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EX-31.01 - EX-31.01 - CAMPBELL FUND TRUSTcftexhibit31_01.htm


UNITED STATES
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, 2012
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: 000-50264
 
 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  
   (Registrant's 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 filer, 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 accelerated filer o
 
Accelerated filer o
 
Non-accelerated filer o
 
Smaller reporting company þ
       
(Do not check if a smaller reporting company)
   
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
 


 
 
 

 
 
      Page
PART I — FINANCIAL INFORMATION
       
                 
   
Item 1.
 
Financial Statements.
       
                 
       
    Condensed Schedules of Investments as of March 31, 2012 and December 31, 2011 (Unaudited)
   
3-6
 
                 
       
    Statements of Financial Condition as of March 31, 2012 and December 31, 2011 (Unaudited)
   
7
 
                 
       
    Statements of Operations for the Three Months Ended March 31, 2012 and 2011 (Unaudited)
   
8
 
                 
       
    Statements of Cash Flows for the Three Months Ended March 31, 2012 and 2011 (Unaudited)
   
9
 
                 
       
    Statements of Changes in Unitholders’ Capital (Net Asset Value) for the Three Months Ended March 31, 2012 and 2011 (Unaudited)
   
10-11
 
                 
       
    Financial Highlights for the Three Months Ended March 31, 2012 and 2011 (Unaudited)
   
12-14
 
                 
       
    Notes to Financial Statements (Unaudited)
   
15-20
 
                 
   
Item 2.
 
Management’s Discussion and Analysis of Financial Condition and Results of Operations.
   
21-25
 
                 
   
Item 3.
 
Quantitative and Qualitative Disclosure About Market Risk.
   
26-31
 
                 
   
Item 4.
 
Controls and Procedures.
   
31
 
                 
PART II — OTHER INFORMATION
       
                 
    Item 1.   Legal Proceedings.      32  
                 
    Item 1A.   Risk Factors.     32  
                 
    Item 2.   Unregistered Sales of Equity Securities and Use of Proceeds.       32  
                 
    Item 3.   Defaults Upon Senior Securities.     32  
                 
    Item 4.   Mine Safety Disclosures.     32  
                 
    Item 5.   Other Information.     32  
                 
   
Item 6.
 
Exhibits.
   
32
 
                 
SIGNATURES
       
33
 
 
 
 

 
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31, 2012 (Unaudited)
 
                                        
FIXED INCOME SECURITIES
 
Maturity
Face Value
  Description  
Values ($)
  % of Net
Asset Value
  Bank Deposits
       Australia
          Financials  
$10,397,072 
 
2.68 %
      Total Australia (cost $10,400,000)  
$10,397,072 
 
2.68 %
 
       Canada
          Financials  
$25,263,305 
 
6.52 %
              (cost $25,258,612)  
 
 
 
       Finland
          Financials  
$9,290,607 
 
2.40 %
              (cost $9,299,907)  
 
 
 
       United States
          Financials  
$13,985,990 
 
3.61 %
              (cost $14,000,000)  
 
 
 
  Total Bank Deposits
    (cost $58,958,519)
 
$58,936,974 
 
15.21 %
 
  Commercial Paper
       United States
$12,500,000 
          Financials
            ING America Insurance Holdings, Inc.
                Due 04/02/2012
 
$12,499,864 
 
3.23 %
$12,500,000 
              ING America Insurance Holdings, Inc.
                Due 04/26/2012
 
$12,496,785 
 
3.23 %
              Other  
$24,992,323 
 
6.45 %
$28,140,000 
          Industrials
            Dairy Farmers of America, Inc.
                Due 04/02/2012
 
$28,140,000 
 
7.26 %
$25,000,000 
              Johnson Controls, Inc
                Due 04/02/2012
 
$25,000,000 
 
6.45 %
              Other  
$12,499,479 
 
3.23 %
          Materials  
$12,999,458 
 
3.36 %
      Total United States (cost $128,616,622)  
$128,627,909 
 
33.21 %
 
  Corporate Bonds
       Switzerland
          Financials  
$6,497,614 
 
1.68 %
      Total Switzerland (cost $6,497,035)  
$6,497,614 
 
1.68 %
 
       United States
          Financials  
$48,975,910 
 
12.64 %
          Materials  
$4,001,788 
 
1.03 %
      Total United States (cost $52,891,317)  
$52,977,698 
 
13.67 %
 
  Total Corporate Bonds
    (cost $59,388,352)
 
$59,475,312 
 
15.35 %
 
  Government And Agency Obligations
       United States
$5,000,000 
          U.S. Government Agency
            FNMA 0.75%
                Due 12/06/2013
 
$5,001,500 
 
1.29 %
$15,000,000 
              FNMA 4.625%
                Due 05/01/2013
 
$15,657,570 
 
4.04 %
 
See Accompanying Notes to Financial Statements.
 
 
3

 
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31, 2012 (Unaudited)
 
                                        
              Other  
$25,000,640 
 
6.46 %
$30,000,000 
          US Treasury Bill
            U.S. Treasury Bills*
                Due 05/31/2012
 
$29,997,250 
 
7.74 %
$16,375,000 
              U.S. Treasury Bills*
                Due 06/28/2012
 
$16,371,998 
 
4.23 %
      Total United States (cost $92,035,957)  
$92,028,958 
 
23.76 %
 
  Short Term Investment Funds
       United States
          Short Term Investment Funds  
$242 
 
0.00 %
      Total United States (cost $ 242)  
$242 
 
0.00 %
 
  Total Fixed Income Securities
    (cost $338,999,692)
 
$339,069,395 
 
87.53 %
 
LONG FUTURES CONTRACTS
Description  
Values ($)
  % of Net
Asset Value
Agriculture  
$666,222 
 
0.17 %
Energy  
$(1,267,181)
 
(0.33)%
Metals  
$(549,263)
 
(0.14)%
Stock indices  
$708,806 
 
0.18 %
Short-term interest rates  
$1,115,706 
 
0.29 %
Long-term interest rates  
$641,441 
 
0.17 %
Total long futures contracts  
$1,315,731 
 
0.34 %
 
 
SHORT FUTURES CONTRACTS
Description  
Values ($)
  % of Net
Asset Value
Agriculture  
$1,464,828 
 
0.38 %
Energy  
$2,548,840 
 
0.66 %
Metals  
$878,122 
 
0.23 %
Stock indices  
$402,871 
 
0.10 %
Short-term interest rates  
$(703,534)
 
(0.18)%
Long-term interest rates  
$(1,195,689)
 
(0.31)%
Total short futures contracts  
$3,395,438 
 
0.88 %
 
Total futures contracts  
$4,711,169 
 
1.22 %
 
 
FORWARD CURRENCY CONTRACTS
Description  
Values ($)
  % of Net
Asset Value
Various long forward currency contracts  
$(442,643)
 
(0.11)%
Various short forward currency contracts  
$(846,683)
 
(0.22)%
Total forward currency contracts  
$(1,289,326)
 
(0.33)%
 
 
Pledged as collateral for the trading of futures and forward positions.
See Accompanying Notes to Financial Statements.
 
 
4

 
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2011 (Unaudited)
 
                                        
FIXED INCOME SECURITIES
 
Maturity
Face Value
  Description  
Values ($)
  % of Net
Asset Value
  Bank Deposits
       Canada
          Financials  
$12,767,798 
 
3.41 %
              (cost $12,764,148)        
 
       Netherlands
          Financials  
$12,499,978 
 
3.34 %
              (cost $12,500,000)  
 
 
 
  Total Bank Deposits
    (cost $25,264,148)
 
$25,267,776 
 
6.75 %
 
  Commercial Paper
       United States
$10,075,000 
          Financials
            ING America Insurance Holdings Inc.
                Due 01/03/2012
 
$10,074,922 
 
2.69 %
$12,000,000 
              ING America Insurance Holdings Inc.
                Due 01/04/2012
 
$11,999,533 
 
3.20 %
              Other  
$11,999,140 
 
3.20 %
          Materials  
$12,478,321 
 
3.33 %
          Services  
$12,499,320 
 
3.34 %
          Utilities  
$39,618,269 
 
10.58 %
      Total United States (cost $98,665,851)  
$98,669,505 
 
26.34 %
 
  Corporate Bonds
       Switzerland
          Financials  
$6,529,664 
 
1.74 %
              (cost $6,543,542)        
 
       United States
          Financials  
$52,348,609 
 
13.98 %
          Materials  
$4,054,837 
 
1.08 %
      Total United States (cost $56,307,036)  
$56,403,446 
 
15.06 %
 
  Total Corporate Bonds
    (cost $62,850,578)
 
$62,933,110 
 
16.80 %
 
  Government And Agency Obligations
       United States
$16,625,000 
          U.S. Government Agency
            Federal Home Loan Mortgage Corp. 0.5%
                Due 02/08/2013
 
$16,627,660 
 
4.44 %
$12,500,000 
              Federal Home Loan Mortgage Corp. 0.55%
                Due 09/09/2013
 
$12,484,700 
 
3.33 %
$10,000,000 
              Federal Home Loan Mortgage Corp. 0.6%
                Due 08/22/2013
 
$10,003,600 
 
2.67 %
$13,000,000 
              Federal Home Loan Mortgage Corp. 0.6%
                Due 10/25/2013
 
$13,001,794 
 
3.47 %
$12,000,000 
              Federal Home Loan Mortgage Corp. Step Up #TR 00424
                Due 07/26/2013
 
$11,991,840 
 
3.20 %
              Other  
$4,997,900 
 
1.33 %
$16,400,000 
          U.S. Treasury Bill
            U.S. Treasury Bills*
                Due 02/02/2012
 
$16,400,000 
 
4.38 %
 
See Accompanying Notes to Financial Statements.
 
 
5

 
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2011 (Unaudited)
 
                                        
 
           
 
 
 
      Total United States (cost $85,525,947)  
$85,507,494 
 
22.82 %
 
  Short Term Investments
       United States
          Short Term Investments  
$127 
 
0.00 %
               (cost $ 127)        
 
  Total Fixed Income Securities
    (cost $272,306,651)
 
$272,378,012 
 
72.71 %
 
LONG FUTURES CONTRACTS
Description  
Values ($)
  % of Net
Asset Value
Agriculture  
$58,376 
 
0.01 %
Energy  
$(27,330)
 
(0.01)%
Metals  
$102,079 
 
0.03 %
Stock indices  
$860,496 
 
0.23 %
Short-term interest rates  
$566,770 
 
0.15 %
Long-term interest rates  
$4,454,229 
 
1.19 %
Total long futures contracts  
$6,014,620 
 
1.60 %
 
 
SHORT FUTURES CONTRACTS
Description  
Values ($)
  % of Net
Asset Value
Agriculture  
$(2,673,080)
 
(0.71)%
Energy  
$862,051 
 
0.23 %
Metals  
$1,629,572 
 
0.43 %
Stock indices  
$172,827 
 
0.05 %
Short-term interest rates  
$(821)
 
0.00 %
Total short futures contracts  
$(9,451)
 
0.00 %
 
Total futures contracts  
$6,005,169 
 
1.60 %
 
 
FORWARD CURRENCY CONTRACTS
Description  
Values ($)
  % of Net
Asset Value
Various long forward currency contracts  
$105,868 
 
0.03 %
Various short forward currency contracts  
$7,903,682 
 
2.11 %
Total forward currency contracts  
$8,009,550 
 
2.14 %
 
 
Pledged as collateral for the trading of forward positions.
See Accompanying Notes to Financial Statements.
 
 
6

 
THE CAMPBELL FUND TRUST
STATEMENTS OF FINANCIAL CONDITION
March 31, 2012 and December 31, 2011 (Unaudited)
 
 
 
March 31,
2012
 
December 31,
2011
ASSETS  
Equity in futures broker trading accounts  
Cash
$18,672,840 
 
$49,135,636 
Restricted cash
20,660,588 
 
34,189,502 
Fixed income securities - (cost $29,997,250 and $ 0, respectively)
29,997,250 
 
Net unrealized gain (loss) on open futures contracts
4,711,169 
 
6,005,169 
Total equity in futures broker trading accounts
74,041,847 
 
89,330,307 
 
Cash and cash equivalents
12,002,442 
 
8,935,724 
Fixed income securities
    (cost $309,002,442 and $272,306,651, respectively)
309,072,145 
 
272,378,012 
Net unrealized gain (loss) on open forward currency contracts
(1,289,326)
 
8,009,550 
Interest receivable
581,643 
 
405,242 
Subscriptions receivable
17,581 
 
Total assets
$394,426,332 
 
$379,058,835 
 
LIABILITIES  
Accounts payable
$102,659 
 
$125,238 
Management fee
1,253,613 
 
1,205,071 
Service fee
8,184 
 
7,149 
Accrued commissions and other trading fees on open contracts
60,437 
 
42,489 
Offering costs payable
72,017 
 
63,138 
Redemptions payable
5,564,119 
 
2,983,337 
Total liabilities
7,061,029 
 
4,426,422 
 
UNITHOLDERS' CAPITAL (Net Asset Value)  
 
Series A Units - Redeemable  
Other Unitholders - 62,908.790 and 57,271.409 units outstanding at
    March 31, 2012 and December 31, 2011
159,032,217 
 
140,986,636 
Series B Units - Redeemable  
Managing Operator - 20.360 units outstanding at
    March 31, 2012 and December 31, 2011
52,628 
 
51,185 
Other Unitholders - 80,401.190 and 85,812.139 units outstanding at
    March 31, 2012 and December 31, 2011
207,828,057 
 
215,730,706 
Series W Units - Redeemable  
Other Unitholders - 7,747.641 and 6,975.389 units outstanding at
    March 31, 2012 and December 31, 2011
20,452,401 
 
17,863,886 
Total unitholders' capital (Net Asset Value)
387,365,303 
 
374,632,413 
 
Total liabilities and unitholders' capital (Net Asset Value)
$394,426,332 
 
$379,058,835 

See Accompanying Notes to Financial Statements.
 
7

 
THE CAMPBELL FUND TRUST
STATEMENTS OF OPERATIONS
For the Three Months Ended March 31, 2012 and 2011 (Unaudited)
 
 
 
Three Months Ended
March 31,
 
2012
  
2011
TRADING GAINS (LOSSES)  
Futures trading gains (losses)  
Realized
$14,772,850 
 
$(4,754,747)
Change in unrealized
(1,294,000)
 
(3,448,650)
Brokerage commissions
(439,333)
 
(234,584)
Net gain (loss) from futures trading
13,039,517 
 
(8,437,981)
 
Forward currency and options on forward  
currency trading gains (losses)  
Realized
10,539,068 
 
934,261 
Change in unrealized
(9,298,876)
 
(7,298,339)
Brokerage commissions
(16,534)
 
(31,742)
Net gain (loss) from forward currency
    and options on forward currency trading
1,223,658 
 
(6,395,820)
 
Total net trading gain (loss)
14,263,175 
 
(14,833,801)
 
NET INVESTMENT INCOME (LOSS)  
Investment income  
Interest income
330,331 
 
336,270 
Realized gain (loss) on fixed income securities
11,431 
 
4,861 
Change in unrealized gain (loss) on fixed income securities
(1,658)
 
(8,562)
Total investment income
340,104 
 
332,569 
 
Expenses  
Management fee
3,803,758 
 
3,413,311 
Service fee
24,079 
 
14,569 
Performance fee
11 
 
Operating expenses
139,067 
 
132,359 
Total expenses
3,966,915 
 
3,560,239 
Net investment income (loss)
(3,626,811)
 
(3,227,670)
 
NET INCOME (LOSS)
$10,636,364 
 
$(18,061,471)
 
NET INCOME (LOSS) PER MANAGING OPERATOR
    AND OTHER UNITHOLDERS UNIT
 
(based on weighted average number of units outstanding during the period)  
Series A (weighted average number of units outstanding are 58,731.710 and 29,329.199, repectively)
$65.35 
 
$(145.78)
Series B (weighted average number of units outstanding are 84,017.231 and 98,984.566, respectively)
$74.23 
 
$(133.41)
Series W (weighted average number of units outstanding are 7,211.096 and 4,401.002, respectively)
$77.83 
 
$(131.85)
 
INCREASE (DECREASE) IN NET ASSET VALUE
    PER MANAGING OPERATOR AND OTHER UNITHOLDERS UNIT
 
Series A
$66.25 
 
$(135.38)
Series B
$70.90 
 
$(134.06)
Series W
$78.83 
 
$(128.66)

See Accompanying Notes to Financial Statements.
 
8

 
THE CAMPBELL FUND TRUST
STATEMENTS OF CASH FLOWS
For the Three Months Ended March 31, 2012 and 2011 (Unaudited)
 
 
  Three Months Ended
March 31,
 
2012
  
2011
Cash flows from (for) operating activities  
Net income (loss)
$10,636,364 
 
$(18,061,471)
Adjustments to reconcile net income (loss) to net cash from (for) operating activities  
Net change in unrealized
10,594,534 
 
10,755,551 
(Increase) decrease in restricted cash
13,528,914 
 
(Increase) decrease in option premiums paid
 
340,993 
Increase (decrease) in option premiums received
 
190,091 
(Increase) decrease in interest receivable
(176,401)
 
(47,841)
Increase (decrease) in accounts payable and accrued expenses
44,946 
 
(389,411)
Purchases of investments in fixed income securities
(3,808,157,104)
 
(3,259,958,009)
Sales/maturities of investments in fixed income securities
3,741,464,063 
 
3,243,109,825 
 
Net cash from (for) operating activities
(32,064,684)
 
(24,060,272)
 
Cash flows from (for) financing activities  
Addition of units
19,457,830 
 
24,820,710 
Redemption of units
(14,585,759)
 
(8,275,120)
Offering costs paid
(203,465)
 
(103,565)
Net cash from (for) financing activities
4,668,606 
 
16,442,025 
 
Net increase (decrease) in cash and cash equivalents
(27,396,078)
 
(7,618,247)
 
Unrestricted cash  
Beginning of period
58,071,360 
 
59,836,098 
 
End of period
$30,675,282 
 
$52,217,851 
 
End of period cash and cash equivalents consists of:  
Cash in broker trading accounts
$18,672,840 
 
$37,549,104 
Cash and cash equivalents
12,002,442 
 
14,668,747 
 
Total end of period cash and cash equivalents
$30,675,282 
 
$52,217,851 

See Accompanying Notes to Financial Statements.
 
9

 
THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)
For the Three Months Ended March 31, 2012 and 2011 (Unaudited)
 
 
 
Unitholders’ Capital - Series B
 
Managing Operator
 
Other Unitholders
 
Total
 
Units
 
Amount
 
Units
 
Amount
 
Units
 
Amount
Three Months Ended March 31, 2012  
 
Balances at December 31, 2011
20.360 
 
$51,185 
 
85,812.139 
 
$215,730,706 
 
85,832.499 
 
$215,781,891 
 
Net income (loss) for the three months ended  
March 31, 2012    
1,443 
     
6,235,460 
     
6,236,903 
Additions
0.000 
 
 
46.978 
 
125,006 
 
46.978 
 
125,006 
Redemptions
0.000 
 
 
(5,457.927)
 
(14,263,115)
 
(5,457.927)
 
(14,263,115)
Balances at March 31, 2012
20.360 
 
$52,628 
 
80,401.190 
 
$207,828,057 
 
80,421.550 
 
$207,880,685 
 
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 
 
 
295.821 
 
772,305 
 
295.821 
 
772,305 
Redemptions
0.000 
 
 
(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 


Net Asset Value per Managing Operator and Other Unitholders’ Unit - Series B
 
March 31, 2012
 
December 31, 2011
 
March 31, 2011
 
December 31, 2010
 
$2,584.89 
 
$2,513.99 
 
$2,522.45 
 
$2,656.51 

See Accompanying Notes to Financial Statements.
 
10

 
THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)
For the Three Months Ended March 31, 2012 and 2011 (Unaudited)
 
 
 
Unitholders’ Capital
 
Series A - Other Unitholders
 
Series W - Other Unitholders
 
Units
 
Amount
 
Units
 
Amount
Three Months Ended March 31, 2012  
 
Balances at December 31, 2011
57,271.409 
 
$140,986,636 
 
6,975.389 
 
$17,863,886 
 
Net income (loss) for the three months ended  
March 31, 2012    
3,838,207 
     
561,254 
Additions
6,621.366 
 
16,915,768 
 
917.407 
 
2,434,637 
Redemptions
(983.985)
 
(2,520,129)
 
(145.155)
 
(383,297)
Offering costs    
(188,265)
     
(24,079)
Balances at March 31, 2012
62,908.790 
 
$159,032,217 
 
7,747.641 
 
$20,452,401 
 
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 


Net Asset Value per Other Unitholders’ Unit - Series A
 
March 31, 2012
 
December 31, 2011
 
March 31, 2011
 
December 31, 2010
 
$2,527.98 
 
$2,461.73 
 
$2,480.48 
 
$2,615.86 
 
 
 
Net Asset Value per Other Unitholders’ Unit - Series W
 
March 31, 2012
 
December 31, 2011
 
March 31, 2011
 
December 31, 2010
 
$2,639.82 
 
$2,560.99 
 
$2,550.82 
 
$2,679.48 

See Accompanying Notes to Financial Statements.
 
11

 
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three Months Ended March 31, 2012 and 2011
(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, 2012 and 2011. This information has been derived from information presented in the unaudited financial statements. 

 
Series A
  Three Months Ended
March 31,
 
2012
  
2011
Per Unit Performance  
(for a unit outstanding throughout the entire period)  
 
Net asset value per unit at beginning of period
$2,461.73 
 
$2,615.86 
 
Income (loss) from operations:  
Total net trading gains (losses) (1)
93.78 
 
(107.84)
Net investment income (loss)(1)
(24.32)
 
(24.32)
 
Total net income (loss) from operations
69.46 
 
(132.16)
 
Offering costs (1)
(3.21)
 
(3.22)
 
Net asset value per unit at end of period
$2,527.98 
 
$2,480.48 
 
Total Return (4)
2.69 %
 
(5.18)%
 
Supplemental Data  
 
Ratios to average net asset value:  
Expenses prior to performance fee (3)
4.17 %
 
4.04 %
Performance fee (4)
0.00 %
 
0.00 %
 
Total expenses
4.17 %
 
4.04 %
 
Net investment income (loss) (2,3)
(3.82)%
 
(3.72)%

Total returns are calculated based on the change in value of a unit during the period. An individual unitholder's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.
 
(1)  Net investment income (loss) per unit and offering costs per unit 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.
(4) Not annualized.

See Accompanying Notes to Financial Statements.
 
12

 
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three Months Ended March 31, 2012 and 2011
(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, 2012 and 2011. This information has been derived from information presented in the unaudited financial statements. 

 
Series B
  Three Months Ended
March 31,
 
2012
  
2011
Per Unit Performance  
(for a unit outstanding throughout the entire period)  
 
Net asset value per unit at beginning of period
$2,513.99 
 
$2,656.51 
 
Income (loss) from operations:  
Total net trading gains (losses) (1)
95.75 
 
(109.33)
Net investment income (loss)(1)
(24.85)
 
(24.73)
 
Total net income (loss) from operations
70.90 
 
(134.06)
 
 
Net asset value per unit at end of period
$2,584.89 
 
$2,522.45 
 
Total Return (4)
2.82 %
 
(5.05)%
 
Supplemental Data  
 
Ratios to average net asset value:  
Expenses prior to performance fee (3)
4.22 %
 
4.10 %
Performance fee (4)
0.00 %
 
0.00 %
 
Total expenses
4.22 %
 
4.10 %
 
Net investment income (loss) (2,3)
(3.86)%
 
(3.77)%

Total returns are calculated based on the change in value of a unit during the period. An individual unitholder's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.
 
(1)  Net investment income (loss) per unit 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.
(4) Not annualized.

See Accompanying Notes to Financial Statements.
 
13

 
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three Months Ended March 31, 2012 and 2011
(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, 2012 and 2011. This information has been derived from information presented in the unaudited financial statements. 

 
Series W
  Three Months Ended
March 31,
 
2012
  
2011
Per Unit Performance  
(for a unit outstanding throughout the entire period)  
 
Net asset value per unit at beginning of period
$2,560.99 
 
$2,679.48 
 
Income (loss) from operations:  
Total net trading gains (losses) (1)
97.50 
 
(110.33)
Net investment income (loss)(1)
(15.33)
 
(15.02)
 
Total net income (loss) from operations
82.17 
 
(125.35)
 
Offering costs (1)
(3.34)
 
(3.31)
 
Net asset value per unit at end of period
$2,639.82 
 
$2,550.82 
 
Total Return (4)
3.08 %
 
(4.80)%
 
Supplemental Data  
 
Ratios to average net asset value:  
Expenses prior to performance fee (3)
2.66 %
 
2.56 %
Performance fee (4)
0.00 %
 
0.00 %
 
Total expenses
2.66 %
 
2.56 %
 
Net investment income (loss) (2,3)
(2.31)%
 
(2.24)%

Total returns are calculated based on the change in value of a unit during the period. An individual unitholder's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.
 
(1)  Net investment income (loss) per unit and offering costs per unit 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.
(4) Not annualized.

See Accompanying Notes to Financial Statements.
 
 
14

 
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2012 (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 and forward currency contracts. Prior to September 2011, the Trust also traded 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 (the "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 (the "brokers") and interbank market makers through which the Trust trades.

C.  Method of Reporting
 
The Trust's financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which may require the use of certain estimates made by the Trust's management. Actual results may differ from these estimates.

Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and fair value) are reported in the Statements of Financial Condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with the Financial Accounting Standards Board ("FASB") Accounting Standards Codification ("ASC") 210-20, "Offsetting - Balance Sheet." The fair value of futures (exchange-traded) contracts is based on 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 Statements 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 using a third party vendor hierarchy of pricing providers who specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. 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 and accreted 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." ASC 820 provides guidance for determining fair value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).

Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Trust has the ability to access at the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of the Trust's exchange-traded futures contracts fall into this category.

Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts and options on forward currency contracts that the Trust values using models or other valuation methodologies derived from observable market data. This category also includes fixed income investments.
 
 
15

 
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2012 (Unaudited)
 
 
Level 3 inputs are unobservable inputs for an asset or liability (including the Trust's own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of March 31, 2012 and December 31, 2011, and the periods ended March 31, 2012 and 2011, the Trust did not have any Level 3 assets or liabilities.

In January 2010, the FASB issued Accounting Standards Update ("ASU") 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 ASU 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 has not had a material impact on the Trust's financial statement disclosures.

In May 2011, the FASB issued ASU No. 2011-04 ("ASU 2011-04") to achieve common fair value measurement and disclosure requirements in U.S. GAAP and International Financial Reporting Standards.  ASU 2011-04 explains how to measure fair value.  It does not require additional fair value measurements and is not intended to establish valuation standards or affect valuation practices outside of financial reporting.  As of January 1, 2012, the Trust adopted the provisions of ASU 2011-04.  The adoption of ASU 2011-04 did not have a material impact on the Trust's financial statement disclosures.

The following tables set forth by level within the fair value hierarchy the Trust's investments accounted for at fair value on a recurring basis as of March 31, 2012 and December 31, 2011.
 
   
Fair Value at March 31, 2012
 
Description
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments
                       
Fixed income securities
  $ 0     $ 339,069,395     $ 0     $ 339,069,395  
Other Financial Instruments
                               
Exchange-traded futures contracts
    4,711,169       0       0       4,711,169  
Forward currency contracts
    0       (1,289,326 )     0       (1,289,326 )  
Total
  $ 4,711,169     $ 337,780,069     $ 0     $ 342,491,238  
 
 
   
Fair Value at December 31, 2011
 
Description
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments
                       
Fixed income securities
  $ 0     $ 272,378,012     $ 0     $ 272,378,012  
Other Financial Instruments
                               
Exchange-traded futures contracts
    6,005,169       0       0       6,005,169  
Forward currency contracts
    0       8,009,550       0       8,009,550  
Total
  $ 6,005,169     $ 280,387,562     $ 0     $ 286,392,731  

The gross presentation of the fair value of the Trust's derivatives by instrument type is shown in Note 9. See Condensed Schedules 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 Trust's income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each unitholder is individually responsible for reporting income or loss based on such unitholder's respective share of the Trust's income and expenses as reported for income tax purposes.

Management has continued to evaluate the application of ASC 740, "Income Taxes," to the Trust, and has determined that no reserves for uncertain tax positions were required. The Trust files federal and state tax returns. The 2008 through 2011 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

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 Series W at a monthly rate of 1/12 of 0.5% (0.5% annualized) of each 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 Series 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.
 
 
16

 
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2012 (Unaudited)
 
 
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, 2012 and  December 31, 2011, the amount of unreimbursed offering costs incurred by Campbell & Company is $2,874,328 and $2,848,875 for Series A units and $575,099 and $578,115 for Series W units, respectively.

G.  Foreign Currency Transactions
 
The Trust's functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the Statements of Financial Condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income.

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.
 
I.  Recently Issued Accounting Pronouncements
 
In December 2011, the FASB issued ASU No. 2011-11, Balance Sheet (Topic 210), "Disclosures about Offsetting Assets and Liabilities," which requires entities to disclose information about financial instruments and derivative instruments that have been offset or that subject to enforceable master netting agreements, to enable users of its financial statements to evaluate the effect or potential effect of those agreements on its financial position.  Entities will be required to provide both net (offset amounts) and gross information in the notes to the financial statements for relevant assets and liabilities that are offset or subject to the arrangements.  The amendments in ASU No. 2011-11 are effective for interim and annual periods beginning on or after January 1, 2013, and an entity should provide the disclosures required by the amendments retrospectively for all comparable periods presented.  The Trust is in the process of evaluating the disclosure requirements and any impact the new disclosures will have on its financial statements.

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 Trust's 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 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. The cash manager is registered as an investment adviser with the SEC of the United States under the Investment Advisers Act of 1940.

The Trust has 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.

Note 6.  DEPOSITS WITH FUTURES BROKER
 
The Trust deposits assets with UBS Securities LLC (the "broker") to act as futures broker, subject to Commodity Futures Trading Commission regulations and various exchange and futures broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury bills and cash with such futures broker. The Trust typically earns interest income on its assets deposited with the futures broker.

Note 7.  DEPOSITS WITH INTERBANK MARKET MAKER
 
The Trust’s counterparty with regard to its forward currency transactions is The Royal Bank of Scotland PLC ("RBS"). The Trust has entered into an International Swap and Derivatives Association, Inc. agreement with RBS which governs these transactions. The credit ratings reported by the three major rating agencies for RBS were considered investment grade as of March 31, 2012. Margin requirements are satisfied by the deposit of U.S. Treasury bills and cash with RBS. The Trust typically earns interest income on its assets deposited with RBS.

 
17

 
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2012 (Unaudited)
 

Note 8.  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. For the three months ended March 31, 2012 and 2011, Campbell & Company received redemption fees of $6,958 and $0, respectively.

Note 9.  TRADING ACTIVITIES AND RELATED RISKS
 
The Trust engages in the speculative trading of U.S. and foreign futures contracts and forward currency 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 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.

Purchase and sale of futures contracts requires margin deposits with the futures broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a futures broker to segregate all customer transactions and assets from such futures broker's proprietary activities. A customer's cash and other property (for example, U.S. Treasury bills) deposited with a fuures broker are considered commingled with all other customer funds subject to the futures broker's segregation requirements. In the event of a futures broker's insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property deposited.

The amount of required margin and good faith deposits with the futures 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, 2012 and December 31, 2011 was $46,369,248 and $16,400,000, respectively, which equals 12% and 4% of Net Asset Value, respectively. The cash deposited with interbank market makers at March 31, 2012 and December 31, 2011 was $3,579,131 and $21,775, respectively, which equals 1% and 0% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. Included in cash deposits with the futures broker and interbank market maker at March 31, 2012 and December 31, 2011 was restricted cash for margin requirements of $20,660,588 and $34,189,502 respectively, which equals 5% and 9% of Net Asset Value respectively.

The Trust trades forward currency and options on forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward currency and options on forward currency contracts are generally greater than those associated with exchange traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency and options on forward currency contracts typically involves delayed cash settlement.

The Trust has a substantial portion of its assets on deposit with financial institutions. In the event of a financial institution's insolvency, recovery of Trust assets on deposit may be limited to account insurance or other protection afforded such deposits.

For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the fair value of the Trust's open positions and, consequently, in its earnings and cash flow. The Trust's market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Trust's open positions and the liquidity of the markets in which it trades. Theoretically, the Trust is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. As both a buyer and seller of options, the Trust pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option.  Written options expose the Trust to potentially unlimited liability, and purchased options expose the Trust to a risk of loss limited to the premiums paid. See Note 1. C. for an explanation of how the Trust determines its valuation for derivatives as well as the netting of derivatives.

The Trust 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 entity's financial position, financial performance and cash flows.

 
18

 
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2012 (Unaudited)
 

The following tables summarize quantitative information required by ASC 815.

The fair value of the Trust's derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of March 31, 2012 and December 31, 2011 is as follows:
 
Type of Instrument *
 
Statements of Financial
Condition Location
 
Asset
Derivatives at
March 31, 2012
Fair Value
   
Liability
Derivatives at
March 31, 2012
Fair Value
   
Net
 
Agriculture Contracts
 
Equity in futures broker trading accounts
  $ 3,636,141     $ (1,505,091 )   $ 2,131,050  
Energy Contracts
 
Equity in futures broker trading accounts
    2,603,276       (1,321,617 )     1,281,659  
Metal Contracts
 
Equity in futures broker trading accounts
    1,093,206       (764,347 )     328,859  
Stock Indices Contracts
 
Equity in futures broker trading accounts
    3,029,729       (1,918,052 )     1,111,677  
Short-Term Interest Rate Contracts
 
Equity in futures broker trading accounts
    1,217,228       (805,056 )     412,172  
Long-Term Interest Rate Contracts
 
Equity in futures broker trading accounts
    2,337,539       (2,891,787 )     (554,248 )
Forward Currency Contracts
 
Net unrealized gain (loss) on open forward currency contracts
    6,364,013       (7,653,339 )     (1,289,326 )
Totals
      $ 20,281,132     $ (16,859,289 )   $ 3,421,843  
 
* Derivatives not designated as hedging instruments under ASC 815
 

 
Type of Instrument *
 
Statements of Financial
Condition Location
 
Asset
Derivatives at
December 31, 2011
Fair Value
   
Liability
Derivatives at
December 31, 2011
Fair Value
   
Net
 
Agriculture Contracts
 
Equity in futures broker trading accounts
  $ 561,871     $ (3,176,575 )   $ (2,614,704 )
Energy Contracts
 
Equity in futures broker trading accounts
    1,069,580       (234,859 )     834,721  
Metal Contracts
 
Equity in futures broker trading accounts
    2,315,558       (583,907 )     1,731,651  
Stock Indices Contracts
 
Equity in futures broker trading accounts
    1,166,337       (133,014 )     1,033,323  
Short-Term Interest Rate Contracts
 
Equity in futures broker trading accounts
    1,049,308       (483,359 )     565,949  
Long-Term Interest Rate Contracts
 
Equity in futures broker trading accounts
    4,648,643       (194,414 )     4,454,229  
Forward Currency Contracts
 
Net unrealized gain (loss) on open forward currency contracts
    12,831,895       (4,822,345 )     8,009,550  
Totals
      $ 23,643,192     $ (9,628,473 )   $ 14,014,719  
 
* Derivatives not designated as hedging instruments under ASC 815
 
 
The trading gains and losses of the Trust's derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the periods ended March 31, 2012 and 2011 is as follows:
 
Type of Instrument
 
Trading Gains (Losses) for
the Three Months Ended
March 31, 2012
   
Trading Gains (Losses) for
the Three Months Ended
March 31, 2011
 
Agriculture Contracts
  $ 2,757,445     $ (127,779 )
Energy Contracts
    15,132,430       6,928,822  
Metal Contracts
    (5,341,029 )     (1,508,583 )
Stock Indices Contracts
    13,605,337       (7,141,847 )
Short-Term Interest Rate Contracts
    1,260,793       (3,938,653 )
Long Term Interest Rate Contracts
    (13,888,925 )     (2,401,881 )
Forward Currency Contracts
    1,240,192       (3,486,624 )
Purchased Options on Forward Currency Contracts
    0       (4,685,902 )
Written Options on Forward Currency Contracts
    0       1,806,870  
Total
  $ 14,766,243     $ (14,555,577 )
 
 
19

 
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2012 (Unaudited)

 
Line Item in the Statement of Operations
 
Trading Gains (Losses) for
the Three Months Ended
March 31, 2012
   
Trading Gains (Losses) for
the Three Months Ended
March 31, 2011
 
Futures trading gains (losses):
           
     Realized**
  $ 14,820,051     $ (4,742,849 )
     Change in unrealized
    (1,294,000 )     (3,448,650 )
Forward currency and options on forward currency trading gains (losses):
               
     Realized
    10,539,068       934,261  
     Change in unrealized
    (9,298,876 )     (7,298,339 )
Total
  $ 14,766,243     $ (14,555,577 )
 
**Amounts differ from the amounts on the Statements of Operations as the amounts above do not include gains and losses on foreign currency cash balances at the futures broker.
 
For the three months ended March 31, 2012 and 2011, the monthly average of futures contracts bought and sold was approximately 34,900 and 18,670, respectively, and the monthly average of notional value of forward currency and options on forward currency contracts was $1,490,800,000 and $3,415,450,000 respectively.

Open contracts generally mature within twelve months; as of March 31, 2012, the latest maturity date for open futures contracts is September 2014 and the latest maturity date for open forward currency contracts is June 2012. However, the Trust intends to close all futures and foreign currency contracts prior to maturity.

Campbell & Company has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. Campbell & Company's basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%. Campbell & Company's attempt to manage the risk of the Trust's open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per "risk unit" of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses. Campbell & Company controls the risk of the Trust's non-trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments.

Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Trust's assets at financial institutions and brokers which Campbell & Company believes to be credit worthy. The unitholder bears the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.

Note 10.  INDEMNIFICATIONS
 
In the normal course of business, the Trust enters into contracts and agreements that contain a variety of representations and warranties which provide general indemnifications. The Trust's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. The Trust expects the risk of any future obligation under these indemnifications to be remote.

Note 11.  INTERIM FINANCIAL STATEMENTS
 
The statements of financial condition, including the condensed schedule of investments, as of March 31, 2012 and December 31, 2011, and the statements of operations, cash flows, changes in unitholders' capital (Net Asset Value) and financial highlights for the three months ended March 31, 2012 and 2011 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, 2012, and the results of operations, cash flows, changes in unitholders' capital (Net Asset Value) and financial highlights for the three months ended March 31, 2012 and 2011.

Note 12.  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.
 
20

 
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
 
Introduction
 
The Campbell Fund Trust (the “Trust”) is a business trust organized on January 2, 1996 under the Delaware Business Trust Act, which was replaced by the Delaware Statutory Trust Act as of September 1, 2002. The Trust is a successor to the Campbell Fund Limited Partnership (formerly known as the Commodity Trend Fund) which began trading operations in January 1972. The Trust currently trades in the U.S. and international futures and forward markets under the sole direction of Campbell & Company, Inc., the managing operator of the Trust. Specifically, the Trust trades in a diverse array of global assets, including global interest rates, stock indices, currencies and commodities. The Trust is an actively managed account with speculative trading profits as its objective.
 
Effective August 31, 2008, the Trust began offering Series A, Series B, and Series W units. The units in the Trust prior to that date became Series B units. Series B units are only available for additional investment by existing holders of Series B units.
 
As of March 31, 2012, the aggregate capitalization of the Trust was $387,365,303 with Series A, Series B and Series W comprising $159,032,217, $207,880,685 and $20,452,402, respectively, of the total. The Net Asset Value per Unit was $2,527.98 for Series A, $2,584.89 for Series B, and $2,639.82 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 Trust’s significant accounting policies are described in detail in Note 1 of the Financial Statements.
 
The Trust records all investments at fair value in its financial statements, with changes in fair value reported as a component of 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 Trust’s business, it will make no capital expenditures and will have no capital assets which are not operating capital or assets.
 
The Trust maintains 40-80% of its net asset value in cash, cash equivalents or other liquid positions in its cash management program over and above the amount that is 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.
 
 
21

 
Liquidity
 
Most United States futures exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have occasionally moved to the daily
 
limit for several consecutive days with little or no trading. Similar occurrences could prevent the Trust from promptly liquidating unfavorable positions and subject the Trust to substantial losses which could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Trust may not be able to execute futures trades at favorable prices, if little trading in such contracts is taking place. Other than these limitations on liquidity, which are inherent in the Trust’s futures trading operations, the Trust’s assets are expected to be highly liquid.
 
The entire offering proceeds, without deductions, will be credited to the Trust’s bank 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 Trust’s net 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 Trust’s assets are deposited with over-the-counter counterparties in order to initiate and maintain forward contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparties.
 
The managing 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 Trust’s 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 Trust’s 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.

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 Trust’s assets are not and will not be, directly or indirectly, commingled with the property of any other person in violation of law or invested in or loaned to Campbell & Company or any affiliated entities.
 
Off-Balance Sheet Risk
 
The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Trust trades in futures, forward and option contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Trust, market risk, that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Trust at the same time, and if the Trust’s trading advisor was unable to offset futures interests positions of the Trust, the Trust could lose all of its assets and the Unitholders would realize a 100% loss. Campbell & Company, Inc., the managing 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%.
 
 
22

 
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 and forward currency contracts. Prior to September 2011, the Trust also invested in 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.

Results of Operations
 
The returns for Series A for the three months ended March 31, 2012 and 2011 were 2.69% and (5.18)%. The returns for Series B for the three months ended March 31, 2012 and 2011 were 2.82% and (5.05)%, respectively. The returns for Series W for the three months ended March 31, 2012 and 2011 were 3.08% and (4.80)%, respectively.
 
2012 (For the Three Months Ending March 31)
 
Of the 2012 year-to-date increase of 2.69% for Series A, approximately 3.90% was due to trading gains (before commissions) and approximately 0.09% was due to investment income, offset by approximately (1.30)% due to brokerage fees, management fees, operating costs and offering costs borne by Series A.
 
Of the 2012 year-to-date increase of 2.82% for Series B, approximately 3.90% was due to trading gains (before commissions) and approximately 0.09% was due to investment income, offset by approximately (1.17)% due to brokerage fees, management fees and operating costs borne by Series B.

Of the 2012 year-to-date increase of 3.08% for Series W, approximately 3.90% was due to trading gains (before commissions) and approximately 0.09% was due to investment income, offset by approximately (0.91)% due to brokerage fees, management fees,service fees, incentive fees, operating costs and offering costs borne by Series W.

During the three months ended March 31, 2012, the Trust accrued management fees in the amount of $3,803,758 and paid management fees in the amount of $3,755,216. Performance fees were accrued in the amount of $11 and paid in the amount of $11.
 
 
23

 
An analysis of the 3.90% gross trading gains for the Trust for the year by sector is as follows:

Sector
 
% Gain (Loss)
 
Commodities
    3.22 %
Currencies
     0.37  
Interest Rates
     (3.20
Stock Indices
    3.51  
      3.90

2012 began on a positive note, providing much needed relief to market participants across most sectors. Improving global economic data, progress with the European sovereign debt crisis, and continued central bank support drove prices higher in many markets, with the notable exception of the U.S. Dollar. The Trust's models were well positioned for these moves, recording gains in all four sectors with fixed income and stock index futures leading the way. Rising global bond prices in the U.S., Europe and Japan drove returns; the interest rates sector gained over 1% for the Trust as yields continued to drop on further monetary easing. Long positions in U.S. and European equity indices were the major source of return in the stock index sector, adding approximately 1% to the Trust, as prices moved higher on positive global manufacturing data, improving sentiment in Europe, and the Fed’s pledge to keep interest rates low until 2014. The commodity sector traded flat recording gains on the Trust’s short position in natural gas offset by losses in industrial metals. The foreign exchange sector was profitable, driven by long positions in the commodity linked currencies of Australia and New Zealand.
 
February continued to exhibit a sense of global optimism that began 2012. Positive data in global economies and Central Bank support in China, Europe and Japan pushed equity prices and many commodities higher. Fixed income prices and the U.S. Dollar against the G10 currencies, with the notable exception of the Japanese Yen, fell as investors moved towards risk assets. The Trust profited in three of the four major sectors traded, experiencing losses in fixed income, with commodities, equity indices and foreign exchange driving gains. Rising petroleum prices were a major contributor to the Trust’s performance as tensions with Iran, stronger U.S. economic data, and a tightening global supply environment led to the rally in prices, adding almost 2% to the portfolio. Additional gains were recorded in equity indices from a net long position in stock index futures as the upward trend continued. Equity market gains were driven by continued improvement in manufacturing, employment and housing data, as well as friendly Central Bank policies and the approval of the second Greek bailout package. Other gains stemmed from currency trading, where the Japanese Yen was the major contributor. The Trust’s models quickly reacted to a changing trend in the Yen, a result of Japan’s trade balance ending 2011 in deficit territory for the first time in 30 years, and profited on the 6.5% loss in the currency’s value against the Dollar. A portion of these gains were offset by losses experienced in the fixed income sector as investors rotated out of the safety of government debt.
 
March ended an overall profitable first quarter of 2012 with a pullback in performance. The majority of losses stemmed from a mid-month reversal of the longstanding upward trend in fixed income prices. Additional losses in foreign exchange trading were more than offset by gains in the commodities and equity indices sectors. The diversity of markets held in the Trust helped to mitigate losses as the fixed income sector experienced particularly high volatility. Better-than-expected economic data and the U.S. FOMC raising their assessment of the U.S. economy reduced the market’s expectation of additional Fed support and caused a move away from safe haven assets. Fixed income prices tumbled across the curve and the Trust’s long position in the sector suffered. Concerns over demand for commodities also caused losses for the Trust as signs of a slowing economy in China caused the depreciation of the commodity-linked currencies of Australia and New Zealand. Gains in equity indices and energies offset some losses as the Fed reaffirmed its easy-money policy, sending stocks higher, and the existing upward trend in oil and downward trend in natural gas extended.
 
 
24

 
2011 (For the Three Months Ending March 31)
 
 
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 Trust’s 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 of January from the Trust’s long positions in agricultural and energy contracts. A number of energy contracts reached 24 month highs on strong global demand due to a number of factors, including, 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 world’s biggest consumer, China. Currency trading on the month proved difficult as the Trust’s short position in the U.S. Dollar generated losses as emerging market risk aversion may have been prompted by the Egyptian anti-government protests. Additional losses were recorded in the fixed income markets from the Trust’s 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, contributing to a sell-off in short-term rates as market participants began pricing in future rate hikes.
 
In February, geopolitical concerns, centering on the growing Middle East/North African ("MENA") populist uprising, may have negatively affected the commodity markets. This regional tension may have 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. Additional gains were recorded in equity trading due partially to improving macroeconomic data supporting the global recovery theme. While some of the major currencies rallied during the month, others like the New Zealand Dollar fell significantly 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 “V–shaped” behavior in most sectors during March may have been caused by 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 experienced significant volatility as the MENA unrest and Europe’s 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 Trust’s 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 were negatively impacted by base metal prices. 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 response to excess volatility and disorderly movements in exchange rates that may have been perceived as having adverse implications for economic and financial stability. In particular, the Trust’s 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.
 
 
25

 
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 Trust’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Trust’s main line of business.
 
Market movements result in frequent changes in the fair market value of the Trust’s open positions and, consequently, in its earnings and cash flow. The Trust’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Trust’s open positions and the liquidity of the markets in which it trades.
 
The Trust rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Trust’s past performance is not necessarily indicative of its future results.
 
Standard of Materiality
 
Materiality as used in this section, “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 Trust’s market sensitive instruments.
  
Quantifying the Trust’s Trading Value at Risk
 
Quantitative Forward-Looking Statements
 
The following quantitative disclosures regarding the Trust’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact (such as the dollar amount of the maintenance margin required for market risk sensitive instruments held at the end of the reporting period).
 
The Trust's risk exposure in the various market sectors traded is estimated in terms of Value at Risk ("VaR"). The Trust estimates VaR using a model based upon realized returns (with a confidence level of 97.5%) which involves constructing a distribution of actual 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 changes in portfolio value are based on daily percentage changes observed in key market indices or other market factors to which the portfolio is sensitive. The Trust's VaR at a one day 97.5% confidence level of the Trust's VaR 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 realized portfolio's returns to estimate volatility. Normal distribution assumption is then applied to the volatility to generate the return distribution. The VaR is the 2.5 percentile of this distribution.
 
The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. The current methodology used to calculate the aggregate VaR represents the VaR of the Trust’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
 
 
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The Trust’s VaR computations are based on the risk representation of the underlying benchmark for each instrument or contract and does not distinguish between exchange and non-exchange dealer-based instruments. It is also not based on exchange and/or dealer-based maintenance margin requirements.
 
VaR models, including the Trust’s, are continually evolving as trading portfolios become more diverse and modeling techniques and systems capabilities improve. Please note that the VaR model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by the Trust in its daily risk management activities. Please further note that VaR as described above may not be comparable to similarly titled measures used by other entities.
 
Because the business of the Trust is the speculative trading of futures, forwards and options, the composition of the Trust’s trading portfolio can change significantly over any given time period, or even within a single trading day, which could positively or negatively materially impact market risk as measured by VaR.
 
The Trust’s Trading Value at Risk in Different Market Sectors
 
The following tables indicate the trading Value at Risk associated with the Trust’s open positions by market category as of March 31, 2012 and December 31, 2011 and the trading gains/losses by market category for the three months ended March 31, 2012 and the year ended December 31, 2011.
 
                 
   
March 31, 2012
Market Sector
 
Value at Risk*
 
Trading
Gain/(Loss)**
Commodities
    0.63
%
    3.22
%
Currencies
    0.72
%
    0.37
%
Interest Rates     1.20 %     (3.20 )% 
Stock Indices
    0.55
%
    3.51
%
                 
Aggregate/Total
    1.64
%
    3.90
%
   
   
*
The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. The aggregate VaR represents the VaR of the Trust’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
   
**
Represents the gross trading for the Trust for the three months ended March 31, 2012.
 
Of the 2012 year-to-date increase of 2.69% for Series A, approximately 3.90% was due to trading gains (before commissions) and approximately 0.09% was due to investment income, offset by approximately (1.30)% due to brokerage fees, management fees, operating costs and offering costs borne by Series A.
 
Of the 2012 year-to-date increase of 2.82% for Series B, approximately 3.90% was due to trading gains (before commissions) and approximately 0.09% was due to investment income, offset by approximately (1.17)% due to brokerage fees, management fees and operating costs borne by Series B.

Of the 2012 year-to-date increase of 3.08% for Series W, approximately 3.90% was due to trading gains (before commissions) and approximately 0.09% was due to investment income, offset by approximately (0.91)% due to brokerage fees, management fees, service fees, incentive fees, operating costs and offering costs borne by Series W.
 
 
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December 31, 2011
Market Sector
 
Value at Risk*
 
Trading
Gain/(Loss)**
Commodities
    0.66
%
    (7.14
)%
Currencies
    0.65
%
   
(3.96
)%
Interest Rates     1.07 %     16.90
Stock Indices
    0.37
%
    (6.94
)%
                 
Aggregate/Total
    1.34
%
    (1.14
)%
   
   
*
The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. The aggregate VaR represents the VaR of the Trust’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
   
**
Represents the gross trading for the Trust for the year ended December 31, 2011.
 
Of the (5.89)% return for the year ended 2011 for Series A, approximately (1.14)% was due to trading losses (before commissions) and approximately (5.08)% was due to brokerage fees, management fees, incentive fees, operating costs and offering costs borne by Series A, offset by approximately 0.33% due to investment income.
 
Of the (5.36)% return for the year ended 2011 for Series B, approximately (1.14)% was due to trading losses (before commissions) and approximately (4.56)% was due to brokerage fees, management fees and operating costs borne by Series B, offset by approximately 0.34% due to investment income.
 
Of the (4.42)% return for the year ended 2011 for Series W, approximately (1.14)% was due to trading losses (before commissions) and approximately (3.61)% was due to brokerage fees, management fees, incentive fees, sales commissions, operating costs and offering costs borne by Series W, offset by approximately 0.33% due to investment income.
 
Material Limitations on Value at Risk as an Assessment of Market Risk
 
The following limitations of VaR as an assessment of market risk should be noted:
 
1)
 
Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;
     
2)
 
Changes in portfolio value caused by market movements may differ from those of the VaR model;
     
3)
 
VaR results reflect past trading positions while future risk depends on future positions;
     
4)
 
VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and
     
5)
 
The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.
 
VaR is not necessarily representative of historic risk nor should it be used to predict the Trust’s future financial performance or its ability to manage and monitor risk. There can be no assurance that the Trust’s actual losses on a particular day will not exceed the VaR amounts indicated or that such losses will not occur more than once in 40 trading days.
 
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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.
 
Qualitative Disclosures Regarding Primary Trading Risk Exposures
 
The following qualitative disclosures regarding the Trust’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Trust manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Trust’s primary market risk exposures as well as the strategies used and to be used by Campbell & Company for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Trust’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Trust. There can be no assurance that the Trust’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Trust.
 
The following represent the primary trading risk exposures of the Trust as of March 31, 2012 by market sector.
 
Currencies
 
The Trust’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Trust trades in a large number of currencies, including cross-rates — i.e., positions between two currencies other than the U.S. Dollar. Campbell & Company does not anticipate that the risk profile of the Trust’s currency sector will change significantly in the future.
 
Interest Rates
 
Interest rate movements directly affect the price of the sovereign bond positions held by the Trust and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Trust’s profitability. The Trust’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. Campbell & Company anticipates that G-7 interest rates will remain the primary 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 Trust’s primary equity exposure is to equity price risk in the G-7 countries and several other countries or regions (Australia, Hong Kong, Singapore, Spain, Taiwan and the 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 Trust’s positions being “whipsawed” into numerous small losses.
 
 
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Energy
 
The Trust’s primary energy market exposure is to natural gas, crude oil and derivative product price movements often resulting from international political developments and ongoing conflicts in the Middle East and the perceived outcome. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.
 
Metals
 
The Trust’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, nickel, silver and zinc.
 
Agricultural
 
The Trust’s agricultural exposure is to fluctuations of the price of cattle, coffee, corn, cotton, hogs, soy, sugar and wheat.
 
Qualitative Disclosures Regarding Non-Trading Risk Exposure
 
The following were the primary non-trading risk exposures of the Trust as of March 31, 2012.
 
Foreign Currency Balances
 
The Trust’s 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 Trust’s primary market exposure in instruments (other than treasury positions described in the subsequent section) held other than for trading is in its fixed income portfolio. The cash manager, 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 Trust’s 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 six months. Violent fluctuations in prevailing interest rates could cause minimal mark-to-market losses on the Trust’s Treasury Bills, although substantially all of these short-term investments are held to maturity.
 
Qualitative Disclosures Regarding Means of Managing Risk Exposure
 
The means by which the Trust and Campbell & Company, severally, attempt to manage the risk of the Trust’s open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses.

 
30

 
Campbell & Company manages the risk of the Trust’s non-trading instruments of Treasury Bills held for margin purposes by limiting the duration of such instruments to no more than six months. Campbell & Company manages the risk of the Trust’s fixed income securities held for cash management purposes by restricting the cash managers to investing in securities that are modeled after those investments allowed by the futures broker as defined under The Commodity Exchange Act, Title 17, Part 1, § 1.25 Investment of customer funds. Investments can include, but are not limited to, (i) U.S. Government Securities, Government Agency Securities, Municipal Securities, banker acceptances and 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 Trust’s operations.
 
Item 4. Controls and Procedures
 
Campbell & Company, Inc., the managing operator of the Trust, with the participation of the managing operator’s 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 operator’s internal control over financial reporting applicable to the Trust identified in connection with the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or 15d-15 that occurred during the last fiscal quarter that have materially affected, or is reasonably likely to materially affect, internal control over financial reporting applicable to the Trust.

 
31

 
PART II - OTHER INFORMATION
 
Item 1. Legal Proceedings.
 
            None
 
Item 1A. Risk Factors.
 
            None
 
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
 
            None
 
Item 3. Defaults Upon Senior Securities.
 
            Not applicable
 
Item 4. Mine Safety Disclosures.
 
            Not applicable
 
Item 5. Other Information.
 
            None
 
Item 6. Exhibits.
 
Exhibit Number
 
Description of Document
     
3.01  
Articles and Plan of Merger of the Campbell Fund Limited Partnership with and into the Registrant dated January 2, 1996 (1)
     
3.02  
Amended and Restated Declaration of Trust and Trust Agreement of the Registrant dated February 3, 2010 (2)
     
10.01   Advisory Agreement between the Registrant and Campbell & Company, Inc. (1)
     
10.02   Global Institutional Master Custody Agreement (2)
     
10.03   Non-Custody Investment Advisory Agreement with Horizon Cash Management L.L.C., as cash manager (2)
     
31.01
 
Certification of Stephen C. Roussin, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.
     
31.02
 
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.
     
32.01
 
Certification of Stephen C. Roussin, 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.
     
101.01  
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments, (ii) Statements of Financial Condition, (iii) Statements of Operations, (iv) Statements of Cash Flows, (v) Statements of Changes in Partners’ Capital (Net Asset Value), (vi) Financial Highlights, and (vii) Notes to Financial Statements, tagged as blocks of text.
     
     
(1)  Incorporated by reference to the respective exhibit to the Registrant’s Form 10 filed on April 30, 2003.
(2)  Incorporated by reference to the respective exhibit to the Registrant's Form 10-Q filed on August 15, 2011.
     

 
32

 
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 15, 2012
 
By:
 
/s/ Stephen C. Roussin
   
       
Stephen C. Roussin
Chief Executive Officer
   
 
 
33

 
EXHIBIT INDEX
 
     
Exhibit Number
 
Description of Document
31.01
 
Certification of Stephen C. Roussin, 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 Stephen C. Roussin, 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.
     
101.01  
Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments, (ii) Statements of Financial Condition, (iii) Statements of Operations, (iv) Statements of Cash Flows, (v) Statements of Changes in Partners’ Capital (Net Asset Value), (vi) Financial Highlights, and (vii) Notes to Financial Statements, tagged as blocks of text.