the Trust’s
non-margin assets.
|
Estimate
of Break-Even Level
The
estimated amount of fees and expenses which are anticipated to be incurred by a
new investor in Units of the Trust during the first twelve months of investment
is 4.88% per annum of the net asset value. Interest income is expected to be
approximately 0.30% per annum, based on current interest rates. An investor is
expected to break-even on his/her investment in the first twelve months of
trading, assuming an initial investment of $10,000, provided that the Trust
earns 4.58% per annum or $458 of the assumed initial investment. The break-even
analysis does not account for the bid-ask spreads in connection with the Trust’s
forward and option contract trading. No performance fee is included in the
break-even analysis since all operating expenses of the Trust must be offset
before a performance fee is accrued. The break-even analysis is calculated as
follows:
Assumed
Initial Investment
|
$ | 10,000.00 | ||
Brokerage
Fee (3.5%)
|
350.00 | |||
Organization
& Offering Expense
Reimbursement (0.9%)
|
90.00 | |||
Operating
Expenses (0.40%)
|
40.00 | |||
Cash
Management and Custodial
Fees (0.08%)*
|
8.00 | |||
Less:
Interest Income (0.30%)**
|
(30.00 | ) | ||
Amount
of Trading Income Required
to Break-Even on an Investor’s Initial Investment in The First Year of
Trading
|
$ | 458.00 | ||
Percentage
of Initial Investment Required
to Break-Even
|
4.58 | % |
The
maximum organization and offering expense and operating expense reimbursement is
0.9% and 0.4% of net assets per annum respectively. The estimates do
not account for the bid-ask spreads in connection with the Trust's forward and
option contract trading. No performance fee is included in the
calculation of the "break-even" level since all operating expenses of the Trust
must be offset before a performance fee is accrued.
*
|
The
Trust pays the cash manager and the custodian a combined annualized fee
equal to approximately 0.10% per annum of the funds they manage. Based on
the assumption that cash management constitutes 80% of the initial
investment, a fee equal to 0.08% is used for this break-even analysis (80%
of $100,000 multiplied by 0.10% equals $80 or 0.08% of the assumed initial
investment).
|
**
|
Variable
based on current interest rates.
|
Distributions
and Redemptions
The Trust
is intended to be a medium- to long-term, i.e., 3- to 5-year,
investment. Units are transferable, but no market exists for their sale and none
will develop. Monthly redemptions are permitted upon ten (10) business days'
advance written notice to Campbell & Company. Campbell & Company
reserves the right to make distributions of profits at any time in its sole
discretion.
Federal
Income Tax Aspects
In the
opinion of Sidley Austin LLP, counsel to Campbell & Company, the Trust is
classified as a partnership and will not be considered a publicly traded
partnership taxable as a corporation for federal income tax purposes based on
the type of income it is expected to earn. The Trust’s income from its
investments in futures contracts, options and forward contracts and its interest
income is expected to be exempt from the tax imposed on unrelated business
taxable income, and the Trust does not expect that any of its income will be
debt-financed income within the meaning of such rules. Accordingly, tax-exempt
Unitholders, including the Campbell & Company 401 (k) Plan, will not be
required to pay federal income tax on their share of the income or gains of the
Trust, provided that such Unitholders do not purchase Units with borrowed
funds.
[REMAINDER
OF THIS PAGE LEFT BLANK INTENTIONALLY.]
4
CAMPBELL
ALTERNATIVE ASSET TRUST
Organizational
Chart
The
organizational chart below illustrates the relationships among the various
service providers of this offering. Campbell & Company is both the managing
owner and trading advisor for the Trust. The selling agents (other than Campbell
Financial Services, Inc.), futures broker, over-the-counter counterparty, cash
manager and the custodian of excess collateral, are not affiliated with Campbell
& Company or the Trust.
*
Campbell & Company presently serves as commodity pool operator for six other
commodity pools.
5
THE
RISKS YOU FACE
Market
Risks
You
Could Possibly Lose Your Total Investment in the Trust
Futures,
forward and option contracts have a high degree of price variability and are
subject to occasional rapid and substantial changes. Consequently, you could
lose all or a substantial amount of your investment in the Trust.
The
Trust Is Highly Leveraged
Because
the amount of margin funds necessary to be deposited in order to enter into a
futures, forward or option contract position is typically about 2% to 10% of the
total value of the contract, Campbell & Company is able to hold positions in
the Trust's account with face values equal to several times the Trust's net
assets. The 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.
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 and may depend on the availability of credit in order to trade 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 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. In 2009, banks and dealers
substantially curtailed financing activities and increased collateral
requirements, forcing many hedge funds to liquidate.
Your
Investment Could Be Illiquid
Futures,
forward and option 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 financing available to the Trust from banks, dealers and other
counterparties is likely to be restricted in disrupted markets. 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. For example, in 1994, 1998 and again in
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 to 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. A subscription for Units
should be considered 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
Also,
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
written 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. See "Declaration of Trust and Trust
Agreement — Dispositions."
6
Over-the-Counter
Transactions are Subject to Little, if Any, Regulation
The Trust
trades forward and option contracts in foreign currencies. Such contracts are
typically traded over-the-counter through a dealer market, which is dominated by
major money center and investment banks, and is not regulated by the Commodity
Futures Trading Commission. Thus, you do not receive the protection of CFTC
regulation or the statutory scheme of the Commodity Exchange Act in connection
with this trading activity by the Trust. The market for forward and option
contracts relies upon the integrity of market participants in lieu of the
additional regulation imposed by the CFTC on participants in the futures
markets. This regulation includes, for example, trading practices and other
customer protection requirements, and minimum financial and trade reporting
requirements. The absence of regulation could expose the Trust to significant
losses in the event of trading abuses or financial failure by participants in
the forward and option markets which it might otherwise have
avoided.
Over-the-Counter
Transactions May Be Subject to the Risk of Counterparty Default
The Trust
faces the risk of non-performance by its counterparties to forward and option
contracts and such non-performance may cause some or all of its gains to remain
unrealized. Unlike in futures contracts, the counterparty to these contracts is
generally a single bank or other financial institution, rather than a clearing
organization backed by a group of financial institutions. As a result, there
will be greater counterparty credit risk in these transactions. The clearing
member, clearing organization or other counterparty may not be able to meet its
obligations, in which case, your Units could suffer significant losses on these
contracts.
Options
on Futures and Over-the-Counter Contracts are Speculative and Highly
Leveraged
Options
on futures and over-the-counter contracts may be used by the Trust to generate
premium income or capital gains. The buyer of an option risks losing the entire
purchase price (the premium as well as any commissions and fees) of the option.
The writer (seller) of an option risks losing the difference between the premium
received for the option and the price of the commodity, futures or forward
contract underlying the option which the writer must purchase or deliver upon
exercise of the option (which losses can be unlimited). Specific market
movements of the commodity, futures or forward contracts underlying an option
cannot accurately be predicted. Successful options trading requires an accurate
assessment of near-term volatility in the underlying instruments, as that
volatility is immediately reflected in the price of the option. Correct
assessment of market volatility can therefore be of much greater significance in
trading options than it is in trading futures and forwards, where volatility may
not have as great an effect on price.
An
Investment in the Trust May Not Diversify an Overall Portfolio
Historically,
alternative investments such as managed futures funds have been generally
non-correlated to the performance of other asset classes such as stocks and
bonds. Non-correlation means that there is no statistically valid relationship
between the past performance of futures, forward and option contracts
on the one hand and stocks or bonds on the other hand. Non-correlation should
not be confused with negative correlation, where the performance of two asset
classes would be exactly opposite. Because of this non-correlation, the Trust
cannot be expected to be automatically profitable during unfavorable periods for
the stock market, or vice versa. The futures, forward and option markets are
fundamentally different from the securities markets in that for every gain made
in a futures, forward or option transaction, the opposing side of that
transaction will have an equal and off-setting loss. If the Trust does not
perform in a manner non-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 a Detriment to
Your Investment
The
global financial markets have recently undergone pervasive and fundamental
disruptions which have led to extensive and unprecedented governmental
intervention. Such intervention has, in certain cases, been implemented on an
“emergency” basis, suddenly and substantially eliminating market participants’
ability to continue to implement certain strategies or manage the risk of their
outstanding positions. In addition, as one would expect given the complexities
of the financial markets and the limited time frame within which governments
have felt compelled to take action, these interventions have typically been
unclear in scope and application, resulting in confusion and uncertainty which
in itself has been materially detrimental to the efficient functioning of the
markets as well as to previously successful investment strategies. Confusion and
uncertainty have also resulted from the apparent inconsistency which has
characterized recent governmental actions. For example, while the Federal
Reserve assisted or otherwise intervened with respect to certain distressed
financial institutions, it refused to do so for others. Such inconsistency has
caused both severe losses for a number or market participants, who assumed
either no intervention or intervention consistent with past precedent, and
contributed to the general uncertainty and resulting illiquidity of the
markets.
7
The
Current Markets are Subject to Governmental Intervention That May Be a Detriment
to Your Investment
During
the second half of 2008, losses at brokers, banks and other financial sector
companies as well as extreme volatility and disruptions in the credit markets
globally led to extensive and unprecedented governmental intervention in
worldwide financial markets. Such intervention was in certain cases implemented
on an “emergency” basis, subjecting market participants without notice to a set
of regulations which were in some cases unclear in scope and in
application.
The
managing owner believes that it is possible that emergency intervention may take
place again in the future. The trading advisor also believes that the regulation
of financial markets is likely to be increased in the future. It is impossible
to predict the impact of any such intervention and/or increased regulation on
the managing owner’s ability to trade or the fulfillment of its investment
objectives.
The
Regulatory Risk Associated with Futures Contracts Could Adversely Affect the
Trust’s Operations and The Profitability of Your Investment
The CFTC
has recently proposed and invited public comment regarding a new rule to
implement position limits on energy futures contracts such as crude oil, heating
oil, natural gas, gasoline and other energy products and has solicited public
comment regarding that advisability of imposing similar limits in the metals
futures markets. We do not anticipate these limits, if accepted, will affect the
Trust’s ability to trade, but it is possible that they may in the future if the
assets under management increase dramatically.
Regulatory
Changes or Actions May Alter the Operations and Profitability of the
Trust
Considerable
regulatory attention has been focused on non-traditional investment pools. There
is a possibility of future regulatory changes altering, perhaps to a material
extent, the nature of an investment in the Trust or the ability of the Trust to
continue to implement its investment strategies.
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.
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, forward and option 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 from Other Trend-Following Traders Could Reduce Campbell &
Company's Profitability
There has
been a dramatic increase in the volume of assets managed by trend-following
trading systems like some of the Campbell & Company programs. For example in
1980, the assets in the managed futures industry were estimated at approximately
$300 million; by the end of 2009, this estimate had risen to approximately
$213.6 billion. Increased trading competition from other trend-following traders
could operate to the detriment of the Trust. It may become more difficult for
the Trust to implement its trading strategy if other trading advisors using
technical systems are, at the same time, also attempting to initiate or
liquidate futures, forward or option positions, or otherwise alter trading
patterns.
Limits
Imposed by Futures Exchanges or Other Regulatory Organizations, Such as
Speculative Position Limits and Daily Price Fluctuation Limits, May Alter
Trading Decisions for the Trust
The CFTC
and U.S. futures exchanges have established limits, known as speculative
position limits, on the maximum net long or net short positions which any person
may hold or control in certain futures and options on futures contracts. Most
U.S. futures exchanges also 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. All accounts controlled by Campbell &
Company, including the account of the Trust, are combined for speculative
position limit purposes. If positions in those accounts were to approach the
level of the particular speculative position limit, or if prices were to
approach the level of the daily limit, such limits could cause a modification of
Campbell & Company's trading decisions for the Trust or force liquidation of
certain futures or options on futures positions. Either of these actions may not
be in the best interest of the investors. From time to time, the CFTC or the
exchanges may suspend trading in market disruption circumstances. In these
cases, it is possible that Campbell & Company, as trading advisor, 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.
8
Increase
in Assets Under Management May Make Profitable Trading More
Difficult
Campbell
& Company has not agreed to limit the amount of additional equity which it
may manage, and is actively engaged in raising assets for existing and new
accounts. Should the amount of equity that Campbell & Company manages
increase, it may be more difficult for Campbell & Company 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 its Financial,
Metal & Energy Large Portfolio, reducing the range of markets in which
trading opportunities may be pursued. Campbell & Company reserves the right
to make distributions of profits to Unitholders 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 does exceed
the compensation it receives from managing the Trust's account. Because records
with respect to other accounts are not accessible to Unitholders in the Trust,
the Unitholders will not be able to determine if Campbell & Company is
favoring other accounts. See “Campbell & Company, Inc. – Trading
Capacity.”
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 broker and over-the-counter
counterparty, the Trust's trading results are reported to Unitholders monthly.
Accordingly, an investment in the Trust does not offer Unitholders the same
transparency, i.e., an
ability to review all investment positions daily, that a personal trading
account offers.
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 and option
trading, “bid-ask” spreads and prime brokerage fees are incorporated into the
pricing of the Trust’s forward and option 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 and option transactions. Such
spreads can at times be significant. In addition, while currently not
contemplated, the Trust Agreement allows for changes to be made to the brokerage
fee and performance fee upon sixty days’ notice to the Unitholders.
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. The 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 fails to 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 bankruptcy, the Trust could lose the entire amount, or 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. Furthermore,
dealers in forward and option contracts are not regulated by the Commodity
Exchange Act and are not obligated to segregate customer assets. The futures
broker has been the subject of regulatory and private causes of action, as
described under “The Futures Broker.”
9
Although
the managing owner 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.
Inadequate
Models Could Negatively Affect the Trust’s Portfolio
Campbell
& Company’s trading is highly model driven, and is materially subject to
possible flaws in the models. As market dynamics (for example, due to changed
market conditions and participants) shift over time, a previously highly
successful model often becomes outdated or inaccurate, sometimes without
Campbell & Company recognizing that fact before substantial losses are
incurred. In particular, the Trust may incur major 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. There can be no assurance that Campbell & Company will
be successful in continuing to develop and maintain effective quantitative
models.
Investors
Must Not Rely on the Past Performance of Either 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. The trading advisor’s trading systems are continually evolving and the
fact that the Trust and the trading advisor 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 severely disrupted over the past year or
more, so results observed in earlier periods may have little relevance to the
results observable in the current environment.
The past
performance of the Trust may not be construed as an indication of the future
results. The personnel of Campbell & Company responsible for managing the
investment portfolio have substantial experience in managing investments and
private investment funds and have provided and continue to provide advisory and
management services to clients and private and registered investment
funds.
Parties
to the Trust Have Conflicts of Interest
Campbell
& Company has not established any formal procedures to resolve the following
conflicts of interest. Consequently, there is no independent control over how
Campbell & Company resolves these conflicts which can be relied
upon by investors as ensuring that the Trust is treated equitably with other
Campbell & Company clients.
Campbell
& Company has a conflict of interest because it acts as the managing owner
and sole trading advisor for the Trust.
Since
Campbell & Company acts as both trading advisor and managing owner for the
Trust, it is very unlikely that its advisory contract will be terminated by the
Trust. The fees payable to Campbell & Company were established by it and
were not the subject of arm's-length negotiation. These fees consist of up to a
3.5% brokerage fee (of which 2.5% is retained) and a 20% performance fee.
Campbell & Company, as managing owner, determines whether or not
distributions are made and it receives increased fees to the extent
distributions are not made. Campbell & Company has the authority to make
such distributions at any time in its sole discretion.
Other
conflicts are also present in the operation of the Trust. See "Conflicts of
Interest."
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 Unitholders 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
The
incapacity of Campbell & Company's principals could have a material and
adverse effect on Campbell & Company's ability to discharge its obligations
under the Trust Agreement. However, there are no individual principals at
Campbell & Company whose absence would result in a material and adverse
effect on Campbell & Company's ability to adequately carry out its advisory
responsibilities.
10
The
Trust Could Terminate Before You Achieve Your Investment Objective Causing
Potential Loss of Your Investment or Upsetting Your Investment
Portfolio
As
managing owner, Campbell & Company may withdraw from the Trust upon 120
days' notice, which would cause the Trust to terminate unless a substitute
managing owner were obtained. 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 upset 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.
The
Trust Is Not a Regulated Investment Company and is Therefore Subject to
Different Protections Than a Regulated Investment Company
Although
the Trust and Campbell & Company are subject to regulation by the CFTC, the
Trust is not an investment company subject to the Investment Company Act of 1940
and Campbell & Company is not registered as an investment advisor under the
Investment Advisors Act of 1940. Accordingly, you do not have the protections
afforded by those statutes which, for example, require investment companies to
have a majority of disinterested directors and regulates the relationship
between the adviser and the investment company.
Recent
U.S. Legislative Efforts May Negatively Impact Your Investment
Restrictive
proposals aimed at financial speculators in commodities have from time to time
been made in the U.S. House of Representatives and the Senate. The aims of such
proposals are generally stated to be to curb excessive speculation and increase
transparency and accountability in the commodities markets, including the oil
and gas markets. For example, previous proposals would prohibit private and
public pension funds with more than $500 million in assets from investing in
agricultural and energy commodities traded on a U.S. futures exchange, foreign
exchange or OTC, would direct the CFTC to establish total limits on the share of
the commodity market held by financial investors and/or would direct the CFTC to
impose speculative-position limits on any stakes not related to real hedging
activities. The various bills and proposals could result in the establishment of
speculative position limits for trading that does not involve physical delivery
of a commodity, regulation and speculation via unregulated foreign exchanges,
and enhanced recordkeeping and information collection requirements. If proposals
such as these were to be enacted into law as previously proposed, it could
negatively impact the ability of investors to invest and, consequently, for the
managing owner to manage the Trust.
Forwards,
Options, Swaps, Hybrids and Other Derivatives Are Not Subject to CFTC
Regulation, Therefore, the Trust Will Not Receive the Same Protections on These
Transactions
The Trust
trades foreign exchange contracts and options in the interbank market. In the
future, the Trust may also trade swap agreements, hybrid instruments and other
off-exchange contracts. Swap agreements involve trading income streams such as
fixed rate for floating rate interest. Hybrids are instruments which combine
features of a security with those of a futures contract. The dealer market for
off-exchange instruments is becoming more liquid. There is no exchange or
clearinghouse for these contracts and they are not regulated by the CFTC. The
Trust will not receive the protections which are provided by the CFTC's
regulatory scheme for these transactions.
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 and foreign options can be
substantial. Participation in foreign futures contracts and foreign options
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.
The
Trust is Subject to Foreign Exchange Risk
The price
of any foreign futures or foreign options contract 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 positions 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.
11
Transfers
Could Be Restricted
You may transfer or assign your 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
Single-Advisor Fund May Be More Volatile Than a Multi-Advisor Fund
The Trust
is currently structured as a single-advisor managed futures fund. You 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. Campbell &
Company may retain additional trading advisors on behalf of the Trust in the
future.
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 a trading advisor that did not require performance-based
compensation.
The
Trust May Distribute Profits to Unitholders at Inopportune Times
Campbell
& Company reserves the right to make distributions of profits of the Trust
to Unitholders at any time in its sole discretion in order to control the growth
of the assets under Campbell & Company's management. Unitholders 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 Unitholders.
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, or
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 the Trust 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 the
Trust to reverse such action or inaction, all of which may ultimately be to the
detriment of the Trust.
[REMAINDER
OF THIS PAGE LEFT BLANK INTENTIONALLY.]
12
SELECTED
FINANCIAL DATA
Dollars
in thousands, except per Unit amounts.
3-Month
Period Ended
March 31,
|
Year Ended December 31,
|
|||||||||||||||||||||||
2010
|
2009
|
2008
|
2007
|
2006
|
2005
|
|||||||||||||||||||
Total
Assets
|
29,122,518 | $ | 31,009,469 | $ | 36,668,639 | $ | 37,566,581 | $ | 43,619,109 | $ | 40,221,009 | |||||||||||||
Total
Unitholders' Capital
|
28,102,285 | 29,002,062 | 35,835,483 | 36,288,756 | 42,871,715 | 39,856,467 | ||||||||||||||||||
Total
Trading Gain (Loss) (net of brokerage commissions)
|
(665,443 | ) | (826,016 | ) | 1,568,937 | (4,880,807 | ) | 2,971,747 | 5,125,300 | |||||||||||||||
Net
Income (Loss)
|
(872,094 | ) | (1,807,668 | ) | 977,473 | (4,555,069 | ) | 3,250,791 | 4,799,375 | |||||||||||||||
Net
Income (Loss) Per Managing Owner and Other
Unitholder Unit*
|
(45.45 | ) | (85.69 | ) | 43.49 | (195.52 | ) | 135.31 | 204.75 | |||||||||||||||
Increase
(Decrease) in Net Asset Value per Managing Owner and Other Unitholder
Unit
|
(51.13 | ) | (94.41 | ) | 28.40 | (211.94 | ) | 123.59 | 190.55 |
* Based
on weighted average number of Units outstanding during the
period.
SUPPLEMENTARY
FINANCIAL INFORMATION
The
following summarized quarterly financial information presents the results of
operations for the three month periods ending March 31, 2010 and March 31, June
30, September 30, and December 31, 2009 and 2008.
1st Qtr.
2010
|
||||||||||||||||
Total Net Trading Gain (Loss)
(Net of brokerage commissions)
|
$ | (665,443 | ) | |||||||||||||
Net Income (Loss)
|
(872,094 | ) | ||||||||||||||
Net Income (Loss) per Managing Owner and Other
Unitholder Unit*
|
(45.45 | ) | ||||||||||||||
Increase (Decrease) in Net Asset Value per Managing
Owner and Other Unitholder Unit
|
(51.13 | ) | ||||||||||||||
Net Asset Value per Managing Owner And Other
Unitholder Unit at the End of the Period
|
1,486.45 | |||||||||||||||
1st Qtr.
2009
|
2nd Qtr.
2009
|
3rd Qtr.
2009
|
4th Qtr.
2009
|
|||||||||||||
Total Net Trading Gain (Loss)
(Net of brokerage commissions)
|
$ | 75,143 | $ | (2,137,482 | ) | $ | 1,317,012 | $ | (80,689 | ) | ||||||
Net Income (Loss)
|
(207,164 | ) | (2,392,807 | ) | 1,078,786 | (286,483 | ) | |||||||||
Net Income (Loss) per Managing Owner and Other
Unitholder Unit*
|
(9.33 | ) | (110.22 | ) | 52.82 | (14.29 | ) | |||||||||
Increase (Decrease) in Net Asset Value per Managing
Owner and Other Unitholder Unit
|
(12.84 | ) | (113.43 | ) | 49.41 | (17.55 | ) | |||||||||
Net Asset Value per Managing Owner And Other
Unitholder Unit at the End of the Period
|
1,619.15 | 1,505.72 | 1,555.13 | 1,537.58 |
13
1st Qtr.
2008
|
2nd Qtr.
2008
|
3rd Qtr.
2008
|
4th Qtr.
2008
|
|||||||||||||
Total
Net Trading Gain (Loss)
(Net
of brokerage commissions)
|
$ | 693,007 | $ | 2,185,179 | $ | (1,217,518 | ) | $ | (91,731 | ) | ||||||
Net
Income (Loss)
|
659,620 | 2,045,059 | (1,366,878 | ) | (360,328 | ) | ||||||||||
Net
Income (Loss) per Managing Owner and Other Unitholder
Unit*
|
28.97 | 91.39 | (61.14 | ) | (16.08 | ) | ||||||||||
Increase
(Decrease) in Net Asset Value per Managing Owner and Other Unitholder
Unit
|
25.13 | 87.87 | (64.92 | ) | (19.68 | ) | ||||||||||
Net
Asset Value per Managing Owner And Other Unitholder Unit at the End of the
Period
|
1,628.72 | 1,716.59 | 1,651.67 | 1,631.99 |
* Based
on weighted average number of Units outstanding during the
period.
14
CAMPBELL
& COMPANY, INC.
Description
Campbell
& Company is the managing owner and trading advisor of the Trust. It is a
Maryland corporation organized in April 1978 as a successor to a partnership
originally organized in January 1974. Its offices are located at 2850 Quarry
Lake Drive, Baltimore, Maryland 21209, and its telephone number is (410)
413-2600. Its primary business is the trading and management of discretionary
futures and forward accounts, including commodity pools. As of April 30, 2010,
Campbell & Company, and its affiliates, had approximately $3.0 billion under
management in the futures, forward and option markets (including approximately
$2.4 billion traded pursuant to the same Financial, Metal & Energy Large
Portfolio as traded by the Trust). Please refer to "Campbell & Company, Inc.
— Trading Systems" for a discussion of all of the portfolios offered by Campbell
& Company, which includes the Financial, Metal & Energy Large Portfolio.
Please refer to "Proprietary Past Performance of the Campbell Alternative Asset
Trust” on page 47 for the performance data required to be disclosed for the most
recent five calendar years and year-to-date.
Campbell
& Company is a member of the NFA and has been registered as a commodity pool
operator since September 10, 1982 and as a commodity trading advisor since May
6, 1978. Pools currently operated by Campbell & Company include: Campbell
Financial Futures Fund Limited Partnership; Campbell Fund Trust; Campbell Global
Assets Fund Limited SAC (Classes A, A-2 and C); Campbell Global Trend Fund,
L.P., Campbell Institutional Trend Fund, L.P. and Campbell Strategic
Allocation Fund, L.P. Campbell & Company's compensation is discussed in
"Charges to the Trust."
The
Campbell & Company, Inc. 401(k) Plan is an investor in the Trust; the
individual principals of Campbell &
Company, in their individual capacity, have not purchased, and do not intend to
purchase, Units.
Campbell
& Company has agreed that its capital account as managing owner at all times
will equal at least 1% of the net aggregate capital contributions of all
Unitholders.
There
have never been any material administrative, civil or criminal proceedings
brought against Campbell & Company or its principals, whether pending, on
appeal or concluded.
Campbell
& Company's principals are G. William Andrews, Theresa D. Becks, D. Keith
Campbell, Bruce L. Cleland, Gregory T. Donovan, Michael S. Harris, Xiaohua Hu,
Thomas P. Lloyd, Robert W. McBride and Tracy Wills-Zapata. The majority voting
stockholder of Campbell & Company is D. Keith Campbell.
The
trading advisor makes the Trust’s trading decisions using proprietary technical
trading models which analyze both technical and fundamental market
indicators.
The Trust
utilizes a systematic, model driven trading approach. The trading advisor
manages the Trust’s assets based on signals derived from technical trading
models, thereby minimizing the “human” element from the day-to-day individual
investment decision making process. More specifically, risk management sits at
the model and portfolio level. Portfolio-wide position limits, portfolio
volatility, and model diversification are also monitored.
G. William Andrews, born in
1972, has been employed by Campbell & Company since April 1997 and was
appointed Chief Operating Officer in
January 2010, was Vice President: Director of Operations from April 2007 to
January 2010, Vice President: Director of Research Operations from March 2006 to
April 2007 and Research Assistant from March 2005 to February 2006. As Chief
Operating Officer, he is involved in all operational aspects of the firm. In
March 2010, Mr. Andrews was appointed to the firm’s Investment Committee, which
is responsible for the management of the research and investment process at the
firm. In March 2010, Mr. Andrews was appointed the Vice
President and Chief Operating Officer of both Campbell & Company Investment
Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered
commodity trading advisor and an SEC registered investment adviser, and The
Campbell Multi-Strategy Trust, a registered investment company. Mr.
Andrews holds an M.B.A. in Finance from Loyola College in Maryland and a
Bachelor of Social Science from Waikato University, New Zealand. Mr. Andrews
became listed as a Principal of Campbell & Company effective June 21, 2006.
Mr. Andrews became listed as Principal of Campbell & Company Investment
Adviser LLC effective March 29, 2010.
Theresa D. Becks, born in
1963, joined Campbell & Company in June 1991 and has served as President and Chief Executive Officer
since April 2007, Secretary since May 1992,
Director since January
1994 and was Chief Financial Officer and Treasurer until July 2008. Since April 2007, Ms.
Becks has served as the President and Chief Executive Officer of
Campbell & Company Investment Adviser LLC, a wholly-owned subsidiary of
Campbell & Company, a registered commodity trading advisor and an SEC
registered investment adviser; she previously served as Chief Financial Officer,
Treasurer and Assistant Secretary commencing December 2005. Ms. Becks has
served since April 2007 as Trustee, President and Chief Executive Officer
of The Campbell
Multi-Strategy Trust, a registered investment company; she previously served as
Treasurer, Chief Financial Officer and Assistant Secretary commencing June 2005.
In May 2010, Ms. Becks was appointed President of Campbell & Company
International Bahamas Limited, an international business company incorporated in
The Bahamas. Ms. Becks served as a member of the Board of
Directors of the Managed Funds Association from November 2002 to November 2006.
Ms. Becks is a C.P.A. and has a B.S. in Accounting from the University of
Delaware. Ms. Becks became registered as an Associated Person and listed as a
Principal and NFA Associate Member of Campbell & Company effective May 7,
1999, March 10, 1993 and April 21, 1999, respectively. Ms. Becks became
registered as an Associated Person and listed as a Principal and NFA Associate
Member of Campbell & Company Investment Adviser LLC effective December 14,
2005, December 12, 2005 and December 14, 2005,
respectively.
15
D. Keith Campbell, born in
1942, has served as the Chairman of the Board of
Directors of Campbell & Company since it began operations in 1972,
was President until January 1994, and was Chief Executive Officer until January
1998. Mr. Campbell is the majority voting stockholder of Campbell & Company.
Mr. Campbell has acted as a commodity trading advisor since January 1972 when,
as general partner of the Campbell Fund, 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 is registered
with the CFTC and NFA as a commodity pool operator. Mr. Campbell became
registered as an Associated Person and listed as a Principal and NFA Associate
Member of Campbell & Company effective October 29, 1997, September 29,
1978 and September 29, 1997, respectively. Mr. Campbell became listed as a
Principal of Campbell & Company Investment Adviser LLC effective July 9,
2008. Mr. Campbell became listed as a Principal of his Commodity Pool Operator
effective March 10, 1975.
Bruce L. Cleland, born in
1947, joined Campbell & Company in January 1993 and has served as Vice Chairman of the Board of
Directors of Campbell & Company since April 2007, was President from January 1994 to
April 2007, and Chief Executive Officer from January 1998 to April
2007. From December 2005 until April 2007, Mr. Cleland was also the
President and Chief Executive Officer of Campbell & Company Investment
Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a registered
commodity trading advisor and an SEC registered investment adviser. From
June 2005 until April 2007, Mr. Cleland also served as Trustee, Chief
Executive Officer and President of The Campbell Multi-Strategy Trust, a
registered investment company. In March 2010, Mr. Cleland was appointed to the
firm’s Investment Committee, which is responsible for the management of the
research and investment process at the firm. Mr. Cleland is currently a member
of the Board of Directors of the National Futures Association, and previously
served as a member of the Board of Directors of the Managed Funds Association
and as a member of the Board of Governors of the COMEX, in New York. Mr. Cleland
is a graduate of Victoria University in Wellington, New Zealand where he
earned a
Bachelor of Commerce and Administration degree. Mr. Cleland became registered as
an Associated Person and listed as a Principal and NFA Associate Member of
Campbell & Company effective December 15, 1993, September 15, 1993 and
December 15, 1993, respectively. Mr. Cleland was an Associated Person, Principal
and NFA Associate Member of Campbell & Company Investment Adviser LLC from
December 2005 to April 2007. Effective July 9, 2008, Mr. Cleland again became
listed as a Principal of Campbell & Company Investment Adviser
LLC.
Gregory T. Donovan, born in
1972, joined Campbell & Company in October 2006 and has served as Chief Financial Officer and
Treasurer of Campbell
& Company since July 2008, and was Senior Vice President of Accounting and
Finance from October 2006 to July 2008. His duties include oversight of
accounting and finance functions and review of accounting policies and
procedures. Mr. Donovan is also, since April 2007, the Chief Financial
Officer, Treasurer and Assistant Secretary of both Campbell & Company
Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a
registered commodity trading advisor and an SEC registered investment adviser,
and The Campbell Multi-Strategy Trust, a registered investment company, and
since May 2010 as Treasurer of Campbell & Company International Bahamas
Limited, an international business company incorporated in The
Bahamas. From November 2003 to October 2006, Mr. Donovan was employed
by Huron Consulting Services, a managing consulting firm, serving as Director in
the Financial and Economic Consulting Practice. Mr. Donovan is a C.P.A. and has
a B.S. in Business Administration with concentrations in Accounting and
Management from Castleton State College and holds a M.S. in Finance from the
University of Baltimore. Mr. Donovan became registered as an Associated Person
and listed as a Principal and NFA Associate Member of Campbell & Company
effective July 5, 2007, May 9, 2007 and July 2, 2007,
respectively. Mr. Donovan became listed as a Principal of Campbell
& Company Investment Adviser LLC effective May 16, 2007.
Michael S. Harris, born in
1975, has been employed by Campbell & Company since July 2000, was appointed
Deputy Manager of Trading in September 2004 and has served as Vice President and Director of
Trading since June 2006. His duties include managing daily trade
execution for the assets under Campbell & Company’s management. Mr. Harris
holds a B.A. in Economics and Japanese Studies from Gettysburg College. He also
spent time studying abroad at Kansai Gaidai University in Osaka, Japan. Mr.
Harris became
registered as an Associated Person and listed as a Principal and NFA Associate
Member of Campbell & Company effective September 21, 2000, June 15, 2006 and
August 19, 2000, respectively.
16
Xiaohua Hu, born in 1963,
joined Campbell & Company in April 1994 and was appointed Research Director in March 2010. Since he
joined the firm, Mr. Hu has had a major role in the ongoing research and
development of Campbell & Company’s trading systems. In March 2010, Mr. Hu
was appointed to the firm’s Investment Committee, which is responsible for the
management of the research and investment process at the firm. Mr. Hu holds a
B.A. in Manufacturing Engineering from Changsha University of Technology in
China. He went on to receive an M.A. and Ph.D. in Systems and Information
Engineering from the Toyohashi University of Technology, in Japan. During his
studies at Toyohashi, Mr. Hu was also a Visiting Researcher in Computer Science
and Operations Research and published several research papers. Mr. Hu became
listed as Principal of Campbell & Company effective April 7,
2010.
Thomas P. Lloyd, born in 1959,
joined Campbell & Company in September 2005 as General Counsel and Executive Vice President-Legal and
Compliance. In this capacity, he is involved in all aspects of legal
affairs, compliance and regulatory oversight. Since April 2007, Mr. Lloyd has
also overseen Campbell & Company’s fund administration function. Mr. Lloyd
is also, since September 2005, the Secretary, Chief Compliance Officer and
Assistant Treasurer of both Campbell & Company Investment Adviser LLC, a
wholly-owned subsidiary of Campbell & Company, a registered commodity
trading advisor and an SEC registered investment adviser, and The Campbell
Multi-Strategy Trust, a registered investment company, and since May 2010 as
Secretary of Campbell & Company International Bahamas Limited, an
international business company incorporated in The Bahamas. From July 1999 to
September 2005, Mr. Lloyd was employed by Deutsche Bank Securities Inc. ("DBSI")
in several positions, including Managing Director and head of the legal group
for Deutsche Bank Alex. Brown, the Private Client Division of DBSI. Mr. Lloyd
holds a B.A. in Economics from the University of Maryland, and a J.D. from the
University of Baltimore School of Law. Mr. Lloyd is a member of the Bars of the
State of Maryland and the United States Supreme Court. Mr. Lloyd became listed
as a Principal of Campbell & Company and Campbell & Company Investment
Adviser LLC effective October 20, 2005 and December 12, 2005,
respectively.
Robert W. McBride, born in
1970, has been employed by Campbell & Company since January 2004 and was
appointed Director – Software
Development and Research Operations in May 2010, was Director Research
Operations & Trade Operations from January 2010 to May 2010, Research
Operations – Code Management Manager from March 2006 to January 2010, and
Research Programmer from January 2004 to March 2006. Mr. McBride holds a
Master’s of Science in Computer Science from South Dakota Schools of Mines and
Technology and a Bachelor of Science in Computer Science from Minnesota State
University Mankato. Mr. McBride became listed as Principal of Campbell &
Company effective May 25, 2010.
Tracy Wills-Zapata, born in
1971, joined Campbell & Company in February 2006 and has served as Managing Director- Business
Development since January 2007 and was Managing Director of Institutional
Business Development from February 2006 to January 2007. Ms. Wills-Zapata is
also, since December 2008, Vice President of both Campbell & Company
Investment Adviser LLC, a wholly-owned subsidiary of Campbell & Company, a
registered commodity trading advisor and an SEC registered investment adviser,
and The Campbell Multi-Strategy Trust, a registered investment company. Prior to
joining Campbell & Company, Ms. Wills-Zapata was a Managing Director of DB
Advisors LLC, and affiliates from September 2002 to December 2005, where she was
responsible for distribution of Deutsche Bank’s single manager hedge fund
platform. Ms. Wills-Zapata was registered as an Associated Person from January
2005 to December 2005 with DB Capital Advisers Inc., from February 2003 to
January 2005 with DB Advisors LLC, and from November 2002 to February 2003 with
Deutsche Bank Securities Inc. Ms. Wills-Zapata was listed as a Principal with DB
Advisors LLC from February 2003 to February 2004. Ms. Wills-Zapata was an NFA
Associate Member from December 2004 to December 2005 with DB Capital Advisers
Inc., from January 2003 to January 2005 with DB Advisors LLC, and from November
2002 to February 2003 with Deutsche Bank Securities, Inc. Ms. Wills-Zapata is
currently a member of the Board of Directors and a Member of the Executive
Committee for the Managed Funds Association. Ms. Wills-Zapata became registered
as an Associated Person and listed as a Principal and NFA Associate Member of
Campbell & Company effective March 27, 2006, July 21, 2008 and March 27,
2006, respectively. Ms. Wills-Zapata became registered as an Associated Person
and listed as a Principal and NFA Associate Member of Campbell & Company
Investment Adviser LLC effective February 18, 2009.
The
Trading Advisor
Pursuant
to the Fourth Amended and Restated Declaration of Trust and Trust Agreement (
the “Trust Agreement”), Campbell & Company has the sole authority and
responsibility for directing the investment and reinvestment of the Trust's
assets. Although Campbell & Company will initially serve as the sole trading
advisor of the Trust, it may, in the future, retain other trading advisors to
manage a portion of the assets of the Trust. Unitholders will receive prior
notice, in the monthly report from the Trust or otherwise, in the event that
additional trading advisors are to be retained on behalf of the
Trust.
17
Trading
Systems
Campbell
& Company makes the Trust's trading decisions using proprietary computerized
trading models which analyze market statistics. There can be no assurance that
the trading models will produce results similar to those produced in the past.
In addition, Unitholders will not have any vote or consent with respect to the
trading approaches utilized by Campbell & Company or any other trading
advisor. Campbell & Company currently offers the following
portfolios:
1)
|
The
Financial, Metal & Energy Large
Portfolio,
|
2)
|
The
Global Diversified Large Portfolio,
|
3)
|
The
Trend Following Portfolio, and
|
4)
|
The
Trend Following (GLD) Portfolio.
|
Campbell
& Company Investment Adviser LLC, a wholly-owned subsidiary of Campbell
& Company, Inc., currently offers the Multi-Strategy Portfolio, a
commodities and securities portfolio, and the Statistical Arbitrage Portfolio, a
securities portfolio, with different investment objectives and
terms.
All of
the Trust's assets are currently allocated to the Financial, Metal & Energy
Large Portfolio, which seeks to generate attractive risk-adjusted
returns across a broad range of market conditions through systematic investments
in a diversified portfolio of futures, forward and option contracts in a diverse
array of global assets, including global interest rates, stock indices,
currencies and commodities. The FME Large Portfolio consists of underlying
investment strategies that aim for low correlation and are diversified by
investment style, investment holding period and instrument.
Two
primary portfolio sub-strategies, Diversified and Sector-Specific, look for
momentum-oriented movement across global asset classes on the basis of price or
other technical indicators, while also capturing global trends on the basis of
underlying fundamental or econometric data. In the
future, Campbell & Company may allocate the Trust's assets to the Global
Diversified Large Portfolio.
Sector
allocation and the specific markets traded, may frequently fluctuate in response
to changes in market volatility. See the following pie chart for a current
listing of contracts, by sector, for the last six month-ends through April 30,
2010.
18
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. This chart
reports average sector allocation for each sector as of the previous six
month-ends through April 30, 2010 as follows: 29% to Interest Rates, 28% to
Equity Indices, 27% to Foreign Exchange and 16% to Commodities.
Campbell
& Company's trading models are designed to detect and exploit medium- to
long-term price changes, while also applying proven risk management and
portfolio management principles. Portfolio composition, including contracts
traded and percentage allocations to each sector, may change at any time if
Campbell & Company determines such change to be in the best interests of the
Trust. Each sector traded by the Trust appears as a caption in the preceding
sector allocation diagram. As an example, natural gas is a market that is traded
within the commodities sector.
Campbell
& Company believes that utilizing multiple trading models for the same
client account provides an important level of diversification, and is most
beneficial when multiple contracts in each market are traded. Every trading
model may not trade every market. It is possible that one trading model may
signal a long position while another trading model signals a short position in
the same market. It is Campbell & Company's intention to offset those
signals to reduce unnecessary trading, but if the signals are not simultaneous,
both trades will be taken and, since it is unlikely that both positions would
prove profitable, in retrospect one or both trades will appear to have been
unnecessary. It is Campbell & Company's policy to follow trades signaled by
each trading model independently of the other models.
Over the
course of a medium- to long-term price change, there are times when the risk of
the market does not appear to be justified by the potential reward. In such
circumstances some of Campbell & Company's trading models may exit a winning
position prior to the end of a price move. While there is some risk to this
method (for example, being out of the market during a significant portion of a
price move), Campbell & Company's research indicates that this is well
compensated for by the decreased volatility of performance that may
result.
Campbell
& Company's trading models may include trend-following trading models,
counter-trend trading models, and trading models that do not seek to identify or
follow price trends at all. Campbell & Company expects to develop additional
trading models and to modify models currently in use and may or may not employ
all such models for all clients' accounts. The trading models currently used by
Campbell & Company may be eliminated from use if Campbell & Company ever
believes such action is warranted.
While
Campbell & Company normally follows a disciplined systematic approach to
trading, on occasion it may override the signals generated by the trading
models, such as when market conditions dictate otherwise. While such action may
be taken for any reason at any time at Campbell & Company's discretion, it
will normally only be taken to reduce risk in the portfolio, and may or may not
enhance the results that would otherwise be achieved.
Campbell
& Company applies risk management and portfolio management strategies to
measure and manage overall portfolio risk. These strategies include portfolio
structure, risk balance, capital allocation and risk limitation. One objective
of risk and portfolio management is to determine periods of relatively high and
low portfolio risk, and when such points are reached, Campbell & Company may
reduce or increase position size accordingly. It is possible, however, that this
reduction or increase in position size may not enhance the results achieved over
time.
From time
to time, Campbell & Company may increase or decrease the total number of
contracts held based on increases or decreases in the Trust's assets, changes in
market conditions, perceived changes in portfolio-wide risk factors, or other
factors which may be deemed relevant.
Campbell
& Company estimates that, based on the margin required to maintain positions
in the markets currently traded, aggregate margin for all positions will range
between 5% and 30% of the Trust's net assets. From time to time, margin
commitments may be above or below this range.
The
number of contracts that Campbell & Company believes can be bought or sold
in a particular market without unduly influencing price adversely may at times
be limited. In such cases, a client's portfolio would be influenced by liquidity
factors because the positions taken in such markets might be substantially
smaller than the positions that would otherwise be taken.
Trading
Capacity
Campbell
& Company believes that it is not possible to define or quantify capacity
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. In addition, Campbell & Company has continued to
develop new ways to manage assets, such as the application of dynamic portfolio
and capital management tools and innovative execution methods. In the past, a
significant increase in assets has led to portfolio compromises, as increasingly
large positions can only be established and maintained in those markets that
have sufficient depth and liquidity.
19
Notwithstanding
Campbell & Company’s research, risk and portfolio management efforts, there
may come a time when the combination of available markets and new strategies may
not be sufficient for Campbell & Company to add new assets
without detriment to diversification. If this were to occur, Campbell &
Company would expect risk-adjusted returns to begin to degrade – a more
concentrated portfolio may result in lower risk-adjusted returns and may have a
detrimental affect on your investment. See “The Risks You Face—Trading
Risks—Increase in Assets Under Management May Make Profitable Trading More
Difficult.”
MANAGEMENT'S
DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF
OPERATIONS
Introduction
The
offering of Campbell Alternative Asset Trust’s (the "Trust") Units of Beneficial
Interest commenced on May 15, 2001, and the initial offering terminated on
September 30, 2001 with proceeds of $15,821,743. The continuing
offering period commenced immediately after the termination of the initial
offering period; additional subscriptions totaling $39,602,434 have been
accepted during the continuing offering period as of March 31,
2010. Redemptions over the same time period total
$40,335,562. The Trust commenced operations on October 1,
2001.
As of
December 31, 2002, Units are no longer offered to the public, but are offered
exclusively for sale
to the Campbell & Company, Inc. 401(K) Plan.
Critical
Accounting Policies
The
preparation of financial statements in conformity with accounting principles
generally accepted in the United States requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosures of contingent 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 (e.g. 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
maintains 40% - 80% 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 commodity 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 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, brokerage 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
counterparties. This does not reduce the risk of loss from trading
activities. 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.
20
Approximately
10% to 30% of the Trust's assets normally are committed as required margin for
futures contracts and held by the futures broker, 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 broker pursuant to the
Commodity Exchange Act and regulations thereunder. Approximately 10% to 30% of
the Trust's assets are deposited with over-the-counter counterparties 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
counterparties.
The
managing owner has a relationship structure in place in which it has the option
to deposit the majority of those assets of the Trust that are not required to be
deposited as margin with the futures broker and over-the-counter counterparty in
a custodial account with Northern Trust Company. The dollar value of assets not
required for margin purposes will be the principal consideration if the managing
owner would find this relationship structure to be beneficial to the Trust. The
assets deposited in the custodial account with Northern Trust Company are
segregated. The custodial account constitutes approximately 40% to 80% of the
Trust’s assets and is invested directly by Wilmington Trust Investment
Management LLC (“Wilmington”). Wilmington is registered with the Securities and
Exchange Commission as an investment adviser under the Investment Advisers Act
of 1940. Wilmington does not guarantee any interest or profits will accrue on
the Trust’s assets in the custodial account. Wilmington will invest according to
agreed upon investment guidelines that are modeled after those investments
allowed by the futures broker as defined under The Commodity Exchange Act, Title
17, Part 1, § 1.25 Investment of customer funds. 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; and (iii) corporate debt.
The Trust
occasionally receives margin calls (requests to post more collateral) from its
futures broker or over-the-counter counterparties, which are met by moving the
required portion of the assets held in the custody account at Northern Trust to
the margin accounts. In the past 3 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 with or loaned
to Campbell & Company or any affiliated entities.
21
Results
of Operations
The
returns for the three months ending March 31, 2010 and the years ending December
31, 2009, 2008 and 2007 were (3.33)%, (5.78)%, 1.77% and (11.67)%,
respectively.
2010
(3 months ended March 31)
Of the
2010 year-to-date decrease of (3.33)%, approximately (2.31)% was due to trading
losses, (1.08)% was due to brokerage fees, operating costs and offering costs
borne by the Trust, approximately 0.06% was offset by investment income. During
the three months ended March 31, 2010, the Trust accrued brokerage fees in the
amount of $140,088 and paid brokerage fees in the amount of $143,167. An
analysis of the (2.31)% trading losses by sector is as follows:
Sector
|
% Gain (Loss)
|
|||
Interest
Rates
|
1.73 | % | ||
Currencies
|
(0.60 | ) | ||
Commodities
|
(1.43 | ) | ||
Stock
Indices
|
(2.01 | ) | ||
(2.31 | ) % |
The New
Year began with an equity sell-off in the second half of the month as global
confidence in a steady recovery, again, began to waver, resulting in trading
losses for the Trust’s net long equity indices positions. Primary drivers were
related to: (1) China’s efforts to manage growth; (2) questionable stability of
the European Union as Greece potentially defaults on sovereign debt; and (3) the
potential heavy-handed regulation of the U.S. banking system. As the global risk
trade unwound, the Trust’s commodity positions also produced losses, largely in
the energy complex and in base metals. The global negative news detracted from a
relative positive earnings season and signs of improved economic data. Further
losses were recorded in currency trading as the U.S. Dollar, was, once again,
seen as a safe haven as the economic health of several nations was called into
question. Marginal gains were recorded in fixed income as we were able to
benefit from the steepening of the yield curve as a result of short-term
interest rates being kept at extremely low levels by global central
banks.
The first
half of February was somewhat subdued as the market digested mixed U.S.
employment numbers versus the unemployment rate. By mid-month, the Federal
Reserve surprised the markets by deciding to hike the discount rate, in a clear
sign that the pace of their exit strategy may be more aggressive than originally
anticipated. Our long position in short-term rates, both in the U.S. and Europe,
fueled strong gains in the sector for the remainder of the month. Gains were
also recorded in currency trading as the Euro currency weakened against most
majors on accelerated sovereign fears evidenced by the record high cost of
insuring Greek and Portuguese debt. Global equity indices trading produced small
losses for the Trust as a result of dealing with diverse global macroeconomic
challenges (weakening Euro, China central bank intervention and U.S. employment
and earnings season results). While the market finished generally negative in
Europe and Asia, the U.S. managed to record a gain on largely upbeat fourth
quarter earnings announcements with many S&P constituents beating consensus
expectations. Commodity trading resulted in generally negative results as the
structural imbalances in Europe, and the strong relative performance of the U.S.
economy versus the Eurozone helped “de-link” Europe from the risk trade, keeping
commodities in alignment with U.S. stocks.
While
energy prices rallied for most of the month, precious metals sold off early only
to turn positive as the market used gold as a safe haven against Eurozone
turmoil.
March proved to be a very strong month
for trends as our long positions in energies and base metals benefited
from prices moving higher on climbing global economic growth prospects. Global
equity indices also provided gains for the Trust’s long positions as prices
surged on renewed merger and acquisition activity, positive news centered on
economic releases, and subdued fears regarding Greece’s finances. Marginal gains
were recorded in the foreign exchange markets as the return of the carry trade
pushed commodity linked currencies higher. Almost all central banks have
acknowledged that the worst has passed; however, the lack of flexibility to
induce fresh fiscal or monetary stimulus has forced a lower for longer interest
rate policy globally. The Trust’s net gains were partially offset by losses in
the fixed income markets from our long positions in U.S. Treasury futures as
prices fell during the month. In the U.S. fixed income market, heavy supply put
pressure on bond prices, and U.S. Treasury yields were higher than swap yields
for the first time on record.
2009
(3 months ended March 31)
Of the
2009 year-to-date decrease of (0.79)%, approximately 0.25% is due to trading
gains (before commissions) and approximately 0.01% due to investment income
offset by approximately (1.05)% due to brokerage fees, operating costs and
offering costs borne by the Trust. During the three months ended March 31, 2009
the Trust accrued brokerage fees in the amount of $182,161 and paid brokerage
fees in the amount of $182,603. An analysis of the 0.25% trading gains by sector
is as follows:
Sector
|
% Gain (Loss)
|
|||
Interest
Rates
|
1.23 | % | ||
Currencies
|
0.42 | |||
Commodities
|
(0.61 | ) | ||
Stock
Indices
|
(0.79 | ) | ||
0.25 | % |
The
disclosure describing the events that occurred between January 2009 and March
2009 is provided in the next section.
22
For
the Year Ended December 31, 2009
For the
2009 decrease of (5.78)%, approximately 1.74% was due to trading losses (before
commissions) and approximately 0.15% due to investment income offset by
approximately (4.19)% due to brokerage fees, operating costs and offering costs
borne by the Trust. An analysis of the (1.74)% trading loss by sector
is as follows:
Sector
|
% Gain (Loss)
|
|||
Currencies
|
3.41 | % | ||
Commodities
|
0.32 | |||
Stock
Indices
|
(0.68 | ) | ||
Interest
Rates
|
(4.15 | ) | ||
(1.74 | ) % |
President
Obama’s stimulus plan took center stage in January; however, weak economic data
continued to negatively impact global stock markets into the start of the New
Year. An early month rally fizzled quickly, causing notable declines in
major global indices. The Trust gained in equity indices trading on
net short positions across each region. Gains were recorded in fixed
income trading as the world’s central banks continued to lower interest
rates. Mounting fiscal deficits and huge issuance needs begin to
weigh heavy on the long-end; however, credit markets generally improved in
January with yield spreads continuing to contract. Foreign exchange
trading finished slightly negative on the month. Risk aversion and capital
preservation benefited the Trust’s net long U.S. Dollar position; however, the
UK government’s unprecedented move to give the Bank of England power to increase
their stake in Royal Bank of Scotland to 70% helped fuel a late month rally in
the British Pound, eliminating gains from a previous
decline. Commodity trading was generally flat on volatility across
precious and base metals and a slowing of the negative energy
trend.
In
February, the U.S. government’s ability to address the economic crisis was met
with skepticism by Wall Street. Economic data remained persistently weak,
especially on the employment and housing fronts. The U.S. was not alone in
reporting negative news, as European and Asian economies also continued with the
release of dismal economic data such as declining exports and falling
dividends. The majority of February gains in the Trust resulted from
equity indices trading, particularly from short positions in the U.S. and
Asia. Additional gains were recorded in foreign exchange
trading as investors continued to feed U.S. Dollar strength, particularly
relative to the Japanese Yen. The U.S. Dollar continues to be the safe
haven pick as the risk aversion theme continued, as evidenced by the U.S.
treasury yields recording all-time lows.
Stock
markets rallied in March as the 2008 fourth quarter earnings announcements
subsided and large U.S. banks announced they would be profitable for the first
two months of 2009. The majority of the Trust’s losses in March
resulted from equity indices trading, as the equity rally adversely impacted net
short positions globally. Commodities recorded minimal losses as
energy price swings have become correlated with equities and metals surged on
news of China’s economic stimulus plan. Gains from fixed income
markets were recorded from the Trust’s long global bond positions as prices
moved significantly higher on announcements from the Swiss, British and American
Central Banks on their intentions of adding liquidity by purchasing medium to
long-term bonds in the market. Foreign exchange trading resulted in
minimal gains as investors sought currencies whose home central banks were not
keen on engaging in quantitative easing.
While
equity index trading produced the most profitable sector results for the Trust
for 2008, the Trust’s net exposure on the short side of global stock indices
through April 2009 has hurt performance as markets continued to stage rallies
that began in mid-March. U.S. economic indicators, including housing
and manufacturing, showed signs of improvement and stabilization rather than
further deterioration. In addition, the G-20 agreed to fund more than
$1 trillion in emergency aid to help cushion the economic fallout of the current
international financial crisis. While the general tone of the
economic outlook was more upbeat, officials have still been cautious in their
assessment. April saw a continuation of the March risk-seeking rally leading to
several growth currencies registering solid gains against the
dollar. Losses were realized in the foreign exchange sector due to
the Trust’s general bias to be long the dollar against most major currencies. In
fixed income, the equity market rally helped general investor sentiment, driving
bond prices lower across the board which produced losses for the Trust in this
sector. Commodity trading finished relatively flat with gains from
the energy sector offsetting small losses in base and precious
metals.
23
In May,
conflicting signals on global recovery weighed on the direction of the markets
as increased risk appetite and signs of stabilization in the global economy
emerged. Equity markets continued their rally, particularly in Asia,
generating small gains in the stock index sector. Fixed income
trading generated a marginal positive return as short-term rates in Europe
climbed higher following the European Central Bank rate cut of 25 basis
points. The gains in the stock index and fixed income sectors were
offset by losses in the foreign exchange sector. The U.S.
Dollar suffered a broad based decline in May on a combination of stronger risk
appetite and growing fears over structural deficiencies in the
U.S. Investors moved dormant dollar denominated assets overseas to
capture growth and risk in commodity block currencies. Smaller losses
were also recorded in the commodities sector as natural gas finished a volatile
month higher.
During
June, a surprise payroll number to the upside for May prompted an aggressive
sell-off in short-term U.S. rates and raised market expectations of a rate hike
in 2009. The price reaction was swift and caused particular
difficulty for systematic trading. Losses for the Trust in the fixed
income sector were offset by marginal gains in the foreign exchange
sector. The Trust’s currency positions were generally mixed, thus
hedging some U.S. Dollar risk, as investors crowded the Dollar as a safe-haven
trade, pushing it higher on the month. Marginal gains were also
recorded in the commodities sector, primarily from long positions in the energy
complex. As geo-political headlines were plentiful, energies traded
in a highly correlated fashion to global equity markets. The stock
index sector finished basically flat for the month as global equity markets
reflected mixed results congruent with both positive and negative economic data
relating to global recovery.
Contrary
to investor fears, global stock market returns in 2009 have fueled improved risk
appetite as economic data and corporate earnings support the rally for yet
another month in July. The Trust’s trading performance was relatively flat, with
positive results from long stock and short U.S. Dollar positions being offset by
losses incurred from short interest rate positions. For the first half of 2009,
many “trend-following” strategies struggled to curb losses and eked out small
gains in a market environment that is in a classic “consolidation” (trendless
and choppy) period.
While
risk appetite was generally strong in August, investors’ risk behavior was a bit
random as fixed income initially sold off better than expected payrolls data,
but spent the rest of the month rallying. Ben Bernanke’s nomination for a second
term as U.S. Federal Reserve Chairman and continued “lower rates for longer”
comments from Federal Reserve officials helped support treasury prices against
the Trust’s general positioning across the curve. Smaller losses were recorded
in currency trading as investors appeared unwilling to chase growth currencies
higher, at the expense of the dollar, from already stretched levels. Gains were
recorded in commodity markets as the Trust increased its exposure to this sector
with the launch of more agile models providing more efficient holding period
diversification. Trading in base and precious metals was a primary driver as the
“risk on” trade prevailed on improving economic data. Equity indices trading
yielded a marginal gain as positioning geographically and across model groups
remains mixed.
During
the month of September, the Trust’s technical and fundamental strategies both
recorded healthy gains in the foreign exchange sector from short positions in
the U.S. Dollar vs. most major currencies. Commodity-linked currencies were
particularly profitable for the Trust, as both the Australian and New Zealand
Dollars rose in value close to 5%. Technical and fundamental signals were also
effective in the equity index sector, where the Trust benefited from primarily
long positions across global stock indices. With the exception of Japan, global
equities moved higher by 2-3% during the month on healthy M&A activity, as
well as favorable signs of a manufacturing rebound and consumer spending
renewal. Results were mixed in fixed income trading as gains earned from
short-term rates were largely offset by losses on the long end of the curve.
Commodities trading resulted in marginal losses overall, primarily due to short
positions in natural gas. The price of natural gas rallied over 20% during the
month as a result of significant short covering in the market despite record
storage levels.
The risk
pendulum continued to swing between “risk on” and “risk off” during the month of
October, culminating in “risk off” at month-end and impacting all sectors of the
portfolio. As global equity markets fell, commodities fell in tandem and the
U.S. Dollar rallied along with fixed income in a thematic trade tied to central
bank activity. While the Trust’s risk exposure to equity indices was relatively
low, our net long position yielded the largest sector loss during the month. The
high volatility environment for mean-reversion equity trading was quite
favorable, resulting in gains in the cash equities statistical models in both
U.S. and Japan. The perseverance of the “risk off” trade at month-end resulted
in modest losses in foreign exchange, modest gains in
commodities.
24
November
saw strong trends generate a return of 3.03%, with solid gains in interest
rates, foreign exchange, and commodities. Weaker than expected new home sales to
start the month, the Federal Open Market Committee’s retention of “extended
period” language at mid-month, and a flight to quality at month-end fueled by
fears over Dubai debt pushed bond prices higher throughout the month. Thus,
trading in fixed income contributed to strong gains from both the short and long
end of the curve; foreign exchange trading profited from a continued downward
trend of the U.S. Dollar; and commodity trading benefitted from gains in
precious metals.
In
December, the markets saw a rapid reversal in fixed income and the U.S. Dollar.
Inflationary fears subsided as better than expected U.S. economic data fueled
equity prices higher and bond prices lower. While market participants seemed to
be trading at reduced risk levels, price trends were inconsistent leading into
the holiday break, causing losses for many systematic managers, including
Campbell. Sharp losses in fixed income trading and modest losses in foreign
exchange outweighed solid gains in cash equities and equity indices trading,
resulting in a net loss for the month.
2008
For the
2008 increase of 1.77%, approximately 4.43% was due to trading gains (before
commissions) and approximately 1.51% due to interest income offset by
approximately 4.17% due to brokerage fees, operating costs and offering costs
borne by the Trust. An analysis of the 4.43% trading gain by sector is as
follows:
Sector
|
% Gain (Loss)
|
|||
Stock
Indices
|
9.10 | % | ||
Commodities
|
0.35 | |||
Currencies
|
(0.51 | ) | ||
Interest
Rates
|
(4.51 | ) | ||
4.43 | % |
The first
quarter of 2008 began where 2007 left off, with the credit crisis causing more
write-downs, more credit downgrades, and a growing realization that sub-prime
issues would have broader and longer-lasting impacts than initially suspected.
In January, weak economic data caused the Federal Open Market Committee to cut
short-term rates by a total of 1.25%, which included an unprecedented 0.75%
emergency cut. The S&P 500 recorded one of its worst monthly performances in
the history of the index. The Trust’s performance in January was basically flat,
with gains in equity indices trading more than offset by losses in currencies
and flat performance in fixed income and commodities.
February
saw the U.S. dollar weaken against most major currencies, as U.S. economic data
disappointed, stagflation concerns grew and U.S. interest rate expectations
declined dramatically. The Trust’s currency trading profited from these moves,
generating a positive return for the month. The Trust also recorded gains in
equity indices, as the S&P 500, Dow, and NASDAQ continued to slide. Overall,
the Trust had a positive month, posting a 1.68% gain.
March
brought more Federal Reserve intervention, which resulted in a slight recovery
by U.S. stocks from mid-month slides to finish flat for the month, but still
significantly negative for the year. The U.S. dollar continued to weaken. The
Trust’s performance was close to flat for the month at 0.08%, with gains in
equity indices and currencies offset by losses in commodities and fixed income.
The Trust closed the first quarter of 2008 with a year-to-date gain of
1.57%.
In April,
the U.S. dollar rallied against key funding currencies, despite a generally weak
global economy. The Trust realized gains in foreign exchange and commodities.
However, those gains were overshadowed by losses in the fixed income and equity
indices sectors, as prior trends in both sectors reversed course. For the month
of April, the Trust suffered a loss of (2.32)%.
May was a
strong month for the Trust. Positive commodity trading led the charge as crude
oil breached new technical levels, touching $135 mid-month. Foreign exchange
models also posted gains, as high-yielding currencies performed well. These
gains, together with modest gains in the fixed income more than offset a loss in
equity indices. The Trust achieved a positive return on the month of
2.07%.
In June
the Trust realized its best month of the year, posting a return of 5.26%. Equity
indices trading produced strong gains as short positions benefitted from the
negative news that roiled the markets around the globe. Signs of commodity-based
inflation were constantly in the headlines. Consumer confidence fell to a
16-year low, as U.S., European, and Asian equities markets fell in tandem. Fixed
income trading produced additional gains for the Trust, in response to fears of
inflation and ECB’s increasingly hawkish stance. Commodities also posted gains
as crude oil hit new highs on the back of increased tensions in the Middle East
and among OPEC members. In addition, the Trust had modest gains in foreign
exchange sector. The Trust concluded the second quarter with a gain of 5.40% for
the quarter, and a year-to-date gain of 7.05%.
25
The month
of July was characterized by reversals in many asset classes. The Dow and
S&P hit technical bear market territory early in the month, while Japanese
equities saw their longest back-to-back losing streak in 54 years. Equity
markets seemed to find a bottom mid-month after the U.S. announced the
Government-Sponsored Enterprises bailout plan. Commodity prices also reversed,
with crude oil declining almost 12% on fears that a weakened economy would
reduce global demand. The Trust earned profits in equity indices trading. Those
gains were offset by losses in fixed income and commodities. All-in, the Trust
finished the month with a loss of (1.10)%.
In
August, sub-prime fallout continued to plague the global financial markets. The
U.S. unemployment rate hit a four-year high. Commodity prices continued to
decline, with natural gas leading the way with a decline of 12.75% and gold
falling to its lowest level in eight months. The Trust experienced losses in
foreign exchange and commodities sectors as currencies linked to commodities
fell in tandem with metal and energy markets, while the U.S. Dollar Index posted
unusually strong gains. Those losses edged out gains in fixed income, resulting
in a loss for the month of (1.37)%
September
saw concern over the widening credit crises come to a boiling point. Equity
markets in the U.S., Europe, and Asia declined sharply. Investors fled
high-yielding currencies in response to the global decline in equity markets.
The Trust posted a loss of (1.36)%. Gains in equity indices were offset by
losses in foreign exchange, fixed income, and commodities. Diversification of
positions by sector and geography played an important role in dampening losses
to the Trust, as did a decrease in risk levels across the portfolio. The Trust
concluded the third quarter with a loss of (3.78)% for the quarter, leaving the
year-to-date gain at 3.00%.
At the
time, the month of October seemed like a month to remember, as equity markets
around the world plummeted, fueling further anxiety about the length and depth
of a global recession and further exacerbating the liquidity, growth, and
confidence crisis. With the benefit of hindsight, it was but the beginning of a
quarter to remember. For the Trust, the month was about the benefits and
disadvantages of diversification. Modest gains in equity indices trading were
more than offset by losses in foreign exchange and fixed income, resulting in a
loss for the month of (0.91)%.
November
brought further global economic panic, as governments around the world continued
to announce plans to help bolster sagging economies. The U.S. reversed course on
its bailout effort, from buying troubled assets to facilitating lending flow.
Economic data reflected another sharp drop in manufacturing, rising
unemployment, and the largest drop in retail sales since 1992, prompting wild
swings in both equity and bond markets. The Trust maintained a relatively low
risk profile during the month, which resulted in marginal losses and gains
across the sectors. For the Trust, losses in fixed income offset marginal gains
in other sectors, resulting in a loss for the month of (1.07)%.
December
saw more of the same on the global economic front. The Trust, however, took
advantage of dramatic movers in the British Pound, particularly against the
Euro, to achieve gains in foreign exchange. Likewise, fixed income trading was
profitable as central banks across the globe continued to lower interest rates
on persistent negative data. Overall, the Trust gained 0.80% for
December.
The Trust
completed the fourth quarter of 2008, one of the most volatile in market
history, with a loss for the quarter of (1.19)%, bringing the return for the
year to 1.77%
2007
Of the
2007 decrease of (11.67)%, approximately (11.32)% was due to trading losses
(before commissions) and approximately (4.91)% was due to brokerage fees,
performance fees and operating and offering costs borne by the Trust offset by
approximately 4.56% of interest income. An analysis of the (11.32)%
trading gain by sector is as follows:
Sector
|
% Gain (Loss)
|
|||
Interest
Rates
|
1.10 | % | ||
Metals
|
(0.73 | ) | ||
Energy
|
(1.99 | ) | ||
Stock
Indices
|
(2.53 | ) | ||
Currencies
|
(7.17 | ) | ||
(11.32 | )% |
The first
quarter demonstrated how market perceptions on the global macroeconomic
environment can drastically change during a quarter. Fixed income was initially
a driver in performance as a result of the acceleration of global economic
momentum, but ultimately resulted in overall losses for the
quarter. The global growth environment turned into a flight to
quality from risky assets, sponsored by comments made by former U.S. Federal
Reserve Chairman, Alan Greenspan, about a recession by year end and the whipsaw
activity experience in fixed income. Currency trading followed a
similar path of fixed income (initial gains and overall quarterly losses);
initial gains from currency crosses were generated from unexpected rate hikes by
the Bank of England in the beginning of the quarter but were wiped out by the
liquidations of Yen-based carry trades in February, followed by whipsaw activity
at the end of quarter. The Trust’s equity indices initially bucked
the trend of fixed income and currency with gains coming from our fundamental
models and strong M&A activity, but ultimately succumbed to an overall
quarterly loss. Energy losses were driven by price declines in
January on inventory build-ups due to warmer than average temperatures, but
finished the last two months of the quarter basically flat. Global economic
worries that were sparked at the end of February continued through the early
part of March. All major market sectors experienced increased
volatility accompanied by sharply higher short-term
correlation. Whipsaw activity in currencies, interest rates and
equities indices led to negative performance in all of these sectors, acting as
the primary drivers of March losses. Risk levels for the Fund were
reduced early in March in response to market conditions, and were restored to
normal levels as conditions warranted.
26
The
second quarter charged forward with M&A activity supported by impressive
earnings, unfettered access to liquidity and major U.S. indices reaching all
time highs, to only end with inflation concerns and a flight to quality related
to the sub-prime world. Currencies provided gains early and late in
the quarter related to negative U.S. dollar sentiment, but experienced losses
mid-quarter mainly in outright exposures. Fixed income gains early in the month
of April were given back during the last days of the month, but global fixed
income prices breaking out of their trading ranges in May allowed the Trust to
gain on both the long and short end of the yield curve. Early in the
quarter commodity trading was positive as copper prices rallied on China’s
release of high import figures, then finished slightly negative mid-quarter with
energy trading gains mitigating some losses in metals. Commodities ended the
quarter with small losses related to being short crude as it rallied above $70
per barrel on geo-political risks and inventory changes keeping traders
bullish.
The third
quarter began with a sudden flight to quality, reversal of high yielding
currencies, and a highly correlated, unusually large move against the Trust’s
positions resulting in one of the Trust’s largest monthly declines in recent
years. Losses were broadly based and evenly spread between the interest
rate, foreign exchange and equity index sectors. In response to this “perfect
storm,” the Trust’s leverage was temporarily cut by 50%. Continuing
the unusual market conditions theme into the first half of August, the contagion
effect throughout the financial system created a confidence and liquidity crisis
that also negatively impacted the Trust’s performance. Major stock, bond and
currency markets globally experienced double digit losses from mid-July to
mid-August. The foreign exchange sector proved very difficult in August as the
Trust’s technical and macro models were both exposed to high-yielding currencies
that suffered market value declines of historical proportions in mid-August. The
Trust’s leverage was cut again in mid-August. Trading in the equity
indices sector was also difficult as volatility dominated global stock markets,
with the S&P dropping over 8% from its intra-month high only to bounce off
of its lows once the Trust’s exposure was reduced. The Trust earned
the majority of its gains at the end of the quarter in the foreign exchange
markets as higher-yielding currencies once again gained favor. Trading in the
stock indices sector also posted positive results, as the markets breathed a
collective sigh of relief that the Federal Reserve was seriously addressing the
credit crisis and resulting economic impact. The Trust’s portfolio maintained a
lower risk posture throughout the month of September with full re-engagement
resuming in the early part of the fourth quarter.
The
fourth quarter started with mixed messages as corporate earnings’ reports either
beat estimates or severely disappointed, money centers and investment banks
grappling with major credit related losses, housing data continuing to soften,
and the FOMC complying with market expectations of a 25 basis point cut. High
yielding currencies provided healthy gains early in the quarter battling back
from August lows, however, the remainder of the quarter Campbell incurred its
largest sector losses in currencies enduring the yen reaching levels not seen
since June of 2005. Trading in global indices proved a similar fate to the
currency sector, initially beginning the quarter with gains followed up by two
consecutive months of incurring losses related to U.S. recessionary fears
spawning fears of a global slowdown in growth. Fixed Income began the
quarter flat as credit quality remained an underlying concern, then moving to
positive returns mid-quarter thanks to Treasuries posting the best month in 12
years, to finishing negative at year-end related to extreme
volatility. Energy and base metals began the quarter with a minimal
loss and flat performance, respectively, as the markets continued to wrestle
with a tight supply/demand picture, deteriorating geo-political landscape, a
weakening dollar and strong growth from India & China. This
market landscape then switched to fears of slowing global growth and fundamental
arguments for lower energy prices in which Campbell recorded losses in both
sectors. The quarter ended with gains realized in base and precious
metals as gold rallied 6% to all time highs amid strong buying in the face of a
bounce in the U.S. dollar.
27
Campbell
has responded to the performance difficulties of 2007 with intensified efforts
in research, highlighting the need to diversify across investment horizons and
to monitor and respond to sharp factor-risk contagion more
nimbly. Our 36 years of experience shows that our investment in the
research process continues to provide for evolutionary change, while our
commitment to the discipline of systematic trading remains
unchanged.
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 option 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, Inc., the managing owner (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%.
In
addition to market risk, in entering into futures, forward and option 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 traded in the
United States and on most foreign exchanges is the clearinghouse associated with
such exchange. In general, clearinghouses are backed by the corporate members of
the clearinghouse who are required to share any financial burden resulting from
the non-performance by one of their members and, as such, should significantly
reduce this credit risk. In cases where the clearinghouse is not backed by the
clearing members, like some foreign exchanges, it is normally backed by a
consortium of banks or other financial institutions.
In the
case of forward and option 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 on a mark-to-market basis. There can
be no assurance that any clearing member, clearinghouse or other counterparty
will be able to meet its obligations to the Trust.
Disclosures
About Certain Trading Activities that Include Non-Exchange Traded Contracts
Accounted for at Fair Value
The Trust
invests in futures, forward currency and option on forward currency
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 market 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 market value of
option (non-exchange traded) contracts is calculated by applying an
industry-standard adaptation of the Black-Scholes options valuation model to
foreign currency options, using as input, the spot prices, interest rates and
option implied volatilities quoted as of 3:00 P.M. (E.T.) on the last business
day of the reporting period.
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, 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 one day downside risk for the aggregate exposures
associated with this sector. 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.
28
Because
the business of the Trust is the speculative trading of futures, forwards and
options, 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 March 31, 2010 and December 31, 2009 and
the trading gains/losses by market category for the three months ended March 31,
2010 and the year ended December 31, 2009.
March 31, 2010
|
||||||||
Trading
|
||||||||
Market Sector
|
Value at Risk*
|
Gain/(Loss)**
|
||||||
Interest
Rates
|
0.62 | % | 1.73 | % | ||||
Stock
Indices
|
0.60 | % | (2.01 | ) % | ||||
Commodities
|
0.54 | % | (1.43 | ) % | ||||
Currencies
|
0.52 | % | (0.60 | ) % | ||||
Aggregate/Total
|
1.65 | % | (2.31 | ) % |
* The VaR for a
sector represents the one day downside risk for the aggregate exposures
associated with this sector. 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.
** Of the 2010
year-to-date decrease of (3.33)%, approximately (1.08)% was due to brokerage
fees, operating costs and offering costs borne by the Trust, approximately
(2.31)% was due to trading losses (before commissions) and approximately 0.06%
was offset by investment income.
December 31, 2009
|
||||||||
Trading
|
||||||||
Market Sector
|
Value at Risk*
|
Gain/(Loss)**
|
||||||
Currencies
|
0.90 | % | 3.41 | % | ||||
Interest
Rates
|
0.68 | % | (4.15 | )% | ||||
Stock
Indices
|
0.45 | % | (0.68 | )% | ||||
Commodities
|
0.41 | % | (0.32 | )% | ||||
Aggregate/Total
|
1.62 | % | (1.74 | )% |
* The VaR for a
sector represents the one day downside risk for the aggregate exposures
associated with this sector. 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.
** Of the return
for the year ended December 31, 2009, approximately (1.74)% was due to trading
losses (before commissions) and (4.19)% was due to brokerage fees, operating
costs and offering costs borne by the Trust and approximately 0.15% due to
investment income giving a net return of (5.78)%.
Material
Limitations on 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 substantial 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 immaterial. 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.
29
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 were the primary trading risk exposures of the Trust as of March 31,
2010, by market sector.
Currencies
Exchange
rate risk is the principal market exposure of the Trust. 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 risk is a significant
market exposure of the Trust. Interest rate movements directly affect the price
of the sovereign bond positions 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. The Trust's primary interest rate exposure is to
interest rate fluctuations in the United States and the other G-7 countries.
Campbell & Company anticipates that G-7 interest rates will remain the
primary rate exposure of the Trust for the foreseeable future. The changes in
interest rates which have the most effect on the Trust are changes in long-term,
as opposed to short-term rates. Most of the speculative positions held by the
Trust are in medium- to long-term instruments.
Stock
Indices
The Trust's primary equity exposure
is to equity price risk in the G-7 countries and several other countries (Hong
Kong, Spain, the Netherlands and Taiwan). 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.
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, nickel, silver and
zinc.
30
Agricultural
The Trust’s agricultural exposure was
to the fluctuations in the price of wheat, corn, coffee, cocoa, sugar, soy,
hogs, cattle, canola oil, and cotton.
Qualitative
Disclosures Regarding Non-Trading Risk Exposure
The
following were the primary non-trading risk exposures of the Trust as of March
31, 2010.
Foreign
Currency Balances
The
Trust's primary foreign currency balances are in Australian Dollar, Japanese
Yen, British Pounds and Euros. 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
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, Wilmington, 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 provide no guarantee that any profit or interest will
accrue to the Trust as a result of such management.
Treasury
Bill Positions Held for Margin Purposes
The Trust also has market exposure in
its Treasury Bill portfolio. The Trust holds Treasury Bills (interest
bearing and credit risk-free) with maturities no longer than six
months. Violent fluctuations in prevailing interest rates could cause
minimal mark-to-market losses on the Trust'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 precalculating "stop-loss"
points at which systems will signal to close out open positions.
Campbell
& Company manages the risk of the Trust's non-trading
instruments of Treasury Bills held for margin purposes by limiting
the duration of such instruments to no more than six months. Campbell &
Company manages the risk of the Trust’s fixed income securities held for cash
management purposes by restricting the cash managers to investing in securities
that are modeled after those investments allowed by the futures broker as
defined under The Commodity Exchange Act, Title 17, Part 1, § 1.25 Investment of
customer funds. Investments can include, but are not limited to, (i) U.S.
Government Securities, Government Agency Securities, Municipal Securities,
banker acceptances and certificate of deposits; (ii) commercial paper; and (iii)
corporate debt.
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.
[REMAINDER
OF THIS PAGE LEFT BLANK INTENTIONALLY.]
31
SECURITY
OWNERSHIP OF CERTAIN BENEFICIAL OWNERS
The
following table sets forth information as of May 1, 2010, with respect to the
number of Units owned by each person known by the Trust to be a beneficial owner
of more than five percent of the Trust's Units.
Units
Beneficially Owned
|
||||||||
as of May 1, 2010
|
||||||||
Name of Beneficial Owner
|
Units Owned
|
Percentage
of Class
|
||||||
Campbell
& Company, Inc. 401(k) Plan
|
13,955.542 | 75.27 | % | |||||
2850
Quarry Lake Drive
|
||||||||
Baltimore,
Maryland 21209
|
||||||||
Campbell
& Company, Inc.
|
||||||||
2850
Quarry Lake Drive
|
1,413.580 | 7.62 | % | |||||
Baltimore,
Maryland 21209
|
CONFLICTS
OF INTEREST
Campbell
& Company, Inc.
Conflicts
exist between Campbell & Company's interests in and its responsibilities to
the Trust. The conflicts are inherent in Campbell & Company acting as
managing owner and as trading advisor to the Trust. The conflicts and the
potential detriments to the Unitholders are described below.
Campbell
& Company's selection of itself as trading advisor was not objective, since
it is also the managing owner of the Trust. In addition, it has a disincentive
to replace itself as the trading advisor. The advisory relationship between the
Trust and Campbell & Company, including the fee arrangement, was not
negotiated at arm's length. Investors should note, however, that Campbell &
Company believes that the fee arrangements are fair to the Trust and competitive
with compensation arrangements in pools involving independent managing owners
and advisors. Campbell & Company will review its compensation terms annually
to determine whether such terms continue to be competitive with other pools for
similar services and will lower such fees if it concludes, in good faith, that
its fees are no longer competitive. Neither Campbell & Company nor any
trading advisor may receive per-trade compensation directly or indirectly from
the Trust. Investors should note that Campbell & Company operates other
commodity pool offerings which may have materially different terms and may
operate at a lower overall cost structure.
Neither
Campbell & Company nor its principals devote their time exclusively to the
Trust. Campbell & Company (or its principals) acts as general
partner/sponsor to other commodity pools and trading advisor to other accounts
which may compete with the Trust for Campbell & Company's services. Thus,
Campbell & Company could have a conflict between its responsibilities to the
Trust and to those other pools and accounts. Campbell & Company believes
that it has sufficient resources to discharge its responsibilities in this
regard in a fair manner.
Campbell
& Company receives higher advisory fees from some of those other accounts
than it receives from the Trust. Campbell & Company, however, trades all
accounts traded pursuant to a particular portfolio in a substantially similar
manner, given the differences in size and timing of the capital additions and
withdrawals. In addition, Campbell & Company may find that futures positions
established for the benefit of the Trust, when aggregated with positions in
other accounts traded by Campbell & Company, approach the speculative
position limits in a particular commodity. Campbell & Company may decide to
address this situation either by liquidating the Trust's positions in that
futures contract and reapportioning the portfolio in other contracts or by
trading contracts in other markets which do not have restrictive limits. In the
event that Campbell & Company was required to liquidate positions as the
result of speculative position limits, such liquidation would be done on a pro
rata basis across all accounts under management.
Principals
of Campbell & Company may trade futures and related contracts for his or her
own account. In addition, Campbell & Company manages proprietary accounts
for itself, its deferred compensation plan and certain principals and employees.
There are written procedures that govern proprietary trading by principals and
employees. For instance, Campbell & Company has implemented employee trading
policies that prohibit employee trading in futures and options unless Campbell
& Company’s consent is given to the employee in writing. Such consent will
be given in extraordinary circumstances. All employees must preclear all trades
in equities, equity options, equity indices or equity index options through a
computer-based system provided by Campbell & Company. The proposed trades
are compared to a restricted list that includes positions traded in material
amounts. Campbell & Company receives a daily feed from its approved
brokerage firms, which are compared against the preclearance lists to assure
compliance. Trading records for all proprietary trading are available for review
by clients and investors upon reasonable notice. A conflict of interest exists
if proprietary trades are executed and cleared at more favorable rates than
trades executed and cleared on behalf of the Trust.
32
When
Campbell & Company executes an order in the market, the order is typically
placed on an aggregate basis for all accounts for which Campbell & Company
trades, and then is subsequently broken up and allocated among the various
accounts. To the extent executions are grouped together and then allocated among
accounts held at the futures broker and the over-the-counter counterparty, the
Trust may receive less favorable executions than such other accounts. It is
Campbell & Company's policy to objectively allocate trade executions that
afford each account the same likelihood of receiving favorable or unfavorable
executions over time. A potential conflict also may occur when Campbell &
Company or its principals trade their proprietary accounts more aggressively or
take positions in proprietary accounts which are opposite, or ahead of, the
positions taken by the Trust.
The
Futures Broker and the Over-the-Counter Counterparty
The
futures broker, currently UBS Securities LLC, and the over-the-counter
counterparty, currently Deutsche Bank AG London and the affiliates
and personnel of such entities, may trade futures, forward and option contracts
for their own accounts. This trading could give rise to conflicts of interest
with the Trust. These trades may be different from, opposite to, or entered
ahead of trades entered by the Trust. The records of any of these trades will
not be available to Unitholders of the Trust.
UBS
Securities LLC is the futures broker and also a selling agent of the Trust,
which could give rise to conflicts of interest because its compensation in each
role is based on the net asset value of Units outstanding. Further, in making
recommendations to redeem Units, UBS Securities LLC employees may have a
conflict of interest between acting in the best interest of their clients and
assuring continued compensation to their employer. As there is no public
offering of these Units, once a public Unitholder redeems their Units, they
cannot repurchase Units.
Fiduciary
Duty and Remedies
In
evaluating the foregoing conflicts of interest, a prospective investor should be
aware that Campbell & Company, as managing owner, has a responsibility to
Unitholders to exercise good faith and fairness in all dealings affecting the
Trust. The fiduciary responsibility of a managing owner to the Unitholders is a
rapidly developing and changing area of the law and Unitholders who have
questions concerning the duties of Campbell & Company as managing owner
should consult with their own counsel. In the event that a Unitholder believes
that Campbell & Company has violated its fiduciary duty to the Unitholders,
he may seek legal relief individually or on behalf of the Trust under applicable
laws, including under the Delaware Statutory Trust Act and under commodities
laws, to recover damages from or require an accounting by Campbell &
Company. The Trust Agreement is governed by Delaware law and any breach of
Campbell & Company's fiduciary duty under the Trust Agreement will generally
be governed by Delaware law. The Trust Agreement does not limit Campbell &
Company's fiduciary obligations under Delaware or common law; however, Campbell
& Company may assert as a defense to claims of breach of fiduciary duty that
the conflicts of interest and fees payable to Campbell & Company have been
disclosed in this prospectus. Unitholders may also have the right, subject to
applicable procedural and jurisdictional requirements, to bring class actions in
federal court to enforce their rights under the federal securities laws and the
rules and regulations promulgated thereunder by the U.S. Securities and Exchange
Commission (“SEC”). Unitholders who have suffered losses in connection with the
purchase or sale of the Units may be able to recover such losses from Campbell
& Company where the losses result from a violation by Campbell & Company
of the federal securities laws. State securities laws may also provide remedies,
such as the ability to bring civil liability lawsuits, to Unitholders.
Unitholders should be aware that performance by Campbell & Company of its
fiduciary duty to the Trust is measured by the terms of the Trust Agreement as
well as applicable law.
Unitholders
are afforded rights to institute reparations proceedings under the Commodity
Exchange Act for violations of the Commodity Exchange Act or of any rule,
regulation or order of the CFTC by Campbell & Company.
Indemnification
and Standard of Liability
Campbell
& Company and its controlling persons may not be liable to the Trust or any
Unitholder for errors in judgment or other acts or omissions not amounting to
misconduct or negligence, as a consequence of the indemnification and
exculpatory provisions described in the following paragraph. Purchasers of Units
may have more limited rights of action than they would absent such
provisions.
The Trust
Agreement provides that Campbell & Company and its controlling persons shall
not have any liability to the Trust or to any Unitholder for any loss suffered
by the Trust which arises out of any action or inaction if Campbell &
Company, in good faith, determined that such course of conduct was in the best
interests of the Trust and such course of conduct did not constitute negligence
or misconduct of Campbell & Company. The Trust has agreed to indemnify
Campbell & Company and its controlling persons against claims, losses or
liabilities based on their conduct relating to the Trust, provided that the
conduct resulting in the claims, losses or liabilities for which indemnity is
sought did not constitute negligence or misconduct or breach of any fiduciary
obligation to the Trust and was done in good faith and in a manner which
Campbell & Company, in good faith, determined to be in the best interests of
the Trust. Controlling persons of Campbell & Company are entitled to
indemnity only for losses resulting from claims against such controlling persons
due solely to their relationship with Campbell & Company or for losses
incurred in performing the duties of Campbell & Company. See Article 17 of
the Trust Agreement, included as Exhibit A to this prospectus.
33
The Trust
will not indemnify Campbell & Company or its controlling persons for any
liability arising from securities law violations in connection with the offering
of the Units, unless Campbell & Company or its controlling persons prevails
on the merits or obtains a court approved settlement (in accordance with Article
17 of the Trust Agreement). The position of the SEC is that any such
indemnification is contrary to the federal securities laws and therefore
unenforceable.
CHARGES
TO THE TRUST
The
following list of fees and expenses includes all compensation, fees, profits and
other benefits (including reimbursement of out-of-pocket expenses) which
Campbell & Company, the selling agents, the futures broker, the
over-the-counter counterparty and the affiliates of those parties may earn or
receive in connection with the offering and operation of the Trust. Prospective
investors should refer to the Summary for an estimate of the break-even amount
that is required for an investor to recoup such fees and expenses, or break-even
in the first year of trading.
While
currently not contemplated, the Trust Agreement allows for changes to be made to
the brokerage fee and performance fee upon sixty days' notice to the
Unitholders.
Brokerage
Fee
The Trust
pays a single asset-based fee for all brokerage and management services. The fee
is equal to up to 3.5% per annum of month-end net assets of the Trust, prior to
accruals for such brokerage fee or performance fees.
From such
3.5% brokerage fee, the Trust pays an asset based fee of 2.85% to Campbell &
Company and up to 0.65% to the futures broker and the over-the-counter
counterparty for execution and clearing costs. The amount of the fee to be paid
to the futures broker and the over-the-counter counterparty is evaluated from
time to time based on the amount of trading for the Trust that the broker is
required to clear, but at no time will the amount exceed 0.65% of Trust net
assets per annum.
From the
2.85% Campbell & Company will retain 2.5% as management fees (2.0% for
providing advisory services and 0.5% for acting as managing owner) and remit
0.35% to the selling agents for ongoing administrative services provided to the
Unitholders.
Up
to 0.65% to futures broker and over-the-counter counterparty
0.35% to selling agents |
||||||
Trust
|
®
|
Up
to 3.5%
Brokerage
Fee
|
®
|
Campbell
&
Company
|
®
|
2.0%
to Campbell & Company (as trading advisor)
|
0.5%
to Campbell & Company (as managing
owner)
|
Other
Trust Expenses
The Trust
also will be subject to the following fees and expenses.
Recipient
|
Nature of Payment
|
Amount of Payment
|
||
Campbell
& Company
|
Quarterly
Performance Fee
|
20%
of cumulative appreciation in net asset value per Unit, excluding interest
income, after deduction for brokerage and all other
fees.
|
||
Reimbursement
of Organization and Offering Expenses
|
As
incurred; to be reimbursed, up to a maximum of 0.9% of net assets per
annum.
|
|||
Dealers
|
"Bid-Ask"
spreads
|
Indeterminable
because embedded in price of forward and option
contracts.
|
||
Cash
Manager and Custodian
|
Cash
management and custodial fees
|
0.10%
annualized fee based on the percentage of the principal amount of assets
under management.
|
||
Others
|
Legal,
accounting, printing, postage and administrative costs
|
|
As
incurred, up to a maximum of 0.4% of average month-end net assets per
annum.
|
34
The above
fees, together with the brokerage fee, are the complete compensation that will
be received by Campbell & Company or its affiliates from the
Trust.
Campbell
& Company, Inc.
Brokerage
Fee
The Trust
pays a brokerage fee up to 3.5% per annum. Campbell & Company receives a
brokerage fee of up to 2.85% per annum as described earlier.
Performance
Fee
Campbell
& Company receives a quarterly performance fee equal to 20% of the new
appreciation (if any) in the net asset value of the Units. See "Distributions
and Redemptions - Net Asset Value" on page 40 for a definition of net asset
value. "New appreciation" means the total increase in Unit value from the
commencement of trading, minus the total increase in Unit value for all prior
quarters since the last fee was paid (or inception of trading, if no performance
fee has been paid previously), multiplied by the number of Units outstanding.
The performance fee is paid only on profits attributable to Units outstanding,
and no fee is paid with respect to interest income. Because the performance fee
is accrued monthly, Units that are redeemed other than at the end of the quarter
will effectively pay a performance fee, if accrued, as of the end of the month
in which the redemption occurs.
If a
performance fee payment is made by the Trust, and the Trust thereafter incurs a
net loss, Campbell & Company will retain the amount previously paid. Thus,
Campbell & Company may be paid a performance fee during a year in which the
Trust overall incurred net losses. Trading losses will be carried forward and no
further performance fees may be paid until the prior losses have been
recovered.
Below is
a sample calculation of how the performance fee is determined:
Assume
the Trust paid a performance fee at the end of the first quarter of 2010 and
assume that the Trust recognized trading profits (net of all brokerage fees and
operating and offering expenses) of $200,000 during the second quarter of 2010.
The new appreciation for the quarter (before interest earned) would be $200,000
and Campbell & Company's performance fee would be $40,000 (0.2 x
$200,000).
Alternatively,
assume that the Trust paid a performance fee at the end of the first quarter of
2010 but did not pay a performance fee at the end of the second quarter of 2010
because it had trading losses of $100,000. If the Trust recognized trading
profits of $200,000 at the end of the third quarter of 2010, the new
appreciation (before interest earned) for the quarter would be $100,000
($200,000 — $100,000 loss carryforward) and Campbell & Company's performance
fee would be $20,000 (0.2 x $100,000). Please note that this simplified example
assumes that no Unitholders have added or redeemed Units during this sample time
frame. Such capital changes require that the calculation be determined on a "per
Unit" basis.
If the
net asset value per Unit at the time when a particular investor acquires Units
is lower than the net asset value per Unit as of the end of the most recent
prior calendar quarter for which a performance fee was payable (due to losses
incurred between such quarter-end and the subscription date), such Units might
experience a substantial increase in value after the subscription date yet pay
no performance fee as of the next calendar quarter-end because the Trust as a
whole has not experienced new appreciation.
If a
performance fee accrual is in effect at the time when particular Units are
purchased (due to gains achieved prior to the applicable subscription day), the
net asset value per Unit reflects such accrual. In the event the net asset value
of the Trust declines after the subscription date, the incentive fee accrual is
"reversed" and such reversal is credited to all Units equally, including the
Units which were purchased at a net asset value per Unit which fully reflected
such accrual.
The
brokerage fee and performance fee may be increased upon sixty days' notice to
the Unitholders, as long as the notice explains Unitholders' redemption and
voting rights.
The
Futures Broker
As
described earlier, the futures broker receives up to 0.65% per annum of the net
assets of the Trust (which includes payments to the over-the-counter
counterparty as referenced below). The futures broker is responsible for all
trading transactional costs, such as pit brokerage, exchange and NFA fees,
"give-up" and transfer fees. The compensation to the futures broker, equal to
approximately $6 per round-turn trade per contract, is competitive with rates
paid by other trading funds having assets and a structure similar to the Trust.
The compensation to be paid to the futures broker will not exceed the guidelines
established by the North American Securities Administrators Association, Inc.
("NASAA").
The
Over-the-Counter Counterparty
The Trust
trades currency forward and option contracts. Such contracts are traded among
dealers which act as "principals" or counterparties to each trade. The execution
costs are included in the price of the forward and option contract purchased or
sold, and, accordingly, such costs cannot be determined. Campbell & Company
believes the bid-ask spreads for forward and option contract trades, which
incorporate these execution costs, are at the prevailing market prices. In
addition, the over-the-counter counterparty charges approximately $4 per $1
million, plus any additional electronic platform charges, in prime brokerage
fees for forward and option contracts they facilitate on behalf of the Trust
with third party banks. These prime brokerage fees, combined with the futures
broker's charges, will not exceed the 0.65% per annum of the net assets of the
Trust as referenced under "The Futures Broker" above.
35
The
Cash Manager and Custodian
The Trust
pays Wilmington Trust Investment Management LLC (“Wilmington”) and Northern
Trust Company a combined annualized fee equal to approximately 0.10% per annum
of the funds managed by Wilmington based on the percentage of the principal
amount of the Trust’s assets under management by Wilmington, computed and
accrued on the average daily market value maintained in the Northern Trust
Company custodial account by the Trust. In the event the asset size of the
funds, not required for margin purposes, is inadequate to provide a positive
cost benefit outcome to the Trust, the managing operator may elect to not use
the cash manager and related custodian account. Wilmington and Northern Trust
Company are not affiliated with Campbell & Company. The Trust may engage
other firms which are unaffiliated with Campbell & Company from time to time
to provide cash management and custodial services. Such services would be
provided pursuant to similar terms and fees as those that apply to Wilmington
and Northern Trust Company. The Trust may also terminate all types of cash
management services at any time. See “THE CASH MANAGER AND
CUSTODIAN”.
The
Selling Agents
The
selling agents (the firm and not the individual representatives) receive from
Campbell & Company (and not the Trust) a selling agent administrative fee of
0.35% of the Trust's net assets per annum for legal, administrative, client
reporting and ongoing services.
Organization
and Offering Expenses
Organization
and offering expenses include all fees and expenses incurred in connection with
the formation of the Trust and 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 (and wholesalers) which are paid by the
Trust and will be advanced by Campbell & Company. Subject to the limit
described below, Campbell & Company will be reimbursed, without interest, by
the Trust. In no event shall the reimbursement exceed 0.9% of net assets per
annum. In the event the Trust terminates prior to completion of the
reimbursement of actual costs incurred, the managing owner will not be entitled
to receive additional reimbursement and the Trust will have no obligation to
make further reimbursement payments to the managing owner.
The Trust
is required by certain state securities administrators to disclose that the
"organization and offering expenses" of the Trust, as defined by the NASAA
Guidelines, will not exceed 15% of the total subscriptions accepted. Campbell
& Company, and not the Trust, shall be responsible for any expenses in
excess of such limitation. Since Campbell & Company has agreed to limit its
reimbursement of such expenses to 0.9% of net assets per annum, the NASAA
Guidelines limit of 15% of total subscriptions (even when added to the selling
agent administrative fee) will not be reached.
Other
Expenses
The Trust
bears its operating expenses, including, but not limited, to administrative,
legal and accounting fees, and any taxes or extraordinary expenses payable by
the Trust up to a maximum of 0.4% of the Trust's net assets per annum. Campbell
& Company will be responsible for any such expenses during any year of
operations which exceed 0.4% of the Trust's net assets per annum. For the period
ended April 30, 2010 and the years ended December 31, 2009 and 2008, operating
expenses were 0.34% (annualized), 0.23% and 0.25%, respectively, of the Trust’s
average month-end net assets per annum. Indirect expenses in connection with the
administration of the Trust, such as indirect salaries, rent, travel and
overhead of Campbell & Company, may not be charged to the
Trust.
Investments
Made by the Campbell & Company, Inc. 401(k) Plan
A portion
of the above-mentioned charges to the Trust are rebated, in the form of
additional Units, to the Campbell & Company, Inc. 401(k) Plan for
investments made on behalf of the Plan. The Plan will receive a monthly rebate
equal to 2.85% of the up to 3.5% brokerage fee, as well as a rebate of the 20%
performance fee and the 0.9% organization and offering costs. Thus, these Units
will only pay up to the 0.65% which is payable to the futures broker and the
over-the-counter counterparty. Unitholders not in the Plan will not be assessed
any increased costs above what they would have been charged had the Plan
Unitholders paid the organization and offering costs. The rebates discussed in
this paragraph represent the total amount of fees and costs that would otherwise
be paid to Campbell & Company.
36
USE
OF PROCEEDS
Approximately
10% to 30% of the Trust's assets normally are committed as required margin for
futures contracts and held by the futures broker, 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 broker pursuant to the
Commodity Exchange Act and regulations thereunder. Approximately 10% to 30% of
the Trust's assets are deposited with Deutsche Bank AG London in order to
initiate and maintain currency forward and option 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
trading advisor deposits those assets of the Trust that are not required to be
deposited as margin with the futures broker and over-the-counter counterparty 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 70% to 80% of the Trust’s assets and is
invested, directly by Wilmington. Wilmington is registered with the Securities
and Exchange Commission as an investment adviser under the Investment Advisers
Act of 1940. Wilmington does not guarantee any interest or profits will accrue
on the Trust’s assets in the custodial account. Wilmington will invest according
to agreed upon investment guidelines that are consistent with those investments
allowed by the futures broker as defined under Title 17, Part 1, § 1.25
Investment of customer funds. Investments can include, but is not limited to,
(i) U.S. Government Securities, Government Agency Securities, Municipal
Securities, banker acceptances and certificates of deposits; (ii) commercial
paper; and (iii) corporate debt. If the managing operator elects not to use the
cash manager and related custodian, these assets will instead be invested in
cash equivalents such as U.S. Treasury bills and held by the futures broker or
the over-the-counter counterparties.
The
Trust's assets are not and will not be, directly or indirectly, commingled with
the property of any other person by Campbell & Company nor invested with or
loaned to Campbell & Company or any affiliated entities. Subscription 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 or custodial account.
THE
FUTURES BROKER
UBS
Securities LLC (“UBS Securities”) principal business address is 677 Washington
Boulevard, Stamford, CT 06901. UBS Securities is a futures clearing broker for
the Trust. UBS Securities is registered in the U.S. with the Financial Industry
Regulatory Authority (“FINRA”) as a Broker-Dealer and with the CFTC as a Futures
Commission Merchant. UBS Securities is a member of various US futures and
securities exchanges.
Like most
securities firms, UBS is and has been a defendant in numerous legal proceedings,
including actions brought by regulatory organizations and government agencies,
relating to its securities and commodities business that allege various
violations of federal and state securities laws. UBS AG, the ultimate parent
company to UBS Securities LLC, files annual reports and quarterly reports to the
SEC in which it discloses material information about UBS matters, including
information about any material litigation or regulatory investigations. Actions
with respect to UBS Securities’ futures commission merchant business are
publicly available on the website of the National Futures Association
(http://www.nfa.futures.org/).
On June
27, 2007, the Securities Division of the Secretary of the Commonwealth of
Massachusetts (“Massachusetts Securities Division”) filed an administrative
complaint (the “Complaint”) and notice of adjudicatory proceeding against UBS
Securities LLC, captioned In The Matter of UBS Securities, LLC, Docket No.
E-2007-0049, which alleged that UBS Securities violated the Massachusetts
Uniform Securities Act (the “Act”) and related regulations by providing the
advisers for certain hedge funds with gifts and gratuities in the form of below
market office rents, personal loans with below market interest rates, event
tickets, and other perks, in order to induce those hedge fund advisers to
increase or retain their level of prime brokerage fees paid to UBS Securities.
The Complaint seeks a cease and desist order from conduct that violates the Act
and regulations, to censure UBS Securities, to require UBS Securities to pay an
administrative fine of an unspecified amount, and to find as fact the
allegations of the Complaint. The matter is still pending.
In the
summer of 2008, the Massachusetts Securities Division, Texas State Securities
Board, and the New York Attorney General all brought actions against UBS and UBS
Financial Services, Inc. (“UBS Financial”), alleging violations of various state
law anti-fraud provisions in connection with the marketing and sale of auction
rate securities.
On August
8, 2008, UBS Securities and UBS Financial reached agreements in principle with
the SEC, NYAG, the Massachusetts Securities Division and other state regulatory
agencies represented by the North American Securities Administrators Association
(“NASAA”) to restore liquidity to all remaining client’s holdings of auction
rate securities by June 30, 2012. On October 2, 2008, UBS Securities and UBS
Financial entered into a final consent agreement with the Massachusetts
Securities Division settling all allegations in the Massachusetts Securities
Division’s administrative proceeding against UBS Securities and UBS Financial
with regards to the auction rate securities matter. On December 11, 2008, UBS
Securities and UBS Financial executed an Assurance of Discontinuance in the
auction rate securities settlement with the NYAG. On the same day, UBS
Securities and UBS Financial finalized settlements with the SEC. UBS paid
penalties of $75M to NYAG and an additional $75M to be apportioned among the
participating NASAA states. In March 2010, UBS and NASAA agreed on final
settlement terms, pursuant to which, UBS agreed to provide client liquidity up
to an additional $200 million.
37
On August
14, 2008 the New Hampshire Bureau of Securities Regulation filed an
administrative action against UBS Securities relating to a student loan issuer,
the New Hampshire Higher Education Loan Corp. (NHHELCO). The complaint alleges
fraudulent and unethical conduct in violation of New Hampshire state statutes.
On April 14, 2010, UBS entered into a Consent Order resolving all of the
Bureau’s claims. UBS paid $750,000 to the Bureau for all costs associated with
the Bureau’s investigation. UBS entered a separate civil settlement with NHHELCO
and provided a total financial benefit of $20M to NHHELCO.
On April
29, 2010, the CFTC issued an order with respect to UBS Securities LLC and levied
a fine of $200,000. The Order stated that on February 6, 2009, UBS Securities’
employee broker aided and abetted UBS Securities’ customer’s concealment of
material facts from the New York Mercantile Exchange (“NYMEX”) in violation of
Section 9(a)(4) of the CEA, 7 U.S.C. § 13(a)(4) (2006). Pursuant to NYMEX Rules,
a block trade must be reported to NYMEX “within five minutes of the time of
execution” consistent with the requirements of NYMEX Rule 6.21C(A)(6). Although
the block trade in question was executed earlier in the day, UBS Securities’
employee broker aided and abetted its customer’s concealment of facts when, in
response to the customer’s request to delay reporting the trade until after the
close of trading, UBS Securities’ employee did not report the trade until after
the close. Because the employee broker undertook his actions within the scope of
his employment, pursuant to Section 2(a)(1)(B) of the CEA, 7 U.S.C. § 2(a)(1)(B)
(2006), and Commission Regulation 1.2, 17 C.F.R. § 1.2 (2009), UBS Securities is
liable for the employee broker’s aiding and abetting of its customer violation
of Section 9(a)(4) of the CEA. The fine has been paid and the matter is now
closed.
UBS
Securities will act only as clearing broker for the Trust and as such will be
paid commissions for executing and clearing trades on behalf of the Trust. UBS
Securities has not passed upon the adequacy or accuracy of this prospectus. UBS
Securities neither will act in any supervisory capacity with respect to the
Trust nor participate in the management of Campbell & Company or the
Trust.
THE OVER-THE-COUNTER COUNTERPARTY
The Trust
trades foreign exchange and other forward and option contracts through "dealers"
in such contracts. The dealer that maintains the forward and option positions,
or acts as the counterparty, for the Trust is Deutsche Bank AG London. Unlike
futures contracts which are traded through brokers such as the futures broker,
foreign exchange or currency forward and option contracts are executed through a
network of dealers. Campbell & Company then instructs the executing dealer
to "give up" the trade to Deutsche Bank AG London. All assets and positions
relating to the Trust's forward and option contract investments will be held by
Deutsche Bank AG London.
Campbell
& Company is not obligated to continue to use the over-the-counter
counterparty identified above and may select others or additional dealers and
counterparties in the future, provided Campbell & Company believes that
their service and pricing are competitive and present minimal counterparty
credit risk.
THE
CASH MANAGER AND CUSTODIAN
The Trust
has appointed Wilmington Trust Investment Management LLC, a wholly owned
subsidiary of Wilmington Trust Corporation, as cash manager (the “Cash Manager”)
under the Non-Custody Investment Advisory Agreement dated July 8, 2009, to
manage and control the liquid assets of the Trust. The Cash Manager is organized
under the laws of the State of Georgia 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 Cash
Manager is based in Wilmington, Delaware and specializes in providing
short-term, fixed income investment management to institutional investors. As of
February 2010, the Cash Manager and its affiliates managed approximately $42.4
billion for clients on six continents, in all 50 states, and in 86 countries.
The Cash Manager structures customized portfolios by applying fundamental yield
curve and interest rate analysis to each client’s unique cash flow needs,
investment parameters and risk/return objectives. The Cash Manager specializes
in investments which are predominately short-term in maturity and high grade,
high quality in nature with particular emphasis on U.S. Treasury securities and
U.S. Government Agencies’ issues.
38
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
the investment guidelines created by the Trading Advisor to the Trust. Such
investments include, but are not limited to, U.S. Treasury securities,
securities issued by U.S. Government Agencies, high quality money-market
securities and repurchase agreements. 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 accounts at the custodian. The Cash Manager will have no
beneficial or other interest in the securities and cash in such custody
account.
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.
The Cash
Manager and its principals, employees, agents and affiliates will be indemnified
out of the assets of the Trust for all losses, costs, damages, expenses
(including attorneys’ fees) incurred in the performance of its duties except for
loss resulting from its gross negligence, malfeasance or a violation of
applicable law. In the event the asset size of the funds, not required for
margin purposes, is inadequate to provide a positive cost benefit outcome to the
Trust, the managing operator may elect to not use the cash manager and related
custodian account.
CAPITALIZATION
The Trust
was formed on May 3, 2000. The following table shows the capitalization of the
Trust as of May 1, 2010 and as adjusted for the sale of the maximum amount of
Units registered.
As Adjusted
|
||||||||
Outstanding
|
for Sale of
|
|||||||
as of
|
Maximum
|
|||||||
Title of Class
|
May 1, 2010
|
Amount(1)(2)
|
||||||
Units
of Managing Owner Interest
|
1,413.580 | 1,458.647 | ||||||
Units
of Other Unit-holder Interest
|
17,125.527 | 144,406.015 | ||||||
Total
Unitholder Interest
|
$ | 28,322,061 | $ | 222,836,038 |
(See
accompanying notes)
(1)
|
This
calculation assumes that the sale of all Units is made during the
continuing offering at the May 1, 2010 net asset value per Unit of
1,527.69. The maximum amount will vary depending on the Unit value and
number of Units sold during the continuing
offering.
|
(2)
|
To
organize the Trust, Campbell & Company purchased two Units of Managing
Owner interest for $2,000. Campbell & Company has agreed to make
capital contributions to the Trust equal to at least 1% of the net
aggregate capital contributions of all Unitholders. As of May 1, 2010,
Campbell & Company owned 1,413.580 Units of Managing Owner
interest.
|
DISTRIBUTIONS
AND REDEMPTIONS
Distributions
Campbell
& Company is not required to make any distributions to Unitholders. However,
Campbell & Company does have the authority to make such distributions, and
reserves the right to do so at any time in its sole discretion. Campbell &
Company is not under any obligation to make pro rata distributions to its other
accounts under management if it makes distributions to the Trust. The amount and
timing of future distributions is uncertain. Because of the potential volatility
of the futures, forward and option contract markets, especially in the
short-term, the Trust is recommended for those seeking a medium- to long-term
investment (i.e., 3-5
years).
If the
Trust realizes profits for any fiscal year, such profits will constitute taxable
income to the Unitholders in accordance with their respective investments in the
Trust whether or not cash or other property has been distributed to Unitholders.
Any distributions, if made, may be inadequate to cover such taxes payable by the
Unitholders.
Redemptions
A
Unitholder may request any or all of his Units be redeemed by the Trust at the
net asset value of a Unit as of the end of the month. Unitholders must transmit
a written request of such withdrawal to Campbell & Company not less than ten
(10) business days prior to the end of the month (or such shorter period as
permitted by Campbell & Company) as of which redemption is to be
effective.
The
Request for Redemption must specify the number of Units for which redemption is
sought. Redemptions will generally be paid within 20 business days after the
date of redemption. However, in special circumstances, including, but not
limited to, inability to liquidate dealers' positions as of a redemption date or
default or delay in payments due to the Trust from futures brokers, banks or
other persons or entities, the Trust may in turn delay payment to persons
requesting redemption of Units of the proportionate part of the net assets of
the Trust represented by the sums that are the subject of such default or delay.
Unitholders will be notified in the event a request for redemption cannot be
honored. No such delays have been imposed to date by any pool sponsored by
Campbell & Company.
39
Net
Asset Value
The net
asset value of a Unit as of any date is the Unitholder's share of the sum of all
cash, plus Treasury bills valued at cost plus accrued interest, and other
securities valued at market, plus the market value of all open futures, forward
and option positions maintained by the Trust, less all liabilities of the Trust
and accrued performance fees, determined in accordance with the principles
specified in the Trust Agreement. Where no principle is specified in the Trust
Agreement, the net asset value is calculated in accordance with accounting
principles generally accepted in the United States of America under the accrual
basis of accounting. Thus, if the net asset value of a Unit for purposes of
redemption is determined as of a month-end which is not the end of a quarter,
any performance fees payable to Campbell & Company will be determined and
charged to such Unit as though such month-end were the end of the quarter and
such performance fees will be paid to Campbell & Company.
DECLARATION
OF TRUST & TRUST AGREEMENT
The
following is a summary of the Fourth Amended and Restated Declaration of Trust
and Trust Agreement, a form of which is attached as Exhibit A and incorporated
by reference.
Organization
and Limited Liability
The Trust
was organized under the Delaware Business Trust Act, which was amended as of
September 1, 2002 to the Delaware Statutory Trust Act ("DSTA"). In general, a
Unitholder's liability under DSTA is limited to the amount of his capital
contribution and his share of any undistributed profits. However, Unitholders
could be required, as a matter of bankruptcy law, to return to the Trust's
estate any distribution which they received at a time when the Trust was in fact
insolvent or made in violation of the Declaration of Trust.
Management
of Trust Affairs
The Trust
Agreement effectively gives Campbell & Company, as managing owner, full
control over the management of the Trust and gives no management role to the
Unitholders. To facilitate matters for Campbell & Company, the Unitholders
must execute the attached Subscription Agreement and Power of Attorney (Exhibit
D).
The
Trustee
U.S. Bank
Trust National Association (On September 5, 2006, U.S. Bank Trust National
Association fully assumed the rights, claims and obligations of Trustee, and
agreed to perform the services and functions of the Trustee under the governing
instruments for the Accounts of Delaware Trust Company, National Association,
formerly known as Wachovia Trust Company, National Association), a national
banking association, is the sole trustee of the Trust. The trustee's principal
offices are located at 300 Delaware Avenue, 9th Floor,
Wilmington, Delaware 19801, telephone number (302) 576-3700.
The
trustee is not affiliated with Campbell & Company or the selling agents. The
trustee's duties and liabilities with respect to the offering of the Units and
the administration of the Trust are limited to its express obligations under the
Declaration of Trust. See "Exhibit A — Fourth Amended and Restated Declaration
of Trust and Trust Agreement."
The
rights and duties of the trustee, Campbell & Company and the Unitholders are
governed by the provisions of the DSTA and by the Trust Agreement. See "Exhibit
A — Fourth Amended and Restated Declaration of Trust and Trust
Agreement."
The
trustee serves as the Trust's sole trustee in the State of Delaware. The trustee
will accept service of legal process on the Trust in the State of Delaware and
will make certain filings under the DSTA. The trustee does not owe any other
duties to the Trust, Campbell & Company or the Unitholders. The trustee is
permitted to resign upon at least sixty (60) days' notice to the Trust,
provided, that any such resignation, generally, will not be effective until a
successor trustee is appointed by Campbell & Company. The Declaration of
Trust provides that the trustee is compensated by the Trust, and is indemnified
by Campbell & Company against any expenses it incurs relating to or arising
out of the formation, operation or termination of the Trust or the performance
of its duties pursuant to the Trust Agreement, except to the extent that such
expenses result from the gross negligence or willful misconduct of the trustee.
Campbell & Company has the discretion to replace the trustee.
Only
Campbell & Company has signed the Registration Statement of which this
prospectus is a part, and only the assets of the Trust and Campbell &
Company are subject to issuer liability under the federal securities laws for
the information contained in this prospectus and under federal and state laws
with respect to the issuance and sale of the Units. Under such laws, neither the
trustee, either in its capacity as trustee or in its individual capacity, nor
any director, officer or controlling person of the trustee is, or has any
liability as, the issuer or a director, officer or controlling person of the
issuer of the Units. The trustee's liability in connection with the issuance and
sale of the Units is limited solely to the express obligations of the trustee
set forth in the Trust Agreement.
40
Under the
Trust Agreement, the trustee has delegated to Campbell & Company the
exclusive management and control of all aspects of the business of the Trust.
The trustee will have no duty or liability to supervise or monitor the
performance of Campbell & Company, nor will the trustee have any liability
for the acts or omissions of Campbell & Company. In addition, Campbell &
Company has been designated as the "tax matters partner" of the Trust for
purposes of the Internal Revenue Code of 1986, as amended (the "Code"). The
Unitholders have no voice in the operations of the Trust, other than certain
limited voting rights as set forth in the Trust Agreement. In the course of its
management, Campbell & Company may, in its sole and absolute discretion,
appoint an affiliate or affiliates of Campbell & Company as additional
managing owners (except where Campbell & Company has been notified by the
Unitholders that it is to be replaced as the managing owner) and retain such
persons, including affiliates of Campbell & Company, as it deems necessary
for the efficient operation of the Trust.
Because
the trustee has delegated substantially all of its authority over the operation
of the Trust to Campbell & Company, the trustee itself is not registered in
any capacity with the CFTC.
Sharing
of Profits and Losses
Trust
Accounting
Each
Unitholder has a capital account. Initially, the Unitholder's balance equals the
amount paid for the Units. The Unitholder's balance is then proportionally
adjusted monthly to reflect his portion of the Trust's gains or losses for the
month.
Federal
Tax Allocations
At
year-end, the Trust will determine the total taxable income or loss for the
year. Subject to the special allocation of net capital gain or loss to redeeming
Unitholders, the taxable gain or loss is allocated to each Unitholder in
proportion to his capital account and each Unitholder is responsible for his
share of taxable income. See Article 8 of the Trust Agreement, and "Federal
Income Tax Aspects."
For net
capital gain and loss, the gains and losses are first allocated to each
Unitholder who redeemed Units during the year. The remaining net capital gain or
loss is then allocated to each Unitholder in proportion to his capital
account.
Each
Unitholder's tax basis in his Units is increased by the taxable income allocated
to him and reduced by any distributions received and losses allocated to
him.
Upon the
Trust's liquidation, each Unitholder will receive his proportionate share of the
assets of the Trust.
Dispositions
A
Unitholder may transfer or assign his Units in the Trust upon 30 days' prior
written notice to Campbell & Company and subject to approval by Campbell
& Company of the assignee. Campbell & Company will provide consent when
it is satisfied that the transfer complies with applicable laws, and further
would not result in the termination of the Trust for federal income tax
purposes. An assignee not admitted to the Trust as a Unitholder will have only
limited rights to share the profits and capital of the Trust and a limited
redemption right.
Assignees
receive "carry-over" tax basis accounts and capital accounts from their
assignors, irrespective of the amount paid for the assigned Units.
Campbell
& Company does not intend to permit purchase transfers.
Dissolution
and Termination of the Trust
The Trust
will be terminated and dissolved upon the happening of the earlier
of:
|
1)
|
the
expiration of the Trust's stated term on December 31,
2030;
|
|
2)
|
Unitholders
owning more than 50% of the outstanding Units vote to dissolve the
Trust;
|
|
3)
|
Campbell
& Company withdraws, dissolves or is declared insolvent, or any other
event that causes Campbell & Company to cease to be the Trust’s
managing owner unless (i) at the time of such event there is at least one
remaining managing owner of the Trust who carries on the business of the
Trust (and each remaining managing owner of the Trust is hereby authorized
to carry on the business of the Trust in such event), or (ii) within one
hundred twenty (120) days after such event Unitholders holding a majority
of Units agree in writing to continue the business of the Trust and to the
appointment, effective as of the date of such event, of one or more
managing owners of the Trust;
|
|
4)
|
a
decline in the aggregate net assets of the Trust to less than
$500,000;
|
|
5)
|
the
continued existence of the Trust becomes unlawful;
or
|
|
6)
|
the
Trust is dissolved by operation of
law.
|
41
Amendments
and Meetings
The Trust
Agreement may be amended by Campbell & Company if Unitholders owning more
than 50% of the outstanding Units concur. Campbell & Company may make minor
changes to the Trust Agreement without the approval of the Unitholders. These
minor changes can be for clarifications of inaccuracies or ambiguities,
modifications in response to changes in tax code or regulations or any other
changes the managing owner deems advisable so long as they do not change the
basic investment policy or structure of the Trust.
Unitholders
owning at least 10% of the outstanding Units can call a meeting of the Trust. At
that meeting, the Unitholders, provided that Unitholders owning a majority of
the outstanding Units concur, can vote to:
|
1)
|
amend
the Trust Agreement without the consent of Campbell &
Company;
|
|
2)
|
dissolve
the Trust;
|
|
3)
|
terminate
contracts with Campbell &
Company;
|
|
4)
|
remove
and replace Campbell & Company as managing owner;
and
|
|
5)
|
approve
the sale of Trust assets.
|
Indemnification
The Trust
has agreed to indemnify Campbell & Company, as managing owner, for actions
taken on behalf of the Trust, provided that Campbell & Company's conduct was
in the best interests of the Trust and the conduct was not the result of
negligence or misconduct. Indemnification by the Trust for alleged violation of
securities laws is only available if the following conditions are
satisfied:
|
1)
|
a
successful adjudication on the merits of each count alleged has been
obtained, or
|
|
2)
|
such
claims have been dismissed with prejudice on the merits by a court of
competent jurisdiction; or
|
|
3)
|
a
court of competent jurisdiction approves a settlement of the claims and
finds indemnification of the settlement and related costs should be made;
and
|
|
4)
|
in
the case of 3), the court has been advised of the position of the SEC and
certain states in which the Units were offered and sold as to
indemnification for the violations.
|
Insofar
as indemnification for liabilities arising under the Securities Act of 1933 may
be permitted to directors, officers or persons controlling the Trust pursuant to
the foregoing provisions, the Trust has been informed that in the opinion of the
Securities and Exchange Commission such indemnification is against public policy
as expressed in the Securities Act of 1933 and is therefore
unenforceable.
Reports
to Unitholders
The
Unitholders shall have access to and the right to copy the Trust's books and
records. A Unitholder may obtain a list of all Unitholders together with the
number of Units owned by each Unitholder, provided such request is not for
commercial purposes.
Campbell
& Company will provide various reports and statements to the Unitholders
including:
|
1)
|
monthly,
Campbell & Company will provide an unaudited income statement and a
statement of changes in net asset value of the prior month's
activities;
|
|
2)
|
annually,
Campbell & Company will provide audited financial statements
accompanied by a fiscal year-end summary of the monthly reports described
above;
|
|
3)
|
annually,
Campbell & Company will provide tax information necessary for the
preparation of the Unitholders' annual federal income tax returns;
and
|
|
4)
|
if
the 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.
|
FEDERAL
INCOME TAX ASPECTS
The
following discussion has been prepared by Sidley Austin LLP, tax counsel to
Campbell & Company, and summarizes the material federal income tax
consequences to United States persons who are tax-exempt investors in the Trust.
Sidley Austin LLP's opinion is filed as an exhibit to the registration statement
related to the Units offered hereby. A complete discussion of all U.S. federal,
state, local or foreign aspects of an investment in the Trust is beyond the
scope of this summary, and prospective investors are advised to consult their
tax advisors as to their particular circumstances.
42
The
Trust's Partnership Tax Status
The Trust
is classified as a partnership and will not be considered a publicly traded
partnership taxable as a corporation for federal income tax purposes based on
the types of income it is expected to earn. Therefore the Trust will not be
subject to any federal income tax. The Trust’s taxable year is the calendar year
and it prepares its partnership tax return using the accrual method of
accounting.
Unrelated
Business Taxable Income
The
Trust’s income from its investments in futures contracts, options and forward
contracts and its interest income is expected to be exempt from the tax imposed
on unrelated business taxable income, and the Trust does not expect that any of
its income will be debt-financed income within the meaning of such rules.
Accordingly, tax-exempt Unitholders, including the Campbell & Company 401
(k) Plan, will not be required to pay federal income tax on their share of
income or gains of the Trust, provided that such Unitholders do not purchase
Units with borrowed funds.
IRS
Audits of the Trust and its Unitholders
If the
Trust is audited, the IRS audits Trust-related items at the Trust level rather
than at the Unitholder level. Campbell & Company acts as "tax matters
partner" with the authority to determine the Trust's responses to an audit. If
an audit results in an adjustment, all Unitholders may be required to pay
additional taxes, interest and penalties.
PROSPECTIVE
INVESTORS ARE URGED TO CONSULT THEIR OWN TAX ADVISERS BEFORE DECIDING WHETHER TO
INVEST.
INVESTMENT
BY ERISA ACCOUNTS
General
This
section sets forth certain consequences under the Employee Retirement Income
Security Act of 1974, as amended ("ERISA"), and the Code, which a fiduciary of
an "employee benefit plan" as defined in, and subject to the fiduciary
responsibility provisions of, ERISA, or of a "plan," as defined in, and subject
to Section 4975 of the Code, who has investment discretion should consider
before deciding to invest the plan's assets in the Trust (such "employee benefit
plans" and "plans" being referred to herein as "Plans," and such fiduciaries
with investment discretion being referred to herein as "Plan Fiduciaries"). The
following summary is not intended to be complete, but only to address certain
questions under ERISA and the Code which are likely to be raised by the Plan
Fiduciary’s own counsel.
In
general, the terms “employee benefit plan” as defined in ERISA and “plan” as
defined in Section 4975 of the Code together refer to any plan or account of
various types which provides retirement benefits or welfare benefits to an
individual or to an employer’s employees and their beneficiaries. Such plans and
accounts include, but are not limited to, corporate pension and
profit-sharing plans, “simplified employee pension plans,” Keogh plans for
self-employed individuals (including partners), individual retirement accounts
described in Section 408 of the Code and medical benefit plans.
Special
Investment Consideration
Each Plan
Fiduciary must give appropriate consideration to the facts and circumstances
that are relevant to an investment in the Trust, including the role that an
investment in the Trust plays or would play in the Plan's overall investment
portfolio. Each Plan Fiduciary, before deciding to invest in the Trust, must be
satisfied that such investment is prudent for the Plan, that the investments of
the Plan, including in the Trust, are diversified so as to minimize the risk of
large losses and that an investment in the Trust complies with the terms of the
Plan and related trust.
EACH PLAN
FIDUCIARY CONSIDERING ACQUIRING UNITS MUST CONSULT ITS OWN LEGAL AND TAX
ADVISERS BEFORE DOING SO.
The
Trust Should Not Be Deemed to Hold "Plan Assets"
ERISA and
a regulation issued thereunder contain rules for determining when an investment
by a Plan in an equity interest of an entity will result in the underlying
assets of the entity being assets of the Plan for purposes of ERISA and Section
4975 of the Code (i.e.,
"plan assets"). Those rules provide in pertinent part that assets of an entity
will not be plan assets of a Plan which purchases an equity interest in the
entity if the equity interest purchased is a "publicly-offered security" (the
"Publicly-Offered Security Exception"). If the underlying assets of an entity
are considered to be assets of any Plan for purposes of ERISA or Section 4975 of
the Code, the operations of such entity would be subject to and, in
some
cases,
limited by, the provisions of ERISA and Section 4975 of the Code.
The
Publicly-Offered Security Exception applies if the equity is a security that
is:
|
1)
|
"freely
transferable" (determined based on the relevant facts and
circumstances);
|
|
2)
|
part
of a class of securities that is "widely held" (meaning that the class of
securities is owned by 100 or more investors independent of the issuer and
of each other); and
|
43
|
3)
|
either
(a) part of a class of securities registered under Section 12(b) or 12(g)
of the Securities Exchange Act of 1934, or (b) sold to the Plan as part of
a public offering pursuant to an effective registration
statement under the Securities Act of 1933 and the class of which such
security is a part is registered under the Securities Exchange Act of 1934
within 120 days (or such later time as may be allowed by the SEC) after
the end of the fiscal year of the issuer in which the offering of such
security occurred.
|
With respect to 2) above, it
should be noted that a class of securities will not fail to be "widely held"
solely because subsequent to the initial offering the number of independent
investors falls below 100 as a result of events beyond the control of the
Trust.
It
appears that all of the conditions described above will be satisfied with
respect to the Units and, therefore, the Units should constitute
"publicly-offered securities" and the underlying assets of the Trust should not
be considered to constitute assets of any Plan which purchases
Units.
Ineligible
Purchasers
In
general, Units may not be purchased with the assets of a Plan if Campbell &
Company, the trustee, the futures broker, the over-the-counter counterparty, the
Cash Manager, the Custodian, PNC Financial Services Group, Inc., the Escrow
Agent, any wholesaler, any selling agent, any of their respective affiliates or
any of their respective employees either:
|
1)
|
has
investment discretion with respect to the investment of such plan assets;
or
|
|
2)
|
has
authority or responsibility to give or regularly gives investment advice
with respect to such plan assets, for a fee, and pursuant to an agreement
or understanding that such advice will serve as a primary basis for
investment decisions with respect to such plan assets and that such advice
will be based on the particular investment needs of the Plan;
or
|
|
3)
|
is
an employer maintaining or contributing to such
Plan.
|
However,
in the case of the Units held by the Campbell & Company, Inc. 401(k) Plan,
all of the fees and costs that would otherwise be paid to Campbell & Company
by a Unitholder will be rebated in the form of additional shares, and therefore,
Units may be purchased with the assets of the Campbell & Company, Inc.
401(k) Plan,
subject to the requirements of ERISA and the considerations described in this
prospectus.
Except as
otherwise set forth, the foregoing statements regarding the consequences under
ERISA and the Code of an investment in the Trust are based on the provisions of
the Code and ERISA as currently in effect, and the existing administrative and
judicial interpretations thereunder. No assurance can be given that
administrative, judicial, or legislative changes will not occur that may make
the foregoing statements incorrect or incomplete.
NONE OF
CAMPBELL & COMPANY, THE FUTURES BROKER, THE OVER-THE-COUNTER COUNTERPARTY,
THE SELLING AGENTS OR ANY OTHER PARTY RELATED TO THE TRUST MAKE ANY
REPRESENTATION THAT THIS INVESTMENT MEETS THE RELEVANT LEGAL REQUIREMENTS WITH
RESPECT TO INVESTMENTS BY ANY PARTICULAR PLAN OR THAT THIS INVESTMENT IS
APPROPRIATE FOR ANY PARTICULAR PLAN. THE PERSON WITH INVESTMENT DISCRETION
SHOULD CONSULT WITH HIS OR HER ATTORNEY AND FINANCIAL ADVISERS AS TO THE
PROPRIETY OF AN INVESTMENT IN THE TRUST IN LIGHT OF THE CIRCUMSTANCES OF THE
PARTICULAR PLAN.
PLAN
OF DISTRIBUTION
Subscription
Procedure
The Trust
offers the Units during the continuing offering at the net asset value per Unit
as of each month-end closing date on which subscriptions are accepted, subject
to the next paragraph. Campbell & Company may suspend, limit or terminate
the continuing offering period at any time. Escrow balances will be credited
with interest at prevailing money market rates.
Units
were offered to the public until Campbell & Company terminated the
continuing offering to the public effective October 29, 2002. The current
offering is only available to the Campbell & Company, Inc. 401(k) Plan.
Subscriptions received during the continuing offering period can be accepted on
a monthly basis.
The
Trust's escrow account is currently maintained at Mercantile Safe Deposit &
Trust Company, Baltimore, Maryland (the "Escrow Agent"). A replacement Escrow
Agent may be appointed in respect of the Trust in the future solely at the
discretion of Campbell & Company. No fees or costs will be assessed on any
subscription while held in escrow, irrespective of whether the subscription is
accepted or subscription funds returned. The Escrow Agent will invest the
subscription funds in a money market account or in other authorized instruments
while held in escrow.
44
Campbell
& Company will purchase Units for investment purposes only and not with a
view toward resale. There is no limit on the number of Units that may be offered
by the Trust, provided, however, that all such Units must be registered with the
U.S. Securities and Exchange Commission prior to issuance.
Representations
and Warranties of Investors in the Subscription Agreement
Investors
are required to make representations and warranties in the Subscription
Agreement. The Trust's primary intention in requiring investors to make
representations and warranties is to ensure that only persons for whom an
investment is suitable invest in the Trust. The Trust is most likely to assert
representations and warranties if it has reason to believe that the related
investor may not be qualified to invest or remain invested in the Trust. The
representations and warranties made by investors in the Subscription Agreement
may be summarized as relating to:
1)
|
eligibility
of investors to invest in the Trust, including legal age, net worth and
annual income;
|
2)
|
representative
capacity of investors;
|
3)
|
information
provided by investors;
|
4)
|
information
received by investors; and
|
5)
|
investments
made on behalf of employee benefit
plans.
|
See the
Subscription Agreement and Power of Attorney attached as Exhibit D for further
details.
Investor
Suitability
There can
be no assurance that the Trust will achieve its objectives or avoid substantial
losses. An investment in the Trust is suitable only for a limited segment of the
risk portion of an investor's portfolio and no one should invest more in the
Trust than he can afford to lose. Campbell & Company acts as a commodity
pool operator and a commodity trading advisor in respect of various managed
futures investment products. The selling agent may or may not be authorized to
offer certain of such products, which may have materially different terms,
including
investment portfolios and objectives, fees, risks, conflicts of interest and
suitability requirements, from those of the Trust.
The
Selling Agents
The
selling agents — the broker-dealers who offered the Units — offered the Units on
a best efforts basis without any firm underwriting commitment. The selling
agents are bound by their respective Selling Agreements with the
Trust.
Selling
agents receive no commission from the proceeds of the offering. Instead, they
receive from Campbell & Company's brokerage fee 0.35% of the Trust's net
assets per annum for providing ongoing legal, administrative, client reporting
and other services.
The
aforesaid 0.35% brokerage fee will be paid to the selling agents (or their
assignees) which are registered as "futures commission merchants" or
"introducing brokers" (or obtain such registration prior to commencement of such
ongoing payments) in return for the services described above. Such selling
agents may pay all or a portion of such ongoing payments to account executives
who are also registered with the CFTC and have passed all applicable proficiency
requirements.
Selling
agents and registered representatives who are not registered with the CFTC as
described above may still receive the 0.35% brokerage fee, paid on the same
basis as described above, provided that the maximum compensation to be paid to
underwriters and related persons regardless of the source of payment, including,
but not limited to, wholesaling salaries, bonus or sales incentives, sales
commissions, expense reimbursements, and continuing compensation to non-duly
registered selling agents, will not exceed 10% of the initial gross proceeds of
such Units' initial sales price, plus an additional 0.5% for bona fide due diligence
fees.
Certain
employees of Campbell & Company have provided wholesaling services and
continue to receive compensation therefore.
Other
than as described above, Campbell & Company will pay no person any
commissions or other fees in connection with the solicitation of purchases for
Units.
Campbell
& Company will pay the Trust's offering expenses related to the continuing
offering and the Trust will reimburse Campbell & Company up to a maximum of
0.9% of net assets per annum. Organization and offering expenses related to the
initial offering are being reimbursed in the same manner. See "Charges to the
Trust — Organization and Offering Expenses."
In the
Selling Agreement with each selling agent, Campbell & Company has agreed to
indemnify the selling agents against certain liabilities that the selling agents
may incur in connection with the offering and sale of the Units, including
liabilities under the Securities Act of 1933.
UNITHOLDER
PRIVACY NOTICE
The Trust
and Campbell & Company believe that investors are entitled to the best they
can offer – and that includes the right to feel comfortable about the non-public
personal information investors share with the Trust and Campbell &
Company.
45
In the
normal course of business, investors give the Trust and Campbell & Company
non-public personal information. The Trust and Campbell & Company use
this information to manage each investor’s account, direct transactions and
provide each investor with valuable information. The Trust and Campbell &
Company may collect this information through forms, interviews, transaction
history of an investor’s account, or third parties. The information includes
each investor’s name, address, telephone number, social security number or tax
identification number, transactional and financial information, as well as other
non-public personal information the Trust and Campbell & Company may need to
service an investor’s account. The Trust and Campbell & Company
maintain physical, electronic, and procedural safeguards that comply with
federal standards to protect confidentiality.
Neither
the Trust nor Campbell & Company provides customer names and addresses, or
other non-public information, to outside firms, organizations or individuals,
except as necessary to service investor accounts or as permitted by law. For
example, in the course of regular business, the Trust may share relevant
information with service providers that support the Trust and Campbell &
Company in servicing investor accounts. These companies may use this information
only for the services for which they are hired, and are not permitted to use or
share this information for any other purpose.
The Trust
and Campbell & Company require service providers to the Trust to maintain
policies and procedures designed to assure that access to non-public personal
information about investors is restricted to employees who need to know that
information in order to provide products or services to those investors, and
that the use of such information is limited to the purposes for which it was
disclosed or as otherwise permitted by law. The Trust and Campbell & Company
also require that service providers maintain strict physical, electronic and
procedural safeguards designed to protect the personal information of investors
that comply with federal standards.
The Trust
and Campbell & Company will continue to adhere to the privacy policies and
practices described in this policy with respect to information about former
investors who have redeemed their interest in the Trust.
LEGAL
MATTERS
Sidley
Austin LLP, New York, New York will advise Campbell & Company on all legal
matters in connection with the Units. In doing so, Sidley Austin LLP will rely
as to matters of Delaware law upon the opinion of Richards, Layton & Finger,
P.A., Wilmington, Delaware. Sidley Austin LLP may also advise Campbell &
Company (and its affiliates) with respect to its responsibilities as managing
owner and trading advisor of, and with respect to, matters relating to the
Trust. The statements under "Federal Income Tax Aspects" have been reviewed by
Sidley Austin LLP. Sidley Austin LLP has not represented, nor will it represent,
either the Trust or the Unitholders in matters relating to the Trust and no
other counsel has been engaged to act on their behalf. Certain opinions of
counsel have been filed with the SEC as exhibits to the Registration Statement
of which this Prospectus is a part.
EXPERTS
The
financial statements of the Trust as of December 31, 2009 and 2008 and for
each of the three years in the period ended December 31, 2009 included in
the prospectus, have been audited by Deloitte & Touche LLP, an independent
registered public accounting firm, as stated in their report appearing herein.
Such financial statements have been so included in reliance upon the
report of such firm given upon their authority as
experts in auditing and accounting.
The
consolidated balance sheet of Campbell & Company as of December 31, 2009,
included in this prospectus, has been audited by Arthur F. Bell, Jr. &
Associates, L.L.C., independent auditors, as stated in their report appearing
herein, and has been so included in reliance upon such report given upon the
authority of that firm as experts in auditing and accounting.
UNAUDITED FINANCIAL INFORMATION
The
financial statements of the Trust as of March 31, 2010 and for the three month
period ended March 31, 2010 and 2009 are unaudited. In the opinion of Campbell
& Company, such unaudited statements reflect all adjustments which were of a
normal and recurring nature, necessary for a fair presentation of financial
position as of March 31, 2010.
The
consolidated balance sheet of Campbell & Company as of March 31, 2010 is
unaudited. In the opinion of Campbell & Company, such unaudited statement
reflects all adjustments which were of a normal and recurring nature, necessary
for a fair presentation of financial position as of March 31, 2010.
46
PROPRIETARY
PAST PERFORMANCE OF THE
CAMPBELL
ALTERNATIVE ASSET TRUST
January
2005 – April 2010
PAST
PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Name of Pool:
Campbell Alternative Asset Trust
Type of Pool:
Publicly Offered
Inception of
Trading: October 1, 2001
Trading Portfolio
Used: Financial, Metal & Energy Large
Aggregate Gross
Capital Subscriptions to the Trust: $55,486,023
Current Net Asset
Value of the Trust: $28,322,061
Worst Monthly
Percentage Draw-down(2): July 2007 / 10.48%
Worst
Peak-to-Valley Draw-down(3): June 2007-January 2010 / 25.76%
Rate
of Return1
|
||||||||||||||||||||||||
(Computed
on a compounded monthly basis)
|
||||||||||||||||||||||||
Month
|
2010
YTD
|
2009
|
2008
|
2007
|
2006
|
2005
|
||||||||||||||||||
January
|
-7.10 | % | 0.22 | % | -0.03 | % | 2.58 | % | 2.05 | % | -2.13 | % | ||||||||||||
February
|
1.59 | % | 1.07 | % | 1.68 | % | -5.36 | % | -1.18 | % | -0.87 | % | ||||||||||||
March
|
2.44 | % | -2.05 | % | -0.08 | % | -2.99 | % | 3.85 | % | 0.07 | % | ||||||||||||
April
|
2.77 | % | -4.41 | % | -2.32 | % | 2.25 | % | -2.50 | % | 0.50 | % | ||||||||||||
May
|
-0.58 | % | 2.07 | % | 5.81 | % | -2.46 | % | 5.28 | % | ||||||||||||||
June
|
-2.15 | % | 5.70 | % | 4.00 | % | -0.38 | % | 6.50 | % | ||||||||||||||
July
|
0.42 | % | -1.10 | % | -10.48 | % | 0.07 | % | 1.17 | % | ||||||||||||||
August
|
-0.98 | % | -1.37 | % | -6.22 | % | -0.20 | % | -5.31 | % | ||||||||||||||
September
|
3.87 | % | -1.36 | % | 2.11 | % | -2.65 | % | 3.91 | % | ||||||||||||||
October
|
-1.37 | % | -0.91 | % | 5.83 | % | 1.91 | % | 3.83 | % | ||||||||||||||
November
|
3.73 | % | -1.07 | % | -6.10 | % | 0.98 | % | 2.05 | % | ||||||||||||||
December
|
-3.36 | % | 0.80 | % | -2.15 | % | 8.08 | % | -2.33 | % | ||||||||||||||
-0.64 | % | -5.78 | % | 1.77 | % | -11.67 | % | 7.30 | % | 12.69 | % | |||||||||||||
Total
|
(4
months)
|
(1)
|
"Rate of Return" for a
month is calculated by dividing the net profit or loss by the assets at
the beginning of such month. Additions and withdrawals occurring during
the month are included as an addition to or deduction from beginning net
assets in the calculations of rates of
return.
|
(2)
|
"Worst Monthly Percentage
Draw-down" is the largest monthly loss experienced by the Trust on
a composite basis in any calendar month expressed as a percentage of the
total equity in the Trust and includes the month and year of such
draw-down.
|
(3)
|
"Worst Peak-to-Valley
Draw-down" is the largest cumulative loss experienced by the Trust
on a composite basis in any consecutive monthly period on a compounded
basis and includes the time frame of such
draw-down.
|
47
INDEX
TO FINANCIAL STATEMENTS
Page
|
|
CAMPBELL
ALTERNATIVE ASSET TRUST
|
|
CONDENSED
SCHEDULE OF INVESTMENTS
March
31, 2010 (Unaudited)
|
49
|
CONDENSED
SCHEDULE OF INVESTMENTS
December
31, 2009
|
51
|
STATEMENTS
OF FINANCIAL CONDITION
March
31, 2010 (Unaudited) and December 31, 2009
|
53
|
STATEMENTS
OF OPERATIONS
For
the Three Months Ended March 31, 2010 and 2009
(Unaudited)..
|
54
|
STATEMENTS
OF CASH FLOWS
For
the Three Months Ended March 31, 2010 and 2009 (Unaudited)
|
55
|
STATEMENTS
OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE)
For
the Three Months Ended March 31, 2010 and 2009 (Unaudited)
|
56
|
FINANCIAL
HIGHLIGHTS
For
the for the Three Months Ended March 31, 2010 and 2009
(Unaudited)
|
57
|
NOTES
TO FINANCIAL STATEMENTS (Unaudited)
|
58
|
REPORT
OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
|
64
|
CONDENSED
SCHEDULE OF INVESTMENTS
December
31, 2009
|
65
|
CONDENSED
SCHEDULES OF INVESTMENTS
December
31, 2008
|
68
|
STATEMENTS
OF FINANCIAL CONDITION
December
31, 2009 and 2008
|
70
|
STATEMENTS
OF OPERATIONS
For
the Years Ended December 31, 2009, 2008 and 2007
|
71
|
STATEMENTS
OF CASH FLOWS
For
the Years Ended December 31, 2009, 2008 and 2007
|
72
|
STATEMENTS
OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE)
For
the Years Ended December 31, 2009, 2008 and 2007
|
73
|
FINANCIAL
HIGHLIGHTS
For
the Years Ended December 31, 2009, 2008 and 2007
|
74
|
NOTES
TO FINANCIAL STATEMENTS
|
75
|
CAMPBELL
& COMPANY, INC.
|
|
CONSOLIDATED
BALANCE SHEET
March
31, 2010 (Unaudited)
|
83
|
NOTES
TO CONSOLIDATED BALANCE SHEET (Unaudited)
|
84
|
INDEPENDENT
AUDITOR’S REPORT
|
102
|
CONSOLIDATED
BALANCE SHEET
December
31, 2009
|
103
|
NOTES
TO CONSOLIDATED BALANCE SHEET
|
104
|
Schedules
are omitted for the reason that they are not required or are not applicable or
that equivalent information has been included in the financial statements or
notes thereto.
48
CAMPBELL ALTERNATIVE
ASSET TRUST
CONDENSED SCHEDULE OF
INVESTMENTS
MARCH 31, 2010
(Unaudited)
FIXED INCOME
SECURITIES
Maturity
|
% of Net
|
||||||||||
Face Value
|
Description
|
Values ($)
|
Asset Value
|
||||||||
Bank Deposits
|
|||||||||||
Australia
|
|||||||||||
Financials
(cost $900,000) |
$ | 899,892 | 3.20 | % | |||||||
|
|||||||||||
Canada
|
|||||||||||
Financials
(cost $900,000) |
$ | 900,288 | 3.20 | % | |||||||
|
|||||||||||
Netherlands
|
|||||||||||
Financials
(cost $1,000,051) |
$ | 1,000,000 | 3.56 | % | |||||||
|
|||||||||||
Total Bank Deposits
(cost $2,800,051) |
$ | 2,800,180 | 9.96 | % | |||||||
|
|||||||||||
|
|||||||||||
Commercial Paper
|
|||||||||||
United States
|
|||||||||||
Consumer
Discretionary
|
$ | 3,009,496 | 10.71 | % | |||||||
Consumer
Staples
|
$ | 2,523,645 | 8.98 | % | |||||||
Industrials
|
$ | 398,021 | 1.42 | % | |||||||
Municipal
|
$ | 4,106,184 | 14.61 | % | |||||||
Utilities
|
$ | 999,907 | 3.56 | % | |||||||
|
|||||||||||
Total United States
(cost $11,035,845)
|
$ | 11,037,253 | 39.28 | % | |||||||
|
|||||||||||
|
|||||||||||
Corporate Bonds
|
|||||||||||
United States
|
|||||||||||
Financials
(cost $2,476,768) |
$ | 2,478,522 | 8.82 | % | |||||||
|
|||||||||||
Government And Agency
Obligations
|
|||||||||||
United States
|
|||||||||||
US Government
Agency
|
|||||||||||
Federal National
Mortgage Association
|
|||||||||||
$ | 1,000,000 |
Due 05/27/2011
|
$ | 1,000,170 | 3.56 | % | |||||
Federal National
Mortgage Association
|
|||||||||||
$ | 1,000,000 |
Due 09/20/2010
|
$ | 998,853 | 3.55 | % | |||||
US Government
Agency
|
$ | 1,789,817 | 6.37 | % | |||||||
US Treasury
Bill
|
|||||||||||
U.S. Treasury Bills
*
|
|||||||||||
$ | 5,000,000 |
Due 04/01/2010
|
$ | 5,000,000 | 17.79 | % | |||||
U.S. Treasury Bills
*
|
|||||||||||
$ | 2,100,000 |
Due 04/22/2010
|
$ | 2,099,871 | 7.47 | % | |||||
|
|||||||||||
Total United States
(cost $10,888,711)
|
$ | 10,888,711 | 38.74 | % | |||||||
|
|||||||||||
|
|||||||||||
Short Term Investment Funds
|
|||||||||||
United States
|
|||||||||||
Short Term Investment
Funds
(cost $2,509) |
$ | 2,509 | 0.01 | % | |||||||
|
|||||||||||
Total Fixed Income
Securities
(cost $27,203,884) |
$ | 27,207,175 | 96.81 | % | |||||||
|
LONG FUTURES
CONTRACTS
% of Net
|
||||||||
Description |
Values ($)
|
Asset Value
|
||||||
Agriculture
|
$ | (799 | ) | 0.00 | % | |||
Energy
|
$ | 109,993 | 0.39 | % | ||||
Metals
|
$ | 217,946 | 0.78 | % | ||||
Stock indices
|
$ | 228,983 | 0.81 | % | ||||
Short-term interest
rates
|
$ | 78,091 | 0.28 | % | ||||
Long-term interest
rates
|
$ | (95,865 | ) | (0.34 | )% | |||
|
||||||||
Total long futures
contracts
|
$ | 538,349 | 1.92 | % | ||||
|
See Accompanying Notes to Financial
Statements.
49
CAMPBELL ALTERNATIVE
ASSET TRUST
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31, 2010 (Unaudited)
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31, 2010 (Unaudited)
SHORT FUTURES
CONTRACTS
% of Net
|
||||||||
Description
|
Values ($)
|
Asset Value
|
||||||
Agriculture
|
$ | 56,114 | 0.20 | % | ||||
Energy
|
$ | 18,720 | 0.07 | % | ||||
Metals
|
$ | (36,165 | ) | (0.13 | )% | |||
Stock indices
|
$ | (3,947 | ) | (0.01 | )% | |||
Short-term interest
rates
|
$ | 7,642 | 0.03 | % | ||||
Long-term interest
rates
|
$ | 53,870 | 0.19 | % | ||||
|
||||||||
Total short futures
contracts
|
$ | 96,234 | 0.35 | % | ||||
|
||||||||
|
||||||||
Total futures
contracts
|
$ | 634,583 | 2.27 | % | ||||
|
FORWARD CURRENCY
CONTRACTS
% of Net
|
||||||||
Description
|
Values ($)
|
Asset Value
|
||||||
Various long forward
currency contracts
|
$ | 64,209 | 0.23 | % | ||||
Various short forward
currency contracts
|
$ | (27,757 | ) | (0.10 | )% | |||
|
||||||||
Total forward currency
contracts
|
$ | 36,452 | 0.13 | % | ||||
|
PURCHASED OPTIONS ON FORWARD CURRENCY
CONTRACTS
% of Net
|
||||||||
Description |
Values ($)
|
Asset Value
|
||||||
Purchased options on
forward currency contracts (premiums paid — $59,002)
|
$ | 50,808 | 0.18 | % | ||||
|
WRITTEN OPTIONS ON FORWARD CURRENCY
CONTRACTS
% of Net
|
||||||||
Description |
Values ($)
|
Asset Value
|
||||||
Written options on
forward currency contracts (premiums received — $21,917)
|
$ | (16,173 | ) | (0.06 | )% | |||
|
* | Pledged as collateral for the trading of futures, forward and option positions. |
See Accompanying Notes to Financial
Statements.
50
CAMPBELL ALTERNATIVE
ASSET TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009
FIXED INCOME
SECURITIES
Maturity
|
% of Net
|
||||||||||
Face Value
|
Description
|
Values ($)
|
Asset Value
|
||||||||
Bank Deposits
|
|||||||||||
United States
|
|||||||||||
Financials
(cost $1,100,000) |
$ | 1,100,627 | 3.79 | % | |||||||
|
|||||||||||
Commercial
Paper
|
|||||||||||
Germany
|
|||||||||||
Materials
(cost $588,603) |
$ | 588,850 | 2.03 | % | |||||||
|
|||||||||||
Netherlands
|
|||||||||||
Consumer Discretionary
(cost $827,966) |
$ | 827,971 | 2.85 | % | |||||||
|
|||||||||||
United States
|
|||||||||||
Consumer
Discretionary
|
$ | 2,048,923 | 7.06 | % | |||||||
Consumer
Staples
|
$ | 1,523,579 | 5.25 | % | |||||||
Energy
|
$ | 924,969 | 3.19 | % | |||||||
Financials
|
$ | 1,708,792 | 5.89 | % | |||||||
Industrials
|
|||||||||||
Avery Dennison
Corporation
|
|||||||||||
$ | 2,290,000 |
Due 01/04/2010
|
$ | 2,289,921 | 7.90 | % | |||||
Municipal
|
$ | 6,549,496 | 22.58 | % | |||||||
Telecommunications
|
$ | 382,987 | 1.32 | % | |||||||
|
|||||||||||
Total United States
(cost $15,424,662)
|
$ | 15,428,667 | 53.19 | % | |||||||
|
|||||||||||
|
|||||||||||
Total Commercial Paper
(cost $16,841,231) |
$ | 16,845,488 | 58.07 | % | |||||||
|
|||||||||||
|
|||||||||||
Corporate Bonds
|
|||||||||||
United States
|
|||||||||||
Financials
(cost $1,395,877) |
$ | 1,397,647 | 4.82 | % | |||||||
|
|||||||||||
Government And Agency
Obligations
|
|||||||||||
United States
|
|||||||||||
US Government
Agency
|
$ | 4,249,147 | 14.65 | % | |||||||
US Treasury
Bill
|
|||||||||||
U.S. Treasury Bills
*
|
|||||||||||
$ | 5,000,000 |
Due 04/01/2010
|
$ | 4,999,431 | 17.24 | % | |||||
U.S. Treasury Bills
*
|
|||||||||||
$ | 1,650,000 |
Due 03/25/2010
|
$ | 1,649,753 | 5.69 | % | |||||
|
|||||||||||
Total United States
(cost $10,896,184)
|
$ | 10,898,331 | 37.58 | % | |||||||
|
|||||||||||
|
|||||||||||
Short Term Investment
Funds
|
|||||||||||
United States
|
|||||||||||
Short Term Investment
Funds
(cost $34,246) |
$ | 34,246 | 0.12 | % | |||||||
|
|||||||||||
Total Fixed Income
Securities
(cost $30,267,538) |
$ | 30,276,339 | 104.38 | % | |||||||
|
LONG FUTURES
CONTRACTS
% of Net
|
||||||||
Description |
Values ($)
|
Asset Value
|
||||||
Agriculture
|
$ | (3,889 | ) | (0.01 | )% | |||
Energy
|
$ | 18,479 | 0.06 | % | ||||
Long-term interest
rates
|
$ | (252,217 | ) | (0.87 | )% | |||
Metals
|
$ | 163,924 | 0.57 | % | ||||
Short-term interest
rates
|
$ | (100,836 | ) | (0.35 | )% | |||
Stock indices
|
$ | 213,758 | 0.74 | % | ||||
|
||||||||
Total long futures
contracts
|
$ | 39,219 | 0.14 | % | ||||
|
See
Accompanying Notes to Financial Statements.
51
CAMPBELL ALTERNATIVE ASSET
TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009
SHORT FUTURES
CONTRACTS
% of Net
|
||||||||
Description |
Values ($)
|
Asset Value
|
||||||
Agriculture
|
$ | 838 | 0.00 | % | ||||
Long-term interest
rates
|
$ | 11,956 | 0.04 | % | ||||
Metals
|
$ | (107,732 | ) | (0.37 | )% | |||
|
||||||||
Total short futures
contracts
|
$ | (94,938 | ) | (0.33 | )% | |||
|
||||||||
|
||||||||
Total futures
contracts
|
$ | (55,719 | ) | (0.19 | )% | |||
|
FORWARD CURRENCY
CONTRACTS
% of Net
|
||||||||
Description |
Values ($)
|
Asset Value
|
||||||
Various long forward
currency contracts
|
$ | (1,124,565 | ) | (3.88 | )% | |||
Various short forward
currency contracts
|
$ | 859,412 | 2.96 | % | ||||
|
||||||||
Total forward currency
contracts
|
$ | (265,153 | ) | (0.92 | )% | |||
|
PURCHASED OPTIONS ON FORWARD CURRENCY
CONTRACTS
% of Nete
|
||||||||
Description |
Values ($)
|
Asset Value
|
||||||
Purchased options on
forward currency contracts (premiums paid — $70,105)
|
$ | 70,935 | 0.24 | % | ||||
|
WRITTEN OPTIONS ON FORWARD CURRENCY
CONTRACTS
% of Net
|
||||||||
Description |
Values ($)
|
Asset Value
|
||||||
Written options on
forward currency contracts (premiums received — $21,883)
|
$ | (19,069 | ) | (0.07 | )% | |||
|
* | Pledged as collateral for the trading of futures, forward and option positions. |
See
Accompanying Notes to Financial Statements.
52
CAMPBELL
ALTERNATIVE ASSET TRUST
STATEMENTS
OF FINANCIAL CONDITION
March 31,
2010 (Unaudited) and December 31, 2009
March 31,
|
December 31,
|
|||||||
2010
|
2009
|
|||||||
ASSETS
|
||||||||
Equity in broker
trading accounts
|
||||||||
Cash
|
$ | 895,909 | $ | 695,155 | ||||
Fixed income securities
(cost $5,000,000 and $4,999,431, respectively)
|
5,000,000 | 4,999,431 | ||||||
Net unrealized gain
(loss) on open futures contracts
|
634,583 | (55,719 | ) | |||||
|
||||||||
Total equity in broker
trading accounts
|
6,530,492 | 5,638,867 | ||||||
Cash
|
293,051 | 279,164 | ||||||
Fixed income securities
(cost $22,202,807 and $25,268,107, respectively)
|
22,207,175 | 25,276,908 | ||||||
Options purchased, at
fair value (premiums paid — $59,002 and $70,105, respectively)
|
50,808 | 70,935 | ||||||
Net unrealized gain
(loss) on open forward currency contracts
|
36,452 | (265,153 | ) | |||||
Interest
receivable
|
3,874 | 7,530 | ||||||
Prepaid
expenses
|
666 | 1,218 | ||||||
|
||||||||
Total assets
|
$ | 29,122,518 | $ | 31,009,469 | ||||
|
||||||||
|
||||||||
LIABILITIES
|
||||||||
Accounts
payable
|
$ | 41,112 | $ | 31,880 | ||||
Brokerage fee
|
17,326 | 18,138 | ||||||
Options written, at
fair value (premiums received — $21,917 and $21,883,
respectively)
|
16,173 | 19,069 | ||||||
Accrued commissions and
other trading fees on open contracts
|
7,979 | 4,701 | ||||||
Offering costs
payable
|
5,471 | 5,727 | ||||||
Redemptions
payable
|
932,172 | 1,927,892 | ||||||
|
||||||||
Total
liabilities
|
1,020,233 | 2,007,407 | ||||||
|
||||||||
|
||||||||
UNITHOLDERS’ CAPITAL (Net Asset
Value)
|
||||||||
Managing Owner -
1,413.580 redeemable units outstanding at March 31, 2010 and
December 31, 2009
|
2,101,216 | 2,173,492 | ||||||
Other Unitholders -
17,492.114 and 17,448.570 redeemable units outstanding at March 31,
2010 and December 31, 2009
|
26,001,069 | 26,828,570 | ||||||
|
||||||||
Total unitholders’
capital (Net Asset Value)
|
28,102,285 | 29,002,062 | ||||||
|
||||||||
|
||||||||
Total liabilities and
unitholders’ capital (Net Asset Value)
|
$ | 29,122,518 | $ | 31,009,469 | ||||
|
See Accompanying Notes to Financial
Statements.
53
CAMPBELL ALTERNATIVE ASSET
TRUST
STATEMENTS OF OPERATIONS
For the Three Months Ended March 31, 2010 and 2009
(Unaudited)
STATEMENTS OF OPERATIONS
For the Three Months Ended March 31, 2010 and 2009
(Unaudited)
Three Months March Ended 31,
|
||||||||
2010
|
2009
|
|||||||
TRADING GAINS
(LOSSES)
|
||||||||
Futures trading gains
(losses)
|
||||||||
Realized
|
$ | (1,150,240 | ) | $ | 51,616 | |||
Change in
unrealized
|
690,302 | (113,516 | ) | |||||
Brokerage
commissions
|
(19,695 | ) | (12,848 | ) | ||||
|
||||||||
Net gain
(loss) from futures trading
|
(479,633 | ) | (74,748 | ) | ||||
|
||||||||
Forward currency and
options on forward currency trading gains (losses)
|
||||||||
Realized
|
(479,481 | ) | 379,810 | |||||
Change in
unrealized
|
295,511 | (229,095 | ) | |||||
Brokerage
commissions
|
(1,840 | ) | (824 | ) | ||||
|
||||||||
Net gain
(loss) from forward currency and options on forward currency
trading
|
(185,810 | ) | 149,891 | |||||
|
||||||||
Total net trading gain
(loss)
|
(665,443 | ) | 75,143 | |||||
|
||||||||
NET INVESTMENT INCOME
(LOSS)
|
||||||||
Investment
income
|
||||||||
Interest
income
|
22,113 | 2,478 | ||||||
Realized gain
(loss) on fixed income securities
|
(858 | ) | 0 | |||||
Change in unrealized
gain (loss) on fixed income securities
|
(4,433 | ) | 0 | |||||
|
||||||||
Total investment
income
|
16,822 | 2,478 | ||||||
|
||||||||
Expenses
|
||||||||
Brokerage fee
|
199,626 | 259,579 | ||||||
Operating
expenses
|
23,847 | 25,206 | ||||||
|
||||||||
Total expenses
|
223,473 | 284,785 | ||||||
|
||||||||
Net investment income
(loss)
|
(206,651 | ) | (282,307 | ) | ||||
|
||||||||
NET INCOME
(LOSS)
|
$ | (872,094 | ) | $ | (207,164 | ) | ||
|
||||||||
|
||||||||
NET INCOME
(LOSS) PER MANAGING OWNER AND OTHER UNITHOLDERS UNIT (based on
weighted average number of units outstanding during the period)
|
$ | (45.45 | ) | $ | (9.33 | ) | ||
|
||||||||
|
||||||||
INCREASE
(DECREASE) IN NET ASSET VALUE PER MANAGING OWNER AND OTHER
UNITHOLDERS UNIT
|
$ | (51.13 | ) | $ | (12.84 | ) | ||
|
See
Accompanying Notes to Financial Statements.
54
CAMPBELL ALTERNATIVE
ASSET TRUST
STATEMENTS OF CASH FLOWS
STATEMENTS OF CASH FLOWS
For the Three Months Ended
March 31, 2010 and 2009
(Unaudited)
Three Months Ended
|
||||||||
March 31,
|
||||||||
2010
|
2009
|
|||||||
Cash flows from
(for) operating activities
|
||||||||
Net income
(loss)
|
$ | (872,094 | ) | $ | (207,164 | ) | ||
Adjustments to
reconcile net income (loss) to net cash from (for) operating
activities
|
||||||||
Net change in
unrealized
|
(981,380 | ) | 342,611 | |||||
(Increase) decrease in
restricted cash
|
0 | 1,180,793 | ||||||
(Increase) decrease in
option premiums paid
|
11,103 | (403 | ) | |||||
Increase
(decrease) in option premiums received
|
34 | (320 | ) | |||||
(Increase) decrease in
interest receivable
|
3,656 | 351 | ||||||
(Increase) decrease in
prepaid expenses
|
552 | 1,000 | ||||||
Increase
(decrease) in accounts payable and accrued expenses
|
11,698 | (16,966 | ) | |||||
Purchases of
investments in fixed income securities
|
(103,931,256 | ) | (35,999,155 | ) | ||||
Sales / maturities of
investments in fixed income securities
|
106,995,987 | 4,850,000 | ||||||
|
||||||||
|
||||||||
Net cash from
(for) operating activities
|
1,238,300 | (29,849,253 | ) | |||||
|
||||||||
|
||||||||
Cash flows from
(for) financing activities
|
||||||||
Addition of
units
|
1,093,142 | 883,085 | ||||||
Redemption of
units
|
(2,053,506 | ) | (857,347 | ) | ||||
Offering costs
paid
|
(63,295 | ) | (82,453 | ) | ||||
|
||||||||
Net cash from
(for) financing activities
|
(1,023,659 | ) | (56,715 | ) | ||||
|
||||||||
|
||||||||
Net increase
(decrease) in cash
|
214,641 | (29,905,968 | ) | |||||
Unrestricted
cash
|
||||||||
Beginning of
period
|
974,319 | 34,224,210 | ||||||
|
||||||||
End of period
|
$ | 1,188,960 | $ | 4,318,242 | ||||
|
||||||||
End of period cash
consists of:
|
||||||||
Cash in broker trading
accounts
|
$ | 895,909 | $ | 4,066,882 | ||||
Cash
|
293,051 | 251,360 | ||||||
|
||||||||
|
||||||||
Total end of period
cash
|
$ | 1,188,960 | $ | 4,318,242 | ||||
|
See Accompanying Notes to Financial
Statements.
55
CAMPBELL ALTERNATIVE ASSET
TRUST
STATEMENTS OF CHANGES IN
UNITHOLDERS’ CAPITAL (NET ASSET VALUE)
For the Three Months Ended
March 31, 2010 and 2009
(Unaudited)
Unitholders’ Capital
|
||||||||||||||||||||||||
Managing Owner
|
Other Unitholders
|
Total
|
||||||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
|||||||||||||||||||
Three Months Ended
March 31, 2010
|
||||||||||||||||||||||||
|
||||||||||||||||||||||||
Balances at
December 31, 2009
|
1,413.580 | $ | 2,173,492 | 17,448.570 | $ | 26,828,570 | 18,862.150 | $ | 29,002,062 | |||||||||||||||
|
||||||||||||||||||||||||
Net income
(loss) for the three months ended March 31, 2010
|
(67,633 | ) | (804,461 | ) | (872,094 | ) | ||||||||||||||||||
Additions
|
0.000 | 0 | 758.588 | 1,093,142 | 758.588 | 1,093,142 | ||||||||||||||||||
Redemptions
|
0.000 | 0 | (715.044 | ) | (1,057,786 | ) | (715.044 | ) | (1,057,786 | ) | ||||||||||||||
Offering costs
|
(4,643 | ) | (58,396 | ) | (63,039 | ) | ||||||||||||||||||
|
||||||||||||||||||||||||
Balances at
March 31, 2010
|
1,413.580 | $ | 2,101,216 | 17,492.114 | $ | 26,001,069 | 18,905.694 | $ | 28,102,285 | |||||||||||||||
|
||||||||||||||||||||||||
|
||||||||||||||||||||||||
Three Months Ended
March 31, 2009
|
||||||||||||||||||||||||
|
||||||||||||||||||||||||
Balances at
December 31, 2008
|
1,413.580 | $ | 2,306,948 | 20,544.542 | $ | 33,528,535 | 21,958.122 | $ | 35,835,483 | |||||||||||||||
|
||||||||||||||||||||||||
Net income
(loss) for the three months ended March 31, 2009
|
(12,931 | ) | (194,233 | ) | (207,164 | ) | ||||||||||||||||||
Additions
|
0.000 | 0 | 539.143 | 883,085 | 539.143 | 883,085 | ||||||||||||||||||
Redemptions
|
0.000 | 0 | (463.512 | ) | (753,578 | ) | (463.512 | ) | (753,578 | ) | ||||||||||||||
Offering costs
|
(5,219 | ) | (76,753 | ) | (81,972 | ) | ||||||||||||||||||
|
||||||||||||||||||||||||
Balances at
March 31, 2009
|
1,413.580 | $ | 2,288,798 | 20,620.173 | $ | 33,387,056 | 22,033.753 | $ | 35,675,854 | |||||||||||||||
|
Net Asset Value per Managing
Owner and Other Unitholders’ Unit
|
||||||
March 31, 2010
|
December 31, 2009
|
March 31, 2009
|
December 31, 2008
|
|||
$1,486.45
|
$1,537.58
|
$1,619.15
|
$1,631.99
|
|||
|
See
Accompanying Notes to Financial Statements.
56
CAMPBELL ALTERNATIVE ASSET
TRUST
FINANCIAL HIGHLIGHTS
For the Three Months Ended March 31, 2010 and 2009
(UNAUDITED)
FINANCIAL HIGHLIGHTS
For the Three Months Ended March 31, 2010 and 2009
(UNAUDITED)
The following information
presents per unit operating performance data and other supplemental financial
data for the three months ended March 31, 2010 and 2009. This information
has been derived from information presented in the financial
statements.
Three Months Ended
|
||||||||
March 31,
|
||||||||
2010
|
2009
|
|||||||
Per Unit
Performance
(for a unit outstanding throughout the entire period) |
||||||||
|
||||||||
Net asset value per
unit at beginning of period
|
$ | 1,537.58 | $ | 1,631.99 | ||||
|
||||||||
|
||||||||
Income (loss) from
operations:
|
||||||||
Total net trading gains
(losses) (1)
|
(37.07 | ) | 3.57 | |||||
Net investment income
(loss) (1)
|
(10.77 | ) | (12.72 | ) | ||||
|
||||||||
|
||||||||
Total net income
(loss) from operations
|
(47.84 | ) | (9.15 | ) | ||||
|
||||||||
|
||||||||
Offering costs
(1)
|
(3.29 | ) | (3.69 | ) | ||||
|
||||||||
|
||||||||
Net asset value per
unit at end of period
|
$ | 1,486.45 | $ | 1,619.15 | ||||
|
||||||||
|
||||||||
Total Return
(3)
|
(3.33 | )% | (0.79 | )% | ||||
|
||||||||
|
||||||||
Supplemental
Data
|
||||||||
|
||||||||
Ratios to average net asset
value:
|
||||||||
Expenses prior to
performance fee (4)
|
3.15 | % | 3.13 | % | ||||
Performance fee
(3)
|
0.00 | % | 0.00 | % | ||||
|
||||||||
|
||||||||
Total expenses
|
3.15 | % | 3.13 | % | ||||
|
||||||||
Net investment income
(loss) (2)(4)
|
(2.91 | )% | (3.11 | )% | ||||
|
Total returns are
calculated based on the change in value of a unit during the period. An
individual unitholders’s total returns and ratios may vary from the above total
returns and ratios based on the timing of additions and
redemptions.
(1) | Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. | |
(2) | Excludes performance fee. | |
(3) | Not annualized | |
(4) | Annualized |
See Accompanying Notes to Financial Statements.
57
CAMPBELL ALTERNATIVE ASSET
TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
Note 1. ORGANIZATION AND SUMMARY OF
SIGNIFICANT ACCOUNTING POLICIES
A. | General Description of the Trust | |
Campbell Alternative Asset Trust (the Trust) is a Delaware statutory trust which operates as a commodity investment pool. The Trust was formed on May 3, 2000 and commenced trading on October 1, 2001. The Trust engages in the speculative trading of futures contracts, forward currency contracts and options on forward currency contracts. | ||
As of December 31, 2002, units are no longer offered to the public, but are offered exclusively for sale to the Campbell & Company, Inc. 401(K) Plan (the 401(K) Plan). At March 31, 2010 and December 31, 2009, the 401(K) Plan held approximately 75% and 74% of the Trust’s outstanding units, respectively. | ||
B. | Regulation | |
As a registrant with the Securities and Exchange Commission, the Trust is subject to the regulatory requirements under the Securities Act of 1933 and the Securities Exchange Act of 1934. As a commodity investment pool, the Trust is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Trust executes transactions. Additionally, the Trust is subject to the requirements of futures commission merchants (brokers) and interbank market makers through which the Trust trades. | ||
C. | Method of Reporting | |
The Trust’s financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which may require the use of certain estimates made by the Trust’s management. Actual results may differ from these estimates. Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statement of financial condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 210-20, Offsetting — Balance Sheet, (formerly FAS No. 39 — “Offsetting of Amounts Related to Certain Contracts”). The fair 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 on the last business day of the reporting period. The fair value of forward currency (non-exchange traded) contracts was extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period. | ||
The fair value of option (non-exchange traded) contracts is calculated by applying an industry-standard adaptation of the Black-Scholes options valuation model to foreign currency options, using as input, the spot prices, interest rates and option implied volatilities quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period. Any change in net unrealized gain or loss from the preceding period is reported in the statement of operations. | ||
When the Trust writes an option, an amount equal to the premium received by the Trust is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current fair value of option written. Brokerage commissions include other trading fees and are charged to expense when contracts are opened. | ||
The fixed income investments, other than U.S. Treasury bills held at the brokers or interbank market makers, are marked-to-market on the last business day of the reporting period by a custodian who utilizes a third party vendor hierarchy of pricing providers who specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. U.S. Treasury bills not held by the custodian are stated at cost plus accrued interest, which approximates fair value. Premiums and discounts on debt securities are amortized for financial reporting purposes. | ||
For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value by the number of outstanding units. | ||
The Trust adopted the provisions of ASC 820, Fair Value Measurements and Disclosures (formerly FASB No. 157, “Fair Value Measurements”), as of January 1, 2008. ASC 820 provides guidance for determining fair value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||
ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). | ||
Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Trust has the ability to access at the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of the Trust’s exchange-traded futures contracts fall into this category. | ||
Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts and options on forward currency contracts that the Trust values using models or other valuation methodologies derived from observable market data. This category also includes fixed income investments. |
58
CAMPBELL ALTERNATIVE ASSET
TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
Level 3 inputs are unobservable inputs for an asset or liability (including the Fund’s own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of and for the period ended March 31, 2010, the Trust did not have any Level 3 assets or liabilities. | ||
In January 2010, the FASB issued Accounting Standards update No. 2010-06 (“ASU 2010-06”) for improving disclosure about fair value measurements. ASU 2010-06 adds new disclosure requirements about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. As of January 1, 2010, the Trust adopted the provisions of ASC 2010-06 except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years. | ||
The following tables set forth by level within the fair value hierarchy the Trust’s investments accounted for at fair value on a recurring basis as of March 31, 2010 and December 31, 2009. |
Fair Value at March 31, 2010
|
||||||||||||||||
Description |
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Fixed income
securities
|
$ | 0 | $ | 27,207,175 | $ | 0 | $ | 27,207,175 | ||||||||
Other Financial
Instruments
|
||||||||||||||||
Exchange-traded futures
contracts
|
634,583 | 0 | 0 | 634,583 | ||||||||||||
Forward currency
contracts
|
0 | 36,452 | 0 | 36,452 | ||||||||||||
Options
purchased
|
0 | 50,808 | 0 | 50,808 | ||||||||||||
Options
written
|
0 | (16,173 | ) | 0 | (16,173 | ) | ||||||||||
|
||||||||||||||||
Total
|
$ | 634,583 | $ | 27,278,262 | $ | 0 | $ | 27,912,845 | ||||||||
|
Fair Value at December 31, 2009
|
||||||||||||||||
Description |
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Fixed income
securities
|
$ | 0 | $ | 30,276,339 | $ | 0 | $ | 30,276,339 | ||||||||
Other Financial
Instruments
|
||||||||||||||||
Exchange-traded futures
contracts
|
(55,719 | ) | 0 | 0 | (55,719 | ) | ||||||||||
Forward currency
contracts
|
0 | (265,153 | ) | 0 | (265,153 | ) | ||||||||||
Options
purchased
|
0 | 70,935 | 0 | 70,935 | ||||||||||||
Options
written
|
0 | (19,069 | ) | 0 | (19,069 | ) | ||||||||||
|
||||||||||||||||
Total
|
$ | (55,719 | ) | $ | 30,063,052 | $ | 0 | $ | 30,007,333 | |||||||
|
D. | Income Taxes | |
The Trust prepares calendar year U.S. federal and applicable state information tax returns and reports to the unitholders their allocable shares of the Trust’s income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each unitholder is individually responsible for reporting income or loss based on such unitholder’s respective share of the Trust’s income and expenses as reported for income tax purposes. | ||
Management has continued to evaluate the application of ASC 740, Income Taxes (formerly FIN No. 48, “Accounting for Uncertainty in Income Taxes”) to the Trust, and has determined that no reserves for uncertain tax positions were required. The Trust files federal and state tax returns. The 2006 through 2009 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. |
59
CAMPBELL ALTERNATIVE ASSET
TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
E. | Offering Costs | |
Campbell & Company, Inc. (Campbell & Company) has incurred all costs in connection with the initial and continuous offering of units of the Trust (offering costs). Offering costs are charged to the Trust at a monthly rate of 1/12 of 0.9% (0.9% annualized) of the Trust’s month-end net asset value (as defined in the Amended and Restated Declaration of Trust and Trust Agreement) until such amounts are fully reimbursed. Such amounts are charged directly to unitholders’ capital. The Trust is only liable for payment of offering costs on a monthly basis. At March 31, 2010 and December 31, 2009, the Trust reflects a liability in the statement of financial condition for offering costs payable to Campbell & Company of $5,471 and $5,727, respectively. | ||
The offering costs for which Campbell & Company are being reimbursed relate to the offering of units of the Trust to all unitholders except the 401(K) Plan. Therefore, Campbell & Company rebates to the 401(K) Plan the offering costs charged to the 401(K) Plan. All such rebates are made by issuing additional units to the 401(K) Plan. | ||
If the Trust terminates prior to completion of payment to Campbell & Company for the unreimbursed offering costs incurred through the date of such termination, Campbell & Company will not be entitled to any additional payments, and the Trust will have no further obligation to Campbell & Company. At March 31, 2010 and December 31, 2009, the amount of unreimbursed offering costs incurred by Campbell & Company is $8,766 and $25,094, respectively. | ||
F. | Foreign Currency Transactions | |
The Trust’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the statement of financial condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income. | ||
G. | Reclassification | |
Certain prior period amounts in the Statement of Cash Flows were reclassified to conform to current period presentation. |
Note 2. MANAGING OWNER AND COMMODITY
TRADING ADVISOR
The managing owner of the Trust is Campbell & Company, which conducts and manages the business of the Trust. Campbell & Company is also the commodity trading advisor of the Trust. The Amended and Restated Declaration of Trust and Trust Agreement requires Campbell & Company to maintain a capital account equal to 1% of the total capital accounts of the Trust. Additionally, Campbell & Company is required by the Amended and Restated Declaration of Trust and Trust Agreement to maintain a net worth of not less than $1,000,000. | ||
The Trust pays a monthly brokerage fee of 1/12 of 2.85% (2.85% annualized) of month-end net assets to Campbell & Company and approximately $4 per round turn to the broker for execution and clearing costs. Such costs are limited to 3.5% of average month-end net assets per year. From the 2.85% fee, a portion (0.35%) is used to compensate selling agents for administrative services and a portion (2.5%) is retained by Campbell & Company for trading and management services rendered. | ||
Campbell & Company is also paid a performance fee equal to 20% of New Appreciation (as defined) calculated as of the end of each calendar quarter and upon redemption of units. More specifically, the performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a “High Water Mark”) adjusting for investment income. In determining the brokerage and performance fees, adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The brokerage fee and performance fee are typically paid in the month following the month in which they are earned. The brokerage fee and performance fee are paid from the available cash at the Trust’s bank, broker or cash management accounts. | ||
Campbell & Company rebates to the 401(K) Plan the brokerage fee and the performance fee applicable to the 401(K) Plan. All such rebates are made by issuing additional units to the 401(K) Plan. |
Note 3. TRUSTEE
The trustee of the Trust is U.S. Bank National Association, a national banking corporation. The trustee has delegated to the managing operator the duty and authority to manage the business and affairs of the Trust and has only nominal duties and liabilities with respect to the Trust. |
Note 4. CASH MANAGER AND
CUSTODIAN
The Trust has appointed Wilmington Trust Investment Management LLC, a wholly owned subsidiary of Wilmington Trust Corporation, as cash manager under the Non-Custody Investment Advisory Agreement dated July 8, 2009, to manage and control the liquid assets of the Trust. The cash manager 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 authority to make certain investments on behalf of the Trust provided such investments are consistent with the investment guidelines created by the managing operator. All securities purchased by the cash manager on behalf of the Trust will be held in its custody account at the custodian. The cash manager will have no beneficial or other interest in the securities and cash in such custody account. The cash manager began trading on behalf of the Trust in August 2009. |
60
CAMPBELL ALTERNATIVE ASSET
TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
Note 5. DEPOSITS WITH
BROKER
The
Trust deposits assets with a broker subject to Commodity Futures Trading
Commission regulations and various exchange and broker requirements. Margin
requirements are satisfied by the deposit of U.S. Treasury bills and cash with
such broker. The Trust typically earns interest income on its assets deposited
with the broker.
Note 6. OPERATING
EXPENSES
Operating expenses of the Trust are restricted by the Amended and
Restated Declaration of Trust and Trust Agreement to 0.40% per annum of the
average month-end Net Asset Value of the Trust.
Note 7. SUBSCRIPTIONS, DISTRIBUTIONS
AND REDEMPTIONS
Investments in the Trust are made by subscription agreement, subject
to acceptance by Campbell & Company.
The
Trust is not required to make distributions, but may do so at the sole
discretion of Campbell & Company. A unitholder may request and receive
redemption of units owned, subject to restrictions in the Declaration of Trust
and Trust Agreement. Units are transferable, but no market exists for their sale
and none is expected to develop. Monthly redemptions are permitted upon ten
(10) business days advance written notice to Campbell & Company.
Note 8. TRADING ACTIVITIES AND
RELATED RISKS
The
Trust engages in the speculative trading of U.S. and foreign futures contracts,
forward currency contracts and options on forward currency contracts
(collectively, “derivatives”). Specifically, the Fund trades a portfolio
primarily focused on financial futures, which are instruments designed to hedge
or speculate on changes in interest rates, currency exchange rates or stock
index values. A secondary emphasis is on metals, energy and agriculture values.
The Trust is exposed to both market risk, the risk arising from changes in the
fair value of the contracts, and credit risk, the risk of failure by another
party to perform according to the terms of a contract. The market sensitive
instruments held by the Trust 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.
Purchase and sale of futures contracts requires margin deposits with
the broker. Additional deposits may be necessary for any loss on contract value.
The Commodity Exchange Act requires a broker to segregate all customer
transactions and assets from such broker’s proprietary activities. A customer’s
cash and other property (for example, U.S. Treasury bills) deposited with a
broker are considered commingled with all other customer trusts subject to the
broker’s segregation requirements. In the event of a broker’s insolvency,
recovery may be limited to a pro rata share of segregated Trusts available. It
is possible that the recovered amount could be less than total cash and other
property deposited.
The
amount of required margin and good faith deposits with the broker and interbank
market makers usually range from 10% to 30% of Net Asset Value. The fair value
of securities held to satisfy such requirements at March 31, 2010 and
December 31, 2009 was $7,099,871 and $6,649,184, respectively, which equals
25% and 23% of Net Asset Value, respectively. The cash deposited with interbank
market makers at March 31, 2010 and December 31, 2009 was $184,901 and
$102,855, respectively, which equals 1% and 0% of Net Asset Value, respectively.
These amounts are included in cash and cash equivalents. There was no restricted
cash at March 31, 2010 or December 31, 2009.
The
Trust trades forward currency and options on forward currency contracts in
unregulated markets between principals and assumes the risk of loss from
counterparty nonperformance. Accordingly, the risks associated with forward
currency and options on foreign currency contracts are generally greater than
those associated with exchange traded contracts because of the greater risk of
counterparty default. Additionally, the trading of forward currency and options
on forward currency contracts typically involves delayed cash settlement.
The
Trust has a substantial portion of its assets on deposit with financial
institutions. In the event of a financial institution’s insolvency, recovery of
Trust assets on deposit may be limited to account insurance or other protection
afforded such deposits.
For
derivatives, risks arise from changes in the fair value of the contracts. Market
movements result in frequent changes in the fair value of the Trust’s open
positions and, consequently, in its earnings and cash flow. The Trust’s market
risk is influenced by a wide variety of factors, including the level and
volatility of exchange rates, interest rates, equity price levels, the fair
value of financial instruments and contracts, the diversification effects among
the Trust’s open positions and the liquidity of the markets in which it trades.
Theoretically, the Trust is exposed to a market risk equal to the notional
contract value of futures and forward currency contracts purchased and unlimited
liability on such contracts sold short. As both a buyer and seller of options,
the Trust pays or receives a premium at the outset and then bears the risk of
unfavorable changes in the price of the contract underlying the option. Written
options expose the Trust to potentially unlimited liability, and purchased
options expose the Trust to a risk of loss limited to the premiums paid. See
Note 1. C. for an explanation of how the Trust determines its valuation for
derivatives as well as the netting of derivatives.
61
CAMPBELL ALTERNATIVE ASSET
TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
The unrealized gain (loss) on open futures, forward currency and
options on forward currency contracts is comprised of the following:
Forward Currency and
|
||||||||||||||||
Options on Forward
|
||||||||||||||||
Futures Contracts
|
Currency Contracts
|
|||||||||||||||
(exchange traded)
|
(non-exchange traded)
|
|||||||||||||||
March 31, 2010
|
December 31, 2009
|
March 31, 2010
|
December 31, 2009
|
|||||||||||||
Gross unrealized
gains
|
$ | 862,753 | $ | 529,851 | $ | 940,584 | $ | 1,199,815 | ||||||||
Gross unrealized
losses
|
(228,169 | ) | (585,570 | ) | (906,586 | ) | (1,461,324 | ) | ||||||||
|
||||||||||||||||
Net unrealized gain
(loss)
|
$ | 634,584 | $ | (55,719 | ) | $ | 33,998 | $ | (261,509 | ) | ||||||
|
In March 2008, the FASB issued ASC 815, “Derivatives and
Hedging” (formerly SFAS No. 161, “Disclosures about Dervative instruments
and Hedging Activities”). ASC 815 provides enhanced disclosures about how and
why an entity uses derivative instruments, how derivative instruments are
accounted for, and how derivative instruments affect an entity’s financial
position, financial performance and cash flows. ASC 815 is effective for
financial statements issued for the Trust’s first fiscal year beginning after
November 15, 2008. The Trust adopted ASC 815 effective January 1,
2009.
The following tables summarize quantitative information required by
ASC 815.
The fair value of the Trust’s derivatives by instrument type, as well
as the location of those instruments on the Statement of Financial Condition, as
of March 31, 2010 and December 31, 2009 is as follows:
Asset
|
Liability
|
||||||||||||
Derivatives at
|
Derivatives at
|
||||||||||||
Statement of Financial
|
March 31, 2010
|
March 31, 2010
|
|||||||||||
Type of Instrument *
|
Condition Location
|
Fair Value
|
Fair Value
|
Net
|
|||||||||
Agricultural
Contracts
|
Equity in broker trading accounts | $ | 73,092 | $ | (17,777 | ) | $ | 55,315 | |||||
Energy
Contracts
|
Equity in broker trading accounts | 128,713 | 0 | 128,713 | |||||||||
Metal
Contracts
|
Equity in broker trading accounts | 218,262 | (36,481 | ) | 181,781 | ||||||||
Stock Indices
Contracts
|
Equity in broker trading accounts | 251,195 | (26,159 | ) | 225,036 | ||||||||
Short-Term Interest
Rate Contracts
|
Equity in broker trading accounts | 103,739 | (18,005 | ) | 85,734 | ||||||||
Long-Term Interest Rate
Contracts
|
Equity in broker trading accounts | 87,751 | (129,746 | ) | (41,995 | ) | |||||||
Forward Currency
Contracts
|
Net unrealized gain (loss) on open forward currency contracts | 921,177 | (884,725 | ) | 36,452 | ||||||||
Purchased Options on
Forward Currency Contracts
|
Options purchased, at fair value | 50,808 | 0 | 50,808 | |||||||||
Written Options on
Forward Currency Contracts
|
Options written, at fair value | 0 | (16,173 | ) | (16,173 | ) | |||||||
|
|||||||||||||
Totals
|
$ | 1,834,737 | $ | (1,129,066 | ) | $ | 705,671 | ||||||
|
* | Derivatives not designated as hedging instruments under ASC 815 |
Asset Derivatives
|
Liability
|
||||||||||||
at December 31,
|
Derivatives at
|
||||||||||||
Statement of Financial
|
2009
|
December 31, 2009
|
|||||||||||
Type of Instrument *
|
Condition Location
|
Fair Value
|
Fair Value
|
Net
|
|||||||||
Agricultural
Contracts
|
Equity in broker trading accounts | $ | 12,155 | $ | (15,206 | ) | $ | (3,051 | ) | ||||
Energy
Contracts
|
Equity in broker trading accounts | 19,804 | (1,325 | ) | 18,479 | ||||||||
Metal
Contracts
|
Equity in broker trading accounts | 223,512 | (167,320 | ) | 56,192 | ||||||||
Stock Indices
Contracts
|
Equity in broker trading accounts | 231,004 | (17,246 | ) | 213,758 | ||||||||
Short-Term Interest
Rate Contracts
|
Equity in broker trading accounts | 0 | (100,836 | ) | (100,836 | ) | |||||||
Long-Term Interest Rate
Contracts
|
Equity in broker trading accounts | 43,376 | (283,637 | ) | (240,261 | ) | |||||||
Forward Currency
Contracts
|
Net unrealized gain (loss) on open forward currency contracts | 1,170,194 | (1,435,347 | ) | (265,153 | ) | |||||||
Purchased Options on
Forward Currency Contracts
|
Options purchased, at fair value | 70,935 | 0 | 70,935 | |||||||||
Written Options on
Forward Currency Contracts
|
Options written, at fair value | 0 | (19,069 | ) | (19,069 | ) | |||||||
|
|||||||||||||
Totals
|
$ | 1,770,980 | $ | (2,039,986 | ) | $ | (269,006 | ) | |||||
|
* | Derivatives not designated as hedging instruments under ASC 815 |
62
CAMPBELL ALTERNATIVE ASSET
TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
The trading revenue of the Trust’s derivatives by instrument type, as
well as the location of those gains and losses on the Statement of Operations,
for the period ended March 31, 2010 and March 31, 2009 is as follows:
Trading Revenue for
|
Trading Revenue for
|
|||||||
the Three Months Ended
|
the Three Months Ended
|
|||||||
Type of Instrument
|
March 31, 2010
|
March 31, 2009
|
||||||
Agricultural
Contracts
|
$ | 7,142 | $ | 0 | ||||
Energy
Contracts
|
(214,491 | ) | (30,032 | ) | ||||
Metal
Contracts
|
(192,929 | ) | (196,328 | ) | ||||
Stock Indices
Contracts
|
(553,826 | ) | (288,215 | ) | ||||
Short-Term Interest
Rate Contracts
|
856,726 | 268,275 | ||||||
Long Term Interest Rate
Contracts
|
(358,642 | ) | 188,785 | |||||
Forward Currency
Contracts
|
(41,619 | ) | (64,267 | ) | ||||
Purchased Options on
Forward Currency Contracts
|
(314,684 | ) | (73,060 | ) | ||||
Written Options on
Forward Currency Contracts
|
172,334 | 288,042 | ||||||
|
||||||||
Total
|
$ | (639,989 | ) | $ | 93,200 | |||
|
Trading Revenue for
|
Trading Revenue for
|
|||||||
the Three Months
|
the Three Months
|
|||||||
Ended March 31,
|
Ended
|
|||||||
Line Item in the Statement of
Operations
|
2010
|
March 31, 2009
|
||||||
Futures trading gains
(losses):
|
||||||||
Realized
|
$ | (1,464,321 | ) | $ | 56,001 | |||
Change in
unrealized
|
690,302 | (113,516 | ) | |||||
Forward currency and
options on forward currency trading gains (losses):
|
||||||||
Realized
|
(479,481 | ) | 379,810 | |||||
Change in
unrealized
|
295,511 | (229,095 | ) | |||||
|
||||||||
Total
|
$ | (639,989 | ) | $ | 93,200 | |||
|
For the three months ended March 31, 2010 and March 31,
2009, the monthly average of futures contracts bought and sold was approximately
1,640 and 725 respectively, and the monthly average of notional value of forward
currency and options on forward currency contracts was $207,720,000 and
$131,600,000 respectively.
Open contracts generally mature within twelve months; as of
March 31, 2010, the latest maturity date for open futures contracts is
June 2011, the latest maturity date for open forward currency contracts is
June 2010, and the latest expiry date for options on forward currency
contracts is April 2010. However, the Trust intends to close all futures
and foreign currency contracts prior to maturity.
Campbell & Company has established procedures to actively monitor
market risk and minimize credit risk, although there can be no assurance that it
will, in fact, succeed in doing so. Campbell & Company’s basic market risk
control procedures consist of continuously monitoring open positions,
diversification of the portfolio and maintenance of a margin-to-equity ratio
that rarely exceeds 30%. Campbell & Company’s attempt to manage the risk of
the Trust’s open positions is essentially the same in all market categories
traded. Campbell & Company applies risk management policies to its trading
which generally limit the total exposure that may be taken per “risk unit” of
assets under management. In addition, Campbell & Company follows
diversification guidelines (often formulated in terms of the balanced volatility
between markets and correlated groups), as well as precalculating “stop-loss”
points at which systems will signal to close open positions. Campbell &
Company controls the risk of the Trust’s non-trading fixed income instruments by
limiting the duration of such instruments and requiring a minimum credit quality
of the issuers of those instruments.
Campbell & Company seeks to minimize credit risk primarily by
depositing and maintaining the Trust’s assets at financial institutions and
brokers which Campbell & Company believes to be credit worthy. The
unitholder bears the risk of loss only to the extent of the market value of
their respective investments and, in certain specific circumstances,
distributions and redemptions received.
Note 9.
INDEMNIFICATIONS
In the normal course of business, the Trust enters into contracts and
agreements that contain a variety of representations and warranties which
provide general indemnifications. The Trust’s maximum exposure under these
arrangements is unknown, as this would involve future claims that may be made
against the Trust that have not yet occurred. The Trust expects the risk of any
future obligation under these indemnifications to be remote.
Note 10. INTERIM
FINANCIAL STATEMENTS
The statements of financial condition, including the condensed
schedule of investments, as of March 31, 2010 and December 31, 2009 and the
statements of operations, cash flows, changes in unitholders’ capital (Net Asset
Value) and financial highlights for the three months ended March 31, 2010
and 2009 are unaudited. In the opinion of management, such financial statements
reflect all adjustments, which were of a normal and recurring nature, necessary
for a fair presentation of financial position as of March 31, 2010, and the
results of operations, cash flows, changes in unitholders’ capital (Net Asset
Value) and financial highlights for the three months ended March 31, 2010
and 2009.
Note 11. SUBSEQUENT
EVENTS
Management of the Trust
has evaluated subsequent events through the date the financial statements were
issued. There are no subsequent events to disclose or record.
63
Deloitte & Touche LLP
750 College Road East Third Floor
Princeton, NJ 08540
USA
Tel: +1 609 514 3600
Fax: +1 609 514 3603
www.deloitte.com
|
REPORT OF INDEPENDENT REGISTERED
PUBLIC ACCOUNTING FIRM
To the
Unitholders of
Campbell
Alternative Asset Trust
We have
audited the accompanying statements of financial condition of Campbell
Alternative Asset Trust (the “Trust”), including the condensed schedules of
investments, as of December 31, 2009, and 2008, and the related statements
of operations, cash flows, changes in unitholders’ capital (net asset value) and
financial highlights for each of the three years in the period ended December
31, 2009. These financial statements and financial highlights are the
responsibility of the Trust’s management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We
conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audits to obtain reasonable assurance about whether the
financial statements and financial highlights are free of material misstatement.
The Trust is not required to have, nor were we engaged to perform, an audit of
its internal control over financial reporting. Our audits included consideration
of internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Trust’s internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our
opinion, the financial statements and financial highlights referred to above
present fairly, in all material respects, the financial position of Campbell
Alternative Asset Trust as of December 31, 2009, and 2008, the results of its
operations, cash flows, changes in its unitholders’ capital (net asset value)
and financial highlights for each of the three years in the period ended
December 31, 2009, in conformity with accounting principles generally accepted
in the United States of America.
/s/
DELOITTE & TOUCHE LLP
March 26,
2010
64
Campbell
Alternative Asset Trust
Condensed Schedule of Investments
December 31, 2009
Condensed Schedule of Investments
December 31, 2009
FIXED INCOME SECURITIES
Maturity
|
% of Net
|
||||||||||
Face Value
|
Description |
Values ($)
|
Asset Value
|
||||||||
Bank Deposits
|
|||||||||||
United States
|
|||||||||||
Financials
(cost $1,100,000) |
$ | 1,100,627 | 3.79 | % | |||||||
|
|||||||||||
Commercial
Paper
|
|||||||||||
Germany
|
|||||||||||
Materials
(cost $588,603) |
$ | 588,850 | 2.03 | % | |||||||
|
|||||||||||
Netherlands
|
|||||||||||
Consumer
Discretionary
(cost $827,966) |
$ | 827,971 | 2.85 | % | |||||||
|
|||||||||||
United States
|
|||||||||||
Consumer
Discretionary
|
$ | 2,048,923 | 7.06 | % | |||||||
Consumer
Staples
|
$ | 1,523,579 | 5.25 | % | |||||||
Energy
|
$ | 924,969 | 3.19 | % | |||||||
Financials
|
$ | 1,708,792 | 5.89 | % | |||||||
Industrials
|
|||||||||||
$ | 2,290,000 |
Avery
Dennison Corporation
Due 01/04/2010 |
$ | 2,289,921 | 7.90 | % | |||||
Municipal
|
$ | 6,549,496 | 22.58 | % | |||||||
Telecommunications
|
$ | 382,987 | 1.32 | % | |||||||
|
|||||||||||
Total United
States
(cost $15,424,662) |
$ | 15,428,667 | 53.19 | % | |||||||
|
|||||||||||
|
|||||||||||
Total Commercial Paper
(cost $16,841,231) |
$ | 16,845,488 | 58.07 | % | |||||||
|
|||||||||||
|
|||||||||||
Corporate Bonds
|
|||||||||||
United States
|
|||||||||||
Financials
(cost $1,395,877) |
$ | 1,397,647 | 4.82 | % | |||||||
|
|||||||||||
Government And Agency
Obligations
|
|||||||||||
United States
|
|||||||||||
US
Government Agency
|
$ | 4,249,147 | 14.65 | % | |||||||
US
Treasury Bill
|
|||||||||||
$ | 5,000,000 |
U.S.
Treasury Bills
Due 04/01/2010* |
$ | 4,999,431 | 17.24 | % | |||||
$ | 1,650,000 |
U.S.
Treasury Bills
Due 03/25/2010* |
$ | 1,649,753 | 5.69 | % | |||||
|
See Accompanying Notes to
Financial Statements.
65
Campbell
Alternative Asset Trust
Condensed Schedule of Investments
December 31, 2009
Condensed Schedule of Investments
December 31, 2009
Total United States
(cost $10,896,184)
|
$ | 10,898,331 | 37.58 | % | |||||||
|
|||||||||||
|
|||||||||||
Short Term Investment
Funds
|
|||||||||||
United States
|
|||||||||||
Short Term Investment
Funds
(cost $34,246) |
$ | 34,246 | 0.12 | % | |||||||
|
|||||||||||
Total Fixed Income
Securities
(cost $30,267,538) |
$ | 30,276,339 | 104.38 | % | |||||||
|
LONG FUTURES
CONTRACTS
% of Net
|
||||||||
Description
|
Values ($)
|
Asset Value
|
||||||
Agriculture
|
$ | (3,889 | ) | (0.01 | )% | |||
Energy
|
$ | 18,479 | 0.06 | % | ||||
Long-term
interest rates
|
$ | (252,217 | ) | (0.87 | )% | |||
Metals
|
$ | 163,924 | 0.57 | % | ||||
Short-term
interest rates
|
$ | (100,836 | ) | (0.35 | )% | |||
Stock
indices
|
$ | 213,758 | 0.74 | % | ||||
|
||||||||
Total long futures
contracts
|
$ | 39,219 | 0.14 | % | ||||
|
SHORT FUTURES CONTRACTS
% of Net
|
||||||||
Description
|
Values ($)
|
Asset Value
|
||||||
Agriculture
|
$ | 838 | 0.00 | % | ||||
Long-term
interest rates
|
$ | 11,956 | 0.04 | % | ||||
Metals
|
$ | (107,732 | ) | (0.37 | )% | |||
|
||||||||
Total short futures
contracts
|
$ | (94,938 | ) | (0.33 | )% | |||
|
||||||||
|
||||||||
Total futures
contracts
|
$ | (55,719 | ) | (0.19 | )% | |||
|
FORWARD CURRENCY CONTRACTS
% of Net
|
||||||||
Description
|
Values ($)
|
Asset Value
|
||||||
Various
long forward currency contracts
|
$ | (1,124,565 | ) | (3.88 | )% | |||
Various
short forward currency contracts
|
$ | 859,412 | 2.96 | % | ||||
|
||||||||
Total forward currency
contracts
|
$ | (265,153 | ) | (0.92 | )% | |||
|
PURCHASED OPTIONS ON FORWARD CURRENCY
CONTRACTS
See Accompanying
Notes to Financial Statements.
66
Campbell
Alternative Asset Trust
Condensed Schedule of Investments
December 31, 2009
Condensed Schedule of Investments
December 31, 2009
Description
|
Values ($)
|
% of Net
Asset Value |
||||||
Purchased
options on forward currency contracts
(premiums paid — $70,105) |
$ | 70,935 | 0.24 | % | ||||
|
WRITTEN OPTIONS ON FORWARD CURRENCY
CONTRACTS
% of Net
|
||||||||
Description
|
Values ($)
|
Asset Value
|
||||||
Written
options on forward currency contracts
(premiums received — $21,883) |
$ | (19,069 | ) | (0.07 | )% | |||
|
* | Pledged as collateral for the trading of futures, forward and option positions. |
See Accompanying Notes to
Financial Statements.
67
Campbell
Alternative Asset Trust
Condensed Schedule of Investments
December 31, 2008
Condensed Schedule of Investments
December 31, 2008
FIXED INCOME SECURITIES
UNITED STATES GOVERNMENT
SECURITIES*
Maturity
Face Value |
Maturity
Date |
Description
|
Values ($)
|
% of Net
Asset Value |
|||||||||||
$ | 1,100,000 | 01/02/2009 | U.S. Treasury Bills | $ | 1,100,000 | 3.07 | % | ||||||||
Total United States government
securities
|
|||||||||||||||
(cost, including accrued interest, —
$1,100,000)
|
$ | 1,100,000 | 3.07 | % |
LONG FUTURES CONTRACTS
Description
|
Values ($)
|
% of Net
Asset Value |
||||||
Stock indices
|
$ | 11,598 | 0.03 | % | ||||
Short-term interest
rates
|
$ | 46,855 | 0.13 | % | ||||
Long-term interest
rates
|
$ | 62,096 | 0.17 | % | ||||
|
||||||||
Total long futures
contracts
|
$ | 120,549 | 0.33 | % | ||||
|
SHORT FUTURES CONTRACTS
% of Net
|
||||||||
Description
|
Values ($)
|
Asset Value
|
||||||
Energy
|
$ | (8,848 | ) | (0.03 | )% | |||
Metals
|
$ | (22,893 | ) | (0.06 | )% | |||
Stock indices
|
$ | (40,610 | ) | (0.11 | )% | |||
Short-term interest
rates
|
$ | 125 | 0.00 | % | ||||
Long-term interest
rates
|
$ | (54,477 | ) | (0.15 | )% | |||
|
||||||||
Total short futures
contracts
|
$ | (126,703 | ) | (0.35 | )% | |||
|
||||||||
Total futures
contracts
|
$ | (6,154 | ) | (0.02 | )% | |||
|
See
Accompanying Notes to Financial Statements.
68
Campbell Alternative Asset
Trust
Condensed Schedule of Investments
December 31, 2008
Condensed Schedule of Investments
December 31, 2008
FORWARD CURRENCY CONTRACTS
|
||||||||
% of Net
|
||||||||
Description
|
Values ($)
|
Asset Value
|
||||||
Various long forward
currency contracts
|
$ | 438,448 | 1.22 | % | ||||
Various short forward
currency contracts
|
$ | (278,710 | ) | (0.78 | )% | |||
|
||||||||
Total forward currency
contracts
|
$ | 159,738 | 0.44 | % | ||||
|
PURCHASED OPTIONS ON FORWARD CURRENCY
CONTRACTS
% of Net
|
||||||||
Description
|
Values ($)
|
Asset Value
|
||||||
Purchased
options on forward currency contracts
(premiums paid — $13,775) |
$ | 7,494 | 0.02 | % | ||||
|
WRITTEN OPTIONS ON FORWARD CURRENCY
CONTRACTS
% of Net
|
||||||||
Description
|
Values ($)
|
Asset Value
|
||||||
Written
options on forward currency contracts
(premiums received — $50,507) |
$ | (45,850 | ) | (0.13 | )% | |||
|
* | Pledged as collateral for the trading of futures, forward and option positions. |
See Accompanying Notes to Financial
Statements.
69
Campbell Alternative Asset Trust
Statements of Financial Condition
December 31, 2009 And 2008
2009
|
2008
|
|||||||
ASSETS
|
||||||||
Equity in broker
trading accounts
|
||||||||
Cash
|
$ | 695,155 | $ | 33,954,446 | ||||
Restricted
cash
|
0 | 1,180,793 | ||||||
Fixed income securities
(cost $4,999,431 and $0, respectively)
|
4,999,431 | 0 | ||||||
Net unrealized gain
(loss) on open futures contracts
|
(55,719 | ) | (6,154 | ) | ||||
|
||||||||
Total equity in broker
trading accounts
|
5,638,867 | 35,129,085 | ||||||
Cash
|
279,164 | 269,764 | ||||||
Fixed income securities
(cost $25,268,107 and $1,100,000, respectively)
|
25,276,908 | 1,100,000 | ||||||
Options purchased, at
fair value (premiums paid — $70,105 and $13,775, respectively)
|
70,935 | 7,494 | ||||||
Net unrealized gain
(loss) on open forward currency contracts
|
(265,153 | ) | 159,738 | |||||
Interest
receivable
|
7,530 | 558 | ||||||
Prepaid
expenses
|
1,218 | 2,000 | ||||||
|
||||||||
Total assets
|
$ | 31,009,469 | $ | 36,668,639 | ||||
|
||||||||
|
||||||||
LIABILITIES
|
||||||||
Accounts
payable
|
$ | 31,880 | $ | 66,072 | ||||
Brokerage fee
|
18,138 | 28,580 | ||||||
Options written, at
fair value (premiums received — $21,883 and $50,507,
respectively)
|
19,069 | 45,850 | ||||||
Accrued commissions and
other trading fees on open contracts
|
4,701 | 1,593 | ||||||
Offering costs
payable
|
5,727 | 9,025 | ||||||
Redemptions
payable
|
1,927,892 | 682,036 | ||||||
|
||||||||
Total
liabilities
|
2,007,407 | 833,156 | ||||||
|
||||||||
UNITHOLDERS’ CAPITAL (Net Asset
Value)
|
||||||||
Managing Owner -
1,413.580 redeemable units outstanding at December 31, 2009 and
December 31, 2008
|
2,173,492 | 2,306,948 | ||||||
Other Unitholders -
17,448.570 and 20,544.542 redeemable units outstanding at
December 31, 2009 and December 31, 2008
|
26,828,570 | 33,528,535 | ||||||
|
||||||||
Total unitholders’
capital (Net Asset Value)
|
29,002,062 | 35,835,483 | ||||||
|
||||||||
Total liabilities and
unitholders’ capital (Net Asset Value)
|
$ | 31,009,469 | $ | 36,668,639 | ||||
|
See Accompanying Notes to Financial
Statements.
70
Campbell Alternative Asset Trust
Statements of Operations
For The Years Ended December 31, 2009,
2008 And 2007
2009
|
2008
|
2007
|
||||||||||
TRADING GAINS
(LOSSES)
|
||||||||||||
Futures trading gains
(losses)
|
||||||||||||
Realized
|
$ | (1,734,107 | ) | $ | 2,020,401 | $ | (784,118 | ) | ||||
Change in
unrealized
|
(49,564 | ) | (203,665 | ) | (885,438 | ) | ||||||
Brokerage
commissions
|
(47,647 | ) | (53,459 | ) | (72,611 | ) | ||||||
|
||||||||||||
Net gain
(loss) from futures trading
|
(1,831,318 | ) | 1,763,277 | (1,742,167 | ) | |||||||
|
||||||||||||
Forward currency and
options on forward currency trading gains (losses)
|
||||||||||||
|
||||||||||||
Realized
|
1,430,644 | (1,162,559 | ) | (874,349 | ) | |||||||
Change in
unrealized
|
(419,623 | ) | 969,895 | (2,235,565 | ) | |||||||
Brokerage
commissions
|
(5,719 | ) | (1,676 | ) | (28,726 | ) | ||||||
|
||||||||||||
Net gain
(loss) from forward currency and options on forward currency
trading
|
1,005,302 | (194,340 | ) | (3,138,640 | ) | |||||||
|
||||||||||||
Total net trading gain
(loss)
|
(826,016 | ) | 1,568,937 | (4,880,807 | ) | |||||||
|
||||||||||||
NET INVESTMENT INCOME
(LOSS)
|
||||||||||||
Income
|
||||||||||||
Investment
income
|
40,809 | 554,492 | 1,850,313 | |||||||||
Realized gain (loss) on
fixed income securities
|
(1,277 | ) | 0 | 0 | ||||||||
Change in unrealized
gain (loss) on fixed income securities
|
8,801 | 0 | 0 | |||||||||
|
||||||||||||
Total investment
income
|
48,333 | 554,492 | 1,850,313 | |||||||||
|
||||||||||||
Expenses
|
||||||||||||
Brokerage fee
|
941,871 | 1,055,055 | 1,157,288 | |||||||||
Performance
fee
|
0 | 0 | 270,167 | |||||||||
Operating
expenses
|
88,114 | 90,901 | 97,120 | |||||||||
|
||||||||||||
Total expenses
|
1,029,985 | 1,145,956 | 1,524,575 | |||||||||
|
||||||||||||
Net investment income
(loss)
|
(981,652 | ) | (591,464 | ) | 325,738 | |||||||
|
||||||||||||
NET INCOME
(LOSS)
|
$ | (1,807,668 | ) | $ | 977,473 | $ | (4,555,069 | ) | ||||
|
||||||||||||
NET INCOME
(LOSS) PER MANAGING OWNER AND OTHER UNITHOLDERS UNIT
(based on weighted average number of units outstanding during the year) |
$ | (85.69 | ) | $ | 43.49 | $ | (195.52 | ) | ||||
|
||||||||||||
INCREASE
(DECREASE) IN NET ASSET VALUE PER MANAGING OWNER AND OTHER
UNITHOLDERS UNIT
|
$ | (94.41 | ) | $ | 28.40 | $ | (211.94 | ) | ||||
|
See Accompanying Notes to Financial
Statements.
71
Campbell Alternative Asset Trust
Statements of Cash Flows
For The Years Ended December 31, 2009,
2008 And 2007
2009
|
2008
|
2007
|
||||||||||
Cash flows from
(for) operating activities
|
||||||||||||
Net income
(loss)
|
$ | (1,807,668 | ) | $ | 977,473 | $ | (4,555,069 | ) | ||||
Adjustments to
reconcile net income (loss) to net cash from (for) operating
activities
|
||||||||||||
Net change in
unrealized
|
460,386 | (766,230 | ) | 3,121,003 | ||||||||
(Increase) decrease in
restricted cash
|
1,180,793 | (1,180,793 | ) | 0 | ||||||||
(Increase) decrease in
option premiums paid
|
(56,330 | ) | 60,384 | (44,384 | ) | |||||||
Increase
(decrease) in option premiums received
|
(28,624 | ) | 8,662 | 24,509 | ||||||||
(Increase) decrease in
interest receivable
|
(6,972 | ) | 7,336 | 12,658 | ||||||||
(Increase) decrease in
prepaid expenses
|
782 | (2,000 | ) | 0 | ||||||||
Increase
(decrease) in accounts payable and accrued expenses
|
(41,526 | ) | 12,709 | (48,656 | ) | |||||||
Net maturities
(purchases) of investments in fixed income securities
|
(29,167,537 | ) | 32,795,758 | 651,527 | ||||||||
|
||||||||||||
Net cash from
(for) operating activities
|
(29,466,696 | ) | 31,913,299 | (838,412 | ) | |||||||
|
||||||||||||
Cash flows from
(for) financing activities
|
||||||||||||
Addition of
units
|
1,906,380 | 2,404,879 | 2,880,078 | |||||||||
Redemption of
units
|
(5,388,845 | ) | (3,949,714 | ) | (3,583,534 | ) | ||||||
Offering costs
paid
|
(300,730 | ) | (335,846 | ) | (369,590 | ) | ||||||
|
||||||||||||
Net cash from
(for) financing activities
|
(3,783,195 | ) | (1,880,681 | ) | (1,073,046 | ) | ||||||
|
||||||||||||
Net increase
(decrease) in cash
|
(33,249,891 | ) | 30,032,618 | (1,911,458 | ) | |||||||
Unrestricted
cash
|
||||||||||||
Beginning of
year
|
34,224,210 | 4,191,592 | 6,103,050 | |||||||||
|
||||||||||||
End of year
|
$ | 974,319 | $ | 34,224,210 | $ | 4,191,592 | ||||||
|
||||||||||||
End of year cash
consists of:
|
||||||||||||
Cash in broker trading
accounts
|
$ | 695,155 | $ | 33,954,446 | $ | 2,538,672 | ||||||
Cash
|
279,164 | 269,764 | 1,652,920 | |||||||||
|
||||||||||||
Total end of year
cash
|
$ | 974,319 | $ | 34,224,210 | $ | 4,191,592 | ||||||
|
See Accompanying Notes to Financial
Statements.
72
Campbell Alternative Asset Trust
Statements of Changes in unitholders capital
(Net Asset Value)
For The Years Ended December 31, 2009, 2008 And 2007
For The Years Ended December 31, 2009, 2008 And 2007
Unitholders’ Capital
|
||||||||||||||||||||||||
Managing Owner
|
Other Unitholders
|
Total
|
||||||||||||||||||||||
Units
|
Amount
|
Units
|
Amount
|
Units
|
Amount
|
|||||||||||||||||||
Balances at
December 31, 2006
|
1,413.580 | $ | 2,566,397 | 22,200.336 | $ | 40,305,318 | 23,613.916 | $ | 42,871,715 | |||||||||||||||
|
||||||||||||||||||||||||
Net income
(loss) for the year ended December 31, 2007
|
(277,422 | ) | (4,277,647 | ) | (4,555,069 | ) | ||||||||||||||||||
Additions
|
0.000 | 0 | 1,444.335 | 2,501,152 | 1,444.335 | 2,501,152 | ||||||||||||||||||
Redemptions
|
0.000 | 0 | (2,428.608 | ) | (4,163,583 | ) | (2,428.608 | ) | (4,163,583 | ) | ||||||||||||||
Offering costs
|
(22,172 | ) | (343,287 | ) | (365,459 | ) | ||||||||||||||||||
|
||||||||||||||||||||||||
Balances at
December 31, 2007
|
1,413.580 | 2,266,803 | 21,216.063 | 34,021,953 | 22,629.643 | 36,288,756 | ||||||||||||||||||
Net income
(loss) for the year ended December 31, 2008
|
61,100 | 916,373 | 977,473 | |||||||||||||||||||||
Additions
|
0.000 | 0 | 1,450.873 | 2,370,941 | 1,450.873 | 2,370,941 | ||||||||||||||||||
Redemptions
|
0.000 | 0 | (2,122.394 | ) | (3,468,513 | ) | (2,122.394 | ) | (3,468,513 | ) | ||||||||||||||
Offering costs
|
(20,955 | ) | (312,219 | ) | (333,174 | ) | ||||||||||||||||||
|
||||||||||||||||||||||||
Balances at
December 31, 2008
|
1,413.580 | 2,306,948 | 20,544.542 | 33,528,535 | 21,958.122 | 35,835,483 | ||||||||||||||||||
Net income
(loss) for the year ended December 31, 2009
|
(113,540 | ) | (1,694,128 | ) | (1,807,668 | ) | ||||||||||||||||||
Additions
|
0.000 | 0 | 1,204.263 | 1,906,380 | 1,204.263 | 1,906,380 | ||||||||||||||||||
Redemptions
|
0.000 | 0 | (4,300.235 | ) | (6,634,701 | ) | (4,300.235 | ) | (6,634,701 | ) | ||||||||||||||
Offering costs
|
(19,916 | ) | (277,516 | ) | (297,432 | ) | ||||||||||||||||||
|
||||||||||||||||||||||||
Balances at
December 31, 2009
|
1,413.580 | $ | 2,173,492 | 17,448.570 | $ | 26,828,570 | 18,862.150 | $ | 29,002,062 | |||||||||||||||
|
Net Asset Value per Managing
Owner and Other Unitholders’ Unit
|
|||||||||
December 31, 2009
|
December 31, 2008
|
December 31, 2007
|
|||||||
$1,537.58
|
$1,631.99
|
$1,603.59
|
See Accompanying Notes to Financial
Statements.
73
Campbell Alternative Asset Trust
Financial Highlights
For The Years Ended December 31, 2009, 2008 And 2007
Financial Highlights
For The Years Ended December 31, 2009, 2008 And 2007
The following
information presents per unit operating performance data and other supplemental
financial data for the years ended December 31, 2009, 2008 and 2007. This
information has been derived from information presented in the financial
statements.
2009
|
2008 |
2007
|
||||||||||
Per Unit
Performance
|
||||||||||||
(for a unit outstanding
throughout the entire year)
|
||||||||||||
|
||||||||||||
Net asset value per
unit at beginning of year
|
$ | 1,631.99 | $ | 1,603.59 | $ | 1,815.53 | ||||||
|
||||||||||||
|
||||||||||||
Income (loss) from
operations:
|
||||||||||||
Total net trading gains
(losses) (1)
|
(33.77 | ) | 69.54 | (210.23 | ) | |||||||
Net investment income
(loss) (1)
|
(46.54 | ) | (26.32 | ) | 13.98 | |||||||
|
||||||||||||
|
||||||||||||
Total net income
(loss) from operations
|
(80.31 | ) | 43.22 | (196.25 | ) | |||||||
|
||||||||||||
|
||||||||||||
Offering costs
(1)
|
(14.10 | ) | (14.82 | ) | (15.69 | ) | ||||||
|
||||||||||||
|
||||||||||||
Net asset value per
unit at end of year
|
$ | 1,537.58 | $ | 1,631.99 | $ | 1,603.59 | ||||||
|
||||||||||||
|
||||||||||||
Total Return
|
(5.78 | )% | 1.77 | % | (11.67 | )% | ||||||
|
||||||||||||
|
||||||||||||
Supplemental
Data
|
||||||||||||
|
||||||||||||
Ratios to average net asset
value:
|
||||||||||||
Expenses prior to
performance fee
|
3.13 | % | 3.11 | % | 3.09 | % | ||||||
Performance
fee
|
0.00 | % | 0.00 | % | 0.67 | % | ||||||
|
||||||||||||
|
||||||||||||
Total expenses
|
3.13 | % | 3.11 | % | 3.76 | % | ||||||
|
||||||||||||
|
||||||||||||
Net investment income
(loss) (2)
|
(2.98 | )% | (1.61 | )% | 1.47 | % | ||||||
|
Total returns are calculated based
on the change in value of a unit during the year. An individual partner’s total
returns and ratios may vary from the above total returns and ratios based on the
timing of additions and redemptions.
(1) | Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the year. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. | |
(2) | Excludes performance fee. |
See Accompanying Notes to Financial
Statements.
74
Campbell Alternative Asset
Trust
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
Note 1. ORGANIZATION AND SUMMARY OF
SIGNIFICANT ACCOUNTING POLICIES
A. | General Description of the Trust | |
Campbell Alternative Asset Trust (the Trust) is a Delaware statutory trust which operates as a commodity investment pool. The Trust was formed on May 3, 2000 and commenced trading on October 1, 2001. The Trust engages in the speculative trading of futures contracts, forward currency contracts and options on forward currency contracts. | ||
As of December 31, 2002, units are no longer offered to the public, but are offered exclusively for sale to the Campbell & Company, Inc. 401(K) Plan (the 401(K) Plan). At December 31, 2009 and December 31, 2008, the 401(K) Plan held approximately 74% and 68% of the Trust’s outstanding units, respectively. | ||
B. | Regulation | |
As a registrant with the Securities and Exchange Commission, the Trust is subject to the regulatory requirements under the Securities Act of 1933 and the Securities Exchange Act of 1934. As a commodity investment pool, the Trust is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Trust executes transactions. Additionally, the Trust is subject to the requirements of futures commission merchants (brokers) and interbank market makers through which the Trust trades. | ||
C. | Method of Reporting | |
The Trust’s financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which may require the use of certain estimates made by the Trust’s management. Actual results may differ from these estimates. Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statement of financial condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 210-20, Offsetting — Balance Sheet, (formerly FAS No. 39 — “Offsetting of Amounts Related to Certain 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 on the last business day of the reporting period. The market value of forward currency (non-exchange traded) contracts was extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period or based on the market value of its exchange-traded equivalent. | ||
The market value of option (non-exchange traded) contracts is calculated by applying an industry-standard adaptation of the Black-Scholes options valuation model to foreign currency options, using as input, the spot prices, interest rates and option implied volatilities quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period. Any change in net unrealized gain or loss from the preceding period is reported in the statement of operations. | ||
When the Trust writes an option, an amount equal to the premium received by the Trust is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of option written. Brokerage commissions include other trading fees and are charged to expense when contracts are opened. | ||
The fixed income investments, other than U.S. Treasury bills held at the brokers or interbank market makers, are marked-to-market on the last business day of the reporting period by a custodian who utilizes a third party vendor hierarchy of pricing providers who specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. U.S. Treasury bills not held by the custodian are stated at cost plus accrued interest, |
75
Campbell
Alternative Asset Trust
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
which approximates fair value. Premiums and discounts on debt securities are amortized for financial reporting purposes. | ||
For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value by the number of outstanding units. | ||
The Trust adopted the provisions of ASC 820, Fair Value Measurements and Disclosures (formerly FASB No. 157, “Fair Value Measurements”), as of January 1, 2008. ASC 820 provides guidance for determining fair value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. | ||
ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). | ||
Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Trust has the ability to access at the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of the Trust’s exchange-traded futures contracts fall into this category. | ||
Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts and options on forward currency contracts that the Trust values using models or other valuation methodologies derived from observable market data. This category also includes fixed income investments. | ||
Level 3 inputs are unobservable inputs for an asset or liability (including the Fund’s own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of and for the year ended December 31, 2009, the Trust did not have any Level 3 assets or liabilities. | ||
The following tables set forth by level within the fair value hierarchy the Trust’s investments accounted for at fair value on a recurring basis as of December 31, 2009 and December 31, 2008. |
Fair Value at December 31, 2009
|
||||||||||||||||
Description |
Level 1
|
|
Level 2
|
Level 3
|
Total
|
|||||||||||
Investments
|
||||||||||||||||
Fixed income
securities
|
$ | 0 | $ | 30,276,339 | $ | 0 | $ | 30,276,339 | ||||||||
Other Financial
Instruments
|
||||||||||||||||
Exchange-traded futures
contracts
|
(55,719 | ) | 0 | 0 | (55,719 | ) | ||||||||||
Forward currency
contracts
|
0 | (265,153 | ) | 0 | (265,153 | ) | ||||||||||
Options
purchased
|
0 | 70,935 | 0 | 70,935 | ||||||||||||
Options
written
|
0 | (19,069 | ) | 0 | (19,069 | ) | ||||||||||
|
||||||||||||||||
Total
|
$ | (55,719 | ) | $ | 30,063,052 | $ | 0 | $ | 30,007,333 |
76
Campbell
Alternative Asset Trust
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
Fair Value at December 31, 2008
|
||||||||||||||||
Description |
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Investments
|
||||||||||||||||
Fixed income
securities
|
$ | 0 | $ | 1,100,000 | $ | 0 | $ | 1,100,000 | ||||||||
Other Financial
Instruments
|
||||||||||||||||
Exchange-traded futures
contracts
|
(6,154 | ) | 0 | 0 | (6,154 | ) | ||||||||||
Forward currency
contracts
|
0 | 159,738 | 0 | 159,738 | ||||||||||||
Options
purchased
|
0 | 7,494 | 0 | 7,494 | ||||||||||||
Options
written
|
0 | (45,850 | ) | 0 | (45,850 | ) | ||||||||||
|
||||||||||||||||
Total
|
$ | (6,154 | ) | $ | 1,221,382 | $ | 0 | $ | 1,215,228 | |||||||
|
D. | Income Taxes | |
The Trust prepares calendar year U.S. federal and applicable state information tax returns and reports to the unitholders their allocable shares of the Trust’s income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each unitholder is individually responsible for reporting income or loss based on such unitholder’s respective share of the Trust’s income and expenses as reported for income tax purposes. | ||
Management has continued to evaluate the application of ASC 740, Income Taxes (formerly FIN No. 48, “Accounting for Uncertainty in Income Taxes”) to the Trust, and has determined that no reserves for uncertain tax positions were required. The Trust files federal and state tax returns. The 2006 through 2009 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. | ||
E. | Offering Costs | |
Campbell & Company, Inc. (Campbell & Company) has incurred all costs in connection with the initial and continuous offering of units of the Trust (offering costs). Offering costs are charged to the Trust at a monthly rate of 1/12 of 0.9% (0.9% annualized) of the Trust’s month-end net asset value (as defined in the Amended and Restated Declaration of Trust and Trust Agreement) until such amounts are fully reimbursed. Such amounts are charged directly to unitholders’ capital. The Trust is only liable for payment of offering costs on a monthly basis. At December 31, 2009 and December 31, 2008, the Trust reflects a liability in the statement of financial condition for offering costs payable to Campbell & Company of $5,727 and $9,025, respectively. | ||
The offering costs for which Campbell & Company are being reimbursed relate to the offering of units of the Trust to all unitholders except the 401(K) Plan. Therefore, Campbell & Company rebates to the 401(K) Plan the offering costs charged to the 401(K) Plan. All such rebates are made by issuing additional units to the 401(K) Plan. | ||
If the Trust terminates prior to completion of payment to Campbell & Company for the unreimbursed offering costs incurred through the date of such termination, Campbell & Company will not be entitled to any additional payments, and the Trust will have no further obligation to Campbell & Company. At December 31, 2009 and December 31, 2008, the amount of unreimbursed offering costs incurred by Campbell & Company is $25,094 and $114,051, respectively. |
77
Campbell Alternative Asset Trust
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
F. | Foreign Currency Transactions | |
The Trust’s functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the statement of financial condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income. | ||
G. | Recently Issued Accounting Pronouncements | |
In January 2010, the Financial Accounting Standards Board issued Accounting Standards update No. 2010-06 (“ASU 2010-06”) for improving disclosure about fair value measurements. ASU 2010-06 adds new disclosure requirements about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2009 except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years. The impact of this guidance on the Trust’s financial statements and disclosures, if any, is currently being assessed. |
Note 2. | MANAGING OWNER AND COMMODITY TRADING ADVISOR |
The managing owner of the Trust is Campbell & Company, which conducts and manages the business of the Trust. Campbell & Company is also the commodity trading advisor of the Trust. The Amended and Restated Declaration of Trust and Trust Agreement requires Campbell & Company to maintain a capital account equal to 1% of the total capital accounts of the Trust. Additionally, Campbell & Company is required by the Amended and Restated Declaration of Trust and Trust Agreement to maintain a net worth of not less than $1,000,000. | ||
The Trust pays a monthly brokerage fee of 1/12 of 2.85% (2.85% annualized) of month-end net assets to Campbell & Company and approximately $4 per round turn to the broker for execution and clearing costs. Such costs are limited to 3.5% of average month-end net assets per year. From the 2.85% fee, a portion (0.35%) is used to compensate selling agents for administrative services and a portion (2.5%) is retained by Campbell & Company for trading and management services rendered. | ||
Campbell & Company is also paid a performance fee equal to 20% of New Appreciation (as defined) calculated as of the end of each calendar quarter and upon redemption of units. More specifically, the performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a “High Water Mark”) adjusting for investment income. In determining the brokerage and performance fees, adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The brokerage fee and performance fee are typically paid in the month following the month in which they are earned. The brokerage fee and performance fee are paid from the available cash at the Trust’s bank, broker or cash management accounts. | ||
Campbell & Company rebates to the 401(K) Plan the brokerage fee and the performance fee applicable to the 401(K) Plan. All such rebates are made by issuing additional units to the 401(K) Plan. |
78
Campbell Alternative Asset Trust
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
Note 3. TRUSTEE
The trustee of the Trust is U.S. Bank National Association, a national banking corporation. The trustee has delegated to the managing operator the duty and authority to manage the business and affairs of the Trust and has only nominal duties and liabilities with respect to the Trust. |
Note 4. CASH MANAGER AND
CUSTODIAN
The Trust has appointed Wilmington Trust Investment Management LLC, a wholly owned subsidiary of Wilmington Trust Corporation, as cash manager under the Non-Custody Investment Advisory Agreement dated July 8, 2009, to manage and control the liquid assets of the Trust. The cash manager 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 authority to make certain investments on behalf of the Trust provided such investments are consistent with the investment guidelines created by the managing operator. All securities purchased by the cash manager on behalf of the Trust will be held in its custody account at the custodian. The cash manager will have no beneficial or other interest in the securities and cash in such custody account. The cash manager began trading on behalf of the Trust in August 2009. |
Note 5. DEPOSITS WITH
BROKER
The Trust deposits assets with a broker subject to Commodity Futures Trading Commission regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury bills and cash with such broker. The Trust typically earns interest income on its assets deposited with the broker. |
Note 6. OPERATING
EXPENSES
Operating expenses of the Trust are restricted by the Amended and Restated Declaration of Trust and Trust Agreement to 0.40% per annum of the average month-end Net Asset Value of the Trust. |
Note 7. SUBSCRIPTIONS, DISTRIBUTIONS
AND REDEMPTIONS
Investments in the Trust are made by subscription agreement, subject to acceptance by Campbell & Company. |
The Trust is not required to make distributions, but may do so at the sole discretion of Campbell & Company. A unitholder may request and receive redemption of units owned, subject to restrictions in the Declaration of Trust and Trust Agreement. Units are transferable, but no market exists for their sale and none is expected to develop. Monthly redemptions are permitted upon ten (10) business days advance written notice to Campbell & Company. |
Note 8. TRADING ACTIVITIES AND
RELATED RISKS
The Trust engages in the speculative trading of U.S. and foreign futures contracts, forward currency contracts and options on forward currency contracts (collectively, “derivatives”). Specifically, the Fund trades a portfolio primarily focused on financial futures, which are instruments designed to hedge or speculate on changes in interest rates, currency exchange rates or stock index values. A secondary emphasis is on metals, energy and agriculture values. The Trust is exposed to both market risk, the risk arising from changes in the market value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract. The market sensitive instruments held by the Trust 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. |
Purchase and sale of futures contracts requires margin deposits with the brokers. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such broker’s proprietary |
79
Campbell Alternative Asset Trust
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
activities. A customer’s cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer trusts subject to the broker’s segregation requirements. In the event of a broker’s insolvency, recovery may be limited to a pro rata share of segregated Trusts available. It is possible that the recovered amount could be less than total cash and other property deposited. | ||
The amount of required margin and good faith deposits with the broker and interbank market makers usually range from 10% to 30% of Net Asset Value. The market value of securities held to satisfy such requirements at December 31, 2009 and December 31, 2008 was $6,649,184 and $1,100,000, respectively, which equals 23% and 3% of Net Asset Value, respectively. The cash deposited with interbank market makers at December 31, 2009 and December 31, 2008 was $102,855 and $257,949, respectively, which equals 0% and 1% of Net Asset Value, respectively. These amounts are included in cash. Included in cash deposits with the broker and interbank market maker at December 31, 2009 and December 31, 2008 was restricted cash for margin requirements of $0 and $1,180,793 respectively, which equals 0% and 3% of Net Asset Value respectively. | ||
The Trust trades forward currency and options on forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward currency and options on foreign currency contracts are generally greater than those associated with exchange traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency and options on forward currency contracts typically involves delayed cash settlement. | ||
The Trust has a substantial portion of its assets on deposit with financial institutions. In the event of a financial institution’s insolvency, recovery of Trust assets on deposit may be limited to account insurance or other protection afforded such deposits. | ||
For derivatives, risks arise from changes in the market value of the contracts. 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. Theoretically, the Trust is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. As both a buyer and seller of options, the Trust pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Trust to potentially unlimited liability, and purchased options expose the Trust to a risk of loss limited to the premiums paid. See Note 1. C. for an explanation of how the Trust determines its valuation for derivatives as well as the netting of derivatives. | ||
The unrealized gain (loss) on open futures, forward currency and options on forward currency contracts is comprised of the following: |
Forward Currency and
|
||||||||||||||||
Options on Forward
|
||||||||||||||||
Futures Contracts
|
Currency Contracts
|
|||||||||||||||
(exchange traded)
|
(non-exchange traded)
|
|||||||||||||||
December 31, 2009
|
December 31, 2008
|
December 31, 2009
|
December 31, 2008
|
|||||||||||||
Gross unrealized
gains
|
$ | 529,851 | $ | 192,722 | $ | 1,199,815 | $ | 977,900 | ||||||||
Gross unrealized
losses
|
(585,570 | ) | (198,876 | ) | (1,461,324 | ) | (819,786 | ) | ||||||||
|
||||||||||||||||
Net unrealized gain
(loss)
|
$ | (55,719 | ) | $ | (6,154 | ) | $ | (261,509 | ) | $ | 158,114 | |||||
|
80
Campbell
Alternative Asset Trust
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
In March 2008, the FASB issued ASC 815, “Derivatives and Hedging” (formerly SFAS No. 161, “Disclosures about Dervative instruments and Hedging Activities”). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity’s financial position, financial performance and cash flows. ASC 815 is effective for financial statements issued for the Trust’s first fiscal year beginning after November 15, 2008. The Trust adopted ASC 815 effective January 1, 2009. | ||
The following tables summarize quantitative information required by ASC 815. | ||
The fair value of the Trust’s derivatives by instrument type, as well as the location of those instruments on the Statement of Financial Condition, as of December 31, 2009 is as follows: |
Asset
|
Liability
|
||||||||||||
Derivatives at
|
Derivatives at
|
||||||||||||
Statement of Financial
|
December 31, 2009
|
December 31, 2009
|
|||||||||||
Type of Instrument *
|
Condition Location
|
Fair Value
|
Fair Value
|
Net
|
|||||||||
Agricultural
Contracts
|
Equity in broker trading accounts | $ | 12,155 | $ | (15,206 | ) | $ | (3,051 | ) | ||||
Energy
Contracts
|
Equity in broker trading accounts | 19,804 | (1,325 | ) | 18,479 | ||||||||
Metal
Contracts
|
Equity in broker trading accounts | 223,512 | (167,320 | ) | 56,192 | ||||||||
Stock Indices
Contracts
|
Equity in broker trading accounts | 231,004 | (17,246 | ) | 213,758 | ||||||||
Short-Term Interest
Rate Contracts
|
Equity in broker trading accounts | 0 | (100,836 | ) | (100,836 | ) | |||||||
Long Term Interest Rate
Contracts
|
Equity in broker trading accounts | 43,376 | (283,637 | ) | (240,261 | ) | |||||||
Forward Currency
Contracts
|
Net unrealized gain (loss) on forward currency contracts | 1,170,194 | (1,435,347 | ) | (265,153 | ) | |||||||
Purchased Options on
Forward Currency Contracts
|
Options purchased, at fair value | 70,935 | 0 | 70,935 | |||||||||
Written Options on
Forward Currency Contracts
|
Options written, at fair value | 0 | (19,069 | ) | (19,069 | ) | |||||||
|
|||||||||||||
Totals
|
$ | 1,770,980 | $ | (2,039,986 | ) | $ | (269,006 | ) | |||||
|
* | Derivatives not designated as hedging instruments under ASC 815 |
The trading revenue of the Trust’s derivatives by instrument type, as well as the location of those gains and losses on the Statement of Operations, for the year ended December 31, 2009 is as follows: |
Trading Revenue for
|
||||
the Year Ended
|
||||
Type of Instrument
|
December 31, 2009
|
|||
Agricultural
Contracts
|
$ | (111,725 | ) | |
Energy
Contracts
|
(482,311 | ) | ||
Metal
Contracts
|
441,641 | |||
Stock Indices
Contracts
|
(342,289 | ) | ||
Short-Term Interest
Rate Contracts
|
(177,489 | ) | ||
Long Term Interest Rate
Contracts
|
(1,121,620 | ) | ||
Forward Currency
Contracts
|
593,074 | |||
Purchased Options on
Forward Currency Contracts
|
(668,111 | ) | ||
Written Options on
Forward Currency Contracts
|
1,086,058 | |||
|
||||
Total
|
$ | (782,772 | ) | |
|
81
Campbell Alternative Asset Trust
Notes to Financial Statements
December 31, 2009
Notes to Financial Statements
December 31, 2009
Trading Revenue for
|
||||
the Year Ended
|
||||
Line Item in the Statement of
Operations
|
December 31, 2009
|
|||
Futures trading gains
(losses):
|
||||
Realized
|
$ | (1,744,229 | ) | |
Change in
unrealized
|
(49,564 | ) | ||
Forward currency and options
on forward currency trading gains
(losses):
|
||||
Realized
|
1,430,644 | |||
Change in
unrealized
|
(419,623 | ) | ||
|
||||
Total
|
$ | (782,772 | ) | |
|
For the year ended December 31, 2009, the monthly average of futures contracts bought and sold was approximately 900, and the monthly average of notional value of forward currency and options on forward currency contracts was $175,300,000. | ||
Open contracts generally mature within three months; as of December 31, 2009, the latest maturity date for open futures contracts is March 2011, the latest maturity date for open forward currency contracts is March 2010, and the latest expiry date for options on forward currency contracts is January 2010. However, the Trust intends to close all futures and foreign currency contracts prior to maturity. | ||
Campbell & Company has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. Campbell & Company’s basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%. Campbell & Company’s attempt to manage the risk of the Trust’s open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as precalculating “stop-loss” points at which systems will signal to close open positions. Campbell & Company controls the risk of the Fund’s non-trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments. | ||
Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Trust’s assets at financial institutions and brokers which Campbell & Company believes to be credit worthy. The unitholder bears the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received. |
82
CAMPBELL
& COMPANY, INC.
CONSOLIDATED
BALANCE SHEET
March 31,
2010
(Unaudited)
ASSETS
|
||||
Current
assets
Cash
and cash equivalents
|
$ | 57,566,375 | ||
Net
unrealized gain on open futures contracts
|
2,991,190 | |||
Net
unrealized gain on open forward currency contracts
|
76,210 | |||
Equity
securities, at fair value
|
60,064,248 | |||
Fixed
income securities
|
86,295,368 | |||
Options
purchased, at fair value
|
200,148 | |||
Subscriptions
receivable
|
770,000 | |||
Accounts
receivable
Advisory
and performance fees
|
7,973,934 | |||
Receivable
from Campbell Strategic Allocation Fund, L.P.
|
5,461,819 | |||
Other
receivables
|
15,613,913 | |||
Total
current assets
|
237,013,205 | |||
Property
and equipment
Furniture
and office equipment
|
18,583,855 | |||
Leasehold
improvements
|
5,755,048 | |||
24,338,903 | ||||
Less
accumulated depreciation and amortization
|
(11,942,404 | ) | ||
Total
property and equipment
|
12,396,499 | |||
Other
assets
Cash
surrender value of life insurance, net of policy loans of
$382,600
|
596,952 | |||
Investments
in sponsored funds
|
51,768,104 | |||
Investment
in other fund
|
4,732,115 | |||
Other
|
6,435,793 | |||
Total
assets
|
$ | 312,942,668 | ||
LIABILITIES
|
||||
Current
liabilities
Accounts
payable and accrued expenses
|
$ | 12,110,302 | ||
Options
written, at fair value
|
64,033 | |||
Equity
securities sold short, at fair value
|
59,871,200 | |||
Current
portion of subordinated debt
|
48,775,184 | |||
Total
current liabilities
|
120,820,719 | |||
Deferred
rent expense
|
3,178,023 | |||
Subordinated
debt
|
82,070,450 | |||
Capital
stock subject to repurchase, at current redemption value
|
1,579,721 | |||
Total
liabilities
|
207,648,913 | |||
STOCKHOLDERS'
EQUITY
|
||||
Retained
earnings
|
2,208,653 | |||
Noncontrolling
interest
|
103,085,102 | |||
Total
stockholders' equity
|
105,293,755 | |||
Total
liabilities and stockholders' equity
|
$ | 312,942,668 |
See
accompanying notes.
83
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET
(Unaudited)
_______________
Note
1.
|
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
A.
|
General
|
|
The
consolidated balance sheet of Campbell & Company, Inc. include the
accounts of Campbell & Company, Inc. and its wholly-owned
subsidiaries, Campbell & Company Investment Adviser LLC (CCIA) and
Campbell Financial Services, Inc. (CFS), and its other subsidiaries, The
Campbell Gold Plus Fund, L.P. (CGPF), The Campbell Qualified
Multi-Strategy Fund L.L.C. (CQMSF), The Campbell Global Assets Fund
Limited SAC – FME Large Segregated Account and Multi-Strategy Segregated
Account (CGAF FME and CGAF Multi), collectively, the
“Company.”
|
|
Campbell
& Company, Inc. is incorporated in Maryland and earns fees as a
commodity trading advisor. CCIA was formed on January 31, 2005
as a limited liability company under the laws of Delaware. CCIA
is registered under the Investment Advisers Act of 1940, as amended, as an
investment adviser. Campbell & Company, Inc. is the sole
member of CCIA. CFS is a broker and dealer in securities
(“broker-dealer”) whose sole stockholder is Campbell & Company,
Inc. CGPF is a limited partnership of which Campbell &
Company, Inc. is the general partner. CGPF operates as a
commodity investment pool and engages in the speculative trading of
futures contracts and forward currency contracts. CQMSF is a
limited liability company of which Campbell & Company, Inc. is the
managing member and CCIA is the Investment Adviser. CQMSF
operates as an investment fund and engages in the speculative trading of
futures contracts, forward currency contracts, options on forward currency
contracts and equity securities. CGAF FME and CGAF Multi are
both registered as a Segregated Accounts Company (SAC) under the laws of
the Commonwealth of the Bahamas. Campbell & Company, Inc.
is the trading advisor of CGAF FME and CCIA is the trading advisor of CGAF
Multi. Campbell & Company, Inc. owns all the voting shares
of CGAF. CGAF FME engages in the speculative trading of futures
contracts, forward currency contracts and options on forward currency
contracts. CGAF Multi engages in the speculative trading of
futures contracts, forward currency contracts, options on forward currency
contracts and securities.
|
|
Campbell
& Company, Inc., CGPF, CGAF FME and CGAF Multi are subject to the
regulations of the Commodity Futures Trading Commission, an agency of the
United States (U.S.) government, which regulates most aspects of the
commodity futures industry, and the rules of the National Futures
Association, an industry self-regulatory organization. CGPF,
CQMSF, CGAF FME and CGAF Multi are also subject to the requirements of
commodity exchanges, brokers, and interbank market makers through which
they trade. CCIA is subject to the regulations of the
Securities and Exchange Commission (SEC) under the Investment Advisers Act
of 1940. CQMSF is also subject to the requirements of the
SEC. CGAF FME and CGAF Multi are subject to the supervision of
the Securities Commission of the Bahamas and applicable regulations of the
Irish Stock Exchange. CFS is registered with the SEC as a
broker-dealer and is a member of the Financial Industry Regulatory
Authority (FINRA). As a broker-dealer, CFS must meet the net
capital provisions of Rule 15c3-1 of the Securities Exchange Act of
1934.
|
84
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
(Unaudited)
_______________
Note
1.
|
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) |
B.
|
Method
of Reporting
|
|
The
Company’s consolidated balance sheet is presented in accordance with
accounting principles generally accepted in the United States of
America. The preparation of a consolidated balance sheet 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 contingent assets and liabilities at the date of the consolidated
balance sheet. Actual results could differ from those
estimates, and such differences may be material to the consolidated
balance sheet.
|
|
The
consolidated balance sheet includes the accounts of Campbell &
Company, Inc., CCIA, CFS, CGPF, CQMSF, CGAF FME and CGAF Multi at March
31, 2010. The wholly-owned and other subsidiaries of Campbell
& Company, Inc. have been consolidated by Campbell & Company, Inc.
pursuant to the Consolidation Topic of
the Financial Accounting Standards Board (FASB) Accounting Standards
Codification (ASC), referred to as FASB ASC or the
Codification. Intercompany accounts and transactions have been
eliminated in consolidation. The interest of CGPF, CQMSF, CGAF
FME and CGAF Multi not owned by Campbell & Company, Inc. is presented
as noncontrolling interest in the consolidated balance
sheet.
|
|
C.
|
Cash
and Cash Equivalents
|
|
Cash
and cash equivalents consist of cash, certificates of deposit and money
market mutual funds readily convertible into
cash.
|
|
D.
|
Fair
Value
|
|
The
Company’s assets and liabilities measured on a recurring basis are
reported at fair value pursuant to the provisions of the Fair Value Measurements and
Disclosures Topic of the Codification. Fair value is
defined as the price that would be received to sell an asset or paid to
transfer a liability in an orderly transaction between market participants
at the measurement date. The fair value hierarchy, as set forth
in the Fair Value
Measurements and Disclosures Topic of the Codification, prioritizes
the inputs to valuation techniques used to measure fair value into three
broad levels: quoted market prices in active markets for
identical assets or liabilities (Level 1); inputs other than quoted market
prices that are observable for the asset or liability, either directly or
indirectly (Level 2); and unobservable inputs for an asset or liability
(Level 3). If the inputs used to measure a financial instrument
fall within different levels of the fair value hierarchy, the
categorization is based on the lowest level input that is significant to
the measurement of that financial
instrument.
|
85
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
(Unaudited)
_______________
Note
1.
|
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) |
|
D.
|
Fair
Value (continued)
|
|
The
Fair Value Measurements
and Disclosures Topic of the Codification provides that if the
reporting entity has the ability to redeem its investment in another
investment fund or entity at net asset value at the measurement date, the
investment shall be categorized as a Level 2 fair value measurement, and
if the reporting entity cannot redeem its investment in another investment
fund or entity at net asset value at the measurement date but the
investment will be redeemable at a future date, the reporting entity shall
consider the length of time until the investment will be redeemable in
determining whether it will be categorized as a Level 2 or Level 3 fair
value measurement. Accordingly, the Company’s investments in
sponsored and other funds are categorized as either Level 2 or Level 3
fair value measurements.
|
E. Futures
Contracts, Forward Currency Contracts, and Options on Forward Currency
Contracts
|
Investment
transactions are accounted for on the trade date. Net
unrealized gains or losses on open contracts (the difference between
contract trade price and market price) are reported in the consolidated
balance sheet as a net gain or loss, as there exists a right of offset of
unrealized gains or losses in accordance with FASB ASC 210-20, Offsetting
– Balance Sheet. The fair 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 currency
(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 option (non-exchange traded) contracts is calculated by
applying an industry-standard adaptation of the Black-Scholes options
valuation model to foreign currency options, using as input, the spot
prices, interest rates and option implied volatilities quoted as of 3:00
P.M. (E.T.) on the last business day of the reporting
period. When the Company writes an option, an amount equal to
the premium received by the Company is reflected as an asset and an
equivalent liability. The amount of the liability is
subsequently marked-to-market to reflect the current fair value of the
option written.
|
|
F.
|
Securities
|
|
Security
transactions are accounted for on the trade date. Securities listed or
quoted on an exchange and national market issues traded in the
over-the-counter market are valued at the last reported sales price on the
valuation date. The Company sells securities not owned at the
time of sale (a “short sale”). When the Company engages in a
short sale, an amount equal to the proceeds received by the Company is
reflected as an asset and an equivalent liability. The amount
of the liability is subsequently marked-to-market to reflect the current
market value of the short sale.
|
|
The
Company’s trading of equity securities in Japan is completed each day
prior to the close of business in the U.S. markets. These
securities are valued based on the last reported sales price on the
Japanese exchanges. Events may occur subsequent to the
valuation of the Japanese securities that may not be reflected as of the
close of business of the U.S. markets. If events occur during
such period and are deemed material, those securities may be valued at
fair value as determined in good faith by the
Company.
|
86
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
(Unaudited)
_______________
Note
1.
|
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) |
|
F.
|
Securities
(continued)
|
|
Fixed
income securities consist of U.S. government securities which are stated
at cost plus accrued interest, which approximates fair
value.
|
|
G.
|
Property
and Equipment
|
|
Property
and equipment are stated at cost. Depreciation and amortization
is provided for over the estimated useful lives of the assets using
straight-line and accelerated methods. Such lives range from 3
to 39 years.
|
|
H.
|
Investments
in Sponsored and Other Funds
|
|
Investments
in sponsored and other funds are reported at fair value at the date of the
consolidated balance sheet. Fair value ordinarily is the value
determined for each sponsored or other fund in accordance with such fund’s
valuation policies and reported at the time of the Company’s valuation.
Generally, the fair value of the Company’s investment in a sponsored or
other fund equals the underlying net asset value and represents the amount
the Company could reasonable expect to receive from such sponsored or
other fund if the Company’s investment was redeemed at the time of
valuation.
|
|
I.
|
Revenue
Recognition
|
|
Advisory
and management fees accrue monthly based on a percentage of assets under
management. Performance fees may be earned by achieving defined
performance objectives. Performance fees are accrued when the
conditions of the applicable performance fee agreements are
satisfied. Commission revenue is recognized when earned, based
on the terms of the underlying
agreements.
|
J. Income
Taxes
|
The
Company has elected S corporation status under the Internal Revenue Code,
pursuant to which the Company does not pay U.S. or Maryland income
taxes. The Company files U.S. federal and state tax returns and
is subject to state income taxes in certain states in which it conducts
business, and adequate provision for such is provided for in the
consolidated balance sheet. The Company’s taxable income is
taxable to the stockholders on an individual
basis.
|
|
The
Company filed on behalf of CFS, a Subchapter S Subsidiary election under
the Internal Revenue Code whereby CFS’s taxable income will “flow-through”
to Campbell & Company, Inc. and be subject to their U.S. federal and
state taxation status.
|
|
As
CCIA, CGPF and CQMSF are either a limited liability company or a limited
partnership, they report to their members or partners, including Campbell
& Company, Inc., their allocable shares of income, expenses, gains and
losses. Such income, expenses, gains and losses are then
taxable to the Company’s stockholders on an individual
basis.
|
|
CGAF
FME and CGAF Multi are not subject to taxation in the Commonwealth of The
Bahamas, the U.S. or any other jurisdiction. CGAF Multi is
subject to U.S. withholding on certain income
earned.
|
87
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
(Unaudited)
_______________
Note
1.
|
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) |
J. Income
Taxes (continued)
|
The
Company has continued to evaluate uncertain tax positions under ASC 740,
Income Taxes, and has determined that ASC 740 does not have a material
impact on the Company’s consolidated balance sheet. The Company
has an accounting policy to classify tax related interest and penalties,
if any, as interest expense. The 2006 through 2009 tax years
generally remain subject to examination by U.S. federal and most state tax
authorities.
|
|
K.
|
Foreign
Currency Transactions
|
|
The
Company’s functional currency is the U.S. dollar; however, it transacts
business in currencies other than the U.S. dollar. Assets and
liabilities denominated in currencies other than the U.S. dollar are
translated into U.S. dollars at the rates in effect at the date of the
consolidated balance sheet.
|
|
L.
|
Recently Issued Accounting
Pronouncements
|
In June
2009, the FASB issued amended accounting principles which changed the criteria
for determining whether to consolidate Variable Interest Entities
(VIE’s). These accounting principles were codified in Accounting
Standard Update (ASU) No. 2009-17, “Improvements to Financial Reporting by
Enterprises Involved with Variable Interest Entities” in December
2009. Under ASU No. 2009-17, the determination of whether to
consolidate a VIE is based on the power to direct the activities of a VIE that
most significantly impact the VIE’s economic performance together with either
the obligation to absorb losses or the right to receive benefits that could be
significant to the VIE. ASU No. 2009-17 is effective for reporting
periods beginning after November 15, 2009.
|
In
February 2010, the FASB issued ASU 2010-10, Consolidation (Topic 810),
“Amendments to Certain Investment Funds,” which indefinitely defers the
effective date of ASU 2009-17 for a reporting entities interest in an
entity that has all the attributes of an investment company (e.g., mutual
fund, hedge fund, etc.), provided that the entity does not have an
explicit or implicit obligation to fund actual losses that potentially
could be significant to the investee entity. The ASU also
clarifies certain conditions under which fees paid to a decision maker or
service provider are considered variable interests in a variable interest
entity. We identified a sponsored fund in which we invest and
which we provide asset management services that may be required to
consolidate under the provisions of ASU 2009-17. In accordance
with the provisions of ASU 2010-10, we deferred adoption of ASU 2009-17
for this sponsored fund. We have not yet completed our
assessment of the effect, if any, that the lapsing of the deferral period
will have on the Company’s consolidated balance
sheet.
|
88
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
(Unaudited)
_______________
Note
1.
|
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) |
|
L.
|
Recently Issued Accounting
Pronouncements (continued)
|
|
Effective
January 1, 2010, the Company adopted the applicable effective portions of
ASU No. 2010-06 (ASU 2010-06) entitled “Fair Value Measurements and
Disclosures (Topic 820) – Improving Disclosures about Fair Value
Measurements.” ASU 2010-06 adds new disclosure requirements
about transfers into and out of Levels 1 and 2 and separate disclosures
about purchases, sales, issuances and settlements in the reconciliation
for fair value measurements using significant unobservable inputs (Level
3). It also clarifies existing disclosure requirements relating
to the levels of disaggregation for fair value measurement and inputs and
valuation techniques used to measure fair value. ASU 2010-06 is
effective for interim and annual reporting periods beginning after
December 15, 2009, except for disclosures about purchases, sales,
issuances and settlements in the roll forward of activity in Level 3 fair
value measurements, which are effective for fiscal years beginning after
December 15, 2010, and for interim periods within those fiscal
years. The adoption of this accounting pronouncement did not
have a material impact on the Company’s consolidated balance
sheet.
|
Note
2.
|
FAIR
VALUE
|
|
The
following summarizes the Company’s assets and liabilities accounted for at
fair value at March 31, 2010 using the fair value
hierarchy:
|
Description
|
Level
1
|
Level
2
|
Level
3
|
Total
|
||||||||||||
Cash
and cash equivalents
|
$ | 57,566,375 | $ | - | $ | - | $ | 57,566,375 | ||||||||
Investments
in sponsored funds
|
- | 34,437,963 | 17,330,141 | 51,768,104 | ||||||||||||
Investment
in other fund
|
- | 4,732,115 | - | 4,732,115 | ||||||||||||
Fixed
income securities
|
- | 86,295,368 | - | 86,295,368 | ||||||||||||
Equity
securities
|
60,064,248 | - | - | 60,064,248 | ||||||||||||
Equity
securities sold short
|
(59,871,200 | ) | - | - | (59,871,200 | ) | ||||||||||
Options
purchased
|
- | 200,148 | - | 200,148 | ||||||||||||
Options
written
|
- | (64,033 | ) | - | (64,033 | ) | ||||||||||
Futures
contracts
|
2,991,190 | - | - | 2,991,190 | ||||||||||||
Forward
currency contracts
|
- | 76,210 | - | 76,210 | ||||||||||||
Total
|
$ | 60,750,613 | $ | 125,677,771 | $ | 17,330,141 | $ | 203,758,525 |
|
A
reconciliation of the beginning and ending balances for each major
category of assets measured at fair value on a recurring basis using
significant Level 3 inputs for the period January 1, 2010 through
March 31, 2010, is as follows:
|
Level
3 Fair Value
|
||||
Measurements
– Investments
|
||||
in Sponsored
Funds
|
||||
Beginning
balance, December 31, 2009
|
$ | 18,067,343 | ||
Total
(loss) included in net income
|
(737,202 | ) | ||
Ending
balance, March 31, 2010
|
$ | 17,330,141 |
89
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
(Unaudited)
_______________
Note2.
|
FAIR VALUE
(CONTINUED)
|
|
The
following summarizes the carrying amount and fair value of the Company’s
other financial instruments at March 31,
2010:
|
Carrying
|
Fair
|
|||||||
Amount
|
Value
|
|||||||
Assets
|
||||||||
Cash
surrender value of life insurance
|
$ | 596,952 | $ | 596,952 | ||||
Liabilities
|
||||||||
Subordinated
debt
|
$ | 130,845,634 | $ | 130,845,634 |
Note
3.
|
INVESTMENTS IN
SPONSORED AND OTHER FUNDS
|
Investments in sponsored funds consist
of the following at March 31, 2010:
The
Campbell Multi-Strategy Trust
|
$ | 32,290,403 | ||
Campbell
Strategic Allocation Fund, L.P.
|
15,228,925 | |||
Campbell
Alternative Asset Trust
|
2,101,216 | |||
Campbell
Financial Futures Fund Limited Partnership
|
2,100,876 | |||
The
Campbell Fund Trust
|
46,684 | |||
Total
|
$ | 51,768,104 |
|
In
addition to its investments in these sponsored funds, the Company has
General Partner, Adviser, Managing Owner, Managing Member, or Managing
Operator responsibilities with regards to the
following:
|
|
The Campbell
Multi-Strategy Trust
|
|
The
Company acts as Adviser of The Campbell Multi-Strategy Trust
(CMST).
|
|
Summarized
financial information with respect to CMST as of March 31, 2010 is as
follows:
|
Balance
Sheet Data
|
||||
Assets
|
$ | 254,566,765 | ||
Liabilities
|
125,410,387 | |||
Net
Asset Value
|
$ | 129,156,378 |
90
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
(Unaudited)
_______________
Note
3.
|
INVESTMENTS IN
SPONSORED AND OTHER FUNDS
(CONTINUED)
|
|
The Campbell
Multi-Strategy Trust
(continued)
|
|
The
Company has agreed to advance funds to CMST necessary to pay organization
and offering costs related to CMST’s initial and continuous
offerings. The Company is reimbursed such amounts by CMST at
the rate of 0.75% per annum of CMST’s net assets. The Company
reflects a receivable of $97,371 as of March 31, 2010 from CMST for
offering costs due to be reimbursed. Such amount is included in
Other receivables in the consolidated balance sheet. The
remaining unreimbursed offering costs of $1,370,235 at March 31, 2010 is
included in Other assets in the consolidated balance
sheet. They are carried on the Company’s books as an asset
because of the probable future economic benefit to be obtained from the
eventual receipt from CMST of these reimbursements, even though CMST is
not liable for this amount at the current time. In the event
CMST terminates prior to the completion of any reimbursement of the
offering costs, the Company will not be entitled to any additional
reimbursement from CMST. The Company analyzes the value of the
unreimbursed organization and offering costs on its consolidated balance
sheet on a quarterly basis to ensure that the carrying value is an
accurate estimate of what the Company can expect to receive over time, and
expenses any excess value on its
books.
|
Campbell Strategic
Allocation Fund, L.P.
|
The
Company is the General Partner and commodity trading advisor of Campbell
Strategic Allocation Fund, L.P. (Strategic). As General
Partner, the Company receives from Strategic a monthly brokerage fee and a
quarterly performance fee. Such fees represented approximately
63% of the Company’s advisory and performance fee revenues for the period
January 1, 2010 through March 31, 2010. Of these fees,
$3,957,589 is included in advisory and performance fees receivable at
March 31, 2010.
|
|
Summarized
financial information with respect to Strategic as of March 31, 2010 is as
follows:
|
Balance
Sheet Data
|
||||
Assets
|
$ | 1,581,293,819 | ||
Liabilities
|
63,022,080 | |||
Net
Asset Value
|
$ | 1,518,271,739 |
|
The
Company has committed to maintaining an investment in Strategic equal to
at least 1% of the net aggregate capital contributions of all
partners. The Company is further bound by Strategic’s Amended
Agreement of Limited Partnership to maintain net worth equal to at least
5% of the capital contributed by all the limited partnerships for which
the Company acts as General Partner. The minimum net worth
shall in no case be less than $50,000 nor shall net worth in excess of
$1,000,000 be required.
|
91
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
(Unaudited)
_______________
Note
3.
|
INVESTMENTS IN
SPONSORED AND OTHER FUNDS
(CONTINUED)
|
Campbell Strategic
Allocation Fund, L.P. (continued)
|
As
General Partner, the Company incurs costs in connection with Strategic’s
initial and continuous offerings. The Company reflects a
receivable of $296,455 as of March 31,
2010, from Strategic for offering costs due to be
reimbursed. Of that amount, $196,827 is included in Receivable
from Campbell Strategic Allocation Fund, L.P. in the consolidated balance
sheet. The remaining unreimbursed offering costs of $99,628 at
March 31, 2010 are included in Other assets in the consolidated balance
sheet. They are carried on the Company’s books as an asset
because of the probable future economic benefit to be obtained from the
eventual receipt from Strategic of these reimbursements, even though
Strategic is not liable for this amount at the current
time. The Company recognizes the newly recalculated amount due
from Strategic each month as a receivable, which reduces the balance
remaining as an Other asset. The Company analyzes the value of
the remaining Other asset on its consolidated balance sheet on a quarterly
basis to ensure that the carrying value is an accurate estimate of what
the Company can expect to receive over time, and expenses any excess value
on its books.
|
|
At
March 31, 2010, $5,264,992 in selling agent commissions are subject to
future reimbursement, all of which is included in a Receivable from
Campbell Strategic Allocation Fund, L.P. in the consolidated balance
sheet.
|
|
In
the event Strategic terminates prior to the completion of any
reimbursement of the aforementioned costs, the Company will not be
entitled to any additional reimbursement from
Strategic.
|
|
Campbell Alternative
Asset Trust
|
|
The
Company is the Managing Owner and commodity trading advisor of Campbell
Alternative Asset Trust (CAAT). The Trustee of CAAT has
delegated to the Managing Owner all of the power and authority to manage
the business affairs of CAAT. The net asset value of CAAT at
March 31, 2010 is $28,102,285.
|
|
The
Company has committed to maintaining an investment in CAAT equal to at
least 1% of the total capital accounts of CAAT. The Company’s
capital account balance as of March 31, 2010 is $2,101,216. The
Company is further bound by CAAT’s Third Amended and Restated Declaration
of Trust and Trust Agreement to maintain net worth equal to at least
$1,000,000.
|
|
As
Managing Owner, the Company has agreed to advance funds to CAAT necessary
to pay organization and offering costs related to CAAT’s initial and
continuous offerings. The Company is reimbursed such amounts by
CAAT at the rate of 0.9% per annum of CAAT’s net assets. The
Company reflects a receivable of $5,471 at March 31, 2010 from CAAT for
offering costs due to be reimbursed. Such amount is included in
Other receivables in the consolidated balance sheet. The
remaining unreimbursed offering costs of $3,295 at March 31, 2010 are
included in Other assets in the consolidated balance
sheet. They are carried on the Company’s books as an asset
because of the probable future economic benefit to be obtained from the
eventual receipt from CAAT of these reimbursements, even though CAAT is
not liable for this amount at the current time. In the event
CAAT terminates prior to the completion of any reimbursement of the
offering costs, the Company will not be entitled to any additional
reimbursement from CAAT. The Company analyzes the value of the
unreimbursed organization and offering costs on its consolidated balance
sheet on a quarterly basis to ensure that the carrying value is an
accurate estimate of what the Company can expect to receive over time, and
expenses any excess value on its
books.
|
92
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
(Unaudited)
_______________
Note
3.
|
INVESTMENTS IN
SPONSORED AND OTHER FUNDS
(CONTINUED)
|
Campbell Financial Futures
Fund Limited Partnership
The
Company acts as General Partner of Campbell Financial Futures Fund Limited
Partnership (Financial Futures). The net asset value of
Financial Futures as of March 31, 2010 is
$14,928,625.
|
|
The Campbell Fund
Trust
|
|
The
Company is the Managing Operator of The Campbell Fund Trust (the
Trust). The Trustee of the Trust has delegated to the Managing
Operator all of the power and authority to manage the business affairs of
the Trust. The net asset value of the Trust at March 31, 2010
is $332,825,399.
|
|
As
Managing Operator, the Company has agreed to advance funds to the Trust
necessary to pay organization and offering costs related to the Trust’s
initial and continuous offerings. The Company is reimbursed by
the Trust for the amount of such costs applicable to certain Series of the
Trust at the rate of 0.5% per annum of the applicable Series’ net
assets. The Company reflects a current receivable at March 31,
2010 of $13,016 from Series A and $3,090 from Series W of the Trust for
offering costs due to be reimbursed. Such amount is included in
Other receivables in the consolidated balance sheet. The
remaining unreimbursed offering costs of $1,952,151 for Series A of the
Trust, and $376,111 for Series W of the Trust at March 31, 2010, is
included in Other assets in the consolidated balance
sheet. They are carried on the Company’s books as an asset
because of the probable future economic benefit to be obtained from the
eventual receipt from the Trust of these reimbursements, even though the
Trust is not liable for this amount at the current time. The
Company analyzes the value of the unreimbursed organization and offering
costs on its consolidated balance sheet on a quarterly basis to ensure
that the carrying value is an accurate estimate of what the Company can
expect to receive over time, and expenses any excess value on its
books.
|
|
The
Company also pays, up-front, a 2% commission to selling agents who sell
units of Series A of the Trust. The Company is then reimbursed
by the Trust for this cost, over twelve months, through a fee, which is
based on the monthly net asset value of the Series A units. At
March 31, 2010, $356,242 in selling agent commissions are subject to
future reimbursement, of which $13,016 is included in Other receivables in
the consolidated balance sheet. The remaining $343,226 is
included in Other assets in the consolidated balance
sheet.
|
|
In
the event the Trust terminates prior to the completion of reimbursement of
the aforementioned costs, the Company will not be entitled to any
additional reimbursement from the
Trust.
|
|
Investment in Other
Fund
|
|
In
September 2009, Campbell & Company, Inc. made an investment of
$5,000,000 in a non-sponsored or other fund, Lyxor/Campbell Fund Limited
(Lyxor). The Company’s capital account balance as of
March 31, 2010 is $4,732,115. Lyxor is a limited liability
company formed under the laws of Jersey, Channel Islands. Lyxor
engages primarily in the speculative trading of futures contracts and
forward currency contracts. Campbell & Company, Inc. is the
Trading Advisor of Lyxor, but does not act in any management capacity with
respect to Lyxor.
|
93
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
(Unaudited)
_______________
Note
3.
|
INVESTMENTS IN
SPONSORED AND OTHER FUNDS
(CONTINUED)
|
|
Additional
information with respect to investment strategies, as well as redemption
and liquidity provisions, and other relevant information with respect to
the Company’s investments in sponsored funds and other funds at March 31,
2010, is as follows:
|
Investments
|
Investment
Strategy
|
Fair
Value
|
Unfunded
Commitments
|
Redemption
Frequency
|
Redemption
Notice
Period
|
Redemption
Restrictions
|
The
Campbell Multi-Strategy Trust
|
Multi-Strategy(1)
|
$
32,290,403(3)
|
$ 0
|
Quarterly(4)
|
14
days prior to last business day of the quarter(4)
|
Potential
Restriction(7)
|
Campbell
Strategic Allocation Fund, L.P.
|
Managed
Futures(2)
|
$
15,228,925(3)
|
$ 0
|
Monthly(5)
|
10
business days prior to end of month(5)
|
General
Partner Restriction(8)
|
Campbell
Alternative Asset Trust
|
Managed
Futures(2)
|
$ 2,101,216
(3)
|
$ 0
|
Monthly(5)
|
10
business days prior to end of month(5)
|
Managing
Owner Restriction(9)
|
Campbell
Financial Futures Fund Limited Partnership
|
Managed
Futures(2)
|
$2,100,876
(3)
|
$ 0
|
Monthly(5)
|
10
business days prior to end of month(5)
|
General
Partner Restriction(8)
|
The
Campbell Fund Trust
|
Managed
Futures(2)
|
$ 46,684(3)
|
$ 0
|
Monthly(5)
|
10
business days prior to end of month(5)
|
None
|
Lyxor/Campbell
Fund Limited
|
Managed
Futures(2)
|
$
4,732,115 (3)
|
$ 0
|
Weekly(6)
|
Dealing
Day(6)
|
None
|
|
(1)
|
This
category consists of an investment in a fund that engages in the
speculative trading of securities, U.S. and foreign futures contracts,
forward currency contracts, and options on forward currency
contracts.
|
|
(2)
|
This
category consists of an investment in a fund that engages in the
speculative trading of U.S. and foreign futures contracts, forward
currency contracts, and options on forward currency
contracts.
|
|
(3)
|
The
fair values of these investments have been estimated using the net asset
value.
|
|
(4)
|
The
Company may redeem all or a portion of its investment on a quarterly basis
subject to providing notice 14 days prior to the last business day of the
quarter.
|
|
(5)
|
The
Company may redeem its investment on a monthly basis subject to providing
notice 10 business days prior to the end of the
month.
|
|
(6)
|
The
Company may redeem its investment on a weekly basis subject to providing
notice prior to the Dealing Day (which is each Friday, and if such day is
not a business day, the immediate following business
day).
|
|
(7)
|
In
the event that quarterly requests for redemptions exceed 5%-25% of CMST’s
outstanding shares, redemptions by the Company may be limited to its pro
rata share of all outstanding redemption requests as of such quarter
end.
|
|
(8)
|
The
Company, as General Partner, must maintain an investment equal to at least
1% of the net aggregate capital contributions of all
partners.
|
|
(9)
|
The
Company, as Managing Owner, must maintain an investment equal to 1% of the
total capital accounts of CAAT.
|
94
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
(Unaudited)
_______________
Note
4.
|
DERIVATIVES
|
|
Campbell
& Company, Inc., as the Trading Advisor of and on behalf of CGPF and
CGAF FME, and CCIA, as the Trading Advisor of and on behalf of CQMSF and
CGAF Multi, engage in the speculative trading of futures contracts,
forward currency contracts and options on forward currency contracts
(collectively, “derivatives”) for the purpose of achieving capital
appreciation. None of these derivative instruments are
designated as hedging instruments, as defined by the Derivatives and Hedging
Topic of the Codification. Campbell & Company, Inc.’s and
CCIA’s basic market risk control procedures with respect to derivatives
consist of continuously monitoring open positions, diversification of the
portfolio and maintenance of a margin-to-equity ratio that rarely exceeds
30%. The Company’s attempt to manage market risk on open
derivative positions is essentially the same in all market categories
traded. The 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, the
Company follows diversification guidelines (often formulated in terms of
the balanced volatility between markets and correlated groups), as well as
pre-calculating “stop-loss” points at which systems will signal to close
open positions.
|
|
The
following presents the fair value of open derivative contracts at March
31, 2010. The fair value of open derivative contracts is
presented as an asset if in a gain position and as a liability if in a
loss position. Fair value is presented on a gross basis in the
table below even though the derivative contracts qualify for net
presentation in the consolidated balance
sheet.
|
Asset
|
Liability
|
||||||||||||
Derivatives
at
|
Derivatives
at
|
||||||||||||
March
31,
|
March
31,
|
||||||||||||
Consolidated
|
2010
|
2010
|
|||||||||||
Type of
Instrument
|
Balance Sheet
Location
|
Fair
Value
|
Fair
Value
|
Net
|
|||||||||
Agricultural
Contracts
|
Net
unrealized gain on open
|
||||||||||||
futures
contracts
|
$ | 382,392 | $ | (85,722 | ) | $ | 296,670 | ||||||
Energy
Contracts
|
Net
unrealized gain on open
|
||||||||||||
futures
contracts
|
644,974 | - | 644,974 | ||||||||||
Metal
Contracts
|
Net
unrealized gain on open
|
||||||||||||
futures
contracts
|
1,113,977 | (487,740 | ) | 626,237 | |||||||||
Stock
Indices Contracts
|
Net
unrealized gain on open
|
||||||||||||
futures
contracts
|
1,286,778 | (129,294 | ) | 1,157,484 | |||||||||
Short-Term
Interest Rate Contracts
|
Net
unrealized gain on open
|
||||||||||||
futures
contracts
|
497,622 | (94,062 | ) | 403,560 | |||||||||
Long-Term
Interest Rate Contracts
|
Net
unrealized gain on open
|
||||||||||||
futures
contracts
|
455,058 | (592,790 | ) | (137,732 | ) | ||||||||
Forward
Currency Contracts
|
Net
unrealized gain on open
|
||||||||||||
forward
currency contracts
|
4,006,270 | (3,930,060 | ) | 76,210 | |||||||||
Options
purchased
|
Options
purchased, at fair
|
||||||||||||
value
|
200,148 | - | 200,148 | ||||||||||
Options
written
|
Options
written, at fair
|
||||||||||||
value
|
- | (64,033 | ) | (64,033 | ) | ||||||||
Totals
|
$ | 8,587,219 | $ | (5,383,701 | ) | $ | 3,203,518 |
95
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
(Unaudited)
_______________
Note
5.
|
TRADING AND INVESTING
ACTIVITIES AND THEIR RELATED
RISKS
|
|
CGPF
deposits funds with Newedge USA, LLC to act as commodity broker subject to
Commodity Futures Trading Commission regulations and various exchange and
broker requirements. Margin requirements are satisfied by the
deposit of U.S. Treasury bills and cash with such
broker. Accordingly, assets used to meet margin or other broker
or regulatory requirements are partially restricted. Cash and
the fair value of fixed income securities on deposit with Newedge USA, LLC
at March 31, 2010 amounted to
$24,424,975.
|
|
CQMSF
deposits funds with Citigroup Global Markets Inc. to act as commodity
broker subject to Commodity Futures Trading Commission regulations and
various exchange and broker requirements. Margin requirements
are satisfied by the deposit of U.S. Treasury bills and cash with such
broker. Accordingly, assets used to meet margin or other broker
or regulatory requirements are partially restricted. Cash and the fair
value of fixed income securities on deposit with Citigroup Global Markets
Inc. at March 31, 2010 amounted to
$65,705,185.
|
|
CGAF
FME and CGAF Multi deposit funds with Newedge USA, LLC to act as commodity
broker subject to Commodity Futures Trading Commission regulations and
various exchange and broker requirements. Margin requirements
are satisfied by the deposit of U.S. Treasury bills and cash with such
broker. Accordingly, assets used to meet margin or other broker
or regulatory requirements are partially restricted. Cash and the fair
value of fixed income securities on deposit with Newedge USA, LLC at March
31, 2010 for CGAF FME amounted to $18,479,390. Cash and the
fair value of fixed income securities on deposit with Newedge USA, LLC at
March 31, 2010 for CGAF Multi amounted to
$11,661,441.
|
|
CQMSF
and CGAF Multi deposit cash and equity securities with Morgan Stanley
& Co. Incorporated (Morgan Stanley) subject to Securities and Exchange
Commission regulations and broker requirements. Margin
requirements are satisfied by the deposit of cash and equity securities
with Morgan Stanley. Accordingly, assets used to meet margin or
other broker or regulatory requirements are partially restricted. Cash and
equity securities on deposit with Morgan Stanley at March 31, 2010 for
CQMSF amounted to $13,334,117. Cash and equity securities on
deposit with Morgan Stanley at March 31, 2010 for CGAF Multi amounted to
$3,133,871.
|
|
CGPF,
CQMSF, CGAF FME and CGAF Multi trade forward currency and options on
forward currency contracts in unregulated markets between principals and
assumes the risk of loss from counterparty nonperformance. Accordingly,
the risks associated with forward currency and options on forward currency
contracts are generally greater than those associated with exchange traded
contracts because of the greater risk of counterparty
default. Additionally, the trading of forward currency and
options on forward currency contracts typically involves delayed cash
settlement.
|
|
The
Company deposits cash and cash equivalents with financial institutions in
connection with its operating and cash management activities and in
connection with its trading of foreign currency and options on foreign
currency contracts. In the event of a financial institution’s
insolvency, recovery of Company assets on deposit may be limited to
account insurance or other protection afforded such
deposits.
|
96
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
(Unaudited)
_______________
Note
5.
|
TRADING AND INVESTING
ACTIVITIES AND THEIR RELATED RISKS
(CONTINUED)
|
|
Certain
of the Company’s subsidiaries, and the sponsored or other funds for which
the Company is either the General Partner, Adviser, Managing Owner,
Managing Member, Managing Operator and/or Trading Advisor, engage in the
speculative trading of U.S. and foreign futures contracts, forward
currency contracts and other derivative contracts (collectively,
“derivatives”). The Company and the sponsored and other funds
are exposed to both market risk, the risk arising from changes in the fair
value of the contracts, and credit risk, the risk of failure by another
party to perform according to the terms of a
contract.
|
|
Purchase
and sale of futures contracts require margin deposits with the commodity
broker. Additional deposits may be necessary for any loss on
contract value. The Commodity Exchange Act requires a commodity
broker to segregate all customer transactions and assets from such
broker’s proprietary activities. A customer’s cash and other
assets (for example, U.S. Treasury bills) deposited with a commodity
broker are considered commingled with all other customer funds, subject to
the commodity broker’s segregation requirements. In the event
of a commodity broker’s insolvency, recovery of assets on deposit may be
limited to a pro rata share of segregated funds available. It
is possible that the recovered amount could be less than cash and other
assets deposited.
|
|
For
derivatives, risks arise from changes in the fair value of the
contracts. Theoretically, the sponsored and other funds, and
the Company, both directly and indirectly as an investor in the sponsored
and other funds, are exposed to the market risks of derivative
contracts. They are exposed to a market risk equal to the
notional contract value of derivatives purchased and unlimited liability
on derivatives sold short. As both a buyer and seller of
options, certain of the Company’s subsidiaries and the sponsored funds pay
or receive a premium at the outset and then bear the risk of unfavorable
changes in the price of the contract underlying the
option. Written options expose the Company and certain of the
sponsored funds to potentially unlimited liability, and purchased options
expose the Company and certain of the sponsored funds to a risk of loss
limited to the premiums paid.
|
|
Certain
of the Company’s subsidiaries and certain sponsored funds engage in the
trading of securities which are typically traded on an exchange or in the
over-the-counter market. Such subsidiaries and sponsored funds
also sell securities not owned at the time of sale (a “short
sale”). Risks arise from short sales due to the possible
illiquidity of the securities markets and from potential adverse movements
in security values. Theoretically, short sales expose such
sponsored funds and the Company to potentially unlimited liability as the
ultimate obligation to purchase a security sold short may exceed the
amount recorded in such subsidiaries and sponsored funds’ balance
sheet.
|
|
The
Company has established procedures to actively monitor the market risk and
minimize the credit risk of its own trading and investing activities, as
well as the trading and investing activities of the sponsored
funds. There can be no assurance that the Company will, in
fact, succeed in doing so. Additionally, the Company, in its
capacity as General Partner, Managing Owner, Managing Member or Managing
Operator of certain of its subsidiaries and of the sponsored funds, is
subject to certain additional risks of loss and liability for the
activities of such subsidiaries and sponsored
funds.
|
97
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
(Unaudited)
_______________
Note
6.
|
INDEMNIFICATIONS
|
|
In
the normal course of business, the Company enters into contracts and
agreements that contain a variety of representations and warranties and
which provide general indemnifications. The Company’s maximum
exposure under these arrangements is unknown, as this would involve future
claims that may be made against the Company that have not yet
occurred. The Company expects the risk of any future obligation
under these indemnifications to be
remote.
|
Note
7.
|
NONCONTROLLING
INTEREST AND STOCKHOLDERS’
EQUITY
|
|
The
Company is the General Partner and commodity trading advisor of
CGPF. The net asset value of CGPF at March 31, 2010 is
$24,995,019. The net asset value of Campbell & Company,
Inc.’s investment in CGPF at March 31, 2010 is $9,888,240, and the net
asset value of the noncontrolling interest is $15,106,779. The
noncontrolling interest is owned by the majority stockholder of Campbell
& Company, Inc., an affiliate of the majority stockholder of Campbell
& Company, Inc., and one unaffiliated limited
partner.
|
|
The
Company is the Managing Member and Investment Adviser of
CQMSF. The net asset value of CQMSF at March 31, 2010 is
$81,033,431. The net asset value of Campbell & Company,
Inc.’s investment in CQMSF at March 31, 2010 is $8,317,879, and the net
asset value of the noncontrolling interest is
$72,715,552.
|
|
The
Company is the trading advisor of both CGAF FME and CGAF
Multi. The net asset value of CGAF FME at March 31, 2010 is
$19,131,276. The net asset value of Campbell & Company,
Inc.’s investment in CGAF FME at March 31, 2010 is $8,854,014, and the net
asset value of the noncontrolling interest is $10,277,262. The
net asset value of CGAF Multi at March 31, 2010 is
$15,073,173. The net asset value of Campbell & Company,
Inc.’s investment in CGAF Multi at March 31, 2010 is $10,087,664, and the
net asset value of the noncontrolling interest is
$4,985,509.
|
|
The
following is a reconciliation of the beginning and end of period
stockholders’ equity attributable to the Company and the noncontrolling
interest:
|
Retained
|
Noncontrolling
|
|||||||||||
Earnings
|
Interest
|
Total
|
||||||||||
Balances
at December 31, 2009
|
$ | 9,948,235 | $ | 13,943,382 | $ | 23,891,617 | ||||||
Reclassification
of Noncontrolling Interest
|
||||||||||||
in
sponsored funds, now consolidated
|
||||||||||||
pursuant
to ASC 810
|
- | 88,723,093 | 88,723,093 | |||||||||
Additions
|
- | 835,457 | 835,457 | |||||||||
Net
income (loss)
|
2,257,778 | (416,830 | ) | 1,840,948 | ||||||||
Distributions
and dividends to stockholders
|
(9,997,360 | ) | - | (9,997,360 | ) | |||||||
Balances
at March 31, 2010
|
$ | 2,208,653 | $ | 103,085,102 | $ | 105,293,755 |
98
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
(Unaudited)
_______________
Note
7.
|
NONCONTROLLING
INTEREST AND STOCKHOLDERS’ EQUITY
(CONTINUED)
|
|
Additionally,
the following is a schedule showing the changes in the Company’s ownership
in CGPF, CQMSF, CGAF FME and CGAF Multi on the stockholders’ equity
attributable to the Company:
|
Balances
at
|
Net
income
|
Balances
at
|
||||||||||
December 31,
2009
|
(loss)
|
March 31,
2010
|
||||||||||
Stockholders’
equity
|
||||||||||||
attributable
to
|
||||||||||||
investment
in CGPF
|
$ | 9,826,966 | $ | 61,274 | $ | 9,888,240 | ||||||
Stockholders’
equity
|
||||||||||||
attributable
to
|
||||||||||||
investment
in CQMSF
|
$ | 8,335,938 | $ | (18,059 | ) | $ | 8,317,879 | |||||
Stockholders’
equity
|
||||||||||||
attributable
to
|
||||||||||||
investment
in CGAF FME
|
$ | 9,124,803 | $ | (270,789 | ) | $ | 8,854,014 | |||||
Stockholders’
equity
|
||||||||||||
attributable
to
|
||||||||||||
investment
in CGAF Multi
|
$ | 10,183,610 | $ | (95,946 | ) | $ | 10,087,664 |
Note
8.
|
CAPITAL STOCK SUBJECT
TO REPURCHASE
|
|
The
Company has entered into agreements with its stockholders which stipulate
that upon the death or disability of a stockholder or upon the retirement
or termination of a stockholder’s employment with the Company, the Company
will purchase the stockholders’ capital stock at an amount equal to that
stockholder’s proportionate share of ownership of the net book asset value
of the Company, excluding the retained earnings of the Company accumulated
over the past twelve (12) months. Such redemption value shall
be determined as of the last day of the calendar quarter immediately
preceding the calendar month in which the terminating event
occurred. In accordance with the Distinguishing Liabilities
from Equity Topic of the Codification, the redemption value of all
capital stock has been reclassified from retained earnings to liabilities
(“Capital stock subject to repurchase, at current redemption value”)
within the consolidated balance
sheet.
|
|
Capital
stock subject to repurchase at March 31, 2010 consists
of:
|
Capital
stock
|
||||
Class
A voting, no par, $100 stated value;
|
||||
2,500
shares authorized; 80.32 shares issued
|
||||
and
outstanding
|
$ | 8,032 | ||
Additional
paid-in capital, attributable to those shares
|
35,701 | |||
Retained
earnings, attributable to those shares
|
1,535,988 | |||
$ | 1,579,721 |
99
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
(Unaudited)
_______________
Note
9.
|
SUBORDINATED
DEBT
|
|
The
Company has entered into a working capital agreement with its
stockholders. This agreement provides for the issuance of
unsecured notes to the Company which are subordinated to any future
borrowings of the Company. Interest on any notes issued in
accordance with this agreement is payable annually at a rate of
12.0%. Any unpaid principal balance is due on the sixth
anniversary date of the commencement date of each note, or if sooner, five
years after a stockholder (a noteholder) ceases to be in the employ of the
Company. At March 31, 2010, $130,845,634 was outstanding under
this agreement. Under the terms of the notes, maturities by year are as
follows:
|
Year ending March
31
|
||||
2011
|
$ | 48,775,184 | ||
2012
|
5,327,123 | |||
2013
|
- | |||
2014
|
24,404,850 | |||
2015
|
15,480,000 | |||
Thereafter
|
36,858,477 | |||
$ | 130,845,634 |
Note
10.
|
LEASE
OBLIGATIONS
|
|
The
Company leases and occupies office facilities under agreements which
provide for minimum base annual rentals plus a proportionate share of
operating expenses. The leases for the currently occupied
office facilities expire on October 31, 2012 and January 31,
2021. The Company has the option to renew the lease expiring on
October 31, 2012 for an additional 60 months and an option to renew the
lease expiring on January 31, 2021 for two additional five-year
terms.
|
|
Minimum
base annual rentals through the original lease terms are as
follows:
|
Year ending March
31
|
||||
2011
|
$ | 2,167,220 | ||
2012
|
2,194,285 | |||
2013
|
2,212,167 | |||
2014
|
2,219,662 | |||
2015
|
2,264,055 | |||
Thereafter
|
14,135,567 | |||
Total
base annual rentals
|
$ | 25,192,956 |
Note
11.
|
PROFIT SHARING
PLAN
|
|
The
Company has established a qualified 401(k) savings and profit sharing plan
(the Plan) for the benefit of its employees. The Company is the
plan administrator and certain Company employees are trustees of the
Plan. Under terms of the Plan, employees may elect to defer a
portion of their compensation. The Company matches employee
contributions up to a maximum of 8.75% of the employees’ compensation. The
Company may also make optional additional contributions to the
Plan.
|
100
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
(Unaudited)
_______________
Note
12.
|
SUBSEQUENT
EVENTS
|
|
Management
has evaluated subsequent events through June 3, 2010, the date the
consolidated balance sheet was available to be issued, and has determined
that there are no subsequent events that require
disclosure.
|
Note
13.
|
INTERIM CONSOLIDATED
BALANCE SHEET
|
|
The
consolidated balance sheet as of March 31, 2010 is
unaudited. In the opinion of management, it reflects all
adjustments, which were of a normal and recurring nature, necessary for a
fair presentation of the Company’s consolidated financial position as of
March 31, 2010.
|
101
INDEPENDENT AUDITOR’S
REPORT
To the
Stockholders and Board of Directors
Campbell
& Company, Inc.
We have
audited the accompanying consolidated balance sheet of Campbell & Company,
Inc. and subsidiaries (collectively, the “Company”) as of December 31,
2009. This financial statement is the responsibility of the Company’s
management. Our responsibility is to express an opinion on this financial
statement based on our audit.
We
conducted our audit in accordance with auditing standards generally accepted in
the United States of America. Those standards require that we plan and
perform the audit to obtain reasonable assurance about whether the consolidated
balance sheet is free of material misstatement. An audit includes
consideration of internal control over financial reporting as a basis for
designing audit procedures that are appropriate in the circumstances, but not
for the purpose of expressing an opinion on the effectiveness of the Company’s
internal control over financial reporting. Accordingly, we express no such
opinion. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the consolidated balance sheet. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall consolidated balance sheet
presentation. We believe that our audit provides a reasonable basis for
our opinion.
In our
opinion, the consolidated balance sheet referred to above presents fairly, in
all material respects, the financial position of Campbell & Company, Inc.
and subsidiaries as of December 31, 2009, in conformity with accounting
principles generally accepted in the United States of America.
/s/
ARTHUR F. BELL, JR. & ASSOCIATES, L.L.C.
Hunt
Valley, Maryland
April 16,
2010
102
CAMPBELL
& COMPANY, INC.
CONSOLIDATED
BALANCE SHEET
December
31, 2009
ASSETS
|
||||
Current
assets
|
||||
Cash
and cash equivalents
|
$ | 38,432,221 | ||
Net
unrealized (loss) on open futures contracts
|
(347,661 | ) | ||
Net
unrealized (loss) on open forward currency contracts
|
(362,611 | ) | ||
Fixed
income securities
|
1,199,820 | |||
Accounts
receivable
|
||||
Advisory
and performance fees
|
8,716,425 | |||
Receivable
from Campbell Strategic Allocation Fund, L.P.
|
6,201,975 | |||
Other
receivables
|
1,724,793 | |||
Total
current assets
|
55,564,962 | |||
Property
and equipment
|
||||
Furniture
and office equipment
|
18,536,973 | |||
Leasehold
improvements
|
5,755,048 | |||
24,292,021 | ||||
Less
accumulated depreciation and amortization
|
(10,952,404 | ) | ||
Total
property and equipment
|
13,339,617 | |||
Other
assets
|
||||
Cash
surrender value of life insurance, net of policy loans of
$382,600
|
596,952 | |||
Investments
in sponsored funds
|
95,943,034 | |||
Investment
in other fund
|
5,008,955 | |||
Other
|
6,321,714 | |||
Total
assets
|
$ | 176,775,234 | ||
LIABILITIES
|
||||
Current
liabilities
|
||||
Accounts
payable and accrued expenses
|
$ | 22,842,165 | ||
Current
portion of subordinated debt
|
59,834,177 | |||
Total
current liabilities
|
82,676,342 | |||
Deferred
rent expense
|
3,191,731 | |||
Subordinated
debt
|
65,435,823 | |||
Capital
stock subject to repurchase, at current redemption value
|
1,579,721 | |||
Total
liabilities
|
152,883,617 | |||
STOCKHOLDERS'
EQUITY
|
||||
Retained
earnings
|
9,948,235 | |||
Noncontrolling
interest
|
13,943,382 | |||
Total
stockholders' equity
|
23,891,617 | |||
Total
liabilities and stockholders' equity
|
$ | 176,775,234 |
See
accompanying notes.
103
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET
Note
1.
|
ORGANIZATION AND
SUMMARY OF SIGNIFICANT ACCOUNTING
POLICIES
|
A.
|
General
|
|
|
The
consolidated balance sheet of Campbell & Company, Inc. include the
accounts of Campbell & Company, Inc. and its wholly-owned
subsidiaries, Campbell & Company Investment Adviser LLC (CCIA) and
Campbell Financial Services, Inc. (CFS), and its partially owned
subsidiary, The Campbell Gold Plus Fund, L.P. (CGPF), collectively, the
“Company.” Campbell & Company, Inc. is incorporated in Maryland
and earns fees as a commodity trading advisor. CCIA was formed on
January 31, 2005 as a limited liability company under the laws of
Delaware. CCIA is registered under the Investment Advisers Act of
1940, as amended, as an investment adviser. Campbell & Company,
Inc. is the sole member of CCIA. CFS is a broker and dealer in
securities (“broker-dealer”) whose entire amount of issued common stock
was purchased by Campbell & Company, Inc. effective October 22,
2009. CGPF is a limited partnership formed on July 2, 2009 under the
laws of Delaware, and which commenced operations on October 1, 2009.
Campbell & Company, Inc. is the general partner of CGPF. CGPF is
an investment partnership that is majority owned by Campbell &
Company, Inc. and Campbell & Company, Inc.’s majority
stockholder. CGPF operates as a commodity investment pool and
engages in speculative trading of futures contracts and forward currency
contracts. Campbell & Company, Inc. intends to solicit
additional outside investment in CGPF and will re-assess the need to
consolidate CGPF in future periods.
|
|
Both
Campbell & Company, Inc. and CGPF are subject to the regulations of
the Commodity Futures Trading Commission, an agency of the United States
(U.S.) government, which regulates most aspects of the commodity futures
industry, and the rules of the National Futures Association, an industry
self-regulatory organization. CGPF is also subject to the
requirements of commodity exchanges, brokers, and interbank market makers
through which it trades. CCIA is subject to the regulations of the
Securities and Exchange Commission (SEC) under the Investment Advisers Act
of 1940. CFS is registered with the SEC as a broker-dealer and is a
member of the Financial Industry Regulatory Authority (FINRA). As a
broker-dealer, CFS must meet the net capital provisions of Rule 15c3-1 of
the Securities Exchange Act of
1934.
|
|
The
consolidated balance sheet includes the accounts of Campbell &
Company, Inc., CCIA, CFS and CGPF at December 31, 2009. Intercompany
accounts and transactions have been eliminated in consolidation. The
interest of CGPF not owned by Campbell & Company, Inc. is presented as
the noncontrolling interest in the consolidated balance
sheet.
|
B.
|
Method
of Reporting
|
|
|
The
Company’s consolidated balance sheet is presented in accordance with
accounting principles generally accepted in the United States of
America. The preparation of a consolidated balance sheet 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 contingent assets and liabilities at the date of the consolidated
balance sheet. Actual results could differ from those estimates, and
such differences may be material to the consolidated balance
sheet.
|
104
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
Note
1.
|
ORGANIZATION AND
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(CONTINUED)
|
B.
|
Method
of Reporting (continued)
|
|
|
For
the period October 1, 2009 through December 31, 2009, Campbell &
Company, Inc. was deemed to be the controlling investor of CGPF, as its
own investment and the investment of Campbell & Company, Inc.’s
majority stockholder represented a majority of the partners’ capital of
CGPF. All ownership interests in CGPF not owned directly by Campbell
& Company, Inc., which equals all limited partners’ capital of CGPF,
is reported as the noncontrolling interest in the consolidated balance
sheet.
|
|
Effective
July 1, 2009, the Financial Accounting Standards Board (FASB) Accounting
Standards Codification (ASC), referred to as FASB ASC or the Codification,
became the single source of U.S. generally accepted accounting principles
(U.S. GAAP) for interim and annual periods ending after September 15,
2009. Existing accounting standards are incorporated into the
Codification and standards not incorporated into the codification are
considered nonauthoritative.
|
|
C.
|
Cash
and Cash Equivalents
|
|
Cash
and cash equivalents consist of cash, certificates of deposit and money
market mutual funds readily convertible into
cash.
|
|
D.
|
Fair
Value
|
|
The
Company’s assets and liabilities measured on a recurring basis are
reported at fair value pursuant to the provisions of the Fair Value Measurements and
Disclosures Topic of the Codification. Fair value is defined
as the price that would be received to sell an asset or paid to transfer a
liability in an orderly transaction between market participants at the
measurement date. The fair value hierarchy, as set forth in the
Fair Value Measurements
and Disclosures Topic of the Codification, prioritizes the inputs
to valuation techniques used to measure fair value into three broad
levels: quoted market prices in active markets for identical assets or
liabilities (Level 1); inputs other than quoted market prices that are
observable for the asset or liability, either directly or indirectly
(Level 2); and unobservable inputs for an asset or liability (Level
3). If the inputs used to measure a financial instrument fall within
different levels of the fair value hierarchy, the categorization is based
on the lowest level input that is significant to the measurement of that
financial instrument.
|
|
During
September 2009, Accounting Standards Update No. 2009-12 (ASU 2009-12),
Fair Value Measurements and Disclosures (Topic 820), Investments in
Certain Entities That Calculate Net Asset Value per Share (or Its
Equivalent), was issued by the FASB and was effective for interim and
annual periods ending after December 15,
2009.
|
105
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
Note
1.
|
ORGANIZATION AND
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(CONTINUED)
|
|
D.
|
Fair
Value (continued)
|
|
ASU
2009-12 amends the Codification and provides that if the reporting entity
has the ability to redeem its investment in another investment fund or
entity at net asset value at the measurement date, the investment shall be
categorized as a Level 2 fair value measurement, and if the reporting
entity cannot redeem its investment in another investment fund or entity
at net asset value at the measurement date but the investment will be
redeemable at a future date, the reporting entity shall consider the
length of time until the investment will be redeemable in determining
whether it will be categorized as a Level 2 or Level 3 fair value
measurement. Accordingly, in accordance with the provisions of ASU
2009-12, at December 31, 2009, the Company’s investments in sponsored and
other funds are categorized as either Level 2 or Level 3 fair value
measurements. At December 31, 2008, all of the Company’s investments
in sponsored funds were categorized as Level 2 fair value
measurements.
|
E.
|
Futures
and Forward Currency Contracts
|
|
|
Investment
transactions are accounted for on the trade date. Net unrealized
gains or losses on open contracts (the difference between contract trade
price and market price) are reported in the consolidated balance sheet as
a net gain or loss, as there exists a right of offset of unrealized gains
or losses in accordance with FASB ASC 210-20, Offsetting – Balance
Sheet. The fair 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 currency (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.
|
|
F.
|
Fixed
Income Securities
|
|
U.S.
government securities are stated at cost plus accrued interest, which
approximates fair value.
|
|
G.
|
Property
and Equipment
|
|
Property
and equipment are stated at cost. Depreciation and amortization is
provided for over the estimated useful lives of the assets using
straight-line and accelerated methods. Such lives range from 3 to 39
years.
|
|
H.
|
Investments
in Sponsored and Other Funds
|
|
Investments
in sponsored and other funds are reported at fair value at the date of the
consolidated balance sheet. Fair value ordinarily is the value
determined for each sponsored or other fund in accordance with such fund’s
valuation policies and reported at the time of the Company’s valuation.
Generally, the fair value of the Company’s investment in a sponsored or
other fund equals the underlying net asset value and represents the amount
the Company could reasonable expect to receive from such sponsored or
other fund if the Company’s investment was redeemed at the time of
valuation.
|
106
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
Note
1.
|
ORGANIZATION AND
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(CONTINUED)
|
|
I.
|
Revenue
Recognition
|
|
Advisory
and management fees accrue monthly based on a percentage of assets under
management. Performance fees may be earned by achieving defined
performance objectives. Performance fees are accrued when the
conditions of the applicable performance fee agreements are
satisfied. Commission revenue is recognized when earned, based on
the terms of the underlying
agreements.
|
J.
|
Income
Taxes
|
|
The
Company has elected S corporation status under the Internal Revenue Code,
pursuant to which the Company does not pay U.S. or Maryland income
taxes. The Company files U.S. federal and state tax returns and is
subject to state income taxes in certain states in which it conducts
business, and adequate provision for such is provided for in the
consolidated balance sheet. The Company’s taxable income is taxable
to the stockholders on an individual
basis.
|
|
Effective
October 22, 2009, the Company filed on behalf of CFS, a Subchapter S
Subsidiary election under the Internal Revenue Code whereby CFS’s taxable
income will “flow-through” to Campbell & Company, Inc. and be subject
to their U.S. federal and state taxation
status.
|
|
As
both CCIA and CGPF are either a limited liability company or a limited
partnership, they report to the members or partners, including Campbell
& Company, Inc., their allocable shares of CCIA’s and CGPF’s income,
expenses, gains and losses. Such income, expenses, gains and losses
are then taxable to the Company’s stockholders on an individual
basis.
|
|
The
Company has continued to evaluate the application of ASC 740, Income Taxes
(formerly FASB Interpretation No. 48 entitled “Accounting For Uncertainty
in Income Taxes – an interpretation of FASB Statement No. 109”) to the
Company, and has determined that ASC 740 does not have a material impact
on the Company’s consolidated balance sheet. The Company has an
accounting policy to classify tax related interest and penalties, if any,
as interest expense. The 2006 through 2009 tax years generally
remain subject to examination by U.S. federal and most state tax
authorities.
|
|
K.
|
Foreign
Currency Transactions
|
|
The
Company’s functional currency is the U.S. dollar; however, it transacts
business in currencies other than the U.S. dollar. Assets and
liabilities denominated in currencies other than the U.S. dollar are
translated into U.S. dollars at the rates in effect at the date of the
consolidated balance sheet.
|
|
L.
|
Recently
Issued Accounting Pronouncements
|
|
Effective
October 1, 2009, in conjunction with becoming the controlling investor of
CGPF, the Company adopted Statement of Financial Accounting Standards No.
160 (FAS 160), “Noncontrolling Interests in Consolidated Financial
Statements (as amended),” which is now incorporated in the Codification in
the Consolidation
Topic. The adoption of this accounting pronouncement did not have a
material impact on the Company’s consolidated balance
sheet.
|
107
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
Note
1.
|
ORGANIZATION AND
SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
(CONTINUED)
|
|
L.
|
Recently
Issued Accounting Pronouncements (continued)
|
|
Effective
October 1, 2009, in conjunction with becoming the controlling investor of
CGPF, the Company adopted Statement of Financial Accounting Standards No.
161, “Disclosure about Derivative Instruments and Hedging Activities – an
amendment of FASB Statement No. 133” (FAS 161). FAS 161, which is
now incorporated in the Codification in the Derivatives and Hedging
Topic establishes, among other things, the disclosure requirements for
derivative instruments and for hedging activities. The adoption of
this accounting pronouncement did not have a material impact on the
Company’s consolidated balance sheet. The disclosures required by
the Derivatives and
Hedging Topic related to this accounting pronouncement are included
in Note 4. of the consolidated balance
sheet.
|
|
In
May 2009, the FASB issued FASB Statement No. 165, “Subsequent Events” (FAS
165), which establishes general standards of accounting for and disclosure
of events that occur after the consolidated balance sheet date but before
the consolidated balance sheet is issued or available to be issued.
FAS 165, which is now incorporated in the Codification in the Subsequent Events
Topic, is effective for interim and annual periods ending after June 15,
2009. The adoption of this accounting pronouncement did not have a
material impact on the Company’s consolidated balance
sheet.
|
|
In
January 2010, the FASB issued Accounting Standards Update No. 2010-06 (ASU
2010-06) entitled “Fair Value Measurements and Disclosures (Topic 820) –
Improving Disclosures about Fair Value Measurements.” ASU 2010-06
adds new disclosure requirements about transfers into and out of Levels 1
and 2 and separate disclosures about purchases, sales, issuances and
settlements in the reconciliation for fair value measurements using
significant unobservable inputs (Level 3). It also clarifies
existing disclosure requirements relating to the levels of disaggregation
for fair value measurement and inputs and valuation techniques used to
measure fair value. ASU 2010-06 is effective for interim and annual
reporting periods beginning after December 15, 2009, except for
disclosures about purchases, sales, issuances and settlements in the roll
forward of activity in Level 3 fair value measurements, which are
effective for fiscal years beginning after December 15, 2010, and for
interim periods within those fiscal years. The Company is currently
assessing the impact that ASU 2010-06 will have on the Company’s
consolidated balance sheet, however, no material impact is
anticipated.
|
Note
2.
|
FAIR
VALUE
|
|
The
following summarizes the Company’s assets accounted for at fair value at
December 31, 2009 using the fair value
hierarchy:
|
Assets
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Cash
and cash equivalents
|
$ | 38,432,221 | $ | - | $ | - | $ | 38,432,221 | ||||||||
Investments
in sponsored funds
|
- | 77,875,691 | 18,067,343 | 95,943,034 | ||||||||||||
Investment
in other fund
|
- | 5,008,955 | - | 5,008,955 | ||||||||||||
Fixed
income securities
|
- | 1,199,820 | - | 1,199,820 | ||||||||||||
Futures
contracts
|
(347,661 | ) | - | - | (347,661 | ) | ||||||||||
Forward
currency contracts
|
- | (362,611 | ) | - | (362,611 | ) | ||||||||||
Total
|
$ | 38,084,560 | $ | 83,721,855 | $ | 18,067,343 | $ | 139,873,758 |
108
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
Note
2.
|
FAIR VALUE
(CONTINUED)
|
|
A
reconciliation of the beginning and ending balances for each major
category of assets measured at fair value on a recurring basis using
significant Level 3 inputs during 2009, is as
follows:
|
Level 3 Fair Value
|
||||
Measurements – Investments
|
||||
in Sponsored Funds
|
||||
Beginning
balance, December 31, 2008
|
$ | 0 | ||
Reclassification
of categorization of level of fair value hierarchy pursuant to ASU
2009-12
|
29,573,704 | |||
Total
(loss) included in net income
|
(2,599,829 | ) | ||
Redemptions
from sponsored funds
|
(8,906,532 | ) | ||
Ending
balance, December 31, 2009
|
$ | 18,067,343 |
|
The
following summarizes the carrying amount and fair value of the Company’s
other financial instruments at December 31,
2009:
|
Carrying
|
Fair
|
|||||||
Amount
|
Value
|
|||||||
Assets
|
||||||||
Cash
surrender value of life insurance
|
$ | 596,952 | $ | 596,952 | ||||
Liabilities
|
||||||||
Subordinated
debt
|
$ | 125,270,000 | $ | 125,270,000 |
Note
3.
|
INVESTMENTS IN
SPONSORED AND OTHER FUNDS
|
Investments in sponsored funds consist
of the following at December 31, 2009:
The
Campbell Multi-Strategy Trust
|
$ | 48,034,388 | ||
Campbell
Strategic Allocation Fund, L.P.
|
15,893,851 | |||
The
Campbell Global Assets Fund Limited SAC – Class B
|
10,183,610 | |||
The
Campbell Global Assets Fund Limited SAC – Class A
|
9,124,803 | |||
The
Campbell Qualified Multi-Strategy Fund L.L.C.
|
8,335,938 | |||
Campbell
Alternative Asset Trust
|
2,173,492 | |||
Campbell
Financial Futures Fund Limited Partnership
|
2,148,499 | |||
The
Campbell Fund Trust
|
48,453 | |||
Total
|
$ | 95,943,034 |
In
addition to its investments in these sponsored funds, the Company has General
Partner, Adviser, Managing Owner, Managing Member, or Managing Operator
responsibilities with regards to the following:
|
The Campbell
Multi-Strategy Trust
|
|
The
Company acts as Adviser of The Campbell Multi-Strategy Trust
(CMST).
|
109
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
Note
3.
|
INVESTMENTS IN
SPONSORED AND OTHER FUNDS
(CONTINUED)
|
|
The Campbell
Multi-Strategy Trust
(continued)
|
|
Summarized
financial information with respect to CMST as of December 31, 2009 is as
follows:
|
Balance
Sheet Data
|
||||
Assets
|
$ | 345,841,221 | ||
Liabilities
|
188,725,093 | |||
Net
Asset Value
|
$ | 157,116,128 |
|
The
Company has agreed to advance funds to CMST necessary to pay organization
and offering costs related to CMST’s initial and continuous
offerings. The Company is reimbursed such amounts by CMST at the
rate of 0.75% per annum of CMST’s net assets. The Company reflects a
receivable of $107,584 as of December 31, 2009 from CMST for offering
costs due to be reimbursed. Such amount is included in Other
receivables in the consolidated balance sheet. The remaining
unreimbursed offering costs of $1,527,470 at December 31, 2009 is included
in Other assets in the consolidated balance sheet. They are carried
on the Company’s books as an asset because of the probable future economic
benefit to be obtained from the eventual receipt from CMST of these
reimbursements, even though CMST is not liable for this amount at the
current time. In the event CMST terminates prior to the completion
of any reimbursement of the offering costs, the Company will not be
entitled to any additional reimbursement from CMST. The Company
analyzes the value of the unreimbursed organization and offering costs on
its consolidated balance sheet on a quarterly basis to ensure that the
carrying value is an accurate estimate of what the Company can expect to
receive over time, and expenses any excess value on its
books.
|
Campbell Strategic
Allocation Fund, L.P.
The
Company is the General Partner and commodity trading advisor of Campbell
Strategic Allocation Fund, L.P. (Strategic). As General Partner, the
Company receives from Strategic a monthly brokerage fee and a quarterly
performance fee. Such fees represented approximately 71% of the Company’s
advisory and performance fee revenues for the year ended December 31,
2009. Of these fees, $4,401,384 is included in advisory and performance
fees receivable at December 31, 2009.
Summarized
financial information with respect to Strategic as of December 31, 2009 is as
follows:
Balance
Sheet Data
|
||||
Assets
|
$ | 1,858,855,992 | ||
Liabilities
|
150,364,374 | |||
Net
Asset Value
|
$ | 1,708,491,618 |
110
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
Note
3.
|
INVESTMENTS IN
SPONSORED AND OTHER FUNDS
(CONTINUED)
|
Campbell Strategic
Allocation Fund, L.P. (continued)
|
The
Company has committed to maintaining an investment in Strategic equal to
at least 1% of the net aggregate capital contributions of all
partners. The Company is further bound by Strategic’s Amended
Agreement of Limited Partnership to maintain net worth equal to at least
5% of the capital contributed by all the limited partnerships for which
the Company acts as General Partner. The minimum net worth shall in
no case be less than $50,000 nor shall net worth in excess of $1,000,000
be required.
|
|
As
General Partner, the Company incurs costs in connection with Strategic’s
initial and continuous offerings. The Company reflects a receivable
of $346,751 as
of December 31, 2009, from Strategic for offering costs due to be
reimbursed. Such amount is included in Receivable from Campbell
Strategic Allocation Fund, L.P. in the consolidated balance sheet.
The remaining unreimbursed offering costs of $182,415 at December 31, 2009
is included in Other assets in the consolidated balance sheet. They
are carried on the Company’s books as an asset because of the probable
future economic benefit to be obtained from the eventual receipt from
Strategic of these reimbursements, even though Strategic is not liable for
this amount at the current time. The Company recognizes the newly
recalculated amount due from Strategic each month as a receivable, which
reduces the balance remaining as an Other asset. The Company
analyzes the value of the remaining Other asset on its consolidated
balance sheet on a quarterly basis to ensure that the carrying value is an
accurate estimate of what the Company can expect to receive over time, and
expenses any excess value on its
books.
|
|
At
December 31, 2009, $5,855,224 in selling agent commissions are subject to
future reimbursement, all of which is included in a Receivable from
Campbell Strategic Allocation Fund, L.P. in the consolidated balance
sheet.
|
|
In
the event Strategic terminates prior to the completion of any
reimbursement of the aforementioned costs, the Company will not be
entitled to any additional reimbursement from
Strategic.
|
The Campbell Global Assets
Fund Limited SAC
|
The
Company is the Trading Advisor of The Campbell Global Assets Fund Limited
SAC (CGAF), an international business company incorporated in The
Bahamas.
|
|
Summarized
financial information with respect to CGAF as of December 31, 2009 is as
follows:
|
Balance
Sheet Data
|
||||
Assets
|
$ | 54,652,089 | ||
Liabilities
|
19,252,660 | |||
Net
Asset Value
|
$ | 35,399,429 |
111
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
Note
3.
|
INVESTMENTS IN
SPONSORED AND OTHER FUNDS
(CONTINUED)
|
The Campbell Qualified
Multi-Strategy Fund L.L.C.
|
The
Company acts as Managing Member of The Campbell Qualified Multi-Strategy
Fund L.L.C. (CQMSF).
|
|
Summarized
financial information with respect to CQMSF as of December 31, 2009 is as
follows:
|
Balance
Sheet Data
|
||||
Assets
|
$ | 161,987,715 | ||
Liabilities
|
81,019,756 | |||
Net
Asset Value
|
$ | 80,967,959 |
|
Campbell Alternative
Asset Trust
|
|
The
Company is the Managing Owner and commodity trading advisor of Campbell
Alternative Asset Trust (CAAT). The Trustee of CAAT has delegated to
the Managing Owner all of the power and authority to manage the business
affairs of CAAT. The net asset value of CAAT at December 31, 2009 is
$29,002,062.
|
|
The
Company has committed to maintaining an investment in CAAT equal to at
least 1% of the total capital accounts of CAAT. The Company’s
capital account balance as of December 31, 2009 is $2,173,492. The Company is
further bound by CAAT’s Third Amended and Restated Declaration of Trust
and Trust Agreement to maintain net worth equal to at least
$1,000,000.
|
As
Managing Owner, the Company has agreed to advance funds to CAAT necessary to pay
organization and offering costs related to CAAT’s initial and continuous
offerings. The Company is reimbursed such amounts by CAAT at the rate of
0.9% per annum of CAAT’s net assets. The Company reflects a receivable of
$5,727 at December 31, 2009 from CAAT for offering costs due to be
reimbursed. Such amount is included in Other receivables in the
consolidated balance sheet. The remaining unreimbursed offering costs of
$19,366 at December 31, 2009 is included in Other assets in the consolidated
balance sheet. They are carried on the Company’s books as an asset because
of the probable future economic benefit to be obtained from the eventual receipt
from CAAT of these reimbursements, even though CAAT is not liable for this
amount at the current time. In the event CAAT terminates prior to the
completion of any reimbursement of the offering costs, the Company will not be
entitled to any additional reimbursement from CAAT. The Company analyzes
the value of the unreimbursed organization and offering costs on its
consolidated balance sheet on a quarterly basis to ensure that the carrying
value is an accurate estimate of what the Company can expect to receive over
time, and expenses any excess value on its books.
Campbell Financial Futures
Fund Limited Partnership
|
The
Company acts as General Partner of Campbell Financial Futures Fund Limited
Partnership (Financial Futures). The net asset value of Financial
Futures as of December 31, 2009 is
$16,484,462.
|
112
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
Note
3.
|
INVESTMENTS IN
SPONSORED AND OTHER FUNDS
(CONTINUED)
|
|
The Campbell Fund
Trust
|
The
Company is the Managing Operator of The Campbell Fund Trust (the Trust).
The Trustee of the Trust has delegated to the Managing Operator all of the power
and authority to manage the business affairs of the Trust. The net asset
value of the Trust at December 31, 2009 is $365,318,153.
|
As
Managing Operator, the Company has agreed to advance funds to the Trust
necessary to pay organization and offering costs related to the Trust’s
initial and continuous offerings. The Company is reimbursed by the
Trust for the amount of such costs applicable to certain Series of the
Trust at the rate of 0.5% per annum of the applicable Series’ net
assets. The Company reflects a current receivable at December 31,
2009 of $8,501 from Series A of the Trust for offering costs due to be
reimbursed. Such amount is included in Other receivables in the
consolidated balance sheet. The remaining unreimbursed offering
costs of $1,645,160 for Series A of the Trust, and $328,196 for Series W
of the Trust at December 31, 2009, is included in Other assets in the
consolidated balance sheet. They are carried on the Company’s books
as an asset because of the probable future economic benefit to be obtained
from the eventual receipt from the Trust of these reimbursements, even
though the Trust is not liable for this amount at the current time.
The Company analyzes the value of the unreimbursed organization and
offering costs on its consolidated balance sheet on a quarterly basis to
ensure that the carrying value is an accurate estimate of what the Company
can expect to receive over time, and expenses any excess value on its
books.
|
|
The
Company also pays, up-front, a 2% commission to selling agents who sell
units of Series A of the Trust. The Company is then reimbursed by
the Trust for this cost, over twelve months, through a fee, which is based
on the monthly net asset value of the Series A units. At December
31, 2009, $306,653 in selling agent commissions are subject to future
reimbursement, of which $34,003 is included in Other receivables in the
consolidated balance sheet. The remaining $272,650 is included in
Other assets in the consolidated balance
sheet.
|
|
In
the event the Trust terminates prior to the completion of reimbursement of
the aforementioned costs, the Company will not be entitled to any
additional reimbursement from the
Trust.
|
|
Investment in Other
Fund
|
In
September 2009, Campbell & Company, Inc. made an investment of $5,000,000 in
a non-sponsored or other fund, Lyxor/Campbell Fund Limited (Lyxor). Lyxor
is a limited liability company formed under the laws of Jersey, Channel
Islands. Lyxor engages primarily in the speculative trading of futures
contracts and forward currency contracts. Campbell & Company, Inc. is
the Trading Advisor of Lyxor, but does not act in any management capacity with
respect to Lyxor.
113
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
Note
3.
|
INVESTMENTS IN
SPONSORED AND OTHER FUNDS
(CONTINUED)
|
|
Additional
information with respect to investment strategies, as well as redemption
and liquidity provisions, and other relevant information with respect to
the Company’s investments in sponsored funds and other funds at December
31, 2009, is as follows:
|
Investments
|
Investment
Strategy
|
Fair
Value
|
Unfunded
Commitments
|
Redemption
Frequency
|
Redemption
Notice
Period
|
Redemption
Restrictions
|
|||||||||
The
Campbell Multi-Strategy Trust
|
Multi-Strategy(1)
|
$ | 48,034,388 |
(3)
|
$ | 0 |
Quarterly(4)
|
14 days prior to last business day of the
quarter(4)
|
Potential Restriction(8)
|
||||||
Campbell
Strategic Allocation Fund, L.P.
|
Managed Futures(2)
|
$ | 15,893,851 |
(3)
|
$ | 0 |
Monthly(5)
|
10 business days prior to end of month(5)
|
General Partner Restriction(9)
|
||||||
The
Campbell Global Assets Fund Limited SAC – Class B
|
Multi-Strategy(1)
|
$ | 10,183,610 |
(3)
|
$ | 0 |
Monthly(6)
|
5 business days prior to end of month(6)
|
Partial Redemption Restriction(10)
|
||||||
The
Campbell Global Assets Fund Limited SAC – Class A
|
Managed Futures(2)
|
$ | 9,124,803 |
(3)
|
$ | 0 |
Monthly(6)
|
5 business days prior to end of month(6)
|
Partial Redemption Restriction(10)
|
||||||
The
Campbell Qualified Multi-Strategy Fund L.L.C.
|
Multi-Strategy(1)
|
$ | 8,335,938 |
(3)
|
$ | 0 |
Monthly(5)
|
10 business days prior to end of month(5)
|
None
|
||||||
Campbell
Alternative Asset Trust
|
Managed Futures(2)
|
$ | 2,173,492 |
(3)
|
$ | 0 |
Monthly(5)
|
10 business days prior to end of month(5)
|
Managing Owner Restriction(11)
|
||||||
Campbell
Financial Futures Fund Limited Partnership
|
Managed Futures(2)
|
$ | 2,148,499 |
(3)
|
$ | 0 |
Monthly(5)
|
10 business days prior to end of month(5)
|
General Partner Restriction(9)
|
||||||
The
Campbell Fund Trust
|
Managed Futures(2)
|
$ | 48,453 |
(3)
|
$ | 0 |
Monthly(5)
|
10 business days prior to end of month(5)
|
None
|
||||||
Lyxor/Campbell
Fund Limited
|
Managed Futures(2)
|
$ | 5,008,955 |
(3)
|
$ | 0 |
Weekly(7)
|
Dealing Day(7)
|
None
|
|
(1)
|
This
category consists of an investment in a fund that engages in the
speculative trading of securities, U.S. and foreign futures contracts,
forward currency contracts, and options on forward currency
contracts.
|
|
(2)
|
This
category consists of an investment in a fund that engages in the
speculative trading of U.S. and foreign futures contracts, forward
currency contracts, and options on forward currency
contracts.
|
|
(3)
|
The
fair values of these investments have been estimated using the net asset
value.
|
|
(4)
|
The
Company may redeem all or a portion of its investment on a quarterly basis
subject to providing notice 14 days prior to the last business day of the
quarter.
|
|
(5)
|
The
Company may redeem its investment on a monthly basis subject to providing
notice 10 business days prior to the end of the
month.
|
|
(6)
|
The
Company may redeem its investment on a monthly basis subject to providing
notice 5 business days prior to the end of the
month.
|
|
(7)
|
The
Company may redeem its investment on a weekly basis subject to providing
notice prior to the Dealing Day (which is each Friday, and if such day is
not a business day, the immediate following business
day).
|
|
(8)
|
In
the event that quarterly requests for redemptions exceed 5%-25% of CMST’s
outstanding shares, redemptions by the Company may be limited to its pro
rata share of all outstanding redemption requests as of such quarter
end.
|
|
(9)
|
The
Company, as General Partner, must maintain an investment equal to at least
1% of the net aggregate capital contributions of all
partners.
|
|
(10)
|
Partial
redemptions are not permitted if the amount of investor’s remaining fair
value of the investment would be less than the minimum initial investment
of $500,000.
|
|
(11)
|
The
Company, as Managing Owner, must maintain an investment equal to 1% of the
total capital accounts of CAAT.
|
114
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
Note
4.
|
DERIVATIVES
|
|
Campbell
& Company, Inc., as the Trading Advisor of and on behalf of CGPF,
engages in the speculative trading of futures contracts and forward
currency contracts (collectively, “derivatives”) for the purpose of
achieving capital appreciation. None of CGPF’s derivative
instruments are designated as hedging instruments, as defined by the Derivatives and Hedging
Topic of the Codification. Campbell & Company, Inc.’s basic
market risk control procedures with respect to derivatives consist of
continuously monitoring open positions, diversification of the portfolio
and maintenance of a margin-to-equity ratio that rarely exceeds 30%.
The Company’s attempt to manage market risk on open derivative positions
is essentially the same in all market categories traded. The 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, the Company follows diversification
guidelines (often formulated in terms of the balanced volatility between
markets and correlated groups), as well as pre-calculating “stop-loss”
points at which systems will signal to close open
positions.
|
|
The
following presents the fair value of open derivative contracts at December
31, 2009. The fair value of open derivative contracts is presented
as an asset if in a gain position and as a liability if in a loss
position. Fair value is presented on a gross basis in the table
below even though the derivative contracts qualify for net presentation in
the consolidated balance sheet.
|
Asset
|
Liability
|
|||||||||||||
Derivatives
at
|
Derivatives
at
|
|||||||||||||
December
31,
|
December
31,
|
|||||||||||||
Consolidated
|
2009
|
2009
|
||||||||||||
Type of Instrument
|
Balance Sheet Location
|
Fair Value
|
Fair Value
|
Net
|
||||||||||
Agricultural
Contracts
|
Net
unrealized (loss) on open futures contracts
|
$ | 10,768 | $ | (11,625 | ) | $ | (857 | ) | |||||
Energy
Contracts
|
Net
unrealized (loss) on open futures contracts
|
29,422 | (3,217 | ) | 26,205 | |||||||||
Metal
Contracts
|
Net
unrealized (loss) on open futures contracts
|
222,951 | (537,433 | ) | (314,482 | ) | ||||||||
Stock
Indices Contracts
|
Net
unrealized (loss) on open futures contracts
|
316,250 | (12,756 | ) | 303,494 | |||||||||
Short-Term
Interest Rate Contracts
|
Net
unrealized (loss) on open futures contracts
|
0 | (143,235 | ) | (143,235 | ) | ||||||||
Long-Term
Interest Rate Contracts
|
Net
unrealized (loss) on open futures contracts
|
37,518 | (256,304 | ) | (218,786 | ) | ||||||||
Forward
Currency Contracts
|
Net
unrealized (loss) on open forward currency contracts
|
394,696 | (757,307 | ) | (362,611 | ) | ||||||||
Totals
|
$ | 1,011,605 | $ | (1,721,877 | ) | $ | (710,272 | ) |
115
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
Note
5.
|
TRADING AND INVESTING
ACTIVITIES AND THEIR RELATED
RISKS
|
|
CGPF
deposits funds with Newedge USA, LLC to act as broker subject to Commodity
Futures Trading Commission regulations and various exchange and broker
requirements. Margin requirements are satisfied by the deposit of
U.S. Treasury bills and cash with such broker. Accordingly, assets
used to meet margin or other broker or regulatory requirements are
partially restricted. Cash and the fair value of fixed income
securities on deposit with Newedge USA, LLC at December 31, 2009 amounted
to $24,513,087.
|
|
The
Company deposits cash and cash equivalents with financial institutions in
connection with its operating and cash management activities. In the
event of a financial institution’s insolvency, recovery of Company assets
on deposit may be limited to account insurance or other protection
afforded such deposits.
|
|
The
Company, on behalf of CGPF, and the sponsored or other funds for which the
Company is either the General Partner, Adviser, Managing Owner, Managing
Member, Managing Operator or Trading Advisor engage in the speculative
trading of U.S. and foreign futures contracts, forward currency contracts
and other derivative contracts (collectively, “derivatives”). The
Company and the sponsored and other funds are exposed to both market risk,
the risk arising from changes in the fair value of the contracts, and
credit risk, the risk of failure by another party to perform according to
the terms of a contract. As the sponsored and other funds trade
forward currency contracts and options on forward currency contracts in
unregulated markets between principals, the sponsored and other funds also
assume the risk of loss from counterparty
nonperformance.
|
|
Purchase
and sale of futures contracts require margin deposits with the
broker. Additional deposits may be necessary for any loss on
contract value. The Commodity Exchange Act requires a broker to
segregate all customer transactions and assets from such broker’s
proprietary activities. A customer’s cash and other assets (for
example, U.S. Treasury bills) deposited with a broker are considered
commingled with all other customer funds, subject to the broker’s
segregation requirements. In the event of a broker’s insolvency,
recovery of assets on deposit may be limited to a pro rata share of
segregated funds available. It is possible that the recovered amount
could be less than cash and other assets
deposited.
|
|
For
derivatives, risks arise from changes in the fair value of the
contracts. Theoretically, the sponsored and other funds, and the
Company, both directly and indirectly as an investor in the sponsored and
other funds, are exposed to the market risks of derivative
contracts. They are exposed to a market risk equal to the notional
contract value of derivatives purchased and unlimited liability on
derivatives sold short. As both a buyer and seller of options,
certain of the sponsored funds pay or receive a premium at the outset and
then bear the risk of unfavorable changes in the price of the contract
underlying the option. Written options expose the Company and
certain of the sponsored funds to potentially unlimited liability, and
purchased options expose the Company and certain of the sponsored funds to
a risk of loss limited to the premiums
paid.
|
|
Certain
sponsored funds engage in the trading of securities which are typically
traded on an exchange or in the over-the-counter market. Such
sponsored funds also sell securities not owned at the time of sale (a
“short sale”). Risks arise from short sales due to the possible
illiquidity of the securities markets and from potential adverse movements
in security values. Theoretically, short sales expose such sponsored
funds and the Company, as an investor in such sponsored funds, to
potentially unlimited liability as the ultimate obligation to purchase a
security sold short may exceed the amount recorded in such sponsored
funds’ balance sheet.
|
116
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
Note
5.
|
TRADING AND INVESTING
ACTIVITIES AND THEIR RELATED RISKS
(CONTINUED)
|
|
The
Company has established procedures to actively monitor the market risk and
minimize the credit risk of its own trading and investing activities, as
well as the trading and investing activities of the sponsored funds.
There can be no assurance that the Company will, in fact, succeed in doing
so. Additionally, the Company, in its capacity as General Partner,
Managing Owner, Managing Member or Managing Operator of the sponsored
funds, is subject to certain additional risks of loss and liability for
the activities of the sponsored
funds.
|
Note
6.
|
INDEMNIFICATIONS
|
|
In
the normal course of business, the Company enters into contracts and
agreements that contain a variety of representations and warranties and
which provide general indemnifications. The Company’s maximum
exposure under these arrangements is unknown, as this would involve future
claims that may be made against the Company that have not yet
occurred. The Company expects the risk of any future obligation
under these indemnifications to be
remote.
|
Note
7.
|
NONCONTROLLING
INTEREST AND STOCKHOLDERS’
EQUITY
|
The
Company is the General Partner and commodity trading advisor of CGPF. The
net asset value of CGPF at December 31, 2009 is $23,770,348. The net asset
value of Campbell & Company, Inc.’s investment in CGPF at December 31, 2009
is $9,826,966, and the net asset value of the noncontrolling interest is
$13,943,382. The noncontrolling interest is owned by the majority
stockholder of Campbell & Company, Inc, an affiliate of the majority
stockholder of Campbell & Company, Inc., and one unaffiliated limited
partner.
The
following is a reconciliation of the beginning and end of year stockholders’
equity attributable to the Company and the noncontrolling interest:
Retained
|
Noncontrolling
|
|||||||||||
Earnings
|
Interest
|
Total
|
||||||||||
Balances
at December 31, 2008
|
$ | 15,077,542 | $ | 0 | $ | 15,077,542 | ||||||
Additions
to CGPF
|
0 | 14,133,986 | 14,133,986 | |||||||||
Net
income (loss)
|
20,978,744 | (190,604 | ) | 20,788,140 | ||||||||
Distributions
and dividends to stockholders
|
(26,108,051 | ) | 0 | (26,108,051 | ) | |||||||
Balances
at December 31, 2009
|
$ | 9,948,235 | $ | 13,943,382 | $ | 23,891,617 |
Additionally,
the following is a schedule showing the changes in the Company’s ownership in
CGPF on the stockholders’ equity attributable to the Company:
Balance at
|
Balance at
|
|||||||||||||||
December 31, 2008
|
Investments
|
Net (loss)
|
December 31, 2009
|
|||||||||||||
Stockholders’
equity attributable to investment in CGPF
|
$ | 0 | $ | 10,000,000 | $ | (173,034 | ) | $ | 9,826,966 |
117
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
Note
8.
|
CAPITAL STOCK SUBJECT
TO REPURCHASE
|
|
The
Company has entered into agreements with its stockholders which stipulate
that upon the death or disability of a stockholder or upon the retirement
or termination of a stockholder’s employment with the Company, the Company
will purchase the stockholders’ capital stock at an amount equal to that
stockholder’s proportionate share of ownership of the net book asset value
of the Company, excluding the retained earnings of the Company accumulated
over the past twelve (12) months. Such redemption value shall be
determined as of the last day of the calendar quarter immediately
preceding the calendar month in which the terminating event
occurred. In accordance with the Distinguishing Liabilities
from Equity Topic of the Codification, the redemption value of all
capital stock has been reclassified from retained earnings to liabilities
(“Capital stock subject to repurchase, at current redemption value”)
within the consolidated balance
sheet.
|
|
Capital
stock subject to repurchase at December 31, 2009 consists
of:
|
Capital
stock
|
||||
Class
A voting, no par, $100 stated value; 2,500 shares authorized; 80.32 shares
issued and outstanding
|
$ | 8,032 | ||
Additional
paid-in capital, attributable to those shares
|
35,701 | |||
Retained
earnings, attributable to those shares
|
1,535,988 | |||
$ | 1,579,721 |
Note
9.
|
SUBORDINATED
DEBT
|
|
The
Company has entered into a working capital agreement with its
stockholders. This agreement provides for the issuance of unsecured
notes to the Company which are subordinated to any future borrowings of
the Company. Interest on any notes issued in accordance with this
agreement is payable annually at a rate of 12.0%. Any unpaid
principal balance is due on the sixth anniversary date of the commencement
date of each note, or if sooner, five years after a stockholder (a
noteholder) ceases to be in the employ of the Company. At
December 31, 2009, $125,270,000 was outstanding under this agreement.
Under the terms of the notes, maturities by year are as
follows:
|
2010
|
$ | 59,834,177 | ||
2011
|
4,923,850 | |||
2012
|
7,934,223 | |||
2013
|
0 | |||
2014
|
27,567,750 | |||
2015
|
25,010,000 | |||
$ | 125,270,000 |
118
CAMPBELL
& COMPANY, INC.
NOTES
TO CONSOLIDATED BALANCE SHEET (CONTINUED)
Note
10.
|
LEASE
OBLIGATIONS
|
|
The
Company leases and occupies office facilities under agreements which
provide for minimum base annual rentals plus a proportionate share of
operating expenses. The leases for the currently occupied
office facilities expire on October 31, 2012 and January 31,
2021. The Company has the option to renew the lease expiring on
October 31, 2012 for an additional 60 months and an option to renew the
lease expiring on January 31, 2021 for two additional five-year
terms.
|
|
Minimum
base annual rentals through the original lease terms are as
follows:
|
Year ending December
31
|
||||
2010
|
$ | 2,140,610 | ||
2011
|
2,183,422 | |||
2012
|
2,216,689 | |||
2013
|
2,208,673 | |||
2014
|
2,252,846 | |||
Thereafter
|
14,707,221 | |||
Total
base annual rentals
|
$ | 25,709,461 |
Note
11.
|
PROFIT SHARING
PLAN
|
|
The
Company has established a qualified 401(k) savings and profit sharing plan
(the Plan) for the benefit of its employees. The Company is the
plan administrator and certain Company employees are trustees of the
Plan. Under terms of the Plan, employees may elect to defer a
portion of their compensation. The Company matches employee
contributions up to a maximum of 8.75% of the employees’ compensation. The
Company may also make optional additional contributions to the
Plan.
|
Note
12.
|
SUBSEQUENT
EVENTS
|
|
During
January 2010, the Company authorized distributions to its stockholders
aggregating $1,200,000. Such distributions were made in cash to
stockholders during March 2010.
|
|
Management
has evaluated subsequent events through April 16, 2010, the date the
consolidated balance sheet was available to be issued, and has determined
that there are no other subsequent events that require
disclosure.
|
119
(This
page has been left blank intentionally.)
120
PART
TWO
STATEMENT
OF ADDITIONAL INFORMATION
CAMPBELL
ALTERNATIVE ASSET TRUST
$5,000,000
Units of Beneficial Interest
This is a speculative, leveraged
investment which involves the risk of loss. Past performance is not necessarily
indicative of future results.
See "The Risks You Face" and "
Conflicts of Interest" in Part One.
THIS PROSPECTUS IS IN TWO
PARTS: A DISCLOSURE DOCUMENT AND A STATEMENT OF ADDITIONAL
INFORMATION. THESE PARTS ARE BOUND TOGETHER, AND BOTH CONTAIN IMPORTANT
INFORMATION. YOU MUST READ THE STATEMENT OF ADDITIONAL INFORMATION IN
CONJUNCTION WITH THE DISCLOSURE DOCUMENT.
CAMPBELL
& COMPANY, INC.
Managing
Owner
[
], 2010
121
PART
TWO — STATEMENT OF ADDITIONAL INFORMATION
TABLE
OF CONTENTS
|
|
The
Futures, Forward, Option and Swap Markets
|
123
|
EXHIBITS
|
|
EXHIBIT
A: Fourth Amended and Restated Declaration of Trust and Trust
Agreement
|
A-1
|
EXHIBIT
B: Request for Redemption
|
B-1
|
EXHIBIT
C: Subscription Requirements
|
C-1
|
EXHIBIT
D: Subscription Agreement and Power of Attorney
|
D-1
|
122
THE
FUTURES, FORWARD, OPTION AND SWAP MARKETS
Futures
Contracts
Futures
contracts are standardized agreements traded on commodity exchanges that call
for the future delivery of the commodity or financial instrument at a specified
time and place. A futures trader that enters into a contract to take delivery of
the underlying commodity is "long" the contract, or has "bought" the contract. A
trader that is obligated to make delivery is "short" the contract or has "sold"
the contract. Actual delivery on the contract rarely occurs. Futures traders
usually offset (liquidate) their contract obligations by entering into equal but
offsetting futures positions. For example, a trader who is long one September
Treasury bond contract on the Chicago Board of Trade can offset the obligation
by entering into a short position in a September Treasury bond contract on that
exchange. Futures positions that have not yet been liquidated are known as
"open" contracts or positions.
Futures
contracts are traded on a wide variety of commodities, including agricultural
products, metals, energies, livestock products, government securities,
currencies and stock market indices. Options on futures contracts are also
traded on U.S. and foreign commodity exchanges. The Trust concentrates its
futures trading in financial instruments such as interest rate, foreign exchange
and stock index contracts, and metal and energy contracts.
Forward
Contracts
Currencies
and other commodities may be purchased or sold for future delivery or cash
settlement through banks or dealers pursuant to forward, option or swap
contracts. Currencies also can be traded pursuant to futures contracts on
organized futures exchanges; however, Campbell & Company will use the dealer
market in foreign exchange contracts for most of the Trust's trading in
currencies. Such dealers will act as "principals" in these transactions and will
include their profit in the price quoted on the contracts. Unlike futures
contracts, foreign exchange contracts are not standardized. In addition, the
forward market is largely unregulated. Forward contracts are not "cleared" or
guaranteed by a third party. Thus, the Trust is subject to the creditworthiness
of Deutsche Bank AG London, the over-the-counter counterparty with whom it
maintains all assets and positions relating to the Trust's forward and option
contract investments. There also is no daily settlement of unrealized gains or
losses on open foreign exchange contracts as there is with futures contracts on
U.S. exchanges.
Option
Contracts
An option
on a futures contract or on a physical commodity or currency gives the buyer of
the option the right to take a position of a specified amount at a specified
price in a specific underlying instrument (the “striking,” “strike” or “exercise
price”). The buyer of a “call” option acquires the right to take a long position
(i.e., the obligation to take delivery of a specified amount at a specified
price in a specific underlying instrument). The buyer of a “put” option acquires
the right to take a short position (i.e., the obligation to make delivery of a
specified amount at a specified price in a specific underlying
instrument).
The
purchase price of an option is referred to as its “premium.” The seller (or
“writer”) of an option is obligated to take a position at a specified price
opposite to the option buyer if the option is exercised. Thus, the seller of a
call option must stand ready to sell (take a short position in) the underlying
instrument at the striking price if the buyer should exercise the option. The
seller of a put option, on the other hand, must stand ready to buy (take a long
position in) the underlying instrument at the striking price if the buyer should
exercise the option.
A call
option is said to be “in the money” if the striking price is below current
market levels, and “out of the money” if the striking price is above current
market levels. Conversely, a put option is said to be “in the money” if the
striking price is above current market levels, and “out of the money” if the
striking price is below current market levels.
Options
have limited lifespans. An option that is out of the money and not offset by the
time it expires becomes worthless. Options usually trade at a premium above
their intrinsic value (i.e., the difference between the market price for the
underlying instrument and the striking price), because the option trader is
speculating on (or hedging against) future movements in the price of the
underlying instrument. As an option nears its expiration date, the market value
and intrinsic value typically move into parity. The difference between an
option’s intrinsic value and market value is referred to as the “time value” of
the option.
Swap
Transactions
If the
trading advisor sees it as advantageous, in the future, the Trust may
periodically enter into transactions in the forward or other markets which could
be characterized as swap transactions and which may involve interest rates,
currencies, securities interests, commodities and other items. A swap
transaction is an individually negotiated, non-standardized agreement between
two parties to exchange cash flows measured by different interest rates,
exchange rates, or prices, with payments calculated by reference to a principal
("notional") amount or quantity. Transactions in these markets present certain
risks different from those in the futures, forward and options
markets:
123
|
(1)
|
the
swap markets are generally not regulated by any United States or foreign
governmental authorities;
|
|
(2)
|
there
are generally no limitations on daily price moves in swap
transactions;
|
|
(3)
|
speculative
position limits are not applicable to swap transactions, although the
counterparties with which the Trust may deal may limit the size or
duration of positions available as a consequence of credit
considerations;
|
|
(4)
|
participants
in the swap markets are not required to make continuous markets in swaps
contracts; and
|
|
(5)
|
the
swap markets are "principal markets," in which performance with respect to
a swap contract is the responsibility only of the counterparty with which
the trader has entered into a contract (or its guarantor, if any), and not
of any exchange or clearinghouse. As a result, the Trust will be subject
to the risk of the inability of or refusal to perform with respect to such
contracts on the part of the counterparties with which the Trust
trades.
|
In 1993,
the CFTC adopted Part 35 to its Rules which provides non-exclusive safe harbor
treatment from regulation under the Commodity Exchange Act for swap transactions
which meet certain specified criteria, over which the CFTC will not exercise its
jurisdiction and regulate as futures or commodity option transactions. In
addition, on December 21, 2000, the Commodity Futures Modernization Act of 2000
amended the Commodity Exchange Act so that it does not apply to any agreement,
contract, or transaction in a commodity, other than an agricultural commodity
(including swap transactions), if the agreement, contract, or transaction is
entered into only between eligible contract participants (which includes
commodity pools meeting certain capitalization requirements), is subject to
individual negotiation by the parties, and is not executed or traded on a
trading facility. It is expected that the Trust will engage only in swap
transactions for which such exemptive/safe harbor relief is available. If the
Trust were restricted in its ability to trade in the swap markets, the
activities of Campbell & Company, to the extent that it trades in such
markets on behalf of the Trust, might be materially affected.
In 2008,
various federal and state regulators have discussed adopting or enacting new
regulatory and legal requirements for swap transactions, including the clearing
of such transactions through a centralized clearinghouse. It is possible that
new regulatory or legal requirements could materially affect or restrict the
ability of Campbell & Company to trade in the swap markets on behalf of the
Trust.
Regulation
The U.S.
futures 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 commodity exchanges, commodity pool operators, commodity trading
advisors and clearing firms which are referred to in the futures industry as
"futures commission merchants." Campbell & Company is licensed by the CFTC
as a commodity pool operator and commodity trading advisor. Futures
professionals are also regulated by the NFA, a self-regulatory organization for
the futures 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 commodity trading
advisor.
The CFTC
has adopted disclosure, reporting and recordkeeping requirements for commodity
pool operators and disclosure and recordkeeping requirements for commodity
trading advisors. The reporting rules require pool operators to furnish to the
participants in their pools a monthly statement of account, showing the pool's
income or loss and change in net asset value, and an annual financial report,
audited by an independent certified public accountant.
The CFTC
and the exchanges have pervasive powers over the futures markets, including the
emergency power to suspend trading and order trading for liquidation of existing
positions only. The exercise of such powers could adversely affect the Trust's
trading.
The CFTC
does not regulate forward contracts. Federal and state banking authorities also
do not regulate forward trading or forward dealers. Trading in foreign currency
forward contracts may be less liquid and the Trust's trading results may be
adversely affected.
Margin
The Trust
will use margin in its trading. In order to establish and maintain a futures
position, a trader must make a type of good-faith deposit with its broker, known
as "margin," of approximately 2%—10% of contract value. Minimum margins are
established for each futures contract by the exchange on which the contract is
traded. The exchanges alter their margin requirements from time to time,
sometimes significantly. For their protection, futures brokers may require
higher margins from their customers than the exchange minimums. Margin also is
deposited in connection with forward contracts, but is not required by any
applicable regulation.
124
There are
two types of margin. "Initial" margin is the amount a trader is required to
deposit with its broker to open a futures position. The other type of margin is
"maintenance" margin. When the contract value of a trader's futures position
falls below a certain percentage, typically about 75%, of its value when the
trader established the position, the trader is required to deposit additional
margin in an amount equal to the loss in value.
[REMAINDER
OF THIS PAGE LEFT BLANK INTENTIONALLY.]
125
EXHIBIT
A
CAMPBELL
ALTERNATIVE ASSET TRUST
FOURTH
AMENDED AND RESTATED
DECLARATION
OF TRUST AND TRUST AGREEMENT
This
Fourth Amended and Restated Declaration of Trust and Trust Agreement (the "Trust
Agreement") is made as of May 21, 2010, by and among Campbell & Company,
Inc., a Maryland corporation (the "Managing Owner"), U.S. Bank Trust National
Association (formerly known as Wachovia Trust Company, National Association), a
national banking association, as trustee (the "Trustee") and each other party
who currently owns a Unit of beneficial interest of the Trust (a "Unit") becomes
a party to this Trust Agreement as an owner of a Unit or who becomes a party to
this Trust Agreement as a Unitholder by execution of a Subscription Agreement
and Power of Attorney Signature Page or otherwise and who is shown in the books
and records of the Trust as a Unitholder (individually, a "Unitholder" and,
collectively, the "Unitholders").
Throughout
this Trust Agreement, there are references to two types of Unitholders: those
individuals who are current employees or former employees of the Managing Owner
or its affiliates participating in the Managing Owner's 401(k) plan
(individually, an "Employee Unitholder" and, collectively, the "Employee
Unitholders") and all other Unitholders (individually, an "Ordinary Unitholder"
and, collectively, the "Ordinary Unitholders") (unless otherwise indicated
herein, a reference to Unitholders shall encompass both the Employee Unitholders
and the Ordinary Unitholders). Units held by Employee Unitholders are "Employee
Units" and Units held by Ordinary Unitholders are "Ordinary Units." (Unless
otherwise indicated herein a reference to Units shall encompass both the
Employee Units and the Ordinary Units.)
WITNESSETH:
WHEREAS,
the Managing Owner and the Trustee, formed a business trust pursuant to and in
accordance with the Delaware Business Trust Act, 12 Del. C.§ 3801, et seq., which was amended as
of September 1, 2002 to the Delaware Statutory Trust Act (the "Act"), by
executing the Declaration of Trust and Trust Agreement dated as of May 1, 2000
and by filing a Certificate of Trust with the office of the Secretary of State
of the State of Delaware on May 3, 2000 (a copy of which is attached in Schedule
A); and
WHEREAS,
a Certificate of Amendment to the Certificate of Trust was filed with the office
of the Secretary of State of the State of Delaware on October 16, 2000 (a copy
of which is attached in Schedule A) which amended the name of the Trust;
and
WHEREAS,
a Certificate of Amendment of the Certificate of Trust was filed with the office
of the Secretary of State of the State of Delaware on May 25, 2007 (a copy of
which is attached in Schedule A) which amended the name and
business address of the Trustee; and
WHEREAS,
the Original Agreement was amended and restated as the Trust's Amended and
Restated Declaration of Trust and Trust Agreement dated as of January 2, 2001
(the "First Amended and Restated Agreement"); and
WHEREAS,
the First Amended and Restated Agreement was further amended and restated as the
Second Declaration of Trust and Trust Agreement dated as of May 15, 2001 (the
"Second Amended and Restated Agreement"); and
WHEREAS,
the Second Amended and Restated Agreement was further amended and restated as
the Third Declaration of Trust and Trust Agreement dated as of December 9, 2002
(the “Third Amended and Restated Agreement”); and
WHEREAS,
the Third Amended and Restated Agreement was further amended and restated as the
Fourth Declaration of Trust and Trust Agreement dated as of May 21, 2010 (the
“Existing Agreement”); and
WHEREAS,
the parties hereto desire to continue the Trust for the business and purpose of
issuing Units, the capital of which shall be used to engage in trading, buying,
selling or otherwise acquiring, holding or disposing of futures contracts,
forward contracts, foreign exchange commitments, swaps, exchange for physicals,
spot (cash) commodities, hybrid instruments, securities and other items, options
on and any rights pertaining to the foregoing throughout the world with the
objective of capital appreciation through speculative trading by allocating
Trust Assets to Campbell & Company and independent professional trading
advisors ("Advisors") selected from time to time by the Managing
Owner.
A-1
WHEREAS,
the parties desire to further amend the existing Agreement and to restate it, as
further amended in its entirety.
NOW
THEREFORE, the parties hereto, in consideration of the mutual covenants herein
contained and for other good and valuable consideration the receipt and
sufficiency of which are hereby acknowledged, do hereby mutually covenant and
agree as follows:
1.
|
Continuation of the
Trust.
|
The
parties hereby agree to continue the existence of the Trust as a business trust
pursuant to the Act and the provisions of this Agreement. The Trustee shall
execute and file such amendments to the Certificate of Trust and this Trust
Agreement and shall do all other things, and the Unitholders undertake to
cooperate with the Trustee and Managing Owner, as applicable, in doing so as
well as to execute and furnish to the Trustee or Managing Owner, as applicable,
all documents, which the Managing Owner or Trustee, as applicable, may deem
necessary or advisable in order to perfect and maintain the Trust as a business
trust pursuant to the laws of the State of Delaware and all other jurisdictions
in which the Trust conducts business.
Nothing
in this Declaration of Trust shall be construed to make the Unitholders partners
or members of a joint stock association except to the extent that such
Unitholders, as constituted from time to time, are deemed to be partners under
the Internal Revenue Code of 1986, as amended (the "Code"), and applicable state
and local tax laws. Notwithstanding the foregoing, it is the intention of the
parties hereto that the Trust continue to be treated as a partnership for
purposes of taxation under the Code and applicable state and local tax laws.
Effective as of the date hereof, the Trustee shall have all of the rights,
powers and duties set forth herein and in the Act with respect to accomplishing
the purposes of the Trust.
2.
|
The
Trustee.
|
(a)
|
Term;
Resignation.
|
(i) U.S.
Bank Trust National Association has agreed and continues to serve as the Trustee
of the Trust. The Trust shall have only one trustee unless otherwise determined
by the Managing Owner. The Trustee shall serve until such time as the Managing
Owner removes the Trustee or the Trustee resigns and a successor Trustee is
appointed by the Managing Owner in accordance with the terms of Section 2(e)
hereof.
(ii) The
Trustee may resign at any time upon the giving of at least sixty (60) days'
advance written notice to the Trust; provided, that such resignation shall not
become effective unless and until a successor Trustee shall have been appointed
by the Managing Owner in accordance with Section 2(e) hereof. If the Managing
Owner does not act within such sixty (60) day period, the Trustee may apply to
the Court of Chancery of the State of Delaware for the appointment of a
successor Trustee.
(b) Powers. Except to
the extent expressly set forth in this Section 2, Section 3 and Section 23, the
duty and authority of the Trustee to manage the business and affairs of the
Trust continue to be delegated to the Managing Owner. The Trustee shall have
only the rights, obligations or liabilities specifically provided for herein and
in the Act and shall have no implied rights, obligations or liabilities with
respect to the business or affairs of the Trust. The Trustee shall have the
power and authority to execute, deliver, acknowledge and file all necessary
documents, including any amendments to or cancellation of the Certificate of
Trust as required by the Act. The Trustee shall provide prompt notice to the
Managing Owner of its performance of any of the foregoing. The Managing Owner
shall keep the Trustee informed of any actions taken by the Managing Owner with
respect to the Trust that affect the rights, obligations or liabilities of the
Trustee hereunder or under the Act.
(c) Compensation and Expenses of the
Trustee. The Trustee shall be entitled to receive from the
Managing Owner reasonable compensation for its services hereunder in accordance
with the Trustee's standard fee schedule, and shall be entitled to be reimbursed
by the Managing Owner for reasonable out- of-pocket expenses incurred by the
Trustee in the performance of its duties hereunder, including without
limitation, the reasonable compensation, out-of-pocket expenses and
disbursements of counsel and such other agents as the Trustee may employ in
connection with the exercise and performance of its rights and duties hereunder,
to the extent attributable to the Trust.
A-2
(d) Indemnification. The
Managing Owner agrees, whether or not any of the transactions contemplated
hereby shall be consummated, to assume liability for, and does hereby indemnify,
protect, save and keep harmless the Trustee and its successors, assigns, legal
representatives, officers, directors, agents and servants (the "Indemnified
Parties") from and against any and all liabilities, obligations, losses,
damages, penalties, taxes (excluding any taxes payable by the Trustee on or
measured by any compensation received by the Trustee for its services hereunder
or as indemnity payments pursuant to this Section 2(d)), claims, actions, suits,
costs, expenses or disbursements (including legal fees and expenses) of any kind
and nature whatsoever (collectively, "Expenses"), which may be imposed on,
incurred by or asserted against the Indemnified Parties in any way relating to
or arising out of the formation, operation or termination of the Trust, the
execution, delivery and performance of any other agreements to which the Trust
is a party or the action or inaction of the Trustee hereunder or thereunder,
except for Expenses resulting from the gross negligence or willful misconduct of
the Indemnified Parties. The indemnities contained in this Section 2(d) shall
survive the termination of this Trust Agreement or the removal or resignation of
the Trustee. The Trustee nevertheless agrees that it will, at its own cost and
expense, promptly take all action as may be necessary to discharge any liens on
any part of the Trust Estate (as defined below) which result from claims against
the Trustee personally that are not related to the ownership or the
administration of the Trust Estate or the transactions contemplated by any
documents to which the Trust is a party.
(e) Successor
Trustee. Upon the resignation or removal of the Trustee, the
Managing Owner shall appoint a successor Trustee by delivering a written
instrument to the outgoing Trustee. Any successor Trustee must satisfy the
requirements of Section 3807 of the Act. Any resignation or removal of the
Trustee and appointment of a successor Trustee shall not become effective until
a written acceptance of appointment is delivered by the successor Trustee to the
outgoing Trustee and the Managing Owner and any fees and expenses due to the
outgoing Trustee are paid. Following compliance with the preceding sentence, the
successor Trustee shall become fully vested with all of the rights, powers,
duties and obligations of the outgoing Trustee under this Trust Agreement, with
like effect as if originally named as Trustee, and the outgoing Trustee shall be
discharged of its duties and obligations under this Trust Agreement. Any
successor Trustee appointed hereunder shall promptly file an amendment to the
Certificate of Trust reflecting the identity and principal place of business of
such successor Trustee in the State of Delaware.
(f) Liability of the
Trustee. Except as otherwise provided in this Section 2, in
accepting the trust created hereby, U.S. Bank Trust National Association acts
solely as Trustee hereunder and not in its individual capacity, and all persons
having any claim against the Trustee by reason of the transactions contemplated
by this Trust Agreement and any other agreement to which the Trust is a party
shall look only to any cash, net equity in any commodity futures, forward and
option contracts, all funds on deposit in the accounts of the Trust, any other
property held by the Trust, and all proceeds therefrom, including any rights of
the Trust pursuant to any agreements to which this Trust is a party (the "Trust
Estate") for payment or satisfaction thereof. The Trustee shall not be liable or
accountable hereunder or under any other agreement to which the Trust is a
party, except for the Trustee's own gross negligence or willful misconduct. In
particular, but not by way of limitation:
(i) the
Trustee shall have no liability or responsibility for the validity or
sufficiency of this Trust Agreement or for the form, character, genuineness,
sufficiency, value or validity of the Trust Estate;
(ii) the
Trustee shall not be liable for any actions taken or omitted to be taken by it
in accordance with the instructions of the Managing Owner;
(iii) the
Trustee shall not have any liability for the acts or omissions of the Managing
Owner;
(iv) the
Trustee shall not be liable for its failure to supervise the performance of any
obligations of the Managing Owner, any futures broker, any selling agents or any
additional selling agents;
(v) no
provision of this Trust Agreement shall require the Trustee to expend or risk
funds or otherwise incur any financial liability in the performance of any of
its rights or powers hereunder if the Trustee shall have reasonable grounds for
believing that repayment of such funds or adequate indemnity against such risk
or liability is not reasonably assured or provided to it;
(vi)
under no circumstances shall the Trustee be liable for indebtedness evidenced by
or other obligations of the Trust arising under this Trust Agreement or any
other agreements to which the Trust is a party;
(vii) the
Trustee shall be under no obligation to exercise any of the rights or powers
vested in it by this Trust Agreement, or to institute, conduct or defend any
litigation under this Trust Agreement or any other agreements to which the Trust
is a party, at the request, order or direction of the Managing Owner or any
Unitholders unless the Managing Owner or such Unitholders have offered to the
Trustee security or indemnity satisfactory to it against the costs, expenses and
liabilities that may be incurred by the Trustee (including, without limitation,
the reasonable fees and expenses of its counsel) therein or thereby;
and
A-3
(viii)
notwithstanding anything contained herein to the contrary, the Trustee shall not
be required to take any action in any jurisdiction other than in the State of
Delaware if the taking of such action will (a) require the consent or approval
or authorization or order of or the giving of notice to, or the registration
with or taking of any action in respect of, any state or other governmental
authority or agency of any jurisdiction other than the State of Delaware, (b)
result in any fee, tax or other governmental charge under the laws of any
jurisdiction or any political subdivision thereof in existence as of the date
hereof other than the State of Delaware becoming payable by the Trustee or (c)
subject the Trustee to personal jurisdiction other than in the State of Delaware
for causes of action arising from personal acts unrelated to the consummation by
the Trustee of the transactions contemplated hereby.
(g) Reliance by the Trustee and the
Managing Owner; Advice of Counsel.
(i) In
the absence of bad faith, the Trustee and the Managing Owner may conclusively
rely upon certificates or opinions furnished to the Trustee or the Managing
Owner and conforming to the requirements of this Trust Agreement in determining
the truth of the statements and the correctness of the opinions contained
therein, and shall incur no liability to anyone in acting on any signature,
instrument, notice, resolution, request, consent, order, certificate, report,
opinion, bond or other document or paper which is believed to be genuine and
believed to be signed by the proper party or parties, and need not investigate
any fact or matter pertaining to or in any such document; provided, however,
that the Trustee or the Managing Owner shall have examined any certificates or
opinions so as to determine compliance of the same with the requirements of this
Trust Agreement. The Trustee or the Managing Owner may accept a certified copy
of a resolution of the board of directors or other governing body of any
corporate party as conclusive evidence that such resolution has been duly
adopted by such body and that the same is in full force and effect. As to any
fact or matter the method of the determination of which is not specifically
prescribed herein, the Trustee or the Managing Owner may for all purposes hereof
rely on a certificate, signed by the president or any vice president or by the
treasurer or other authorized officers of the relevant party, as to such fact or
matter, and such certificate shall constitute full protection to the Trustee or
the Managing Owner for any action taken or omitted to be taken by either of them
in good faith in reliance thereon.
(ii) In
the exercise or administration of the trust hereunder and in the performance of
its duties and obligations under this Trust Agreement, the Trustee, at the
expense of the Trust, (i) may act directly or through its agents, attorneys,
custodians or nominees pursuant to agreements entered into with any of them, and
the Trustee shall not be liable for the conduct or misconduct of such agents,
attorneys, custodians or nominees if such agents, attorneys, custodians or
nominees shall have been selected by the Trustee with reasonable care and (ii)
may consult with counsel, accountants and other skilled professionals to be
selected with reasonable care by the Trustee; provided that the Trustee shall
not allocate any of its internal expenses or overhead to the account of the
Trust. The Trustee shall not be liable for anything done, suffered or omitted in
good faith by it in accordance with the opinion or advice of any such counsel,
accountant or other such persons.
(h) Not Part of Trust
Estate. Amounts paid to the Trustee from the Trust Estate, if
any, pursuant to this Section 2 shall be deemed not to be part of the Trust
Estate immediately after such payment.
3.
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Principal
Office.
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The
address of the principal office of the Trust shall be c/o the Managing Owner,
2850 Quarry Lake Drive, Baltimore, Maryland 21209; telephone: (410) 413-2600.
The Trustee is located at 300 Delaware Avenue, 9th Floor,
Wilmington, Delaware 19801, telephone: (302) 576-3700. The Trustee shall receive
service of process on the Trust in the State of Delaware at the foregoing
address. In the event U.S. Bank Trust National Association resigns or is removed
as the Trustee, the Trustee of the Trust in the State of Delaware shall be the
successor Trustee.
4.
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Business.
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The
Trust's business and purpose is to trade, buy, sell, swap or otherwise acquire,
hold or dispose of commodities (including, but not limited to, foreign
currencies, mortgage-backed securities, money market instruments, financial
instruments, and any other securities or items which are now, or may hereafter
be, the subject of futures contract trading), domestic and foreign commodity
futures contracts, commodity forward contracts, foreign exchange commitments,
options on physical commodities and on futures contracts, spot (cash)
commodities and currencies, securities (such as United States Treasury
securities) approved by the Commodity Futures Trading Commission ("CFTC") for
investment of customer funds and other securities on a limited basis, and any
rights pertaining thereto and any options thereon, whether traded on an
organized exchange or otherwise, and to engage in all activities necessary,
convenient or incidental thereto. The Trust may also engage in "hedge,"
arbitrage and cash trading of any of the foregoing instruments. The Trust may
engage in such business and purpose either directly or through joint ventures,
entities or partnerships, provided that the Trust's participation in any of the
foregoing has no adverse economic or liability consequences for the Unitholders,
which consequences would not be present had the Trust engaged in that same
business or purpose directly. The objective of the Trust's business is
appreciation of its assets through speculative trading.
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5.
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Term, Dissolution, Fiscal
Year.
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(a) Term. The term of
the Trust commenced on the day on which the Declaration of Trust and Trust
Agreement was executed and the Certificate of Trust was filed with the Secretary
of State of the State of Delaware pursuant to the provisions of the Act and
shall end upon the first to occur of the following: (1) December 31, 2030; (2)
receipt by the Managing Owner of an approval to dissolve the Trust at a
specified time by Unitholders owning Units representing more than fifty percent
(50%) of the outstanding Units then owned by Unitholders, notice of which is
sent by certified mail return receipt requested to the Managing Owner not less
than ninety (90) days prior to the effective date of such dissolution; (3)
withdrawal, insolvency or dissolution of the Managing Owner or any other event
that causes the Managing Owner to cease to be a managing owner unless (i) at the
time of such event there is at least one remaining managing owner of the Trust
who carries on the business of the Trust (and each remaining managing owner of
the Trust is hereby authorized to carry on the business of the Trust in such an
event), or (ii) within one hundred twenty (120) days after such event
Unitholders holding a majority of Units agree in writing to continue the
business of the Trust and to the appointment, effective as of the date of such
event, of one or more managing owners of the Trust; (4) a decline in the
aggregate Net Assets of the Trust to less than $500,000; (5) dissolution of the
Trust pursuant hereto; or (6) any other event which shall make it unlawful for
the existence of the Trust to be continued or require termination of the Trust.
In the event that the Managing Owner (or an affiliate thereof) ceases to be the
trust's managing owner, the word "Campbell" shall be deleted from the name of
the Trust, and any appropriate filings shall be made.
(b) Dissolution. Upon
the occurrence of an event causing the dissolution of the Trust, the Trust shall
be dissolved and its affairs wound up. Upon dissolution of the Trust, the
Managing Owner, or another person approved by holders of a majority of the
Units, shall act as liquidator trustee.
(c) Fiscal Year. The
fiscal year of the Trust shall begin on January 1 of each year and end on the
following December 31.
(d) Net Asset Value; Net Asset Value per
Unit. The "Net Assets" of the Trust are its assets less its
liabilities determined in accordance with generally accepted accounting
principles. If a contract cannot be liquidated on the day with respect to which
Net Assets are being determined, the settlement price on the first subsequent
day on which the contract can be liquidated shall be the basis for determining
the liquidating value of such contract for such day, or such other value as the
Managing Owner may deem fair and reasonable. The liquidating value of a
commodity futures or option contract not traded on a commodity exchange shall
mean its liquidating value as determined by the Managing Owner on a basis
consistently applied for each different variety of contract. Accrued Performance
Fees (as described in the Prospectus and defined in Section 8 hereof) shall
reduce Net Asset Value, even though such Performance Fees may never, in fact, be
paid. The "Net Asset Value per Unit" is the Net Assets of the Trust divided by
the number of Units outstanding as of the date of determination. The Trust may
issue an unlimited number of Units at the Net Asset Value per Unit.
Notwithstanding the foregoing, for the Employee Units the Performance Fees may
be waived as set forth in the Disclosure Document. The waiver is effected by the
Managing Owner rebating any Performance Fee paid by the Employee Units back to
the Employee Unitholders in the form of additional Employee Units.
6.
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Net Worth of Managing
Owner.
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The
Managing Owner agrees that, at all times so long as it remains managing owner of
the Trust, it will maintain its Net Worth at an amount not less than
$1,000,000.
The
requirements of the first paragraph may be modified if the Managing Owner
obtains an opinion of counsel for the Trust that a proposed modification will
not adversely affect the classification of the Trust as a partnership for
federal income tax purposes and if such modification will reflect or exceed
applicable state securities and Blue Sky laws and qualify under any guidelines
or statements of policy promulgated by any body or agency constituted by the
various state securities administrators having jurisdiction in the
premises.
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In
addition, the requirements of the preceding paragraph may only be modified upon
the affirmative vote (which may be in person or by proxy), pursuant to Section
18(c) of this Agreement, of more than fifty percent (50%) of the Units then
outstanding.
In the
event that the requirements of this section are to be modified pursuant to the
preceding paragraph, the Managing Owner will notify all Unitholders thirty (30)
days prior to such modification and will allow all Unitholders to redeem their
Units, pursuant to Section 12 of this Agreement, prior to such
modification.
Any Units
acquired by the Managing Owner or any of its affiliates will be non-voting, and
will not be considered outstanding for purposes of determining whether the
majority approval of the outstanding Units has been obtained. Such Unitholder
shall be deemed a beneficial owner within the meaning of the Act.
7.
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Capital Contributions;
Units.
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The
Unitholders' respective capital contributions to the Trust shall be as shown on
the books and records of the Trust.
The
Managing Owner, so long as it is generally liable for the obligations of the
Trust, or any substitute managing owner, shall invest in the Trust, as a general
liability interest, sufficient capital so that the Managing Owner will have at
all times a capital account equal to 1% of the total capital accounts of the
Trust (including the Managing Owner's). The Managing Owner may withdraw any
interest it may have in excess of such requirement, and may redeem as of any
month-end any interest which it may acquire on the same terms as any Unitholder,
provided that it must maintain the minimum interest described in the preceding
sentence.
The
requirements of the preceding paragraph may be modified if the Managing Owner
obtains an opinion of counsel for the Trust that a proposed modification will
not adversely affect the classification of the Trust as a partnership for
federal income tax purposes and if such modification will reflect or exceed
applicable state securities and Blue Sky laws and qualify under any guidelines
or statements of policy promulgated by any body or agency constituted by the
various state securities administrators having jurisdiction in the
premises.
The
Managing Owner may, without the consent of any Unitholders of the Trust, admit
to the Trust purchasers of Units as Unitholders of the Trust.
All Units
subscribed for upon receipt of a check or draft of the subscriber are issued
subject to the collection of the funds represented by such check or draft. In
the event a check or draft of a subscriber for Units representing payment for
Units is returned unpaid, the Trust shall cancel the Units issued to such
subscriber represented by such returned check or draft. Any losses or profits
sustained by the Trust in connection with the Trust's commodity trading
allocable to such cancelled Units shall be deemed an increase or decrease in Net
Assets and allocated among the remaining Unitholders as described in Section 8.
The Trust may require a subscriber to reimburse the Trust for any expense or
loss (including any trading loss) incurred in connection with the issuance and
cancellation of any Units issued to him.
8.
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Allocation of Profits and
Losses.
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(a) Capital Accounts and
Allocations. A capital account shall be established for each
Unitholder, and for the Managing Owner on a Unit-equivalent basis. The balance
of each Unitholder's capital account shall be the amount contributed to the
Trust with respect to such Unitholder, which amount shall be equal to the Net
Asset Value per Unit on the date each Unit is purchased after all accrued fees
and expenses, including Performance Fee accruals which may, in fact, never be
paid. Notwithstanding the foregoing, for the Employee Units the Performance Fees
may be waived as set forth in the Disclosure Document. The waiver is effected by
the Managing Owner rebating any Performance Fee paid by the Employee Units back
to the Employee Unitholders in the form of additional Employee Units. As of the
close of business (as determined by the Managing Owner) on the last day of each
month, any increase or decrease in the Trust's Net Assets as compared to the
last such determination of Net Assets shall be credited or charged equally to
the capital accounts of all Unitholders then outstanding; provided that for
purposes of maintaining such capital accounts, amounts paid or payable to the
Managing Owner for items such as brokerage commissions and Performance Fees from
the Ordinary Unitholders shall be treated as if paid or payable to a third party
and shall not be credited to the capital account of the interest held by the
Managing Owner.
A-6
For
purposes of this Section 8, unless specified to the contrary, Units redeemed as
of the end of any month shall be considered outstanding as of the end of such
month.
(b) Allocation of Profit and Loss for
Federal Income Tax Purposes. As of the end of each fiscal
year, the Trust's income and expense and capital gain or loss shall be allocated
among the Unitholders pursuant to the following provisions of this Section 8(b)
for federal income tax purposes. For purposes of this Section 8(b), capital gain
and capital loss shall be allocated separately and not netted.
(1)
First, items of ordinary income and expense (other than the Performance Fee
which shall be allocated as set forth in Section 8(b)(2)) shall be allocated pro
rata among the Units outstanding as of the end of each month in which the items
of ordinary income and expense accrue.
(2)
Second, any Performance Fee paid to the Managing Owner or any other trading
advisors of the Trust ("Advisors") shall be allocated among the Units
outstanding at any time during the fiscal year based upon the ratio that each
such Unit's Net Performance Fee (the excess, if any, of the aggregate of all
Performance Fees, as the case may be, allocated to the capital account relating
to such Unit over the aggregate of all "reversals" of Performance Fees as the
case may be, allocated to such Unit) bears to the Net Performance Fee, as the
case may be, of all Units; provided that the Managing Owner may allocate
Performance Fees first to Units whose Net Asset Value was reduced by accrued
Performance Fees upon redemption, in an amount up to the amount of such
reduction. Notwithstanding the foregoing, for the Employee Units the Performance
Fees may be waived as set forth in the Disclosure Document. The waiver is
effected by the Managing Owner rebating any Performance Fee paid by the Employee
Units back to the Employee Unitholders in the form of additional Employee
Units.
(3)
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Third,
capital gain or loss shall be allocated as
follows:
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(A) There
shall be established a tax account with respect to each outstanding Unitholder.
The balance of each tax account shall be the amount paid to the Trust for each
Unit. As of the end of each fiscal year:
(i) Each
tax account shall be increased by the amount of income or gain allocated to each
Unit pursuant to Sections 8(b)(1) and 8(b)(3)(B) and (C).
(ii) Each
tax account shall be decreased by the amount of expense or loss allocated to
each Unit pursuant to Sections 8(b)(1), 8(b)(2) and 8(b)(3)(D) and (E) and by
the amount of any distributions paid out with respect to the Units other than
upon redemption.
(iii)
When a Unit is redeemed, the tax account attributable to such Unit (determined
after making all allocations described in this Section 8(b)) shall be
eliminated.
(B) Each
Unitholder who redeems a Unit during a fiscal year (including Units redeemed as
of the end of the last day of such fiscal year) shall be allocated Capital Gain,
if any, up to the amount of the excess, if any, of the amount received in
respect of the Units so redeemed over the sum of the tax accounts (determined
after making the allocation described in Sections 8(b)(1) and 8(b)(2), but prior
to making the allocations described in this Section 8(b)(3)(B) or Section
8(b)(3)(D)) allocable to such Units (an "Excess"). In the event the aggregate
amount of Capital Gain available to be allocated pursuant to this Section
8(b)(3)(B) is less than the aggregate amount of Capital Gain required to be so
allocated, the aggregate amount of available Capital Gain shall be allocated
among all such Unitholders in the ratio which each such Unitholder's Excess
bears to the aggregate Excess of all such Unitholders.
(C)
Capital Gain remaining after the allocation described in Section 8(b)(3)(B)
shall be allocated among all Unitholders who hold Units outstanding as of the
end of the applicable fiscal year (other than Units redeemed as of the end of
the last day of such fiscal year) in proportion to their holdings of such
Units.
A-7
(D) Each
Unitholder who redeems a Unit during a fiscal year (including Units redeemed as
of the end of the last day of such fiscal year) shall be allocated Capital Loss,
if any, up to the amount of the sum of the excess of the tax accounts
(determined after making the allocations described in Sections 8(b)(1) and
8(b)(2), but prior to making the allocations described in this Section
8(b)(3)(D) or Section 8(b)(3)(B)) allocable to the Units so redeemed over the
amount received in respect of such Units (a "Negative Excess"). In the event the
aggregate amount of available Capital Loss required to be allocated pursuant to
this Section 8(b)(3)(D) is less than the aggregate amount required to be so
allocated, the aggregate amount of available Capital Loss shall be allocated
among all such Unitholders in the ratio that each such Unitholder's Negative
Excess bears to the aggregate Negative Excess of all such
Unitholders.
(E)
Capital Loss remaining after the allocation described in Section 8(b)(3)(D)
shall be allocated among all Unitholders who hold Units outstanding as of the
end of the applicable fiscal year (other than Units redeemed as of the end of
the last day of such fiscal year) in proportion to their holdings of such
Units.
(F) For
purposes of this Section 8(b), "Capital Gain" or "Capital Loss" shall mean gain
or loss characterized as gain or loss from the sale or exchange of a capital
asset, as defined by the Code, including, but not limited to, gain or loss
required to be taken into account pursuant to Section 1256 and Section 988
thereof.
(4) The
allocation of profit and loss for federal income tax purposes set forth herein
is intended to allocate taxable profit and loss among Unitholders generally in
the ratio and to the extent that profit and loss are allocated to such
Unitholders so as to eliminate, to the extent possible, any disparity between
the Unitholder's capital account and his tax account, consistent with principles
set forth in Section 704 of the Code, including without limitation a "Qualified
Income Offset."
(5) The
allocations of profit and loss to the Unitholders in respect of the Units shall
not exceed the allocations permitted under Subchapter K of the Code, as
determined by the Managing Owner, whose determination shall be
binding.
(6) The
Managing Owner may adjust the allocations set forth in this Section 8(b), in the
Managing Owner's discretion, if the Managing Owner believes that doing so will
achieve more equitable allocations or allocations more consistent with the
Code.
(c) Performance
Fees. Performance Fees shall be payable to the Managing Owner
as of the end of each calendar quarter and upon redemption of Units. However,
Employee Unitholders may have their Performance Fees waived as set forth in the
Disclosure Document. The waiver is effected by the Managing Owner rebating any
Performance Fee paid by the Employee Units back to the Employee Unitholders in
the form of additional Employee Units. However, Ordinary Unitholders will not be
assessed any increased Performance Fee above what they would have been charged
had the Employee Unitholders been charged a Performance Fee.
Performance
Fees shall equal a percentage, as specified in the current prospectus in respect
of the Units, of New Appreciation (if any) calculated as of the end of each
calendar quarter and upon redemption of Units. New appreciation means the total
increase in Unit value from the commencement of trading, minus the total
increase in Unit value for all prior quarters since the last fee was paid (or
inception of trading, if no Performance Fee has been paid previously),
multiplied by the number of Units outstanding. The Performance Fee is paid only
on profits attributable to Units outstanding, and no fee is paid with respect to
interest income. Because the Performance Fee is accrued monthly, Units that are
redeemed other than at the end of the quarter will effectively pay a Performance
Fee, if accrued, as of the end of the month in which the redemption
occurs.
Performance
Fees shall be paid by the Trust as a whole, irrespective of whether the Net
Asset Value has declined below the purchase price of such Unit. Accrued
Performance Fees shall reduce the redemption price of Units and shall be paid to
the Managing Owner and any other Advisor upon redemption. The amount (if any) of
the accrued Performance Fee that shall be paid to the Managing Owner and any
other Advisor upon the redemption of any Unit shall be determined by dividing
the total Performance Fee as of such redemption date by the number of Units then
outstanding (including Units redeemed as of such date); the remainder of the
accrued Performance Fee shall be paid to the Managing Owner and any other
Advisor on the last day of each calendar quarter if applicable.
For
capital account purposes, accrued Performance Fees shall, in all cases, be
reflected equally as a reduction in the Net Asset Value per Unit of all Units
outstanding at the time the Performance Fee accrued, and reversals of accrued
Performance Fees shall equally increase the Net Asset Value per Unit of all
Units outstanding at the time of the accrual of such reversal, irrespective of
whether a particular Unit was outstanding when a particular Performance Fee was
accrued.
In the
event assets are withdrawn from an Advisor's account or the Trust as a whole
(other than to pay expenses), any loss carryforward shall be proportionally
reduced for purposes of calculating subsequent Performance Fees. Additions of
capital will proportionately increase the loss carryforward.
A-8
The
Managing Owner may adjust the allocations set forth in this Section 8(c), in the
Managing Owner's discretion, if the Managing Owner believes that doing so will
achieve more equitable allocations or allocations more consistent with the
Code.
(d) Expenses.
(1) The
Managing Owner shall advance the organization and offering expenses of the
initial and continuous offerings of the Units, and no such expenses shall be
deducted from the proceeds of the offerings. The Managing Owner shall be
reimbursed such advanced amounts by the Trust via payments equal to up to .075%
per month (0.9% per annum) of the Trust's month-end Net Asset Value.
Notwithstanding the foregoing, Employee Unitholders may have their
reimbursements of organizational and offering costs waived as set forth in the
Disclosure Document. The waiver is effected by the Managing Owner rebating all
or a portion of the organizational and offering costs paid by the Employee Units
back to the Employee Unitholders in the form of additional Employee Units.
However, Ordinary Unitholders will not be assessed any increased costs above
what they would have been charged had the Employee Unitholders paid the
organizational and offering costs. The Managing Owner shall have discretion to
adopt reasonable procedures to implement the authorization of such expenses,
including grouping expenses related to the same offering period and expensing de
minimis amounts as they are incurred. In the event the Trust terminates prior to
completion of the reimbursement, the Managing Owner will not be entitled to
receive additional reimbursement and the Trust will have no obligation to make
further reimbursement payments to the Managing Owner. For purposes of this
Agreement, organization and offering expenses shall mean all costs paid or
incurred by the Managing Owner or the Trust in organizing the Trust and offering
the Units, including legal and accounting fees incurred, bank account charges,
the fees paid to the Trustee as set forth in Section 2(c) of this Agreement, all
Blue Sky filing fees, filing fees payable upon formation and activation of the
Trust, and expenses of preparing, printing and distributing the prospectus and
registration statement, but in no event shall exceed limits set forth in Section
9 herein or guidelines imposed by appropriate regulatory bodies.
(2) The
Trust shall be obligated to pay all liabilities incurred by it, including
without limitation, (i) brokerage fees; (ii) operating expenses and performances
fees; (iii) legal and accounting fees; and (iv) taxes and other extraordinary
expenses incurred by the Trust. Notwithstanding the foregoing, Employee
Unitholders may have their reimbursement of all or a portion of their brokerage
fees (except those brokerage fees attributed to the futures broker and the
foreign exchange dealers) waived as set forth in the Disclosure Document. The
waiver is effected by the Managing Owner rebating all or a portion of the
brokerage fees attributable to the futures broker and the foreign exchange
dealers) paid by the Employee Units back to the Employee Unitholders in the form
of additional Employee Units. However, Ordinary Unitholders will not be assessed
any increased brokerage fees above what they would have been charged had the
Employee Unitholders paid the full brokerage fees. During any year of
operations, the Managing Owner shall be responsible for payment of operating
expenses in excess of 0.4% of the Trust's average month-end Net Asset Value
during that year. Indirect expenses of the Managing Owner, such as indirect
salaries, rent and other overhead expenses, shall not be liabilities of the
Trust. The Trust shall receive all interest earned on its assets.
(3)
Compensation to any party, including the Managing Owner (or any advisor which
may be retained in the future), shall not exceed the limitations imposed by the
North American Securities Administrators Association ("NASAA") in effect as of
May 15, 2001. In the event the compensation exceeds such limitations, the
Managing Owner shall promptly reimburse the Trust for such excess. The
organization and offering expenses of the initial and continuous offering of the
Units are, as of the date of this Agreement, limited to 15% of the capital
contributions of the entire offering by NASAA.
(4) The
Trust shall also be obligated to pay any costs of indemnification to the extent
permitted under Section 17 of this Agreement.
(e) Limited Liability of
Unitholders. Each Unit, when purchased in accordance with this
Trust Agreement, shall, except as otherwise provided by law, be fully paid and
nonassessable. Any provisions of this Trust Agreement to the contrary
notwithstanding, except as otherwise provided by law, no Unitholder shall be
liable for Trust obligations in excess of the capital contributed by such
Unitholder, plus his share of undistributed profits and assets. Each Unitholder
will be entitled to the same limitation of personal liability extended to
stockholders of private corporations for profit.
(f) Return of Capital
Contributions. No Unitholder or subsequent assignee shall have
any right to demand the return of his capital contribution or any profits added
thereto, except through redeeming Units or upon dissolution of the Trust, in
each case as provided herein and in accordance with the Act. In no event shall a
Unitholder or subsequent assignee be entitled to demand or receive property
other than cash.
A-9
9.
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Management of the
Trust.
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The
Managing Owner, to the exclusion of all Unitholders, shall control, conduct and
manage the business of the Trust. The Managing Owner shall have sole discretion
in determining what distributions of profits and income, if any, shall be made
to the Unitholders (subject to the allocation provisions hereof), shall execute
various documents on behalf of the Trust and the Unitholders pursuant to powers
of attorney and supervise the liquidation of the Trust if an event causing
dissolution of the Trust occurs.
The
Managing Owner may in furtherance of the business of the Trust cause the Trust
to retain Advisors, including, but not limited to, the Managing Owner, to act in
furtherance of the Trust's purposes set forth in Section 4, all as described in
the Prospectus relating to the offering of the Units in effect as of the time
that such Unitholder last purchased Units while in receipt of a current
Prospectus (the "Prospectus"). The Managing Owner may engage, and compensate on
behalf of the Trust from funds of the Trust, or agree to share profits and
losses with, such persons, firms or corporations, including (except as described
in this Trust Agreement) the Managing Owner and any affiliated person or entity,
as the Managing Owner in its sole judgment shall deem advisable for the conduct
and operation of the business of the Trust, provided, that no such arrangement
shall allow brokerage commissions paid by the Trust in excess of the amount
described in the Prospectus or as permitted under applicable North American
Securities Administrators Association, Inc. Guidelines for the Registration of
Commodity Pool Programs ("NASAA Guidelines") in effect as of the date of the
Prospectus (i.e., 80% of the published retail rate plus pit brokerage fees, or
14% annually — including pit brokerage and service fees — of the Trust's average
Net Assets, excluding the assets not directly related to trading activity),
whichever is higher. The Managing Owner shall reimburse the Trust, on an annual
basis, to the extent that the Trust's brokerage commissions paid to the Managing
Owner and the Quarterly Performance Fee, as described in the Prospectus, have
exceeded 14% of the Trust's average Net Assets during the preceding year. The
Managing Owner is hereby specifically authorized to enter into, on behalf of the
Trust, the Advisory Agreements and the Selling Agreement as described in the
Prospectus. The Managing Owner shall not enter into an Advisory Agreement with
any trading advisor that does not satisfy the relevant experience (i.e.,
ordinarily a minimum of three years) requirements under the NASAA Guidelines.
The Trust's brokerage commissions may not be increased without prior written
notice to Unitholders within sufficient time for the exercise of their
redemption rights prior to such increase becoming effective. Such notification
shall contain a description of Unitholder's voting and redemption rights and a
description of any material effect of such increase.
In
addition to any specific contract or agreements described herein, the Trust may
enter into any other contracts or agreements specifically described in or
contemplated by the Prospectus without any further act, approval or vote of the
Unitholders, notwithstanding any other provisions of this Trust Agreement, the
Act or any applicable law, rule or regulations.
The
Managing Owner shall be under a fiduciary duty to conduct the affairs of the
Trust in the best interests of the Trust. The Unitholders will under no
circumstances be deemed to have contracted away the fiduciary obligations owed
them by the Managing Owner under the common law. The Managing Owner's fiduciary
duty includes, among other things, the safekeeping of all Trust funds and assets
and the use thereof for the benefit of the Trust. The Managing Owner shall at
all times act with integrity and good faith and exercise due diligence in all
activities relating to the conduct of the business of the Trust and in resolving
conflicts of interest. The Trust's brokerage arrangements shall be
non-exclusive, and the brokerage commissions paid by the Trust shall be
competitive. The Trust shall seek the best price and services available for its
commodity transactions.
The
Managing Owner is hereby authorized to perform all other duties imposed by
Sections 6221 through 6234 of the Code on the Managing Owner as the "tax matters
partner" of the Trust.
The Trust
shall make no loans to any party, and the funds of the Trust will not be
commingled with the funds of any other person or entity (deposit of funds with a
futures broker, clearinghouse or forward dealer or entering into joint ventures
or partnerships shall not be deemed to constitute "commingling" for these
purposes). Except in respect of the Performance Fee, no person or entity may
receive, directly or indirectly, any advisory, management or performance fees,
or any profit-sharing allocation from joint ventures, partnerships or similar
arrangements in which the Trust participates, for investment advice or
management who shares or participates in any futures brokerage commissions; no
broker may pay, directly or indirectly, rebates or give-ups to any trading
advisor or manager or to the Managing Owner or any of their respective
affiliates in respect of sales of the Units; and such prohibitions may not be
circumvented by any reciprocal business arrangements. The foregoing prohibition
shall not prevent the Trust from executing, at the direction of any Advisor,
transactions with any futures commission merchant, broker or dealer. No trading
advisor for the Trust shall be affiliated with the Trust's futures broker, the
Managing Owner or their affiliates. The maximum period covered by any contract
entered into by the Trust, except for the various provisions of the Selling
Agreement which survive each closing of the sales of the Units, shall not exceed
one year. Any material change in the Trust's basic investment policies or
structure shall require the approval of Unitholders owning Units representing
more than fifty percent (50%) of all Units then owned by the Unitholders. Any
agreements between the Trust and the Managing Owner or any affiliate of the
Managing Owner (as well as any agreements between the Managing Owner or any
affiliate of the Managing Owner and any trading advisor) shall be terminable
without penalty by the Trust upon no more than sixty (60) days' written notice.
All sales of Units in the United States will be conducted by registered
brokers.
A-10
The Trust
is prohibited from employing the trading technique commonly known as
"pyramiding" as such term is defined in Section I.B. of the NASAA Guidelines. A
trading manager or advisor of the Trust taking into account the Trust's open
trade equity on existing positions in determining generally whether to acquire
additional commodity positions on behalf of the Trust will not be considered to
be engaging in "pyramiding."
The
Managing Owner may take such other actions on behalf of the Trust as the
Managing Owner deems necessary or desirable to manage the business of the
Trust.
The
Managing Owner is engaged, and may in the future engage, in other business
activities and shall not be required to refrain from any other activity nor
forego any profits from any such activity, whether or not in competition with
the Trust. Unitholders may similarly engage in any such other business
activities. The Managing Owner shall devote to the Trust such time as the
Managing Owner may deem advisable to conduct the Trust's business and
affairs.
10.
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Audits and Reports to
Unitholders.
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The Trust
books shall be audited annually by an independent certified public accountant.
The Trust will use its best efforts to cause each Unitholder to receive (i)
within ninety (90) days after the close of each fiscal year certified financial
statements of the Trust for the fiscal year then ended, (ii) within ninety (90)
days of the end of each fiscal year (but in no event later than March 15 of each
year) such tax information as is necessary for a Unitholder to complete his
federal income tax return and (iii) such other annual and monthly information as
the CFTC may by regulation require. The Trust shall notify Unitholders within
seven business days of any material change (i) in the agreements with the
Trust's Advisors, including any modification in the method of calculating the
advisory fee and (ii) in the compensation of any party relating to the Trust.
Unitholders or their duly authorized representatives may inspect the Trust books
and records during normal business hours upon reasonable written notice to the
Managing Owner and obtain copies of such records (including by post upon payment
of reasonable mailing costs), upon payment of reasonable reproduction costs;
provided, however, upon request by the Managing Owner, the Unitholder shall
represent that the inspection and/or copies of such records will not be for
commercial purposes unrelated to such Unitholder's interest as a beneficial
owner of the Trust. The Managing Owner shall have the right to keep confidential
from the Unitholders, based on the advice of counsel, any information that the
Managing Owner reasonably believes that the Trust is required by law or by
agreement with a third party to keep confidential, provided that such
information may not be kept confidential if it involves a transaction between
the Trust and an affiliate of the Managing Owner.
The
Managing Owner shall calculate the approximate Net Asset Value per Unit on a
daily basis and furnish such information upon request to any
Unitholder.
The
Managing Owner shall maintain and preserve all Trust records for a period of not
less than six (6) years.
The
Managing Owner will, with the assistance of the Trust's futures broker, make an
annual review of the futures brokerage arrangements applicable to the Trust. In
connection with such review, the Managing Owner will ascertain, to the extent
practicable, the futures brokerage rates charged to other major commodity pools
whose trading and operations are, in the opinion of the Managing Owner,
comparable to those of the Trust in order to assess whether the rates charged
the Trust are competitive in light of the services it receives. If, as a result
of such review, the Managing Owner determines that such rates are not
competitive in light of the services provided to the Trust, the Managing Owner
will notify the Unitholders, setting forth the rates charged to the Trust and
several funds which are, in the Managing Owner's opinion, comparable to the
Trust.
A-11
11.
|
Assignability of
Units.
|
Each
Unitholder expressly agrees that he will not voluntarily assign, transfer or
dispose of, by gift or otherwise, any of his Units or any part or all of his
right, title and interest in the capital or profits of the Trust in violation of
any applicable federal or state securities laws or without giving written notice
to the Managing Owner at least 30 days prior to the date of such assignment,
transfer or disposition. No assignment, transfer or disposition by an assignee
of Units or of any part of his right, title and interest in the capital or
profits of the Trust shall be effective against the Trust or the Managing Owner
until the Managing Owner receives the written notice of the assignment; the
Managing Owner shall not be required to give any assignee any rights hereunder
prior to receipt of such notice. The Managing Owner may, in its sole discretion,
waive any such notice. No such assignee, except with the consent of the Managing
Owner, which consent may be withheld in the absolute discretion of the Managing
Owner, may become a substituted Unitholder, nor will the estate or any
beneficiary of a deceased Unitholder or assignee have any right to redeem Units
from the Trust except by redemption as provided in Section 12 hereof. The
Managing Owner has complete discretion to withhold consent but only will do so
to prevent or minimize potential adverse legal or tax consequences to the Trust.
Each Unitholder agrees that with the consent of the Managing Owner any assignee
may become a substituted Unitholder without need of the further act or approval
of any Unitholder. If the Managing Owner withholds consent, an assignee shall
not become a substituted Unitholder, and shall not have any of the rights of a
Unitholder, except that the assignee shall be entitled to receive that share of
capital and profits and shall have that right of redemption to which his
assignor would otherwise have been entitled. No assignment, transfer or
disposition of Units shall be effective against the Trust or the Managing Owner
until the first day of the month succeeding the month in which the Managing
Owner consents to such assignment, transfer or disposition. No Units may be
transferred where, after the transfer, either the transferee or the transferor
would hold less than the minimum number of Units equivalent to an initial
minimum purchase, except for transfers by the transferor of all the then
remaining Units held by the Unitholder, transfers by gift, inheritance,
intrafamily transfers, family dissolutions, and transfers to
Affiliates.
12.
|
Redemptions.
|
A
Unitholder or any assignee of Units of whom the Managing Owner has received
written notice as described above may redeem all or any of his Units (such
redemption being herein referred to as a "redemption") effective as of the close
of business (as determined by the Managing Owner) on the last day of any month;
provided that: (i) all liabilities, contingent or otherwise, of the Trust
(including the Trust's allocable share of the liabilities, contingent or
otherwise, of any entities in which the Trust invests), except any liability to
Unitholders on account of their capital contributions, have been paid or there
remains property of the Trust sufficient to pay them; and (ii) the Managing
Owner shall have timely received a request for redemption, as provided in the
following paragraph.
Requests
for redemption must be received by the Managing Owner at least ten calendar
days, or such lesser period as shall be acceptable to the Managing Owner, in
advance of the requested effective date of redemption. The Managing Owner may
declare additional redemption dates upon notice to the Unitholders as well as to
those assignees of whom the Managing Owner has received notice as described
above.
If at the
close of business (as determined by the Managing Owner) on any day, the Net
Asset Value per Unit has decreased to less than 50% of the Net Asset Value per
Unit as of the most recent month-end, after adding back all distributions, the
Trust shall notify Unitholders within seven business days and shall liquidate
all open positions as expeditiously as possible and suspend trading. Within ten
business days after the date of suspension of trading, the Managing Owner (and
any other managing owners of the Trust) shall declare a Special Redemption Date.
Such Special Redemption Date shall be a business day within thirty (30) business
days from the date of suspension of trading by the Trust, and the Managing Owner
shall mail notice of such date to each Unitholder and assignee of Units of whom
it has received written notice, by first-class mail, postage prepaid, not later
than ten business days prior to such Special Redemption Date, together with
instructions as to the procedure such Unitholder or assignee must follow to have
his interest in the Trust redeemed on such date (only entire, not partial,
interests may be so redeemed unless otherwise determined by the Managing Owner).
Upon redemption pursuant to a Special Redemption Date, a Unitholder or any other
assignee of whom the Managing Owner has received written notice as described
above, shall receive from the Trust an amount equal to the Net Asset Value of
his interest in the Trust, determined as of the close of business (as determined
by the Managing Owner) on such Special Redemption Date. No redemption charges
shall be assessed on any such Special Redemption Date. As in the case of a
regular redemption, an assignee shall not be entitled to redemption until the
Managing Owner has received written notice (as described above) of the
assignment, transfer or disposition under which the assignee claims an interest
in the Units to be redeemed. If, after such Special Redemption Date, the Net
Assets of the Trust are at least $500,000 and the Net Asset Value of a Unit is
in excess of $250, the Trust may, in the discretion of the Managing Owner,
resume trading. The Managing Owner may at any time and in its discretion declare
a Special Redemption Date, should the Managing Owner determine that it is in the
best interests of the Trust to do so. The Managing Owner in its notice of a
Special Redemption Date may, in its discretion, establish the conditions, if
any, under which other Special Redemption Dates must be called, which conditions
may be determined in the sole discretion of the Managing Owner, irrespective of
the provisions of this paragraph. The Managing Owner may also, in its
discretion, declare additional regular redemption dates for Units and permit
certain Unitholders to redeem at other than month-end.
A-12
Redemption
payments will be made within twenty (20) business days after the month-end of
redemption, except that under special circumstances, including, but not limited
to, inability to liquidate dealers' positions as of a redemption date or default
or delay in payments due the Trust from futures brokers, banks or other persons
or entities, the Trust may in turn delay payment to Unitholders or assignees
requesting redemption of their Units of the proportionate part of the Net Asset
Value of such Units equal to that proportionate part of the Trust's aggregate
Net Asset Value represented by the sums which are the subject of such default or
delay.
The
Managing Owner may require a Unitholder to redeem all or a portion of such
Unitholder's Units if the Managing Owner considers doing so to be desirable for
the protection of the Trust, and will use best efforts to do so to the extent
necessary to prevent the Trust from being deemed to hold "plan assets" as
defined under Section 3(42) of the Employee Retirement Income Security Act of
1974, as amended ("ERISA"), or the Code, with respect to any "employee benefit
plan" subject to ERISA or with respect to any plan or account subject to Section
4975 of the Code.
13.
|
Offering of
Units.
|
The
Managing Owner on behalf of the Trust shall (i) cause to be filed a Registration
Statement or Registration Statements, and such amendments thereto as the
Managing Owner deems advisable, with the Securities and Exchange Commission for
the registration and ongoing public offering of the Units, (ii) use its best
efforts to qualify and to keep qualified Units for sale under the securities
laws of such States of the United States or other jurisdictions as the Managing
Owner shall deem advisable and (iii) take such action with respect to the
matters described in (i) and (ii) as the Managing Owner shall deem advisable or
necessary.
The
Managing Owner shall use its best efforts not to accept any subscriptions for
Units if doing so would cause the Trust to hold "plan assets" as defined under
Section 3(42) of ERISA with respect to any "employee benefit plan" as defined in
and subject to the fiduciary responsibility provisions of ERISA or with respect
to any “plan” as defined in and subject to Section 4975 of the Code. If such a
subscriber has its subscription reduced for such reason, such subscriber shall
be entitled to rescind its subscription in its entirety even though
subscriptions are otherwise irrevocable.
14.
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Additional
Offerings.
|
The
Managing Owner may, in its discretion, make additional public or private
offerings of Units, provided that the net proceeds to the Trust of any such
sales shall in no event be less than the Net Asset Value per Unit (as defined in
Section 5(d) hereof) at the time of sale (unless the new Unit's participation in
the profits and losses of the Trust is appropriately adjusted). No Unitholder
shall have any preemptive, preferential or other rights with respect to the
issuance or sale of any additional Units, other than as set forth in the
preceding sentence. Currently, the Managing Owner on behalf of the Trust will
only offer Units to, or for the benefit of, employees of the Managing Owner and
its affiliates. However, the Managing Owner may modify this policy at any time
upon thirty (30) days notice to the Trustee and the Unitholders.
The Trust
may offer different series or classes of Units having different economic terms
than previously offered series or classes of Units; provided that the issuance
of such a new series or class of Units shall in no respect adversely affect the
holders of outstanding Units; and provided further that the assets attributable
to each such series or class shall, to the maximum extent permitted by law, be
treated as legally separate and distinct pools of assets, and the assets
attributable to one such series or class be prevented from being used in any
respect to satisfy or discharge any debt or obligation of any other such series
or class. Notwithstanding references to two types of Units, the Employee Units
and the Ordinary Units, both Employee Units and Ordinary Units are of a single
class. The key differences between the two referenced types of Units are that
Employee Units are issued to, or for the benefit of, employees and have certain
fees rebated to the Employee Unitholders in the form of additional Employee
Units, and Ordinary Units are issued to all other persons and do not have their
fees rebated. The fees rebated to the Employee Unitholders are set forth in the
Disclosure Document and may include, but are not limited to: Performance Fees,
organization and offering cost reimbursements and brokerage fees (except those
attributable to the futures broker and the foreign exchange dealers). Unless
otherwise indicated herein, a reference to Units shall encompass both the
Employee Units and the Ordinary Units.
A-13
15.
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Special Power of
Attorney.
|
Each
Unitholder by his execution of this Trust Agreement does hereby irrevocably
constitute and appoint the Managing Owner and each officer of the Managing
Owner, with power of substitution, as his true and lawful attorney-in-fact, in
his name, place and stead, to execute, acknowledge, swear to (and deliver as may
be appropriate) on his behalf and file and record in the appropriate public
offices and publish (as may in the reasonable judgment of the Managing Owner be
required by law): (i) this Trust Agreement, including any amendments and/or
restatements hereto duly adopted as provided herein; (ii) certificates in
various jurisdictions, and amendments and/or restatements thereto, and of
assumed name or of doing business under a fictitious name with respect to the
Trust; (iii) all conveyances and other instruments which the Managing Owner
deems appropriate to qualify or continue the Trust in the State of Delaware and
the jurisdictions in which the Trust may conduct business, or which may be
required to be filed by the Trust or the Unitholders under the laws of any
jurisdiction or under any amendments or successor statutes to the Act, to
reflect the dissolution or termination of the Trust or the Trust being governed
by any amendments or successor statutes to the Act or to reorganize or refile
the Trust in a different jurisdiction; and (iv) to file, prosecute, defend,
settle or compromise litigation, claims or arbitrations on behalf of the Trust.
The Power of Attorney granted herein shall be irrevocable and deemed to be a
power coupled with an interest (including, without limitation, the interest of
the other Unitholders in the Managing Owner being able to rely on the Managing
Owner's authority to act as contemplated by this Section 15) and shall survive
and shall not be affected by the subsequent incapacity, disability or death of a
Unitholder.
16.
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Withdrawal of a
Unitholder.
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The Trust
shall be dissolved upon the withdrawal, dissolution, insolvency or removal of
the Managing Owner, or any other event that causes the Managing Owner to cease
to be a managing owner under the Act, unless the Trust is continued pursuant to
the terms of Section 5(a)(3). In addition, the Managing Owner may withdraw from
the Trust, without any breach of this Trust Agreement, at any time upon one
hundred twenty (120) days' written notice by first class mail, postage prepaid,
to each Unitholder and assignee of whom the Managing Owner has notice. If the
Managing Owner withdraws as managing owner and the Trust's business is
continued, the withdrawing Managing Owner shall pay all expenses incurred
directly as a result of its withdrawal. In the event of the Managing Owner's
removal or withdrawal, the Managing Owner shall be entitled to a redemption of
its interest in the Trust at its Net Asset Value on the next closing date
following the date of removal or withdrawal.
The
Managing Owner may not assign its interest or its obligation to direct the
trading of the Trust assets without the consent of each Unitholder.
The
death, incompetency, withdrawal, insolvency or dissolution of a Unitholder or
any other event that causes a Unitholder to cease to be a Unitholder (within the
meaning of the Act) in the Trust shall not terminate or dissolve the Trust, and
a Unitholder, his estate, custodian or personal representative shall have no
right to redeem or value such Unitholder's interest in the Trust except as
provided in Section 12 hereof. Each Unitholder expressly agrees that in the
event of his death, he waives on behalf of himself and his estate, and directs
the legal representatives of his estate and any person interested therein to
waive, the furnishing of any inventory, accounting or appraisal of the assets of
the Trust and any right to an audit or examination of the books of the Trust.
Nothing in this Section 16 shall, however, waive any right given elsewhere in
this Trust Agreement for a Unitholder to be informed of the Net Asset Value of
his Units, to receive periodic reports, audited financial statements and other
information from the Managing Owner or the Trust or to redeem or transfer
Units.
17.
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Standard of Liability;
Indemnification.
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(a) Standard of Liability for the
Managing Owner. The Managing Owner and its Affiliates, as
defined below, shall have no liability to the Trust or to any Unitholder for any
loss suffered by the Trust which arises out of any action or inaction of the
Managing Owner or its Affiliates if the Managing Owner, in good faith,
determined that such course of conduct was in the best interests of the Trust
and such course of conduct did not constitute negligence or misconduct of the
Managing Owner or its Affiliates.
(b) Indemnification of the Managing
Owner by the Trust. To the fullest extent permitted by law,
subject to this Section 17, the Managing Owner and its Affiliates shall be
indemnified by the Trust against any losses, judgments, liabilities, expenses
and amounts paid in settlement of any claims sustained by them in connection
with the Trust; provided that such claims were not the result of negligence or
misconduct on the part of the Managing Owner or its Affiliates, and the Managing
Owner, in good faith, determined that such conduct was in the best interests of
the Trust; and provided further that Affiliates of the Managing Owner shall be
entitled to indemnification only for losses incurred by such Affiliates in
performing the duties of the Managing Owner and acting wholly within the scope
of the authority of the Managing Owner.
A-14
Notwithstanding
anything to the contrary contained in the preceding two paragraphs, the Managing
Owner and its Affiliates and any persons acting as Selling Agents for the Units
shall not be indemnified for any losses, liabilities or expenses arising from or
out of an alleged violation of federal or state securities laws unless (1) there
has been a successful adjudication on the merits of each count involving alleged
securities law violations as to the particular indemnitee and the court approves
indemnification of the litigation costs, or (2) such claims have been dismissed
with prejudice on the merits by a court of competent jurisdiction as to the
particular indemnitee and the court approves indemnification of the litigation
costs, or (3) a court of competent jurisdiction approves a settlement of the
claims against a particular indemnitee and finds that indemnification of the
settlement and related costs should be made.
In any
claim for indemnification for federal or state securities law violations, the
party seeking indemnification shall place before the court the position of the
Securities and Exchange Commission, the California Department of Corporations,
the Massachusetts Securities Division, the Missouri Securities Division, the
Pennsylvania Securities Commission, the Tennessee Securities Division, the Texas
Securities Board and any other state or applicable regulatory authority with
respect to the issue of indemnification for securities law
violations.
The Trust
shall not bear the cost of that portion of any insurance which insures any party
against any liability the indemnification of which is herein
prohibited.
For the
purposes of this Section 17, the term "Affiliates" shall mean any person acting
on behalf of or performing services on behalf of the Trust who: (1) directly or
indirectly controls, is controlled by, or is under common control with the
Managing Owner; or (2) owns or controls 10% or more of the outstanding voting
securities of the Managing Owner; or (3) is an officer or director of the
Managing Owner; or (4) if the Managing Owner is an officer, director, partner or
trustee, is any entity for which the Managing Owner acts in any such
capacity.
Advances
from Trust funds to the Managing Owner and its Affiliates for legal expenses and
other costs incurred as a result of any legal action initiated against the
Managing Owner by a Unitholder are prohibited.
Advances
from Trust funds to the Managing Owner and its Affiliates for legal expenses and
other costs incurred as a result of a legal action will be made only if the
following three conditions are satisfied: (1) the legal action relates to the
performance of duties or services by the Managing Owner or its Affiliates on
behalf of the Trust; (2) the legal action is initiated by a third party who is
not a Unitholder; and (3) the Managing Owner or its Affiliates undertake to
repay the advanced funds, with interest from the date of such advance, to the
Trust in cases in which they would not be entitled to indemnification under the
standard of liability set forth in Section 17(a).
In no
event shall any indemnity or exculpation provided for herein be more favorable
to the Managing Owner or any Affiliate than that contemplated by the NASAA
Guidelines as currently in effect.
In no
event shall any indemnification permitted by this subsection (b) of Section 17
be made by the Trust unless all provisions of this Section for the payment of
indemnification have been complied with in all respects. Furthermore, it shall
be a precondition of any such indemnification that the Trust receive a
determination of qualified independent legal counsel in a written opinion that
the party which seeks to be indemnified hereunder has met the applicable
standard of conduct set forth herein. Receipt of any such opinion shall not,
however, in itself, entitle any such party to indemnification unless
indemnification is otherwise proper hereunder. Any indemnification payable by
the Trust hereunder shall be made only as provided in the specific
case.
In no
event shall any indemnification obligations of the Trust under this subsection
(b) of this Section 17 subject a Unitholder to any liability in excess of that
contemplated by subsection (e) of Section 8 hereof.
(c) Indemnification of the Trust by the
Unitholders. In the event the Trust is made a party to any
claim, dispute or litigation or otherwise incurs any loss or expense as a result
of or in connection with any Unitholder's activities, obligations or liabilities
unrelated to the Trust's business, such Unitholder shall indemnify and reimburse
the Trust for all loss and expense incurred, including reasonable attorneys'
fees.
A-15
18.
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Amendments;
Meetings.
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(a) Amendments with Consent of the
Managing Owner. The Managing Owner may amend this Trust
Agreement with the approval of the majority of the Units. No meeting procedure
or specified notice period is required in the case of amendments made with the
consent of the Managing Owner, mere receipt of an adequate number of unrevoked
written consents being sufficient. The Managing Owner may amend this Trust
Agreement without the consent of the Unitholders in order (i) to clarify any
clerical inaccuracy or ambiguity or reconcile any inconsistency (including any
inconsistency between this Trust Agreement and the Prospectus), (ii) to effect
the intent of the tax allocations proposed herein to the maximum extent possible
in the event of a change in the Code or the interpretations thereof affecting
such allocations, (iii) to attempt to ensure that the Trust is not treated as an
association taxable as a corporation for federal income tax purposes, (iv) to
qualify or maintain the qualification of the Trust as a trust in any
jurisdiction, (v) to delete or add any provision of or to this Trust Agreement
required to be deleted or added by the Staff of the Securities and Exchange
Commission or any other federal agency or any state "Blue Sky" official or
similar official or in order to opt to be governed by any amendment or successor
statute to the Act, (vi) to make any amendment to this Trust Agreement which the
Managing Owner deems advisable, including amendments that reflect the offering
and issuance of additional Units, whether or not issued through a series or
class, provided that such amendment is not adverse to the Unitholders, or that
is required by law, and (vii) to make any amendment that is appropriate or
necessary, in the opinion of the Managing Owner, to prevent the Trust or the
Managing Owner or its directors, officers or controlling persons from in any
manner being subjected to the provisions of the Investment Company Act of 1940,
as amended, or to prevent the assets of the Trust from being considered for any
purpose of ERISA or Section 4975 of the Code to constitute assets of any
"employee benefit plan" as defined in and subject to ERISA or of any "plan"
subject to Section 4975 of the Code (or any corresponding provisions of
succeeding law) or to avoid the Trust’s engaging in a prohibited transaction as
defined in Section 406 of ERISA or Section 4975(c) of the Code.
(b) Amendments and Actions without
Consent of the Managing Owner. In any vote called by the
Managing Owner or pursuant to section (c) of this Section 18, upon the
affirmative vote (which may be in person or by proxy) of more than fifty percent
(50%) of the Units then owned by Unitholders, the following actions may be
taken, irrespective of whether the Managing Owner concurs: (i) this Trust
Agreement may be amended, provided, however, that approval of all Unitholders
shall be required in the case of amendments changing or altering this Section
18, extending the term of the Trust, or materially changing the Trust's basic
investment policies or structure; in addition, reduction of the capital account
of any Unitholder or assignee or modification of the percentage of profits,
losses or distributions to which a Unitholder or an assignee is entitled
hereunder shall not be effected by any amendment or supplement to this Trust
Agreement without such Unitholder's or assignee's written consent; (ii) the
Trust may be dissolved; (iii) the Managing Owner may be removed and replaced;
(iv) a new managing owner or managing owners may be elected if the Managing
Owner withdraws from the Trust; (v) the sale of all or substantially all of the
assets of the Trust may be approved; and (vi) any contract with the Managing
Owner or any affiliate thereof may be disapproved of and, as a result,
terminated upon sixty (60) days' notice.
(c) Meetings; Other Voting
Matters. Any Unitholder upon request addressed to the Managing
Owner shall be entitled to obtain from the Managing Owner, upon payment in
advance of reasonable reproduction and mailing costs, a list of the names and
addresses of record of all Unitholders and the number of Units held by each
(which shall be mailed by the Managing Owner to the Unitholder within ten days
of the receipt of the request); provided, that the Managing Owner may require
any Unitholder requesting such information to submit written confirmation that
such information will not be used for commercial purposes. Upon receipt of a
written proposal, signed by Unitholders owning Units representing at least 10%
of the Units then owned by Unitholders, that a meeting of the Trust be called to
vote upon any matter upon which the Unitholders may vote pursuant to this Trust
Agreement, the Managing Owner shall, by written notice to each Unitholder of
record sent by certified mail within fifteen (15) days after such receipt, call
a meeting of the Trust. Such meeting shall be held at least thirty (30) but not
more than sixty (60) days after the mailing of such notice, and such notice
shall specify the date of, a reasonable place and time for, and the purpose of
such meeting.
The
Managing Owner may not restrict the voting rights of Unitholders as set forth
herein.
In the
event that the Managing Owner or the Unitholders vote to amend this Trust
Agreement in any material respect, the amendment will not become effective prior
to all Unitholders having an opportunity to redeem their Units.
A-16
(d) Consent by
Trustee. The Trustee's written consent to any amendment of
this Trust Agreement shall be required, such consent not to be unreasonably
withheld; provided, however, that the Trustee may, in its sole discretion,
withhold its consent to any such amendment that would adversely affect any
right, duty or liability of, or immunity or indemnity in favor of, the Trustee
under this Trust Agreement or any of the documents contemplated hereby to which
the Trustee is a party, or would cause or result in any conflict with or breach
of any terms, conditions or provisions of, or default under, the charter
documents or by-laws of the Trustee or any document contemplated thereby to
which the Trustee is a party.
19.
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Governing
Law.
|
THE
VALIDITY AND CONSTRUCTION OF THIS TRUST AGREEMENT SHALL BE DETERMINED AND
GOVERNED BY THE LAWS OF THE STATE OF DELAWARE WITHOUT REGARD TO PRINCIPLES OF
CONFLICTS OF LAW; PROVIDED, HOWEVER, THAT CAUSES OF ACTION FOR VIOLATIONS OF
FEDERAL OR STATE SECURITIES LAWS SHALL NOT BE GOVERNED BY THIS SECTION
19.
20.
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Miscellaneous.
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(a) Notices. All
notices under this Trust Agreement shall be in writing and shall be effective
upon personal delivery, or if sent by first class mail, postage prepaid,
addressed to the last known address of the party to whom such notice is to be
given, upon the deposit of such notice in the United States mail.
(b) Binding
Effect. This Trust Agreement shall inure to and be binding
upon all of the parties, all parties indemnified under Sections 2 and 17 hereof,
and their respective successors and assigns, custodians, estates, heirs and
personal representatives. For purposes of determining the rights of any
Unitholder or assignee hereunder, the Trust and the Managing Owner may rely upon
the Trust records as to who are Unitholders and assignees, and all Unitholders
and assignees agree that their rights shall be determined and they shall be
bound thereby.
(c) Captions. Captions
in no way define, limit, extend or describe the scope of this Trust Agreement
nor the effect of any of its provisions. Any reference to "persons" in this
Trust Agreement shall also be deemed to include entities, unless the context
otherwise requires.
21.
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Benefit Plan
Investors.
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Each
Unitholder that is an "employee benefit plan" as defined in and subject to the
ERISA, a "plan" as defined in and subject to Section 4975 of the Code ( a
"Plan"), or an entity (“Plan Assets Entity”) deemed for any purpose or ERISA or
Section 4975 of the Code to hold assets of any such employee benefit plan or
plan due to investments made in such entity by a Plan (in which case; the
following representations and warranties are made with respect to each Plan
holding an investment in such Plan Assets Entity) and each fiduciary thereof who
has caused the Plan to become a Unitholder (a "Plan Fiduciary"), represents and
warrants that: (a) the Plan Fiduciary has considered an investment in the Trust
for such Plan in light of the risks relating thereto; (b) the Plan Fiduciary has
determined that, in view of such considerations, the investment in the Trust for
such Plan is consistent with the Plan Fiduciary's responsibilities under ERISA;
(c) the Plan’s investment in the Trust does not violate and is not otherwise
inconsistent with the terms of any legal document constituting the Plan or any
trust agreement thereunder; (d) the Plan's investment in the Trust has been duly
authorized and approved by all necessary parties; (e) none of the Managing
Owner, each selling agent, any wholesaler, the futures broker, the escrow
agent, the Trustee, the over-the-counter counterparty, the cash
manager, the custodian, PNC Financial Services Group, Inc., any of their
respective affiliates or any of their respective agents or employees: (i) has
investment discretion with respect to the investment of assets of the Plan used
to purchase the Units; (ii) has authority or responsibility to or regularly
gives investment advice with respect to the assets of the Plan used to purchase
the Units for a fee and pursuant to an agreement or understanding that such
advice will serve as a primary basis for investment decisions with respect to
the Plan and that such advice will be based on the particular investment needs
of the Plan; or (iii) is an employer maintaining or contributing to the Plan;
and (f) the Plan Fiduciary: (i) is authorized to make, and is responsible for,
the decision for the Plan to invest in the Trust, including the determination
that such investment is consistent with the requirement imposed by Section 404
of ERISA that Plan investments be diversified so as to the risks of large
losses; (ii) is independent of the Managing Owner, each selling agent, each
wholesaler, the futures broker, the escrow agent, the Trustee, the
over-the-counter counterparty, the cash manager, the custodian, PNC Financial
Services Group, Inc. and each of their respective affiliates; and (iii) is
qualified to make such investment decision.
A-17
22. No Legal Title to Trust
Estate.
The
Unitholders shall not have legal title to any part of the Trust
Estate.
23. Legal Title.
Legal
title to all the Trust Estate shall be vested in the Trust as a separate legal
entity; except where applicable law in any jurisdiction requires any part of the
Trust Estate to be vested otherwise, the Managing Owner (or the Trustee, if
required by law) may cause legal title to the Trust Estate of any portion
thereof to be held by or in the name of the Managing Owner or any other person
as nominee.
24. Creditors.
No
creditors of any Unitholders shall have any right to obtain possession of, or
otherwise exercise legal or equitable remedies with respect to, the Trust
Estate.
A-18
IN
WITNESS WHEREOF, the undersigned have duly executed this Fourth Amended and
Restated Declaration of Trust and Trust Agreement as of the day and year first
above written.
U.S.
BANK TRUST NATIONAL
|
|
ASSOCIATION
(formerly known as
|
|
Wachovia
Trust Company, National
|
|
Association)
|
|
as
Trustee
|
|
By: /s/ ANNETTE MORGAN
|
|
Name:
Annette Morgan
|
|
Title:
Assistant Vice President
|
|
CAMPBELL
& COMPANY, INC.
|
|
as
Managing Owner
|
|
By: /s/ THOMAS P. LLOYD
|
|
Name:
Thomas P. Lloyd
|
|
Title:
General Counsel
|
|
By: /s/ GREGORY T.
DONOVAN
|
|
Name:
Gregory T. Donovan
|
|
Title:
Chief Financial Officer
|
|
All
Unitholders now and hereafter admitted as Unitholders of the Trust,
pursuant to powers of attorney now and hereafter executed in favor of, and
granted and delivered to, the Managing Owner.
|
|
By:
CAMPBELL & COMPANY,
INC.
|
|
ATTORNEY-IN-FACT
|
|
By: /s/ THOMAS P. LLOYD
|
|
Name:
Thomas P. Lloyd
|
|
Title:
General Counsel
|
|
By: /s/ GREGORY T.
DONOVAN
|
|
Name:
Gregory T. Donovan
|
|
Title:
Chief Financial Officer
|
A-19
Schedule
A
CERTIFICATE
OF TRUST
OF
CAMPBELL
ASSET ALLOCATION TRUST
THIS
Certificate of Trust of CAMPBELL ASSET ALLOCATION TRUST (the "Trust"), dated May
1, 2000, is being duly executed and filed by First Union Trust Company, National
Association, a national banking association, as trustee, to form a business
trust under the Delaware Business Trust Act (12 Del.C. 3801 et seq.) (the
"Act").
1. Name. The name of
the business trust formed hereby is Campbell Asset Allocation
Trust.
2. Delaware
Trustee. The name and business address of the trustee of the
Trust in the State of Delaware is First Union Trust Company, National
Association, One Rodney Square, Suite 102, 920 King Street, Wilmington, Delaware
19801.
3. Series Trust. The
Trust shall be a series trust and shall issue series of beneficial interests
having separate rights, powers and duties with respect to property or
obligations of the Trust, as provided in Sections 3804 and 3806(b)(2) of the
Act, such that the debts, liabilities, obligations and expenses incurred,
contracted for or otherwise existing with respect to a particular series shall
be enforceable against the assets of such series only, and not against the
assets of the Trust generally or any other series.
4. Effective
Date. This Certificate of Trust shall be effective upon the
date and time of filing.
IN
WITNESS WHEREOF, the undersigned, being the sole trustee of the Trust, has
executed this Certificate of Trust as of the date first above written in
accordance with Section 3811(a) of the Act.
FIRST
UNION TRUST COMPANY, NATIONAL
|
|
ASSOCIATION
|
|
as
Trustee
|
|
By: /s/ STERLING C.
CORREIA
|
|
Name:
Sterling C. Correia
|
|
Title:
Vice President
|
A-20
CERTIFICATE
OF AMENDMENT
OF
CAMPBELL
ASSET ALLOCATION TRUST
FIRST: The
name of the business trust is Campbell Asset Allocation Trust.
SECOND: Article
I of the Certificate of Trust of the business trust is hereby amended as
follows:
1. The
name of the business trust formed hereby is Campbell Alternative Asset
Trust.
THIRD: This
Certificate of Amendment shall be effective upon the date and time of
filing.
IN
WITNESS WHEREOF, the undersigned has executed this Certificate of Amendment of
Campbell Asset Allocation Trust this 16th day of October, 2000.
FIRST
UNION TRUST COMPANY,
|
|
NATIONAL
ASSOCIATION
|
|
as
Trustee
|
|
By: /s/ EDWARD L. TRUITT,
JR.
|
|
Name:
Edward L. Truitt, Jr.
|
|
Title:
Vice President
|
A-21
CERTIFICATE
OF AMENDMENT
TO
CERTIFICATE
OF TRUST
OF
CAMPBELL
ALTERNATIVE ASSET TRUST
THIS Certificate of Amendment to
Certificate of Trust of Campbell Alternative Asset Trust (the “Trust”) is being
duly executed and filed by the undersigned trustee to amend the certificate of
trust of a statutory trust formed under the Delaware Statutory Trust Act (12
Del.C. § 3801
et seq.) (the
“Act”).
1. Name. The name of the
statutory trust is Campbell Alternative Asset Trust.
2. Amendment of Trust.
The Certificate of Trust of the Trust is hereby amended by changing the name and
business address of the trustee of the Trust with a principal place of business
in Delaware to U.S. Bank Trust National Association, 300 Delaware Avenue, 9th Floor,
Wilmington, Delaware 19801.
3. Effective Date. This
Certificate of Amendment shall be effective upon filing.
IN
WITNESS WHEREOF, the undersigned, a trustee of the Trust, has executed this
Certificate of Amendment in accordance with Section 3811(a)(2) of the
Act.
U.S.
BANK TRUST NATIONAL ASSOCIATION,
not
in its individual capacity but solely as trustee
By:
/s/ Mildred F.
Smith
Name: Mildred
F. Smith
Title: Vice
President
|
|
A-22
(This
page has been left blank intentionally.)
EXHIBIT B
[
],
2010
B-1
(This
page has been left blank intentionally.)
EXHIBIT
C
CAMPBELL
ALTERNATIVE ASSET TRUST
SUBSCRIPTION
REQUIREMENTS
By
executing the Subscription Agreement and Power of Attorney for Campbell
Alternative Asset Trust (the "Trust"), each purchaser ("purchaser") of Units of
beneficial interest in the Trust ("Units") irrevocably subscribes for Units at a
price equal to the net asset value per Unit as of the end of the month in which
the subscription is accepted provided such subscription is received at least
five business days prior to such month end, as described in the Trust's
prospectus dated
[ ], 2010 (the
"prospectus"). By execution of the Subscription Agreement and Power of Attorney,
purchaser shall be deemed to have executed the Trust Agreement.
As an
inducement to the Managing Owner to accept this subscription, purchaser (for the
purchaser and, if purchaser is an entity, on behalf of and with respect to each
of purchaser's shareholders, partners, members or beneficiaries), by executing
and delivering purchaser's Subscription Agreement and Power of Attorney,
represents and warrants to the managing owner, the futures broker, the selling
agent who solicited purchaser's subscription and the Trust, as
follows:
(a)
Purchaser is of legal age to execute the Subscription Agreement and Power of
Attorney and is legally competent to do so. Purchaser acknowledges that
purchaser has received a copy of the prospectus, including the Trust
Agreement.
(b) All
information that purchaser has furnished to the Managing Owner or that is set
forth in the Subscription Agreement and Power of Attorney submitted by purchaser
is correct and complete as of the date of such Subscription Agreement and Power
of Attorney, and if there should be any change in such information prior to
acceptance of purchaser's subscription, purchaser will immediately furnish such
revised or corrected information to the Managing Owner.
(c)
Purchaser either is not required to be registered with the Commodity Futures
Trading Commission ("CFTC") or to be a member of the National Futures
Association ("NFA") or if required to be so registered is duly registered with
the CFTC and is a member in good standing of the NFA.
(d) If
the undersigned is, or is acting on behalf, of an "employee benefit plan," as
defined in and subject to the Employee Retirement Income Security Act of 1974,
as amended ("ERISA"), a "plan" as defined in and subject to Section 4975 of the
Internal Revenue Code of 1986, as amended (the "Code") (a "Plan"), or any entity
(“Plan Assets Entity”) deemed for any purpose of ERISA or Section 4975 of the
Code to hold assets of any such employee benefit plan or plan due to investments
made in such entity by benefit plan investors as defined in Section 3(42) of
ERISA (in which case, the following representations and warranties are made with
respect to each Plan holding an investment in such Plan Assets Entity), the
individual signing this Subscription Agreement and Power of Attorney on behalf
of the undersigned hereby further represents and warrants as, or on behalf of,
the fiduciary of the Plan responsible for purchasing Units (the "Plan
Fiduciary") that: (a) the Plan Fiduciary has considered an investment in the
Trust for such Plan in light of the risks relating thereto; (b) the Plan
Fiduciary has determined that, in view of such considerations, the investment in
the Trust is consistent with the Plan Fiduciary's responsibilities under ERISA;
(c) the Plan's investment in the Trust does not violate and is not otherwise
inconsistent with the terms of any legal document constituting the Plan or any
trust agreement thereunder; (d) the Plan's investment in the Trust has been duly
authorized and approved by all necessary parties; (e) none of the Managing
Owner, the Trustee, the Trust's futures broker, the Trust’s over-the-counter
counterparty, the Trust’s cash manager, the Trust’s escrow agent, any
wholesaler, any selling agent, the Trust’s custodian, PNC Financial Services
Group, Inc., any of their respective affiliates or any of their respective
agents or employees: (i) has investment discretion with respect to the
investment of assets of the Plan used to purchase Units; (ii) has authority or
responsibility to or regularly gives investment advice with respect to the
assets of the Plan used to purchase Units for a fee and pursuant to an agreement
or understanding that such advice will serve as a primary basis for investment
decisions with respect to the Plan and that such advice will be based on the
particular investment needs of the Plan; (iii) is an employer maintaining or
contributing to the Plan, except in the case of a Plan where the Managing Owner
is described in this clause (e), the fees payable to the Managing Owner are
rebated in the form of additional Units and the purchase and holding of Units
would not result in a prohibited transaction under ERISA and Section 4975 of the
Code; and (f) the Plan Fiduciary (i) is authorized to make, and is responsible
for, the decision to invest in the Trust, including the determination that such
investment is consistent with the requirement imposed by Section 404 of ERISA
that Plan investments be diversified so as to minimize the risks of large
losses, (ii) is independent of the Managing Owner, the Trustee, the Trust's
futures broker, the Trust’s over-the-counter counterparty, the Trust’s cash
manager, the Trust’s escrow agent, each wholesaler, each selling agent, the
Trust’s custodian, PNC Financial Services Group, Inc., each of their respective
affiliates, except in the case of a Plan maintained by the Managing Owner where
the fees payable to the Managing Owner are rebated in the form of additional
Units and the purchase and holding of Units would not result in a prohibited
transaction under ERISA and Section 4975 of the Code, and (iii) is qualified to
make such investment decision. The undersigned will, at the request of the
Managing Owner, furnish the Managing Owner with such information as the Managing
Owner may reasonably require to establish that the purchase of the Units by the
Plan does not violate any provision of ERISA or the Code, including without
limitation, those provisions relating to "prohibited transactions" by "parties
in interest" or "disqualified persons" as defined therein.
C-1
EXHIBIT
D
CAMPBELL
ALTERNATIVE ASSET TRUST
UNITS
OF BENEFICIAL INTEREST
SUBSCRIPTION
AGREEMENT AND POWER OF ATTORNEY
Campbell
Alternative Asset Trust
c/o
Campbell & Company, Inc.
2850
Quarry Lake Drive
Baltimore,
Maryland 21209
Dear
Sir/Madam:
1. Subscription for
Units. I hereby subscribe for the number of Units of
beneficial interest in Campbell Alternative Asset Trust (the "Trust") set forth
on the reverse side of this Subscription Agreement and Power of Attorney
Signature Page, at net asset value per Unit as set forth in the prospectus of
the Trust dated
[ ], 2010 (the
"prospectus"). If this subscription is rejected, or if no Units are sold, all
funds remitted by the undersigned herewith will be returned, together with any
interest actually earned thereon. If this subscription is accepted, subscribers
will earn additional Units in lieu of interest earned on the undersigned's
subscription while held in escrow. The Managing Owner may, in its sole and
absolute discretion, accept or reject this subscription in whole or in part. All
subscriptions once submitted are irrevocable. All Units are offered subject to
prior sale.
2. Representations and Warranties of
Subscriber. I have received the prospectus. By submitting this
Subscription Agreement and Power of Attorney, I am making the representations
and warranties set forth in "Exhibit C — Subscription Requirements" contained in
the prospectus, including, without limitation, those representations and
warranties relating to my net worth and annual income set forth
therein.
3. Power of
Attorney. In connection with my acceptance of an interest in
the Trust, I do hereby irrevocably constitute and appoint the Managing Owner,
and its successors and assigns, as my true and lawful Attorney-in-Fact, with
full power of substitution, in my name, place and stead, to (i) file, prosecute,
defend, settle or compromise litigation, claims or arbitrations on behalf of the
Trust and (ii) make, execute, sign, acknowledge, swear to, deliver, record and
file any documents or instruments which may be considered necessary or desirable
by the Managing Owner to carry out fully the provisions of the Declaration of
Trust and Trust Agreement, which is attached as Exhibit A to the prospectus,
including, without limitation, the execution of the said Agreement itself and by
effecting all amendments permitted by the terms thereof. The Power of Attorney
granted hereby shall be deemed to be coupled with an interest and shall be
irrevocable and shall survive, and shall not be affected by, my subsequent
death, incapacity, disability, insolvency or dissolution or any delivery by me
of an assignment of the whole or any portion of my interest in the
Trust.
4. Irrevocability;
Governing
Law. I hereby acknowledge and agree that I am not entitled to
cancel, terminate or revoke this subscription or any of my agreements hereunder
after the Subscription Agreement and Power of Attorney has been submitted (and
not rejected) and that this subscription and such agreements shall survive my
death or disability, but shall terminate with the full redemption of all my
Units in the Trust. This Subscription Agreement and Power of Attorney shall be
governed by and interpreted in accordance with the laws of the State of
Delaware.
READ
AND COMPLETE REVERSE SIDE
D-1
[
], 2010
EXHIBIT
D
Signature
Page
SUBSCRIPTION
AGREEMENT
IMPORTANT:
READ REVERSE SIDE BEFORE SIGNING
The
investor named below, by execution and delivery of this Subscription Agreement
and Power of Attorney, by payment of the purchase price for Units of Beneficial
Interest in Campbell Alternative Asset Trust, hereby subscribes for the purchase
of Units at net asset value per Unit.
The named
investor further acknowledges receipt of the prospectus of the Trust dated
[ ], 2010, including
the Trust's Fourth Amended and Restated Declaration of Trust and Trust
Agreement, the Subscription Requirements and the Subscription Agreement and
Power of Attorney set forth therein, the terms of which govern the investment in
the Units being subscribed for hereby.
1)
Total $
Amount __________________________________________________________________
2)
Unitholder Name
Campbell
& Company, Inc. 401(k) Plan
3)
Trustee Name and Mailing Address
Campbell
& Company, Inc.
|
2850
Quarry Lake Drive
|
Baltimore
|
MD
|
21209
|
Name
|
Street
|
City
|
State
|
Zip
Code
|
INVESTOR
MUST SIGN
X
|
|||
Signature
of Investor
|
Date
|
Executing
and delivering this Subscription Agreement and Power of Attorney shall in no
respect be deemed to constitute a waiver of any rights under the Securities Act
of 1933 or under the Securities Exchange Act of 1934.
D-2
PROSPECTUS
BACK COVER
PART
II
INFORMATION
NOT REQUIRED IN PROSPECTUS
Item
13. Other Expenses of Issuance and Distribution.
Approximate
Amount
|
|||
Securities
and Exchange Commission Registration Fee
|
$
|
356.50
|
|
Printing
Expenses
|
725.00
|
||
Fees
of Certified Public Accountants
|
16,000.00
|
||
Fees
of Counsel
|
25,000.00
|
||
Total
|
$
|
42,081.50
|
Campbell
& Company has advanced certain of the offering expenses, as described in the
Prospectus, for which it is being reimbursed by the Registrant in monthly
installments up to the lesser of the actual amount of offering expenses advanced
by Campbell & Company, Inc. or 0.9% of net assets of the Trust per annum.
Because the Trust is now being offered exclusively for sale to the Campbell
& Company, Inc. 401(k) Plan, Campbell & Company is bearing the
responsibility for all offering expenses incurred going forward with respect to
the Campbell & Company, Inc. 401(k) Plan; such expenses will not be
reimbursed by the Campbell & Company, Inc. 401(k) Plan.
Item
14. Indemnification of Directors and Officers.
Section
17 of the Fourth Amended and Restated Trust Agreement (attached as Exhibit A to
the Prospectus which forms a part of this Registration Statement) provides for
the indemnification of the Managing Owner and certain of its controlling persons
by the Registrant in certain circumstances. Such indemnification is limited to
claims sustained by such persons in connection with the Registrant; provided
that such claims were not the result of negligence or misconduct on the part of
Campbell & Company or such controlling persons. The Registrant is prohibited
from incurring the cost of any insurance covering any broader indemnification
than that provided above. Advances of Registrant funds to cover legal expenses
and other costs incurred as a result of any legal action initiated against
Campbell & Company by a Unitholder are prohibited unless specific court
approval is obtained.
Item
15. Recent Sales of Unregistered Securities.
None
Item
16. Exhibits and Financial Statement Schedules.
The
following documents (unless otherwise indicated) are filed herewith and made a
part of this Registration Statement.
|
(a)
|
Exhibits
|
Exhibit
Number
|
Description of Document
|
||
1.01
|
Selling
Agreement among the Trust, the Managing Owner, PaineWebber Incorporated
and the Selling Agent(3)
|
||
1.02
|
Additional
Selling Agreement among the Trust, the Managing Owner and the Additional
Selling Agent(3)
|
||
3.01
|
Declaration
of Trust and Trust Agreement of the Registrant dated May 1,
2000(1)
|
||
3.02
|
Statement
of Trust of the Registrant(2)
|
||
3.03
|
Fourth
Amended and Restated Declaration of Trust and Trust Agreement of the
Registrant (included as Exhibit A to the Prospectus)
|
||
5.01
|
(a)
|
Opinion
of Sidley Austin LLP relating to the legality of the
Units
|
|
5.01
|
(b)
|
Opinion
of Richards, Layton & Finger, P.A. relating to the legality of the
Units
|
|
8.01
|
Opinion
of Sidley Austin LLP with respect to federal income tax
consequences
|
||
10.01
|
Customer
Agreement between the Trust and UBS Securities LLC(3)
|
||
10.02
|
Subscription
Agreement and Power of Attorney (included as Exhibit D to
Prospectus)
|
||
10.03
|
Escrow
Agreement between the Partnership and Mercantile Safe Deposit & Trust
Company(3)
|
||
10.05
|
Form
of International Swap Dealers Association, Inc. Master Agreement between
the Trust and Deutsche Bank AG(3)
|
||
10.06
|
Non-Custody
Investment Advisory Agreement between the Trust and Wilmington Trust
Company(6)
|
||
10.07
|
Global
Institutional Master Custody Agreement(7)
|
||
16.01
|
Letter
regarding change in Certifying Accountant(5)
|
||
23.01
|
Consent
of Sidley Austin LLP is included as part of Exhibit
5.01(a)
|
||
23.02
|
Consent
of Arthur F. Bell, Jr. & Associates, L.L.C.
|
||
23.03
|
Consent
of Richards, Layton & Finger, P.A. is included as part of
Exhibit 5.01(b)
|
||
23.04
|
Consent
of Deloitte & Touche LLP
|
||
23.05
|
Consent
of Sidley Austin LLP as tax counsel is included as part of Exhibit
8.01
|
II-1
______________
(1)
|
This
exhibit is included in exhibits filed by the Registrant as part of its
Registration Statement on Form S-1 (No. 333-37548) on May 22, 2000 and is
hereby incorporated by reference.
|
(2)
|
This
exhibit is included in exhibits filed by the Registrant as part of its
Pre-Effective Amendment No. 1 to the Registration Statement on Form S-1
(No. 333-37548) on November 9, 2000 and is hereby incorporated by
reference.
|
(3)
|
This
exhibit is included in exhibits filed by the Registrant as part of its
Post-Effective Amendment No. 11 to the Registration Statement on Form S-1
(No. 333-74014) on November 25, 2008 and is hereby incorporated by
reference.
|
(4)
|
This
exhibit is included in exhibits filed by the Registrant as part of its
Post-Effective Amendment No. 1 to the Registration Statement on Form S-1
(No. 333-74014) on December 12, 2002 and is hereby incorporated by
reference.
|
(5)
|
This
exhibit is included in exhibits filed by the Registrant as part of its
Report on Form 8-K (No. 000-33311) on September 27, 2005 and is hereby
incorporated by reference.
|
|
(b)
|
Financial
Statement Schedules.
|
No
Financial Schedules are required to be filed herewith.
(6)
|
This
exhibit is included in exhibits filed by the Registrant as part of its
Post-Effective Amendment No. 12 to the Registration Statement on Form S-1
(No. 333-74014) on August 25, 2009 and is hereby incorporated by
reference.
|
(7)
|
This
exhibit is included in exhibits filed by the Registrant as part of its
Post-Effective Amendment No. 12 to the Registration Statement on Form S-1
(No. 333-74014) on August 25, 2009 and is hereby incorporated by
reference.
|
Item
17. Undertakings.
(a) The
undersigned registrant hereby undertakes:
(1) To
file, during any period in which offers or sales are being made, a
post-effective amendment to this registration statement;
(i) To
include any prospectus required by section 10(a)(3) of the Securities Act of
1933;
(ii) To
reflect in the prospectus any facts or events arising after the effective date
of the registration statement (or the most recent post-effective amendment
thereof) which, individually or in the aggregate, represent a fundamental change
in the information set forth in the registration statement. Notwithstanding the
foregoing, any increase or decrease in volume of securities offered
(if the total dollar value of securities offered would not exceed
that which was registered) and any deviation from the low or high end of the
estimated maximum offering range may be reflected in the form of prospectus
filed with the Commission pursuant to Rule 424(b) if, in the aggregate, the
changes in volume and price represent no more than a 20% change in the maximum
aggregate offering price set forth in the “Calculation of Registration Fee”
table in the effective registration statement;
II-2
(iii) To
include any material information with respect to the plan of distribution not
previously disclosed in the registration statement or any material change to
such information in the registration statement; Provided, however,
That:
(A) Paragraphs
(a)(1)(i) and (a)(1)(ii) of this section do not apply if the registration
statement is on Form S–8, and the information required to be included in a
post-effective amendment by those paragraphs is contained in reports filed with
or furnished to the Commission by the registrant pursuant to section 13 or
section 15(d) of the Securities Exchange Act of 1934 that are incorporated by
reference in the registration statement; and
(B)
Paragraphs (a)(1)(i), (a)(1)(ii) and (a)(1)(iii) of this section do not apply if
the registration statement is on Form S–3 or Form F–3 and the information
required to be included in a post-effective amendment by those paragraphs is
contained in reports filed with or furnished to the Commission by the registrant
pursuant to section 13 or section 15(d) of the Securities Exchange Act of 1934
that are incorporated by reference in the registration statement, or is
contained in a form of prospectus filed pursuant to Rule 424(b) that is part of
the registration statement.
(2) That,
for the purpose of determining any liability under the Securities Act of 1933,
each such post-effective amendment shall be deemed to be a new registration
statement relating to the securities offered therein, and the offering of such
securities at that time shall be deemed to be the bona fide offering
thereof.
(3) To
remove from registration by means of a post-effective amendment any of the
securities being registered which remain unsold at the termination of the
offering.
(4) That,
for the purpose of determining liability under the Securities Act of 1933 to any
purchaser:
(i) If
the registrant is relying on Rule 430B:
(A) Each
prospectus filed by the registrant pursuant to Rule 424(b)(3) shall be deemed to
be part of the registration statement as of the date the filed prospectus was
deemed part of and included in the registration statement; and
(B) Each
prospectus required to be filed pursuant to Rule 424(b)(2), (b)(5), or (b)(7) as
part of a registration statement in reliance on Rule 430B relating to an
offering made pursuant to Rule 415(a)(1)(i), (vii), or (x) for the purpose of
providing the information required by section 10(a) of the Securities Act of
1933 shall be deemed to be part of and included in the registration statement as
of the earlier of the date such form of prospectus is first used after
effectiveness or the date of the first contract of sale of securities in the
offering described in the prospectus. As provided in Rule 430B, for liability
purposes of the issuer and any person that is at that date an underwriter, such
date shall be deemed to be a new effective date of the registration statement
relating to the securities in the registration statement to which that
prospectus relates, and the offering of such securities at that time shall be
deemed to be the initial bona fide offering thereof. Provided, however, that no
statement made in a registration statement or prospectus that is part of the
registration statement or made in a document incorporated or deemed incorporated
by reference into the registration statement or prospectus that is part of the
registration statement will, as to a purchaser with a time of contract of sale
prior to such effective date, supersede or modify any statement that was made in
the registration statement or prospectus that was part of the registration
statement or made in any such document immediately prior to such effective date;
or
II-3
(ii) If
the registrant is subject to Rule 430C, each prospectus filed pursuant to Rule
424(b) as part of a registration statement relating to an offering, other than
registration statements relying on Rule 430B or other than prospectuses filed in
reliance on Rule 430A, shall be deemed to be part of and included in the
registration statement as of the date it is first used after effectiveness.
Provided, however, that no statement made in a registration statement or
prospectus that is part of the registration statement or made in a document
incorporated or deemed incorporated by reference into the registration statement
or prospectus that is part of the registration statement will, as to a purchaser
with a time of contract of sale prior to such first use, supersede or modify any
statement that was made in the registration statement or prospectus that was
part of the registration statement or made in any such document immediately
prior to such date of first use.
(5) That,
for the purpose of determining liability of the registrant under the Securities
Act of 1933 to any purchaser in the initial distribution of the
securities:
The
undersigned registrant undertakes that in a primary offering of securities of
the undersigned registrant pursuant to this registration statement, regardless
of the underwriting method used to sell the securities to the purchaser, if the
securities are offered or sold to such purchaser by means of any of the
following communications, the undersigned registrant will be a seller to the
purchaser and will be considered to offer or sell such securities to such
purchaser:
(i) Any
preliminary prospectus or prospectus of the undersigned registrant relating to
the offering required to be filed pursuant to Rule 424;
(ii) Any
free writing prospectus relating to the offering prepared by or on behalf of the
undersigned registrant or used or referred to by the undersigned
registrant;
(iii) The
portion of any other free writing prospectus relating to the offering containing
material information about the undersigned registrant or its securities provided
by or on behalf of the undersigned registrant; and
(iv) Any
other communication that is an offer in the offering made by the undersigned
registrant to the purchaser.
(b) Insofar
as indemnification for liabilities under the Securities Act of 1933 may be
permitted to officers, directors and controlling persons of the registrant
pursuant to the foregoing provisions, or otherwise, the registrant has been
advised that in the opinion of the Securities and Exchange Commission such
indemnification is against public policy as expressed in the Securities Act of
1933 and is, therefore, unenforceable. In the event that a claim for
indemnification against such liabilities (other than the payment by the
registrant of expenses incurred or paid by an officer, director, or controlling
person of the registrant in the successful defense of any such action, suit or
proceeding) is asserted by such officer, director or controlling person in
connection with the securities being registered, the registrant will, unless in
the opinion of its counsel the matter has been settled by controlling precedent,
submit to a court of appropriate jurisdiction the question whether such
indemnification by it is against public policy as expressed in the Securities
Act of 1933 and will be governed by the final adjudication of such
issue.
II-4
SIGNATURES
Pursuant
to the requirements of the Securities Act of 1933, the Managing Owner of the
Registrant has duly caused this Registration Statement to be signed on its
behalf by the undersigned, thereunto duly authorized, in the County of Baltimore
in the State of Maryland on the 25th day of June, 2010.
CAMPBELL
ALTERNATIVE ASSET TRUST
|
||
By:
Campbell & Company, Inc.
|
||
Managing Owner
|
||
By:
/s/
|
THERESA D. BECKS
|
|
Theresa
D. Becks
|
||
Chief
Executive Officer (Principal Executive Officer)
|
||
By:
/s/
|
GREGORY T. DONOVAN
|
|
Gregory
T. Donovan
|
||
Chief
Financial Officer (Principal Financial Officer and
|
||
Principal
Accounting
Officer
|
Pursuant
to the requirements of the Securities Act of 1933, this Registration Statement
has been signed below by the following persons on behalf of the Managing Owner
of the Registrant in the capacities and on the date indicated.
Signatures
|
Title with Registrant
|
Date
|
||
/s/ D. KEITH CAMPBELL
|
Chairman
of the Board and Director
|
June
25, 2010
|
||
D.
Keith Campbell
|
||||
/s/ BRUCE L. CLELAND
|
Vice
Chairman of the Board and Director
|
June
25, 2010
|
||
Bruce
L. Cleland
|
||||
/s/ THERESA D. BECKS
|
President,
Chief Executive Officer
|
June
25, 2010
|
||
Theresa
D. Becks
|
and
Director (Principal Executive Officer)
|
|||
/s/ GREGORY T. DONOVAN
|
Chief
Financial Officer (Principal Financial
|
June
25, 2010
|
||
Gregory T. Donovan
|
Officer) |
(Being
the principal executive officer, the principal financial and accounting officer
and a majority of the directors of Campbell & Company, Inc.)
CAMPBELL
& COMPANY, INC.
|
Managing
Owner of Registrant
|
June
25, 2010
|
||
By: /s/ THERESA D. BECKS
|
||||
Theresa
D. Becks
|
||||
Chief
Executive Officer
|
||||
(Principal
Executive Officer)
|
|
|
By: /s/ GREGORY T. DONOVAN
|
||||
Gregory
T. Donovan
|
||||
Chief
Financial Officer (Principal Financial
Officer
and Principal Accounting Officer)
|
II-5
INDEX
TO EXHIBITS
Exhibit
Number
|
Description of Document
|
||
3.03
|
Fourth
Amended and Restated Declaration of Trust and Trust Agreement of the
Registrant (included as Exhibit A to the Prospectus
|
||
5.01
|
(a) |
Opinion
of Sidley Austin LLP relating to the legality of the
Units.
|
|
5.01
|
(b) |
Opinion
of Richards, Layton & Finger, P.A. relating to the legality of the
Units.
|
|
8.01
|
Opinion
of Sidley Austin LLP with respect to federal income tax
consequences.
|
||
23.01
|
Consent
of Sidley Austin LLP is included as part of Exhibit
5.01(a)
|
||
23.02
|
Consent
of Arthur F. Bell, Jr. & Associates, L.L.C.
|
||
23.03
|
Consent
of Richards, Layton & Finger, P.A. is included as part of Exhibit
5.01(b)
|
||
23.04
|
Consent
of Deloitte & Touche LLP
|
||
23.05
|
Consent
of Sidley Austin LLP as tax counsel is included as part of Exhibit
8.01
|