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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549

FORM 10-Q

Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the quarterly period ended June 30, 2015

Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the transition period from                     to                    

or

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 No
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 No
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
Accelerated filer
Non-accelerated filer
Smaller reporting company
   
(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 No





 
Page
PART I — FINANCIAL INFORMATION
 
       
 
Item 1.
Financial Statements.
 
       
   
Condensed Schedules of Investments as of June 30, 2015 and December 31, 2014 (Unaudited)
1-4
       
   
Statements of Financial Condition as of June 30, 2015 and December 31, 2014 (Unaudited)
5
       
   
Statements of Operations for the Three and Six Months Ended June 30, 2015 and 2014 (Unaudited)
6
       
   
Statements of Cash Flows for the Six Months Ended June 30, 2015 and 2014 (Unaudited)
7
       
   
Statements of Changes in Unitholders' Capital (Net Asset Value) for the Six Months Ended June 30, 2015 and 2014 (Unaudited)
8-9
       
   
Financial Highlights for the Three and Six Months Ended June 30, 2015 and 2014 (Unaudited)
10-12
       
   
Notes to Financial Statements (Unaudited)
13-21
       
 
Item 2.
Management's Discussion and Analysis of Financial Condition and Results of Operations.
22-28
       
 
Item 3.
Quantitative and Qualitative Disclosure About Market Risk.
29-33
       
 
Item 4.
Controls and Procedures.
33
       
PARTII — OTHER INFORMATION
 
       
 
Item 1.
Legal Proceedings.
 34
       
 
Item 1A.
Risk Factors.
34
       
 
Item 2.
Unregistered Sales of Equity Securities and Use of Proceeds.
 34
       
 
Item 3.
Defaults Upon Senior Securities.
34
       
 
Item 4.
Mine Safety Disclosures.
34
       
 
Item 5.
Other Information.
34
       
 
Item 6.
Exhibits.
34
       
SIGNATURES
 
35


THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
JUNE 30, 2015 (Unaudited)

FIXED INCOME SECURITIES
 
 
Maturity
Face Value
 
Description
 
Fair
Values ($)
   
% of Net
Asset Value
 
 
 
 
Asset Backed Securities
       
     
United States
       
     
Auto Loans
 
$
38,248,630
     
4.22
%
     
Credit Cards
   
17,790,586
     
1.96
%
     
Equipment Loans
   
4,210,960
     
0.46
%
     
Utility Rate Reduction Bonds
   
2,233,047
     
0.25
%
     
Total Asset Backed Securities (cost $62,467,393)
   
62,483,223
     
6.89
%
                       
     
Commercial Paper
               
     
Switzerland
               
     
Financials (cost $10,667,327)
   
10,667,679
     
1.18
%
     
United States
               
     
Consumer Discretionary
   
54,683,743
     
6.03
%
     
Consumer Staples
   
22,553,466
     
2.49
%
     
Energy
   
9,879,140
     
1.09
%
     
Financials
   
82,080,093
     
9.05
%
     
Industrials
   
31,759,126
     
3.50
%
     
Materials
   
13,488,224
     
1.49
%
     
Utilities
   
106,145,605
     
11.70
%
     
Total United States (cost $320,580,233)
   
320,589,397
     
35.35
%
     
Total Commercial Paper (cost $331,247,560)
   
331,257,076
     
36.53
%
                       
     
Corporate Bonds
               
     
Japan
               
     
Consumer Discretionary (cost $4,880,554)
   
4,881,664
     
0.54
%
     
United States
               
     
Communications
   
25,971,097
     
2.86
%
     
Consumer Discretionary
   
41,528,612
     
4.58
%
     
Consumer Staples
   
17,447,929
     
1.92
%
     
Financials
   
140,320,806
     
15.47
%
     
Health Care
   
15,329,631
     
1.69
%
     
Technology
   
14,756,669
     
1.63
%
     
Utilities
   
1,716,844
     
0.19
%
     
Total United States (cost $256,971,321)
   
257,071,588
     
28.34
%
     
Total Corporate Bonds (cost $261,851,875)
   
261,953,252
     
28.88
%
                       
     
Government And Agency Obligations
               
     
United States
               
     
U.S. Treasury Bills
               
 
$60,000,000
 
U.S. Treasury Bills Due 07/23/2015*
   
60,000,660
     
6.61
%
 
$55,000,000
 
U.S. Treasury Bills Due 09/17/2015*
   
55,000,880
     
6.06
%
 
$20,000,000
 
U.S. Treasury Bills Due 10/01/2015*
   
19,999,480
     
2.21
%
 
$65,750,000
 
U.S. Treasury Bills Due 10/22/2015*
   
65,747,436
     
7.25
%
     
Total Government And Agency Obligations (cost $200,747,219)
   
200,748,456
     
22.13
%
                       
     
Total Fixed Income Securities**  (cost $856,314,047)
 
$
856,442,007
     
94.43
%

SHORT TERM INVESTMENTS

Maturity
Face Value
 
Description
 
Fair
Values ($)
   
% of Net
Asset Value
 
 
 
 
Money Market Funds
       
     
United States
       
     
Money Market Funds (cost $5,913,696)
 
$
5,913,696
     
0.65
%
     
Total Short Term Investments (cost $5,913,696)
 
$
5,913,696
     
0.65
%

See Accompanying Notes to Financial Statements.
1

THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
JUNE 30, 2015 (Unaudited)

LONG FUTURES CONTRACTS
 
Description
Fair
Values ($)
 
% of Net
Asset Value
 
Agriculture
 
$
3,109,624
     
0.34
%
Energy
   
38,077
     
0.00
%
Metals
   
(11,454,705
)
   
(1.26
)%
Stock indices
   
(8,171,994
)
   
(0.90
)%
Short-term interest rates
   
2,171,497
     
0.24
%
Long-term interest rates
   
1,278,013
     
0.14
%
Net unrealized gain (loss) on long futures contracts
 
$
(13,029,488
)
   
(1.44
)%
                 
SHORT FUTURES CONTRACTS
               
Description
Fair
Values ($)
 
% of Net
Asset Value
 
Agriculture
 
$
(15,111,654
)
   
(1.67
)%
Energy
   
(1,208,685
)
   
(0.13
)%
Metals
   
12,751,051
     
1.41
%
Stock indices
   
3,531,210
     
0.39
%
Short-term interest rates
   
(476,311
)
   
(0.05
)%
Long-term interest rates
   
(4,606,015
)
   
(0.51
)%
Net unrealized gain (loss) on short futures contracts
 
$
(5,120,404
)
   
(0.56
)%
                 
Net unrealized gain (loss) on open futures contracts
 
$
(18,149,892
)
   
(2.00
)%
                 
FORWARD CURRENCY CONTRACTS
               
Description
Fair
Values ($)
 
% of Net
Asset Value
 
Various long forward currency contracts
 
$
(12,121,428
)
   
(1.34
)%
Various short forward currency contracts
   
2,348,070
     
0.26
%
Net unrealized gain (loss) on open forward currency contracts
 
$
(9,773,358
)
   
(1.08
)%

* Pledged as collateral for the trading of futures or forward positions.
** Included in fixed income securities are U.S. Treasury Bills with a fair value of $135,001,020 deposited with the futures brokers and $65,747,436 deposited with the interbank market maker.

See Accompanying Notes to Financial Statements.
2

THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2014 (Unaudited)

FIXED INCOME SECURITIES
 
 
Maturity
Face Value
 
Description
 
Fair
Values ($)
   
% of Net
Asset Value
 
 
 
 
Asset Backed Securities
       
     
United States
       
     
Auto Loans
 
$
17,164,098
     
2.30
%
     
Credit Cards
   
3,906,213
     
0.52
%
     
Equipment
   
1,736,330
     
0.23
%
     
Utility Rate Reduction Bonds
   
1,178,380
     
0.16
%
     
Total Asset Backed Securities (cost $24,009,579)
   
23,985,021
     
3.21
%
                       
     
Commercial Paper
               
     
United States
               
     
Consumer Discretionary
   
36,268,906
     
4.85
%
     
Consumer Staples
   
41,535,967
     
5.55
%
     
Energy
   
33,532,018
     
4.48
%
     
Financials
   
44,285,091
     
5.92
%
     
Industrials
   
6,518,131
     
0.87
%
     
Materials
   
4,249,818
     
0.57
%
     
Technology
   
24,999,469
     
3.34
%
     
Utilities
   
38,721,324
     
5.18
%
     
Total Commercial Paper (cost $230,106,802)
   
230,110,724
     
30.76
%
                       
     
Corporate Bonds
               
     
United Kingdom
               
     
Materials (cost $16,000,000)
   
16,015,040
     
2.14
%
     
United States
               
     
Communications
   
37,372,502
     
5.00
%
     
Consumer Discretionary
   
35,898,692
     
4.80
%
     
Consumer Staples
   
4,592,458
     
0.61
%
     
Financials
   
120,680,364
     
16.13
%
     
Health Care
   
4,442,815
     
0.59
%
     
Technology
   
4,065,720
     
0.54
%
     
Utilities
   
1,752,318
     
0.24
%
     
Total United States (cost $208,810,766)
   
208,804,869
     
27.91
%
     
Total Corporate Bonds (cost $224,810,766)
   
224,819,909
     
30.05
%
                       
     
Government And Agency Obligations
               
     
United States
               
     
U.S. Treasury Bills
               
 
$30,000,000
 
U.S. Treasury Bills Due 01/08/2015*
   
29,999,940
     
4.01
%
 
$50,000,000
 
U.S. Treasury Bills Due 01/22/2015*
   
49,999,150
     
6.69
%
 
$65,100,000
 
U.S. Treasury Bills Due 01/29/2015*
   
65,099,154
     
8.70
%
     
Total Government And Agency Obligations (cost $145,099,645)
   
145,098,244
     
19.40
%
                       
     
Total Fixed Income Securities** (cost $624,026,792)
 
$
624,013,898
     
83.42
%

SHORT TERM INVESTMENTS

Maturity
Face Value
 
Description
 
Fair
Values ($)
   
% of Net
Asset Value
 
 
 
 
Money Market Funds
       
     
United States
       
     
Money Market Funds (cost $1,155,613)
 
$
1,155,613
     
0.15
%
     
Total Short Term Investments (cost $1,155,613)
 
$
1,155,613
     
0.15
%

See Accompanying Notes to Financial Statements.

3

THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2014 (Unaudited)

LONG FUTURES CONTRACTS
 
Description
Fair
Values ($)
 
% of Net
Asset Value
 
Agriculture
 
$
(1,346,863
)
   
(0.18
)%
Energy
   
(335,652
)
   
(0.04
)%
Metals
   
(2,848,076
)
   
(0.38
)%
Stock indices
   
4,970,233
     
0.66
%
Short-term interest rates
   
625,457
     
0.08
%
Long-term interest rates
   
19,470,418
     
2.60
%
Net unrealized gain (loss) on long futures contracts
 
$
20,535,517
     
2.74
%
                 
SHORT FUTURES CONTRACTS
               
Description
Fair
Values ($)
 
% of Net
Asset Value
 
Agriculture
 
$
(63,177
)
   
(0.01
)%
Energy
   
4,393,682
     
0.59
%
Metals
   
4,001,104
     
0.54
%
Stock indices
   
(3,697,200
)
   
(0.49
)%
Short-term interest rates
   
110,779
     
0.01
%
Long-term interest rates
   
(53,213
)
   
(0.01
)%
Net unrealized gain (loss) on short futures contracts
 
$
4,691,975
     
0.63
%
                 
Net unrealized gain (loss) on open futures contracts
 
$
25,227,492
     
3.37
%
                 
FORWARD CURRENCY CONTRACTS
               
Description
Fair
Values ($)
 
% of Net
Asset Value
 
Various long forward currency contracts
 
$
(20,392,128
)
   
(2.72
)%
Various short forward currency contracts
   
35,029,748
     
4.68
%
Net unrealized gain (loss) on open forward currency contracts
 
$
14,637,620
     
1.96
%

* Pledged as collateral for the trading of futures or forward positions.

** Included in fixed income securities are U.S. Treasury Bills with a fair value of $79,999,090 deposited with the futures brokers and $65,099,154 deposited with the interbank market maker.

See Accompanying Notes to Financial Statements.

4

THE CAMPBELL FUND TRUST
STATEMENTS OF FINANCIAL CONDITION
June 30, 2015 and December 31, 2014 (Unaudited)

   
June 30, 2015
   
December 31, 2014
 
ASSETS
       
Equity in futures broker trading accounts
       
Cash
 
$
35,928,575
   
$
83,369,555
 
Restricted cash
   
32,798,642
     
7,319,383
 
Fixed income securities (cost $134,997,219 and $79,999,825, respectively)
   
135,001,020
     
79,999,090
 
Net unrealized gain on open futures contracts
    5,910,623       25,227,492  
Net unrealized loss on open futures contracts
   
(24,060,515
)
   
0
 
Total equity in futures broker trading accounts
   
185,578,345
     
195,915,520
 
                 
Cash
   
35,478,011
     
15,018,667
 
Short term investments (cost $5,913,696 and $1,155,613, respectively)
   
5,913,696
     
1,155,613
 
Fixed income securities (cost $721,316,828 and $544,026,967, respectively)
   
721,440,987
     
544,014,808
 
Net unrealized gain (loss) on open forward currency contracts
   
(9,773,358
)
   
14,637,620
 
Interest receivable
   
985,994
     
864,167
 
Subscription receivable
   
150,000
     
151,900
 
Total assets
 
$
939,773,675
   
$
771,758,295
 
                 
LIABILITIES
               
Accounts payable
 
$
368,510
   
$
222,404
 
Management fee payable
   
2,858,427
     
2,401,684
 
Service fee payable
   
15,703
     
14,988
 
Payable for securities purchased
   
25,908,372
     
0
 
Accrued commissions and other trading fees on open contracts
   
174,631
     
118,330
 
Offering costs payable
   
313,603
     
247,154
 
Performance fee payable
   
0
     
16,846,386
 
Redemptions payable
   
3,132,595
     
3,897,330
 
Total liabilities
   
32,771,841
     
23,748,276
 
                 
UNITHOLDERS' CAPITAL (Net Asset Value)
               
                 
   Series A Units - Redeemable
               
   Managing Operator - 14.925 and 0.000 units outstanding at June 30, 2015 and December 31, 2014
   
42,679
     
0
 
   Other Unitholders - 240,889.269 and 163,776.415 units outstanding at June 30, 2015 and December 31, 2014
   
688,839,593
     
512,679,918
 
   Series B Units - Redeemable
               
   Other Unitholders - 46,199.220 and 47,305.148 units outstanding at June 30, 2015 and December 31, 2014
   
141,499,949
     
158,156,273
 
   Series W Units - Redeemable
               
   Other Unitholders - 24,681.562 and 22,899.655 units outstanding at June 30, 2015 and December 31, 2014
   
76,619,613
     
77,173,828
 
   Total unitholders' capital (Net Asset Value)
   
907,001,834
     
748,010,019
 
                 
   Total liabilities and unitholders' capital (Net Asset Value)
 
$
939,773,675
   
$
771,758,295
 

See Accompanying Notes to Financial Statements.

5

THE CAMPBELL FUND TRUST
STATEMENTS OF OPERATIONS
For the Three and Six Months Ended June 30, 2015 and 2014 (Unaudited)

   
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
   
2015
   
2014
   
2015
   
2014
 
TRADING GAINS (LOSSES)
               
Futures trading gains (losses)
               
Realized
 
$
(82,246,083
)
 
$
27,254,696
   
$
(22,604,194
)
 
$
(21,687,409
)
Change in unrealized
   
(35,554,694
)
   
7,636,700
     
(43,377,384
)
   
(3,402,594
)
Brokerage commissions
   
(1,436,272
)
   
(1,032,234
)
   
(2,399,407
)
   
(2,191,147
)
Net gain (loss) from futures trading
   
(119,237,049
)
   
33,859,162
     
(68,380,985
)
   
(27,281,150
)
                                 
Forward currency trading gains (losses)
                               
Realized
   
15,213,709
     
(7,226,596
)
   
34,867,580
     
(18,226,025
)
Change in unrealized
   
(29,461,116
)
   
3,756,475
     
(24,410,978
)
   
3,175,218
 
Brokerage commissions
   
(89,168
)
   
(65,416
)
   
(168,410
)
   
(144,945
)
Net gain (loss) from forward currency trading
   
(14,336,575
)
   
(3,535,537
)
   
10,288,192
     
(15,195,752
)
                                 
Total net trading gain (loss)
   
(133,573,624
)
   
30,323,625
     
(58,092,793
)
   
(42,476,902
)
                                 
NET INVESTMENT INCOME (LOSS)
                               
Investment income
                               
Interest income
   
817,970
     
475,361
     
1,464,140
     
1,075,715
 
Realized gain (loss) on fixed income securities
   
(2,244
   
(115
)
   
11,633
     
12,865
 
Change in unrealized gain (loss) on fixed income securities
   
(204,674
)
   
27,624
     
140,854
 
   
177,668
 
Total investment income
   
611,052
     
502,870
     
1,616,627
     
1,266,248
 
                                 
Expenses
                               
Management fee
   
8,135,983
     
6,046,805
     
15,892,394
     
12,449,057
 
Service fee
   
47,783
     
31,349
     
99,810
     
84,906
 
Performance fee
   
0
     
0
     
13,671,976
     
0
 
Operating expenses
   
395,614
     
325,842
     
726,870
     
703,000
 
Total expenses
   
8,579,380
     
6,403,996
     
30,391,050
     
13,236,963
 
                                 
Net investment income (loss)
   
(7,968,328
)
   
(5,901,126
)
   
(28,774,423
)
   
(11,970,715
)
                                 
NET INCOME (LOSS)
 
$
(141,541,952
)
 
$
24,422,499
   
$
(86,867,216
)
 
$
(54,447,617
)
                                 
NET INCOME (LOSS) PER MANAGING OPERATOR
   AND OTHER UNITHOLDERS UNIT
   (based on weighted average units outstanding during the period)
                               
Series A
 
$
(519.28
)
 
$
93.24
   
$
(364.42
)
 
$
(210.23
)
Series B
 
$
(522.15
)
 
$
98.72
   
$
(275.98
)
 
$
(224.07
)
Series W
 
$
(513.70
)
 
$
115.13
   
$
(273.00
)
 
$
(185.87
)
                                 
INCREASE (DECREASE) IN NET ASSET VALUE PER OTHER UNITHOLDERS UNIT
                               
Series A
 
$
(490.51
)
 
$
94.02
   
$
(270.79
)
 
$
(207.22
)
Series B
 
$
(520.88
)
 
$
101.31
   
$
(280.50
)
 
$
(209.29
)
Series W
 
$
(516.46
)
 
$
112.13
   
$
(265.76
)
 
$
(197.96
)
                                 
WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
                               
Series A
   
202,381.525
     
172,927.605
     
185,527.524
     
174,787.632
 
Series B
   
46,210.926
     
60,802.312
     
46,483.134
     
62,702.316
 
Series W
   
23,984.328
     
19,947.803
     
23,552.683
     
19,649.982
 

See Accompanying Notes to Financial Statements.
6

THE CAMPBELL FUND TRUST
STATEMENTS OF CASH FLOWS
For the Six Months Ended June 30, 2015 and 2014 (Unaudited)

   
Six Months Ended June 30,
 
   
2015
   
2014
 
Cash flows from (for) operating activities
   
Net income (loss)
 
$
(86,867,216
)
 
$
(54,447,617
)
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
               
Net change in unrealized on futures, forwards and investments
   
67,647,508
     
49,708
 
(Increase) decrease in restricted cash
   
(25,479,259
)
   
0
 
(Increase) decrease in receivable for securities sold
   
0
     
(3,630,000
)
(Increase) decrease in interest receivable
   
(121,827
)
   
307,034
 
Increase (decrease) in payable for securities purchased
   
25,908,372
     
26,984,884
 
Increase (decrease) in accounts payable and accrued expenses
   
(16,186,521
)
   
(295,709
)
Purchases of investments
   
(6,484,752,346
)
   
(8,267,989,414
)
Sales/maturities of investments
   
6,247,707,008
     
8,354,709,645
 
Net cash from (for) operating activities
   
(272,144,281
)
   
55,688,531
 
                 
Cash flows from (for) financing activities
               
Addition of units
   
265,735,626
     
77,054,035
 
Redemption of units
   
(18,950,887
)
   
(113,108,892
)
Offering costs paid
   
(1,622,094
)
   
(1,233,293
)
Net cash from (for) financing activities
   
245,162,645
     
(37,288,150
)
                 
Net increase (decrease) in cash
   
(26,981,636
)
   
18,400,381
 
                 
Unrestricted cash
               
Beginning of period
   
98,388,222
     
60,449,920
 
                 
End of period
 
$
71,406,586
   
$
78,850,301
 
                 
End of period cash consists of:
               
Cash in futures broker trading accounts
 
$
35,928,575
   
$
68,892,725
 
Cash
   
35,478,011
     
9,957,576
 
                 
Total end of period cash
 
$
71,406,586
   
$
78,850,301
 

See Accompanying Notes to Financial Statements.

7

 
THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE)
For the Six Months Ended June 30, 2015 and 2014 (Unaudited)
 

 
Unitholders' Capital - Series A
 
 
Managing Operator
   
Other Unitholders
   
Total
 
 
Units
   
Amount
   
Units
   
Amount
   
Units
   
Amount
 
Six Months Ended June 30, 2015
 
                         
Balances at December 31, 2014
   
0.000
   
$
0
     
163,776.415
   
$
512,679,918
     
163,776.415
   
$
512,679,918
 
                                                 
Net income (loss) for the six months ended June 30, 2015
           
(7,263
)
           
(67,601,851
)
           
(67,609,114
)
Additions
   
14.925
     
50,000
     
80,973.530
     
257,478,800
     
80,988.455
     
257,528,800
 
Redemptions
   
(0.000
)
   
(0
)
   
(3,860.676
)
   
(12,233,495
)
   
(3,860.676
)
   
(12,233,495
)
Offering costs
           
(58
)
           
(1,483,779
)            
(1,483,837
)
Balances at June 30, 2015
   
14.925
   
$
42,679
     
240,889.269
   
$
688,839,593
     
240,904.194
   
$
688,882,272
 
 
Six Months Ended June 30, 2014
 
 
Balances at December 31, 2013
   
0.000
   
$
0
     
171,039.145
   
$
461,894,827
     
171,039.145
   
$
461,894,827
 
                                                 
Net income (loss) for the six months ended June 30, 2014
           
0
 
           
(36,745,775
)
           
(36,745,775
)
Additions
   
0.000
     
0
     
28,460.304
     
71,095,854
     
28,460.304
     
71,095,854
 
Redemptions
   
(0.000
)
   
(0
)
   
(44,130.931
)
   
(107,779,780
)
   
(44,130.931
)
   
(107,779,780
)
Offering costs
           
0
 
            (1,084,911 )            
(1,084,911
)
Balances at June 30, 2014
   
0.000
   
$
0
     
155,368.518
   
$
387,380,215
     
155,368.518
   
$
387,380,215
 


Net Asset Value per Managing Operator and Other Unitholders' Unit - Series A
June 30, 2015
 
December 31, 2014
 
June 30, 2014
 
December 31, 2013
 $
 
2,859.57
   $
 
3,130.36
   $
 
2,493.30
   $
 
2,700.52



See Accompanying Notes to Financial Statements.
 
8

 
THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE)
For the Six Months Ended June 30, 2015 and 2014 (Unaudited)

 
Unitholders' Capital
     
 
Series B - Other Unitholders
   
Series W - Other Unitholders
   
Trust
 
 
Units
   
Amount
   
Units
   
Amount
   
Total Amount
 
Six Months Ended June 30, 2015
     
                   
Balances at December 31, 2014
 
47,305.148
   
$
158,156,273
     
22,899.655
   
$
77,173,828
   
$
748,010,019
 
                                       
Net income (loss) for the six months ended June 30, 2015
         
(12,828,323
)
           
(6,429,779
)
   
(86,867,216
)
Additions
 
470.653
     
1,593,531
     
1,935.232
     
6,611,395
     
265,733,726
 
Redemptions
 
(1,576.581
)
   
(5,421,532
)
   
(153.325
)
   
(531,125
)
   
(18,186,152
)
Offering costs
          0            
(204,706
)
   
(1,688,543
)
Balances at June 30, 2015
 
46,199.220
   
$
141,499,949
     
24,681.562
   
$
76,619,613
   
$
907,001,834
 
         
Six Months Ended June 30, 2014
         
         
Balances at December 31, 2013
 
65,305.174
   
$
183,670,839
     
18,995.779
   
$
54,538,929
   
$
700,104,595
 
                                       
Net income (loss) for the six months ended June 30, 2014
         
(14,049,501
)
           
(3,652,341
)
   
(54,447,617
)
Additions
 
120.756
     
309,940
     
1,987.597
     
5,274,249
     
76,680,043
 
Redemptions
 
(11,611.565
)
   
(29,841,207
)
   
(1,094.145
)
   
(2,863,727
)
   
(140,484,714
)
Offering costs
          0              
(130,137
)
   
(1,215,048
)
Balances at June 30, 2014
 
53,814.365
   
$
140,090,071
     
19,889.231
   
$
53,166,973
   
$
580,637,259
 


Net Asset Value per Other Unitholders' Unit - Series B
June 30, 2015
 
December 31, 2014
 
June 30, 2014
 
December 31, 2013
 $
 
3,062.82
   $
 
3,343.32
   $
 
2,603.21
   $
 
2,812.50
 
Net Asset Value per Other Unitholders' Unit - Series W
June 30, 2015
 
December 31, 2014
 
June 30, 2014
 
December 31, 2013
 $
 
3,104.33
   $
 
3,370.09
   $
 
2,673.15
   $
 
2,871.11


See Accompanying Notes to Financial Statements.

9

THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three and Six Months Ended June 30, 2015 and 2014
(Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series A units for the three and six months ended June 30, 2015 and 2014. This information has been derived from information presented in the unaudited financial statements.

   
Series A
 
   
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
   
2015
   
2014
   
2015
   
2014
 
Per Unit Performance
               
(for a unit outstanding throughout the entire period)
               
                 
Net asset value per unit at beginning of period
 
$
3,350.08
   
$
2,399.28
   
$
3,130.36
   
$
2,700.52
 
                                 
Income (loss) from operations:
                               
Total net trading gains (losses) (1)
   
(456.72
)
   
120.87
     
(151.19
)
   
(153.50
Net investment income (loss) (1)
   
(29.95
)
   
(23.79
)
   
(111.60
)
   
(47.51
)
                                 
Total net income (loss) from operations
   
(486.67
)
   
97.08
     
(262.79
)
   
(201.01
                                 
Offering costs (1)
   
(3.84
)
   
(3.06
)
   
(8.00
)
   
(6.21
)
                                 
Net asset value per unit at end of period
 
$
2,859.57
   
$
2,493.30
   
$
2,859.57
   
$
2,493.30
 
                                 
Total Return (4)
   
(14.64
)%
   
3.92
%
   
(8.65
)%
   
(7.67
)%
                                 
Supplemental Data
                               
                                 
Ratios to average net asset value:
                               
Expenses prior to performance fee (3)
   
3.94
%
   
4.31
%
   
4.06
%
   
4.22
%
Performance fee (4)
   
0.00
%
   
0.00
%
   
1.55
%
   
0.00
%
                                 
Total expenses
   
3.94
%
   
4.31
%
   
5.61
%
   
4.22
%
                                 
Net investment income (loss) (2,3)
   
(3.68
)%
   
(3.98
)%
   
(3.69
)%
   
(3.83
)%

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.
10

THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three and Six Months Ended June 30, 2015 and 2014
(Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series B units for the three and six months ended June 30, 2015 and 2014. This information has been derived from information presented in the unaudited financial statements.

   
Series B
 
   
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
   
2015
   
2014
   
2015
   
2014
 
Per Unit Performance
               
(for a unit outstanding throughout the entire period)
               
                 
Net asset value per unit at beginning of period
 
$
3,583.70
   
$
2,501.90
   
$
3,343.32
   
$
2,812.50
 
                                 
Income (loss) from operations:
                               
Total net trading gains (losses) (1)
   
(488.80
)
   
126.14
     
(155.78
)
   
(159.75
)
Net investment income (loss) (1)
   
(32.08
)
   
(24.83
)
   
(124.72
)
   
(49.54
)
                                 
Total net income (loss) from operations
   
(520.88
)
   
101.31
     
(280.50
)
   
(209.29
)
                                 
Net asset value per unit at end of period
 
$
3,062.82
   
$
2,603.21
   
$
3,062.82
   
$
2,603.21
 
                                 
Total Return (4)
   
(14.53
)%
   
4.05
%
   
(8.39
)%
   
(7.44
)%
                                 
Supplemental Data
                               
                                 
Ratios to average net asset value:
                               
Expenses prior to performance fee (3)
   
4.10
%
   
4.30
%
   
4.23
%
   
4.23
%
Performance fee (4)
   
0.00
%
   
0.00
%
   
1.76
%
   
0.00
%
                                 
Total expenses
   
4.10
%
   
4.30
%
   
5.99
%
   
4.23
%
                                 
Net investment income (loss) (2,3)
   
(3.81
)%
   
(3.98
)%
   
(3.82
)%
   
(3.83
)%

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.
11

THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three and Six Months Ended June 30, 2015 and 2014
(Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series W units for the three and six months ended June 30, 2015 and 2014. This information has been derived from information presented in the unaudited financial statements.

   
Series W
 
   
Three Months Ended
June 30,
   
Six Months Ended
June 30,
 
   
2015
   
2014
   
2015
   
2014
 
Per Unit Performance
               
(for a unit outstanding throughout the entire period)
               
                 
Net asset value per unit at beginning of period
 
$
3,620.79
   
$
2,561.02
   
$
3,370.09
   
$
2,871.11
 
                                 
Income (loss) from operations:
                               
Total net trading gains (losses) (1)
   
(494.55
)
   
129.33
     
(160.59
)
   
(162.80
)
Net investment income (loss) (1)
   
(17.74
)
   
(13.93
)
   
(96.48
)
   
(28.54
)
                                 
Total net income (loss) from operations
   
(512.29
)
   
115.40
     
(257.07
)
   
(191.34
)
                                 
Offering costs (1)
   
(4.17
)
   
(3.27
)
   
(8.69
)
   
(6.62
)
                                 
Net asset value per unit at end of period
 
$
3,104.33
   
$
2,673.15
   
$
3,104.33
   
$
2,673.15
 
                                 
Total Return (4)
   
(14.26
)%
   
4.38
%
   
(7.89
)%
   
(6.89
)%
                                 
Supplemental Data
                               
                                 
Ratios to average net asset value:
                               
Expenses prior to performance fee (3)
   
2.37
%
   
2.47
%
   
2.44
%
   
2.51
%
Performance fee (4)
   
0.00
%
   
0.00
%
   
1.78
%
   
0.00
%
                                 
Total expenses
   
2.37
%
   
2.47
%
   
4.22
%
   
2.51
%
                                 
Net investment income (loss) (2,3)
   
(2.08
)%
   
(2.15
)%
   
(2.04
)%
   
(2.13
)%

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
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2015 (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.

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 6 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.

These financial statements should be read in conjunction with the financial statements and notes thereto included in the Trust's Annual Report on Form 10-K filed with the SEC for the year ended December 31, 2014. All adjustments of a normal recurring nature considered necessary for a fair presentation have been included.

The Trust meets the definition of an investment company according to the provisions of Financial Accounting Standards Board ("FASB") Accounting Standards Update ("ASU") 2013-08, Financial Services - Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements.

Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated and are determined using the specific identification method. 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 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 fixed income investments are marked to market on the last business day of the reporting period by the Administrator 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. Premiums and discounts on fixed income securities are amortized and accreted for financial reporting purposes.

The short term investments represent cash held at the custodian and invested overnight in a money market fund.

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.

13

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2015 (Unaudited)
D.    Fair Value

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.

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 June 30, 2015 and December 31, 2014 and for the periods ended June 30, 2015 and 2014, the Trust did not have any Level 3 assets or liabilities.

The following tables set forth by level within the fair value hierarchy the Trust's investments accounted for at fair value on a recurring basis as of June 30, 2015 and December 31, 2014.

   
Fair Value at June 30, 2015
 
Description
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments
               
Short term investments
 
$
5,913,696
   
$
0
   
$
0
   
$
5,913,696
 
Fixed income securities
   
0
     
856,442,007
     
0
     
856,442,007
 
                                 
Other Financial Instruments
                               
Exchange-traded futures contracts
   
(18,149,892
)
   
0
     
0
     
(18,149,892
)
Forward currency contracts
   
0
     
(9,773,358
)
   
0
     
(9,773,358
)
Total
 
$
(12,236,196
)
 
$
846,668,649
   
$
0
   
$
834,432,453
 

   
Fair Value at December 31, 2014
 
Description
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments
               
Short term investments
 
$
1,155,613
   
$
0
   
$
0
   
$
1,155,613
 
Fixed income securities
   
0
     
624,013,898
     
0
     
624,013,898
 
                                 
Other Financial Instruments
                               
Exchange-traded futures contracts
   
25,227,492
     
0
     
0
     
25,227,492
 
Forward currency contracts
   
0
     
14,637,620
     
0
     
14,637,620
 
Total
 
$
26,383,105
   
$
638,651,518
   
$
0
   
$
665,034,623
 

The Trust recognizes transfers between fair value hierarchy levels at the beginning of the reporting period. There were no transfers to or from Level 1 to Level 2 for the period ended June 30, 2015 or the year ended December 31, 2014.

The gross presentation of the fair value of the Trust's derivatives by instrument type is shown in Note 10. See the Condensed Schedules of Investments for additional detail categorization.

14

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2015 (Unaudited)
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. There are no tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Trust files federal and state tax returns. The 2011 through 2014 tax years remain subject to examination by the U.S. federal and most state tax authorities.

F. Offering Costs

Campbell & Company, LP ("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.

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 June 30, 2015 and December 31, 2014, the amount of unreimbursed offering costs incurred by Campbell & Company is $3,409,603 and $3,131,579 for Series A units and $618,587 and $603,683 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.

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.

15

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2015 (Unaudited)
 
Effective December 2, 2014, Campbell & Company, Inc. changed its name and form of entity to Campbell & Company, LP. Campbell & Company refers to either Campbell & Company, Inc. or Campbell & Company, LP depending on the applicable period discussed.

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.  ADMINISTRATOR

SEI Investments Global Fund Services ("SEI") was the Administrator of the Trust from August 1, 2012 through December 31, 2014. Northern Trust Hedge Fund Services LLC became the Administrator of the Trust, effective January 1, 2015. The Administrator receives fees at rates agreed upon between the Trust and the Administrator and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties. The Administrator's primary responsibilities are portfolio accounting and fund accounting services.

Note 5.  CASH MANAGER AND CUSTODIAN

Prior to March 2014, Horizon Cash Management, LLC served as the cash manager under the Investment Advisory Agreement to manage and control the liquid assets of the Trust. In February 2014, the Trust signed an agreement with PNC Capital Advisors, LLC to replace Horizon Cash Management, LLC as the cash manager for the Trust effective March 1, 2014. Both Horizon Cash Management, LLC was and PNC Capital Advisors, LLC is registered as investment advisers 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 6.  SERVICE FEE

Effective March 2014, the selling firms who sell Series W units receive a monthly  service fee equal to 1/12 of 0.25% of the month-end Net Asset Value (as defined) of the Series W units, totaling approximately 0.25% per year. Prior to March 2014, the service fee was equal to 1/12 of 0.50% of the month-end Net Asset Value (as defined) of the Series W units, totaling approximately 0.50% per year.

Note 7.  DEPOSITS WITH FUTURES BROKERS

The Trust deposits assets with UBS Securities LLC and Goldman, Sachs & Co. as the futures brokers, 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 brokers. The Trust typically earns interest income on its assets deposited with the futures brokers. The Trust began trading futures contracts with Goldman, Sachs & Co. on August 1, 2014.

Note 8.  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 Swaps and Derivatives Association Master Agreement ("ISDA 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 June 30, 2015. 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.

16

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2015 (Unaudited)
 
Note 9.  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 six months ended June 30, 2015 and 2014, Campbell & Company received redemption fees of $13,147 and $240,147, respectively.

Note 10.  TRADING ACTIVITIES AND RELATED RISKS

The Trust engages in the speculative trading of U.S. and foreign futures contracts and forward currency contracts (collectively, "derivatives"). Specifically, the Trust trades a portfolio focused on financial futures, which are instruments designed to hedge changes in interest rates, currency exchange rates, stock index values, 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.

Market Risk

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. 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.

17

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2015 (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 June 30, 2015 and December 31, 2014 is as follows:

Type of Instrument *
Statements of Financial
Condition Location
 
Asset
Derivatives at
June 30, 2015
Fair Value
   
Liability
Derivatives at
June 30, 2015
Fair Value
   
Net
 
Agriculture Contracts
Net unrealized gain/loss on open futures contracts
 
$
4,038,134
   
$
(16,040,164
)
 
$
(12,002,030
)
Energy Contracts
Net unrealized gain/loss on open futures contracts
   
240,059
     
(1,410,667
)
   
(1,170,608
)
Metal Contracts
Net unrealized gain/loss on open futures contracts
   
14,413,446
     
(13,117,100
)
   
1,296,346
 
Stock Indices Contracts
Net unrealized gain/loss on open futures contracts
   
4,869,950
     
(9,510,734
)
   
(4,640,784
)
Short-Term Interest Rate Contracts
Net unrealized gain/loss on open futures contracts
   
2,213,692
     
(518,506
)
   
1,695,186
 
Long-Term Interest Rate Contracts
Net unrealized gain/loss on open futures contracts
   
2,380,449
     
(5,708,451
)
   
(3,328,002
)
Forward Currency Contracts
Net unrealized gain (loss) on open forward currency contracts
   
29,325,125
     
(39,098,483
)
   
(9,773,358
)
Totals
   
$
57,480,855
   
$
(85,404,105
)
 
$
(27,923,250
)

* Derivatives not designated as hedging instruments under ASC 815

Type of Instrument *
Statements of Financial
Condition Location
 
Asset
Derivatives at
December 31, 2014
Fair Value
   
Liability
Derivatives at
December 31, 2014
Fair Value
   
Net
 
Agriculture Contracts
Net unrealized gain/loss on open futures contracts
 
$
2,437,817
   
$
(3,847,857
)
 
$
(1,410,040
)
Energy Contracts
Net unrealized gain/loss on open futures contracts
   
4,487,874
     
(429,844
)
   
4,058,030
 
Metal Contracts
Net unrealized gain/loss on open futures contracts
   
4,750,075
     
(3,597,047
)
   
1,153,028
 
Stock Indices Contracts
Net unrealized gain/loss on open futures contracts
   
8,241,753
     
(6,968,720
)
   
1,273,033
 
Short-Term Interest Rate Contracts
Net unrealized gain/loss on open futures contracts
   
1,244,367
     
(508,131
)
   
736,236
 
Long-Term Interest Rate Contracts
Net unrealized gain/loss on open futures contracts
   
19,640,395
     
(223,190
)
   
19,417,205
 
Forward Currency Contracts
Net unrealized gain (loss) on open forward currency contracts
   
40,240,885
     
(25,603,265
)
   
14,637,620
 
Totals
   
$
81,043,166
   
$
(41,178,054
)
 
$
39,865,112
 

* Derivatives not designated as hedging instruments under ASC 815

18

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2015 (Unaudited)
 
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 June 30, 2015 and 2014 is as follows:

Type of Instrument
 
Trading Gains (Losses) for
the Three Months Ended
June 30, 2015
   
Trading Gains (Losses) for
the Three Months Ended
June 30, 2014
 
Agriculture Contracts
 
$
(25,488,967
)
 
$
(2,157,719
)
Energy Contracts
   
(24,273,764
)
   
(3,306,253
)
Metal Contracts
   
(11,915,459
)
   
1,541,064
 
Stock Indices Contracts
   
(17,266,824
)
   
18,439,489
 
Short-Term Interest Rate Contracts
   
(541,943
)
   
(5,902,373
)
Long Term Interest Rate Contracts
   
(38,559,267
)
   
26,264,340
 
Forward Currency Contracts
   
(14,247,407
)
   
(3,470,121
)
Total
 
$
(132,293,631
)
 
$
31,408,427
 

Type of Instrument
 
Trading Gains (Losses) for
the Six Months Ended
June 30, 2015
   
Trading Gains (Losses) for
the Six Months Ended
June 30, 2014
 
Agriculture Contracts
 
$
(20,189,072
)
 
$
(1,883,361
)
Energy Contracts
   
(23,261,967
)
   
(17,136,078
)
Metal Contracts
   
(14,957,583
)
   
(13,632,742
)
Stock Indices Contracts
   
5,141,005
     
(14,357,312
)
Short-Term Interest Rate Contracts
   
(2,596,396
)
   
(8,153,339
)
Long Term Interest Rate Contracts
   
(10,066,969
)
   
30,067,400
 
Forward Currency Contracts
   
10,456,602
     
(15,050,807
)
Total
 
$
(55,474,380
)
 
$
(40,146,239
)

Line Item in the Statement of Operations
 
Trading Gains (Losses) for
the Three Months Ended
June 30, 2015
   
Trading Gains (Losses) for
the Three Months Ended
June 30, 2014
 
Futures trading gains (losses):
       
Realized**
 
$
(82,491,530
)
 
$
27,241,848
 
Change in unrealized
   
(35,554,694
)
   
7,636,700
 
Forward currency trading gains (losses):
               
Realized
   
15,213,709
     
(7,226,596
)
Change in unrealized
   
(29,461,116
)
   
3,756,475
 
Total
 
$
(132,293,631
)
 
$
31,408,427
 

Line Item in the Statement of Operations
 
Trading Gains (Losses) for
the Six Months Ended
June 30, 2015
   
Trading Gains (Losses) for
the Six Months Ended
June 30, 2014
 
Futures trading gains (losses):
       
Realized**
 
$
(22,553,598
)
 
$
(21,692,838
)
Change in unrealized
   
(43,377,384
)
   
(3,402,594
)
Forward currency trading gains (losses):
               
Realized
   
34,867,580
     
(18,226,025
)
Change in unrealized
   
(24,410,978
)
   
3,175,218
 
Total
 
$
(55,474,380
)
 
$
(40,146,239
)

** 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 June 30, 2015 and 2014, the monthly average of futures contracts bought and sold was approximately 120,900 and 86,100, respectively, and the monthly average of notional value of forward currency contracts was $5,637,100,000 and $5,623,600,000, respectively.

For the six months ended June 30, 2015 and 2014, the monthly average of futures contracts bought and sold was approximately 103,200 and 91,100, respectively, and the monthly average of notional value of forward currency contracts was $5,158,900,000 and $6,199,400,000, respectively.

Open contracts generally mature within three months; as of June 30, 2015, the latest maturity date for open futures contracts is September 2016 and the latest maturity date for open forward currency contracts is September 2015. However, the Trust intends to close all futures and forward currency contracts prior to maturity.
 
 
19

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2015 (Unaudited)
Credit Risk

The Trust trades futures contracts on exchanges that require 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 futures 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 Trust trades forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with 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 contracts typically involves delayed cash settlement.

Under the terms of the ISDA Agreement with RBS, upon the designation of an Event of Default, as defined in the ISDA Agreement, the non-defaulting party may set-off any sum or obligation owed by the defaulting party to the non-defaulting party against any sum or obligation owed by the non-defaulting party to the defaulting party. If any sum or obligation is unascertained, the non-defaulting party may in good faith estimate that sum or obligation and set-off in respect to that estimate, accounting to the other party when such sum or obligation is ascertained.

Under the terms of each of the master netting agreement with UBS Securities and Goldman Sachs, upon occurrence of a default by the Trust, as defined in respective account documents, UBS Securities and Goldman Sachs have the right to close out any or all open contracts held in the Trust's account; sell any or all of the securities held; and borrow or buy any securities, contracts or other property for the Trust's account. The Trust would be liable for any deficiency in its account resulting from such transactions.

The amount of required margin and good faith deposits with the futures broker and interbank market maker usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at June 30, 2015 and December 31, 2014 was $200,748,456 and $145,098,244, respectively, which equals 22% and 19% of Net Asset Value, respectively. The cash deposited with the interbank market maker at June 30, 2015 and December 31, 2014 was $13,270,296 and $62,823, respectively, which equals 1% and 0% of Net Asset Value, respectively. These amounts are included in cash. Included in cash deposits with the broker and interbroker market maker at June 30, 2015 and December 31, 2014 was restricted cash for margin requirements of $32,798,642 and $7,319,383, respectively, which equals 4% and 1 % of Net Asset Value, respectively.
 
Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the Statements of Financial Condition and instruments and transactions that are subject to an agreement similar to a master netting agreement as well as amounts related to financial collateral (including U.S. Treasury Bills and cash collateral) held at clearing brokers and counterparties. Margin reflected in the Collateral tables is limited to the net amount of unrealized loss at each counterparty. Actual margin amounts required at each counterparty are based on the notional amounts or the number of contracts outstanding and may exceed the margin presented in the Collateral tables.

Offsetting of Derivative Assets
 
As of June 30, 2015
       
Type of Instrument
Counterparty
Gross Amount of Recognized Assets
 
Gross Amounts Offset in the Statements of Financial Condition
 
Net Amount of Unrealized Gain Presented in the
Statements of Financial Condition
 
Futures contracts
UBS Securities LLC
$
 
9,657,546
  $
 
(9,657,546
)
$
 
0
 
Futures contracts
Goldman Sachs
   
18,498,184
     
(12,587,561
)
   
5,910,623
 
Forward currency contracts
Royal Bank of Scotland
   
29,325,125
     
(29,325,125
)
   
0
 
Total derivatives
  $
 
57,480,855
  $
 
(51,570,232
)
$
 
5,910,623
 

Derivatives Assets and Collateral Received by Counterparty
 
As of June 30, 2015
     
   
Gross Amounts Not Offset in the Statements of Financial Condition
   
Counterparty
Net Amount of Unrealized Gain in the Statements of Financial Condition
 
Financial Instruments
 
Cash Collateral Received
 
Net Amount
 
UBS Securities LLC
$
 
0
 
$
 
0
  $
 
0
  $
 
0
 
Goldman Sachs
   
5,910,623
      0       0      
5,910,623
 
Royal Bank of Scotland
   
0
 
   
0
     
0
     
0
 
Total
 
5,910,623
 
$
 
0
  $
 
0
 
 
5,910,623
 

Offsetting of Derivative Liabilities
 
As of June 30, 2015
       
Type of Instrument
Counterparty
Gross Amount of Recognized Liabilities
 
Gross Amounts Offset in the Statements of Financial Condition
 
Net Amount of Unrealized Loss Presented in the
Statements of Financial Condition
 
Futures contracts
UBS Securities LLC
$
 
33,718,061
  $
 
(9,657,546
)
$
 
24,060,515
 
Futures contracts
Goldman Sachs
   
12,587,561
     
(12,587,561
)
   
0
 
Forward currency contracts
Royal Bank of Scotland
   
39,098,483
     
(29,325,125
)
   
9,773,358
 
Total derivatives
  $
 
85,404,105
  $
 
(51,570,232
)
$
 
33,833,873
 
Derivatives Liabilities and Collateral Pledged by Counterparty
 
As of June 30, 2015
     
   
Gross Amounts Not Offset in the Statements of Financial Condition
   
Counterparty
Net Amount of Unrealized Loss in the Statements of Financial Condition
 
Financial Instruments
 
Cash Collateral Pledged
 
Net Amount
 
UBS Securities LLC
$
 
24,060,515
  $
 
0
  $
 
(24,060,515
)
 
0
 
Goldman Sachs
   
0
     
0
     
0
     
0
 
Royal Bank of Scotland
   
9,773,358
   
0
     
(9,773,358
)    
0
Total
$
 
33,833,873
  $
 
0
  $
 
(33,833,873
 
0
20

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2015 (Unaudited)
Offsetting of Derivative Assets
 
As of December 31, 2014
       
Type of Instrument
Counterparty
Gross Amount of Recognized Assets
 
Gross Amounts Offset in the Statements of Financial Condition
 
Net Amount of Unrealized Gain Presented in the
Statements of Financial Condition
 
Futures contracts
UBS Securities LLC
$
 
32,807,932
  $
 
(7,988,622
)
$
 
24,819,310
 
Futures contracts
Goldman Sachs
   
7,994,349
     
(7,586,167
)
   
408,182
 
Forward currency contracts
Royal Bank of Scotland
   
40,240,885
     
(25,603,265
)
   
14,637,620
 
Total derivatives
  $
 
81,043,166
  $
 
(41,178,054
)
$
 
39,865,112
 
 
Derivatives Assets and Collateral Received by Counterparty
 
As of December 31, 2014
     
   
Gross Amounts Not Offset in the Statements of Financial Condition
   
Counterparty
Net Amount of Unrealized Gain in the Statements of Financial Condition
 
Financial Instruments
 
Cash Collateral Received
 
Net Amount
 
UBS Securities LLC
$
 
24,819,310
  $
 
0
  $
 
0
  $
 
24,819,310
 
Goldman Sachs
   
408,182
      0       0      
408,182
 
Royal Bank of Scotland
   
14,637,620
     
0
     
0
     
14,637,620
 
Total
$
 
39,865,112
  $
 
0
  $
 
0
  $
 
39,865,112
 

Offsetting of Derivative Liabilities
 
As of December 31, 2014
       
Type of Instrument
Counterparty
Gross Amount of Recognized Liabilities
 
Gross Amounts Offset in the Statements of Financial Condition
 
Net Amount of Unrealized Loss Presented in the
Statements of Financial Condition
 
Futures contracts
UBS Securities LLC
$
 
7,988,622
  $
 
(7,988,622
)
$
 
0
 
Futures contracts
Goldman Sachs
   
7,586,167
     
(7,586,167
)
   
0
 
Forward currency contracts
Royal Bank of Scotland
   
25,603,265
     
(25,603,265
)
   
0
 
Total derivatives
  $
 
41,178,054
  $
 
(41,178,054
)
$
 
0
 

Derivatives Liabilities and Collateral Pledged by Counterparty
 
As of December 31, 2014
     
   
Gross Amounts Not Offset in the Statements of Financial Condition
   
Counterparty
Net Amount of Unrealized Loss in the Statements of Financial Condition
 
Financial Instruments
 
Cash Collateral Pledged
 
Net Amount
 
UBS Securities LLC
$
 
0
  $
 
0
  $
 
0
  $
 
0
 
Goldman Sachs
   
0
     
0
     
0
     
0
 
Royal Bank of Scotland
   
0
     
0
     
0
     
0
 
Total
$
 
0
  $
 
0
  $
 
0
  $
 
0
 
 
 
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 11.  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 12.  INTERIM FINANCIAL STATEMENTS

The statements of financial condition, including the condensed schedules of investments, as of June 30, 2015 and December 31, 2014, the statements of operations and financial highlights for the three and six months ended June 30, 2015 and 2014, and the statements of cash flows and changes in unitholders' capital (Net Asset Value) for the six months ended June 30, 2015 and 2014 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 June 30, 2015 and December 31, 2014, the results of operations and financial highlights for the three and six months ended June 30, 2015 and 2014, and cash flows and changes in unitholders' capital (Net Asset Value) for the six months ended June 30, 2015 and 2014.

Note 13.  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.

21

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, LP, the managing operator of the Trust. Specifically, the Trust trades in a diverse array of global assets, including global interest rates, stock indices, currencies 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 June 30, 2015, the aggregate capitalization of the Trust was $907,001,834 with Series A, Series B and Series W comprising $688,882,272, $141,499,949 and $76,619,613, respectively, of the total. The Net Asset Value per Unit was $2,859.57 for Series A, $3,062.82 for Series B, and $3,104.33 for Series W.

Critical Accounting Policies

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of 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 (i.e., forward contracts which are traded in the inter-bank market).

Capital Resources

The Trust will raise additional capital only through the sale of Units offered pursuant to the continuing offering, and does not intend to raise any capital through borrowing. Due to the nature of the Trust's business, it will make no capital expenditures and will have no capital assets which are not operating capital or assets.

The Trust maintains 60-75% of its net asset value in cash, cash equivalents or other liquid positions in its cash management program over and above that needed to post as collateral for trading. These funds are available to meet redemptions each month. After redemptions and additions are taken into account each month, the trade levels of the Trust are adjusted and positions in the instruments the Trust trades are added or liquidated on a pro-rata basis to meet those increases or decreases in trade levels.

22

Liquidity

Most United States futures exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as "daily price fluctuation limits" or "daily limits." During a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Similar occurrences could prevent the Trust from promptly liquidating unfavorable positions and subject the Trust to substantial losses which could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Trust may not be able to execute futures trades at favorable prices, if little trading in such contracts is taking place. Other than these limitations on liquidity, which are inherent in the Trust's futures trading operations, the Trust's assets are expected to be highly liquid.

The entire offering proceeds, without deductions, will be credited to the Trust's bank, custodial and/or cash management accounts. The Trust meets margin requirements for its trading activities by depositing cash and U.S. government securities with the futures broker and the over-the-counter counterparty. This does not reduce the risk of loss from trading 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 15% to 25% of the Trust's assets normally are committed as required margin for futures contracts and held by the futures broker, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury Bills in segregated accounts with the futures broker pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 10% to 15% of the Trust's assets are deposited with the over-the-counter counterparty in order to initiate and maintain forward contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparty.

The managing operator deposits the majority of those assets of the Trust that are not required to be deposited as margin with the futures brokers and over-the-counter counterparties in a custodial account with Northern Trust Company. The assets deposited in the custodial account with Northern Trust Company are segregated. Such custodial account constitutes approximately 60% to 75% of the Trust's assets and are invested directly by PNC Capital Advisors, LLC ("PNC"). PNC is registered with the SEC as an investment adviser under the Investment Advisers Act of 1940. PNC does not guarantee any interest or profits will accrue on the Trust's assets in the custodial account. PNC invest the assets according to agreed upon investment guidelines that first preserve capital, second allow for sufficient liquidity, and third provide a yield beyond the risk-free rate. Investments can include, but are not limited to, (i) U.S. Government Securities, Government Agency Securities, Municipal Securities, banker acceptances and certificates of deposits; (ii) commercial paper; (iii) short-term investment grade corporate debt; and (iv) Asset Backed Securities.

The Trust occasionally receives margin calls (requests to post more collateral) from its futures broker or over-the-counter counterparty, 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 and forward contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Trust, market risk, that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Trust at the same time, and if the Trust's trading advisor was unable to offset futures interests positions of the Trust, the Trust could lose all of its assets and the Unitholders would realize a 100% loss. Campbell & Company, the managing operator (who also acts as trading advisor), minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30% however, these precautions may not be effective in limiting the risk of loss.

In addition to market risk, in entering into futures and forward 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.

23

In the case of forward contracts, which are traded on the interbank market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a group of financial institutions; thus there may be a greater counterparty credit risk. Campbell & Company trades for the Trust only with those counterparties which it believes to be creditworthy. All positions of the Trust are valued each day 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. 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.

Results of Operations

The returns for Series A for the six months ended June 30, 2015 and 2014 were (8.65)% and (7.67)%. The returns for Series B for the six months ended June 30, 2015 and 2014 were (8.39)% and (7.44)%, respectively. The returns for Series W for the six months ended June 30, 2015 and 2014 were (7.89)% and (6.89)%, respectively.

2015 (For the Six Months Ending June 30)

Of the 2015 year-to-date decrease of (8.65)% for Series A, approximately (4.43)% was due to trading losses (before commissions) and approximately (4.42)% due to brokerage fees, management fees, performance fees, operating costs and offering costs, offset by approximately 0.20% due to investment income earned by Series A.

Of the 2015 year-to-date decrease of (8.39)% for Series B, approximately (4.43)% was due to trading losses (before commissions) and approximately (4.16)% due to brokerage fees, management fees, performance fees and operating costs, offset by approximately  0.20% due to investment income earned by Series B.

Of the 2015 year-to-date decrease of (7.89)% for Series W, approximately (4.43)% was due to trading losses (before commissions) and approximately (3.66)% due to brokerage fees, management fees, performance fees, service fees, operating costs and offering costs, offset by approximately 0.20% due to investment income earned by Series W.

During the six months ended June 30, 2015, the Trust accrued management fees in the amount of $15,892,394 and paid management fees in the amount of $15,435,651. Performance fees were accrued in the amount of $13,671,976 and paid in the amount of $30,518,362.

An analysis of the (4.43)% gross trading losses for the Trust for the six months ended June 30, 2015 by sector is as follows:

Sector
% Gain (Loss)
Commodities
 
(6.28)
%
Currencies
 
1.49
Interest Rates
 
(0.90)
Stock Indices
 
1.26
   
(4.43)
%

24

The Trust had a strong start to 2015 with gains during January in all sectors - interest rates, commodities, foreign exchange, and stock indices. The largest gains for January came from long global interest rate positions driven by the trend-following strategies as interest rate products rallied during the month. Widespread deflationary concerns and slowing economic growth led to extraordinary central bank actions during the month. The European Central Bank (ECB) exceeded market expectations with their quantitative easing (QE) package and over ten other central banks eased financial conditions as well. Commodity positions were another source of profits during the month. Trend following strategies showed gains while non-trend programs produced some offsetting losses. Short energy exposure was one of the best performing sub-sectors as the sell-off across the energy complex continued unabated. Both WTI and Brent each lost more than 8% during the month. In the industrial metal sub-sector, short copper positioning was also a winner as slowing demand and growing inventories sent the price to a five year low. Precious metals produced the largest offsetting losses as shorts on silver and gold suffered from flight to safety buying during the month. Foreign exchange contributed additional gains, driven by the trend following systems. Long positioning in the U.S. dollar proved profitable, especially versus short the Canadian dollar and the euro. The Canadian central bank unexpectedly cut interest rates pushing their currency sharply lower. The ECB announced a larger than expected QE package that sent the euro down to levels not seen since 2003. Some offsetting losses were experienced in short Swiss franc positioning when the Swiss National Bank shocked global markets by suddenly removing its three-year old peg to the euro which sent the franc sharply higher. Stock index positioning from the trend following systems showed small additional gains during the month. Gains were found from long positioning in Europe and Canada where central bank easing provided a boost to equities in those regions.

February for the Trust comprised of losses in commodities, interest rates, and foreign exchange offset gains from stock indices. The largest losses came from short commodity positions driven by both trend-following and non-trend following strategies. Short energy exposure was one of the worst performing sub-sectors as the crude complex experienced a significant bounce during the month after a sharp six-month sell-off. Signs of falling production, refinery disruptions, and cold weather helped to squeeze prices higher. Grain positions added to losses as short positions in corn and wheat were hurt by stronger export sales. Some offsetting gains were found in the soft commodities. A short position in coffee experienced profits as improving weather in Brazil boosted prospects for an abundant harvest which weighed heavily on the product. Interest rate positions were another source of losses during the month. Trend following strategies showed declines while non-trend programs produced some offsetting gains. Long positioning within the United States and the United Kingdom produced some of the largest losses as better economic data, improving inflation trends, and less dovish central bank comments pressured markets lower. Foreign exchange contributed small additional losses. Short positioning on the British pound versus the U.S. dollar suffered from hawkish U.K. central bank comments on the back of stronger than expected economic data. Some offsetting gains came from short euro and short yen positions, both versus the U.S. dollar, as diverging central bank policy paths continue to provide opportunity for our strategies. Stock index positioning from both trend following and non-trend following systems showed strong gains during the month. Global profits were found from long positioning in the U.S., Japan, Australia, Europe, and Canada as a bounce in oil prices alleviated some fears around a global growth slowdown. Pockets of stronger than expected economic data linked with a tentative resolution to the Greek geopolitical crisis fed the risk-on sentiment for stocks.

Gains in foreign exchange and commodities led to a profitable March for the Trust as profits from foreign exchange, commodity, and interest rate holdings all contributed while stock index positions produced some offsetting losses during the month. The largest profits for March were provided by foreign exchange positions from both trend following and non-trend strategies. Short euro positioning versus the U.S. dollar was one of the best performing holdings. The euro continued to trade lower as the European Central Bank's unprecedented monetary stimulus contrasted sharply with the U.S. Federal Reserve, which many expect to raise interest rates later this year. The euro was also pressured lower as Greece struggles to secure bailout funds and avert a default. Other gains came from short positioning on several commodity currencies as the price of oil resumed its downward trend pulling those markets lower. Commodities were another source of profits during the month. Short positioning across the energy complex proved profitable as the sell-off in those markets began again amid new signs of global oversupply. A potential political agreement with Iran also threatened to dump even more supply on the already saturated market if Western sanctions are scaled back. Soft commodities were another source of gains. Short positioning on sugar and coffee produced profits as favorable growing weather increased expectations for plentiful supplies of those commodities. Small additional gains came from interest rate positions. Long positioning across long-dated global instruments continues to be the theme for positioning within this sector. Losses in Japan and Germany were more than offset by gains experienced in the United States, Australia, the United Kingdom, and Canada. Global stock indexes showed losses from both trend and non-trend strategies. Global stocks were mixed during March as some gains in Europe, helped by the ECB's quantitative easing program, were offset by losses in the U.S., U.K., Canada, and Australia hampered by a stronger U.S. dollar and falling global commodity prices.
 
25

The Trust showed a decline in April as losses from foreign exchange, interest rate, and commodity holdings all contributed to the decline while stock index positions produced some offsetting gains during the month. Some of the largest losses for April were produced by foreign exchange positions from both trend following and non-trend following strategies.  Short euro positioning versus the U.S. dollar was one of the worst performing holdings.  The euro moved higher as weaker U.S. economic data suggested that the U.S. Fed will hold off on an interest rate hike longer than expected.  A calming of concern around the solvency of Greece also helped to boost the euro.  Faster reacting non-trend models showed some offsetting gains in the British pound as that currency reversed higher during the month on hawkish U.K. central bank comments and an improvement in sentiment around their upcoming elections. Interest rates were another source of losses during the month.  Long positioning across long-dated fixed income instruments provided most of the declines as global interest rate products sold-off.  Losses in Australia stemmed from hawkish central bank comments and some surprisingly strong economic data.  Concern over ultra-low interest rate yields in Germany linked with bearish comments from several prominent asset managers caused those bond prices to fall.  Additional declines came from commodity positions.  Short positioning across the energy complex was hurt by rising prices as supply concerns eased and the weaker U.S. dollar was supportive to prices.  Trading in soft commodities, namely sugar and coffee, also produced losses.  Non-trend strategies produced some offsetting gains within the industrial metals sub-sector.  Long metals positions benefitted from a weaker U.S. dollar and new Chinese stimulus measures which helped to push those markets higher.  Global stock indices showed gains from the trend strategies.  Long positioning on the Hang Seng index in Hong Kong was one of the best performing holdings during the month as the index rose almost 13%.  Hong Kong shares rose sharply when Chinese regulators allowed mutual funds to buy shares in companies included in the index.
The Trust showed a decline in May as losses from interest rate and commodity holdings were only partially offset by gains from foreign exchange and stock index positions, leaving the portfolio lower on the month.  Some of the largest losses were produced by interest rate positions from both trend following and non-trend strategies.  Long positioning across long-dated interest rate products suffered when well established trends sharply reversed during the month.  Some of the largest losses were seen in Germany and Australia.  The German sell-off, which spilled over into other global interest rate markets, was primarily driven by technical factors, including liquidity and positioning.  Australia saw some stronger than expected economic data, which put pressure on their interest rate markets.  Additional declines came from commodity positions within trend following as non-trend strategies showed some smaller offsetting gains in the sector.  One of the worst performing sub-sectors was industrial metals.  Long positioning on copper and zinc suffered from a strengthening U.S. dollar and additional signs of an economic slowdown in China.  Long positioning on precious metals also suffered from the stronger dollar.  Some offsetting gains came from the grain sub-sector. Shorts on both corn and soybeans profited from a drop in prices due to steady planting progress.  Some of the best gains during May were within foreign exchange holdings where both trend following and non-trend strategies showed profits.  Short positioning on the Japanese yen versus the U.S. dollar was one of the biggest gains.  The yen weakened to a 12-year low versus the dollar.  After a soft first quarter, data suggested that the U.S. economy was starting to accelerate leading to speculation that the U.S. Federal Reserve could raise interest rates later this year for the first time since 2006.  Global stock indices also showed gains with both the trend and non-trend strategies contributing.  Long positioning on the Japanese Nikkei 225 index produced some of the largest sector gains.  Japanese stocks rose steadily throughout the month as the falling yen provided a strong tailwind for stocks.
The Trust showed a sharp decline in June as losses from commodity, stock index, foreign exchange, and interest rate holdings left the Trust lower on the month.  Some of the largest losses were produced by commodity positions from both trend following and non-trend strategies.  Short positioning on various grain markets proved unprofitable.  Corn, wheat, and soybean futures rose sharply due to crop concerns amid heavy rainfall in the Midwest.  These moves were exacerbated by significant short covering in the marketplace.  Energy markets also contributed to losses.  A short natural gas holding was hurt by signs of slowing production growth, stronger power burns, and a slowing pace of storage builds which sent the market higher.  Soft commodities showed losses as short positioning on coffee suffered from higher prices amid improved demand prospects and a lowered Brazilian output forecast.  Additional declines came from stock index positions within both trend following and non-trend following systems.  The Trust was generally positioned long global stocks during the month, with an emphasis on the U.S. and Japan.  A lack of positive progress on the Greek financial crisis near month-end caused a bout of "risk-off" selling which sent all global stock markets sharply lower leading to losses.  Foreign exchange positioning also detracted from performance as both trend and non-trend strategies saw declines.  A short New Zealand dollar position proved to be a profitable trade given the continued downtrend, but most of the other currencies in the Trust saw negative performance due to choppy, directionless trading.  In interest rate markets non-trend strategies provided some partially offsetting gains to the losses encountered by the trend systems.  Global bond markets experienced some very choppy price action that was difficult for the trend systems to navigate.  For example, in the U.S. interest rate markets were under pressure early in the month after some better than expected economic data.  These markets then sharply reversed to the upside later in June driven by safe haven buying amid the worsening Greek financial crisis and the uncertainty that it fueled.

2014 (For the Six Months Ending June 30)

Of the 2014 year-to-date decrease of (7.67)% for Series A, approximately (5.16)% was due to trading losses (before commissions) and approximately (2.70)% due to brokerage fees, management fees, operating costs and offering costs borne by Series A, offset by approximately 0.19% due to investment income.

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Of the 2014 year-to-date decrease of (7.44)% for Series B, approximately (5.16)% was due to trading losses (before commissions) and approximately (2.47)% due to brokerage fees, management fees and operating costs borne by Series B, offset by approximately 0.19% due to investment income.

Of the 2014 year-to-date decrease of (6.89)% for Series W, approximately (5.16)% was due to trading losses (before commissions) and approximately (1.92)% due to brokerage fees, management fees, service fees, operating costs and offering costs borne by Series W, offset by approximately 0.19% due to investment income.

During the six months ended June 30, 2014, the Trust accrued management fees in the amount of $12,449,057 and paid management fees in the amount of $12,707,312. Performance fees were accrued in the amount of $0 and paid in the amount of $3,571.

An analysis of the (5.16)% gross trading losses for the Trust for the six months ended June 30, 2014 by sector is as follows:

Sector
% Gain (Loss)
Commodities
 
(4.73)
%
Currencies
 
(2.18)
Interest Rates
 
3.41
Stock Indices
 
(1.66)
   
(5.16)
%

The Trust had losses in January with gains from interest rate and foreign exchange holdings only partially offsetting declines from stock index and commodity investments. The largest losses for January came from long positioning in global stock indexes by the trend following strategies. Dampened growth momentum in China weighed on global risk assets and deepened the negative sentiment toward the emerging markets. The peso devaluation in Argentina helped push contagion fears to the forefront and added to the sell-off. Somewhat softer employment and housing data in the US called into question the economic growth momentum seen in the second half of 2013. The US Fed's further tapering of quantitative easing only added to the global unease for risky assets like equities. Commodity holdings also produced losses, primarily from non-trend strategies. Energy markets were among the largest losers as the models failed to profitably navigate a volatile trading environment. The volatility was caused by varying cross-currents including inventory data, cold weather, and shifting production expectations. Industrial metal losses came primarily from positions in copper and nickel which fell on the weaker Chinese economic data and resulting emerging market fall-out. Short exposure to gold also produced losses amid safe-haven buying and improving physical demand. Interest rate positioning was successful during the month with trend strategies showing the best gains. Some of the largest profits came from long positioning on long-dated instruments primarily in Europe and the United States as investor sought the safety of interest rate instruments amid growing global uncertainties. Foreign exchange holdings also produced gains during the month. The best performing position was a short holding on the Canadian dollar. The Bank of Canada downgraded its inflation outlook for 2014, pushing the Canadian dollar to a four year low versus the US dollar. The Trust also profited from a short position on the South African rand which experienced steep losses due to the significant depreciation of emerging market currencies seen during the month.

The Trust continued its losses in February with gains from interest rates not enough to offset losses from foreign exchange and commodity holdings. Foreign exchange positions produced some of the largest losses with trend and non-trend strategies contributing. Short positioning in the New Zealand dollar and Australian dollar (both versus the US dollar) caused the most significant losses. The New Zealand dollar strengthened after some stronger than expected economic data and hawkish comments from their finance minister. The Reserve Bank of Australia shifted their monetary posture from one of easing to a more neutral stance helping to push the Aussie dollar higher. Rising commodity prices during the month also provided a tailwind to these so-called "commodity currencies." Other large losses for the month came from commodities where the Trust experienced declines across most of the sub-sectors and from both trend and non-trend strategies. Short positions in precious metals produced the largest losses when silver and gold both rallied sharply on safe-haven buying as geopolitical fears rose due to unrest in Ukraine. Industrial metals also contributed as a weaker US dollar provided upward price pressure hurting shorts. Short positioning in gasoline, especially early in the month, hurt the Trust as prices rose due to decreasing stockpiles and curtailed production. Soft commodities, namely short positioning in sugar, also caused losses as drought conditions in Brazil created supply concerns. Interest rate positioning provided small offsetting gains. Profits were found in long holdings on long-dated instruments. Japanese government bonds rose as a combination of weaker economic data and further corporate lending activity by the Japanese government helped to push prices higher. German notes benefitted from tame inflation data and safe-haven buying amid geopolitical turmoil in the region. Stock index holdings were relatively flat on the month. The non-trend strategies detracted from positive trend following performance as some short positioning in Asia and parts of Europe was hurt by a sharp bounce-back rally after the January sell-off.

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The Trust closed out the quarter with continued losses in March. The worst declines came from interest rate, stock index, and foreign exchange holdings. Some of the largest losses for the month came from interest rate positions, where trend strategies produced the declines while non-trend strategies showed some offsetting gains. A bulk of the sector losses were found in long positioning on long-dated instruments. Around mid-month, the US Federal Reserve announced additional tapering of quantitative easing (QE) and even hinted that an outright rate increase might occur sooner than expected, sending interest rate markets sharply lower and hurting portfolio positioning. Stock index positions also produced losses with both trend following and non-trend strategies contributing. Trend strategies held long positioning on the NASDAQ 100 index, which suffered due to technology valuation concerns, a tightening of stimulus by the US Fed, and uncertainty over Russia's annexation of Crimea and recent display of territorial aggression. Non-trend strategies went short the Hang Seng index in Hong Kong, which fell for the first half of the month, only to reverse higher on expectations for new stimulus measures in China to combat slowing growth within the country. Foreign exchange positions showed gains within the non-trend strategies; however, trend strategy losses in the sector overwhelmed them leading FX into the red for the month. The Trust was positioned short US dollars when the US Fed surprised markets with hawkish language following the March FOMC meeting. This caused the dollar to rally sharply against other currencies resulting in losses in the sector. Commodity positions produced losses from the trend following strategies while non-trend systems produced some offsetting gains. Some of the worst performing sub-sectors during the month included energy and industrial metals. The Trust was long crude, which declined amid slower Chinese growth. Natural gas longs fell on expectations for warmer temperatures in the US. Some offsetting gains were found in long grain positioning as the sub-sector posted its best quarterly rally since 2010.
 
Offsetting gains and losses left the Trust slightly lower in April.  Profits from commodities, and to a lesser extent from interest rates, were offset by losses from foreign exchange and stock index holdings.  Some of the largest losses during April came from foreign exchange positions.  The non-trend strategies produced the bulk of the declines while trend strategies showed some gains in the sector.  The non-trend strategies struggled with price action that was not favorable for the underlying model signals.  The Trust was short Japanese Yen when the US Fed minutes dampened bets that US policy makers were moving towards raising interest rates, causing the Yen to appreciate.  Trend following strategies profited from a long position on the British Pound, which rose to multi-year highs. Stock index positions also produced losses within the non-trend strategies while the trend following programs showed some offsetting gains.  The non-trend models were positioned long the Japanese Nikkei index when the Bank of Japan disappointed markets with no new stimulus, causing a sell-off in Japanese equities.  The German DAX index also contributed to losses as the non-trend strategies built long exposure, only to see the index trade lower as renewed Ukrainian/Russian unrest rattled investors. Commodity positions produced the best gains seen during the month as both non-trend and trend strategies produced profits.  Nickel was a strong performer for the Trust as it trended higher throughout the month.  Indonesia’s ongoing export ban and Ukrainian unrest helped to push the metal to a 14-month high. Gains also came from long coffee holdings, which rose on Brazilian production concerns.  Natural gas was another market that produced solid gains, especially within the non-trend programs.  Cool spring temperatures and inventory concerns led to the rise in prices.  Interest rate holdings added to gains during April.  Losses from short holdings on short-dated instruments were more than offset by gains from long positions on long-dated instruments.  A combination of pockets of softer economic data linked with the civil unrest in Eastern Europe helped to propel prices higher during the month.
 
The Trust showed gains in May led by interest rate and equity index positions.  Profits from interest rate and stock index positions were somewhat offset by losses from commodity and foreign exchange holdings. The largest gains for May came from positioning in global interest rates driven by trend following strategies.  Profits were seen in long-dated instruments where the Trust held long positions, while small losses came from short-dated holdings where the Trust was generally short.  Fixed income instruments rallied during the month amid pockets of weaker than expected global economic data and as global central banks once again indicated accommodative monetary policies.  Overall market positioning also played a role in the rally as some investors found themselves under-invested in global bonds and some hedge funds scrambled to cover shorts amid the rising prices.  Long global stock index positions also produced gains for the Trust during May primarily driven by trend following strategies.  Stocks showed choppy price action during the first half of the month, but then staged a rally as dovish global central banks and a surge in merger & acquisition activity pushed many global indexes to new highs.  Commodity holdings produced the largest monthly losses with both trend and non-trend strategies contributing.  The worst performing sub-sector was the grains where long positioning in wheat and corn suffered amid weak export sales, favorable planting weather in the US, and easing tensions between Ukraine and Russia.  Base metals trading proved unprofitable amid choppy price action.  A long position in coffee suffered as steady harvest progress in Brazil and a healthy global supply outlook pushed prices sharply lower after an almost 60% run-up this year. Foreign exchange holdings produced losses primarily from trend strategies as non-trend strategies showed gains.  Some of the worst performing FX holdings included long positions in the euro and British pound.  European Central Bank President Draghi signaled that policy makers are ready to expand stimulus resulting in a weakening of the euro, and the Bank of England indicated that a rate hike was not as imminent as markets had been expecting, causing the pound to fall from multi-year highs.
 
The Trust closed out the quarter with gains in June.  Profits from stock index, commodity, and foreign exchange positions were somewhat offset by losses from interest rate holdings.  The largest gains for June came from positioning in global stock indexes driven by both trend following and non-trend strategies.  Long positions in North American stock indexes benefitted from dovish comments from Federal Open Market Committee head Yellen despite pockets of stronger economic data.  Strong merger and acquisition activity also provided a tailwind for US stocks.  A long equity holding in Taiwan showed profits as Chinese data indicated signs of improving growth.  Smaller, offsetting losses came from long European holdings where a rash of weaker than expected economic data and falling confidence readings overwhelmed new European Central Bank stimulus actions. Commodity holdings produced additional monthly gains with only trend strategies contributing.  Some of the best monthly gains came from long positioning on zinc, which surged in price amid a sharp drop in stockpiles.  Long energy exposure, especially to Brent and crude, rose as instability in Iraq rattled oil markets.  Cattle prices rallied to a record high on lingering supply concerns, benefitting the Trust’s position.  Offsetting losses came from short positions on precious metals as prices rose on a blend of geopolitical instability and ongoing accommodative US monetary policy. Foreign exchange holdings produced profits primarily from trend strategies as non-trend strategies showed losses.  Some of the best performing FX holdings included a long position on the New Zealand dollar, which strengthened when the Reserve Bank of New Zealand lifted borrowing costs for the third time this year.  Long positioning on the British pound benefitted when the Bank of England (BOE) hinted it may raise interest rates sooner than expected.  A surprise interest rate cut in Mexico hurt the Trust’s long positioning on the peso. Interest rate trading showed losses during the month with most declines coming from non-trend strategies.  Hawkish comments from BOE head Carney caused a sharp sell-off in Gilts, which hurt the Trust’s positioning.  Rising Australian fixed income prices also hurt non-trend strategies, which expected prices to fall.
 

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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, "Quantitative and Qualitative Disclosures About Market Risk," is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage and multiplier features of the Trust's market sensitive instruments.

Quantifying the Trust's Trading Value at Risk

Quantitative Forward-Looking Statements

The following quantitative disclosures regarding the Trust's market risk exposures contain "forward-looking statements" within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact (such as the dollar amount of maintenance margin required for market risk sensitive instruments held at the end of the reporting period).

The Trust's risk exposure in the various market sectors traded is estimated in terms of Value at Risk (VaR). The Trust estimates VaR using a model based upon historical simulation (with a confidence level of 97.5%) which involves constructing a distribution of hypothetical daily changes in the value of a trading portfolio. The VaR model takes into account linear exposures to risks, including equity and commodity prices, interest rates, foreign exchange rates, and correlation among these variables. The hypothetical changes in portfolio value are based on daily percentage changes observed in key market indices or other market factors to which the portfolio is sensitive. The Trust's VaR at a one day 97.5% confidence level corresponds to the negative change in portfolio value that, based on observed market risk factors, would have been exceeded once in 40 trading days or one day in 40. VaR typically does not represent the worst case outcome.

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The Trust uses approximately one quarter of daily market data and revalues its portfolio for each of the historical market moves that occurred over this time period. This generates a probability distribution of daily "simulated profit and loss" outcomes. The VaR is the 2.5 percentile of this distribution.

The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The current methodology used to calculate the aggregate VaR represents the VaR of the Trust's open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.

The Trust's VaR computations are based on the risk representation of the underlying benchmark for each instrument or contract and does not distinguish between exchange and non-exchange dealer-based instruments. It is also not based on exchange and/or dealer-based maintenance margin requirements.

VaR models, including the Trust's, are continually evolving as trading portfolios become more diverse and modeling techniques and systems capabilities improve. Please note that the VaR model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by the Trust in its daily risk management activities. Please further note that VaR as described above may not be comparable to similarly titled measures used by other entities.

Because the business of the Trust is the speculative trading of futures and forwards, 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 June 30, 2015 and December 31, 2014 and the trading gains/losses by market category for the six months ended June 30, 2015 and the year ended December 31, 2014.

 
June 30, 2015
Market Sector
Value at Risk*
 
Trading
Gain/(Loss)**
Commodities
 
0.64%
   
(6.28)%
Currencies
 
0.62%
   
1.49 %
Interest Rates
 
0.43%
   
(0.90)%
Stock Indices
 
1.00%
   
1.26 %
Aggregate/Total
 
1.82%
   
(4.43)%

* – The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Trust's open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes

** – Represents the gross trading for the Trust for the six months ended June 30, 2015.

Of the 2015 year-to-date decrease of (8.65)% for Series A, approximately (4.43)% was due to trading losses (before commissions) and approximately (4.42)% due to brokerage fees, management fees, performance fees, operating costs and offering costs, offset by approximately 0.20% due to investment income earned by Series A.

Of the 2015 year-to-date decrease of (8.39)% for Series B, approximately (4.43)% was due to trading losses (before commissions) and approximately (4.16)% due to brokerage fees, management fees, performance fees and operating costs, offset by approximately  0.20% due to investment income earned by Series B.

Of the 2015 year-to-date decrease of (7.89)% for Series W, approximately (4.43)% was due to trading losses (before commissions) and approximately (3.66)% due to brokerage fees, management fees, performance fees, service fees, operating costs and offering costs, offset by approximately 0.20% due to investment income earned by Series W.

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December 31, 2014
Market Sector
Value at Risk*
 
Trading
Gain/(Loss)**
Commodities
 
0.63%
   
3.34%
Currencies
 
0.84%
   
9.83%
Interest Rates
 
0.94%
   
15.18%
Stock Indices
 
0.53%
   
(3.45)%
Aggregate/Total
 
1.31%
   
24.90%

* – The VaR for a sector represents the 2.5 percentile of outcomes for the aggregate exposures associated with that sector alone. The aggregate VaR represents the VaR of the Trust's open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.

** – Represents the gross trading for the Trust for the year ended December 31, 2014.

Of the 15.92% return for year ended 2014 for Series A, approximately 24.90% was due to trading gains (before commissions) and approximately 0.28% due to investment income, offset by approximately (9.26)% due to brokerage fees, management fees, performance fees, offering costs and operating costs borne by Series A.

Of the 18.87% return for year ended 2014 for Series B, approximately 24.90% was due to trading gains (before commissions) and approximately 0.28% due to investment income, offset by approximately (6.31)% due to brokerage fees, management fees, performance fees and operating costs borne by Series B.

Of the 17.38% return for year ended 2014 for Series W, approximately 24.90% was due to trading gains (before commissions) and approximately 0.28% due to investment income, offset by approximately (7.80)% due to brokerage fees, management fees, performance fees, service fees, offering costs and operating costs borne by Series W.

Material Limitations on Value at Risk as an Assessment of Market Risk

The following limitations of VaR as an assessment of market risk should be noted:

1) Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;

2) Changes in portfolio value caused by market movements may differ from those of the VaR model;

3) VaR results reflect past trading positions while future risk depends on future positions;

4) VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and

5) The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.

VaR is not necessarily representative of historic risk nor should it be used to predict the Trust's future financial performance or its ability to manage and monitor risk. There can be no assurance that the Trust's actual losses on a particular day will not exceed the VaR amounts indicated or that such losses will not occur more than once in 40 trading days.

Non-Trading Risk

The Trust has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Trust also has non-trading market risk as a result of investing a portion of its available assets in U.S. Treasury Bills held at the broker and over-the-counter counterparty. The market risk represented by these investments is minimal. Finally, the Trust has non-trading market risk on fixed income securities held as part of its cash management program. The cash manager will use its best endeavors in the management of the assets of the Trust but provide no guarantee that any profit or interest will accrue to the Trust as a result of such management.

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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 June 30, 2015 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 rate exposure of the Trust for the foreseeable future. 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 as well as Australia, Hong Kong, Singapore, Spain, Taiwan, Netherlands and Sweden. The stock index futures traded by the Trust are by law limited to futures on broadly based indices. The Trust is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices. Markets that trade in a narrow range could result in the Trust's positions being "whipsawed" into numerous small losses.

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.

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Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Trust as of June 30, 2015.

Foreign Currency Balances

The Trust's primary foreign currency balances are in Australian Dollar, Japanese Yen, British Pounds and Euros. The Trust controls the non-trading risk of these balances by regularly converting these balances back into dollars (no less frequently than twice a month, and more frequently if a particular foreign currency balance becomes unusually large).

Fixed Income Securities and Short Term Investments

The Trust's primary market exposure in instruments (other than treasury positions described in the subsequent section) held other than for trading is in its fixed income portfolio. The cash manager, PNC, has authority to make certain investments on behalf of the Trust. All securities purchased by the cash manager on behalf of the Trust will be held in the Trust's custody account at the custodian. The cash manager will use its best endeavors in the management of the assets of the Trust but provides no guarantee that any profit or interest will accrue to the Trust as a result of such management.

U.S. Treasury Bill Positions Held for Margin Purposes

The Trust also has market exposure in its U.S. Treasury Bill portfolio. The Trust holds U.S. Treasury Bills with maturities no longer than six months. Violent fluctuations in prevailing interest rates could cause minimal mark-to-market losses on the Trust's U.S. Treasury Bills, although substantially all of these short-term investments are held to maturity.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

The means by which the Trust and Campbell & Company, severally, attempt to manage the risk of the Trust's open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per "risk unit" of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses.

General

The Trust is unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations. From time to time, certain regulatory agencies have proposed increased margin requirements on futures contracts. Because the Trust generally will use a small percentage of assets as margin, the Trust does not believe that any increase in margin requirements, as proposed, will have a material effect on the Trust's operations.

Item 4.  Controls and Procedures

Campbell & Company, 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.

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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, LP (1)
     
10.02
 
Global Institutional Master Custody Agreement (2)
     
31.01
 
Certification of G. William Andrews, 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 G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
     
32.02
 
Certification of 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 June 30, 2015 and December 31, 2014, (ii) Statements of Financial Condition June 30, 2015 and December 31, 2014, (iii) Statements of Operations For the Three and Six Months Ended June 30, 2015 and 2014, (iv) Statements of Cash Flows For the Six Months Ended June 30, 2015 and 2014, (v) Statements of Changes in Partners' Capital (Net Asset Value) For the Six Months Ended June 30, 2015 and 2014, (vi) Financial Highlights For the Three and Six Months Ended June 30, 2015 and 2014, (vii) Notes to Financial Statements.

(1)            Incorporated by reference to the respective exhibit to the Registrant's Form 10 filed on April 30, 2003.
(2)            Incorporated by reference to the respective exhibit to the Registrant's Form 10-Q filed on August 15, 2011.
34

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, LP
 
   
Managing Operator
 
       
Date: August 14, 2015
By:
/s/ G. William Andrews
 
   
G. William Andrews
Chief Executive Officer
 

35

EXHIBIT INDEX

Exhibit Number
 
Description of Document
31.01
 
Certification of G. William Andrews, 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 G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
     
32.02
 
Certification of 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 June 30, 2015 and December 31, 2014, (ii) Statements of Financial Condition June 30, 2015 and December 31, 2014, (iii) Statements of Operations For the Three and Six Months Ended June 30, 2015 and 2014, (iv) Statements of Cash Flows For the Six Months Ended June 30, 2015 and 2014, (v) Statements of Changes in Partners' Capital (Net Asset Value) For the Six Months Ended June 30, 2015 and 2014, (vi) Financial Highlights For the Three and Six Months Ended June 30, 2015 and 2014, (vii) Notes to Financial Statements.