Attached files
file | filename |
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EX-31.02 - EX-31.02 - CAMPBELL FUND TRUST | w78567exv31w02.htm |
EX-32.01 - EX-32.01 - CAMPBELL FUND TRUST | w78567exv32w01.htm |
EX-31.01 - EX-31.01 - CAMPBELL FUND TRUST | w78567exv31w01.htm |
EX-32.02 - EX-32.02 - CAMPBELL FUND TRUST | w78567exv32w02.htm |
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 10-Q
þ | Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
For the quarterly period ended March 31, 2010
or
o | Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 |
For the transition period from to
Commission File number: 0-50264
THE
CAMPBELL FUND TRUST
(Exact name of registrant as specified in charter)
Delaware | 94-6260018 | |
(State of Organization) | (IRS Employer Identification Number) |
2850
Quarry Lake Drive,
Baltimore, Maryland 21209
Baltimore, Maryland 21209
(Address of principal executive offices, including zip code)
(410) 413-2600
(Registrants telephone number, including area code)
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by
Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for
such shorter period that the registrant was required to file such reports), and (2) has been
subject to such filing requirements for the past 90 days. Yes þ No o
Indicate by check mark whether the registrant has submitted electronically and posted on its
corporate Web site, if any, every Interactive Data File required to be submitted and posted
pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months
(or for such shorter period that the registrant was required to submit and post such files).
Yes þ No o
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated
filer, a non-accelerated file, or a smaller reporting company. See the definitions of large
accelerated filer, accelerated filer and smaller reporting company: in Rule 12b-2 of the
Exchange Act. (Check one):
Large accelerate filer o | Accelerated filer o | Non-accelerated filer o | Smaller reporting company þ | |||
(Do not check if a smaller reporting company) |
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the
Exchange Act). Yes o No þ
Total
number of Pages: 34
Page | ||||
1-4 | ||||
5 | ||||
6 | ||||
7 | ||||
8-9 | ||||
10-12 | ||||
13-19 | ||||
20-25 | ||||
26-32 | ||||
32 | ||||
33 | ||||
33 | ||||
34 | ||||
CERTIFICATIONS |
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31, 2010 (Unaudited)
FIXED INCOME SECURITIES
Maturity | % of Net | |||||||||||
Face Value | Description | Values ($) | Asset Value | |||||||||
Bank Deposits |
||||||||||||
Australia |
||||||||||||
Financials (cost $14,000,000) |
$ | 13,998,320 | 4.21 | % | ||||||||
Canada |
||||||||||||
Financials (cost $14,000,000) |
$ | 14,004,480 | 4.21 | % | ||||||||
Netherlands |
||||||||||||
Financials (cost $15,300,788) |
$ | 15,300,000 | 4.60 | % | ||||||||
Total Bank Deposits (cost $43,300,788) |
$ | 43,302,800 | 13.02 | % | ||||||||
Commercial Paper |
||||||||||||
United States |
||||||||||||
Consumer Discretionary |
$ | 21,105,722 | 6.34 | % | ||||||||
Consumer Staples |
$ | 34,758,388 | 10.44 | % | ||||||||
Industrials |
$ | 19,558,388 | 5.88 | % | ||||||||
Municipal |
$ | 71,555,395 | 21.50 | % | ||||||||
Utilities |
$ | 11,998,880 | 3.61 | % | ||||||||
Total United States (cost $158,945,277) |
$ | 158,976,773 | 47.77 | % | ||||||||
Corporate Bonds |
||||||||||||
United States |
||||||||||||
Financials (cost $18,202,501) |
$ | 18,222,964 | 5.48 | % | ||||||||
Government Agencies |
||||||||||||
United States |
||||||||||||
US Government Agency (cost $35,889,150) |
$ | 35,899,417 | 10.79 | % | ||||||||
Government And Agency Obligations |
||||||||||||
United States |
||||||||||||
US Government Agency |
||||||||||||
Other |
$ | 9,988,530 | 3.00 | % | ||||||||
U.S. Treasury Bills * |
||||||||||||
$ | 16,200,000 | Due 04/22/2010 |
$ | 16,198,961 | 4.87 | % | ||||||
U.S. Treasury Bills * |
||||||||||||
$ | 25,000,000 | Due 06/03/2010 |
$ | 24,994,531 | 7.51 | % | ||||||
Total United States (cost $51,179,075) |
$ | 51,182,022 | 15.38 | % | ||||||||
Short Term Investment Funds |
||||||||||||
United States |
||||||||||||
Short Term Investment Funds (cost $1,066) |
$ | 1,060 | 0.00 | % | ||||||||
Total Fixed Income Securities (cost $307,517,857) |
$ | 307,585,036 | 92.44 | % | ||||||||
LONG FUTURES CONTRACTS
% of Net | ||||||||
Description | Values ($) | Asset Value | ||||||
Agricultural |
$ | 27,479 | 0.01 | % | ||||
Energy |
$ | 1,326,799 | 0.40 | % | ||||
Metals |
$ | 2,773,149 | 0.83 | % | ||||
Stock indices |
$ | 2,696,389 | 0.81 | % | ||||
Short-term interest rates |
$ | 1,131,510 | 0.34 | % | ||||
Long-term interest rates |
$ | (1,085,218 | ) | (0.33 | )% | |||
Total long futures contracts |
$ | 6,870,108 | 2.06 | % | ||||
See Accompanying Notes to Financial Statements.
- 1 -
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31, 2010 (Unaudited)
CONDENSED SCHEDULE OF INVESTMENTS
MARCH 31, 2010 (Unaudited)
SHORT FUTURES CONTRACTS
% of Net | ||||||||
Description | Values ($) | Asset Value | ||||||
Agricultural |
$ | 626,246 | 0.19 | % | ||||
Energy |
$ | 173,530 | 0.05 | % | ||||
Metals |
$ | (888,934 | ) | (0.27 | )% | |||
Stock indices |
$ | (35,443 | ) | (0.01 | )% | |||
Short-term interest rates |
$ | 66,400 | 0.02 | % | ||||
Long-term interest rates |
$ | 611,765 | 0.18 | % | ||||
Total short futures contracts |
$ | 553,564 | 0.16 | % | ||||
Total futures contracts |
$ | 7,423,672 | 2.22 | % | ||||
FORWARD CURRENCY CONTRACTS
% of Net | ||||||||
Description | Values ($) | Asset Value | ||||||
Various long forward currency contracts |
$ | 1,061,863 | 0.32 | % | ||||
Various short forward currency contracts |
$ | (606,037 | ) | (0.18 | )% | |||
Total forward currency contracts |
$ | 455,826 | 0.14 | % | ||||
PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
% of Net | ||||||||
Description | Values ($) | Asset Value | ||||||
Purchased options on forward currency contracts (premiums paid $709,741) |
$ | 610,664 | 0.18 | % | ||||
WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
% of Net | ||||||||
Description | Values ($) | Asset Value | ||||||
Written options on forward currency contracts (premiums received $264,225) |
$ | (194,989 | ) | (0.06 | )% | |||
* | Pledged as collateral for the trading of futures, forward and option positions. |
See Accompanying Notes to Financial Statements.
- 2 -
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009
FIXED INCOME SECURITIES
Maturity | % of Net | |||||||||||
Face Value | Description | Values ($) | Asset Value | |||||||||
Bank Deposits |
||||||||||||
United States |
||||||||||||
Financials (cost $13,350,000) |
$ | 13,357,610 | 3.66 | % | ||||||||
Commercial Paper |
||||||||||||
Germany |
||||||||||||
Materials (cost $7,142,188) |
$ | 7,145,178 | 1.96 | % | ||||||||
Netherlands |
||||||||||||
Consumer Discretionary (cost $10,878,552) |
$ | 10,878,625 | 2.98 | % | ||||||||
United States |
||||||||||||
Consumer Discretionary |
$ | 41,353,531 | 11.32 | % | ||||||||
Consumer Staples |
$ | 19,579,580 | 5.36 | % | ||||||||
Energy |
$ | 11,644,613 | 3.19 | % | ||||||||
Financials |
$ | 22,628,225 | 6.19 | % | ||||||||
Industrials |
||||||||||||
Avery Dennison Corporation |
||||||||||||
$ | 30,060,000 | Due 01/04/2010 |
$ | 30,058,964 | 8.23 | % | ||||||
Municipal |
$ | 76,574,854 | 20.96 | % | ||||||||
Telecommunications |
$ | 14,985,483 | 4.10 | % | ||||||||
Total United States (cost $216,781,978) |
$ | 216,825,250 | 59.35 | % | ||||||||
Total Commercial Paper (cost $234,802,718) |
$ | 234,849,053 | 64.29 | % | ||||||||
Corporate Bonds |
||||||||||||
United States |
||||||||||||
Financials (cost $7,661,972) |
$ | 7,680,054 | 2.10 | % | ||||||||
Government And Agency Obligations |
||||||||||||
United States |
||||||||||||
Financials |
||||||||||||
US Government Agency |
$ | 54,732,604 | 14.98 | % | ||||||||
U.S. Treasury Bills * |
||||||||||||
$ | 17,000,000 | Due 03/25/2010 |
$ | 16,997,648 | 4.65 | % | ||||||
Total United States (cost $71,704,748) |
$ | 71,730,252 | 19.63 | % | ||||||||
Short Term Investment Funds |
||||||||||||
United States |
||||||||||||
Short Term Investment Funds (cost $3,061) |
$ | 3,061 | 0.00 | % | ||||||||
Total Fixed Income Securities (cost $327,522,499) |
$ | 327,620,030 | 89.68 | % | ||||||||
LONG FUTURES CONTRACTS
% of Net | ||||||||
Description | Values ($) | Asset Value | ||||||
Agricultural |
$ | (2,825 | ) | 0.00 | % | |||
Energy |
$ | 166,195 | 0.05 | % | ||||
Metals |
$ | 847,192 | 0.23 | % | ||||
Stock indices |
$ | 2,707,780 | 0.74 | % | ||||
Short-term interest rates |
$ | (1,205,283 | ) | (0.33 | )% | |||
Long-term interest rates |
$ | (3,107,032 | ) | (0.85 | )% | |||
Total long futures contracts |
$ | (593,973 | ) | (0.16 | )% | |||
See Accompanying Notes to Financial Statements.
- 3 -
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2009
SHORT FUTURES CONTRACTS
% of Net | ||||||||
Description | Values ($) | Asset Value | ||||||
Agricultural |
$ | 12,863 | 0.00 | % | ||||
Metals |
$ | (570,225 | ) | (0.16 | )% | |||
Long-term interest rates |
$ | 119,654 | 0.03 | % | ||||
Total short futures contracts |
$ | (437,708 | ) | (0.13 | )% | |||
Total futures contracts |
$ | (1,031,681 | ) | (0.29 | )% | |||
FORWARD CURRENCY CONTRACTS
% of Net | ||||||||
Description | Values ($) | Asset Value | ||||||
Various long forward currency contracts |
$ | (13,342,441 | ) | (3.65 | )% | |||
Various short forward currency contracts |
$ | 10,265,262 | 2.81 | % | ||||
Total forward currency contracts |
$ | (3,077,179 | ) | (0.84 | )% | |||
PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
% of Net | ||||||||
Description | Values ($) | Asset Value | ||||||
Purchased options on forward currency contracts (premiums paid $847,190) |
$ | 855,611 | 0.23 | % | ||||
WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
% of Net | ||||||||
Description | Values ($) | Asset Value | ||||||
Written options on forward currency contracts (premiums received $264,078) |
$ | (230,427 | ) | (0.06 | )% | |||
* | Pledged as collateral for the trading of futures, forward and option positions. |
See Accompanying Notes to Financial Statements.
- 4 -
THE CAMPBELL FUND TRUST
STATEMENTS OF FINANCIAL CONDITION
MARCH 31, 2010 (Unaudited) and December 31, 2009
March 31, | December 31, | |||||||
2010 | 2009 | |||||||
ASSETS |
||||||||
Equity in broker trading accounts |
||||||||
Cash |
$ | 23,501,040 | $ | 18,882,546 | ||||
Restricted cash |
4,945,205 | 24,115,214 | ||||||
Fixed income securities (cost $24,994,531 and $0, respectively) |
24,994,531 | 0 | ||||||
Net unrealized gain (loss) on open futures contracts |
7,423,672 | (1,031,681 | ) | |||||
Total equity in broker trading accounts |
60,864,448 | 41,966,079 | ||||||
Cash and cash equivalents |
4,793,957 | 8,129,710 | ||||||
Fixed income securities
(cost $282,523,326 and $327,522,499, respectively) |
282,590,505 | 327,620,030 | ||||||
Options purchased, at fair value
(premiums paid $709,741 and $847,190, respectively) |
610,664 | 855,611 | ||||||
Net unrealized gain (loss) on open forward currency contracts |
455,826 | (3,077,179 | ) | |||||
Interest receivable |
46,961 | 90,033 | ||||||
Subscriptions receivable |
509,212 | 0 | ||||||
Total assets |
$ | 349,871,573 | $ | 375,584,284 | ||||
LIABILITIES |
||||||||
Accounts payable |
92,756 | 114,739 | ||||||
Management fee |
1,145,776 | 1,229,415 | ||||||
Service fee |
3,090 | 1,729 | ||||||
Options written, at fair value
(premiums received $264,225 and $264,078, respectively) |
194,989 | 230,427 | ||||||
Accrued commissions and other trading fees on open contracts |
48,523 | 41,418 | ||||||
Offering costs payable |
16,106 | 10,230 | ||||||
Redemptions payable |
15,544,934 | 8,638,173 | ||||||
Total liabilities |
17,046,174 | 10,266,131 | ||||||
UNITHOLDERS CAPITAL (Net Asset Value) |
||||||||
Series A Units Redeemable |
||||||||
Other Unitholders - 14,142.900 and 10,227.868 units outstanding at
March 31, 2010 and December 31, 2009 |
32,186,993 | 24,189,310 | ||||||
Series B Units Redeemable |
||||||||
Managing Operator - 20.360 units outstanding at
March 31, 2010 and December 31, 2009 |
46,684 | 48,453 | ||||||
Other Unitholders - 127,594.406 and 141,411.145 units outstanding at
March 31, 2010 and December 31, 2009 |
292,563,136 | 336,529,754 | ||||||
Series W Units Redeemable |
||||||||
Other Unitholders - 3,463.455 and 1,896.181 units outstanding at
March 31, 2010 and December 31, 2009 |
8,028,586 | 4,550,636 | ||||||
Total unitholders capital (Net Asset Value) |
332,825,399 | 365,318,153 | ||||||
Total liabilities and unitholders capital (Net Asset Value) |
$ | 349,871,573 | $ | 375,584,284 | ||||
See Accompanying Notes to Financial Statements.
- 5 -
THE
CAMPBELL FUND TRUST
STATEMENTS OF OPERATIONS
For the Three Months Ended March 31, 2010 and 2009
(Unaudited)
For the Three Months Ended March 31, 2010 and 2009
(Unaudited)
Three Months Ended | ||||||||
March 31, | ||||||||
2010 | 2009 | |||||||
TRADING GAINS (LOSSES) |
||||||||
Futures trading gains (losses) |
||||||||
Realized |
$ | (15,471,425 | ) | $ | 1,933,880 | |||
Change in unrealized |
8,455,353 | (2,042,379 | ) | |||||
Brokerage commissions |
(250,861 | ) | (160,207 | ) | ||||
Net gain (loss) from futures trading |
(7,266,933 | ) | (268,706 | ) | ||||
Forward
currency and options on forward currency trading gains (losses) |
||||||||
Realized |
(6,333,282 | ) | 5,602,910 | |||||
Change in unrealized |
3,461,092 | (2,862,622 | ) | |||||
Brokerage commissions |
(21,858 | ) | (10,516 | ) | ||||
Net gain (loss) from forward currency
and options on forward currency trading |
(2,894,048 | ) | 2,729,772 | |||||
Total net trading gain (loss) |
(10,160,981 | ) | 2,461,066 | |||||
NET INVESTMENT INCOME (LOSS) |
||||||||
Investment income |
||||||||
Interest income |
264,472 | 4,328 | ||||||
Realized gain (loss) on fixed income securities |
(9,167 | ) | 0 | |||||
Change in unrealized gain (loss) on fixed income securities |
(30,353 | ) | 0 | |||||
Total investment income |
224,952 | 4,328 | ||||||
Expenses |
||||||||
Management fee |
3,410,092 | 4,921,540 | ||||||
Service fee |
6,835 | 4 | ||||||
Operating expenses |
117,154 | 46,303 | ||||||
Total expenses |
3,534,081 | 4,967,847 | ||||||
Net investment income (loss) |
(3,309,129 | ) | (4,963,519 | ) | ||||
NET INCOME (LOSS) |
$ | (13,470,110 | ) | $ | (2,502,453 | ) | ||
NET INCOME (LOSS) PER MANAGING OPERATOR
AND OTHER UNITHOLDERS UNIT (based on weighted average number of units outstanding during the year) |
||||||||
Series A |
$ | (55.42 | ) | $ | (21.39 | ) | ||
Series B |
$ | (92.20 | ) | $ | (12.89 | ) | ||
Series W
(1) |
$ | (30.26 | ) | $ | (47.16 | ) | ||
INCREASE (DECREASE) IN NET ASSET VALUE
PER MANAGING OPERATOR AND OTHER UNITHOLDERS UNIT |
||||||||
Series A |
$ | (89.20 | ) | $ | (17.42 | ) | ||
Series B |
$ | (86.88 | ) | $ | (14.29 | ) | ||
Series W
(1) |
$ | (81.80 | ) | $ | (48.18 | ) | ||
(1) | Series W Units commenced trading on March 1, 2009; therefore, the information shown for 2009 is for the period March 1, 2009 through March 31, 2009. |
See Accompanying Notes to Financial Statements.
- 6 -
THE
CAMPBELL FUND TRUST
STATEMENTS OF CASH FLOWS
For the Three Months Ended March 31, 2010 and 2009
(Unaudited)
For the Three Months Ended March 31, 2010 and 2009
(Unaudited)
Three Months Ended | ||||||||
March 31, | ||||||||
2010 | 2009 | |||||||
Cash flows from (for) operating activities |
||||||||
Net income (loss) |
$ | (13,470,110 | ) | $ | (2,502,453 | ) | ||
Adjustments to reconcile net income (loss) to net cash from (for) operating activities |
||||||||
Net change in unrealized |
(11,886,092 | ) | 4,905,001 | |||||
(Increase) decrease in restricted cash |
19,170,009 | 14,578,416 | ||||||
(Increase) decrease in option premiums paid |
137,449 | 16,246 | ||||||
Increase (decrease) in option premiums received |
147 | (71,646 | ) | |||||
(Increase) decrease in interest receivable |
43,072 | 5,337 | ||||||
Increase (decrease) in interest payable |
0 | 18,911 | ||||||
Increase (decrease) in accounts payable and accrued expenses |
(97,156 | ) | (176,599 | ) | ||||
Purchases of investments in fixed income securities |
(2,076,618,013 | ) | (472,988,499 | ) | ||||
Sales/maturities of investments in fixed income securities |
2,096,622,654 | 75,000,000 | ||||||
Net cash from (for) operating activities |
13,901,960 | (381,215,286 | ) | |||||
Cash flows from (for) financing activities |
||||||||
Addition of units |
14,514,704 | 3,931,180 | ||||||
Redemption of units |
(27,099,578 | ) | (55,154,986 | ) | ||||
Offering costs paid |
(34,345 | ) | (2,807 | ) | ||||
Net cash from (for) financing activities |
(12,619,219 | ) | (51,226,613 | ) | ||||
Net increase (decrease) in cash and cash equivalents |
1,282,741 | (432,441,899 | ) | |||||
Cash and cash equivalents |
27,012,256 | 488,629,155 | ||||||
Beginning of period |
||||||||
End of period |
$ | 28,294,997 | $ | 56,187,256 | ||||
End of period cash and cash equivalents consists of: |
||||||||
Cash in broker trading accounts |
$ | 23,501,040 | $ | 51,648,615 | ||||
Cash and cash equivalents |
4,793,957 | 4,538,641 | ||||||
Total end of period cash and cash equivalents |
$ | 28,294,997 | $ | 56,187,256 | ||||
See Accompanying Notes to Financial Statements.
- 7 -
THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS CAPITAL (NET ASSET VALUE)
For the Three Months Ended March 31, 2010 and 2009
(Unaudited)
(Unaudited)
Unitholders Capital - Series B | ||||||||||||||||||||||||
Managing Operator | Other Unitholders | Total | ||||||||||||||||||||||
Units | Amount | Units | Amount | Units | Amount | |||||||||||||||||||
Three Months Ended March 31, 2010 |
||||||||||||||||||||||||
Balances at December 31, 2009 |
20.360 | $ | 48,453 | 141,411.145 | $ | 336,529,754 | 141,431.505 | $ | 336,578,207 | |||||||||||||||
Net income (loss) for the three months ended
March 31, 2010 |
(1,769 | ) | (12,736,542 | ) | (12,738,311 | ) | ||||||||||||||||||
Additions |
0.000 | 0 | 1,020.309 | 2,289,677 | 1,020.309 | 2,289,677 | ||||||||||||||||||
Redemptions |
0.000 | 0 | (14,837.048 | ) | (33,519,753 | ) | (14,837.048 | ) | (33,519,753 | ) | ||||||||||||||
Balances at March 31, 2010 |
20.360 | $ | 46,684 | 127,594.406 | $ | 292,563,136 | 127,614.766 | $ | 292,609,820 | |||||||||||||||
Three Months Ended March 31, 2009 |
||||||||||||||||||||||||
Balances at December 31, 2008 |
20.360 | $ | 51,471 | 197,186.512 | $ | 498,498,271 | 197,206.872 | $ | 498,549,742 | |||||||||||||||
Net income (loss) for the three months ended
March 31, 2009 |
(291 | ) | (2,478,874 | ) | (2,479,165 | ) | ||||||||||||||||||
Additions |
0.000 | 0 | 64.053 | 161,015 | 64.053 | 161,015 | ||||||||||||||||||
Redemptions |
0.000 | 0 | (16,342.451 | ) | (41,420,362 | ) | (16,342.451 | ) | (41,420,362 | ) | ||||||||||||||
Balances at March 31, 2009 |
20.360 | $ | 51,180 | 180,908.114 | $ | 454,760,050 | 180,928.474 | $ | 454,811,230 | |||||||||||||||
Net Asset Value per Managing Operator and Other Unitholders Unit - Series B | |||||||||||||
March 31, 2010 | December 31, 2009 | March 31, 2009 | December 31, 2008 | ||||||||||
$ | 2,292.92 |
$ | 2,379.80 | $ | 2,513.76 | $ | 2,528.05 | ||||||
See Accompanying Notes to Financial Statements.
- 8 -
THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS CAPITAL (NET ASSET VALUE)
For the Three Months Ended March 31, 2010 and 2009
(Unaudited)
STATEMENTS OF CHANGES IN UNITHOLDERS CAPITAL (NET ASSET VALUE)
For the Three Months Ended March 31, 2010 and 2009
(Unaudited)
Series A | Series W (1) | |||||||||||||||
Units | Amount | Units | Amount | |||||||||||||
Three Months Ended March 31, 2010 |
||||||||||||||||
Balances at December 31, 2009 |
10,227.868 | $ | 24,189,310 | 1,896.181 | $ | 4,550,636 | ||||||||||
Net income (loss) for the three months ended
March 31, 2010 |
(659,389 | ) | (72,410 | ) | ||||||||||||
Additions |
4,084.497 | 9,073,290 | 1,612.796 | 3,660,949 | ||||||||||||
Redemptions |
(169.465 | ) | (382,832 | ) | (45.522 | ) | (103,754 | ) | ||||||||
Offering costs |
(33,386 | ) | (6,835 | ) | ||||||||||||
Balances at March 31, 2010 |
14,142.900 | $ | 32,186,993 | 3,463.455 | $ | 8,028,586 | ||||||||||
Three Months Ended March 31, 2009 |
||||||||||||||||
Balances at December 31, 2008 |
1,052.200 | $ | 2,656,823 | 0.000 | $ | 0 | ||||||||||
Net income (loss) for the three months ended
March 31, 2009 |
(23,104 | ) | (184 | ) | ||||||||||||
Additions |
702.885 | 1,773,635 | 106.170 | 267,310 | ||||||||||||
Redemptions |
(148.398 | ) | (375,000 | ) | 0.000 | 0 | ||||||||||
Offering costs |
(3,428 | ) | (4 | ) | ||||||||||||
Balances at March 31, 2009 |
1,606.687 | $ | 4,028,926 | 106.170 | $ | 267,122 | ||||||||||
Net Asset Value per Other Unitholders Unit - Series A | |||||||||||||
March 31, 2010 | December 31, 2009 | March 31, 2009 | December 31, 2008 | ||||||||||
$ | 2,275.84 |
$ | 2,365.04 | $ | 2,507.60 | $ | 2,525.02 | ||||||
Net Asset Value per Other Unitholders Unit - Series W (1) | |||||||||||||
March 31, 2010 | December 31, 2009 | March 31, 2009 | February 28, 2009 | ||||||||||
$ | 2,318.09 |
$ | 2,399.89 | $ | 2,515.98 | $ | 2,564.16 | ||||||
(1) | Series W Units commenced trading on March 1, 2009. |
See Accompanying Notes to Financial Statements.
- 9 -
THE
CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three Months Ended March 31, 2010 and 2009
(UNAUDITED)
For the Three Months Ended March 31, 2010 and 2009
(UNAUDITED)
The following information presents per unit operating performance data and other supplemental
financial data for Series A units for the three months ended March 31, 2010 and 2009. This
information has been derived from information presented in the financial statements.
Series A | ||||||||
Three Months Ended | ||||||||
March 31, | ||||||||
2010 | 2009 | |||||||
Per Unit Performance (for a unit outstanding throughout the entire period) |
||||||||
Net asset value per unit at beginning of period |
$ | 2,365.04 | $ | 2,525.02 | ||||
Income (loss) from operations: |
||||||||
Total net trading gains (losses) (1) |
(64.57 | ) | 11.37 | |||||
Net investment income (loss)(1) |
(21.82 | ) | (25.62 | ) | ||||
Total net income (loss) from operations |
(86.39 | ) | (14.25 | ) | ||||
Offering costs (1) |
(2.81 | ) | (3.17 | ) | ||||
Net asset value per unit at end of period |
$ | 2,275.84 | $ | 2,507.60 | ||||
Total Return |
(3.77 | )% | (0.69 | )% | ||||
Supplemental Data |
||||||||
Ratios to average net asset value: |
||||||||
Expenses prior to performance fee (3) |
4.12 | % | 3.96 | % | ||||
Performance fee
|
0.00 | % | 0.00 | % | ||||
Total expenses |
4.12 | % | 3.96 | % | ||||
Net investment income (loss) (2,3) |
(3.87 | )% | (3.96 | )% | ||||
Total returns are calculated based on the change in value of a unit during the period. An
individual unitholders total returns and ratios may vary from the above total returns and ratios
based on the timing of additions and redemptions.
(1) | Net investment income (loss) per unit and offering costs per unit is calculated by dividing the net investment income (loss)and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. | |
(2) | Excludes performance fee. | |
(3) | Annualized |
See Accompanying Notes to Financial Statements.
- 10 -
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three Months Ended March 31, 2010 and 2009
(UNAUDITED)
FINANCIAL HIGHLIGHTS
For the Three Months Ended March 31, 2010 and 2009
(UNAUDITED)
The following information presents per unit operating performance data and other supplemental
financial data for Series B units for the three months ended March 31, 2010 and 2009. This
information has been derived from information presented in the financial statements.
Series B | ||||||||
Three Months Ended | ||||||||
March 31, | ||||||||
2010 | 2009 | |||||||
Per Unit Performance (for a unit outstanding throughout the entire period) |
||||||||
Net asset value per unit at beginning of period |
$ | 2,379.80 | $ | 2,528.05 | ||||
Income (loss) from operations: |
||||||||
Total net trading gains (losses) (1) |
(65.05 | ) | 11.38 | |||||
Net investment income (loss)(1) |
(21.83 | ) | (25.67 | ) | ||||
Total net income (loss) from operations |
(86.88 | ) | (14.29 | ) | ||||
Net asset value per unit at end of period |
$ | 2,292.92 | $ | 2,513.76 | ||||
Total Return |
(3.65 | )% | (0.57 | )% | ||||
Supplemental Data |
||||||||
Ratios to average net asset value: |
||||||||
Expenses prior to performance fee |
4.12 | % | 4.08 | % | ||||
Performance fee |
0.00 | % | 0.00 | % | ||||
Total expenses |
4.12 | % | 4.08 | % | ||||
Net investment income (loss) (2) |
(3.85 | )% | (4.08 | )% | ||||
Total
returns are calculated based on the change in value of a unit during the period. An
individual unitholders total returns and ratios may vary from the above total returns and ratios
based on the timing of additions and redemptions.
(1) | Net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. | |
(2) | Excludes performance fee. |
See Accompanying Notes to Financial Statements.
- 11 -
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three Months Ended March 31, 2010 and 2009
(UNAUDITED)
FINANCIAL HIGHLIGHTS
For the Three Months Ended March 31, 2010 and 2009
(UNAUDITED)
The following information presents per unit operating performance data and other supplemental
financial data for Series W units for the three months ended March 31, 2010 and 2009. This
information has been derived from information presented in the financial statements.
Series W | ||||||||
Three Months Ended | ||||||||
March 31, | ||||||||
2010 | 2009 | |||||||
Per Unit
Performance (for a unit outstanding throughout the entire period) |
||||||||
Net asset value per unit at beginning of period (4) |
$ | 2,399.89 | $ | 2,564.16 | ||||
Income (loss) from operations: |
||||||||
Total net
trading gains (losses) (1) |
(65.22 | ) | (42.02 | ) | ||||
Net
investment income (loss) (1)
|
(13.72 | ) | (5.13 | ) | ||||
Total net income (loss) from operations |
(78.94 | ) | (47.15 | ) | ||||
Offering
costs (1) |
(2.86 | ) | (1.03 | ) | ||||
Net asset value per unit at end of period |
$ | 2,318.09 | $ | 2,515.98 | ||||
Total Return |
(3.41 | )% | (1.88 | )% | ||||
Supplemental Data |
||||||||
Ratios to average net asset value: |
||||||||
Expenses prior to performance fee (3) |
2.63 | % | 2.47 | % | ||||
Performance fee |
0.00 | % | 0.00 | % | ||||
Total
expenses (1) |
2.63 | % | 2.47 | % | ||||
Net investment income (loss) (2,3) |
(2.40 | )% | (2.47 | )% | ||||
Total returns are calculated based on the change in value of a unit during the period. An
individual unitholders total returns and ratios may vary from the above total returns and ratios
based on the timing of additions and redemptions.
(1) | Net investment income (loss) per unit and offering costs per unit is calculated by dividing the net investment income (loss)and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information. | |
(2) | Excludes performance fee. | |
(3) | Annualized for period March 1, 2009 (commencement of trading) through December 31, 2009. | |
(4) | Represents the net asset value per Series W Unit at March 1, 2009 (commencement of trading). |
See Accompanying Notes to Financial Statements.
- 12 -
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
Note 1. | ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
A. | General Description of the Trust | |
The Campbell Fund Trust (the Trust) is a Delaware statutory trust which operates as a commodity investment pool. The Trust engages in the speculative trading of futures contracts, forward currency contracts and options on forward currency contracts. | ||
Effective August 31, 2008, the Trust began offering units of beneficial interest classified into Series A units, Series B units and Series W units. The rights of the Series A units, Series B units and Series W units are identical, except that the fees and commissions vary on a Series-by-Series basis. The initial minimum subscription for Series A units and Series W units is $25,000. Series B units are only available for additional investments by existing holders of Series B units. See Note 1F, Note 1H, Note 2 and Note 5 for an explanation of allocations and Series specific charges. | ||
B. | Regulation | |
The Trust is a registrant with the Securities and Exchange Commission (SEC) pursuant to the Securities Exchange Act of 1934 (the Act). As a registrant, the Trust is subject to the regulations of the SEC and the informational requirements of the Act. As a commodity investment pool, the Trust is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Trust executes transactions. Additionally, the Trust is subject to the requirements of futures commission merchants (brokers) and interbank market makers through which the Trust trades. | ||
C. | Method of Reporting | |
The Trusts financial statements are presented in accordance with accounting principles generally accepted in the United States of America, which may require the use of certain estimates made by the Trusts management. Actual results may differ from these estimates. Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statement of financial condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 210-20, Offsetting Balance Sheet, (formerly FAS No. 39 Offsetting of Amounts Related to Certain Contracts). The fair value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close on the last business day of the reporting period. The fair value of forward currency (non-exchange traded) contracts was extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period. | ||
The fair value of option (non-exchange traded) contracts is calculated by applying an industry-standard adaptation of the Black-Scholes options valuation model to foreign currency options, using as input, the spot prices, interest rates and option implied volatilities quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period. Any change in net unrealized gain or loss from the preceding period is reported in the statement of operations. | ||
When the Trust writes an option, an amount equal to the premium received by the Trust is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked-to-market to reflect the current fair value of option written. Brokerage commissions include other trading fees and are charged to expense when contracts are opened. | ||
The fixed income investments, other than U.S. Treasury bills held at the brokers or interbank market makers, are marked-to-market on the last business day of the reporting period by a custodian who utilizes a third party vendor hierarchy of pricing providers who specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. U.S. Treasury bills not held by the custodian are stated at cost plus accrued interest, which approximates fair value. Premiums and discounts on debt securities are amortized for financial reporting purposes. | ||
For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value by the number of outstanding units. | ||
The Trust adopted the provisions of ASC 820, Fair Value Measurements and Disclosures (formerly FASB No. 157, Fair Value Measurements), as of January 1, 2008. ASC 820 provides guidance for determining fair value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. |
ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). |
Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Trust has the ability to access at the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of the Trusts exchange-traded futures contracts fall into this category. |
- 13 -
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts and options on forward currency contracts that the Trust values using models or other valuation methodologies derived from observable market data. This category also includes fixed income investments. |
Level 3 inputs are unobservable inputs for an asset or liability (including the Trusts own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of and for the period ended March 31, 2010, the Trust did not have any Level 3 assets or liabilities. |
In January 2010, the FASB issued Accounting Standards update No. 2010-06 (ASU 2010-06) for improving disclosure about fair value measurements. ASU 2010-06 adds new disclosure requirements about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. As of January 1, 2010, the Trust adopted the provisions of ASC 2010-06 except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years. |
The following tables set forth by level within the fair value hierarchy the Trusts investments accounted for at fair value on a recurring basis as of March 31, 2010 and December 31, 2009. |
Fair Value at March 31, 2010 | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments |
||||||||||||||||
Fixed income securities |
$ | 0 | $ | 307,585,036 | $ | 0 | $ | 307,585,036 | ||||||||
Other Financial Instruments |
||||||||||||||||
Exchange-traded futures contracts |
7,423,672 | 0 | 0 | 7,423,672 | ||||||||||||
Forward currency contracts |
0 | 455,826 | 0 | 455,826 | ||||||||||||
Options purchased |
0 | 610,664 | 0 | 610,664 | ||||||||||||
Options written |
0 | (194,989 | ) | 0 | (194,989 | ) | ||||||||||
Total |
$ | 7,423,672 | $ | 308,456,537 | $ | 0 | $ | 315,880,209 | ||||||||
Fair Value at December 31, 2009 | ||||||||||||||||
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments |
||||||||||||||||
Fixed income securities |
$ | 0 | $ | 327,620,030 | $ | 0 | $ | 327,620,030 | ||||||||
Other Financial Instruments |
||||||||||||||||
Exchange-traded futures contracts |
(1,031,681 | ) | 0 | 0 | (1,031,681 | ) | ||||||||||
Forward currency contracts |
0 | (3,077,179 | ) | 0 | (3,077,179 | ) | ||||||||||
Options purchased |
0 | 855,611 | 0 | 855,611 | ||||||||||||
Options written |
0 | (230,427 | ) | 0 | (230,427 | ) | ||||||||||
Total |
$ | (1,031,681 | ) | $ | 325,168,035 | $ | 0 | $ | 324,136,354 | |||||||
D. | Cash and Cash Equivalents | |
Cash and cash equivalents includes cash and overnight money market investments at financial institutions. | ||
E. | Income Taxes | |
The Trust prepares calendar year U.S. federal and applicable state information tax returns and reports to the unitholders their allocable shares of the Trusts income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each unitholder is individually responsible for reporting income or loss based on such unitholders respective share of the Trusts income and expenses as reported for income tax purposes. |
Management has continued to evaluate the application of ASC 740, Income Taxes (formerly FIN No. 48, Accounting for Uncertainty in Income Taxes) to the Trust, and has determined that no reserves for uncertain tax positions were required. The Trust files federal and state tax returns. The 2006 through 2009 tax years generally remain subject to examination by the U.S. federal and most state tax authorities. |
- 14 -
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
F. | Offering Costs |
Campbell & Company, Inc. (Campbell & Company) has incurred all costs in connection with the initial and continuous offering of units of the Trust (offering costs). Series A units and Series W units will each bear the offering costs incurred in the relation to the offering of Series A units and Series W units, respectively. Offering costs are charged to Series A and W at a monthly rate of 1/12 of 0.5% (0.5% annualized) of the Series month-end net asset value (as defined in the Declaration of Trust and Trust Agreement) until such amounts are fully reimbursed. Such amounts are charged directly to unitholders capital. Series A and W are only liable for payment of offering costs on a monthly basis. The offering costs allocable to the Series B units are borne by Campbell & Company. |
If the Trust terminates prior to completion of payment to Campbell & Company for the unreimbursed offering costs incurred through the date of such termination, Campbell & Company will not be entitled to any additional payments, and Series A units and Series W units will have no further obligation to Campbell & Company. At March 31, 2010 and December 31, 2009, the amount of unreimbursed offering costs incurred by Campbell & Company is $1,958,062 and $1,653,661 for Series A units and $379,201 and $328,196 for Series W units respectively. |
G. | Foreign Currency Transactions |
The Trusts functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the statement of financial condition. Income and expense items denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect during the period. Gains and losses resulting from the translation to U.S. dollars are reported in income. |
H. | Allocations |
Income or loss (prior to calculation of the management fee, service fee, offering costs and performance fee) is allocated pro rata to each Series of units. Each Series of units is then charged the management fee, service fee, offering costs and performance fee applicable to such Series of units. |
I. | Reclassification |
Certain prior period amounts in the Statement of Cash Flows were reclassified to conform to current period presentation. |
Note 2. | MANAGING OPERATOR AND COMMODITY TRADING ADVISOR |
The managing operator of the Trust is Campbell & Company which conducts and manages the business of the Trust. Campbell & Company is also the commodity trading advisor of the Trust. |
Series A units and Series B units pay the managing operator a monthly management fee equal to 1/12 of 4% (4% annually) of the Net Assets (as defined) of Series A units and Series B units, respectively, as of the end of each month. Series W units pay the managing operator a monthly management fee equal to 1/12 of 2% (2% annually) of the Net Assets (as defined) of Series W units as of the end of each month. Each Series of units will pay the managing operator a quarterly performance fee equal to 20% of the aggregate cumulative appreciation in Net Asset Value per Unit (as defined) exclusive of appreciation attributable to interest income on a Series-by-Series basis. |
The performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark). In determining the management fee and performance fee (the fees), adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The fees are typically paid in the month following the month in which they are earned. The fees are paid from the available cash at the Trusts bank, broker or cash management custody accounts. |
Note 3. | TRUSTEE |
The trustee of the Trust is U.S. Bank National Association, a national banking corporation. The trustee has delegated to the managing operator the duty and authority to manage the business and affairs of the Trust and has only nominal duties and liabilities with respect to the Trust. |
Note 4. | CASH MANAGER AND CUSTODIAN |
The Trust has appointed Wilmington Trust Investment Management LLC, a wholly owned subsidiary of Wilmington Trust Corporation, as cash manager under the Non-Custody Investment Advisory Agreement dated July 8, 2009, to manage and control the liquid assets of the Trust. The cash manager is registered as an investment adviser with the Securities and Exchange Commission of the United States under the Investment Advisers Act of 1940. |
The Trust opened a custodial account at The Northern Trust Company (the custodian) and has granted the cash manager authority to make certain investments on behalf of the Trust provided such investments are consistent with the investment guidelines created by the managing operator. All securities purchased by the cash manager on behalf of the Trust will be held in its custody account at the custodian. The cash manager will have no beneficial or other interest in the securities and cash in such custody account. The cash manager began trading on behalf of the Trust in August 2009. |
Note 5. | SERVICE FEE |
The selling firms who sell Series W units receive a monthly service fee equal to 1/12 of 0.5% of the month-end Net Asset Value (as defined) of the Series W units, totaling approximately 0.50% per year. |
- 15 -
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
Note 6. | DEPOSITS WITH BROKER |
The Trust deposits assets with UBS Securities LLC to act as broker, subject to Commodity Futures Trading Commission regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury bills and cash with such broker. The Trust typically earns interest income on its assets deposited with the broker. |
Note 7. | SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS |
Investments in the Trust are made by subscription agreement, subject to acceptance by Campbell & Company. |
The Trust is not required to make distributions, but may do so at the sole discretion of Campbell & Company. A unitholder may request and receive redemption of units owned, subject to restrictions in the Declaration of Trust and Trust Agreement. Units are transferable, but no market exists for their sale and none is expected to develop. Monthly redemptions are permitted upon ten (10) business days advance written notice to Campbell & Company |
Redemption fees, which are paid to Campbell & Company, apply to Series A units through the first twelve month-ends following purchase (the month-end as of which the unit is purchased is counted as the first month-end) as follows: 1.833% of Net Asset Value per unit redeemed through the second month-end, 1.666% of Net Asset Value per unit redeemed through the third month-end, 1.500% of Net Asset Value per unit redeemed through the fourth month-end, 1.333% of Net Asset Value per unit redeemed through the fifth month-end, 1.167% of Net Asset Value per unit redeemed through the sixth month-end, 1.000% of Net Asset Value per unit redeemed through the seventh month-end, 0.833% of Net Asset Value per unit redeemed through the eight month-end, 0.667% of Net Asset Value per unit redeemed through the ninth month-end, 0.500% of Net Asset Value per unit redeemed through the tenth month-end, 0.333% of Net Asset Value per unit redeemed through the eleventh month-end and 0.167% of Net Asset Value per unit redeemed through the twelfth month end. |
Note 8. | TRADING ACTIVITIES AND RELATED RISKS |
The Trust engages in the speculative trading of U.S. and foreign futures contracts, forward currency contracts and options on forward currency contracts (collectively, derivatives). Specifically, the Fund trades a portfolio primarily focused on financial futures, which are instruments designed to hedge or speculate on changes in interest rates, currency exchange rates or stock index values. A secondary emphasis is on metals, energy and agriculture values. The Trust is exposed to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract. The market sensitive instruments held by the Trust are acquired for speculative trading purposes, and all or a substantial amount of the Trusts assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Trusts main line of business. |
Purchase and sale of futures contracts requires margin deposits with the broker. Additional deposits may be necessary for any loss on contract value. The Commodity Exchange Act requires a broker to segregate all customer transactions and assets from such brokers proprietary activities. A customers cash and other property (for example, U.S. Treasury bills) deposited with a broker are considered commingled with all other customer trusts subject to the brokers segregation requirements. In the event of a brokers insolvency, recovery may be limited to a pro rata share of segregated funds available. It is possible that the recovered amount could be less than total cash and other property deposited. |
The amount of required margin and good faith deposits with the broker and interbank market makers usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at March 31, 2010 and December 31, 2009 was $41,193,492 and $16,997,648, respectively, which equals 12% and 5% of Net Asset Value, respectively. The cash deposited with interbank market makers at March 31, 2010 and December 31, 2009 was $3,181,608 and $3,604,499, respectively, which equals 1% and 1% of Net Asset Value, respectively. These amounts are included in cash and cash equivalents. Included in cash deposits with the broker and interbank market maker at March 31, 2010 and December 31, 2009 was restricted cash for margin requirements of $4,945,205 and $24,115,214 respectively, which equals 1% and 7% of Net Asset Value respectively. |
The Trust trades forward currency and options on forward currency contracts in unregulated markets between principals and assumes the risk of loss from counterparty nonperformance. Accordingly, the risks associated with forward currency and options on foreign currency contracts are generally greater than those associated with exchange traded contracts because of the greater risk of counterparty default. Additionally, the trading of forward currency and options on forward currency contracts typically involves delayed cash settlement. |
The Trust has a substantial portion of its assets on deposit with financial institutions. In the event of a financial institutions insolvency, recovery of Trust assets on deposit may be limited to account insurance or other protection afforded such deposits. |
For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the fair value of the Trusts open positions and, consequently, in its earnings and cash flow. The Trusts market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Trusts open positions and the liquidity of the markets in which it trades. Theoretically, the Trust is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. As both a buyer and seller of options, the Trust pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Trust to potentially unlimited liability, and purchased options expose the Trust to a risk of loss limited to the premiums paid. See Note 1. C. for an explanation of how the Trust determines its valuation for derivatives as well as the netting of derivatives. |
- 16 -
THE
CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
The unrealized gain (loss) on open futures, forward currency and options on forward currency
contracts is comprised of the following:
Forward Currency and | ||||||||||||||||
Options on Forward | ||||||||||||||||
Futures Contracts | Currency Contracts | |||||||||||||||
(exchange traded) | (non-exchange traded) | |||||||||||||||
March 31, 2010 | December 31, 2009 | March 31, 2010 | December 31, 2009 | |||||||||||||
Gross unrealized gains |
$ | 10,610,733 | $ | 5,253,447 | $ | 10,765,140 | $ | 14,345,436 | ||||||||
Gross unrealized losses |
(3,187,061 | ) | (6,285,128 | ) | (10,339,155 | ) | (17,380,543 | ) | ||||||||
Net unrealized gain (loss) |
$ | 7,423,672 | $ | (1,031,681 | ) | $ | 425,985 | $ | (3,035,107 | ) | ||||||
In March 2008, the FASB issued ASC 815, Derivatives and Hedging (formerly SFAS No. 161,
Disclosures about Dervative instruments and Hedging Activities). ASC 815 provides enhanced
disclosures about how and why an entity uses derivative instruments, how derivative instruments are
accounted for, and how derivative instruments affect an entitys financial position, financial
performance and cash flows. ASC 815 is effective for financial statements issued for the Trusts
first fiscal year beginning after November 15, 2008. The Trust adopted ASC 815 effective January 1,
2009.
The following tables summarize quantitative information required by ASC 815.
The fair value of the Trusts derivatives by instrument type, as well as the location of those
instruments on the Statement of Financial Condition, as of March 31, 2010 and December 31, 2009 is
as follows:
Asset | Liability | |||||||||||||||
Derivatives at | Derivatives at | |||||||||||||||
Statement of Financial | March 31, 2010 | March 31, 2010 | ||||||||||||||
Type of Instrument * | Condition Location | Fair Value | Fair Value | Net | ||||||||||||
Agricultural Contracts |
Equity in broker trading accounts | $ | 864,976 | $ | (211,251 | ) | $ | 653,725 | ||||||||
Energy Contracts |
Equity in broker trading accounts | 1,500,329 | 0 | 1,500,329 | ||||||||||||
Metal Contracts |
Equity in broker trading accounts | 2,784,373 | (900,158 | ) | 1,884,215 | |||||||||||
Stock Indices Contracts |
Equity in broker trading accounts | 2,960,972 | (300,026 | ) | 2,660,946 | |||||||||||
Short-Term Interest Rate Contracts |
Equity in broker trading accounts | 1,389,107 | (191,197 | ) | 1,197,910 | |||||||||||
Long-Term Interest Rate Contracts |
Equity in broker trading accounts | 1,110,976 | (1,584,429 | ) | (473,453 | ) | ||||||||||
Forward Currency Contracts |
Net unrealized gain (loss) on open forward currency contracts |
10,531,386 | (10,075,560 | ) | 455,826 | |||||||||||
Purchased Options on Forward Currency
Contracts |
Options purchased, at fair value | 610,664 | 0 | 610,664 | ||||||||||||
Written Options on Forward Currency Contracts |
Options written, at fair value | 0 | (194,989 | ) | (194,989 | ) | ||||||||||
Totals |
$ | 21,752,783 | $ | (13,457,610 | ) | $ | 8,295,173 | |||||||||
* | Derivatives not designated as hedging instruments under ASC 815 |
Asset | Liability | |||||||||||||||
Derivatives at | Derivatives at | |||||||||||||||
Statement of Financial | December 31, 2009 | December 31, 2009 | ||||||||||||||
Type of Instrument * | Condition Location | Fair Value | Fair Value | Net | ||||||||||||
Agricultural Contracts |
Equity in broker trading accounts | $ | 142,638 | $ | (132,600 | ) | $ | 10,038 | ||||||||
Energy Contracts |
Equity in broker trading accounts | 214,581 | (48,386 | ) | 166,195 | |||||||||||
Metal Contracts |
Equity in broker trading accounts | 1,609,537 | (1,332,570 | ) | 276,967 | |||||||||||
Stock Indices Contracts |
Equity in broker trading accounts | 2,915,275 | (207,495 | ) | 2,707,780 | |||||||||||
Short-Term Interest Rate Contracts |
Equity in broker trading accounts | 0 | (1,205,283 | ) | (1,205,283 | ) | ||||||||||
Long-Term Interest Rate Contracts |
Equity in broker trading accounts | 371,416 | (3,358,794 | ) | (2,987,378 | ) | ||||||||||
Forward Currency Contracts |
Net unrealized gain (loss) on open forward currency contracts |
13,988,095 | (17,065,274 | ) | (3,077,179 | ) | ||||||||||
Purchased Options on Forward Currency
Contracts |
Options purchased, at fair value | 855,611 | 0 | 855,611 | ||||||||||||
Written Options on Forward Currency
Contracts |
Options written, at fair value | 0 | (230,427 | ) | (230,427 | ) | ||||||||||
Totals |
$ | 20,097,153 | $ | (23,580,829 | ) | $ | (3,483,676 | ) | ||||||||
* | Derivatives not designated as hedging instruments under ASC 815 |
- 17 -
THE
CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
The trading revenue of the Trusts derivatives by instrument type, as well as the location of
those gains and losses on the Statement of Operations, for the period ended March 31, 2010 and
March 31, 2009 is as follows:
Trading Revenue for | Trading Revenue for the | |||||||
the Three Months Ended | Three Months Ended | |||||||
Type of Instrument | March 31, 2010 | March 31, 2009 | ||||||
Agricultural Contracts |
$ | 128,333 | $ | 669,615 | ||||
Energy Contracts |
(2,724,911 | ) | (116,054 | ) | ||||
Metal Contracts |
(2,864,314 | ) | (2,183,837 | ) | ||||
Stock Indices Contracts |
(7,320,119 | ) | (4,040,579 | ) | ||||
Short-Term Interest Rate Contracts |
10,677,099 | 3,564,459 | ||||||
Long Term Interest Rate Contracts |
(4,905,283 | ) | 1,913,493 | |||||
Forward Currency Contracts |
(1,128,786 | ) | (178,786 | ) | ||||
Purchased Options on Forward Currency Contracts |
(3,867,495 | ) | (998,963 | ) | ||||
Written Options on Forward Currency Contracts |
2,124,091 | 3,918,037 | ||||||
Total |
$ | (9,881,385 | ) | $ | 2,547,385 | |||
Trading Revenue for | Trading Revenue for | |||||||
the Three Months Ended | the Three Months Ended | |||||||
Line Item in the Statement of Operations | March 31, 2010 | March 31, 2009 | ||||||
Futures trading gains (losses): |
||||||||
Realized |
$ | (15,464,548 | ) | $ | 1,849,476 | |||
Change in unrealized |
8,455,353 | (2,042,379 | ) | |||||
Forward currency and options on forward currency trading gains (losses): |
||||||||
Realized |
(6,333,282 | ) | 5,602,910 | |||||
Change in unrealized |
3,461,092 | (2,862,622 | ) | |||||
Total |
$ | (9,881,385 | ) | $ | 2,547,385 | |||
For the three months ended March 31, 2010 and March 31, 2009, the monthly average of
futures contracts bought and sold was approximately 20,700 and 10,100 respectively, and the
monthly average of notional value of forward currency and options on forward currency
contracts was $2,629,600,000 and $1,663,500,000 respectively.
Open contracts generally mature within twelve months; as of March 31, 2010, the latest
maturity date for open futures contracts is June 2011, the latest maturity date for open
forward currency contracts is June 2010, and the latest expiry date for options on forward
currency contracts is April 2010. However, the Trust intends to close all futures and foreign
currency contracts prior to maturity. Campbell & Company has established procedures to actively monitor market risk and minimize
credit risk, although there can be no assurance that it will, in fact, succeed in doing so. Campbell & Companys basic market risk
control procedures consist of continuously monitoring open positions, diversification of the
portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%. Campbell &
Companys attempt to manage the risk of the Trusts open positions is essentially the same
in all market categories traded. Campbell & Company applies risk management policies to its
trading which generally limit the total exposure that may be taken per risk unit of assets
under management. In addition, Campbell & Company follows diversification guidelines (often
formulated in terms of the balanced
volatility between markets and correlated groups), as well as precalculating stop-loss
points at which systems will signal to close open positions. Campbell & Company controls the
risk of the Trusts non-trading fixed income instruments by limiting the duration of such
instruments and requiring a minimum credit quality of the issuers of those instruments.
Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the
Trusts assets at financial institutions and brokers which Campbell & Company believes to be
credit worthy. The unitholder bears the risk of loss only to the extent of the market value
of their respective investments and, in certain specific circumstances, distributions and
redemptions received.
Note 9. INDEMNIFICATIONS
In the normal course of business, the Trust enters into contracts and agreements that
contain a variety of representations and warranties which provide general indemnifications.
The Trusts maximum exposure under these arrangements is unknown, as this would involve
future claims that may be made against the Trust that have not yet occurred. The Trust
expects the risk of any future obligation under these
indemnifications to be remote.
Note 10. INTERIM FINANCIAL STATEMENTS
The statements of financial condition, including the condensed schedule of investments, as of
March 31, 2010 and December 31, 2009 and the statements of operations, cash flows, changes in unitholders
capital (Net Asset Value) and financial highlights for the three months ended March 31, 2010
and 2009 are unaudited. In the opinion of management, such financial statements reflect all
adjustments, which were of a normal and recurring nature, necessary for a fair presentation
of financial position as of March 31, 2010, and the results of operations, cash flows,
changes in unitholders capital (Net Asset Value) and financial highlights for the three
months ended March 31, 2010 and 2009.
- 18 -
THE
CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2010 (UNAUDITED)
Note 11. SUBSEQUENT EVENTS
Management of the Trust has evaluated subsequent events through the date the financial
statements were issued. There are no subsequent
events to disclose or record.
- 19 -
Item 2. Managements Discussion and Analysis of Financial Condition and
Results of Operations
Introduction
The Campbell Fund Trust (the Trust) is a business trust organized on January 2, 1996 under the
Delaware Business Trust Act, which was replaced by the Delaware Statutory Trust Act as of September
1, 2002. The Trust is a successor to the Campbell Fund Limited Partnership (formerly known as the
Commodity Trend Fund) and began trading operations in January 1972. The Trust currently trades in
the U.S. and international futures and forward markets under the sole direction of Campbell &
Company, Inc., the managing operator of the Trust. Specifically, the Trust trades a portfolio
primarily focused on financial futures, forwards and options, with a secondary emphasis on metal,
energy and agricultural products. The Trust is an actively managed account with speculative
trading profits as its objective.
Effective August 31, 2008, the Trust began offering Series A, Series B, and Series W units. The
units in the Trust prior to that date became Series B units. Series B units are only available for
additional investment by existing holders of Series B units.
As of March 31, 2010, the aggregate capitalization of the Trust was $332,825,399 with Series A,
Series B and Series W comprising $32,186,993, $292,609,820 and $8,028,586, respectively, of the
total. The Net Asset Value per Unit was $2,275.84 for Series A, $2,292.92 for Series B, and
$2,318.09 for Series W.
Critical Accounting Policies
The preparation of financial statements in conformity with accounting principles generally accepted
in the United States requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date
of the financial statements and the reported amounts of income and expense during the reporting
period. Management believes that the estimates utilized in preparing the financial statements are
reasonable and prudent; however, actual results could differ from those estimates. The Trusts
significant accounting policies are described in detail in Note 1 of the Financial Statements.
The Trust records all investments at fair value in its financial statements, with changes in fair
value reported as a component of change in unrealized trading gain (loss) in the Statements of
Operations. Generally, fair values are based on market prices; however, in certain circumstances,
estimates are involved in determining fair value in the absence of an active market closing price
(e.g. forward and option contracts which are traded in the inter-bank market).
Capital Resources
The Trust will raise additional capital only through the sale of Units offered pursuant to the
continuing offering, and does not intend to raise any capital through borrowing. Due to the nature
of the Trusts business, it will make no capital expenditures and will have no capital assets which
are not operating capital or assets.
The Trust maintains 40-80% of its net asset value in cash, cash equivalents or other liquid
positions in its cash management program over and above that needed to post as collateral for
trading. These funds are available to meet redemptions each month. After redemptions and additions
are taken into account each month, the trade levels of the Trust are adjusted and positions in the instruments the Trust trades
are added or liquidated on a pro-rata basis to meet those increases or decreases in trade levels.
- 20 -
Liquidity
Most United States futures exchanges limit fluctuations in futures contracts prices during a single
day by regulations referred to as daily price fluctuation limits or daily limits. During a
single trading day, no trades may be executed at prices beyond the daily limit. Once the price of
a futures contract has reached the daily limit for that day, positions in that contract can neither
be taken nor liquidated. Futures prices have occasionally moved to the daily limit for several
consecutive days with little or no trading. Similar occurrences could prevent the Trust from
promptly liquidating unfavorable positions and subject the Trust to substantial losses which could
exceed the margin initially committed to such trades. In addition, even if futures prices have not
moved the daily limit, the Trust may not be able to execute futures trades at favorable prices, if
little trading in such contracts is taking place. Other than these limitations on liquidity, which
are inherent in the Trusts futures trading operations, the Trusts assets are expected to be
highly liquid.
The entire offering proceeds, without deductions, will be credited to the Trusts bank brokerage
and/or cash management accounts. The Trust meets margin requirements for its trading activities by
depositing cash and U.S. government securities with the futures broker and the over-the-counter
counterparties. This does not reduce the risk of loss from trading activities. The Trust receives
all interest earned on its assets. No other person shall receive any interest or other economic
benefits from the deposit of Trust assets.
Approximately 10% to 30% of the Trusts assets normally are committed as required margin for
futures contracts and held by the futures broker, although the amount committed may vary
significantly. Such assets are maintained in the form of cash or U.S. Treasury bills in segregated
accounts with the futures broker pursuant to the Commodity Exchange Act and regulations there
under. Approximately 10% to 30% of the Trusts assets are deposited with over-the-counter
counterparties in order to initiate and maintain forward contracts. Such assets are not held in
segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter
counterparty is registered as a futures commission merchant. These assets are held either in U.S.
government securities or short-term time deposits with U.S.-regulated bank affiliates of the
over-the-counter counterparties.
The managing operator deposits the majority of those assets of the Trust that are not required to
be deposited as margin with the futures broker and over-the-counter counterparty in a custodial
account with Northern Trust Company. The assets deposited in the custodial account with Northern
Trust Company are segregated. The custodial account constitutes approximately 40% to 80% of the
Trusts assets and is invested directly by Wilmington Trust Investment Management LLC
(Wilmington). Wilmington is registered with the Securities and Exchange Commission as an
investment adviser under the Investment Advisers Act of 1940. Wilmington does not guarantee any
interest or profits will accrue on the Trusts assets in the custodial account. Wilmington will
invest according to agreed upon investment guidelines that are modeled after those investments
allowed by the futures broker as defined under The Commodity Exchange Act, Title 17, Part 1, § 1.25
Investment of customer funds. Investments can include, but are not limited to, (i) U.S. Government
Securities, Government Agency Securities, Municipal Securities, banker acceptances and certificates
of deposits; (ii) commercial paper; and (iii) corporate debt.
- 21 -
The Trust occasionally receives margin calls (requests to post more collateral) from its futures
broker or over-the-counter counterparties, which are met by moving the required portion of the
assets held in the custody account at Northern Trust to the margin accounts. In the past three
years, the Trust has not needed to liquidate any position as a result of a margin call.
The Trusts assets are not and will not be, directly or indirectly, commingled with the property of
any other person in violation of law or invested with or loaned to Campbell & Company or any
affiliated entities.
Off-Balance Sheet Risk
The term off-balance sheet risk refers to an unrecorded potential liability that, even
though it does not appear on the balance sheet, may result in future obligation or loss. The
Trust trades in futures, forward and option contracts and is therefore a party to financial
instruments with elements of off-balance sheet market and credit risk. In entering into these
contracts there exists a risk to the Trust, market risk, that such contracts may be
significantly influenced by market conditions, such as interest rate volatility, resulting in
such contracts being less valuable. If the markets should move against all of the futures
interests positions of the Trust at the same time, and if the Trusts trading advisor was
unable to offset futures interests positions of the Trust, the Trust could lose all of its
assets and the Unitholders would realize a 100% loss. Campbell & Company, Inc., the managing
operator (who also acts as trading advisor), minimizes market risk through real-time
monitoring of open positions, diversification of the portfolio and maintenance of a
margin-to-equity ratio that rarely exceeds 30%.
In addition to market risk, in entering into futures, forward and option contracts there is a
credit risk that a counterparty will not be able to meet its obligations to the Trust. The
counterparty for futures contracts traded in the United States and on most foreign exchanges
is the clearinghouse associated with such exchange. In general, clearinghouses are backed by
the corporate members of the clearinghouse who are required to share any financial burden
resulting from the non-performance by one of their members and, as such, should significantly
reduce this credit risk. In cases where the clearinghouse is not backed by the clearing
members, like some foreign exchanges, it is normally backed by a consortium of banks or other
financial institutions.
In the case of forward and option contracts, which are traded on the interbank market rather
than on exchanges, the counterparty is generally a single bank or other financial institution,
rather than a group of financial institutions; thus there may be a greater counterparty credit
risk. Campbell & Company trades for the Trust only with those counterparties which it
believes to be creditworthy. All positions of the Trust are valued each day on a
mark-to-market basis. There can be no assurance that any clearing member, clearinghouse or
other counterparty will be able to meet its obligations to the Trust.
Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts
Accounted for at Fair Value
The Trust invests in futures, forward currency and options on forward currency contracts. The
market value of futures (exchange-traded) contracts is determined by the various futures
exchanges, and reflects the settlement price for each contract as of the close of the last
business day of the reporting period. The market value of swap and forward (non-exchange
traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 3:00
P.M. (E.T.) of the last business day of the reporting period or based on the market value of its exchange-traded equivalent. The market value of
option (non-exchange traded) contracts is calculated by applying an industry-standard adaptation of the
Black-Scholes options valuation model to foreign currency options, using as input, the spot
prices, interest rates and option implied volatilities quoted as of 3:00 P.M. (E.T.) on the
last business day of the reporting period.
- 22 -
Results of Operations
The returns for the three months ended for Series A as of March 31, 2010 and 2009 were (3.77)% and
(0.69)%. The returns for Series B for the three months ended March 31, 2010 and 2009 were (3.65)%
and (0.57)%, respectively. The returns for Series W for the three months ended March 31, 2010 and
for the one month period from March 1, 2009 (commencement of trading) through March 31, 2009 were
(3.41)% and (1.88)%, respectively.
2010
Of the 2010 year-to-date decrease of (3.77)% for Series A, approximately (2.61)% due to trading
losses (before commissions) and approximately (1.22)% was due to brokerage fees, management fees,
operating costs and offering costs borne by Series A offset by approximately 0.06% due to
investment income.
Of the 2010 year-to-date decrease of (3.65)% for Series B, approximately (2.61)% due to trading
losses (before commissions) and approximately (1.11)% due to brokerage fees, management fees and
operating costs borne by Series B offset by investment income totaled 0.07%.
Of the 2010 year-to-date decrease of (3.41)% for Series W, approximately (2.61)% due to trading
losses (before commissions) and approximately (0.86)% due to brokerage fees, management fees and
operating costs borne by Series W offset by investment income totaled 0.06%.
During the three months ended March 31, 2010, the Trust accrued management fees in the amount of
$3,410,092 and paid management fees in the amount of $3,493,731. No performance fees were accrued
or paid during this period.
An analysis of the (2.61) % gross trading losses for the Trust for the period by sector is as
follows:
Sector | % Gain (Loss) | |||
Interest Rates |
1.60 | % | ||
Currencies |
(0.71 | ) | ||
Commodities |
(1.48 | ) | ||
Stock Indices |
(2.02 | ) | ||
(2.61) | % | |||
The New Year begins with an equity sell-off in the second half of the month as global confidence in
a steady recovery, again, begins to waver, resulting in trading losses for the Trusts net long
equity indices positions. Primary drivers were related to: (1) Chinas efforts to manage growth;
(2) questionable stability of the European Union as Greece potentially defaults on sovereign debt;
and (3) the potential heavy-handed regulation of the U.S. banking system. As the global risk trade
unwound, the Trusts commodity positions also produced losses, largely in the energy complex and in
base metals. The global negative news detracted from a relative positive earnings season and signs
of improved economic data. Further losses were recorded in currency trading as the U.S. Dollar was, once again, seen as a safe
haven as the economic health of several nations was called into question. Marginal gains were
recorded in fixed income as we were able to benefit from the steepening of the yield curve as a
result of short-term interest rates being kept at extremely low levels by global central banks.
- 23 -
The first half of February was somewhat subdued as the market digested mixed U.S. employment
numbers versus the unemployment rate. By mid-month, the Federal Reserve surprised the markets by
deciding to hike the discount rate, in a clear sign that the pace of their exit strategy may be
more aggressive than originally anticipated. Our long position in short-term rates, both in the
U.S. and Europe, fueled strong gains in the sector for the remainder of the month. Gains were also
recorded in currency trading as the Euro currency weakened against most majors on accelerated
sovereign fears evidenced by the record high cost of insuring Greek and Portuguese debt. Global
equity indices trading produced small losses for the Trust as a result of dealing with diverse
global macroeconomic challenges (weakening Euro, China central bank intervention and U.S.
employment and earnings season results). While the market finished generally negative in Europe
and Asia, the U.S. managed to record a gain on largely upbeat fourth quarter earnings announcements
with many S&P constituents beating consensus expectations. Commodity trading resulted in generally
negative results as the structural imbalances in Europe, and the strong relative performance of the
U.S. economy versus the Eurozone helped de-link Europe from the risk trade, keeping commodities
in alignment with U.S. stocks. While energy prices rallied for most of the month, precious metals
sold off early only to turn positive as the market used gold as a safe haven against Eurozone
turmoil.
March proved to be a very strong month for trends as our long positions in energies and base metals
benefited from prices moving higher on climbing global economic growth prospects. Global equity
indices also provided gains for the Trusts long positions as prices surged on renewed merger and
acquisition activity, positive news centered on economic releases, and subdued fears regarding
Greeces finances. Marginal gains were recorded in the foreign exchange markets as the return of
the carry trade pushed commodity linked currencies higher. Almost all central banks have
acknowledged that the worst has passed; however, the lack of flexibility to induce fresh fiscal or
monetary stimulus has forced a lower for longer interest rate policy globally. The Trusts net
gains were partially offset by losses in the fixed income markets from our long positions in U.S.
Treasury futures as prices fell during the month. In the U.S. fixed income market, heavy supply
put pressure on bond prices, and U.S. Treasury yields were higher than swap yields for the first
time on record.
2009
Of the 2009 year-to-date decrease of 0.69% for Series A, approximately 1.19% was due to brokerage
fees, management fees, operating costs and offering costs borne by Series A offset by approximately
0.50% due to trading gains (before commissions). Investment income totaled 0.00%.
Of the 2009 year-to-date decrease of 0.57% for Series B, approximately 1.07% due to brokerage fees,
management fees and operating costs borne by Series B offset by approximately 0.50% due to trading
gains (before commissions). Investment income totaled 0.00%.
Of the decrease of 1.88% for Series W for the period March 1, 2009 (commencement of trading)
through March 31, 2009, approximately 1.59% was due to trading losses (before commissions) and
approximately 0.29% was due to brokerage fees, management fees, services fees, operating costs and
offering costs borne by Series W. Investment income totaled 0.00%.
During the three months ended March 31, 2009, the Trust accrued management fees in the amount of
$4,921,540 and paid management fees in the amount of $5,104,076. No performance fees were accrued
or paid during this period.
- 24 -
An analysis of the 0.50% gross trading losses for the Trust for the period by sector is as follows:
Sector | % Gain (Loss) | |||
Interest Rates |
1.42 | % | ||
Currencies |
0.59 | |||
Commodities |
(0.54 | ) | ||
Stock Indices |
(0.97 | ) | ||
0.50 | % | |||
President Obamas stimulus plan took center stage in January; however, weak economic data
continued to negatively impact global stock markets into the start of the New Year. An early
month rally fizzled quickly, causing notable declines in major global indices. The Trust
gained in equity indices trading on net short positions across each region. Gains were
recorded in fixed income trading as the worlds central banks continued to lower interest
rates. Mounting fiscal deficits and huge issuance needs begin to weigh heavy on the long-end;
however, credit markets generally improved in January with yield spreads continuing to
contract. Foreign exchange trading finished slightly negative on the month. Risk aversion and
capital preservation benefited the Trusts net long U.S. Dollar position; however, the U.K.
governments unprecedented move to give the Bank of England power to increase their stake in
Royal Bank of Scotland to 70% helped fuel a late month rally in the British Pound, eliminating
gains from a previous decline. Commodity trading was generally flat on volatility across
precious and base metals and a slowing of the negative energy trend.
In February, the U.S. governments ability to address the economic crisis was met with
skepticism by Wall Street. Economic data remained persistently weak, especially on the
employment and housing fronts. The U.S. was not alone in reporting negative news, as European
and Asian economies also continued with the release of dismal economic data such as declining
exports and falling dividends. The majority of February gains in the Trust resulted from
equity indices trading, particularly from short positions in the U.S. and Asia. Additional
gains were recorded in foreign exchange trading as investors continued to feed U.S. Dollar
strength, particularly relative to the Japanese Yen. The U.S. Dollar continues to be the safe
haven pick as the risk aversion theme continued, as evidenced by the U.S. treasury yields
recording all-time lows.
Stock markets rallied in March as the 2008 fourth quarter earnings announcements subsided and
large U.S. banks announced they would be profitable for the first two months of 2009. The
majority of the Trusts losses in March resulted from equity indices trading, as the equity
rally adversely impacted net short positions globally. Commodities recorded losses as energy
price swings have become correlated with equities and metals surged on news of Chinas
economic stimulus plan. Gains from fixed income markets were recorded from the Trusts long
global bond positions as prices moved significantly higher on announcements from the Swiss,
British and American Central Banks on their intentions of adding liquidity by purchasing
medium to long-term bonds in the market. Foreign exchange trading resulted in gains as investors sought currencies whose home
central banks were not keen on engaging in quantitative easing.
- 25 -
Item 3. Quantitative and Qualitative Disclosures About Market Risk
Introduction
Past Results Not Necessarily Indicative of Future Performance
The Trust is a speculative commodity pool. The market sensitive instruments held by it are
acquired for speculative trading purposes, and all or a substantial amount of the Trusts
assets are subject to the risk of trading loss. Unlike an operating company, the risk of
market sensitive instruments is integral, not incidental, to the Trusts main line of
business.
Market movements result in frequent changes in the fair market value of the Trusts open
positions and, consequently, in its earnings and cash flow. The Trusts market risk is
influenced by a wide variety of factors, including the level and volatility of exchange rates,
interest rates, equity price levels, the market value of financial instruments and contracts,
the diversification effects among the Trusts open positions and the liquidity of the markets
in which it trades.
The Trust rapidly acquires and liquidates both long and short positions in a wide range of
different markets. Consequently, it is not possible to predict how a particular future market
scenario will affect performance, and the Trusts past performance is not necessarily
indicative of its future results.
Standard of Materiality
Materiality as used in this section, Qualitative and Quantitative Disclosures About Market
Risk, is based on an assessment of reasonably possible market movements and the potential
losses caused by such movements, taking into account the leverage, and multiplier features of
the Trusts market sensitive instruments.
Quantifying the Trusts Trading Value at Risk
Quantitative Forward-Looking Statements
The following quantitative disclosures regarding the Trusts market risk exposures contain
forward-looking statements within the meaning of the safe harbor from civil liability
provided for such statements by the Private Securities Litigation Reform Act of 1995 (set
forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange
Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking
statements for purposes of the safe harbor, except for statements of historical fact (such as
the dollar amount of the maintenance margin required for market risk sensitive instruments
held at the end of the reporting period).
The Trusts risk exposure in the various market sectors traded is estimated in terms of Value
at Risk (VaR). The Trust estimates VaR using a model based upon historical simulation (with a
confidence level of 97.5%) which involves constructing a distribution of hypothetical daily
changes in the value of a trading portfolio. The VaR model takes into account linear
exposures to risks, including equity and commodity prices, interest rates, foreign exchange rates, and correlation among these
variables. The hypothetical changes in portfolio value are based on daily percentage changes
observed in key market indices or other market factors to which the portfolio is sensitive.
The Trusts VaR at a one day 97.5% confidence level corresponds to the negative change in
portfolio value that, based on observed market risk factors, would have been exceeded once in
40 trading days or one day in 40. VaR typically does not represent the worst case outcome.
- 26 -
The Trust uses approximately one quarter of daily market data and revalues its portfolio for
each of the historical market moves that occurred over this time period. This generates a
probability distribution of daily simulated profit and loss outcomes. The VaR is the 2.5
percentile of this distribution.
The VaR for a sector represents the one day downside risk for the aggregate exposures
associated with this sector. The current methodology used to calculate the aggregate VaR
represents the VaR of the Trusts open positions across all market sectors, and is less than
the sum of the VaRs for all such market sectors due to the diversification benefit across
asset classes.
The Trusts VaR computations are based on the risk representation of the underlying benchmark
for each instrument or contract and does not distinguish between exchange and non-exchange
dealer-based instruments. It is also not based on exchange and/or dealer-based maintenance
margin requirements.
VaR models, including the Trusts, are continually evolving as trading portfolios become more
diverse and modeling techniques and systems capabilities improve. Please note that the VaR
model is used to numerically quantify market risk for historic reporting purposes only and is
not utilized by the Trust in its daily risk management activities. Please further note that
VaR as described above may not be comparable to similarly titled measures used by other
entities.
Because the business of the Trust is the speculative trading of futures, forwards and options,
the composition of the Trusts trading portfolio can change significantly over any given time
period, or even within a single trading day, which could positively or negatively materially
impact market risk as measured by VaR.
The Trusts Trading Value at Risk in Different Market Sectors
The following tables indicate the trading Value at Risk associated with the Trusts open
positions by market category as of March 31, 2010 and December 31, 2009 and the trading
gains/losses by market category for the three months ended March 31, 2010 and the year ended
December 31, 2009.
March 31, 2010 | ||||||||
Trading | ||||||||
Market Sector | Value at Risk* | Gain/(Loss)** | ||||||
Interest Rates |
0.61 | % | 1.60 | % | ||||
Stock Indices |
0.60 | % | (2.02 | )% | ||||
Commodities |
0.54 | % | (1.48 | )% | ||||
Currencies |
0.52 | % | (0.71 | )% | ||||
Aggregate/Total |
1.64 | % | (2.61 | )% | ||||
* | - The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. The aggregate VaR represents the VaR of the Trusts open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes. | |
** | - Represents the gross trading for the Trust for the three months ended March 31, 2010. |
- 27 -
Of the (3.77)% return for the three months ended March 31, 2010 for Series A, approximately
(2.61)% due to trading losses (before commissions) and approximately (1.22)% was due to
brokerage fees, management fees, operating costs and offering costs borne by Series A offset
by approximately 0.06% due to investment income.
Of the (3.65)% return for the three months ended March 31, 2010 for Series B, approximately
(2.61)% due to trading losses (before commissions) and approximately (1.11)% due to brokerage
fees, management fees and operating costs borne by Series B offset by investment income
totaled 0.07%.
Of the (3.41)% return for the three months ended March 31, 2010 for Series W, approximately
(2.61)% due to trading losses (before commissions) and approximately (0.86)% due to brokerage
fees, management fees and operating costs borne by Series W offset by investment income
totaled 0.06%.
December 31, 2009 | ||||||||
Trading | ||||||||
Market Sector | Value at Risk* | Gain/(Loss)** | ||||||
Currencies |
0.90 | % | 3.74 | % | ||||
Interest Rates |
0.69 | % | (4.77) | % | ||||
Stock Indices |
0.45 | % | (0.47 | )% | ||||
Commodities |
0.41 | % | (0.21 | )% | ||||
Aggregate/Total |
1.62 | % | (1.71) | % | ||||
* | - The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. The aggregate VaR represents the VaR of the Trusts open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes. | |
** | - Represents the gross trading for the Trust for the year ended December 31, 2009. |
Of the (6.34)% return for year ended 2009 for Series A, approximately (1.71)% was due to trading
losses (before commissions) and approximately (4.85)% was due to brokerage fees, management fees,
and offering costs borne by Series A offset by approximately 0.22% due to investment income.
Of the (5.86)% return for year ended 2009 for Series B, approximately (1.71)% was due to trading
losses (before commissions) and approximately (4.27)% due to brokerage fees, management fees and
operating costs borne by Series B offset by approximately 0.12% due to investment income.
Of the (6.41)% return for Series W for the period March 1, 2009 (commencement of trading) through
December 31, 2009, approximately (1.71)% was due to trading losses (before commissions) and
approximately (4.93)% was due to brokerage fees, management fees, sales commissions and offering
costs borne by Series W offset by approximately 0.23% due to investment income.
- 28 -
Material Limitations on Value at Risk as an Assessment of Market Risk
The following limitations of VaR as an assessment of market risk should be noted:
1) | Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements; |
2) | Changes in portfolio value caused by market movements may differ from those of the VaR model; |
3) | VaR results reflect past trading positions while future risk depends on future positions; |
4) | VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and |
5) | The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements. |
VaR is not necessarily representative of historic risk nor should it be used to predict the
Trusts future financial performance or its ability to manage and monitor risk. There can be
no assurance that the Trusts actual losses on a particular day will not exceed the VaR
amounts indicated or that such losses will not occur more than once in 40 trading days.
Non-Trading Risk
The Trust has non-trading market risk on its foreign cash balances not needed for margin.
However, these balances (as well as the market risk they represent) are immaterial. The Trust
also has non-trading market risk as a result of investing a substantial portion of its
available assets in U.S. Treasury Bills held at the broker and over-the-counter counterparty.
The market risk represented by these investments is minimal. Finally, the Trust has
non-trading market risk on fixed income securities held as part of its cash management
program. The cash managers will use their best endeavors in the management of the assets of
the Trust but provide no guarantee that any profit or interest will accrue to the Trust as a
result of such management.
Qualitative Disclosures Regarding Primary Trading Risk Exposures
The following qualitative disclosures regarding the Trusts market risk exposures except
for (i) those disclosures that are statements of historical fact and (ii) the descriptions of
how the Trust manages its primary market risk exposures constitute forward-looking
statements within the meaning of Section 27A of the Securities Act and Section 21E of the
Securities Exchange Act. The Trusts primary market risk exposures as well as the strategies
used and to be used by Campbell & Company for managing such exposures are subject to numerous
uncertainties, contingencies and risks, any one of which could cause the actual results of the
Trusts risk controls to differ materially from the objectives of such strategies. Government
interventions, defaults and expropriations, illiquid markets, the emergence of dominant
fundamental factors, political upheavals, changes in historical price relationships, an influx
of new market participants, increased regulation and many other factors could result in
material losses as well as in material changes to the risk exposures and the risk management
strategies of the Trust. There can be no assurance that the Trusts current market exposure
and/or risk management strategies will not change materially or that any such strategies will
be effective in either the short- or long-term. Investors must be prepared to lose all or
substantially all of their investment in the Trust.
- 29 -
The following represent the primary trading risk exposures of the Trust as of March 31, 2010
by market sector.
Currencies
Exchange rate risk is a significant market exposure of the Trust. The Trusts currency
exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical
pricing relationships between different currencies and currency pairs. These fluctuations are
influenced by interest rate changes as well as political and general economic conditions. The
Trust trades in a large number of currencies, including cross-rates i.e., positions between
two currencies other than the U.S. Dollar. Campbell & Company does not anticipate that the
risk profile of the Trusts currency sector will change significantly in the future.
Interest Rates
Interest rate risk is a significant market exposure of the Trust. Interest rate movements
directly affect the price of the sovereign bond positions held by the Trust and indirectly the
value of its stock index and currency positions. Interest rate movements in one country as
well as relative interest rate movements between countries materially impact the Trusts
profitability. The Trusts primary interest rate exposure is to interest rate fluctuations in
the United States and the other G-7 countries. Campbell & Company anticipates that G-7
interest rates will remain the primary rate exposure of the Trust for the foreseeable future.
The changes in interest rates which have the most effect on the Trust are changes in
long-term, as opposed to short-term rates. Most of the speculative positions held by the
Trust are in medium- to long-term instruments.
Stock Indices
The Trusts primary equity exposure is to equity price risk in the G-7 countries and several
other countries (Hong Kong, Spain, the Netherlands and Taiwan). The stock index futures
traded by the Trust are by law limited to futures on broadly based indices. The Trust is
primarily exposed to the risk of adverse price trends or static markets in the major U.S.,
European and Japanese indices. Markets that trade in a narrow range could result in the
Trusts positions being whipsawed into numerous small losses.
Energy
The Trusts primary energy market exposure is to natural gas, crude oil and derivative product
price movements often resulting from political developments and ongoing conflicts in the
Middle East and the perceived outcome. Oil and gas prices can be volatile and substantial
profits and losses have been and are expected to continue to be experienced in this market.
Metals
The Trusts metals market exposure is to fluctuations in the price of aluminum, copper, gold,
nickel, platinum, silver, and zinc.
- 30 -
Agricultural
The Trusts agricultural exposure was to the fluctuations in the price of wheat, corn, coffee,
cocoa, sugar, soy, hogs, cattle, canola, and cotton.
Qualitative Disclosures Regarding Non-Trading Risk Exposure
The following were the primary non-trading risk exposures of the Trust as of March 31, 2010.
Foreign Currency Balances
The Trusts primary foreign currency balances are in Australian Dollar, Yen, British Pounds
and Euros. The Trust controls the non-trading risk of these balances by regularly converting
these balances back into dollars (no less frequently than twice a month, and more frequently
if a particular foreign currency balance becomes unusually large).
Fixed Income Securities
The Trusts primary market exposure in instruments (other than treasury positions described in
the subsequent section) held other than for trading is in its fixed income portfolio. The
cash manager, Wilmington, has authority to make certain investments on behalf of the Trust.
All securities purchased by the cash manager on behalf of the Trust will be held in the
Trusts custody account at the custodian. The cash manager will use their best endeavors in
the management of the assets of the Trust but provide no guarantee that any profit or interest
will accrue to the Trust as a result of such management.
Treasury Bill Positions Held for Margin Purposes
The Trust also has market exposure in its Treasury Bill portfolio. The Trust holds Treasury
Bills (interest bearing and credit risk-free) with maturities no longer than six months.
Violent fluctuations in prevailing interest rates could cause minimal mark-to-market losses on
the Trusts Treasury Bills, although substantially all of these short-term investments are
held to maturity.
Qualitative Disclosures Regarding Means of Managing Risk Exposure
The means by which the Trust and Campbell & Company, severally, attempt to manage the risk of
the Trusts open positions is essentially the same in all market categories traded. Campbell
& Company applies risk management policies to its trading which generally limit the total
exposure that may be taken per risk unit of assets under management. In addition, Campbell
& Company follows diversification guidelines (often formulated in terms of the balanced
volatility between markets and correlated groups), as well as precalculating stop-loss
points at which systems will signal to close out open positions.
Campbell & Company manages the risk of the Trusts non-trading instruments of Treasury Bills
held for margin purposes by limiting the duration of such instruments to no more than six
months. Campbell & Company manages the risk of the Trusts fixed income securities held for
cash management purposes by restricting the cash managers to investing in securities that are
modeled after those investments allowed by the futures broker as defined under The Commodity
Exchange Act, Title 17, Part 1, § 1.25 Investment of customer funds. Investments can include,
but are not
limited to, (i) U.S. Government Securities, Government Agency Securities, Municipal
Securities, banker acceptances and certificates of deposits; (ii) commercial paper; and (iii)
corporate debt.
- 31 -
General
The Trust is unaware of any (i) anticipated known demands, commitments or capital
expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or
(iii) trends or uncertainties that will have a material effect on operations. From time to
time, certain regulatory agencies have proposed increased margin requirements on futures
contracts. Because the Trust generally will use a small percentage of assets as margin, the
Trust does not believe that any increase in margin requirements, as proposed, will have a
material effect on the Trusts operations.
Item 4(T). Controls and Procedures
Campbell & Company, Inc., the managing operator of the Trust, with the participation of the
managing operators Chief Executive Officer and Chief Financial Officer, has evaluated the
effectiveness of the design and operation of its disclosure controls and procedures (as defined
in the Securities Exchange Act of 1934 Rules 13a-15(e) or 15d-15(e)) with respect to the Trust
as of the end of the period covered by this quarterly report. Based on their evaluation, the
Chief Executive Officer and Chief Financial Officer have concluded that these disclosure
controls and procedures are effective. There were no changes in the managing operators
internal control over financial reporting applicable to the Trust identified in connection with
the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or 15d-15 that occurred
during the last fiscal quarter that have materially affected, or is reasonably likely to
materially affect, internal control over financial reporting applicable to the Trust.
- 32 -
PART II-OTHER INFORMATION
Item 1. | Legal Proceedings. |
None |
Item 2. | Changes in Securities and Use of Proceeds |
None |
Item 3. | Defaults Upon Senior Securities |
Not applicable. |
Item 4. | Submissions of Matters to a vote of Security Holders. |
None |
Item 5. | Other Information |
None |
Item 6. | Exhibits and Reports on Form 8-K. |
(a) | Exhibits |
Exhibit | ||
Number | Description of Document | |
31.01
|
Certification of Theresa D. Becks, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934. | |
31.02
|
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934. | |
32.01
|
Certification of Theresa D. Becks, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. | |
32.02
|
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002. |
(b) | Reports of Form 8-K | |
None |
- 33 -
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused
this report to be signed on its behalf by the undersigned thereunto duly authorized.
THE CAMPBELL FUND TRUST (Registrant) |
||||
By: | Campbell & Company, Inc. | |||
Managing Operator | ||||
Date: May 17, 2010 | By: | /s/ Theresa D. Becks | ||
Theresa D. Becks | ||||
Chief Executive Officer |
- 34 -
EXHIBIT INDEX
Exhibit Number | Description of Document | Page Number | ||
31.01
|
Certification by Chief Executive Officer | E 2 | ||
31.02
|
Certification by Chief Financial Officer | E 3 | ||
32.01
|
Certification by Chief Executive Officer | E 4 | ||
32.02
|
Certification by Chief Financial Officer | E 5 |
E 1