CAMPBELL FUND TRUST - FORM 10-Q

Attached files

file	filename
EX-32.2 - EXHIBIT 32.02 - CAMPBELL FUND TRUST	cftexhibit32_02.htm
EX-32.1 - EXHIBIT 32.01 - CAMPBELL FUND TRUST	cftexhibit32_01.htm
EX-31.2 - EXHIBIT 31.02 - CAMPBELL FUND TRUST	cftexhibit31_02.htm
EX-31.1 - EXHIBIT 31.01 - CAMPBELL FUND TRUST	cftexhibit31_01.htm

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 September 30, 2020

☐	Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

For the transition period from __________ to __________

Commission File number: 000-50264

THE CAMPBELL FUND TRUST

(Exact name of Registrant as specified in charter)

Delaware		94-6260018
(State or other jurisdiction of incorporation or 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)

Securities registered pursuant to Section 12(b) of the Act:

Title of each class	Trading Symbol(s)	Name of each exchange on which registered
Not applicable.	Not applicable.	Not applicable.

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 every Interactive data File required to be submitted 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 such files). Yes ☑ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer ☐	Accelerated filer ☐	Non-accelerated filer ☑	Smaller reporting company ☐

Emerging growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Securities Act. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No ☑

The Registrant has no voting stock. As of September 30, 2020, there were 88,379.280 Series A Units, 11,973.383 Series B Units, 5,010.803 Series D Units, and 8,752.772 Series W Units of Beneficial Interest issued and outstanding.

TABLE OF CONTENTS

			Page
PART I — FINANCIAL INFORMATION

	Item 1.	Financial Statements.

		Condensed Schedules of Investments as of September 30, 2020 and December 31, 2019 (Unaudited)	1-4

		Statements of Financial Condition as of September 30, 2020 and December 31, 2019 (Unaudited)	5

		Statements of Operations for the Three Months and Nine Months Ended September 30, 2020 and 2019 (Unaudited)	6

		Statements of Cash Flows for the Nine Months Ended September 30, 2020 and 2019 (Unaudited)	7

		Statements of Changes in Unitholders’ Capital (Net Asset Value) for the Nine Months Ended September 30, 2020 and 2019 (Unaudited)	8-9

		Financial Highlights for the Three Months and Nine Months Ended September 30, 2020 and 2019 (Unaudited)	10-13

		Notes to Financial Statements (Unaudited)	14-28

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations.	29-38

	Item 3.	Quantitative and Qualitative Disclosure About Market Risk.	38-44

	Item 4.	Controls and Procedures.	44

PART II — OTHER INFORMATION

	Item 1.	Legal Proceedings.	45

	Item 1A.	Risk Factors.	45

	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds.	45

	Item 3.	Defaults Upon Senior Securities.	45

	Item 4.	Mine Safety Disclosures.	45

	Item 5.	Other Information.	45

	Item 6.	Exhibits.	46-47

SIGNATURES			48

Table of Contents

THE CAMPBELL FUND TRUST

CONDENSED SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2020 (Unaudited)

FIXED INCOME SECURITIES

Maturity Face Value	Description	Fair Value ($)		% of Net Asset Value
	Asset Backed Securities
	United States
	Auto Loans	$	11,543,668		4.24	%
	Credit Cards		1,036,645		0.38	%
	Equipment Loans		2,449,705		0.90	%
	Utility Rate Reduction Bonds		17,284		0.01	%
	Total Asset Backed Securities (cost $14,947,861)		15,047,302		5.53	%

	Bank Deposits
	United States
	Financials		3,126,104		1.15	%
	Total Bank Deposits (cost $3,125,294)		3,126,104		1.15	%

	Commercial Paper
	Australia
	Financials (cost $399,685)		399,953		0.15	%
	Norway
	Financials (cost $1,339,302)		1,339,526		0.49	%
	United Kingdom
	Financials (cost $1,363,162)		1,363,112		0.50	%
	United States
	Communications		5,601,715		2.06	%
	Consumer Discretionary		6,517,579		2.40	%
	Consumer Staples		2,374,292		0.87	%
	Energy		8,102,539		2.98	%
	Financials		34,456,178		12.67	%
	Industrials		2,278,992		0.84	%
	Utilities		12,568,954		4.62	%
	Total United States (cost $71,865,587)		71,900,249		26.44	%
	Total Commercial Paper (cost $74,967,736)		75,002,840		27.58	%

	Corporate Bonds
	Australia
	Financials (cost $3,585,000)		3,598,849		1.32	%
	Canada
	Financials (cost $7,599,938)		7,616,962		2.80	%
	Germany
	Consumer Discretionary (cost $3,814,278)		3,836,865		1.41	%
	Switzerland
	Financials (cost $2,449,461)		2,484,933		0.91	%
	United Kingdom
	Financials (cost $3,860,000)		3,871,169		1.42	%
	United States
	Communications		966,606		0.36	%
	Consumer Discretionary		10,782,568		3.96	%
	Energy		4,495,111		1.65	%
	Financials		18,564,627		6.83	%
	Health Care		1,599,609		0.59	%
	Industrials		4,895,487		1.80	%
	Materials		875,610		0.32	%
	Technology		5,862,540		2.16	%
	Total United States (cost $47,748,676)		48,042,158		17.67	%
	Total Corporate Bonds (cost $69,057,353)	$	69,450,936		25.53	%

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

CONDENSED SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2020 (Unaudited)

FIXED INCOME SECURITIES

Maturity Face Value		Description	Fair Value ($)		% of Net Asset Value
		Government and Agency Obligations
		United States
		U.S. Treasury Bills
$	4,660,000	U.S. Treasury Bills * Due 10/15/2020	$	4,659,860		1.71	%
$	25,125,000	U.S. Treasury Bills * Due 11/12/2020		25,122,337		9.24	%
$	14,092,500	U.S. Treasury Bills * Due 12/17/2020		14,089,710		5.18	%
		Total Government and Agency Obligations (cost $43,871,616)		43,871,907		16.13	%
		Total Fixed Income Securities **
		(cost $205,969,860)	$	206,499,089		75.92	%

LONG FUTURES CONTRACTS

Description	Fair Value ($)			% of Net Asset Value
Agriculture	$	1,379,894			0.51	%
Energy		(9,120	)		0.00	%
Metals		451,282			0.16	%
Stock indices		(514,745	)		(0.19	)%
Short-term interest rates		72,431			0.03	%
Long-term interest rates		1,159,312			0.43	%
Net unrealized gain (loss) on long futures contracts		2,539,054			0.94	%

SHORT FUTURES CONTRACTS

Description	Fair Value ($)			% of Net Asset Value
Agriculture		(149,188	)		(0.06	)%
Energy		1,692,435			0.62	%
Metals		565,611			0.21	%
Stock indices		(143,834	)		(0.05	)%
Short-term interest rates		69,424			0.03	%
Long-term interest rates		(93,919	)		(0.04	)%
Net unrealized gain (loss) on short futures contracts		1,940,529			0.71	%
Net unrealized gain (loss) on open futures contracts	$	4,479,583			1.65	%

FORWARD CURRENCY CONTRACTS

Description	Fair Value ($)			% of Net Asset Value
Various long forward currency contracts	$	(9,748,120	)		(3.58	)%
Various short forward currency contracts		8,328,331			3.06	%
Net unrealized gain (loss) on open forward currency contracts	$	(1,419,789	)		(0.52	)%

CREDIT DEFAULT SWAPS

Description	Fair Value ($)		% of Net Asset Value
Centrally cleared credit default index swaps - Sell protection (net cost $988,242)	$	828,546		0.30	%
Total credit default swaps (net cost $988,242)	$	828,546		0.30	%

INTEREST RATES SWAPS

Description	Fair Value ($)			% of Net Asset Value
Centrally cleared interest rate swaps - Receive fixed (net cost $561,006)	$	911,130			0.33	%
Centrally cleared interest rate swaps - Pay fixed (net cost $4,695)		(2,962	)		0.00	%
Total interest rate swaps (net cost $565,701)	$	908,168			0.33	%

*	Pledged as collateral for the trading of futures positions.

**	Included in fixed income securities are U.S. Treasury Bills with a fair value of $43,871,907 deposited with the futures brokers.

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2019 (Unaudited)

FIXED INCOME SECURITIES

Maturity Face Value	Description	Fair Value ($)		% of Net Asset Value
	Asset Backed Securities
	United States
	Auto Loans	$	15,837,798		5.12	%
	Credit Cards		2,675,309		0.86	%
	Equipment Loans		618,295		0.20	%
	Utility Rate Reduction Bond		544,640		0.18	%
	Total Asset Backed Securities (cost $19,601,083)		19,676,042		6.36	%

	Bank Deposits
	Singapore
	Financials ($2,837,086)		2,837,107		0.92	%
	United States
	Financials ($2,392,198)		2,393,483		0.77	%
	Total Bank Deposits (cost $5,229,284)		5,230,590		1.69	%

	Commercial Paper
	Australia
	Financials (cost $2,486,462)		2,485,923		0.80	%
	Canada
	Financials (cost $999,632)		999,620		0.32	%
	Sweden
	Financials (cost $2,990,273)		2,990,613		0.97	%
	Switzerland
	Financials (cost $4,296,981)		4,297,185		1.39	%
	United States
	Communications		2,995,139		0.97	%
	Consumer Discretionary		26,514,040		8.57	%
	Consumer Staples		4,537,769		1.47	%
	Financials		23,493,503		7.59	%
	Industrials		1,997,585		0.64	%
	Utilities		24,091,267		7.78	%
	Total United States (cost $83,630,421)		83,629,303		27.02	%
	Total Commercial Paper (cost $94,403,769)		94,402,644		30.50	%

	Corporate Bonds
	Canada
	Financials		5,910,253		1.91	%
	Industrials		1,595,400		0.52	%
	Total Canada (cost $7,494,451)		7,505,653		2.43	%
	Germany
	Consumer Discretionary (cost $5,147,253)		5,166,625		1.67	%
	Japan
	Financials (cost $2,020,000)		2,020,373		0.65	%
	United Kingdom
	Energy		2,120,364		0.69	%
	Financials		3,873,831		1.25	%
	Total United Kingdom (cost $5,979,474)		5,994,195		1.94	%
	United States
	Communications		3,078,403		0.99	%
	Consumer Discretionary		14,140,035		4.57	%
	Consumer Staples		3,547,193		1.14	%
	Energy		6,047,117		1.95	%
	Financials		23,371,727		7.55	%
	Industrials		5,427,486		1.75	%
	Materials		884,220		0.29	%
	Technology		5,066,126		1.64	%
	Utilities		2,348,096		0.76	%
	Total United States (cost $63,778,285)		63,910,403		20.64	%
	Total Corporate Bonds (cost $84,419,463)	$	84,597,249		27.33	%

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

CONDENSED SCHEDULE OF INVESTMENTS

DECEMBER 31, 2019 (Unaudited)

FIXED INCOME SECURITIES

Maturity Face Value		Description	Fair Value ($)		% of Net Asset Value
		Government and Agency Obligations
		United States
		U.S. Treasury Bills
$	4,160,000	U.S. Treasury Bills * Due 01/02/2020	$	4,160,000		1.34	%
$	4,500,000	U.S. Treasury Bills * Due 01/16/2020		4,497,563		1.45	%
$	27,690,000	U.S. Treasury Bills * Due 02/13/2020		27,642,108		8.93	%
$	17,392,500	U.S. Treasury Bills * Due 03/12/2020		17,341,856		5.60	%
		Total Government And Agency Obligations (cost $53,635,500)		53,641,527		17.32	%
		Total Fixed Income Securities ** (cost $257,289,099)	$	257,548,052		83.20	%

SHORT TERM INVESTMENTS

Description	Fair Value ($)		% of Net Asset Value
Money Market Funds
United States
Money Market Funds (cost $4,780)	$	4,780		0.00	%
Total Short Term Investments (cost $4,780)	$	4,780		0.00	%

LONG FUTURES CONTRACTS

Description	Fair Value ($)			% of Net Asset Value
Agriculture	$	111,797			0.04	%
Energy		897,502			0.29	%
Metals		2,205,166			0.71	%
Stock indices		91,738			0.03	%
Short-term interest rates		(765,294	)		(0.25	)%
Long-term interest rates		(4,935,840	)		(1.59	)%
Net unrealized gain (loss) on long futures contracts		(2,394,931	)		(0.77	)%

SHORT FUTURES CONTRACTS

Description	Fair Value ($)			% of Net Asset Value
Agriculture		(2,850,079	)		(0.92	)%
Energy		588,691			0.19	%
Metals		(4,618,405	)		(1.49	)%
Stock indices		79,410			0.03	%
Short-term interest rates		(412	)		0.00	%
Long-term interest rates		1,055,789			0.34	%
Net unrealized gain (loss) on short futures contracts		(5,745,006	)		(1.85	)%
Net unrealized gain (loss) on open futures contracts	$	(8,139,937	)		(2.62	)%

FORWARD CURRENCY CONTRACTS

Description	Fair Value ($)			% of Net Asset Value
Various long forward currency contracts	$	22,090,636			7.14	%
Various short forward currency contracts		(24,754,313	)		(8.00	)%
Net unrealized gain (loss) on open forward currency contracts	$	(2,663,677	)		(0.86	)%

*	Pledged as collateral for the trading of futures positions.

**	Included in fixed income securities are U.S. Treasury Bills with a fair value of $53,641,527 deposited with the futures brokers.

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

STATEMENTS OF FINANCIAL CONDITION

SEPTEMBER 30, 2020 AND DECEMBER 31, 2019 (Unaudited)

	September 30, 2019		December 31, 2019
ASSETS
Equity in futures brokers trading accounts
Cash	$	16,137,322	$	15,751,729
Restricted cash		566,829		4,648,990
Fixed income securities (cost $43,871,616 and $53,635,500, respectively)		43,871,907		53,641,527
Net unrealized gain (loss) on open futures contracts		4,479,583		(8,139,937	)
Total equity in futures brokers trading accounts		65,055,641		65,902,309

Cash and cash equivalents		1,151,191		1,118,945
Cash at interbank market maker		11,910,603		14,851,807
Restricted cash at interbank market maker		23,420,947		29,815,239
Cash at swaps broker		3,592,697		0
Restricted cash at swaps broker		9,338,134		0
Short term investments (cost $0 and $4,780, respectively)		0		4,780
Fixed income securities (cost $162,098,244 and $203,653,599, respectively)		162,627,182		203,906,525
Credit default index swaps (cost $988,242 and $0, respectively)		828,546		0
Interest rate swaps (cost $565,701 and $0, respectively)		908,168		0
Due from swaps broker		32,839		0
Interest receivable		278,900		635,953
Total assets	$	279,144,848	$	316,235,558

LIABILITIES
Accounts payable	$	195,062	$	327,900
Management fee payable		461,939		995,719
Net unrealized loss on forward currency contracts		1,419,789		2,663,677
Accrued commissions and other trading fees on open contracts		60,309		183,841
Offering costs payable		102,095		114,869
Sales commission payable		404,029		0
Redemptions payable		4,521,281		2,442,931
Total liabilities		7,164,504		6,728,937
UNITHOLDERS’ CAPITAL (Net Asset Value)
Series A Units - Redeemable
Other Unitholders - 88,379.280 and 95,005.038 units outstanding at September 30, 2020 and December 31, 2019		210,687,834		243,974,281
Series B Units - Redeemable
Other Unitholders - 11,973.383 and 13,005.349 units outstanding at September 30, 2020 and December 31, 2019		31,356,539		36,551,654
Series D Units - Redeemable
Other Unitholders - 5,010.803 and 3,366.350 units outstanding at September 30, 2020 and December 31, 2019		4,892,124		3,507,300
Series W Units - Redeemable
Other Unitholders - 8,752.772 and 8,389.889 units outstanding at September 30, 2020 and December 31, 2019		25,043,847		25,473,386
Total unitholders’ capital (Net Asset Value)		271,980,344		309,506,621
Total liabilities and unitholders’ capital (Net Asset Value)	$	279,144,848	$	316,235,558

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (Unaudited)

	Three Months Ended September 30,						Nine Months Ended September 30,
	2020			2019			2020			2019
TRADING GAINS (LOSSES)
Futures trading gains (losses)
Realized	$	(14,195,388	)	$	30,127,764		$	(31,779,232	)	$	68,472,848
Change in unrealized		2,984,104			(10,072,681	)		12,619,520			(5,644,585	)
Brokerage commissions		(631,218	)		(470,721	)		(1,683,521	)		(1,491,863	)
Net gain (loss) from futures trading		(11,842,502	)		19,584,362			(20,843,233	)		61,336,400

Forward currency trading gains (losses)
Realized		(6,854,797	)		(573,244	)		5,916,594			3,800,316
Change in unrealized		2,286,601			5,440,788			1,243,888			(5,569,805	)
Brokerage commissions		(56,133	)		(56,975	)		(144,436	)		(208,988	)
Net gain (loss) from forward currency trading		(4,624,329	)		4,810,569			7,016,046			(1,978,477	)

Swap trading gains (losses)
Realized		525,424			0			525,424			0
Change in unrealized		182,771			0			182,771			0
Net gain (loss) from swap trading		708,195			0			708,195			0
Total net trading gain (loss)		(15,758,636	)		24,394,931			(13,118,992	)		59,357,923

NET INVESTMENT INCOME (LOSS)
Investment income
Interest income		438,509			1,963,269			2,770,031			6,063,413
Realized gain (loss) on fixed income securities		37,264			10,418			65,675			14,468
Change in unrealized gain (loss) on fixed income securities		(91,915	)		39,047			270,276			709,628
Total investment income		383,858			2,012,734			3,105,982			6,787,509

Expenses
Management fee		1,428,214			3,359,726			7,077,889			9,695,861
Performance fee		0			21,165			0			21,165
Operating expenses		239,824			273,180			706,390			800,984
Sales commission		1,285,066			0			1,738,565			0
Total expenses		2,953,104			3,654,071			9,522,844			10,518,010
Net investment income (loss)		(2,569,246	)		(1,641,337	)		(6,416,862	)		(3,730,501	)
NET INCOME (LOSS)	$	(18,327,882	)	$	22,753,594		$	(19,535,854	)	$	55,627,422

NET INCOME (LOSS) PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
(based on weighted average number of units outstanding during the period)
Series A	$	(158.43	)	$	182.38		$	(166.55	)	$	425.47
Series B	$	(173.13	)	$	201.33		$	(181.64	)	$	463.18
Series D	$	(62.26	)	$	54.96		$	(83.13	)	$	164.08
Series W	$	(175.47	)	$	230.00		$	(172.20	)	$	544.22

INCREASE (DECREASE) IN NET ASSET VALUE PER MANAGING OPERATOR AND OTHER UNITHOLDERS’ UNIT
Series A	$	(161.64	)	$	178.01		$	(184.10	)	$	424.18
Series B	$	(174.07	)	$	198.18		$	(191.66	)	$	473.43
Series D	$	(62.93	)	$	62.39		$	(65.55	)	$	168.93
Series W	$	(178.73	)	$	224.89		$	(174.95	)	$	540.86

WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
Series A		90,597.713			98,909.779			92,561.559			103,422.686
Series B		12,370.216			13,322.219			12,672.240			14,214.142
Series D		4,754.203			1,724.770			4,146.531			1,609.926
Series W		8,757.813			8,422.307			8,556.163			8,776.466

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (Unaudited)

	Nine Months Ended September 30,
	2020			2019
Cash flows from (for) operating activities
Net income (loss)	$	(19,535,854	)	$	55,627,422
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
Net change in unrealized on futures, forwards, swaps and investments		(14,316,455	)		10,504,762
(Increase) decrease in interest receivable		357,053			267,540
(Increase) decrease in due from swaps broker		(32,839	)		0
Increase (decrease) in accounts payable and accrued expenses		(386,121	)		50,756
Payments for swap contracts		(11,120,872	)		0
Proceeds from swap contracts		9,566,929			0
Purchases of investments		(1,912,501,506	)		(1,287,177,662	)
Sales/maturities of investments		1,963,825,525			1,284,874,509
Net cash from (for) operating activities		15,855,860			64,147,327

Cash flows from (for) financing activities
Addition of units		8,610,446			11,853,876
Redemption of units		(23,501,498	)		(64,014,197	)
Offering costs paid		(1,033,795	)		(1,111,234	)
Net cash from (for) financing activities		(15,924,847	)		(53,271,555	)

Net increase (decrease) in cash, cash equivalents and restricted cash		(68,987	)		10,875,772

Cash, cash equivalents and restricted cash at beginning of period		66,186,710			67,746,528
Cash, cash equivalents and restricted cash at end of period	$	66,117,723		$	78,622,300

The following table provides a reconciliation of cash, cash equivalents and restricted cash reported within the Statements of Financial Condition that sum to the total of the same such amounts shown in the Statements of Cash Flows.

	September 30, 2020		December 31, 2019
Cash, cash equivalents and restricted cash at end of period consists of:
Equity in futures brokers trading accounts:
Cash	$	16,137,322	$	15,751,729
Restricted cash		566,829		4,648,990
Cash and cash equivalents		1,151,191		1,118,945
Cash at interbank market maker		11,910,603		14,851,807
Restricted cash at interbank market maker		23,420,947		29,815,239
Cash at swaps broker		3,592,697		0
Restricted cash at swaps broker		9,338,134		0
Total cash, cash equivalents and restricted cash at end of period	$	66,117,723	$	66,186,710

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

STATEMENTS OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (Unaudited)

	Series A - Other Unitholders						Series B - Other Unitholders
	Units			Amount			Units			Amount
Nine Months Ended September 30, 2020

Balances at December 31, 2019		95,005.038		$	243,974,281			13,005.349		$	36,551,654
Net income (loss) for the three months ended March 31, 2020					13,283,425						1,992,123
Additions		380.679			1,036,884			0.000			0
Redemptions		(2,307.266	)		(6,263,995	)		(239.509	)		(714,415	)
Offering costs					(322,990	)					0
Balances at March 31, 2020		93,078.451		$	251,707,605			12,765.840		$	37,829,362

Net income (loss) for the three months ended June 30, 2020					(14,345,960	)					(2,152,270	)
Additions		783.671			2,071,421			2.349			6,564
Redemptions		(2,458.985	)		(6,456,980	)		(184.065	)		(537,159	)
Offering costs					(304,760	)					0
Balances at June 30, 2020		91,403.137		$	232,671,326			12,584.124		$	35,146,497

Net income (loss) for the three months ended September 30, 2020					(14,353,400	)					(2,141,697	)
Additions		159.755			390,582			6.992			18,750
Redemptions		(3,183.612	)		(7,743,225	)		(617.733	)		(1,667,011	)
Offering costs					(277,449	)					0
Balances at September 30, 2020		88,379.280		$	210,687,834			11,973.383		$	31,356,539

Nine Months Ended September 30, 2019

Balances at December 31, 2018		111,488.756		$	265,715,642			15,779.825		$	40,954,227
Net income (loss) for the three months ended March 31, 2019					10,959,406						1,636,947
Additions		402.786			966,271			29.109			78,844
Redemptions		(8,230.105	)		(19,795,854	)		(1,684.043	)		(4,411,610	)
Offering costs					(376,105	)					0
Balances at March 31, 2019		103,661.437		$	257,469,360			14,124.891		$	38,258,408

Net income (loss) for the three months ended June 30, 2019					15,004,346						2,264,553
Additions		2,299.229			5,873,079			0.000			0
Redemptions		(6,398.768	)		(16,266,862	)		(643.330	)		(1,822,852	)
Offering costs					(281,414	)					0
Balances at June 30, 2019		99,561.898		$	261,798,509			13,481.561		$	38,700,109

Net income (loss) for the three months ended September 30, 2019					18,039,515						2,682,188
Additions		1,804.464			5,154,277			0.000			0
Redemptions		(3,331.196	)		(9,407,495	)		(369.314	)		(1,143,746	)
Offering costs					(349,413	)					0
Balances at September 30, 2019		98,035.166		$	275,235,393			13,112.247		$	40,238,551

Net Asset Value per Other Unitholders’ Unit - Series A
	September 30, 2020	June 30, 2020		March 31, 2020			December 31, 2019
$	2,383.91	$	2,545.55	$	2,704.25	$	2,568.01

	September 30, 2019	June 30, 2019		March 31, 2019			December 31, 2018
$	2,807.52	$	2,629.51	$	2,483.75	$	2,383.34

Net Asset Value per Other Unitholders’ Unit - Series B
	September 30, 2020	June 30, 2020		March 31, 2020			December 31, 2019
$	2,618.85	$	2,792.92	$	2,963.33	$	2,810.51

	September 30, 2019	June 30, 2019		March 31, 2019			December 31, 2018
$	3,068.78	$	2,870.60	$	2,708.58	$	2,595.35

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

STATEMENTS OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (Unaudited)

	Series D - Other Unitholders						Series W - Other Unitholders						Trust
	Units			Amount			Units			Amount			Total Amount
Nine Months Ended September 30, 2020

Balances at December 31, 2019		3,366.350		$	3,507,300			8,389.889		$	25,473,386		$	309,506,621
Net income (loss) for the three months ended March 31, 2020					199,390						1,512,515			16,987,453
Additions		645.496			713,740			454.565			1,469,957			3,220,581
Redemptions		(94.688	)		(104,213	)		(394.076	)		(1,267,863	)		(8,350,486	)
Offering costs					(5,038	)					(33,974	)		(362,002	)
Balances at March 31, 2020		3,917.158		$	4,311,179			8,450.378		$	27,154,021		$	321,002,167

Net income (loss) for the three months ended June 30, 2020					(248,077	)					(1,449,118	)		(18,195,425	)
Additions		815.382			866,454			308.715			969,559			3,913,998
Redemptions		(99.350	)		(109,065	)		(81.679	)		(261,959	)		(7,365,163	)
Offering costs					(5,435	)					(33,359	)		(343,554	)
Balances at June 30, 2020		4,633.190		$	4,815,056			8,677.414		$	26,379,144		$	299,012,023

Net income (loss) for the three months ended September 30, 2020					(296,012	)					(1,536,773	)		(18,327,882	)
Additions		377.613			379,026			231.505			687,509			1,475,867
Redemptions		0.000			0			(156.147	)		(453,963	)		(9,864,199	)
Offering costs					(5,946	)					(32,070	)		(315,465	)
Balances at September 30, 2020		5,010.803		$	4,892,124			8,752.772		$	25,043,847		$	271,980,344

Nine Months Ended September 30, 2019

Balances at December 31, 2018		1,569.589		$	1,517,078			9,306.953		$	25,704,987		$	333,891,934
Net income (loss) for the three months ended March 31, 2019					71,088						1,230,838			13,898,279
Additions		0.000			0			16.012			43,708			1,088,823
Redemptions		0.000			0			(521.852	)		(1,483,217	)		(25,690,681	)
Offering costs					(1,923	)					(32,369	)		(410,397	)
Balances at March 31, 2019		1,569.589		$	1,586,243			8,801.113		$	25,463,947		$	322,777,958

Net income (loss) for the three months ended June 30, 2019					98,275						1,608,375			18,975,549
Additions		45.684			49,023			63.879			190,008			6,112,110
Redemptions		(51.255	)		(53,220	)		(431.580	)		(1,272,851	)		(19,415,785	)
Offering costs					(2,009	)					(32,463	)		(315,886	)
Balances at June 30, 2019		1,564.018		$	1,678,312			8,433.412		$	25,957,016		$	328,133,946

Net income (loss) for the three months ended September 30, 2019					94,797						1,937,094			22,753,594
Additions		819.067			935,309			61.448			202,023			6,291,609
Redemptions		0.000			0			(154.739	)		(515,786	)		(11,067,027	)
Offering costs					(2,487	)					(34,887	)		(386,787	)
Balances at September 30, 2019		2,383.085		$	2,705,931			8,340.121		$	27,545,460		$	345,725,335

Net Asset Value per Other Unitholders’ Unit - Series D
	September 30, 2020	June 30, 2020		March 31, 2020			December 31, 2019
$	976.32	$	1,039.25	$	1,100.59	$	1,041.87

	September 30, 2019	June 30, 2019		March 31, 2019			December 31, 2018
$	1,135.47	$	1,073.08	$	1,010.61	$	966.54

Net Asset Value per Other Unitholders’ Unit - Series W
	September 30, 2020	June 30, 2020		March 31, 2020			December 31, 2019
$	2,861.25	$	3,039.98	$	3,213.35	$	3,036.20

	September 30, 2019	June 30, 2019		March 31, 2019			December 31, 2018
$	3,302.77	$	3,077.88	$	2,893.26	$	2,761.91

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

FINANCIAL HIGHLIGHTS

FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series A units the three months and nine months ended September 30, 2020 and 2019. This information has been derived from information presented in the financial statements.

	Series A
	Three Months Ended September 30,						Nine Months Ended September 30,
	2020			2019			2020			2019
Per Unit Performance
(for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period	$	2,545.55		$	2,629.51		$	2,568.01		$	2,383.34

Income (loss) from operations:
Total net trading gains (losses) ₍₁₎		(135.32	)		195.78			(116.40	)		465.70
Net investment income (loss) ₍₁₎		(23.26	)		(14.24	)		(57.92	)		(31.78	)
Total net income (loss) from operations		(158.58	)		181.54			(174.32	)		433.92
Offering costs ₍₁₎		(3.06	)		(3.53	)		(9.78	)		(9.74	)
Net asset value per unit at end of period	$	2,383.91		$	2,807.52		$	2,383.91		$	2,807.52
Total Return ₍₄₎		(6.35	)%		6.77	%		(7.17	)%		17.80	%

Supplemental Data
Ratios to average net asset value:
Expenses prior to performance fee₍₃₎		4.31	%		4.41	%		4.34	%		4.39	%
Performance fee ₍₄₎		0.00	%		0.00	%		0.00	%		0.00	%
Total expenses		4.31	%		4.41	%		4.34	%		4.39	%
Net investment income (loss) _(2),(3)		(3.78	)%		(2.06	)%		(2.98	)%		(1.66	)%

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 transfers and redemptions.

(1)

Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

(2)	Excludes performance fee.

(3)	Annualized.

(4)	Not Annualized.

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

FINANCIAL HIGHLIGHTS

FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series B units the three months and nine months ended September 30, 2020 and 2019. This information has been derived from information presented in the financial statements.

	Series B
	Three Months Ended September 30,						Nine Months Ended September 30,
	2020			2019			2020			2019
Per Unit Performance
(for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period	$	2,792.92		$	2,870.60		$	2,810.51		$	2,595.35

Income (loss) from operations:
Total net trading gains (losses) ₍₁₎		(148.54	)		213.72			(128.19	)		507.92
Net investment income (loss) ₍₁₎		(25.53	)		(15.54	)		(63.47	)		(34.49	)
Total net income (loss) from operations		(174.07	)		198.18			(191.66	)		473.43
Net asset value per unit at end of period	$	2,618.85		$	3,068.78		$	2,618.85		$	3,068.78
Total Return ₍₄₎		(6.23	)%		6.90	%		(6.82	)%		18.24	%

Supplemental Data
Ratios to average net asset value:
Expenses prior to performance fee₍₃₎		4.32	%		4.42	%		4.34	%		4.40	%
Performance fee ₍₄₎		0.00	%		0.00	%		0.00	%		0.00	%
Total expenses		4.32	%		4.42	%		4.34	%		4.40	%
Net investment income (loss) _(2),(3)		(3.78	)%		(2.06	)%		(2.98	)%		(1.66	)%

(1)

(2)	Excludes performance fee.

(3)	Annualized.

(4)	Not Annualized.

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

FINANCIAL HIGHLIGHTS

FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series D units the three months and nine months ended September 30, 2020 and 2019. This information has been derived from information presented in the financial statements.

	Series D
	Three Months Ended September 30,						Nine Months Ended September 30,
	2020			2019			2020			2019
Per Unit Performance
(for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period	$	1,039.25		$	1,073.08		$	1,041.87		$	966.54

Income (loss) from operations:
Total net trading gains (losses) ₍₁₎		(55.29	)		78.37			(47.66	)		189.39
Net investment income (loss) ₍₁₎		(6.39	)		(14.54	)		(13.93	)		(16.47	)
Total net income (loss) from operations		(61.68	)		63.83			(61.59	)		172.92
Offering costs ₍₁₎		(1.25	)		(1.44	)		(3.96	)		(3.99	)
Net asset value per unit at end of period	$	976.32		$	1,135.47		$	976.32		$	1,135.47
Total Return ₍₄₎		(6.06	)%		5.81	%		(6.29	)%		17.48	%

Supplemental Data
Ratios to average net asset value:
Expenses prior to performance fee₍₃₎		3.05	%		3.04	%		3.02	%		3.04	%
Performance fee ₍₄₎		0.00	%		1.06	%		0.00	%		1.23	%
Total expenses		3.05	%		4.10	%		3.02	%		4.27	%
Net investment income (loss) _(2),(3)		(2.52	)%		(0.78	)%		(1.74	)%		(0.41	)%

(1)

(2)	Excludes performance fee.

(3)	Annualized.

(4)	Not Annualized.

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST

FINANCIAL HIGHLIGHTS

FOR THE THREE MONTHS AND NINE MONTHS ENDED SEPTEMBER 30, 2020 AND 2019 (Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series W units the three months and nine months ended September 30, 2020 and 2019. This information has been derived from information presented in the financial statements.

	Series W
	Three Months Ended September 30,						Nine Months Ended September 30,
	2020			2019			2020			2019
Per Unit Performance
(for a unit outstanding throughout the entire period)
Net asset value per unit at beginning of period	$	3,039.98		$	3,077.88		$	3,036.20		$	2,761.91

Income (loss) from operations:
Total net trading gains (losses) ₍₁₎		(161.88	)		229.15			(140.69	)		543.94
Net investment income (loss) ₍₁₎		(13.19	)		(0.12	)		(22.64	)		8.28
Total net income (loss) from operations		(175.07	)		229.03			(163.33	)		552.22
Offering costs ₍₁₎		(3.66	)		(4.14	)		(11.62	)		(11.36	)
Net asset value per unit at end of period	$	2,861.25		$	3,302.77		$	2,861.25		$	3,302.77
Total Return ₍₄₎		(5.88	)%		7.31	%		(5.76	)%		19.58	%

Supplemental Data
Ratios to average net asset value:
Expenses prior to performance fee₍₃₎		2.31	%		2.36	%		2.31	%		2.36	%
Performance fee ₍₄₎		0.00	%		0.00	%		0.00	%		0.00	%
Total expenses		2.31	%		2.36	%		2.31	%		2.36	%
Net investment income (loss) _(2),(3)		(1.78	)%		(0.02	)%		(0.97	)%		0.37	%

(1)

(2)	Excludes performance fee.

(3)	Annualized.

(4)	Not Annualized.

See Accompanying Notes to Financial Statements.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020

Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

A. General Description of the Trust

The Campbell Fund Trust (the “Trust”) is a Delaware statutory trust which operates as a commodity investment pool. The Trust engages in the speculative trading of futures contracts, forward currency contracts, and centrally cleared swap 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. Effective July 1, 2017, the Trust began offering units of beneficial interest classified into Series D units. The rights of the Series A units, Series B units, Series D units and Series W units are identical, except that the fees and commissions vary on a Series-by-Series basis. Series A, Series D and Series W commenced trading on October 1, 2008, October 1, 2017 and March 1, 2009, respectively. The initial minimum subscription for Series A units, Series D 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 1.G., Note 1.I., Note 2, Note 3 and Note 10 for an explanation of allocations and Series specific charges.

B. Regulation

As a registrant with the Securities and Exchange Commission (the “SEC”), the Trust is subject to the regulatory requirements under the Securities and Exchange Act of 1934. As a commodity investment pool, the Trust is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Trust executes transactions. Additionally, the Trust is subject to the requirements of futures commission merchants (the “futures brokers”) and interbank market maker 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, 2019. All adjustments of a normal recurring nature considered necessary for a fair presentation have been included herein.

The Trust meets the definition of an investment company according to the provisions of Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946-10, Financial Services – Investment Companies.

Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Realized gains or losses on spot trades associated with forward currency contract trading are included in realized gains or losses from forward currency trading. Unrealized gains and losses on open contracts (the difference between contract trade value 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 ASC 210-20, Offsetting - Balance Sheet. The fair value of futures (exchange-traded) contracts is based on 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.

Table of Contents

THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020

Centrally cleared credit default swaps and interest rate swap transactions are recorded on the trade date. Realized gains or losses are determined using the identified cost method. The fair value of centrally cleared swap contracts is determined by using current market quotations provided by an independent external pricing source. Valuation using an external pricing source involves the use of observable inputs in accordance with the fair value hierarchy. Any change in net unrealized gain or loss from the prior period is reported in the Statements of Operations. Period payments received or paid on swap contracts, commissions and fees associated with trading the swap contracts and cash payments received or made due to the underlying obligation in the event of a credit event are recorded as part of “Swap trading gains (losses) – Realized” in the Statements of Operations.

The daily exchange of variation margin associated with a CCCH centrally cleared derivative instrument is legally characterized as the daily settlement of the derivative instrument itself. Accordingly, the Trust accounts for the daily receipt or payment of variation margin associated with its centrally cleared interest rate swaps and futures as a direct reduction to the carrying value of the interest rate swap and future derivative asset or liability, respectively. The carrying amount of centrally cleared interest rate swaps and futures reflected in the Trust’s consolidated balance sheets is equal to the unsettled fair value of such instruments.

The fixed income investments are marked to market on the last business day of the reporting period using a third party vendor hierarchy of pricing providers who specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. 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.

D. Fair Value

The Trust follows the provisions of ASC 820, “Fair Value Measurements and Disclosures” (“ASC 820”). 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 and short term investments 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 that the Trust values using models or other valuation methodologies derived from observable market data. For centrally cleared swap contracts, the Trust uses current market quotations provided by an independent external pricing source to determine fair value. 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 September 30, 2020 and December 31, 2019, and for the periods ended September 30, 2020 and 2019 the Trust did not have any Level 3 assets or liabilities.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020

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 September 30, 2020 and December 31, 2019.

	Fair Value at September 30, 2020
Description	Level 1		Level 2			Level 3		Total
Investments
Fixed income securities	$	0	$	206,499,089		$	0	$	206,499,089

Other Financial Instruments
Exchange-traded futures contracts		4,479,583		0			0		4,479,583
Forward currency contracts		0		(1,419,789	)		0		(1,419,789	)
Credit default index swap contracts		0		828,546			0		828,546
Interest rate swap contracts		0		908,168			0		908,168
Total	$	4,479,583	$	206,816,014		$	0	$	211,295,597

	Fair Value at December 31, 2019
Description	Level 1			Level 2			Level 3		Total
Investments
Short term investments	$	4,780		$	0		$	0	$	4,780
Fixed income securities		0			257,548,052			0		257,548,052

Other Financial Instruments
Exchange-traded futures contracts		(8,139,937	)		0			0		(8,139,937	)
Forward currency contracts		0			(2,663,677	)		0		(2,663,677	)
Total	$	(8,135,157	)	$	254,884,375		$	0	$	246,749,218

The gross presentation of the fair value of the Trust’s derivatives by instrument type is shown in Note 12. See Condensed Schedules of Investments for additional detail categorization.

E. Cash and Cash Equivalents

Cash and cash equivalents includes cash and overnight money market investments at financial institutions.

F. Income Taxes

The Trust prepares calendar year U.S. federal and applicable state 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 2016 through 2019 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

G. 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, Series D units and Series W units will each bear the offering costs incurred in relation to the offering of Series A units, Series D units and Series W units, respectively. Offering costs are charged to Series A, Series D 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, Series D 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.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020

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, Series D units and Series W units will have no further obligation to Campbell & Company. At September 30, 2020 and December 31, 2019, the amount of unreimbursed offering costs incurred by Campbell & Company is $259,383 and $245,152 for Series A units, $91,914 and $78,736 for Series D units and $257,121 and $240,264 for Series W units, respectively.

H. 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.

I. Allocations

Income or loss (prior to calculation of the management 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, offering costs and performance fee applicable to such Series of units.

J. Recently Issued Accounting Pronouncements

In July 2017, the head of the United Kingdom Financial Conduct Authority announced the desire to phase out the use of the London Interbank Offered Rate (“LIBOR”) and other Interbank offered rates (IBORs) by the end of 2021. If IBORs cease to exist, the Company may need to renegotiate outstanding swaps which extend beyond 2021 to replace affected rates with the new standard that is established. There is currently no definitive information regarding the future utilization of IBORs or of any particular replacement rate. As such, the potential effect of any such event on our cost of capital and net investment income cannot yet be determined.

In August 2018, the FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement. The primary focus of ASU 2018-13 is to improve the effectiveness of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim periods within those fiscal years, beginning after December 15, 2019. An affected entity is permitted to adopt the removed or modified disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public companies only, until their effective date. Campbell & Company has adopted the new guidance, and management has determined its adoption has no material impact on the Trust’s financial statement disclosures.

K. Reclassifications

Certain 2019 amounts on the Statements of Financial Condition, Statements of Cash Flows, and in the Notes to the Financial Statements were reclassified to conform with the 2020 presentation. Specifically, a portion of cash and cash equivalents was reclassified in order to disclose the amount of cash at the interbank market maker on the Statements of Financial Condition and Statements of Cash Flows. In addition, trading gains and losses in Note 12 were reclassified to include and disclose the amounts of gains and losses on foreign currency cash balances at the futures brokers.

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.

Effective June 1, 2020, Series A units, Series B units, Series D units and Series W units pay the managing operator a monthly management fee equal to 1/12 of 2% (2% annually) of the Net Assets (as defined) of Series A units, Series B units, Series D units and Series W units as of the end of each month.

Prior to June 1, 2020, Series A units and Series B units paid the managing operator a monthly management fee equal to 1/12 of 4% (4% annually of which half, or 2%, was used to compensate selling agents for ongoing services) of the Net Assets (as defined) of Series A units and Series B units, respectively, as of the end of each month. Series D units paid the managing operator a monthly management fee equal to 1/12 of 2.75% (2.75%annually of which 0.75% was used to compensate selling agents) of the Net Assets (as defined) of Series D units as of the end of each month. Series W units paid the managing operator a monthly management fee equal to 1/12 of 2% (2% annually) of the Net Assets (as defined) of Series W units as of the end of each month.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020

Each Series of units will pay the managing operator a quarterly performance fee equal to 20% of the aggregate cumulative appreciation in Net Asset Value per Unit (as defined) exclusive of appreciation attributable to interest income on a Series-by-Series basis. The performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark). In determining the management fee and performance fee (the “fees”), adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The fees are typically paid in the month following the month in which they are earned. The fees are paid from the available cash at the Trust’s bank, broker or cash management custody accounts.

Note 3. SALES COMMISSION

Effective June 1, 2020, the managing operator pays an upfront sales commission based on Series A units sold by selling agents who have executed selling agreements with the Trust. The Trust pays commissions based on Series A, Series B, and Series D units. Prior to June 1, 2020 the commissions were included with the management fee and paid by the Trust to managing operator.

For Series A, there is an upfront sales commission paid by the managing operator of 2% of the subscription amount of each subscription for units. For up to twelve months after the sale of units, the managing operator will receive from the Trust a monthly reimbursement of 1/12 of 2% (2% annually) of the current net asset value of the units the selling agent has sold and which are outstanding at the end of such month. In the event that the units are redeemed before the twelfth month, the managing operator will receive the redemption fee the Trust deducts from the redemption proceeds. In addition, commencing thirteen months after the sale of units and in return for providing ongoing services to the unitholder, the Trust will pay the selling agent (or its assignees) a monthly trail commission of 1/12 of 2% (2% annually) of the current net asset value of the units it has sold and which are outstanding at the end of such month in respect of which the selling agent provides ongoing services.

Series B and Series D units pay a monthly trail commission of 1/12 of 2% (2% annually) and 1/12 of 0.75%, respectively, of the current net asset value of the units the selling agent has sold and which are outstanding at the end of such month in respect of which the selling agent provides ongoing services. Such ongoing compensation shall commence the first full month after the sale of the units.

Any monthly trail commission which is not paid to a selling agent pursuant to an executed selling or servicing agreement with the Trust will be rebated to unitholders in the form of a capital addition and is reported as such in the financial statements.

Note 4. 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 5. ADMINISTRATOR AND TRANSFER AGENT

Effective January 1, 2020, NAV Consulting, Inc. became the Administrator of the Trust. 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. Prior to January 1, 2020, Northern Trust Hedge Fund Services LLC served as the Administrator of the Trust.

NAV Consulting, Inc. serves as the Transfer Agent of the Trust. The Transfer Agent receives fees at rates agreed upon between the Trust and the Transfer Agent and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020

Note 6. CASH MANAGER AND CUSTODIAN

PNC Capital Advisors, LLC serves as the cash manager under the Investment Advisory Agreement to manage and control the liquid assets of the Trust. PNC Capital Advisors, LLC is registered as an investment adviser with the SEC of the United States under the Investment Advisers Act of 1940.

The Trust opened a custodial account at the Northern Trust Company (the “custodian”) and has granted the cash manager authority to make certain investments on behalf of the Trust provided such investments are consistent with the investment guidelines created by the managing operator. All securities purchased by the cash manager on behalf of the Trust will be held in the Trust’s 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 7. DEPOSITS WITH FUTURES BROKERS

The Trust deposits assets with UBS Securities LLC and Goldman Sachs & Co., 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.

Note 8. DEPOSITS WITH INTERBANK MARKET MAKER

The Trust’s counterparty with regard to its forward currency transactions is NatWest Markets Plc (“NatWest”). The Trust has entered into an International Swap and Derivatives Association, Inc. agreement (“ISDA Agreement”) with NatWest which governs these transactions. The credit ratings reported by the three major rating agencies for NatWest were considered investment grade as of September 30, 2020. Margin requirements are satisfied by the deposit of cash with NatWest. The Trust typically earns interest income on its assets deposited with NatWest.

Note 9. DEPOSITS WITH SWAPS BROKER

The Trust deposits cash with Goldman, Sachs & Co. to act as swaps broker for its centrally cleared swap contracts, subject to Commodity Futures Trading Commission regulations and central counterparty and broker requirements. Margin requirements are satisfied by the deposit of cash with such swaps broker. Accordingly, assets used to meet margin and other broker or regulatory requirements are partially restricted. The Trust typically earns interest on its credit balances and pays interest on debit balances with the swaps broker.

The Trust pays commissions to the swaps broker on a transaction basis at rates agreed upon between the Trust and the swaps broker.

Note 10. 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 eighth 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 nine months ended September 30, 2020 and 2019, Campbell & Company received redemption fees of $708 and $36, respectively.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020

Note 11. CREDIT DERIVATIVES AND CREDIT-RELATED CONTINGENCY FEATURES

Credit derivatives generally require the seller to make a payment to the buyer in the event the underlying referenced security or index to the contract defaults or another triggering event, as defined in the applicable derivative contract, occurs. The Trust sells credit derivative contracts for speculative investment purposes. The following table summarizes the notional amounts of credit derivative contracts sold by the Trust by their maturity for contracts which are outstanding at September 30, 2020 and December 31, 2019. Notional amounts are disclosed as they represent the maximum potential payout, however, management believes that the fair value of these contracts is a more relevant measure of these obligations. At September 30, 2020 and December 31, 2019, the fair value of such credit derivative contracts sold was $828,546 and $0, respectively.

	September 30, 2020		December 31, 2019
Credit Default Index Swaps	Maturity Date: December 2025		Not Applicable
Investment grade	$	41,068,155	$	0
Non-investment grade	$	27,045,773	$	0
Total	$	68,113,928	$	0

The Trust does not monitor its exposure to credit derivatives based on the notional amounts because that measure does not take into consideration the probability of a credit default event, the legal right to offset assets and liabilities by a counterparty, or collateral posted. However, the notional value of these credit derivative contracts has been included to provide information about the magnitude of involvement with these types of contracts.

Note 12. TRADING ACTIVITIES AND RELATED RISKS

The Trust engages in the speculative trading of U.S. and foreign futures contracts, forward currency contracts and centrally cleared swap contracts (collectively, “derivatives”). Specifically, the Trust trades a portfolio focused on futures, forward, credit default swap and interest rate swap contracts, which are instruments designed to hedge changes in interest rates, currency exchange rates, stock index values, metals, energy, agriculture values, and credit risks. 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. In July 2020, the Trust began trading centrally cleared swap contracts.

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. The value of an interest rate swap will change as market interest rates rise and fall in conjunction with whether the contract is to receive or pay a fixed interest rate. As a purchaser of credit default swaps, the Trust’s risk of loss is limited to any cash payments required under the swap contracts. Written credit default contracts (i.e., sell protection) expose the Trust to a market risk equal to the notional value of such swap contracts and any cash payments required under the swap contracts. 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.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020

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 September 30, 2020 and December 31, 2019 is as follows:

Type of Instrument *	Statements of Financial Condition Location	Asset Derivatives at September 30, 2020 Fair Value		Liability Derivatives at September 30, 2020 Fair Value			Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts	$	1,585,973	$	(355,267	)	$	1,230,706
Energy Contracts	Net unrealized gain (loss) on open futures contracts		1,784,870		(101,555	)		1,683,315
Metal Contracts	Net unrealized gain (loss) on open futures contracts		4,076,724		(3,059,831	)		1,016,893
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		802,296		(1,460,875	)		(658,579	)
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		176,731		(34,877	)		141,854
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		1,621,221		(555,827	)		1,065,394
Forward Currency Contracts	Net unrealized gain (loss) on open Forward Currency Contracts		13,975,697		(15,395,486	)		(1,419,789	)
Credit Default Index Swap Contracts	Credit default index swaps		1,576,178		(747,632	)		828,546
Interest Rate Swap Contracts	Interest rate swaps		1,078,458		(170,290	)		908,168
Totals		$	26,678,148	$	(21,881,640	)	$	4,796,508

* Derivatives not designated as hedging instruments under ASC 815

Type of Instrument *	Statements of Financial Condition Location	Asset Derivatives at December 31, 2019 Fair Value		Liability Derivatives at December 31, 2019 Fair Value			Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts	$	193,039	$	(2,931,321	)	$	(2,738,282	)
Energy Contracts	Net unrealized gain (loss) on open futures contracts		1,761,936		(275,743	)		1,486,193
Metal Contracts	Net unrealized gain (loss) on open futures contracts		5,593,742		(8,006,981	)		(2,413,239	)
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		1,340,862		(1,169,714	)		171,148
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		314,422		(1,080,128	)		(765,706	)
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		1,421,030		(5,301,081	)		(3,880,051	)
Forward Currency Contracts	Net unrealized gain (loss) on open Forward Currency Contracts		23,303,459		(25,967,136	)		(2,663,677	)
Totals		$	33,928,490	$	(44,732,104	)	$	(10,803,614	)

* Derivatives not designated as hedging instruments under ASC 815

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020

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 three months and nine months ended September 30, 2020 and 2019 is as follows:

Type of Instrument	Trading Gains/(Losses) for the Three Months Ended September 30, 2020			Trading Gains/(Losses) for the Three Months Ended September 30, 2019
Agriculture Contracts	$	(6,064,325	)	$	3,759,594
Energy Contracts		(2,844,671	)		(3,398,818	)
Metal Contracts		7,813,156			736,004
Stock Indices Contracts		(7,291,044	)		5,330,232
Short-Term Interest Rate Contracts		(55,287	)		(205,802	)
Long-Term Interest Rate Contracts		(2,769,114	)		13,833,873
Forward Currency Contracts		(4,568,196	)		4,867,544
Credit default index swap contracts		142,020			0
Interest rate swap contracts		566,176			0
Total	$	(15,071,285	)	$	24,922,627

Type of Instrument	Trading Gains/(Losses) for the Nine Months Ended September 30, 2020			Trading Gains/(Losses) for the Nine Months Ended September 30, 2019
Agriculture Contracts	$	(5,761,777	)	$	(507,740	)
Energy Contracts		5,543,929			(7,016,118	)
Metal Contracts		14,711,177			(3,915,875	)
Stock Indices Contracts		(51,620,545	)		23,044,135
Short-Term Interest Rate Contracts		16,033,843			15,598,416
Long-Term Interest Rate Contracts		1,932,113			35,625,445
Forward Currency Contracts		7,160,482			(1,769,489	)
Credit default index swap contracts		142,020			0
Interest rate swap contracts		566,176			0
Total	$	(11,292,582	)	$	61,058,774

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020

Line Item in the Statements of Operations	Trading Gains/(Losses) for the Three Months Ended September 30, 2020			Trading Gains/(Losses) for the Three Months Ended September 30, 2019
Futures trading gains (losses):
Realized**	$	(14,195,388	)	$	30,127,764
Change in unrealized		2,984,104			(10,072,681	)
Forward currency trading gains (losses):
Realized**		(6,854,797	)		(573,244	)
Change in unrealized		2,286,601			5,440,788
Swap trading gains (losses):
Realized		525,424			0
Change in unrealized		182,771			0
Total	$	(15,071,285	)	$	24,922,627

Line Item in the Statements of Operations	Trading Gains/(Losses) for the Nine Months Ended September 30, 2020			Trading Gains/(Losses) for the Nine Months Ended September 30, 2019
Futures trading gains (losses):
Realized***	$	(31,780,779	)	$	68,472,848
Change in unrealized		12,619,520			(5,644,585	)
Forward currency trading gains (losses):
Realized***		5,916,594			3,800,316
Change in unrealized		1,243,888			(5,569,805	)
Swap trading gains (losses):
Realized		525,424			0
Change in unrealized		182,771			0
Total	$	(11,292,582	)	$	61,058,774

For the three months ended September 30, 2020 and 2019, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $11,066 and $(103,622), respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market maker of $1,167,357 and $978,763, respectively.

***

For the nine months ended September 30, 2020 and 2019, the amounts above include gains/(losses) on foreign currency cash balances at the futures brokers of $207,379 and $157,695, respectively, and gains/(losses) on spot trades in connection with forward currency trading at the interbank market maker of $(344,129) and $1,052,646, respectively.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020

For the three months ended September 30, 2020 and 2019, the monthly average of futures contracts bought and sold was approximately 59,400 and 46,000, respectively; the monthly average of notional value of centrally cleared swap contracts was approximately $534,400,000 and $0, respectively; and the monthly average of notional value of forward currency contracts was $2,471,300,000 and $2,868,800,000, respectively.

For the nine months ended September 30, 2020 and 2019, the monthly average of futures contracts bought and sold was approximately 52,400 and 49,200, respectively; the monthly average of notional value of centrally cleared swap contracts was approximately $534,400,000 and $0, respectively; and the monthly average of notional value of forward currency contracts was $2,237,700,000 and $3,327,500,000, respectively.

Open contracts generally mature within three months; as of September 30, 2020, the latest maturity date for open futures contracts is December 2021 and the latest maturity date for open forward currency contracts is December 2020. However, the Trust intends to close all futures and offset all forward currency contracts prior to maturity. The latest termination date for centrally cleared swap contracts is December 2025.

Credit Risk

The Trust trades futures contracts on exchanges that require margin deposits with the futures brokers and centrally cleared swap contracts that require margin deposits with the swaps broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a futures broker or swaps broker to segregate all customer transactions and assets from such futures broker’s or swaps broker’s proprietary activities. A customer’s cash and other property (for example, U.S. Treasury Bills) deposited with a futures broker or swaps broker are considered commingled with all other customer funds subject to the futures broker’s or swaps broker’s segregation requirements. In the event of a futures broker’s or swaps 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.

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

The Trust has entered into ISDA Agreements with NatWest. Under the terms of the ISDA Agreement, 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 master netting agreement with UBS Securities and Goldman, upon occurrence of a default by the Trust, as defined in respective account documents, UBS Securities and Goldman 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 brokers, swaps 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 September 30, 2020 and December 31, 2019 was $43,871,907 and $53,641,527, respectively, which equals approximately 16% and 17% of Net Asset Value, respectively. Included in cash deposits with the futures brokers, swaps broker and interbank market maker at September 30, 2020 and December 31, 2019 was restricted cash for margin requirements of $33,325,910 and $34,464,229, respectively, which equals approximately 12% and 11% of Net Asset Value, respectively.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020

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 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 by Counterparty
As of September 30, 2020
Type of Instrument	Counterparty	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	5,132,933	$	(2,866,258	)	$	2,266,675
Futures contracts	Goldman Sachs & Co.		4,914,882		(2,701,974	)		2,212,908
Forward currency contracts	NatWest Markets Plc		13,975,697		(13,975,697	)		0
Centrally cleared swap contracts	Centrally Cleared		2,654,636		(917,922	)		1,736,714
Total derivatives		$	26,678,148	$	(20,461,851	)	$	6,216,297

Derivative Assets and Collateral Received by Counterparty
As of September 30, 2020
	Net Amounts of Unrealized Gain		Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	in the Statements of Financial Condition		Financial Instruments		Cash Collateral Received		Net Amount
UBS Securities LLC	$	2,266,675	$	0	$	0	$	2,266,675
Goldman Sachs & Co.		2,212,908		0		0		2,212,908
NatWest Markets Plc		0		0		0		0
Centrally Cleared		1,736,714		0		0		1,736,714
Total	$	6,216,297	$	0	$	0	$	6,216,297

Offsetting of Derivative Liabilities by Counterparty
As of September 30, 2020
Type of Instrument	Counterparty	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statements of Financial Condition			Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	2,866,258	$	(2,866,258	)	$	0
Futures contracts	Goldman Sachs & Co.		2,701,974		(2,701,974	)		0
Forward currency contracts	NatWest Markets Plc		15,395,486		(13,975,697	)		1,419,789
Centrally cleared swap contracts	Centrally Cleared		917,922		(917,922	)		0
Total derivatives		$	21,881,640	$	(20,461,851	)	$	1,419,789

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020

Derivative Liabilities and Collateral Pledged by Counterparty
As of September 30, 2020
	Net Amounts of Unrealized loss		Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	in the Statements of Financial Condition		Financial Instruments		Cash Collateral Pledged			Net Amount
UBS Securities LLC	$	0	$	0	$	0		$	0
Goldman Sachs & Co.		0		0		0			0
NatWest Markets Plc		1,419,789		0		(1,419,789	)		0
Centrally Cleared		0		0		0			0
Total	$	1,419,789	$	0	$	(1,419,789	)	$	0

Offsetting of Derivative Assets by Counterparty
As of December 31, 2019
Type of Instrument	Counterparty	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition			Net Amounts of Unrealized Gain Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	5,396,065	$	(5,396,065	)	$	0
Futures contracts	Goldman Sachs & Co.		5,228,966		(5,228,966	)		0
Forward currency contracts	NatWest Markets Plc		23,303,459		(23,303,459	)		0
Total derivatives		$	33,928,490	$	(33,928,490	)	$	0

Derivative Assets and Collateral Received by Counterparty
As of December 31, 2019
	Net Amounts of Unrealized Gain		Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	in the Statements of Financial Condition		Financial Instruments		Cash Collateral Received		Net Amount
UBS Securities LLC	$	0	$	0	$	0	$	0
Goldman Sachs & Co.		0		0		0		0
NatWest Markets Plc		0		0		0		0
Total	$	0	$	0	$	0	$	0

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020

Offsetting of Derivative Liabilities by Counterparty
As of December 31, 2019
Type of Instrument	Counterparty	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Statements of Financial Condition			Net Amounts of Unrealized Loss Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	9,348,737	$	(5,396,065	)	$	3,952,672
Futures contracts	Goldman Sachs & Co.		9,416,231		(5,228,966	)		4,187,265
Forward currency contracts	NatWest Markets Plc		25,967,136		(23,303,459	)		2,663,677
Total derivatives		$	44,732,104	$	(33,928,490	)	$	10,803,614

Derivative Liabilities and Collateral Pledged by Counterparty
As of December 31, 2019
	Net Amounts of Unrealized loss		Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty	in the Statements of Financial Condition		Financial Instruments		Cash Collateral Pledged			Net Amount
UBS Securities LLC	$	3,952,672	$	0	$	(3,952,672	)	$	0
Goldman Sachs & Co.		4,187,265		0		(4,187,265	)		0
NatWest Markets Plc		2,663,677		0		(2,663,677	)		0
Total	$	10,803,614	$	0	$	(10,803,614	)	$	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.

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THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2020

Note 13. 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 14. INTERIM FINANCIAL STATEMENTS

The Statements of Financial Condition, including the Condensed Schedules of Investments, as of September 30, 2020 and December 31, 2019, the Statements of Operations and Financial Highlights for the three months and nine months ended September 30, 2020 and 2019, and the Statements of Cash Flows and Changes in Unitholders’ Capital (Net Asset Value) for the nine months ended September 30, 2020 and 2019 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 September 30, 2020 and December 31, 2019, the results of operations and financial highlights for the three months and nine months ended September 30, 2020 and 2019, and cash flows and changes in unitholders’ capital (Net Asset Value) for the nine months ended September 30, 2020 and 2019.

Note 15. SUBSEQUENT EVENTS

Management of the Trust has evaluated subsequent events through the date the financial statements were filed. There are no subsequent events to disclose or record.

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Item 2. 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 W5

As of September 30, 2020, the aggregate capitalization of the Trust was $271,980,344 with Series A, Series B, Series D and Series W comprising $210,687,834, $31,356,539, $4,892,124 and $25,043,847, respectively, of the total. The Net Asset Value per Unit was $2,383.91 for Series A, $2,618.85 for Series B, $976.32 for Series D and $2,861.25 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 realized and change in unrealized trading gains (losses) in the Statements of Operations. Generally, fair values are based on market prices; however, in certain circumstances, estimates are involved in determining fair value in the absence of an active market closing price (i.e., forward contracts which are traded in the inter-bank market).

Capital Resources

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

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

Liquidity

Most United States commodity exchanges limit fluctuations in the prices of futures contracts 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.

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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 brokers and the over-the-counter counterparties. This does not reduce the risk of loss from trading futures, forward and swap contracts. The Trust receives all interest earned on its assets. No other person shall receive any interest or other economic benefits from the deposit of Trust assets.

Approximately 10% to 30% of the Trust’s assets normally are committed as required margin for futures contracts and held by the futures brokers, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury bills in segregated accounts with the futures brokers pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 5% to 15% of the Trust’s assets are deposited with over-the-counter counterparties in order to initiate and maintain forward or swap contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparties.

The managing operator deposits the majority of those assets of the Trust that are not required to be deposited as margin with the futures 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 invests 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, agency, or municipal securities; (ii) banker acceptances or certificates of deposits; (iii) commercial paper or money market securities; (iv) short-term, investment-grade corporate debt securities; or (v) investment-grade, asset backed securities.

The Trust occasionally receives margin calls (requests to post more collateral) from its futures brokers or over-the-counter counterparties, which are met by moving the required portion of the assets held in the custody accounts at Northern Trust Company to the margin accounts. In the past three years, the Trust has not needed to liquidate any position as a result of a margin call.

The Trust’s assets are not and will not be, directly or indirectly, commingled with the property of any other person in violation of law or invested in or loaned to Campbell & Company or any affiliated entities.

Off-Balance Sheet Risk

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Trust trades in futures, forward and swap contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Trust, market risk, that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Trust at the same time, and if the Trust’s trading advisor was unable to offset futures interests positions of the Trust, the Trust could lose all of its assets and the Unitholders would realize a 100% loss. Campbell & Company, the managing operator (who also acts as trading advisor), minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30% however, these precautions may not be effective in limiting the risk of loss.

In addition to market risk, in entering into futures, forward, and swap contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Trust. The counterparty for futures contracts and centrally cleared swap contracts traded in the United States and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.

In the case of forward contracts, which are traded on the interbank market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a group of financial institutions; thus there may be a greater counterparty credit risk. Campbell & Company trades for the Trust only with those counterparties which it believes to be creditworthy. All positions of the Trust are valued each day at fair value. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Trust.

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Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts Accounted for at Fair Value

The Trust invests in futures, forward currency, and centrally cleared swap contracts. The fair value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of the last business day of the reporting period. The fair value of forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) of the last business day of the reporting period. The fair value of centrally cleared swap contracts is determined by using currency market quotations provided by an independent external pricing source.

Results of Operations

The returns for the nine months ended September 30, 2020 and 2019 for Series A were (7.17)% and 17.80%, Series B were (6.82)% and 18.24%, Series D were (6.29)% and 17.48%, and Series W were (5.76)% and 19.58%, respectively.

During the nine months ended September 30, 2020 and 2019, the Trust accrued management fees in the amount of $7,077,889 and $9,695,861, respectively, and paid management fees in the amount of $7,611,669 and $9,688,872, respectively. The Trust accrued performance fees in the amount of $0 and $21,165, respectively, and paid performance fees in the amount of $0 and $0, respectively.

2020 (For the Nine Months Ended September 30)

Of the (7.17)% return for the nine months ended September 30, 2020 for Series A, approximately (3.99)% was due to trading losses (before commissions) and approximately (4.20)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series A, offset by approximately 1.02% due to investment income.

Of the (6.82)% return for the nine months ended September 30, 2020 for Series B, approximately (3.99)% was due to trading losses (before commissions) and approximately (3.85)% due to brokerage fees, management fees and operating costs incurred by Series B, offset by approximately 1.02% due to investment income.

Of the (6.29)% return for the nine months ended September 30, 2020 for Series D, approximately (3.99)% was due to trading losses (before commissions) and approximately (3.32)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series D, offset by approximately 1.02% due to investment income.

Of the (5.76)% return for the nine months ended September 30, 2020 for Series W, approximately (3.99)% was due to trading losses (before commissions) and approximately (2.79)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series W, offset by approximately 1.02% due to investment income.

An analysis of the (3.99)% trading losses by sector is as follows:

Sector	% Gain (Loss)
Credit		0.14	%
Commodities		4.41	%
Currencies		1.98	%
Interest Rates		4.98	%
Stock Indices		(15.50	)%
		(3.99	)%

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The Trust had a strong start to 2020 with gains coming from interest rate, commodity, and foreign exchange positions, while stock index holdings provided some partially offsetting losses. Long positioning in Australia, Europe, and the United States benefited as prices advanced on a flight to safety bid sparked by the worsening Wuhan coronavirus outbreak. A short position on the Canadian 10-year note created some partially offsetting losses, which were accelerated by downward pressure on yields prompted by a dovish shift by Bank of Canada policymakers. Commodity holdings produced additional profits for the Trust in January, with the energy sub-sector realizing the best results. Short positioning on natural gas proved profitable as milder weather across the US weighed on demand prospects. Additional gains were generated from short industrial metal holdings. The base metal complex traded weaker as the coronavirus epidemic raised investor concerns about its negative impact on the Chinese economy. Downward price pressure was further intensified by a strong dollar as well as technical selling. In the foreign exchange sector, positive returns were generated in the developed market currencies. Short positions on the Norwegian krone and Australian dollar (against long the US dollar) provided some of the best profits. The commodity-linked currencies came under pressure as commodity prices sold-off on concerns that the worsening coronavirus outbreak would pare Chinese demand for raw materials. A long Brazilian real holding produced some partially offsetting losses after risk fell out of favor and investors sold emerging market currencies. Global stock index trading produced losses for the Trust during January. Long positioning across most global stock indexes profited early in the month amid the ratification of the “phase one” US-China trade deal, renewed central bank balance sheet expansion, Brexit clarity, and some better than expected US earnings releases. However, profits were relinquished in the second-half of the month as stocks traded lower following risk-off trading as the coronavirus outbreak intensified.

Gains from interest rate, foreign exchange, and commodity positions led to a profitable February for the Trust, while stock index holdings produced some partially offsetting losses. Long positioning in Australia and the United States continued to benefit as prices advanced on flight to safety buying sparked by the worsening COVID-19 coronavirus epidemic. Investors aggressively sought the safety of fixed income instruments, sending global yields tumbling and expectations for further central bank stimulus soaring. In the foreign exchange sector, positive returns were generated in the developed and emerging market currencies. Short positions on the Australian dollar and Norwegian krone (against long the US dollar) provided some of the best profits for the sector. These commodity-linked currencies came under renewed selling pressure during February. The widening spread of COVID-19 to countries outside of China, such as Japan, South Korea, and Italy, sparked new concerns that global economic growth would slow materially, thus blunting the demand for raw materials. Short positioning on the industrial metal, energy, and meat complexes profited from a decline in prices. The expanding COVID-19 outbreak is widely expected to negatively impact demand for base metal, petroleum, and beef products. Downward price pressure was further intensified by a strong US dollar as well as technical selling. Global stock index trading produced losses for the Trust during February with the greatest declines seen in Australia, Japan, and the United States. Long positioning across most global stock indexes generally profited during the first two-thirds of the month. However, late in February global stock indexes experienced steep sell-offs sparked by the coronavirus’s quick spread to countries outside of China where it initially began. World economic growth fears and supply chain disruption concerns spread rapidly, sending most global stock indexes sharply lower.

The Trust had an unprofitable March, with losses coming from stock index and interest rate holdings, while foreign exchange and commodity positions contributed some partially offsetting gains during the month. Global stock index trading produced the largest losses for the Trust, with the greatest declines seen in the United States, Australia, and Canada. Long positioning across most global stock indexes suffered severely as equity indexes experienced very sharp sell-offs during the month. The COVID-19 virus spread quickly throughout Europe and North America prompting containment measures in the form of “stay at home” directives, closures, and shutdowns that sharply curtailed economic activity. Global central banks and governments took unprecedented steps in an effort to soften the financial impact from the virus, but fear over the length and depth of the growth slowdown sent risky assets sharply lower. Interest rate positions from long-dated instruments contributed small additional losses during the month. Short positioning on US 10-year notes and US long bonds suffered amid the flight-to-safety scramble that ensued due to the severe economic upheaval wrought by the COVID-19 virus. Long positioning across global short-dated instruments helped to partially offset losses within the sector. Profits were dominated by short positions on the commodity currencies (versus long the USD), specifically in the Norwegian krone. The US dollar was sharply higher during the month amid the extreme flight-to-quality moves. Adding further downward pressure on oil-linked currencies, the petroleum markets sold off severely when tensions escalated between OPEC and Russia, and Saudi Arabia made the decision to ramp up production. Commodity holdings produced additional profits for the Trust during the month. Short positioning on the industrial metal, energy, and meat complexes profited from a decline in prices. The expanding COVID-19 pandemic is widely expected to negatively impact demand for base metal, petroleum, and beef products. Downward price pressure was further intensified by a strong US dollar as well as technical selling.

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The Trust’s losses in April came from foreign exchange and interest rate holdings, while stock index and commodity positions contributed some partially offsetting gains during the month. Short positioning on several of the developed market currencies, namely the Australian dollar and New Zealand dollar, produced losses when those currencies rallied on a partial lifting of COVID-19 containment measures in those countries. Interest rate positions from long-dated instruments contributed additional losses to the portfolio. Long positions on Australian 10-year bonds suffered after the RBA tapered bond-buying operations and the country became one of the first to meaningfully ease lockdown restrictions. Short German Bund positions added to losses as Germany’s debt rallied versus periphery European bonds with Germany weathering the effects of COVID-19 better than their Eurozone counterparts. Stock indexes rebounded considerably from the oversold conditions seen during March as the United States and other countries laid out plans to reopen their economies from the COVID-19 lockdown that has proven to be very damaging to local, regional, and global economic growth. The Trust held a mixture of long and short positioning across global stock indexes during the month. Ultimately the gains on long positions more than offset losses experienced on any short holdings, leading to positive net P&L within the sector. Commodity holdings produced additional partially offsetting profits for the Trust during the month. Short positioning on the petroleum complex produced a bulk of the sector’s profits. Crude oil sold off sharply on the lethal combination of COVID-19 “stay at home” induced demand destruction linked with a shortage of available storage capacity. The May WTI futures contract went below zero for the first time in history as long holders scrambled to sell before contract expiration in order to avoid taking physical delivery given the scarcity of demand and lack of available storage space.

Losses in May once again came from foreign exchange, as well as commodity and stock index holdings, while interest rate positions contributed some gains. May’s short positioning on several of the so-called commodity currencies, namely the Norwegian krone and Australian dollar, produced losses when those currencies rallied strongly. Fueling the run-up was a sharp rebound in many beaten down commodity markets, specifically the energy complex, as optimism grew that the worst of the COVID-19 crisis was over. A long position on the Canadian dollar (versus short the US dollar) contributed some partially offsetting gains for the sector on the same commodity currency drivers cited above. Commodity holdings produced additional losses for the Trust during the month. Short positioning on the energy, grain, and industrial metal complexes showed losses as those markets rallied driven by the improving COVID-19 crisis. A long holding on precious metals, specifically silver, produced some partially offsetting gains for the sector as expected industrial demand overwhelmed limited supplies of the metal. Short positioning on stock indexes in Europe and Japan suffered as most global stock indices continued to bounce higher from the March COVID-19 crisis lows. Regional economic re-openings linked with no new major spikes in coronavirus cases fueled the equity optimism. A long position on the Hong Kong Hang Seng index added to sector losses as that market was one of the few global indexes to sell-off during May. China’s legislature approved a proposal to impose a highly contentious national security law in the semi-autonomous territory which sparked the regional equity sell-off. Interest rate positions from both long and short-dated instruments contributed partially offsetting gains to the Trust in May. A short position on the German 10-year note was one of the most profitable markets in the sector. The German Bund sold-off during the month (prices lower and yields higher) as signs of improvement in the coronavirus crisis caused traders to shun safe haven assets in favor of riskier ones.

Foreign exchange trading in both the emerging and developed markets produced losses for the Trust during June. The greatest declines were seen in the Norwegian krone, Australian dollar, and certain Latin American currencies. These commodity-linked currencies strengthened to start the month, causing some strategies to cover their previously held long positions, only to reverse those moves later in June. The investor exuberance over additional government stimulus and the economic re-openings quickly wore off on reports of increasing COVID-19 infection outbreaks. Short soft commodity and industrial metal holdings suffered as the dollar weakened early in the month and as optimism over a rapid recovery in economic growth bolstered prices. Short grain positions produced losses on the last trading day of the month as the grain complex rallied sharply after the USDA reported acreage that trailed estimates. Within the energy sub-sector, a short natural gas holding provided some offsetting gains amid plummeting US gas exports as well as shifting weather and market supply dynamics. Meanwhile, stock index trading generated some offsetting gains. The Trust held a mix of long and short positions across the traded universe of indexes and showed a gain in Asia and North America, but partially offsetting losses were realized in Europe. Most global indexes experienced a choppy month amid mixed coronavirus news coupled with hopes for more stimulus from central banks. Interest rate positions from long-dated instruments also contributed small offsetting gains during the month. The Bank of Japan signaled plans to buy more shorter-maturity bonds which caused the yield curve to steepen and benefited our short positioning on longer-dated Japanese government bonds.

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July saw losses for the Trust, driven primarily from stock index holdings and foreign exchange trading in the emerging and developed markets. The United States’ inability to get the COVID-19 virus under control in the face of other nations of the world seemingly better able to handle the crisis generated concern that US economic growth would lag other countries, leading the FOMC to keep highly accommodative monetary easing in place longer. This dichotomy weakened the US dollar to two-year lows hurting the Trust’s long US dollar positioning against many other currencies. Stock index trading also generated losses for the Trust during July. Long positioning, primarily in Asia-Pacific and Europe, produced the bulk of the sector’s decline. Late in the month both the Asia-Pacific and European regions began to see an uptick in COVID-19 virus cases. Regional governments were quick to discuss the possibility of once again needing to shutdown economies to halt the spread which led to rapid risk-off sentiment in equity markets leading to lower prices. Commodity trading generated the best partially offsetting profits for the Trust. Long positioning on silver and gold proved profitable as both metals showed strong monthly gains. The aforementioned drivers of US dollar weakness were the primary cause of precious metal subsector gains. Some partially offsetting losses came from the grain and energy subsectors. Short grain holdings generated losses as the grain complex rallied during the month on poor crop conditions in the US Plains. Short positioning on natural gas suffered as high summer electric demand in the US sparked high price volatility that the systematic models failed to trade profitably. Interest rate positions from both short-dated and long-dated instruments also contributed gains during July. Long positioning on fixed income instruments profited as prices rose (yields fell) amid US/Chinese geopolitical tensions and as high uncertainty over the course of the COVID-19 crisis led to demand for safe haven assets.

Interest rate positions from both short-dated and long-dated instruments contributed some of the largest losses for the Trust during August. Long positioning on a variety of global fixed income instruments suffered as prices fell (yields rose). The COVID-19 crisis and related emergency fiscal spending has created the need for many governments around the world to finance this spending with new and, in some cases, record levels of debt issuance. That issuance put downward pressure on most global sovereign bond instruments which created losses for the Trust. Commodity trading also experienced sizeable losses for the Trust. A short position on natural gas generated large losses as that commodity rose over 30% during the month. Hot temperatures across the United States drove demand for natural gas for electricity generation to power air conditioning while inventory data showed storage at lower than expected levels. Some partially offsetting gains were experienced in long industrial metals positioning. Longs on copper and nickel profited as prices rose amid signs of a global supply shortage in the face of rising demand from countries such as China. Stock index trading generated partially offsetting gains for the Trust during August. Long positioning, especially in the United States, Canada, Japan, and Germany, produced profits as indexes in those countries experienced strong gains. A lessening of COVID-19 infections, signs that some governments were less willing to renew economic shutdowns to manage the virus crisis, and ongoing monetary and fiscal stimulus actions were all supportive of global stocks during the month. Lastly, foreign exchange trading contributed small additional gains during the month. Losses in emerging FX markets were more than offset by gains in developed FX positions, leading to a net profit within the asset class.

The Trust showed a loss in September, with interest rate positions from long-dated securities once again contributing some of the largest Trust profits during September. Long positioning on a variety of global fixed income instruments gained as prices rose (yields fell). September had a pronounced risk-off tone that benefitted fixed income holdings due to their attractive safe haven qualities. Overbought conditions in US tech stocks, a lack of progress on another US fiscal stimulus package, some signs that the global economic recovery was stalling, US Presidential election uncertainty, and signs that a new wave of COVID-19 cases was emerging in a variety of regions around the globe all led to the general risk-off malaise. Commodity trading also added gains for the Trust. A short position on natural gas generated profits as that market fell over 10% during the month. Swelling inventories linked with cooler temperatures in much of the United States were the catalyst to lower natural gas prices. A short position on gasoil also proved profitable amid anemic demand as the COVID-19 pandemic crimped diesel fuel purchases. Some partially offsetting losses were experienced in long industrial metal and long grain holdings. Prices in these two subsectors were depressed during the month by a strengthening US dollar on flight to safety buying. Foreign exchange trading contributed small losses during the month. Gains in emerging FX markets were more than offset by losses in developed FX positions, leading to a small net loss within the asset class. Stock index trading generated the largest losses for the Trust during September. Long positioning, especially in Europe, Australia, the UK, and Canada, produced losses as indexes in those countries declined amid the risk-off environment that dominated the month. Fresh virus outbreaks in the UK and Europe linked with concerns that the UK and the European Union were headed for a “no deal” Brexit weighed on equities in those countries. Falling commodity markets due to US dollar strength and concern over global growth prospects depressed equities in Australia and Canada.

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2019 (For the Nine Months Ended September 30)

Of the 17.80% return for the nine months ended September 30, 2019 for Series A, approximately 20.00% was due to trading gains (before commissions) and approximately 2.06% due to investment income, offset by approximately (4.26)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series A.

Of the 18.24% return for the nine months ended September 30, 2019 for Series B, approximately 20.00% was due to trading gains (before commissions) and approximately 2.06% due to investment income, offset by approximately (3.82)% due to brokerage fees, management fees and operating costs incurred by Series B.

Of the 17.48% return for the nine months ended September 30, 2019 for Series D, approximately 20.00% was due to trading gains (before commissions) and approximately 2.06% due to investment income, offset by approximately (4.58)% due to brokerage fees, management fees, performance fees, offering costs and operating costs incurred by Series D.

Of the 19.58% return for the nine months ended September 30, 2019 for Series W, approximately 20.00% was due to trading gains (before commissions) and approximately 2.06% due to investment income, offset by approximately (2.48)% due to brokerage fees, management fees, offering costs and operating costs incurred by Series W.

An analysis of the 20.00% trading gains by sector is as follows:

Sector	% Gain (Loss)
Commodities		(3.25	)%
Currencies		(0.75	)%
Interest Rates		16.64	%
Stock Indices		7.36	%
		20.00	%

The Trust, which consists of trend following, systematic macro, and short-term strategies, was lower in January. Losses came from commodity and foreign exchange positions, while fixed income and stock holdings produced partially offsetting gains for the Trust. Commodity trading generated losses for the Trust in January. Short energy positions suffered as the complex rebounded from multi-year lows on back of bullish fundamental developments and a general increase in risk sentiment. Short grain positioning also detracted as the sector traded higher amid adverse weather conditions in key growing regions, and some optimism surrounding the latest round of trade talks between the US and China. Foreign exchange positioning produced additional losses, with gains in long emerging market currencies (versus the USD) being overshadowed by losses in the developed markets, where we were net short against the greenback. The USD was broadly weaker on the month with the notable themes being the US government shutdown and a less hawkish FOMC. Short positioning on several of the commodity currencies produced the largest losses as those currencies rallied on back of the increase in prices across the petroleum complex during the month. Interest rate positions from long-dated instruments provided offsetting profits during the month. Long positioning on bonds issued by Australia, Canada, and France generated the largest gains. The shift in central bank rhetoric to a more dovish tone caused global fixed income markets to rise to start the year. Stock index positions also produced some offsetting gains during the month. Despite a myriad of global headwinds, stock markets recovered from their December sell-off, encouraged by a resumption of trade talks, dovish Fed takeaways, and the start of US Q4 earnings that mostly met expectations. Shorter term strategies moved from short to long, flipping net Trust positioning in time to capitalize on rallying equity markets, especially in the Hang Seng index.

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The Trust showed a profit in February with gains coming from commodity and stock index positions, while interest rate holdings produced some partially offsetting losses. Foreign Exchange (FX) had little P&L impact on the Trust during the month. Commodity trading generated profits for the Trust in February. Short positioning across the grain subsector produced some of the best sector gains. Wheat extended a sell-off to a ten-month low following a year-over-year improvement in winter crop conditions. A long position on palladium led gains in the precious metals subsector. Palladium rose to a record high amid tight supplies and steadily rising demand for the rare metal. Some partially offsetting losses came from the industrial metal subsector. Short positioning on copper and nickel suffered as prices rose, driven by signs of progress on US / Chinese trade talks and amid tight supplies. Stock index positions produced additional gains. Long positioning on European, US, and Asia-Pacific indices produced the best profits within the sector. European stock indices benefitted from signs of progress for a successful Brexit (the UK divorce from the European Union) with the Euro Stoxx 50 and the French CAC 40 producing some of the greatest sector returns. Asia-Pacific stocks rallied amid signs that a US / Chinese trade deal was also making positive progress. President Trump delayed a March 1^st tariff increase on China as he cited “significant progress” on the trade talks. Some of the biggest gains within the region came from Australia and Hong Kong. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting losses during the month. Long positioning on the United Kingdom (UK) gilt (10-year note) contributed the largest losses to the sector. Signs of positive progress on Brexit and hawkish comments from the UK central bank head Mark Carney conspired to send gilt prices down sharply from near-term highs. In the foreign exchange sector, gains in developed market currencies were almost equally offset by losses in the emerging market currencies, leading to negligible P&L for currencies overall. Long US dollar positioning was profitable against developed market currencies but losses in the emerging markets, especially from the Brazilian real and the South African rand, mostly negated any FX sector gains.

The Trust showed a profit in March with gains coming from interest rate and stock index holdings. Foreign exchange positions produced some partially offsetting losses while commodities had little impact on the Trust. Interest rate positions in long and short-dated instruments spearheaded Trust gains in March. More dovish than expected commentary from central bankers, growing global growth concerns, and persistently weak economic data ignited a sharp rally in bonds worldwide. Long positioning on the UK gilt provided the biggest gain as investors sought safe havens amidst Brexit gridlock. Net long positioning in US bonds generated additional gains after the FOMC scaled back projected interest-rate increases this year to zero and said they would end the drawdown of the central bank bond holdings in September. One of the most discussed bond headlines this month was the inversion of the US yield curve (3-month bills and 10-year note) for the first time since the global financial crisis. Long positioning on a variety of global stock indices also added to the positive monthly result. Stock index returns ebbed and flowed on the various themes of stalling global economy growth, dovish central bank rhetoric, US-China trade talks, and Brexit. Some of the best monthly stock index gains were found in Europe and the United States. Foreign exchange positioning on developed FX markets drove the sector’s losses during the month. The Trust started the month long the Canadian dollar (versus the USD) which ultimately weakened after a worse than expected Canadian GDP release. Small gains in the emerging market currencies helped offset some of the losses. Commodity holdings produced mixed results in March. Long energy positions detracted as upside momentum in the complex stalled alongside a pause in global risk sentiment. Precious metals also registered a negative contribution to the Trust, primarily from a long palladium position. After hitting new all-time highs, palladium prices plummeted in the waning days of the month as slowing global economic growth sparked demand worries. Short grains holdings provided offsetting gains as the complex sold-off into month-end following a bearish USDA grain report.

The Trust showed a profit in April with gains coming from stock index and commodity positions, while interest rate and foreign exchange holdings produced some partially offsetting losses during the month. Stock index positions produced the best Trust gains. Long positioning on European and Asia-Pacific indexes generated the largest profits within the sector. Global stock indexes generally produced strong gains during April. Those gains were driven by dovish statements from several major central banks, signs of improving economic growth from China, some better-than-expected economic releases from the United States, and amid mostly robust Q1 corporate earnings reports. Commodity trading also generated profits for the Trust in April. Short positioning across the grain subsector produced some of the best sector gains driven by a stronger US dollar and ample global supply expectations. Soybeans traded to a 6-month low while wheat fell to a 6-week low during the month. Long positioning on the energy subsector also added to gains. The subsector benefited from a combination of broad demand for global risk assets and increasing concerns over an undersupplied market. Some partially offsetting losses came from the industrial metals subsector. Long positioning in zinc and copper led losses as the complex suffered its biggest monthly decline on a year-to-date basis. Base metals faced headwinds from a stronger US dollar and climbing inventory stockpiles. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting losses during the month. Long positioning on the United Kingdom gilt (10-year note) and short sterling (90-day bill) contributed the largest losses to the sector. A 6-month Brexit extension sent UK fixed income prices lower as traders liquidated safe-haven positions as the threat of a “hard” UK separation from the European Union diminished. In the foreign exchange sector, losses were generated in the emerging market (EM) currencies. The trading strategy failed to successfully navigate some choppy price action in the South African rand (against the US dollar) which contributed more than half of the monthly losses within the EM FX sector.

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The Trust showed a loss in May, with losses coming from stock index and commodity positions, while interest rate and foreign exchange holdings produced some partially offsetting gains during the month. Stock index positions produced the largest Trust losses. Global stock indexes generally saw steep sell-offs during the month and long positioning on global indexes generated losses within the sector, particularly across Europe and in the United States. Those losses were driven by a sharp escalation of trade tension between the US and both China and Mexico, signs that global growth is decelerating, and as the inverted US Treasury yield curve signaled a higher-than-normal recession risk. Commodity trading also generated losses for the Trust in May. Short positioning across the grain subsector produced the worst sector losses as heavy rains across the Midwest prevented a considerable amount of crop planting in the US. Weekly USDA crop progress reports painted a bullish outlook for prices, especially for corn, which rose sharply to a near three-year high. Long holdings on the energy subsector also added to losses. The energy complex suffered amid weakening demand and as US inventory levels rose to a 22-month high. Interest rate positions from both long-dated and short-dated instruments provided some partially offsetting gains during the month. Long positioning on 10-year notes from Australia and the United Kingdom were two of the best performing holdings. Australia’s central bank indicated that interest rate cuts were likely in the coming months sending their notes sharply higher (interest rates fell). In the UK, the Brexit impasse became more uncertain as Prime Minister May stepped down and the future leadership of Britain became less clear. Flight to safety flows benefitted the UK gilt. In the foreign exchange sector, gains were generated in the developed market and emerging market currencies. A short position on the Australian dollar drove gains in the developed FX subsector as that currency sold-off amid some weaker than expected economic data releases and dovish comments from the Governor of the Reserve Bank of Australia. A short position on the Chilean peso proved profitable in the EM subsector as that currency weakened on trade angst and weaker copper prices.

The Trust showed a profit in June with gains coming from stock index and interest rate positions, while foreign exchange and commodity holdings produced some partially offsetting losses during the month. Stock index positions produced the largest Trust profits. Global stock indices bounced back sharply from May’s steep sell-off. Long positioning across most global indexes benefited from signs that major central banks stand ready to provide new stimulus to slowing global economies. Fed Chairman Powell at the June FOMC meeting strongly hinted that rate cuts are coming and ECB President Draghi stated that “in the absence of improvement” in inflation data, “additional stimulus will be required.” Interest rate positions from both long-dated and short-dated instruments provided additional gains during the month. Long positioning in Australia, the United States, Japan, and Europe all benefited from the possibility of renewed central bank easing. Early in the month, the Reserve Bank of Australia became one of the first G10 central banks to actually cut interest rates amid sluggish economic growth and a decline in real estate prices in the country, and then strongly hinted that additional cuts might be warranted. In the foreign exchange sector, losses were generated in the developed market currencies. A short position on the Norwegian krone (versus the US dollar) led sector losses. The Norges Bank bucked the dovish central bank trend and actually hiked interest rates during the month. The hike marked the third increase over the past nine months amid a surge in oil investments, low unemployment, and inflation running above the central bank’s target. Commodity trading provided some small losses for the Trust in June. Industrial metals were the worst performing sub-sector. A short holding on nickel suffered on the back of US dollar weakness and mounting optimism over a Trump-Xi trade meeting on the sidelines of the G-20 summit near month-end. Some partially offsetting gains were seen in long energy holdings. A long position on gasoline profited after a massive fire shut-down one of the East Coast’s largest refineries, crimping supply and sending gas prices sharply higher.

The Trust showed a profit in July with interest rate positions from long-dated instruments providing the best gains during the month. Long positioning, especially in Europe and Australia, benefited from mounting global growth concerns, escalating fears over a “hard” UK Brexit from the EU, and ongoing uncertainty over the US/Chinese trade war. This confluence of headwinds worked to keep major global central banks in accommodation mode which has been supportive of most global bond markets (higher prices and lower interest rates). Most notably, the US FOMC cut interest rates on the last day of the month and the European Central Bank has given clear indications that it expects to provide new stimulus in September. In the foreign exchange sector, gains were generated in the developed market currencies. Short positions on the euro, Swedish krona, British pound, and Norwegian krone (all long against the US dollar) provided some of the best profits. US economic data has proven to be more resilient than many other regions of the globe to the benefit of the dollar. Concerns over a “hard” Brexit in the UK increased after hardliner Boris Johnson was elected as Prime Minister. The pound was the worst performing G10 currency (against the US dollar) during the month. Stock index positions produced additional Trust profits. Long positions in the United Kingdom and Australia were two of the most profitable positions in the sector during July. Stocks in both export-heavy countries rallied strongly as falling currency values in their respective countries fueled gains in companies linked to export activity. Commodity trading also provided some gains for the Trust in July. Short positioning on the grains and softs sub-sectors benefitted from the stronger US dollar and some improving growing conditions. Long positioning on gold and silver profited from flight-to-safety flows amid heightened global uncertainty. Some partially offsetting losses were experience in the industrial metals sub-sector as choppy price action during the month proved challenging.

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The Trust showed a profit in August, with interest rate positions from long-dated and short-dated instruments provided the best gains during August. Long positioning, especially in Europe, Australia, Japan, and the US benefited from an escalation of trade tensions between the US and China which heightened global growth concerns. Global bond yields sank sharply as safe-haven demand drove bond prices higher. In addition to the above-mentioned growth concerns, markets had plenty to fret about including a growing likelihood of a no-date (aka “hard”) UK Brexit from the EU, civil unrest in Hong Kong, and an inverted US yield curve which could be signaling a looming US recession. Commodity trading also provided some gains for the Trust during the month. Short holdings on grains and softs were two of the best performing sub-sectors. Corn futures sank in value after US government reports sparked concerns about oversupply. Cotton prices fell amid the widening trade war which dampened demand expectations. Some partially offsetting losses were experienced in the energy sub-sector as choppy price action proved challenging for our trading systems to profitably navigate. Stock index positions contributed losses to the portfolio during August. Long positions in the UK and Australia were two of the biggest losing positions within the sector. Global stocks mostly dropped during the month amid the expanding trade war and generally weaker than expected economic data outside the US. A short position on the Hong Kong Hang Seng index provided some partially offsetting gains as civil unrest and threats of Chinese intervention unnerved investors which helped our bearish position. In the foreign exchange sector, losses from the emerging markets (EM) overwhelmed gains from the developed markets. Long positioning on EM currencies, such as the Brazilian real and South African rand, suffered after a landslide result from the Argentinian primary election. A possible return to left-wing populism sparked a sharp sell-off in the Argentine peso and the fear quickly spilled over into other EM currencies.

The Trust showed a loss in September, with losses coming from interest rate and commodity positions, while stock index holdings produced some partially offsetting gains for the portfolio. Foreign exchange holdings had little impact on the portfolio during the month. Interest rate positions from both short-dated and long-dated instruments provided losses during September. Long positioning, especially in Australia and Europe, contributed the largest losses to the sector as progress on the US-Chinese trade talks overshadowed the US political situation. European fixed income markets took an additional leg lower after the ECB’s hawkish rate cut and commentary which emphasized fiscal policy over additional monetary stimulus. Partially offsetting those losses were gains from short positions on the US 10 year and 30 year Treasury bonds. Commodity trading produced additional losses for the portfolio during the month. Short positioning in some energy markets suffered after the petroleum complex initially spiked higher following the September 14^th rebel attacks on a Saudi Arabian oil field and processing facility. In the softs, a short sugar holding incurred losses as the commodity was boosted by signs of tightening supplies. Additional losses were produced from our short grain holdings. The grain markets rose as potential purchases of US agricultural goods by China were said to be in focus in discussions between the countries’ trade representatives. Foreign exchange positions had little net P&L impact to the portfolio during September. Gains in our emerging market positions were overwhelmed by a short position on the Australian dollar. The Aussie currency moved higher on back of the improvements in US-Chinese trade talks and the Australian central bank pausing their monetary policy easing measures. Long global stock positioning provided the portfolio with some partially offsetting gains. Stock indexes closed higher in September but ebbed and flowed throughout the month as the markets focused on better US-Chinese trade headlines, improving US macro data, geopolitical concerns, and expectations for more central bank policy support. The best monthly stock index gains were found in Europe.

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 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.

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Standard of Materiality

Materiality as used in this section, “Quantitative and Qualitative Disclosures About Market Risk,” is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage and multiplier features of the Trust’s market sensitive instruments.

Quantifying the Trust’s Trading Value at Risk

Quantitative Forward-Looking Statements

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

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

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

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

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

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

Because the business of the Trust is the speculative trading of futures, forwards, and swaps, the composition of the Trust’s trading portfolio can change significantly over any given time period, or even within a single trading day, which could positively or negatively materially impact market risk as measured by VaR.

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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 September 30, 2020 and December 31, 2019 and the trading gains/losses by market category for the nine months ended September 30, 2020 and the year ended December 31, 2019.

	September 30, 2020
Market Sector	Value at Risk*			Trading Gain/(Loss)**
Credit		0.09	%		0.14	%
Commodities		0.96	%		4.41	%
Currencies		0.47	%		1.98	%
Interest Rates		0.78	%		4.98	%
Stock Indices		0.64	%		(15.50	)%
Aggregate/Total		1.28	%		(3.99	)%

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 nine months ended September 30, 2020.

	December 31, 2019
Market Sector	Value at Risk*			Trading Gain/(Loss)**
Commodities		0.51	%		(8.12	)%
Currencies		0.60	%		(3.76	)%
Interest Rates		0.61	%		12.88	%
Stock Indices		0.71	%		9.78	%
Aggregate/Total		1.19	%		10.78	%

**	Represents the gross trading for the Trust for the year ended December 31, 2019.

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Of the 7.75% return for the year ended December 31, 2019 for Series A, approximately 10.78% was due to trading gains (before commissions) and approximately 2.59% due to investment income, offset by approximately (5.62)% due to brokerage fees, management fees, offering costs and operating costs borne by Series A.

Of the 8.29% return for year ended December 31, 2019 for Series B, approximately 10.78% was due to trading gains (before commissions) and approximately 2.59% due to investment income, offset by approximately (5.08)% due to brokerage fees, management fees and operating costs borne by Series B.

Of the 7.79% return for the year ended December 31, 2019 for Series D, approximately 10.78% was due to trading gains (before commissions) and approximately 2.59% due to investment income, offset by approximately (5.58)% due to brokerage fees, management fees, performance fees, offering costs and operating costs borne by Series D.

Of the 9.93% return for the year ended December 31, 2019 for Series W, approximately 10.78% was due to trading gains (before commissions) and approximately 2.59% due to investment income, offset by approximately (3.44)% due to brokerage fees, management fees, offering costs and operating costs borne by Series W.

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

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

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

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

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

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

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

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

Non-Trading Risk

The Trust has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Trust also has non-trading market risk as a result of investing a portion of its available assets in U.S. Treasury Bills held at the brokers and over-the-counter counterparties. 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 were the primary trading risk exposures of the Trust as of September 30, 2020 by market sector.

Currencies

The Trust’s currency exposure is to foreign exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Trust trades in a large number of currencies, including cross-rates — i.e., positions between two currencies other than the U.S. Dollar. Campbell & Company does not anticipate that the risk profile of the Trust’s currency sector will change significantly in the future.

Interest Rates

Interest rate movements directly affect the price of the sovereign bond positions and interest rate swap contracts held by the Trust and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Trust’s profitability. Campbell & Company does not anticipate that the risk profile of the Trust’s interest rate sector will change significantly in the future.

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, India, South Africa and Sweden. The stock index futures traded by the Trust are by law limited to futures on broadly based indices. The Trust is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices. Markets that trade in a narrow range could result in the Trust’s positions being “whipsawed” into numerous small losses.

Credit

The Trust’s primary credit exposure is through fluctuations in the credit worthiness of a particular reference entity, basket of reference entities, or an index.

Energy

The Trust’s primary energy market exposure is to natural gas, crude oil and derivative product price movements often resulting from international political developments and ongoing conflicts in the Middle East and the perceived outcome. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

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Metals

The Trust’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, lead, nickel, palladium, platinum, silver and zinc.

Agricultural

The Trust’s agricultural exposure is to fluctuations of the price of cattle, cocoa, coffee, corn, cotton, hogs, soy, sugar and wheat.

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the non-trading risk exposures of the Trust as of September 30, 2020.

Foreign Currency Balances

The Trust’s primary foreign currency balances are in Australian Dollar, British Pound, Canadian Dollar, Euros, Hong Kong Dollar, Japanese Yen, Singapore Dollar, South African Rand and Swedish Krona. The Trust controls the non-trading risk of these balances by regularly converting these balances back into dollars (no less frequently than twice a month, and more frequently if a particular foreign currency balance becomes unusually large).

Fixed Income Securities and Short Term Investments

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

U.S. Treasury Bill Positions 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 nine 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.

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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.

During the nine months ended September 30, 2020, the Trust operated as normal during the coronavirus (“COVID-19”) outbreak. The Trust had access to and the ability to trade in approved markets. There were no disruptions in the Trust’s accounting processes, transfer agent processes or cash processes including the ability to pay redemptions and meet margin requirements.

The future impact of the COVID-19 outbreak on the financial performance of the Trust’s investments will depend on future developments, including the duration and spread of the virus and related advisories and restrictions. These developments and the impact of COVID-19 on the financial markets and the overall economy are highly uncertain and cannot be predicted. If the financial markets and/or the overall economy are impacted for an extended period, the Trust’s ability to trade and investment results may be materially affected.

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 operating 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 operating 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

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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⁾

10.03		Investment Management Agreement with PNC Capital Advisors LLC, as cash manager ⁽³⁾

31.01		Certification of G. William Andrews, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.

31.02		Certification of Gabriel A. Morris, Chief Operating Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites 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 Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

101.01		Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of September 30, 2020 and December 31, 2019, (ii) Statements of Financial Condition as of September 30, 2020 and December 31, 2019, (iii) Statements of Operations For the Three Months and Nine Months Ended September 30, 2020 and 2019, (iv) Statements of Cash Flows For the Nine Months Ended September 30, 2020 and 2019, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the Nine Months Ended September 30, 2020 and 2019, (vi) Financial Highlights For the Three Months and Nine Months Ended September 30, 2020 and 2019, (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 Quarterly Report on Form 10-Q filed August 15, 2011.

(3)	Incorporated by reference to the respective exhibit to the Registrant’s Quarterly Report on Form 10-Q filed on May 15, 2014.

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EXHIBIT INDEX

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 Gabriel A. Morris, Chief Operating 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 Gabriel A. Morris, Chief Operating Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

101.01	Interactive data file pursuant to Rule 405 of Regulation S-T: (i) Condensed Schedules of Investments as of September 30, 2020 and December 31, 2019, (ii) Statements of Financial Condition as of September 30, 2020 and December 31, 2019, (iii) Statements of Operations For the Three Months and Nine Months Ended September 30, 2020 and 2019, (iv) Statements of Cash Flows For the Nine Months Ended September 30, 2020 and 2019, (v) Statements of Changes in Unitholders’ Capital (Net Asset Value) For the Nine Months Ended September 30, 2020 and 2019, (vi) Financial Highlights For the Three Months and Nine Months Ended September 30, 2020 and 2019, (vii) Notes to Financial Statements.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	THE CAMPBELL FUND TRUST (Registrant)

	By:	Campbell & Company, LP
		Managing Operator

Date: November 16, 2020	By:	/s/ G. William Andrews
		G. William Andrews
		Chief Executive Officer

CAMPBELL FUND TRUST - FORM 10-Q - November 16, 2020

Attached files

CAMPBELL FUND TRUST Reports