CAMPBELL FUND TRUST - FORM 10-Q

CAMPBELL FUND TRUST - FORM 10-Q - November 14, 2014

Attached files

Attached files

CAMPBELL FUND TRUST Reports

file	filename
EX-31.02 - EX-31.02 - CAMPBELL FUND TRUST	cftexhibit31_02.htm
EX-32.01 - EX-32.01 - CAMPBELL FUND TRUST	cftexhibit32_01.htm
EXCEL - IDEA: XBRL DOCUMENT - CAMPBELL FUND TRUST	Financial_Report.xls
EX-32.02 - EX-32.02 - CAMPBELL FUND TRUST	cftexhibit32_02.htm
EX-31.01 - EX-31.01 - CAMPBELL FUND TRUST	cftexhibit31_01.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 10-Q


þ		Quarterly Report Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 For the quarterly period ended September 30, 2014


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

Commission File number: 000-50264

THE CAMPBELL FUND TRUST

(Exact name of Registrant as specified in charter)



Delaware		94-6260018
(State of Organization)		(IRS Employer Identification Number

	2850 Quarry Lake Drive
	Baltimore, Maryland 21209
	(Address of principal executive offices, including zip code)

	(410) 413-2600
	(Registrant's telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.

Yes þ No o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive data File required to be submitted and posted pursuant to Rule 405 of regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).

Yes þ No o

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


Large accelerated filer o	Accelerated filer o	Non-accelerated filer þ	Smaller reporting company o
		(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, 2014 and December 31, 2013 (Unaudited)	1-4

		Statements of Financial Condition as of September 30, 2014 and December 31, 2013 (Unaudited)	5

		Statements of Operations for the Three Months and Nine Months Ended September 30, 2014 and 2013 (Unaudited)	6

		Statements of Cash Flows for the Nine Months Ended September 30, 2014 and 2013 (Unaudited)	7

		Statements of Changes in Unitholders’ Capital (Net Asset Value) for the Nine Months Ended September 30, 2014 and 2013 (Unaudited)	8-9

		Financial Highlights for the Three Months and Nine Months Ended September 30, 2014 and 2013 (Unaudited)	10-12

		Notes to Financial Statements (Unaudited)	13-19

	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations.	20-24

	Item 3.	Quantitative and Qualitative Disclosure About Market Risk.	27-32

	Item 4.	Controls and Procedures.	32

PART II — OTHER INFORMATION

	Item 1.	Legal Proceedings.	33

	Item 1A.	Risk Factors.	33

	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds.	33

	Item 3.	Defaults Upon Senior Securities.	33

	Item 4.	Mine Safety Disclosures.	33

	Item 5.	Other Information.	33

	Item 6.	Exhibits.	33

SIGNATURES			34

THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2014 (Unaudited)

FIXED INCOME SECURITIES

Maturity Face Value	Description	Fair Values ($)		% of Net Asset Value
	Asset Backed Securities
	United States
	Auto Loans	$	16,138,400	2.44 %
	Credit Cards		3,910,631	0.59 %
	Equipment Loans		1,739,950	0.26 %
	Utility Rate Reduction Bonds		1,411,831	0.22 %
	Total Asset Backed Securities (cost $23,201,095)		23,200,812	3.51 %

	Bank Deposits
	Finland
	Financials (cost $1,029,998)		1,030,218	0.16 %

	Commercial Paper
	Japan
	Financials (cost $11,202,813)		11,202,782	1.70 %
	Switzerland
	Financials (cost $2,514,830)		2,514,909	0.38 %
	United States
	Consumer Discretionary		23,981,429	3.63 %
	Consumer Staples		33,583,258	5.09 %
	Energy		23,703,103	3.59 %
	Financials		16,662,503	2.52 %
	Health Care		7,279,964	1.10 %
	Industrials		2,534,990	0.38 %
	Materials		12,821,648	1.94 %
	Utilities		35,287,325	5.34 %
	Total United States (cost $155,852,640)		155,824,220	23.59 %
	Total Commercial Paper (cost $169,570,283)		169,571,911	25.67 %

	Corporate Bonds
	United Kingdom
	Materials (cost $16,000,000)		16,040,912	2.43 %
	United States
	Communications		30,317,426	4.59 %
	Consumer Discretionary		27,320,010	4.13 %
	Consumer Staples		2,450,130	0.37 %
	Financials		124,151,126	18.80%
	Technology		4,076,826	0.62 %
	Utilities		1,773,881	0.27 %
	Total United States (cost $189,703,828)		190,089,399	28.78 %
	Total Corporate Bonds (cost $205,703,828)		206,130,311	31.21 %

	Government And Agency Obligations
	United States
	U.S. Treasury Bills
	U.S. Treasury Bills*
$20,000,000	Due 10/09/2014		19,999,940	3.03 %
	U.S. Treasury Bills*
$85,000,000	Due 10/16/2014		84,999,660	12.87 %
	U.S. Treasury Bills*
$42,000,000	Due 01/29/2015		41,996,850	6.36 %
	Total Government And Agency Obligations (cost $147,000,000)		146,996,450	22.26 %

	Total Fixed Income Securities** (cost $546,505,204)	$	546,929,702	82.81 %

SHORT TERM INVESTMENTS

Maturity Face Value	Description	Fair Values ($)		% of Net Asset Value
	Money Market Funds
	United States
	Money Market Funds (cost $1,902)	$	1,902	0.00 %
	Total Short Term Investments (cost $1,902)	$	1,902	0.00 %

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
SEPTEMBER 30, 2014 (Unaudited)

LONG FUTURES CONTRACTS
Description	Fair Values ($)		% of Net Asset Value
Agriculture	$	(417,277)	(0.06)%
Energy		305,350	0.05 %
Metals		(7,530,659)	(1.14)%
Stock indices		(4,785,722)	(0.73)%
Short-term interest rates		764,230	0.11 %
Long-term interest rates		3,143,677	0.48 %
Net unrealized gain (loss) on long futures contracts	$	(8,520,401)	(1.29)%


SHORT FUTURES CONTRACTS
Description	Fair Values ($)		% of Net Asset Value
Agriculture		9,798,463	1.48 %
Energy		5,550,305	0.84 %
Metals		10,226,525	1.55 %
Stock indices		2,501,615	0.38 %
Short-term interest rates		(159,655)	(0.02)%
Long-term interest rates		(845,358)	(0.13)%
Net unrealized gain (loss) on short futures contracts	$	27,071,895	4.10 %

Net unrealized gain (loss) on open futures contracts	$	18,551,494	2.81 %


FORWARD CURRENCY CONTRACTS
Description	Fair Values ($)		% of Net Asset Value
Various long forward currency contracts		(43,608,136)	(6.60)%
Various short forward currency contracts		78,520,060	11.89 %
Net unrealized gain (loss) on open forward currency contracts	$	34,911,924	5.29 %


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

**	Included in fixed income securities are U.S. Treasury Bills with a fair value of $104,999,600 deposited with the futures brokers and $41,996,850 deposited with the interbank market maker.

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2013 (Unaudited)

FIXED INCOME SECURITIES

Maturity Face Value	Description	Fair Values ($)		% of Net Asset Value
	Bank Deposits
	Finland
	Financials	$	1,434,916	0.20 %
	(cost $1,429,891)

	Commercial Paper
	Cayman Islands
	Energy (cost $36,248,513)		36,249,041	5.18 %
	United States
	Consumer Discretionary		9,999,900	1.43 %
	Consumer Staples		19,622,430	2.80 %
	Energy		45,504,124	6.50 %
	Financials		37,490,106	5.36 %
	Materials		51,959,864	7.42 %
	Total United States (cost $164,562,616)		164,576,424	23.51 %
	Total Commercial Paper (cost $200,811,129)		200,825,465	28.69 %

	Corporate Bonds
	United Kingdom
	Materials		16,038,000	2.29 %
	(cost $16,000,000)
	United States
	Communications		37,373,864	5.34 %
	Consumer Discretionary		31,833,480	4.55 %
	Financials		146,256,486	20.89 %
	Utilities		14,274,836	2.04 %
	Total United States (cost $229,467,148)		229,738,666	32.82 %
	Total Corporate Bonds (cost $245,467,148)		245,776,666	35.11 %

	Government And Agency Obligations
	Multi-National
	Multi-National Government Agency (cost $20,000,000)		19,997,980	2.86 %
	United States
	U.S. Treasury Bills
	U.S. Treasury Bills*
$101,000,000	Due 01/02/2014		101,000,000	14.43 %
	U.S. Treasury Bills*
$40,300,000	Due 01/09/2014		40,299,919	5.75 %
	U.S. Treasury Bills*
$16,800,000	Due 02/27/2014		16,799,344	2.40 %
	Total United States (cost $158,099,147)		158,099,263	22.58 %
	Total Government And Agency Obligations (cost $178,099,147)		178,097,243	25.44 %

	Total Fixed Income Securities** (cost $625,807,315)	$	626,134,290	89.44 %

SHORT TERM INVESTMENTS

Maturity Face Value	Description	Fair Values ($)		% of Net Asset Value
	Money Market Funds
	United States
	Money Market Funds	$	326	0.00 %
	(cost $326)
	Total Short Term Investments (cost $326)	$	326	0.00 %

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST
CONDENSED SCHEDULE OF INVESTMENTS
DECEMBER 31, 2013 (Unaudited)

LONG FUTURES CONTRACTS
Description	Fair Values ($)		% of Net Asset Value
Agriculture	$	(631,003)	(0.09)%
Energy		(1,254,316)	(0.18)%
Metals		(52,303)	(0.01)%
Stock indices		16,454,845	2.35 %
Short-term interest rates		(2,242,665)	(0.32)%
Long-term interest rates		(173,436)	(0.02)%
Net unrealized gain (loss) on long futures contracts	$	12,101,122	1.73 %


SHORT FUTURES CONTRACTS
Description	Fair Values ($)		% of Net Asset Value
Agriculture		2,574,196	0.37 %
Energy		33,460	0.01 %
Metals		(975,769)	(0.14)%
Stock indices		(49,211)	(0.01)%
Short-term interest rates		732,601	0.10 %
Long-term interest rates		1,320,613	0.19 %
Net unrealized gain (loss) on short futures contracts	$	3,635,890	0.52 %

Net unrealized gain (loss) on open futures contracts	$	15,737,012	2.25%


FORWARD CURRENCY CONTRACTS
Description	Fair Values ($)		% of Net Asset Value
Various long forward currency contracts		(1,949,419)	(0.28)%
Various short forward currency contracts		5,590,705	0.80%
Net unrealized gain (loss) on open forward currency contracts	$	3,641,286	0.52%


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

**	Included in fixed income securities are U.S. Treasury Bills with a fair value of $101,000,000 deposited with the futures broker and $57,099,263 deposited with the interbank market maker.

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST
STATEMENTS OF FINANCIAL CONDITION
September 30, 2014 and December 31, 2013 (Unaudited)

		September 30, 2014	December 31, 2013
ASSETS
Equity in futures broker trading accounts
Cash	$	57,783,635	$	40,284,908
Fixed income securities (cost $105,000,000 and $ 100,999,958, respectively)		104,999,600		101,000,000
Net unrealized gain (loss) on open futures contracts		18,551,494		15,737,012
Total equity in futures broker trading accounts		181,334,729		157,021,920

Cash		15,018,098		20,165,012
Short term investments (cost $1,902 and $326, respectively)		1,902		326
Fixed income securities (cost $441,505,204 and $524,807,357, respectively)		441,930,102		525,134,290
Net unrealized gain (loss) on open forward currency contracts		34,911,924		3,641,286
Interest receivable		338,379		915,738
Subscription receivable		0		373,992
Total assets	$	673,535,134	$	707,252,564

LIABILITIES
Accounts payable	$	240,103	$	277,108
Management fee payable		2,120,930		2,198,891
Service fee payable		13,048		22,310
Accrued commissions and other trading fees on open contracts		128,219		120,017
Offering costs payable		214,564		209,774
Performance fee payable		4,210,419		3,571
Redemptions payable		6,165,475		4,316,298
Total liabilities		13,092,758		7,147,969

UNITHOLDERS' CAPITAL (Net Asset Value)

Series A Units - Redeemable
Other Unitholders - 160,016.487 and 171,039.145 units outstanding at September 30, 2014 and December 31, 2013		450,159,876		461,894,827
Series B Units - Redeemable
Other Unitholders - 50,008.440 and 65,305.174 units outstanding at September 30, 2014 and December 31, 2013		148,218,294		183,670,839
Series W Units - Redeemable
Other Unitholders - 20,565.074 and 18,995.779 units outstanding at September 30, 2014 and December 31, 2013		62,064,206		54,538,929
Total unitholders' capital (Net Asset Value)		660,442,376		700,104,595

Total liabilities and unitholders' capital (Net Asset Value)	$	673,535,134	$	707,252,564

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST
STATEMENTS OF OPERATIONS
For the Three Months and Nine Months Ended September 30, 2014 and 2013 (Unaudited)

	Three Months Ended September 30,				Nine Months Ended September 30,
	2014		2013		2014		2013
TRADING GAINS (LOSSES)
Futures trading gains (losses)
Realized	$	35,143,589	$	17,772,066	$	13,456,180	$	51,517,547
Change in unrealized		6,217,076		(20,007,070)		2,814,482		(11,429,634)
Brokerage commissions		(760,466)		(898,234)		(2,951,613)		(2,640,499)
Net gain (loss) from futures trading		40,600,199		(3,133,238)		13,319,049		37,447,414

Forward currency trading gains (losses)
Realized		18,532,358		(17,777,121)		306,333		14,013,705
Change in unrealized		28,095,420		5,389,526		31,270,638		(9,456,058)
Brokerage commissions		(49,864)		(54,720)		(194,809)		(147,482)
Net gain (loss) from forward currency trading		46,577,914		(12,442,315)		31,382,162		4,410,165

Total net trading gain (loss)		87,178,113		(15,575,553)		44,701,211		41,857,579

NET INVESTMENT INCOME (LOSS)
Investment income
Interest income		505,248		594,434		1,580,963		1,527,750
Realized gain (loss) on fixed income securities		(1,982)		2,481		10,882		25,208
Change in unrealized gain (loss) on fixed income securities		(80,146)		229,657		97,523		120,276
Total investment income		423,120		826,572		1,689,368		1,673,234

Expenses
Management fee		5,955,181		5,859,677		18,404,238		15,841,047
Service fee		34,882		58,028		119,788		151,788
Performance fee		4,210,419		0		4,210,419		3,034,349
Operating expenses		331,639		347,115		1,034,639		918,012
Total expenses		10,532,121		6,264,820		23,769,084		19,945,196
Net investment income (loss)		(10,109,001)		(5,438,248)		(22,079,716)		(18,271,962)

NET INCOME (LOSS)	$	77,069,112	$	(21,013,801)	$	22,621,495	$	23,585,617

NET INCOME (LOSS) PER OTHER UNITHOLDERS UNIT (based on weighted average number of units outstanding during the period)
Series A	$	325.33	$	(93.07)	$	85.41	$	79.24
Series B	$	356.38	$	(95.76)	$	79.81	$	183.68
Series W	$	351.28	$	(87.26)	$	174.01	$	117.67

INCREASE (DECREASE) IN NET ASSET VALUE PER OTHER UNITHOLDERS UNIT
Series A	$	319.91	$	(95.53)	$	112.69	$	136.03
Series B	$	360.66	$	(95.83)	$	151.37	$	175.25
Series W	$	344.79	$	(90.41)	$	146.83	$	164.44

WEIGHTED AVERAGE NUMBER OF UNITS OUTSTANDING DURING THE PERIOD
Series A		157,303.479		141,837.178		168,959.581		118,791.792
Series B		52,719.088		66,587.402		59,374.574		68,014.805
Series W		20,226.043		16,473.278		19,842.003		14,275.391

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST
STATEMENTS OF CASH FLOWS
For the Nine Months Ended September 30, 2014 and 2013 (Unaudited)

		Nine Months Ended September 30,
		2014		2013
Cash flows from (for) operating activities
Net income (loss)	$	22,621,495	$	23,585,617
Adjustments to reconcile net income (loss) to net cash from (for) operating activities
Net change in unrealized on futures, forwards and investments		(34,182,643)		20,765,416
(Increase) decrease in restricted cash		0		(2,832,387)
(Increase) decrease in interest receivable		577,359		126,123
Increase (decrease) in accounts payable and accrued expenses		4,090,822		586,626
Purchases of investments		(11,604,059,038)		(10,471,918,710)
Sales/maturities of investments		11,683,359,573		10,295,524,358

Net cash from (for) operating activities		72,407,568		(134,162,957)

Cash flows from (for) financing activities
Addition of units		100,462,904		186,829,772
Redemption of units		(158,711,187)		(28,200,968)
Offering costs paid		(1,807,472)		(1,277,153)
Net cash from (for) financing activities		(60,055,755)		157,351,651

Net increase (decrease) in cash		12,351,813		23,188,694

Unrestricted cash
Beginning of period		60,449,920		44,418,047

End of period	$	72,801,733	$	67,606,741

End of period cash consists of:
Cash in futures broker trading accounts	$	57,783,635	$	45,959,963
Cash		15,018,098		21,646,778

Total end of period cash	$	72,801,733	$	67,606,741

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)
For the Nine Months Ended September 30, 2014 and 2013 (Unaudited)

	Unitholders' Capital
	Series B - Other Unitholders
	Units	Amount
Nine Months Ended September 30, 2014

Balances at December 31, 2013	65,305.174	$	183,670,839

Net income (loss) for the nine months ended September 30, 2014			4,738,452
Additions	120.756		309,940
Redemptions	(15,417.490)		(40,500,937)
Balances at September 30, 2014	50,008.440	$	148,218,294

Nine Months Ended September 30, 2013

Balances at December 31, 2012	70,757.159	$	180,287,568

Net income (loss) for the nine months ended September 30, 2013			12,493,152
Additions	184.211		524,186
Redemptions	(4,695.831)		(12,902,891)
Balances at September 30, 2013	66,245.539	$	180,402,015

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST
STATEMENTS OF CHANGES IN UNITHOLDERS’ CAPITAL (NET ASSET VALUE)
For the Nine Months Ended September 30, 2014 and 2013 (Unaudited)

	Unitholders’ Capital
	Series A - Other Unitholders			Series W - Other Unitholders
	Units		Amount	Units		Amount
Nine Months Ended September 30, 2014

Balances at December 31, 2013	171,039.145	$	461,894,827	18,995.779	$	54,538,929

Net income (loss) for the nine months ended
September 30, 2014			14,430,333			3,452,710
Additions	36,305.354		91,593,447	3,037.477		8,185,525
Redemptions	(47,328.012)		(116,149,068)	(1,468.182)		(3,910,359)
Offering costs			(1,609,663)			(202,599)
Balances at September 30, 2014	160,016.487	$	450,159,876	20,565.074	$	62,064,206

Nine Months Ended September 30, 2013

Balances at December 31, 2012	94,682.288	$	235,009,679	12,383.204	$	32,309,160

Net income (loss) for the nine months ended
September 30, 2013			9,412,687			1,679,778
Additions	63,501.375		171,050,303	5,325.656		15,361,482
Redemptions	(3,538.224)		(9,395,001)	(625.518)		(1,742,243)
Offering costs			(1,197,400)			(151,789)
Balances at September 30, 2013	154,645.439	$	404,880,268	17,110.342	$	47,456,388

Net Asset Value per Other Unitholders’ Unit - Series A

September 30, 2014	December 31, 2013	September 30, 2013	December 31, 2012

$2,813.21	$2,700.52	$2,618.12	$2,482.09



Net Asset Value per Other Unitholders’ Unit - Series W

September 30, 2014	December 31, 2013	September 30, 2013	December 31, 2012

$3,017.94	$2,871.11	$2,773.55	$2,609.11

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three Months and Nine Months Ended September 30, 2014 and 2013
(Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series A units for the three months and nine months ended September 30, 2014 and 2013. 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,
	2014		2013		2014		2013
Per Unit Performance
(for a unit outstanding throughout the entire period)

Net asset value per unit at beginning of period	$	2,493.30	$	2,713.65	$	2,700.52	$	2,482.09

Income (loss) from operations:
Total net trading gains (losses) (1)		371.72		(67.63)		216.50		244.71
Net investment income (loss)(1)		(48.47)		(24.57)		(94.28)		(98.60)

Total net income (loss) from operations		323.25		(92.20)		122.22		146.11

Offering costs (1)		(3.34)		(3.33)		(9.53)		(10.08)

Net asset value per unit at end of period	$	2,813.21	$	2,618.12	$	2,813.21	$	2,618.12

Total Return (4)		12.83 %		(3.52)%		4.17 %		5.48 %

Supplemental Data

Ratios to average net asset value:
Expenses prior to performance fee (3)		4.29 %		4.18 %		4.23 %		4.17 %
Performance fee (4)		0.85 %		0.00 %		0.82 %		0.80 %

Total expenses		5.14 %		4.18 %		5.05 %		4.97 %

Net investment income (loss) (2,3)		(4.02)%		(3.64)%		(3.88)%		(3.77)%

Total returns are calculated based on the change in value of a unit during the period. An individual unitholder's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.

(1)	Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2)	Excludes performance fee.
(3)	Annualized.
(4)	Not annualized.

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three Months and Nine Months Ended September 30, 2014 and 2013
(Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series B units for the three months and nine months ended September 30, 2014 and 2013. 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,
	2014		2013			2014		2013
Per Unit Performance
(for a unit outstanding throughout the entire period)

Net asset value per unit at beginning of period	$	2,603.21	$	2,819.06	$	2,812.50	$	2,547.98

Income (loss) from operations:
Total net trading gains (losses) (1)		388.08		(70.30)		228.03		254.52
Net investment income (loss)(1)		(27.42)		(25.53)		(76.66)		(79.27)

Total net income (loss) from operations		360.66		(95.83)		151.37		175.25


Net asset value per unit at end of period	$	2,963.87	$	2,723.23	$	2,963.87	$	2,723.23

Total Return (4)		13.85 %		(3.40)%		5.38 %		6.88 %

Supplemental Data

Ratios to average net asset value:
Expenses prior to performance fee (3)		4.32 %		4.22 %		4.25 %		4.28 %
Performance fee (4)		0.00 %		0.00 %		0.00 %		0.00 %

Total expenses		4.32 %		4.22 %		4.25 %		4.28 %

Net investment income (loss) (2,3)		(4.04)%		(3.68)%		(3.90)%		(3.87)%

Total returns are calculated based on the change in value of a unit during the period. An individual unitholder's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.

(1)	Net investment income (loss) per unit is calculated by dividing the net investment income (loss) by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2)	Excludes performance fee.
(3)	Annualized.
(4)	Not annualized.

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST
FINANCIAL HIGHLIGHTS
For the Three Months and Nine Months Ended September 30, 2014 and 2013
(Unaudited)

The following information presents per unit operating performance data and other supplemental financial data for Series W units for the three months and nine months ended September 30, 2014 and 2013. 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,
		2014		2013		2014		2013
Per Unit Performance
(for a unit outstanding throughout the entire period)

Net asset value per unit at beginning of period	$	2,673.15	$	2,863.96	$	2,871.11	$	2,609.11

Income (loss) from operations:
Total net trading gains (losses) (1)		399.61		(71.49)		237.53		256.87
Net investment income (loss)(1)		(51.24)		(15.40)		(80.49)		(81.80)

Total net income (loss) from operations		348.37		(86.89)		157.04		175.07

Offering costs (1)		(3.58)		(3.52)		(10.21)		(10.63)

Net asset value per unit at end of period	$	3,017.94	$	2,773.55	$	3,017.94	$	2,773.55

Total Return (4)		12.90 %		(3.16)%		5.11 %		6.30 %

Supplemental Data

Ratios to average net asset value:
Expenses prior to performance fee (3)		2.50 %		2.71 %		2.50 %		2.71 %
Performance fee (4)		1.27 %		0.00 %		1.33 %		1.14 %

Total expenses		3.77 %		2.71 %		3.83 %		3.85 %

Net investment income (loss) (2,3)		(2.22)%		(2.17)%		(2.15)%		(2.31)%

Total returns are calculated based on the change in value of a unit during the period. An individual unitholder's total returns and ratios may vary from the above total returns and ratios based on the timing of additions and redemptions.

(1)	Net investment income (loss) per unit and offering costs per unit are calculated by dividing the net investment income (loss) and offering costs by the average number of units outstanding during the period. Total net trading gains (losses) is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.
(2)	Excludes performance fee.
(3)	Annualized.
(4)	Not annualized.

See Accompanying Notes to Financial Statements.

THE CAMPBELL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

SEPTEMBER 30, 2014 (Unaudited)

Note 1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

A. General Description of the Trust

The Campbell Fund Trust (the "Trust") is a Delaware statutory trust, which operates as a commodity investment pool. The Trust engages in the speculative trading of futures contracts and forward currency contracts.

Effective August 31, 2008, the Trust began offering units of beneficial interest classified into Series A units, Series B units and Series W units. The rights of the Series A units, Series B units and Series W units are identical, except that the fees and commissions vary on a Series-by-Series basis. Series A and Series W commenced trading on October 1, 2008 and March 1, 2009, respectively. The initial minimum subscription for Series A units and Series W units is $25,000. Series B units are only available for additional investments by existing holders of Series B units. See Note 1F, Note 1H, Note 2 and Note 6 for an explanation of allocations and Series specific charges.

B. Regulation

The Trust is a registrant with the Securities and Exchange Commission (the “SEC”) pursuant to the Securities Exchange Act of 1934 (the “Act”). As a registrant, the Trust is subject to the regulations of the SEC and the informational requirements of the Act. As a commodity investment pool, the Trust is subject to the regulations of the Commodity Futures Trading Commission, an agency of the United States (U.S.) government which regulates most aspects of the commodity futures industry; rules of the National Futures Association, an industry self-regulatory organization; and the requirements of the various commodity exchanges where the Trust executes transactions. Additionally, the Trust is subject to the requirements of futures commission merchants (the “futures brokers”) and interbank market makers through which the Trust trades.

C. Method of Reporting

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

These financial statements should be read in conjunction with the financial statements and notes thereto included in the Trust’s Annual Report on Form 10-K filed with the SEC for the year ended December 31, 2013.

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

Investment transactions are accounted for on the trade date. Gains or losses are realized when contracts are liquidated. Unrealized gains and losses on open contracts (the difference between contract trade price and fair value) are reported in the Statements of Financial Condition as a net gain or loss, as there exists a right of offset of unrealized gains or losses in accordance with Accounting Standards Codification (“ASC”) 210-20, Offsetting - Balance Sheet. The fair value of futures (exchange-traded) contracts is based on the various futures exchanges, and reflects the settlement price for each contract as of the close on the last business day of the reporting period. The fair value of forward currency (non-exchange traded) contracts was extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) on the last business day of the reporting period.

The fixed income investments, other than U.S. Treasury Bills, are held at the custodian and marked to market on the last business day of the reporting period using a third party vendor hierarchy of pricing providers who specialize in such markets. The prices furnished by the providers consider the yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. U.S. Treasury Bills are held at the futures broker or interbank market maker and are stated at cost plus accrued interest, which approximates fair value. Premiums and discounts on fixed income securities are amortized and accreted for financial reporting purposes.

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

For purposes of both financial reporting and calculation of redemption value, Net Asset Value per unit is calculated by dividing Net Asset Value by the number of outstanding units.

D. Fair Value

The Trust follows the provisions of ASC 820, Fair Value Measurements and Disclosures ("ASC 820"). ASC 820 provides guidance for determining fair value and requires increased disclosure regarding the inputs to valuation techniques used to measure fair value. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

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

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

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

THE CAMPBELL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

SEPTEMBER 30, 2014 (Unaudited)

Level 3 inputs are unobservable inputs for an asset or liability (including the Trust's own assumptions used in determining the fair value of investments). Unobservable inputs shall be used to measure fair value to the extent that observable inputs are not available, thereby allowing for situations in which there is little, if any, market activity for the asset or liability at the measurement date. As of September 30, 2014 and December 31, 2013, and the periods ended September 30, 2014 and 2013, the Trust did not have any Level 3 assets or liabilities.

The following tables set forth by level within the fair value hierarchy the Trust's investments accounted for at fair value on a recurring basis as of September 30, 2014 and December 31, 2013.

	Fair Value at September 30, 2014
Description	Level 1		Level 2		Level 3		Total
Investments
Short term investments	$	1,902	$	0	$	0	$	1,902
Fixed income securities		0		546,929,702		0		546,929,702
Other Financial Instruments
Exchange-traded futures contracts		18,551,494		0		0		18,551,494
Forward currency contracts		0		34,911,924		0		34,911,924
Total	$	18,553,396	$	581,841,626	$	0	$	600,395,022

	Fair Value at December 31, 2013
Description	Level 1		Level 2		Level 3		Total
Investments
Short term investments	$	326	$	0	$	0	$	326
Fixed income securities		0		626,134,290		0		626,134,290
Other Financial Instruments
Exchange-traded futures contracts		15,737,012		0		0		15,737,012
Forward currency contracts		0		3,641,286		0		3,641,286
Total	$	15,737,338	$	629,775,576	$	0	$	645,512,914

There were no transfers to or from Level 1 to Level 2 for the period ended September 30, 2014 or the year ended December 31, 2013.

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

E. Income Taxes

The Trust prepares calendar year U.S. federal and applicable state information tax returns and reports to the unitholders their allocable shares of the Trust's income, expenses and trading gains or losses. No provision for income taxes has been made in the accompanying financial statements as each unitholder is individually responsible for reporting income or loss based on such unitholder's respective share of the Trust's income and expenses as reported for income tax purposes.

Management has continued to evaluate the application of ASC 740, Income Taxes, to the Trust, and has determined that no reserves for uncertain tax positions were required. There are no tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly increase or decrease within twelve months. The Trust files federal and state tax returns. The 2010 through 2013 tax years generally remain subject to examination by the U.S. federal and most state tax authorities.

F. Offering Costs

Campbell & Company, Inc. (“Campbell & Company”) has incurred all costs in connection with the initial and continuous offering of units of the Trust (“offering costs”). Series A units and Series W units will each bear the offering costs incurred in the relation to the offering of Series A units and Series W units, respectively. Offering costs are charged to Series A and Series W at a monthly rate of 1/12 of 0.5% (0.5% annualized) of each Series’ month-end net asset value (as defined in the Declaration of Trust and Trust Agreement) until such amounts are fully reimbursed. Such amounts are charged directly to unitholders’ capital. Series A and Series W are only liable for payment of offering costs on a monthly basis. The offering costs allocable to the Series B units are borne by Campbell & Company.

THE CAMPBELL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

SEPTEMBER 30, 2014 (Unaudited)

If the Trust terminates prior to completion of payment to Campbell & Company for the unreimbursed offering costs incurred through the date of such termination, Campbell & Company will not be entitled to any additional payments, and Series A units and Series W units will have no further obligation to Campbell & Company. At September 30, 2014 and December 31, 2013, the amount of unreimbursed offering costs incurred by Campbell & Company is $3,197,892 and $3,457,211 for Series A units and $614,095 and $646,630 for Series W units, respectively.

G. Foreign Currency Transactions

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

H. Allocations

Income or loss (prior to calculation of the management fee, service fee, offering costs and performance fee) is allocated pro rata to each Series of units. Each Series of units is then charged the management fee, service fee, offering costs and performance fee applicable to such Series of units.

I. Recently Issued Accounting Pronouncements

In June 2013, the FASB issued ASU 2013-08. ASU 2013-08 changes the approach to the investment company assessment, requires non-controlling ownership interests in other investment companies to be measured at fair value, and requires additional disclosures about the investment company’s status as an investment company. The amendments are effective for interim and annual reporting periods beginning after December 15, 2013. As of January 1, 2014, the Trust adopted the provision of ASU 2013-08. The adoption of ASU 2013-08 did not have a material impact on the Trust’s financial statements.

Note 2. MANAGING OPERATOR AND COMMODITY TRADING ADVISOR

The managing operator of the Trust is Campbell & Company that conducts and manages the business of the Trust. Campbell & Company is also the commodity trading advisor of the Trust.

Series A units and Series B units pay the managing operator a monthly management fee equal to 1/12 of 4% (4% annually) of the Net Assets (as defined) of Series A units and Series B units, respectively, as of the end of each month. Series W units pay the managing operator a monthly management fee equal to 1/12 of 2% (2% annually) of the Net Assets (as defined) of Series W units as of the end of each month. Each Series of units will pay the managing operator a quarterly performance fee equal to 20% of the aggregate cumulative appreciation in Net Asset Value per Unit (as defined) exclusive of appreciation attributable to interest income on a Series-by-Series basis.

The performance fee is paid on the cumulative increase, if any, in the Net Asset Value per Unit over the highest previous cumulative Net Asset Value per Unit (commonly referred to as a High Water Mark). In determining the management fee and performance fee (the "fees"), adjustments shall be made for capital additions and withdrawals and Net Assets shall not be reduced by the fees being calculated for such current period. The performance fee is not subject to any clawback provisions. The fees are typically paid in the month following the month in which they are earned. The fees are paid from the available cash at the Trust's bank, futures 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. ADMINISTRATOR

The Trust has appointed SEI Global Services, Inc. (SEI) as Administrator of the Trust as of August 1, 2012. The Administrator receives fees at rates agreed upon between the Trust and the Administrator and is entitled to reimbursement of certain actual out-of-pocket expenses incurred while performing its duties. The Administrator's primary responsibilities are portfolio accounting and fund accounting services.

The Administration Agreement (the Agreement) with SEI is effective until July 31, 2015 and is automatically renewed for successive one year periods unless terminated by the Trust or SEI pursuant to giving of ninety days written notice prior to the last day of the current term. The Agreement may be terminated by the Trust or SEI giving at least thirty days prior notice in writing to the other party if at any time the other party or parties have been first (i) notified in writing that such party shall have materially failed to perform its duties and obligations under the Agreement (“Breach Notice”) and (ii) the party receiving the Breach Notice shall not have remedied the noticed failure within thirty days after receipt of the Breach Notice requiring it to be remedied.

Note 5. CASH MANAGER AND CUSTODIAN

Prior to March 2014, Horizon Cash Management, LLC served as the cash manager under the Investment Advisory Agreement to manage and control the liquid assets of the Trust. In February 2014, the Trust signed an agreement with PNC Capital Advisors, LLC to replace Horizon Cash Management, LLC as the cash manager for the Trust effective March 1, 2014. Both Horizon Cash Management, LLC and PNC Capital Advisors, LLC are registered as investment advisers with the SEC of the United States under the Investment Advisers Act of 1940.

The Trust has a custodial account at the Northern Trust Company (the “custodian”) and has granted the cash manager authority to make certain investments on behalf of the Trust provided such investments are consistent with the investment guidelines created by the managing operator. All securities purchased by the cash manager on behalf of the Trust will be held in its custody account at the custodian. The cash manager will have no beneficial or other interest in the securities and cash in such custody account.

Note 6. SERVICE FEE

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

Note 7. DEPOSITS WITH FUTURES BROKERS

The Trust deposits assets with UBS Securities LLC and Goldman, Sachs & Co. as the futures brokers, subject to Commodity Futures Trading Commission regulations and various exchange and futures broker requirements. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with such futures brokers. The Trust typically earns interest income on its assets deposited with the futures brokers. The Trust began trading futures contracts with Goldman, Sachs & Co. on August 1, 2014.

Note 8. DEPOSITS WITH INTERBANK MARKET MAKER

The Trust’s counterparty with regard to its forward currency transactions is The Royal Bank of Scotland PLC ("RBS"). The Trust has entered into an International Swap and Derivatives Association, Inc. agreement with RBS which governs these transactions. The credit ratings reported by the three major rating agencies for RBS were considered investment grade as of September 30, 2014. Margin requirements are satisfied by the deposit of U.S. Treasury Bills and cash with RBS. The Trust typically earns interest income on its assets deposited with RBS.

THE CAMPBELL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

SEPTEMBER 30, 2014 (Unaudited)

Note 9. SUBSCRIPTIONS, DISTRIBUTIONS AND REDEMPTIONS

Investments in the Trust are made by subscription agreement, subject to acceptance by Campbell & Company.

The Trust is not required to make distributions, but may do so at the sole discretion of Campbell & Company. A unitholder may request and receive redemption of units owned, subject to restrictions in the Declaration of Trust and Trust Agreement. Units are transferable, but no market exists for their sale and none is expected to develop. Monthly redemptions are permitted upon ten (10) business days advance written notice to Campbell & Company.

Redemption fees, which are paid to Campbell & Company, apply to Series A units through the first twelve month-ends following purchase (the month-end as of which the unit is purchased is counted as the first month-end) as follows: 1.833% of Net Asset Value per unit redeemed through the second month-end, 1.666% of Net Asset Value per unit redeemed through the third month-end, 1.500% of Net Asset Value per unit redeemed through the fourth month-end, 1.333% of Net Asset Value per unit redeemed through the fifth month-end, 1.167% of Net Asset Value per unit redeemed through the sixth month-end, 1.000% of Net Asset Value per unit redeemed through the seventh month-end, 0.833% of Net Asset Value per unit redeemed through the eight month-end, 0.667% of Net Asset Value per unit redeemed through the ninth month-end, 0.500% of Net Asset Value per unit redeemed through the tenth month-end, 0.333% of Net Asset Value per unit redeemed through the eleventh month-end and 0.167% of Net Asset Value per unit redeemed through the twelfth month end. For the nine months ended September 30, 2014 and 2013, Campbell & Company received redemption fees of $248,912 and $10,304, respectively.

Note 10. TRADING ACTIVITIES AND RELATED RISKS

The Trust engages in the speculative trading of U.S. and foreign futures contracts and forward currency contracts (collectively, "derivatives"). Specifically, the Fund trades a portfolio focused on financial futures, which are instruments designed to hedge changes in interest rates, currency exchange rates, stock index values, metals, energy and agriculture values. The Trust is exposed to both market risk, the risk arising from changes in the fair value of the contracts, and credit risk, the risk of failure by another party to perform according to the terms of a contract.

Market Risk

For derivatives, risks arise from changes in the fair value of the contracts. Market movements result in frequent changes in the fair value of the Trust's open positions and, consequently, in its earnings and cash flow. The Trust's market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the fair value of financial instruments and contracts, the diversification effects among the Trust's open positions and the liquidity of the markets in which it trades. Theoretically, the Trust is exposed to a market risk equal to the notional contract value of futures and forward currency contracts purchased and unlimited liability on such contracts sold short. See Note 1. C. for an explanation of how the Trust determines its valuation for derivatives as well as the netting of derivatives.

The Trust adopted the provisions of ASC 815, Derivatives and Hedging, ("ASC 815"). ASC 815 provides enhanced disclosures about how and why an entity uses derivative instruments, how derivative instruments are accounted for, and how derivative instruments affect an entity's financial position, financial performance and cash flows.

The following tables summarize quantitative information required by ASC 815. The fair value of the Trust's derivatives by instrument type, as well as the location of those instruments on the Statements of Financial Condition, as of September 30, 2014 and December 31, 2013 are as follows:

Type of Instrument *	Statements of Financial Condition Location	Asset Derivatives at September 30, 2014 Fair Value		Liability Derivatives at September 30, 2014 Fair Value			Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts	$	11,512,003	$	(2,130,817	)	$	9,381,186
Energy Contracts	Net unrealized gain (loss) on open futures contracts		6,077,702		(222,047	)		5,855,655
Metal Contracts	Net unrealized gain (loss) on open futures contracts		10,741,269		(8,045,403	)		2,695,866
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		5,728,348		(8,012,455	)		(2,284,107	)
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		1,018,422		(413,847	)		604,575
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		5,504,806		(3,206,487	)		2,298,319
Forward Currency Contracts	Net unrealized gain (loss) on open forward currency contracts		79,014,136		(44,102,212	)		34,911,924
Totals		$	119,596,686	$	(66,133,268	)	$	53,463,418
* Derivatives not designated as hedging instruments under ASC 815

Type of Instrument *	Statements of Financial Condition Location	Asset Derivatives at December 31, 2013 Fair Value		Liability Derivatives at December 31, 2013 Fair Value			Net
Agriculture Contracts	Net unrealized gain (loss) on open futures contracts	$	3,458,947	$	(1,515,754	)	$	1,943,193
Energy Contracts	Net unrealized gain (loss) on open futures contracts		49,766		(1,270,622	)		(1,220,856	)
Metal Contracts	Net unrealized gain (loss) on open futures contracts		4,295,522		(5,323,594	)		(1,028,072	)
Stock Indices Contracts	Net unrealized gain (loss) on open futures contracts		16,576,413		(170,779	)		16,405,634
Short-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		863,795		(2,373,859	)		(1,510,064	)
Long-Term Interest Rate Contracts	Net unrealized gain (loss) on open futures contracts		1,429,833		(282,656	)		1,147,177
Forward Currency Contracts	Net unrealized gain (loss) on open forward currency contracts		27,238,177		(23,596,891	)		3,641,286
Totals		$	53,912,453	$	(34,534,155	)	$	19,378,298
* Derivatives not designated as hedging instruments under ASC 815

THE CAMPBELL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

SEPTEMBER 30, 2014 (Unaudited)

The trading gains and losses of the Trust's derivatives by instrument type, as well as the location of those gains and losses on the Statements of Operations, for the three months and nine months ended September 30, 2014 and 2013 are as follows:

Type of Instrument	Trading Gains (Losses) for the Three Months Ended September 30, 2014			Trading Gains (Losses) for the Three Months Ended September 30, 2013
Agriculture Contracts	$	16,868,942		$	(1,233,666	)
Energy Contracts		7,685,235			(1,125,394	)
Metal Contracts		3,095,341			(20,365,692	)
Stock Indices Contracts		856,179			17,115,572
Short-Term Interest Rate Contracts		(516,492	)		(4,450,132	)
Long Term Interest Rate Contracts		13,454,771			7,654,481
Forward Currency Contracts		46,627,778			(12,387,595	)
Total	$	88,071,754		$	(14,792,426	)

Type of Instrument	Trading Gains (Losses) for the Nine Months Ended September 30, 2014			Trading Gains (Losses) for the Nine Months Ended September 30, 2013
Agriculture Contracts	$	14,985,581		$	(170,156	)
Energy Contracts		(9,450,843	)		(6,609,583	)
Metal Contracts		(10,537,401	)		21,979,617
Stock Indices Contracts		(13,501,133	)		37,250,824
Short-Term Interest Rate Contracts		(8,669,831	)		(13,460,226	)
Long Term Interest Rate Contracts		43,522,171			1,115,982
Forward Currency Contracts		31,576,971			4,557,647
Total	$	47,925,515		$	44,664,105

Line Item in the Statements of Operations	Trading Gains (Losses) for the Three Months Ended September 30, 2014		Trading Gains (Losses) for the Three Months Ended September 30, 2013
Futures trading gains (losses):
Realized**	$	35,226,900	$	17,602,239
Change in unrealized		6,217,076		(20,007,070	)
Forward currency trading gains (losses):
Realized		18,532,358		(17,777,121	)
Change in unrealized		28,095,420		5,389,526
Total	$	88,071,754	$	(14,792,426	)

Line Item in the Statements of Operations	Trading Gains (Losses) for the Nine Months Ended September 30, 2014		Trading Gains (Losses) for the Nine Months Ended September 30, 2013
Futures trading gains (losses):
Realized**	$	13,534,062	$	51,536,092
Change in unrealized		2,814,482		(11,429,634)
Forward currency trading gains (losses):
Realized		306,333		14,013,705
Change in unrealized		31,270,638		(9,456,058	)
Total	$	47,925,515	$	44,664,105

**Amounts differ from the amounts on the Statements of Operations as the amounts above do not include gains and losses on foreign currency cash balances at the futures broker.

For the three months ended September 30, 2014 and 2013, the monthly average of futures contracts bought and sold was approximately 65,200 and 73,800, respectively, and the monthly average of notional value of forward currency contracts was $4,801,800,000 and $4,674,400,000, respectively.

For the nine months ended September 30, 2014 and 2013, the monthly average of futures contracts bought and sold was approximately 82,400 and 74,800, respectively, and the monthly average of notional value of forward currency contracts was $5,733,600,000 and $4,204,700,000, respectively.

Open contracts generally mature within twelve months; as of September 30, 2014, the latest maturity date for open futures contracts is December 2015 and the latest maturity date for open forward currency contracts is December 2014. However, the Trust intends to close all futures and offset all foreign currency contracts prior to maturity.

THE CAMPBELL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

SEPTEMBER 30, 2014 (Unaudited)

Credit Risk

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

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

The Trust has entered into an International Swaps and Derivatives Association Master Agreement (“ISDA Agreement”) with RBS. Under the terms of the ISDA agreement, upon the designation of an Event of Default, as defined in the ISDA Agreement, the non-defaulting party may set-off any sum or obligation owed by the defaulting party to the non-defaulting party against any sum or obligation owed by the non-defaulting party to the defaulting party. If any sum or obligation is unascertained, the non-defaulting party may in good faith estimate that sum or obligation and set-off in respect to that estimate, accounting to the other party when such sum or obligation is ascertained.

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

The amount of required margin and good faith deposits with the futures broker and interbank market makers usually range from 10% to 30% of Net Asset Value. The fair value of securities held to satisfy such requirements at September 30, 2014 and December 31, 2013 was $146,996,450 and $158,099,263, respectively, which equals 16% and 23% of Net Asset Value, respectively. The cash deposited with interbank market makers at September 30, 2014 and December 31, 2013 was $70,504 and $53,349, respectively, which equals 0% and 0% of Net Asset Value, respectively. These amounts are included in cash. There was no restricted cash at September 31, 2014 or December 31, 2013.

Set forth below are tables which disclose both gross information and net information about instruments and transactions eligible for offset in the Statements of Financial Condition and instruments and transactions that are subject to an agreement similar to a master netting agreement as well as amounts related to financial collateral (including U.S. Treasury Bills and cash collateral) held at clearing brokers and counterparties. Margin reflected in the Collateral tables is limited to the net amount of unrealized loss to each counterparty. Actual margin amounts required at each counterparty are based on the notional amounts or the number of contracts outstanding and may exceed the margin presented in the Collateral tables.

Offsetting of Derivative Assets
As of September 30, 2014
Type of Instrument	Counterparty		Gross Amount of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition		Net Amount of Unrealized Gain Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	28,133,451	$	(19,058,671)	$	9,074,780
	Goldman Sachs		12,449,099		(2,972,385)		9,476,714
Forward currency contracts	Royal Bank of Scotland		79,014,136		(44,102,212)		34,911,924
Total derivatives		$	119,596,686	$	(66,133,268)	$	53,463,418

Derivatives Assets and Collateral Received by Counterparty
As of September 30, 2014
				Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty		Net Amount of Unrealized Gain in the Statements of Financial Condition		Financial Instruments		Cash Collateral Received		Net Amount
UBS Securities LLC	$	9,074,780	$	0	$	0	$	9,074,780
Goldman Sachs		9,476,714		0		0		9,476,714
Royal Bank of Scotland		34,911,924		0		0		34,911,924
Total	$	53,463,418	$	0	$	0	$	53,463,418

Offsetting of Derivative Liabilities
As of September 30, 2014
Type of Instrument	Counterparty		Gross Amount of Recognized Liabilities		Gross Amounts Offset in the Statements of Financial Condition		Net Amount of Unrealized Loss Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	19,058,671	$	(19,058,671)	$	0
	Goldman Sachs		2,972,385		(2,972,385)		0
Forward currency contracts	Royal Bank of Scotland		44,102,212		(44,102,212)		0
Total derivatives		$	66,133,268	$	(66,133,268)	$	0

Derivatives Liabilities and Collateral Pledged by Counterparty
As of September 30, 2014
				Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty		Net Amount of Unrealized Loss in the Statements of Financial Condition		Financial Instruments		Cash Collateral Pledged		Net Amount
UBS Securities LLC	$	0	$	0	$	0	$	0
Goldman Sachs		0		0		0		0
Royal Bank of Scotland		0		0		0		0
Total	$	0	$	0	$	0	$	0

THE CAMPBELL FUND TRUST

NOTES TO FINANCIAL STATEMENTS

SEPTEMBER 30, 2014 (Unaudited)

Offsetting of Derivative Assets
As of December 31, 2013
Type of Instrument	Counterparty		Gross Amount of Recognized Assets		Gross Amounts Offset in the Statements of Financial Condition		Net Amount of Unrealized Gain Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	26,674,276	$	(10,937,264)	$	15,737,012
Forward currency contracts	Royal Bank of Scotland		27,238,177		(23,596,891)		3,641,286
Total derivatives		$	53,912,453	$	(34,534,155)	$	19,378,298

Derivatives Assets and Collateral Received by Counterparty
As of December 31, 2013
				Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty		Net Amount of Unrealized Gain in the Statements of Financial Condition		Financial Instruments		Cash Collateral Received		Net Amount
UBS Securities LLC	$	15,737,012	$	0	$	0	$	15,737,012
Royal Bank of Scotland		3,641,286		0		0		3,641,286
Total	$	19,378,298	$	0	$	0	$	19,378,298

Offsetting of Derivative Liabilities
As of December 31, 2013
Type of Instrument	Counterparty		Gross Amount of Recognized Liabilities		Gross Amounts Offset in the Statements of Financial Condition		Net Amount of Unrealized Loss Presented in the Statements of Financial Condition
Futures contracts	UBS Securities LLC	$	10,937,264	$	(10,937,264)	$	0
Forward currency contracts	Royal Bank of Scotland		23,596,891		(23,596,891)		0
Total derivatives		$	34,534,155	$	(34,534,155)	$	0

Derivatives Liabilities and Collateral Pledged by Counterparty
As of December 31, 2013
				Gross Amounts Not Offset in the Statements of Financial Condition
Counterparty		Net Amount of Unrealized Loss in the Statements of Financial Condition		Financial Instruments		Cash Collateral Pledged		Net Amount
UBS Securities LLC	$	0	$	0	$	0	$	0
Royal Bank of Scotland		0		0		0		0
Total	$	0	$	0	$	0	$	0

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

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

Note 11. INDEMNIFICATIONS

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

Note 12. INTERIM FINANCIAL STATEMENTS

The statements of financial condition, including the condensed schedules of investments, as of September 30, 2014 and December 31, 2013, the statements of operations and financial highlights for the three months and nine months ended September 30, 2014 and 2013, and the statements of cash flows and changes in unitholders' capital (Net Asset Value) for the nine months ended September 30, 2014 and 2013 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, 2014, and the results of operations and financial highlights for the three months and nine months ended September 30, 2014 and 2013, and cash flows and changes in unitholders' capital (Net Asset Value) for the nine months ended September 30, 2014 and 2013.

Note 13. SUBSEQUENT EVENTS

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

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, 2014, the aggregate capitalization of the Trust was $660,442,376 with Series A, Series B and Series W comprising $450,159,876, $148,218,294 and $62,064,206, respectively, of the total. The Net Asset Value per Unit was $2,813.21 for Series A, $2,963.87 for Series B, and $3,017.94 for Series W.

Critical Accounting Policies

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expense during the reporting period. Management believes that the estimates utilized in preparing the financial statements are reasonable and prudent; however, actual results could differ from those estimates. The Trust’s significant accounting policies are described in detail in Note 1 of the Financial Statements.

The Trust records all investments at fair value in its financial statements, with changes in fair value reported as a component of change in unrealized trading gain (loss) in the Statements of Operations. Generally, fair values are based on market prices; however, in certain circumstances, estimates are involved in determining fair value in the absence of an active market closing price (i.e., forward contracts which are traded in the inter-bank market).

Capital Resources

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

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

Liquidity

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

The entire offering proceeds, without deductions, will be credited to the Trust’s bank, custodial and/or cash management accounts. The Trust meets margin requirements for its trading activities by depositing cash and U.S. government securities with the futures broker and the over-the-counter counterparty. This does not reduce the risk of loss from trading activities. The Trust receives all interest earned on its assets. No other person shall receive any interest or other economic benefits from the deposit of Trust assets.

Approximately 15% to 25% of the Trust’s assets normally are committed as required margin for futures contracts and held by the futures broker, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. Treasury Bills in segregated accounts with the futures broker pursuant to the Commodity Exchange Act and regulations thereunder. Approximately 10% to 15% of the Trust’s assets are deposited with the over-the-counter counterparty in order to initiate and maintain forward contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparty.

The managing operator deposits the majority of those assets of the Trust that are not required to be deposited as margin with the futures brokers and over-the-counter counterparties in custodial accounts with Northern Trust Company. The assets deposited in the custodial accounts with Northern Trust Company are segregated. Such custodial accounts constitute approximately 60% to 75% of the Fund’s assets and are invested directly by PNC Capital Advisors, LLC (“PNC”). Prior to March 2014, Horizon Cash Management LLC ("Horizon") served as the cash manager. PNC and Horizon are registered with the SEC as investment advisers under the Investment Advisers Act of 1940. PNC does not guarantee any interest or profits will accrue on the Fund’s assets in the custodial account. PNC invest the assets according to agreed upon investment guidelines that first preserve capital, second allow for sufficient liquidity, and third provide a yield beyond the risk-free rate. Investments can include, but are not limited to, (i) U.S. Government Securities, Government Agency Securities, Municipal Securities, banker acceptances and certificates of deposits; (ii) commercial paper; and (iii) short-term investment grade corporate debt; and (iv) Asset Backed Securities.

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

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

Off-Balance Sheet Risk

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

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

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

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

The Trust invests in futures and forward currency contracts. The market value of futures (exchange-traded) contracts is determined by the various futures exchanges, and reflects the settlement price for each contract as of the close of the last business day of the reporting period. The market value of forward (non-exchange traded) contracts is extrapolated on a forward basis from the spot prices quoted as of 3:00 P.M. (E.T.) of the last business day of the reporting period or based on the market value of its exchange-traded equivalent.

Results of Operations

The returns for Series A for the nine months ended September 30, 2014 and 2013 were 4.17% and 5.48%, respectively. The returns for Series B for the nine months ended September 30, 2014 and 2013 were 5.38% and 6.88%, respectively. The returns for Series W for the nine months ended September 30, 2014 and 2013 were 5.11% and 6.30%, respectively.

2014 (For the Nine Months Ending September 30)

Of the 2014 year-to-date increase of 4.17% for Series A, approximately 8.80% was due to trading gains (before commissions) and approximately 0.26% due to investment income, offset by approximately (4.89)% due to brokerage fees, management fees, operating costs, performance fees and offering costs borne by Series A.

Of the 2014 year-to-date increase of 5.38% for Series B, approximately 8.80% was due to trading gains (before commissions) and approximately 0.27% due to investment income, offset by approximately (3.69)% due to brokerage fees, management fees and operating costs borne by Series B.

Of the 2014 year-to-date increase of 5.11% for Series W, approximately 8.80% was due to trading gains (before commissions) and approximately 0.26% due to investment income, offset by approximately (3.95)% due to brokerage fees, management fees, service fees, operating costs, performance fees and offering costs borne by Series W.

During the nine months ended September 30, 2014, the Trust accrued management fees in the amount of $18,404,238 and paid management fees in the amount of $18,482,199. Performance fees were accrued in the amount of $4,210,419 and paid in the amount of $3,571.

An analysis of the 8.80% gross trading gains for the Trust for the nine months ended September 30, 2014 by sector is as follows:

Sector	% Gain (Loss)
Commodities		(0.24	)%
Currencies		5.17
Interest Rates		5.43
Stock Indices		(1.56	)
		8.80	%

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

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

The Trust closed out the quarter with continued losses in March. The worst declines came from interest rate, stock index, and foreign exchange holdings. Some of the largest losses for the month came from interest rate positions, where trend strategies produced the declines while non-trend strategies showed some offsetting gains. A bulk of the sector losses were found in long positioning on long-dated instruments. Around mid-month, the US Federal Reserve announced additional tapering of quantitative easing (QE) and even hinted that an outright rate increase might occur sooner than expected, sending interest rate markets sharply lower and hurting portfolio positioning. Stock index positions also produced losses with both trend following and non-trend strategies contributing. Trend strategies held long positioning on the NASDAQ 100 index, which suffered due to technology valuation concerns, a tightening of stimulus by the US Fed, and uncertainty over Russia’s annexation of Crimea and recent display of territorial aggression. Non-trend strategies went short the Hang Seng index in Hong Kong, which fell for the first half of the month, only to reverse higher on expectations for new stimulus measures in China to combat slowing growth within the country. Foreign exchange positions showed gains within the non-trend strategies; however, trend strategy losses in the sector overwhelmed them leading FX into the red for the month. The Trust was positioned short US dollars when the US Fed surprised markets with hawkish language following the March FOMC meeting. This caused the dollar to rally sharply against other currencies resulting in losses in the sector. Commodity positions produced losses from the trend following strategies while non-trend systems produced some offsetting gains. Some of the worst performing sub-sectors during the month included energy and industrial metals. The Trust was long crude, which declined amid slower Chinese growth. Natural gas longs fell on expectations for warmer temperatures in the US. Some offsetting gains were found in long grain positioning as the sub-sector posted its best quarterly rally since 2010.

Offsetting gains and losses leave the Trust slightly lower in April. Profits from commodities, and to a lesser extent from interest rates, were offset by losses from foreign exchange and stock index holdings. Some of the largest losses during April came from foreign exchange positions. The non-trend strategies produced the bulk of the declines while trend strategies showed some gains in the sector. The non-trend strategies struggled with price action that was not favorable for the underlying model signals. The Trust was short Japanese Yen when the US Fed minutes dampened bets that US policy makers were moving towards raising interest rates, causing the Yen to appreciate. Trend following strategies profited from a long position on the British Pound, which rose to multi-year highs. Stock index positions also produced losses within the non-trend strategies while the trend following programs showed some offsetting gains. The non-trend models were positioned long the Japanese Nikkei index when the Bank of Japan disappointed markets with no new stimulus, causing a sell-off in Japanese equities. The German DAX index also contributed to losses as the non-trend strategies built long exposure, only to see the index trade lower as renewed Ukrainian/Russian unrest rattled investors. Commodity positions produced the best gains seen during the month as both non-trend and trend strategies produced profits. Nickel was a strong performer for the Trust as it trended higher throughout the month. Indonesia’s ongoing export ban and Ukrainian unrest helped to push the metal to a 14-month high. Gains also came from long coffee holdings, which rose on Brazilian production concerns. Natural gas was another market that produced solid gains, especially within the non-trend programs. Cool spring temperatures and inventory concerns led to the rise in prices. Interest rate holdings added to gains during April. Losses from short holdings on short-dated instruments were more than offset by gains from long positions on long-dated instruments. A combination of pockets of softer economic data linked with the civil unrest in Eastern Europe helped to propel prices higher during the month.

The Trust showed gains in May led by interest rate and equity index positions. Profits from interest rate and stock index positions were somewhat offset by losses from commodity and foreign exchange holdings. The largest gains for May came from positioning in global interest rates driven by trend following strategies. Profits were seen in long-dated instruments where the Trust held long positions, while small losses came from short-dated holdings where the Trust was generally short. Fixed income instruments rallied during the month amid pockets of weaker than expected global economic data and as global central banks once again indicated accommodative monetary policies. Overall market positioning also played a role in the rally as some investors found themselves under-invested in global bonds and some hedge funds scrambled to cover shorts amid the rising prices. Long global stock index positions also produced gains for the Trust during May primarily driven by trend following strategies. Stocks showed choppy price action during the first half of the month, but then staged a rally as dovish global central banks and a surge in merger & acquisition activity pushed many global indexes to new highs. Commodity holdings produced the largest monthly losses with both trend and non-trend strategies contributing. The worst performing sub-sector was the grains where long positioning in wheat and corn suffered amid weak export sales, favorable planting weather in the US, and easing tensions between Ukraine and Russia. Base metals trading proved unprofitable amid choppy price action. A long position in coffee suffered as steady harvest progress in Brazil and a healthy global supply outlook pushed prices sharply lower after an almost 60% run-up this year. Foreign exchange holdings produced losses primarily from trend strategies as non-trend strategies showed gains. Some of the worst performing FX holdings included long positions in the euro and British pound. European Central Bank President Draghi signaled that policy makers are ready to expand stimulus resulting in a weakening of the euro, and the Bank of England indicated that a rate hike was not as imminent as markets had been expecting, causing the pound to fall from multi-year highs.

The Trust closed out the quarter with gains in June. Profits from stock index, commodity, and foreign exchange positions were somewhat offset by losses from interest rate holdings. The largest gains for June came from positioning in global stock indexes driven by both trend following and non-trend strategies. Long positions in North American stock indexes benefitted from dovish comments from Federal Open Market Committee head Yellen despite pockets of stronger economic data. Strong merger and acquisition activity also provided a tailwind for US stocks. A long equity holding in Taiwan showed profits as Chinese data indicated signs of improving growth. Smaller, offsetting losses came from long European holdings where a rash of weaker than expected economic data and falling confidence readings overwhelmed new European Central Bank stimulus actions. Commodity holdings produced additional monthly gains with only trend strategies contributing. Some of the best monthly gains came from long positioning on zinc, which surged in price amid a sharp drop in stockpiles. Long energy exposure, especially to Brent and crude, rose as instability in Iraq rattled oil markets. Cattle prices rallied to a record high on lingering supply concerns, benefitting the Trust’s position. Offsetting losses came from short positions on precious metals as prices rose on a blend of geopolitical instability and ongoing accommodative US monetary policy. Foreign exchange holdings produced profits primarily from trend strategies as non-trend strategies showed losses. Some of the best performing FX holdings included a long position on the New Zealand dollar, which strengthened when the Reserve Bank of New Zealand lifted borrowing costs for the third time this year. Long positioning on the British pound benefitted when the Bank of England (BOE) hinted it may raise interest rates sooner than expected. A surprise interest rate cut in Mexico hurt the Trust’s long positioning on the peso. Interest rate trading showed losses during the month with most declines coming from non-trend strategies. Hawkish comments from BOE head Carney caused a sharp sell-off in Gilts, which hurt the Trust’s positioning. Rising Australian fixed income prices also hurt non-trend strategies, which expected prices to fall.

The Trust showed little change during July with profits from commodity positions more than offset by losses in interest rates and foreign exchange. The largest gains for July came from positioning on commodities driven by trend following strategies. Grain markets were among the best performing subsector led by corn and wheat where the Trust held short positioning. Corn and wheat both dropped sharply during the month fueled by favorable weather which bolstered production expectations. Long positioning on industrial metals produced additional gains. Zinc rallied to a near three-year high on supply concerns after stockpiles fell to a multi-year low. Unfavorable price action within energy markets produced some of the largest offsetting losses within the commodity sector. Foreign exchange holdings produced some of the largest monthly losses primarily from trend strategies as non-trend strategies showed some offsetting gains. Long positioning on the New Zealand dollar and the British pound produced losses as those central banks dampened expectations for higher interest rates. Short positioning on the euro versus the US dollar was one of the best performing FX markets for the Trust. A policy split between the U.S. Federal Reserve (US Fed) and the European Central Bank (ECB) helped weaken the euro versus the dollar. The ECB is fighting falling inflation with an accommodative policy, while the US Fed is steadily removing stimulus. Interest rate trading showed losses during the month with declines from non-trend strategies overwhelming trend gains. Cross currents from rising geopolitical risks clashed with some better than expected economic data and a higher than expected inflation reading in the United States. The non-trend strategies failed to profitably navigate this choppy price action, especially in the U.S. and Germany. Stock index holdings were relatively flat in July. Positioning was long across the three major geographic regions: Asia, Europe, and North America. Some gains were seen in Asia, the US, and Canada on improving economic outlooks while losses across Europe were fueled by growth concerns which led to lower prices.

Interest rate and foreign exchange positions lead the Trust to strong gains in August. Profits from interest rates, foreign exchange, and stock indices were only slightly offset by small losses in commodities. The largest gains for August came from long positioning on long-dated interest rate markets driven by trend following strategies. The largest profits were found within Europe and the United States. An escalation of geopolitical tension in Ukraine, Syria, and the Gaza Strip provided a safe-haven buying tailwind. Weaker economic data in Europe, especially within Germany, and a dovish speech by ECB President Draghi provided an additional boost to rate markets. Smaller profits were seen in Canada, Japan, and Australia. Foreign exchange holdings produced additional gains from both trend and non-trend strategies. Some of the best performing FX holdings were short positions on the Euro and Japanese Yen both versus the U.S. Dollar. The Dollar outperformed most of its G10 peers during the month as better than expected U.S. economic data and commentary from FOMC officials continued to point toward a hawkish future change in interest rate guidance. Meanwhile central banks in Europe and Japan continued to beat a dovish drum which acted to weaken those currencies versus the Dollar. Long stock index positioning tacked on additional gains. Positions within the U.S. and Taiwan were among the best performing holdings. Improving U.S. economic growth and bullish merger and acquisition activity helped propel some U.S. indexes to record levels. The index in Taiwan was helped by strong rallies in semiconductor and electronic component shares. Commodity holdings created small losses during August. Gains from short positioning across the energy complex were more than offset by losses from various holdings within the industrial metal, grain, and meat sub-sectors. Near-term trend reversals within copper, zinc, wheat, and cattle contributed to the offsetting losses.

The Trust showed strong gains again in September. Profits from foreign exchange and commodity positions were only partially offset by losses on interest rate and stock index holdings. The largest gains for September came from foreign exchange positions primarily within trend following strategies. Diverging central bank policy paths were a major FX driver during the month. The Bank of Japan and the European Central Bank are both focused on keeping interest rates low while the U.S. Federal Reserve is starting to hint at higher interest rates. The Trust was positioned short the Japanese yen and euro versus the U.S. dollar and benefitted from these sharply different policy paths. Commodity holdings from the trend strategies produced additional gains while non-trend positioning showed some offsetting losses during the month. Some of the best gains came from short positioning on corn and wheat, both of which made new multi-year lows during the month. Short positioning across the energy complex and precious metal markets proved profitable as a persistently stronger U.S. dollar helped to push those markets lower. Non-trend strategies struggled with the persistent downtrend in the grain complex and also saw losses in the precious and base metals. Interest rate holdings produced losses from both trend and non-trend strategies. Some of the largest losses were found on long positioning within the United States. Leading up to the mid-month FOMC meeting, U.S. interest rate products sold-off over concerns that the committee would shift their interest rate guidance to reflect a more hawkish view. Other losses were seen in stock index positions where trend following signals produced declines while non-trend signals produced some offsetting gains. Trend following strategies produced losses from long positioning on global stock indexes with the exception of Japan where a sharply weaker yen led the Nikkei index to solid gains. More nimble non-trend systems quickly initiated short positioning and benefited from the sell-off across Asia (ex-Japan) as the Chinese economic slowdown and unrest in Hong Kong near month-end pushed regional indexes sharply lower.

2013 (For the Nine Months Ending September 30)

Of the 2013 year-to-date increase of 5.48% for Series A, approximately 10.30% was due to trading gains (before commissions) and approximately 0.30% was due to investment income, offset by approximately 5.12% due to brokerage fees, management fees, performance fees, operating costs and offering costs borne by Series A.

Of the 2013 year-to-date increase of 6.88% for Series B, approximately 10.30% was due to trading gains (before commissions) and approximately 0.31% was due to investment income, offset by approximately 3.73% due to brokerage fees, management fees and operating costs borne by Series B.

Of the 2013 year-to-date increase of 6.30% for Series W, approximately 10.30% was due to trading gains (before commissions) and approximately 0.30% was due to investment income, offset by approximately 4.30% due to brokerage fees, management fees, service fees, performance fees, operating costs and offering costs borne by Series W.

During the nine months ended September 30, 2013, the Trust accrued management fees in the amount of $15,841,047 and paid management fees in the amount of $15,296,937. Performance fees were accrued in the amount of $3,034,349 and paid performance fees in the amount of $3,034,349.

An analysis of the 10.30% gross trading gains for the Trust for the nine months ended September 30, 2013 by sector is as follows:

Sector	% Gain (Loss)
Commodities		3.53	%
Currencies		1.85
Interest Rates		(2.59	)
Stock Indices		7.51
		10.30	%

2013 began on a positive note, as the Trust posted solid gains. Equity Indices and Foreign Exchange sectors responded to improved economic outlooks in the U.S. and Europe and to the promise of aggressive fiscal and monetary policy in Asia. Commodities were flat on the month, and the Interest Rates sector was the only significant detractor from performance. The Trust lost on a net-long position in global long-term rates as the sector moved lower on the same macroeconomic drivers that pushed equity markets higher and a general rotation out of bonds and into stocks. From a strategy perspective, longer-term trend following models were the most profitable strategies in January, with other complimentary strategies providing additional returns. Long global equity positions primarily from European and Asian holdings recorded the majority of gains. Positive data points out of Europe included the softening of tough “Basel III” regulations, a larger-than-expected repayment by banks of LTRO funds to the ECB, Spanish and Italian bond auctions bringing the lowest yields in months, and German ZEW surveys of sentiment that were much more optimistic. In Asia, the new Japanese government used every possible opportunity to push for a weakening of the Japanese Yen and a 2% inflation target to end decades of deflation. Exporters rallied as the Yen weakened throughout the month. The Trust’s short Japanese Yen position was the most profitable trade in the portfolio during January. Losses in Interest Rates were not enough to offset gains as the sector exhibited a generally negative correlation to equities, hurting the Trust’s long position.

The Trust, which consists of both trend following and non-trend following strategies, profited in February. The majority of gains came from the foreign exchange sector, while losses in equity index trading offset some of these gains. Interest rates and commodities had little impact on performance. Foreign exchange was the most profitable sector, contributing well over 1% to the Trust. In the U.K., the British Pound (GBP) was down over 4% in February as weak economic fundamentals led Moody’s to downgrade the U.K.’s Aaa sovereign debt rating to Aa1. The Trust made over 1% in GBP on a short position against the U.S. Dollar. The Canadian Dollar (CAD) also declined over 3% in February on global risk-off positioning and developments indicating a slowing Canadian economy. This led to additional gains on a short position against the currency. These gains were partially offset by losses from trading in equity indices where long positioning in European indices was unprofitable. Political uncertainty in the region, threatening a smooth recovery, caused downward moves in several major indices and reversed recent upward trends. Trading in North American indices was relatively flat for trend following strategies and losses in the region were driven by faster, non-trend following strategies getting caught in volatile market action. Trading in both interest rates and commodities was relatively flat in February. Renewed concerns over European sovereign debt and the impending U.S. sequester drove interest rate markets, producing small gains for the Trust. In commodities, gains in metals were offset by losses in energies, driven by the same macroeconomic factors that impacted the interest rates sector.

The Trust’s strategies profited in three of four major sectors traded in March, with the majority of gains coming from commodities. Major economic drivers included Chinese and Japanese political developments, positive economic data in the U.S., and the bank bailout situation in Cyprus. Trend following strategies contributed over 2% to the Trust, while other non-trend strategies detracted from performance. Gains in commodities were led by short positions in copper and aluminum as these industrial metals fell sharply during the month. Copper was pressured by new property tightening measures in China aimed at reining in overheated housing markets. Aluminum fell on reports that production climbed 2.4% in February. Soft commodities and energies also added to profits as supply and weather data moved markets in the direction of the Trust’s positions. Equity indices, specifically long positioning in the United States and Japan, also added to monthly gains. A sharp uptick in U.S. non-farm payrolls and a downtick in the unemployment rate, followed by data indicating a steadily improving U.S. housing market helped push index levels higher. Japanese stocks rose for a seventh straight month, gaining over 7%, as Prime Minister Abe’s efforts to end deflation began with his appointment of Haruhiko Kuroda to lead the Bank of Japan (BOJ). Positioning in foreign exchange contributed small gains to the Trust. The most profitable trade continues to be short Japanese Yen, with the new BOJ Governor stating he will do “whatever it takes” to achieve his goal of a 2% inflation target within two years.

The Trust gained in both trend following and non-trend following strategies in April, with gains coming from all sectors traded. Major moves in metals and long-dated interest rate markets led gains, each adding over 3% to the Trust. Slow global growth, disappointing economic data, low or stable inflation rates, and continued quantitative easing pushed rates lower and equity markets higher across major markets, extending or establishing trends and other alpha opportunities. Commodity markets recorded the best gains for the Trust, led by precious metals, base metals, and energies. Short positioning in precious metals benefitted from a sharp decline in prices. The weakness in gold can be attributed to several factors including low or falling inflation readings, concern that European central banks will sell gold reserves to help fund bail-out costs, outflows from related exchange traded products, and signs of slower global economic growth, especially in China. The Trust began April short precious metals, posting the majority of gains on April 12 & 15 when the sector significantly declined, at which point the Trust began to take profits and reduce its positions. Long positions on long-dated interest rate markets in the U.S., Canada, and Australia were also profitable during April. Disappointing economic data, stable inflation, falling commodity prices, and dovish stimulus policy in Canada pushed fixed income prices higher. This particularly impacted the long-dated rate contracts, as they are more sensitive to the interest rate movements than the short-dated rates. Stock index positions added further gains during the month, with long positioning in Japan, Australia, and the U.S. leading the way. Japanese and Australian markets moved higher on continued central bank easing while U.S. markets bounced around throughout the month but finished higher, hitting record highs in the S&P 500 and Dow Jones Industrial Average. The foreign exchange sector added small gains during the month. Trend-following strategies lost money in the sector, but non-trend strategies more than offset those losses. By market, the Japanese Yen and New Zealand Dollar versus the U.S. Dollar were the most profitable trades in April.

The Trust's gross trading was basically flat in May. Gains in stock indices, foreign exchange, and commodity holdings were offset by losses in fixed income positions. Both trend and non-trend strategies showed gains in long equity index positions. The gains were concentrated in European and US holdings. In Europe, gains were led by the UK where manufacturing and business confidence data strengthened. In the US, stocks rose after employment-related data showed signs of improvement and consumer confidence measures were also better than expected. Foreign exchange gains came primarily from long US dollar positions against the South African rand, the British pound, and the Canadian dollar. The US dollar strengthened against all major currencies amid better economic data and signs that the US Federal Reserve may soon begin to taper its quantitative easing (QE) measures. Commodity holdings added small additional gains to the Trust. Gains were found in short precious metal positions as both gold and silver declined on concerns over QE tapering and weak physical demand out of Asia. Grain positions, namely long soybean positioning, benefitted from strong Chinese export sales and US supply concerns. Unfortunately, these gains were mostly offset by losses from industrial metal and energy positions. Short positions in industrial metals, namely copper and aluminum, moved against the Trust as prices rose due to signs of tightening supply and amid short covering. Long positioning in natural gas was the biggest loser in energy holdings as prices fell sharply when seasonal demand waned and inventories rose more than expected. Overall monthly gains were offset by losses in long fixed income positions within Europe, the US, Japan, and Canada, primarily from the long-dated holdings within the trend-following strategies. Global fixed income prices fell sharply during the month for the same reasons the US dollar strengthened - mainly over concern that US QE measures would begin to wind down in the near future amid strengthening economic data which could cause interest rates to rise.

The Trust had a net loss in June. Declines in stock indices and foreign exchange were only partially offset by gains from commodities and fixed income. The primary focus of global markets in June revolved around the fear that the US Federal Reserve was beginning to signal that their aggressive QE measures were going to be reduced or “tapered” amid stronger US economic trends. World markets have enjoyed the benefits of the unprecedented liquidity that the US central bank has pumped into the banking system over the past five years, however the announcement by Fed Chairman Bernanke on June 19th that QE tapering could begin as soon as year-end roiled global markets. Trend strategies showed their largest losses in long equity index positions. The losses were spread across all global equity markets as they sold off on the concern that US QE tapering could be expected in the near future. Non-trend strategies showed gains in foreign exchange positioning, but the trend-following models produced losses that more than offset any gains. The trend strategies showed the greatest losses on the Japanese yen and the British pound as both showed sharp trend reversals post Bernanke’s tapering comments mid-month. Trend-following strategies delivered gains in commodities, especially within short industrial metals and precious metals positioning. Concerns over a Chinese credit crunch plus fear over the potential impact from QE tapering pushed both types of metals lower. Gains were somewhat offset by losses from energy positions which generally saw sharp mid-month trend reversals due to the strengthening US dollar amid fears that monetary accommodation would begin to be withdrawn. Both non-trend and trend strategies showed gains in short positioning on fixed income instruments. Global fixed income markets sold off sharply on fears over QE tapering. The faster reacting non-trend models quickly built short positions and benefitted from the extended declines.

The Trust had small gross trading losses in July. Gains from stock indices were more than offset by losses from foreign exchange, fixed income, and commodities. The largest losses during the month were found within foreign exchange holdings primarily from short positioning against the Canadian dollar and the New Zealand dollar. These currencies both appreciated on hawkish leaning central bank comments and amid better economic data. The Australian dollar produced one of the largest FX gains as the Royal Bank of Australia indicated that they had room to cut interest rates which was supported by tame inflation data. Short positioning within both short and long dated fixed income instruments also caused losses, especially within the trend following strategies. Members of the US Federal Reserve, including Chairman Bernanke, emphasized to world financial markets that a tapering of QE programs does not necessarily mean a tightening of interest rates. This message helped push fixed income instruments higher, hurting the Trust’s short positioning. Non-trend strategies showed small losses as well. Commodity positions were another source of losses during July. The “QE tapering does not mean tightening” message helped gold appreciate over 7% which hurt recently profitable trend following short positioning. Long positioning gains within energies, especially on crude and Brent oil, offset some of the sector’s overall losses. New Middle East tensions in Egypt, early month inventory draws, and some favorable economic data in the US all pushed most energies higher on the month. Long stock index positions helped to mostly offset losses. Most global stock markets rallied during July driven by expectations for continued monetary support from major central banks, generally better than expected second quarter earnings reports, and additional signs that global economic growth is improving, especially within Europe and the US. Trend following strategies showed solid gains on long positioning within global stock indices; however, non-trend strategies showed small losses on the sector.

The Trust's losses continued in August. Gains from interest rates were more than offset by losses from commodities, foreign exchange, and stock index holdings. Commodities produced the largest losses on the month, led by short industrial metal and precious metal positions. Improving macro economic data from China, including better than expected industrial production and import/export data, pushed industrial metals higher. Some weaker US economic data, including a disappointing July employment report and softer pending home sales, sent precious metals higher on hopes for a delay in US Federal Reserve quantitative easing (QE) tapering. Long energy holdings helped to offset some losses as increased geopolitical tensions related to Syria drove petroleum markets higher. Short positions in corn and wheat led to early month profits as healthy harvest expectations sent the grains lower. Foreign exchange holdings also produced losses during August. Long positioning in the euro and Swiss franc produced the largest losses as both currencies fell due to a strengthening US dollar supported by a hardening of expectations for Fed QE tapering and risk aversion driven by geopolitical concerns over Syria. Non-trend strategies produced some offsetting gains in foreign exchange as short positioning in the Canadian dollar and Australian dollar proved profitable due to risk-aversion. Long global stock index positions showed profits early in the month as the strength seen in July continued into August. Unfortunately, losses were incurred as concerns surrounding QE tapering by the US Fed and new fears over military tensions between the US and Syria caused global stocks to sell-off throughout the second half of the month. Nimble non-trend strategies showed profits in stock indexes by quickly getting short the second-half sell-off as geopolitical fears gripped world markets. Short interest rate positions produced gains for the Trust during August. Stronger economic data in Germany and the UK linked with expectations for US Fed QE tapering helped push European and US interest rate instruments lower. Gains were limited by late month reversals on flight-to-quality positioning due to the Syrian situation.

The Trust's losses continued in September. Gains from stock indexes were more than offset by losses from commodity, foreign exchange, and interest rate holdings. Commodities produced the largest losses on the month, led by long energy and short industrial metal positions. A calming of tensions between the US and Syria caused a sell-off in energy markets, reversing the gains seen during August. Industrial metals gained on the election of a pro-business Prime Minister in Australia and amid some better Chinese economic data. The non-trend following strategies were long gold, which produced some offsetting gains on the US Fed’s surprise decision to delay a tapering of its monthly quantitative easing (QE) program. Foreign exchange positions produced losses as well. The US dollar was broadly weaker versus most other G10 currencies during September with the US Dollar Index hitting a seven-month low. The largest losses for the Trust were found in short Canadian and Australian dollar positions. The Fed’s surprising decision to delay tapering its $85 billion monthly asset purchase program sparked a sharp rally in these currencies versus the US dollar. Some offsetting gains were found from long positioning on the British pound and Swiss franc versus the dollar. Interest rate positions, primarily short holdings on the short-end of the curve, produced additional portfolio losses. The Fed’s surprise decision to delay QE tapering, some pockets of softer global economic data including a weaker than expected US employment report, and reports of a US government partial shutdown near month-end all helped to push fixed income instruments higher during September. Long stock index holdings produced the only sector gains in the Trust during the month. A peaceful resolution of the US/Syrian crisis, renewed confidence that Janet Yellen would be nominated to be the next head of the US Federal Reserve, and the Fed’s decision to fully maintain QE helped most global stock markets to post solid gains. Profits were capped by late month concerns about a showdown in Washington over government spending that ultimately resulted in a partial shutdown of the US government.

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Introduction

Past Results Not Necessarily Indicative of Future Performance

The Trust is a speculative commodity pool. The market sensitive instruments held by it are acquired for speculative trading purposes, and all or a substantial amount of the Trust’s assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Trust’s main line of business.

Market movements result in frequent changes in the fair market value of the Trust’s open positions and, consequently, in its earnings and cash flow. The Trust’s market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the Trust’s open positions and the liquidity of the markets in which it trades.

The Trust rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the Trust’s past performance is not necessarily indicative of its future results.

Standard of Materiality

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

Quantifying the Trust’s Trading Value at Risk

Quantitative Forward-Looking Statements

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

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

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.

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

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

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

The Trust’s Trading Value at Risk in Different Market Sectors

The following tables indicate the trading Value at Risk associated with the Trust’s open positions by market category as of September 30, 2014 and December 31, 2013 and the trading gains/losses by market category for the nine months ended September 30, 2014 and the year ended December 31, 2013.


	September 30, 2014
Market Sector	Value at Risk*			Trading Gain/(Loss)**
Commodities		0.97	%		(0.24	)%
Currencies		0.72	%		5.17	%
Interest Rates		0.92	%		5.43	%
Stock Indices		0.96	%		(1.56	)%

Aggregate/Total		1.57	%		8.80	%

*	– 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, 2014.

	December 31, 2013
Market Sector	Value at Risk*			Trading Gain/(Loss)**
Commodities		0.98	%		3.35	%
Currencies		0.67	%		1.80	%
Interest Rates		0.32	%		(4.31	)%
Stock Indices		1.07	%		14.11	%

Aggregate/Total		1.51	%		14.95	%

*	– 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, 2013.

Of the 8.80% return for year ended 2013 for Series A, approximately 14.95% was due to trading gains (before commissions) and approximately 0.43% due to investment income, offset by approximately (6.58)% due to brokerage fees, management fees, performance fees, offering costs and operating costs borne by Series A.

Of the 10.38% return for year ended 2013 for Series B, approximately 14.95% was due to trading gains (before commissions) and approximately 0.43% due to investment income, offset by approximately (5.00)% due to brokerage fees, management fees and operating costs borne by Series B.

Of the 10.04% return for year ended 2013 for Series W, approximately 14.95% was due to trading gains (before commissions) and approximately 0.43% due to investment income, offset by approximately (5.34)% due to brokerage fees, management fees, performance fees, sales commissions, offering costs and operating costs borne by Series W.

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

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

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

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

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

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

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

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

Non-Trading Risk

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

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, 2014 by market sector.

Currencies

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

Interest Rates

Interest rate movements directly affect the price of the sovereign bond positions held by the Trust and indirectly the value of its stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact the Trust’s profitability. The Trust’s primary interest rate exposure is to interest rate fluctuations in the United States and the other G-7 countries. Campbell & Company anticipates that G-7 interest rates will remain the primary rate exposure of the Trust for the foreseeable future. Changes in the interest rate environment will have the most impact on longer dated fixed income positions, at points of time throughout the year the majority of the speculative positions held by the Trust may be held in medium to long-term fixed income positions.

Stock Indices

The Trust’s primary equity exposure is to equity price risk in the G-7 countries as well as Australia, Hong Kong, Singapore, Spain, Taiwan, Netherlands and Sweden. The stock index futures traded by the Trust are by law limited to futures on broadly based indices. The Trust is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices. Markets that trade in a narrow range could result in the Trust’s positions being “whipsawed” into numerous small losses.

Energy

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

Metals

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

Agricultural

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

Qualitative Disclosures Regarding Non-Trading Risk Exposure

The following were the primary non-trading risk exposures of the Trust as of September 30, 2014.

Foreign Currency Balances

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

Fixed Income Securities and Short Term Investments

The Trust’s primary market exposure in instruments (other than treasury positions described in the subsequent section) held other than for trading is in its fixed income portfolio. The cash manager, PNC, has authority to make certain investments on behalf of the Trust. All securities purchased by the cash manager on behalf of the Trust will be held in the Trust’s custody account at the custodian. The cash manager will use 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.

U.S. Treasury Bill Positions Held for Margin Purposes

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

Qualitative Disclosures Regarding Means of Managing Risk Exposure

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

General

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

Item 4. Controls and Procedures

Campbell & Company, 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.

PART II - OTHER INFORMATION

Item 1. Legal Proceedings.

None

Item 1A. Risk Factors.

None

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

None

Item 3. Defaults Upon Senior Securities.

Not applicable

Item 4. Mine Safety Disclosures.

Not applicable

Item 5. Other Information.

None

Item 6. Exhibits.

Exhibit Number		Description of Document

3.01		Articles and Plan of Merger of the Campbell Fund Limited Partnership with and into the Registrant dated January 2, 1996 (1)

3.02		Amended and Restated Declaration of Trust and Trust Agreement of the Registrant dated February 3, 2010 (2)

10.01		Advisory Agreement between the Registrant and Campbell & Company, Inc. (1)

10.02		Global Institutional Master Custody Agreement (2)

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

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

31.02		Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to Rules 13a-14 and 15d-14 of the Securites Exchange Act of 1934.

32.01		Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

32.02		Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

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


(1) Incorporated by reference to the respective exhibit to the Registrant’s Form 10 filed on April 30, 2003.

(2) Incorporated by reference to the respective exhibit to the Registrant’s Form 10-Q filed on August 15, 2011.

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

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, 2014	By:	/s/ G. William Andrews
		G. William Andrews Chief Executive Officer

EXHIBIT INDEX


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

31.02		Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to Rules 13a-14 and 15d-14 of the Securities Exchange Act of 1934.

32.01		Certification of G. William Andrews, Chief Executive Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

32.02		Certification of Gregory T. Donovan, Chief Financial Officer, pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes-Oxley Act of 2002.

101.01

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

Net Asset Value per Other Unitholders’ Unit - Series B

September 30, 2014

December 31, 2013

September 30, 2013

December 31, 2012