Attached files
file | filename |
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EX-31.02 - EX-31.02 - CAMPBELL FUND TRUST | w82803exv31w02.htm |
EX-31.01 - EX-31.01 - CAMPBELL FUND TRUST | w82803exv31w01.htm |
EX-32.01 - EX-32.01 - CAMPBELL FUND TRUST | w82803exv32w01.htm |
EX-32.02 - EX-32.02 - CAMPBELL FUND TRUST | w82803exv32w02.htm |
Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
þ | Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
For
the quarterly period ended March 31, 2011
or
o | Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
For the transition period from to
Commission File number: 0-50264
THE CAMPBELL FUND TRUST
(Exact name of registrant as specified in charter)
Delaware | 94-6260018 | |
(State of Organization) | (IRS Employer Identification Number) |
2850 Quarry Lake Drive, Baltimore, Maryland 21209
(Address of principal executive offices, including zip code)
(410) 413-2600
(Registrants telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by
Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for
such shorter period that the registrant was required to file such reports), and (2) has been
subject to such filing requirements for the past 90 days. Yes þ No o
Indicate by check mark whether the registrant has submitted electronically and posted on its
corporate Web site, if any, every Interactive Data File required to be submitted and posted
pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months
(or for such shorter period that the registrant was required to submit and post such files). Yes þ No o
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated
filer, a non-accelerated file, or a smaller reporting company. See the definitions of large
accelerated filer, accelerated filer and smaller reporting company: in Rule 12b-2 of the
Exchange Act. (Check one):
Large accelerate filer o | Accelerated filer o | Non-accelerated filer o | Smaller reporting company þ |
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the
Exchange Act). Yes o No þ
Total
number of Pages: 35
Page | ||||||||
PART I FINANCIAL INFORMATION |
||||||||
Item 1.
Financial Statements |
||||||||
3-6 | ||||||||
7 | ||||||||
8 | ||||||||
9 | ||||||||
10-11 | ||||||||
12-14 | ||||||||
15-20 | ||||||||
21-27 | ||||||||
27-33 | ||||||||
33 | ||||||||
34 | ||||||||
35 | ||||||||
CERTIFICATIONS |
||||||||
EX-31.01 | ||||||||
EX-31.02 | ||||||||
EX-32.01 | ||||||||
EX-32.02 |
Table of Contents
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31, 2011 (Unaudited)
MARCH 31, 2011 (Unaudited)
FIXED INCOME SECURITIES
Maturity | % of Net | |||||||||||
Face Value | Description | Values ($) | Asset Value | |||||||||
Bank Deposits |
||||||||||||
Canada |
||||||||||||
Financials |
$ | 7,222,743 | 2.09 | % | ||||||||
(cost $7,215,000) |
||||||||||||
United Kingdom |
||||||||||||
Financials |
$ | 5,004,601 | 1.45 | % | ||||||||
(cost $5,003,838) |
||||||||||||
United States |
||||||||||||
Financials |
$ | 22,011,263 | 6.36 | % | ||||||||
(cost $22,000,000) |
||||||||||||
Total Bank Deposits |
||||||||||||
(cost $34,218,838) |
$ | 34,238,607 | 9.90 | % | ||||||||
Commercial Paper |
||||||||||||
Netherlands |
||||||||||||
Industrials |
$ | 9,995,339 | 2.89 | % | ||||||||
(cost $9,983,545) |
||||||||||||
United States |
||||||||||||
Consumer Discretionary |
$ | 24,595,213 | 7.11 | % | ||||||||
Consumer Staple |
$ | 16,999,929 | 4.91 | % | ||||||||
Financials |
$ | 21,222,765 | 6.13 | % | ||||||||
Healthcare |
$ | 39,590,130 | 11.44 | % | ||||||||
Industrials |
$ | 8,995,000 | 2.60 | % | ||||||||
Services |
$ | 9,999,297 | 2.89 | % | ||||||||
Total United States (cost $121,387,853) |
$ | 121,402,334 | 35.08 | % | ||||||||
Total Commercial Paper |
||||||||||||
(cost $131,371,398) |
$ | 131,397,673 | 37.97 | % | ||||||||
Corporate Bonds |
||||||||||||
United States |
||||||||||||
Financials |
$ | 43,295,872 | 12.51 | % | ||||||||
Healthcare |
$ | 6,222,144 | 1.80 | % | ||||||||
Total United States (cost $49,376,824) |
$ | 49,518,016 | 14.31 | % | ||||||||
Government And Agency Obligations |
||||||||||||
United States |
||||||||||||
US Government Agency |
||||||||||||
Other |
$ | 14,576,892 | 4.21 | % | ||||||||
U.S. Treasury Bills* |
||||||||||||
$ | 20,000,000 | Due 06/30/2011 |
$ | 19,996,500 | 5.78 | % | ||||||
U.S. Treasury Bills* |
||||||||||||
$ | 50,000,000 | Due 04/07/2011 |
$ | 49,999,458 | 14.45 | % | ||||||
Total United States (cost $84,594,998) |
$ | 84,572,850 | 24.44 | % | ||||||||
Short Term Investment Funds |
||||||||||||
United States |
||||||||||||
Short Term Investment Funds |
$ | 962 | 0.00 | % | ||||||||
(cost $962) |
||||||||||||
Total Fixed Income Securities |
||||||||||||
(cost $299,563,020) |
$ | 299,728,108 | 86.62 | % | ||||||||
See Accompanying Notes to Financial Statements.
- 3 -
Table of Contents
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31, 2011 (Unaudited)
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31, 2011 (Unaudited)
LONG FUTURES CONTRACTS
% of Net | |||||||||
Description | Values ($) | Asset Value | |||||||
Agricultural |
$ | 414,964 | 0.12 | % | |||||
Energy |
$ | 1,547,393 | 0.45 | % | |||||
Metals |
$ | 530,706 | 0.15 | % | |||||
Stock indices |
$ | 1,354,479 | 0.39 | % | |||||
Short-term interest rates |
$ | (607,175 | ) | (0.18 | )% | ||||
Long-term interest rates |
$ | (1,870,511 | ) | (0.54 | )% | ||||
Total long futures contracts |
$ | 1,369,856 | 0.39 | % | |||||
SHORT FUTURES CONTRACTS
| |||||||||
% of Net | |||||||||
Description | Values ($) | Asset Value | |||||||
Agricultural |
$ | (164,798 | ) | (0.05 | )% | ||||
Metals |
$ | (797,641 | ) | (0.23 | )% | ||||
Stock indices |
$ | (77,520 | ) | (0.02 | )% | ||||
Short-term interest rates |
$ | 567,153 | 0.16 | % | |||||
Long-term interest rates |
$ | 179,978 | 0.05 | % | |||||
Total short futures contracts |
$ | (292,828 | ) | (0.09 | )% | ||||
Total futures contracts |
$ | 1,077,028 | 0.30 | % | |||||
FORWARD CURRENCY CONTRACTS
| |||||||||
% of Net | |||||||||
Description | Values ($) | Asset Value | |||||||
Various long forward currency contracts |
$ | 8,125,524 | 2.35 | % | |||||
Various short forward currency contracts |
$ | (10,649,593 | ) | (3.08 | )% | ||||
Total forward currency contracts |
$ | (2,524,069 | ) | (0.73 | )% | ||||
PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
| |||||||||
% of Net | |||||||||
Description | Values ($) | Asset Value | |||||||
Purchased options on forward currency contracts
(premiums paid $750,386) |
$ | 1,339,761 | 0.39 | % | |||||
WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
| |||||||||
% of Net | |||||||||
Description | Values ($) | Asset Value | |||||||
Written options on forward currency contracts
(premiums received $427,847) |
$ | (690,588 | ) | (0.20 | )% | ||||
* | Pledged as collateral for the trading of futures, forward and option positions. |
See Accompanying Notes to Financial Statements.
- 4 -
Table of Contents
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2010 (Unaudited)
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2010 (Unaudited)
FIXED INCOME SECURITIES
Maturity | % of Net | |||||||||||
Face Value | Description | Values ($) | Asset Value | |||||||||
Certificate Of Deposit |
||||||||||||
Canada |
||||||||||||
Financials |
$ | 7,221,421 | 2.08 | % | ||||||||
(cost $7,215,000) |
||||||||||||
Commercial Paper |
||||||||||||
Netherlands |
||||||||||||
Industrials |
$ | 9,987,542 | 2.88 | % | ||||||||
(cost $9,958,946) |
||||||||||||
Panama |
||||||||||||
Consumer Discretionary |
$ | 9,998,275 | 2.89 | % | ||||||||
(cost $9,998,139) |
||||||||||||
United Kingdom |
||||||||||||
Consumer Staples |
$ | 5,718,658 | 1.65 | % | ||||||||
(cost $5,716,634) |
||||||||||||
United States |
||||||||||||
Consumer Discretionary |
$ | 41,051,450 | 11.85 | % | ||||||||
Consumer Staples |
$ | 3,315,853 | 0.96 | % | ||||||||
Energy |
$ | 17,387,305 | 5.02 | % | ||||||||
Financials |
$ | 10,981,734 | 3.17 | % | ||||||||
Health Care |
$ | 12,885,538 | 3.72 | % | ||||||||
Industrials |
$ | 10,978,667 | 3.17 | % | ||||||||
Municipal |
$ | 4,717,562 | 1.36 | % | ||||||||
Utilities |
$ | 34,470,422 | 9.95 | % | ||||||||
Total United States (cost $135,762,709) |
$ | 135,788,531 | 39.20 | % | ||||||||
Total Commercial Paper |
||||||||||||
(cost $161,436,428) |
$ | 161,493,006 | 46.62 | % | ||||||||
Corporate Bonds |
||||||||||||
United States |
||||||||||||
Financials |
$ | 37,589,108 | 10.85 | % | ||||||||
(cost $37,464,778) |
||||||||||||
Government And Agency Obligations |
||||||||||||
United States |
||||||||||||
US Government Agency |
$ | 14,585,360 | 4.21 | % | ||||||||
US Treasury Bill |
||||||||||||
U.S. Treasury Bills* |
||||||||||||
$ | 12,000,000 | Due 01/06/2011 |
$ | 11,999,817 | 3.46 | % | ||||||
U.S. Treasury Bills* |
||||||||||||
$ | 50,000,000 | Due 01/13/2011 |
$ | 49,998,833 | 14.43 | % | ||||||
Total United States (cost $76,597,690) |
$ | 76,584,010 | 22.10 | % | ||||||||
Short Term Investment Funds |
||||||||||||
United States |
||||||||||||
Short Term Investment Funds |
$ | 941 | 0.00 | % | ||||||||
(cost $941) |
||||||||||||
Total Fixed Income Securities |
||||||||||||
(cost $282,714,837) |
$ | 282,888,486 | 81.65 | % | ||||||||
See Accompanying Notes to Financial Statements.
- 5 -
Table of Contents
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2010 (Unaudited)
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2010 (Unaudited)
LONG FUTURES CONTRACTS
% of Net | ||||||||
Description | Values ($) | Asset Value | ||||||
Agricultural |
$ | 2,226,611 | 0.64 | % | ||||
Energy |
$ | 743,689 | 0.21 | % | ||||
Metals |
$ | 2,581,189 | 0.75 | % | ||||
Stock indices |
$ | (39,120 | ) | (0.01 | )% | |||
Short-term interest rates |
$ | 400,606 | 0.12 | % | ||||
Long-term interest rates |
$ | 45,692 | 0.01 | % | ||||
Total long futures contracts |
$ | 5,958,667 | 1.72 | % | ||||
SHORT FUTURES CONTRACTS
% of Net | ||||||||
Description | Values ($) | Asset Value | ||||||
Agricultural |
$ | (14,930 | ) | 0.00 | % | |||
Energy |
$ | (239,450 | ) | (0.07 | )% | |||
Metals |
$ | (573,456 | ) | (0.17 | )% | |||
Stock indices |
$ | 48,337 | 0.01 | % | ||||
Short-term interest rates |
$ | (9,188 | ) | 0.00 | % | |||
Long-term interest rates |
$ | (644,303 | ) | (0.19 | )% | |||
Total short futures contracts |
$ | (1,432,990 | ) | (0.42 | )% | |||
Total futures contracts |
$ | 4,525,677 | 1.30 | % | ||||
FORWARD CURRENCY CONTRACTS
% of Net | ||||||||
Description | Values ($) | Asset Value | ||||||
Various long forward currency contracts |
$ | 26,630,262 | 7.69 | % | ||||
Various short forward currency contracts |
$ | (21,482,235 | ) | (6.20 | )% | |||
Total forward currency contracts |
$ | 5,148,027 | 1.49 | % | ||||
PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
% of Net | ||||||||
Description | Values ($) | Asset Value | ||||||
Purchased options on forward currency contracts
(premiums paid $1,091,379) |
$ | 1,500,007 | 0.43 | % | ||||
WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
% of Net | ||||||||
Description | Values ($) | Asset Value | ||||||
Written options on forward currency contracts
(premiums received $237,756) |
$ | (693,506 | ) | (0.20 | )% | |||
* | Pledged as collateral for the trading of futures, forward and option positions. |
See Accompanying Notes to Financial Statements.
- 6 -
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTS OF FINANCIAL CONDITION
March 31, 2011 and December 31, 2010 (Unaudited)
March 31, 2011 and December 31, 2010 (Unaudited)
March 31, | December 31, | |||||||
2011 | 2010 | |||||||
ASSETS |
||||||||
Equity in broker trading accounts |
||||||||
Cash |
$ | 37,549,104 | $ | 43,929,635 | ||||
Fixed income securities (cost $49,999,458 and $61,998,650, respectively) |
49,999,458 | 49,998,833 | ||||||
Net unrealized gain (loss) on open futures contracts |
1,077,028 | 4,525,677 | ||||||
Total equity in broker trading accounts |
88,625,590 | 98,454,145 | ||||||
Cash and cash equivalents |
14,668,747 | 15,906,463 | ||||||
Fixed income securities
(cost $249,563,562 and $232,716,004, respectively) |
249,728,650 | 232,889,653 | ||||||
Options purchased, at fair value
(premiums paid $750,386 and $1,091,379, respectively) |
1,339,761 | 1,500,007 | ||||||
Net unrealized gain (loss) on open forward currency contracts |
(2,524,069 | ) | 5,148,027 | |||||
Interest receivable |
129,256 | 81,415 | ||||||
Subscriptions receivable |
468,019 | 327,332 | ||||||
Total assets |
$ | 352,435,954 | $ | 354,307,042 | ||||
LIABILITIES |
||||||||
Accounts payable |
$ | 108,496 | $ | 116,724 | ||||
Management fee |
1,116,043 | 1,142,475 | ||||||
Service fee |
4,923 | 4,423 | ||||||
Options written, at fair value
(premiums received $427,847 and $237,756, respectively) |
690,588 | 693,506 | ||||||
Accrued commissions and other trading fees on open contracts |
73,345 | 47,113 | ||||||
Performance fee payable |
0 | 381,483 | ||||||
Offering costs payable |
38,022 | 32,432 | ||||||
Redemptions payable |
4,302,050 | 5,439,258 | ||||||
Total liabilities |
6,333,467 | 7,857,414 | ||||||
UNITHOLDERS CAPITAL (Net Asset Value) |
||||||||
Series A Units Redeemable |
||||||||
Other Unitholders - 35,379.091 and 27,273.338 units outstanding at
March 31, 2011 and December 31, 2010 |
87,757,040 | 71,343,164 | ||||||
Series B Units Redeemable |
||||||||
Managing Operator - 20.360 units outstanding at
March 31, 2011 and December 31, 2010 |
51,358 | 54,087 | ||||||
Other Unitholders - 97,107.419 and 99,342.853 units outstanding at
March 31, 2011 and December 31, 2010 |
244,948,628 | 263,905,408 | ||||||
Series W Units Redeemable |
||||||||
Other Unitholders - 5,231.834 and 4,160.119 units outstanding at
March 31, 2011 and December 31, 2010 |
13,345,461 | 11,146,969 | ||||||
Total unitholders capital (Net Asset Value) |
346,102,487 | 346,449,628 | ||||||
Total liabilities and unitholders capital (Net Asset Value) |
$ | 352,435,954 | $ | 354,307,042 | ||||
See Accompanying Notes to Financial Statements.
- 7 -
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTS OF OPERATIONS
For the Three Months Ended March 31, 2011 and 2010
(Unaudited)
Three Months Ended | ||||||||
March 31, | ||||||||
2011 | 2010 | |||||||
TRADING GAINS (LOSSES) |
||||||||
Futures trading gains (losses) |
||||||||
Realized |
$ | (4,754,747 | ) | $ | (15,471,425 | ) | ||
Change in unrealized |
(3,448,650 | ) | 8,455,353 | |||||
Brokerage commissions |
(234,584 | ) | (250,861 | ) | ||||
Net gain (loss) from futures trading |
(8,437,981 | ) | (7,266,933 | ) | ||||
Forward currency and options on forward
currency trading gains (losses) |
||||||||
Realized |
934,261 | (6,333,282 | ) | |||||
Change in unrealized |
(7,298,339 | ) | 3,461,092 | |||||
Brokerage commissions |
(31,742 | ) | (21,858 | ) | ||||
Net gain (loss) from forward currency
and options on forward currency trading |
(6,395,820 | ) | (2,894,048 | ) | ||||
Total net trading gain (loss) |
(14,833,801 | ) | (10,160,981 | ) | ||||
NET INVESTMENT INCOME (LOSS) |
||||||||
Investment income |
||||||||
Interest income |
336,270 | 264,472 | ||||||
Realized gain (loss) on fixed income securities |
4,861 | (9,167 | ) | |||||
Change in unrealized gain (loss) on fixed income securities |
(8,562 | ) | (30,353 | ) | ||||
Total investment income |
332,569 | 224,952 | ||||||
Expenses |
||||||||
Management fee |
3,413,311 | 3,410,092 | ||||||
Service fee |
14,569 | 6,835 | ||||||
Operating expenses |
132,359 | 117,154 | ||||||
Total expenses |
3,560,239 | 3,534,081 | ||||||
Net investment income (loss) |
(3,227,670 | ) | (3,309,129 | ) | ||||
NET INCOME (LOSS) |
$ | (18,061,471 | ) | $ | (13,470,110 | ) | ||
NET INCOME (LOSS) PER MANAGING OPERATOR
AND OTHER UNITHOLDERS UNIT |
||||||||
(based on weighted average number of units outstanding during the year) |
||||||||
Series A |
$ | (145.78 | ) | $ | (55.42 | ) | ||
Series B |
$ | (133.41 | ) | $ | (92.20 | ) | ||
Series W |
$ | (131.85 | ) | $ | (30.26 | ) | ||
INCREASE (DECREASE) IN NET ASSET VALUE
PER MANAGING OPERATOR AND OTHER UNITHOLDERS UNIT |
||||||||
Series A |
$ | (135.38 | ) | $ | (89.20 | ) | ||
Series B |
$ | (134.06 | ) | $ | (86.88 | ) | ||
Series W |
$ | (128.66 | ) | $ | (81.80 | ) | ||
See Accompanying Notes to Financial Statements.
- 8 -
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTS OF CASH FLOWS
For the Three Months Ended March 31, 2011 and 2010 (Unaudited)
Three Months Ended | ||||||||
March 31, | ||||||||
2011 | 2010 | |||||||
Cash flows from (for) operating activities |
||||||||
Net income (loss) |
$ | (18,061,471 | ) | $ | (13,470,110 | ) | ||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities |
||||||||
Net change in unrealized |
10,755,551 | (11,886,092 | ) | |||||
(Increase) decrease in restricted cash |
0 | 19,170,009 | ||||||
(Increase) decrease in option premiums paid |
340,993 | 137,449 | ||||||
Increase (decrease) in option premiums received |
190,091 | 147 | ||||||
(Increase) decrease in interest receivable |
(47,841 | ) | 43,072 | |||||
Increase (decrease) in accounts payable and accrued expenses |
(389,411 | ) | (97,156 | ) | ||||
Purchases of investments in fixed income securities |
(3,259,958,009 | ) | (2,076,618,013 | ) | ||||
Sales/maturities of investments in fixed income securities |
3,243,109,825 | 2,096,622,654 | ||||||
Net cash from (for) operating activities |
(24,060,272 | ) | 13,901,960 | |||||
Cash flows from (for) financing activities |
||||||||
Addition of units |
24,820,710 | 14,514,704 | ||||||
Redemption of units |
(8,275,120 | ) | (27,099,578 | ) | ||||
Offering costs paid |
(103,565 | ) | (34,345 | ) | ||||
Net cash from (for) financing activities |
16,442,025 | (12,619,219 | ) | |||||
Net increase (decrease) in cash and cash equivalents |
(7,618,247 | ) | 1,282,741 | |||||
Cash and cash equivalents |
||||||||
Beginning of period |
59,836,098 | 27,012,256 | ||||||
End of period |
$ | 52,217,851 | $ | 28,294,997 | ||||
End of period cash and cash equivalents consists of: |
||||||||
Cash in broker trading accounts |
$ | 37,549,104 | $ | 23,501,040 | ||||
Cash and cash equivalents |
14,668,747 | 4,793,957 | ||||||
Total end of period cash and cash equivalents |
$ | 52,217,851 | $ | 28,294,997 | ||||
See Accompanying Notes to Financial Statements.
- 9 -
Table of Contents
THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS CAPITAL (NET ASSET VALUE)
For the Three Months Ended March 31, 2011 and 2010 (Unaudited)
Unitholders Capital - Series B | ||||||||||||||||||||||||
Managing Operator | Other Unitholders | Total | ||||||||||||||||||||||
Units | Amount | Units | Amount | Units | Amount | |||||||||||||||||||
Three Months Ended March 31, 2011 |
||||||||||||||||||||||||
Balances at December 31, 2010 |
20.360 | $ | 54,087 | 99,342.853 | $ | 263,905,408 | 99,363.213 | $ | 263,959,495 | |||||||||||||||
Net income (loss) for the three months ended
March 31, 2011 |
(2,729 | ) | (13,202,713 | ) | (13,205,442 | ) | ||||||||||||||||||
Additions |
0.000 | 0 | 295.821 | 772,305 | 295.821 | 772,305 | ||||||||||||||||||
Redemptions |
0.000 | 0 | (2,531.255 | ) | (6,526,372 | ) | (2,531.255 | ) | (6,526,372 | ) | ||||||||||||||
Balances at March 31, 2011 |
20.360 | $ | 51,358 | 97,107.419 | $ | 244,948,628 | 97,127.779 | $ | 244,999,986 | |||||||||||||||
Three Months Ended March 31, 2010 |
||||||||||||||||||||||||
Balances at December 31, 2009 |
20.360 | $ | 48,453 | 141,411.145 | $ | 336,529,754 | 141,431.505 | $ | 336,578,207 | |||||||||||||||
Net income (loss) for the three months ended
March 31, 2010 |
(1,769 | ) | (12,736,542 | ) | (12,738,311 | ) | ||||||||||||||||||
Additions |
0.000 | 0 | 1,020.309 | 2,289,677 | 1,020.309 | 2,289,677 | ||||||||||||||||||
Redemptions |
0.000 | 0 | (14,837.048 | ) | (33,519,753 | ) | (14,837.048 | ) | (33,519,753 | ) | ||||||||||||||
Balances at March 31, 2010 |
20.360 | $ | 46,684 | 127,594.406 | $ | 292,563,136 | 127,614.766 | $ | 292,609,820 | |||||||||||||||
Net Asset Value per Managing Operator and Other Unitholders Unit - Series B | ||||||||||||||
March 31, 2011 | December 31, 2010 | March 31, 2010 | December 31, 2009 | |||||||||||
$ | 2,522.45 | $ | 2,656.51 | $ | 2,292.92 | $ | 2,379.80 | |||||||
See Accompanying Notes to Financial Statements.
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THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS CAPITAL (NET ASSET VALUE)
For the Three Months Ended March 31, 2011 and 2010 (Unaudited)
STATEMENTS OF CHANGES IN UNITHOLDERS CAPITAL (NET ASSET VALUE)
For the Three Months Ended March 31, 2011 and 2010 (Unaudited)
Series A | Series W | |||||||||||||||
Units | Amount | Units | Amount | |||||||||||||
Three Months Ended March 31, 2011 |
||||||||||||||||
Balances at December 31, 2010 |
27,273.338 | $ | 71,343,164 | 4,160.119 | $ | 11,146,969 | ||||||||||
Net income (loss) for the three months ended
March 31, 2011 |
(4,275,742 | ) | (580,287 | ) | ||||||||||||
Additions |
8,193.623 | 21,008,088 | 1,222.342 | 3,181,004 | ||||||||||||
Redemptions |
(87.870 | ) | (223,884 | ) | (150.627 | ) | (387,656 | ) | ||||||||
Offering costs |
(94,586 | ) | (14,569 | ) | ||||||||||||
Balances at March 31, 2011 |
35,379.091 | $ | 87,757,040 | 5,231.834 | $ | 13,345,461 | ||||||||||
Three Months Ended March 31, 2010 |
||||||||||||||||
Balances at December 31, 2009 |
10,227.868 | $ | 24,189,310 | 1,896.181 | $ | 4,550,636 | ||||||||||
Net income (loss) for the three months ended
March 31, 2010 |
(659,389 | ) | (72,410 | ) | ||||||||||||
Additions |
4,084.497 | 9,073,290 | 1,612.796 | 3,660,949 | ||||||||||||
Redemptions |
(169.465 | ) | (382,832 | ) | (45.522 | ) | (103,754 | ) | ||||||||
Offering costs |
(33,386 | ) | (6,835 | ) | ||||||||||||
Balances at March 31, 2010 |
14,142.900 | $ | 32,186,993 | 3,463.455 | $ | 8,028,586 | ||||||||||
Net Asset Value per Other Unitholders Unit - Series A | ||||||||||||||
March 31, 2011 | December 31, 2010 | March 31, 2010 | December 31, 2009 | |||||||||||
$ | 2,480.48 | $ | 2,615.86 | $ | 2,275.84 | $ | 2,365.04 | |||||||
Net Asset Value per Other Unitholders Unit - Series W(1) | ||||||||||||||
March 31, 2011 | December 31, 2010 | March 31, 2010 | February 28, 2009 | |||||||||||
$ | 2,550.82 | $ | 2,679.48 | $ | 2,318.09 | $ | 2,399.89 | |||||||
See Accompanying Notes to Financial Statements.
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Table of Contents
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three Months Ended March 31, 2011 and 2010
(Unaudited)
(Unaudited)
The following information presents per unit operating performance data and other supplemental
financial data for Series A units for the three months ended March 31, 2011 and 2010. This
information has been derived from information presented in the unaudited financial statements.
Series A | ||||||||
Three Months Ended | ||||||||
March 31, | ||||||||
2011 | 2010 | |||||||
Per Unit Performance (for a unit outstanding throughout the entire period) |
||||||||
Net asset value per unit at beginning of period |
$ | 2,615.86 | $ | 2,365.04 | ||||
Income (loss) from operations: |
||||||||
Total net
trading gains (losses)
(1) |
(107.84 | ) | (64.57 | ) | ||||
Net investment income (loss)(1) |
(24.32 | ) | (21.82 | ) | ||||
Total net income (loss) from operations |
(132.16 | ) | (86.39 | ) | ||||
Offering costs (1) |
(3.22 | ) | (2.81 | ) | ||||
Net asset value per unit at end of period |
$ | 2,480.48 | $ | 2,275.84 | ||||
Total Return |
(5.18 | )% | (3.77 | )% | ||||
Supplemental Data |
||||||||
Ratios to average net asset value: |
||||||||
Expenses
prior to performance fee (3) |
4.04 | % | 4.12 | % | ||||
Performance fee |
0.00 | % | 0.00 | % | ||||
Total expenses |
4.04 | % | 4.12 | % | ||||
Net
investment income (loss)
(2,3) |
(3.72 | )% | (3.87 | )% | ||||
Total returns are calculated based on the change in value of a unit during the period. An
individual unitholders 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 is 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) | Annualized |
See Accompanying Notes to Financial Statements.
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Table of Contents
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three Months Ended March 31, 2011 and 2010
(Unaudited)
FINANCIAL HIGHLIGHTS
For the Three Months Ended March 31, 2011 and 2010
(Unaudited)
The following information presents per unit operating performance data and other supplemental
financial data for Series B units for the three months ended March 31, 2011 and 2010. This
information has been derived from information presented in the unaudited financial statements.
Series B | ||||||||
Three Months Ended | ||||||||
March 31, | ||||||||
2011 | 2010 | |||||||
Per Unit Performance (for a unit outstanding throughout the entire period) |
||||||||
Net asset value per unit at beginning of period |
$ | 2,656.51 | $ | 2,379.80 | ||||
Income (loss) from operations: |
||||||||
Total net
trading gains (losses)
(1) |
(109.33 | ) | (65.05 | ) | ||||
Net investment income (loss)(1) |
(24.73 | ) | (21.83 | ) | ||||
Total net income (loss) from operations |
(134.06 | ) | (86.88 | ) | ||||
Net asset value per unit at end of period |
$ | 2,522.45 | $ | 2,292.92 | ||||
Total Return |
(5.05 | )% | (3.65 | )% | ||||
Supplemental Data |
||||||||
Ratios to average net asset value: |
||||||||
Expenses
prior to performance fee (3) |
4.10 | % | 4.12 | % | ||||
Performance fee |
0.00 | % | 0.00 | % | ||||
Total expenses |
4.10 | % | 4.12 | % | ||||
Net
investment income (loss)
(2,3) |
(3.77 | )% | (3.85 | )% | ||||
Total returns are calculated based on the change in value of a unit during the period. An
individual unitholders 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 is calculated by dividing the net investment income (loss) by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. | |
(2) | Excludes performance fee. | |
(3) | Annualized. |
See Accompanying Notes to Financial Statements.
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Table of Contents
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three Months Ended March 31, 2011 and 2010
(Unaudited)
FINANCIAL HIGHLIGHTS
For the Three Months Ended March 31, 2011 and 2010
(Unaudited)
The following information presents per unit operating performance data and other supplemental
financial data for Series W units for the three months ended March 31, 2011 and 2010. This
information has been derived from information presented in the unaudited financial statements.
Series W | ||||||||
Three Months Ended | ||||||||
March 31, | ||||||||
2011 | 2010 | |||||||
Per Unit Performance (for a unit outstanding throughout the entire period) |
||||||||
Net asset value per unit at beginning of period |
$ | 2,679.48 | $ | 2,399.89 | ||||
Income (loss) from operations: |
||||||||
Total net trading gains (losses) (1) |
(110.33 | ) | (65.22 | ) | ||||
Net investment income (loss)(1) |
(15.02 | ) | (13.72 | ) | ||||
Total net income (loss) from operations |
(125.35 | ) | (78.94 | ) | ||||
Offering costs (1) |
(3.31 | ) | (2.86 | ) | ||||
Net asset value per unit at end of period |
$ | 2,550.82 | $ | 2,318.09 | ||||
Total Return |
(4.80 | )% | (3.41 | )% | ||||
Supplemental Data |
||||||||
Ratios to average net asset value: |
||||||||
Expenses
prior to performance fee (3) |
2.56 | % | 2.63 | % | ||||
Performance fee |
0.00 | % | 0.00 | % | ||||
Total expenses |
2.56 | % | 2.63 | % | ||||
Net
investment income (loss)
(2,3) |
(2.24 | )% | (2.40 | )% | ||||
Total returns are calculated based on the change in value of a unit during the period. An
individual unitholders 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 is 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) | Annualized. |
See Accompanying Notes to Financial Statements.
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Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2011 (Unaudited)
Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
A. | General Description of the Trust | |
The Campbell Fund Trust (the Trust) is a Delaware statutory trust which operates as a commodity investment pool. The Trust engages in the speculative trading of futures contracts, forward currency contracts and options on forward currency contracts. | ||
Effective August 31, 2008, the Trust began offering units of beneficial interest classified into Series A units, Series B units and Series W units. The rights of the Series A units, Series B units and Series W units are identical, except that the fees and commissions vary on a Series-by-Series basis. Series A and Series W commenced trading on October 1, 2008 and March 1, 2009, respectively. The initial minimum subscription for Series A units and Series W units is $25,000. Series B units are only available for additional investments by existing holders of Series B units. See Note 1F, Note 1H, Note 2 and Note 5 for an explanation of allocations and Series specific charges. | ||
B. | Regulation | |
The Trust is a registrant with the Securities and Exchange Commission (SEC) pursuant to the Securities Exchange Act of 1934 (the Act). As a registrant, the Trust is subject to the regulations of the SEC and the informational requirements of the Act. 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 Trusts 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 Trusts 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. 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 inputs 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, are held at the custodian and marked to market on the last business day of the reporting period by the 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 are held at the brokers or interbank market makers and are stated at cost plus accrued interest, which approximates fair value. Premiums and discounts on fixed income 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 follows the provisions of ASC 820, Fair Value Measurements and Disclosures, 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 Trusts 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. |
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Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2011 (Unaudited)
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2011 (Unaudited)
Level 3 inputs are unobservable inputs for an asset or liability (including the Trusts 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, 2011, 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 were adopted as of January 1, 2011. The adoption of the remaining provisions have not had a material impact on the Trusts financial statement disclosures. | ||
The following tables set forth by level within the fair value hierarchy the Trusts investments accounted for at fair value on a recurring basis as of March 31, 2011 and December 31, 2010. |
Fair Value at March 31, 2011 | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments |
||||||||||||||||
Fixed income securities |
$ | 0 | $ | 299,728,108 | $ | 0 | $ | 299,728,108 | ||||||||
Other Financial Instruments |
||||||||||||||||
Exchange-traded futures contracts |
1,077,028 | 0 | 0 | 1,077,028 | ||||||||||||
Forward currency contracts |
0 | (2,524,069 | ) | 0 | (2,524,069 | ) | ||||||||||
Options purchased |
0 | 1,339,761 | 0 | 1,339,761 | ||||||||||||
Options written |
0 | (690,588 | ) | 0 | (690,588 | ) | ||||||||||
Total |
$ | 1,077,028 | $ | 297,853,212 | $ | 0 | $ | 298,930,240 | ||||||||
Fair Value at December 31, 2010 | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments |
||||||||||||||||
Fixed income securities |
$ | 0 | $ | 282,888,486 | $ | 0 | $ | 282,888,486 | ||||||||
Other Financial Instruments |
||||||||||||||||
Exchange-traded futures contracts |
4,525,677 | 0 | 0 | 4,525,677 | ||||||||||||
Forward currency contracts |
0 | 5,148,027 | 0 | 5,148,027 | ||||||||||||
Options purchased |
0 | 1,500,007 | 0 | 1,500,007 | ||||||||||||
Options written |
0 | (693,506 | ) | 0 | (693,506 | ) | ||||||||||
Total |
$ | 4,525,677 | $ | 288,843,014 | $ | 0 | $ | 293,368,691 | ||||||||
The gross presentation of the fair value of the Trusts derivatives by instrument type is shown in Note 8. See Condensed Schedule of Investments for additional detail categorization. | ||
D. | Cash and Cash Equivalents | |
Cash and cash equivalents includes cash and overnight money market investments at financial institutions. | ||
E. | 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 Trusts 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 unitholders respective share of the Trusts income and expenses as reported for income tax purposes. | ||
Management has continued to evaluate the application of ASC 740, Income Taxes, to the Trust, and has determined that no reserves for uncertain tax positions were required. The Trust files federal and state tax returns. The 2007 through 2010 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. |
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Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2011 (Unaudited)
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2011 (Unaudited)
F. | 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). Series A units and Series W units will each bear the offering costs incurred in the relation to the offering of Series A units and Series W units, respectively. Offering costs are charged to Series A and W at a monthly rate of 1/12 of 0.5% (0.5% annualized) of the Series month-end net asset value (as defined in the Declaration of Trust and Trust Agreement) until such amounts are fully reimbursed. Such amounts are charged directly to unitholders capital. Series A and W are only liable for payment of offering costs on a monthly basis. The offering costs allocable to the Series B units are borne by Campbell & Company. | ||
If the Trust terminates prior to completion of payment to Campbell & Company for the unreimbursed offering costs incurred through the date of such termination, Campbell & Company will not be entitled to any additional payments, and Series A units and Series W units will have no further obligation to Campbell & Company. At March 31, 2011 and December 31, 2010, the amount of unreimbursed offering costs incurred by Campbell & Company is $2,717,987 and $2,712,914 for Series A units and $558,153 and $556,411 for Series W units, respectively. | ||
G. | Foreign Currency Transactions | |
The Trusts 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. | ||
H. | Allocations | |
Income or loss (prior to calculation of the management fee, service fee, offering costs and performance fee) is allocated pro rata to each Series of units. Each Series of units is then charged the management fee, service fee, offering costs and performance fee applicable to such Series of units. |
Note 2. MANAGING OPERATOR AND COMMODITY TRADING ADVISOR
The managing operator of the Trust is Campbell & Company which conducts and manages the business of the Trust. Campbell & Company is also the commodity trading advisor of the Trust. | ||
Series A units and Series B units pay the managing operator a monthly management fee equal to 1/12 of 4% (4% annually) of the Net Assets (as defined) of Series A units and Series B units, respectively, as of the end of each month. Series W units pay the managing operator a monthly management fee equal to 1/12 of 2% (2% annually) of the Net Assets (as defined) of Series W units as of the end of each month. Each Series of units will pay the managing operator a quarterly performance fee equal to 20% of the aggregate cumulative appreciation in Net Asset Value per Unit (as defined) exclusive of appreciation attributable to interest income on a Series-by-Series basis. | ||
The performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark). In determining the management fee and performance fee (the fees), adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The fees are typically paid in the month following the month in which they are earned. The fees are paid from the available cash at the Trusts bank, broker or cash management custody accounts. |
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 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. The Trust appointed Horizon Cash Management LLC as cash manager under the Investment Advisory Agreement dated December 22, 2010 to manage and control the liquid assets of the Trust. Both cash managers are registered as investment advisers with the Securities and Exchange Commission of the United States under the Investment Advisers Act of 1940. The Trust has terminated the Non-Custody Investment Advisory Agreement appointing Wilmington Trust Investment Management LLC as cash manager, effective December 31, 2010. | ||
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. |
Note 5. SERVICE FEE
The selling firms who sell Series W units receive a monthly service fee equal to 1/12 of 0.5% of the month-end Net Asset Value (as defined) of the Series W units, totaling approximately 0.50% per year. |
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Table of Contents
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2011 (Unaudited)
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2011 (Unaudited)
Note 6. DEPOSITS WITH BROKER
The Trust deposits assets with UBS Securities 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. The Trust typically earns interest income on its assets deposited with the broker. |
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 | ||
Redemption fees, which are paid to Campbell & Company, apply to Series A units through the first twelve month-ends following purchase (the month-end as of which the unit is purchased is counted as the first month-end) as follows: 1.833% of Net Asset Value per unit redeemed through the second month-end, 1.666% of Net Asset Value per unit redeemed through the third month-end, 1.500% of Net Asset Value per unit redeemed through the fourth month-end, 1.333% of Net Asset Value per unit redeemed through the fifth month-end, 1.167% of Net Asset Value per unit redeemed through the sixth month-end, 1.000% of Net Asset Value per unit redeemed through the seventh month-end, 0.833% of Net Asset Value per unit redeemed through the eight month-end, 0.667% of Net Asset Value per unit redeemed through the ninth month-end, 0.500% of Net Asset Value per unit redeemed through the tenth month-end, 0.333% of Net Asset Value per unit redeemed through the eleventh month-end and 0.167% of Net Asset Value per unit redeemed through the twelfth month end. |
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 focused on financial futures, which are instruments designed to hedge or speculate on changes in interest rates, currency exchange rates or stock index values, as well as metals, energy and agricultural 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 Trusts 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 Trusts 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 brokers proprietary activities. A customers 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 brokers segregation requirements. In the event of a brokers insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property deposited. | ||
The 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, 2011 and December 31, 2010 was $299,728,108 and $61,998,650, respectively, which equals 87% and 18% of Net Asset Value, respectively. The cash deposited with interbank market makers at March 31, 2011 and December 31, 2010 was $4,189,863 and $15,795,395, respectively, which equals 1% and 5% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. There was no restricted cash at March 31, 2011 or December 31, 2010. | ||
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 institutions 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 Trusts open positions and, consequently, in its earnings and cash flow. The Trusts 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 Trusts 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 Trust has adopted the provisions of ASC 815, Derivatives and Hedging, (ASC 815). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entitys financial position, financial performance and cash flows. |
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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2011 (Unaudited)
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2011 (Unaudited)
The following tables summarize quantitative information required by ASC 815. | ||
The fair value of the Trusts derivatives by instrument type, as well as the location of those instruments on the Statement of Financial Condition, as of March 31, 2011 and December 31, 2010 is as follows: |
Asset | Liability | |||||||||||||
Derivatives at | Derivatives at | |||||||||||||
Statement of Financial | March 31, 2011 | March 31, 2011 | ||||||||||||
Type of Instrument * | Condition Location | Fair Value | Fair Value | Net | ||||||||||
Agricultural Contracts | Equity in broker trading accounts |
$ | 965,052 | $ | (714,886 | ) | $ | 250,166 | ||||||
Energy Contracts | Equity in broker trading accounts |
1,548,027 | (634 | ) | 1,547,393 | |||||||||
Metal Contracts | Equity in broker trading accounts |
1,278,323 | (1,545,258 | ) | (266,935 | ) | ||||||||
Stock Indices Contracts | Equity in broker trading accounts |
1,446,122 | (169,163 | ) | 1,276,959 | |||||||||
Short-Term Interest Rate Contracts | Equity in broker trading accounts |
586,897 | (626,919 | ) | (40,022 | ) | ||||||||
Long-Term Interest Rate Contracts | Equity in broker trading accounts |
288,169 | (1,978,702 | ) | (1,690,533 | ) | ||||||||
Forward Currency Contracts | Net unrealized gain (loss) on open
forward currency contracts |
20,472,260 | (22,996,329 | ) | (2,524,069 | ) | ||||||||
Purchased Options on Forward Currency Contracts | Options purchased, at fair value |
1,339,761 | 0 | 1,339,761 | ||||||||||
Written Options on Forward Currency Contracts | Options written, at fair value |
0 | (690,588 | ) | (690,588 | ) | ||||||||
Totals | $ | 27,924,611 | $ | (28,722,479 | ) | $ | (797,868 | ) | ||||||
* | Derivatives not designated as hedging instruments under ASC 815 |
Asset | Liability | |||||||||||||
Derivatives at | Derivatives at | |||||||||||||
Statement of Financial | December 31, 2010 | December 31, 2010 | ||||||||||||
Type of Instrument * | Condition Location | Fair Value | Fair Value | Net | ||||||||||
Agricultural Contracts | Equity in broker trading accounts |
$ | 2,324,406 | $ | (112,725 | ) | $ | 2,211,681 | ||||||
Energy Contracts | Equity in broker trading accounts |
980,008 | (475,769 | ) | 504,239 | |||||||||
Metal Contracts | Equity in broker trading accounts |
2,599,694 | (591,961 | ) | 2,007,733 | |||||||||
Stock Indices Contracts | Equity in broker trading accounts |
902,423 | (893,206 | ) | 9,217 | |||||||||
Short-Term Interest Rate Contracts | Equity in broker trading accounts |
416,741 | (25,323 | ) | 391,418 | |||||||||
Long-Term Interest Rate Contracts | Equity in broker trading accounts |
99,846 | (698,457 | ) | (598,611 | ) | ||||||||
Forward Currency Contracts | Net unrealized gain (loss) on open forward
currency contracts |
27,837,667 | (22,689,640 | ) | 5,148,027 | |||||||||
Purchased Options on Forward Currency Contracts | Options purchased, at fair value |
1,500,007 | 0 | 1,500,007 | ||||||||||
Written Options on Forward Currency Contracts | Options written, at fair value |
0 | (693,506 | ) | (693,506 | ) | ||||||||
Totals | $ | 36,660,792 | $ | (26,180,587 | ) | $ | 10,480,205 | |||||||
* | Derivatives not designated as hedging instruments under ASC 815 |
The trading revenue of the Trusts 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, 2011 and
2010 is as follows:
Trading Revenue for | Trading Revenue for | |||||||
the Three Months Ended | the Three Months Ended | |||||||
Type of Instrument | March 31, 2011 | March 31, 2010 | ||||||
Agricultural Contracts |
$ | (127,779 | ) | $ | 128,333 | |||
Energy Contracts |
6,928,822 | (2,724,911 | ) | |||||
Metal Contracts |
(1,508,583 | ) | (2,864,314 | ) | ||||
Stock Indices Contracts |
(7,141,847 | ) | (7,320,119 | ) | ||||
Short-Term Interest Rate Contracts |
(3,938,653 | ) | 10,677,099 | |||||
Long Term Interest Rate Contracts |
(2,401,881 | ) | (4,905,283 | ) | ||||
Forward Currency Contracts |
(3,486,624 | ) | (1,128,786 | ) | ||||
Purchased Options on Forward Currency Contracts |
(4,685,902 | ) | (3,867,495 | ) | ||||
Written Options on Forward Currency Contracts |
1,806,870 | 2,124,091 | ||||||
Total |
$ | (14,555,577 | ) | $ | (9,881,385 | ) | ||
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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2011 (Unaudited)
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2011 (Unaudited)
Trading Revenue for | Trading Revenue for | |||||||
the Three Months Ended | the Three Months Ended | |||||||
Line Item in the Statement of Operations | March 31, 2011 | March 31, 2010 | ||||||
Futures trading gains (losses): |
||||||||
Realized |
$ | (4,742,849 | ) | $ | (15,464,548 | ) | ||
Change in unrealized |
(3,448,650 | ) | 8,455,353 | |||||
Forward currency and options on forward currency trading gains (losses): |
||||||||
Realized |
934,261 | (6,333,282 | ) | |||||
Change in unrealized |
(7,298,339 | ) | 3,461,092 | |||||
Total |
$ | (14,555,577 | ) | $ | (9,881,385 | ) | ||
For the three months ended March 31, 2011 and 2010, the monthly average of futures contracts bought and sold was approximately 18,670 and 20,700 respectively, and the monthly average of notional value of forward currency and options on forward currency contracts was $3,415,450,000 and $2,629,600,000 respectively. | ||
Open contracts generally mature within twelve months; as of March 31, 2011, the latest maturity date for open futures contracts is June 2012, the latest maturity date for open forward currency contracts is June 2011, and the latest expiry date for options on forward currency contracts is April 2011. 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 & Companys 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 & Companys attempt to manage the risk of the Trusts open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per risk unit of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses. Campbell & Company controls the risk of the Trusts 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 Trusts 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 Trusts 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 statement of financial condition, including the condensed schedule of investments, as of March 31, 2011 and December 31, 2010, and the statements of operations, cash flows, changes in unitholders capital (Net Asset Value) and financial highlights for the three months ended March 31, 2011 and 2010 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, 2011, and the results of operations, cash flows, changes in unitholders capital (Net Asset Value) and financial highlights for the three months ended March 31, 2011 and 2010. |
Note 11. SUBSEQUENT EVENTS
Management of the Trust has evaluated subsequent events through the date the financial statements were filed. There are no subsequent events to disclose or record. |
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Item 2. Managements Discussion and Analysis of Financial Condition and Results of Operations
Introduction
The Campbell Fund Trust (the Trust) is a business trust organized on January 2, 1996 under the
Delaware Business Trust Act, which was replaced by the Delaware Statutory Trust Act as of September
1, 2002. The Trust is a successor to the Campbell Fund Limited Partnership (formerly known as the
Commodity Trend Fund) which began trading operations in January 1972. The Trust currently trades
in the U.S. and international futures and forward markets under the sole direction of Campbell &
Company, Inc., the managing operator of the Trust. Specifically, the Trust trades a portfolio
primarily focused on financial futures, forwards and options, with a secondary emphasis on metal,
energy and agricultural products. The Trust is an actively managed account with speculative
trading profits as its objective.
Effective August 31, 2008, the Trust began offering Series A, Series B, and Series W units. The
units in the Trust prior to that date became Series B units. Series B units are only available for
additional investment by existing holders of Series B units.
As of March 31, 2011, the aggregate capitalization of the Trust was $346,102,487 with Series A,
Series B and Series W comprising $87,757,040, $244,999,986 and $13,345,461, respectively, of the
total. The Net Asset Value per Unit was $2,480.48 for Series A, $2,522.45 for Series B, and
$2,550.82 for Series W.
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 Trusts
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 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 and option 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 Trusts business, it will make no capital expenditures and will have no capital assets which
are not operating capital or assets.
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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 futures exchanges limit fluctuations in futures contracts prices during a single
day by regulations referred to as daily price fluctuation limits or daily limits. During a
single trading day, no trades may be executed at prices beyond the daily limit. Once the price of
a futures contract has reached the daily limit for that day, positions in that contract can neither
be taken nor liquidated. Futures prices have occasionally moved to the daily limit for several
consecutive days with little or no trading. Similar occurrences could prevent the Trust from
promptly liquidating unfavorable positions and subject the Trust to substantial losses which could
exceed the margin initially committed to such trades. In addition, even if futures prices have not
moved the daily limit, the Trust may not be able to execute futures trades at favorable prices, if
little trading in such contracts is taking place. Other than these limitations on liquidity, which
are inherent in the Trusts futures trading operations, the Trusts assets are expected to be
highly liquid.
The entire offering proceeds, without deductions, will be credited to the Trusts 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.
Approximately 10% to 30% of the Trusts 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 there
under. Approximately 10% to 30% of the Trusts 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 operator deposits 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 assets deposited in the custodial account with Northern
Trust Company are segregated. The custodial account constitutes approximately 40% to 80% of the
Trusts assets and is invested directly by Horizon Cash Management LLC (Horizon). Horizon is
registered with the Securities and Exchange Commission as an investment adviser under the
Investment Advisers Act of 1940. Horizon does not guarantee any interest or profits will accrue on
the Trusts assets in the custodial account. Horizon 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.
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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 three
years, the Trust has not needed to liquidate any position as a result of a margin call.
The Trusts 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.
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 Trusts 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 operator (who also acts as trading advisor),
minimizes market risk through real-time monitoring of open positions, diversification of the
portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%.
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 options 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 swap and 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 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.
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Table of Contents
Results of Operations
The returns for the three months ended for Series A as of March 31, 2011 and 2010 were (5.18)% and
(3.77)%. The returns for Series B for the three months ended March 31, 2011 and 2010 were (5.05)%
and (3.65)%, respectively. The returns for Series W for the three months ended March 31, 2011 and
2010 were (4.80)% and (3.41)%, respectively.
2011
Of the 2011 year-to-date decrease of (5.18)% for Series A, approximately (4.01)% was due to trading
losses (before commissions) and approximately 0.08% was due to investment income offset by
approximately (1.25)% due to brokerage fees, management fees, operating costs and offering costs
borne by Series A.
Of the 2011 year-to-date decrease of (5.05)% for Series B, approximately (4.01)% was due to trading
gains (before commissions) and approximately 0.07% was due to investment income offset by
approximately (1.11)% due to brokerage fees, management fees and operating costs borne by Series B.
Of the 2011 year-to-date decrease of (4.80)% for Series W, approximately (4.01)% was due to trading
gains (before commissions) and approximately 0.08% was due to investment income offset by
approximately (0.87)% due to brokerage fees, management fees, service fees, operating costs and
offering costs borne by Series W.
During the three months ended March 31, 2011, the Trust accrued management fees in the amount of
$3,413,311 and paid management fees in the amount of $4,069,842. No performance fees were accrued
or paid during this period.
An analysis of the (4.01)% gross trading losses for the Trust for the year by sector is as follows:
Sector | % Gain (Loss) | |||
Commodities |
1.57 | % | ||
Currencies |
(1.80 | ) | ||
Interest Rates |
(1.81 | ) | ||
Stock Indices |
(1.97 | ) | ||
(4.01 | )% | |||
2011 started with global equities trending higher, fueled by improving U.S. labor market
conditions, a pro-business move toward the center by President Obama, stronger corporate
earnings and a general rotation from fixed income into stocks. The Trusts long equity
positions made the sector the best performer for the month of January, in the face of such a
rising global equity environment. Commodity trading also produced gains for the month from
the Trusts long positions in agricultural and energy contracts. Most energy contracts
exploded to 24 month highs on strong global demand due to cold weather in the U.S. / U.K. and
civil unrest in the Middle East. Cotton started 2011 up over 16% for the month of January on
surging demand from the worlds biggest consumer, China.
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Currency trading on the month proved difficult as the Trusts short position in the U.S.
Dollar generated losses as emerging market risk aversion was prompted by the Egyptian
anti-government protests. Additional losses were recorded in the fixed income markets from
the Trusts long position in short-term European rates. The bond market was choppy during the
first part of January until concerns were raised about Euro-zone inflation, causing a sell-off
in short-term rates as market participants began pricing in future rate hikes.
In February, Geo-political concerns, centering on the growing Middle East/North African (MENA)
populist uprising, overwhelmed commodity markets. This regional tension generated significant
price movements in the energy sector fueling gains for the Trust. Precious Metals, including
gold and silver, were also strong contributors, along with soft commodities such as cotton
(+17% during February) and coffee as they continued their upward trends. Despite the MENA
unrest, additional gains were recorded in equity trading on improving macroeconomic data
supporting the global recovery theme. Currency trading took its cue from the energy complex
during the month, as investors grew cautious about global monetary policy. While some of the
major currencies rallied during the month, others like the New Zealand Dollar fell
dramatically on the devastation of a massive earthquake in the Christchurch region. In the
aggregate, currency trading was marginally positive on the month for the Trust. Fixed Income
trading finished slightly negative as price action was choppy across the globe, mainly from
better economic data in the early part of the month followed by risk aversion in the second
half of February.
The Vshaped behavior in most sectors during March can be widely attributed to global stock
market volatility compounded by the devastating earthquake and resulting tsunami in Japan,
followed by upside surprises to manufacturing data and other economic activity as the month
came to a close. Global stock markets were extremely volatile as the Middle East/North Africa
(MENA) unrest and Europes sovereign debt crisis both worsened prior to the crisis in Japan
that concluded with threats of a nuclear reactor emergency. While the Nikkei finished down
approximately 8% for March, the U.S. stock market was relatively unchanged despite large
mid-month swings. The Trusts models adjusted to the abrupt price swings by reducing long
equity exposure over 50% (region specific) by mid-month across the U.S., Europe and Asia.
Stock indices trading was the worst performing sector for March. Commodities took their cue
from the Equity markets in reacting to the twin shocks, with particular impact on base metal
prices. Risk-aversion-based gains from long positions in energies and precious metals were
not enough to overcome losses in nickel, copper and corn. Currency trading also proved
challenging as Central Banks intervened, in a resolute way, in response to excess volatility
and disorderly movements in exchange rates that were perceived as having adverse implications
for economic and financial stability. In particular, the Trusts short position in the
Japanese Yen suffered as a result of the repatriation of Yen back to Japan. While risk
exposures were light in fixed income trading, small losses were incurred in both short-term
and long-term rates due to choppy market price action.
2010
Of the 2010 year-to-date decrease of (3.77)% for Series A, approximately (2.61)% due to trading
losses (before commissions) and approximately (1.22)% was due to brokerage fees, management fees,
operating costs and offering costs borne by Series A offset by approximately 0.06% due to
investment income.
Of the 2010 year-to-date decrease of (3.65)% for Series B, approximately (2.61)% due to trading
losses (before commissions) and approximately (1.11)% due to brokerage fees, management fees and
operating costs borne by Series B offset by investment income totaled 0.07%.
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Table of Contents
Of the 2010 year-to-date decrease of (3.41)% for Series W, approximately (2.61)% due to trading
losses (before commissions) and approximately (0.86)% due to brokerage fees, management fees and
operating costs borne by Series W offset by investment income totaled 0.06%.
During the three months ended March 31, 2010, the Trust accrued management fees in the amount of
$3,410,092 and paid management fees in the amount of $3,493,731. No performance fees were accrued
or paid during this period.
An analysis of the (2.61) % gross trading losses for the Trust for the period by sector is as follows:
Sector | % Gain (Loss) | |||
Interest Rates |
1.60 | % | ||
Currencies |
(0.71 | ) | ||
Commodities |
(1.48 | ) | ||
Stock Indices |
(2.02 | ) | ||
(2.61 | )% | |||
The New Year begins with an equity sell-off in the second half of the month as global confidence in
a steady recovery, again, begins to waver, resulting in trading losses for the Trusts net long
equity indices positions. Primary drivers were related to: (1) Chinas 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 Trusts 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.
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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 Trusts long positions as prices surged on
renewed merger and acquisition activity, positive news centered on economic releases, and
subdued fears regarding Greeces 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 Trusts 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.
Item 3. 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 Trusts
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 Trusts main line of
business.
Market movements result in frequent changes in the fair market value of the Trusts open
positions and, consequently, in its earnings and cash flow. The Trusts 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 Trusts 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 Trusts past performance is not necessarily
indicative of its future results.
Standard of Materiality
Materiality as used in this section, Qualitative and Quantitative 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 Trusts market sensitive instruments.
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Quantifying the Trusts Trading Value at Risk
Quantitative Forward-Looking Statements
The following quantitative disclosures regarding the Trusts 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 the
maintenance margin required for market risk sensitive instruments held at the end of the
reporting period).
The Trusts 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 Trusts 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 Trusts 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 Trusts 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 Trusts, are continually evolving as trading portfolios become more
diverse and modeling techniques and systems capabilities improve. Please note that the VaR
model is used to numerically quantify market risk for historic reporting purposes only and is
not utilized by the Trust in its daily risk management activities. Please further note that
VaR as described above may not be comparable to similarly titled measures used by other
entities.
Because the business of the Trust is the speculative trading of futures, forwards and options,
the composition of the Trusts 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 Trusts Trading Value at Risk in Different Market Sectors
The following tables indicate the trading Value at Risk associated with the Trusts open
positions by market category as of March 31, 2011 and December 31, 2010 and the trading
gains/losses by market category for the three months ended March 31, 2011 and the year ended
December 31, 2010.
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March 31, 2011 | ||||||||
Trading | ||||||||
Market Sector | Value at Risk* | Gain/(Loss)** | ||||||
Commodities |
0.96 | % | 1.57 | % | ||||
Stock Indices |
0.87 | % | (1.97 | )% | ||||
Currencies |
0.58 | % | (1.80 | )% | ||||
Interest Rates |
0.25 | % | (1.81 | )% | ||||
Aggregate/Total |
2.02 | % | (4.01 | )% | ||||
* | 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 Trusts open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes. | |
** | Represents the gross trading for the Trust for the three months ended March 31, 2011. |
Of the (5.18)% return for the three months ended March 31, 2011 for Series A, approximately
(4.01)% was due to trading losses (before commissions) and approximately 0.08% was due to
investment income offset by approximately (1.25)% due to brokerage fees, management fees,
operating costs and offering costs borne by Series A.
Of the (5.05)% return for the three months ended March 31, 2011 for Series B, approximately
(4.01)% was due to trading gains (before commissions) and approximately 0.07% was due to
investment income offset by approximately (1.11)% due to brokerage fees, management fees and
operating costs borne by Series B.
Of the (4.80)% return for the three months ended March 31, 2011 for Series W, approximately
(4.01)% was due to trading gains (before commissions) and approximately 0.08% was due to
investment income offset by approximately (0.87)% due to brokerage fees, management fees,
service fees, operating costs and offering costs borne by Series W.
December 31, 2010 | ||||||||
Market Sector | Value at Risk* | Gain/(Loss)** | ||||||
Commodities |
0.83 | % | 3.21 | % | ||||
Stock Indices |
0.48 | % | (2.54 | )% | ||||
Currencies |
0.46 | % | 2.94 | % | ||||
Interest Rates |
0.45 | % | 12.12 | % | ||||
Aggregate/Total |
1.72 | % | 15.73 | % | ||||
* | 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 Trusts open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes. | |
** | Represents the gross trading for the Trust for the year ended December 31, 2010. |
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Of the 10.61% return for year ended 2010 for Series A, approximately 15.73% was due to trading
gains (before commissions) and approximately 0.43% due to investment income, offset by
approximately 5.55% due to brokerage fees, management fees, offering costs and operating costs
borne by Series A.
Of the 11.63% return for year ended 2010 for Series B, approximately 15.73% was due to trading
gains (before commissions) and approximately 0.40% due to investment income, offset by
approximately 4.50% due to brokerage fees, management fees and operating costs borne by Series B.
Of the 11.65% return for year ended 2010 for Series W, approximately 15.73% was due to trading
gains (before commissions) and approximately 0.43% due to investment income, offset by
approximately 4.51% due to brokerage fees, management fees, sales commissions and offering costs
borne by Series W.
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
Trusts future financial performance or its ability to manage and monitor risk. There can be
no assurance that the Trusts 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 minimal. Finally, the Trust has
non-trading market risk on fixed income securities held as part of its cash management
program. The cash managers will use their 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.
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Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Trusts 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 Trusts 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
Trusts 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 Trusts current market exposure and/or risk management strategies
will not change materially or that any such strategies will be effective in either the short-
or long-term. Investors must be prepared to lose all or substantially all of their investment
in the Trust.
The following represent the primary trading risk exposures of the Trust as of March 31, 2011
by market sector.
Currencies
Exchange rate risk is the principal market exposure of the Trust. The Trusts 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 Trusts
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 Trusts profitability. The Trusts
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
market 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. Changes in
the interest rate environment will have the most impact on longer dated fixed income positions, at
points of time throughout the year. The majority of the speculative positions held by the Trust
may be held in medium to long-term fixed income positions.
Stock Indices
The Trusts primary equity exposure is to equity price risk in the G-7 countries and several other
countries (Hong Kong, Spain, Taiwan and Netherlands). The stock index futures traded by the Trust
are 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 Trusts positions being whipsawed into numerous
small losses.
Energy
The Trusts 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.
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Metals
The Trusts metals market exposure is to fluctuations in the price of aluminum, copper, gold,
nickel, platinum, silver, and zinc.
Agricultural
The Trusts agricultural exposure is to fluctuations of the price of wheat, corn, coffee, cocoa,
sugar, soy, hogs, cattle, canola, and cotton.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the primary non-trading risk exposures of the Trust as of March 31,2011.
Foreign Currency Balances
The Trusts primary foreign currency balances are in Australian Dollar, 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 Trusts 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, Horizon, 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 Trusts
custody account at the custodian. The cash manager will use their 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 Nine months.
Violent fluctuations in prevailing interest rates could cause minimal mark-to-market losses on
the Trusts 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 Trusts open positions is essentially the same in all market categories traded. Campbell
& Company applies risk management policies to its trading which generally limit the total
exposure that may be taken per risk unit of assets under management. In addition, Campbell
& Company follows diversification guidelines (often formulated in terms of the balanced
volatility between markets and correlated groups), as well as
reducing position sizes dynamically in response to trading losses.
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Campbell & Company manages the risk of the Trusts non-trading instruments of Treasury Bills
held for margin purposes by limiting the duration of such instruments to no more than months.
Campbell & Company manages the risk of the Trusts 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 certificates 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 Trusts operations.
Item 4. Controls and Procedures
Campbell & Company, Inc., the managing operator of the Trust, with the participation of the
managing operators Chief Executive Officer and Chief Financial Officer, has evaluated the
effectiveness of the design and operation of its disclosure controls and procedures (as defined
in the Securities Exchange Act of 1934 Rules 13a-15(e) or 15d-15(e)) with respect to the Trust
as of the end of the period covered by this quarterly report. Based on their evaluation, the
Chief Executive Officer and Chief Financial Officer have concluded that these disclosure
controls and procedures are effective. There were no changes in the managing operators
internal control over financial reporting applicable to the Trust identified in connection with
the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or 15d-15 that occurred
during the last fiscal quarter that have materially affected, or is reasonably likely to
materially affect, internal control over financial reporting applicable to the Trust.
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PART II-OTHER INFORMATION
Item 1. Legal Proceedings.
None
Item 1A. Risk Factors.
None
Item 2. Changes in Securities and Use of Proceeds.
None
Item 3. Defaults Upon Senior Securities.
Not applicable.
Item 4. (Removed and Reserved).
None
Item 5. Other Information.
None
Item 6. Exhibits and Reports on Form 8-K.
(a) | Exhibits |
Exhibit | ||
Number | Description of Document | |
31.01
|
Certification of Theresa D. Becks, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934. | |
31.02
|
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934. | |
32.01
|
Certification of Theresa D. Becks, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. | |
32.02
|
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. |
(b) Reports of Form 8-K
None
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused
this report to be signed on its behalf by the undersigned thereunto duly authorized.
THE CAMPBELL FUND TRUST (Registrant) |
||||||
By: | Campbell & Company, Inc. | |||||
Managing Operator | ||||||
Date: May 16, 2011
|
By: | /s/ Theresa D. Becks
|
||||
Chief Executive Officer |
- 35 -
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EXHIBIT INDEX
Exhibit Number | Description of Document | Page Number | ||
31.01
|
Certification by Chief Executive Officer | E 2 E 3 | ||
31.02
|
Certification by Chief Financial Officer | E 4 E 5 | ||
32.01
|
Certification by Chief Executive Officer | E 6 | ||
32.02
|
Certification by Chief Financial Officer | E 7 |
E 1