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EX-31.02 - EX-31.02 - CAMPBELL FUND TRUSTcftexhibit31_02.htm


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
 
FORM 10-Q
     
þ
 
Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the quarterly period ended September 30, 2011
or
     
o
 
Transition Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934
For the transition period from                      to                       

 
 Commission File number: 0-50264
 
 THE CAMPBELL FUND TRUST
 (Exact name of Registrant as specified in charter)
 
     
     
Delaware
 
94-6260018
  (State of Organization)     (IRS Employer Identification Number
   
 
 
 
   2850 Quarry Lake Drive  
   Baltimore, Maryland 21209  
   (Address of principal executive offices, including zip code)  
     
   (410) 413-2600  
   (Registrant's telephone number, including area code)  
 
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.
Yes þ No o
Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive data File required to be submitted and posted pursuant to Rule 405 of regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).
Yes þ No o
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):
             
 Large accelerated filer o
 
Accelerated filer o
 
Non-accelerated filer o
 
Smaller reporting company þ
       
(Do not check if a smaller reporting company)
   
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).     Yes o No þ
 


 
 
 

 
 
      Page
PART I — FINANCIAL INFORMATION
       
                 
   
Item 1.
 
Financial Statements
       
                 
       
Condensed Schedules of Investments as of September 30, 2011 and December 31, 2010 (Unaudited)
   
3-6
 
                 
       
Statements of Financial Condition as of September 30, 2011 and December 31, 2010 (Unaudited)
   
7
 
                 
       
Statements of Operations for the Three Months and Nine Months Ended September 30, 2011 and 2010 (Unaudited)
   
8
 
                 
       
Statements of Cash Flows for the Nine Months Ended September 30, 2011 and 2010 (Unaudited)
   
9
 
                 
       
Statements of Changes in Unitholders’ Capital (Net Asset Value) for the Nine Months Ended September 30, 2011 and 2010 (Unaudited)
   
10-11
 
                 
       
Financial Highlights for the Three Months and Nine Months Ended September 30, 2011 and 2010 (Unaudited)
   
12-14
 
                 
       
Notes to Financial Statements (Unaudited)
   
15-22
 
                 
   
Item 2.
 
Management’s Discussion and Analysis of Financial Condition and Results of Operations
   
23-30
 
                 
   
Item 3.
 
Quantitative and Qualitative Disclosure About Market Risk
   
31-36
 
                 
   
Item 4.
 
Controls and Procedures
   
36
 
                 
PART II — OTHER INFORMATION
       
                 
    Item 1.   Legal Proceedings      37  
                 
    Item 1A.   Risk Factors     37  
                 
    Item 2.   Unregistered Sales of Equity Securities and Use of Proceeds       37  
                 
    Item 3.   Defaults Upon Senior Securities     37  
                 
    Item 4.   (Removed and Reserved)     37  
                 
    Item 5.   Other Information     37  
                 
   
Item 6.
 
Exhibits
   
37
 
                 
SIGNATURES
       
38
 
 
 
 

 
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2011 (Unaudited)
 
                                        
FIXED INCOME SECURITIES
 
Maturity
Face Value
  Description  
Values ($)
  % of Net
Asset Value
  Bank Deposits
       Canada
          Financials  
$28,023,081 
 
7.29 %
              (cost $27,980,930)  
 
 
 
       Sweden
          Financials  
$11,601,093 
 
3.02 %
              (cost $11,600,000)  
 
 
 
  Total Bank Deposits
    (cost $39,580,930)
 
$39,624,174 
 
10.31 %
 
  Commercial Paper
       United States
          Consumer Staples  
$7,603,000 
 
1.98 %
$10,000,000 
          Financials
            ING America Insurance Holdings Inc.
                Due 10/03/2011
 
$9,999,408 
 
2.60 %
$12,000,000 
              ING America Insurance Holdings Inc.
                Due 10/13/2011
 
$11,996,891 
 
3.12 %
              Other  
$11,986,163 
 
3.12 %
          Health Care  
$9,999,007 
 
2.60 %
$20,000,000 
          Materials
            DCP Mainstream LLC
                Due 10/03/2011
 
$20,000,000 
 
5.21 %
              Other  
$11,999,010 
 
3.12 %
          Services  
$8,999,610 
 
2.34 %
      Total United States (cost $92,581,058)  
$92,583,089 
 
24.09 %
 
  Corporate Bonds
       Switzerland
          Financials  
$6,551,426 
 
1.71 %
              (cost $6,589,455)  
 
 
 
       United States
          Financials  
$44,914,581 
 
11.69 %
          Health Care  
$6,102,456 
 
1.59 %
          Telecommunications  
$9,796,002 
 
2.55 %
      Total United States (cost $60,780,084)  
$60,813,039 
 
15.83 %
 
  Total Corporate Bonds
    (cost $67,369,539)
 
$67,364,465 
 
17.54 %
 
  Government And Agency Obligations
       United States
$16,625,000 
          US Government Agency
            Federal Home Loan Mortgage Corp. 0.5%
                Due 02/08/2013
 
$16,622,174 
 
4.33 %
$12,500,000 
              Federal Home Loan Mortgage Corp. 0.55%
                Due 09/09/2013
 
$12,480,175 
 
3.25 %
$10,000,000 
              Federal Home Loan Mortgage Corp. 0.6%
                Due 08/22/2013
 
$9,992,800 
 
2.60 %
$12,000,000 
              Federal Home Loan Mortgage Corp. Step Up Tranche #TR 00424
                Due 07/26/2013
 
$11,987,400 
 
3.12 %
$29,000,000 
              U.S. Treasury Bills*
                Due 10/06/2011
 
$28,999,968 
 
7.55 %
      Total United States (cost $80,126,447)  
$80,082,517 
 
20.85 %
 
See Accompanying Notes to Financial Statements.
 
 
3

 
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2011 (Unaudited)
 
                                        
  Short Term Investments
       United States
          Short Term Investments  
$526 
 
0.00 %
              (cost $ 526)  
 
 
 
  Total Fixed Income Securities
    (cost $279,658,500)
 
$279,654,771 
 
72.79 %
 
LONG FUTURES CONTRACTS
Description  
Values ($)
  % of Net
Asset Value
Agricultural  
$(683,203)
 
(0.18)%
Energy  
$(999,124)
 
(0.26)%
Metals  
$(6,195,261)
 
(1.61)%
Stock indices  
$(399,455)
 
(0.10)%
Short-term interest rates  
$(822,421)
 
(0.21)%
Long-term interest rates  
$(1,541,530)
 
(0.41)%
Total long futures contracts  
$(10,640,994)
 
(2.77)%
 
 
SHORT FUTURES CONTRACTS
Description  
Values ($)
  % of Net
Asset Value
Agricultural  
$1,255,235 
 
0.33 %
Energy  
$1,001,520 
 
0.26 %
Metals  
$10,065,248 
 
2.61 %
Stock indices  
$65,621 
 
0.02 %
Total short futures contracts  
$12,387,624 
 
3.22 %
 
Total futures contracts  
$1,746,630 
 
0.45 %
 
 
FORWARD CURRENCY CONTRACTS
Description  
Values ($)
  % of Net
Asset Value
Various long forward currency contracts  
$(36,193,765)
 
(9.42)%
Various short forward currency contracts  
$25,285,457 
 
6.58 %
Total forward currency contracts  
$(10,908,308)
 
(2.84)%
 
 
See Accompanying Notes to Financial Statements.
 
 
4

 
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2010 (Unaudited)
 
                                        
FIXED INCOME SECURITIES
 
Maturity
Face Value
  Description  
Values ($)
  % of Net
Asset Value
  Certificate Of Deposit
       Canada
          Financials  
$7,221,421 
 
2.08 %
              (cost $7,215,000)  
 
 
 
  Commercial Paper
       Netherlands
          Industrials  
$9,987,542 
 
2.88 %
              (cost $9,958,946)  
 
 
 
       Panama
          Consumer Discretionary  
$9,998,275 
 
2.89 %
              (cost $9,998,139)  
 
 
 
       United Kingdom
          Consumer Staples  
$5,718,658 
 
1.65 %
              (cost $5,716,634)  
 
 
 
       United States
          Consumer Discretionary  
$41,051,450 
 
11.85 %
          Consumer Staples  
$3,315,853 
 
0.96 %
          Energy  
$17,387,305 
 
5.02 %
          Financials  
$10,981,734 
 
3.17 %
          Health Care  
$12,885,538 
 
3.72 %
          Industrials  
$10,978,667 
 
3.17 %
          Municipal  
$4,717,562 
 
1.36 %
          Utilities  
$34,470,422 
 
9.95 %
      Total United States (cost $135,762,709)  
$135,788,531 
 
39.20 %
 
  Total Commercial Paper
    (cost $161,436,428)
 
$161,493,006 
 
46.62 %
 
  Corporate Bonds
       United States
          Financials  
$37,589,108 
 
10.85 %
              (cost $37,464,778)  
 
 
 
  Government And Agency Obligations
       United States
          US Government Agency  
$14,585,360 
 
4.21 %
$12,000,000 
          US Treasury Bill
            U.S. Treasury Bills*
                Due 01/06/2011
 
$11,999,817 
 
3.46 %
$50,000,000 
              U.S. Treasury Bills*
                Due 01/13/2011
 
$49,998,833 
 
14.43 %
      Total United States (cost $76,597,690)  
$76,584,010 
 
22.10 %
 
  Short Term Investment Funds
       United States
          Short Term Investment Funds  
$941 
 
0.00 %
              (cost $ 941)  
 
 
 
  Total Fixed Income Securities
    (cost $282,714,837)
 
$282,888,486 
 
81.65 %
 
 
See Accompanying Notes to Financial Statements.
 
 
5

 
THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2010 (Unaudited)
 
                                        
LONG FUTURES CONTRACTS
Description  
Values ($)
  % of Net
Asset Value
Agricultural  
$2,226,611 
 
0.64 %
Energy  
$743,689 
 
0.21 %
Metals  
$2,581,189 
 
0.75 %
Stock indices  
$(39,120)
 
(0.01)%
Short-term interest rates  
$400,606 
 
0.12 %
Long-term interest rates  
$45,692 
 
0.01 %
Total long futures contracts  
$5,958,667 
 
1.72 %
 
SHORT FUTURES CONTRACTS
Description  
Values ($)
  % of Net
Asset Value
Agricultural  
$(14,930)
 
0.00 %
Energy  
$(239,450)
 
(0.07)%
Metals  
$(573,456)
 
(0.17)%
Stock indices  
$48,337 
 
0.01 %
Short-term interest rates  
$(9,188)
 
0.00 %
Long-term interest rates  
$(644,303)
 
(0.19)%
Total short futures contracts  
$(1,432,990)
 
(0.42)%
 
Total futures contracts  
$4,525,677 
 
1.30 %
 
FORWARD CURRENCY CONTRACTS
Description  
Values ($)
  % of Net
Asset Value
Various long forward currency contracts  
$26,630,262 
 
7.69 %
Various short forward currency contracts  
$(21,482,235)
 
(6.20)%
Total forward currency contracts  
$5,148,027 
 
1.49 %
 
PURCHASED OPTIONS ON FORWARD CURRENCY CONTRACTS
Description  
Values ($)
  % of Net
Asset Value
Purchased options on forward currency contracts
(premiums paid - $1,091,379)
 
$1,500,007 
 
0.43 %
 
WRITTEN OPTIONS ON FORWARD CURRENCY CONTRACTS
Description  
Values ($)
  % of Net
Asset Value
Written options on forward currency contracts
(premiums received - $237,756)
 
$(693,506)
 
(0.20)%
 
 
Pledged as collateral for the trading of futures, forward and option positions
 
 
See Accompanying Notes to Financial Statements.
 
 
6

 
THE CAMPBELL FUND TRUST
STATEMENTS OF FINANCIAL CONDITION
September 30, 2011 and December 31, 2010 (Unaudited)
 
 
September 30,
2011
 
December 31,
2010
ASSETS  
Equity in broker trading accounts  
Cash
$83,697,856 
 
$43,929,635 
Restricted cash
21,996,093 
 
Fixed income securities - (cost $ 0 and $49,998,833, respectively)
 
49,998,833 
Net unrealized gain (loss) on open futures contracts
1,746,630 
 
4,525,677 
Total equity in broker trading accounts
107,440,579 
 
98,454,145 
 
Cash and cash equivalents
10,822,383 
 
15,906,463 
Fixed income securities
    (cost $279,658,500 and $232,716,004, respectively)
279,654,771 
 
232,889,653 
Options purchased, at fair value
    (premiums paid - $0 and $1,091,379, respectively)
 
1,500,007 
Net unrealized gain (loss) on open forward currency contracts
(10,908,308)
 
5,148,027 
Interest receivable
474,528 
 
81,415 
Subscriptions receivable
79,267 
 
327,332 
Total assets
$387,563,220 
 
$354,307,042 
 
LIABILITIES  
Accounts payable
$124,131 
 
$116,724 
Management fee
1,236,219 
 
1,142,475 
Service fee
7,087 
 
4,423 
Options written, at fair value
    (premiums received - $0 and $237,756, respectively)
 
693,506 
Accrued commissions and other trading fees on open contracts
39,189 
 
47,113 
Performance fee payable
 
381,483 
Offering costs payable
58,475 
 
32,432 
Redemptions payable
1,884,963 
 
5,439,258 
Total liabilities
3,350,064 
 
7,857,414 
 
UNITHOLDERS' CAPITAL (Net Asset Value)  
 
Series A Units - Redeemable  
Other Unitholders - 50,866.384 and 27,273.338 units outstanding at
    September 30, 2011 and December 31, 2010
129,702,013 
 
71,343,164 
Series B Units - Redeemable  
Managing Operator - 20.360 units outstanding at
    September 30, 2011 and December 31, 2010
52,951 
 
54,087 
Other Unitholders - 91,152.491 and 99,342.853 units outstanding at
    September 30, 2011 and December 31, 2010
237,062,435 
 
263,905,408 
Series W Units - Redeemable  
Other Unitholders - 6,582.545 and 4,160.119 units outstanding at
    September 30, 2011 and December 31, 2010
17,395,757 
 
11,146,969 
Total unitholders' capital (Net Asset Value)
384,213,156 
 
346,449,628 
 
Total liabilities and unitholders' capital (Net Asset Value)
$387,563,220 
 
$354,307,042 
 
 
See Accompanying Notes to Financial Statements.
 
 
7

 
THE CAMPBELL FUND TRUST
STATEMENTS OF OPERATIONS
For the Three Months and Nine Months Ended September 30, 2011 and 2010
(Unaudited)
 
  Three Months Ended
September 30,
   Nine Months Ended
September 30,
 
2011
  
2010
  
2011
  
2010
TRADING GAINS (LOSSES)  
Futures trading gains (losses)  
Realized
$23,119,773 
 
$13,528,043 
 
$18,154,158 
 
$2,740,399 
Change in unrealized
8,632,911 
 
9,435,554 
 
(2,779,047)
 
14,434,987 
Brokerage commissions
(334,306)
 
(248,680)
 
(917,094)
 
(722,899)
Net gain (loss) from futures trading
31,418,378 
 
22,714,917 
 
14,458,017 
 
16,452,487 
 
Forward currency and options on forward  
currency trading gains (losses)  
Realized
(4,836,926)
 
(3,076,783)
 
4,415,564 
 
(5,726,522)
Change in unrealized
(10,522,367)
 
8,173,562 
 
(16,009,213)
 
7,613,217 
Brokerage commissions
(33,083)
 
(23,571)
 
(117,152)
 
(65,767)
Net gain (loss) from forward currency
    and options on forward currency trading
(15,392,376)
 
5,073,208 
 
(11,710,801)
 
1,820,928 
 
Total net trading gain (loss)
16,026,002 
 
27,788,125 
 
2,747,216 
 
18,273,415 
 
NET INVESTMENT INCOME (LOSS)  
Investment income  
Interest income
270,051 
 
423,312 
 
905,562 
 
907,647 
Realized gain (loss)
    on fixed income securities
333 
 
49,071 
 
6,154 
 
77,172 
Change in unrealized gain (loss)
    on fixed income securities
(160,883)
 
167,437 
 
(177,460)
 
40,028 
Total investment income
109,501 
 
639,820 
 
734,256 
 
1,024,847 
 
Expenses  
Management fee
3,784,632 
 
3,144,685 
 
10,739,070 
 
9,802,859 
Service fee
21,443 
 
11,773 
 
54,299 
 
28,990 
Performance fee
5,222 
 
 
5,222 
 
Operating expenses
131,995 
 
94,577 
 
382,372 
 
341,374 
 
Total expenses
3,943,292 
 
3,251,035 
 
11,180,963 
 
10,173,223 
 
Net investment income (loss)
(3,833,791)
 
(2,611,215)
 
(10,446,707)
 
(9,148,376)
 
NET INCOME (LOSS)
$12,192,211 
 
$25,176,910 
 
$(7,699,491)
 
$9,125,039 
 
 
NET INCOME (LOSS) PER MANAGING OPERATOR
    AND OTHER UNITHOLDERS UNIT
 
(based on weighted average number of units outstanding
  during the period)
 
Series A
$67.38 
 
$194.08 
 
$(61.49)
 
$163.69 
Series B
$92.86 
 
$184.09 
 
$(55.53)
 
$48.14 
Series W
$93.35 
 
$191.96 
 
$(17.40)
 
$194.92 
 
INCREASE (DECREASE) IN NET ASSET VALUE
    PER MANAGING OPERATOR AND OTHER
    UNITHOLDERS UNIT
 
Series A
$84.27 
 
$184.12 
 
$(66.00)
 
$72.20 
Series B
$90.15 
 
$188.82 
 
$(55.79)
 
$81.89 
Series W
$97.78 
 
$197.64 
 
$(36.77)
 
$101.34 
 
 
See Accompanying Notes to Financial Statements.
 
 
8

 
 
THE CAMPBELL FUND TRUST
STATEMENTS OF CASH FLOWS
For the Nine Months Ended September 30, 2011 and 2010 (Unaudited)
 
 
  Nine Months Ended
September 30,
 
2011
  
2010
Cash flows from (for) operating activities  
Net income (loss)
$(7,699,491)
 
$9,125,039 
Adjustments to reconcile net income (loss) to net cash from (for) operating activities  
Net change in unrealized
18,965,720 
 
(22,088,233)
(Increase) decrease in restricted cash
(21,996,093)
 
24,115,214 
(Increase) decrease in option premiums paid
1,091,379 
 
615,916 
Increase (decrease) in option premiums received
(237,756)
 
68,388 
(Increase) decrease in interest receivable
(393,113)
 
(66,303)
Increase (decrease) in accounts payable and accrued expenses
(285,592)
 
(166,604)
Purchases of investments in fixed income securities
(11,752,247,504)
 
(4,509,854,684)
Sales/maturities of investments in fixed income securities
11,755,303,759 
 
4,564,990,875 
 
Net cash from (for) operating activities
(7,498,691)
 
66,739,608 
 
Cash flows from (for) financing activities  
Addition of units
71,876,039 
 
37,229,503 
Redemption of units
(29,299,341)
 
(89,856,176)
Offering costs paid
(393,866)
 
(146,362)
Net cash from (for) financing activities
42,182,832 
 
(52,773,035)
 
Net increase (decrease) in cash and cash equivalents
34,684,141 
 
13,966,573 
 
Unrestricted cash  
Beginning of period
59,836,098 
 
27,012,256 
 
End of period
$94,520,239 
 
$40,978,829 
 
End of period cash and cash equivalents consists of:  
Cash in broker trading accounts
$83,697,856 
 
$29,346,522 
Cash and cash equivalents
10,822,383 
 
11,632,307 
 
Total end of period cash and cash equivalents
$94,520,239 
 
$40,978,829 

 
See Accompanying Notes to Financial Statements.
 
9

 
THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE)
For the Nine Months Ended September 30, 2011 and 2010 (Unaudited)


 
Unitholders' Capital - Series B
 
Managing Operator
 
Other Unitholders
 
Total
 
Units
 
Amount
 
Units
 
Amount
 
Units
 
Amount
Nine Months Ended September 30, 2011  
 
Balances at December 31, 2010
20.360 
 
$54,087 
 
99,342.853 
 
$263,905,408 
 
99,363.213 
 
$263,959,495 
 
Net income (loss) for the nine months  
ended September 30, 2011    
(1,136)
     
(5,304,584)
     
(5,305,720)
Additions
0.000 
 
 
596.215 
 
1,573,178 
 
596.215 
 
1,573,178 
Redemptions
0.000 
 
 
(8,786.577)
 
(23,111,567)
 
(8,786.577)
 
(23,111,567)
Balances at September 30, 2011
20.360 
 
$52,951 
 
91,152.491 
 
$237,062,435 
 
91,172.851 
 
$237,115,386 
 
Nine Months Ended September 30, 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 nine months  
ended September 30, 2010    
1,667 
     
6,024,446 
     
6,026,113 
Additions
0.000 
 
 
1,117.657 
 
2,518,686 
 
1,117.657 
 
2,518,686 
Redemptions
0.000 
 
 
(36,409.448)
 
(83,839,884)
 
(36,409.448)
 
(83,839,884)
Balances at September 30, 2010
20.360 
 
$50,120 
 
106,119.354 
 
$261,233,002 
 
106,139.714 
 
$261,283,122 


Net Asset Value per Managing Operator and Other Unitholders' Unit - Series B
 
September 30, 2011
 
December 31, 2010
 
September 30, 2010
 
December 31, 2009
 
$2,600.72 
 
$2,656.51 
 
$2,461.69 
 
$2,379.80 

See Accompanying Notes to Financial Statements.
 
10

 
THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS' CAPITAL (NET ASSET VALUE)
For the Nine Months Ended September 30, 2011 and 2010 (Unaudited)


 
Unitholders' Capital
 
Series A - Other Unitholders
 
Series W - Other Unitholders
 
Units
 
Amount
 
Units
 
Amount
Nine Months Ended September 30, 2011  
 
Balances at December 31, 2010
27,273.338 
 
$71,343,164 
 
4,160.119 
 
$11,146,969 
 
Net income (loss) for the nine months ended  
September 30, 2011    
(2,299,956)
     
(93,815)
Additions
24,250.679 
 
62,726,472 
 
2,773.931 
 
7,328,324 
Redemptions
(657.633)
 
(1,702,057)
 
(351.505)
 
(931,422)
Offering costs    
(365,610)
     
(54,299)
Balances at September 30, 2011
50,866.384 
 
$129,702,013 
 
6,582.545 
 
$17,395,757 
 
Nine Months Ended September 30, 2010  
 
Balances at December 31, 2009
10,227.868 
 
$24,189,310 
 
1,896.181 
 
$4,550,636 
 
Net income (loss) for the nine months ended  
September 30, 2010    
2,456,068 
     
642,858 
Additions
11,853.085 
 
27,132,522 
 
3,288.328 
 
7,578,295 
Redemptions
(1,431.343)
 
(3,320,618)
 
(1,714.920)
 
(4,064,573)
Offering costs    
(129,292)
     
(28,990)
Balances at September 30, 2010
20,649.610 
 
$50,327,990 
 
3,469.589 
 
$8,678,226 


Net Asset Value per Other Unitholders' Unit - Series A
 
September 30, 2011
 
December 31, 2010
 
September 30, 2010
 
December 31, 2009
 
$2,549.86 
 
$2,615.86 
 
$2,437.24 
 
$2,365.04 
 
 
 
 
Net Asset Value per Other Unitholders' Unit - Series W
 
September 30, 2011
 
December 31, 2010
 
September 30, 2010
 
December 31, 2009
 
$2,642.71 
 
$2,679.48 
 
$2,501.23 
 
$2,399.89 

See Accompanying Notes to Financial Statements.
 
11

 
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three Months and Nine Months Ended September 30, 2011 and 2010
(Unaudited)


The following information presents per unit operating performance data and other supplemental financial data for the three months and nine months ended September 30, 2011 and 2010. This information has been derived from information presented in the unaudited financial statements. 

 
Series A
  Three Months Ended
September 30,
   Nine Months Ended
September 30,
 
2011
  
2010
  
2011
  
2010
Per Unit Performance  
(for a unit outstanding throughout the entire period)  
 
Net asset value per unit at beginning of period
$2,465.59 
 
$2,253.12 
 
$2,615.86 
 
$2,365.04 
 
Income (loss) from operations:  
Total net trading gains (losses) (1)
114.38 
 
206.45 
 
19.88 
 
144.24 
Net investment income (loss)(1)
(26.79)
 
(19.41)
 
(76.10)
 
(63.42)
 
Total net income (loss) from operations
87.59 
 
187.04 
 
(56.22)
 
80.82 
 
Offering costs (1)
(3.32)
 
(2.92)
 
(9.78)
 
(8.62)
 
Net asset value per unit at end of period
$2,549.86 
 
$2,437.24 
 
$2,549.86 
 
$2,437.24 
 
Total Return (3)
3.42 %
 
8.17 %
 
(2.52)%
 
3.05 %
 
Supplemental Data  
 
Ratios to average net asset value:  
Expenses prior to performance fee (4)
4.16 %
 
4.25 %
 
4.04 %
 
4.18 %
Performance fee (3)
0.00 %
 
0.00 %
 
0.00 %
 
0.00 %
 
Total expenses
4.16 %
 
4.25 %
 
4.04 %
 
4.18 %
 
Net investment income (loss)(2),(4)
(4.05)%
 
(3.43)%
 
(3.80)%
 
(3.72)%
 
Total returns are calculated based on the change in value of a unit during the period. An individual partner's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.
 
(1) 
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2) 
Excludes performance fee.
(3) 
Not annualized
(4)  Annualized

See Accompanying Notes to Financial Statements.
 
 
12

 
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three Months and Nine Months Ended September 30, 2011 and 2010
(Unaudited)


The following information presents per unit operating performance data and other supplemental financial data for the three months and nine months ended September 30, 2011 and 2010. This information has been derived from information presented in the unaudited financial statements. 

 
Series B
  Three Months Ended
September 30,
   Nine Months Ended
September 30,
 
2011
  
2010
  
2011
  
2010
Per Unit Performance  
(for a unit outstanding throughout the entire period)  
 
Net asset value per unit at beginning of period
$2,510.57 
 
$2,272.87 
 
$2,656.51 
 
$2,379.80 
 
Income (loss) from operations:  
Total net trading gains (losses) (1)
117.39 
 
208.34 
 
20.97 
 
146.37 
Net investment income (loss)(1)
(27.24)
 
(19.52)
 
(76.76)
 
(64.48)
 
Total net income (loss) from operations
90.15 
 
188.82 
 
(55.79)
 
81.89 
 
 
Net asset value per unit at end of period
$2,600.72 
 
$2,461.69 
 
$2,600.72 
 
$2,461.69 
 
Total Return (3)
3.59 %
 
8.31 %
 
(2.10)%
 
3.44 %
 
Supplemental Data  
 
Ratios to average net asset value:  
Expenses prior to performance fee (4)
4.23 %
 
4.20 %
 
4.17 %
 
4.18 %
Performance fee (3)
0.00 %
 
0.00 %
 
0.00 %
 
0.00 %
 
Total expenses
4.23 %
 
4.20 %
 
4.17 %
 
4.18 %
 
Net investment income (loss)(2),(4)
(4.12)%
 
(3.38)%
 
(3.89)%
 
(3.77)%
 
Total returns are calculated based on the change in value of a unit during the period. An individual partner's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.
 
(1) 
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2) 
Excludes performance fee.
(3) 
Not annualized
(4)  Annualized
 
 
See Accompanying Notes to Financial Statements.
 
 
13

 
THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three Months and Nine Months Ended September 30, 2011 and 2010
(Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for the three months and nine months ended September 30, 2011 and 2010. This information has been derived from information presented in the unaudited financial statements. 

 
Series W
  Three Months Ended
September 30,
   Nine Months Ended
September 30,
 
2011
  
2010
  
2011
  
2010
Per Unit Performance  
(for a unit outstanding throughout the entire period)  
 
Net asset value per unit at beginning of period
$2,544.93 
 
$2,303.59 
 
$2,679.48 
 
$2,399.89 
 
Income (loss) from operations:  
Total net trading gains (losses) (1)
118.83 
 
211.45 
 
21.63 
 
148.50 
Net investment income (loss)(1)
(17.62)
 
(10.83)
 
(48.33)
 
(38.37)
 
Total net income (loss) from operations
101.21 
 
200.62 
 
(26.70)
 
110.13 
 
Offering costs (1)
(3.43)
 
(2.98)
 
(10.07)
 
(8.79)
 
Net asset value per unit at end of period
$2,642.71 
 
$2,501.23 
 
$2,642.71 
 
$2,501.23 
 
Total Return (3)
3.84 %
 
8.58 %
 
(1.37)%
 
4.22 %
 
Supplemental Data  
 
Ratios to average net asset value:  
Expenses prior to performance fee (4)
2.68 %
 
2.70 %
 
2.60 %
 
2.67 %
Performance fee (3)
0.01 %
 
0.00 %
 
0.01 %
 
0.00 %
 
Total expenses
2.69 %
 
2.70 %
 
2.61 %
 
2.67 %
 
Net investment income (loss)(2),(4)
(2.57)%
 
(1.87)%
 
(2.35)%
 
(2.21)%
 
Total returns are calculated based on the change in value of a unit during the period. An individual partner's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.
 
(1) 
Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2) 
Excludes performance fee.
(3) 
Not annualized
(4)  Annualized
 
See Accompanying Notes to Financial Statements.
 
 
14

 
 
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2011 (Unaudited)

 
Note 1.  
ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
 
 
A.  General Description of the Trust
 
 
The Campbell Fund Trust (the Trust) is a Delaware statutory trust which operates as a commodity investment pool. The Trust engages in the speculative trading of futures contracts and forward currency contracts. Prior to September 2011, the Trust also traded options on forward currency contracts.
 
Effective August 31, 2008, the Trust began offering units of beneficial interest classified into Series A units, Series B units and Series W units. The rights of the Series A units, Series B units and Series W units are identical, except that the fees and commissions vary on a Series-by-Series basis. Series A and Series W commenced trading on October 1, 2008 and March 1, 2009, respectively.  The initial minimum subscription for Series A units and Series W units is $25,000. Series B units are only available for additional investments by existing holders of Series B units. See Note 1F, Note 1H, Note 2 and Note 5 for an explanation of allocations and Series specific charges.
   
 
B.  Regulation
 
 
The Trust is a registrant with the Securities and Exchange Commission (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 Trust's financial statements are presented in accordance with accounting principles generally accepted in the United States of America on a liquidation basis, which may require the use of certain estimates made by the Trust's management. Actual results may differ from these estimates.
 
Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and market price) are reported in the statement of financial condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 210-20, "Offsetting - Balance Sheet." The fair value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close on the last business day of the reporting period. The fair value of forward currency (non-exchange traded) contracts was extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period.
 
The fair value of option (non-exchange traded) contracts is calculated by applying an industry-standard adaptation of the Black-Scholes options valuation model to foreign currency options, using as inputs the spot prices, interest rates and the 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 the option written. Brokerage commissions include other trading fees and are charged to expense when contracts are opened.
 
The fixed income investments, other than U.S. Treasury bills, are held at the custodian and marked to market on the last business day of the reporting period by the custodian who utilizes a third party vendor hierarchy of pricing providers who specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. U.S. Treasury bills are held at the brokers or interbank market makers and are stated at cost plus accrued interest, which approximates fair value. Premiums and discounts on fixed income securities are amortized for financial reporting purposes.
 
For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value by the number of outstanding units.
 
The Trust follows the provisions of ASC 820, "Fair Value Measurements and Disclosures." 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.

 
15

 
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2011 (Unaudited)
 
 
 
ASC 820 establishes a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).
 
Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that the Trust has the ability to access at the measurement date. An active market for the asset or liability is a market in which transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The value of the Trust's exchange-traded futures contracts fall into this category.
 
Level 2 inputs are inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. This category includes forward currency contracts and options on forward currency contracts that the Trust values using models or other valuation methodologies derived from observable market data. This category also includes fixed income investments.
 
Level 3 inputs are unobservable inputs for an asset or liability (including the Trust's own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of and for the period ended May 31, 2011, the Trust did not have any Level 3 assets or liabilities.
 
In January 2010, the FASB issued Accounting Standards Update No. 2010-06 ("ASU 2010-06") for improving disclosure about fair value measurements. ASU 2010-06 adds new disclosure requirements about transfers into and out of Levels 1 and 2 and separate disclosures about purchases, sales, issuances and settlements in the reconciliation for fair value measurements using significant unobservable inputs (Level 3). It also clarifies existing disclosure requirements relating to the levels of disaggregation for fair value measurement and inputs and valuation techniques used to measure fair value. As of January 1, 2010, the Trust adopted the provisions of ASC 2010-06 except for disclosures about purchases, sales, issuances and settlements in the rollforward of activity in Level 3 fair value measurements, which were adopted as of January 1, 2011. The adoption of the remaining provisions has not had a material impact on the Trust's financial statement disclosures.
 
The following tables set forth by level within the fair value hierarchy the Trust's investments accounted for at fair value on a recurring basis as of September 30, 2011 and December 31, 2010.
 
 
   
Fair Value at September 30, 2011
 
Description
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments
                       
Fixed income securities
  $ 0     $ 279,654,771     $ 0     $ 279,654,771  
Other Financial Instruments
                               
Exchange-traded futures contracts
    1,746,630       0       0       1,746,630  
Forward currency contracts
    0       (10,908,308 )     0       (10,908,308 )
Total
  $ 1,746,630     $ 268,746,463     $ 0     $ 270,493,093  
 

   
Fair Value at December 31, 2010
 
Description
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Investments
                       
Fixed income securities
  $ 0     $ 282,888,486     $ 0     $ 282,888,486  
Other Financial Instruments
                               
Exchange-traded futures contracts
    4,525,677       0       0       4,525,677  
Forward currency contracts
    0       5,148,027       0       5,148,027  
Options purchased
    0       1,500,007       0       1,500,007  
Options written
    0       (693,506 )     0       (693,506 )
Total
  $ 4,525,677     $ 288,843,014     $ 0     $ 293,368,691  

 
16

 
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2011 (Unaudited)
 

 
The gross presentation of the fair value of the Trust's derivatives by instrument type is shown in Note 8. See Condensed Schedule of Investments for additional detail categorization.
   
 
D.  Cash and Cash Equivalents
 
 
Cash and cash equivalents includes cash and overnight money market investments at financial institutions.
   
 
E.  Income Taxes
 
 
The Trust prepares calendar year U.S. federal and applicable state information tax returns and reports to the unitholders their allocable shares of the Trust's income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each unitholder is individually responsible for reporting income or loss based on such unitholder's respective share of the Trust's income and expenses as reported for income tax purposes.
 
Management has continued to evaluate the application of ASC 740, "Income Taxes," to the Trust, and has determined that no reserves for uncertain tax positions were required. The Trust files federal and state tax returns. The 2007 through 2011 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.
   
 
F.  Offering Costs
 
 
Campbell & Company, Inc. (Campbell & Company) has incurred all costs in connection with the initial and continuous offering of units of the Trust (offering costs). Series A units and Series W units will each bear the offering costs incurred in the relation to the offering of Series A units and Series W units, respectively. Offering costs are charged to Series A and 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 September 30, 2011 and December 31, 2010, the amount of unreimbursed offering costs incurred by Campbell & Company is $2,787,901 and $2,712,914 for Series A units and $575,642 and $556,411 for Series W units, respectively.
   
 
G.  Foreign Currency Transactions
 
 
The Trust's functional currency is the U.S. dollar; however, it transacts business in currencies other than the U.S. dollar. Assets and liabilities denominated in currencies other than the U.S. dollar are translated into U.S. dollars at the rates in effect at the date of the 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.  Recently Issued Accounting Pronouncements
 
 
In May 2011, the FASB issued Accounting Standards Update No. 2011-04 ("ASU 2011-04") to achieve common fair value measurement and disclosure requirements in U.S. GAAP and International Financial Reporting Standards. ASC 2011-04 explains how to measure fair value. It does not require additional fair value measurements and is not intended to establish valuation standards or affect valuation practices outside of financial reporting. The amended guidance is effective for financial statements for fiscal years and interim periods beginning after December 15, 2011. The impact of this guidance on the Trust's financial statements and disclosures, if any, is currently being assessed.
   
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.

 
17

 
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2011 (Unaudited)
 
 
 
The performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark). In determining the management fee and performance fee (the fees), adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The fees are typically paid in the month following the month in which they are earned. The fees are paid from the available cash at the Trust's bank, broker or cash management custody accounts.
   
Note 3. 
TRUSTEE
 
 
The trustee of the Trust is U.S. Bank National Association, a national banking corporation. The trustee has delegated to the managing operator the duty and authority to manage the business and affairs of the Trust and has only nominal duties and liabilities with respect to the Trust.
   
Note 4.
CASH MANAGER AND CUSTODIAN
 
 
The Trust appointed Wilmington Trust Investment Management LLC, a wholly owned subsidiary of Wilmington Trust Corporation, as cash manager under the Non-Custody Investment Advisory Agreement dated July 8, 2009. The Trust appointed Horizon Cash Management LLC as cash manager under the Investment Advisory Agreement dated December 22, 2010 to manage and control the liquid assets of the Trust. Both cash managers are registered as investment advisers with the Securities and Exchange Commission of the United States under the Investment Advisers Act of 1940. The Trust has terminated the Non-Custody Investment Advisory Agreement appointing Wilmington Trust Investment Management LLC as cash manager, effective December 31, 2010.
 
The Trust opened a custodial account at The Northern Trust Company (the custodian) and has granted the cash manager authority to make certain investments on behalf of the Trust provided such investments are consistent with the investment guidelines created by the managing operator. All securities purchased by the cash manager on behalf of the Trust will be held in its custody account at the custodian. The cash manager will have no beneficial or other interest in the securities and cash in such custody account.
 
Note 5.
SERVICE FEE
 
 
The selling firms who sell Series W units receive a monthly service fee equal to 1/12 of 0.5% of the month-end Net Asset Value (as defined) of the Series W units, totaling approximately 0.50% per year.
 
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. For the nine months ended September 30, 2011 and 2010, Campbell & Company received redemption fees of $4,301 and $1,428, respectively.
 
Note 8.
TRADING ACTIVITIES AND RELATED RISKS
 
 
The Trust engages in the speculative trading of U.S. and foreign futures contracts, forward currency contracts and options on forward currency contracts (collectively, "derivatives"). Specifically, the Fund trades a portfolio focused on financial futures, which are instruments designed to hedge or speculate on changes in interest rates, currency exchange rates or stock index values, as well as metals, energy and agricultural values.

 
18

 
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2011 (Unaudited)
 
 
 
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 Trust's assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Trust's main line of business.
   
 
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 broker's proprietary activities. A customer's 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 broker's segregation requirements. In the event of a broker's insolvency, recovery may be limited to a pro rata share of segregated Trusts 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 market value of securities held to satisfy such requirements at September 30, 2011 and December 31, 2010 was $28,999,968 and $61,998,650, respectively, which equals 8% and 18% of Net Asset Value, respectively. The cash deposited with interbank market makers at September 30, 2011 and December 31, 2010 was $2,770,576 and $15,795,395, respectively, which equals 1% and 5% of Net Asset Value, respectively. Included in cash deposits with the broker and interbank market maker at September 30, 2011 and December 31, 2010 was restricted cash for margin requirements of $21,996,093 and $0 respectively, which equals 6% and 0% 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 institution's insolvency, recovery of Trust assets on deposit may be limited to account insurance or other protection afforded such deposits.
 
For derivatives, risks arise from changes in the market value of the contracts. Theoretically, the Trust is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. As both a buyer and seller of options, the Trust pays or receives a premium at the outset and then bears the risk of unfavorable changes in the price of the contract underlying the option. Written options expose the Trust to potentially unlimited liability, and purchased options expose the Trust to a risk of loss limited to the premiums paid. See Note 1. C. for an explanation of how the Trust determines its valuation for derivatives as well as the netting of derivatives.
 
The Trust adopted ASC 815 Derivatives and Hedging as of January 1, 2009. ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity's financial position, financial performance and cash flows.
   
 
The following tables summarize quantitative information required by ASC 815.
 
The fair value of the Trust's derivatives by instrument type, as well as the location of those instruments on the Statement of Financial Condition, as of September 30, 2011 and December 31, 2010 is as follows:
 
Type of Instrument*
 
Statement of Financial
Condition Location
 
Asset
Derivatives at
 September 30, 2011
Fair Value
   
Liability
Derivatives at
 September 30, 2011
Fair Value
   
Net
 
Agricultural Contracts
 
Equity in broker trading accounts
  $ 1,860,385     $ (1,288,353 )   $ 572,032  
Energy Contracts
 
Equity in broker trading accounts
    1,009,119       (1,006,723 )     2,396  
Metal Contracts
 
Equity in broker trading accounts
    10,066,868       (6,196,881 )     3,869,987  
Stock Indices Contracts
 
Equity in broker trading accounts
    482,469       (816,303 )     (333,834 )  
Short-Term Interest Rate Contracts
 
Equity in broker trading accounts
    59,547       (881,968 )     (822,421 )  
Long-Term Interest Rate Contracts
 
Equity in broker trading accounts
    423,574       (1,965,104 )     (1,541,530 )  
Forward Currency Contracts
 
Net unrealized gain (loss) on forward currency contracts
    27,021,207       (37,929,515 )     (10,908,308 )  
Totals
      $ 40,923,169     $ (50,084,847 )   $ (9,161,678 )  
 
* Derivatives not designated as hedging instruments under ASC 815
 

 
19

 
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2011 (Unaudited)
 
Type of Instrument*
 
Statement of Financial
Condition Location
 
Asset
Derivatives at
December 31, 2010
Fair Value
   
Liability
Derivatives at
December 31, 2010
Fair Value
   
Net
 
Agricultural Contracts
 
Equity in broker trading accounts
  $ 2,324,406     $ (112,725 )   $ 2,211,681  
Energy Contracts
 
Equity in broker trading accounts
    980,008       (475,769 )     504,239  
Metal Contracts
 
Equity in broker trading accounts
    2,599,694       (591,961 )     2,007,733  
Stock Indices Contracts
 
Equity in broker trading accounts
    902,423       (893,206 )     9,217  
Short-Term Interest Rate Contracts
 
Equity in broker trading accounts
    416,741       (25,323 )     391,418  
Long Term Interest Rate Contracts
 
Equity in broker trading accounts
    99,846       (698,457 )     (598,611 )  
Forward Currency Contracts
 
Net unrealized gain (loss) on forward currency contracts
    27,837,667       (22,689,640 )     5,148,027  
Purchased Options on Forward Currency Contracts
 
Options purchased, at fair value
    1,500,007       0       1,500,007  
Written Options on Forward Currency Contracts
 
Options written, at fair value
    0       (693,506 )     (693,506 )  
Totals
      $ 36,660,792     $ (26,180,587 )   $ 10,480,205  
 
* Derivatives not designated as hedging instruments under ASC 815
 
 
 
  The trading revenue of the Trust's derivatives by instrument type, as well as the location of those gains and losses on the Statement of Operations, for the periods ended September 30, 2011 and 2010 is as follows:
 
Type of Instrument
 
Trading Revenue for
the Three Months Ended
September 30, 2011
   
Trading Revenue for
the Three Months Ended
September 30, 2010
 
Agricultural Contracts
  $ (9,020,457 )   $ 9,363,611  
Energy Contracts
    (5,084,181 )     (5,448,085 )  
Metal Contracts
    3,182,922       4,435,036  
Stock Indices Contracts
    (6,513,952 )     2,155,658  
Short-Term Interest Rate Contracts
    10,718,343       2,071,617  
Long Term Interest Rate Contracts
    38,353,446       10,444,761  
Forward Currency Contracts
    (15,294,359 )     5,537,973  
Purchased Options on Forward Currency Contracts
    (2,271,933 )     (2,381,140 )  
Written Options on Forward Currency Contracts
    2,206,999       1,939,946  
Total
  $ 16,276,828     $ 28,119,377  
 
Type of Instrument
 
Trading Revenue for
the Nine Months Ended
September 30, 2011
   
Trading Revenue for
the Nine Months Ended
September 30, 2010
 
Agricultural Contracts
  $ (13,683,913 )   $ 8,825,418  
Energy Contracts
    (4,155,372 )     (18,441,525 )  
Metal Contracts
    (1,135,027 )     (630,117 )  
Stock Indices Contracts
    (18,688,736 )     (19,894,233 )  
Short-Term Interest Rate Contracts
    2,642,139       22,676,527  
Long Term Interest Rate Contracts
    50,328,924       24,726,967  
Forward Currency Contracts
    (6,331,984 )     4,145,719  
Purchased Options on Forward Currency Contracts
    (11,630,929 )     (8,783,976 )  
Written Options on Forward Currency Contracts
    6,369,264       6,524,952  
Total
  $ 3,714,366     $ 19,149,732  

 
20

 
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2011 (Unaudited)
 

Line Item in the Statement of Operations
 
Trading Revenue for
the Three Months Ended
September 30, 2011
   
Trading Revenue for
the Three Months Ended
September 30, 2010
 
Futures trading gains (losses):
           
Realized
  $ 23,003,210     $ 13,587,044  
Change in unrealized
    8,632,911       9,435,554  
Forward currency and options on forward currency trading gains (losses):
               
Realized
    (4,836,926 )     (3,076,783 )  
Change in unrealized
    (10,522,367 )     8,173,562  
Total
  $ 16,276,828     $ 28,119,377  
 


Line Item in the Statement of Operations
 
Trading Revenue for
the Nine Months Ended
September 30, 2011
   
Trading Revenue for
the Nine Months Ended
September 30, 2010
 
Futures trading gains (losses):
           
Realized
  $ 18,087,062     $ 2,828,050  
Change in unrealized
    (2,779,047 )     14,434,987  
Forward currency and options on forward currency trading gains (losses):
               
Realized
    4,415,564       (5,726,522 )  
Change in unrealized
    (16,009,213 )     7,613,217  
Total
  $ 3,714,366     $ 19,149,732  

 
For the three months ended September 30, 2011 and 2010, the monthly average of futures contracts bought and sold was approximately 28,400 and 21,700 respectively, and the monthly average of notional value of forward currency and options on forward currency contracts was $2,959,700,000 and $2,685,550,000 respectively.
 
For the nine months ended September 30, 2011 and 2010, the monthly average of futures contracts bought and sold was approximately 24,500 and 20,500 respectively, and the monthly average of notional value of forward currency and options on forward currency contracts was $3,389,300,000 and $2,556,100,000 respectively.
 
Open contracts generally mature within twelve months; as of September 30, 2011, the latest maturity date for open futures contracts is September 2013, the latest maturity date for open forward currency contracts is December 2011.  However, the Trust intends to close all futures and foreign currency contracts prior to maturity. There are no open options on forward currency contracts as of September 30, 2011.  
 
Campbell & Company has established procedures to actively monitor market risk and minimize credit risk, although there can be no assurance that it will, in fact, succeed in doing so. Campbell & Company's basic market risk control procedures consist of continuously monitoring open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%. Campbell & Company's attempt to manage the risk of the Trust's open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per "risk unit" of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as precalculating "stop-loss" points at which systems will signal to close open positions. Campbell & Company controls the risk of the Trust's non-trading fixed income instruments by limiting the duration of such instruments and requiring a minimum credit quality of the issuers of those instruments.
 
Campbell & Company seeks to minimize credit risk primarily by depositing and maintaining the Trust's assets at financial institutions and brokers which Campbell & Company believes to be credit worthy. The unitholder bears the risk of loss only to the extent of the market value of their respective investments and, in certain specific circumstances, distributions and redemptions received.
   
Note 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 Trust's maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. The Trust expects the risk of any future obligation under these indemnifications to be remote.
 
 
21

 
THE CAMPBELL FUND TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2011 (Unaudited)
 
Note 10.
INTERIM FINANCIAL STATEMENTS
 
  The statements of financial condition, including the condensed schedules of investments, as of September 30, 2011 and December 31, 2010, the statements of operations and financial highlights for the three months and nine months ended September 30, 2011 and 2010, and the statements of cash flows and changes in unitholders' capital (Net Asset Value) for the nine months ended September 30, 2011 and 2010 are unaudited. In the opinion of management, such financial statements reflect all adjustments, which were of a normal and recurring nature, necessary for a fair presentation of financial position as of September 30, 2011, and the results of operations and financial highlights for the three months and nine months ended September 30, 2011 and 2010, and cash flows and changes in unitholders' capital (Net Asset Value) for the nine months ended September 30, 2011 and 2010.
   
Note 11.  SUBSEQUENT EVENTS
   
  Management of the Trust has evaluated subsequent events through the date the financial statements were filed. There are no subsequent events to disclose or record.
 
 
22

 
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations
 
Introduction
 
The Campbell Fund Trust (the “Trust”) is a business trust organized on January 2, 1996 under the Delaware Business Trust Act, which was replaced by the Delaware Statutory Trust Act as of September 1, 2002. The Trust is a successor to the Campbell Fund Limited Partnership (formerly known as the Commodity Trend Fund) which began trading operations in January 1972. The Trust currently trades in the U.S. and international futures and forward markets under the sole direction of Campbell & Company, Inc., the managing operator of the Trust. Specifically, the Trust trades in a diverse array of global assets, including global interest rates, stock indices, currencies and commodities. The Trust is an actively managed account with speculative trading profits as its objective.
 
Effective August 31, 2008, the Trust began offering Series A, Series B, and Series W units. The units in the Trust prior to that date became Series B units. Series B units are only available for additional investment by existing holders of Series B units.
 
As of September 30, 2011, the aggregate capitalization of the Trust was $384,213,156 with Series A, Series B and Series W comprising $129,702,013, $237,115,386 and $17,395,757, respectively, of the total. The Net Asset Value per Unit was $2,549.86 for Series A, $2,600.72 for Series B, and $2,642.71 for Series W.
 
Critical Accounting Policies
 
The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates utilized in preparing the financial statements are reasonable and prudent; however, actual results could differ from those estimates. The Trust’s significant accounting policies are described in detail in Note 1 of the Financial Statements.
 
The Trust records all investments at fair value in its financial statements, with changes in fair value reported as a component of change in unrealized trading gain (loss) in the Statements of Operations. Generally, fair values are based on market prices; however, in certain circumstances, estimates are involved in determining fair value in the absence of an active market closing price (e.g. forward and option contracts which are traded in the inter-bank market).
 
Capital Resources
 
The Trust will raise additional capital only through the sale of Units offered pursuant to the continuing offering, and does not intend to raise any capital through borrowing. Due to the nature of the Trust’s business, it will make no capital expenditures and will have no capital assets which are not operating capital or assets.
 
The Trust maintains 40-80% of its net asset value in cash, cash equivalents or other liquid positions in its cash management program over and above 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.
 
 
23

 
Liquidity
 
Most United States futures exchanges limit fluctuations in futures contracts prices during a single day by regulations referred to as “daily price fluctuation limits” or “daily limits.” During a single trading day, no trades may be executed at prices beyond the daily limit. Once the price of a futures contract has reached the daily limit for that day, positions in that contract can neither be taken nor liquidated. Futures prices have occasionally moved to the daily
 
limit for several consecutive days with little or no trading. Similar occurrences could prevent the Trust from promptly liquidating unfavorable positions and subject the Trust to substantial losses which could exceed the margin initially committed to such trades. In addition, even if futures prices have not moved the daily limit, the Trust may not be able to execute futures trades at favorable prices, if little trading in such contracts is taking place. Other than these limitations on liquidity, which are inherent in the Trust’s futures trading operations, the Trust’s assets are expected to be highly liquid.
 
The entire offering proceeds, without deductions, will be credited to the Trust’s bank brokerage and/or cash management accounts. The Trust meets margin requirements for its trading activities by depositing cash and U.S. government securities with the futures broker and the over-the-counter counterparties. This does not reduce the risk of loss from trading activities. The Trust receives all interest earned on its assets. No other person shall receive any interest or other economic benefits from the deposit of Trust assets.
 
Approximately 10% to 30% of the Trust’s assets normally are committed as required margin for futures contracts and held by the futures broker, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury bills in segregated accounts with the futures broker pursuant to the Commodity Exchange Act and regulations there under. Approximately 10% to 30% of the Trust’s assets are deposited with over-the-counter counterparties in order to initiate and maintain forward contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparties.
 
The managing operator deposits the majority of those assets of the Trust that are not required to be deposited as margin with the futures broker and over-the-counter counterparty in a custodial account with Northern Trust Company. The assets deposited in the custodial account with Northern Trust Company are segregated. The custodial account constitutes approximately 40% to 80% of the Trust’s assets and is invested directly by Horizon Cash Management LLC (“Horizon”). Horizon is registered with the Securities and Exchange Commission as an investment adviser under the Investment Advisers Act of 1940. Horizon does not guarantee any interest or profits will accrue on the Trust’s assets in the custodial account. Horizon will invest according to agreed upon investment guidelines that are modeled after those investments allowed by the futures broker as defined under The Commodity Exchange Act, Title 17, Part 1, § 1.25 Investment of customer funds. Investments can include, but are not limited to, (i) U.S. Government Securities, Government Agency Securities, Municipal Securities, banker acceptances and certificates of deposits; (ii) commercial paper; and (iii) corporate debt.

The Trust occasionally receives margin calls (requests to post more collateral) from its futures broker or over-the-counter counterparties, which are met by moving the required portion of the assets held in the custody account at Northern Trust to the margin accounts. In the past three years, the Trust has not needed to liquidate any position as a result of a margin call.
 
The Trust’s assets are not and will not be, directly or indirectly, commingled with the property of any other person in violation of law or invested in or loaned to Campbell & Company or any affiliated entities.
 
Off-Balance Sheet Risk
 
The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the balance sheet, may result in future obligation or loss. The Trust trades in futures, forward and option contracts and is therefore a party to financial instruments with elements of off-balance sheet market and credit risk. In entering into these contracts there exists a risk to the Trust, market risk, that such contracts may be significantly influenced by market conditions, such as interest rate volatility, resulting in such contracts being less valuable. If the markets should move against all of the futures interests positions of the Trust at the same time, and if the Trust’s trading advisor was unable to offset futures interests positions of the Trust, the Trust could lose all of its assets and the Unitholders would realize a 100% loss. Campbell & Company, Inc., the managing operator (who also acts as trading advisor), minimizes market risk through real-time monitoring of open positions, diversification of the portfolio and maintenance of a margin-to-equity ratio that rarely exceeds 30%.
 
 
24

 
In addition to market risk, in entering into futures, forward and option contracts there is a credit risk that a counterparty will not be able to meet its obligations to the Trust. The counterparty for futures contracts traded in the United States and on most foreign exchanges is the clearinghouse associated with such exchange. In general, clearinghouses are backed by the corporate members of the clearinghouse who are required to share any financial burden resulting from the non-performance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearinghouse is not backed by the clearing members, like some foreign exchanges, it is normally backed by a consortium of banks or other financial institutions.
 
In the case of forward and option contracts, which are traded on the interbank market rather than on exchanges, the counterparty is generally a single bank or other financial institution, rather than a group of financial institutions; thus there may be a greater counterparty credit risk. Campbell & Company trades for the Trust only with those counterparties which it believes to be creditworthy. All positions of the Trust are valued each day on a mark-to-market basis. There can be no assurance that any clearing member, clearinghouse or other counterparty will be able to meet its obligations to the Trust.
 
Disclosures About Certain Trading Activities that Include Non-Exchange Traded Contracts Accounted for at Fair Value
 
The Trust invests in futures and forward currency contracts. Prior to September 2011, the Trust also invested in options on forward currency contracts. The market value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of the last business day of the reporting period. The market value of swap and forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) of the last business day of the reporting period or based on the market value of its exchange-traded equivalent. The market value of option (non-exchange traded) contracts is calculated by applying an industry-standard adaptation of the Black-Scholes options valuation model to foreign currency options, using as input, the spot prices, interest rates and option implied volatilities quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period.

Results of Operations
 
The returns for the nine months ended for Series A as of September 30, 2011 and 2010 were (2.52)% and 3.05%. The returns for Series B for the nine months ended September 30, 2011 and 2010 were (2.10)% and 3.44%, respectively. The returns for Series W for the nine months ended September 30, 2011 and 2010 were (1.37)% and 4.22%, respectively.
 
2011 (For the Nine Months Ended September 30)
 
Of the 2011 year-to-date decrease of (2.52)% for Series A, approximately (3.80)% was due to brokerage fees, management fees, operating costs and offering costs borne by Series A, offset by approximately 1.10% due to trading gains (before commissions) and approximately 0.18% due to investment income.
 
Of the 2011 year-to-date decrease of (2.10)% for Series B, approximately (3.41)% was due to brokerage fees, management fees and operating costs borne by Series B, offset by approximately 1.10% due to trading gains (before commissions) and approximately 0.21% due to investment income.
 
Of the 2011 year-to-date decrease of (1.37)% for Series W, approximately (2.66)% was due to brokerage fees, management fees, service fees, operating costs, offering costs and performance fees borne by Series W, offset by approximately 1.10% due to trading gains (before commissions) and approximately 0.19% due to investment income.
 
During the nine months ended September 30, 2011, the Trust accrued management fees in the amount of $10,739,070 and paid management fees in the amount of $10,645,326. Performance fees were accrued in the amount of $5,222 and paid in the amount of $386,705.
 
 
25

 
An analysis of the 1.10% gross trading gains for the Trust for the year by sector is as follows:

Sector
 
% Gain (Loss)
 
Commodities
    (4.80 )%
Currencies
    (2.76
Interest Rates
    13.99  
Stock Indices
    (5.34
      1.10

2011 started with global equities trending higher, fueled by improving U.S. labor market conditions, a “pro-business” move toward the center by President Obama, stronger corporate earnings and a general rotation from fixed income into stocks. The Trust’s long equity positions made the sector the best performer for the month of January, in the face of such a rising global equity environment. Commodity trading also produced gains for the month from the Trust’s long positions in agricultural and energy contracts. Most energy contracts exploded to 24 month highs on strong global demand due to cold weather in the U.S. / U.K. and civil unrest in the Middle East. Cotton started 2011 up over 16% for the month of January on surging demand from the world’s biggest consumer, China. Currency trading on the month proved difficult as the Trust’s short position in the U.S. Dollar generated losses as emerging market risk aversion was prompted by the Egyptian anti-government protests. Additional losses were recorded in the fixed income markets from the Trust’s long position in short-term European rates. The bond market was choppy during the first part of January until concerns were raised about Euro-zone inflation, causing a sell-off in short-term rates as market participants began pricing in future rate hikes.
 
In February, Geo-political concerns, centering on the growing Middle East/North African (MENA) populist uprising, overwhelmed commodity markets. This regional tension generated significant price movements in the energy sector fueling gains for the Trust. Precious Metals, including gold and silver, were also strong contributors, along with soft commodities such as cotton (+17% during February) and coffee as they continued their upward trends. Despite the MENA unrest, additional gains were recorded in equity trading on improving macroeconomic data supporting the global recovery theme. Currency trading took its cue from the energy complex during the month, as investors grew cautious about global monetary policy. While some of the major currencies rallied during the month, others like the New Zealand Dollar fell dramatically on the devastation of a massive earthquake in the Christchurch region. In the aggregate, currency trading was marginally positive on the month for the Trust. Fixed Income trading finished slightly negative as price action was choppy across the globe, mainly from better economic data in the early part of the month followed by risk aversion in the second half of February.
 
The “V–shaped” behavior in most sectors during March can be widely attributed to global stock market volatility compounded by the devastating earthquake and resulting tsunami in Japan, followed by upside surprises to manufacturing data and other economic activity as the month came to a close. Global stock markets were extremely volatile as the Middle East/North Africa (MENA) unrest and Europe’s sovereign debt crisis both worsened prior to the crisis in Japan that concluded with threats of a nuclear reactor emergency. While the Nikkei finished down approximately 8% for March, the U.S. stock market was relatively unchanged despite large mid-month swings. The Trust’s models adjusted to the abrupt price swings by reducing long equity exposure over 50% (region specific) by mid-month across the U.S., Europe and Asia. Stock indices trading was the worst performing sector for March. Commodities took their cue from the Equity markets in reacting to the “twin shocks,” with particular impact on base metal prices. Risk-aversion-based gains from long positions in energies and precious metals were not enough to overcome losses in nickel, copper and corn. Currency trading also proved challenging as Central Banks intervened, in a resolute way, in response to excess volatility and disorderly movements in exchange rates that were perceived as having adverse implications for economic and financial stability. In particular, the Trust’s short position in the Japanese Yen suffered as a result of the repatriation of Yen back to Japan. While risk exposures were light in fixed income trading, small losses were incurred in both short-term and long-term rates due to choppy market price action.
 
 
26

 
While March’s tumultuous markets were highlighted by the tragic events in Japan, April’s theme revolved around a persistently weaker U.S. Dollar coupled with a strong “risk on” appetite in global stock markets. Irrespective of the continued unrest in the Middle East/North Africa, Goldman Sachs’ warning that the commodities boom may be running out of steam and oil at multi-year highs, the bulls prevailed on strong M&A activity, a strong start to the earnings season, and the U.S. Federal Reserve’s continued pledge to keep interest rates low for an “extended period.” The U.S. Dollar Index experienced its largest monthly decline since September of last year as Bernanke maintained an accommodative stance in the U.S., while the European Central Bank raised rates to fight inflation. Additional downward pressure came in the form of an S&P downgrade, mid-month, to the U.S. long-term credit outlook. The Trust recorded solid gains in the currency sector, particularly against the Swiss Franc and commodity-linked currencies such as the Australian Dollar and the New Zealand Dollar. Commodity trading also produced substantial gains as geopolitics contributed to a strong rally in the petroleum complex. Precious metals were also solid performers as Silver came close to its all-time high when the infamous Hunt brothers attempted to corner the market in 1980. In stock indices, the Trust generally increased its net long exposure as bullish trends reasserted themselves following a chaotic March, while only maintaining a marginal short exposure in Japan. Trading in fixed income yielded flat results as gains in long positions were offset by losses from short positions. April’s trading results highlight the importance of a systematic approach that balances diversity of exposure with a steady and measured risk posture.

In many ways, the commodity markets took center stage in May as we put another volatile month behind us. The petroleum complex sold off substantially on May 5th, despite the lack of any oil-related fundamental data. In addition, precious metals saw a significant decline with the price of silver dropping 24%, giving back the entire April rally. While the Trust suffered losses in these sectors, our models significantly reduced long commodity exposure on the abrupt reversal in price action and spike in volatility throughout the month. Trading in global equities also generated losses on softer economic data, Wall Street lowering U.S. growth forecasts, and renewed European sovereign debt concerns mainly focused on Greece. While positions have been reduced in this sector, regional risk was rotated out of Europe and back to the U.S. Losses were also recorded in currency trading as the U.S. Dollar rallied against most major currencies. The Trust's long Euro position produced the biggest currency loss, as the European Central Bank disappointed expectations of rate hikes at its May policy meeting. Fixed income trading produced strong positive results, helping to mitigate losses in riskier assets as the flight-to-quality theme was dominant in May.
 
The Greek debt crisis continued to dominate price movement in June, leading to the eventual passage of an austerity plan at month-end.  In addition, the U.S. Federal Reserve, which continues to expect that economic conditions are likely to warrant exceptionally low interest rates for an extended period, gave no hint of a new “QE3” program. Commodity trading was difficult in June, particularly in the energy complex, as prices continued to fall from late April/early May highs. Concerns about the European Sovereign Debt crisis, discord with OPEC, and an unexpected and controversial use of U.S. and European strategic petroleum reserves by the IEA (International Energy Agency) and the DOE (Department of Energy) weighed heavy on prices. Additional losses were recorded in precious and base metals. Trading in global equities also produced negative results as stock markets around the world declined on Greek debt concerns and weak economic data. While the Trust’s models generally reduced overall long stock index exposure throughout the month, concentrations remained in the U.S. and Europe with mixed positioning in Asia. Risky assets rallied and bond prices fell across the globe during the last few days of the month after the austerity package in Greece was finally passed. Small losses were recorded in fixed income trading, particularly on the short-end of the curve. Foreign exchange markets were largely unchanged in June, despite a rollercoaster of headlines that caused the currency markets to fluctuate intra-month. The Trust continued to maintain a short U.S. Dollar exposure versus most major currencies.
 
During the month of July, the markets were fixated on the ongoing sovereign debt crisis in both Europe and the U.S. As risky assets suffered, bond prices were driven higher from investors flocking to the safety of fixed income, yielding strong gains for the Trust's global long position. While U.S. Treasuries finished the month up over 2%, U.K. Gilts finished up 4%, German Bunds were up 3.5%, Japanese Bonds closed up 5% and Canadian Bonds increased by 2.5%. Additional gains were recorded in foreign exchange trading as the U.S. Dollar continued its downward trend against most major currencies. The U.S. Dollar, in particular, fell to new all-time lows against the Swiss Franc and the New Zealand Dollar, some of the best performing markets for the Trust in July. Commodity trading was also strongly positive in July, particularly from precious metals, as safe-haven buying supported prices in gold and silver. Additional profits came from soft commodities as sugar continued its upward trend, gaining 12% in July, on signs that Brazil’s production would not match expectations. The base metals and energy sector yielded small gains, while grains yielded small losses. The stock index sector was the only losing sector during the month as European sovereign debt remained a concern, economic data was mixed to weaker–than-expected, and the U.S. debt-ceiling and deficit-reduction debate took center stage. While the Trust reduced net long exposure in Europe, position exposure increased in the Pacific Rim and in North America.

 
27

 
Volatility was extremely elevated in August stemming mainly from the S&P downgrade of the United States Triple-A credit rating after weeks of contentious political debate. Strong gains in fixed income were recorded during the month as risk appetite diminished sending yields in both the U.S. and European fixed income markets lower.  However, the reduction in risk appetite was a primary driver for losses in currency trading, stock indices and commodities. As a consequence of market volatility, European Union regulators implemented restrictions on short selling in various stock indices. The Trust's trading  is also subject to these restrictions and  appropriate action was taken to be in compliance. While the Trust was still able to short certain stock index contracts in Europe, others have been temporarily removed from the portfolio. The Trust continued to take advantage of stock market volatility (indirectly) through trading in currencies, bonds and commodities.
 
The markets were in risk aversion mode in September as the pressure of implementing fiscal austerity in the Eurozone continued. Negative sentiment in macroeconomic growth stoked fears of recessions and overwhelmed some tentative signs of optimism. The Trust was able to benefit from the flight out of risky assets as bond prices pushed higher. Equity Indices also yielded gains in the Trust, primarily from short positions in Europe and Asia as stocks globally finished lower. These gains were not enough to offset losses experienced in the other sectors. Risk assets struggled during the month, and the recipient of the need for perceived safety was the U.S. Dollar which was up nearly 6% for the month. The Trust, having been positioned with the prevailing trend of a weaker U.S. Dollar, recorded its largest losses in the Foreign Exchange sector as a result of the Greenback’s rally. The Trust’s models adjusted positioning in response to the dramatic move; however, the losses in this sector were difficult to offset. Commodities amplified the theme of bearish global macroeconomic conditions resulting in overall losses in the sector for the Trust. Precious metals reversed significantly, with nearly a 28% decline in silver and 11% in gold, perhaps implying deflation was on the horizon. Base metal positions helped dampen losses from energy trading, despite some well positioned shorts during the month. Uncertainty continues to plague the market which can prove challenging for a portfolio that has trend-following at its core.
 
2010 (For the Nine Months Ended September 30)
 
Of the 2010 year-to-date increase of 3.05% for Series A, approximately 6.51% was due to trading gains (before commissions) and approximately 0.35% was due to investment income, offset by approximately (3.81)% due to brokerage fees, management fees, operating costs and offering costs borne by Series A.
 
Of the 2010 year-to-date increase of 3.44% for Series B, approximately 6.51% was due to trading gains (before commissions) and approximately 0.31% was due to investment income, offset by approximately (3.38)% due to brokerage fees, management fees and operating costs borne by Series B.
 
 
Of the 2010 year-to-date increase of 4.22% for Series W, approximately 6.51% was due to trading gains (before commissions) and approximately 0.34% was due to investment income, offset by approximately (2.63)% due to brokerage fees, management fees, service fees, operating costs and offering costs borne by Series W.
 
During the nine months ended September 30, 2010, the Trust accrued management fees in the amount of $9,802,859 and paid management fees in the amount of $9,963,922. No performance fees were accrued or paid during this period.
 
An analysis of the 6.51% gross trading gains for the Trust for the period by sector is as follows:
 
Sector
 
% Gain (Loss)
 
Commodities
    (2.93 )%
Currencies
     0.73  
Interest Rates
    14.68  
Stock Indices
     (5.97
      6.51 %

 
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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 Trust’s net long equity indices positions. Primary drivers were related to: (1) China’s 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 Trust’s commodity positions also produced losses, largely in the energy complex and in base metals. The global negative news detracted from a relative positive earnings season and signs of improved economic data. Further losses were recorded in currency trading as the U.S. Dollar was, once again, seen as a safe haven as the economic health of several nations was called into question. Marginal gains were recorded in fixed income as we were able to benefit from the steepening of the yield curve as a result of short-term interest rates being kept at extremely low levels by global central banks.

The first half of February was somewhat subdued as the market digested mixed U.S. employment numbers versus the unemployment rate. By mid-month, the Federal Reserve surprised the markets by deciding to hike the discount rate, in a clear sign that the pace of their exit strategy may be more aggressive than originally anticipated. Our long position in short-term rates, both in the U.S. and Europe, fueled strong gains in the sector for the remainder of the month. Gains were also recorded in currency trading as the Euro currency weakened against most majors on accelerated sovereign fears evidenced by the record high cost of insuring Greek and Portuguese debt. Global equity indices trading produced small losses for the Trust as a result of dealing with diverse global macroeconomic challenges (weakening Euro, China central bank intervention and U.S. employment and earnings season results). While the market finished generally negative in Europe and Asia, the U.S. managed to record a gain on largely upbeat fourth quarter earnings announcements with many S&P constituents beating consensus expectations. Commodity trading resulted in generally negative results as the structural imbalances in Europe, and the strong relative performance of the U.S. economy versus the Eurozone helped “de-link” Europe from the risk trade, keeping commodities in alignment with U.S. stocks. While energy prices rallied for most of the month, precious metals sold off early only to turn positive as the market used gold as a safe haven against Eurozone turmoil.

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 Trust’s long positions as prices surged on renewed merger and acquisition activity, positive news centered on economic releases, and subdued fears regarding Greece’s 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 Trust’s 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.

April performance was led by strong gains in the fixed income markets from long positions in Europe and from U.S. bond prices that moved higher during the month as the Greece sovereign debt concerns and fears of contagion played center stage in global markets. Currency trading also benefited from the sovereign debt fears and from perceived signs of positive economic growth beginning to materialize. Further gains were recorded in energy and precious metals, as energy markets continued its high correlation to the S&P and investor demand for precious metals continued to grow. Marginal losses were incurred in base metals trading as these markets moved lower on U.S. dollar strength. Global equity indices trading produced flat performance, with net longs across the board producing positive results in the U.S., negative results in Europe, and flat performance in Asia.
 
As European sovereign debt concerns persisted and China tightened credit in an attempt to cool overheating in its property sector, the decline in equity markets by the end of May was wide-spread across the U.S., Europe, and Asia. Certainly the “flash crash” on May 6th only added to the unsettling nature of equity market price behavior throughout the month. While the Trust experienced losses in equity indices, gains in fixed income help offset the flight from risky assets in favor of government debt. Commodity trading was difficult for the Trust, particularly in the energy sector, as the complex fell in tandem with the equity markets until a late month bounce. While BP’s spill in the Gulf continued to flow uncontrollably, the disaster has not significantly affected the supply of oil into the U.S. to date. Along with the scare in Greece, the Euro came under pressure against the U.S. Dollar as comments from Federal Reserve Chairman Bernanke raised concerns over the Eurozone’s bank funding. The U.S. Dollar was, once again, viewed as a safe position trade as risk aversion, volatility and liquidity dominated currency markets contributing to gains in the foreign exchange sector for the Trust.
 
 
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In June, another month of the “risk off” trade gave government bonds a bid, which produced healthy gains from long global fixed income positions. Unfortunately, these gains were offset by losses in equity indices, foreign exchange and commodities. Long equity positions suffered from an equity sell-off, which primarily stemmed from weaker than expected U.S. and Chinese economic data, negative corporate news and interbank funding concerns in the European region. Foreign exchange trading generated losses primarily from the Trust’s short Swiss Franc position as the currency rallied 7% vs. the U.S. Dollar based on Swiss National Bank comments softening its intervention language. Commodity trading produced minimal losses, largely from our trading in natural gas futures which ended up 3.6% after finally breaking out of a three-month range. The oil spill in the Gulf of Mexico has not been a significant factor on short-term price movements but most analysts agree that the real impact will be long-term as the cost of production is almost sure to go higher on the back of tighter regulation.
 
Catalysts for the equity rally in July hinged on strong economic data out of Europe, positive results from European bank stress tests and an increase in positive sentiment out of China. The S&P 500 and Dow Jones recorded gains of approximately 7% in July, adding another twist to their rollercoaster paths. Small gains were recorded in the European and U.S. equity markets from long positions in stock index futures as over-sold conditions paved the way for a reversal higher. Stocks rallied on better-than-expected second quarter earnings, increased M&A activity, higher dividends and additional buybacks. The Trust experienced losses in commodities, primarily from short positions in crude oil and long positions in precious metals. The correlation between equities and energies remained high and the rally in global equities sparked profit taking, reducing investor demand for gold as a safe haven. The Trust had additional losses in foreign exchange from short positions in the Euro/Yen cross, as the Euro showed renewed signs of life, appreciating more than 4% against the Yen. Losses were offset by gains in equities trading and in short-term fixed income markets from long positions in Eurodollar interest rate futures. Weaker-than-expected U.S. economic data led the market to believe that the U.S. Federal Reserve will need to keep interest rates low for an extended period.

The release of the August U.S. Federal Reserve meeting minutes resulted in yet another sell-off of “risk assets,” which helped contributed to the rise in fixed income prices. Yields reached multi-year lows in the U.S., Europe, and U.K., resulting in gains from the Trust’s long fixed income positions, especially on the long end of the curve. Smaller gains were realized in the commodity markets, primarily in precious metals. Gold fully retraced July’s corrective sell-off, with its August month-end market value closing several ticks higher than the June close. The Trust’s long gold position benefitted from gold’s safe-haven status, as well as from news out of China, the world’s largest consumer and producer of gold, that they will allow greater access to trading of the metal. The Trust’s long silver position also produced favorable results due to its lock-step trading with gold. Long global equity indices holdings resulted in losses for the month. Weak labor and housing data releases, coupled with the Federal Open Market Committee (“FOMC”) of the U.S. Federal Reserve’s downgrade of its assessment of the U.S. economic outlook, contributed to the poor performance of U.S. market indices. Japanese equities fared worse, as the stubbornly strong Japanese Yen weighs on Japanese exporters. By month-end, the Euro Stoxx 50 lost nearly 4.5%, the S&P 500 fell about 4.75%, and the Japanese Nikkei lost almost 7.5%. Additional losses were recorded in the foreign exchange markets from short positions in the Euro/Yen cross as the Euro appreciated more than 4% against the Japanese Yen. The Euro moved higher against most currencies as investors covered short positions as the Euro showed renewed signs of life.

Asset prices during the month of September were driven by FOMC hinting that the Federal Reserve is ready and willing to undergo a second round of quantitative easing. While the U.S. Dollar and interest rates fell, equities and commodities rose significantly. Commodity trading was the dominant contributor to positive performance for the month, particularly in precious and base metals, grains and soft commodities. Gold prices reached all-time highs, while silver rallied 12% to levels not seen since the early 1980s. Aluminum and nickel prices also posted double-digit increases during the month. Elevated demand and weather-related supply concerns pushed sugar, cotton and corn prices up over 22%, 17% and 10%, respectively. While commodity trading was a strong driver, foreign exchange was also a material contributor to performance, particularly from commodity-linked currencies. The month brought U.S. Dollar weakness against all major currencies as investors bet the Federal Reserve would implement a fresh round of asset purchases to jump-start the slowing U.S. economy. Smaller gains were recorded in the equity markets as prices surged higher on fewer concerns of a “double-dip” U.S. recession and a continued increase in M&A activity. Stocks in Asia took the lead, followed by the U.S. and Europe, which lagged due to ongoing sovereign debt level concerns. A portion of the Trust’s gains were offset by losses in fixed income markets as bond prices were extremely volatile during September.

 
30

 
Item 3. Quantitative and Qualitative Disclosures About Market Risk
 
Introduction
 
Past Results Not Necessarily Indicative of Future Performance
 
The Trust is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or a substantial amount of the Trust’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Trust’s main line of business.
 
Market movements result in frequent changes in the fair market value of the Trust’s open positions and, consequently, in its earnings and cash flow. The Trust’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Trust’s open positions and the liquidity of the markets in which it trades.
 
The Trust rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Trust’s past performance is not necessarily indicative of its future results.
 
Standard of Materiality
 
Materiality as used in this section, “Qualitative and Quantitative Disclosures About Market Risk,” is based on an assessment of reasonably possible market movements and the potential losses caused by such movements, taking into account the leverage, and multiplier features of the Trust’s market sensitive instruments.
  
Quantifying the Trust’s Trading Value at Risk
 
Quantitative Forward-Looking Statements
 
The following quantitative disclosures regarding the Trust’s market risk exposures contain “forward-looking statements” within the meaning of the safe harbor from civil liability provided for such statements by the Private Securities Litigation Reform Act of 1995 (set forth in Section 27A of the Securities Act of 1933 and Section 21E of the Securities Exchange Act of 1934). All quantitative disclosures in this section are deemed to be forward-looking statements for purposes of the safe harbor, except for statements of historical fact (such as the dollar amount of the maintenance margin required for market risk sensitive instruments held at the end of the reporting period).
 
The Trust’s risk exposure in the various market sectors traded is estimated in terms of Value at Risk (VaR). The Trust estimates VaR using a model based upon historical simulation (with a confidence level of 97.5%) which involves constructing a distribution of hypothetical daily changes in the value of a trading portfolio. The VaR model takes into account linear exposures to risks, including equity and commodity prices, interest rates, foreign exchange rates, and correlation among these variables. The hypothetical changes in portfolio value are based on daily percentage changes observed in key market indices or other market factors to which the portfolio is sensitive. The Trust’s VaR at a one day 97.5% confidence level corresponds to the negative change in portfolio value that, based on observed market risk factors, would have been exceeded once in 40 trading days or one day in 40. VaR typically does not represent the worst case outcome.
 
The Trust uses approximately one quarter of daily market data and revalues its portfolio for each of the historical market moves that occurred over this time period. This generates a probability distribution of daily “simulated profit and loss” outcomes. The VaR is the 2.5 percentile of this distribution.
 
The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. The current methodology used to calculate the aggregate VaR represents the VaR of the Trust’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
 
 
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The Trust’s VaR computations are based on the risk representation of the underlying benchmark for each instrument or contract and does not distinguish between exchange and non-exchange dealer-based instruments. It is also not based on exchange and/or dealer-based maintenance margin requirements.
 
VaR models, including the Trust’s, are continually evolving as trading portfolios become more diverse and modeling techniques and systems capabilities improve. Please note that the VaR model is used to numerically quantify market risk for historic reporting purposes only and is not utilized by the Trust in its daily risk management activities. Please further note that VaR as described above may not be comparable to similarly titled measures used by other entities.
 
Because the business of the Trust is the speculative trading of futures, forwards and options, the composition of the Trust’s trading portfolio can change significantly over any given time period, or even within a single trading day, which could positively or negatively materially impact market risk as measured by VaR.
 
The Trust’s Trading Value at Risk in Different Market Sectors
 
The following tables indicate the trading Value at Risk associated with the Trust’s open positions by market category as of September 30, 2011 and December 31, 2010 and the trading gains/losses by market category for the nine months ended September 30, 2011 and the year ended December 31, 2010.

September 30, 2011
     
Market Sector
   
Value at Risk*
   
Trading Gain/(Loss)**
Commodities
   
0.72
%
   
(4.80
)%
Currencies
   
0.94
%
   
(2.76
)%
Interest Rates
   
1.28
%
   
13.99
%
Stock Indices
   
0.59
%
   
(5.34
)%
                 
Aggregate/Total
   
1.61
%
   
1.10
%
                 
*
 
The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. The aggregate VaR represents the VaR of the Trust’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
     
**
 
Represents the gross trading for the Trust for the nine months ended September 30, 2011.

Of the 2011 year-to-date decrease of (2.52)% for Series A, approximately (3.80)% was due to brokerage fees, management fees, operating costs and offering costs borne by Series A, offset by approximately 1.10% due to trading gains (before commissions) and approximately 0.18% due to investment income.
 
Of the 2011 year-to-date decrease of (2.10)% for Series B, approximately (3.41)% was due to brokerage fees, management fees and operating costs borne by Series A, offset by approximately 1.10% due to trading gains (before commissions) and approximately 0.21% due to investment income.
 
Of the 2011 year-to-date decrease of (1.37)% for Series W, approximately (2.66)% was due to brokerage fees, management fees, service fees, performance fees, operating costs and offering costs borne by Series W, offset by approximately 1.10% due to trading gains (before commissions) and approximately 0.19% due to investment income.
 
 
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December 31, 2010
     
Market Sector
   
Value at Risk*
   
Trading Gain/(Loss)**
Commodities
   
0.83
%
   
3.21
%
Currencies
   
0.46
%
   
2.94
%
Interest Rates
   
0.45
%
   
12.12
%
Stock Indices
   
0.48
%
   
(2.54
)%
                 
Aggregate/Total
   
1.72
%
   
15.73
%
                 
*
 
The VaR for a sector represents the one day downside risk for the aggregate exposures associated with this sector. The aggregate VaR represents the VaR of the Trust’s open positions across all market sectors, and is less than the sum of the VaRs for all such market sectors due to the diversification benefit across asset classes.
     
**
 
Represents the gross trading for the Trust for the year ended December 31, 2010.

Of the 10.61% return for year ended 2010 for Series A, approximately 15.73% was due to trading gains (before commissions) and approximately 0.43% due to investment income, offset by approximately (5.55)% due to brokerage fees, management fees, performance fees, operating costs and offering costs borne by Series A.
 
Of the 11.63% return for year ended 2010 for Series B, approximately 15.73% was due to trading gains (before commissions) and approximately 0.40% due to investment income, offset by approximately (4.50)% due to brokerage fees, management fees and operating costs borne by Series B.
 
Of the 11.65% return for year ended 2010 for Series W, approximately 15.73% was due to trading gains (before commissions) and approximately 0.43% due to investment income, offset by approximately (4.51)% due to brokerage fees, management fees, service fees, performance fees, operating costs and offering costs borne by Series W.
 
Material Limitations on Value at Risk as an Assessment of Market Risk
 
The following limitations of VaR as an assessment of market risk should be noted:
 
1)
 
Past changes in market risk factors will not always result in accurate predictions of the distributions and correlations of future market movements;
     
2)
 
Changes in portfolio value caused by market movements may differ from those of the VaR model;
     
3)
 
VaR results reflect past trading positions while future risk depends on future positions;
     
4)
 
VaR using a one day time horizon does not fully capture the market risk of positions that cannot be liquidated or hedged within one day; and
     
5)
 
The historical market risk factor data for VaR estimation may provide only limited insight into losses that could be incurred under certain unusual market movements.
 
VaR is not necessarily representative of historic risk nor should it be used to predict the Trust’s future financial performance or its ability to manage and monitor risk. There can be no assurance that the Trust’s actual losses on a particular day will not exceed the VaR amounts indicated or that such losses will not occur more than once in 40 trading days.
 
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Non-Trading Risk
 
The Trust has non-trading market risk on its foreign cash balances not needed for margin. However, these balances (as well as the market risk they represent) are immaterial. The Trust also has non-trading market risk as a result of investing a substantial portion of its available assets in U.S. Treasury Bills held at the broker and over-the-counter counterparty. The market risk represented by these investments is minimal. Finally, the Trust has non-trading market risk on fixed income securities held as part of its cash management program. The cash managers will use their best endeavors in the management of the assets of the Trust but provide no guarantee that any profit or interest will accrue to the Trust as a result of such management.
 
Qualitative Disclosures Regarding Primary Trading Risk Exposures
 
The following qualitative disclosures regarding the Trust’s market risk exposures — except for (i) those disclosures that are statements of historical fact and (ii) the descriptions of how the Trust manages its primary market risk exposures — constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Securities Exchange Act. The Trust’s primary market risk exposures as well as the strategies used and to be used by Campbell & Company for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Trust’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Trust. There can be no assurance that the Trust’s current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in the Trust.
 
The following represent the primary trading risk exposures of the Trust as of September 30, 2011 by market sector.
 
Currencies
 
The Trust’s currency exposure is to exchange rate fluctuations, primarily fluctuations which disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Trust trades in a large number of currencies, including cross-rates — i.e., positions between two currencies other than the U.S. Dollar. Campbell & Company does not anticipate that the risk profile of the Trust’s currency sector will change significantly in the future.
 
Interest Rates
 
Interest rate movements directly affect the price of the sovereign bond positions held by the Trust and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Trust’s profitability. The Trust’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. Campbell & Company anticipates that G-7 interest rates will remain the primary market exposure of the Trust for the foreseeable future. The changes in interest rates which have the most effect on the Trust are changes in long-term, as opposed to short-term rates. Changes in the interest rate environment will have the most impact on longer dated fixed income positions, at points of time throughout the year. The majority of the speculative positions held by the Trust may be held in medium to long-term fixed income positions.
 
Stock Indices
 
The Trust’s primary equity exposure is to equity price risk in the G-7 countries and several other countries or regions (Australia, Hong Kong, Singapore, Spain, Taiwan and the Netherlands). The stock index futures traded by the Trust are limited to futures on broadly based indices. The Trust is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices. Markets that trade in a narrow range could result in the Trust’s positions being “whipsawed” into numerous small losses.
 
 
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Energy
 
The Trust’s primary energy market exposure is to natural gas, crude oil and derivative product price movements often resulting from international political developments and ongoing conflicts in the Middle East and the perceived outcome. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.
 
Metals
 
The Trust’s metals market exposure is to fluctuations in the price of aluminum, copper, gold, nickel, silver and zinc.
 
Agricultural
 
The Trust’s agricultural exposure is to fluctuations of the price of cattle, coffee, corn, cotton, hogs, soy, sugar and wheat.
 
Qualitative Disclosures Regarding Non-Trading Risk Exposure
 
The following were the primary non-trading risk exposures of the Trust as of September 30, 2011.
 
Foreign Currency Balances
 
The Trust’s primary foreign currency balances are in Australian Dollar, Yen, British Pounds and Euros. The Trust controls the non-trading risk of these balances by regularly converting these balances back into dollars (no less frequently than twice a month, and more frequently if a particular foreign currency balance becomes unusually large).
 
Fixed Income Securities
 
The Trust’s primary market exposure in instruments (other than treasury positions described in the subsequent section) held other than for trading is in its fixed income portfolio. The cash manager, Horizon, has authority to make certain investments on behalf of the Trust. All securities purchased by the cash manager on behalf of the Trust will be held in the Trust’s custody account at the custodian. The cash manager will use their best endeavors in the management of the assets of the Trust but provide no guarantee that any profit or interest will accrue to the Trust as a result of such management.
 
Treasury Bill Positions Held for Margin Purposes
 
The Trust also has market exposure in its Treasury Bill portfolio. The Trust holds Treasury Bills (interest bearing and credit risk-free) with maturities no longer than six months. Violent fluctuations in prevailing interest rates could cause minimal mark-to-market losses on the Trust’s Treasury Bills, although substantially all of these short-term investments are held to maturity.
 
Qualitative Disclosures Regarding Means of Managing Risk Exposure
 
The means by which the Trust and Campbell & Company, severally, attempt to manage the risk of the Trust’s open positions is essentially the same in all market categories traded. Campbell & Company applies risk management policies to its trading which generally limit the total exposure that may be taken per “risk unit” of assets under management. In addition, Campbell & Company follows diversification guidelines (often formulated in terms of the balanced volatility between markets and correlated groups), as well as reducing position sizes dynamically in response to trading losses.

 
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Campbell & Company manages the risk of the Trust’s non-trading instruments of Treasury Bills held for margin purposes by limiting the duration of such instruments to no more than six months. Campbell & Company manages the risk of the Trust’s fixed income securities held for cash management purposes by restricting the cash managers to investing in securities that are modeled after those investments allowed by the futures broker as defined under The Commodity Exchange Act, Title 17, Part 1, § 1.25 Investment of customer funds. Investments can include, but are not limited to, (i) U.S. Government Securities, Government Agency Securities, Municipal Securities, banker acceptances and certificates of deposits; (ii) commercial paper; and (iii) corporate debt.
 
General
 
The Trust is unaware of any (i) anticipated known demands, commitments or capital expenditures; (ii) material trends, favorable or unfavorable, in its capital resources; or (iii) trends or uncertainties that will have a material effect on operations. From time to time, certain regulatory agencies have proposed increased margin requirements on futures contracts. Because the Trust generally will use a small percentage of assets as margin, the Trust does not believe that any increase in margin requirements, as proposed, will have a material effect on the Trust’s operations.
 
Item 4. Controls and Procedures
 
Campbell & Company, Inc., the managing operator of the Trust, with the participation of the managing operator’s Chief Executive Officer and Chief Financial Officer, has evaluated the effectiveness of the design and operation of its disclosure controls and procedures (as defined in the Securities Exchange Act of 1934 Rules 13a-15(e) or 15d-15(e)) with respect to the Trust as of the end of the period covered by this quarterly report. Based on their evaluation, the Chief Executive Officer and Chief Financial Officer have concluded that these disclosure controls and procedures are effective. There were no changes in the managing operator’s internal control over financial reporting applicable to the Trust identified in connection with the evaluation required by paragraph (d) of Exchange Act Rules 13a-15 or 15d-15 that occurred during the last fiscal quarter that have materially affected, or is reasonably likely to materially affect, internal control over financial reporting applicable to the Trust.
 

 
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PART II - OTHER INFORMATION
 
 
Item 1. Legal Proceedings.
 
            None
 
Item 1A. Risk Factors.
 
            None
 
Item 2. Changes in Securities and Use of Proceeds.
 
            None
 
Item 3. Defaults Upon Senior Securities.
 
            Not applicable.
 
Item 4. (Removed and Reserved).
 
            None
 
Item 5. Other Information.
 
            None
 
Item 6. Exhibits.
     
Exhibit Number
 
Description of Document
31.01
 
Certification of Stephen C. Roussin, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
     
31.02
 
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
     
32.01
 
Certification of Stephen C. Roussin, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
     
32.02
 
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
     
101.01  
The following financial statements from the Trust's Quarterly Report on Form 10-Q for the quarter ended September 30, 2011 formatted in XBRL (eXtensible Business Reporting Language); (i) Condensed Schedule of Investments; (ii) Statements of Financial Condition; (iii) Statements of Operations; (iv) Statements of Cash Flows; (v) Statements of Changes in Partners’ Capital (Net Asset Value); and (vi) Notes to Financial Statements.*
     
 * In accordance with Rule 406T of Regulation S-T, the XBRL related information in Exhibit 101.01 shall not be deemed to be “filed” for purposes of Section 11 and Section 12 of the Securities Act of 1933 and Section 18 of the Securities Exchange Act of 1934, or otherwise subject to liability under those sections.
 

 
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SIGNATURES
 
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.
             
             
   
THE CAMPBELL FUND TRUST
(Registrant)
   
             
   
By:
 
Campbell & Company, Inc.
   
       
Managing Operator
   
             
Date:  November 14, 2011
 
By:
 
/s/ Stephen C. Roussin
   
       
Stephen C. Roussin
Chief Executive Officer
   
 
 
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EXHIBIT INDEX
 
     
Exhibit Number
 
Description of Document
31.01
 
Certification of Stephen C. Roussin, Chief Executive Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
     
31.02
 
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.
     
32.01
 
Certification of Stephen C. Roussin, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
     
32.02
 
Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.
     
101.01  
The following financial statements from the Trust's Quarterly Report on Form 10-Q for the quarter ended September 30, 2011 formatted in XBRL (eXtensible Business Reporting Language); (i) Condensed Schedule of Investments; (ii) Statements of Financial Condition; (iii) Statements of Operations; (iv) Statements of Cash Flows; (v) Statements of Changes in Partners’ Capital (Net Asset Value); and (vi) Notes to Financial Statements.*
     
 * In accordance with Rule 406T of Regulation S-T, the XBRL related information in Exhibit 101.01 shall not be deemed to be “filed” for purposes of Section 11 and Section 12 of the Securities Act of 1933 and Section 18 of the Securities Exchange Act of 1934, or otherwise subject to liability under those sections.